UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-4085

Fidelity Income Fund
(Exact name of registrant as specified in charter)

245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

245 Summer St.

Boston, Massachusetts 02210
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

August 31

 

 

Date of reporting period:

May 31, 2013

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity Advisor ® Government
Income Fund
Class A
Class T
Class B
Class C
Institutional Class

May 31, 2013

Class A, Class T, Class B, Class C and
Institutional Class
are classes of
Fidelity ® Government Income Fund 

1.847931.106

AGVT-QTLY-0713

Investments May 31, 2013 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 45.1%

 

Principal
Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 2.9%

Fannie Mae:

0.5% 7/2/15

$ 60,173

$ 60,330

0.5% 3/30/16

13,869

13,846

0.875% 2/8/18

2,333

2,308

0.875% 5/21/18

632

623

Federal Home Loan Bank 1% 6/21/17

14,860

14,917

Private Export Funding Corp. secured 4.974% 8/15/13

22,940

23,163

Small Business Administration guaranteed development participation certificates:

Series 2002-20J Class 1, 4.75% 10/1/22

2,579

2,810

Series 2002-20K Class 1, 5.08% 11/1/22

4,204

4,613

Series 2003-P10B Class 1, 5.136% 8/10/13

321

324

Series 2004-20H Class 1, 5.17% 8/1/24

1,653

1,846

Tennessee Valley Authority:

5.25% 9/15/39

2,042

2,466

5.375% 4/1/56

8,429

10,262

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

137,508

U.S. Treasury Obligations - 41.9%

U.S. Treasury Bonds:

2.875% 5/15/43

47,911

44,145

3.125% 2/15/43

200,599

194,832

4.375% 2/15/38

19,154

23,251

5% 5/15/37 (c)

23,846

31,544

5.25% 11/15/28

23,775

31,283

5.25% 2/15/29

2,000

2,635

6.125% 11/15/27

15,897

22,556

6.125% 8/15/29

2,167

3,120

9.875% 11/15/15

10,285

12,657

U.S. Treasury Notes:

0.125% 4/30/15

4,228

4,214

0.25% 3/31/15

74,106

74,057

0.25% 7/15/15

47,923

47,841

0.25% 10/15/15

244,134

243,405

0.25% 12/15/15

78,412

78,093

0.25% 4/15/16

66,378

65,937

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

0.25% 5/15/16

$ 55,000

$ 54,600

0.375% 3/15/15

8,495

8,509

0.375% 1/15/16

57,651

57,574

0.375% 3/15/16

20,000

19,950

0.625% 4/30/18

37,435

36,733

0.75% 6/30/17

58,736

58,589

0.875% 11/30/16

29,402

29,623

0.875% 1/31/18

4,683

4,664

0.875% 7/31/19

6,174

6,006

1% 10/31/16

39,991

40,491

1% 5/31/18

79,254

79,118

1.125% 3/31/20

15,000

14,637

1.125% 4/30/20 (a)

62,191

60,588

1.375% 11/30/15

470

481

1.375% 5/31/20

124,452

123,091

1.75% 7/31/15

42,654

43,947

1.75% 5/15/23 (a)

94,905

91,598

1.875% 8/31/17

47,000

49,027

1.875% 9/30/17

67,400

70,249

2% 2/15/23

17,406

17,256

2.125% 5/31/15

4,176

4,326

2.375% 6/30/18

26,608

28,362

2.5% 6/30/17

10,000

10,688

2.75% 11/30/16

18,530

19,869

3.125% 1/31/17

60,773

66,129

3.5% 2/15/18

58,585

65,473

4% 2/15/15

12,619

13,416

4.5% 5/15/17

24,685

28,274

4.75% 8/15/17

12,983

15,094

TOTAL U.S. TREASURY OBLIGATIONS

1,997,932

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s)

Value (000s)

Other Government Related - 0.3%

National Credit Union Administration Guaranteed Notes:

Series 2010-A1 Class A, 0.5503% 12/7/20 (NCUA Guaranteed) (d)

$ 8,171

$ 8,195

Series 2011-R4 Class 1A, 0.5803% 3/6/20 (NCUA Guaranteed) (d)

7,146

7,164

TOTAL OTHER GOVERNMENT RELATED

15,359

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,129,955)

2,150,799

U.S. Government Agency - Mortgage Securities - 15.4%

 

Fannie Mae - 4.2%

2.014% 2/1/33 (d)

212

220

2.039% 12/1/34 (d)

240

252

2.072% 7/1/35 (d)

113

119

2.083% 3/1/35 (d)

203

212

2.117% 10/1/33 (d)

130

137

2.138% 10/1/33 (d)

269

283

2.175% 3/1/35 (d)

35

37

2.332% 3/1/35 (d)

144

153

2.362% 2/1/36 (d)

481

505

2.411% 3/1/36 (d)

1,310

1,400

2.415% 11/1/33 (d)

804

854

2.526% 10/1/33 (d)

203

216

2.559% 6/1/36 (d)

214

230

2.605% 7/1/34 (d)

152

161

2.666% 7/1/35 (d)

395

419

2.726% 11/1/36 (d)

170

183

2.816% 5/1/36 (d)

284

306

3% 12/1/42 to 2/1/43

7,562

7,626

3% 6/1/43 (b)

41,700

41,992

3.478% 3/1/40 (d)

5,093

5,396

3.5% 8/1/42 to 4/1/43

92,552

95,463

4% 1/1/41 to 2/1/42

8,909

9,434

4.5% 3/1/41

4,378

4,758

5% 9/1/22 to 12/1/25

10,678

11,463

6.129% 3/1/37 (d)

251

268

6.5% 2/1/17 to 8/1/36

13,646

15,580

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Fannie Mae - continued

7% 7/1/13

$ 0*

$ 0*

9% 5/1/14

24

24

9.5% 10/1/20

37

42

11.25% 5/1/14

0*

0*

11.5% 6/15/19 to 1/15/21

26

28

 

197,761

Freddie Mac - 2.7%

1.945% 3/1/35 (d)

707

739

2.334% 5/1/37 (d)

485

516

2.492% 4/1/35 (d)

172

182

2.556% 2/1/36 (d)

52

56

2.673% 7/1/35 (d)

1,586

1,705

2.742% 6/1/35 (d)

761

818

3% 8/1/42 to 2/1/43

8,610

8,653

3.024% 3/1/33 (d)

40

43

3.057% 7/1/36 (d)

604

644

3.287% 10/1/35 (d)

297

319

3.5% 6/1/42 to 6/1/43

66,338

68,429

4% 3/1/42

2,004

2,154

4% 4/1/42

26,773

28,629

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

6,525

7,061

5.5% 7/1/29 to 7/1/35

5,203

5,650

6% 1/1/24

3,506

3,889

9.5% 6/1/18 to 8/1/21

61

67

9.75% 8/1/14

35

37

12% 3/1/15

0*

0*

12.5% 2/1/14 to 6/1/15

0*

0*

13% 6/1/14 to 10/1/14

0*

0 *

 

129,591

Ginnie Mae - 8.5%

4% 6/15/24 to 3/15/26

13,022

13,988

4.3% 8/20/61 (h)

5,237

5,759

4.5% 3/15/25 to 6/15/25

12,389

13,354

4.515% 3/20/62 (h)

20,116

22,492

4.53% 10/20/62 (h)

5,386

6,063

4.55% 5/20/62 (h)

39,802

44,597

4.556% 12/20/61 (h)

21,541

24,073

4.604% 3/20/62 (h)

11,628

13,043

4.626% 3/20/62 (h)

8,112

9,094

4.649% 2/20/62 (h)

3,415

3,832

4.65% 3/20/62 (h)

7,379

8,284

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Ginnie Mae - continued

4.682% 2/20/62 (h)

$ 4,534

$ 5,088

4.684% 1/20/62 (h)

26,333

29,522

4.804% 3/20/61 (h)

14,078

15,681

4.834% 3/20/61 (h)

24,799

27,655

5% 4/20/41

81

87

5% 6/20/41

39

42

5.47% 8/20/59 (h)

3,315

3,601

5.492% 4/20/60 (h)

24,029

27,281

5.612% 4/20/58 (h)

8,247

8,726

6% 6/15/36 to 12/20/38

51,890

57,526

6.5% 8/20/38 to 9/20/38

59,233

66,933

 

406,721

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $732,339)

734,073

Collateralized Mortgage Obligations - 10.9%

 

U.S. Government Agency - 10.9%

Fannie Mae:

floater:

Series 2001-38 Class QF, 1.1733% 8/25/31 (d)

212

216

Series 2002-49 Class FB, 0.7982% 11/18/31 (d)

220

222

Series 2002-60 Class FV, 1.1933% 4/25/32 (d)

94

96

Series 2002-75 Class FA, 1.1933% 11/25/32 (d)

193

197

Series 2010-15 Class FJ, 1.1233% 6/25/36 (d)

15,773

16,106

pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27

7,394

7,918

planned amortization class:

Series 1993-240 Class PD, 6.25% 12/25/13

107

107

Series 2003-113 Class PE, 4% 11/25/18

6,797

7,202

Series 2005-19 Class PA, 5.5% 7/25/34

5,556

6,094

Series 2005-27 Class NE, 5.5% 5/25/34

5,550

5,999

Series 2005-64 Class PX, 5.5% 6/25/35

5,349

5,931

Series 2006-45 Class OP, 6/25/36 (g)

2,415

2,174

Series 2010-118 Class PB, 4.5% 10/25/40

7,053

7,680

Series 2010-44 Class FM, 5% 5/25/40

7,526

8,485

Series 2011-126 Class KB, 4% 12/25/41

6,260

6,646

sequential payer:

Series 2003-117 Class MD, 5% 12/25/23

2,603

2,829

Series 2004-91 Class Z, 5% 12/25/34

10,086

11,284

Series 2005-117, Class JN, 4.5% 1/25/36

645

711

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s)

Value (000s)

U.S. Government Agency - continued

Fannie Mae: - continued

sequential payer:

Series 2005-14 Class ZB, 5% 3/25/35

$ 3,577

$ 3,973

Series 2005-47 Class HK, 4.5% 6/25/20

7,798

8,276

Series 2006-72 Class CY, 6% 8/25/26

10,215

11,481

Series 2009-14 Class EB, 4.5% 3/25/24

7,840

8,321

Series 2009-59 Class HB, 5% 8/25/39

4,590

5,055

Series 2010-97 Class CX, 4.5% 9/25/25

10,813

12,232

Series 2009-85 Class IB, 4.5% 8/25/24 (f)

1,514

133

Series 2009-93 Class IC, 4.5% 9/25/24 (f)

2,291

187

Series 2010-139 Class NI, 4.5% 2/25/40 (f)

9,085

1,358

Series 2010-39 Class FG, 1.1133% 3/25/36 (d)

9,543

9,751

Series 2010-97 Class CI, 4.5% 8/25/25 (f)

4,675

455

Series 2013-40 Class PV, 2% 1/25/26

7,763

7,903

Freddie Mac:

floater:

Series 2530 Class FE, 0.7992% 2/15/32 (d)

136

138

Series 2630 Class FL, 0.6992% 6/15/18 (d)

182

183

Series 2682 Class FB, 1.0992% 10/15/33 (d)

9,448

9,599

Series 2711 Class FC, 1.0992% 2/15/33 (d)

5,923

6,019

Series 3008 Class SM, 7/15/35 (d)

0*

0*

planned amortization class:

Series 1141 Class G, 9% 9/15/21

131

151

Series 2006-3245 Class ME, 5.5% 6/15/35

7,084

7,325

Series 2115 Class PE, 6% 1/15/14

25

25

Series 2356 Class GD, 6% 9/15/16

92

98

Series 2376 Class JE, 5.5% 11/15/16

605

638

Series 2381 Class OG, 5.5% 11/15/16

344

361

Series 2672 Class MG, 5% 9/15/23

7,120

8,069

Series 2682 Class LD, 4.5% 10/15/33

777

867

Series 2810 Class PD, 6% 6/15/33

217

224

Series 3415 Class PC, 5% 12/15/37

1,843

1,998

Series 3763 Class QA, 4% 4/15/34

4,649

4,916

planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34

5,040

5,429

sequential payer:

Series 2587 Class AD, 4.71% 3/15/33

5,785

6,496

Series 2773 Class HC, 4.5% 4/15/19

704

765

Series 2877 Class ZD, 5% 10/15/34

13,090

14,390

Series 3007 Class EW, 5.5% 7/15/25

8,875

10,223

Series 3277 Class B, 4% 2/15/22

5,900

6,360

Series 3578 Class B, 4.5% 9/15/24

7,927

8,519

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac: - continued

sequential payer:

Series 3871 Class KB, 5.5% 6/15/41

$ 13,870

$ 16,310

Series 4176 Class BA, 3% 2/15/33

4,077

4,274

Series 4181 Class LA, 3% 3/15/37

5,577

5,845

Series 4182 Class BA, 3% 6/15/37

22,733

23,846

Ginnie Mae guaranteed REMIC pass-thru certificates:

floater:

Series 2008-2 Class FD, 0.6782% 1/20/38 (d)

719

723

Series 2008-73 Class FA, 1.0582% 8/20/38 (d)

4,751

4,831

Series 2008-83 Class FB, 1.0982% 9/20/38 (d)

4,920

5,008

Series 2009-108 Class CF, 0.7997% 11/16/39 (d)

3,645

3,676

Series 2011-H21 Class FA, 0.8% 10/20/61 (d)(h)

9,433

9,480

Series 2012-H01 Class FA, 0.9% 11/20/61 (d)(h)

7,661

7,737

Series 2012-H03 Class FA, 0.9% 1/20/62 (d)(h)

4,604

4,650

Series 2012-H06 Class FA, 0.83% 1/20/62 (d)(h)

7,307

7,355

Series 2012-H07 Class FA, 0.83% 3/20/62 (d)(h)

4,259

4,288

floater sequential payer Series 2011-150 Class D, 3% 4/20/37

2,310

2,360

planned amortization class:

Series 2010-112 Class PM, 3.25% 9/20/33

1,856

1,890

Series 2010-99 Class PT, 3.5% 8/20/33

2,407

2,457

sequential payer Series 2011-69 Class GX, 4.5% 5/16/40

10,205

11,310

Series 2010-H13 Class JA, 5.46% 10/20/59 (h)

16,267

17,696

Series 2010-H15 Class TP, 5.15% 8/20/60 (h)

20,696

23,252

Series 2010-H17 Class XP, 5.3019% 7/20/60 (d)(h)

28,603

32,155

Series 2010-H18 Class PL, 5.01% 9/20/60 (d)(h)

20,810

23,270

Series 2011-71:

Class ZB, 5.5% 8/20/34

22,222

25,674

Class ZC, 5.5% 7/16/34

24,401

27,867

Series 2012-64 Class KB, 3.3139% 5/20/41 (d)

3,779

4,115

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $513,321)

521,884

Commercial Mortgage Securities - 4.4%

 

Freddie Mac:

floater Series K707 Class A2, 2.22% 12/25/18

20,970

21,537

pass thru-certificates floater Series KF01 Class A, 0.5537% 4/25/19 (d)

13,093

13,117

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Freddie Mac: - continued

pass-thru certificates sequential payer:

Series K011 Class A2, 4.084% 11/25/20

$ 3,740

$ 4,151

Series K014 Class A2, 3.871% 4/25/21

9,230

10,100

Series K015 Class A2, 3.23% 7/25/21

16,425

17,195

sequential payer:

Series K006 Class A2, 4.251% 1/25/20

24,840

27,820

Series K009 Class A2, 3.808% 8/25/20

32,528

35,530

Series K017 Class A2, 2.873% 12/25/21

28,660

29,190

Series K710 Class A2, 1.883% 5/25/19

16,382

16,540

Series K501 Class A2, 1.655% 11/25/16

9,650

9,848

Series K706 Class A2, 2.323% 10/25/18

23,810

24,558

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $210,016)

209,586

Foreign Government and Government Agency Obligations - 1.9%

 

Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23
(Cost $74,265)

70,567


88,996

Fixed-Income Funds - 23.0%

Shares

 

Fidelity Mortgage Backed Securities Central Fund (e)
(Cost $1,050,865)

10,180,589


1,095,940

Cash Equivalents - 3.2%

Maturity
Amount (000s)

 

Investments in repurchase agreements in a joint trading account at:

0.06%, dated 5/31/13 due 6/3/13 (Collateralized by U.S. Government Obligations) #(i)

$ 40,517

40,517

0.07%, dated 5/31/13 due 6/3/13 (Collateralized by U.S. Government Obligations) #(i)

112,964

112,963

TOTAL CASH EQUIVALENTS

(Cost $153,480)


153,480

Purchased Swaptions - 0.1%

Expiration
Date

Notional
Amount (000s)

Value (000s)

Put Options - 0.1%

Option on an interest rate swap with Deutsche Bank to pay a fixed rate of 2.7% and receive a floating rate based on 3-month LIBOR expiring June 2024

5/30/14

$ 45,890

$ 1,489

Call Options - 0.0%

Option on an interest rate swap with Deutsche Bank to receive a fixed rate of 2.7% and pay a floating rate based on 3-month LIBOR expiring June 2024

5/30/14

45,890

1,489

TOTAL PURCHASED SWAPTIONS

(Cost $2,978)


2,978

TOTAL INVESTMENT PORTFOLIO - 104.0%

(Cost $4,867,219)

4,957,736

NET OTHER ASSETS (LIABILITIES) - (4.0)%

(188,794 )

NET ASSETS - 100%

$ 4,768,942

TBA Sale Commitments

 

Principal
Amount (000s)

 

Fannie Mae

4% 6/1/43

(Proceeds $8,492)

$ (8,000)


(8,441 )

Futures Contracts

 

Expiration
Date

Underlying
Face Amount
at Value (000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Purchased

Treasury Contracts

537 CBOT 2 Year U.S. Treasury Note Contracts

Sept. 2013

$ 118,216

$ (152)

130 CBOT 30 Year U.S. Treasury Bond Contracts

Sept. 2013

18,204

53

TOTAL TREASURY CONTRACTS

$ 136,420

$ (99 )

The face value of futures purchased as a percentage of net assets is 2.9%

Swaps

Interest Rate Swaps

Clearinghouse/
Counterparty(1)

Expiration
Date

Notional
Amount
(000s)

Payment
Received

Payment
Paid

Value
(000s)

Upfront
Premium
Received/
(Paid)
(000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Deutsche Bank AG

Nov. 2017

$ 19,300

3-month LIBOR

0.83%

$ 185

$ 0

$ 185

JPMorgan Chase, Inc.

Nov. 2017

13,400

3-month LIBOR

0.76%

179

0

179

Deutsche Bank AG

Nov. 2022

19,600

3-month LIBOR

1.76%

781

0

781

JPMorgan Chase, Inc.

Nov. 2022

12,800

3-month LIBOR

1.62%

681

0

681

CME

Jul. 2023

67,129

3-month LIBOR

2.4%

(169)

0

(169)

CME

Jul. 2023

20,434

3-month LIBOR

2.4%

(51)

0

(51)

JPMorgan Chase, Inc.

Jun. 2042

4,100

3-month LIBOR

2.44%

591

0

591

Deutsche Bank AG

Nov. 2042

11,700

3-month LIBOR

2.65%

1,326

0

1,326

JPMorgan Chase, Inc.

Nov. 2042

5,900

3-month LIBOR

2.46%

902

0

902

JPMorgan Chase, Inc.

Dec. 2042

47,921

3-month LIBOR

2.58%

5,555

0

5,555

TOTAL INTEREST RATE SWAPS

$ 9,980

$ 0

$ 9,980

(1) Swaps with CME Group (CME) are centrally cleared over-the-counter (OTC) swaps.

Legend

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

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

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $496,000.

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

(e) Affiliated fund that is generally 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 website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(f) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(g) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(h) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

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

* Amount represents less than $1,000

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$40,517,000 due 6/03/13 at 0.06%

Barclays Capital, Inc.

$ 4,873

Commerz Markets LLC

19,114

Credit Agricole CIB New York Branch

12,921

Credit Suisse Securities (USA) LLC

3,609

 

$ 40,517

$112,963,000 due 6/03/13 at 0.07%

Commerz Markets LLC

$ 112,963

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Mortgage Backed Securities Central Fund

$ 18,075

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

Fund
(Amounts in thousands)

Value,
beginning of
period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity Mortgage Backed Securities Central Fund

$ 1,395,601

$ 18,075

$ 293,995

$ 1,095,940

7.8%

Other Information

The following is a summary of the inputs used, as of May 31, 2013, 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 table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government and Government Agency Obligations

$ 2,150,799

$ -

$ 2,150,799

$ -

U.S. Government Agency - Mortgage Securities

734,073

-

734,073

-

Collateralized Mortgage Obligations

521,884

-

521,884

-

Commercial Mortgage Securities

209,586

-

209,586

-

Foreign Government and Government Agency Obligations

88,996

-

88,996

-

Fixed-Income Funds

1,095,940

1,095,940

-

-

Cash Equivalents

153,480

-

153,480

-

Purchased Swaptions

2,978

-

2,978

-

Total Investments in Securities:

$ 4,957,736

$ 1,095,940

$ 3,861,796

$ -

Other Derivative Instruments:

Assets

Futures Contracts

$ 53

$ 53

$ -

$ -

Swaps

10,200

-

10,200

-

Total Assets

$ 10,253

$ 53

$ 10,200

$ -

Liabilities

Futures Contracts

$ (152)

$ (152)

$ -

$ -

Swaps

(220 )

-

(220 )

-

Total Liabilities

$ (372 )

$ (152 )

$ (220 )

$ -

Total Other Derivative Instruments:

$ 9,881

$ (99 )

$ 9,980

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (8,441 )

$ -

$ (8,441 )

$ -

Income Tax Information

At May 31, 2013, the cost of investment securities for income tax purposes was $4,866,876,000. Net unrealized appreciation aggregated $90,860,000, of which $119,966,000 related to appreciated investment securities and $29,106,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment 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 Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For foreign government and government agency obligations and U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

For collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors 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 broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please visit advisor.fidelity.com or call Fidelity at 1-877-208-0098 for a free copy of the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Government Income Fund

May 31, 2013 

1.800338.109

GOV-QTLY-0713

Investments May 31, 2013 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 45.1%

 

Principal
Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 2.9%

Fannie Mae:

0.5% 7/2/15

$ 60,173

$ 60,330

0.5% 3/30/16

13,869

13,846

0.875% 2/8/18

2,333

2,308

0.875% 5/21/18

632

623

Federal Home Loan Bank 1% 6/21/17

14,860

14,917

Private Export Funding Corp. secured 4.974% 8/15/13

22,940

23,163

Small Business Administration guaranteed development participation certificates:

Series 2002-20J Class 1, 4.75% 10/1/22

2,579

2,810

Series 2002-20K Class 1, 5.08% 11/1/22

4,204

4,613

Series 2003-P10B Class 1, 5.136% 8/10/13

321

324

Series 2004-20H Class 1, 5.17% 8/1/24

1,653

1,846

Tennessee Valley Authority:

5.25% 9/15/39

2,042

2,466

5.375% 4/1/56

8,429

10,262

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

137,508

U.S. Treasury Obligations - 41.9%

U.S. Treasury Bonds:

2.875% 5/15/43

47,911

44,145

3.125% 2/15/43

200,599

194,832

4.375% 2/15/38

19,154

23,251

5% 5/15/37 (c)

23,846

31,544

5.25% 11/15/28

23,775

31,283

5.25% 2/15/29

2,000

2,635

6.125% 11/15/27

15,897

22,556

6.125% 8/15/29

2,167

3,120

9.875% 11/15/15

10,285

12,657

U.S. Treasury Notes:

0.125% 4/30/15

4,228

4,214

0.25% 3/31/15

74,106

74,057

0.25% 7/15/15

47,923

47,841

0.25% 10/15/15

244,134

243,405

0.25% 12/15/15

78,412

78,093

0.25% 4/15/16

66,378

65,937

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

0.25% 5/15/16

$ 55,000

$ 54,600

0.375% 3/15/15

8,495

8,509

0.375% 1/15/16

57,651

57,574

0.375% 3/15/16

20,000

19,950

0.625% 4/30/18

37,435

36,733

0.75% 6/30/17

58,736

58,589

0.875% 11/30/16

29,402

29,623

0.875% 1/31/18

4,683

4,664

0.875% 7/31/19

6,174

6,006

1% 10/31/16

39,991

40,491

1% 5/31/18

79,254

79,118

1.125% 3/31/20

15,000

14,637

1.125% 4/30/20 (a)

62,191

60,588

1.375% 11/30/15

470

481

1.375% 5/31/20

124,452

123,091

1.75% 7/31/15

42,654

43,947

1.75% 5/15/23 (a)

94,905

91,598

1.875% 8/31/17

47,000

49,027

1.875% 9/30/17

67,400

70,249

2% 2/15/23

17,406

17,256

2.125% 5/31/15

4,176

4,326

2.375% 6/30/18

26,608

28,362

2.5% 6/30/17

10,000

10,688

2.75% 11/30/16

18,530

19,869

3.125% 1/31/17

60,773

66,129

3.5% 2/15/18

58,585

65,473

4% 2/15/15

12,619

13,416

4.5% 5/15/17

24,685

28,274

4.75% 8/15/17

12,983

15,094

TOTAL U.S. TREASURY OBLIGATIONS

1,997,932

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s)

Value (000s)

Other Government Related - 0.3%

National Credit Union Administration Guaranteed Notes:

Series 2010-A1 Class A, 0.5503% 12/7/20 (NCUA Guaranteed) (d)

$ 8,171

$ 8,195

Series 2011-R4 Class 1A, 0.5803% 3/6/20 (NCUA Guaranteed) (d)

7,146

7,164

TOTAL OTHER GOVERNMENT RELATED

15,359

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,129,955)

2,150,799

U.S. Government Agency - Mortgage Securities - 15.4%

 

Fannie Mae - 4.2%

2.014% 2/1/33 (d)

212

220

2.039% 12/1/34 (d)

240

252

2.072% 7/1/35 (d)

113

119

2.083% 3/1/35 (d)

203

212

2.117% 10/1/33 (d)

130

137

2.138% 10/1/33 (d)

269

283

2.175% 3/1/35 (d)

35

37

2.332% 3/1/35 (d)

144

153

2.362% 2/1/36 (d)

481

505

2.411% 3/1/36 (d)

1,310

1,400

2.415% 11/1/33 (d)

804

854

2.526% 10/1/33 (d)

203

216

2.559% 6/1/36 (d)

214

230

2.605% 7/1/34 (d)

152

161

2.666% 7/1/35 (d)

395

419

2.726% 11/1/36 (d)

170

183

2.816% 5/1/36 (d)

284

306

3% 12/1/42 to 2/1/43

7,562

7,626

3% 6/1/43 (b)

41,700

41,992

3.478% 3/1/40 (d)

5,093

5,396

3.5% 8/1/42 to 4/1/43

92,552

95,463

4% 1/1/41 to 2/1/42

8,909

9,434

4.5% 3/1/41

4,378

4,758

5% 9/1/22 to 12/1/25

10,678

11,463

6.129% 3/1/37 (d)

251

268

6.5% 2/1/17 to 8/1/36

13,646

15,580

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Fannie Mae - continued

7% 7/1/13

$ 0*

$ 0*

9% 5/1/14

24

24

9.5% 10/1/20

37

42

11.25% 5/1/14

0*

0*

11.5% 6/15/19 to 1/15/21

26

28

 

197,761

Freddie Mac - 2.7%

1.945% 3/1/35 (d)

707

739

2.334% 5/1/37 (d)

485

516

2.492% 4/1/35 (d)

172

182

2.556% 2/1/36 (d)

52

56

2.673% 7/1/35 (d)

1,586

1,705

2.742% 6/1/35 (d)

761

818

3% 8/1/42 to 2/1/43

8,610

8,653

3.024% 3/1/33 (d)

40

43

3.057% 7/1/36 (d)

604

644

3.287% 10/1/35 (d)

297

319

3.5% 6/1/42 to 6/1/43

66,338

68,429

4% 3/1/42

2,004

2,154

4% 4/1/42

26,773

28,629

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

6,525

7,061

5.5% 7/1/29 to 7/1/35

5,203

5,650

6% 1/1/24

3,506

3,889

9.5% 6/1/18 to 8/1/21

61

67

9.75% 8/1/14

35

37

12% 3/1/15

0*

0*

12.5% 2/1/14 to 6/1/15

0*

0*

13% 6/1/14 to 10/1/14

0*

0 *

 

129,591

Ginnie Mae - 8.5%

4% 6/15/24 to 3/15/26

13,022

13,988

4.3% 8/20/61 (h)

5,237

5,759

4.5% 3/15/25 to 6/15/25

12,389

13,354

4.515% 3/20/62 (h)

20,116

22,492

4.53% 10/20/62 (h)

5,386

6,063

4.55% 5/20/62 (h)

39,802

44,597

4.556% 12/20/61 (h)

21,541

24,073

4.604% 3/20/62 (h)

11,628

13,043

4.626% 3/20/62 (h)

8,112

9,094

4.649% 2/20/62 (h)

3,415

3,832

4.65% 3/20/62 (h)

7,379

8,284

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Ginnie Mae - continued

4.682% 2/20/62 (h)

$ 4,534

$ 5,088

4.684% 1/20/62 (h)

26,333

29,522

4.804% 3/20/61 (h)

14,078

15,681

4.834% 3/20/61 (h)

24,799

27,655

5% 4/20/41

81

87

5% 6/20/41

39

42

5.47% 8/20/59 (h)

3,315

3,601

5.492% 4/20/60 (h)

24,029

27,281

5.612% 4/20/58 (h)

8,247

8,726

6% 6/15/36 to 12/20/38

51,890

57,526

6.5% 8/20/38 to 9/20/38

59,233

66,933

 

406,721

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $732,339)

734,073

Collateralized Mortgage Obligations - 10.9%

 

U.S. Government Agency - 10.9%

Fannie Mae:

floater:

Series 2001-38 Class QF, 1.1733% 8/25/31 (d)

212

216

Series 2002-49 Class FB, 0.7982% 11/18/31 (d)

220

222

Series 2002-60 Class FV, 1.1933% 4/25/32 (d)

94

96

Series 2002-75 Class FA, 1.1933% 11/25/32 (d)

193

197

Series 2010-15 Class FJ, 1.1233% 6/25/36 (d)

15,773

16,106

pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27

7,394

7,918

planned amortization class:

Series 1993-240 Class PD, 6.25% 12/25/13

107

107

Series 2003-113 Class PE, 4% 11/25/18

6,797

7,202

Series 2005-19 Class PA, 5.5% 7/25/34

5,556

6,094

Series 2005-27 Class NE, 5.5% 5/25/34

5,550

5,999

Series 2005-64 Class PX, 5.5% 6/25/35

5,349

5,931

Series 2006-45 Class OP, 6/25/36 (g)

2,415

2,174

Series 2010-118 Class PB, 4.5% 10/25/40

7,053

7,680

Series 2010-44 Class FM, 5% 5/25/40

7,526

8,485

Series 2011-126 Class KB, 4% 12/25/41

6,260

6,646

sequential payer:

Series 2003-117 Class MD, 5% 12/25/23

2,603

2,829

Series 2004-91 Class Z, 5% 12/25/34

10,086

11,284

Series 2005-117, Class JN, 4.5% 1/25/36

645

711

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s)

Value (000s)

U.S. Government Agency - continued

Fannie Mae: - continued

sequential payer:

Series 2005-14 Class ZB, 5% 3/25/35

$ 3,577

$ 3,973

Series 2005-47 Class HK, 4.5% 6/25/20

7,798

8,276

Series 2006-72 Class CY, 6% 8/25/26

10,215

11,481

Series 2009-14 Class EB, 4.5% 3/25/24

7,840

8,321

Series 2009-59 Class HB, 5% 8/25/39

4,590

5,055

Series 2010-97 Class CX, 4.5% 9/25/25

10,813

12,232

Series 2009-85 Class IB, 4.5% 8/25/24 (f)

1,514

133

Series 2009-93 Class IC, 4.5% 9/25/24 (f)

2,291

187

Series 2010-139 Class NI, 4.5% 2/25/40 (f)

9,085

1,358

Series 2010-39 Class FG, 1.1133% 3/25/36 (d)

9,543

9,751

Series 2010-97 Class CI, 4.5% 8/25/25 (f)

4,675

455

Series 2013-40 Class PV, 2% 1/25/26

7,763

7,903

Freddie Mac:

floater:

Series 2530 Class FE, 0.7992% 2/15/32 (d)

136

138

Series 2630 Class FL, 0.6992% 6/15/18 (d)

182

183

Series 2682 Class FB, 1.0992% 10/15/33 (d)

9,448

9,599

Series 2711 Class FC, 1.0992% 2/15/33 (d)

5,923

6,019

Series 3008 Class SM, 7/15/35 (d)

0*

0*

planned amortization class:

Series 1141 Class G, 9% 9/15/21

131

151

Series 2006-3245 Class ME, 5.5% 6/15/35

7,084

7,325

Series 2115 Class PE, 6% 1/15/14

25

25

Series 2356 Class GD, 6% 9/15/16

92

98

Series 2376 Class JE, 5.5% 11/15/16

605

638

Series 2381 Class OG, 5.5% 11/15/16

344

361

Series 2672 Class MG, 5% 9/15/23

7,120

8,069

Series 2682 Class LD, 4.5% 10/15/33

777

867

Series 2810 Class PD, 6% 6/15/33

217

224

Series 3415 Class PC, 5% 12/15/37

1,843

1,998

Series 3763 Class QA, 4% 4/15/34

4,649

4,916

planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34

5,040

5,429

sequential payer:

Series 2587 Class AD, 4.71% 3/15/33

5,785

6,496

Series 2773 Class HC, 4.5% 4/15/19

704

765

Series 2877 Class ZD, 5% 10/15/34

13,090

14,390

Series 3007 Class EW, 5.5% 7/15/25

8,875

10,223

Series 3277 Class B, 4% 2/15/22

5,900

6,360

Series 3578 Class B, 4.5% 9/15/24

7,927

8,519

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac: - continued

sequential payer:

Series 3871 Class KB, 5.5% 6/15/41

$ 13,870

$ 16,310

Series 4176 Class BA, 3% 2/15/33

4,077

4,274

Series 4181 Class LA, 3% 3/15/37

5,577

5,845

Series 4182 Class BA, 3% 6/15/37

22,733

23,846

Ginnie Mae guaranteed REMIC pass-thru certificates:

floater:

Series 2008-2 Class FD, 0.6782% 1/20/38 (d)

719

723

Series 2008-73 Class FA, 1.0582% 8/20/38 (d)

4,751

4,831

Series 2008-83 Class FB, 1.0982% 9/20/38 (d)

4,920

5,008

Series 2009-108 Class CF, 0.7997% 11/16/39 (d)

3,645

3,676

Series 2011-H21 Class FA, 0.8% 10/20/61 (d)(h)

9,433

9,480

Series 2012-H01 Class FA, 0.9% 11/20/61 (d)(h)

7,661

7,737

Series 2012-H03 Class FA, 0.9% 1/20/62 (d)(h)

4,604

4,650

Series 2012-H06 Class FA, 0.83% 1/20/62 (d)(h)

7,307

7,355

Series 2012-H07 Class FA, 0.83% 3/20/62 (d)(h)

4,259

4,288

floater sequential payer Series 2011-150 Class D, 3% 4/20/37

2,310

2,360

planned amortization class:

Series 2010-112 Class PM, 3.25% 9/20/33

1,856

1,890

Series 2010-99 Class PT, 3.5% 8/20/33

2,407

2,457

sequential payer Series 2011-69 Class GX, 4.5% 5/16/40

10,205

11,310

Series 2010-H13 Class JA, 5.46% 10/20/59 (h)

16,267

17,696

Series 2010-H15 Class TP, 5.15% 8/20/60 (h)

20,696

23,252

Series 2010-H17 Class XP, 5.3019% 7/20/60 (d)(h)

28,603

32,155

Series 2010-H18 Class PL, 5.01% 9/20/60 (d)(h)

20,810

23,270

Series 2011-71:

Class ZB, 5.5% 8/20/34

22,222

25,674

Class ZC, 5.5% 7/16/34

24,401

27,867

Series 2012-64 Class KB, 3.3139% 5/20/41 (d)

3,779

4,115

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $513,321)

521,884

Commercial Mortgage Securities - 4.4%

 

Freddie Mac:

floater Series K707 Class A2, 2.22% 12/25/18

20,970

21,537

pass thru-certificates floater Series KF01 Class A, 0.5537% 4/25/19 (d)

13,093

13,117

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Freddie Mac: - continued

pass-thru certificates sequential payer:

Series K011 Class A2, 4.084% 11/25/20

$ 3,740

$ 4,151

Series K014 Class A2, 3.871% 4/25/21

9,230

10,100

Series K015 Class A2, 3.23% 7/25/21

16,425

17,195

sequential payer:

Series K006 Class A2, 4.251% 1/25/20

24,840

27,820

Series K009 Class A2, 3.808% 8/25/20

32,528

35,530

Series K017 Class A2, 2.873% 12/25/21

28,660

29,190

Series K710 Class A2, 1.883% 5/25/19

16,382

16,540

Series K501 Class A2, 1.655% 11/25/16

9,650

9,848

Series K706 Class A2, 2.323% 10/25/18

23,810

24,558

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $210,016)

209,586

Foreign Government and Government Agency Obligations - 1.9%

 

Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23
(Cost $74,265)

70,567


88,996

Fixed-Income Funds - 23.0%

Shares

 

Fidelity Mortgage Backed Securities Central Fund (e)
(Cost $1,050,865)

10,180,589


1,095,940

Cash Equivalents - 3.2%

Maturity
Amount (000s)

 

Investments in repurchase agreements in a joint trading account at:

0.06%, dated 5/31/13 due 6/3/13 (Collateralized by U.S. Government Obligations) #(i)

$ 40,517

40,517

0.07%, dated 5/31/13 due 6/3/13 (Collateralized by U.S. Government Obligations) #(i)

112,964

112,963

TOTAL CASH EQUIVALENTS

(Cost $153,480)


153,480

Purchased Swaptions - 0.1%

Expiration
Date

Notional
Amount (000s)

Value (000s)

Put Options - 0.1%

Option on an interest rate swap with Deutsche Bank to pay a fixed rate of 2.7% and receive a floating rate based on 3-month LIBOR expiring June 2024

5/30/14

$ 45,890

$ 1,489

Call Options - 0.0%

Option on an interest rate swap with Deutsche Bank to receive a fixed rate of 2.7% and pay a floating rate based on 3-month LIBOR expiring June 2024

5/30/14

45,890

1,489

TOTAL PURCHASED SWAPTIONS

(Cost $2,978)


2,978

TOTAL INVESTMENT PORTFOLIO - 104.0%

(Cost $4,867,219)

4,957,736

NET OTHER ASSETS (LIABILITIES) - (4.0)%

(188,794 )

NET ASSETS - 100%

$ 4,768,942

TBA Sale Commitments

 

Principal
Amount (000s)

 

Fannie Mae

4% 6/1/43

(Proceeds $8,492)

$ (8,000)


(8,441 )

Futures Contracts

 

Expiration
Date

Underlying
Face Amount
at Value (000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Purchased

Treasury Contracts

537 CBOT 2 Year U.S. Treasury Note Contracts

Sept. 2013

$ 118,216

$ (152)

130 CBOT 30 Year U.S. Treasury Bond Contracts

Sept. 2013

18,204

53

TOTAL TREASURY CONTRACTS

$ 136,420

$ (99 )

The face value of futures purchased as a percentage of net assets is 2.9%

Swaps

Interest Rate Swaps

Clearinghouse/
Counterparty(1)

Expiration
Date

Notional
Amount
(000s)

Payment
Received

Payment
Paid

Value
(000s)

Upfront
Premium
Received/
(Paid)
(000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Deutsche Bank AG

Nov. 2017

$ 19,300

3-month LIBOR

0.83%

$ 185

$ 0

$ 185

JPMorgan Chase, Inc.

Nov. 2017

13,400

3-month LIBOR

0.76%

179

0

179

Deutsche Bank AG

Nov. 2022

19,600

3-month LIBOR

1.76%

781

0

781

JPMorgan Chase, Inc.

Nov. 2022

12,800

3-month LIBOR

1.62%

681

0

681

CME

Jul. 2023

67,129

3-month LIBOR

2.4%

(169)

0

(169)

CME

Jul. 2023

20,434

3-month LIBOR

2.4%

(51)

0

(51)

JPMorgan Chase, Inc.

Jun. 2042

4,100

3-month LIBOR

2.44%

591

0

591

Deutsche Bank AG

Nov. 2042

11,700

3-month LIBOR

2.65%

1,326

0

1,326

JPMorgan Chase, Inc.

Nov. 2042

5,900

3-month LIBOR

2.46%

902

0

902

JPMorgan Chase, Inc.

Dec. 2042

47,921

3-month LIBOR

2.58%

5,555

0

5,555

TOTAL INTEREST RATE SWAPS

$ 9,980

$ 0

$ 9,980

(1) Swaps with CME Group (CME) are centrally cleared over-the-counter (OTC) swaps.

Legend

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

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

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $496,000.

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

(e) Affiliated fund that is generally 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 website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(f) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(g) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(h) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

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

* Amount represents less than $1,000

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$40,517,000 due 6/03/13 at 0.06%

Barclays Capital, Inc.

$ 4,873

Commerz Markets LLC

19,114

Credit Agricole CIB New York Branch

12,921

Credit Suisse Securities (USA) LLC

3,609

 

$ 40,517

$112,963,000 due 6/03/13 at 0.07%

Commerz Markets LLC

$ 112,963

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Mortgage Backed Securities Central Fund

$ 18,075

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

Fund
(Amounts in thousands)

Value,
beginning of
period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity Mortgage Backed Securities Central Fund

$ 1,395,601

$ 18,075

$ 293,995

$ 1,095,940

7.8%

Other Information

The following is a summary of the inputs used, as of May 31, 2013, 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 table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government and Government Agency Obligations

$ 2,150,799

$ -

$ 2,150,799

$ -

U.S. Government Agency - Mortgage Securities

734,073

-

734,073

-

Collateralized Mortgage Obligations

521,884

-

521,884

-

Commercial Mortgage Securities

209,586

-

209,586

-

Foreign Government and Government Agency Obligations

88,996

-

88,996

-

Fixed-Income Funds

1,095,940

1,095,940

-

-

Cash Equivalents

153,480

-

153,480

-

Purchased Swaptions

2,978

-

2,978

-

Total Investments in Securities:

$ 4,957,736

$ 1,095,940

$ 3,861,796

$ -

Other Derivative Instruments:

Assets

Futures Contracts

$ 53

$ 53

$ -

$ -

Swaps

10,200

-

10,200

-

Total Assets

$ 10,253

$ 53

$ 10,200

$ -

Liabilities

Futures Contracts

$ (152)

$ (152)

$ -

$ -

Swaps

(220 )

-

(220 )

-

Total Liabilities

$ (372 )

$ (152 )

$ (220 )

$ -

Total Other Derivative Instruments:

$ 9,881

$ (99 )

$ 9,980

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (8,441 )

$ -

$ (8,441 )

$ -

Income Tax Information

At May 31, 2013, the cost of investment securities for income tax purposes was $4,866,876,000. Net unrealized appreciation aggregated $90,860,000, of which $119,966,000 related to appreciated investment securities and $29,106,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment 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 Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For foreign government and government agency obligations and U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

For collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors 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 broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Intermediate Government
Income Fund

May 31, 2013 

1.800340.109

SLM-QTLY-0713

Investments May 31, 2013 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 63.3%

 

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 3.2%

Fannie Mae:

0.5% 7/2/15

$ 17,993

$ 18,040

0.5% 3/30/16

4,812

4,804

Federal Home Loan Bank:

0.375% 11/27/13

1,505

1,507

0.875% 12/27/13

465

467

1% 6/21/17

3,190

3,202

Private Export Funding Corp. secured 4.974% 8/15/13

3,435

3,468

Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24

319

356

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

31,844

U.S. Treasury Obligations - 56.3%

U.S. Treasury Bonds:

3.125% 2/15/43

4,577

4,445

8.75% 5/15/17

14,750

19,344

U.S. Treasury Notes:

0.125% 4/30/15

8,868

8,840

0.25% 7/15/15

3,394

3,388

0.25% 10/15/15

57,874

57,702

0.25% 12/15/15

25,629

25,525

0.25% 4/15/16

1,354

1,345

0.25% 5/15/16

29,000

28,789

0.375% 3/15/15

11,049

11,067

0.375% 1/15/16

15,000

14,980

0.5% 7/31/17

8,199

8,086

0.625% 4/30/18

8,429

8,271

0.75% 6/30/17

16,678

16,636

0.875% 1/31/18

15,546

15,482

0.875% 7/31/19

24,596

23,925

1% 5/31/18

18,036

18,005

1.125% 4/30/20

20,885

20,347

1.375% 11/30/15

941

964

1.375% 5/31/20

40,114

39,675

1.75% 7/31/15

3,168

3,264

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

1.75% 5/15/23

$ 16,070

$ 15,510

1.875% 6/30/15

35,554

36,693

1.875% 10/31/17

1,923

2,005

2% 2/15/23

18,771

18,610

2.125% 5/31/15

352

365

2.375% 7/31/17

12,000

12,765

2.375% 6/30/18

6,062

6,462

2.5% 3/31/15

7,000

7,282

2.5% 6/30/17

1,800

1,924

2.625% 2/29/16

12,000

12,709

3% 9/30/16

6,641

7,164

3% 2/28/17

26,424

28,654

3.125% 10/31/16

3,971

4,306

3.125% 1/31/17

27,081

29,468

3.5% 2/15/18

14,104

15,762

4.5% 5/15/17 (b)

1,369

1,568

4.625% 2/15/17

14,625

16,715

4.75% 8/15/17

12,139

14,113

TOTAL U.S. TREASURY OBLIGATIONS

562,155

Other Government Related - 3.8%

National Credit Union Administration Guaranteed Notes:

Series 2010-A1 Class A, 0.5503% 12/7/20 (NCUA Guaranteed) (c)

1,926

1,931

Series 2011-R1 Class 1A, 0.6527% 1/8/20 (NCUA Guaranteed) (c)

3,242

3,260

Series 2011-R4 Class 1A, 0.5803% 3/6/20 (NCUA Guaranteed) (c)

1,547

1,550

National Credit Union Administration Guaranteed Notes Master Trust:

1.4% 6/12/15 (NCUA Guaranteed)

1,690

1,724

2.35% 6/12/17 (NCUA Guaranteed)

14,740

15,619

3.45% 6/12/21 (NCUA Guaranteed)

12,000

13,280

TOTAL OTHER GOVERNMENT RELATED

37,364

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $619,977)

631,363

U.S. Government Agency - Mortgage Securities - 16.3%

 

Principal Amount (000s)

Value (000s)

Fannie Mae - 4.3%

2.014% 2/1/33 (c)

$ 23

$ 24

2.039% 12/1/34 (c)

24

25

2.072% 7/1/35 (c)

13

14

2.083% 3/1/35 (c)

25

26

2.117% 10/1/33 (c)

15

16

2.175% 3/1/35 (c)

4

4

2.332% 3/1/35 (c)

17

18

2.351% 7/1/36 (c)

107

113

2.362% 2/1/36 (c)

45

48

2.415% 11/1/33 (c)

85

90

2.441% 10/1/35 (c)

19

20

2.526% 10/1/33 (c)

25

27

2.554% 1/1/35 (c)

139

148

2.559% 6/1/36 (c)

20

22

2.596% 3/1/33 (c)

67

72

2.605% 7/1/34 (c)

18

19

2.627% 6/1/47 (c)

82

88

2.647% 2/1/37 (c)

260

280

2.666% 7/1/35 (c)

30

32

2.726% 11/1/36 (c)

171

184

2.764% 4/1/36 (c)

182

194

2.781% 9/1/36 (c)

64

69

2.816% 5/1/36 (c)

28

30

3% 6/1/43 (a)

200

201

3% 6/1/43 (a)

200

201

3% 6/1/43 (a)

200

201

3% 6/1/43 (a)

200

201

3% 6/1/43 (a)

500

504

3% 6/1/43 (a)

8,700

8,761

3.216% 8/1/35 (c)

398

426

3.478% 3/1/40 (c)

1,180

1,250

3.5% 8/1/42 to 12/1/42

16,213

16,723

5% 1/1/22 to 9/1/22

2,279

2,447

5.5% 10/1/20 to 11/1/34

5,569

6,054

6% 6/1/16 to 3/1/34

913

1,009

6.129% 3/1/37 (c)

23

25

6.5% 6/1/16 to 8/1/36

3,158

3,584

7% 7/1/13 to 9/1/14

2

2

10.25% 10/1/18

2

2

11% 1/1/16

4

4

11.25% 5/1/14 to 1/1/16

7

8

11.5% 10/1/14 to 6/15/19

5

5

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

12.5% 12/1/13 to 7/1/16

$ 19

$ 20

13% 10/1/14

8

9

 

43,200

Freddie Mac - 3.3%

1.945% 3/1/35 (c)

69

72

2.111% 2/1/37 (c)

27

29

2.167% 6/1/33 (c)

151

159

2.19% 7/1/35 (c)

659

695

2.22% 8/1/37 (c)

50

53

2.229% 3/1/37 (c)

21

22

2.334% 5/1/37 (c)

47

50

2.355% 4/1/34 (c)

650

691

2.375% 5/1/37 (c)

35

37

2.478% 6/1/37 (c)

17

18

2.526% 10/1/35 (c)

140

149

2.528% 11/1/35 (c)

121

127

2.556% 2/1/36 (c)

7

7

2.565% 10/1/36 (c)

183

196

2.574% 6/1/37 (c)

132

142

2.641% 7/1/35 (c)

147

154

2.653% 5/1/37 (c)

512

547

2.668% 5/1/37 (c)

289

310

2.673% 7/1/35 (c)

160

172

2.699% 4/1/37 (c)

54

57

2.72% 4/1/37 (c)

4

4

3.024% 3/1/33 (c)

4

5

3.057% 7/1/36 (c)

59

63

3.287% 10/1/35 (c)

29

31

3.5% 6/1/42 to 6/1/43

13,870

14,308

4% 3/1/42

360

387

4% 4/1/42

4,810

5,143

5.5% 11/1/18 to 7/1/35

7,320

7,878

6% 1/1/24

744

825

6.5% 12/1/21

202

225

9% 7/1/16

2

2

9.5% 7/1/16 to 8/1/21

63

69

10% 4/1/15 to 3/1/21

99

108

10.5% 1/1/21

1

2

11% 9/1/20

3

3

11.25% 6/1/14

9

9

11.5% 11/1/15

6

6

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

12% 3/1/15 to 11/1/19

$ 2

$ 2

12.5% 3/1/14 to 6/1/19

38

41

13% 12/1/13 to 5/1/17

3

3

14% 4/1/16

0*

0 *

 

32,801

Ginnie Mae - 8.7%

4% 6/15/24 to 3/15/26

3,153

3,386

4.3% 8/20/61 (e)

1,094

1,203

4.5% 3/15/25 to 6/15/25

2,613

2,817

4.515% 3/20/62 (e)

4,242

4,743

4.53% 10/20/62 (e)

1,129

1,270

4.55% 5/20/62 (e)

8,598

9,634

4.556% 12/20/61 (e)

4,538

5,071

4.604% 3/20/62 (e)

2,488

2,791

4.616% 1/20/62 (e)

1,403

1,557

4.626% 3/20/62 (e)

1,766

1,980

4.649% 2/20/62 (e)

719

807

4.65% 3/20/62 (e)

1,634

1,835

4.682% 2/20/62 (e)

948

1,064

4.684% 1/20/62 (e)

5,668

6,355

4.764% 2/20/61 (e)

1,444

1,605

4.804% 3/20/61 (e)

3,042

3,389

4.834% 3/20/61 (e)

5,357

5,974

5.47% 8/20/59 (e)

699

760

5.612% 4/20/58 (e)

1,788

1,892

6% 6/15/36 to 12/20/38

10,771

11,941

6.5% 8/20/38 to 9/20/38

14,405

16,277

8% 12/15/23

153

177

8.5% 6/15/16 to 2/15/17

2

2

10.5% 9/15/15 to 10/15/21

196

218

11% 5/20/16 to 1/20/21

21

23

13.25% 8/15/14

1

1

13.5% 12/15/14

1

1

 

86,773

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $162,394)

162,774

Collateralized Mortgage Obligations - 15.4%

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - 15.4%

Fannie Mae:

floater:

Series 1994-42 Class FK, 1.23% 4/25/24 (c)

$ 1,111

$ 1,123

Series 2001-38 Class QF, 1.1733% 8/25/31 (c)

198

202

Series 2002-60 Class FV, 1.1933% 4/25/32 (c)

47

48

Series 2002-74 Class FV, 0.6433% 11/25/32 (c)

2,033

2,044

Series 2002-75 Class FA, 1.1933% 11/25/32 (c)

96

98

Series 2008-76 Class EF, 0.6933% 9/25/23 (c)

632

634

Series 2010-15 Class FJ, 1.1233% 6/25/36 (c)

3,413

3,485

pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27

1,534

1,643

planned amortization class:

Series 1988-21 Class G, 9.5% 8/25/18

24

26

Series 2002-16 Class PG, 6% 4/25/17

221

235

Series 2002-9 Class PC, 6% 3/25/17

16

17

Series 2003-28 Class KG, 5.5% 4/25/23

581

646

Series 2004-80 Class LD, 4% 1/25/19

282

287

Series 2005-19 Class PA, 5.5% 7/25/34

1,197

1,313

Series 2005-27 Class NE, 5.5% 5/25/34

1,170

1,265

Series 2005-52 Class PB, 6.5% 12/25/34

139

146

Series 2005-64 Class PX, 5.5% 6/25/35

1,154

1,279

Series 2010-44 Class FM, 5% 5/25/40

1,560

1,759

sequential payer:

Series 2002-56 Class MC, 5.5% 9/25/17

61

65

Series 2002-57 Class BD, 5.5% 9/25/17

58

62

Series 2003-117 Class MD, 5% 12/25/23

548

595

Series 2004-72 Class CB, 4% 9/25/19

4,724

4,928

Series 2004-91 Class Z, 5% 12/25/34

2,231

2,496

Series 2005-47 Class HK, 4.5% 6/25/20

1,790

1,900

Series 2009-14 Class EB, 4.5% 3/25/24

1,800

1,910

Series 2009-59 Class HB, 5% 8/25/39

960

1,057

Series 2010-97 Class CX, 4.5% 9/25/25

2,500

2,828

Series 2010-139 Class NI, 4.5% 2/25/40 (d)

2,096

313

Series 2010-39 Class FG, 1.1133% 3/25/36 (c)

2,056

2,101

Series 2011-67 Class AI, 4% 7/25/26 (d)

639

68

Series 2013-40 Class PV, 2% 1/25/26

1,632

1,662

Freddie Mac:

floater:

Series 2526 Class FC, 0.5992% 11/15/32 (c)

356

357

Series 2630 Class FL, 0.6992% 6/15/18 (c)

19

19

Series 2711 Class FC, 1.0992% 2/15/33 (c)

1,279

1,299

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac: - continued

floater planned amortization class Series 2770 Class FH, 0.5992% 3/15/34 (c)

$ 974

$ 978

planned amortization class:

Series 2006-3245 Class ME, 5.5% 6/15/35

1,491

1,542

Series 2356 Class GD, 6% 9/15/16

66

70

Series 2376 Class JE, 5.5% 11/15/16

59

62

Series 2381 Class OG, 5.5% 11/15/16

34

35

Series 2425 Class JH, 6% 3/15/17

78

84

Series 2672 Class MG, 5% 9/15/23

1,630

1,847

Series 2695 Class DG, 4% 10/15/18

1,220

1,277

Series 2802 Class OB, 6% 5/15/34

1,355

1,527

Series 2810 Class PD, 6% 6/15/33

239

246

Series 3415 Class PC, 5% 12/15/37

518

562

Series 3763 Class QA, 4% 4/15/34

969

1,025

planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34

1,060

1,142

sequential payer:

Series 1929 Class EZ, 7.5% 2/17/27

992

1,143

Series 2145 Class MZ, 6.5% 4/15/29

1,414

1,599

Series 2357 Class ZB, 6.5% 9/15/31

708

805

Series 2582 Class CG, 4% 11/15/17

691

696

Series 2877 Class ZD, 5% 10/15/34

2,885

3,171

Series 2998 Class LY, 5.5% 7/15/25

295

336

Series 3007 Class EW, 5.5% 7/15/25

1,125

1,296

Series 3013 Class VJ, 5% 1/15/14

234

236

Series 3277 Class B, 4% 2/15/22

1,200

1,293

Series 3578 Class B, 4.5% 9/15/24

1,820

1,956

Series 3659 Class EJ 3% 6/15/18

1,173

1,204

Series 4176 Class BA, 3% 2/15/33

1,125

1,180

Series 2715 Class NG, 4.5% 12/15/18

850

905

Series 4181 Class LA, 3% 3/15/37

1,538

1,612

Series 4182 Class BA, 3% 6/15/37

6,252

6,558

Ginnie Mae guaranteed REMIC pass-thru certificates:

floater:

Series 2007-59 Class FC, 0.6982% 7/20/37 (c)

591

594

Series 2008-2 Class FD, 0.6782% 1/20/38 (c)

152

152

Series 2009-108 Class CF, 0.7997% 11/16/39 (c)

755

762

Series 2009-116 Class KF, 0.7297% 12/16/39 (c)

663

667

Series 2010-9 Class FA, 0.7197% 1/16/40 (c)

984

990

Series 2010-H17 Class FA, 0.53% 7/20/60 (c)(e)

3,582

3,549

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru certificates: - continued

floater: - continued

Series 2010-H18 Class AF, 0.5% 9/20/60 (c)(e)

$ 3,641

$ 3,608

Series 2010-H19 Class FG, 0.5% 8/20/60 (c)(e)

4,875

4,831

Series 2010-H27 Series FA, 0.58% 12/20/60 (c)(e)

1,112

1,106

Series 2011-H05 Class FA, 0.7% 12/20/60 (c)(e)

2,357

2,358

Series 2011-H07 Class FA, 0.7% 2/20/61 (c)(e)

3,981

3,983

Series 2011-H12 Class FA, 0.69% 2/20/61 (c)(e)

4,831

4,831

Series 2011-H13 Class FA, 0.7% 4/20/61 (c)(e)

1,969

1,970

Series 2011-H14:

Class FB, 0.7% 5/20/61 (c)(e)

2,168

2,169

Class FC, 0.7% 5/20/61 (c)(e)

2,146

2,147

Series 2011-H17 Class FA, 0.73% 6/20/61 (c)(e)

2,710

2,714

Series 2011-H21 Class FA, 0.8% 10/20/61 (c)(e)

2,708

2,721

Series 2012-H01 Class FA, 0.9% 11/20/61 (c)(e)

2,199

2,221

Series 2012-H03 Class FA, 0.9% 1/20/62 (c)(e)

1,326

1,339

Series 2012-H06 Class FA, 0.83% 1/20/62 (c)(e)

2,094

2,108

Series 2012-H07 Class FA, 0.83% 3/20/62 (c)(e)

1,226

1,235

floater sequential payer Series 2011-150 Class D, 3% 4/20/37

500

511

planned amortization class:

Series 2010-112 Class PM, 3.25% 9/20/33

392

399

Series 2010-99 Class PT, 3.5% 8/20/33

507

518

Series 2011-136 Class WI, 4.5% 5/20/40 (d)

1,137

206

Series 2011-68 Class EC, 3.5% 4/20/41

2,132

2,273

Series 1999-18 Class Z, 6.25% 5/16/29

2,290

2,628

Series 2010-H13 Class JA, 5.46% 10/20/59 (e)

9,828

10,691

Series 2010-H15 Class TP, 5.15% 8/20/60 (e)

4,475

5,028

Series 2010-H17 Class XP, 5.3019% 7/20/60 (c)(e)

6,054

6,806

Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(e)

4,381

4,898

Series 2012-64 Class KB, 3.3139% 5/20/41 (c)

811

884

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $151,637)

153,194

Commercial Mortgage Securities - 4.5%

 

Freddie Mac:

floater Series K707 Class A2, 2.22% 12/25/18

4,510

4,632

pass thru-certificates floater Series KF01 Class A, 0.5537% 4/25/19 (c)

3,622

3,629

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac: - continued

pass-thru certificates sequential payer:

Series K011 Class A2, 4.084% 11/25/20

$ 780

$ 866

Series K014 Class A2, 3.871% 4/25/21

1,920

2,101

Series K015 Class A2, 3.23% 7/25/21

3,410

3,570

sequential payer:

Series K006 Class A2, 4.251% 1/25/20

5,360

6,003

Series K009 Class A2, 3.808% 8/25/20

6,820

7,449

Series K017 Class A2, 2.873% 12/25/21

6,140

6,254

Series K710 Class A2, 1.883% 5/25/19

3,433

3,466

Series K501 Class A2, 1.655% 11/25/16

2,080

2,123

Series K706 Class A2, 2.323% 10/25/18

5,140

5,301

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $45,467)

45,394

Foreign Government and Government Agency Obligations - 1.8%

 

Israeli State (guaranteed by U.S. Government through Agency for International Development):

5.5% 9/18/23

3,897

4,915

5.5% 12/4/23

10,700

13,545

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $16,705)

18,460

Cash Equivalents - 0.2%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.06%, dated 5/31/13 due 6/3/13 (Collateralized by U.S. Government Obligations) #
(Cost $1,650)

$ 1,650


1,650

Purchased Swaptions - 0.1%

Expiration
Date

Notional Amount (000s)

 

Put Options - 0.1%

Option on an interest rate swap with Deutsche Bank to pay a fixed rate of 2.7% and receive a floating rate based on 3-month LIBOR expiring June 2024

5/30/14

$ 9,603

312

Purchased Swaptions - continued

Expiration
Date

Notional Amount (000s)

Value (000s)

Call Options - 0.0%

Option on an interest rate swap with Deutsche Bank to receive a fixed rate of 2.7% and pay a floating rate based on 3-month LIBOR expiring June 2024

5/30/14

$ 9,603

$ 312

TOTAL PURCHASED SWAPTIONS

(Cost $624)


624

TOTAL INVESTMENT PORTFOLIO - 101.6%

(Cost $998,454)

1,013,459

NET OTHER ASSETS (LIABILITIES) - (1.6)%

(15,626 )

NET ASSETS - 100%

$ 997,833

Futures Contracts

Expiration
Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Treasury Contracts

220 CBOT 2 Year U.S. Treasury Note Contracts

Sept. 2013

$ 48,431

$ (62 )

 

The face value of futures purchased as a percentage of net assets is 4.9%

Swaps

Interest Rate Swaps

Clearinghouse/
Counterparty(1)

Expiration Date

Notional Amount (000s)

Payment Received

Payment Paid

Value
(000s)

Upfront Premium Received/
(Paid)
(000s)

Unrealized Appreciation/(Depreciation)
(000s)

CME

Jul. 2023

$ 12,809

3-month LIBOR

2.4%

$ (32)

$ -

$ (32)

CME

Jul. 2023

5,615

3-month LIBOR

2.4%

(14)

-

(14)

JPMorgan Chase, Inc.

Jun. 2042

900

3-month LIBOR

2.44%

130

-

130

Swaps - continued

Interest Rate Swaps - continued

Clearinghouse/
Counterparty(1)

Expiration Date

Notional Amount (000s)

Payment Received

Payment Paid

Value
(000s)

Upfront Premium Received/
(Paid)
(000s)

Unrealized Appreciation/(Depreciation)
(000s)

JPMorgan Chase, Inc.

Dec. 2042

$ 10,137

3-month LIBOR

2.58%

$ 1,175

$ -

$ 1,175

TOTAL INTEREST RATE SWAPS

$ 1,259

$ -

$ 1,259

 

(1) Swaps with CME Group (CME) are centrally cleared over-the-counter (OTC) swaps.

Legend

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

(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $92,000.

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

(d) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(e) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

* Amount represents less than $1,000

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$1,650,000 due 6/03/13 at 0.06%

Barclays Capital, Inc.

$ 198

Commerz Markets LLC

779

Credit Agricole CIB New York Branch

526

Credit Suisse Securities (USA) LLC

147

 

$ 1,650

Other Information

The following is a summary of the inputs used, as of May 31, 2013, 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 table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government and Government Agency Obligations

$ 631,363

$ -

$ 631,363

$ -

U.S. Government Agency - Mortgage Securities

162,774

-

162,774

-

Collateralized Mortgage Obligations

153,194

-

153,194

-

Commercial Mortgage Securities

45,394

-

45,394

-

Foreign Government and Government Agency Obligations

18,460

-

18,460

-

Cash Equivalents

1,650

-

1,650

-

Purchased Swaptions

624

-

624

-

Total Investments in Securities:

$ 1,013,459

$ -

$ 1,013,459

$ -

Other Derivative Instruments:

Assets

Swaps

$ 1,305

$ -

$ 1,305

$ -

Liabilities

Futures Contracts

$ (62)

$ (62)

$ -

$ -

Swaps

(46 )

-

(46 )

-

Total Liabilities

$ (108 )

$ (62 )

$ (46 )

$ -

Total Other Derivative Instruments:

$ 1,197

$ (62 )

$ 1,259

$ -

Income Tax Information

At May 31, 2013, the cost of investment securities for income tax purposes was $998,381,000. Net unrealized appreciation aggregated $15,078,000, of which $20,000,000 related to appreciated investment securities and $4,922,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment 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 Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For foreign government and government agency obligations and U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

For collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors 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 broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using broker-supplied valuations and are categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity Advisor ® Total Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

May 31, 2013 

1.815814.108

ATB-QTLY-0713

Investments May 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 28.2%

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - 2.9%

Auto Components - 0.2%

American Axle & Manufacturing, Inc. 6.25% 3/15/21

$ 3,295,000

$ 3,435,038

Dana Holding Corp. 6.5% 2/15/19

2,080,000

2,204,800

Delphi Corp. 5% 2/15/23

11,710,000

12,427,238

JB Poindexter & Co., Inc. 9% 4/1/22 (g)

1,900,000

2,014,000

PT Gadjah Tunggal Tbk 7.75% 2/6/18 (g)

600,000

616,500

Tenneco, Inc. 6.875% 12/15/20

1,505,000

1,640,450

TRW Automotive, Inc. 4.5% 3/1/21 (g)

3,610,000

3,691,225

 

26,029,251

Automobiles - 0.0%

Chrysler Group LLC/CG Co-Issuer, Inc.:

8% 6/15/19

1,580,000

1,749,850

8.25% 6/15/21

2,400,000

2,700,000

 

4,449,850

Distributors - 0.0%

LKQ Corp. 4.75% 5/15/23 (g)

160,000

159,600

Hotels, Restaurants & Leisure - 0.3%

Ameristar Casinos, Inc. 7.5% 4/15/21

4,270,000

4,697,000

FelCor Lodging LP:

5.625% 3/1/23

135,000

137,363

6.75% 6/1/19

475,000

507,063

GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17

1,635,000

1,814,850

MCE Finance Ltd. 5% 2/15/21 (g)

1,915,000

1,922,181

MGM Mirage, Inc.:

7.5% 6/1/16

4,130,000

4,625,600

7.625% 1/15/17

2,355,000

2,699,419

8.625% 2/1/19

1,960,000

2,317,700

11.375% 3/1/18

1,845,000

2,389,275

NCL Corp. Ltd. 5% 2/15/18 (g)

3,950,000

4,029,000

NPC International, Inc./NPC Operating Co. A, Inc./NPC Operating Co. B, Inc. 10.5% 1/15/20

2,950,000

3,440,438

Royal Caribbean Cruises Ltd.:

5.25% 11/15/22

2,835,000

2,960,591

7.25% 3/15/18

465,000

532,425

7.5% 10/15/27

1,885,000

2,130,050

yankee 7.25% 6/15/16

3,985,000

4,513,013

Seminole Hard Rock Entertainment, Inc. 5.875% 5/15/21 (g)

705,000

697,950

Times Square Hotel Trust 8.528% 8/1/26 (g)

823,987

1,085,560

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.:

4.25% 5/30/23 (g)

$ 1,155,000

$ 1,120,350

5.375% 3/15/22

1,535,000

1,615,588

7.75% 8/15/20

780,000

877,500

 

44,112,916

Household Durables - 0.3%

Arcelik A/S 5% 4/3/23 (g)

680,000

685,100

D.R. Horton, Inc.:

3.625% 2/15/18

1,685,000

1,714,488

4.375% 9/15/22

865,000

869,325

4.75% 2/15/23

560,000

571,200

Lennar Corp.:

4.125% 12/1/18 (g)

1,685,000

1,710,275

4.75% 11/15/22 (g)

1,875,000

1,875,000

6.95% 6/1/18

4,640,000

5,336,000

12.25% 6/1/17

1,135,000

1,498,200

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

5.75% 10/15/20

4,170,000

4,253,400

7.875% 8/15/19

1,760,000

1,927,200

8.5% 5/15/18 (e)

1,915,000

2,010,750

9.875% 8/15/19

2,460,000

2,681,400

Standard Pacific Corp.:

8.375% 5/15/18

7,615,000

8,976,181

8.375% 1/15/21

1,880,000

2,265,400

10.75% 9/15/16

2,370,000

2,926,950

Toll Brothers Finance Corp. 4.375% 4/15/23

1,950,000

1,962,188

 

41,263,057

Internet & Catalog Retail - 0.0%

Netflix, Inc. 5.375% 2/1/21 (g)

1,130,000

1,146,950

Zayo Group LLC/Zayo Capital, Inc. 8.125% 1/1/20

1,890,000

2,093,175

 

3,240,125

Leisure Equipment & Products - 0.0%

Cedar Fair LP/Magnum Management Corp. 5.25% 3/15/21 (g)

1,055,000

1,047,088

Media - 2.0%

AMC Networks, Inc. 4.75% 12/15/22

1,135,000

1,130,801

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

500,000

677,844

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Cablevision Systems Corp.:

7.75% 4/15/18

$ 1,275,000

$ 1,440,750

8.625% 9/15/17

3,505,000

4,100,850

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

925,000

911,125

5.25% 3/15/21 (g)

820,000

832,300

5.75% 9/1/23 (g)

1,535,000

1,548,431

5.75% 1/15/24

1,725,000

1,742,250

6.5% 4/30/21

6,485,000

6,971,375

7% 1/15/19

8,610,000

9,191,175

Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (g)

1,585,000

1,656,325

Cequel Communications Holdings I LLC/Cequel Capital Corp. 5.125% 12/15/21 (g)

2,020,000

1,974,550

Cinemark USA, Inc. 4.875% 6/1/23 (g)

775,000

772,094

Clear Channel Worldwide Holdings, Inc.:

6.5% 11/15/22 (g)

1,275,000

1,338,750

6.5% 11/15/22 (g)

1,525,000

1,608,875

Cogeco Cable, Inc. 4.875% 5/1/20 (g)

335,000

334,163

Comcast Corp.:

4.65% 7/15/42

16,692,000

17,103,558

4.95% 6/15/16

2,344,000

2,615,055

5.15% 3/1/20

435,000

512,533

5.7% 5/15/18

14,629,000

17,424,763

6.4% 3/1/40

432,000

550,349

6.45% 3/15/37

2,196,000

2,769,428

COX Communications, Inc.:

3.25% 12/15/22 (g)

4,795,000

4,721,095

4.625% 6/1/13

4,467,000

4,467,000

DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19

5,944,000

7,000,588

Discovery Communications LLC:

3.25% 4/1/23

1,789,000

1,772,428

3.7% 6/1/15

7,129,000

7,519,562

4.875% 4/1/43

4,194,000

4,192,301

6.35% 6/1/40

6,392,000

7,633,678

DISH DBS Corp. 5% 5/15/17 (g)

2,775,000

2,781,938

Harron Communications LP/Harron Finance Corp. 9.125% 4/1/20 (g)

1,100,000

1,223,750

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - continued

Media - continued

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (g)

$ 2,910,000

$ 3,011,850

MDC Partners, Inc. 6.75% 4/1/20 (g)

565,000

577,713

NBCUniversal Media LLC:

3.65% 4/30/15

3,514,000

3,712,056

5.15% 4/30/20

11,614,000

13,730,721

6.4% 4/30/40

18,278,000

23,102,240

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

2,460,000

3,351,974

News America, Inc.:

6.15% 3/1/37

4,759,000

5,494,542

6.15% 2/15/41

11,572,000

13,541,068

Nielsen Finance LLC/Nielsen Finance Co.:

4.5% 10/1/20 (g)

1,100,000

1,102,750

7.75% 10/15/18

2,770,000

3,040,075

Quebecor Media, Inc.:

5.75% 1/15/23

2,505,000

2,567,625

7.75% 3/15/16

2,392,000

2,427,880

7.75% 3/15/16

1,345,000

1,365,175

Regal Entertainment Group 5.75% 6/15/23 (i)

1,385,000

1,391,925

Starz LLC/Starz Finance Corp. 5% 9/15/19

1,540,000

1,563,100

Time Warner Cable, Inc.:

4.5% 9/15/42

10,589,000

9,469,700

6.2% 7/1/13

2,898,000

2,909,415

6.75% 7/1/18

13,763,000

16,687,844

Time Warner, Inc.:

3.15% 7/15/15

3,115,000

3,262,293

5.875% 11/15/16

368,000

424,407

6.2% 3/15/40

11,792,000

13,641,540

6.5% 11/15/36

9,243,000

10,976,645

TV Azteca SA de CV 7.5% 5/25/18 (Reg. S)

1,450,000

1,573,250

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

5.5% 1/15/23 (g)

785,000

798,188

7.5% 3/15/19 (g)

660,000

716,100

UPCB Finance V Ltd. 7.25% 11/15/21 (g)

995,000

1,092,013

Viacom, Inc. 4.375% 3/15/43 (g)

2,063,000

1,868,090

WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (g)

2,140,000

2,268,400

 

264,188,263

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - continued

Multiline Retail - 0.0%

The Bon-Ton Department Stores, Inc. 8% 6/15/21 (g)

$ 440,000

$ 451,000

Specialty Retail - 0.1%

Claire's Stores, Inc.:

7.75% 6/1/20 (g)

295,000

299,425

9% 3/15/19 (g)

1,825,000

2,057,688

CST Brands, Inc. 5% 5/1/23 (g)

195,000

195,975

J. Crew Group, Inc. 8.125% 3/1/19

2,384,000

2,538,960

Jaguar Land Rover PLC 5.625% 2/1/23 (g)

1,220,000

1,241,350

 

6,333,398

Textiles, Apparel & Luxury Goods - 0.0%

Hanesbrands, Inc. 6.375% 12/15/20

2,500,000

2,756,250

TOTAL CONSUMER DISCRETIONARY

394,030,798

CONSUMER STAPLES - 1.3%

Beverages - 0.3%

Beam, Inc. 1.875% 5/15/17

2,703,000

2,725,297

Constellation Brands, Inc.:

3.75% 5/1/21

215,000

208,550

4.25% 5/1/23

320,000

314,016

FBG Finance Ltd. 5.125% 6/15/15 (g)

3,662,000

3,954,147

Fortune Brands, Inc.:

5.375% 1/15/16

321,000

352,911

6.375% 6/15/14

3,374,000

3,566,355

Heineken NV:

1.4% 10/1/17 (g)

7,323,000

7,235,395

2.75% 4/1/23 (g)

7,651,000

7,374,501

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

10,217,000

10,754,006

 

36,485,178

Food & Staples Retailing - 0.2%

ESAL GmbH 6.25% 2/5/23 (g)

3,500,000

3,473,750

Hawk Acquisition Sub, Inc. 4.25% 10/15/20 (g)

2,340,000

2,319,525

Rite Aid Corp.:

9.25% 3/15/20

11,390,000

12,870,700

9.5% 6/15/17

4,960,000

5,133,600

Walgreen Co. 1.8% 9/15/17

5,971,000

6,008,283

 

29,805,858

Food Products - 0.4%

Agrokor d.d. 8.875% 2/1/20 (g)

635,000

699,878

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

CONSUMER STAPLES - continued

Food Products - continued

ConAgra Foods, Inc.:

1.9% 1/25/18

$ 4,611,000

$ 4,637,956

3.2% 1/25/23

5,362,000

5,291,281

4.65% 1/25/43

5,972,000

5,861,375

Gruma S.A.B. de CV 7.75% (Reg. S) (h)

1,385,000

1,398,850

JBS USA LLC/JBS USA Finance, Inc. 8.25% 2/1/20 (g)

1,510,000

1,657,225

Kazagro National Management Holding JSC 4.625% 5/24/23 (g)

360,000

345,168

Kraft Foods, Inc.:

5.375% 2/10/20

10,631,000

12,343,463

6.125% 2/1/18

10,623,000

12,515,806

6.5% 8/11/17

10,238,000

12,146,507

6.5% 2/9/40

2,564,000

3,248,950

6.75% 2/19/14

540,000

562,339

Post Holdings, Inc. 7.375% 2/15/22

1,445,000

1,609,369

 

62,318,167

Personal Products - 0.0%

First Quality Finance Co., Inc. 4.625% 5/15/21 (g)

785,000

763,413

Tobacco - 0.4%

Altria Group, Inc.:

2.85% 8/9/22

9,573,000

9,130,708

4.25% 8/9/42

9,573,000

8,467,003

9.7% 11/10/18

7,983,000

10,909,887

Reynolds American, Inc.:

3.25% 11/1/22

7,368,000

7,168,791

4.75% 11/1/42

11,385,000

10,703,380

6.75% 6/15/17

3,719,000

4,404,389

7.25% 6/15/37

5,056,000

6,301,000

 

57,085,158

TOTAL CONSUMER STAPLES

186,457,774

ENERGY - 4.1%

Energy Equipment & Services - 0.7%

Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (g)

1,260,000

1,323,000

DCP Midstream LLC:

4.75% 9/30/21 (g)

11,333,000

11,977,372

5.35% 3/15/20 (g)

8,816,000

9,602,705

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

ENERGY - continued

Energy Equipment & Services - continued

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

$ 10,806,000

$ 11,560,237

5% 10/1/21

7,366,000

8,196,782

6.5% 4/1/20

738,000

886,613

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

1,582,000

1,661,100

Exterran Holdings, Inc. 7.25% 12/1/18

3,485,000

3,720,238

Exterran Partners LP/EXLP Finance Corp. 6% 4/1/21 (g)

2,045,000

2,065,450

FMC Technologies, Inc.:

2% 10/1/17

1,803,000

1,805,358

3.45% 10/1/22

3,267,000

3,248,590

Forbes Energy Services Ltd. 9% 6/15/19

1,590,000

1,558,200

Hornbeck Offshore Services, Inc.:

5% 3/1/21 (g)

1,165,000

1,159,175

5.875% 4/1/20

585,000

609,863

Offshore Group Investment Ltd.:

7.125% 4/1/23 (g)

890,000

921,150

7.5% 11/1/19

2,185,000

2,348,875

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

3,180,000

3,426,450

Pacific Drilling SA 5.375% 6/1/20 (g)(i)

2,245,000

2,222,550

Petroleum Geo-Services ASA 7.375% 12/15/18 (g)

2,245,000

2,491,950

Petroliam Nasional Bhd (Petronas) 7.625% 10/15/26 (Reg. S)

670,000

930,295

Precision Drilling Corp.:

6.5% 12/15/21

170,000

182,325

6.625% 11/15/20

1,890,000

2,008,125

SESI LLC 7.125% 12/15/21

2,980,000

3,345,050

Transocean, Inc. 5.05% 12/15/16

7,572,000

8,390,571

Weatherford International Ltd. 4.95% 10/15/13

2,173,000

2,204,598

 

87,846,622

Oil, Gas & Consumable Fuels - 3.4%

Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23

985,000

976,381

Afren PLC 11.5% 2/1/16 (g)

720,000

840,600

Alpha Natural Resources, Inc.:

6% 6/1/19

1,320,000

1,194,600

6.25% 6/1/21

130,000

116,025

Anadarko Petroleum Corp.:

5.95% 9/15/16

485,000

552,947

6.375% 9/15/17

19,790,000

23,350,577

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Antero Resources Finance Corp.:

6% 12/1/20

$ 2,950,000

$ 3,068,000

7.25% 8/1/19

1,080,000

1,144,800

9.375% 12/1/17

2,915,000

3,126,338

Apache Corp. 4.75% 4/15/43

9,180,000

9,183,828

Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp. 4.75% 11/15/21 (g)

465,000

446,400

Chesapeake Energy Corp.:

5.375% 6/15/21

1,220,000

1,241,350

5.75% 3/15/23

790,000

821,600

6.125% 2/15/21

6,045,000

6,589,050

6.875% 11/15/20

1,195,000

1,344,375

Chesapeake Midstream Partners LP/CHKM Finance Corp.:

5.875% 4/15/21

676,000

716,560

6.125% 7/15/22

1,240,000

1,326,800

ConocoPhillips:

4.6% 1/15/15

10,000,000

10,631,320

5.75% 2/1/19

2,930,000

3,521,998

CONSOL Energy, Inc. 8% 4/1/17

505,000

540,350

Continental Resources, Inc. 4.5% 4/15/23 (g)

1,675,000

1,683,375

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

800,000

854,000

DCP Midstream Operating LP:

2.5% 12/1/17

5,924,000

5,994,993

3.875% 3/15/23

3,639,000

3,575,994

Denbury Resources, Inc. 4.625% 7/15/23

1,675,000

1,620,563

DTEK Finance BV 9.5% 4/28/15 (g)

117,000

122,616

Duke Energy Field Services:

5.375% 10/15/15 (g)

1,524,000

1,645,896

6.45% 11/3/36 (g)

13,741,000

15,297,649

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

1,166,000

1,342,476

Enbridge Energy Partners LP 4.2% 9/15/21

13,331,000

14,053,887

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

3,602,000

3,767,004

Energy Partners Ltd. 8.25% 2/15/18

295,000

317,125

Enterprise Products Operating LP 5.6% 10/15/14

483,000

514,154

EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 9/1/22

1,245,000

1,375,725

Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20

3,830,000

4,337,475

Forest Oil Corp. 7.5% 9/15/20 (g)

2,050,000

2,060,250

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Georgian Oil & Gas Corp. 6.875% 5/16/17 (g)

$ 550,000

$ 589,875

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

221,000

256,788

Indo Energy Finance II BV 6.375% 1/24/23 (g)

610,000

585,600

Kazmuaigaz National Co.:

4.4% 4/30/23 (g)

565,000

543,756

5.75% 4/30/43 (g)

1,165,000

1,116,420

KazMunaiGaz Finance Sub BV:

6.375% 4/9/21 (g)

850,000

956,250

7% 5/5/20 (g)

1,385,000

1,615,326

9.125% 7/2/18 (g)

1,605,000

1,998,225

LINN Energy LLC/LINN Energy Finance Corp.:

6.25% 11/1/19 (g)

1,165,000

1,173,738

6.5% 5/15/19

3,790,000

3,846,850

8.625% 4/15/20

2,685,000

2,940,075

Marathon Petroleum Corp. 5.125% 3/1/21

10,178,000

11,690,888

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

10,834,000

11,219,961

Motiva Enterprises LLC:

5.75% 1/15/20 (g)

4,187,000

4,927,329

6.85% 1/15/40 (g)

5,937,000

7,855,874

Naftogaz of Ukraine NJSC 9.5% 9/30/14

1,930,000

1,983,075

Nakilat, Inc. 6.067% 12/31/33 (g)

1,975,000

2,386,175

Nexen, Inc. 5.2% 3/10/15

1,133,000

1,218,302

Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 (g)

1,480,000

1,557,700

Pacific Rubiales Energy Corp. 7.25% 12/12/21 (g)

1,351,000

1,530,007

Pan American Energy LLC 7.875% 5/7/21 (g)

1,480,000

1,420,800

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

850,000

943,500

Pemex Project Funding Master Trust:

5.75% 3/1/18

515,000

589,675

6.625% 6/15/35

870,000

1,002,675

Petro-Canada 6.05% 5/15/18

3,850,000

4,568,968

Petrobras Global Finance BV:

2.4141% 1/15/19 (j)

570,000

574,275

4.375% 5/20/23

12,540,000

12,147,498

5.625% 5/20/43

11,835,000

11,055,074

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

10,192,000

10,636,310

5.375% 1/27/21

20,589,000

21,769,450

5.75% 1/20/20

6,930,000

7,536,867

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petrobras International Finance Co. Ltd.: - continued

6.875% 1/20/40

$ 570,000

$ 612,921

7.875% 3/15/19

10,517,000

12,698,731

8.375% 12/10/18

775,000

959,993

Petroleos de Venezuela SA:

4.9% 10/28/14

3,070,000

2,947,200

5.375% 4/12/27

585,000

380,250

5.5% 4/12/37

260,000

163,150

8% 11/17/13

2,000,000

2,017,000

8.5% 11/2/17 (g)

7,305,000

6,903,225

9% 11/17/21 (Reg. S)

765,000

680,850

9.75% 5/17/35 (g)

985,000

866,800

12.75% 2/17/22 (g)

2,605,000

2,748,275

Petroleos Mexicanos:

3.5% 1/30/23 (g)

10,045,000

9,542,750

4.875% 1/24/22

12,142,000

12,991,940

5.5% 1/21/21

12,069,000

13,499,177

5.5% 6/27/44

20,197,000

19,742,568

6% 3/5/20

1,008,000

1,159,200

6.5% 6/2/41

19,855,000

22,237,600

6.625% (g)(h)

3,045,000

3,227,700

8% 5/3/19

420,000

529,200

Phillips 66:

4.3% 4/1/22

12,618,000

13,625,648

5.875% 5/1/42

10,804,000

12,595,714

Plains All American Pipeline LP/PAA Finance Corp.:

3.65% 6/1/22

5,217,000

5,390,439

3.95% 9/15/15

5,869,000

6,275,199

6.125% 1/15/17

6,185,000

7,177,730

PT Adaro Indonesia 7.625% 10/22/19 (g)

945,000

1,006,425

PT Pertamina Persero:

4.875% 5/3/22 (g)

845,000

845,000

5.25% 5/23/21 (g)

815,000

839,450

6% 5/3/42 (g)

845,000

798,525

6.5% 5/27/41 (g)

1,000,000

1,020,000

Rosetta Resources, Inc. 5.625% 5/1/21

665,000

666,663

Samson Investment Co. 9.75% 2/15/20 (g)

2,605,000

2,689,663

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

367,000

381,238

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

308,000

356,006

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Spectra Energy Partners, LP:

2.95% 6/15/16

$ 4,717,000

$ 4,889,001

4.6% 6/15/21

2,694,000

2,834,077

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

4.25% 11/15/23 (g)

1,155,000

1,094,363

5.25% 5/1/23 (g)

1,180,000

1,209,500

6.375% 8/1/22

560,000

607,600

6.875% 2/1/21

685,000

743,225

7.875% 10/15/18

2,205,000

2,386,913

Tesoro Corp. 4.25% 10/1/17

195,000

202,800

Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (g)

160,000

166,400

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

4,317,000

4,462,483

Western Gas Partners LP 5.375% 6/1/21

14,766,000

16,658,484

Western Refining, Inc. 6.25% 4/1/21 (g)

1,065,000

1,102,275

Williams Partners LP 4.125% 11/15/20

2,399,000

2,551,303

Zhaikmunai International BV 7.125% 11/13/19 (g)

1,145,000

1,225,150

 

469,244,191

TOTAL ENERGY

557,090,813

FINANCIALS - 11.1%

Capital Markets - 1.2%

BlackRock, Inc. 4.25% 5/24/21

5,000,000

5,548,165

Goldman Sachs Group, Inc.:

5.25% 7/27/21

17,105,000

19,079,926

5.625% 1/15/17

3,200,000

3,557,427

5.75% 1/24/22

9,087,000

10,416,001

5.95% 1/18/18

4,975,000

5,740,861

6.75% 10/1/37

9,643,000

10,538,825

Lazard Group LLC:

6.85% 6/15/17

4,817,000

5,521,925

7.125% 5/15/15

1,717,000

1,880,723

Merrill Lynch & Co., Inc. 6.11% 1/29/37

9,086,000

9,767,087

Morgan Stanley:

2.125% 4/25/18

12,586,000

12,433,974

3.75% 2/25/23

20,136,000

20,003,767

4.875% 11/1/22

14,724,000

15,141,897

5.625% 9/23/19

12,714,000

14,414,866

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley: - continued

5.75% 1/25/21

$ 13,447,000

$ 15,341,965

6.625% 4/1/18

16,118,000

18,985,231

 

168,372,640

Commercial Banks - 1.8%

Access Finance BV 7.25% 7/25/17 (g)

970,000

1,006,375

Banco de Bogota SA 5.375% 2/19/23 (g)

390,000

396,825

Bank of America NA 5.3% 3/15/17

3,467,000

3,848,058

BBVA Paraguay SA 9.75% 2/11/16 (g)

995,000

1,079,575

CBOM Finance PLC 8.25% 8/5/14

600,000

624,900

CIT Group, Inc.:

4.25% 8/15/17

1,705,000

1,756,150

5% 8/15/22

1,510,000

1,608,150

5.25% 3/15/18

1,485,000

1,596,375

5.375% 5/15/20

1,425,000

1,535,438

5.5% 2/15/19 (g)

2,705,000

2,928,163

Credit Suisse 6% 2/15/18

18,058,000

20,850,778

Development Bank of Kazakhstan JSC 4.125% 12/10/22 (g)

820,000

780,066

Development Bank of Philippines 8.375% (h)(j)

1,655,000

1,828,775

Discover Bank:

7% 4/15/20

2,030,000

2,461,166

8.7% 11/18/19

2,958,000

3,889,950

Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S)

420,000

434,700

Fifth Third Bancorp:

4.5% 6/1/18

798,000

875,640

8.25% 3/1/38

4,667,000

6,456,589

Fifth Third Capital Trust IV 6.5% 4/15/37 (j)

6,912,000

6,929,280

Finansbank A/S 5.15% 11/1/17 (g)

1,895,000

1,930,531

Georgia Bank Joint Stock Co. 7.75% 7/5/17 (g)

1,400,000

1,501,500

HBOS PLC 6.75% 5/21/18 (g)

6,067,000

6,814,400

HSBK (Europe) BV 7.25% 5/3/17 (g)

935,000

1,011,436

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

2,851,000

3,515,223

JPMorgan Chase Bank 6% 10/1/17

11,313,000

13,214,240

JSC Kazkommertsbank BV 8% 11/3/15 (g)

640,000

641,600

JSC Oschadbank 8.25% 3/10/16 (Issued by SSB #1 PLC for JSC Oschadbank)

450,000

443,813

Kazkommerts International BV 7.875% 4/7/14 (Reg. S)

720,000

730,440

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Commercial Banks - continued

KeyBank NA:

5.45% 3/3/16

$ 3,939,000

$ 4,377,237

5.8% 7/1/14

9,490,000

10,001,407

6.95% 2/1/28

1,977,000

2,434,430

Magyar Export-Import Bank 5.5% 2/12/18 (g)

600,000

610,500

Marshall & Ilsley Bank:

4.85% 6/16/15

4,520,000

4,794,201

5% 1/17/17

14,669,000

15,856,309

Regions Bank:

6.45% 6/26/37

21,887,000

24,130,921

7.5% 5/15/18

17,027,000

20,661,907

Regions Financial Corp.:

2% 5/15/18

10,058,000

9,858,419

5.75% 6/15/15

2,005,000

2,170,413

7.75% 11/10/14

6,404,000

6,965,503

Royal Bank of Scotland Group PLC 6.125% 12/15/22

24,107,000

24,867,721

RSHB Capital SA 6% 6/3/21 (g)(j)

355,000

361,213

Synovus Financial Corp.:

5.125% 6/15/17

365,000

366,825

7.875% 2/15/19

745,000

862,338

The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e)

735,000

646,800

UnionBanCal Corp. 5.25% 12/16/13

826,000

844,369

Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications)

2,225,000

2,469,750

Vnesheconombank Via VEB Finance PLC 6.025% 7/5/22 (g)

480,000

522,000

Wachovia Bank NA 6% 11/15/17

2,243,000

2,641,734

Wachovia Corp.:

5.625% 10/15/16

4,239,000

4,820,595

5.75% 6/15/17

2,933,000

3,391,296

Wells Fargo & Co.:

3.625% 4/15/15

5,893,000

6,207,303

3.676% 6/15/16

4,301,000

4,620,844

 

245,174,171

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Consumer Finance - 1.0%

Discover Financial Services:

3.85% 11/21/22

$ 10,130,000

$ 10,217,169

5.2% 4/27/22

12,545,000

13,828,692

6.45% 6/12/17

10,366,000

12,022,362

Ford Motor Credit Co. LLC:

1.7% 5/9/16

19,473,000

19,429,205

5% 5/15/18

2,390,000

2,652,422

General Electric Capital Corp.:

1% 12/11/15

10,247,000

10,291,820

2.25% 11/9/15

314,000

324,279

4.625% 1/7/21

5,706,000

6,310,191

5.625% 9/15/17

5,858,000

6,779,534

5.625% 5/1/18

25,000,000

29,293,100

HSBC USA, Inc. 1.625% 1/16/18

11,125,000

11,044,933

Hyundai Capital America:

1.625% 10/2/15 (g)

4,565,000

4,597,375

2.125% 10/2/17 (g)

5,048,000

4,989,580

 

131,780,662

Diversified Financial Services - 2.3%

Aquarius Investments Luxemburg 8.25% 2/18/16

1,225,000

1,310,750

Bank of America Corp.:

3.3% 1/11/23

31,760,000

30,813,139

3.875% 3/22/17

3,134,000

3,351,569

5.65% 5/1/18

8,780,000

10,063,136

5.75% 12/1/17

21,955,000

25,159,815

6.5% 8/1/16

9,000,000

10,291,977

Biz Finance PLC 8.375% 4/27/15 (Reg. S)

1,675,000

1,672,906

BP Capital Markets PLC 4.742% 3/11/21

8,800,000

9,925,511

CIT Group, Inc. 6.625% 4/1/18 (g)

1,215,000

1,366,875

Citigroup, Inc.:

3.375% 3/1/23

5,193,000

5,118,065

3.953% 6/15/16

11,847,000

12,715,326

4.05% 7/30/22

5,303,000

5,310,451

4.75% 5/19/15

25,881,000

27,680,558

6.125% 5/15/18

3,779,000

4,458,993

6.5% 8/19/13

13,174,000

13,335,013

General Motors Financial Co., Inc.:

2.75% 5/15/16 (g)

780,000

778,830

3.25% 5/15/18 (g)

420,000

416,325

4.25% 5/15/23 (g)

370,000

360,750

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Diversified Financial Services - continued

General Motors Financial Co., Inc.: - continued

4.75% 8/15/17 (g)

$ 1,775,000

$ 1,872,625

6.75% 6/1/18

1,500,000

1,710,000

GTB Finance BV 7.5% 5/19/16 (g)

1,095,000

1,160,700

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

7.75% 1/15/16

1,220,000

1,262,700

8% 1/15/18

4,065,000

4,308,900

ILFC E-Capital Trust II 6.25% 12/21/65 (g)(j)

1,250,000

1,175,000

Indo Energy Finance BV 7% 5/7/18 (g)

1,300,000

1,352,000

JPMorgan Chase & Co.:

1.625% 5/15/18

12,580,000

12,354,239

2% 8/15/17

11,000,000

11,124,905

3.25% 9/23/22

14,050,000

13,771,641

4.35% 8/15/21

13,339,000

14,365,703

4.5% 1/24/22

22,046,000

23,931,109

4.95% 3/25/20

17,148,000

19,336,994

Magnesita Finance Ltd. 8.625% (g)(h)

650,000

703,625

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

8,295,000

9,000,075

RBS Citizens Financial Group, Inc. 4.15% 9/28/22 (g)

13,462,000

13,626,506

TECO Finance, Inc.:

4% 3/15/16

2,562,000

2,746,520

5.15% 3/15/20

3,761,000

4,282,861

TMK Capital SA 7.75% 1/27/18

1,650,000

1,720,125

TransUnion Holding Co., Inc. 8.125% 6/15/18 pay-in-kind (g)

3,190,000

3,389,375

Unicredit Luxembourg SA 5.1875% 10/13/15 (g)

700,000

729,750

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

3,305,000

3,524,122

Vnesheconombank Via VEB Finance PLC:

6.8% 11/22/25 (g)

605,000

685,949

6.902% 7/9/20 (g)

715,000

822,250

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

2,219,831

2,239,193

Zhaikmunai Finance BV 10.5% 10/19/15 (g)

1,335,000

1,428,450

 

316,755,306

Insurance - 1.7%

Allstate Corp. 6.2% 5/16/14

6,893,000

7,260,404

American International Group, Inc. 4.875% 9/15/16

7,990,000

8,852,177

Aon Corp.:

3.125% 5/27/16

11,274,000

11,886,934

3.5% 9/30/15

4,451,000

4,695,556

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Insurance - continued

Aon Corp.: - continued

5% 9/30/20

$ 3,854,000

$ 4,397,510

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

558,000

595,405

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

1,859,000

1,970,540

Hartford Financial Services Group, Inc.:

5.125% 4/15/22

12,729,000

14,531,197

5.375% 3/15/17

194,000

218,473

Liberty Mutual Group, Inc.:

5% 6/1/21 (g)

12,644,000

13,780,076

6.5% 3/15/35 (g)

1,741,000

2,002,176

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

7,090,000

8,003,802

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

7,139,000

8,040,749

MetLife, Inc.:

1.756% 12/15/17 (e)

6,082,000

6,129,215

3.048% 12/15/22

12,433,000

12,206,782

4.75% 2/8/21

4,032,000

4,577,139

5% 6/15/15

1,163,000

1,260,216

6.75% 6/1/16

7,610,000

8,863,702

Metropolitan Life Global Funding I 3% 1/10/23 (g)

7,896,000

7,791,323

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

6,155,000

7,559,140

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

7,041,000

10,125,155

Pacific LifeCorp:

5.125% 1/30/43 (g)

12,679,000

12,521,806

6% 2/10/20 (g)

12,654,000

14,329,162

Prudential Financial, Inc.:

4.5% 11/16/21

6,390,000

7,009,939

5.8% 11/16/41

8,381,000

9,649,448

6.2% 11/15/40

4,318,000

5,267,209

7.375% 6/15/19

3,230,000

4,118,870

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

6,375,000

7,000,859

Unum Group:

5.625% 9/15/20

8,386,000

9,555,797

5.75% 8/15/42

16,937,000

18,606,209

7.125% 9/30/16

587,000

681,097

 

233,488,067

Real Estate Investment Trusts - 1.2%

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

4,025,000

4,307,008

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

American Campus Communities Operating Partnership LP 3.75% 4/15/23

$ 3,491,000

$ 3,464,936

Boston Properties, Inc. 3.85% 2/1/23

14,583,000

15,118,123

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

1,751,000

1,968,241

Camden Property Trust:

2.95% 12/15/22

4,796,000

4,598,496

5.375% 12/15/13

4,073,000

4,171,501

DDR Corp. 4.625% 7/15/22

8,808,000

9,424,983

Developers Diversified Realty Corp.:

4.75% 4/15/18

11,273,000

12,471,534

7.5% 4/1/17

5,574,000

6,624,448

7.875% 9/1/20

323,000

411,675

9.625% 3/15/16

3,691,000

4,464,445

Duke Realty LP:

3.625% 4/15/23

6,287,000

6,150,641

3.875% 10/15/22

10,326,000

10,344,845

4.375% 6/15/22

7,323,000

7,623,331

5.4% 8/15/14

6,199,000

6,514,789

5.95% 2/15/17

1,109,000

1,254,989

6.5% 1/15/18

3,795,000

4,466,973

6.75% 3/15/20

10,379,000

12,438,816

8.25% 8/15/19

75,000

96,622

Equity One, Inc.:

3.75% 11/15/22

18,100,000

17,899,579

5.375% 10/15/15

1,403,000

1,523,596

6% 9/15/17

1,212,000

1,382,079

6.25% 1/15/17

1,027,000

1,166,083

Federal Realty Investment Trust:

5.4% 12/1/13

441,000

451,163

5.9% 4/1/20

2,504,000

2,975,891

6.2% 1/15/17

620,000

714,527

Health Care REIT, Inc. 2.25% 3/15/18

5,151,000

5,193,187

Highwoods/Forsyth LP 5.85% 3/15/17

615,000

685,604

HRPT Properties Trust:

5.75% 11/1/15

2,386,000

2,534,230

6.25% 6/15/17

1,232,000

1,340,603

6.65% 1/15/18

867,000

961,298

MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21

1,760,000

1,944,800

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Omega Healthcare Investors, Inc.:

5.875% 3/15/24

$ 290,000

$ 311,750

6.75% 10/15/22

1,690,000

1,842,100

Senior Housing Properties Trust 6.75% 4/15/20

250,000

283,606

UDR, Inc. 5.5% 4/1/14

5,222,000

5,411,224

Washington (REIT) 5.25% 1/15/14

322,000

329,063

Weingarten Realty Investors 3.375% 10/15/22

2,729,000

2,644,363

 

165,511,142

Real Estate Management & Development - 1.9%

AMB Property LP 5.9% 8/15/13

2,580,000

2,605,134

BioMed Realty LP:

3.85% 4/15/16

11,000,000

11,657,877

4.25% 7/15/22

5,809,000

6,039,164

6.125% 4/15/20

3,429,000

3,982,482

Brandywine Operating Partnership LP:

3.95% 2/15/23

12,775,000

12,671,178

4.95% 4/15/18

8,951,000

9,820,509

5.7% 5/1/17

7,049,000

7,864,259

7.5% 5/15/15

1,584,000

1,768,883

CB Richard Ellis Services, Inc.:

5% 3/15/23

1,120,000

1,117,200

6.625% 10/15/20

1,175,000

1,269,000

Colonial Realty LP 6.05% 9/1/16

2,000,000

2,242,766

Digital Realty Trust LP:

4.5% 7/15/15

4,981,000

5,265,859

5.25% 3/15/21

5,708,000

6,353,523

ERP Operating LP:

4.625% 12/15/21

17,159,000

18,910,865

4.75% 7/15/20

7,700,000

8,598,498

5.25% 9/15/14

1,310,000

1,384,914

5.375% 8/1/16

2,768,000

3,120,253

5.75% 6/15/17

14,407,000

16,658,180

Forest City Enterprises, Inc. 6.5% 2/1/17

450,000

447,750

Host Hotels & Resorts LP:

4.75% 3/1/23

150,000

158,686

5.875% 6/15/19

150,000

165,000

6% 11/1/20

105,000

117,075

Liberty Property LP:

3.375% 6/15/23

6,574,000

6,390,388

4.125% 6/15/22

6,280,000

6,521,133

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Real Estate Management & Development - continued

Liberty Property LP: - continued

4.75% 10/1/20

$ 11,282,000

$ 12,395,127

5.125% 3/2/15

1,405,000

1,493,665

5.5% 12/15/16

1,891,000

2,120,906

6.625% 10/1/17

4,835,000

5,664,821

Mack-Cali Realty LP:

2.5% 12/15/17

9,223,000

9,287,804

3.15% 5/15/23

14,735,000

13,806,503

4.5% 4/18/22

4,072,000

4,278,882

7.75% 8/15/19

700,000

885,826

Post Apartment Homes LP 3.375% 12/1/22

2,570,000

2,544,038

Prime Property Funding, Inc.:

5.125% 6/1/15 (g)

2,806,000

2,946,515

5.5% 1/15/14 (g)

867,000

884,523

5.7% 4/15/17 (g)

2,115,000

2,308,093

Reckson Operating Partnership LP 6% 3/31/16

3,651,000

4,007,747

Regency Centers LP:

4.95% 4/15/14

611,000

631,447

5.25% 8/1/15

6,456,000

6,997,077

5.875% 6/15/17

2,874,000

3,267,304

Simon Property Group LP:

2.75% 2/1/23

8,237,000

7,956,851

2.8% 1/30/17

2,603,000

2,717,675

4.125% 12/1/21

7,287,000

7,958,993

4.2% 2/1/15

3,659,000

3,838,130

Tanger Properties LP:

6.125% 6/1/20

14,318,000

17,279,478

6.15% 11/15/15

1,777,000

2,000,015

Ventas Realty LP/Ventas Capital Corp.:

2% 2/15/18

8,050,000

8,032,580

4.25% 3/1/22

300,000

317,959

 

258,752,535

Thrifts & Mortgage Finance - 0.0%

Wrightwood Capital LLC 1.9% 4/20/20 (c)

101,370

77,548

TOTAL FINANCIALS

1,519,912,071

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

HEALTH CARE - 1.7%

Biotechnology - 0.1%

Amgen, Inc. 5.15% 11/15/41

$ 12,000,000

$ 12,763,104

Celgene Corp. 2.45% 10/15/15

613,000

633,337

 

13,396,441

Health Care Equipment & Supplies - 0.0%

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19

435,000

475,238

DJO Finance LLC/DJO Finance Corp.:

7.75% 4/15/18

925,000

957,375

8.75% 3/15/18

85,000

94,775

9.875% 4/15/18

1,180,000

1,298,000

 

2,825,388

Health Care Providers & Services - 1.1%

Aetna, Inc.:

1.5% 11/15/17

1,703,000

1,691,512

2.75% 11/15/22

6,873,000

6,589,406

4.125% 11/15/42

3,837,000

3,587,380

Coventry Health Care, Inc.:

5.95% 3/15/17

1,747,000

2,003,138

6.3% 8/15/14

3,618,000

3,848,007

DaVita, Inc. 5.75% 8/15/22

1,625,000

1,730,625

Emergency Medical Services Corp. 8.125% 6/1/19

4,610,000

5,024,900

Express Scripts Holding Co. 4.75% 11/15/21

22,009,000

24,634,740

Express Scripts, Inc. 3.125% 5/15/16

10,525,000

11,109,695

Fresenius Medical Care US Finance II, Inc. 5.625% 7/31/19 (g)

2,655,000

2,913,863

HealthSouth Corp.:

5.75% 11/1/24

1,040,000

1,076,400

7.25% 10/1/18

2,970,000

3,229,875

Legend Acquisition Sub, Inc. 10.75% 8/15/20 (g)

1,070,000

909,500

Medco Health Solutions, Inc.:

2.75% 9/15/15

1,176,000

1,220,492

4.125% 9/15/20

7,486,000

8,037,239

Sabra Health Care LP/Sabra Capital Corp.:

5.375% 6/1/23

450,000

457,335

8.125% 11/1/18

2,580,000

2,805,750

UnitedHealth Group, Inc.:

1.625% 3/15/19

3,733,000

3,677,431

2.75% 2/15/23

2,398,000

2,320,099

2.875% 3/15/23

16,114,000

15,715,050

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

UnitedHealth Group, Inc.: - continued

3.95% 10/15/42

$ 3,284,000

$ 3,017,727

4.25% 3/15/43

9,000,000

8,665,020

WellPoint, Inc.:

3.3% 1/15/23

14,208,000

14,124,826

4.65% 1/15/43

15,226,000

15,158,488

 

143,548,498

Pharmaceuticals - 0.5%

AbbVie, Inc.:

1.75% 11/6/17 (g)

13,509,000

13,475,795

2.9% 11/6/22 (g)

13,855,000

13,495,906

4.4% 11/6/42 (g)

13,532,000

13,253,647

Elan Finance PLC/Elan Finance Corp. 6.25% 6/15/21 (g)

1,830,000

1,839,150

Valeant Pharmaceuticals International:

6.5% 7/15/16 (g)

3,820,000

3,953,700

6.875% 12/1/18 (g)

3,440,000

3,672,200

VPI Escrow Corp. 6.375% 10/15/20 (g)

3,525,000

3,710,063

Watson Pharmaceuticals, Inc.:

1.875% 10/1/17

4,757,000

4,728,929

5% 8/15/14

720,000

753,271

Zoetis, Inc.:

1.875% 2/1/18 (g)

2,006,000

2,010,170

3.25% 2/1/23 (g)

4,892,000

4,847,395

4.7% 2/1/43 (g)

4,907,000

4,901,239

 

70,641,465

TOTAL HEALTH CARE

230,411,792

INDUSTRIALS - 1.2%

Aerospace & Defense - 0.3%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (g)

572,000

594,212

6.375% 6/1/19 (g)

8,071,000

9,545,289

DigitalGlobe, Inc. 5.25% 2/1/21 (g)

2,990,000

2,990,000

GenCorp, Inc. 7.125% 3/15/21 (g)

420,000

449,400

Huntington Ingalls Industries, Inc. 7.125% 3/15/21

460,000

504,850

TransDigm, Inc. 5.5% 10/15/20 (g)

2,800,000

2,898,000

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

Triumph Group, Inc. 4.875% 4/1/21 (g)

$ 1,040,000

$ 1,060,800

United Technologies Corp. 4.5% 6/1/42

13,132,000

13,593,616

 

31,636,167

Airlines - 0.2%

Air Canada:

5.375% 11/15/22 (g)

250,000

258,750

6.625% 5/15/18 (g)

1,465,000

1,501,332

12% 2/1/16 (g)

1,785,000

1,950,113

American Airlines, Inc. pass-thru certificates Series 2013-1B Class B, 5.625% 1/15/21 (g)

235,000

240,875

Continental Airlines, Inc.:

pass-thru trust certificates 9.798% 4/1/21

309,077

356,983

6.125% 4/29/18 (g)

240,000

252,000

6.648% 3/15/19

2,208,330

2,398,908

6.75% 9/15/15 (g)

2,655,000

2,775,803

6.9% 7/2/19

788,147

859,080

9.25% 5/10/17

2,043,527

2,298,968

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

6.375% 1/2/16

1,515,000

1,583,175

6.75% 11/23/15

1,515,000

1,598,325

8.954% 8/10/14

1,618,660

1,700,564

Hawaiian Airlines pass-thru certificates:

Series 2013-1 Class A, 3.9% 1/15/26

445,000

439,438

Series 2013-1 Class B, 4.95% 1/15/22

450,000

446,625

Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17

573,502

615,081

U.S. Airways pass-thru Trust Series 2013-1:

Class A, 3.95% 5/15/27

815,000

815,000

Class B, 5.375% 5/15/23

335,000

344,213

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

1,617,150

1,698,008

8.36% 1/20/19

1,334,540

1,501,358

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

Class B, 7.336% 7/2/19

749,105

799,670

12% 1/15/16 (g)

504,496

567,558

United Continental Holdings, Inc. 6.375% 6/1/18

140,000

143,150

US Airways 2012-2C Pass Through Trust equipment trust certificate 5.45% 6/3/18 (i)

1,690,000

1,690,000

US Airways Group, Inc. 6.125% 6/1/18

1,480,000

1,441,150

 

28,276,127

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

INDUSTRIALS - continued

Building Products - 0.1%

Building Materials Corp. of America:

6.75% 5/1/21 (g)

$ 2,030,000

$ 2,197,475

6.875% 8/15/18 (g)

3,715,000

3,965,763

HD Supply, Inc.:

7.5% 7/15/20 (g)

2,100,000

2,226,000

8.125% 4/15/19

1,890,000

2,097,900

10.5% 1/15/21

440,000

457,600

Masco Corp. 5.95% 3/15/22

740,000

824,996

USG Corp. 7.875% 3/30/20 (g)

675,000

758,953

 

12,528,687

Commercial Services & Supplies - 0.1%

ADS Waste Holdings, Inc. 8.25% 10/1/20 (g)

2,080,000

2,225,600

APX Group, Inc.:

6.375% 12/1/19 (g)

2,090,000

2,090,000

8.75% 12/1/20 (g)

3,045,000

3,113,513

ARAMARK Corp. 5.75% 3/15/20 (g)

800,000

828,000

Clean Harbors, Inc.:

5.125% 6/1/21

430,000

442,900

5.25% 8/1/20

1,305,000

1,360,463

Covanta Holding Corp. 7.25% 12/1/20

3,730,000

4,075,100

LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (g)

200,000

207,750

Tervita Corp.:

8% 11/15/18 (g)

610,000

631,350

9.75% 11/1/19 (g)

1,395,000

1,342,688

 

16,317,364

Construction & Engineering - 0.1%

Amsted Industries, Inc. 8.125% 3/15/18 (g)

1,850,000

1,974,875

MasTec, Inc. 4.875% 3/15/23

1,255,000

1,233,038

Odebrecht Finance Ltd. 7.5% (g)(h)

2,780,000

2,938,460

 

6,146,373

Electrical Equipment - 0.0%

Instituto Costarricense de Electricidad 6.95% 11/10/21 (g)

600,000

672,000

Industrial Conglomerates - 0.2%

General Electric Co.:

4.125% 10/9/42

11,115,000

10,636,444

5.25% 12/6/17

17,730,000

20,498,912

 

31,135,356

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

INDUSTRIALS - continued

Machinery - 0.0%

Schaeffler Finance BV 4.75% 5/15/21 (g)

$ 710,000

$ 695,800

Marine - 0.0%

Navios Maritime Holdings, Inc. 8.875% 11/1/17

1,980,000

2,086,524

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

200,000

217,500

Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21 (g)

480,000

488,400

 

2,792,424

Professional Services - 0.0%

FTI Consulting, Inc.:

6% 11/15/22 (g)

875,000

926,363

6.75% 10/1/20

2,835,000

3,019,275

 

3,945,638

Road & Rail - 0.1%

Hertz Corp.:

4.25% 4/1/18 (g)

1,485,000

1,518,413

6.75% 4/15/19

2,955,000

3,209,869

7.5% 10/15/18

2,465,000

2,686,850

JSC Georgian Railway 7.75% 7/11/22 (g)

650,000

754,000

Shortline PLC 9.5% 5/21/18 (g)

400,000

397,520

 

8,566,652

Trading Companies & Distributors - 0.1%

Aircastle Ltd.:

6.25% 12/1/19

830,000

898,475

6.75% 4/15/17

1,410,000

1,551,000

9.75% 8/1/18

840,000

949,200

International Lease Finance Corp.:

3.875% 4/15/18

1,020,000

1,022,550

4.625% 4/15/21

955,000

947,838

5.75% 5/15/16

1,330,000

1,425,534

5.875% 8/15/22

1,575,000

1,681,313

6.25% 5/15/19

1,640,000

1,791,700

8.625% 9/15/15

830,000

933,750

8.75% 3/15/17

3,700,000

4,375,250

8.875% 9/1/17

1,665,000

2,002,163

NES Rentals Holdings, Inc. 7.875% 5/1/18 (g)

220,000

226,050

 

17,804,823

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

INDUSTRIALS - continued

Transportation Infrastructure - 0.0%

Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (g)

$ 1,500,590

$ 1,410,555

TOTAL INDUSTRIALS

161,927,966

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.0%

Brocade Communications Systems, Inc. 4.625% 1/15/23 (g)

1,600,000

1,544,000

Lucent Technologies, Inc.:

6.45% 3/15/29

1,250,000

1,003,125

6.5% 1/15/28

1,547,000

1,229,865

 

3,776,990

Computers & Peripherals - 0.1%

Apple, Inc. 3.85% 5/4/43

16,120,000

14,836,268

NCR Corp. 4.625% 2/15/21

1,665,000

1,648,350

Seagate HDD Cayman 4.75% 6/1/23 (g)

1,170,000

1,134,900

 

17,619,518

Electronic Equipment & Components - 0.1%

Flextronics International Ltd. 4.625% 2/15/20 (g)

1,430,000

1,440,725

Sanmina-SCI Corp. 7% 5/15/19 (g)

4,125,000

4,382,813

Tyco Electronics Group SA:

5.95% 1/15/14

3,835,000

3,957,287

6.55% 10/1/17

1,383,000

1,628,574

 

11,409,399

Internet Software & Services - 0.1%

Equinix, Inc.:

4.875% 4/1/20

720,000

732,600

5.375% 4/1/23

585,000

604,013

IAC/InterActiveCorp 4.75% 12/15/22 (g)

3,940,000

3,861,200

VeriSign, Inc. 4.625% 5/1/23 (g)

1,560,000

1,567,800

 

6,765,613

IT Services - 0.1%

Ceridian Corp. 11.25% 11/15/15

2,090,000

2,152,700

Compiler Finance Sub, Inc. 7% 5/1/21 (g)

1,050,000

1,050,000

First Data Corp.:

6.75% 11/1/20 (g)

2,685,000

2,805,825

7.375% 6/15/19 (g)

700,000

736,750

12.625% 1/15/21

2,840,000

3,102,700

NeuStar, Inc. 4.5% 1/15/23 (g)

1,400,000

1,365,000

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

WideOpenWest Finance LLC/WideOpenWest Capital Corp.:

10.25% 7/15/19

$ 1,400,000

$ 1,578,500

13.375% 10/15/19

750,000

877,500

 

13,668,975

Office Electronics - 0.0%

Xerox Corp. 4.25% 2/15/15

368,000

386,612

Semiconductors & Semiconductor Equipment - 0.1%

NXP BV/NXP Funding LLC:

3.75% 6/1/18 (g)

805,000

788,900

5.75% 2/15/21 (g)

1,535,000

1,611,750

Spansion LLC 7.875% 11/15/17

3,465,000

3,568,950

STATS ChipPAC Ltd. 4.5% 3/20/18 (g)

575,000

572,125

Viasystems, Inc. 7.875% 5/1/19 (g)

925,000

989,750

 

7,531,475

Software - 0.0%

Nuance Communications, Inc. 5.375% 8/15/20 (g)

3,875,000

3,904,063

TOTAL INFORMATION TECHNOLOGY

65,062,645

MATERIALS - 1.0%

Chemicals - 0.3%

Ashland, Inc.:

3% 3/15/16 (g)

550,000

554,813

3.875% 4/15/18 (g)

1,115,000

1,142,875

Axiall Corp. 4.875% 5/15/23 (g)

800,000

804,000

Celanese U.S. Holdings LLC:

4.625% 11/15/22

755,000

779,538

6.625% 10/15/18

1,935,000

2,112,053

Eagle Spinco, Inc. 4.625% 2/15/21 (g)

380,000

383,800

Hexion U.S. Finance Corp. 6.625% 4/15/20 (g)

1,655,000

1,721,200

INEOS Finance PLC 8.375% 2/15/19 (g)

1,795,000

2,001,425

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

1,050,000

1,168,125

Nufarm Australia Ltd. 6.375% 10/15/19 (g)

820,000

854,850

Rockwood Specialties Group, Inc. 4.625% 10/15/20

1,425,000

1,446,375

The Dow Chemical Co.:

4.125% 11/15/21

10,888,000

11,592,127

4.25% 11/15/20

5,898,000

6,472,748

4.375% 11/15/42

4,972,000

4,657,675

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

MATERIALS - continued

Chemicals - continued

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (g)

$ 2,425,000

$ 2,400,750

Tronox Finance LLC 6.375% 8/15/20 (g)

1,725,000

1,694,813

 

39,787,167

Construction Materials - 0.1%

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

2,286,000

2,594,036

Headwaters, Inc. 7.625% 4/1/19

1,235,000

1,324,538

Rearden G Holdings Eins GmbH 7.875% 3/30/20 (g)

790,000

855,175

Texas Industries, Inc. 9.25% 8/15/20

2,670,000

2,957,025

 

7,730,774

Containers & Packaging - 0.1%

Ardagh Packaging Finance PLC 7.375% 10/15/17 (g)

2,700,000

2,936,250

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.:

7% 11/15/20 (g)

425,000

437,750

7.375% 10/15/17 (g)

200,000

217,000

Ball Corp. 4% 11/15/23

1,730,000

1,656,475

BOE Intermediate Holding Corp. 9.75% 11/1/17 pay-in-kind (g)

220,000

214,528

Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23 (g)

4,830,000

4,721,325

Graphic Packaging International, Inc. 4.75% 4/15/21

225,000

226,688

Sappi Papier Holding GmbH:

6.625% 4/15/21 (g)

1,925,000

1,963,500

7.75% 7/15/17 (g)

1,240,000

1,351,600

Sealed Air Corp.:

6.5% 12/1/20 (g)

615,000

684,188

8.125% 9/15/19 (g)

2,390,000

2,700,700

 

17,110,004

Metals & Mining - 0.5%

Alrosa Finance SA 7.75% 11/3/20 (g)

900,000

1,028,250

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

6,817,000

7,288,920

Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (g)

150,000

156,750

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

1,215,000

1,202,850

Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (g)

11,456,000

11,765,553

EVRAZ Group SA:

6.5% 4/22/20 (g)

555,000

536,963

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

MATERIALS - continued

Metals & Mining - continued

EVRAZ Group SA: - continued

8.25% 11/10/15 (g)

$ 1,905,000

$ 2,062,163

9.5% 4/24/18 (Reg. S)

750,000

834,375

FMG Resources (August 2006) Pty Ltd.:

6.375% 2/1/16 (g)

1,710,000

1,744,200

7% 11/1/15 (g)

4,165,000

4,289,950

Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 (g)

1,055,000

981,150

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

3,010,000

3,047,625

Metinvest BV 10.25% 5/20/15 (g)

1,085,000

1,161,493

Mongolian Mining Corp. 8.875% 3/29/17 (g)

575,000

546,250

Nord Gold NV 6.375% 5/7/18 (g)

580,000

566,950

Polyus Gold International Ltd. 5.625% 4/29/20 (g)

1,045,000

1,063,288

Severstal Columbus LLC 10.25% 2/15/18

5,710,000

6,138,250

Southern Copper Corp.:

6.75% 4/16/40

920,000

961,682

7.5% 7/27/35

810,000

926,964

Steel Dynamics, Inc.:

5.25% 4/15/23 (g)

1,570,000

1,632,800

6.125% 8/15/19 (g)

1,850,000

2,021,125

7.625% 3/15/20

1,290,000

1,419,000

Vale Overseas Ltd.:

4.375% 1/11/22

12,000,000

11,934,960

6.25% 1/23/17

5,581,000

6,341,249

Walter Energy, Inc. 8.5% 4/15/21 (g)

1,675,000

1,691,750

 

71,344,510

Paper & Forest Products - 0.0%

Emerald Plantation Holdings Ltd. 6% 1/30/20 pay-in-kind (j)

228,944

149,958

Sino-Forest Corp. 6.25% 10/21/17 (c)(g)

1,365,000

0

 

149,958

TOTAL MATERIALS

136,122,413

TELECOMMUNICATION SERVICES - 1.5%

Diversified Telecommunication Services - 0.9%

Alestra SA de RL de CV 11.75% 8/11/14

785,000

863,500

Altice Financing SA 7.875% 12/15/19 (g)

320,000

354,000

Altice Finco SA 9.875% 12/15/20 (g)

1,205,000

1,367,675

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

AT&T, Inc.:

4.35% 6/15/45 (g)

$ 758,000

$ 705,173

5.35% 9/1/40

4,006,000

4,295,946

5.55% 8/15/41

35,646,000

39,473,311

6.3% 1/15/38

16,665,000

19,906,209

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

40,000

51,173

CenturyLink, Inc.:

5.15% 6/15/17

972,000

1,040,040

6% 4/1/17

2,432,000

2,681,280

6.15% 9/15/19

6,992,000

7,516,400

Embarq Corp.:

7.082% 6/1/16

6,922,000

7,935,706

7.995% 6/1/36

4,717,000

5,120,186

Intelsat Luxembourg SA:

7.75% 6/1/21 (g)

4,140,000

4,352,175

8.125% 6/1/23 (g)

1,480,000

1,583,600

11.25% 2/4/17

2,529,000

2,674,418

Lynx I Corp. 5.375% 4/15/21 (g)

1,205,000

1,259,225

Lynx II Corp. 6.375% 4/15/23 (g)

260,000

271,050

Sprint Capital Corp. 6.875% 11/15/28

695,000

695,000

Telefonica Celular del Paraguay SA 6.75% 12/13/22 (g)

540,000

583,200

TW Telecom Holdings, Inc. 5.375% 10/1/22

1,390,000

1,438,650

Verizon Communications, Inc.:

3.85% 11/1/42

3,792,000

3,277,236

6.1% 4/15/18

6,000,000

7,174,548

6.25% 4/1/37

2,348,000

2,787,926

6.9% 4/15/38

6,295,000

8,063,631

Virgin Media Finance PLC 4.875% 2/15/22

770,000

772,926

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

1,510,000

1,589,275

 

127,833,459

Wireless Telecommunication Services - 0.6%

America Movil S.A.B. de CV:

2.375% 9/8/16

15,982,000

16,415,128

3.125% 7/16/22

9,218,000

8,810,177

3.625% 3/30/15

731,000

760,793

Crown Castle International Corp. 5.25% 1/15/23

2,575,000

2,607,188

Digicel Group Ltd.:

6% 4/15/21 (g)

3,980,000

3,940,200

8.25% 9/1/17 (g)

3,400,000

3,536,000

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Digicel Group Ltd.: - continued

8.25% 9/30/20 (g)

$ 2,770,000

$ 2,936,200

Intelsat Jackson Holdings SA:

5.5% 8/1/23 (g)(i)

1,255,000

1,237,744

6.625% 12/15/22 (g)

1,660,000

1,726,400

6.625% 12/15/22 (g)(i)

2,770,000

2,887,725

7.25% 4/1/19

1,690,000

1,833,650

7.5% 4/1/21

1,420,000

1,558,450

MTS International Funding Ltd. 8.625% 6/22/20 (g)

2,055,000

2,522,513

NII Capital Corp. 7.625% 4/1/21

1,470,000

1,223,775

Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (g)

2,520,000

2,507,400

SBA Communications Corp. 5.625% 10/1/19 (g)

2,855,000

2,965,489

Softbank Corp. 4.5% 4/15/20 (g)

3,700,000

3,737,000

Sprint Nextel Corp.:

6% 12/1/16

2,150,000

2,324,688

6% 11/15/22

2,790,000

2,880,675

7% 3/1/20 (g)

1,495,000

1,681,875

7% 8/15/20

2,305,000

2,500,925

9% 11/15/18 (g)

1,050,000

1,273,125

Telemovil Finance Co. Ltd. 8% 10/1/17 (g)

1,370,000

1,483,025

Telesat Canada/Telesat LLC 6% 5/15/17 (g)

4,280,000

4,472,600

Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (g)

1,000,000

1,103,750

VimpelCom Holdings BV 5.2% 2/13/19 (g)

585,000

585,000

Vodafone Group PLC 5% 12/16/13

2,864,000

2,932,819

 

82,444,314

TOTAL TELECOMMUNICATION SERVICES

210,277,773

UTILITIES - 2.9%

Electric Utilities - 1.5%

AmerenUE 6.4% 6/15/17

2,491,000

2,965,466

American Electric Power Co., Inc.:

1.65% 12/15/17

5,213,000

5,184,083

2.95% 12/15/22

4,935,000

4,798,286

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

1,016,000

1,042,445

Duke Capital LLC 5.668% 8/15/14

2,563,000

2,705,480

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

UTILITIES - continued

Electric Utilities - continued

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (g)

$ 7,207,000

$ 8,472,989

6.4% 9/15/20 (g)

16,661,000

20,396,748

Edison International 3.75% 9/15/17

6,674,000

7,179,402

Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (g)

1,710,000

837,900

FirstEnergy Corp.:

2.75% 3/15/18

10,421,000

10,444,843

4.25% 3/15/23

16,326,000

16,117,892

7.375% 11/15/31

19,999,000

22,613,689

FirstEnergy Solutions Corp. 6.05% 8/15/21

20,194,000

23,150,462

Hrvatska Elektroprivreda 6% 11/9/17 (g)

350,000

362,250

InterGen NV 9% 6/30/17 (g)

5,785,000

5,936,856

LG&E and KU Energy LLC:

2.125% 11/15/15

7,369,000

7,551,736

3.75% 11/15/20

1,450,000

1,527,897

Majapahit Holding BV:

7.75% 1/20/20 (g)

750,000

907,500

8% 8/7/19 (g)

485,000

591,700

Mirant Americas Generation LLC:

8.5% 10/1/21

3,095,000

3,574,725

9.125% 5/1/31

1,525,000

1,723,250

Nevada Power Co. 6.5% 5/15/18

790,000

969,174

Northeast Utilities:

1.45% 5/1/18

3,325,000

3,283,245

2.8% 5/1/23

15,104,000

14,618,240

Otter Tail Corp. 9% 12/15/16

2,410,000

2,795,600

Pennsylvania Electric Co. 6.05% 9/1/17

764,000

887,843

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

7,047,000

7,281,080

PPL Capital Funding, Inc. 3.4% 6/1/23

7,184,000

7,051,807

Progress Energy, Inc.:

4.4% 1/15/21

12,059,000

13,337,314

6% 12/1/39

7,150,000

8,553,559

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

1,945,000

1,967,949

 

208,831,410

Gas Utilities - 0.1%

Intergas Finance BV 6.375% 5/14/17 (Reg. S)

1,090,000

1,200,363

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

442,000

511,864

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

UTILITIES - continued

Gas Utilities - continued

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

$ 3,646,000

$ 3,960,672

Transportadora de Gas del Sur SA 7.875% 5/14/17 (g)

3,245,000

2,823,150

 

8,496,049

Independent Power Producers & Energy Traders - 0.3%

Atlantic Power Corp. 9% 11/15/18

3,625,000

3,788,125

Dolphin Subsidiary II, Inc.:

6.5% 10/15/16

2,775,000

2,990,063

7.25% 10/15/21

1,400,000

1,512,000

GenOn Energy, Inc.:

9.5% 10/15/18

3,490,000

4,074,575

9.875% 10/15/20

1,705,000

1,926,650

Kinder Morgan Finance Co. LLC 6% 1/15/18 (g)

3,030,000

3,344,965

Listrindo Capital BV 6.95% 2/21/19 (g)

600,000

646,500

NRG Energy, Inc. 6.625% 3/15/23 (g)

3,095,000

3,288,438

Power Sector Assets and Liabilities Management Corp. 7.39% 12/2/24 (g)

750,000

988,125

PPL Energy Supply LLC 6.5% 5/1/18

6,895,000

8,140,389

PSEG Power LLC 2.75% 9/15/16

2,786,000

2,887,968

RRI Energy, Inc. 7.625% 6/15/14

2,710,000

2,898,616

The AES Corp.:

4.875% 5/15/23

840,000

829,500

7.375% 7/1/21

1,675,000

1,959,750

8% 10/15/17

249,000

291,953

 

39,567,617

Multi-Utilities - 1.0%

Ameren Illinois Co. 6.125% 11/15/17

3,112,000

3,687,599

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

3,771,000

4,660,779

Dominion Resources, Inc.:

2.5836% 9/30/66 (j)

24,541,000

23,181,625

7.5% 6/30/66 (j)

10,345,000

11,482,950

MidAmerican Energy Holdings, Co. 6.5% 9/15/37

7,097,000

9,022,934

National Grid PLC 6.3% 8/1/16

1,589,000

1,827,479

NiSource Finance Corp.:

4.45% 12/1/21

4,928,000

5,307,900

5.25% 9/15/17

843,000

954,839

5.25% 2/15/43

12,739,000

13,250,356

5.4% 7/15/14

1,680,000

1,761,572

5.45% 9/15/20

854,000

978,366

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

UTILITIES - continued

Multi-Utilities - continued

NiSource Finance Corp.: - continued

5.8% 2/1/42

$ 6,336,000

$ 7,028,056

5.95% 6/15/41

11,832,000

13,450,369

6.4% 3/15/18

1,654,000

1,965,863

6.8% 1/15/19

6,774,000

8,184,191

Puget Energy, Inc.:

5.625% 7/15/22

600,000

657,604

6% 9/1/21

2,464,000

2,759,091

6.5% 12/15/20

1,275,000

1,466,116

Sempra Energy:

2.3% 4/1/17

14,116,000

14,524,277

2.875% 10/1/22

5,760,000

5,627,733

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

3,860,000

4,192,925

 

135,972,624

TOTAL UTILITIES

392,867,700

TOTAL NONCONVERTIBLE BONDS

(Cost $3,591,526,583)


3,854,161,745

U.S. Treasury Obligations - 31.4%

 

U.S. Treasury Bonds:

2.75% 11/15/42

8,225,000

7,387,078

2.875% 5/15/43

53,020,000

48,852,946

3.125% 2/15/43

390,413,000

379,188,626

U.S. Treasury Notes:

0.125% 4/30/15 (f)

192,500,000

191,883,423

0.25% 9/15/14

8,937,000

8,943,283

0.25% 8/15/15

227,529,000

227,049,141

0.5% 7/31/17

170,710,000

168,349,422

0.875% 11/30/16

1,503,000

1,514,273

0.875% 4/30/17

203,188,000

204,013,350

0.875% 1/31/18

192,574,000

191,776,551

0.875% 7/31/19

5,000

4,864

1% 5/31/18

583,858,000

582,854,289

1.125% 4/30/20 (f)

198,649,000

193,527,630

1.375% 11/30/15

88,617,000

90,749,302

1.375% 5/31/20

381,547,000

377,373,639

U.S. Treasury Obligations - continued

 

Principal Amount (d)

Value

U.S. Treasury Notes: - continued

1.75% 5/31/16

$ 263,340,000

$ 272,927,156

1.75% 5/15/23 (f)

41,820,000

40,362,824

2% 2/15/23

424,649,000

420,999,567

2.375% 2/28/15

499,922,000

518,141,657

2.625% 7/31/14

66,140,000

68,010,505

2.625% 12/31/14

273,340,000

283,611,571

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $4,291,616,283)


4,277,521,097

U.S. Government Agency - Mortgage Securities - 6.0%

 

Fannie Mae - 4.1%

2.082% 10/1/33 (j)

630,807

662,922

2.5% 6/1/28 (i)

3,500,000

3,575,521

2.5% 6/1/28 (i)

4,100,000

4,188,467

2.559% 6/1/36 (j)

138,476

148,620

2.671% 2/1/36 (j)

629,862

677,161

2.82% 12/1/35 (j)

440,552

467,626

2.935% 7/1/37 (j)

297,703

315,746

3% 10/1/26 to 3/1/43

17,118,195

17,599,798

3% 6/1/43 (i)

1,000,000

1,007,013

3% 6/1/43 (i)

1,000,000

1,007,013

3% 6/1/43 (i)

1,400,000

1,409,818

3% 6/1/43 (i)

1,000,000

1,007,013

3% 6/1/43 (i)

800,000

805,610

3% 6/1/43 (i)

2,200,000

2,215,429

3.5% 1/1/26 to 6/1/43

243,458,432

251,541,095

3.5% 6/1/43 (i)

7,400,000

7,666,515

3.5% 6/1/43 (i)

7,400,000

7,666,515

3.5% 6/1/43 (i)

4,500,000

4,662,070

4% 4/1/25 to 4/1/42

71,875,275

76,242,194

4% 6/1/43 (i)

8,600,000

9,073,672

4.5% 1/1/22 to 10/1/41

40,823,689

43,906,773

4.5% 6/1/43 (i)

6,700,000

7,159,055

5% 10/1/21 to 4/1/40

12,953,895

14,005,615

5.5% 3/1/18 to 5/1/39

17,682,960

19,163,806

5.5% 6/1/43 (i)

29,000,000

31,411,907

5.5% 6/1/43 (i)

29,000,000

31,411,907

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (d)

Value

Fannie Mae - continued

6% 4/1/21 to 1/1/42

$ 15,193,944

$ 16,842,974

6.5% 7/1/32 to 8/1/36

10,780,623

12,338,439

TOTAL FANNIE MAE

568,180,294

Freddie Mac - 0.8%

3% 2/1/43

2,771,446

2,784,817

3% 6/1/43 (i)

9,400,000

9,429,938

3.287% 10/1/35 (j)

192,955

207,485

3.5% 1/1/26 to 4/1/43

43,234,465

44,987,994

4% 12/1/40 to 4/1/42

11,466,538

12,254,590

4% 10/1/41

5,106,038

5,493,379

4% 3/1/42

337,759

363,065

4% 6/1/43 (i)

3,700,000

3,894,539

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

8,970,570

9,638,980

5% 4/1/38 to 6/1/40

3,825,951

4,149,820

5.5% 11/1/17 to 12/1/35

11,801,697

12,780,708

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

2,531,085

2,754,314

TOTAL FREDDIE MAC

108,739,629

Ginnie Mae - 1.1%

3% 6/1/43 (i)

2,500,000

2,550,736

3% 6/1/43 (i)

3,200,000

3,264,442

3% 6/1/43 (i)

4,200,000

4,284,580

3.5% 4/15/42 to 11/20/42

4,469,049

4,705,075

3.5% 6/1/43 (i)

4,800,000

5,048,625

3.5% 6/1/43 (i)

1,800,000

1,888,734

3.5% 6/1/43 (i)

3,100,000

3,252,820

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

66,357,009

71,231,261

4.5% 11/20/33 to 4/15/41

31,889,892

34,588,528

5% 5/15/39 to 8/15/41

4,040,858

4,422,484

5% 8/20/40

2,466,477

2,711,188

5% 4/20/41

3,056,048

3,306,727

5% 6/20/41

1,466,855

1,587,177

6% 9/20/38

2,746,802

3,035,216

TOTAL GINNIE MAE

145,877,593

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $824,674,596)


822,797,516

Asset-Backed Securities - 0.8%

 

Principal Amount (d)

Value

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6633% 4/25/35 (j)

$ 682,282

$ 606,597

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1 Class M2, 1.8433% 3/25/34 (j)

381,495

385,837

Series 2005-HE2 Class M2, 0.8683% 4/25/35 (j)

32,467

32,256

Airspeed Ltd. Series 2007-1A Class C1, 2.6992% 6/15/32 (g)(j)

3,973,305

2,304,517

Ally Master Owner Trust:

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

8,870,000

8,957,786

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

8,490,000

8,589,596

Series 2012-1 Class A2, 1.44% 2/15/17

18,800,000

19,010,992

Series 2012-3 Class A2, 1.21% 6/15/17

12,650,000

12,780,028

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.2433% 12/25/33 (j)

67,910

63,930

Series 2004-R2 Class M3, 1.0183% 4/25/34 (j)

97,089

81,921

Series 2005-R2 Class M1, 0.6433% 4/25/35 (j)

1,817,827

1,780,862

Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.5563% 3/23/19 (g)(j)

102,826

101,972

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9733% 3/25/34 (j)

47,932

44,445

Series 2004-W11 Class M2, 1.2433% 11/25/34 (j)

561,149

524,466

Series 2004-W7 Class M1, 1.0183% 5/25/34 (j)

1,542,998

1,476,321

Series 2006-W4 Class A2C, 0.3533% 5/25/36 (j)

1,256,593

466,436

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.0183% 4/25/34 (j)

2,181,980

2,052,342

Series 2006-HE2 Class M1, 0.5633% 3/25/36 (j)

37,903

409

Capital Trust Ltd. Series 2004-1:

Class B, 0.9482% 7/20/39 (g)(j)

220,129

176,103

Class C, 1.2982% 7/20/39 (g)(j)

339,379

16,969

Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A:

Class A2, 5.16% 6/25/35 (g)

280,903

281,071

Class B, 5.267% 6/25/35 (g)

1,000,000

1,000,400

CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.5294% 1/20/37 (g)(j)

87,549

82,077

Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3333% 12/25/36 (j)

1,802,588

1,137,089

CBRE Realty Finance CDO LLC Series 2007-1A Class A1, 0.5304% 4/7/52 (g)(j)

646,820

582,138

CFC LLC Series 2013-1A:

Class A, 1.65% 7/17/17 (g)

3,600,000

3,599,925

Class B, 2.75% 11/15/18 (g)

6,690,000

6,688,279

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3133% 2/25/27 (j)

$ 20,782

$ 20,772

Countrywide Home Loans, Inc.:

Series 2003-BC1 Class B1, 5.4502% 3/25/32 (MGIC Investment Corp. Insured) (j)

3,192

2,226

Series 2004-3 Class M4, 1.6483% 4/25/34 (j)

159,665

118,484

Series 2004-4 Class M2, 0.9883% 6/25/34 (j)

587,945

536,417

Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A:

Class B1, 6.065% 12/28/35 (g)

72,229

72,244

Class B2, 1.6336% 12/28/35 (g)(j)

72,229

71,507

Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class D, 9% 6/28/38 (g)

210,698

158,023

Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27

540,000

521,054

Fannie Mae Series 2004-T5 Class AB3, 1.0337% 5/28/35 (j)

38,916

37,012

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3683% 8/25/34 (j)

290,872

230,821

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0183% 3/25/34 (j)

18,712

15,852

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.9283% 1/25/35 (j)

948,695

804,824

Class M4, 1.2133% 1/25/35 (j)

363,547

42,598

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6528% 2/25/47 (g)(j)

2,892,000

2,024,400

GE Business Loan Trust:

Series 2003-1 Class A, 0.6292% 4/15/31 (g)(j)

106,970

102,517

Series 2006-2A:

Class A, 0.3792% 11/15/34 (g)(j)

1,506,188

1,393,275

Class B, 0.4792% 11/15/34 (g)(j)

544,080

464,473

Class C, 0.5792% 11/15/34 (g)(j)

904,239

656,628

Class D, 0.9492% 11/15/34 (g)(j)

343,369

232,492

GSAMP Trust Series 2004-AR1 Class B4, 4.0669% 6/25/34 (e)(g)

215,708

20,861

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

Class C, 0.7433% 9/25/46 (g)(j)

1,325,967

1,319,337

Class E, 1.8433% 9/25/46 (g)(j)

250,000

210,000

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.5133% 8/25/33 (j)

348,808

327,167

Series 2003-3 Class M1, 1.4833% 8/25/33 (j)

617,305

582,428

Series 2003-5 Class A2, 0.8933% 12/25/33 (j)

32,929

29,437

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3833% 1/25/37 (j)

$ 1,522,035

$ 817,053

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.4933% 7/25/36 (j)

204,000

3,106

Series 2007-CH1 Class AV4, 0.3233% 11/25/36 (j)

1,520,141

1,463,373

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.6131% 12/27/29 (j)

416,807

407,301

Series 2006-A Class 2C, 1.4331% 3/27/42 (j)

3,243,000

158,239

Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.3533% 11/25/36 (j)

5,182,921

2,583,352

Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6233% 5/25/46 (g)(j)

250,000

207,500

MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4933% 5/25/37 (j)

603,385

7,933

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9433% 7/25/34 (j)

150,385

123,827

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.1683% 7/25/34 (j)

499,279

416,930

Series 2006-FM1 Class A2B, 0.3033% 4/25/37 (j)

971,492

847,244

Series 2006-OPT1 Class A1A, 0.4533% 6/25/35 (j)

2,572,840

2,381,550

Mesa West Capital CDO Ltd.:

Series 2007-1A Class A2, 0.4833% 2/25/47 (g)(j)

425,000

399,500

Series 2007-1A:

Class A1, 0.4533% 2/25/47 (g)(j)

706,331

656,888

Class H, 1.6633% 2/25/47 (g)(j)

250,000

182,750

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5333% 8/25/34 (j)

57,368

56,522

Series 2004-NC6 Class M3, 2.3683% 7/25/34 (j)

21,065

12,304

Series 2004-NC8 Class M6, 2.0683% 9/25/34 (j)

24,800

17,114

Series 2005-NC1 Class M1, 0.6333% 1/25/35 (j)

399,800

374,656

Series 2005-NC2 Class B1, 1.3633% 3/25/35 (j)

416,362

17,410

N-Star Real Estate CDO Ltd. Series 1A:

Class B1, 1.9478% 8/28/38 (g)(j)

220,000

213,400

Class C1B, 7.696% 8/28/38 (g)

64,212

55,222

New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7033% 9/25/35 (j)

1,426,957

1,246,271

Ocala Funding LLC:

Series 2005-1A Class A, 1.6982% 3/20/10 (c)(g)(j)

566,000

0

Series 2006-1A Class A, 1.5982% 3/20/11 (c)(g)(j)

1,176,000

0

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.4433% 9/25/34 (j)

532,896

462,251

Class M4, 1.6433% 9/25/34 (j)

683,353

238,499

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Park Place Securities, Inc.: - continued

Series 2005-WCH1 Class M4, 1.0233% 1/25/36 (j)

$ 1,475,804

$ 1,243,269

Prima Capital Ltd. Series 2006-CR1A Class A2, 5.533% 12/28/48 (g)

530,814

541,430

Resource Real Estate Funding CDO Series 2007-1A Class J, 3.1433% 9/25/46 (g)(j)

250,000

67,500

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9933% 4/25/33 (j)

5,108

4,884

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9883% 3/25/35 (j)

1,139,786

1,055,868

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2301% 6/15/33 (j)

1,206,054

883,420

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9183% 9/25/34 (j)

56,993

41,692

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

350,176

353,490

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0533% 9/25/34 (j)

28,819

27,224

TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp. Series 2003-1A Class B2, 5.4802% 12/28/38 (g)

111,000

111,155

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8404% 4/6/42 (g)(j)

2,666,307

79,989

Wachovia Ltd./Wachovia LLC:

Series 2006-1 Class 1ML, 5.7841% 9/25/26 (g)(j)

400,000

242,080

Series 2006-1A:

Class A1A, 0.5441% 9/25/26 (g)(j)

814,274

805,317

Class A1B, 0.6141% 9/25/26 (g)(j)

1,033,000

954,699

Class A2A, 0.5041% 9/25/26 (g)(j)

189,730

189,579

Class A2B, 0.5941% 9/25/26 (g)(j)

250,000

238,700

Class B, 0.6441% 9/25/26 (g)(j)

250,000

225,475

Class C 0.8141% 9/25/26 (g)(j)

250,000

223,625

Class F, 1.4341% 9/25/26 (g)(j)

429,000

377,477

Class G, 1.6341% 9/25/26 (g)(j)

336,000

292,958

Class H, 1.9341% 9/25/26 (g)(j)

250,000

216,750

Class K, 3.5341% 9/25/26 (g)(j)

250,000

214,975

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0756% 10/25/44 (g)(j)

1,789,540

1,637,429

Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A:

Class A1, 0.5936% 11/21/40 (g)(j)

420,551

391,113

Class D, 1.1236% 11/21/40 (g)(j)

305,000

122,000

TOTAL ASSET-BACKED SECURITIES

(Cost $95,909,629)


106,711,906

Collateralized Mortgage Obligations - 1.0%

 

Principal Amount (d)

Value

Private Sponsor - 0.5%

ABN AMRO Mortgage Corp. Series 2003-9 Class B5, 4.5164% 8/25/18 (g)

$ 110,240

$ 86,939

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7533% 1/25/35 (j)

1,588,030

1,562,460

Countrywide Home Loans, Inc.:

Series 2003-28 Class B3, 5.5% 8/25/33

40,254

31,558

Series 2003-35 Class B, 4.6368% 9/25/18 (j)

61,216

21,499

Credit Suisse First Boston Mortgage Securities Corp. Series 2003-17 Class B4, 5.4315% 6/25/33 (j)

192,925

146,650

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.632% 10/25/34 (j)

1,159,080

1,188,803

FREMF Mortgage Trust:

Series 2010 K7 Class B, 5.6188% 4/25/20 (g)(j)

1,000,000

1,143,773

Series 2010-K6 Class B, 5.5328% 12/25/46 (g)(j)

910,000

1,019,551

GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (g)

39,352

18,106

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 1.2982% 12/20/54 (j)

205,017

183,285

Series 2006-1A Class C2, 1.3982% 12/20/54 (g)(j)

6,523,000

5,831,562

Series 2006-2 Class C1, 1.1382% 12/20/54 (j)

21,543,000

19,259,442

Series 2006-3 Class C2, 1.1982% 12/20/54 (j)

1,124,000

1,004,856

Series 2006-4:

Class B1, 0.3782% 12/20/54 (j)

4,521,000

4,274,606

Class C1, 0.9582% 12/20/54 (j)

2,767,000

2,473,698

Class M1, 0.5382% 12/20/54 (j)

1,190,000

1,089,445

Series 2007-1:

Class 1C1, 0.7982% 12/20/54 (j)

2,234,000

1,997,196

Class 1M1, 0.4982% 12/20/54 (j)

1,493,000

1,366,842

Class 2C1, 1.0582% 12/20/54 (j)

1,015,000

907,410

Class 2M1, 0.6982% 12/20/54 (j)

1,917,000

1,755,014

Series 2007-2 Class 2C1, 1.0582% 12/17/54 (j)

2,654,000

2,372,676

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7261% 1/20/44 (j)

430,241

423,592

GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 4.7976% 3/25/37 (j)

2,745,922

2,752,916

JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.062% 8/25/36 (j)

1,850,904

1,503,449

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4033% 5/25/47 (j)

2,082,197

1,594,581

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3633% 2/25/37 (j)

5,330,781

4,697,982

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (g)

$ 930,000

$ 960,642

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4833% 7/25/35 (j)

1,652,089

1,587,484

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

Class B5, 2.5492% 7/10/35 (g)(j)

828,311

757,259

Class B6, 3.0492% 7/10/35 (g)(j)

184,683

167,267

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6433% 6/25/33 (g)(j)

79,887

78,424

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3885% 7/20/34 (j)

31,266

29,725

Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5708% 4/25/33 (j)

239,306

242,423

Wells Fargo Mortgage Backed Securities Trust Series 2005-AR2 Class 1A2, 2.6809% 3/25/35 (j)

2,737,177

1,634,815

TOTAL PRIVATE SPONSOR

64,165,930

U.S. Government Agency - 0.5%

Fannie Mae:

floater:

Series 2005-38 Class F, 0.4933% 5/25/35 (j)

2,362,369

2,367,720

Series 2006-50 Class BF, 0.5933% 6/25/36 (j)

2,986,100

3,002,419

Series 2006-82 Class F, 0.7633% 9/25/36 (j)

4,720,374

4,733,988

Series 2007-36 Class F, 0.4233% 4/25/37 (j)

3,763,530

3,768,339

Series 2011-40 Class DF, 0.6433% 5/25/41 (j)

8,787,766

8,814,432

Series 2013-62 Class FA, 0.499% 6/25/43 (j)

12,930,000

12,942,141

floater sequential payer:

Series 2010-74 Class WF, 0.7933% 7/25/34 (j)

3,050,155

3,087,288

Series 2012-120 Class FE 0.4933% 2/25/39 (j)

5,617,801

5,625,975

planned amortization class Series 2002-9 Class PC, 6% 3/25/17

129,072

137,070

Freddie Mac:

floater Series 3830 Class FD, 0.5592% 3/15/41 (j)

14,717,110

14,791,711

floater sequential payer Series 2011-3969 Class AF, 0.6492% 10/15/33 (j)

6,930,213

6,940,052

TOTAL U.S. GOVERNMENT AGENCY

66,211,135

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $95,769,379)


130,377,065

Commercial Mortgage Securities - 5.7%

 

Principal Amount (d)

Value

ACGS Series 2004-1 Class P, 7.4605% 8/1/19 (m)

$ 323,434

$ 318,684

Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (g)

180,000

210,728

Asset Securitization Corp.:

Series 1996-D2 Class B1A, 8.4398% 2/14/29 (g)(j)

136,650

139,528

Series 1997-D4 Class B5, 7.525% 4/14/29

129,000

132,867

Series 1997-D5:

Class A7, 7.5551% 2/14/43 (j)

251,447

254,463

Class PS1, 1.4397% 2/14/43 (j)(l)

783,735

24,304

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2004-2 Class A4, 4.153% 11/10/38

1,492,008

1,499,455

Series 2005-4 Class AJ, 5.038% 7/10/45 (j)

530,000

544,455

Series 2006-2 Class AAB, 5.9009% 5/10/45 (j)

1,179,484

1,229,063

Series 2006-3 Class A4, 5.889% 7/10/44

3,940,000

4,407,970

Series 2006-4 Class AM, 5.675% 7/10/46

1,000,000

1,118,863

Series 2006-5 Class A2, 5.317% 9/10/47

5,184,033

5,247,294

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

3,804,000

3,924,998

Series 2007-4 Class A3, 6.0025% 2/10/51 (j)

1,188,740

1,239,187

Series 2003-1 Class G, 5.608% 9/11/36 (g)

185,203

186,285

Series 2004-1 Class F, 5.279% 11/10/39 (g)

185,000

173,576

Series 2004-4:

Class K, 4.637% 7/10/42 (g)(j)

300,000

1,678

Class L, 4.637% 7/10/42 (g)(j)

280,000

68

Series 2004-5 Class G, 5.7506% 11/10/41 (g)(j)

195,000

194,935

Series 2005-1 Class CJ, 5.3638% 11/10/42 (j)

550,000

581,721

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

5,908,000

6,218,022

Series 2005-5 Class D, 5.4036% 10/10/45 (j)

1,180,000

1,178,449

Series 2005-6 Class AJ, 5.3588% 9/10/47 (j)

300,000

323,003

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

1,098,000

136,890

Series 2007-3:

Class A3, 5.7963% 6/10/49 (j)

3,176,000

3,193,957

Class A4, 5.7963% 6/10/49 (j)

3,965,000

4,499,482

Series 2008-1 Class D, 6.4375% 2/10/51 (g)(j)

125,000

70,999

Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49

4,166,000

4,682,992

Banc of America Large Loan Trust floater Series 2010-HLTN Class HLTN, 2.499% 11/15/15 (g)(j)

807,404

807,646

Banc of America Large Loan, Inc. floater Series 2005-MIB1 Class K, 2.1992% 3/15/22 (g)(j)

77,611

52,785

Banc of America REMIC Trust Series 2012-CLMZ Class A, 7.6992% 8/15/17 (g)(j)

480,000

507,024

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.0433% 12/25/33 (g)(j)

$ 51,562

$ 37,888

Series 2005-4A:

Class A2, 0.5833% 1/25/36 (g)(j)

1,131,370

960,459

Class B1, 1.5933% 1/25/36 (g)(j)

97,770

20,736

Class M1, 0.6433% 1/25/36 (g)(j)

364,958

203,277

Class M2, 0.6633% 1/25/36 (g)(j)

109,488

57,476

Class M3, 0.6933% 1/25/36 (g)(j)

159,898

82,253

Class M4, 0.8033% 1/25/36 (g)(j)

88,432

42,853

Class M5, 0.8433% 1/25/36 (g)(j)

88,432

31,216

Class M6, 0.8933% 1/25/36 (g)(j)

93,925

28,176

Series 2006-3A:

Class M4, 0.6233% 10/25/36 (g)(j)

134,731

20,407

Class M5, 0.6733% 10/25/36 (g)(j)

60,517

3,216

Series 2006-4A Class M6, 0.7133% 12/25/36 (g)(j)

52,654

1,164

Series 2007-1 Class A2, 0.4633% 3/25/37 (g)(j)

760,300

483,712

Series 2007-2A:

Class A1, 0.4633% 7/25/37 (g)(j)

733,606

551,503

Class A2, 0.5133% 7/25/37 (g)(j)

685,455

354,478

Class M1, 0.5633% 7/25/37 (g)(j)

240,693

66,170

Class M2, 0.6033% 7/25/37 (g)(j)

131,525

22,449

Class M3, 0.6833% 7/25/37 (g)(j)

133,359

13,419

Class M4, 0.8433% 7/25/37 (g)(j)

263,295

12,011

Class M5, 0.9433% 7/25/37 (g)(j)

232,100

8,945

Class M6, 1.1933% 7/25/37 (g)(j)

14,388

29

Series 2007-3:

Class A2, 0.4833% 7/25/37 (g)(j)

687,552

410,493

Class B1, 1.1433% 7/25/37 (g)(j)

102,009

7,796

Class M1, 0.5033% 7/25/37 (g)(j)

149,330

54,854

Class M2, 0.5333% 7/25/37 (g)(j)

160,054

46,600

Class M3, 0.5633% 7/25/37 (g)(j)

252,206

58,154

Class M4, 0.6933% 7/25/37 (g)(j)

396,001

80,287

Class M5, 0.7933% 7/25/37 (g)(j)

205,406

29,563

Class M6, 0.9933% 7/25/37 (g)(j)

156,627

19,029

Series 2007-4A:

Class M1, 1.1433% 9/25/37 (g)(j)

281,100

26,141

Class M2, 1.2433% 9/25/37 (g)(j)

281,100

21,630

Class M4, 1.7933% 9/25/37 (g)(j)

718,957

35,120

Class M5, 1.9433% 9/25/37 (g)(j)

13,117

419

Series 2006-3A, Class IO, 3.8578% 10/25/36 (g)(j)(l)

7,630,715

177,076

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust: - continued

Series 2007-5A, Class IO, 4.186% 10/25/37 (g)(j)(l)

$ 7,296,744

$ 607,778

Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.6178% 3/11/39 (j)

450,000

471,051

Bear Stearns Commercial Mortgage Securities Trust:

floater Series 2007-BBA8:

Class D, 0.4492% 3/15/22 (g)(j)

655,330

622,509

Class E, 0.4992% 3/15/22 (g)(j)

3,607,157

3,354,357

Class F, 0.5492% 3/15/22 (g)(j)

2,235,922

2,034,503

Class G, 0.5992% 3/15/22 (g)(j)

537,549

478,374

Class H, 0.7492% 3/15/22 (g)(j)

655,330

570,083

Class J, 0.8992% 3/15/22 (g)(j)

655,330

553,699

sequential payer:

Series 2006-PW14 Class AM, 5.243% 12/11/38

600,000

637,699

Series 2006-T22 Class AJ, 5.7648% 4/12/38 (j)

400,000

436,103

Series 2007-PW16 Class A4, 5.9051% 6/11/40 (j)

1,112,000

1,274,820

Series 1999-C1:

Class G, 5.64% 2/14/31 (g)

70,000

71,095

Class I, 5.64% 2/14/31 (g)

202,567

155,995

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

4,423,321

4,433,897

Series 2006-PW14 Class X2, 0.8641% 12/11/38 (g)(j)(l)

17,947,833

65,784

Series 2006-T22:

Class A4, 5.7648% 4/12/38 (j)

237,000

262,001

Class B, 5.7648% 4/12/38 (g)(j)

200,000

214,961

Series 2006-T24 Class X2, 0.6225% 10/12/41 (g)(j)(l)

2,947,577

5,409

Series 2007-BBA8:

Class K, 1.3992% 3/15/22 (g)(j)

120,000

99,398

Class L, 2.0992% 3/15/22 (g)(j)

253,498

174,317

Series 2007-PW18 Class X2, 0.4757% 6/11/50 (g)(j)(l)

123,066,869

936,047

Series 2007-T28 Class X2, 0.3236% 9/11/42 (g)(j)(l)

67,080,021

269,460

Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (g)

639,722

696,530

C-BASS Trust floater Series 2006-SC1 Class A, 0.4633% 5/25/36 (g)(j)

614,411

580,384

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (g)

2,235,000

2,305,425

Class XCL, 1.5785% 5/15/35 (g)(j)(l)

5,958,447

94,805

CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.7449% 12/15/47 (g)(j)

750,000

861,139

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Chase Commercial Mortgage Securities Corp.:

Series 1998-1 Class H, 6.34% 5/18/30 (g)

$ 800,000

$ 716,715

Series 1998-2 Class J, 6.39% 11/18/30 (g)

487,111

353,144

Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust Series 1999-1 Class G, 6.4% 8/15/31 (g)

96,308

97,371

Citigroup Commercial Mortgage Trust Series 2007-FL3A Class A2, 0.3392% 4/15/22 (g)(j)

183,349

181,696

Citigroup/Deutsche Bank Commercial Mortgage Trust:

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

23,808,000

26,720,123

Series 2007-CD4 Class A3, 5.293% 12/11/49

1,852,000

1,905,451

Claregold Trust Series 2007-2A:

Class F, 5.01% 5/15/44 (g)(j)

CAD

138,000

117,995

Class G, 5.01% 5/15/44 (g)(j)

CAD

30,000

24,213

Class H, 5.01% 5/15/44 (g)(j)

CAD

20,000

14,015

Class J, 5.01% 5/15/44 (g)(j)

CAD

20,000

13,271

Class K, 5.01% 5/15/44 (g)(j)

CAD

10,000

5,657

Class L, 5.01% 5/15/44 (g)(j)

CAD

36,000

18,367

Class M, 5.01% 5/15/44 (g)(j)

CAD

165,000

76,120

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 5.985% 5/15/46 (j)

1,902,000

2,007,152

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

5,706,000

578,172

Series 2007-C2 Class B, 5.617% 4/15/47 (j)

2,125,000

1,592,981

COMM Mortgage Trust:

sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (g)

810,000

605,784

Series 2012-CR5 Class D, 4.4794% 12/10/45 (g)(j)

280,000

273,733

COMM pass-thru certificates:

floater:

Series 2005-F10A Class J, 1.0492% 4/15/17 (g)(j)

126,749

111,968

Series 2005-FL11:

Class B, 0.4492% 11/15/17 (g)(j)

141,221

136,892

Class C, 0.4992% 11/15/17 (g)(j)

1,168,561

1,109,369

Class D, 0.5392% 11/15/17 (g)(j)

60,771

56,477

Class E, 0.5892% 11/15/17 (g)(j)

216,043

198,619

Class F, 0.6492% 11/15/17 (g)(j)

149,679

136,110

Class G, 0.6992% 11/15/17 (g)(j)

103,750

92,270

Series 2006-FL12:

Class AJ, 0.3292% 12/15/20 (g)(j)

4,060,000

3,890,783

Class B, 0.3692% 12/15/20 (g)(j)

552,287

527,280

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

COMM pass-thru certificates: - continued

sequential payer:

Series 2003-LB1A Class D, 4.278% 6/10/38

$ 550,000

$ 566,548

Series 2004-RS1 Class A, 5.648% 3/3/41 (g)

93,135

94,020

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

5,420,000

5,515,815

Series 2001-J2A Class F, 7.38% 7/16/34 (g)(j)

199,000

237,382

Series 2006-C8 Class XP, 0.6611% 12/10/46 (j)(l)

15,692,429

39,090

Commercial Mortgage Acceptance Corp.:

Series 1998-C1 Class G, 6.21% 7/15/31 (g)

135,205

135,177

weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (g)(j)

12,580

12,584

Commercial Mortgage Asset Trust Series 1999-C2 Class G, 6% 11/17/32

302,000

335,943

Commercial Mortgage pass-thru certificates Series 2004-LB4A Class A5, 4.84% 10/15/37

21,190,000

21,871,492

Commercial Mortgage Trust pass-thru certificates:

Series 2005 C6 Class B, 5.4263% 6/10/44 (j)

905,000

892,041

Series 2005-C6 Class AJ, 5.209% 6/10/44 (j)

1,260,000

1,347,035

Series 2012-CR1:

Class C, 5.3679% 5/15/45 (j)

350,000

390,017

Class D, 5.368% 5/15/45 (g)(j)

1,040,000

1,042,976

Series 2012-CR2:

Class E, 5.02% 8/15/45 (g)(j)

1,727,000

1,685,048

Class F, 4.25% 8/15/45 (g)

1,260,000

1,047,902

Series 2012-LC4:

Class C, 5.824% 12/10/44 (j)

260,000

296,093

Class D, 5.824% 12/10/44 (g)(j)

870,000

894,317

Communication Mortgage Trust Series 2011-THL:

Class E, 5.949% 6/9/28 (g)

493,000

503,126

Class F, 4.867% 6/9/28 (g)

645,000

599,671

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2007-C2 Class A2, 5.448% 1/15/49 (j)

449,662

450,995

Series 2007-C3 Class A4, 5.8694% 6/15/39 (j)

20,611,120

23,202,206

Series 2006-C5 Class ASP, 0.8656% 12/15/39 (j)(l)

9,777,242

36,938

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

1,722,000

1,963,653

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5492% 4/15/22 (g)(j)

6,783,000

6,043,639

Credit Suisse First Boston Mortgage Securities Corp.:

floater Series 2006-TF2A Class KER, 0.7992% 9/15/21 (g)(j)

253,805

247,493

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Credit Suisse First Boston Mortgage Securities Corp.: - continued

sequential payer Series 2004-C1 Class A4, 4.75% 1/15/37

$ 763,855

$ 772,808

Series 1997-C2 Class F, 7.46% 1/17/35 (j)

298,952

299,992

Series 1998-C1:

Class F, 6% 5/17/40 (g)

1,696,644

1,853,190

Class H, 6% 5/17/40 (g)

90,317

54,279

Series 1998-C2:

Class F, 6.75% 11/15/30 (g)

1,156,000

1,212,128

Class G, 6.75% 11/15/30 (g)

180,000

197,103

Series 2001-CK6 Class AX, 1.3925% 8/15/36 (j)(l)

401,707

387

Series 2001-CKN5 Class AX, 1.6699% 9/15/34 (g)(j)(l)

620,318

337

Series 2004-C1 Class E, 5.015% 1/15/37 (g)

1,205,000

1,226,707

Series 2006-C1 Class A3, 5.5814% 2/15/39 (j)

4,884,380

4,920,935

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.3492% 2/15/22 (g)(j)

721,000

710,825

Class C:

0.3692% 2/15/22 (g)(j)

1,864,711

1,833,954

0.4692% 2/15/22 (g)(j)

665,993

645,450

Class F, 0.5192% 2/15/22 (g)(j)

1,331,815

1,281,299

Class L, 2.0992% 2/15/22 (g)(j)

99,364

24,739

sequential payer Series 2007-C1 Class A2, 5.268% 2/15/40

385,020

384,930

Series 2007-C1:

Class ASP, 0.5729% 2/15/40 (j)(l)

23,443,790

73,543

Class B, 5.487% 2/15/40 (g)(j)

2,907,000

410,053

DBUBS Mortgage Trust Series 2011-LC1A:

Class D, 5.7284% 11/10/46 (g)(j)

500,000

548,391

Class E, 5.7284% 11/10/46 (g)(j)

770,000

811,545

Class F, 5.7284% 11/10/46 (g)(j)

1,560,000

1,480,329

Class XB, 0.3189% 11/10/46 (g)(j)(l)

20,920,000

407,187

Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31

239,705

239,747

DLJ Commercial Mortgage Corp. Series 1998-CG1 Class B4, 7.4243% 6/10/31 (g)(j)

235,228

235,189

Extended Stay America Trust Series 2013-ESHM Class M, 7.625% 12/5/19 (g)

640,000

665,565

First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (g)(j)

443,000

464,232

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Fontainebleau Miami Beach Trust Series 2012-FBLU:

Class D, 5.007% 5/5/27 (g)

$ 589,000

$ 607,407

Class E, 5.253% 5/5/27 (g)

411,000

428,317

Four Times Square Trust sequential payer Series 2006-4TS Class A, 5.401% 12/13/28 (g)

200,000

230,517

Freddie Mac:

pass-thru certificates:

Series K011 Class X3, 2.662% 12/25/43 (j)(l)

1,640,000

258,041

Series K012 Class X3, 2.3659% 1/25/41 (j)(l)

1,800,000

253,292

Series K013 Class X3, 2.8848% 1/25/43 (j)(l)

820,000

141,720

Series KAIV Class X2, 3.6147% 6/25/46 (j)(l)

420,000

93,771

FREMF Mortgage Trust:

Series 2010-K9 Class B, 5.3303% 9/25/45 (g)(j)

1,290,000

1,431,536

Series 2011-K10 Class B, 4.7556% 11/25/49 (g)(j)

240,000

261,271

Series 2011-K11 Class B, 4.5698% 12/25/48 (g)(j)

750,000

793,942

G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (g)

883,720

890,260

GCCFC Commercial Mortgage Trust:

Series 2003-C2 Class J, 5.234% 1/5/36 (g)(j)

250,000

248,149

Series 2005-GG3 Class B, 4.894% 8/10/42 (j)

680,000

707,258

GE Capital Commercial Mortgage Corp.:

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

11,404,000

12,813,477

Series 2001-1 Class X1, 2.2683% 5/15/33 (g)(j)(l)

873,462

12,444

Series 2007-C1 Class XP, 0.3409% 12/10/49 (j)(l)

21,576,032

40,930

GMAC Commercial Mortgage Securities, Inc.:

Series 1997-C1 Class H, 6.6% 7/15/29

411,904

319,330

Series 1997-C2 Class G, 6.75% 4/15/29 (j)

360,640

402,842

Series 1999-C1 Class F, 6.02% 5/15/33 (g)

121,786

122,609

Series 1999-C2I Class K, 6.481% 9/15/33

835,000

593,546

Series 1999-C3:

Class J, 6.974% 8/15/36

226,000

237,086

Class K, 6.974% 8/15/36

279,000

218,170

Series 2000-C1 Class K, 7% 3/15/33

15,739

11,988

Series 2003-C3 Class H, 5.9434% 4/10/40 (g)(j)

170,000

171,743

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.3882% 11/5/21 (g)(j)

715,000

695,025

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

18,170,000

20,455,495

Series 2007-GG11 Class A1, 0.395% 12/10/49 (g)(j)(l)

29,299,855

125,286

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

GS Mortgage Securities Corp. II:

floater Series 2007-EOP:

Class A2, 1.2601% 3/6/20 (g)(j)

$ 5,910,000

$ 5,929,544

Class C, 2.0056% 3/6/20 (g)(j)

1,994,000

2,000,646

Class D, 2.2018% 3/6/20 (g)(j)

4,004,000

4,017,726

Class F, 2.6334% 3/6/20 (g)(j)

164,000

164,668

Class G, 2.7903% 3/6/20 (g)(j)

81,000

81,335

Class H, 3.3004% 3/6/20 (g)(j)

60,000

60,269

Class J, 4.0852% 3/6/20 (g)(j)

86,000

86,418

Class L, 5.4585% 3/6/20 (g)(j)

400,000

402,871

Series 1997-GL:

Class G, 7.7695% 7/13/30 (j)

754,516

803,288

Class H, 8.0595% 7/13/30 (g)(j)

230,000

242,799

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

3,990,522

4,079,119

Series 2010-C1:

Class D, 6.1284% 8/10/43 (g)(j)

755,000

848,728

Class E, 4% 8/10/43 (g)

1,240,000

965,178

Class X, 1.6714% 8/10/43 (g)(j)(l)

6,102,032

465,518

Series 2012-GCJ7:

Class C, 5.9063% 5/10/45 (j)

630,000

705,668

Class D, 5.9063% 5/10/45 (g)(j)

970,000

999,918

GS Mortgage Securities Corp. Trust Series 2011-ALF Class E, 4.953% 2/10/21 (g)

510,000

515,049

GS Mortgage Securities Trust:

sequential payer:

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

412,161

417,575

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

6,129,839

6,211,985

Series 2010-C2:

Class D, 5.4008% 12/10/43 (g)(j)

720,000

770,609

Class XA, 0.8497% 12/10/43 (g)(j)(l)

5,500,093

111,283

Series 2011-GC5:

Class C, 5.4745% 8/10/44 (g)(j)

1,050,000

1,161,736

Class D, 5.4745% 8/10/44 (g)(j)

480,000

493,422

JP Morgan Chase Commercial Mortgage Securities Trust floater:

Series 2013-JWMZ Class M, 6.194% 4/15/18 (g)(j)

180,000

182,236

Series 2013-JWRZ Class E, 3.934% 4/15/30 (g)(j)

342,000

343,692

JPMorgan Chase Commercial Mortgage Securities Corp.:

floater Series 2011-CCHP Class E, 5.15% 7/15/28 (g)(j)

500,000

501,083

Series 2002-C1 Class E, 6.135% 7/12/37 (g)

533,636

534,547

Series 2003-C1 Class D, 5.192% 1/12/37

189,919

190,248

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

JPMorgan Chase Commercial Mortgage Securities Corp.: - continued

Series 2009-IWST:

Class C, 7.6935% 12/5/27 (g)(j)

$ 380,000

$ 460,052

Class D, 7.6935% 12/5/27 (g)(j)

1,885,000

2,179,128

Series 2010-CNTM Class MZ, 8.5% 8/5/20 (g)

670,000

700,396

Series 2010-CNTR Class D, 6.3899% 8/5/32 (g)(j)

695,000

778,421

Series 2011-C4 Class E, 5.5691% 7/15/46 (g)(j)

370,000

393,872

Series 2012-CBX:

Class C, 5.3616% 6/16/45 (j)

250,000

272,842

Class D, 5.3616% 6/16/45 (g)(j)

690,000

721,433

JPMorgan Chase Commercial Mortgage Securities Trust:

floater:

Series 2006-FL2A Class J, 0.8492% 11/15/18 (g)(j)

296,925

272,702

Series 2006-FLA2:

Class A2, 0.3292% 11/15/18 (g)(j)

5,395,654

5,315,631

Class B, 0.3692% 11/15/18 (g)(j)

938,120

912,171

Class C, 0.4092% 11/15/18 (g)(j)

666,509

644,460

Class D, 0.4292% 11/15/18 (g)(j)

203,033

192,256

Class E, 0.4792% 11/15/18 (g)(j)

292,885

276,899

Class F, 0.5292% 11/15/18 (g)(j)

438,525

413,493

Class G, 0.5592% 11/15/18 (g)(j)

381,041

358,338

Class H, 0.6992% 11/15/18 (g)(j)

292,952

272,568

sequential payer:

Series 2006-CB14 Class A3B, 5.6743% 12/12/44 (j)

1,923,038

1,943,345

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (j)

480,263

502,026

Class A3, 5.336% 5/15/47

9,409,000

10,513,071

Series 2007-CB19 Class A4, 5.9096% 2/12/49 (j)

6,670,000

7,622,992

Series 2007-LD11:

Class A2, 5.9874% 6/15/49 (j)

2,755,989

2,835,739

Class A4, 6.0024% 6/15/49 (j)

21,269,184

24,238,405

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

1,459,194

1,470,308

Class A3, 5.42% 1/15/49

25,732,000

29,003,850

Series 2004-CBX Class D, 5.097% 1/12/37 (j)

170,000

147,719

Series 2004-LN2 Class D, 5.4141% 7/15/41 (j)

420,000

364,935

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

416,084

415,657

Series 2005-LDP5 Class AJ, 5.4892% 12/15/44 (j)

360,000

383,756

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

332,967

332,692

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

Series 2007-CB19:

Class B, 5.9096% 2/12/49 (j)

$ 165,000

$ 65,175

Class C, 5.9096% 2/12/49 (j)

424,000

77,093

Class D, 5.9096% 2/12/49 (j)

447,000

46,883

Series 2007-LDP10:

Class CS, 5.466% 1/15/49 (j)

157,000

14,906

Class ES, 5.7044% 1/15/49 (g)(j)

983,000

7,967

Series 2010-C2:

Class D, 5.7102% 11/15/43 (g)(j)

645,000

714,841

Class XB, 0.7527% 11/15/43 (g)(j)(l)

3,600,000

145,464

Series 2011-C5:

Class B. 5.4915% 8/15/46 (g)(j)

1,140,000

1,290,991

Class C, 5.4915% 8/15/46 (g)(j)

1,102,648

1,237,030

JPMorgan Chase Commercial Mortgage Trust Series 2013-LC11 Class D, 4.3844% 4/15/46 (j)

1,430,000

1,302,135

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 6.0807% 7/15/44 (j)

21,615,000

24,849,209

Series 1998-C4 Class G, 5.6% 10/15/35 (g)

368,144

373,205

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2004-C2 Class E, 4.487% 3/15/36

150,000

151,660

Series 2005-C3 Class AJ, 4.843% 7/15/40

1,220,000

1,287,952

Series 2005-C7:

Class AJ, 5.323% 11/15/40 (j)

1,500,000

1,612,970

Class AM, 5.263% 11/15/40 (j)

137,000

148,438

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

5,110

5,112

Series 2006-C6:

Class A2, 5.262% 9/15/39 (j)

89,743

90,104

Class A4, 5.372% 9/15/39

857,000

959,744

Class AM, 5.413% 9/15/39

1,500,000

1,679,336

Series 2006-C7:

Class A2, 5.3% 11/15/38

981,760

1,033,290

Class AM, 5.378% 11/15/38

160,000

175,534

Series 2007-C1:

Class A3, 5.398% 2/15/40

9,480,823

9,692,179

Class A4, 5.424% 2/15/40

17,074,000

19,286,927

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

3,967,000

4,414,636

Series 2007-C6 Class A2, 5.845% 7/15/40

4,747,472

4,744,044

Series 2003-C7 Class L, 5.224% 7/15/37 (g)(j)

284,000

279,740

Series 2004-C2 Class G, 4.595% 3/15/36 (g)(j)

225,000

220,345

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

LB-UBS Commercial Mortgage Trust: - continued

Series 2004-C7 Class E, 4.918% 10/15/36

$ 280,000

$ 290,015

Series 2005-C1 Class E, 4.924% 2/15/40

750,000

771,257

Series 2005-C2 Class AJ, 5.205% 4/15/30 (j)

740,000

785,061

Series 2005-C7 Class C, 5.35% 11/15/40 (j)

1,016,000

1,049,787

Series 2006-C4:

Class AJ, 6.0821% 6/15/38 (j)

1,060,000

1,095,946

Class AM, 6.0821% 6/15/38 (j)

500,000

556,879

Series 2006-C6 Class XCP, 0.862% 9/15/39 (j)(l)

7,302,392

15,861

Series 2007-C1 Class XCP, 0.623% 2/15/40 (j)(l)

2,598,342

8,284

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

2,376,000

2,672,537

Series 2007-C7:

Class A3, 5.866% 9/15/45

11,949,201

13,543,499

Class XCP, 0.4169% 9/15/45 (j)(l)

115,327,457

545,268

Lehman Brothers Floating Rate Commercial Mortgage Trust floater:

Series 2006-LLFA:

Class D, 0.4292% 9/15/21 (g)(j)

608,683

601,807

Class E, 0.4892% 9/15/21 (g)(j)

2,196,145

2,149,374

Class F, 0.5392% 9/15/21 (g)(j)

1,143,094

1,107,319

Class G, 0.5592% 9/15/21 (g)(j)

2,258,211

2,164,954

Class H, 0.5992% 9/15/21 (g)(j)

582,579

546,868

Series 2007-LLFA Class E, 1.0992% 6/15/22 (g)(j)

760,000

740,588

LStar Commercial Mortgage Trust:

Series 2011-1 Class D, 5.5422% 6/25/43 (g)(j)

310,000

316,851

Series 2011-1 Class B, 5.5422% 6/25/43 (g)(j)

540,000

563,229

Merrill Lynch Commercial Trust floater Series 2008-LAQA Class A2, 0.7374% 7/9/21 (g)(j)

17,970,000

17,781,674

Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.4086% 10/12/39 (g)(j)

CAD

320,000

273,441

Merrill Lynch Mortgage Investors Trust:

Series 1997-C2 Class F, 6.25% 12/10/29 (j)

409,070

408,682

Series 1998-C3 Class E, 7.0862% 12/15/30 (j)

37,068

37,264

Merrill Lynch Mortgage Trust:

Series 05-LC1 Class AJ, 5.546% 1/12/44 (j)

220,000

238,768

Series 2004-MKB1 Class F, 5.867% 2/12/42 (g)(j)

180,000

182,368

Series 2005-LC1 Class F, 5.6% 1/12/44 (g)(j)

1,655,000

1,342,380

Series 2006-C1:

Class A2, 5.8275% 5/12/39 (j)

748,934

751,386

Class AJ, 5.8725% 5/12/39 (j)

530,000

543,778

Class AM, 5.8725% 5/12/39 (j)

100,000

111,034

Series 2007-C1 Class A4, 6.0442% 6/12/50 (j)

7,199,517

8,213,511

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

4,059,000

4,666,592

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.3192% 12/12/49 (j)

$ 99,233

$ 99,052

sequential payer:

Series 2006-4:

Class A2, 5.112% 12/12/49 (j)

120,266

120,471

Class ASB, 5.133% 12/12/49 (j)

1,127,964

1,173,019

Series 2007-5 Class A4, 5.378% 8/12/48

17,266,000

19,305,650

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

14,650,000

16,457,078

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

6,656,000

7,572,438

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

5,107,694

5,237,404

Series 2006-4 Class XP, 0.8115% 12/12/49 (j)(l)

25,957,588

250,984

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

1,902,000

474,572

Series 2007-7 Class B, 5.9278% 6/12/50 (j)

166,000

9,863

Series 2007-8 Class A3, 6.1305% 8/12/49 (j)

1,640,000

1,888,335

Mezz Capital Commercial Mortgage Trust sequential payer:

Series 2004-C1 Class A, 4.836% 1/15/37 (g)

314,130

267,010

Series 2004-C2 Class A, 5.318% 10/15/40 (g)

524,912

459,298

Morgan Stanley BAML Trust:

Series 2013-C7 Class D, 4.3056% 2/15/46 (g)

810,000

739,370

Series 2013-C8 Class D, 4.3117% 12/15/48 (g)(j)

400,000

364,338

Series 2013-C9 Class D, 4.2997% 5/15/46 (g)(j)

1,030,000

936,952

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF:

Class C, 1.4% 7/15/19 (g)(j)

357,716

147,558

Class J, 0.63% 7/15/19 (g)(j)

335,987

292,124

Series 2007-XLFA:

Class C, 0.36% 10/15/20 (g)(j)

1,092,000

1,064,749

Class D, 0.39% 10/15/20 (g)(j)

667,354

644,027

Class E, 0.45% 10/15/20 (g)(j)

834,661

782,532

Class F, 0.5% 10/15/20 (g)(j)

500,899

464,606

Class G, 0.54% 10/15/20 (g)(j)

619,188

568,133

Class H, 0.63% 10/15/20 (g)(j)

389,758

338,133

Class J, 0.78% 10/15/20 (g)(j)

225,021

84,956

sequential payer:

Series 2012-C4 Class E, 5.71% 3/15/45 (g)

260,000

264,062

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

1,266,535

1,269,511

Series 2006-HQ10 Class AM, 5.36% 11/12/41

620,000

685,623

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

921,287

944,057

Series 1997-RR Class F, 7.4015% 4/30/39 (g)(j)

84,146

84,146

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Morgan Stanley Capital I Trust: - continued

Series 1998-CF1 Class G, 7.35% 7/15/32 (g)

$ 207,935

$ 160,459

Series 1999-WF1:

Class N, 5.91% 11/15/31 (g)

210,000

209,869

Class O, 5.91% 11/15/31 (g)

197,950

56,814

Series 2004-IQ7 Class E, 5.5419% 6/15/38 (g)(j)

120,000

125,955

Series 2004-RR2 Class C, 5.88% 10/28/33 (g)(j)

280,000

280,350

Series 2005-HQ5 Class B, 5.272% 1/14/42

1,500,000

1,579,187

Series 2005-HQ6 Class AJ, 5.073% 8/13/42 (j)

1,000,000

1,060,978

Series 2006-IQ11 Class A4, 5.8515% 10/15/42 (j)

519,331

570,289

Series 2006-IQ12 Class AMFX, 5.37% 12/15/43

719,000

804,839

Series 2006-T23 Class A3, 5.9917% 8/12/41 (j)

972,000

967,545

Series 2007-HQ12 Class A2, 5.7629% 4/12/49 (j)

8,938,719

8,991,306

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (j)

2,852,000

3,233,435

Class B, 5.9128% 4/15/49 (j)

469,000

96,239

Series 2011-C1:

Class C, 5.4202% 9/15/47 (g)(j)

970,000

1,096,464

Class D, 5.4202% 9/15/47 (g)(j)

1,760,000

1,938,131

Class E, 5.4202% 9/15/47 (g)(j)

573,100

598,027

Series 2011-C2:

Class D, 5.4937% 6/15/44 (g)(j)

580,000

604,937

Class E, 5.4937% 6/15/44 (g)(j)

600,000

621,790

Class F, 5.4937% 6/15/44 (g)(j)

550,000

459,052

Class XB, 0.539% 6/15/44 (g)(j)(l)

9,001,008

314,090

Series 2011-C3:

Class C, 5.3573% 7/15/49 (g)(j)

1,000,000

1,091,016

Class D, 5.357% 7/15/49 (g)

1,130,000

1,207,759

Class E, 5.3573% 7/15/49 (g)(j)

400,000

410,808

Series 2012-C4:

Class C, 5.7111% 3/15/45 (g)

500,000

562,011

Class D, 5.7102% 3/15/45 (g)(j)

330,000

356,529

Morgan Stanley Dean Witter Capital I Trust:

Series 2000-PRIN Class C, 7.9089% 2/23/34 (j)

466,000

525,940

Series 2001-TOP3 Class E, 7.5109% 7/15/33 (g)(j)

150,000

150,478

Series 2003-TOP9 Class E, 5.646% 11/13/36 (g)(j)

78,000

82,129

NationsLink Funding Corp.:

Series 1998-2 Class J, 5% 8/20/30 (g)

46,982

46,642

Series 1999-SL Class X, 11/10/30 (l)

9,240

9,229

Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (g)

831,140

1,018,396

RBSCF Trust Series 2010-MB1 Class D, 4.8374% 4/15/24 (g)(j)

1,238,000

1,256,447

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Real Estate Asset Liquidity Trust:

Series 2006-2:

Class F, 4.456% 9/12/38 (g)

CAD

$ 107,000

$ 92,165

Class G, 4.456% 9/12/38 (g)

CAD

54,000

45,346

Class H, 4.456% 9/12/38 (g)

CAD

36,000

27,570

Class J, 4.456% 9/12/38 (g)

CAD

36,000

25,162

Class K, 4.456% 9/12/38 (g)

CAD

18,000

11,592

Class L, 4.456% 9/12/38 (g)

CAD

26,000

15,785

Class M, 4.456% 9/12/38 (g)

CAD

104,391

48,453

Series 2007-1:

Class F, 4.57% 4/12/23

CAD

126,000

107,159

Class G, 4.57% 4/12/23

CAD

42,000

34,536

Class H, 4.57% 4/12/23

CAD

42,000

31,779

Class J, 4.57% 4/12/23 (j)

CAD

42,000

30,252

Class K, 4.57% 4/12/23

CAD

21,000

14,176

Class L, 4.57% 4/12/23

CAD

63,000

41,185

Class M, 4.57% 4/12/23

CAD

185,000

94,674

Salomon Brothers Mortgage Securities VII, Inc.:

Series 2001-MMA Class E3, 6.5% 2/18/34 (g)(j)

10,321

10,461

Series 2006-C2 Class H, 6.308% 7/18/33 (g)

268,000

105,298

TIAA Seasoned Commercial Mortgage Trust:

sequential payer Series 2007-C4 Class AJ, 5.5409% 8/15/39 (j)

170,000

185,207

Series 2007-C4 Class F, 5.5409% 8/15/39 (j)

820,000

615,442

TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (g)

270,000

277,100

UBS Commercial Mortgage Trust Series 2007-FL1:

Class F, 0.7742% 7/15/24 (g)(j)

110,000

99,206

Class G, 0.7742% 7/15/24 (g)(j)

200,000

176,375

UBS-Citigroup Commercial Mortgage Trust Series 2011-C1 Class B, 6.0706% 1/10/45 (g)(j)

284,000

338,157

VNO Mortgage Trust Series 2012-6AVE Class D, 3.337% 11/15/30 (g)(j)

1,299,000

1,213,823

Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (g)

180,000

201,365

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class E, 0.4782% 9/15/21 (g)(j)

1,770,598

1,693,814

Class F, 0.5382% 9/15/21 (g)(j)

1,877,987

1,768,376

Class G, 0.5582% 9/15/21 (g)(j)

1,779,101

1,648,575

Class J, 0.7982% 9/15/21 (g)(j)

395,545

328,039

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Wachovia Bank Commercial Mortgage Trust: - continued

floater:

Series 2007-WHL8:

Class F, 0.6792% 6/15/20 (g)(j)

$ 4,565,501

$ 4,042,276

Class LXR1, 0.8992% 6/15/20 (g)(j)

233,698

203,317

sequential payer:

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

5,044,309

5,142,315

Series 2007-C30 Class A5, 5.342% 12/15/43

13,536,000

15,230,432

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

45,212,000

50,518,759

Series 2007-C32 Class A3, 5.9236% 6/15/49 (j)

19,449,000

22,138,583

Series 2007-C33:

Class A4, 6.1222% 2/15/51 (j)

11,720,000

13,245,756

Class A5, 6.1222% 2/15/51 (j)

19,259,000

22,277,155

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

903,000

903,542

Series 2004-C10 Class E, 4.931% 2/15/41

340,000

345,088

Series 2004-C11:

Class D, 5.5634% 1/15/41 (j)

360,000

372,071

Class E, 5.6134% 1/15/41 (j)

327,000

335,795

Series 2004-C12 Class D, 5.4782% 7/15/41 (j)

280,000

288,898

Series 2004-C14:

Class B, 5.17% 8/15/41

258,500

268,669

Class C, 5.21% 8/15/41

170,000

176,484

Series 2004-C15 Class 175C, 6.0432% 10/15/41 (g)(j)

500,000

493,291

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

1,902,000

1,994,608

Series 2005-C22:

Class B, 5.5564% 12/15/44 (j)

4,218,000

3,421,810

Class F, 5.5564% 12/15/44 (g)(j)

3,171,000

876,782

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

7,870,000

8,701,489

Series 2007-C30 Class XP, 0.6719% 12/15/43 (g)(j)(l)

15,396,510

57,694

Series 2007-C31 Class C, 5.8685% 4/15/47 (j)

522,000

368,172

Series 2007-C32:

Class D, 5.9236% 6/15/49 (j)

1,431,000

558,090

Class E, 5.9236% 6/15/49 (j)

2,252,000

776,940

Wells Fargo Commercial Mortgage Trust:

Series 2010-C1 Class XB, 0.6698% 11/15/43 (g)(j)(l)

20,614,217

796,987

Series 2012-LC5:

Class C, 4.693% 10/15/45 (j)

569,000

597,753

Class D, 4.7802% 10/15/45 (g)

1,621,000

1,554,241

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

WF-RBS Commercial Mortgage Trust:

Series 2011-C3:

Class C, 5.335% 3/15/44 (g)

$ 360,000

$ 400,369

Class D, 5.7215% 3/15/44 (g)(j)

230,000

239,195

Class E, 5% 3/15/44 (g)

890,000

816,308

Series 2011-C4 Class E, 5.2488% 6/15/44 (g)(j)

320,000

324,878

Series 2011-C5:

Class C, 5.8242% 11/15/44 (g)(j)

260,000

296,506

Class D, 5.8242% 11/15/44 (g)(j)

600,000

660,928

Class E, 5.8242% 11/15/44 (g)(j)

590,000

612,314

Class XA, 2.224% 11/15/44 (g)(j)(l)

5,140,756

590,580

Series 2012-C6 Class D, 5.7486% 4/15/45 (g)(j)

540,000

554,130

Series 2012-C7:

Class C, 5.0049% 6/15/45 (j)

1,270,000

1,366,446

Class E, 4.8512% 6/15/45 (g)

890,000

861,539

Series 2012-C8 Class D, 5.0423% 8/15/45 (g)(j)

650,000

677,024

Series 2013-C11:

Class D, 4.3249% 3/15/45 (g)(j)

870,000

795,370

Class E, 4.3249% 3/15/45 (g)(j)

1,750,000

1,329,132

Series 2013-C13 Class D, 4.2791% 5/15/45 (g)(j)

600,000

541,286

WFDB Commercial Mortgage Trust Series 2011-BXR Class D, 5.914% 7/5/24 (g)

1,500,000

1,529,975

WFRBS Commercial Mortgage Trust Series 2012-C10 Class D, 4.6101% 12/15/45 (g)(j)

380,000

354,194

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $676,621,015)


781,276,139

Municipal Securities - 1.8%

 

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

3,300,000

3,410,682

California Gen. Oblig.:

Series 2009, 7.35% 11/1/39

2,650,000

3,664,950

7.3% 10/1/39

2,150,000

2,955,691

7.5% 4/1/34

14,555,000

20,204,232

7.55% 4/1/39

17,880,000

25,573,943

7.6% 11/1/40

32,540,000

47,225,627

7.625% 3/1/40

5,410,000

7,763,242

Chicago Gen. Oblig. (Taxable Proj.) Series 2010 C1, 7.781% 1/1/35

11,325,000

14,608,910

Illinois Gen. Oblig.:

Series 2003, 5.1% 6/1/33

46,995,000

47,151,493

Municipal Securities - continued

 

Principal Amount (d)

Value

Illinois Gen. Oblig.: - continued

Series 2010, 4.421% 1/1/15

$ 6,825,000

$ 7,161,950

Series 2010-1, 6.63% 2/1/35

11,945,000

13,607,863

Series 2010-3:

6.725% 4/1/35

17,810,000

20,485,774

7.35% 7/1/35

8,165,000

9,915,984

Series 2011:

5.665% 3/1/18

4,730,000

5,351,711

5.877% 3/1/19

9,215,000

10,473,677

TOTAL MUNICIPAL SECURITIES

(Cost $228,347,714)


239,555,729

Foreign Government and Government Agency Obligations - 1.9%

 

Argentine Republic:

discount (with partial capitalization through 12/31/13) 8.28% 12/31/33

3,072,773

1,805,254

2.5% 12/31/38 (e)

1,765,000

600,100

7% 9/12/13

10,315,000

10,308,410

7% 10/3/15

5,145,000

4,439,849

Aruba Government 4.625% 9/14/23 (g)

760,000

769,500

Bahamian Republic 6.95% 11/20/29 (g)

855,000

1,043,100

Barbados Government:

7% 8/4/22 (g)

400,000

416,000

7.25% 12/15/21 (g)

470,000

493,500

Belarus Republic:

8.75% 8/3/15 (Reg. S)

3,735,000

3,875,063

8.95% 1/26/18

1,235,000

1,343,063

Bermuda Government 4.138% 1/3/23 (g)

670,000

693,450

Brazilian Federative Republic:

5.625% 1/7/41

1,775,000

1,970,250

7.125% 1/20/37

1,215,000

1,600,763

8.25% 1/20/34

935,000

1,355,750

10.125% 5/15/27

545,000

901,975

12.25% 3/6/30

895,000

1,651,275

City of Buenos Aires 12.5% 4/6/15 (g)

2,710,000

2,716,775

Colombian Republic:

6.125% 1/18/41

1,735,000

2,082,000

7.375% 9/18/37

1,680,000

2,284,800

10.375% 1/28/33

1,820,000

2,993,900

11.75% 2/25/20

775,000

1,170,250

Congo Republic 3% 6/30/29 (e)

2,840,310

2,613,085

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Costa Rican Republic:

4.25% 1/26/23 (g)

$ 1,150,000

$ 1,118,375

4.375% 4/30/25 (g)

490,000

475,300

5.625% 4/30/43 (g)

490,000

476,525

Croatia Republic:

5.5% 4/4/23 (g)

1,910,000

1,943,425

6.25% 4/27/17 (g)

1,260,000

1,359,288

6.375% 3/24/21 (g)

1,750,000

1,901,025

6.625% 7/14/20 (g)

1,670,000

1,839,171

6.75% 11/5/19 (g)

2,050,000

2,283,700

Democratic Socialist Republic of Sri Lanka:

5.875% 7/25/22 (g)

975,000

975,000

6.25% 10/4/20 (g)

1,910,000

1,957,750

6.25% 7/27/21 (g)

1,410,000

1,445,250

7.4% 1/22/15 (g)

1,335,000

1,408,425

Dominican Republic:

1.25% 8/30/24 (j)

1,350,000

1,215,000

5.875% 4/18/24 (g)

570,000

581,400

7.5% 5/6/21 (g)

2,030,000

2,293,900

9.04% 1/23/18 (g)

1,185,880

1,316,327

El Salvador Republic:

7.625% 2/1/41 (g)

675,000

718,875

7.65% 6/15/35 (Reg. S)

1,165,000

1,234,900

8.25% 4/10/32 (Reg. S)

575,000

655,500

Georgia Republic 6.875% 4/12/21 (g)

1,120,000

1,299,200

Guatemalan Republic:

4.875% 2/13/28 (g)

615,000

596,550

5.75% 6/6/22 (g)

935,000

1,009,800

Hungarian Republic:

4.125% 2/19/18

596,000

593,020

4.75% 2/3/15

6,330,000

6,488,250

7.625% 3/29/41

1,028,000

1,124,375

Indonesian Republic:

3.375% 4/15/23 (g)

555,000

527,250

4.625% 4/15/43 (g)

555,000

508,519

4.875% 5/5/21 (g)

1,260,000

1,360,800

5.25% 1/17/42 (g)

1,175,000

1,157,375

5.875% 3/13/20 (g)

1,260,000

1,442,700

6.625% 2/17/37 (g)

950,000

1,116,250

6.875% 1/17/18 (g)

905,000

1,063,375

7.75% 1/17/38 (g)

1,450,000

1,914,000

8.5% 10/12/35 (Reg. S)

1,435,000

2,023,350

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Indonesian Republic: - continued

11.625% 3/4/19 (g)

$ 1,535,000

$ 2,206,563

Islamic Republic of Pakistan 7.125% 3/31/16 (g)

3,120,000

2,995,200

Ivory Coast 7.1% 12/31/32 (e)

750,000

701,250

Jordanian Kingdom 3.875% 11/12/15

1,020,000

1,009,800

Latvian Republic:

2.75% 1/12/20 (g)

1,400,000

1,347,500

5.25% 2/22/17 (g)

850,000

930,750

5.25% 6/16/21 (g)

825,000

918,885

Lebanese Republic:

4% 12/31/17

4,037,500

3,972,092

4.75% 11/2/16

1,785,000

1,771,613

5.15% 11/12/18

1,190,000

1,169,175

5.45% 11/28/19

1,555,000

1,508,350

6.375% 3/9/20

1,180,000

1,197,700

Lithuanian Republic:

6.125% 3/9/21 (g)

1,960,000

2,293,200

6.625% 2/1/22 (g)

1,940,000

2,352,250

7.375% 2/11/20 (g)

2,455,000

3,047,269

Mongolian People's Republic 5.125% 12/5/22 (g)

600,000

553,500

Moroccan Kingdom:

4.25% 12/11/22 (g)

1,600,000

1,560,000

5.5% 12/11/42 (g)

600,000

568,500

Panamanian Republic:

4.3% 4/29/53

1,030,000

927,000

6.7% 1/26/36

780,000

996,450

8.875% 9/30/27

1,265,000

1,898,765

Peruvian Republic:

4% 3/7/27 (e)

1,360,000

1,360,000

5.625% 11/18/50

1,035,000

1,182,488

7.35% 7/21/25

700,000

946,750

8.75% 11/21/33

2,405,000

3,757,813

Philippine Republic:

7.75% 1/14/31

1,655,000

2,329,413

9.5% 2/2/30

1,655,000

2,656,275

10.625% 3/16/25

1,210,000

1,996,500

Plurinational State of Bolivia 4.875% 10/29/22 (g)

1,190,000

1,166,200

Polish Government:

3% 3/17/23

1,465,000

1,406,400

5% 3/23/22

1,805,000

2,044,163

6.375% 7/15/19

2,200,000

2,664,750

Provincia de Cordoba 12.375% 8/17/17 (g)

1,775,000

1,366,750

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S)

$ 1,750,000

$ 1,872,500

Republic of Iraq 5.8% 1/15/28 (Reg. S)

5,000,000

4,362,500

Republic of Namibia 5.5% 11/3/21 (g)

740,000

795,123

Republic of Nigeria 6.75% 1/28/21 (g)

860,000

967,500

Republic of Paraguay 4.625% 1/25/23 (g)

425,000

420,113

Republic of Senegal 8.75% 5/13/21 (g)

500,000

585,000

Republic of Serbia:

4.875% 2/25/20 (g)

1,390,000

1,367,482

5.25% 11/21/17 (g)

965,000

983,335

6.75% 11/1/24 (g)

2,921,427

2,947,135

7.25% 9/28/21 (g)

900,000

1,000,125

Republic of Slovenia 4.75% 5/10/18 (g)

555,000

538,350

Republic of Zambia 5.375% 9/20/22 (g)

1,000,000

937,500

Romanian Republic:

4.375% 8/22/23 (g)

1,396,000

1,385,530

6.75% 2/7/22 (g)

2,872,000

3,396,140

Russian Federation:

5.625% 4/4/42 (g)

600,000

658,500

7.5% 3/31/30 (Reg. S)

4,192,115

5,093,420

11% 7/24/18 (Reg. S)

385,000

539,000

12.75% 6/24/28 (Reg. S)

2,755,000

5,186,288

State of Qatar 5.75% 1/20/42 (g)

745,000

866,063

State Oil Co. of Azerbaijan Republic 4.75% 3/13/23 (Reg. S)

450,000

447,750

State Oil Company of Azerbaijan Republic 5.45% 2/9/17

355,000

378,040

Tanzania United Republic of 6.4499% 3/8/20 (j)

1,155,000

1,178,100

Turkish Republic:

4.875% 4/16/43

555,000

561,938

5.125% 3/25/22

515,000

584,525

5.625% 3/30/21

815,000

951,513

6% 1/14/41

1,020,000

1,188,300

6.25% 9/26/22

680,000

832,184

6.75% 4/3/18

1,145,000

1,374,000

6.75% 5/30/40

1,115,000

1,421,625

6.875% 3/17/36

1,795,000

2,284,138

7% 9/26/16

510,000

594,150

7% 3/11/19

335,000

412,050

7.25% 3/5/38

1,150,000

1,541,000

7.375% 2/5/25

1,825,000

2,427,250

7.5% 7/14/17

1,010,000

1,222,100

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Turkish Republic: - continued

7.5% 11/7/19

$ 745,000

$ 948,013

8% 2/14/34

490,000

693,350

11.875% 1/15/30

650,000

1,209,000

Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (g)

1,690,000

1,685,775

Ukraine Government:

6.25% 6/17/16 (g)

1,155,000

1,144,952

6.75% 11/14/17 (g)

770,000

764,225

7.65% 6/11/13 (g)

1,255,000

1,255,000

7.75% 9/23/20 (g)

1,180,000

1,203,600

7.8% 11/28/22 (g)

1,000,000

1,002,500

7.95% 6/4/14 (g)

1,470,000

1,499,400

7.95% 2/23/21 (g)

1,425,000

1,467,750

9.25% 7/24/17 (g)

2,150,000

2,311,250

United Arab Emirates 7.75% 10/5/20 (Reg. S)

545,000

668,988

United Mexican States:

4.75% 3/8/44

13,438,000

13,438,000

5.75% 10/12/2110

326,000

337,410

6.05% 1/11/40

1,116,000

1,316,880

6.75% 9/27/34

800,000

1,018,000

7.5% 4/8/33

360,000

495,000

8.3% 8/15/31

420,000

615,300

Uruguay Republic 7.875% 1/15/33 pay-in-kind

2,925,000

4,007,250

Venezuelan Republic:

6% 12/9/20

480,000

384,000

7% 3/31/38

395,000

292,300

8.5% 10/8/14

1,225,000

1,246,438

9% 5/7/23 (Reg. S)

1,775,000

1,612,588

9.25% 9/15/27

335,000

304,013

9.25% 5/7/28 (Reg. S)

620,000

548,700

9.375% 1/13/34

585,000

514,800

11.75% 10/21/26 (Reg. S)

1,200,000

1,218,000

11.95% 8/5/31 (Reg. S)

1,745,000

1,779,900

12.75% 8/23/22

2,850,000

3,092,250

13.625% 8/15/18

1,318,000

1,499,225

Vietnamese Socialist Republic:

1.2599% 3/12/16 (j)

769,565

704,152

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Vietnamese Socialist Republic: - continued

4% 3/12/28 (e)

$ 4,518,417

$ 3,671,214

6.875% 1/15/16 (g)

1,760,000

1,883,200

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $237,569,862)


258,488,066

Common Stocks - 0.0%

Shares

 

MATERIALS - 0.0%

Paper & Forest Products - 0.0%

Emerald Plantation Holdings Ltd. (a)

211,773

69,885

TELECOMMUNICATION SERVICES - 0.0%

Wireless Telecommunication Services - 0.0%

CUI Acquisition Corp. Class E (a)(g)

1

863,100

TOTAL COMMON STOCKS

(Cost $1,258,927)


932,985

Preferred Stocks - 0.1%

 

 

 

 

Convertible Preferred Stocks - 0.0%

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

Alexandria Real Estate Equities, Inc. Series D 7.00%

9,000

250,313

Nonconvertible Preferred Stocks - 0.1%

FINANCIALS - 0.1%

Real Estate Investment Trusts - 0.1%

Alexandria Real Estate Equities, Inc. Series E, 6.45%

15,000

405,600

Annaly Capital Management, Inc.:

Series C, 7.625%

27,600

696,348

Series D, 7.50%

5,942

149,144

Boston Properties, Inc. 5.25%

17,500

436,625

CBL & Associates Properties, Inc.:

7.375%

7,720

196,783

Series E, 6.625%

25,000

651,000

Cedar Shopping Centers, Inc. Series B, 7.25%

10,000

257,900

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Corporate Office Properties Trust:

Series H, 7.50%

5,000

$ 130,050

Series L, 7.375%

12,221

331,189

DDR Corp. Series K, 6.25%

17,823

445,575

Digital Realty Trust, Inc. Series E, 7.00%

10,000

259,600

Equity Lifestyle Properties, Inc. Series C, 6.75%

18,343

475,634

Essex Property Trust, Inc. Series H, 7.125%

9,354

249,378

First Potomac Realty Trust 7.75%

15,000

389,700

Hersha Hospitality Trust Series B, 8.00%

13,844

360,221

Hospitality Properties Trust Series D, 7.125%

10,000

261,000

LaSalle Hotel Properties Series H, 7.50%

10,000

262,800

PS Business Parks, Inc.:

6.875%

10,000

267,100

Series S, 6.45%

21,000

546,000

Public Storage:

Series P, 6.50%

12,000

316,800

Series R, 6.35%

10,500

276,780

Series S, 5.90%

20,000

518,800

Realty Income Corp. Series F, 6.625%

12,000

315,000

Regency Centers Corp. Series 6, 6.625%

5,510

145,684

Retail Properties America, Inc. 7.00%

24,109

604,895

Sabra Health Care REIT, Inc. Series A, 7.125%

18,495

467,184

Stag Industrial, Inc. Series A, 9.00%

20,000

560,400

Sun Communities, Inc. Series A, 7.125%

14,801

383,198

Taubman Centers, Inc. Series J, 6.50%

11,338

290,706

 

10,651,094

TOTAL PREFERRED STOCKS

(Cost $10,457,966)


10,901,407

Floating Rate Loans - 0.4%

 

Principal Amount (d)

 

CONSUMER DISCRETIONARY - 0.1%

Hotels, Restaurants & Leisure - 0.1%

Extended Stay America, Inc. REL 9.625% 12/1/19

$ 1,000,000

1,050,000

Hilton Worldwide, Inc. term loan 4.449% 11/12/15 (j)

9,212,309

9,154,732

La Quinta:

Tranche A, term loan 11.375% 7/6/14 (j)

266,005

269,676

Floating Rate Loans - continued

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

La Quinta: - continued

Tranche B, term loan 11.375% 7/6/14 (j)

$ 199,504

$ 202,257

Tranche D, term loan 14.9% 7/6/14 (j)

650,000

650,000

 

11,326,665

Media - 0.0%

Harron Communications LP Tranche B, term loan 5% 10/6/17 (j)

1,868,088

1,884,433

UPC Broadband Holding BV Tranche AF, term loan 4% 1/31/21 (j)

1,375,000

1,380,156

 

3,264,589

TOTAL CONSUMER DISCRETIONARY

14,591,254

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (j)

2,205,000

2,260,125

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

1,167,963

1,191,322

 

3,451,447

FINANCIALS - 0.1%

Capital Markets - 0.0%

Equinox Holdings, Inc.:

Tranche 2LN, term loan 9.75% 5/16/20 (j)

755,000

771,988

Tranche B 1LN, term loan 4.5% 2/1/20 (j)

1,405,000

1,412,025

 

2,184,013

Diversified Financial Services - 0.0%

Blackstone REL 10% 10/1/17

1,249,727

1,312,213

Insurance - 0.1%

Asurion LLC Tranche B 1LN, term loan 4.5% 5/24/19 (j)

2,299,238

2,304,986

Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (j)

1,925,000

2,040,500

Stoneriver Group LP:

Tranche 2LN, term loan 8.5% 5/29/20 (j)

940,000

940,000

Tranche B 1LN, term loan 4.5% 11/29/19 (j)

1,880,000

1,882,444

 

7,167,930

Real Estate Management & Development - 0.0%

CityCenter term loan 8.75% 7/1/13 (j)

521,219

521,219

Floating Rate Loans - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Real Estate Management & Development - continued

EOP Operating LP term loan:

5% 2/1/14 (j)

$ 1,000,000

$ 1,000,000

5.25% 2/1/14 (j)

1,200,000

1,200,000

Equity Inns Reality LLC Tranche A, term loan 10.5% 11/4/13 (j)

1,207,706

1,107,265

 

3,828,484

Thrifts & Mortgage Finance - 0.0%

Ocwen Loan Servicing, LLC Tranche B, term loan 5% 1/23/18 (j)

45,000

45,675

TOTAL FINANCIALS

14,538,315

INDUSTRIALS - 0.1%

Airlines - 0.1%

Delta Air Lines, Inc.:

Tranche B 1LN, term loan:

4% 10/18/18 (j)

2,334,150

2,345,821

5% 4/20/17 (j)

2,746,088

2,787,279

Tranche B 2LN, term loan 3.25% 4/18/16 (j)

583,538

583,538

US Airways, Inc.:

Tranche B 1LN, term loan 4.25% 5/21/19 (j)

2,250,000

2,244,375

Tranche B 2LN, term loan 3.5% 11/21/16 (j)

1,500,000

1,496,250

 

9,457,263

Construction & Engineering - 0.0%

Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (j)

535,215

513,807

TOTAL INDUSTRIALS

9,971,070

INFORMATION TECHNOLOGY - 0.1%

IT Services - 0.1%

First Data Corp. term loan 4.1953% 3/24/18 (j)

4,645,000

4,623,726

RP Crown Parent, LLC Tranche 1LN, term loan 6.75% 12/21/18 (j)

1,610,963

1,643,182

 

6,266,908

Floating Rate Loans - continued

 

Principal Amount (d)

Value

INFORMATION TECHNOLOGY - continued

Software - 0.0%

ION Trading Technologies Ltd.:

Tranche 1LN, term loan 4.5% 5/22/20 (j)

$ 95,000

$ 95,475

Tranche 2LN, term loan 8.25% 5/22/21 (j)

45,000

45,338

 

140,813

TOTAL INFORMATION TECHNOLOGY

6,407,721

TELECOMMUNICATION SERVICES - 0.0%

Wireless Telecommunication Services - 0.0%

Intelsat Jackson Holdings SA term loan 5.25% 2/1/14 (j)

1,226,645

1,228,178

TOTAL FLOATING RATE LOANS

(Cost $49,179,461)


50,187,985

Sovereign Loan Participations - 0.0%

 

Indonesian Republic loan participation:

Citibank 1.1875% 12/14/19 (j)

1,306,197

1,188,639

Goldman Sachs 1.1875% 12/14/19 (j)

1,119,444

1,018,694

1.1875% 12/14/19 (j)

355,323

323,344

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $2,436,912)


2,530,677

Bank Notes - 0.0%

 

Fifth Third Bank 4.75% 2/1/15
(Cost $1,361,096)

1,329,000


1,410,066

Fixed-Income Funds - 22.7%

Shares

 

Fidelity Floating Rate Central Fund (k)

3,823,449

409,567,848

Fidelity Mortgage Backed Securities Central Fund (k)

24,982,159

2,689,329,396

TOTAL FIXED-INCOME FUNDS

(Cost $2,875,406,408)


3,098,897,244

Preferred Securities - 0.0%

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

Globo Comunicacoes e Participacoes SA 6.25% (e)(g)(h)

$ 1,290,000

$ 1,386,378

NBCUniversal Enterprise, Inc. 5.25% (g)(h)

1,060,000

1,082,855

 

2,469,233

CONSUMER STAPLES - 0.0%

Food Products - 0.0%

Cosan Overseas Ltd. 8.25% (h)

650,000

705,934

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Reliance Industries Ltd. 5.875% (g)(h)

400,000

385,700

MATERIALS - 0.0%

Metals & Mining - 0.0%

CSN Islands XII Corp. 7% (Reg. S) (h)

1,480,000

1,458,267

TOTAL PREFERRED SECURITIES

(Cost $4,975,402)


5,019,134

Money Market Funds - 1.3%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)
(Cost $181,807,697)

181,807,697


181,807,697

Cash Equivalents - 1.9%

Maturity
Amount

Value

Investments in repurchase agreements in a joint trading account at:

0.06%, dated 5/31/13 due 6/3/13 (Collateralized by U.S. Treasury Obligations) #

$ 2,128,011

$ 2,128,000

0.07%, dated 5/31/13 due 6/3/13 (Collateralized by U.S. Government Obligations) #

257,182,500

257,181,000

TOTAL CASH EQUIVALENTS

(Cost $259,309,000)


259,309,000

TOTAL INVESTMENT PORTFOLIO - 103.2%

(Cost $13,428,227,930)

14,081,885,458

NET OTHER ASSETS (LIABILITIES) - (3.2)%

(433,321,802 )

NET ASSETS - 100%

$ 13,648,563,656

TBA Sale Commitments

 

Principal
Amount (d)

 

Fannie Mae

2.5% 6/1/28

$ (7,600,000)

(7,763,988)

3% 6/1/28

(7,000,000)

(7,286,769)

3% 6/1/43

(600,000)

(604,208)

3% 6/1/43

(6,800,000)

(6,847,688)

3.5% 6/1/43

(62,200,000)

(64,440,170)

4% 6/1/28

(15,500,000)

(16,463,908)

4% 6/1/43

(17,100,000)

(18,041,836)

4% 6/1/43

(27,200,000)

(28,698,124)

4.5% 6/1/43

(34,900,000)

(37,291,194)

5% 6/1/43

(2,700,000)

(2,911,359)

TBA Sale Commitments - continued

 

Principal
Amount (d)

Value

Fannie Mae - continued

5.5% 6/1/43

$ (34,900,000)

$ (37,802,605)

5.5% 6/1/43

(29,000,000)

(31,411,907)

6% 6/1/43

(14,500,000)

(15,778,907 )

TOTAL FANNIE MAE

(275,342,663 )

Freddie Mac

3% 6/1/43

(9,300,000)

(9,329,620)

3% 6/1/43

(100,000)

(100,318)

3.5% 6/1/43

(32,700,000)

(33,795,960)

4% 6/1/43

(16,100,000)

(16,946,507 )

TOTAL FREDDIE MAC

(60,172,405 )

Ginnie Mae

3% 6/1/43

(2,500,000)

(2,550,736)

3% 6/1/43

(5,400,000)

(5,508,745)

3% 6/1/43

(2,000,000)

(2,040,276)

3.5% 6/1/43

(3,300,000)

(3,470,930)

3.5% 6/1/43

(1,500,000)

(1,577,695)

3.5% 6/1/43

(4,900,000)

(5,141,555)

4% 6/1/43

(27,800,000)

(29,519,227)

4% 6/1/43

(5,900,000)

(6,299,903)

4.5% 6/1/43

(6,400,000)

(6,844,330)

4.5% 6/1/43

(13,200,000)

(14,227,806)

5% 6/1/43

(800,000)

(862,778 )

TOTAL GINNIE MAE

(78,043,981 )

TOTAL TBA SALE COMMITMENTS

(Proceeds $419,091,291)

$ (413,559,049 )

Swaps

Credit Default Swaps

Underlying Reference

Rating
(1)

Expiration
Date

Clearinghouse/
Counterparty

Fixed
Payment
Received/
(Paid)

Notional
Amount
(2)

Value (1)

Upfront
Premium
Received/
(Paid)

Unrealized
Appreciation/
(Depreciation)

Sell Protection

Morgan Stanley ABS Capital I Inc Series 2004-HE7 Class B3

C

Sep. 2034

Morgan Stanley, Inc.

5.10%

$ 22,651

$ (13,787 )

$ 0

$ (13,787 )

 

(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings 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.

 

(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

Currency Abbreviations

CAD

-

Canadian dollar

Legend

(a) Non-income producing

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

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

(d) Amount is stated in United States dollars unless otherwise noted.

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

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

(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,034,416,373 or 7.6% of net assets.

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

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

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

(k) Affiliated fund that is generally 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 website 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 are available on the SEC's website or upon request.

(l) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(m) 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 $318,684 or 0.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

ACGS Series 2004-1 Class P, 7.4605% 8/1/19

2/17/11

$ 313,202

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value

$2,128,000 due 6/03/13 at 0.06%

Barclays Capital, Inc.

$ 595,280

Merrill Lynch, Pierce, Fenner & Smith, Inc.

413,592

UBS Securities LLC

1,119,128

 

$ 2,128,000

$257,181,000 due 6/03/13 at 0.07%

Commerz Markets LLC

$ 257,181,000

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 Cash Central Fund

$ 810,915

Fidelity Floating Rate Central Fund

15,533,292

Fidelity Mortgage Backed Securities Central Fund

44,447,540

Total

$ 60,791,747

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

Fund

Value,
beginning of
period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity Floating Rate Central Fund

$ 455,557,522

$ 15,533,279

$ 74,964,151

$ 409,567,848

30.2%

Fidelity Mortgage Backed Securities Central Fund

3,365,808,163

44,447,541

662,831,266

2,689,329,396

19.1%

Total

$ 3,821,365,685

$ 59,980,820

$ 737,795,417

$ 3,098,897,244

Other Information

The following is a summary of the inputs used, as of May 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Financials

$ 10,901,407

$ 10,651,094

$ 250,313

$ -

Materials

69,885

69,885

-

-

Telecommunication Services

863,100

-

-

863,100

Corporate Bonds

3,854,161,745

-

3,854,084,197

77,548

U.S. Government and Government Agency Obligations

4,277,521,097

-

4,277,521,097

-

U.S. Government Agency - Mortgage Securities

822,797,516

-

822,797,516

-

Asset-Backed Securities

106,711,906

-

96,941,471

9,770,435

Collateralized Mortgage Obligations

130,377,065

-

129,266,284

1,110,781

Commercial Mortgage Securities

781,276,139

-

776,435,974

4,840,165

Municipal Securities

239,555,729

-

239,555,729

-

Foreign Government and Government Agency Obligations

258,488,066

-

257,128,066

1,360,000

Floating Rate Loans

50,187,985

-

43,982,620

6,205,365

Sovereign Loan Participations

2,530,677

-

-

2,530,677

Bank Notes

1,410,066

-

1,410,066

-

Fixed-Income Funds

3,098,897,244

3,098,897,244

-

-

Preferred Securities

5,019,134

-

5,019,134

-

Money Market Funds

181,807,697

181,807,697

-

-

Cash Equivalents

259,309,000

-

259,309,000

-

Total Investments in Securities:

$ 14,081,885,458

$ 3,291,425,920

$ 10,763,701,467

$ 26,758,071

Derivative Instruments:

Liabilities

Swaps

$ (13,787 )

$ -

$ (13,787 )

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (413,559,049 )

$ -

$ (413,559,049 )

$ -

Income Tax Information

At May 31, 2013, the cost of investment securities for income tax purposes was $13,497,995,548. Net unrealized appreciation aggregated $583,889,910, of which $689,160,762 related to appreciated investment securities and $105,270,852 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment 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 Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, bank notes, floating rate loans, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations, U.S. government and government agency obligations, and sovereign loan participations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors 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 broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors or broker-supplied valuations. Pricing vendors utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific market events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps 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 a third party pricing vendor 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 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 may be used and would be 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 these securities are generally 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Credit 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.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please visit advisor.fidelity.com or call Fidelity at 1-877-208-0098 for a free copy of the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Total Bond Fund

May 31, 2013 

1.800361.109

TBD-QTLY-0713

Investments May 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 28.2%

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - 2.9%

Auto Components - 0.2%

American Axle & Manufacturing, Inc. 6.25% 3/15/21

$ 3,295,000

$ 3,435,038

Dana Holding Corp. 6.5% 2/15/19

2,080,000

2,204,800

Delphi Corp. 5% 2/15/23

11,710,000

12,427,238

JB Poindexter & Co., Inc. 9% 4/1/22 (g)

1,900,000

2,014,000

PT Gadjah Tunggal Tbk 7.75% 2/6/18 (g)

600,000

616,500

Tenneco, Inc. 6.875% 12/15/20

1,505,000

1,640,450

TRW Automotive, Inc. 4.5% 3/1/21 (g)

3,610,000

3,691,225

 

26,029,251

Automobiles - 0.0%

Chrysler Group LLC/CG Co-Issuer, Inc.:

8% 6/15/19

1,580,000

1,749,850

8.25% 6/15/21

2,400,000

2,700,000

 

4,449,850

Distributors - 0.0%

LKQ Corp. 4.75% 5/15/23 (g)

160,000

159,600

Hotels, Restaurants & Leisure - 0.3%

Ameristar Casinos, Inc. 7.5% 4/15/21

4,270,000

4,697,000

FelCor Lodging LP:

5.625% 3/1/23

135,000

137,363

6.75% 6/1/19

475,000

507,063

GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17

1,635,000

1,814,850

MCE Finance Ltd. 5% 2/15/21 (g)

1,915,000

1,922,181

MGM Mirage, Inc.:

7.5% 6/1/16

4,130,000

4,625,600

7.625% 1/15/17

2,355,000

2,699,419

8.625% 2/1/19

1,960,000

2,317,700

11.375% 3/1/18

1,845,000

2,389,275

NCL Corp. Ltd. 5% 2/15/18 (g)

3,950,000

4,029,000

NPC International, Inc./NPC Operating Co. A, Inc./NPC Operating Co. B, Inc. 10.5% 1/15/20

2,950,000

3,440,438

Royal Caribbean Cruises Ltd.:

5.25% 11/15/22

2,835,000

2,960,591

7.25% 3/15/18

465,000

532,425

7.5% 10/15/27

1,885,000

2,130,050

yankee 7.25% 6/15/16

3,985,000

4,513,013

Seminole Hard Rock Entertainment, Inc. 5.875% 5/15/21 (g)

705,000

697,950

Times Square Hotel Trust 8.528% 8/1/26 (g)

823,987

1,085,560

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.:

4.25% 5/30/23 (g)

$ 1,155,000

$ 1,120,350

5.375% 3/15/22

1,535,000

1,615,588

7.75% 8/15/20

780,000

877,500

 

44,112,916

Household Durables - 0.3%

Arcelik A/S 5% 4/3/23 (g)

680,000

685,100

D.R. Horton, Inc.:

3.625% 2/15/18

1,685,000

1,714,488

4.375% 9/15/22

865,000

869,325

4.75% 2/15/23

560,000

571,200

Lennar Corp.:

4.125% 12/1/18 (g)

1,685,000

1,710,275

4.75% 11/15/22 (g)

1,875,000

1,875,000

6.95% 6/1/18

4,640,000

5,336,000

12.25% 6/1/17

1,135,000

1,498,200

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

5.75% 10/15/20

4,170,000

4,253,400

7.875% 8/15/19

1,760,000

1,927,200

8.5% 5/15/18 (e)

1,915,000

2,010,750

9.875% 8/15/19

2,460,000

2,681,400

Standard Pacific Corp.:

8.375% 5/15/18

7,615,000

8,976,181

8.375% 1/15/21

1,880,000

2,265,400

10.75% 9/15/16

2,370,000

2,926,950

Toll Brothers Finance Corp. 4.375% 4/15/23

1,950,000

1,962,188

 

41,263,057

Internet & Catalog Retail - 0.0%

Netflix, Inc. 5.375% 2/1/21 (g)

1,130,000

1,146,950

Zayo Group LLC/Zayo Capital, Inc. 8.125% 1/1/20

1,890,000

2,093,175

 

3,240,125

Leisure Equipment & Products - 0.0%

Cedar Fair LP/Magnum Management Corp. 5.25% 3/15/21 (g)

1,055,000

1,047,088

Media - 2.0%

AMC Networks, Inc. 4.75% 12/15/22

1,135,000

1,130,801

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

500,000

677,844

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Cablevision Systems Corp.:

7.75% 4/15/18

$ 1,275,000

$ 1,440,750

8.625% 9/15/17

3,505,000

4,100,850

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

925,000

911,125

5.25% 3/15/21 (g)

820,000

832,300

5.75% 9/1/23 (g)

1,535,000

1,548,431

5.75% 1/15/24

1,725,000

1,742,250

6.5% 4/30/21

6,485,000

6,971,375

7% 1/15/19

8,610,000

9,191,175

Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (g)

1,585,000

1,656,325

Cequel Communications Holdings I LLC/Cequel Capital Corp. 5.125% 12/15/21 (g)

2,020,000

1,974,550

Cinemark USA, Inc. 4.875% 6/1/23 (g)

775,000

772,094

Clear Channel Worldwide Holdings, Inc.:

6.5% 11/15/22 (g)

1,275,000

1,338,750

6.5% 11/15/22 (g)

1,525,000

1,608,875

Cogeco Cable, Inc. 4.875% 5/1/20 (g)

335,000

334,163

Comcast Corp.:

4.65% 7/15/42

16,692,000

17,103,558

4.95% 6/15/16

2,344,000

2,615,055

5.15% 3/1/20

435,000

512,533

5.7% 5/15/18

14,629,000

17,424,763

6.4% 3/1/40

432,000

550,349

6.45% 3/15/37

2,196,000

2,769,428

COX Communications, Inc.:

3.25% 12/15/22 (g)

4,795,000

4,721,095

4.625% 6/1/13

4,467,000

4,467,000

DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19

5,944,000

7,000,588

Discovery Communications LLC:

3.25% 4/1/23

1,789,000

1,772,428

3.7% 6/1/15

7,129,000

7,519,562

4.875% 4/1/43

4,194,000

4,192,301

6.35% 6/1/40

6,392,000

7,633,678

DISH DBS Corp. 5% 5/15/17 (g)

2,775,000

2,781,938

Harron Communications LP/Harron Finance Corp. 9.125% 4/1/20 (g)

1,100,000

1,223,750

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - continued

Media - continued

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (g)

$ 2,910,000

$ 3,011,850

MDC Partners, Inc. 6.75% 4/1/20 (g)

565,000

577,713

NBCUniversal Media LLC:

3.65% 4/30/15

3,514,000

3,712,056

5.15% 4/30/20

11,614,000

13,730,721

6.4% 4/30/40

18,278,000

23,102,240

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

2,460,000

3,351,974

News America, Inc.:

6.15% 3/1/37

4,759,000

5,494,542

6.15% 2/15/41

11,572,000

13,541,068

Nielsen Finance LLC/Nielsen Finance Co.:

4.5% 10/1/20 (g)

1,100,000

1,102,750

7.75% 10/15/18

2,770,000

3,040,075

Quebecor Media, Inc.:

5.75% 1/15/23

2,505,000

2,567,625

7.75% 3/15/16

2,392,000

2,427,880

7.75% 3/15/16

1,345,000

1,365,175

Regal Entertainment Group 5.75% 6/15/23 (i)

1,385,000

1,391,925

Starz LLC/Starz Finance Corp. 5% 9/15/19

1,540,000

1,563,100

Time Warner Cable, Inc.:

4.5% 9/15/42

10,589,000

9,469,700

6.2% 7/1/13

2,898,000

2,909,415

6.75% 7/1/18

13,763,000

16,687,844

Time Warner, Inc.:

3.15% 7/15/15

3,115,000

3,262,293

5.875% 11/15/16

368,000

424,407

6.2% 3/15/40

11,792,000

13,641,540

6.5% 11/15/36

9,243,000

10,976,645

TV Azteca SA de CV 7.5% 5/25/18 (Reg. S)

1,450,000

1,573,250

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

5.5% 1/15/23 (g)

785,000

798,188

7.5% 3/15/19 (g)

660,000

716,100

UPCB Finance V Ltd. 7.25% 11/15/21 (g)

995,000

1,092,013

Viacom, Inc. 4.375% 3/15/43 (g)

2,063,000

1,868,090

WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (g)

2,140,000

2,268,400

 

264,188,263

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - continued

Multiline Retail - 0.0%

The Bon-Ton Department Stores, Inc. 8% 6/15/21 (g)

$ 440,000

$ 451,000

Specialty Retail - 0.1%

Claire's Stores, Inc.:

7.75% 6/1/20 (g)

295,000

299,425

9% 3/15/19 (g)

1,825,000

2,057,688

CST Brands, Inc. 5% 5/1/23 (g)

195,000

195,975

J. Crew Group, Inc. 8.125% 3/1/19

2,384,000

2,538,960

Jaguar Land Rover PLC 5.625% 2/1/23 (g)

1,220,000

1,241,350

 

6,333,398

Textiles, Apparel & Luxury Goods - 0.0%

Hanesbrands, Inc. 6.375% 12/15/20

2,500,000

2,756,250

TOTAL CONSUMER DISCRETIONARY

394,030,798

CONSUMER STAPLES - 1.3%

Beverages - 0.3%

Beam, Inc. 1.875% 5/15/17

2,703,000

2,725,297

Constellation Brands, Inc.:

3.75% 5/1/21

215,000

208,550

4.25% 5/1/23

320,000

314,016

FBG Finance Ltd. 5.125% 6/15/15 (g)

3,662,000

3,954,147

Fortune Brands, Inc.:

5.375% 1/15/16

321,000

352,911

6.375% 6/15/14

3,374,000

3,566,355

Heineken NV:

1.4% 10/1/17 (g)

7,323,000

7,235,395

2.75% 4/1/23 (g)

7,651,000

7,374,501

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

10,217,000

10,754,006

 

36,485,178

Food & Staples Retailing - 0.2%

ESAL GmbH 6.25% 2/5/23 (g)

3,500,000

3,473,750

Hawk Acquisition Sub, Inc. 4.25% 10/15/20 (g)

2,340,000

2,319,525

Rite Aid Corp.:

9.25% 3/15/20

11,390,000

12,870,700

9.5% 6/15/17

4,960,000

5,133,600

Walgreen Co. 1.8% 9/15/17

5,971,000

6,008,283

 

29,805,858

Food Products - 0.4%

Agrokor d.d. 8.875% 2/1/20 (g)

635,000

699,878

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

CONSUMER STAPLES - continued

Food Products - continued

ConAgra Foods, Inc.:

1.9% 1/25/18

$ 4,611,000

$ 4,637,956

3.2% 1/25/23

5,362,000

5,291,281

4.65% 1/25/43

5,972,000

5,861,375

Gruma S.A.B. de CV 7.75% (Reg. S) (h)

1,385,000

1,398,850

JBS USA LLC/JBS USA Finance, Inc. 8.25% 2/1/20 (g)

1,510,000

1,657,225

Kazagro National Management Holding JSC 4.625% 5/24/23 (g)

360,000

345,168

Kraft Foods, Inc.:

5.375% 2/10/20

10,631,000

12,343,463

6.125% 2/1/18

10,623,000

12,515,806

6.5% 8/11/17

10,238,000

12,146,507

6.5% 2/9/40

2,564,000

3,248,950

6.75% 2/19/14

540,000

562,339

Post Holdings, Inc. 7.375% 2/15/22

1,445,000

1,609,369

 

62,318,167

Personal Products - 0.0%

First Quality Finance Co., Inc. 4.625% 5/15/21 (g)

785,000

763,413

Tobacco - 0.4%

Altria Group, Inc.:

2.85% 8/9/22

9,573,000

9,130,708

4.25% 8/9/42

9,573,000

8,467,003

9.7% 11/10/18

7,983,000

10,909,887

Reynolds American, Inc.:

3.25% 11/1/22

7,368,000

7,168,791

4.75% 11/1/42

11,385,000

10,703,380

6.75% 6/15/17

3,719,000

4,404,389

7.25% 6/15/37

5,056,000

6,301,000

 

57,085,158

TOTAL CONSUMER STAPLES

186,457,774

ENERGY - 4.1%

Energy Equipment & Services - 0.7%

Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (g)

1,260,000

1,323,000

DCP Midstream LLC:

4.75% 9/30/21 (g)

11,333,000

11,977,372

5.35% 3/15/20 (g)

8,816,000

9,602,705

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

ENERGY - continued

Energy Equipment & Services - continued

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

$ 10,806,000

$ 11,560,237

5% 10/1/21

7,366,000

8,196,782

6.5% 4/1/20

738,000

886,613

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

1,582,000

1,661,100

Exterran Holdings, Inc. 7.25% 12/1/18

3,485,000

3,720,238

Exterran Partners LP/EXLP Finance Corp. 6% 4/1/21 (g)

2,045,000

2,065,450

FMC Technologies, Inc.:

2% 10/1/17

1,803,000

1,805,358

3.45% 10/1/22

3,267,000

3,248,590

Forbes Energy Services Ltd. 9% 6/15/19

1,590,000

1,558,200

Hornbeck Offshore Services, Inc.:

5% 3/1/21 (g)

1,165,000

1,159,175

5.875% 4/1/20

585,000

609,863

Offshore Group Investment Ltd.:

7.125% 4/1/23 (g)

890,000

921,150

7.5% 11/1/19

2,185,000

2,348,875

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

3,180,000

3,426,450

Pacific Drilling SA 5.375% 6/1/20 (g)(i)

2,245,000

2,222,550

Petroleum Geo-Services ASA 7.375% 12/15/18 (g)

2,245,000

2,491,950

Petroliam Nasional Bhd (Petronas) 7.625% 10/15/26 (Reg. S)

670,000

930,295

Precision Drilling Corp.:

6.5% 12/15/21

170,000

182,325

6.625% 11/15/20

1,890,000

2,008,125

SESI LLC 7.125% 12/15/21

2,980,000

3,345,050

Transocean, Inc. 5.05% 12/15/16

7,572,000

8,390,571

Weatherford International Ltd. 4.95% 10/15/13

2,173,000

2,204,598

 

87,846,622

Oil, Gas & Consumable Fuels - 3.4%

Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23

985,000

976,381

Afren PLC 11.5% 2/1/16 (g)

720,000

840,600

Alpha Natural Resources, Inc.:

6% 6/1/19

1,320,000

1,194,600

6.25% 6/1/21

130,000

116,025

Anadarko Petroleum Corp.:

5.95% 9/15/16

485,000

552,947

6.375% 9/15/17

19,790,000

23,350,577

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Antero Resources Finance Corp.:

6% 12/1/20

$ 2,950,000

$ 3,068,000

7.25% 8/1/19

1,080,000

1,144,800

9.375% 12/1/17

2,915,000

3,126,338

Apache Corp. 4.75% 4/15/43

9,180,000

9,183,828

Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp. 4.75% 11/15/21 (g)

465,000

446,400

Chesapeake Energy Corp.:

5.375% 6/15/21

1,220,000

1,241,350

5.75% 3/15/23

790,000

821,600

6.125% 2/15/21

6,045,000

6,589,050

6.875% 11/15/20

1,195,000

1,344,375

Chesapeake Midstream Partners LP/CHKM Finance Corp.:

5.875% 4/15/21

676,000

716,560

6.125% 7/15/22

1,240,000

1,326,800

ConocoPhillips:

4.6% 1/15/15

10,000,000

10,631,320

5.75% 2/1/19

2,930,000

3,521,998

CONSOL Energy, Inc. 8% 4/1/17

505,000

540,350

Continental Resources, Inc. 4.5% 4/15/23 (g)

1,675,000

1,683,375

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

800,000

854,000

DCP Midstream Operating LP:

2.5% 12/1/17

5,924,000

5,994,993

3.875% 3/15/23

3,639,000

3,575,994

Denbury Resources, Inc. 4.625% 7/15/23

1,675,000

1,620,563

DTEK Finance BV 9.5% 4/28/15 (g)

117,000

122,616

Duke Energy Field Services:

5.375% 10/15/15 (g)

1,524,000

1,645,896

6.45% 11/3/36 (g)

13,741,000

15,297,649

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

1,166,000

1,342,476

Enbridge Energy Partners LP 4.2% 9/15/21

13,331,000

14,053,887

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

3,602,000

3,767,004

Energy Partners Ltd. 8.25% 2/15/18

295,000

317,125

Enterprise Products Operating LP 5.6% 10/15/14

483,000

514,154

EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 9/1/22

1,245,000

1,375,725

Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20

3,830,000

4,337,475

Forest Oil Corp. 7.5% 9/15/20 (g)

2,050,000

2,060,250

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Georgian Oil & Gas Corp. 6.875% 5/16/17 (g)

$ 550,000

$ 589,875

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

221,000

256,788

Indo Energy Finance II BV 6.375% 1/24/23 (g)

610,000

585,600

Kazmuaigaz National Co.:

4.4% 4/30/23 (g)

565,000

543,756

5.75% 4/30/43 (g)

1,165,000

1,116,420

KazMunaiGaz Finance Sub BV:

6.375% 4/9/21 (g)

850,000

956,250

7% 5/5/20 (g)

1,385,000

1,615,326

9.125% 7/2/18 (g)

1,605,000

1,998,225

LINN Energy LLC/LINN Energy Finance Corp.:

6.25% 11/1/19 (g)

1,165,000

1,173,738

6.5% 5/15/19

3,790,000

3,846,850

8.625% 4/15/20

2,685,000

2,940,075

Marathon Petroleum Corp. 5.125% 3/1/21

10,178,000

11,690,888

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

10,834,000

11,219,961

Motiva Enterprises LLC:

5.75% 1/15/20 (g)

4,187,000

4,927,329

6.85% 1/15/40 (g)

5,937,000

7,855,874

Naftogaz of Ukraine NJSC 9.5% 9/30/14

1,930,000

1,983,075

Nakilat, Inc. 6.067% 12/31/33 (g)

1,975,000

2,386,175

Nexen, Inc. 5.2% 3/10/15

1,133,000

1,218,302

Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 (g)

1,480,000

1,557,700

Pacific Rubiales Energy Corp. 7.25% 12/12/21 (g)

1,351,000

1,530,007

Pan American Energy LLC 7.875% 5/7/21 (g)

1,480,000

1,420,800

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

850,000

943,500

Pemex Project Funding Master Trust:

5.75% 3/1/18

515,000

589,675

6.625% 6/15/35

870,000

1,002,675

Petro-Canada 6.05% 5/15/18

3,850,000

4,568,968

Petrobras Global Finance BV:

2.4141% 1/15/19 (j)

570,000

574,275

4.375% 5/20/23

12,540,000

12,147,498

5.625% 5/20/43

11,835,000

11,055,074

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

10,192,000

10,636,310

5.375% 1/27/21

20,589,000

21,769,450

5.75% 1/20/20

6,930,000

7,536,867

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petrobras International Finance Co. Ltd.: - continued

6.875% 1/20/40

$ 570,000

$ 612,921

7.875% 3/15/19

10,517,000

12,698,731

8.375% 12/10/18

775,000

959,993

Petroleos de Venezuela SA:

4.9% 10/28/14

3,070,000

2,947,200

5.375% 4/12/27

585,000

380,250

5.5% 4/12/37

260,000

163,150

8% 11/17/13

2,000,000

2,017,000

8.5% 11/2/17 (g)

7,305,000

6,903,225

9% 11/17/21 (Reg. S)

765,000

680,850

9.75% 5/17/35 (g)

985,000

866,800

12.75% 2/17/22 (g)

2,605,000

2,748,275

Petroleos Mexicanos:

3.5% 1/30/23 (g)

10,045,000

9,542,750

4.875% 1/24/22

12,142,000

12,991,940

5.5% 1/21/21

12,069,000

13,499,177

5.5% 6/27/44

20,197,000

19,742,568

6% 3/5/20

1,008,000

1,159,200

6.5% 6/2/41

19,855,000

22,237,600

6.625% (g)(h)

3,045,000

3,227,700

8% 5/3/19

420,000

529,200

Phillips 66:

4.3% 4/1/22

12,618,000

13,625,648

5.875% 5/1/42

10,804,000

12,595,714

Plains All American Pipeline LP/PAA Finance Corp.:

3.65% 6/1/22

5,217,000

5,390,439

3.95% 9/15/15

5,869,000

6,275,199

6.125% 1/15/17

6,185,000

7,177,730

PT Adaro Indonesia 7.625% 10/22/19 (g)

945,000

1,006,425

PT Pertamina Persero:

4.875% 5/3/22 (g)

845,000

845,000

5.25% 5/23/21 (g)

815,000

839,450

6% 5/3/42 (g)

845,000

798,525

6.5% 5/27/41 (g)

1,000,000

1,020,000

Rosetta Resources, Inc. 5.625% 5/1/21

665,000

666,663

Samson Investment Co. 9.75% 2/15/20 (g)

2,605,000

2,689,663

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

367,000

381,238

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

308,000

356,006

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Spectra Energy Partners, LP:

2.95% 6/15/16

$ 4,717,000

$ 4,889,001

4.6% 6/15/21

2,694,000

2,834,077

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

4.25% 11/15/23 (g)

1,155,000

1,094,363

5.25% 5/1/23 (g)

1,180,000

1,209,500

6.375% 8/1/22

560,000

607,600

6.875% 2/1/21

685,000

743,225

7.875% 10/15/18

2,205,000

2,386,913

Tesoro Corp. 4.25% 10/1/17

195,000

202,800

Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (g)

160,000

166,400

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

4,317,000

4,462,483

Western Gas Partners LP 5.375% 6/1/21

14,766,000

16,658,484

Western Refining, Inc. 6.25% 4/1/21 (g)

1,065,000

1,102,275

Williams Partners LP 4.125% 11/15/20

2,399,000

2,551,303

Zhaikmunai International BV 7.125% 11/13/19 (g)

1,145,000

1,225,150

 

469,244,191

TOTAL ENERGY

557,090,813

FINANCIALS - 11.1%

Capital Markets - 1.2%

BlackRock, Inc. 4.25% 5/24/21

5,000,000

5,548,165

Goldman Sachs Group, Inc.:

5.25% 7/27/21

17,105,000

19,079,926

5.625% 1/15/17

3,200,000

3,557,427

5.75% 1/24/22

9,087,000

10,416,001

5.95% 1/18/18

4,975,000

5,740,861

6.75% 10/1/37

9,643,000

10,538,825

Lazard Group LLC:

6.85% 6/15/17

4,817,000

5,521,925

7.125% 5/15/15

1,717,000

1,880,723

Merrill Lynch & Co., Inc. 6.11% 1/29/37

9,086,000

9,767,087

Morgan Stanley:

2.125% 4/25/18

12,586,000

12,433,974

3.75% 2/25/23

20,136,000

20,003,767

4.875% 11/1/22

14,724,000

15,141,897

5.625% 9/23/19

12,714,000

14,414,866

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley: - continued

5.75% 1/25/21

$ 13,447,000

$ 15,341,965

6.625% 4/1/18

16,118,000

18,985,231

 

168,372,640

Commercial Banks - 1.8%

Access Finance BV 7.25% 7/25/17 (g)

970,000

1,006,375

Banco de Bogota SA 5.375% 2/19/23 (g)

390,000

396,825

Bank of America NA 5.3% 3/15/17

3,467,000

3,848,058

BBVA Paraguay SA 9.75% 2/11/16 (g)

995,000

1,079,575

CBOM Finance PLC 8.25% 8/5/14

600,000

624,900

CIT Group, Inc.:

4.25% 8/15/17

1,705,000

1,756,150

5% 8/15/22

1,510,000

1,608,150

5.25% 3/15/18

1,485,000

1,596,375

5.375% 5/15/20

1,425,000

1,535,438

5.5% 2/15/19 (g)

2,705,000

2,928,163

Credit Suisse 6% 2/15/18

18,058,000

20,850,778

Development Bank of Kazakhstan JSC 4.125% 12/10/22 (g)

820,000

780,066

Development Bank of Philippines 8.375% (h)(j)

1,655,000

1,828,775

Discover Bank:

7% 4/15/20

2,030,000

2,461,166

8.7% 11/18/19

2,958,000

3,889,950

Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S)

420,000

434,700

Fifth Third Bancorp:

4.5% 6/1/18

798,000

875,640

8.25% 3/1/38

4,667,000

6,456,589

Fifth Third Capital Trust IV 6.5% 4/15/37 (j)

6,912,000

6,929,280

Finansbank A/S 5.15% 11/1/17 (g)

1,895,000

1,930,531

Georgia Bank Joint Stock Co. 7.75% 7/5/17 (g)

1,400,000

1,501,500

HBOS PLC 6.75% 5/21/18 (g)

6,067,000

6,814,400

HSBK (Europe) BV 7.25% 5/3/17 (g)

935,000

1,011,436

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

2,851,000

3,515,223

JPMorgan Chase Bank 6% 10/1/17

11,313,000

13,214,240

JSC Kazkommertsbank BV 8% 11/3/15 (g)

640,000

641,600

JSC Oschadbank 8.25% 3/10/16 (Issued by SSB #1 PLC for JSC Oschadbank)

450,000

443,813

Kazkommerts International BV 7.875% 4/7/14 (Reg. S)

720,000

730,440

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Commercial Banks - continued

KeyBank NA:

5.45% 3/3/16

$ 3,939,000

$ 4,377,237

5.8% 7/1/14

9,490,000

10,001,407

6.95% 2/1/28

1,977,000

2,434,430

Magyar Export-Import Bank 5.5% 2/12/18 (g)

600,000

610,500

Marshall & Ilsley Bank:

4.85% 6/16/15

4,520,000

4,794,201

5% 1/17/17

14,669,000

15,856,309

Regions Bank:

6.45% 6/26/37

21,887,000

24,130,921

7.5% 5/15/18

17,027,000

20,661,907

Regions Financial Corp.:

2% 5/15/18

10,058,000

9,858,419

5.75% 6/15/15

2,005,000

2,170,413

7.75% 11/10/14

6,404,000

6,965,503

Royal Bank of Scotland Group PLC 6.125% 12/15/22

24,107,000

24,867,721

RSHB Capital SA 6% 6/3/21 (g)(j)

355,000

361,213

Synovus Financial Corp.:

5.125% 6/15/17

365,000

366,825

7.875% 2/15/19

745,000

862,338

The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e)

735,000

646,800

UnionBanCal Corp. 5.25% 12/16/13

826,000

844,369

Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications)

2,225,000

2,469,750

Vnesheconombank Via VEB Finance PLC 6.025% 7/5/22 (g)

480,000

522,000

Wachovia Bank NA 6% 11/15/17

2,243,000

2,641,734

Wachovia Corp.:

5.625% 10/15/16

4,239,000

4,820,595

5.75% 6/15/17

2,933,000

3,391,296

Wells Fargo & Co.:

3.625% 4/15/15

5,893,000

6,207,303

3.676% 6/15/16

4,301,000

4,620,844

 

245,174,171

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Consumer Finance - 1.0%

Discover Financial Services:

3.85% 11/21/22

$ 10,130,000

$ 10,217,169

5.2% 4/27/22

12,545,000

13,828,692

6.45% 6/12/17

10,366,000

12,022,362

Ford Motor Credit Co. LLC:

1.7% 5/9/16

19,473,000

19,429,205

5% 5/15/18

2,390,000

2,652,422

General Electric Capital Corp.:

1% 12/11/15

10,247,000

10,291,820

2.25% 11/9/15

314,000

324,279

4.625% 1/7/21

5,706,000

6,310,191

5.625% 9/15/17

5,858,000

6,779,534

5.625% 5/1/18

25,000,000

29,293,100

HSBC USA, Inc. 1.625% 1/16/18

11,125,000

11,044,933

Hyundai Capital America:

1.625% 10/2/15 (g)

4,565,000

4,597,375

2.125% 10/2/17 (g)

5,048,000

4,989,580

 

131,780,662

Diversified Financial Services - 2.3%

Aquarius Investments Luxemburg 8.25% 2/18/16

1,225,000

1,310,750

Bank of America Corp.:

3.3% 1/11/23

31,760,000

30,813,139

3.875% 3/22/17

3,134,000

3,351,569

5.65% 5/1/18

8,780,000

10,063,136

5.75% 12/1/17

21,955,000

25,159,815

6.5% 8/1/16

9,000,000

10,291,977

Biz Finance PLC 8.375% 4/27/15 (Reg. S)

1,675,000

1,672,906

BP Capital Markets PLC 4.742% 3/11/21

8,800,000

9,925,511

CIT Group, Inc. 6.625% 4/1/18 (g)

1,215,000

1,366,875

Citigroup, Inc.:

3.375% 3/1/23

5,193,000

5,118,065

3.953% 6/15/16

11,847,000

12,715,326

4.05% 7/30/22

5,303,000

5,310,451

4.75% 5/19/15

25,881,000

27,680,558

6.125% 5/15/18

3,779,000

4,458,993

6.5% 8/19/13

13,174,000

13,335,013

General Motors Financial Co., Inc.:

2.75% 5/15/16 (g)

780,000

778,830

3.25% 5/15/18 (g)

420,000

416,325

4.25% 5/15/23 (g)

370,000

360,750

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Diversified Financial Services - continued

General Motors Financial Co., Inc.: - continued

4.75% 8/15/17 (g)

$ 1,775,000

$ 1,872,625

6.75% 6/1/18

1,500,000

1,710,000

GTB Finance BV 7.5% 5/19/16 (g)

1,095,000

1,160,700

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

7.75% 1/15/16

1,220,000

1,262,700

8% 1/15/18

4,065,000

4,308,900

ILFC E-Capital Trust II 6.25% 12/21/65 (g)(j)

1,250,000

1,175,000

Indo Energy Finance BV 7% 5/7/18 (g)

1,300,000

1,352,000

JPMorgan Chase & Co.:

1.625% 5/15/18

12,580,000

12,354,239

2% 8/15/17

11,000,000

11,124,905

3.25% 9/23/22

14,050,000

13,771,641

4.35% 8/15/21

13,339,000

14,365,703

4.5% 1/24/22

22,046,000

23,931,109

4.95% 3/25/20

17,148,000

19,336,994

Magnesita Finance Ltd. 8.625% (g)(h)

650,000

703,625

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

8,295,000

9,000,075

RBS Citizens Financial Group, Inc. 4.15% 9/28/22 (g)

13,462,000

13,626,506

TECO Finance, Inc.:

4% 3/15/16

2,562,000

2,746,520

5.15% 3/15/20

3,761,000

4,282,861

TMK Capital SA 7.75% 1/27/18

1,650,000

1,720,125

TransUnion Holding Co., Inc. 8.125% 6/15/18 pay-in-kind (g)

3,190,000

3,389,375

Unicredit Luxembourg SA 5.1875% 10/13/15 (g)

700,000

729,750

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

3,305,000

3,524,122

Vnesheconombank Via VEB Finance PLC:

6.8% 11/22/25 (g)

605,000

685,949

6.902% 7/9/20 (g)

715,000

822,250

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

2,219,831

2,239,193

Zhaikmunai Finance BV 10.5% 10/19/15 (g)

1,335,000

1,428,450

 

316,755,306

Insurance - 1.7%

Allstate Corp. 6.2% 5/16/14

6,893,000

7,260,404

American International Group, Inc. 4.875% 9/15/16

7,990,000

8,852,177

Aon Corp.:

3.125% 5/27/16

11,274,000

11,886,934

3.5% 9/30/15

4,451,000

4,695,556

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Insurance - continued

Aon Corp.: - continued

5% 9/30/20

$ 3,854,000

$ 4,397,510

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

558,000

595,405

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

1,859,000

1,970,540

Hartford Financial Services Group, Inc.:

5.125% 4/15/22

12,729,000

14,531,197

5.375% 3/15/17

194,000

218,473

Liberty Mutual Group, Inc.:

5% 6/1/21 (g)

12,644,000

13,780,076

6.5% 3/15/35 (g)

1,741,000

2,002,176

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

7,090,000

8,003,802

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

7,139,000

8,040,749

MetLife, Inc.:

1.756% 12/15/17 (e)

6,082,000

6,129,215

3.048% 12/15/22

12,433,000

12,206,782

4.75% 2/8/21

4,032,000

4,577,139

5% 6/15/15

1,163,000

1,260,216

6.75% 6/1/16

7,610,000

8,863,702

Metropolitan Life Global Funding I 3% 1/10/23 (g)

7,896,000

7,791,323

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

6,155,000

7,559,140

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

7,041,000

10,125,155

Pacific LifeCorp:

5.125% 1/30/43 (g)

12,679,000

12,521,806

6% 2/10/20 (g)

12,654,000

14,329,162

Prudential Financial, Inc.:

4.5% 11/16/21

6,390,000

7,009,939

5.8% 11/16/41

8,381,000

9,649,448

6.2% 11/15/40

4,318,000

5,267,209

7.375% 6/15/19

3,230,000

4,118,870

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

6,375,000

7,000,859

Unum Group:

5.625% 9/15/20

8,386,000

9,555,797

5.75% 8/15/42

16,937,000

18,606,209

7.125% 9/30/16

587,000

681,097

 

233,488,067

Real Estate Investment Trusts - 1.2%

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

4,025,000

4,307,008

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

American Campus Communities Operating Partnership LP 3.75% 4/15/23

$ 3,491,000

$ 3,464,936

Boston Properties, Inc. 3.85% 2/1/23

14,583,000

15,118,123

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

1,751,000

1,968,241

Camden Property Trust:

2.95% 12/15/22

4,796,000

4,598,496

5.375% 12/15/13

4,073,000

4,171,501

DDR Corp. 4.625% 7/15/22

8,808,000

9,424,983

Developers Diversified Realty Corp.:

4.75% 4/15/18

11,273,000

12,471,534

7.5% 4/1/17

5,574,000

6,624,448

7.875% 9/1/20

323,000

411,675

9.625% 3/15/16

3,691,000

4,464,445

Duke Realty LP:

3.625% 4/15/23

6,287,000

6,150,641

3.875% 10/15/22

10,326,000

10,344,845

4.375% 6/15/22

7,323,000

7,623,331

5.4% 8/15/14

6,199,000

6,514,789

5.95% 2/15/17

1,109,000

1,254,989

6.5% 1/15/18

3,795,000

4,466,973

6.75% 3/15/20

10,379,000

12,438,816

8.25% 8/15/19

75,000

96,622

Equity One, Inc.:

3.75% 11/15/22

18,100,000

17,899,579

5.375% 10/15/15

1,403,000

1,523,596

6% 9/15/17

1,212,000

1,382,079

6.25% 1/15/17

1,027,000

1,166,083

Federal Realty Investment Trust:

5.4% 12/1/13

441,000

451,163

5.9% 4/1/20

2,504,000

2,975,891

6.2% 1/15/17

620,000

714,527

Health Care REIT, Inc. 2.25% 3/15/18

5,151,000

5,193,187

Highwoods/Forsyth LP 5.85% 3/15/17

615,000

685,604

HRPT Properties Trust:

5.75% 11/1/15

2,386,000

2,534,230

6.25% 6/15/17

1,232,000

1,340,603

6.65% 1/15/18

867,000

961,298

MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21

1,760,000

1,944,800

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Omega Healthcare Investors, Inc.:

5.875% 3/15/24

$ 290,000

$ 311,750

6.75% 10/15/22

1,690,000

1,842,100

Senior Housing Properties Trust 6.75% 4/15/20

250,000

283,606

UDR, Inc. 5.5% 4/1/14

5,222,000

5,411,224

Washington (REIT) 5.25% 1/15/14

322,000

329,063

Weingarten Realty Investors 3.375% 10/15/22

2,729,000

2,644,363

 

165,511,142

Real Estate Management & Development - 1.9%

AMB Property LP 5.9% 8/15/13

2,580,000

2,605,134

BioMed Realty LP:

3.85% 4/15/16

11,000,000

11,657,877

4.25% 7/15/22

5,809,000

6,039,164

6.125% 4/15/20

3,429,000

3,982,482

Brandywine Operating Partnership LP:

3.95% 2/15/23

12,775,000

12,671,178

4.95% 4/15/18

8,951,000

9,820,509

5.7% 5/1/17

7,049,000

7,864,259

7.5% 5/15/15

1,584,000

1,768,883

CB Richard Ellis Services, Inc.:

5% 3/15/23

1,120,000

1,117,200

6.625% 10/15/20

1,175,000

1,269,000

Colonial Realty LP 6.05% 9/1/16

2,000,000

2,242,766

Digital Realty Trust LP:

4.5% 7/15/15

4,981,000

5,265,859

5.25% 3/15/21

5,708,000

6,353,523

ERP Operating LP:

4.625% 12/15/21

17,159,000

18,910,865

4.75% 7/15/20

7,700,000

8,598,498

5.25% 9/15/14

1,310,000

1,384,914

5.375% 8/1/16

2,768,000

3,120,253

5.75% 6/15/17

14,407,000

16,658,180

Forest City Enterprises, Inc. 6.5% 2/1/17

450,000

447,750

Host Hotels & Resorts LP:

4.75% 3/1/23

150,000

158,686

5.875% 6/15/19

150,000

165,000

6% 11/1/20

105,000

117,075

Liberty Property LP:

3.375% 6/15/23

6,574,000

6,390,388

4.125% 6/15/22

6,280,000

6,521,133

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Real Estate Management & Development - continued

Liberty Property LP: - continued

4.75% 10/1/20

$ 11,282,000

$ 12,395,127

5.125% 3/2/15

1,405,000

1,493,665

5.5% 12/15/16

1,891,000

2,120,906

6.625% 10/1/17

4,835,000

5,664,821

Mack-Cali Realty LP:

2.5% 12/15/17

9,223,000

9,287,804

3.15% 5/15/23

14,735,000

13,806,503

4.5% 4/18/22

4,072,000

4,278,882

7.75% 8/15/19

700,000

885,826

Post Apartment Homes LP 3.375% 12/1/22

2,570,000

2,544,038

Prime Property Funding, Inc.:

5.125% 6/1/15 (g)

2,806,000

2,946,515

5.5% 1/15/14 (g)

867,000

884,523

5.7% 4/15/17 (g)

2,115,000

2,308,093

Reckson Operating Partnership LP 6% 3/31/16

3,651,000

4,007,747

Regency Centers LP:

4.95% 4/15/14

611,000

631,447

5.25% 8/1/15

6,456,000

6,997,077

5.875% 6/15/17

2,874,000

3,267,304

Simon Property Group LP:

2.75% 2/1/23

8,237,000

7,956,851

2.8% 1/30/17

2,603,000

2,717,675

4.125% 12/1/21

7,287,000

7,958,993

4.2% 2/1/15

3,659,000

3,838,130

Tanger Properties LP:

6.125% 6/1/20

14,318,000

17,279,478

6.15% 11/15/15

1,777,000

2,000,015

Ventas Realty LP/Ventas Capital Corp.:

2% 2/15/18

8,050,000

8,032,580

4.25% 3/1/22

300,000

317,959

 

258,752,535

Thrifts & Mortgage Finance - 0.0%

Wrightwood Capital LLC 1.9% 4/20/20 (c)

101,370

77,548

TOTAL FINANCIALS

1,519,912,071

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

HEALTH CARE - 1.7%

Biotechnology - 0.1%

Amgen, Inc. 5.15% 11/15/41

$ 12,000,000

$ 12,763,104

Celgene Corp. 2.45% 10/15/15

613,000

633,337

 

13,396,441

Health Care Equipment & Supplies - 0.0%

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19

435,000

475,238

DJO Finance LLC/DJO Finance Corp.:

7.75% 4/15/18

925,000

957,375

8.75% 3/15/18

85,000

94,775

9.875% 4/15/18

1,180,000

1,298,000

 

2,825,388

Health Care Providers & Services - 1.1%

Aetna, Inc.:

1.5% 11/15/17

1,703,000

1,691,512

2.75% 11/15/22

6,873,000

6,589,406

4.125% 11/15/42

3,837,000

3,587,380

Coventry Health Care, Inc.:

5.95% 3/15/17

1,747,000

2,003,138

6.3% 8/15/14

3,618,000

3,848,007

DaVita, Inc. 5.75% 8/15/22

1,625,000

1,730,625

Emergency Medical Services Corp. 8.125% 6/1/19

4,610,000

5,024,900

Express Scripts Holding Co. 4.75% 11/15/21

22,009,000

24,634,740

Express Scripts, Inc. 3.125% 5/15/16

10,525,000

11,109,695

Fresenius Medical Care US Finance II, Inc. 5.625% 7/31/19 (g)

2,655,000

2,913,863

HealthSouth Corp.:

5.75% 11/1/24

1,040,000

1,076,400

7.25% 10/1/18

2,970,000

3,229,875

Legend Acquisition Sub, Inc. 10.75% 8/15/20 (g)

1,070,000

909,500

Medco Health Solutions, Inc.:

2.75% 9/15/15

1,176,000

1,220,492

4.125% 9/15/20

7,486,000

8,037,239

Sabra Health Care LP/Sabra Capital Corp.:

5.375% 6/1/23

450,000

457,335

8.125% 11/1/18

2,580,000

2,805,750

UnitedHealth Group, Inc.:

1.625% 3/15/19

3,733,000

3,677,431

2.75% 2/15/23

2,398,000

2,320,099

2.875% 3/15/23

16,114,000

15,715,050

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

UnitedHealth Group, Inc.: - continued

3.95% 10/15/42

$ 3,284,000

$ 3,017,727

4.25% 3/15/43

9,000,000

8,665,020

WellPoint, Inc.:

3.3% 1/15/23

14,208,000

14,124,826

4.65% 1/15/43

15,226,000

15,158,488

 

143,548,498

Pharmaceuticals - 0.5%

AbbVie, Inc.:

1.75% 11/6/17 (g)

13,509,000

13,475,795

2.9% 11/6/22 (g)

13,855,000

13,495,906

4.4% 11/6/42 (g)

13,532,000

13,253,647

Elan Finance PLC/Elan Finance Corp. 6.25% 6/15/21 (g)

1,830,000

1,839,150

Valeant Pharmaceuticals International:

6.5% 7/15/16 (g)

3,820,000

3,953,700

6.875% 12/1/18 (g)

3,440,000

3,672,200

VPI Escrow Corp. 6.375% 10/15/20 (g)

3,525,000

3,710,063

Watson Pharmaceuticals, Inc.:

1.875% 10/1/17

4,757,000

4,728,929

5% 8/15/14

720,000

753,271

Zoetis, Inc.:

1.875% 2/1/18 (g)

2,006,000

2,010,170

3.25% 2/1/23 (g)

4,892,000

4,847,395

4.7% 2/1/43 (g)

4,907,000

4,901,239

 

70,641,465

TOTAL HEALTH CARE

230,411,792

INDUSTRIALS - 1.2%

Aerospace & Defense - 0.3%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (g)

572,000

594,212

6.375% 6/1/19 (g)

8,071,000

9,545,289

DigitalGlobe, Inc. 5.25% 2/1/21 (g)

2,990,000

2,990,000

GenCorp, Inc. 7.125% 3/15/21 (g)

420,000

449,400

Huntington Ingalls Industries, Inc. 7.125% 3/15/21

460,000

504,850

TransDigm, Inc. 5.5% 10/15/20 (g)

2,800,000

2,898,000

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

Triumph Group, Inc. 4.875% 4/1/21 (g)

$ 1,040,000

$ 1,060,800

United Technologies Corp. 4.5% 6/1/42

13,132,000

13,593,616

 

31,636,167

Airlines - 0.2%

Air Canada:

5.375% 11/15/22 (g)

250,000

258,750

6.625% 5/15/18 (g)

1,465,000

1,501,332

12% 2/1/16 (g)

1,785,000

1,950,113

American Airlines, Inc. pass-thru certificates Series 2013-1B Class B, 5.625% 1/15/21 (g)

235,000

240,875

Continental Airlines, Inc.:

pass-thru trust certificates 9.798% 4/1/21

309,077

356,983

6.125% 4/29/18 (g)

240,000

252,000

6.648% 3/15/19

2,208,330

2,398,908

6.75% 9/15/15 (g)

2,655,000

2,775,803

6.9% 7/2/19

788,147

859,080

9.25% 5/10/17

2,043,527

2,298,968

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

6.375% 1/2/16

1,515,000

1,583,175

6.75% 11/23/15

1,515,000

1,598,325

8.954% 8/10/14

1,618,660

1,700,564

Hawaiian Airlines pass-thru certificates:

Series 2013-1 Class A, 3.9% 1/15/26

445,000

439,438

Series 2013-1 Class B, 4.95% 1/15/22

450,000

446,625

Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17

573,502

615,081

U.S. Airways pass-thru Trust Series 2013-1:

Class A, 3.95% 5/15/27

815,000

815,000

Class B, 5.375% 5/15/23

335,000

344,213

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

1,617,150

1,698,008

8.36% 1/20/19

1,334,540

1,501,358

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

Class B, 7.336% 7/2/19

749,105

799,670

12% 1/15/16 (g)

504,496

567,558

United Continental Holdings, Inc. 6.375% 6/1/18

140,000

143,150

US Airways 2012-2C Pass Through Trust equipment trust certificate 5.45% 6/3/18 (i)

1,690,000

1,690,000

US Airways Group, Inc. 6.125% 6/1/18

1,480,000

1,441,150

 

28,276,127

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

INDUSTRIALS - continued

Building Products - 0.1%

Building Materials Corp. of America:

6.75% 5/1/21 (g)

$ 2,030,000

$ 2,197,475

6.875% 8/15/18 (g)

3,715,000

3,965,763

HD Supply, Inc.:

7.5% 7/15/20 (g)

2,100,000

2,226,000

8.125% 4/15/19

1,890,000

2,097,900

10.5% 1/15/21

440,000

457,600

Masco Corp. 5.95% 3/15/22

740,000

824,996

USG Corp. 7.875% 3/30/20 (g)

675,000

758,953

 

12,528,687

Commercial Services & Supplies - 0.1%

ADS Waste Holdings, Inc. 8.25% 10/1/20 (g)

2,080,000

2,225,600

APX Group, Inc.:

6.375% 12/1/19 (g)

2,090,000

2,090,000

8.75% 12/1/20 (g)

3,045,000

3,113,513

ARAMARK Corp. 5.75% 3/15/20 (g)

800,000

828,000

Clean Harbors, Inc.:

5.125% 6/1/21

430,000

442,900

5.25% 8/1/20

1,305,000

1,360,463

Covanta Holding Corp. 7.25% 12/1/20

3,730,000

4,075,100

LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (g)

200,000

207,750

Tervita Corp.:

8% 11/15/18 (g)

610,000

631,350

9.75% 11/1/19 (g)

1,395,000

1,342,688

 

16,317,364

Construction & Engineering - 0.1%

Amsted Industries, Inc. 8.125% 3/15/18 (g)

1,850,000

1,974,875

MasTec, Inc. 4.875% 3/15/23

1,255,000

1,233,038

Odebrecht Finance Ltd. 7.5% (g)(h)

2,780,000

2,938,460

 

6,146,373

Electrical Equipment - 0.0%

Instituto Costarricense de Electricidad 6.95% 11/10/21 (g)

600,000

672,000

Industrial Conglomerates - 0.2%

General Electric Co.:

4.125% 10/9/42

11,115,000

10,636,444

5.25% 12/6/17

17,730,000

20,498,912

 

31,135,356

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

INDUSTRIALS - continued

Machinery - 0.0%

Schaeffler Finance BV 4.75% 5/15/21 (g)

$ 710,000

$ 695,800

Marine - 0.0%

Navios Maritime Holdings, Inc. 8.875% 11/1/17

1,980,000

2,086,524

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

200,000

217,500

Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21 (g)

480,000

488,400

 

2,792,424

Professional Services - 0.0%

FTI Consulting, Inc.:

6% 11/15/22 (g)

875,000

926,363

6.75% 10/1/20

2,835,000

3,019,275

 

3,945,638

Road & Rail - 0.1%

Hertz Corp.:

4.25% 4/1/18 (g)

1,485,000

1,518,413

6.75% 4/15/19

2,955,000

3,209,869

7.5% 10/15/18

2,465,000

2,686,850

JSC Georgian Railway 7.75% 7/11/22 (g)

650,000

754,000

Shortline PLC 9.5% 5/21/18 (g)

400,000

397,520

 

8,566,652

Trading Companies & Distributors - 0.1%

Aircastle Ltd.:

6.25% 12/1/19

830,000

898,475

6.75% 4/15/17

1,410,000

1,551,000

9.75% 8/1/18

840,000

949,200

International Lease Finance Corp.:

3.875% 4/15/18

1,020,000

1,022,550

4.625% 4/15/21

955,000

947,838

5.75% 5/15/16

1,330,000

1,425,534

5.875% 8/15/22

1,575,000

1,681,313

6.25% 5/15/19

1,640,000

1,791,700

8.625% 9/15/15

830,000

933,750

8.75% 3/15/17

3,700,000

4,375,250

8.875% 9/1/17

1,665,000

2,002,163

NES Rentals Holdings, Inc. 7.875% 5/1/18 (g)

220,000

226,050

 

17,804,823

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

INDUSTRIALS - continued

Transportation Infrastructure - 0.0%

Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (g)

$ 1,500,590

$ 1,410,555

TOTAL INDUSTRIALS

161,927,966

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.0%

Brocade Communications Systems, Inc. 4.625% 1/15/23 (g)

1,600,000

1,544,000

Lucent Technologies, Inc.:

6.45% 3/15/29

1,250,000

1,003,125

6.5% 1/15/28

1,547,000

1,229,865

 

3,776,990

Computers & Peripherals - 0.1%

Apple, Inc. 3.85% 5/4/43

16,120,000

14,836,268

NCR Corp. 4.625% 2/15/21

1,665,000

1,648,350

Seagate HDD Cayman 4.75% 6/1/23 (g)

1,170,000

1,134,900

 

17,619,518

Electronic Equipment & Components - 0.1%

Flextronics International Ltd. 4.625% 2/15/20 (g)

1,430,000

1,440,725

Sanmina-SCI Corp. 7% 5/15/19 (g)

4,125,000

4,382,813

Tyco Electronics Group SA:

5.95% 1/15/14

3,835,000

3,957,287

6.55% 10/1/17

1,383,000

1,628,574

 

11,409,399

Internet Software & Services - 0.1%

Equinix, Inc.:

4.875% 4/1/20

720,000

732,600

5.375% 4/1/23

585,000

604,013

IAC/InterActiveCorp 4.75% 12/15/22 (g)

3,940,000

3,861,200

VeriSign, Inc. 4.625% 5/1/23 (g)

1,560,000

1,567,800

 

6,765,613

IT Services - 0.1%

Ceridian Corp. 11.25% 11/15/15

2,090,000

2,152,700

Compiler Finance Sub, Inc. 7% 5/1/21 (g)

1,050,000

1,050,000

First Data Corp.:

6.75% 11/1/20 (g)

2,685,000

2,805,825

7.375% 6/15/19 (g)

700,000

736,750

12.625% 1/15/21

2,840,000

3,102,700

NeuStar, Inc. 4.5% 1/15/23 (g)

1,400,000

1,365,000

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

WideOpenWest Finance LLC/WideOpenWest Capital Corp.:

10.25% 7/15/19

$ 1,400,000

$ 1,578,500

13.375% 10/15/19

750,000

877,500

 

13,668,975

Office Electronics - 0.0%

Xerox Corp. 4.25% 2/15/15

368,000

386,612

Semiconductors & Semiconductor Equipment - 0.1%

NXP BV/NXP Funding LLC:

3.75% 6/1/18 (g)

805,000

788,900

5.75% 2/15/21 (g)

1,535,000

1,611,750

Spansion LLC 7.875% 11/15/17

3,465,000

3,568,950

STATS ChipPAC Ltd. 4.5% 3/20/18 (g)

575,000

572,125

Viasystems, Inc. 7.875% 5/1/19 (g)

925,000

989,750

 

7,531,475

Software - 0.0%

Nuance Communications, Inc. 5.375% 8/15/20 (g)

3,875,000

3,904,063

TOTAL INFORMATION TECHNOLOGY

65,062,645

MATERIALS - 1.0%

Chemicals - 0.3%

Ashland, Inc.:

3% 3/15/16 (g)

550,000

554,813

3.875% 4/15/18 (g)

1,115,000

1,142,875

Axiall Corp. 4.875% 5/15/23 (g)

800,000

804,000

Celanese U.S. Holdings LLC:

4.625% 11/15/22

755,000

779,538

6.625% 10/15/18

1,935,000

2,112,053

Eagle Spinco, Inc. 4.625% 2/15/21 (g)

380,000

383,800

Hexion U.S. Finance Corp. 6.625% 4/15/20 (g)

1,655,000

1,721,200

INEOS Finance PLC 8.375% 2/15/19 (g)

1,795,000

2,001,425

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

1,050,000

1,168,125

Nufarm Australia Ltd. 6.375% 10/15/19 (g)

820,000

854,850

Rockwood Specialties Group, Inc. 4.625% 10/15/20

1,425,000

1,446,375

The Dow Chemical Co.:

4.125% 11/15/21

10,888,000

11,592,127

4.25% 11/15/20

5,898,000

6,472,748

4.375% 11/15/42

4,972,000

4,657,675

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

MATERIALS - continued

Chemicals - continued

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (g)

$ 2,425,000

$ 2,400,750

Tronox Finance LLC 6.375% 8/15/20 (g)

1,725,000

1,694,813

 

39,787,167

Construction Materials - 0.1%

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

2,286,000

2,594,036

Headwaters, Inc. 7.625% 4/1/19

1,235,000

1,324,538

Rearden G Holdings Eins GmbH 7.875% 3/30/20 (g)

790,000

855,175

Texas Industries, Inc. 9.25% 8/15/20

2,670,000

2,957,025

 

7,730,774

Containers & Packaging - 0.1%

Ardagh Packaging Finance PLC 7.375% 10/15/17 (g)

2,700,000

2,936,250

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.:

7% 11/15/20 (g)

425,000

437,750

7.375% 10/15/17 (g)

200,000

217,000

Ball Corp. 4% 11/15/23

1,730,000

1,656,475

BOE Intermediate Holding Corp. 9.75% 11/1/17 pay-in-kind (g)

220,000

214,528

Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23 (g)

4,830,000

4,721,325

Graphic Packaging International, Inc. 4.75% 4/15/21

225,000

226,688

Sappi Papier Holding GmbH:

6.625% 4/15/21 (g)

1,925,000

1,963,500

7.75% 7/15/17 (g)

1,240,000

1,351,600

Sealed Air Corp.:

6.5% 12/1/20 (g)

615,000

684,188

8.125% 9/15/19 (g)

2,390,000

2,700,700

 

17,110,004

Metals & Mining - 0.5%

Alrosa Finance SA 7.75% 11/3/20 (g)

900,000

1,028,250

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

6,817,000

7,288,920

Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (g)

150,000

156,750

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

1,215,000

1,202,850

Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (g)

11,456,000

11,765,553

EVRAZ Group SA:

6.5% 4/22/20 (g)

555,000

536,963

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

MATERIALS - continued

Metals & Mining - continued

EVRAZ Group SA: - continued

8.25% 11/10/15 (g)

$ 1,905,000

$ 2,062,163

9.5% 4/24/18 (Reg. S)

750,000

834,375

FMG Resources (August 2006) Pty Ltd.:

6.375% 2/1/16 (g)

1,710,000

1,744,200

7% 11/1/15 (g)

4,165,000

4,289,950

Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 (g)

1,055,000

981,150

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

3,010,000

3,047,625

Metinvest BV 10.25% 5/20/15 (g)

1,085,000

1,161,493

Mongolian Mining Corp. 8.875% 3/29/17 (g)

575,000

546,250

Nord Gold NV 6.375% 5/7/18 (g)

580,000

566,950

Polyus Gold International Ltd. 5.625% 4/29/20 (g)

1,045,000

1,063,288

Severstal Columbus LLC 10.25% 2/15/18

5,710,000

6,138,250

Southern Copper Corp.:

6.75% 4/16/40

920,000

961,682

7.5% 7/27/35

810,000

926,964

Steel Dynamics, Inc.:

5.25% 4/15/23 (g)

1,570,000

1,632,800

6.125% 8/15/19 (g)

1,850,000

2,021,125

7.625% 3/15/20

1,290,000

1,419,000

Vale Overseas Ltd.:

4.375% 1/11/22

12,000,000

11,934,960

6.25% 1/23/17

5,581,000

6,341,249

Walter Energy, Inc. 8.5% 4/15/21 (g)

1,675,000

1,691,750

 

71,344,510

Paper & Forest Products - 0.0%

Emerald Plantation Holdings Ltd. 6% 1/30/20 pay-in-kind (j)

228,944

149,958

Sino-Forest Corp. 6.25% 10/21/17 (c)(g)

1,365,000

0

 

149,958

TOTAL MATERIALS

136,122,413

TELECOMMUNICATION SERVICES - 1.5%

Diversified Telecommunication Services - 0.9%

Alestra SA de RL de CV 11.75% 8/11/14

785,000

863,500

Altice Financing SA 7.875% 12/15/19 (g)

320,000

354,000

Altice Finco SA 9.875% 12/15/20 (g)

1,205,000

1,367,675

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

AT&T, Inc.:

4.35% 6/15/45 (g)

$ 758,000

$ 705,173

5.35% 9/1/40

4,006,000

4,295,946

5.55% 8/15/41

35,646,000

39,473,311

6.3% 1/15/38

16,665,000

19,906,209

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

40,000

51,173

CenturyLink, Inc.:

5.15% 6/15/17

972,000

1,040,040

6% 4/1/17

2,432,000

2,681,280

6.15% 9/15/19

6,992,000

7,516,400

Embarq Corp.:

7.082% 6/1/16

6,922,000

7,935,706

7.995% 6/1/36

4,717,000

5,120,186

Intelsat Luxembourg SA:

7.75% 6/1/21 (g)

4,140,000

4,352,175

8.125% 6/1/23 (g)

1,480,000

1,583,600

11.25% 2/4/17

2,529,000

2,674,418

Lynx I Corp. 5.375% 4/15/21 (g)

1,205,000

1,259,225

Lynx II Corp. 6.375% 4/15/23 (g)

260,000

271,050

Sprint Capital Corp. 6.875% 11/15/28

695,000

695,000

Telefonica Celular del Paraguay SA 6.75% 12/13/22 (g)

540,000

583,200

TW Telecom Holdings, Inc. 5.375% 10/1/22

1,390,000

1,438,650

Verizon Communications, Inc.:

3.85% 11/1/42

3,792,000

3,277,236

6.1% 4/15/18

6,000,000

7,174,548

6.25% 4/1/37

2,348,000

2,787,926

6.9% 4/15/38

6,295,000

8,063,631

Virgin Media Finance PLC 4.875% 2/15/22

770,000

772,926

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

1,510,000

1,589,275

 

127,833,459

Wireless Telecommunication Services - 0.6%

America Movil S.A.B. de CV:

2.375% 9/8/16

15,982,000

16,415,128

3.125% 7/16/22

9,218,000

8,810,177

3.625% 3/30/15

731,000

760,793

Crown Castle International Corp. 5.25% 1/15/23

2,575,000

2,607,188

Digicel Group Ltd.:

6% 4/15/21 (g)

3,980,000

3,940,200

8.25% 9/1/17 (g)

3,400,000

3,536,000

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Digicel Group Ltd.: - continued

8.25% 9/30/20 (g)

$ 2,770,000

$ 2,936,200

Intelsat Jackson Holdings SA:

5.5% 8/1/23 (g)(i)

1,255,000

1,237,744

6.625% 12/15/22 (g)

1,660,000

1,726,400

6.625% 12/15/22 (g)(i)

2,770,000

2,887,725

7.25% 4/1/19

1,690,000

1,833,650

7.5% 4/1/21

1,420,000

1,558,450

MTS International Funding Ltd. 8.625% 6/22/20 (g)

2,055,000

2,522,513

NII Capital Corp. 7.625% 4/1/21

1,470,000

1,223,775

Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (g)

2,520,000

2,507,400

SBA Communications Corp. 5.625% 10/1/19 (g)

2,855,000

2,965,489

Softbank Corp. 4.5% 4/15/20 (g)

3,700,000

3,737,000

Sprint Nextel Corp.:

6% 12/1/16

2,150,000

2,324,688

6% 11/15/22

2,790,000

2,880,675

7% 3/1/20 (g)

1,495,000

1,681,875

7% 8/15/20

2,305,000

2,500,925

9% 11/15/18 (g)

1,050,000

1,273,125

Telemovil Finance Co. Ltd. 8% 10/1/17 (g)

1,370,000

1,483,025

Telesat Canada/Telesat LLC 6% 5/15/17 (g)

4,280,000

4,472,600

Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (g)

1,000,000

1,103,750

VimpelCom Holdings BV 5.2% 2/13/19 (g)

585,000

585,000

Vodafone Group PLC 5% 12/16/13

2,864,000

2,932,819

 

82,444,314

TOTAL TELECOMMUNICATION SERVICES

210,277,773

UTILITIES - 2.9%

Electric Utilities - 1.5%

AmerenUE 6.4% 6/15/17

2,491,000

2,965,466

American Electric Power Co., Inc.:

1.65% 12/15/17

5,213,000

5,184,083

2.95% 12/15/22

4,935,000

4,798,286

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

1,016,000

1,042,445

Duke Capital LLC 5.668% 8/15/14

2,563,000

2,705,480

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

UTILITIES - continued

Electric Utilities - continued

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (g)

$ 7,207,000

$ 8,472,989

6.4% 9/15/20 (g)

16,661,000

20,396,748

Edison International 3.75% 9/15/17

6,674,000

7,179,402

Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (g)

1,710,000

837,900

FirstEnergy Corp.:

2.75% 3/15/18

10,421,000

10,444,843

4.25% 3/15/23

16,326,000

16,117,892

7.375% 11/15/31

19,999,000

22,613,689

FirstEnergy Solutions Corp. 6.05% 8/15/21

20,194,000

23,150,462

Hrvatska Elektroprivreda 6% 11/9/17 (g)

350,000

362,250

InterGen NV 9% 6/30/17 (g)

5,785,000

5,936,856

LG&E and KU Energy LLC:

2.125% 11/15/15

7,369,000

7,551,736

3.75% 11/15/20

1,450,000

1,527,897

Majapahit Holding BV:

7.75% 1/20/20 (g)

750,000

907,500

8% 8/7/19 (g)

485,000

591,700

Mirant Americas Generation LLC:

8.5% 10/1/21

3,095,000

3,574,725

9.125% 5/1/31

1,525,000

1,723,250

Nevada Power Co. 6.5% 5/15/18

790,000

969,174

Northeast Utilities:

1.45% 5/1/18

3,325,000

3,283,245

2.8% 5/1/23

15,104,000

14,618,240

Otter Tail Corp. 9% 12/15/16

2,410,000

2,795,600

Pennsylvania Electric Co. 6.05% 9/1/17

764,000

887,843

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

7,047,000

7,281,080

PPL Capital Funding, Inc. 3.4% 6/1/23

7,184,000

7,051,807

Progress Energy, Inc.:

4.4% 1/15/21

12,059,000

13,337,314

6% 12/1/39

7,150,000

8,553,559

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

1,945,000

1,967,949

 

208,831,410

Gas Utilities - 0.1%

Intergas Finance BV 6.375% 5/14/17 (Reg. S)

1,090,000

1,200,363

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

442,000

511,864

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

UTILITIES - continued

Gas Utilities - continued

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

$ 3,646,000

$ 3,960,672

Transportadora de Gas del Sur SA 7.875% 5/14/17 (g)

3,245,000

2,823,150

 

8,496,049

Independent Power Producers & Energy Traders - 0.3%

Atlantic Power Corp. 9% 11/15/18

3,625,000

3,788,125

Dolphin Subsidiary II, Inc.:

6.5% 10/15/16

2,775,000

2,990,063

7.25% 10/15/21

1,400,000

1,512,000

GenOn Energy, Inc.:

9.5% 10/15/18

3,490,000

4,074,575

9.875% 10/15/20

1,705,000

1,926,650

Kinder Morgan Finance Co. LLC 6% 1/15/18 (g)

3,030,000

3,344,965

Listrindo Capital BV 6.95% 2/21/19 (g)

600,000

646,500

NRG Energy, Inc. 6.625% 3/15/23 (g)

3,095,000

3,288,438

Power Sector Assets and Liabilities Management Corp. 7.39% 12/2/24 (g)

750,000

988,125

PPL Energy Supply LLC 6.5% 5/1/18

6,895,000

8,140,389

PSEG Power LLC 2.75% 9/15/16

2,786,000

2,887,968

RRI Energy, Inc. 7.625% 6/15/14

2,710,000

2,898,616

The AES Corp.:

4.875% 5/15/23

840,000

829,500

7.375% 7/1/21

1,675,000

1,959,750

8% 10/15/17

249,000

291,953

 

39,567,617

Multi-Utilities - 1.0%

Ameren Illinois Co. 6.125% 11/15/17

3,112,000

3,687,599

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

3,771,000

4,660,779

Dominion Resources, Inc.:

2.5836% 9/30/66 (j)

24,541,000

23,181,625

7.5% 6/30/66 (j)

10,345,000

11,482,950

MidAmerican Energy Holdings, Co. 6.5% 9/15/37

7,097,000

9,022,934

National Grid PLC 6.3% 8/1/16

1,589,000

1,827,479

NiSource Finance Corp.:

4.45% 12/1/21

4,928,000

5,307,900

5.25% 9/15/17

843,000

954,839

5.25% 2/15/43

12,739,000

13,250,356

5.4% 7/15/14

1,680,000

1,761,572

5.45% 9/15/20

854,000

978,366

Nonconvertible Bonds - continued

 

Principal Amount (d)

Value

UTILITIES - continued

Multi-Utilities - continued

NiSource Finance Corp.: - continued

5.8% 2/1/42

$ 6,336,000

$ 7,028,056

5.95% 6/15/41

11,832,000

13,450,369

6.4% 3/15/18

1,654,000

1,965,863

6.8% 1/15/19

6,774,000

8,184,191

Puget Energy, Inc.:

5.625% 7/15/22

600,000

657,604

6% 9/1/21

2,464,000

2,759,091

6.5% 12/15/20

1,275,000

1,466,116

Sempra Energy:

2.3% 4/1/17

14,116,000

14,524,277

2.875% 10/1/22

5,760,000

5,627,733

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

3,860,000

4,192,925

 

135,972,624

TOTAL UTILITIES

392,867,700

TOTAL NONCONVERTIBLE BONDS

(Cost $3,591,526,583)


3,854,161,745

U.S. Treasury Obligations - 31.4%

 

U.S. Treasury Bonds:

2.75% 11/15/42

8,225,000

7,387,078

2.875% 5/15/43

53,020,000

48,852,946

3.125% 2/15/43

390,413,000

379,188,626

U.S. Treasury Notes:

0.125% 4/30/15 (f)

192,500,000

191,883,423

0.25% 9/15/14

8,937,000

8,943,283

0.25% 8/15/15

227,529,000

227,049,141

0.5% 7/31/17

170,710,000

168,349,422

0.875% 11/30/16

1,503,000

1,514,273

0.875% 4/30/17

203,188,000

204,013,350

0.875% 1/31/18

192,574,000

191,776,551

0.875% 7/31/19

5,000

4,864

1% 5/31/18

583,858,000

582,854,289

1.125% 4/30/20 (f)

198,649,000

193,527,630

1.375% 11/30/15

88,617,000

90,749,302

1.375% 5/31/20

381,547,000

377,373,639

U.S. Treasury Obligations - continued

 

Principal Amount (d)

Value

U.S. Treasury Notes: - continued

1.75% 5/31/16

$ 263,340,000

$ 272,927,156

1.75% 5/15/23 (f)

41,820,000

40,362,824

2% 2/15/23

424,649,000

420,999,567

2.375% 2/28/15

499,922,000

518,141,657

2.625% 7/31/14

66,140,000

68,010,505

2.625% 12/31/14

273,340,000

283,611,571

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $4,291,616,283)


4,277,521,097

U.S. Government Agency - Mortgage Securities - 6.0%

 

Fannie Mae - 4.1%

2.082% 10/1/33 (j)

630,807

662,922

2.5% 6/1/28 (i)

3,500,000

3,575,521

2.5% 6/1/28 (i)

4,100,000

4,188,467

2.559% 6/1/36 (j)

138,476

148,620

2.671% 2/1/36 (j)

629,862

677,161

2.82% 12/1/35 (j)

440,552

467,626

2.935% 7/1/37 (j)

297,703

315,746

3% 10/1/26 to 3/1/43

17,118,195

17,599,798

3% 6/1/43 (i)

1,000,000

1,007,013

3% 6/1/43 (i)

1,000,000

1,007,013

3% 6/1/43 (i)

1,400,000

1,409,818

3% 6/1/43 (i)

1,000,000

1,007,013

3% 6/1/43 (i)

800,000

805,610

3% 6/1/43 (i)

2,200,000

2,215,429

3.5% 1/1/26 to 6/1/43

243,458,432

251,541,095

3.5% 6/1/43 (i)

7,400,000

7,666,515

3.5% 6/1/43 (i)

7,400,000

7,666,515

3.5% 6/1/43 (i)

4,500,000

4,662,070

4% 4/1/25 to 4/1/42

71,875,275

76,242,194

4% 6/1/43 (i)

8,600,000

9,073,672

4.5% 1/1/22 to 10/1/41

40,823,689

43,906,773

4.5% 6/1/43 (i)

6,700,000

7,159,055

5% 10/1/21 to 4/1/40

12,953,895

14,005,615

5.5% 3/1/18 to 5/1/39

17,682,960

19,163,806

5.5% 6/1/43 (i)

29,000,000

31,411,907

5.5% 6/1/43 (i)

29,000,000

31,411,907

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (d)

Value

Fannie Mae - continued

6% 4/1/21 to 1/1/42

$ 15,193,944

$ 16,842,974

6.5% 7/1/32 to 8/1/36

10,780,623

12,338,439

TOTAL FANNIE MAE

568,180,294

Freddie Mac - 0.8%

3% 2/1/43

2,771,446

2,784,817

3% 6/1/43 (i)

9,400,000

9,429,938

3.287% 10/1/35 (j)

192,955

207,485

3.5% 1/1/26 to 4/1/43

43,234,465

44,987,994

4% 12/1/40 to 4/1/42

11,466,538

12,254,590

4% 10/1/41

5,106,038

5,493,379

4% 3/1/42

337,759

363,065

4% 6/1/43 (i)

3,700,000

3,894,539

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

8,970,570

9,638,980

5% 4/1/38 to 6/1/40

3,825,951

4,149,820

5.5% 11/1/17 to 12/1/35

11,801,697

12,780,708

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

2,531,085

2,754,314

TOTAL FREDDIE MAC

108,739,629

Ginnie Mae - 1.1%

3% 6/1/43 (i)

2,500,000

2,550,736

3% 6/1/43 (i)

3,200,000

3,264,442

3% 6/1/43 (i)

4,200,000

4,284,580

3.5% 4/15/42 to 11/20/42

4,469,049

4,705,075

3.5% 6/1/43 (i)

4,800,000

5,048,625

3.5% 6/1/43 (i)

1,800,000

1,888,734

3.5% 6/1/43 (i)

3,100,000

3,252,820

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

66,357,009

71,231,261

4.5% 11/20/33 to 4/15/41

31,889,892

34,588,528

5% 5/15/39 to 8/15/41

4,040,858

4,422,484

5% 8/20/40

2,466,477

2,711,188

5% 4/20/41

3,056,048

3,306,727

5% 6/20/41

1,466,855

1,587,177

6% 9/20/38

2,746,802

3,035,216

TOTAL GINNIE MAE

145,877,593

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $824,674,596)


822,797,516

Asset-Backed Securities - 0.8%

 

Principal Amount (d)

Value

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6633% 4/25/35 (j)

$ 682,282

$ 606,597

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1 Class M2, 1.8433% 3/25/34 (j)

381,495

385,837

Series 2005-HE2 Class M2, 0.8683% 4/25/35 (j)

32,467

32,256

Airspeed Ltd. Series 2007-1A Class C1, 2.6992% 6/15/32 (g)(j)

3,973,305

2,304,517

Ally Master Owner Trust:

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

8,870,000

8,957,786

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

8,490,000

8,589,596

Series 2012-1 Class A2, 1.44% 2/15/17

18,800,000

19,010,992

Series 2012-3 Class A2, 1.21% 6/15/17

12,650,000

12,780,028

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.2433% 12/25/33 (j)

67,910

63,930

Series 2004-R2 Class M3, 1.0183% 4/25/34 (j)

97,089

81,921

Series 2005-R2 Class M1, 0.6433% 4/25/35 (j)

1,817,827

1,780,862

Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.5563% 3/23/19 (g)(j)

102,826

101,972

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9733% 3/25/34 (j)

47,932

44,445

Series 2004-W11 Class M2, 1.2433% 11/25/34 (j)

561,149

524,466

Series 2004-W7 Class M1, 1.0183% 5/25/34 (j)

1,542,998

1,476,321

Series 2006-W4 Class A2C, 0.3533% 5/25/36 (j)

1,256,593

466,436

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.0183% 4/25/34 (j)

2,181,980

2,052,342

Series 2006-HE2 Class M1, 0.5633% 3/25/36 (j)

37,903

409

Capital Trust Ltd. Series 2004-1:

Class B, 0.9482% 7/20/39 (g)(j)

220,129

176,103

Class C, 1.2982% 7/20/39 (g)(j)

339,379

16,969

Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A:

Class A2, 5.16% 6/25/35 (g)

280,903

281,071

Class B, 5.267% 6/25/35 (g)

1,000,000

1,000,400

CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.5294% 1/20/37 (g)(j)

87,549

82,077

Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3333% 12/25/36 (j)

1,802,588

1,137,089

CBRE Realty Finance CDO LLC Series 2007-1A Class A1, 0.5304% 4/7/52 (g)(j)

646,820

582,138

CFC LLC Series 2013-1A:

Class A, 1.65% 7/17/17 (g)

3,600,000

3,599,925

Class B, 2.75% 11/15/18 (g)

6,690,000

6,688,279

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3133% 2/25/27 (j)

$ 20,782

$ 20,772

Countrywide Home Loans, Inc.:

Series 2003-BC1 Class B1, 5.4502% 3/25/32 (MGIC Investment Corp. Insured) (j)

3,192

2,226

Series 2004-3 Class M4, 1.6483% 4/25/34 (j)

159,665

118,484

Series 2004-4 Class M2, 0.9883% 6/25/34 (j)

587,945

536,417

Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A:

Class B1, 6.065% 12/28/35 (g)

72,229

72,244

Class B2, 1.6336% 12/28/35 (g)(j)

72,229

71,507

Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class D, 9% 6/28/38 (g)

210,698

158,023

Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27

540,000

521,054

Fannie Mae Series 2004-T5 Class AB3, 1.0337% 5/28/35 (j)

38,916

37,012

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3683% 8/25/34 (j)

290,872

230,821

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0183% 3/25/34 (j)

18,712

15,852

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.9283% 1/25/35 (j)

948,695

804,824

Class M4, 1.2133% 1/25/35 (j)

363,547

42,598

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6528% 2/25/47 (g)(j)

2,892,000

2,024,400

GE Business Loan Trust:

Series 2003-1 Class A, 0.6292% 4/15/31 (g)(j)

106,970

102,517

Series 2006-2A:

Class A, 0.3792% 11/15/34 (g)(j)

1,506,188

1,393,275

Class B, 0.4792% 11/15/34 (g)(j)

544,080

464,473

Class C, 0.5792% 11/15/34 (g)(j)

904,239

656,628

Class D, 0.9492% 11/15/34 (g)(j)

343,369

232,492

GSAMP Trust Series 2004-AR1 Class B4, 4.0669% 6/25/34 (e)(g)

215,708

20,861

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

Class C, 0.7433% 9/25/46 (g)(j)

1,325,967

1,319,337

Class E, 1.8433% 9/25/46 (g)(j)

250,000

210,000

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.5133% 8/25/33 (j)

348,808

327,167

Series 2003-3 Class M1, 1.4833% 8/25/33 (j)

617,305

582,428

Series 2003-5 Class A2, 0.8933% 12/25/33 (j)

32,929

29,437

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3833% 1/25/37 (j)

$ 1,522,035

$ 817,053

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.4933% 7/25/36 (j)

204,000

3,106

Series 2007-CH1 Class AV4, 0.3233% 11/25/36 (j)

1,520,141

1,463,373

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.6131% 12/27/29 (j)

416,807

407,301

Series 2006-A Class 2C, 1.4331% 3/27/42 (j)

3,243,000

158,239

Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.3533% 11/25/36 (j)

5,182,921

2,583,352

Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6233% 5/25/46 (g)(j)

250,000

207,500

MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4933% 5/25/37 (j)

603,385

7,933

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9433% 7/25/34 (j)

150,385

123,827

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.1683% 7/25/34 (j)

499,279

416,930

Series 2006-FM1 Class A2B, 0.3033% 4/25/37 (j)

971,492

847,244

Series 2006-OPT1 Class A1A, 0.4533% 6/25/35 (j)

2,572,840

2,381,550

Mesa West Capital CDO Ltd.:

Series 2007-1A Class A2, 0.4833% 2/25/47 (g)(j)

425,000

399,500

Series 2007-1A:

Class A1, 0.4533% 2/25/47 (g)(j)

706,331

656,888

Class H, 1.6633% 2/25/47 (g)(j)

250,000

182,750

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5333% 8/25/34 (j)

57,368

56,522

Series 2004-NC6 Class M3, 2.3683% 7/25/34 (j)

21,065

12,304

Series 2004-NC8 Class M6, 2.0683% 9/25/34 (j)

24,800

17,114

Series 2005-NC1 Class M1, 0.6333% 1/25/35 (j)

399,800

374,656

Series 2005-NC2 Class B1, 1.3633% 3/25/35 (j)

416,362

17,410

N-Star Real Estate CDO Ltd. Series 1A:

Class B1, 1.9478% 8/28/38 (g)(j)

220,000

213,400

Class C1B, 7.696% 8/28/38 (g)

64,212

55,222

New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7033% 9/25/35 (j)

1,426,957

1,246,271

Ocala Funding LLC:

Series 2005-1A Class A, 1.6982% 3/20/10 (c)(g)(j)

566,000

0

Series 2006-1A Class A, 1.5982% 3/20/11 (c)(g)(j)

1,176,000

0

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.4433% 9/25/34 (j)

532,896

462,251

Class M4, 1.6433% 9/25/34 (j)

683,353

238,499

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Park Place Securities, Inc.: - continued

Series 2005-WCH1 Class M4, 1.0233% 1/25/36 (j)

$ 1,475,804

$ 1,243,269

Prima Capital Ltd. Series 2006-CR1A Class A2, 5.533% 12/28/48 (g)

530,814

541,430

Resource Real Estate Funding CDO Series 2007-1A Class J, 3.1433% 9/25/46 (g)(j)

250,000

67,500

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9933% 4/25/33 (j)

5,108

4,884

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9883% 3/25/35 (j)

1,139,786

1,055,868

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2301% 6/15/33 (j)

1,206,054

883,420

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9183% 9/25/34 (j)

56,993

41,692

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

350,176

353,490

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0533% 9/25/34 (j)

28,819

27,224

TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp. Series 2003-1A Class B2, 5.4802% 12/28/38 (g)

111,000

111,155

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8404% 4/6/42 (g)(j)

2,666,307

79,989

Wachovia Ltd./Wachovia LLC:

Series 2006-1 Class 1ML, 5.7841% 9/25/26 (g)(j)

400,000

242,080

Series 2006-1A:

Class A1A, 0.5441% 9/25/26 (g)(j)

814,274

805,317

Class A1B, 0.6141% 9/25/26 (g)(j)

1,033,000

954,699

Class A2A, 0.5041% 9/25/26 (g)(j)

189,730

189,579

Class A2B, 0.5941% 9/25/26 (g)(j)

250,000

238,700

Class B, 0.6441% 9/25/26 (g)(j)

250,000

225,475

Class C 0.8141% 9/25/26 (g)(j)

250,000

223,625

Class F, 1.4341% 9/25/26 (g)(j)

429,000

377,477

Class G, 1.6341% 9/25/26 (g)(j)

336,000

292,958

Class H, 1.9341% 9/25/26 (g)(j)

250,000

216,750

Class K, 3.5341% 9/25/26 (g)(j)

250,000

214,975

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0756% 10/25/44 (g)(j)

1,789,540

1,637,429

Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A:

Class A1, 0.5936% 11/21/40 (g)(j)

420,551

391,113

Class D, 1.1236% 11/21/40 (g)(j)

305,000

122,000

TOTAL ASSET-BACKED SECURITIES

(Cost $95,909,629)


106,711,906

Collateralized Mortgage Obligations - 1.0%

 

Principal Amount (d)

Value

Private Sponsor - 0.5%

ABN AMRO Mortgage Corp. Series 2003-9 Class B5, 4.5164% 8/25/18 (g)

$ 110,240

$ 86,939

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7533% 1/25/35 (j)

1,588,030

1,562,460

Countrywide Home Loans, Inc.:

Series 2003-28 Class B3, 5.5% 8/25/33

40,254

31,558

Series 2003-35 Class B, 4.6368% 9/25/18 (j)

61,216

21,499

Credit Suisse First Boston Mortgage Securities Corp. Series 2003-17 Class B4, 5.4315% 6/25/33 (j)

192,925

146,650

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.632% 10/25/34 (j)

1,159,080

1,188,803

FREMF Mortgage Trust:

Series 2010 K7 Class B, 5.6188% 4/25/20 (g)(j)

1,000,000

1,143,773

Series 2010-K6 Class B, 5.5328% 12/25/46 (g)(j)

910,000

1,019,551

GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (g)

39,352

18,106

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 1.2982% 12/20/54 (j)

205,017

183,285

Series 2006-1A Class C2, 1.3982% 12/20/54 (g)(j)

6,523,000

5,831,562

Series 2006-2 Class C1, 1.1382% 12/20/54 (j)

21,543,000

19,259,442

Series 2006-3 Class C2, 1.1982% 12/20/54 (j)

1,124,000

1,004,856

Series 2006-4:

Class B1, 0.3782% 12/20/54 (j)

4,521,000

4,274,606

Class C1, 0.9582% 12/20/54 (j)

2,767,000

2,473,698

Class M1, 0.5382% 12/20/54 (j)

1,190,000

1,089,445

Series 2007-1:

Class 1C1, 0.7982% 12/20/54 (j)

2,234,000

1,997,196

Class 1M1, 0.4982% 12/20/54 (j)

1,493,000

1,366,842

Class 2C1, 1.0582% 12/20/54 (j)

1,015,000

907,410

Class 2M1, 0.6982% 12/20/54 (j)

1,917,000

1,755,014

Series 2007-2 Class 2C1, 1.0582% 12/17/54 (j)

2,654,000

2,372,676

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7261% 1/20/44 (j)

430,241

423,592

GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 4.7976% 3/25/37 (j)

2,745,922

2,752,916

JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.062% 8/25/36 (j)

1,850,904

1,503,449

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4033% 5/25/47 (j)

2,082,197

1,594,581

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3633% 2/25/37 (j)

5,330,781

4,697,982

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (g)

$ 930,000

$ 960,642

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4833% 7/25/35 (j)

1,652,089

1,587,484

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

Class B5, 2.5492% 7/10/35 (g)(j)

828,311

757,259

Class B6, 3.0492% 7/10/35 (g)(j)

184,683

167,267

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6433% 6/25/33 (g)(j)

79,887

78,424

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3885% 7/20/34 (j)

31,266

29,725

Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5708% 4/25/33 (j)

239,306

242,423

Wells Fargo Mortgage Backed Securities Trust Series 2005-AR2 Class 1A2, 2.6809% 3/25/35 (j)

2,737,177

1,634,815

TOTAL PRIVATE SPONSOR

64,165,930

U.S. Government Agency - 0.5%

Fannie Mae:

floater:

Series 2005-38 Class F, 0.4933% 5/25/35 (j)

2,362,369

2,367,720

Series 2006-50 Class BF, 0.5933% 6/25/36 (j)

2,986,100

3,002,419

Series 2006-82 Class F, 0.7633% 9/25/36 (j)

4,720,374

4,733,988

Series 2007-36 Class F, 0.4233% 4/25/37 (j)

3,763,530

3,768,339

Series 2011-40 Class DF, 0.6433% 5/25/41 (j)

8,787,766

8,814,432

Series 2013-62 Class FA, 0.499% 6/25/43 (j)

12,930,000

12,942,141

floater sequential payer:

Series 2010-74 Class WF, 0.7933% 7/25/34 (j)

3,050,155

3,087,288

Series 2012-120 Class FE 0.4933% 2/25/39 (j)

5,617,801

5,625,975

planned amortization class Series 2002-9 Class PC, 6% 3/25/17

129,072

137,070

Freddie Mac:

floater Series 3830 Class FD, 0.5592% 3/15/41 (j)

14,717,110

14,791,711

floater sequential payer Series 2011-3969 Class AF, 0.6492% 10/15/33 (j)

6,930,213

6,940,052

TOTAL U.S. GOVERNMENT AGENCY

66,211,135

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $95,769,379)


130,377,065

Commercial Mortgage Securities - 5.7%

 

Principal Amount (d)

Value

ACGS Series 2004-1 Class P, 7.4605% 8/1/19 (m)

$ 323,434

$ 318,684

Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (g)

180,000

210,728

Asset Securitization Corp.:

Series 1996-D2 Class B1A, 8.4398% 2/14/29 (g)(j)

136,650

139,528

Series 1997-D4 Class B5, 7.525% 4/14/29

129,000

132,867

Series 1997-D5:

Class A7, 7.5551% 2/14/43 (j)

251,447

254,463

Class PS1, 1.4397% 2/14/43 (j)(l)

783,735

24,304

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2004-2 Class A4, 4.153% 11/10/38

1,492,008

1,499,455

Series 2005-4 Class AJ, 5.038% 7/10/45 (j)

530,000

544,455

Series 2006-2 Class AAB, 5.9009% 5/10/45 (j)

1,179,484

1,229,063

Series 2006-3 Class A4, 5.889% 7/10/44

3,940,000

4,407,970

Series 2006-4 Class AM, 5.675% 7/10/46

1,000,000

1,118,863

Series 2006-5 Class A2, 5.317% 9/10/47

5,184,033

5,247,294

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

3,804,000

3,924,998

Series 2007-4 Class A3, 6.0025% 2/10/51 (j)

1,188,740

1,239,187

Series 2003-1 Class G, 5.608% 9/11/36 (g)

185,203

186,285

Series 2004-1 Class F, 5.279% 11/10/39 (g)

185,000

173,576

Series 2004-4:

Class K, 4.637% 7/10/42 (g)(j)

300,000

1,678

Class L, 4.637% 7/10/42 (g)(j)

280,000

68

Series 2004-5 Class G, 5.7506% 11/10/41 (g)(j)

195,000

194,935

Series 2005-1 Class CJ, 5.3638% 11/10/42 (j)

550,000

581,721

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

5,908,000

6,218,022

Series 2005-5 Class D, 5.4036% 10/10/45 (j)

1,180,000

1,178,449

Series 2005-6 Class AJ, 5.3588% 9/10/47 (j)

300,000

323,003

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

1,098,000

136,890

Series 2007-3:

Class A3, 5.7963% 6/10/49 (j)

3,176,000

3,193,957

Class A4, 5.7963% 6/10/49 (j)

3,965,000

4,499,482

Series 2008-1 Class D, 6.4375% 2/10/51 (g)(j)

125,000

70,999

Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49

4,166,000

4,682,992

Banc of America Large Loan Trust floater Series 2010-HLTN Class HLTN, 2.499% 11/15/15 (g)(j)

807,404

807,646

Banc of America Large Loan, Inc. floater Series 2005-MIB1 Class K, 2.1992% 3/15/22 (g)(j)

77,611

52,785

Banc of America REMIC Trust Series 2012-CLMZ Class A, 7.6992% 8/15/17 (g)(j)

480,000

507,024

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.0433% 12/25/33 (g)(j)

$ 51,562

$ 37,888

Series 2005-4A:

Class A2, 0.5833% 1/25/36 (g)(j)

1,131,370

960,459

Class B1, 1.5933% 1/25/36 (g)(j)

97,770

20,736

Class M1, 0.6433% 1/25/36 (g)(j)

364,958

203,277

Class M2, 0.6633% 1/25/36 (g)(j)

109,488

57,476

Class M3, 0.6933% 1/25/36 (g)(j)

159,898

82,253

Class M4, 0.8033% 1/25/36 (g)(j)

88,432

42,853

Class M5, 0.8433% 1/25/36 (g)(j)

88,432

31,216

Class M6, 0.8933% 1/25/36 (g)(j)

93,925

28,176

Series 2006-3A:

Class M4, 0.6233% 10/25/36 (g)(j)

134,731

20,407

Class M5, 0.6733% 10/25/36 (g)(j)

60,517

3,216

Series 2006-4A Class M6, 0.7133% 12/25/36 (g)(j)

52,654

1,164

Series 2007-1 Class A2, 0.4633% 3/25/37 (g)(j)

760,300

483,712

Series 2007-2A:

Class A1, 0.4633% 7/25/37 (g)(j)

733,606

551,503

Class A2, 0.5133% 7/25/37 (g)(j)

685,455

354,478

Class M1, 0.5633% 7/25/37 (g)(j)

240,693

66,170

Class M2, 0.6033% 7/25/37 (g)(j)

131,525

22,449

Class M3, 0.6833% 7/25/37 (g)(j)

133,359

13,419

Class M4, 0.8433% 7/25/37 (g)(j)

263,295

12,011

Class M5, 0.9433% 7/25/37 (g)(j)

232,100

8,945

Class M6, 1.1933% 7/25/37 (g)(j)

14,388

29

Series 2007-3:

Class A2, 0.4833% 7/25/37 (g)(j)

687,552

410,493

Class B1, 1.1433% 7/25/37 (g)(j)

102,009

7,796

Class M1, 0.5033% 7/25/37 (g)(j)

149,330

54,854

Class M2, 0.5333% 7/25/37 (g)(j)

160,054

46,600

Class M3, 0.5633% 7/25/37 (g)(j)

252,206

58,154

Class M4, 0.6933% 7/25/37 (g)(j)

396,001

80,287

Class M5, 0.7933% 7/25/37 (g)(j)

205,406

29,563

Class M6, 0.9933% 7/25/37 (g)(j)

156,627

19,029

Series 2007-4A:

Class M1, 1.1433% 9/25/37 (g)(j)

281,100

26,141

Class M2, 1.2433% 9/25/37 (g)(j)

281,100

21,630

Class M4, 1.7933% 9/25/37 (g)(j)

718,957

35,120

Class M5, 1.9433% 9/25/37 (g)(j)

13,117

419

Series 2006-3A, Class IO, 3.8578% 10/25/36 (g)(j)(l)

7,630,715

177,076

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust: - continued

Series 2007-5A, Class IO, 4.186% 10/25/37 (g)(j)(l)

$ 7,296,744

$ 607,778

Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.6178% 3/11/39 (j)

450,000

471,051

Bear Stearns Commercial Mortgage Securities Trust:

floater Series 2007-BBA8:

Class D, 0.4492% 3/15/22 (g)(j)

655,330

622,509

Class E, 0.4992% 3/15/22 (g)(j)

3,607,157

3,354,357

Class F, 0.5492% 3/15/22 (g)(j)

2,235,922

2,034,503

Class G, 0.5992% 3/15/22 (g)(j)

537,549

478,374

Class H, 0.7492% 3/15/22 (g)(j)

655,330

570,083

Class J, 0.8992% 3/15/22 (g)(j)

655,330

553,699

sequential payer:

Series 2006-PW14 Class AM, 5.243% 12/11/38

600,000

637,699

Series 2006-T22 Class AJ, 5.7648% 4/12/38 (j)

400,000

436,103

Series 2007-PW16 Class A4, 5.9051% 6/11/40 (j)

1,112,000

1,274,820

Series 1999-C1:

Class G, 5.64% 2/14/31 (g)

70,000

71,095

Class I, 5.64% 2/14/31 (g)

202,567

155,995

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

4,423,321

4,433,897

Series 2006-PW14 Class X2, 0.8641% 12/11/38 (g)(j)(l)

17,947,833

65,784

Series 2006-T22:

Class A4, 5.7648% 4/12/38 (j)

237,000

262,001

Class B, 5.7648% 4/12/38 (g)(j)

200,000

214,961

Series 2006-T24 Class X2, 0.6225% 10/12/41 (g)(j)(l)

2,947,577

5,409

Series 2007-BBA8:

Class K, 1.3992% 3/15/22 (g)(j)

120,000

99,398

Class L, 2.0992% 3/15/22 (g)(j)

253,498

174,317

Series 2007-PW18 Class X2, 0.4757% 6/11/50 (g)(j)(l)

123,066,869

936,047

Series 2007-T28 Class X2, 0.3236% 9/11/42 (g)(j)(l)

67,080,021

269,460

Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (g)

639,722

696,530

C-BASS Trust floater Series 2006-SC1 Class A, 0.4633% 5/25/36 (g)(j)

614,411

580,384

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (g)

2,235,000

2,305,425

Class XCL, 1.5785% 5/15/35 (g)(j)(l)

5,958,447

94,805

CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.7449% 12/15/47 (g)(j)

750,000

861,139

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Chase Commercial Mortgage Securities Corp.:

Series 1998-1 Class H, 6.34% 5/18/30 (g)

$ 800,000

$ 716,715

Series 1998-2 Class J, 6.39% 11/18/30 (g)

487,111

353,144

Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust Series 1999-1 Class G, 6.4% 8/15/31 (g)

96,308

97,371

Citigroup Commercial Mortgage Trust Series 2007-FL3A Class A2, 0.3392% 4/15/22 (g)(j)

183,349

181,696

Citigroup/Deutsche Bank Commercial Mortgage Trust:

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

23,808,000

26,720,123

Series 2007-CD4 Class A3, 5.293% 12/11/49

1,852,000

1,905,451

Claregold Trust Series 2007-2A:

Class F, 5.01% 5/15/44 (g)(j)

CAD

138,000

117,995

Class G, 5.01% 5/15/44 (g)(j)

CAD

30,000

24,213

Class H, 5.01% 5/15/44 (g)(j)

CAD

20,000

14,015

Class J, 5.01% 5/15/44 (g)(j)

CAD

20,000

13,271

Class K, 5.01% 5/15/44 (g)(j)

CAD

10,000

5,657

Class L, 5.01% 5/15/44 (g)(j)

CAD

36,000

18,367

Class M, 5.01% 5/15/44 (g)(j)

CAD

165,000

76,120

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 5.985% 5/15/46 (j)

1,902,000

2,007,152

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

5,706,000

578,172

Series 2007-C2 Class B, 5.617% 4/15/47 (j)

2,125,000

1,592,981

COMM Mortgage Trust:

sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (g)

810,000

605,784

Series 2012-CR5 Class D, 4.4794% 12/10/45 (g)(j)

280,000

273,733

COMM pass-thru certificates:

floater:

Series 2005-F10A Class J, 1.0492% 4/15/17 (g)(j)

126,749

111,968

Series 2005-FL11:

Class B, 0.4492% 11/15/17 (g)(j)

141,221

136,892

Class C, 0.4992% 11/15/17 (g)(j)

1,168,561

1,109,369

Class D, 0.5392% 11/15/17 (g)(j)

60,771

56,477

Class E, 0.5892% 11/15/17 (g)(j)

216,043

198,619

Class F, 0.6492% 11/15/17 (g)(j)

149,679

136,110

Class G, 0.6992% 11/15/17 (g)(j)

103,750

92,270

Series 2006-FL12:

Class AJ, 0.3292% 12/15/20 (g)(j)

4,060,000

3,890,783

Class B, 0.3692% 12/15/20 (g)(j)

552,287

527,280

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

COMM pass-thru certificates: - continued

sequential payer:

Series 2003-LB1A Class D, 4.278% 6/10/38

$ 550,000

$ 566,548

Series 2004-RS1 Class A, 5.648% 3/3/41 (g)

93,135

94,020

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

5,420,000

5,515,815

Series 2001-J2A Class F, 7.38% 7/16/34 (g)(j)

199,000

237,382

Series 2006-C8 Class XP, 0.6611% 12/10/46 (j)(l)

15,692,429

39,090

Commercial Mortgage Acceptance Corp.:

Series 1998-C1 Class G, 6.21% 7/15/31 (g)

135,205

135,177

weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (g)(j)

12,580

12,584

Commercial Mortgage Asset Trust Series 1999-C2 Class G, 6% 11/17/32

302,000

335,943

Commercial Mortgage pass-thru certificates Series 2004-LB4A Class A5, 4.84% 10/15/37

21,190,000

21,871,492

Commercial Mortgage Trust pass-thru certificates:

Series 2005 C6 Class B, 5.4263% 6/10/44 (j)

905,000

892,041

Series 2005-C6 Class AJ, 5.209% 6/10/44 (j)

1,260,000

1,347,035

Series 2012-CR1:

Class C, 5.3679% 5/15/45 (j)

350,000

390,017

Class D, 5.368% 5/15/45 (g)(j)

1,040,000

1,042,976

Series 2012-CR2:

Class E, 5.02% 8/15/45 (g)(j)

1,727,000

1,685,048

Class F, 4.25% 8/15/45 (g)

1,260,000

1,047,902

Series 2012-LC4:

Class C, 5.824% 12/10/44 (j)

260,000

296,093

Class D, 5.824% 12/10/44 (g)(j)

870,000

894,317

Communication Mortgage Trust Series 2011-THL:

Class E, 5.949% 6/9/28 (g)

493,000

503,126

Class F, 4.867% 6/9/28 (g)

645,000

599,671

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2007-C2 Class A2, 5.448% 1/15/49 (j)

449,662

450,995

Series 2007-C3 Class A4, 5.8694% 6/15/39 (j)

20,611,120

23,202,206

Series 2006-C5 Class ASP, 0.8656% 12/15/39 (j)(l)

9,777,242

36,938

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

1,722,000

1,963,653

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5492% 4/15/22 (g)(j)

6,783,000

6,043,639

Credit Suisse First Boston Mortgage Securities Corp.:

floater Series 2006-TF2A Class KER, 0.7992% 9/15/21 (g)(j)

253,805

247,493

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Credit Suisse First Boston Mortgage Securities Corp.: - continued

sequential payer Series 2004-C1 Class A4, 4.75% 1/15/37

$ 763,855

$ 772,808

Series 1997-C2 Class F, 7.46% 1/17/35 (j)

298,952

299,992

Series 1998-C1:

Class F, 6% 5/17/40 (g)

1,696,644

1,853,190

Class H, 6% 5/17/40 (g)

90,317

54,279

Series 1998-C2:

Class F, 6.75% 11/15/30 (g)

1,156,000

1,212,128

Class G, 6.75% 11/15/30 (g)

180,000

197,103

Series 2001-CK6 Class AX, 1.3925% 8/15/36 (j)(l)

401,707

387

Series 2001-CKN5 Class AX, 1.6699% 9/15/34 (g)(j)(l)

620,318

337

Series 2004-C1 Class E, 5.015% 1/15/37 (g)

1,205,000

1,226,707

Series 2006-C1 Class A3, 5.5814% 2/15/39 (j)

4,884,380

4,920,935

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.3492% 2/15/22 (g)(j)

721,000

710,825

Class C:

0.3692% 2/15/22 (g)(j)

1,864,711

1,833,954

0.4692% 2/15/22 (g)(j)

665,993

645,450

Class F, 0.5192% 2/15/22 (g)(j)

1,331,815

1,281,299

Class L, 2.0992% 2/15/22 (g)(j)

99,364

24,739

sequential payer Series 2007-C1 Class A2, 5.268% 2/15/40

385,020

384,930

Series 2007-C1:

Class ASP, 0.5729% 2/15/40 (j)(l)

23,443,790

73,543

Class B, 5.487% 2/15/40 (g)(j)

2,907,000

410,053

DBUBS Mortgage Trust Series 2011-LC1A:

Class D, 5.7284% 11/10/46 (g)(j)

500,000

548,391

Class E, 5.7284% 11/10/46 (g)(j)

770,000

811,545

Class F, 5.7284% 11/10/46 (g)(j)

1,560,000

1,480,329

Class XB, 0.3189% 11/10/46 (g)(j)(l)

20,920,000

407,187

Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31

239,705

239,747

DLJ Commercial Mortgage Corp. Series 1998-CG1 Class B4, 7.4243% 6/10/31 (g)(j)

235,228

235,189

Extended Stay America Trust Series 2013-ESHM Class M, 7.625% 12/5/19 (g)

640,000

665,565

First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (g)(j)

443,000

464,232

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Fontainebleau Miami Beach Trust Series 2012-FBLU:

Class D, 5.007% 5/5/27 (g)

$ 589,000

$ 607,407

Class E, 5.253% 5/5/27 (g)

411,000

428,317

Four Times Square Trust sequential payer Series 2006-4TS Class A, 5.401% 12/13/28 (g)

200,000

230,517

Freddie Mac:

pass-thru certificates:

Series K011 Class X3, 2.662% 12/25/43 (j)(l)

1,640,000

258,041

Series K012 Class X3, 2.3659% 1/25/41 (j)(l)

1,800,000

253,292

Series K013 Class X3, 2.8848% 1/25/43 (j)(l)

820,000

141,720

Series KAIV Class X2, 3.6147% 6/25/46 (j)(l)

420,000

93,771

FREMF Mortgage Trust:

Series 2010-K9 Class B, 5.3303% 9/25/45 (g)(j)

1,290,000

1,431,536

Series 2011-K10 Class B, 4.7556% 11/25/49 (g)(j)

240,000

261,271

Series 2011-K11 Class B, 4.5698% 12/25/48 (g)(j)

750,000

793,942

G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (g)

883,720

890,260

GCCFC Commercial Mortgage Trust:

Series 2003-C2 Class J, 5.234% 1/5/36 (g)(j)

250,000

248,149

Series 2005-GG3 Class B, 4.894% 8/10/42 (j)

680,000

707,258

GE Capital Commercial Mortgage Corp.:

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

11,404,000

12,813,477

Series 2001-1 Class X1, 2.2683% 5/15/33 (g)(j)(l)

873,462

12,444

Series 2007-C1 Class XP, 0.3409% 12/10/49 (j)(l)

21,576,032

40,930

GMAC Commercial Mortgage Securities, Inc.:

Series 1997-C1 Class H, 6.6% 7/15/29

411,904

319,330

Series 1997-C2 Class G, 6.75% 4/15/29 (j)

360,640

402,842

Series 1999-C1 Class F, 6.02% 5/15/33 (g)

121,786

122,609

Series 1999-C2I Class K, 6.481% 9/15/33

835,000

593,546

Series 1999-C3:

Class J, 6.974% 8/15/36

226,000

237,086

Class K, 6.974% 8/15/36

279,000

218,170

Series 2000-C1 Class K, 7% 3/15/33

15,739

11,988

Series 2003-C3 Class H, 5.9434% 4/10/40 (g)(j)

170,000

171,743

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.3882% 11/5/21 (g)(j)

715,000

695,025

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

18,170,000

20,455,495

Series 2007-GG11 Class A1, 0.395% 12/10/49 (g)(j)(l)

29,299,855

125,286

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

GS Mortgage Securities Corp. II:

floater Series 2007-EOP:

Class A2, 1.2601% 3/6/20 (g)(j)

$ 5,910,000

$ 5,929,544

Class C, 2.0056% 3/6/20 (g)(j)

1,994,000

2,000,646

Class D, 2.2018% 3/6/20 (g)(j)

4,004,000

4,017,726

Class F, 2.6334% 3/6/20 (g)(j)

164,000

164,668

Class G, 2.7903% 3/6/20 (g)(j)

81,000

81,335

Class H, 3.3004% 3/6/20 (g)(j)

60,000

60,269

Class J, 4.0852% 3/6/20 (g)(j)

86,000

86,418

Class L, 5.4585% 3/6/20 (g)(j)

400,000

402,871

Series 1997-GL:

Class G, 7.7695% 7/13/30 (j)

754,516

803,288

Class H, 8.0595% 7/13/30 (g)(j)

230,000

242,799

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

3,990,522

4,079,119

Series 2010-C1:

Class D, 6.1284% 8/10/43 (g)(j)

755,000

848,728

Class E, 4% 8/10/43 (g)

1,240,000

965,178

Class X, 1.6714% 8/10/43 (g)(j)(l)

6,102,032

465,518

Series 2012-GCJ7:

Class C, 5.9063% 5/10/45 (j)

630,000

705,668

Class D, 5.9063% 5/10/45 (g)(j)

970,000

999,918

GS Mortgage Securities Corp. Trust Series 2011-ALF Class E, 4.953% 2/10/21 (g)

510,000

515,049

GS Mortgage Securities Trust:

sequential payer:

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

412,161

417,575

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

6,129,839

6,211,985

Series 2010-C2:

Class D, 5.4008% 12/10/43 (g)(j)

720,000

770,609

Class XA, 0.8497% 12/10/43 (g)(j)(l)

5,500,093

111,283

Series 2011-GC5:

Class C, 5.4745% 8/10/44 (g)(j)

1,050,000

1,161,736

Class D, 5.4745% 8/10/44 (g)(j)

480,000

493,422

JP Morgan Chase Commercial Mortgage Securities Trust floater:

Series 2013-JWMZ Class M, 6.194% 4/15/18 (g)(j)

180,000

182,236

Series 2013-JWRZ Class E, 3.934% 4/15/30 (g)(j)

342,000

343,692

JPMorgan Chase Commercial Mortgage Securities Corp.:

floater Series 2011-CCHP Class E, 5.15% 7/15/28 (g)(j)

500,000

501,083

Series 2002-C1 Class E, 6.135% 7/12/37 (g)

533,636

534,547

Series 2003-C1 Class D, 5.192% 1/12/37

189,919

190,248

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

JPMorgan Chase Commercial Mortgage Securities Corp.: - continued

Series 2009-IWST:

Class C, 7.6935% 12/5/27 (g)(j)

$ 380,000

$ 460,052

Class D, 7.6935% 12/5/27 (g)(j)

1,885,000

2,179,128

Series 2010-CNTM Class MZ, 8.5% 8/5/20 (g)

670,000

700,396

Series 2010-CNTR Class D, 6.3899% 8/5/32 (g)(j)

695,000

778,421

Series 2011-C4 Class E, 5.5691% 7/15/46 (g)(j)

370,000

393,872

Series 2012-CBX:

Class C, 5.3616% 6/16/45 (j)

250,000

272,842

Class D, 5.3616% 6/16/45 (g)(j)

690,000

721,433

JPMorgan Chase Commercial Mortgage Securities Trust:

floater:

Series 2006-FL2A Class J, 0.8492% 11/15/18 (g)(j)

296,925

272,702

Series 2006-FLA2:

Class A2, 0.3292% 11/15/18 (g)(j)

5,395,654

5,315,631

Class B, 0.3692% 11/15/18 (g)(j)

938,120

912,171

Class C, 0.4092% 11/15/18 (g)(j)

666,509

644,460

Class D, 0.4292% 11/15/18 (g)(j)

203,033

192,256

Class E, 0.4792% 11/15/18 (g)(j)

292,885

276,899

Class F, 0.5292% 11/15/18 (g)(j)

438,525

413,493

Class G, 0.5592% 11/15/18 (g)(j)

381,041

358,338

Class H, 0.6992% 11/15/18 (g)(j)

292,952

272,568

sequential payer:

Series 2006-CB14 Class A3B, 5.6743% 12/12/44 (j)

1,923,038

1,943,345

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (j)

480,263

502,026

Class A3, 5.336% 5/15/47

9,409,000

10,513,071

Series 2007-CB19 Class A4, 5.9096% 2/12/49 (j)

6,670,000

7,622,992

Series 2007-LD11:

Class A2, 5.9874% 6/15/49 (j)

2,755,989

2,835,739

Class A4, 6.0024% 6/15/49 (j)

21,269,184

24,238,405

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

1,459,194

1,470,308

Class A3, 5.42% 1/15/49

25,732,000

29,003,850

Series 2004-CBX Class D, 5.097% 1/12/37 (j)

170,000

147,719

Series 2004-LN2 Class D, 5.4141% 7/15/41 (j)

420,000

364,935

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

416,084

415,657

Series 2005-LDP5 Class AJ, 5.4892% 12/15/44 (j)

360,000

383,756

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

332,967

332,692

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

Series 2007-CB19:

Class B, 5.9096% 2/12/49 (j)

$ 165,000

$ 65,175

Class C, 5.9096% 2/12/49 (j)

424,000

77,093

Class D, 5.9096% 2/12/49 (j)

447,000

46,883

Series 2007-LDP10:

Class CS, 5.466% 1/15/49 (j)

157,000

14,906

Class ES, 5.7044% 1/15/49 (g)(j)

983,000

7,967

Series 2010-C2:

Class D, 5.7102% 11/15/43 (g)(j)

645,000

714,841

Class XB, 0.7527% 11/15/43 (g)(j)(l)

3,600,000

145,464

Series 2011-C5:

Class B. 5.4915% 8/15/46 (g)(j)

1,140,000

1,290,991

Class C, 5.4915% 8/15/46 (g)(j)

1,102,648

1,237,030

JPMorgan Chase Commercial Mortgage Trust Series 2013-LC11 Class D, 4.3844% 4/15/46 (j)

1,430,000

1,302,135

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 6.0807% 7/15/44 (j)

21,615,000

24,849,209

Series 1998-C4 Class G, 5.6% 10/15/35 (g)

368,144

373,205

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2004-C2 Class E, 4.487% 3/15/36

150,000

151,660

Series 2005-C3 Class AJ, 4.843% 7/15/40

1,220,000

1,287,952

Series 2005-C7:

Class AJ, 5.323% 11/15/40 (j)

1,500,000

1,612,970

Class AM, 5.263% 11/15/40 (j)

137,000

148,438

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

5,110

5,112

Series 2006-C6:

Class A2, 5.262% 9/15/39 (j)

89,743

90,104

Class A4, 5.372% 9/15/39

857,000

959,744

Class AM, 5.413% 9/15/39

1,500,000

1,679,336

Series 2006-C7:

Class A2, 5.3% 11/15/38

981,760

1,033,290

Class AM, 5.378% 11/15/38

160,000

175,534

Series 2007-C1:

Class A3, 5.398% 2/15/40

9,480,823

9,692,179

Class A4, 5.424% 2/15/40

17,074,000

19,286,927

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

3,967,000

4,414,636

Series 2007-C6 Class A2, 5.845% 7/15/40

4,747,472

4,744,044

Series 2003-C7 Class L, 5.224% 7/15/37 (g)(j)

284,000

279,740

Series 2004-C2 Class G, 4.595% 3/15/36 (g)(j)

225,000

220,345

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

LB-UBS Commercial Mortgage Trust: - continued

Series 2004-C7 Class E, 4.918% 10/15/36

$ 280,000

$ 290,015

Series 2005-C1 Class E, 4.924% 2/15/40

750,000

771,257

Series 2005-C2 Class AJ, 5.205% 4/15/30 (j)

740,000

785,061

Series 2005-C7 Class C, 5.35% 11/15/40 (j)

1,016,000

1,049,787

Series 2006-C4:

Class AJ, 6.0821% 6/15/38 (j)

1,060,000

1,095,946

Class AM, 6.0821% 6/15/38 (j)

500,000

556,879

Series 2006-C6 Class XCP, 0.862% 9/15/39 (j)(l)

7,302,392

15,861

Series 2007-C1 Class XCP, 0.623% 2/15/40 (j)(l)

2,598,342

8,284

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

2,376,000

2,672,537

Series 2007-C7:

Class A3, 5.866% 9/15/45

11,949,201

13,543,499

Class XCP, 0.4169% 9/15/45 (j)(l)

115,327,457

545,268

Lehman Brothers Floating Rate Commercial Mortgage Trust floater:

Series 2006-LLFA:

Class D, 0.4292% 9/15/21 (g)(j)

608,683

601,807

Class E, 0.4892% 9/15/21 (g)(j)

2,196,145

2,149,374

Class F, 0.5392% 9/15/21 (g)(j)

1,143,094

1,107,319

Class G, 0.5592% 9/15/21 (g)(j)

2,258,211

2,164,954

Class H, 0.5992% 9/15/21 (g)(j)

582,579

546,868

Series 2007-LLFA Class E, 1.0992% 6/15/22 (g)(j)

760,000

740,588

LStar Commercial Mortgage Trust:

Series 2011-1 Class D, 5.5422% 6/25/43 (g)(j)

310,000

316,851

Series 2011-1 Class B, 5.5422% 6/25/43 (g)(j)

540,000

563,229

Merrill Lynch Commercial Trust floater Series 2008-LAQA Class A2, 0.7374% 7/9/21 (g)(j)

17,970,000

17,781,674

Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.4086% 10/12/39 (g)(j)

CAD

320,000

273,441

Merrill Lynch Mortgage Investors Trust:

Series 1997-C2 Class F, 6.25% 12/10/29 (j)

409,070

408,682

Series 1998-C3 Class E, 7.0862% 12/15/30 (j)

37,068

37,264

Merrill Lynch Mortgage Trust:

Series 05-LC1 Class AJ, 5.546% 1/12/44 (j)

220,000

238,768

Series 2004-MKB1 Class F, 5.867% 2/12/42 (g)(j)

180,000

182,368

Series 2005-LC1 Class F, 5.6% 1/12/44 (g)(j)

1,655,000

1,342,380

Series 2006-C1:

Class A2, 5.8275% 5/12/39 (j)

748,934

751,386

Class AJ, 5.8725% 5/12/39 (j)

530,000

543,778

Class AM, 5.8725% 5/12/39 (j)

100,000

111,034

Series 2007-C1 Class A4, 6.0442% 6/12/50 (j)

7,199,517

8,213,511

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

4,059,000

4,666,592

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.3192% 12/12/49 (j)

$ 99,233

$ 99,052

sequential payer:

Series 2006-4:

Class A2, 5.112% 12/12/49 (j)

120,266

120,471

Class ASB, 5.133% 12/12/49 (j)

1,127,964

1,173,019

Series 2007-5 Class A4, 5.378% 8/12/48

17,266,000

19,305,650

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

14,650,000

16,457,078

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

6,656,000

7,572,438

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

5,107,694

5,237,404

Series 2006-4 Class XP, 0.8115% 12/12/49 (j)(l)

25,957,588

250,984

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

1,902,000

474,572

Series 2007-7 Class B, 5.9278% 6/12/50 (j)

166,000

9,863

Series 2007-8 Class A3, 6.1305% 8/12/49 (j)

1,640,000

1,888,335

Mezz Capital Commercial Mortgage Trust sequential payer:

Series 2004-C1 Class A, 4.836% 1/15/37 (g)

314,130

267,010

Series 2004-C2 Class A, 5.318% 10/15/40 (g)

524,912

459,298

Morgan Stanley BAML Trust:

Series 2013-C7 Class D, 4.3056% 2/15/46 (g)

810,000

739,370

Series 2013-C8 Class D, 4.3117% 12/15/48 (g)(j)

400,000

364,338

Series 2013-C9 Class D, 4.2997% 5/15/46 (g)(j)

1,030,000

936,952

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF:

Class C, 1.4% 7/15/19 (g)(j)

357,716

147,558

Class J, 0.63% 7/15/19 (g)(j)

335,987

292,124

Series 2007-XLFA:

Class C, 0.36% 10/15/20 (g)(j)

1,092,000

1,064,749

Class D, 0.39% 10/15/20 (g)(j)

667,354

644,027

Class E, 0.45% 10/15/20 (g)(j)

834,661

782,532

Class F, 0.5% 10/15/20 (g)(j)

500,899

464,606

Class G, 0.54% 10/15/20 (g)(j)

619,188

568,133

Class H, 0.63% 10/15/20 (g)(j)

389,758

338,133

Class J, 0.78% 10/15/20 (g)(j)

225,021

84,956

sequential payer:

Series 2012-C4 Class E, 5.71% 3/15/45 (g)

260,000

264,062

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

1,266,535

1,269,511

Series 2006-HQ10 Class AM, 5.36% 11/12/41

620,000

685,623

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

921,287

944,057

Series 1997-RR Class F, 7.4015% 4/30/39 (g)(j)

84,146

84,146

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Morgan Stanley Capital I Trust: - continued

Series 1998-CF1 Class G, 7.35% 7/15/32 (g)

$ 207,935

$ 160,459

Series 1999-WF1:

Class N, 5.91% 11/15/31 (g)

210,000

209,869

Class O, 5.91% 11/15/31 (g)

197,950

56,814

Series 2004-IQ7 Class E, 5.5419% 6/15/38 (g)(j)

120,000

125,955

Series 2004-RR2 Class C, 5.88% 10/28/33 (g)(j)

280,000

280,350

Series 2005-HQ5 Class B, 5.272% 1/14/42

1,500,000

1,579,187

Series 2005-HQ6 Class AJ, 5.073% 8/13/42 (j)

1,000,000

1,060,978

Series 2006-IQ11 Class A4, 5.8515% 10/15/42 (j)

519,331

570,289

Series 2006-IQ12 Class AMFX, 5.37% 12/15/43

719,000

804,839

Series 2006-T23 Class A3, 5.9917% 8/12/41 (j)

972,000

967,545

Series 2007-HQ12 Class A2, 5.7629% 4/12/49 (j)

8,938,719

8,991,306

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (j)

2,852,000

3,233,435

Class B, 5.9128% 4/15/49 (j)

469,000

96,239

Series 2011-C1:

Class C, 5.4202% 9/15/47 (g)(j)

970,000

1,096,464

Class D, 5.4202% 9/15/47 (g)(j)

1,760,000

1,938,131

Class E, 5.4202% 9/15/47 (g)(j)

573,100

598,027

Series 2011-C2:

Class D, 5.4937% 6/15/44 (g)(j)

580,000

604,937

Class E, 5.4937% 6/15/44 (g)(j)

600,000

621,790

Class F, 5.4937% 6/15/44 (g)(j)

550,000

459,052

Class XB, 0.539% 6/15/44 (g)(j)(l)

9,001,008

314,090

Series 2011-C3:

Class C, 5.3573% 7/15/49 (g)(j)

1,000,000

1,091,016

Class D, 5.357% 7/15/49 (g)

1,130,000

1,207,759

Class E, 5.3573% 7/15/49 (g)(j)

400,000

410,808

Series 2012-C4:

Class C, 5.7111% 3/15/45 (g)

500,000

562,011

Class D, 5.7102% 3/15/45 (g)(j)

330,000

356,529

Morgan Stanley Dean Witter Capital I Trust:

Series 2000-PRIN Class C, 7.9089% 2/23/34 (j)

466,000

525,940

Series 2001-TOP3 Class E, 7.5109% 7/15/33 (g)(j)

150,000

150,478

Series 2003-TOP9 Class E, 5.646% 11/13/36 (g)(j)

78,000

82,129

NationsLink Funding Corp.:

Series 1998-2 Class J, 5% 8/20/30 (g)

46,982

46,642

Series 1999-SL Class X, 11/10/30 (l)

9,240

9,229

Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (g)

831,140

1,018,396

RBSCF Trust Series 2010-MB1 Class D, 4.8374% 4/15/24 (g)(j)

1,238,000

1,256,447

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Real Estate Asset Liquidity Trust:

Series 2006-2:

Class F, 4.456% 9/12/38 (g)

CAD

$ 107,000

$ 92,165

Class G, 4.456% 9/12/38 (g)

CAD

54,000

45,346

Class H, 4.456% 9/12/38 (g)

CAD

36,000

27,570

Class J, 4.456% 9/12/38 (g)

CAD

36,000

25,162

Class K, 4.456% 9/12/38 (g)

CAD

18,000

11,592

Class L, 4.456% 9/12/38 (g)

CAD

26,000

15,785

Class M, 4.456% 9/12/38 (g)

CAD

104,391

48,453

Series 2007-1:

Class F, 4.57% 4/12/23

CAD

126,000

107,159

Class G, 4.57% 4/12/23

CAD

42,000

34,536

Class H, 4.57% 4/12/23

CAD

42,000

31,779

Class J, 4.57% 4/12/23 (j)

CAD

42,000

30,252

Class K, 4.57% 4/12/23

CAD

21,000

14,176

Class L, 4.57% 4/12/23

CAD

63,000

41,185

Class M, 4.57% 4/12/23

CAD

185,000

94,674

Salomon Brothers Mortgage Securities VII, Inc.:

Series 2001-MMA Class E3, 6.5% 2/18/34 (g)(j)

10,321

10,461

Series 2006-C2 Class H, 6.308% 7/18/33 (g)

268,000

105,298

TIAA Seasoned Commercial Mortgage Trust:

sequential payer Series 2007-C4 Class AJ, 5.5409% 8/15/39 (j)

170,000

185,207

Series 2007-C4 Class F, 5.5409% 8/15/39 (j)

820,000

615,442

TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (g)

270,000

277,100

UBS Commercial Mortgage Trust Series 2007-FL1:

Class F, 0.7742% 7/15/24 (g)(j)

110,000

99,206

Class G, 0.7742% 7/15/24 (g)(j)

200,000

176,375

UBS-Citigroup Commercial Mortgage Trust Series 2011-C1 Class B, 6.0706% 1/10/45 (g)(j)

284,000

338,157

VNO Mortgage Trust Series 2012-6AVE Class D, 3.337% 11/15/30 (g)(j)

1,299,000

1,213,823

Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (g)

180,000

201,365

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class E, 0.4782% 9/15/21 (g)(j)

1,770,598

1,693,814

Class F, 0.5382% 9/15/21 (g)(j)

1,877,987

1,768,376

Class G, 0.5582% 9/15/21 (g)(j)

1,779,101

1,648,575

Class J, 0.7982% 9/15/21 (g)(j)

395,545

328,039

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Wachovia Bank Commercial Mortgage Trust: - continued

floater:

Series 2007-WHL8:

Class F, 0.6792% 6/15/20 (g)(j)

$ 4,565,501

$ 4,042,276

Class LXR1, 0.8992% 6/15/20 (g)(j)

233,698

203,317

sequential payer:

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

5,044,309

5,142,315

Series 2007-C30 Class A5, 5.342% 12/15/43

13,536,000

15,230,432

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

45,212,000

50,518,759

Series 2007-C32 Class A3, 5.9236% 6/15/49 (j)

19,449,000

22,138,583

Series 2007-C33:

Class A4, 6.1222% 2/15/51 (j)

11,720,000

13,245,756

Class A5, 6.1222% 2/15/51 (j)

19,259,000

22,277,155

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

903,000

903,542

Series 2004-C10 Class E, 4.931% 2/15/41

340,000

345,088

Series 2004-C11:

Class D, 5.5634% 1/15/41 (j)

360,000

372,071

Class E, 5.6134% 1/15/41 (j)

327,000

335,795

Series 2004-C12 Class D, 5.4782% 7/15/41 (j)

280,000

288,898

Series 2004-C14:

Class B, 5.17% 8/15/41

258,500

268,669

Class C, 5.21% 8/15/41

170,000

176,484

Series 2004-C15 Class 175C, 6.0432% 10/15/41 (g)(j)

500,000

493,291

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

1,902,000

1,994,608

Series 2005-C22:

Class B, 5.5564% 12/15/44 (j)

4,218,000

3,421,810

Class F, 5.5564% 12/15/44 (g)(j)

3,171,000

876,782

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

7,870,000

8,701,489

Series 2007-C30 Class XP, 0.6719% 12/15/43 (g)(j)(l)

15,396,510

57,694

Series 2007-C31 Class C, 5.8685% 4/15/47 (j)

522,000

368,172

Series 2007-C32:

Class D, 5.9236% 6/15/49 (j)

1,431,000

558,090

Class E, 5.9236% 6/15/49 (j)

2,252,000

776,940

Wells Fargo Commercial Mortgage Trust:

Series 2010-C1 Class XB, 0.6698% 11/15/43 (g)(j)(l)

20,614,217

796,987

Series 2012-LC5:

Class C, 4.693% 10/15/45 (j)

569,000

597,753

Class D, 4.7802% 10/15/45 (g)

1,621,000

1,554,241

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

WF-RBS Commercial Mortgage Trust:

Series 2011-C3:

Class C, 5.335% 3/15/44 (g)

$ 360,000

$ 400,369

Class D, 5.7215% 3/15/44 (g)(j)

230,000

239,195

Class E, 5% 3/15/44 (g)

890,000

816,308

Series 2011-C4 Class E, 5.2488% 6/15/44 (g)(j)

320,000

324,878

Series 2011-C5:

Class C, 5.8242% 11/15/44 (g)(j)

260,000

296,506

Class D, 5.8242% 11/15/44 (g)(j)

600,000

660,928

Class E, 5.8242% 11/15/44 (g)(j)

590,000

612,314

Class XA, 2.224% 11/15/44 (g)(j)(l)

5,140,756

590,580

Series 2012-C6 Class D, 5.7486% 4/15/45 (g)(j)

540,000

554,130

Series 2012-C7:

Class C, 5.0049% 6/15/45 (j)

1,270,000

1,366,446

Class E, 4.8512% 6/15/45 (g)

890,000

861,539

Series 2012-C8 Class D, 5.0423% 8/15/45 (g)(j)

650,000

677,024

Series 2013-C11:

Class D, 4.3249% 3/15/45 (g)(j)

870,000

795,370

Class E, 4.3249% 3/15/45 (g)(j)

1,750,000

1,329,132

Series 2013-C13 Class D, 4.2791% 5/15/45 (g)(j)

600,000

541,286

WFDB Commercial Mortgage Trust Series 2011-BXR Class D, 5.914% 7/5/24 (g)

1,500,000

1,529,975

WFRBS Commercial Mortgage Trust Series 2012-C10 Class D, 4.6101% 12/15/45 (g)(j)

380,000

354,194

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $676,621,015)


781,276,139

Municipal Securities - 1.8%

 

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

3,300,000

3,410,682

California Gen. Oblig.:

Series 2009, 7.35% 11/1/39

2,650,000

3,664,950

7.3% 10/1/39

2,150,000

2,955,691

7.5% 4/1/34

14,555,000

20,204,232

7.55% 4/1/39

17,880,000

25,573,943

7.6% 11/1/40

32,540,000

47,225,627

7.625% 3/1/40

5,410,000

7,763,242

Chicago Gen. Oblig. (Taxable Proj.) Series 2010 C1, 7.781% 1/1/35

11,325,000

14,608,910

Illinois Gen. Oblig.:

Series 2003, 5.1% 6/1/33

46,995,000

47,151,493

Municipal Securities - continued

 

Principal Amount (d)

Value

Illinois Gen. Oblig.: - continued

Series 2010, 4.421% 1/1/15

$ 6,825,000

$ 7,161,950

Series 2010-1, 6.63% 2/1/35

11,945,000

13,607,863

Series 2010-3:

6.725% 4/1/35

17,810,000

20,485,774

7.35% 7/1/35

8,165,000

9,915,984

Series 2011:

5.665% 3/1/18

4,730,000

5,351,711

5.877% 3/1/19

9,215,000

10,473,677

TOTAL MUNICIPAL SECURITIES

(Cost $228,347,714)


239,555,729

Foreign Government and Government Agency Obligations - 1.9%

 

Argentine Republic:

discount (with partial capitalization through 12/31/13) 8.28% 12/31/33

3,072,773

1,805,254

2.5% 12/31/38 (e)

1,765,000

600,100

7% 9/12/13

10,315,000

10,308,410

7% 10/3/15

5,145,000

4,439,849

Aruba Government 4.625% 9/14/23 (g)

760,000

769,500

Bahamian Republic 6.95% 11/20/29 (g)

855,000

1,043,100

Barbados Government:

7% 8/4/22 (g)

400,000

416,000

7.25% 12/15/21 (g)

470,000

493,500

Belarus Republic:

8.75% 8/3/15 (Reg. S)

3,735,000

3,875,063

8.95% 1/26/18

1,235,000

1,343,063

Bermuda Government 4.138% 1/3/23 (g)

670,000

693,450

Brazilian Federative Republic:

5.625% 1/7/41

1,775,000

1,970,250

7.125% 1/20/37

1,215,000

1,600,763

8.25% 1/20/34

935,000

1,355,750

10.125% 5/15/27

545,000

901,975

12.25% 3/6/30

895,000

1,651,275

City of Buenos Aires 12.5% 4/6/15 (g)

2,710,000

2,716,775

Colombian Republic:

6.125% 1/18/41

1,735,000

2,082,000

7.375% 9/18/37

1,680,000

2,284,800

10.375% 1/28/33

1,820,000

2,993,900

11.75% 2/25/20

775,000

1,170,250

Congo Republic 3% 6/30/29 (e)

2,840,310

2,613,085

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Costa Rican Republic:

4.25% 1/26/23 (g)

$ 1,150,000

$ 1,118,375

4.375% 4/30/25 (g)

490,000

475,300

5.625% 4/30/43 (g)

490,000

476,525

Croatia Republic:

5.5% 4/4/23 (g)

1,910,000

1,943,425

6.25% 4/27/17 (g)

1,260,000

1,359,288

6.375% 3/24/21 (g)

1,750,000

1,901,025

6.625% 7/14/20 (g)

1,670,000

1,839,171

6.75% 11/5/19 (g)

2,050,000

2,283,700

Democratic Socialist Republic of Sri Lanka:

5.875% 7/25/22 (g)

975,000

975,000

6.25% 10/4/20 (g)

1,910,000

1,957,750

6.25% 7/27/21 (g)

1,410,000

1,445,250

7.4% 1/22/15 (g)

1,335,000

1,408,425

Dominican Republic:

1.25% 8/30/24 (j)

1,350,000

1,215,000

5.875% 4/18/24 (g)

570,000

581,400

7.5% 5/6/21 (g)

2,030,000

2,293,900

9.04% 1/23/18 (g)

1,185,880

1,316,327

El Salvador Republic:

7.625% 2/1/41 (g)

675,000

718,875

7.65% 6/15/35 (Reg. S)

1,165,000

1,234,900

8.25% 4/10/32 (Reg. S)

575,000

655,500

Georgia Republic 6.875% 4/12/21 (g)

1,120,000

1,299,200

Guatemalan Republic:

4.875% 2/13/28 (g)

615,000

596,550

5.75% 6/6/22 (g)

935,000

1,009,800

Hungarian Republic:

4.125% 2/19/18

596,000

593,020

4.75% 2/3/15

6,330,000

6,488,250

7.625% 3/29/41

1,028,000

1,124,375

Indonesian Republic:

3.375% 4/15/23 (g)

555,000

527,250

4.625% 4/15/43 (g)

555,000

508,519

4.875% 5/5/21 (g)

1,260,000

1,360,800

5.25% 1/17/42 (g)

1,175,000

1,157,375

5.875% 3/13/20 (g)

1,260,000

1,442,700

6.625% 2/17/37 (g)

950,000

1,116,250

6.875% 1/17/18 (g)

905,000

1,063,375

7.75% 1/17/38 (g)

1,450,000

1,914,000

8.5% 10/12/35 (Reg. S)

1,435,000

2,023,350

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Indonesian Republic: - continued

11.625% 3/4/19 (g)

$ 1,535,000

$ 2,206,563

Islamic Republic of Pakistan 7.125% 3/31/16 (g)

3,120,000

2,995,200

Ivory Coast 7.1% 12/31/32 (e)

750,000

701,250

Jordanian Kingdom 3.875% 11/12/15

1,020,000

1,009,800

Latvian Republic:

2.75% 1/12/20 (g)

1,400,000

1,347,500

5.25% 2/22/17 (g)

850,000

930,750

5.25% 6/16/21 (g)

825,000

918,885

Lebanese Republic:

4% 12/31/17

4,037,500

3,972,092

4.75% 11/2/16

1,785,000

1,771,613

5.15% 11/12/18

1,190,000

1,169,175

5.45% 11/28/19

1,555,000

1,508,350

6.375% 3/9/20

1,180,000

1,197,700

Lithuanian Republic:

6.125% 3/9/21 (g)

1,960,000

2,293,200

6.625% 2/1/22 (g)

1,940,000

2,352,250

7.375% 2/11/20 (g)

2,455,000

3,047,269

Mongolian People's Republic 5.125% 12/5/22 (g)

600,000

553,500

Moroccan Kingdom:

4.25% 12/11/22 (g)

1,600,000

1,560,000

5.5% 12/11/42 (g)

600,000

568,500

Panamanian Republic:

4.3% 4/29/53

1,030,000

927,000

6.7% 1/26/36

780,000

996,450

8.875% 9/30/27

1,265,000

1,898,765

Peruvian Republic:

4% 3/7/27 (e)

1,360,000

1,360,000

5.625% 11/18/50

1,035,000

1,182,488

7.35% 7/21/25

700,000

946,750

8.75% 11/21/33

2,405,000

3,757,813

Philippine Republic:

7.75% 1/14/31

1,655,000

2,329,413

9.5% 2/2/30

1,655,000

2,656,275

10.625% 3/16/25

1,210,000

1,996,500

Plurinational State of Bolivia 4.875% 10/29/22 (g)

1,190,000

1,166,200

Polish Government:

3% 3/17/23

1,465,000

1,406,400

5% 3/23/22

1,805,000

2,044,163

6.375% 7/15/19

2,200,000

2,664,750

Provincia de Cordoba 12.375% 8/17/17 (g)

1,775,000

1,366,750

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S)

$ 1,750,000

$ 1,872,500

Republic of Iraq 5.8% 1/15/28 (Reg. S)

5,000,000

4,362,500

Republic of Namibia 5.5% 11/3/21 (g)

740,000

795,123

Republic of Nigeria 6.75% 1/28/21 (g)

860,000

967,500

Republic of Paraguay 4.625% 1/25/23 (g)

425,000

420,113

Republic of Senegal 8.75% 5/13/21 (g)

500,000

585,000

Republic of Serbia:

4.875% 2/25/20 (g)

1,390,000

1,367,482

5.25% 11/21/17 (g)

965,000

983,335

6.75% 11/1/24 (g)

2,921,427

2,947,135

7.25% 9/28/21 (g)

900,000

1,000,125

Republic of Slovenia 4.75% 5/10/18 (g)

555,000

538,350

Republic of Zambia 5.375% 9/20/22 (g)

1,000,000

937,500

Romanian Republic:

4.375% 8/22/23 (g)

1,396,000

1,385,530

6.75% 2/7/22 (g)

2,872,000

3,396,140

Russian Federation:

5.625% 4/4/42 (g)

600,000

658,500

7.5% 3/31/30 (Reg. S)

4,192,115

5,093,420

11% 7/24/18 (Reg. S)

385,000

539,000

12.75% 6/24/28 (Reg. S)

2,755,000

5,186,288

State of Qatar 5.75% 1/20/42 (g)

745,000

866,063

State Oil Co. of Azerbaijan Republic 4.75% 3/13/23 (Reg. S)

450,000

447,750

State Oil Company of Azerbaijan Republic 5.45% 2/9/17

355,000

378,040

Tanzania United Republic of 6.4499% 3/8/20 (j)

1,155,000

1,178,100

Turkish Republic:

4.875% 4/16/43

555,000

561,938

5.125% 3/25/22

515,000

584,525

5.625% 3/30/21

815,000

951,513

6% 1/14/41

1,020,000

1,188,300

6.25% 9/26/22

680,000

832,184

6.75% 4/3/18

1,145,000

1,374,000

6.75% 5/30/40

1,115,000

1,421,625

6.875% 3/17/36

1,795,000

2,284,138

7% 9/26/16

510,000

594,150

7% 3/11/19

335,000

412,050

7.25% 3/5/38

1,150,000

1,541,000

7.375% 2/5/25

1,825,000

2,427,250

7.5% 7/14/17

1,010,000

1,222,100

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Turkish Republic: - continued

7.5% 11/7/19

$ 745,000

$ 948,013

8% 2/14/34

490,000

693,350

11.875% 1/15/30

650,000

1,209,000

Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (g)

1,690,000

1,685,775

Ukraine Government:

6.25% 6/17/16 (g)

1,155,000

1,144,952

6.75% 11/14/17 (g)

770,000

764,225

7.65% 6/11/13 (g)

1,255,000

1,255,000

7.75% 9/23/20 (g)

1,180,000

1,203,600

7.8% 11/28/22 (g)

1,000,000

1,002,500

7.95% 6/4/14 (g)

1,470,000

1,499,400

7.95% 2/23/21 (g)

1,425,000

1,467,750

9.25% 7/24/17 (g)

2,150,000

2,311,250

United Arab Emirates 7.75% 10/5/20 (Reg. S)

545,000

668,988

United Mexican States:

4.75% 3/8/44

13,438,000

13,438,000

5.75% 10/12/2110

326,000

337,410

6.05% 1/11/40

1,116,000

1,316,880

6.75% 9/27/34

800,000

1,018,000

7.5% 4/8/33

360,000

495,000

8.3% 8/15/31

420,000

615,300

Uruguay Republic 7.875% 1/15/33 pay-in-kind

2,925,000

4,007,250

Venezuelan Republic:

6% 12/9/20

480,000

384,000

7% 3/31/38

395,000

292,300

8.5% 10/8/14

1,225,000

1,246,438

9% 5/7/23 (Reg. S)

1,775,000

1,612,588

9.25% 9/15/27

335,000

304,013

9.25% 5/7/28 (Reg. S)

620,000

548,700

9.375% 1/13/34

585,000

514,800

11.75% 10/21/26 (Reg. S)

1,200,000

1,218,000

11.95% 8/5/31 (Reg. S)

1,745,000

1,779,900

12.75% 8/23/22

2,850,000

3,092,250

13.625% 8/15/18

1,318,000

1,499,225

Vietnamese Socialist Republic:

1.2599% 3/12/16 (j)

769,565

704,152

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Vietnamese Socialist Republic: - continued

4% 3/12/28 (e)

$ 4,518,417

$ 3,671,214

6.875% 1/15/16 (g)

1,760,000

1,883,200

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $237,569,862)


258,488,066

Common Stocks - 0.0%

Shares

 

MATERIALS - 0.0%

Paper & Forest Products - 0.0%

Emerald Plantation Holdings Ltd. (a)

211,773

69,885

TELECOMMUNICATION SERVICES - 0.0%

Wireless Telecommunication Services - 0.0%

CUI Acquisition Corp. Class E (a)(g)

1

863,100

TOTAL COMMON STOCKS

(Cost $1,258,927)


932,985

Preferred Stocks - 0.1%

 

 

 

 

Convertible Preferred Stocks - 0.0%

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

Alexandria Real Estate Equities, Inc. Series D 7.00%

9,000

250,313

Nonconvertible Preferred Stocks - 0.1%

FINANCIALS - 0.1%

Real Estate Investment Trusts - 0.1%

Alexandria Real Estate Equities, Inc. Series E, 6.45%

15,000

405,600

Annaly Capital Management, Inc.:

Series C, 7.625%

27,600

696,348

Series D, 7.50%

5,942

149,144

Boston Properties, Inc. 5.25%

17,500

436,625

CBL & Associates Properties, Inc.:

7.375%

7,720

196,783

Series E, 6.625%

25,000

651,000

Cedar Shopping Centers, Inc. Series B, 7.25%

10,000

257,900

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Corporate Office Properties Trust:

Series H, 7.50%

5,000

$ 130,050

Series L, 7.375%

12,221

331,189

DDR Corp. Series K, 6.25%

17,823

445,575

Digital Realty Trust, Inc. Series E, 7.00%

10,000

259,600

Equity Lifestyle Properties, Inc. Series C, 6.75%

18,343

475,634

Essex Property Trust, Inc. Series H, 7.125%

9,354

249,378

First Potomac Realty Trust 7.75%

15,000

389,700

Hersha Hospitality Trust Series B, 8.00%

13,844

360,221

Hospitality Properties Trust Series D, 7.125%

10,000

261,000

LaSalle Hotel Properties Series H, 7.50%

10,000

262,800

PS Business Parks, Inc.:

6.875%

10,000

267,100

Series S, 6.45%

21,000

546,000

Public Storage:

Series P, 6.50%

12,000

316,800

Series R, 6.35%

10,500

276,780

Series S, 5.90%

20,000

518,800

Realty Income Corp. Series F, 6.625%

12,000

315,000

Regency Centers Corp. Series 6, 6.625%

5,510

145,684

Retail Properties America, Inc. 7.00%

24,109

604,895

Sabra Health Care REIT, Inc. Series A, 7.125%

18,495

467,184

Stag Industrial, Inc. Series A, 9.00%

20,000

560,400

Sun Communities, Inc. Series A, 7.125%

14,801

383,198

Taubman Centers, Inc. Series J, 6.50%

11,338

290,706

 

10,651,094

TOTAL PREFERRED STOCKS

(Cost $10,457,966)


10,901,407

Floating Rate Loans - 0.4%

 

Principal Amount (d)

 

CONSUMER DISCRETIONARY - 0.1%

Hotels, Restaurants & Leisure - 0.1%

Extended Stay America, Inc. REL 9.625% 12/1/19

$ 1,000,000

1,050,000

Hilton Worldwide, Inc. term loan 4.449% 11/12/15 (j)

9,212,309

9,154,732

La Quinta:

Tranche A, term loan 11.375% 7/6/14 (j)

266,005

269,676

Floating Rate Loans - continued

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

La Quinta: - continued

Tranche B, term loan 11.375% 7/6/14 (j)

$ 199,504

$ 202,257

Tranche D, term loan 14.9% 7/6/14 (j)

650,000

650,000

 

11,326,665

Media - 0.0%

Harron Communications LP Tranche B, term loan 5% 10/6/17 (j)

1,868,088

1,884,433

UPC Broadband Holding BV Tranche AF, term loan 4% 1/31/21 (j)

1,375,000

1,380,156

 

3,264,589

TOTAL CONSUMER DISCRETIONARY

14,591,254

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (j)

2,205,000

2,260,125

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

1,167,963

1,191,322

 

3,451,447

FINANCIALS - 0.1%

Capital Markets - 0.0%

Equinox Holdings, Inc.:

Tranche 2LN, term loan 9.75% 5/16/20 (j)

755,000

771,988

Tranche B 1LN, term loan 4.5% 2/1/20 (j)

1,405,000

1,412,025

 

2,184,013

Diversified Financial Services - 0.0%

Blackstone REL 10% 10/1/17

1,249,727

1,312,213

Insurance - 0.1%

Asurion LLC Tranche B 1LN, term loan 4.5% 5/24/19 (j)

2,299,238

2,304,986

Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (j)

1,925,000

2,040,500

Stoneriver Group LP:

Tranche 2LN, term loan 8.5% 5/29/20 (j)

940,000

940,000

Tranche B 1LN, term loan 4.5% 11/29/19 (j)

1,880,000

1,882,444

 

7,167,930

Real Estate Management & Development - 0.0%

CityCenter term loan 8.75% 7/1/13 (j)

521,219

521,219

Floating Rate Loans - continued

 

Principal Amount (d)

Value

FINANCIALS - continued

Real Estate Management & Development - continued

EOP Operating LP term loan:

5% 2/1/14 (j)

$ 1,000,000

$ 1,000,000

5.25% 2/1/14 (j)

1,200,000

1,200,000

Equity Inns Reality LLC Tranche A, term loan 10.5% 11/4/13 (j)

1,207,706

1,107,265

 

3,828,484

Thrifts & Mortgage Finance - 0.0%

Ocwen Loan Servicing, LLC Tranche B, term loan 5% 1/23/18 (j)

45,000

45,675

TOTAL FINANCIALS

14,538,315

INDUSTRIALS - 0.1%

Airlines - 0.1%

Delta Air Lines, Inc.:

Tranche B 1LN, term loan:

4% 10/18/18 (j)

2,334,150

2,345,821

5% 4/20/17 (j)

2,746,088

2,787,279

Tranche B 2LN, term loan 3.25% 4/18/16 (j)

583,538

583,538

US Airways, Inc.:

Tranche B 1LN, term loan 4.25% 5/21/19 (j)

2,250,000

2,244,375

Tranche B 2LN, term loan 3.5% 11/21/16 (j)

1,500,000

1,496,250

 

9,457,263

Construction & Engineering - 0.0%

Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (j)

535,215

513,807

TOTAL INDUSTRIALS

9,971,070

INFORMATION TECHNOLOGY - 0.1%

IT Services - 0.1%

First Data Corp. term loan 4.1953% 3/24/18 (j)

4,645,000

4,623,726

RP Crown Parent, LLC Tranche 1LN, term loan 6.75% 12/21/18 (j)

1,610,963

1,643,182

 

6,266,908

Floating Rate Loans - continued

 

Principal Amount (d)

Value

INFORMATION TECHNOLOGY - continued

Software - 0.0%

ION Trading Technologies Ltd.:

Tranche 1LN, term loan 4.5% 5/22/20 (j)

$ 95,000

$ 95,475

Tranche 2LN, term loan 8.25% 5/22/21 (j)

45,000

45,338

 

140,813

TOTAL INFORMATION TECHNOLOGY

6,407,721

TELECOMMUNICATION SERVICES - 0.0%

Wireless Telecommunication Services - 0.0%

Intelsat Jackson Holdings SA term loan 5.25% 2/1/14 (j)

1,226,645

1,228,178

TOTAL FLOATING RATE LOANS

(Cost $49,179,461)


50,187,985

Sovereign Loan Participations - 0.0%

 

Indonesian Republic loan participation:

Citibank 1.1875% 12/14/19 (j)

1,306,197

1,188,639

Goldman Sachs 1.1875% 12/14/19 (j)

1,119,444

1,018,694

1.1875% 12/14/19 (j)

355,323

323,344

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $2,436,912)


2,530,677

Bank Notes - 0.0%

 

Fifth Third Bank 4.75% 2/1/15
(Cost $1,361,096)

1,329,000


1,410,066

Fixed-Income Funds - 22.7%

Shares

 

Fidelity Floating Rate Central Fund (k)

3,823,449

409,567,848

Fidelity Mortgage Backed Securities Central Fund (k)

24,982,159

2,689,329,396

TOTAL FIXED-INCOME FUNDS

(Cost $2,875,406,408)


3,098,897,244

Preferred Securities - 0.0%

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

Globo Comunicacoes e Participacoes SA 6.25% (e)(g)(h)

$ 1,290,000

$ 1,386,378

NBCUniversal Enterprise, Inc. 5.25% (g)(h)

1,060,000

1,082,855

 

2,469,233

CONSUMER STAPLES - 0.0%

Food Products - 0.0%

Cosan Overseas Ltd. 8.25% (h)

650,000

705,934

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Reliance Industries Ltd. 5.875% (g)(h)

400,000

385,700

MATERIALS - 0.0%

Metals & Mining - 0.0%

CSN Islands XII Corp. 7% (Reg. S) (h)

1,480,000

1,458,267

TOTAL PREFERRED SECURITIES

(Cost $4,975,402)


5,019,134

Money Market Funds - 1.3%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)
(Cost $181,807,697)

181,807,697


181,807,697

Cash Equivalents - 1.9%

Maturity
Amount

Value

Investments in repurchase agreements in a joint trading account at:

0.06%, dated 5/31/13 due 6/3/13 (Collateralized by U.S. Treasury Obligations) #

$ 2,128,011

$ 2,128,000

0.07%, dated 5/31/13 due 6/3/13 (Collateralized by U.S. Government Obligations) #

257,182,500

257,181,000

TOTAL CASH EQUIVALENTS

(Cost $259,309,000)


259,309,000

TOTAL INVESTMENT PORTFOLIO - 103.2%

(Cost $13,428,227,930)

14,081,885,458

NET OTHER ASSETS (LIABILITIES) - (3.2)%

(433,321,802 )

NET ASSETS - 100%

$ 13,648,563,656

TBA Sale Commitments

 

Principal
Amount (d)

 

Fannie Mae

2.5% 6/1/28

$ (7,600,000)

(7,763,988)

3% 6/1/28

(7,000,000)

(7,286,769)

3% 6/1/43

(600,000)

(604,208)

3% 6/1/43

(6,800,000)

(6,847,688)

3.5% 6/1/43

(62,200,000)

(64,440,170)

4% 6/1/28

(15,500,000)

(16,463,908)

4% 6/1/43

(17,100,000)

(18,041,836)

4% 6/1/43

(27,200,000)

(28,698,124)

4.5% 6/1/43

(34,900,000)

(37,291,194)

5% 6/1/43

(2,700,000)

(2,911,359)

TBA Sale Commitments - continued

 

Principal
Amount (d)

Value

Fannie Mae - continued

5.5% 6/1/43

$ (34,900,000)

$ (37,802,605)

5.5% 6/1/43

(29,000,000)

(31,411,907)

6% 6/1/43

(14,500,000)

(15,778,907 )

TOTAL FANNIE MAE

(275,342,663 )

Freddie Mac

3% 6/1/43

(9,300,000)

(9,329,620)

3% 6/1/43

(100,000)

(100,318)

3.5% 6/1/43

(32,700,000)

(33,795,960)

4% 6/1/43

(16,100,000)

(16,946,507 )

TOTAL FREDDIE MAC

(60,172,405 )

Ginnie Mae

3% 6/1/43

(2,500,000)

(2,550,736)

3% 6/1/43

(5,400,000)

(5,508,745)

3% 6/1/43

(2,000,000)

(2,040,276)

3.5% 6/1/43

(3,300,000)

(3,470,930)

3.5% 6/1/43

(1,500,000)

(1,577,695)

3.5% 6/1/43

(4,900,000)

(5,141,555)

4% 6/1/43

(27,800,000)

(29,519,227)

4% 6/1/43

(5,900,000)

(6,299,903)

4.5% 6/1/43

(6,400,000)

(6,844,330)

4.5% 6/1/43

(13,200,000)

(14,227,806)

5% 6/1/43

(800,000)

(862,778 )

TOTAL GINNIE MAE

(78,043,981 )

TOTAL TBA SALE COMMITMENTS

(Proceeds $419,091,291)

$ (413,559,049 )

Swaps

Credit Default Swaps

Underlying Reference

Rating
(1)

Expiration
Date

Clearinghouse/
Counterparty

Fixed
Payment
Received/
(Paid)

Notional
Amount
(2)

Value (1)

Upfront
Premium
Received/
(Paid)

Unrealized
Appreciation/
(Depreciation)

Sell Protection

Morgan Stanley ABS Capital I Inc Series 2004-HE7 Class B3

C

Sep. 2034

Morgan Stanley, Inc.

5.10%

$ 22,651

$ (13,787 )

$ 0

$ (13,787 )

 

(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings 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.

 

(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

Currency Abbreviations

CAD

-

Canadian dollar

Legend

(a) Non-income producing

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

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

(d) Amount is stated in United States dollars unless otherwise noted.

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

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

(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,034,416,373 or 7.6% of net assets.

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

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

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

(k) Affiliated fund that is generally 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 website 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 are available on the SEC's website or upon request.

(l) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(m) 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 $318,684 or 0.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

ACGS Series 2004-1 Class P, 7.4605% 8/1/19

2/17/11

$ 313,202

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value

$2,128,000 due 6/03/13 at 0.06%

Barclays Capital, Inc.

$ 595,280

Merrill Lynch, Pierce, Fenner & Smith, Inc.

413,592

UBS Securities LLC

1,119,128

 

$ 2,128,000

$257,181,000 due 6/03/13 at 0.07%

Commerz Markets LLC

$ 257,181,000

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 Cash Central Fund

$ 810,915

Fidelity Floating Rate Central Fund

15,533,292

Fidelity Mortgage Backed Securities Central Fund

44,447,540

Total

$ 60,791,747

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

Fund

Value,
beginning of
period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity Floating Rate Central Fund

$ 455,557,522

$ 15,533,279

$ 74,964,151

$ 409,567,848

30.2%

Fidelity Mortgage Backed Securities Central Fund

3,365,808,163

44,447,541

662,831,266

2,689,329,396

19.1%

Total

$ 3,821,365,685

$ 59,980,820

$ 737,795,417

$ 3,098,897,244

Other Information

The following is a summary of the inputs used, as of May 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Financials

$ 10,901,407

$ 10,651,094

$ 250,313

$ -

Materials

69,885

69,885

-

-

Telecommunication Services

863,100

-

-

863,100

Corporate Bonds

3,854,161,745

-

3,854,084,197

77,548

U.S. Government and Government Agency Obligations

4,277,521,097

-

4,277,521,097

-

U.S. Government Agency - Mortgage Securities

822,797,516

-

822,797,516

-

Asset-Backed Securities

106,711,906

-

96,941,471

9,770,435

Collateralized Mortgage Obligations

130,377,065

-

129,266,284

1,110,781

Commercial Mortgage Securities

781,276,139

-

776,435,974

4,840,165

Municipal Securities

239,555,729

-

239,555,729

-

Foreign Government and Government Agency Obligations

258,488,066

-

257,128,066

1,360,000

Floating Rate Loans

50,187,985

-

43,982,620

6,205,365

Sovereign Loan Participations

2,530,677

-

-

2,530,677

Bank Notes

1,410,066

-

1,410,066

-

Fixed-Income Funds

3,098,897,244

3,098,897,244

-

-

Preferred Securities

5,019,134

-

5,019,134

-

Money Market Funds

181,807,697

181,807,697

-

-

Cash Equivalents

259,309,000

-

259,309,000

-

Total Investments in Securities:

$ 14,081,885,458

$ 3,291,425,920

$ 10,763,701,467

$ 26,758,071

Derivative Instruments:

Liabilities

Swaps

$ (13,787 )

$ -

$ (13,787 )

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (413,559,049 )

$ -

$ (413,559,049 )

$ -

Income Tax Information

At May 31, 2013, the cost of investment securities for income tax purposes was $13,497,995,548. Net unrealized appreciation aggregated $583,889,910, of which $689,160,762 related to appreciated investment securities and $105,270,852 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment 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 Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, bank notes, floating rate loans, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations, U.S. government and government agency obligations, and sovereign loan participations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors 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 broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors or broker-supplied valuations. Pricing vendors utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific market events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps 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 a third party pricing vendor 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 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 may be used and would be 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 these securities are generally 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Credit 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.

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Income Fund's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Income Fund

By:

/s/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

July 30, 2013

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/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

July 30, 2013

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

July 30, 2013

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