N-Q

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-649

Fidelity Puritan Trust
(Exact name of registrant as specified in charter)

82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

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

Date of fiscal year end:	August 31
Date of reporting period:	May 31, 2009

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity® Balanced Fund

May 31, 2009

1.800332.105

BAL-QTLY-0709

Investments May 31, 2009 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 59.0%
	Shares		Value (000s)
CONSUMER DISCRETIONARY - 5.3%
Auto Components - 0.3%
BorgWarner, Inc.	328,900		$ 10,607
Gentex Corp.	984,000		11,601
Johnson Controls, Inc.	1,416,400		28,229
			50,437
Automobiles - 0.1%
Toyota Motor Corp. sponsored ADR	164,900		13,217
Distributors - 0.2%
Li & Fung Ltd.	11,963,000		32,432
Diversified Consumer Services - 0.1%
Regis Corp.	501,759		8,796
Sotheby's Class A (ltd. vtg.)	421,293		4,466
			13,262
Hotels, Restaurants & Leisure - 0.7%
Burger King Holdings, Inc.	512,300		8,484
McDonald's Corp.	1,479,855		87,297
Royal Caribbean Cruises Ltd.	688,700		10,372
Starwood Hotels & Resorts Worldwide, Inc.	714,100		17,474
Wendy's/Arby's Group, Inc.	883,200		3,709
			127,336
Household Durables - 0.3%
Centex Corp.	140,488		1,184
D.R. Horton, Inc.	986,800		9,088
Mohawk Industries, Inc. (a)	455,145		17,418
Newell Rubbermaid, Inc.	1,030,500		11,861
Pulte Homes, Inc.	398,800		3,509
Whirlpool Corp.	395,923		16,684
			59,744
Internet & Catalog Retail - 0.4%
Amazon.com, Inc.	479,800		37,420
Expedia, Inc. (a)	821,500		14,220
Priceline.com, Inc. (a)(e)	93,883		10,337
			61,977
Leisure Equipment & Products - 0.0%
Hasbro, Inc.	316,600		8,045
Media - 1.7%
Central European Media Enterprises Ltd. Class A (a)(e)	543,708		10,178
Comcast Corp.:
Class A	1,318,750		18,159
Class A (special) (non-vtg.)	4,186,500		54,425
Common Stocks - continued
	Shares		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
Discovery Communications, Inc. (a)	472,700		$ 10,612
DreamWorks Animation SKG, Inc. Class A (a)	286,266		7,975
Interpublic Group of Companies, Inc. (a)	2,006,300		10,513
Liberty Global, Inc. Class A (a)	560,407		7,745
The DIRECTV Group, Inc. (a)	2,267,800		51,026
The Walt Disney Co.	2,601,800		63,016
Time Warner Cable, Inc.	1,167,933		35,961
Viacom, Inc. Class B (non-vtg.) (a)	1,114,300		24,704
			294,314
Multiline Retail - 0.3%
Kohl's Corp. (a)	200,010		8,494
Target Corp.	1,280,925		50,340
			58,834
Specialty Retail - 1.1%
Home Depot, Inc.	2,109,300		48,851
Lowe's Companies, Inc.	2,399,600		45,616
MarineMax, Inc. (a)	387,607		1,147
Ross Stores, Inc.	324,821		12,720
Sally Beauty Holdings, Inc. (a)	1,345,500		9,567
Staples, Inc.	1,094,866		22,390
Tiffany & Co., Inc.	313,100		8,883
TJX Companies, Inc.	1,059,300		31,260
Urban Outfitters, Inc. (a)	383,300		7,827
Zumiez, Inc. (a)	526,800		4,699
			192,960
Textiles, Apparel & Luxury Goods - 0.1%
Carter's, Inc. (a)	378,000		8,940
LVMH Moet Hennessy - Louis Vuitton	119,300		9,940
Ports Design Ltd.	3,137,000		6,214
			25,094
TOTAL CONSUMER DISCRETIONARY			937,652
CONSUMER STAPLES - 7.4%
Beverages - 2.2%
Anheuser-Busch InBev NV	1,223,684		43,166
Coca-Cola Enterprises, Inc.	1,335,081		22,242
Coca-Cola FEMSA SAB de CV sponsored ADR	153,700		6,345
Coca-Cola Icecek AS	616,000		3,433
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Beverages - continued
Companhia de Bebidas das Americas (AmBev) (PN) sponsored ADR	75,600		$ 4,952
Constellation Brands, Inc. Class A (sub. vtg.) (a)	2,887,390		33,378
Diageo PLC sponsored ADR	332,300		18,130
Dr Pepper Snapple Group, Inc. (a)	533,206		11,587
Embotelladora Andina SA sponsored ADR	386,794		6,459
Fomento Economico Mexicano SAB de CV sponsored ADR	98,183		3,210
Molson Coors Brewing Co. Class B	994,125		43,732
Pepsi Bottling Group, Inc.	387,060		12,719
PepsiCo, Inc.	1,589,194		82,718
Pernod Ricard SA	28,782		1,805
The Coca-Cola Co.	2,110,812		103,768
			397,644
Food & Staples Retailing - 1.6%
Costco Wholesale Corp.	359,600		17,448
CVS Caremark Corp.	3,623,296		107,974
Kroger Co.	937,608		21,377
Safeway, Inc.	1,961,400		39,738
Wal-Mart Stores, Inc.	1,615,900		80,375
Walgreen Co.	501,022		14,925
			281,837
Food Products - 1.2%
Archer Daniels Midland Co.	863,500		23,764
Bunge Ltd.	66,300		4,195
Cadbury PLC sponsored ADR	166,808		5,855
General Mills, Inc.	637,619		32,633
Green Mountain Coffee Roasters, Inc. (a)(e)	357,362		29,829
Nestle SA (Reg.)	1,418,781		51,667
SLC Agricola SA	426,400		3,426
Tyson Foods, Inc. Class A	944,180		12,576
Unilever NV (NY Shares)	1,775,100		42,496
Viterra, Inc. (a)	409,300		3,468
			209,909
Household Products - 1.4%
Colgate-Palmolive Co.	992,758		65,472
Energizer Holdings, Inc. (a)	124,000		6,480
Procter & Gamble Co.	3,416,943		177,476
			249,428
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Personal Products - 0.3%
Avon Products, Inc.	1,574,936		$ 41,830
Mead Johnson Nutrition Co. Class A	216,200		6,737
			48,567
Tobacco - 0.7%
Altria Group, Inc.	1,740,304		29,742
British American Tobacco PLC sponsored ADR	1,103,300		60,406
Philip Morris International, Inc.	886,900		37,817
Souza Cruz Industria Comerico	157,000		4,139
			132,104
TOTAL CONSUMER STAPLES			1,319,489
ENERGY - 7.7%
Energy Equipment & Services - 2.5%
Atwood Oceanics, Inc. (a)	608,266		16,095
BJ Services Co.	2,890,283		45,204
Global Industries Ltd. (a)	803,088		5,622
Halliburton Co.	1,395,500		31,999
Helmerich & Payne, Inc.	1,045,800		36,572
Nabors Industries Ltd. (a)	1,797,300		32,136
National Oilwell Varco, Inc. (a)	1,996,454		77,103
Noble Corp.	1,472,627		50,614
Pride International, Inc. (a)	867,200		21,004
Seadrill Ltd.	155,100		2,288
Smith International, Inc.	632,140		18,452
Weatherford International Ltd. (a)	5,314,852		110,017
			447,106
Oil, Gas & Consumable Fuels - 5.2%
Canadian Natural Resources Ltd.	1,350,100		80,019
Chesapeake Energy Corp.	65,200		1,477
Chevron Corp.	1,760,563		117,377
Comstock Resources, Inc. (a)	96,866		3,858
Concho Resources, Inc. (a)	2,657,844		85,184
Continental Resources, Inc. (a)(e)	65,300		1,934
Denbury Resources, Inc. (a)	3,084,722		53,026
El Paso Corp.	6,168,313		60,141
Ellora Energy, Inc. (a)(f)	1,529,700		13,943
Energy Resources of Australia Ltd.	354,204		7,019
EXCO Resources, Inc. (a)	2,124,500		32,696
Hess Corp.	149,109		9,929
Common Stocks - continued
	Shares		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Marathon Oil Corp.	925,522		$ 29,506
Occidental Petroleum Corp.	558,713		37,495
Petro-Canada	664,300		28,901
Petrohawk Energy Corp. (a)	3,850,604		97,035
Plains Exploration & Production Co. (a)	1,355,690		38,339
Quicksilver Resources, Inc. (a)(e)	560,380		6,304
Range Resources Corp.	241,104		11,045
Royal Dutch Shell PLC Class B ADR	1,297,500		70,818
Southwestern Energy Co. (a)	1,557,432		67,702
Suncor Energy, Inc.	1,249,900		43,789
Ultra Petroleum Corp. (a)	430,903		19,511
Uranium One, Inc. (a)	652,800		1,315
			918,363
TOTAL ENERGY			1,365,469
FINANCIALS - 7.6%
Capital Markets - 1.3%
BlackRock, Inc. Class A	11,000		1,755
Goldman Sachs Group, Inc.	588,300		85,051
Greenhill & Co., Inc.	15,200		1,117
Janus Capital Group, Inc.	551,100		5,588
Morgan Stanley	2,821,000		85,533
State Street Corp.	1,104,100		51,285
			230,329
Commercial Banks - 2.0%
Bangkok Bank Ltd. PCL (For. Reg.)	3,664,800		9,730
Comerica, Inc.	161,500		3,501
DnB Nor ASA	456,700		3,824
PNC Financial Services Group, Inc.	1,116,849		50,872
Standard Chartered PLC (United Kingdom)	752,275		15,398
TCF Financial Corp.	248,200		3,564
U.S. Bancorp, Delaware	3,271,000		62,803
Wells Fargo & Co.	7,768,091		198,086
			347,778
Consumer Finance - 0.3%
American Express Co.	665,400		16,535
Capital One Financial Corp.	885,000		21,629
Discover Financial Services	1,140,810		10,906
			49,070
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - continued
Diversified Financial Services - 2.1%
Bank of America Corp.	11,266,510		$ 126,974
BM&F BOVESPA SA	625,500		3,587
CME Group, Inc.	47,900		15,407
Hong Kong Exchange & Clearing Ltd.	204,200		3,191
IntercontinentalExchange, Inc. (a)	72,800		7,847
JPMorgan Chase & Co.	6,017,064		222,030
			379,036
Insurance - 1.4%
ACE Ltd.	857,100		37,704
Allstate Corp.	217,400		5,594
CNA Financial Corp.	103,200		1,497
eHealth, Inc. (a)	8,006		128
Genworth Financial, Inc. Class A (non-vtg.)	1,233,700		7,304
Hartford Financial Services Group, Inc.	684,000		9,809
Marsh & McLennan Companies, Inc.	528,100		9,992
MetLife, Inc.	1,474,740		46,454
PartnerRe Ltd.	74,500		4,862
Principal Financial Group, Inc.	601,100		13,344
Protective Life Corp.	873,400		10,795
Prudential Financial, Inc.	213,000		8,501
Sony Financial Holdings, Inc.	6,422		18,696
The Travelers Companies, Inc.	1,243,500		50,561
Unum Group	581,400		9,948
XL Capital Ltd. Class A	2,021,900		20,462
			255,651
Real Estate Investment Trusts - 0.4%
Developers Diversified Realty Corp.	344,646		1,692
Duke Realty LP	1,083,400		10,303
Plum Creek Timber Co., Inc.	437,800		15,170
Potlatch Corp.	187,600		4,911
ProLogis Trust	3,056,500		25,950
SL Green Realty Corp.	172,190		3,943
			61,969
Real Estate Management & Development - 0.1%
China Overseas Land & Investment Ltd.	1,672,000		3,580
DLF Ltd.	1,045,642		9,093
Forestar Group, Inc. (a)	343,800		4,181
Hang Lung Properties Ltd.	2,099,000		7,166
			24,020
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - continued
Thrifts & Mortgage Finance - 0.0%
Ocwen Financial Corp. (a)	312,206		$ 3,896
TOTAL FINANCIALS			1,351,749
HEALTH CARE - 8.3%
Biotechnology - 0.9%
Amgen, Inc. (a)	665,600		33,240
Biogen Idec, Inc. (a)	878,487		45,497
DOV Pharmaceutical, Inc. warrants 6/2/09 (a)	34		0*
Genzyme Corp. (a)	326,834		19,329
Gilead Sciences, Inc. (a)	1,060,020		45,687
Myriad Genetics, Inc. (a)	171,224		6,191
ONYX Pharmaceuticals, Inc. (a)	307,878		7,284
Vanda Pharmaceuticals, Inc. (a)	396,515		5,714
			162,942
Health Care Equipment & Supplies - 1.5%
Baxter International, Inc.	1,269,600		64,991
Boston Scientific Corp. (a)	3,721,246		34,980
C.R. Bard, Inc.	253,266		18,106
Cooper Companies, Inc.	445,118		11,800
Covidien Ltd.	1,865,847		66,648
Edwards Lifesciences Corp. (a)	309,235		19,742
ev3, Inc. (a)	369,707		3,379
Mako Surgical Corp. (a)	621,785		5,416
Masimo Corp. (a)	150,115		3,594
Quidel Corp. (a)	853,447		10,864
Shandong Weigao Group Medical Polymer Co. Ltd. (H Shares)	1,780,000		4,278
St. Jude Medical, Inc. (a)	477,008		18,613
			262,411
Health Care Providers & Services - 1.5%
CardioNet, Inc. (a)(e)	225,123		3,987
CIGNA Corp.	1,182,531		26,217
Community Health Systems, Inc. (a)	789,112		20,825
Express Scripts, Inc. (a)	747,460		47,875
Henry Schein, Inc. (a)	385,313		17,547
Medco Health Solutions, Inc. (a)	1,493,226		68,524
UnitedHealth Group, Inc.	2,222,145		59,109
WellPoint, Inc. (a)	406,400		18,926
			263,010
Common Stocks - continued
	Shares		Value (000s)
HEALTH CARE - continued
Health Care Technology - 0.2%
HLTH Corp. (a)	3,246,242		$ 38,273
Life Sciences Tools & Services - 0.4%
Illumina, Inc. (a)	682,671		25,061
Life Technologies Corp. (a)	789,144		30,603
Millipore Corp. (a)	51,211		3,221
QIAGEN NV (a)	1,155,565		20,338
Waters Corp. (a)	52,400		2,270
			81,493
Pharmaceuticals - 3.8%
Abbott Laboratories	1,736,500		78,247
Allergan, Inc.	1,422,606		62,780
Bristol-Myers Squibb Co.	356,603		7,104
Elan Corp. PLC sponsored ADR (a)	933,500		6,516
Johnson & Johnson	2,043,328		112,710
King Pharmaceuticals, Inc. (a)	811,400		7,676
Merck & Co., Inc.	2,942,412		81,152
Novo Nordisk AS Series B	328,000		17,103
Perrigo Co.	117,600		3,159
Pfizer, Inc.	10,606,800		161,117
Pronova BioPharma ASA (a)	1,387,101		4,087
Roche Holding AG (participation certificate)	146,172		20,016
Schering-Plough Corp.	1,737,314		42,390
Teva Pharmaceutical Industries Ltd. sponsored ADR	132,200		6,129
Wyeth	1,522,000		68,277
			678,463
TOTAL HEALTH CARE			1,486,592
INDUSTRIALS - 6.2%
Aerospace & Defense - 1.1%
General Dynamics Corp.	218,900		12,455
Honeywell International, Inc.	1,281,254		42,486
Lockheed Martin Corp.	597,574		49,975
Raytheon Co.	713,175		31,843
The Boeing Co.	396,100		17,765
United Technologies Corp.	647,800		34,081
			188,605
Air Freight & Logistics - 0.7%
C.H. Robinson Worldwide, Inc.	735,364		37,371
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - continued
Air Freight & Logistics - continued
FedEx Corp.	379,200		$ 21,019
United Parcel Service, Inc. Class B	1,233,100		63,061
			121,451
Airlines - 0.0%
AMR Corp. (a)	540,900		2,407
Building Products - 0.1%
Masco Corp.	1,435,077		14,867
Commercial Services & Supplies - 0.2%
Stericycle, Inc. (a)	588,800		29,428
Construction & Engineering - 0.2%
MYR Group, Inc. (a)	188,500		3,600
Quanta Services, Inc. (a)	1,550,501		35,367
			38,967
Electrical Equipment - 0.6%
Alstom SA	386,500		24,668
Cooper Industries Ltd. Class A	374,100		12,278
Energy Conversion Devices, Inc. (a)(e)	384,767		6,622
Regal-Beloit Corp.	382,833		15,126
Renewable Energy Corp. AS (a)(e)	1,825,200		20,001
Sunpower Corp.:
Class A (a)	143,100		4,170
Class B (a)	892,981		22,967
			105,832
Industrial Conglomerates - 1.3%
General Electric Co.	11,487,695		154,854
Siemens AG sponsored ADR	509,500		37,418
Textron, Inc.	2,545,111		29,269
Tyco International Ltd.	506,300		13,979
			235,520
Machinery - 1.6%
Caterpillar, Inc.	283,900		10,067
Cummins, Inc.	1,574,321		51,055
Danaher Corp.	1,124,919		67,889
Deere & Co.	988,866		42,986
Eaton Corp.	784,006		34,104
Flowserve Corp.	37,800		2,781
Illinois Tool Works, Inc.	229,300		7,404
Ingersoll-Rand Co. Ltd. Class A	403,400		8,161
Navistar International Corp. (a)	670,822		26,705
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - continued
Machinery - continued
PACCAR, Inc.	388,040		$ 11,583
Parker Hannifin Corp.	26,400		1,116
Toro Co.	306,716		9,447
Trinity Industries, Inc.	165,400		2,521
Vallourec SA	64,887		8,201
			284,020
Professional Services - 0.1%
Manpower, Inc.	368,189		15,652
Monster Worldwide, Inc. (a)	1,002,192		11,706
			27,358
Road & Rail - 0.3%
CSX Corp.	334,207		10,614
Union Pacific Corp.	981,200		48,344
			58,958
Trading Companies & Distributors - 0.0%
GATX Corp.	85,200		2,145
WESCO International, Inc. (a)	104,200		2,785
			4,930
TOTAL INDUSTRIALS			1,112,343
INFORMATION TECHNOLOGY - 10.4%
Communications Equipment - 1.7%
Alcatel-Lucent SA sponsored ADR (a)	5,420,018		13,767
Ciena Corp. (a)	4,051,008		44,561
Juniper Networks, Inc. (a)	5,596,884		138,411
QUALCOMM, Inc.	1,463,870		63,810
Sycamore Networks, Inc. (a)	11,020,100		33,060
Tellabs, Inc. (a)	412,800		2,291
ZTE Corp. (H Shares)	2,859,840		9,641
			305,541
Computers & Peripherals - 0.5%
Acer, Inc.	5,525,000		10,076
Apple, Inc. (a)	31,200		4,237
Compal Electronics, Inc.	2,447,000		2,086
Dell, Inc. (a)	65,800		762
SanDisk Corp. (a)	4,151,208		65,008
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Computers & Peripherals - continued
Seagate Technology	100,600		$ 876
Wistron Corp.	2,579,000		4,088
			87,133
Electronic Equipment & Components - 0.0%
Hon Hai Precision Industry Co. Ltd. (Foxconn)	966,000		3,695
Semiconductors & Semiconductor Equipment - 6.6%
Advanced Semiconductor Engineering, Inc. sponsored ADR (e)	1,885,000		6,013
Altera Corp.	150,100		2,555
Amkor Technology, Inc. (a)	1,210,063		5,494
Analog Devices, Inc.	3,445,600		84,107
Applied Materials, Inc.	9,483,960		106,789
ARM Holdings PLC sponsored ADR	1,135,800		5,974
ASAT Holdings Ltd. (a)	88,719		0*
ASAT Holdings Ltd. warrants 7/24/11 (a)	2,416		0*
ASML Holding NV (NY Shares)	8,096,175		167,591
ATMI, Inc. (a)	818,694		13,287
Brooks Automation, Inc. (a)	2,473,662		9,672
Cirrus Logic, Inc. (a)	2,376,628		9,245
Cymer, Inc. (a)	1,207,996		33,534
Global Unichip Corp.	1,113,000		6,853
Globe Specialty Metals, Inc. (Reg. S) (a)	1,579,600		7,961
Himax Technologies, Inc. sponsored ADR	397,200		1,442
Inotera Memories, Inc. (a)	22,644,000		12,011
Intel Corp.	8,112,684		127,531
Intersil Corp. Class A	1,215,930		14,895
KLA-Tencor Corp.	1,052,289		28,412
Kulicke & Soffa Industries, Inc. (a)	469,791		2,166
Lam Research Corp. (a)	1,826,600		47,839
Marvell Technology Group Ltd. (a)	6,361,750		72,715
Mattson Technology, Inc. (a)	2,231,083		2,900
MediaTek, Inc.	1,361,000		16,931
Micron Technology, Inc. (a)	17,606,000		89,086
Monolithic Power Systems, Inc. (a)	299,197		6,196
Novellus Systems, Inc. (a)	1,991,100		35,700
NVIDIA Corp. (a)	894,139		9,326
Photronics, Inc. (a)	596,976		1,886
Richtek Technology Corp.	1,755,000		12,353
Samsung Electronics Co. Ltd.	147,273		65,691
Skyworks Solutions, Inc. (a)	3,511,767		33,467
Taiwan Semiconductor Manufacturing Co. Ltd.	9,618,000		17,771
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Semiconductors & Semiconductor Equipment - continued
Teradyne, Inc. (a)	3,390,700		$ 24,244
Texas Instruments, Inc.	1,700		33
Tokyo Electron Ltd.	1,587,900		72,829
Varian Semiconductor Equipment Associates, Inc. (a)	135,400		3,185
Verigy Ltd. (a)	1,858,876		22,307
Volterra Semiconductor Corp. (a)	172,297		2,354
			1,182,345
Software - 1.6%
BMC Software, Inc. (a)	974,874		33,243
Citrix Systems, Inc. (a)	606,674		19,056
Microsoft Corp.	10,981,900		229,412
			281,711
TOTAL INFORMATION TECHNOLOGY			1,860,425
MATERIALS - 1.9%
Chemicals - 1.1%
Air Products & Chemicals, Inc.	365,200		23,658
Airgas, Inc.	298,200		12,602
Albemarle Corp.	606,547		17,117
CF Industries Holdings, Inc.	39,900		3,098
Dow Chemical Co.	1,747,800		30,901
E.I. du Pont de Nemours & Co.	812,700		23,138
Ecolab, Inc.	24,344		909
FMC Corp.	147,836		8,035
Monsanto Co.	695,913		57,169
Praxair, Inc.	47,800		3,499
Solutia, Inc. (a)	730,970		3,582
Terra Industries, Inc.	156,343		4,345
The Mosaic Co.	32,100		1,756
			189,809
Containers & Packaging - 0.3%
Ball Corp.	224,505		8,935
Crown Holdings, Inc. (a)	52,300		1,229
Owens-Illinois, Inc. (a)	529,200		15,151
Rock-Tenn Co. Class A	181,851		6,979
Sealed Air Corp.	520,981		10,425
Temple-Inland, Inc.	1,571,654		20,086
			62,805
Common Stocks - continued
	Shares		Value (000s)
MATERIALS - continued
Metals & Mining - 0.4%
Agnico-Eagle Mines Ltd. (Canada)	280,700		$ 17,352
ArcelorMittal SA (NY Shares) Class A	7,100		236
Commercial Metals Co.	72,900		1,237
Freeport-McMoRan Copper & Gold, Inc. Class B	121,645		6,621
Impala Platinum Holdings Ltd.	88,500		2,147
Ivanhoe Mines Ltd. (a)	369,500		1,997
Newcrest Mining Ltd.	381,220		10,122
Nucor Corp.	196,200		8,615
United States Steel Corp.	66,400		2,263
Yamana Gold, Inc.	1,241,500		14,601
			65,191
Paper & Forest Products - 0.1%
Weyerhaeuser Co.	401,864		13,495
TOTAL MATERIALS			331,300
TELECOMMUNICATION SERVICES - 1.8%
Diversified Telecommunication Services - 1.4%
AT&T, Inc.	1,011,071		25,064
Embarq Corp.	454,304		19,090
Qwest Communications International, Inc.	7,160,600		31,220
Verizon Communications, Inc.	5,858,640		171,424
			246,798
Wireless Telecommunication Services - 0.4%
American Tower Corp. Class A (a)	1,032,064		32,892
Clearwire Corp. Class A (a)(e)	2,083,137		9,270
MetroPCS Communications, Inc. (a)	41,281		707
Sprint Nextel Corp. (a)	7,219,123		37,178
			80,047
TOTAL TELECOMMUNICATION SERVICES			326,845
UTILITIES - 2.4%
Electric Utilities - 1.4%
American Electric Power Co., Inc.	2,593,796		68,321
Entergy Corp.	399,843		29,836
Exelon Corp.	877,781		42,142
FirstEnergy Corp.	1,108,068		41,874
Common Stocks - continued
	Shares		Value (000s)
UTILITIES - continued
Electric Utilities - continued
FPL Group, Inc.	720,800		$ 40,747
PPL Corp.	882,592		28,658
			251,578
Gas Utilities - 0.1%
EQT Corp.	165,300		6,157
Questar Corp.	237,600		8,052
			14,209
Independent Power Producers & Energy Traders - 0.4%
AES Corp. (a)	1,287,431		12,861
Calpine Corp. (a)	135,600		1,837
Constellation Energy Group, Inc.	1,259,100		34,348
Dynegy, Inc. Class A (a)	700,500		1,408
NRG Energy, Inc. (a)	979,693		22,043
			72,497
Multi-Utilities - 0.5%
CenterPoint Energy, Inc.	2,754,600		27,877
Public Service Enterprise Group, Inc.	718,900		22,911
Sempra Energy	569,300		26,006
TECO Energy, Inc.	1,169,400		13,121
			89,915
TOTAL UTILITIES			428,199
TOTAL COMMON STOCKS (Cost $10,767,349)		10,520,063
Convertible Preferred Stocks - 0.5%
ENERGY - 0.0%
Oil, Gas & Consumable Fuels - 0.0%
SandRidge Energy, Inc. 8.50% (a)(f)	35,300		5,216
FINANCIALS - 0.4%
Commercial Banks - 0.2%
Huntington Bancshares, Inc. 8.50%	18,200		11,557
Wells Fargo & Co. 7.50%	25,400		18,923
			30,480
Convertible Preferred Stocks - continued
	Shares		Value (000s)
FINANCIALS - continued
Diversified Financial Services - 0.2%
CIT Group, Inc. Series C, 8.75%	185,800		$ 4,436
Citigroup, Inc. Series T, 6.50%	684,525		26,654
			31,090
TOTAL FINANCIALS			61,570
INFORMATION TECHNOLOGY - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
ASAT Holdings Ltd. 13.00% (a)	2,416		0
MATERIALS - 0.1%
Metals & Mining - 0.1%
Freeport-McMoRan Copper & Gold, Inc. 6.75%	240,700		20,338
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $81,953)		87,124

Corporate Bonds - 8.9%
	Principal Amount (000s)
Convertible Bonds - 0.0%
INFORMATION TECHNOLOGY - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
Cypress Semiconductor Corp. 1% 9/15/09 (f)	$ 405		618
Nonconvertible Bonds - 8.9%
CONSUMER DISCRETIONARY - 0.6%
Auto Components - 0.1%
DaimlerChrysler NA Holding Corp.:
5.75% 9/8/11	4,524		4,561
5.875% 3/15/11	1,680		1,701
			6,262
Hotels, Restaurants & Leisure - 0.0%
McDonald's Corp. 5.35% 3/1/18	1,891		1,962
Household Durables - 0.0%
Fortune Brands, Inc.:
5.125% 1/15/11	3,427		3,475
5.875% 1/15/36	1,780		1,315
			4,790
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - 0.4%
AOL Time Warner, Inc.:
6.75% 4/15/11	$ 1,522		$ 1,594
6.875% 5/1/12	1,974		2,078
7.625% 4/15/31	4,975		4,530
Comcast Cable Communications, Inc. 6.75% 1/30/11	413		439
Comcast Corp.:
4.95% 6/15/16	1,520		1,453
5.5% 3/15/11	309		323
5.7% 5/15/18	7,229		7,170
5.85% 1/15/10	49		50
6.45% 3/15/37	4,360		4,102
COX Communications, Inc.:
4.625% 1/15/10	1,731		1,739
4.625% 6/1/13	3,612		3,487
6.25% 6/1/18 (f)	2,370		2,280
Liberty Media Corp.:
5.7% 5/15/13	1,430		1,219
8.25% 2/1/30	6,315		4,231
News America Holdings, Inc. 7.75% 12/1/45	15,780		12,471
News America, Inc.:
4.75% 3/15/10	198		200
5.3% 12/15/14	708		717
6.2% 12/15/34	1,720		1,403
6.9% 3/1/19 (f)	3,935		3,975
Time Warner Cable, Inc.:
5.4% 7/2/12	1,976		2,014
6.2% 7/1/13	1,879		1,963
6.75% 7/1/18	949		980
7.3% 7/1/38	2,509		2,545
8.75% 2/14/19	5,351		6,137
Time Warner, Inc.:
5.875% 11/15/16	3,581		3,457
6.5% 11/15/36	3,450		2,803
			73,360
Specialty Retail - 0.1%
Staples, Inc. 9.75% 1/15/14	10,350		11,412
TOTAL CONSUMER DISCRETIONARY			97,786
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER STAPLES - 0.5%
Beverages - 0.2%
Anheuser-Busch Companies, Inc. 6.45% 9/1/37	$ 59		$ 51
Anheuser-Busch InBev Worldwide, Inc.:
5.375% 11/15/14 (f)	5,328		5,346
6.875% 11/15/19 (f)	5,400		5,462
8.2% 1/15/39 (f)	10,075		10,744
Diageo Capital PLC:
5.2% 1/30/13	4,139		4,273
5.75% 10/23/17	1,516		1,544
FBG Finance Ltd. 5.125% 6/15/15 (f)	2,374		2,097
PepsiCo, Inc. 7.9% 11/1/18	7,370		8,824
			38,341
Food & Staples Retailing - 0.1%
CVS Caremark Corp.:
1.5613% 6/1/10 (k)	1,856		1,836
6.036% 12/10/28 (f)	1,844		1,519
6.302% 6/1/37 (k)	3,829		2,604
Wal-Mart Stores, Inc. 6.2% 4/15/38	9,030		9,364
			15,323
Food Products - 0.0%
Cargill, Inc. 6% 11/27/17 (f)	572		540
General Mills, Inc. 5.65% 2/15/19	1,282		1,312
Kraft Foods, Inc.:
5.625% 11/1/11	2,959		3,146
6.75% 2/19/14	436		474
			5,472
Personal Products - 0.0%
Avon Products, Inc. 4.8% 3/1/13	1,447		1,512
Tobacco - 0.2%
Altria Group, Inc. 9.7% 11/10/18	20,958		23,852
Philip Morris International, Inc.:
4.875% 5/16/13	1,447		1,518
6.375% 5/16/38	3,140		3,159
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER STAPLES - continued
Tobacco - continued
Reynolds American, Inc.:
6.75% 6/15/17	$ 2,366		$ 2,230
7.25% 6/15/37	7,970		6,331
			37,090
TOTAL CONSUMER STAPLES			97,738
ENERGY - 1.0%
Energy Equipment & Services - 0.1%
DCP Midstream LLC 9.75% 3/15/19 (f)	5,262		5,491
Transocean Ltd. 5.25% 3/15/13	2,802		2,891
Weatherford International Ltd.:
4.95% 10/15/13	1,408		1,331
5.15% 3/15/13	1,841		1,767
			11,480
Oil, Gas & Consumable Fuels - 0.9%
BW Group Ltd. 6.625% 6/28/17 (f)	2,391		1,805
Canadian Natural Resources Ltd.:
5.15% 2/1/13	3,637		3,722
5.7% 5/15/17	937		902
Canadian Oil Sands Ltd. 4.8% 8/10/09 (f)	3,333		3,341
ConocoPhillips:
4.75% 2/1/14	853		886
5.75% 2/1/19	9,619		9,891
6.5% 2/1/39	4,833		4,995
Devon Energy Corp. 5.625% 1/15/14	1,895		1,987
Duke Capital LLC:
6.25% 2/15/13	809		825
6.75% 2/15/32	8,145		6,701
Duke Energy Field Services:
5.375% 10/15/15 (f)	988		819
6.45% 11/3/36 (f)	8,650		5,829
6.875% 2/1/11	1,870		1,891
7.875% 8/16/10	839		858
El Paso Natural Gas Co. 5.95% 4/15/17	756		701
Empresa Nacional de Petroleo 6.75% 11/15/12 (f)	1,370		1,447
Enbridge Energy Partners LP:
5.875% 12/15/16	1,460		1,260
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Enbridge Energy Partners LP: - continued
6.5% 4/15/18	$ 1,918		$ 1,753
9.875% 3/1/19	2,368		2,658
EnCana Holdings Finance Corp. 5.8% 5/1/14	2,335		2,407
Enterprise Products Operating LP:
4.625% 10/15/09	1,574		1,578
5.6% 10/15/14	1,581		1,554
5.65% 4/1/13	563		559
EOG Resources, Inc. 5.625% 6/1/19	2,901		2,970
Gazstream SA 5.625% 7/22/13 (f)	888		852
Gulf South Pipeline Co. LP 5.75% 8/15/12 (f)	3,123		3,013
Kinder Morgan Energy Partners LP 5.125% 11/15/14	12,250		11,894
Lukoil International Finance BV 6.656% 6/7/22 (f)	988		751
Nakilat, Inc. 6.067% 12/31/33 (f)	5,528		4,166
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (f)	2,855		2,113
Nexen, Inc.:
5.05% 11/20/13	3,109		3,027
5.2% 3/10/15	735		661
5.875% 3/10/35	1,565		1,242
6.4% 5/15/37	5,235		4,473
NGPL PipeCo LLC 6.514% 12/15/12 (f)	2,881		2,880
Pemex Project Funding Master Trust 2.62% 6/15/10 (f)(k)	1,007		997
Petroleos Mexicanos 8% 5/3/19 (f)	508		555
Plains All American Pipeline LP:
6.125% 1/15/17	1,940		1,789
6.65% 1/15/37	4,940		4,211
7.75% 10/15/12	1,907		1,912
Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (f)	2,415		2,542
Ras Laffan Liquid Natural Gas Co. Ltd. III:
5.832% 9/30/16 (f)	1,086		1,078
6.332% 9/30/27 (f)	5,910		5,292
Rockies Express Pipeline LLC 6.25% 7/15/13 (f)	2,199		2,211
Source Gas LLC 5.9% 4/1/17 (f)	2,865		2,072
Suncor Energy, Inc.:
6.1% 6/1/18	9,176		8,822
6.85% 6/1/39	8,895		7,994
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Talisman Energy, Inc. yankee 6.25% 2/1/38	$ 3,280		$ 2,722
TEPPCO Partners LP 5.9% 4/15/13	2,619		2,466
Texas Eastern Transmission LP 6% 9/15/17 (f)	1,301		1,303
TransCanada PipeLines Ltd. 6.35% 5/15/67 (k)	1,917		1,265
XTO Energy, Inc.:
5% 1/31/15	1,414		1,379
5.65% 4/1/16	970		970
5.9% 8/1/12	3,600		3,765
6.5% 12/15/18	7,500		7,869
			157,625
TOTAL ENERGY			169,105
FINANCIALS - 3.8%
Capital Markets - 1.0%
Bear Stearns Companies, Inc.:
0.8425% 8/21/09 (k)	946		946
1.2406% 10/22/10 (k)	1,892		1,864
1.3919% 7/16/09 (k)	465		465
1.5538% 9/9/09 (k)	1,028		1,027
4.245% 1/7/10	984		988
4.5% 10/28/10	1,482		1,522
5.3% 10/30/15	946		892
5.85% 7/19/10	3,047		3,146
6.95% 8/10/12	13,792		14,913
BlackRock, Inc. 6.25% 9/15/17	2,483		2,430
Goldman Sachs Group, Inc.:
5.25% 10/15/13	4,773		4,771
5.45% 11/1/12	3,047		3,122
5.95% 1/18/18	3,225		3,075
6% 5/1/14	6,000		6,100
6.15% 4/1/18	1,593		1,538
6.6% 1/15/12	1,383		1,461
6.75% 10/1/37	11,195		9,385
6.875% 1/15/11	220		232
7.5% 2/15/19	19,421		20,436
JPMorgan Chase Capital XX 6.55% 9/29/36	11,840		9,327
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Capital Markets - continued
Lazard Group LLC:
6.85% 6/15/17	$ 3,104		$ 2,685
7.125% 5/15/15	1,113		971
Merrill Lynch & Co., Inc.:
5.45% 2/5/13	5,188		4,836
6.15% 4/25/13	894		860
6.4% 8/28/17	2,110		1,912
6.875% 4/25/18	3,285		3,049
Morgan Stanley:
1.3994% 1/9/12 (k)	7,709		7,000
1.4494% 1/9/14 (k)	4,044		3,347
4.75% 4/1/14	642		587
5.05% 1/21/11	2,462		2,489
5.25% 11/2/12	198		198
5.45% 1/9/17	193		177
5.95% 12/28/17	445		418
6% 5/13/14	6,140		6,170
6.6% 4/1/12	4,624		4,816
6.625% 4/1/18	1,106		1,093
6.75% 4/15/11	5,876		6,119
7.3% 5/13/19	9,294		9,520
Northern Trust Corp.:
4.625% 5/1/14	1,319		1,331
5.5% 8/15/13	230		240
Scotland International Finance No. 2 BV 7.7% 8/15/10 (f)	790		771
State Street Corp. 4.3% 5/30/14	1,310		1,307
The Bank of New York, Inc.:
4.3% 5/15/14	6,301		6,329
4.95% 11/1/12	3,124		3,249
5.45% 5/15/19	6,656		6,669
UBS AG Stamford Branch:
5.75% 4/25/18	3,319		2,977
5.875% 12/20/17	2,415		2,192
			168,952
Commercial Banks - 0.7%
American Express Bank FSB:
5.5% 4/16/13	3,307		3,172
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Commercial Banks - continued
American Express Bank FSB: - continued
6% 9/13/17	$ 502		$ 448
ANZ National International Ltd. 6.2% 7/19/13 (f)	888		906
Bank of America NA 6% 10/15/36	7,045		5,333
Bank One Corp.:
5.25% 1/30/13	752		754
7.875% 8/1/10	559		585
BB&T Corp. 6.5% 8/1/11	1,005		1,027
Chase Manhattan Corp. 7.875% 6/15/10	1,255		1,314
Credit Suisse First Boston 6% 2/15/18	14,192		13,190
Credit Suisse First Boston New York Branch 5% 5/15/13	14,702		14,630
Credit Suisse New York Branch 5.5% 5/1/14	6,000		6,060
DBS Bank Ltd. (Singapore) 1.0744% 5/16/17 (f)(k)	4,965		4,195
Export-Import Bank of Korea:
5.125% 2/14/11	2,361		2,401
5.25% 2/10/14 (f)	456		442
5.5% 10/17/12	1,824		1,864
Fifth Third Bancorp:
4.5% 6/1/18	100		65
8.25% 3/1/38	1,697		1,302
HBOS PLC 6.75% 5/21/18 (f)	560		397
HSBC Holdings PLC:
1.3659% 10/6/16 (k)	1,254		992
6.5% 5/2/36	6,175		5,644
6.5% 9/15/37	10,625		9,636
JPMorgan Chase Bank 6% 10/1/17	1,694		1,627
KeyBank NA:
5.8% 7/1/14	905		815
7% 2/1/11	908		891
Korea Development Bank:
4.625% 9/16/10	1,482		1,496
4.75% 7/20/09	758		757
Manufacturers & Traders Trust Co. 2.7075% 4/1/13 (f)(k)	791		605
National City Bank, Cleveland:
4.15% 8/1/09	1,542		1,540
4.5% 3/15/10	2,379		2,391
PNC Funding Corp.:
1.1794% 1/31/12 (k)	4,837		4,283
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Commercial Banks - continued
PNC Funding Corp.: - continued
7.5% 11/1/09	$ 1,638		$ 1,669
Rabobank Capital Funding Trust II 5.26% (f)(k)	460		354
Santander Issuances SA Unipersonal:
1.6475% 6/20/16 (f)(k)	3,830		2,509
5.805% 6/20/16 (f)(k)	3,399		2,579
Standard Chartered Bank 6.4% 9/26/17 (f)	3,536		3,011
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (f)(k)	2,371		1,636
Union Planters Corp. 7.75% 3/1/11	485		465
UnionBanCal Corp. 5.25% 12/16/13	535		497
Wachovia Bank NA 4.875% 2/1/15	1,138		1,007
Wachovia Corp.:
1.23% 4/23/12 (k)	439		404
1.2613% 10/15/11 (k)	3,247		3,038
1.3113% 12/1/09 (k)	878		871
5.625% 10/15/16	2,748		2,345
5.75% 6/15/17	2,371		2,266
Wells Fargo & Co.:
4.2% 1/15/10	2,130		2,158
5.625% 12/11/17	2,371		2,257
Wells Fargo Bank NA, San Francisco 6.45% 2/1/11	469		480
			116,308
Consumer Finance - 0.5%
American Express Co. 7.25% 5/20/14	6,000		6,125
American Express Credit Corp. 5.875% 5/2/13	471		457
Capital One Financial Corp.:
1.5725% 9/10/09 (k)	2,649		2,596
7.375% 5/23/14	5,840		6,017
Discover Financial Services:
1.8613% 6/11/10 (k)	3,252		3,058
6.45% 6/12/17	11,229		9,111
General Electric Capital Corp.:
5.625% 9/15/17	22,752		21,849
5.9% 5/13/14	8,210		8,273
Household Finance Corp.:
6.375% 10/15/11	1,504		1,521
7% 5/15/12	378		386
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Consumer Finance - continued
HSBC Finance Corp.:
5.25% 1/14/11	$ 1,058		$ 1,059
5.25% 1/15/14	852		823
MBNA America Bank NA 7.125% 11/15/12 (f)	561		527
MBNA Corp. 7.5% 3/15/12	1,300		1,271
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (f)	3,432		3,287
ORIX Corp. 5.48% 11/22/11	311		274
SLM Corp.:
1.2519% 7/26/10 (k)	24,266		21,355
1.3219% 10/25/11 (k)	6,795		4,904
1.52% 3/15/11 (k)	90		71
4.5% 7/26/10	3,810		3,515
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (f)	317		320
			96,799
Diversified Financial Services - 0.8%
Bank of America Corp. 7.4% 1/15/11	7,003		7,145
BP Capital Markets PLC 5.25% 11/7/13	16,534		17,546
BTM Curacao Holding NV 1.6194% 12/19/16 (f)(k)	2,449		1,896
CIT Group, Inc. 1.3938% 6/8/09 (k)	947		944
Citigroup, Inc.:
0.9444% 5/18/11 (k)	2,272		2,075
5.3% 10/17/12	11,325		10,858
5.5% 4/11/13	8,594		8,242
6.125% 5/15/18	12,994		11,592
6.5% 1/18/11	1,057		1,067
6.5% 8/19/13	18,375		18,209
CME Group, Inc. 5.75% 2/15/14	3,229		3,405
GlaxoSmithKline Capital, Inc. 5.65% 5/15/18	16,858		17,517
ILFC E-Capital Trust I 5.9% 12/21/65 (f)(k)	2,423		921
International Lease Finance Corp.:
5.4% 2/15/12	2,316		1,771
6.375% 3/25/13	1,215		945
6.625% 11/15/13	2,200		1,678
JPMorgan Chase & Co.:
4.65% 6/1/14	8,500		8,443
4.891% 9/1/15 (k)	2,206		1,732
5.6% 6/1/11	2,503		2,638
5.75% 1/2/13	1,792		1,834
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Diversified Financial Services - continued
JPMorgan Chase & Co.: - continued
6.3% 4/23/19	$ 8,000		$ 7,959
6.75% 2/1/11	304		319
Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (f)	226		234
Prime Property Funding, Inc.:
5.125% 6/1/15 (f)	881		569
5.5% 1/15/14 (f)	562		380
5.7% 4/15/17 (f)	1,371		799
TransCapitalInvest Ltd. 5.67% 3/5/14 (f)	2,618		2,275
ZFS Finance USA Trust I 6.15% 12/15/65 (f)(k)	1,878		1,230
ZFS Finance USA Trust II 6.45% 12/15/65 (f)(k)	4,049		2,672
ZFS Finance USA Trust IV 5.875% 5/9/62 (f)(k)	2,022		1,243
			138,138
Insurance - 0.3%
Allstate Corp. 7.45% 5/16/19	7,800		8,148
Assurant, Inc.:
5.625% 2/15/14	1,546		1,318
6.75% 2/15/34	1,590		1,045
Axis Capital Holdings Ltd. 5.75% 12/1/14	452		392
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(k)	1,205		912
Jackson National Life Global Funding 5.375% 5/8/13 (f)	609		579
Liberty Mutual Group, Inc. 6.5% 3/15/35 (f)	481		268
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (f)	5,500		5,785
Merna Reinsurance Ltd. Series 2007-1 Class B, 2.97% 6/30/12 (f)(k)	4,792		4,265
MetLife, Inc.:
5% 6/15/15	941		870
6.125% 12/1/11	800		834
6.75% 6/1/16	5,158		5,249
7.717% 2/15/19	8,679		9,224
Metropolitan Life Global Funding I:
4.625% 8/19/10 (f)	2,668		2,695
5.125% 4/10/13 (f)	452		446
Monumental Global Funding II 5.65% 7/14/11 (f)	1,336		1,291
Monumental Global Funding III 5.5% 4/22/13 (f)	1,780		1,678
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Insurance - continued
Pacific Life Global Funding 5.15% 4/15/13 (f)	$ 2,737		$ 2,578
Prudential Financial, Inc.:
5.15% 1/15/13	1,752		1,648
5.4% 6/13/35	365		273
5.5% 3/15/16	344		326
5.7% 12/14/36	310		252
8.875% 6/15/68 (k)	2,403		1,898
QBE Insurance Group Ltd. 5.647% 7/1/23 (f)(k)	2,702		1,534
Symetra Financial Corp. 6.125% 4/1/16 (f)	4,189		3,149
The St. Paul Travelers Companies, Inc. 8.125% 4/15/10	1,010		1,056
			57,713
Real Estate Investment Trusts - 0.3%
AMB Property LP 5.9% 8/15/13	2,086		1,865
Arden Realty LP 5.2% 9/1/11	1,083		1,112
AvalonBay Communities, Inc.:
4.95% 3/15/13	296		273
5.5% 1/15/12	1,935		1,916
6.625% 9/15/11	661		678
Brandywine Operating Partnership LP:
4.5% 11/1/09	2,496		2,456
5.625% 12/15/10	3,298		3,008
5.75% 4/1/12	1,502		1,243
BRE Properties, Inc.:
4.875% 5/15/10	2,089		2,066
5.75% 9/1/09	494		495
Camden Property Trust:
4.375% 1/15/10	1,195		1,203
5.375% 12/15/13	531		485
5.875% 11/30/12	2,392		2,282
CPG Partners LP 6% 1/15/13	823		811
Developers Diversified Realty Corp.:
4.625% 8/1/10	2,436		2,161
5% 5/3/10	1,812		1,630
5.25% 4/15/11	1,967		1,615
5.375% 10/15/12	1,039		725
Duke Realty LP:
4.625% 5/15/13	507		409
5.25% 1/15/10	367		364
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Investment Trusts - continued
Duke Realty LP: - continued
5.4% 8/15/14	$ 447		$ 351
5.5% 3/1/16	3,075		2,292
5.625% 8/15/11	5,086		4,762
5.875% 8/15/12	92		82
Equity One, Inc.:
6% 9/15/17	690		512
6.25% 1/15/17	399		306
Federal Realty Investment Trust:
5.4% 12/1/13	334		291
6% 7/15/12	2,371		2,148
6.2% 1/15/17	501		408
Hospitality Properties Trust 5.625% 3/15/17	970		712
HRPT Properties Trust:
5.75% 11/1/15	719		571
6.25% 6/15/17	996		752
6.65% 1/15/18	499		399
Liberty Property LP:
5.125% 3/2/15	686		555
5.5% 12/15/16	1,202		928
Mack-Cali Realty LP:
5.05% 4/15/10	655		636
7.75% 2/15/11	789		765
Simon Property Group LP:
4.6% 6/15/10	886		880
4.875% 8/15/10	545		544
5% 3/1/12	294		285
5.375% 6/1/11	502		496
5.6% 9/1/11	2,197		2,177
5.75% 5/1/12	1,024		998
6.75% 5/15/14	5,698		5,662
7.75% 1/20/11	664		682
Tanger Properties LP 6.15% 11/15/15	20		16
Washington (REIT) 5.95% 6/15/11	2,940		2,777
			57,784
Real Estate Management & Development - 0.0%
ERP Operating LP 5.5% 10/1/12	358		351
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Management & Development - continued
Post Apartment Homes LP:
5.45% 6/1/12	$ 1,096		$ 998
6.3% 6/1/13	1,938		1,743
Regency Centers LP:
4.95% 4/15/14	494		398
5.25% 8/1/15	1,725		1,367
5.875% 6/15/17	854		649
			5,506
Thrifts & Mortgage Finance - 0.2%
Bank of America Corp.:
7.375% 5/15/14	11,054		11,633
7.625% 6/1/19	21,000		21,240
Countrywide Financial Corp.:
4.5% 6/15/10	387		383
5.8% 6/7/12	2,358		2,366
Countrywide Home Loans, Inc. 4.125% 9/15/09	3,111		3,096
Independence Community Bank Corp.:
3.0275% 4/1/14 (k)	3,410		2,434
3.3475% 6/20/13 (k)	1		1
4.9% 9/23/10	1,371		1,341
World Savings Bank FSB 4.125% 12/15/09	420		424
			42,918
TOTAL FINANCIALS			684,118
HEALTH CARE - 0.1%
Biotechnology - 0.0%
Amgen, Inc. 5.85% 6/1/17	2,390		2,481
Health Care Providers & Services - 0.0%
Coventry Health Care, Inc.:
5.95% 3/15/17	1,413		1,074
6.3% 8/15/14	2,925		2,465
			3,539
Pharmaceuticals - 0.1%
AstraZeneca PLC 6.45% 9/15/37	2,307		2,593
Bristol-Myers Squibb Co. 5.45% 5/1/18	2,371		2,461
Elan Finance PLC/Elan Finance Corp.:
4.8831% 11/15/11 (k)	1,630		1,418
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
HEALTH CARE - continued
Pharmaceuticals - continued
Elan Finance PLC/Elan Finance Corp.: - continued
7.75% 11/15/11	$ 190		$ 174
Novartis Capital Corp. 4.125% 2/10/14	2,369		2,425
Roche Holdings, Inc. 5% 3/1/14 (f)	4,805		5,010
Teva Pharmaceutical Finance LLC 5.55% 2/1/16	775		788
			14,869
TOTAL HEALTH CARE			20,889
INDUSTRIALS - 0.4%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc.:
4.75% 8/15/10 (f)	2,135		2,149
6.4% 12/15/11 (f)	661		696
Bombardier, Inc.:
6.3% 5/1/14 (f)	2,615		2,288
7.45% 5/1/34 (f)	3,000		2,280
			7,413
Airlines - 0.1%
American Airlines, Inc. pass-thru trust certificates:
6.978% 10/1/12	320		304
7.024% 4/15/11	2,288		2,254
7.858% 4/1/13	4,393		4,020
Continental Airlines, Inc.:
6.648% 3/15/19	2,491		1,993
6.82% 5/1/18	179		138
6.9% 7/2/19	703		576
7.056% 3/15/11	1,422		1,401
Delta Air Lines, Inc. pass-thru trust certificates:
6.821% 8/10/22	305		244
7.57% 11/18/10	7,740		7,392
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	1,834		1,357
8.36% 7/20/20	1,249		999
United Air Lines, Inc. pass-thru trust certificates:
Class 1A, 6.636% 1/2/24	458		339
6.071% 9/1/14	39		39
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Airlines - continued
United Air Lines, Inc. pass-thru trust certificates: - continued
6.201% 3/1/10	$ 25		$ 25
6.602% 9/1/13	71		70
			21,151
Building Products - 0.0%
Masco Corp. 1.6313% 3/12/10 (k)	3,811		3,648
Industrial Conglomerates - 0.2%
Covidien International Finance SA:
5.15% 10/15/10	2,044		2,106
5.45% 10/15/12	4,620		4,918
6% 10/15/17	2,368		2,499
6.55% 10/15/37	4,505		4,645
General Electric Co. 5.25% 12/6/17	25,356		25,115
			39,283
Machinery - 0.0%
Atlas Copco AB 5.6% 5/22/17 (f)	494		471
TOTAL INDUSTRIALS			71,966
INFORMATION TECHNOLOGY - 0.1%
Communications Equipment - 0.0%
Cisco Systems, Inc.:
4.95% 2/15/19	2,840		2,857
5.9% 2/15/39	454		440
			3,297
Electronic Equipment & Components - 0.1%
Tyco Electronics Group SA:
5.95% 1/15/14	2,385		2,137
6% 10/1/12	3,134		3,063
6.55% 10/1/17	1,908		1,692
7.125% 10/1/37	2,405		1,724
			8,616
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - continued
Office Electronics - 0.0%
Xerox Corp.:
5.5% 5/15/12	$ 1,295		$ 1,273
8.25% 5/15/14	2,377		2,413
			3,686
Semiconductors & Semiconductor Equipment - 0.0%
National Semiconductor Corp.:
1.57% 6/15/10 (k)	3,403		3,036
6.15% 6/15/12	1,199		1,151
			4,187
TOTAL INFORMATION TECHNOLOGY			19,786
MATERIALS - 0.5%
Chemicals - 0.1%
Agrium, Inc. 7.125% 5/23/36	4,900		4,154
Dow Chemical Co.:
7.6% 5/15/14	5,119		5,181
8.55% 5/15/19	5,119		5,118
E.I. du Pont de Nemours & Co. 5% 1/15/13	381		401
Lubrizol Corp. 8.875% 2/1/19	750		827
			15,681
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	1,482		1,245
Containers & Packaging - 0.0%
Pactiv Corp.:
5.875% 7/15/12	1,385		1,392
6.4% 1/15/18	1,414		1,240
			2,632
Metals & Mining - 0.4%
BHP Billiton Financial USA Ltd.:
5.125% 3/29/12	1,597		1,680
5.5% 4/1/14	6,648		7,095
6.5% 4/1/19	6,648		7,241
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (f)	1,618		1,738
Nucor Corp.:
5.85% 6/1/18	6,980		7,166
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
MATERIALS - continued
Metals & Mining - continued
Nucor Corp.: - continued
6.4% 12/1/37	$ 5,600		$ 5,136
Rio Tinto Finance (USA) Ltd.:
5.875% 7/15/13	9,881		9,650
6.5% 7/15/18	9,139		8,998
7.125% 7/15/28	9,574		8,611
United States Steel Corp. 6.65% 6/1/37	5,765		4,207
Vale Overseas Ltd. 6.25% 1/23/17	1,877		1,898
			63,420
Paper & Forest Products - 0.0%
International Paper Co. 7.4% 6/15/14	2,093		2,062
TOTAL MATERIALS			85,040
TELECOMMUNICATION SERVICES - 0.9%
Diversified Telecommunication Services - 0.8%
AT&T Broadband Corp. 8.375% 3/15/13	2,090		2,328
AT&T, Inc.:
5.8% 2/15/19	7,105		7,291
6.3% 1/15/38	12,550		11,789
6.7% 11/15/13	949		1,043
6.8% 5/15/36	15,241		15,180
BellSouth Capital Funding Corp. 7.875% 2/15/30	1,655		1,742
BellSouth Corp. 6.55% 6/15/34	4,340		4,000
British Telecommunications PLC:
8.625% 12/15/10	2,197		2,332
9.125% 12/15/30	4,565		4,565
Deutsche Telekom International Financial BV:
5.25% 7/22/13	1,979		2,028
6.75% 8/20/18	5,824		6,207
SBC Communications, Inc.:
5.1% 9/15/14	1,754		1,817
5.875% 2/1/12	2,210		2,341
5.875% 8/15/12	790		843
Sprint Capital Corp. 6.875% 11/15/28	15,445		10,812
Telecom Italia Capital SA:
4% 1/15/10	3,953		3,960
4.95% 9/30/14	2,594		2,462
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Telecom Italia Capital SA: - continued
5.25% 10/1/15	$ 3,073		$ 2,814
6.999% 6/4/18	8,694		8,486
7.2% 7/18/36	7,024		6,241
7.721% 6/4/38	2,417		2,281
Telefonica Emisiones SAU:
1.3463% 2/4/13 (k)	1,943		1,831
6.421% 6/20/16	939		994
7.045% 6/20/36	8,498		9,219
Telefonos de Mexico SA de CV 4.75% 1/27/10	5,015		5,100
Verizon Communications, Inc.:
6.1% 4/15/18	2,674		2,782
6.25% 4/1/37	4,611		4,333
6.4% 2/15/38	9,165		8,836
6.9% 4/15/38	10,030		10,204
Verizon Global Funding Corp. 7.25% 12/1/10	2,216		2,372
Verizon New England, Inc. 6.5% 9/15/11	720		771
Verizon New York, Inc. 6.875% 4/1/12	2,145		2,254
			149,258
Wireless Telecommunication Services - 0.1%
America Movil SAB de CV 5.625% 11/15/17	1,462		1,415
Rogers Communications, Inc. 6.8% 8/15/18	5,520		5,894
Verizon Wireless Capital LLC:
5.55% 2/1/14 (f)	1,919		2,029
8.5% 11/15/18 (f)	2,845		3,452
Vodafone Group PLC:
5% 12/16/13	1,856		1,946
5.5% 6/15/11	2,232		2,365
7.75% 2/15/10	1,494		1,548
			18,649
TOTAL TELECOMMUNICATION SERVICES			167,907
UTILITIES - 1.0%
Electric Utilities - 0.6%
AmerenUE 6.4% 6/15/17	2,415		2,420
Appalachian Power Co. 6.375% 4/1/36	5,500		4,771
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Electric Utilities - continued
Cleveland Electric Illuminating Co.:
5.65% 12/15/13	$ 3,325		$ 3,368
8.875% 11/15/18	6,204		7,153
Commonwealth Edison Co. 5.4% 12/15/11	1,409		1,458
Duke Energy Carolinas LLC:
6.05% 4/15/38	3,407		3,486
7% 11/15/18	4,166		4,782
EDP Finance BV:
5.375% 11/2/12 (f)	1,612		1,648
6% 2/2/18 (f)	2,964		2,931
Enel Finance International SA:
5.7% 1/15/13 (f)	674		694
6.8% 9/15/37 (f)	13,809		13,262
Exelon Corp.:
4.9% 6/15/15	2,587		2,321
6.75% 5/1/11	538		561
FirstEnergy Corp. 6.45% 11/15/11	1,595		1,669
Florida Power Corp.:
5.65% 6/15/18	3,630		3,822
6.4% 6/15/38	8,735		9,298
FPL Group Capital, Inc. 7.875% 12/15/15	1,250		1,436
Illinois Power Co. 6.125% 11/15/17	333		320
Jersey Central Power & Light Co. 7.35% 2/1/19	1,425		1,499
Nevada Power Co.:
6.5% 5/15/18	5,290		5,213
6.5% 8/1/18	1,270		1,251
Oncor Electric Delivery Co. 6.375% 5/1/12	2,208		2,269
Oncor Electric Delivery Co. LLC 5.95% 9/1/13	2,924		2,981
Pacific Gas & Electric Co. 5.8% 3/1/37	3,555		3,468
PacifiCorp 6% 1/15/39	974		990
PECO Energy Co. 5.6% 10/15/13	8,290		8,824
Pennsylvania Electric Co. 6.05% 9/1/17	618		585
Pepco Holdings, Inc.:
4% 5/15/10	1,804		1,803
6.45% 8/15/12	3,016		3,116
PPL Capital Funding, Inc. 6.7% 3/30/67 (k)	4,819		3,325
Progress Energy, Inc. 7.1% 3/1/11	2,737		2,929
Sierra Pacific Power Co. 5.45% 9/1/13	1,261		1,262
Tampa Electric Co. 6.15% 5/15/37	4,486		3,907
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Electric Utilities - continued
West Penn Power Co. 5.95% 12/15/17 (f)	$ 254		$ 227
Wisconsin Electric Power Co. 6.25% 12/1/15	2,435		2,572
			111,621
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (f)	357		332
Texas Eastern Transmission Corp. 7.3% 12/1/10	2,507		2,609
			2,941
Independent Power Producers & Energy Traders - 0.1%
Constellation Energy Group, Inc. 7% 4/1/12	5,210		5,285
Duke Capital LLC 5.668% 8/15/14	1,662		1,622
Exelon Generation Co. LLC 5.35% 1/15/14	1,235		1,187
			8,094
Multi-Utilities - 0.3%
CenterPoint Energy, Inc. 5.95% 2/1/17	1,445		1,221
Dominion Resources, Inc.:
4.75% 12/15/10	3,178		3,262
6.3% 9/30/66 (k)	12,002		7,231
7.5% 6/30/66 (k)	4,115		2,850
DTE Energy Co.:
7.05% 6/1/11	795		827
7.625% 5/15/14	2,468		2,549
KeySpan Corp. 7.625% 11/15/10	400		422
MidAmerican Energy Holdings, Co.:
5.875% 10/1/12	2,361		2,465
6.5% 9/15/37	8,075		7,838
National Grid PLC 6.3% 8/1/16	1,194		1,206
NiSource Finance Corp.:
5.25% 9/15/17	682		567
5.4% 7/15/14	1,089		966
5.45% 9/15/20	2,219		1,751
6.4% 3/15/18	1,251		1,093
6.8% 1/15/19	6,000		5,376
7.875% 11/15/10	826		841
10.75% 3/15/16	6,741		7,345
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Multi-Utilities - continued
Wisconsin Energy Corp. 6.25% 5/15/67 (k)	$ 4,990		$ 3,593
WPS Resources Corp. 6.11% 12/1/66 (k)	713		435
			51,838
TOTAL UTILITIES			174,494
TOTAL NONCONVERTIBLE BONDS			1,588,829
TOTAL CORPORATE BONDS (Cost $1,588,996)		1,589,447
U.S. Government and Government Agency Obligations - 5.1%
U.S. Government Agency Obligations - 0.3%
Fannie Mae:
2.5% 5/15/14	12,245		12,085
2.75% 3/13/14	17,370		17,427
Freddie Mac 2.5% 4/23/14	19,600		19,381
Tennessee Valley Authority 5.375% 4/1/56	5,098		4,878
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			53,771
U.S. Treasury Inflation Protected Obligations - 3.3%
U.S. Treasury Inflation-Indexed Notes:
0.625% 4/15/13	16,100		16,065
1.625% 1/15/15	108,047		108,841
1.625% 1/15/18	16,244		16,221
2% 4/15/12	10,120		10,482
2% 1/15/14 (h)	110,505		113,871
2.125% 1/15/19	99,065		103,291
2.375% 1/15/27 (h)	60,117		61,005
2.5% 7/15/16	147,445		156,291
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			586,067
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - 1.5%
U.S. Treasury Bills, yield at date of purchase 0.18% 7/23/09 (g)	$ 14,100		$ 14,098
U.S. Treasury Notes 1.875% 4/30/14 (e)	258,380		252,970
TOTAL U.S. TREASURY OBLIGATIONS			267,068
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $899,187)		906,906
U.S. Government Agency - Mortgage Securities - 7.1%
Fannie Mae - 5.1%
5% 12/1/25 to 10/1/38	289,147		297,080
5% 6/11/39 (n)	52,000		53,241
5% 6/11/39 (n)	68,000		69,622
5% 6/11/39 (n)	101,000		103,410
5.5% 1/1/33 to 6/1/38	225,090		233,699
5.593% 7/1/37 (k)	1,688		1,758
6% 6/1/30 to 3/1/36	125,047		132,064
6% 6/11/39 (n)	8,500		8,899
6.01% 4/1/36 (k)	1,300		1,357
6.131% 4/1/36 (k)	2,860		2,985
6.248% 6/1/36 (k)	474		489
6.326% 4/1/36 (k)	1,373		1,434
6.5% 11/1/29 to 1/1/36	14,630		15,740
TOTAL FANNIE MAE			921,778
Freddie Mac - 1.0%
5% 3/1/19 to 7/1/38	92,676		95,613
5% 6/11/39 (n)	47,000		48,077
5.692% 10/1/35 (k)	833		875
5.921% 6/1/36 (k)	2,920		3,041
6% 11/1/33	807		850
6.115% 6/1/36 (k)	1,437		1,502
6.5% 11/1/34 to 3/1/36	26,716		28,681
TOTAL FREDDIE MAC			178,639
Government National Mortgage Association - 1.0%
5.5% 7/20/37	580		603
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Government National Mortgage Association - continued
5.5% 6/18/39 (n)	$ 18,000		$ 18,663
5.5% 6/18/39 (n)	96,000		99,537
5.5% 6/18/39 (n)	23,000		23,827
6% 2/15/34	19,029		20,106
6.5% 3/15/34	9,247		9,915
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION			172,651
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,246,972)		1,273,068
Asset-Backed Securities - 1.2%
Accredited Mortgage Loan Trust:
Series 2004-4 Class A2D, 0.6588% 1/25/35 (k)	111		41
Series 2005-1 Class M1, 0.7788% 4/25/35 (k)	1,999		977
ACE Securities Corp. Series 2006-NC2:
Class M7, 1.0588% 7/25/36 (k)	915		2
Class M8, 1.1588% 7/25/36 (k)	453		1
Class M9, 2.0088% 7/25/36 (k)	7		0*
ACE Securities Corp. Home Equity Loan Trust:
Series 2003-HS1 Class M2, 2.9338% 6/25/33 (k)	128		83
Series 2004-HE1 Class M1, 0.8088% 2/25/34 (k)	270		240
Series 2004-OP1 Class M1, 0.8288% 4/25/34 (k)	682		348
Series 2005-HE2 Class M2, 0.7588% 4/25/35 (k)	288		243
Series 2005-SD1 Class A1, 0.7088% 11/25/50 (k)	38		36
Series 2006-HE2:
Class M3, 0.6488% 5/25/36 (k)	398		7
Class M4, 0.7088% 5/25/36 (k)	336		6
Class M5, 0.7488% 5/25/36 (k)	80		1
Series 2006-OP1:
Class M4, 0.6788% 4/25/36 (k)	187		5
Class M5, 0.6988% 4/25/36 (k)	177		4
Advanta Business Card Master Trust:
Series 2006-A6 Class A6, 0.3463% 9/20/13 (k)	9,315		8,174
Series 2006-A7 Class A7, 0.3363% 10/20/12 (k)	4,320		3,791
Series 2006-C1 Class C1, 0.7963% 10/20/14 (k)	516		26
Series 2007-A1 Class A, 0.3663% 1/20/15 (k)	2,890		2,536
Series 2007-A4 Class A4, 0.3463% 4/22/13 (k)	4,787		4,201
ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (f)(k)	894		891
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
American Express Credit Account Master Trust Series 2004-C Class C, 0.8444% 2/15/12 (f)(k)	$ 272		$ 269
AmeriCredit Automobile Receivables Trust:
Series 2005-1 Class C, 4.73% 7/6/10	214		213
Series 2005-DA Class A4, 5.02% 11/6/12	189		189
AmeriCredit Prime Automobile Receivables Trust Series 2007-1 Class D, 5.62% 9/30/14	777		233
Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class A2A, 0.3588% 10/25/36 (k)	53		53
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.0088% 12/25/33 (k)	156		102
Series 2004-R10 Class M1, 1.0088% 11/25/34 (k)	744		380
Series 2004-R11 Class M1, 0.9688% 11/25/34 (k)	641		252
Series 2004-R2:
Class M1, 0.7388% 4/25/34 (k)	260		202
Class M3, 0.8588% 4/25/34 (k)	179		60
Series 2005-R1 Class M1, 0.7588% 3/25/35 (k)	1,034		545
Series 2005-R10 Class A2B, 0.5288% 12/25/35 (k)	880		637
Series 2005-R2 Class M1, 0.7588% 4/25/35 (k)	2,266		1,229
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.6388% 6/25/32 (k)	181		91
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.6988% 3/1/34 (k)	53		10
Series 2004-W11 Class M2, 1.0088% 11/25/34 (k)	616		253
Series 2004-W5 Class M1, 0.9088% 4/25/34 (k)	745		385
Series 2004-W7:
Class M1, 0.8588% 5/25/34 (k)	652		241
Class M2, 0.9088% 5/25/34 (k)	570		320
Series 2006-W4 Class A2C, 0.4688% 5/25/36 (k)	1,703		465
Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.0888% 10/25/36 (k)	1,430		26
Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.7288% 12/25/34 (k)	1,574		838
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2003-HE3 Class M1, 1.5894% 6/15/33 (k)	255		117
Series 2004-HE2 Class M1, 0.8588% 4/25/34 (k)	2,929		1,428
Series 2004-HE3:
Class M1, 0.8488% 6/25/34 (k)	259		109
Class M2, 1.4288% 6/25/34 (k)	421		278
Series 2004-HE6 Class A2, 0.6688% 6/25/34 (k)	457		190
Series 2006-HE6 Class M7, 1.1088% 11/25/36 (k)	318		5
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (d)(f)(k)	$ 5,050		$ 0*
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.4244% 3/15/12 (k)	3,768		3,702
Bayview Financial Acquisition Trust Series 2004-C Class A1, 0.9463% 5/28/44 (k)	345		210
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 0.9913% 2/28/44 (k)	672		411
Bear Stearns Asset Backed Securities I Trust:
Series 2005-3 Class A1, 0.7588% 9/25/35 (k)	111		72
Series 2005-FR1 Class M1, 0.8088% 6/25/35 (k)	1,063		514
Series 2005-HE2 Class M1, 0.8088% 2/25/35 (k)	1,675		642
Series 2007-HE3 Class 1A1, 0.4288% 4/25/37 (k)	450		352
Bear Stearns Asset Backed Securities Trust Series 2006-3 Class A1, 0.4588% 8/25/36 (k)	2,466		2,186
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.2322% 12/26/24 (k)	2,521		2,336
C-BASS Trust Series 2006-CB7 Class A2, 0.3688% 10/25/36 (k)	670		589
Capital Auto Receivables Asset Trust Series 2005-1 Class B, 0.7194% 6/15/10 (k)	205		204
Capital One Auto Finance Trust Series 2006-C Class A3B, 0.3544% 7/15/11 (k)	241		238
Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.6344% 4/15/13 (f)(k)	3,192		2,912
Capital Trust Ltd. Series 2004-1:
Class A2, 0.7663% 7/20/39 (f)(k)	502		100
Class B, 1.0663% 7/20/39 (f)(k)	290		35
Class C, 1.4163% 7/20/39 (f)(k)	372		30
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13	641		431
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 0.6088% 7/25/36 (k)	5,102		213
Series 2006-NC2 Class M7, 1.1588% 6/25/36 (k)	467		9
Series 2006-NC4 Class M1, 0.6088% 10/25/36 (k)	3,255		143
Series 2006-RFC1 Class M9, 2.1788% 5/25/36 (k)	205		6
Series 2007-RFC1 Class A3, 0.4488% 12/25/36 (k)	1,978		426
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.4963% 5/20/17 (f)(k)	271		198
Chase Issuance Trust Series 2004-3 Class C, 0.8144% 6/15/12 (k)	582		559
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14	332		182
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup Mortgage Loan Trust:
Series 2003-HE4 Class A, 0.7188% 12/25/33 (f)(k)	$ 393		$ 280
Series 2005-HE4 Class A2C, 0.5788% 10/25/35 (k)	4,781		4,270
Series 2006-AMC1 Class M7, 1.1288% 9/25/36 (k)	830		5
Series 2006-WF2 Class A2B, 5.735% 5/25/36	254		251
Series 2007-AMC4 Class M1, 0.5788% 5/25/37 (k)	840		26
CNH Wholesale Master Note Trust Series 2006-1A:
Class A, 0.4044% 7/15/12 (f)(k)	1,436		1,409
Class B, 0.6244% 7/15/12 (f)(k)	1,436		1,400
Countrywide Asset-Backed Certificates Trust:
Series 2007-5 Class 2A1, 0.4088% 4/25/29 (k)	12,533		10,168
Series 2007-BC2 Class 2A1, 0.3988% 6/25/37 (k)	413		343
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (f)	363		0*
Countrywide Home Loans, Inc.:
Series 2002-6 Class AV1, 1.1688% 5/25/33 (k)	51		26
Series 2004-3:
Class 3A4, 0.5588% 8/25/34 (k)	185		95
Class M1, 0.8088% 6/25/34 (k)	726		448
Class M4, 1.2788% 4/25/34 (k)	175		87
Series 2004-4:
Class A, 0.6788% 8/25/34 (k)	42		19
Class M2, 0.8388% 6/25/34 (k)	645		440
Series 2005-1:
Class M1, 0.7288% 8/25/35 (k)	562		365
Class MV2, 0.7488% 7/25/35 (k)	1,551		1,053
Series 2005-3 Class MV1, 0.7288% 8/25/35 (k)	2,511		2,155
Series 2005-AB1 Class A2, 0.5188% 8/25/35 (k)	467		420
CPS Auto Receivables Trust Series 2006-D Class A4, 5.115% 8/15/13 (f)	700		658
Discover Card Master Trust I:
Series 2006-2 Class B1, 0.4644% 1/17/12 (k)	3,191		3,150
Series 2007-1 Class B, 0.4444% 8/15/12 (k)	3,191		2,839
Drive Auto Receivables Trust Series 2006-1 Class A4, 5.54% 12/16/13 (f)	1,611		1,541
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 1.012% 5/28/35 (k)	43		23
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 2.4838% 8/25/34 (k)	319		62
Series 2006-3 Class 2A3, 0.4688% 11/25/36 (k)	4,941		1,136
First Franklin Mortgage Loan Trust:
Series 2004-FF2 Class M3, 1.1338% 3/25/34 (k)	25		10
Series 2005-FF9 Class A3, 0.5888% 10/25/35 (k)	5,678		4,366
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
First Franklin Mortgage Loan Trust: - continued
Series 2006-FF12 Class A2, 0.3488% 9/25/36 (k)	$ 356		$ 337
Series 2006-FF14 Class A2, 0.3688% 10/25/36 (k)	4,021		3,387
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (f)	74		74
Ford Credit Auto Owner Trust Series 2006-C Class B, 5.3% 6/15/12	183		146
Ford Credit Floorplan Master Owner Trust:
Series 2006-3 Class B, 0.7944% 6/15/11 (k)	2,222		1,667
Series 2006-4 Class B, 0.8944% 6/15/13 (k)	848		467
Fremont Home Loan Trust:
Series 2004-1:
Class M1, 0.9838% 2/25/34 (k)	79		25
Class M2, 1.0588% 2/25/34 (k)	135		90
Series 2004-A Class M1, 1.1338% 1/25/34 (k)	1,274		730
Series 2005-A:
Class M1, 0.7388% 1/25/35 (k)	83		78
Class M2, 0.7688% 1/25/35 (k)	1,927		1,032
Class M3, 0.7988% 1/25/35 (k)	1,041		220
Class M4, 0.9888% 1/25/35 (k)	399		168
Series 2006-A:
Class M4, 0.7088% 5/25/36 (k)	993		11
Class M5, 0.8088% 5/25/36 (k)	201		2
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (f)(k)	2,585		1,895
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (f)	1,931		1,680
GE Business Loan Trust:
Series 2003-1 Class A, 0.7744% 4/15/31 (f)(k)	387		240
Series 2006-2A:
Class A, 0.5244% 11/15/34 (f)(k)	944		481
Class B, 0.6244% 11/15/34 (f)(k)	341		78
Class C, 0.7244% 11/15/34 (f)(k)	566		85
Class D, 1.0944% 11/15/34 (f)(k)	216		24
GE Capital Credit Card Master Note Trust:
Series 2006-1:
Class B, 0.4544% 9/17/12 (k)	976		908
Class C, 0.5844% 9/17/12 (k)	759		683
Series 2007-1 Class C, 0.6144% 3/15/13 (k)	5,209		4,428
GE Equipment Midticket LLC Series 2006-1 Class B, 0.4944% 9/15/17 (k)	431		327
GSAMP Trust:
Series 2002-HE Class M1, 2.1913% 11/20/32 (k)	632		286
Series 2003-FM1 Class M1, 1.5463% 3/20/33 (k)	1,240		760
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
GSAMP Trust: - continued
Series 2004-AR1 Class M1, 0.9588% 6/25/34 (k)	$ 2,407		$ 821
Series 2004-FM1 Class M1, 1.2838% 11/25/33 (k)	436		239
Series 2004-FM2 Class M1, 1.0588% 1/25/34 (k)	1,104		563
Series 2007-HE1 Class M1, 0.5588% 3/25/47 (k)	999		37
GSR Mortgage Loan Trust:
Series 2004-OPT Class A1, 0.6488% 11/25/34 (k)	17		7
Series 2005-MTR1 Class A1, 0.4488% 10/25/35 (k)	222		215
Series 2006-FM1 Class M3, 0.6588% 4/25/36 (k)	473		5
Guggenheim Structured Real Estate Funding Ltd.:
Series 2005-1 Class C, 1.3888% 5/25/30 (f)(k)	724		181
Series 2006-3:
Class B, 0.7088% 9/25/46 (f)(k)	719		108
Class C, 0.8588% 9/25/46 (f)(k)	1,676		168
Home Equity Asset Trust:
Series 2002-3 Class A5, 1.1888% 2/25/33 (k)	0*		0*
Series 2003-3 Class M1, 1.5988% 8/25/33 (k)	1,045		503
Series 2003-4 Class M1, 1.5088% 10/25/33 (k)	325		189
Series 2003-5:
Class A2, 1.0088% 12/25/33 (k)	36		10
Class M1, 1.3588% 12/25/33 (k)	358		196
Series 2003-7 Class A2, 1.0688% 3/25/34 (k)	2		0*
Series 2003-8 Class M1, 1.3888% 4/25/34 (k)	572		275
Series 2004-3 Class M2, 2.0088% 8/25/34 (k)	348		198
Series 2004-7 Class A3, 0.6988% 1/25/35 (k)	1		0*
Series 2005-1 Class M1, 0.7388% 5/25/35 (k)	1,135		1,025
Series 2005-3 Class M1, 0.7188% 8/25/35 (k)	818		753
Series 2005-5 Class 2A2, 0.5588% 11/25/35 (k)	360		330
Series 2006-1 Class 2A3, 0.5338% 4/25/36 (k)	3,537		2,455
Series 2006-7 Class M4, 0.6888% 1/25/37 (k)	547		2
Household Home Equity Loan Trust Series 2004-1 Class M, 0.8363% 9/20/33 (k)	306		186
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.4844% 6/15/12 (k)	2,469		2,347
HSBC Home Equity Loan Trust:
Series 2005-2:
Class M1, 0.7763% 1/20/35 (k)	841		507
Class M2, 0.8063% 1/20/35 (k)	631		368
Series 2005-3 Class A1, 0.5763% 1/20/35 (k)	435		233
Series 2006-2:
Class M1, 0.5863% 3/20/36 (k)	670		376
Class M2, 0.6063% 3/20/36 (k)	1,108		539
Series 2006-3 Class A1V, 0.3963% 3/20/36 (k)	499		483
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4988% 1/25/37 (k)	$ 1,359		$ 334
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.6088% 7/25/36 (k)	2,980		61
Series 2007-CH1:
Class AV4, 0.4388% 11/25/36 (k)	1,364		544
Class MV1, 0.5388% 11/25/36 (k)	1,108		103
Keycorp Student Loan Trust:
Series 1999-A Class A2, 1.5575% 12/27/09 (k)	1,167		909
Series 2006-A:
Class 2A1, 1.2575% 9/27/21 (k)	616		606
Class 2C, 2.3775% 3/27/42 (k)	749		120
Lancer Funding Ltd. Series 2006-1A Class A3, 2.8659% 4/6/46 (f)(k)	297		0*
Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14	1,214		1,133
Long Beach Mortgage Loan Trust:
Series 2003-2 Class M1, 1.5388% 6/25/33 (k)	2,258		1,124
Series 2004-2:
Class M1, 0.8388% 6/25/34 (k)	682		332
Class M2, 1.3888% 6/25/34 (k)	429		317
Series 2005-WL1 Class M2, 0.8588% 6/25/35 (k)	382		205
Series 2006-8 Class 2A1, 0.3488% 9/25/36 (k)	29		28
Marriott Vacation Club Owner Trust Series 2006-2A:
Class B, 5.442% 10/20/28 (f)	19		11
Class C, 5.691% 10/20/28 (f)	9		4
Class D, 6.01% 10/20/28 (f)	103		46
MASTR Asset Backed Securities Trust:
Series 2006-AM3 Class M1, 0.5688% 10/25/36 (k)	493		14
Series 2007-HE1 Class M1, 0.6088% 5/25/37 (k)	861		29
Merrill Lynch Mortgage Investors Trust:
Series 2003-HE1 Class M1, 1.0088% 7/25/34 (k)	600		415
Series 2003-OPT1 Class M1, 0.9588% 7/25/34 (k)	166		92
Series 2006-FM1 Class A2B, 0.4188% 4/25/37 (k)	2,637		2,020
Series 2006-OPT1 Class A1A, 0.5688% 6/25/35 (k)	1,863		865
Morgan Stanley ABS Capital I Trust:
Series 2002-HE3 Class M1, 1.9588% 12/27/32 (k)	44		28
Series 2003-NC7 Class M1, 1.3588% 6/25/33 (k)	558		302
Series 2003-NC8 Class M1, 1.3588% 9/25/33 (k)	433		235
Series 2004-HE6 Class A2, 0.6488% 8/25/34 (k)	63		10
Series 2004-NC2 Class M1, 1.1338% 12/25/33 (k)	1,131		573
Series 2005-HE1 Class M2, 0.7788% 12/25/34 (k)	535		282
Series 2005-HE2 Class M1, 0.7088% 1/25/35 (k)	484		159
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley ABS Capital I Trust: - continued
Series 2005-NC1 Class M1, 0.7488% 1/25/35 (k)	$ 439		$ 163
Series 2005-NC2 Class B1, 1.4788% 3/25/35 (k)	560		295
Series 2006-HE6 Class A2A, 0.3488% 9/25/36 (k)	342		327
Series 2006-NC4:
Class M4, 0.6588% 6/25/36 (k)	374		2
Class M6, 0.7588% 6/25/36 (k)	134		1
Series 2007-HE2:
Class A2A, 0.3488% 1/25/37 (k)	106		83
Class M1, 0.5588% 1/25/37 (k)	3,825		68
Series 2007-HE4 Class A2A, 0.4188% 2/25/37 (k)	102		65
Series 2007-NC3 Class A2A, 0.3688% 5/25/37 (k)	58		44
Morgan Stanley Dean Witter Capital I Trust:
Series 2002-AM3 Class A3, 1.2888% 2/25/33 (k)	113		92
Series 2002-HE2 Class M1, 1.8088% 8/25/32 (k)	692		375
Series 2002-NC1 Class M1, 1.5088% 2/25/32 (f)(k)	590		339
Series 2002-NC3:
Class A3, 0.9888% 8/25/32 (k)	38		6
Class M1, 1.3888% 8/25/32 (k)	67		33
Series 2003-NC1 Class M1, 1.8838% 11/25/32 (k)	431		252
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.4088% 4/25/37 (k)	803		598
Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 0.3588% 11/25/36 (k)	264		248
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/25/14 (m)	2,948		557
Series 2006-3 Class A1, 0.3388% 9/25/19 (k)	1,048		1,005
Series 2006-4:
Class A1, 0.3388% 3/25/25 (k)	981		915
Class D, 1.4088% 5/25/32 (k)	565		14
New Century Home Equity Loan Trust:
Series 2003-6 Class M1, 1.3888% 1/25/34 (k)	1,260		712
Series 2005-4 Class M2, 0.8188% 9/25/35 (k)	1,566		439
Series 2005-D Class M2, 0.7788% 2/25/36 (k)	326		20
Nomura Home Equity Loan Trust:
Series 2006-AF1 Class A1, 6.032% 10/25/36	301		177
Series 2006-HE2 Class A2, 0.4288% 3/25/36 (k)	710		656
Ocala Funding LLC:
Series 2005-1A Class A, 1.8163% 3/20/10 (f)(k)	621		242
Series 2006-1A Class A, 1.7163% 3/20/11 (f)(k)	1,290		477
Option One Mortgage Loan Trust:
Series 2004-3 Class M3, 0.9588% 11/25/34 (k)	378		241
Series 2007-5 Class 2A1, 0.3988% 5/25/37 (k)	157		144
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Option One Mortgage Loan Trust: - continued
Series 2007-6 Class 2A1, 0.3688% 7/25/37 (k)	$ 212		$ 196
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M2, 0.9888% 9/25/34 (k)	306		181
Class M3, 1.5588% 9/25/34 (k)	585		118
Class M4, 1.7588% 9/25/34 (k)	750		74
Series 2004-WCW2 Class M3, 0.8588% 7/25/35 (k)	440		61
Series 2004-WHQ2 Class M1, 0.8988% 2/25/35 (k)	1,277		913
Series 2004-WWF1:
Class M2, 0.9888% 2/25/35 (k)	1,765		892
Class M3, 1.0488% 2/25/35 (k)	219		89
Series 2005-WCH1:
Class M2, 0.8288% 1/25/35 (k)	847		455
Class M3, 0.8688% 1/25/35 (k)	525		208
Class M4, 1.1388% 1/25/35 (k)	1,620		277
Series 2005-WHQ2:
Class M7, 1.5588% 5/25/35 (k)	1,920		55
Class M9, 2.1888% 5/25/35 (k)	3,649		58
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:
Class 1A1, 0.3788% 9/25/36 (k)	965		954
Class M4, 0.6688% 9/25/36 (k)	1,872		5
Class M5, 0.6988% 9/25/36 (k)	245		0*
Providian Master Note Trust Series 2006-C1A Class C1, 0.8944% 3/16/15 (f)(k)	2,357		2,101
Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.5388% 12/25/36 (k)	390		10
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3788% 2/25/37 (k)	311		284
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.1088% 4/25/33 (k)	6		1
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.1038% 3/25/35 (k)	2,074		997
Securitized Asset Backed Receivables LLC Trust:
Series 2006-FR4 Class A2A, 0.3888% 8/25/36 (k)	1,004		548
Series 2007-NC1 Class A2A, 0.3588% 12/25/36 (k)	680		549
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.4663% 3/20/19 (f)(k)	1,090		763
SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.27% 6/15/33 (k)	1,396		628
Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 1.9088% 8/25/34 (k)	222		148
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4588% 9/25/34 (k)	$ 96		$ 15
Structured Asset Securities Corp.:
Series 2004-GEL1 Class A, 0.6688% 2/25/34 (k)	151		67
Series 2007-BC4 Class A3, 0.6875% 11/25/37 (k)	10,823		9,381
Series 2007-GEL1 Class A2, 0.4988% 1/25/37 (f)(k)	1,436		423
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3988% 6/25/37 (k)	1,405		1,036
Superior Wholesale Inventory Financing Trust:
Series 2004-A10:
Class A, 0.4444% 9/15/11 (k)	5,772		5,650
Class B, 0.6244% 9/15/11 (k)	5,093		3,870
Series 2007-AE1:
Class A, 0.4444% 1/15/12 (k)	1,074		1,012
Class B, 0.6444% 1/15/12 (k)	934		710
Class C, 0.9444% 1/15/12 (k)	1,384		664
Swift Master Auto Receivables Trust Series 2007-1 Class A, 0.4444% 6/15/12 (k)	3,154		2,855
Terwin Mortgage Trust:
Series 2003-4HE Class A1, 0.7388% 9/25/34 (k)	32		8
Series 2003-6HE Class A1, 0.7788% 11/25/33 (k)	40		12
Trapeza CDO XII Ltd./, Inc. Series 2007-12A Class B, 1.9725% 4/6/42 (f)(k)	1,022		23
Triad Auto Receivables Owner Trust Series 2006-C Class A4, 5.31% 5/13/13	604		566
Turquoise Card Backed Securities PLC:
Series 2006-2:
Class B, 0.4944% 10/17/11 (k)	3,759		3,646
Class C, 0.6944% 10/17/11 (k)	4,152		3,944
Series 2007-1 Class C, 0.7144% 6/15/12 (k)	4,027		3,020
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (f)	974		0*
WaMu Asset-Backed Certificates Series 2006-HE3:
Class M4, 0.6888% 10/25/36 (k)	662		11
Class M7, 1.1088% 10/25/36 (k)	201		1
WaMu Master Note Trust:
Series 2006-C2A Class C2, 0.8444% 8/15/15 (f)(k)	7,684		6,508
Series 2007-A4A Class A4, 5.2% 10/15/14 (f)	8,505		8,828
Series 2007-A5A Class A5, 1.0944% 10/15/14 (f)(k)	1,190		1,177
Series 2007-C1 Class C1, 0.7444% 5/15/14 (f)(k)	4,680		4,369
Wells Fargo Home Equity Trust:
Series 2004-3 Class A, 4.5% 11/27/34 (f)	8		0*
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Wells Fargo Home Equity Trust: - continued
Series 2006-2 Class A2, 0.4088% 7/25/36 (k)	$ 755		$ 698
Series 2007-2 Class A1, 0.3988% 4/25/37 (k)	605		500
Whinstone Capital Management Ltd. Series 1A Class B3, 1.9919% 10/25/44 (f)(k)	1,964		236
TOTAL ASSET-BACKED SECURITIES (Cost $212,890)		207,392
Collateralized Mortgage Obligations - 0.7%
Private Sponsor - 0.7%
Arkle Master Issuer PLC floater:
Series 2006-1A Class 3C, 1.2444% 2/17/52 (f)(k)	735		551
Series 2006-2A:
Class 2B, 0.9744% 2/17/52 (f)(k)	2,586		2,451
Class 2M, 1.0544% 2/17/52 (f)(k)	1,758		1,613
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.5688% 4/12/56 (f)(k)	1,609		692
Banc of America Commercial Mortgage Trust Series 2007-2:
Class B, 5.8768% 4/10/49 (k)	73		11
Class C, 5.8768% 4/10/49 (k)	194		27
Class D, 5.8768% 4/10/49 (k)	97		13
Banc of America Mortgage Securities, Inc.:
Series 2003-H Class 2A3, 5.1855% 9/25/33 (k)	552		475
Series 2003-J Class 2A2, 5.2883% 11/25/33 (k)	451		387
Series 2003-K Class 1A1, 5.2036% 12/25/33 (k)	74		64
Series 2003-L Class 2A1, 5.2897% 1/25/34 (k)	894		781
Series 2004-1 Class 2A2, 4.6694% 10/25/34 (k)	1,438		1,211
Series 2004-A:
Class 2A1, 5.4582% 2/25/34 (k)	302		262
Class 2A2, 5.4582% 2/25/34 (k)	1,086		940
Series 2004-B:
Class 1A1, 4.6868% 3/25/34 (k)	82		69
Class 2A2, 4.6035% 3/25/34 (k)	501		426
Series 2004-C Class 1A1, 4.131% 4/25/34 (k)	133		112
Series 2004-D Class 2A1, 3.9318% 5/25/34 (k)	176		149
Series 2004-L Class 2A1, 4.3717% 1/25/35 (k)	750		625
Series 2005-H Class 1A1, 5.3265% 9/25/35 (k)	174		136
Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (f)(k)(m)	44,420		3,203
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-6 Class 1A2, 4.9845% 8/25/33 (k)	$ 1,472		$ 1,152
Bear Stearns ALT-A Trust floater:
Series 2005-1 Class A1, 0.5888% 1/25/35 (k)	3,183		1,618
Series 2005-2 Class 1A1, 0.5588% 3/25/35 (k)	593		301
Series 2005-5 Class 1A1, 0.5288% 7/25/35 (k)	749		365
Chase Mortgage Finance Trust:
Series 2007-A1 Class 1A5, 4.8273% 2/25/37 (k)	709		611
Series 2007-A2 Class 2A1, 5.1817% 7/25/37 (k)	5,350		4,784
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0955% 12/10/49 (k)	1,314		1,154
Citigroup Mortgage Loan Trust Series 2004-UST1:
Class A3, 4.5098% 8/25/34 (k)	1,722		1,529
Class A4, 3.8446% 8/25/34 (k)	1,500		1,316
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (k)	1,468		198
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.835% 7/16/34 (f)(k)	1,314		1,082
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.7088% 5/25/33 (k)	71		70
Countrywide Home Loans, Inc. Series 2005-HYB3 Class 2A6B, 4.385% 6/20/35 (k)	251		95
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:
Series 2004-1 Class 9A2, 0.7088% 1/25/35 (k)	58		29
Series 2004-2 Class 7A3, 0.7088% 2/25/35 (k)	132		76
Series 2004-4 Class 5A2, 0.7088% 3/25/35 (k)	28		14
Series 2005-1 Class 5A2, 0.6388% 5/25/35 (k)	469		252
Series 2005-10:
Class 5A1, 0.5688% 1/25/36 (k)	754		357
Class 5A2, 0.6288% 1/25/36 (k)	339		157
Series 2005-2:
Class 6A2, 0.5888% 6/25/35 (k)	102		53
Class 6M2, 0.7888% 6/25/35 (k)	1,619		314
Series 2005-4 Class 7A2, 0.5388% 8/25/35 (k)	178		79
Series 2005-8 Class 7A2, 0.5888% 11/25/35 (k)	454		247
Credit Suisse First Boston Mortgage Securities Corp. floater:
Series 2004-AR4 Class 5A2, 1.0488% 5/25/34 (k)	16		8
Series 2004-AR5 Class 11A2, 1.0488% 6/25/34 (k)	35		19
Series 2004-AR6 Class 9A2, 1.0488% 10/25/34 (k)	161		93
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Credit Suisse First Boston Mortgage Securities Corp. floater: - continued
Series 2004-AR7 Class 6A2, 1.0688% 8/25/34 (k)	$ 45		$ 25
Series 2004-AR8 Class 8A2, 1.0688% 9/25/34 (k)	27		20
Series 2007-AR7 Class 2A1, 4.6058% 11/25/34 (k)	180		141
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.4688% 3/25/37 (k)	3,770		1,188
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.4181% 9/19/36 (k)	607		534
First Horizon Mortgage pass-thru Trust:
floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (k)	59		29
Series 2004-AR5 Class 2A1, 5.1134% 10/25/34 (k)	2,333		1,766
Fosse Master Issuer PLC floater Series 2006-1A:
Class B2, 1.2669% 10/18/54 (f)(k)	3,137		2,476
Class C2, 1.5769% 10/18/54 (f)(k)	1,051		492
Class M2, 1.3569% 10/18/54 (f)(k)	1,803		1,182
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.255% 11/20/56 (f)(k)	2,691		1,337
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.6088% 10/11/41 (f)(k)	3,418		1,546
Granite Master Issuer PLC floater:
Series 2006-1A Class C2, 0.9163% 12/20/54 (f)(k)	6,597		396
Series 2006-2 Class C1, 0.7863% 12/20/54 (k)	5,875		411
Series 2006-3 Class C2, 0.8163% 12/20/54 (k)	1,233		63
Series 2006-4:
Class B1, 0.4063% 12/20/54 (k)	3,880		660
Class C1, 0.6963% 12/20/54 (k)	2,373		142
Class M1, 0.4863% 12/20/54 (k)	1,021		112
Series 2007-1:
Class 1C1, 0.6163% 12/20/54 (k)	2,038		143
Class 1M1, 0.4663% 12/20/54 (k)	1,326		133
Class 2C1, 0.7463% 12/20/54 (k)	930		65
Class 2M1, 0.5663% 12/20/54 (k)	1,702		170
Series 2007-2 Class 2C1, 0.765% 12/17/54 (k)	2,359		142
Granite Mortgages PLC floater Series 2003-3 Class 1C, 3.5569% 1/20/44 (k)	472		53
GSR Mortgage Loan Trust:
Series 2004-11 Class 1A1, 4.8984% 9/25/34 (k)	345		233
Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (k)	670		454
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.5481% 5/19/35 (k)	462		209
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.5213% 7/15/40 (f)(k)	$ 786		$ 664
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.7588% 10/25/34 (k)	166		97
Impac CMB Trust floater:
Series 2004-11 Class 2A2, 1.0488% 3/25/35 (k)	273		73
Series 2005-1:
Class M4, 1.0588% 4/25/35 (k)	33		2
Class M5, 1.0788% 4/25/35 (k)	33		4
Class M6, 1.1288% 4/25/35 (k)	13		1
Series 2005-3 Class A1, 0.5488% 8/25/35 (k)	665		325
Series 2005-6 Class 1M3, 0.9188% 10/25/35 (k)	30		1
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:
Class A1, 5.32% 6/12/47 (k)	179		176
Class A3, 5.447% 6/12/47 (k)	2,492		1,999
JPMorgan Mortgage Trust:
sequential payer Series 2006-A5 Class 3A5, 5.9517% 8/25/36 (k)	2,355		1,696
Series 2004-A1 Class 2A1, 4.5098% 2/25/34 (k)	1,177		1,039
Series 2004-A3 Class 4A1, 4.2869% 7/25/34 (k)	3,170		2,835
Series 2004-A5 Class 2A1, 4.5678% 12/25/34 (k)	2,106		1,848
Series 2006-A2 Class 5A1, 5.1365% 11/25/33 (k)	4,078		3,622
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 12/31/49	591		481
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.6988% 9/26/45 (f)(k)	504		228
MASTR Adjustable Rate Mortgages Trust:
floater Series 2005-1 Class 1A1, 0.5788% 3/25/35 (k)	60		36
Series 2007-3 Class 22A2, 0.5188% 5/25/47 (k)	1,566		623
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34	465		354
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4788% 2/25/37 (k)	1,937		854
Merrill Lynch Floating Trust floater Series 2006-1:
Class B, 0.5144% 6/15/22 (f)(k)	228		114
Class C, 0.5344% 6/15/22 (f)(k)	1,398		629
Class D, 0.5444% 6/15/22 (f)(k)	538		161
Class E, 0.5544% 6/15/22 (f)(k)	860		215
Class F, 0.5844% 6/15/22 (f)(k)	1,551		341
Class G, 0.6544% 6/15/22 (f)(k)	322		64
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Merrill Lynch Floating Trust floater Series 2006-1: - continued
Class H, 0.6744% 6/15/22 (f)(k)	$ 646		$ 97
Class J, 0.7144% 6/15/22 (f)(k)	753		75
Merrill Lynch Mortgage Investors Trust:
floater:
Series 2003-A Class 2A1, 0.6988% 3/25/28 (k)	231		150
Series 2003-B Class A1, 0.6488% 4/25/28 (k)	255		165
Series 2003-D Class A, 0.6188% 8/25/28 (k)	216		136
Series 2003-E Class A2, 2.0813% 10/25/28 (k)	359		235
Series 2004-E:
Class A2B, 2.1163% 11/25/29 (k)	593		356
Class A2D, 2.3063% 11/25/29 (k)	86		58
Series 2004-G Class A2, 2.15% 1/25/30 (k)	288		192
Series 2005-A Class A2, 2.0013% 2/25/30 (k)	275		173
Series 2005-B Class A2, 1.4% 7/25/30 (k)	827		560
Series 2006-MLN1 Class M4, 0.6688% 7/25/37 (k)	1,789		8
Series 2004-A4 Class A1, 3.9375% 8/25/34 (k)	2,336		1,960
Series 2005-A2:
Class A2, 4.4844% 2/25/35 (k)	1,446		1,172
Class A7, 4.4844% 2/25/35 (k)	2,653		1,980
Series 2006-A6 Class A4, 5.3866% 10/25/33 (k)	2,131		1,800
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (k)	5,626		5,116
MortgageIT Trust floater:
Series 2004-2:
Class A1, 0.6788% 12/25/34 (k)	293		190
Class A2, 0.7588% 12/25/34 (k)	397		263
Series 2005-2 Class 1A1, 0.5688% 5/25/35 (k)	332		173
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5988% 7/25/35 (k)	3,387		1,554
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.6088% 3/25/37 (k)	2,682		113
Permanent Financing No. 8 PLC floater Class 3C, 1.8125% 6/10/42 (k)	2,252		1,706
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.5313% 7/17/42 (k)	573		424
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5716% 10/25/35 (k)	1,056		807
RESI Finance LP/RESI Finance DE Corp. floater:
Series 2003-B Class B5, 2.7319% 7/10/35 (f)(k)	1,457		689
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
RESI Finance LP/RESI Finance DE Corp. floater: - continued
Series 2003-CB1 Class B3, 1.8319% 6/10/35 (f)(k)	$ 1,135		$ 584
Series 2004-A:
Class B4, 1.5819% 2/10/36 (f)(k)	865		289
Class B5, 2.0819% 2/10/36 (f)(k)	577		184
Series 2004-B:
Class B4, 1.4819% 2/10/36 (f)(k)	380		115
Class B5, 1.9319% 2/10/36 (f)(k)	294		78
Class B6, 2.3819% 2/10/36 (f)(k)	103		24
Series 2004-C:
Class B4, 1.3319% 9/10/36 (f)(k)	488		137
Class B5, 1.7319% 9/10/36 (f)(k)	547		136
Class B6, 2.1319% 9/10/36 (f)(k)	121		27
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.4088% 9/25/46 (k)	1,701		1,313
Residential Asset Mortgage Products, Inc.:
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31	251		229
Series 2005-AR5 Class 1A1, 5.3716% 9/19/35 (k)	273		185
Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.2753% 7/25/34 (k)	1,190		933
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7588% 6/25/33 (f)(k)	301		198
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.4088% 2/25/36 (f)(k)	29		29
Salomon Brothers Mortgage Securities VII, Inc.:
Series 2003-UP1 Class A, 3.45% 4/25/32 (f)	187		145
Series 2006-C2 Class H, 6.308% 7/18/33 (f)	185		141
Sequoia Mortgage Trust floater:
Series 2004-1 Class A, 1.8888% 2/20/34 (k)	171		115
Series 2004-10 Class A4, 4.5188% 11/20/34 (k)	244		150
Series 2004-12 Class 1A2, 2.1538% 1/20/35 (k)	732		435
Series 2004-4 Class A, 4.4388% 5/20/34 (k)	891		610
Series 2004-5 Class A3, 1.5925% 6/20/34 (k)	349		226
Series 2004-6:
Class A3A, 2.1613% 7/20/34 (k)	269		172
Class A3B, 2.3038% 7/20/34 (k)	51		32
Series 2004-7:
Class A3A, 1.9138% 8/20/34 (k)	276		164
Class A3B, 2.1388% 7/20/34 (k)	34		20
Series 2005-1 Class A2, 1.7513% 2/20/35 (k)	428		273
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Sequoia Mortgage Trust floater: - continued
Series 2005-2 Class A2, 2.03% 3/20/35 (k)	$ 562		$ 331
Series 2005-3 Class A1, 0.5163% 5/20/35 (k)	275		146
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.1088% 9/25/36 (k)	577		10
Structured Asset Securities Corp.:
floater Series 2004-NP1 Class A, 0.7088% 9/25/33 (f)(k)	99		42
Series 2003-15A Class 4A, 5.4553% 4/25/33 (k)	1,131		935
Series 2003-20 Class 1A1, 5.5% 7/25/33	714		616
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.6375% 9/25/36 (k)	3,593		1,494
WaMu Mortgage pass-thru certificates:
floater:
Series 2006-AR11 Class C1B1, 0.3888% 9/25/46 (k)	104		99
Series 2006-AR7 Class C1B1, 0.3688% 7/25/46 (k)	30		30
Series 2003-AR8 Class A, 4.2538% 8/25/33 (k)	1,168		962
Series 2005-AR3 Class A2, 4.6397% 3/25/35 (k)	3,326		2,646
Wells Fargo Mortgage Backed Securities Trust:
Series 2004-EE Class 2A2, 4.1079% 12/25/34 (k)	1,160		992
Series 2004-H Class A1, 4.5272% 6/25/34 (k)	2,736		2,425
Series 2004-W:
Class A1, 4.5433% 11/25/34 (k)	1,082		923
Class A9, 4.5433% 11/25/34 (k)	4,976		3,473
Series 2005-AR10 Class 2A2, 4.0939% 6/25/35 (k)	904		809
Series 2005-AR12:
Class 2A5, 4.2078% 7/25/35 (k)	12,260		8,493
Class 2A6, 4.1484% 7/25/35 (k)	759		649
Series 2005-AR3 Class 2A1, 4.3579% 3/25/35 (k)	1,408		1,129
TOTAL PRIVATE SPONSOR			116,075
U.S. Government Agency - 0.0%
Fannie Mae subordinate REMIC pass-thru certificates sequential payer Series 2002-57 Class BT, 6% 11/25/31	7,358		7,439
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $124,119)		123,514
Commercial Mortgage Securities - 2.1%
	Principal Amount (000s)		Value (000s)
Asset Securitization Corp. Series 1997-D5:
Class A-6, 7.2691% 2/14/43 (k)	$ 1,537		$ 1,086
Class A2, 6.8991% 2/14/43 (k)	966		981
Class A3, 6.9491% 2/14/43 (k)	1,043		995
Class PS1, 1.4493% 2/14/43 (k)(m)	5,471		185
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.7211% 5/10/45 (k)	1,534		1,445
Series 2006-4 Class A1, 5.363% 7/10/46 (k)	471		470
Series 2006-5:
Class A1, 5.185% 7/10/11	1,019		1,014
Class A2, 5.317% 9/10/47	5,071		4,711
Class A3, 5.39% 9/10/47	1,832		1,529
Series 2006-6 Class A3, 5.369% 12/10/16	2,628		2,222
Series 2007-2 Class A1, 5.421% 4/10/49	271		273
Series 2007-4 Class A3, 6.0024% 2/10/51 (k)	1,310		1,088
Series 2006-5 Class XP, 0.832% 9/10/47 (m)	20,839		392
Series 2006-6:
Class E, 5.619% 10/10/45 (f)	759		91
Class XP, 0.4315% 10/10/45 (k)(m)	7,645		107
Series 2007-3:
Class A3, 5.6582% 6/10/49 (k)	2,194		1,715
Class A4, 5.8374% 6/10/49 (k)	2,739		2,000
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2000-2 Class A2, 7.197% 9/15/32	408		414
Series 2001-1 Class A4, 5.451% 1/15/49	2,878		2,216
Series 2004-2:
Class A3, 4.05% 11/10/38	1,777		1,704
Class A4, 4.153% 11/10/38	1,666		1,513
Series 2004-4 Class A3, 4.128% 7/10/42	927		919
Series 2005-1 Class A3, 4.877% 11/10/42	4,528		4,401
Series 2006-1 Class A1, 5.219% 9/10/45 (k)	1,176		1,175
Series 2007-1 Class A2, 5.381% 1/15/49	3,695		3,399
Series 2001-3 Class H, 6.562% 4/11/37 (f)	735		664
Series 2001-PB1:
Class J, 7.166% 5/11/35 (f)	329		214
Class K, 6.15% 5/11/35 (f)	611		422
Series 2005-3 Series A3B, 5.09% 7/10/43 (k)	4,082		3,743
Series 2005-6 Class A3, 5.3515% 9/10/47 (k)	2,365		2,276
Series 2007-1 Class B, 5.543% 1/15/49	791		188
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class C, 0.6544% 3/15/22 (f)(k)	$ 564		$ 282
Class D, 0.7044% 3/15/22 (f)(k)	572		257
Class E, 0.7444% 3/15/22 (f)(k)	472		212
Class F, 0.8144% 3/15/22 (f)(k)	676		304
Class G, 0.8744% 3/15/22 (f)(k)	438		166
Series 2006-BIX1:
Class C, 0.5244% 10/15/19 (f)(k)	844		490
Class D, 0.5544% 10/15/19 (f)(k)	1,031		454
Class E, 0.5844% 10/15/19 (f)(k)	956		363
Class F, 0.6544% 10/15/19 (f)(k)	2,712		1,085
Class G, 0.6744% 10/15/19 (f)(k)	1,185		415
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.1588% 12/25/33 (f)(k)	112		55
Series 2004-1:
Class A, 0.6688% 4/25/34 (f)(k)	1,447		941
Class B, 2.2088% 4/25/34 (f)(k)	161		47
Class M1, 0.8688% 4/25/34 (f)(k)	130		70
Class M2, 1.5088% 4/25/34 (f)(k)	117		52
Series 2004-2:
Class A, 0.7388% 8/25/34 (f)(k)	1,101		826
Class M1, 0.8888% 8/25/34 (f)(k)	250		134
Series 2004-3:
Class A1, 0.6788% 1/25/35 (f)(k)	2,263		1,471
Class A2, 0.7288% 1/25/35 (f)(k)	326		196
Class M1, 0.8088% 1/25/35 (f)(k)	392		219
Class M2, 1.3088% 1/25/35 (f)(k)	253		118
Series 2005-2A:
Class A1, 0.6188% 8/25/35 (f)(k)	1,938		1,070
Class M1, 0.7388% 8/25/35 (f)(k)	122		45
Class M2, 0.7888% 8/25/35 (f)(k)	201		69
Class M3, 0.8088% 8/25/35 (f)(k)	111		36
Class M4, 0.9188% 8/25/35 (f)(k)	102		31
Series 2005-3A:
Class A1, 0.6288% 11/25/35 (f)(k)	903		513
Class A2, 0.7088% 11/25/35 (f)(k)	704		370
Class M1, 0.7488% 11/25/35 (f)(k)	107		41
Class M2, 0.7988% 11/25/35 (f)(k)	136		49
Class M3, 0.8188% 11/25/35 (f)(k)	121		41
Class M4, 0.9088% 11/25/35 (f)(k)	151		49
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
Series 2005-4A:
Class A2, 0.6988% 1/25/36 (f)(k)	$ 2,103		$ 1,052
Class B1, 1.7088% 1/25/36 (f)(k)	182		48
Class M1, 0.7588% 1/25/36 (f)(k)	678		315
Class M2, 0.7788% 1/25/36 (f)(k)	204		90
Class M3, 0.8088% 1/25/36 (f)(k)	297		123
Class M4, 0.9188% 1/25/36 (f)(k)	164		64
Class M5, 0.9588% 1/25/36 (f)(k)	164		60
Class M6, 1.0088% 1/25/36 (f)(k)	175		59
Series 2006-1:
Class A2, 0.6688% 4/25/36 (f)(k)	320		159
Class M1, 0.6888% 4/25/36 (f)(k)	114		42
Class M2, 0.7088% 4/25/36 (f)(k)	121		42
Class M3, 0.7288% 4/25/36 (f)(k)	104		35
Class M4, 0.8288% 4/25/36 (f)(k)	59		19
Class M5, 0.8688% 4/25/36 (f)(k)	57		18
Class M6, 0.9488% 4/25/36 (f)(k)	114		33
Series 2006-2A:
Class A1, 0.5388% 7/25/36 (f)(k)	4,877		2,757
Class A2, 0.5888% 7/25/36 (f)(k)	290		152
Class B1, 1.1788% 7/25/36 (f)(k)	109		30
Class B3, 3.0088% 7/25/36 (f)(k)	164		40
Class M1, 0.6188% 7/25/36 (f)(k)	304		114
Class M2, 0.6388% 7/25/36 (f)(k)	215		76
Class M3, 0.6588% 7/25/36 (f)(k)	178		61
Class M4, 0.7288% 7/25/36 (f)(k)	120		39
Class M5, 0.7788% 7/25/36 (f)(k)	148		46
Class M6, 0.8488% 7/25/36 (f)(k)	220		65
Series 2006-3A:
Class B1, 1.1088% 10/25/36 (f)(k)	191		51
Class B2, 1.6588% 10/25/36 (f)(k)	138		30
Class B3, 2.9088% 10/25/36 (f)(k)	224		37
Class M4, 0.7388% 10/25/36 (f)(k)	211		79
Class M5, 0.7888% 10/25/36 (f)(k)	253		86
Class M6, 0.8688% 10/25/36 (f)(k)	495		156
Series 2006-4A:
Class A1, 0.5388% 12/25/36 (f)(k)	906		508
Class A2, 0.5788% 12/25/36 (f)(k)	4,457		1,862
Class B1, 1.0088% 12/25/36 (f)(k)	143		31
Class B2, 1.5588% 12/25/36 (f)(k)	147		29
Class B3, 2.7588% 12/25/36 (f)(k)	247		43
Class M1, 0.5988% 12/25/36 (f)(k)	295		94
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
Series 2006-4A:
Class M2, 0.6188% 12/25/36 (f)(k)	$ 198		$ 59
Class M3, 0.6488% 12/25/36 (f)(k)	200		57
Class M4, 0.7088% 12/25/36 (f)(k)	241		65
Class M5, 0.7488% 12/25/36 (f)(k)	220		56
Class M6, 0.8288% 12/25/36 (f)(k)	198		47
Series 2007-1:
Class A2, 0.5788% 3/25/37 (f)(k)	934		444
Class B1, 0.9788% 3/25/37 (f)(k)	299		79
Class B2, 1.4588% 3/25/37 (f)(k)	216		52
Class B3, 3.6588% 3/25/37 (f)(k)	589		97
Class M1, 0.5788% 3/25/37 (f)(k)	264		123
Class M2, 0.5988% 3/25/37 (f)(k)	197		86
Class M3, 0.6288% 3/25/37 (f)(k)	176		73
Class M4, 0.6788% 3/25/37 (f)(k)	144		56
Class M5, 0.7288% 3/25/37 (f)(k)	220		80
Class M6, 0.8088% 3/25/37 (f)(k)	307		97
Series 2007-2A:
Class A1, 0.5788% 7/25/37 (f)(k)	812		451
Class A2, 0.6288% 7/25/37 (f)(k)	761		399
Class B1, 1.9088% 7/25/37 (f)(k)	236		57
Class B2, 2.5588% 7/25/37 (f)(k)	205		44
Class B3, 3.6588% 7/25/37 (f)(k)	231		47
Class M1, 0.6788% 7/25/37 (f)(k)	268		125
Class M2, 0.7188% 7/25/37 (f)(k)	149		65
Class M3, 0.7988% 7/25/37 (f)(k)	150		62
Class M4, 0.9588% 7/25/37 (f)(k)	294		100
Class M5, 1.0588% 7/25/37 (f)(k)	260		82
Class M6, 1.3088% 7/25/37 (f)(k)	330		96
Series 2007-3:
Class A2, 0.5988% 7/25/37 (f)(k)	1,125		453
Class B1, 1.2588% 7/25/37 (f)(k)	214		49
Class B2, 1.9088% 7/25/37 (f)(k)	531		106
Class B3, 4.3088% 7/25/37 (f)(k)	285		48
Class M1, 0.6188% 7/25/37 (f)(k)	192		61
Class M2, 0.6488% 7/25/37 (f)(k)	206		59
Class M3, 0.6788% 7/25/37 (f)(k)	320		87
Class M4, 0.8088% 7/25/37 (f)(k)	504		135
Class M5, 0.9088% 7/25/37 (f)(k)	265		64
Class M6, 1.1088% 7/25/37 (f)(k)	201		50
Series 2007-4A:
Class B1, 2.8588% 9/25/37 (f)(k)	297		72
Class B2, 3.7588% 9/25/37 (f)(k)	1,066		236
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
Series 2007-4A:
Class M1, 1.2588% 9/25/37 (f)(k)	$ 287		$ 134
Class M2, 1.3588% 9/25/37 (f)(k)	287		119
Class M4, 1.9088% 9/25/37 (f)(k)	724		246
Class M5, 2.0588% 9/25/37 (f)(k)	724		228
Class M6, 2.2588% 9/25/37 (f)(k)	725		210
Series 2004-1 Class IO, 1.25% 4/25/34 (f)(m)	3,868		43
Series 2007-5A Class IO, 1.5496% 10/25/37 (f)(m)	8,163		592
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class G, 0.7844% 3/15/19 (f)(k)	884		578
Class H, 0.9944% 3/15/19 (f)(k)	595		167
Class J, 1.1944% 3/15/19 (f)(k)	447		67
Series 2007-BBA8:
Class D, 0.5944% 3/15/22 (f)(k)	559		280
Class E, 0.6444% 3/15/22 (f)(k)	2,904		1,336
Class F, 0.6944% 3/15/22 (f)(k)	1,782		766
Class G, 0.7444% 3/15/22 (f)(k)	458		179
Class H, 0.8944% 3/15/22 (f)(k)	559		201
Class J, 1.0444% 3/15/22 (f)(k)	559		157
sequential payer:
Series 2003-PWR2 Class A3, 4.834% 5/11/39	796		792
Series 2004-PWR3 Class A3, 4.487% 2/11/41	1,644		1,500
Series 2006-PW14 Class A4, 5.201% 12/11/38	1,698		1,394
Series 2006-T24 Class A1, 4.905% 10/12/41 (k)	1,247		1,233
Series 2007-PW15 Class AAB, 5.315% 2/11/44	3,555		3,221
Series 2007-PW16:
Class A4, 5.9089% 6/11/40 (k)	769		649
Class AAB, 5.9089% 6/11/40 (k)	6,290		5,787
Series 2007-PW17 Class A1, 5.282% 6/11/50	539		526
Series 2007-PW18:
Class A2, 5.613% 6/11/50	430		393
Class A4, 5.7% 6/11/50	5,820		4,772
Series 2007-T26 Class A1, 5.145% 1/12/45 (k)	472		463
Series 2003-PWR2 Class X2, 0.6031% 5/11/39 (f)(k)(m)	12,312		114
Series 2006-PW13 Class A3, 5.518% 9/11/41	4,638		4,163
Series 2006-PW14 Class X2, 0.8435% 12/11/38 (f)(k)(m)	19,121		413
Series 2006-T22:
Class A1, 5.415% 4/12/38 (k)	245		245
Class A4, 5.4635% 4/12/38 (k)	164		147
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bear Stearns Commercial Mortgage Securities Trust: - - continued
Series 2007-PW15:
Class A1, 5.016% 2/11/44	$ 242		$ 240
Class X2, 0.3635% 2/11/44 (f)(k)(m)	19,403		263
Series 2007-PW16:
Class B, 5.713% 6/11/40 (f)	210		48
Class C, 5.713% 6/11/40 (f)	175		37
Class D, 5.713% 6/11/40 (f)	175		35
Series 2007-PW18 Class X2, 0.3443% 6/11/50 (f)(k)(m)	130,963		1,853
Series 2007-T26 Class X2, 0.1255% 1/12/45 (f)(k)(m)	17,609		105
Series 2007-T28:
Class A1, 5.422% 9/11/42	237		233
Class X2, 0.1822% 9/11/42 (f)(k)(m)	65,803		463
C-BASS Trust floater Series 2006-SC1 Class A, 0.5788% 5/25/36 (f)(k)	1,163		504
CDC Commercial Mortgage Trust Series 2002-FX1:
Class G, 6.625% 5/15/35 (f)	1,544		1,292
Class XCL, 0.8163% 5/15/35 (f)(k)(m)	21,325		846
Chase Commercial Mortgage Securities Corp.:
Series 1999-2:
Class E, 7.734% 1/15/32	527		519
Class F, 7.734% 1/15/32	285		279
Series 2001-245 Class A2, 6.275% 2/12/16 (f)(k)	1,336		1,349
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-1 Class A2, 7.439% 8/15/31	181		180
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class A1, 0.4144% 11/15/36 (f)(k)	7		5
Class F, 0.6544% 8/16/21 (f)(k)	469		127
Class G, 0.6744% 11/15/36 (f)(k)	488		122
Class H, 0.7144% 11/15/36 (f)(k)	390		90
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	9,115		7,319
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (f)	2,234		626
Series 2007-C6:
Class A1, 5.622% 12/10/49 (k)	1,464		1,481
Class A2, 5.8884% 12/10/49 (k)	1,600		1,509
Class A4, 5.8884% 12/10/49 (k)	2,972		2,325
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer:
Series 2006-CD2 Class A4, 5.3624% 1/15/46 (k)	$ 548		$ 463
Series 2007-CD4:
Class A1, 4.977% 12/11/49	385		379
Class A2A, 5.237% 12/11/49	1,169		1,074
Series 2007-CD4:
Class A3, 5.293% 12/11/49	1,279		1,059
Class C, 5.476% 12/11/49	2,474		186
Cobalt CMBS Commercial Mortgage Trust:
sequential payer:
Series 2007-C2 Class A1, 5.064% 4/15/47 (k)	203		200
Series 2007-C3 Class A3, 5.8202% 5/15/46 (k)	1,314		1,093
Series 2006-C1 Class B, 5.359% 8/15/48	3,942		552
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class B, 0.5744% 4/15/17 (f)(k)	2,943		1,707
Class C, 0.6144% 4/15/17 (f)(k)	1,057		603
Class D, 0.6544% 4/15/17 (f)(k)	1,043		540
Class E, 0.7144% 4/15/17 (f)(k)	332		158
Class F, 0.7544% 4/15/17 (f)(k)	188		84
Class G, 0.8944% 4/15/17 (f)(k)	188		78
Class H, 0.9644% 4/15/17 (f)(k)	188		75
Class J, 1.1944% 4/15/17 (f)(k)	144		56
Series 2005-FL11:
Class C, 0.6444% 11/15/17 (f)(k)	2,073		968
Class D, 0.6844% 11/15/17 (f)(k)	108		49
Class E, 0.7344% 11/15/17 (f)(k)	382		163
Class F, 0.7944% 11/15/17 (f)(k)	422		170
Class G, 0.8444% 11/15/17 (f)(k)	292		111
Series 2006-FL12 Class AJ, 0.4744% 12/15/20 (f)(k)	1,872		946
sequential payer:
Series 2005-C6 Class A2, 4.999% 6/10/44 (k)	124		122
Series 2006-C8 Class A3, 5.31% 12/10/46	3,744		3,128
Series 2006-CN2A Class A2FX, 5.449% 2/5/19	2,221		1,994
Series 2007-C9 Class A4, 5.8162% 12/10/49 (k)	2,907		2,340
Series 2006-C8 Class B, 5.44% 12/10/46	2,276		637
Commercial Mortgage Asset Trust sequential payer Series 1999-C2 Class A2, 7.546% 11/17/32 (k)	598		606
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C5 Class AJ, 5.373% 12/15/39	$ 2,661		$ 955
Series 2007-C2:
Class A1, 5.269% 1/15/49	128		127
Class A2, 5.448% 1/15/49 (k)	9,295		8,706
Class A3, 5.542% 1/15/49 (k)	2,628		1,894
Series 2007-C3:
Class A1, 5.664% 6/15/39 (k)	156		155
Class A4, 5.9124% 6/15/39 (k)	790		577
Series 2006-C4 Class AAB, 5.439% 9/15/39	7,479		6,297
Series 2007-C5 Class A4, 5.695% 9/15/40 (k)	1,189		865
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6944% 4/15/22 (f)(k)	4,688		1,172
Credit Suisse First Boston Mortgage Securities Corp.:
floater:
Series 2006-TF2A:
Class A2, 1.8444% 7/15/19 (f)(k)	38		8
Class SHDC, 1.3444% 7/15/19 (f)(k)	18		5
Series 2006-TFL2 Class SHDD, 1.6944% 7/15/19 (f)(k)	10		2
sequential payer:
Series 1999-C1 Class A2, 7.29% 9/15/41	1,149		1,154
Series 2000-C1 Class A2, 7.545% 4/15/62	1,700		1,723
Series 2001-CK6 Class B, 6.582% 8/15/36	1,314		1,257
Series 2004-C1:
Class A3, 4.321% 1/15/37	467		457
Class A4, 4.75% 1/15/37	612		556
Series 1998-C1 Class D, 7.17% 5/17/40	1,421		1,409
Series 1999-C1 Class E, 8.0655% 9/15/41 (k)	1,358		1,318
Series 2001-CK6 Class AX, 0.645% 9/15/18 (m)	3,842		68
Series 2001-CKN5 Class AX, 2.0787% 9/15/34 (f)(k)(m)	12,308		415
Series 2006-C1 Class A3, 5.711% 2/15/39 (k)	6,938		6,071
Credit Suisse Mortgage Capital Certificates:
floater:
Series 200-TFL1 Class B, 0.4944% 2/15/22 (f)(k)	497		199
Series 2007-TFL1:
Class C:
0.5144% 2/15/22 (f)(k)	2,047		675
0.6144% 2/15/22 (f)(k)	731		197
Class F, 0.6644% 2/15/22 (f)(k)	1,462		365
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse Mortgage Capital Certificates: - continued
sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40	$ 150		$ 149
Series 2007-C1:
Class ASP, 0.4177% 2/15/40 (k)(m)	25,747		376
Class B, 5.487% 2/15/40 (f)(k)	2,009		382
DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33	5,088		5,194
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1:
Class D, 6.484% 3/15/33	468		390
Class G, 6.936% 3/15/33 (f)	865		716
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	6,533		4,537
Series 2001-1 Class X1, 1.0497% 5/15/33 (f)(k)(m)	13,647		222
Series 2005-C1 Class B, 4.846% 6/10/48 (k)	375		115
Series 2007-C1 Class XP, 0.1974% 12/10/49 (k)(m)	16,469		126
GMAC Commercial Mortgage Securities, Inc.:
Series 2004-C3 Class X2, 0.8287% 12/10/41 (k)(m)	2,524		26
Series 2005-C1 Class X2, 0.7105% 5/10/43 (k)(m)	9,655		101
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.6013% 11/5/21 (f)(k)	494		210
sequential payer:
Series 2004-GG1 Class A4, 4.755% 6/10/36	839		842
Series 2007-GG11:
Class A1, 5.358% 12/10/49	869		842
Class A2, 5.597% 12/10/49	2,628		2,285
Series 2007-GG9:
Class A1, 5.233% 3/10/39	215		213
Class A4, 5.444% 3/10/39	3,820		3,005
Series 2005-GG3 Class XP, 0.7066% 8/10/42 (f)(k)(m)	33,443		516
Series 2006-GG7 Class A3, 6.1142% 7/10/38 (k)	3,464		3,079
Series 2007-GG11 Class A1, 0.4798% 12/10/49 (f)(m)	33,114		325
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class C, 0.6544% 6/6/20 (f)(k)	66		48
Class D, 0.6944% 6/6/20 (f)(k)	313		178
Class E, 0.7844% 6/6/20 (f)(k)	363		200
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
GS Mortgage Securities Corp. II: - continued
Series 2006-FL8A:
Class F, 0.8544% 6/6/20 (f)(k)	$ 916		$ 458
Series 2007-EOP:
Class C, 0.7344% 3/6/20 (f)(k)	768		530
Class D, 0.7844% 3/6/20 (f)(k)	2,047		1,412
Class F, 0.8944% 3/6/20 (f)(k)	63		43
Class G, 0.9344% 3/6/20 (f)(k)	32		22
sequential payer:
Series 2001-LIBA Class A2, 6.615% 2/14/16 (f)	2,064		2,214
Series 2004-GG2 Class A4, 4.964% 8/10/38	407		378
Series 2001-LIBA Class C, 6.733% 2/14/16 (f)	650		698
Series 2005-GG4 Class XP, 0.6995% 7/10/39 (f)(k)(m)	32,197		508
Series 2006-GG6 Class A2, 5.506% 4/10/38 (k)	7,705		7,511
GS Mortgage Securities Trust:
sequential payer:
Series 2006-GG8 Class A2, 5.479% 11/10/39	1,971		1,860
Series 2007-GG10:
Class A1, 5.69% 8/10/45	282		276
Class A2, 5.778% 8/10/45	626		570
Class A4, 5.7992% 8/10/45 (k)	802		613
Series 2007-GG10 Class B, 5.9932% 8/10/45 (k)	1,643		229
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class B, 0.5144% 11/15/18 (f)(k)	1,099		583
Class C, 0.5544% 11/15/18 (f)(k)	781		398
Class D, 0.5744% 11/15/18 (f)(k)	299		135
Class E, 0.6244% 11/15/18 (f)(k)	427		184
Class F, 0.6744% 11/15/18 (f)(k)	640		269
Class G, 0.7044% 11/15/18 (f)(k)	556		223
Class H, 0.8444% 11/15/18 (f)(k)	427		149
sequential payer:
Series 2006-CB14 Class A3B, 5.6699% 12/12/44 (k)	3,908		3,283
Series 2006-CB15 Class A3, 5.819% 6/12/43 (k)	1,978		1,704
Series 2006-CB17 Class A4, 5.429% 12/12/43	683		545
Series 2006-LDP8 Class A4, 5.399% 5/15/45	837		658
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (k)	624		530
Series 2007-CB19 Class A4, 5.7463% 2/12/49 (k)	4,608		3,516
Series 2007-LD11:
Class A2, 5.8036% 6/15/49 (k)	3,689		3,391
Class A4, 6.0069% 6/15/49 (k)	1,950		1,525
Series 2007-LDP10 Class A1, 5.122% 1/15/49	141		140
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
sequential payer:
Series 2007-LDPX Class A3, 5.412% 1/15/49	$ 3,616		$ 2,717
Series 2004-LDP4 Class D, 5.1237% 10/15/42 (k)	1,183		225
Series 2005-CB13 Class E, 5.35% 1/12/43 (f)(k)	665		113
Series 2005-LDP3 Class A3, 4.959% 8/15/42	9,850		9,262
Series 2006-CB17 Class A3, 5.45% 12/12/43	374		335
Series 2007-CB19:
Class B, 5.7442% 2/12/49	112		26
Class C, 5.7462% 2/12/49	294		62
Class D, 5.7462% 2/12/49	309		62
Series 2007-LDP10:
Class BS, 5.437% 1/15/49 (k)	251		53
Class CS, 5.466% 1/15/49 (k)	108		22
Class ES, 5.5455% 1/15/49 (f)(k)	679		95
JPMorgan Commercial Mortgage Finance Corp. Series 2000-C9 Class G, 6.25% 10/15/32 (f)	542		531
LB Commercial Conduit Mortgage Trust:
Series 1998-C1 Class D, 6.98% 2/18/30	1,474		1,489
Series 2007-C3:
Class F, 5.9388% 7/15/44 (k)	261		26
Class G, 5.9388% 7/15/44 (f)(k)	461		43
LB-UBS Commercial Mortgage Trust:
sequential pay Series 2006-C1 Class A4, 5.156% 2/15/31	499		418
sequential payer:
Series 2000-C3 Class A2, 7.95% 1/15/10	2,352		2,389
Series 2001-C2 Class A2, 6.653% 11/15/27	252		254
Series 2001-C3 Class A1, 6.058% 6/15/20	105		106
Series 2006-C1 Class A2, 5.084% 2/15/31	630		614
Series 2006-C3 Class A1, 5.478% 3/15/39	131		131
Series 2006-C6:
Class A1, 5.23% 9/15/39	202		203
Class A2, 5.262% 9/15/39 (k)	2,293		2,194
Series 2006-C7:
Class A1, 5.279% 11/15/38	93		94
Class A2, 5.3% 11/15/38	1,445		1,312
Class A3, 5.347% 11/15/38	979		788
Series 2007-C1:
Class A1, 5.391% 2/15/40 (k)	126		127
Class A4, 5.424% 2/15/40	169		125
Series 2007-C2:
Class A1, 5.226% 2/15/40	117		116
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
LB-UBS Commercial Mortgage Trust: - continued
Series 2007-C2:
Class A3, 5.43% 2/15/40	$ 633		$ 447
Series 2000-C5 Class E, 7.29% 12/15/32	92		87
Series 2001-C3 Class B, 6.512% 6/15/36	2,540		2,526
Series 2001-C7 Class D, 6.514% 11/15/33	1,445		1,100
Series 2003-C3 Class XCP, 1.0324% 3/11/37 (f)(k)(m)	5,513		56
Series 2004-C4 Class A2, 4.567% 6/15/29 (k)	191		190
Series 2005-C3 Class XCP, 0.9277% 7/15/40 (k)(m)	5,194		85
Series 2006-C3 Class A3 5.689% 3/15/32	730		639
Series 2006-C6 Class XCP, 0.6633% 9/15/39 (k)(m)	8,142		165
Series 2007-C1:
Class C, 5.533% 2/15/40 (k)	2,891		405
Class D, 5.563% 2/15/40 (k)	526		63
Class E, 5.582% 2/15/40 (k)	263		29
Class XCP, 0.6696% 2/15/40 (k)(m)	3,206		53
Series 2007-C2 Class XCP, 0.715% 2/15/40 (k)(m)	15,129		269
Series 2007-C6 Class A4, 5.858% 7/15/40 (k)	1,642		1,213
Series 2007-C7:
Class A3, 5.866% 9/15/45	4,297		3,399
Class XCP, 0.3124% 9/15/45 (k)(m)	108,103		1,318
LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (f)	376		354
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A:
Class B, 4.13% 11/20/37 (f)	1,989		1,591
Class C, 4.13% 11/20/37 (f)	5,669		3,855
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.5744% 9/15/21 (f)(k)	421		168
Class E, 0.6344% 9/15/21 (f)(k)	1,518		455
Class F, 0.6844% 9/15/21 (f)(k)	1,255		345
Class G, 0.7044% 9/15/21 (f)(k)	2,478		620
Class H, 0.7444% 9/15/21 (f)(k)	639		144
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34	2,332		2,391
Merrill Lynch Mortgage Trust:
sequential payer Series 2007-C1 Class A1, 4.533% 6/12/50	653		636
Series 2005-CKI1 Class A3, 5.4149% 11/12/37 (k)	2,158		2,099
Series 2005-LC1 Class F, 5.378% 1/12/44 (f)(k)	1,143		232
Series 2006-C1 Class A2, 5.6116% 5/12/39 (k)	1,853		1,792
Series 2007-C1 Class A4, 6.0224% 6/12/50 (k)	4,974		3,759
Series 2008-C1 Class A4, 5.69% 2/12/51	2,805		1,913
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.4875% 12/12/49 (k)	$ 612		$ 448
sequential payer:
Series 2006-1 CLass A3, 5.671% 2/12/39	1,398		1,237
Series 2006-4 Class ASB, 5.133% 12/12/49 (k)	1,129		973
Series 2007-5:
Class A1, 4.275% 12/12/11	107		104
Class A3, 5.364% 8/12/48	512		409
Class A4, 5.378% 8/12/48	53		36
Class B, 5.479% 2/12/17	3,942		795
Series 2007-6 Class A1, 5.175% 3/12/51	125		124
Series 2007-7 Class A4, 5.81% 6/12/50 (k)	4,599		3,252
Series 2007-8 Class A1, 4.622% 8/12/49	230		224
Series 2006-2 Class A4, 5.9093% 6/12/46 (k)	798		687
Series 2006-4 Class XP, 0.6211% 12/12/49 (k)(m)	24,177		521
Series 2007-6 Class B, 5.635% 3/12/51 (k)	1,314		287
Series 2007-7 Class B, 5.75% 6/12/50	114		25
Series 2007-8 Class A3, 6.1556% 8/12/49 (k)	1,133		870
Morgan Stanley Capital I Trust:
floater:
Series 2005-XLF:
Class G, 0.715% 8/15/19 (f)(k)	22		19
Class H, 0.735% 8/15/19 (f)(k)	104		73
Class J, 0.805% 8/15/19 (f)(k)	79		51
Series 2006-XLF:
Class C, 1.545% 7/15/19 (f)(k)	903		90
Class F, 0.665% 7/15/19 (f)(k)	1,265		923
Class G, 0.705% 7/15/19 (f)(k)	719		324
Series 2007-XCLA Class A1, 0.545% 7/17/17 (f)(k)	2,987		1,493
Series 2007-XLCA Class B, 0.8444% 7/17/17 (f)(k)	2,039		183
Series 2007-XLFA:
Class C, 0.505% 10/15/20 (f)(k)	754		211
Class D, 0.535% 10/15/20 (f)(k)	732		183
Class E, 0.595% 10/15/20 (f)(k)	916		183
Class F, 0.645% 10/15/20 (f)(k)	550		99
Class G, 0.685% 10/15/20 (f)(k)	680		102
Class H, 0.775% 10/15/20 (f)(k)	428		43
Class J, 0.925% 10/15/20 (f)(k)	488		39
Class MHRO, 1.035% 10/15/20 (f)(k)	387		43
Class MJPM, 1.345% 10/15/20 (f)(k)	120		11
Class MSTR, 1.045% 10/15/20 (f)(k)	216		30
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust: - continued
Series 2007-XLFA:
Class NHRO, 1.235% 10/15/20 (f)(k)	$ 578		$ 52
Class NSTR, 1.195% 10/15/20 (f)(k)	199		22
sequential payer:
Series 2003-IQ5 Class X2, 0.8728% 4/15/38 (f)(k)(m)	4,653		75
Series 2004-HQ3 Class A2, 4.05% 1/13/41	378		383
Series 2005-IQ9 Class A3, 4.54% 7/15/56	1,951		1,804
Series 2006-HQ10 Class A1, 5.131% 11/12/41	454		452
Series 2006-T23 Class A1, 5.682% 8/12/41	1,246		1,248
Series 2007-HQ11:
Class A1, 5.246% 2/20/44	207		205
Class A31, 5.439% 2/12/44 (k)	666		572
Series 2007-IQ13 Class A1, 5.05% 3/15/44	213		209
Series 2007-IQ14 Class A1, 5.38% 4/15/49	480		472
Series 2007-T25 Class A2, 5.507% 11/12/49	1,292		1,138
Series 2003-IQ6 Class X2, 0.5816% 12/15/41 (f)(k)(m)	9,510		123
Series 2005-IQ9 Class X2, 1.0455% 7/15/56 (f)(k)(m)	18,076		394
Series 2006-HQ8 Class A3, 5.6115% 3/12/16 (k)	2,038		1,898
Series 2006-HQ9 Class B, 5.832% 7/12/44 (k)	1,950		380
Series 2006-IQ11:
Class A3, 5.9062% 10/15/42 (k)	2,181		1,976
Class A4, 5.7708% 10/15/42 (k)	394		333
Series 2006-IQ12 Class B, 5.468% 12/15/43	1,314		233
Series 2006-T23 Class A3, 5.8075% 8/12/41 (k)	671		589
Series 2007-HQ11 Class B, 5.538% 2/20/44 (k)	2,383		400
Series 2007-HQ12 Series A1, 5.519% 4/12/49 (k)	307		299
Series 2007-IQ14:
Class A4, 5.692% 4/15/49 (k)	1,971		1,429
Class AAB, 5.654% 4/15/49	3,520		3,201
Class B, 5.914% 4/15/49	323		50
Series 2007-XLC1:
Class C, 0.9444% 7/17/17 (f)(k)	2,788		223
Class D, 1.0444% 7/17/17 (f)(k)	1,312		92
Class E, 1.1444% 7/17/17 (f)(k)	1,065		64
Morgan Stanley Dean Witter Capital I Trust sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31	53		54
Salomon Brothers Mortgage Securities VII, Inc. sequential payer Series 2000-C3 Class A2, 6.592% 12/18/33	2,360		2,394
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
SBA CMBS Trust Series 2006-1A Class C, 5.559% 11/15/36 (f)	$ 125		$ 113
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.7888% 3/24/18 (f)(k)	141		127
Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34	211		216
TrizecHahn Office Properties Trust Series 2001-TZHA Class C4, 6.893% 5/15/16 (f)	1,117		1,138
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 1.5444% 1/15/18 (f)(k)	1,401		700
Series 2006-WL7A:
Class E, 0.6244% 9/15/21 (f)(k)	1,791		537
Class F, 0.6844% 8/11/18 (f)(k)	2,061		474
Class G, 0.7044% 8/11/18 (f)(k)	1,953		391
Class J, 0.9444% 8/11/18 (f)(k)	434		43
Series 2007-WHL8:
Class AP1, 1.0444% 6/15/20 (f)(k)	120		24
Class AP2, 1.1444% 6/15/20 (f)(k)	199		20
Class F, 0.8244% 6/15/20 (f)(k)	3,864		773
Class LXR1, 1.0444% 6/15/20 (f)(k)	162		32
Class LXR2, 1.1444% 6/15/20 (f)(k)	2,634		263
sequential payer:
Series 2003-C6 Class A2, 4.498% 8/15/35	447		442
Series 2003-C7 Class A1, 4.241% 10/15/35 (f)	2,627		2,589
Series 2003-C8 Class A3, 4.445% 11/15/35	5,722		5,513
Series 2006-C24 Class A2, 5.506% 3/15/45	1,079		1,078
Series 2006-C27 Class A2, 5.624% 7/15/45	1,174		1,109
Series 2006-C29 Class A3, 5.313% 11/15/48	3,490		2,985
Series 2007-C30:
Class A1, 5.031% 12/15/43	201		199
Class A3, 5.246% 12/15/43	1,128		1,031
Class A4, 5.305% 12/15/43	386		317
Class A5, 5.342% 12/15/43	1,406		980
Series 2007-C31:
Class A1, 5.14% 4/15/47	115		114
Class A4, 5.509% 4/15/47	2,970		2,030
Series 2007-C32:
Class A2, 5.7356% 6/15/49 (k)	4,582		4,172
Class A3, 5.929% 6/15/49 (k)	2,231		1,571
Series 2003-C6 Class G, 5.125% 8/15/35 (f)	624		293
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2004-C15:
Class 180A, 5.3979% 10/15/41 (f)(k)	$ 1,010		$ 844
Class 180B, 5.3979% 10/15/41 (f)(k)	460		393
Series 2005-C19 Class B, 4.892% 5/15/44	1,314		486
Series 2005-C22:
Class B, 5.355% 12/15/44 (k)	2,914		1,020
Class F, 5.355% 12/15/44 (f)(k)	2,191		351
Series 2006-C23 Class A5, 5.416% 1/15/45 (k)	7,210		5,980
Series 2006-C25 Class AM, 5.9263% 5/15/43 (k)	688		364
Series 2006-C29 Class E, 5.516% 11/15/48 (k)	1,314		138
Series 2007-C30:
Class C, 5.483% 12/15/43 (k)	3,942		434
Class D, 5.513% 12/15/43 (k)	2,102		200
Class XP, 0.4317% 12/15/43 (f)(k)(m)	16,159		255
Series 2007-C31 Class C, 5.6906% 4/15/47 (k)	361		43
Series 2007-C31A Class A2, 5.421% 4/15/47	8,470		7,566
Series 2007-C32:
Class D, 5.929% 6/15/49 (k)	987		109
Class E, 5.929% 6/15/49 (k)	1,556		156
Wachovia Bank Commercial Mortgage Trust pass-thru certificates:
sequential payer Series 2007-C33 Class A5, 5.9024% 2/15/51 (k)	870		615
Series 2007-C33 Class B, 5.9024% 2/15/51 (k)	2,209		331
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $377,778)		374,497
Municipal Securities - 0.2%
California Gen. Oblig.:
7.5% 4/1/34	4,700		4,550
7.55% 4/1/39	9,400		9,086
Montgomery County Gen. Oblig. Series A, 5% 1/1/13	5,440		6,083
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2009 C, 7.336% 11/15/39	2,688		2,973
North Carolina Gen. Oblig. Series A, 5.5% 3/1/13	5,000		5,702
Ohio Gen. Oblig. (Common Schools Proj.) Series E, 5% 9/15/12	5,700		6,294
TOTAL MUNICIPAL SECURITIES (Cost $34,439)		34,688
Foreign Government and Government Agency Obligations - 0.0%
	Principal Amount (000s)		Value (000s)
Chilean Republic 7.125% 1/11/12 (Cost $2,686)	$ 2,462		$ 2,705
Supranational Obligations - 0.0%
Corporacion Andina de Fomento 5.2% 5/21/13 (Cost $175)	196		189
Bank Notes - 0.0%
National City Bank, Cleveland 1.3613% 3/1/13 (k) (Cost $637)	790		672

Preferred Securities - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
ING Groep NV 5.775% (k)	851		483
MUFG Capital Finance 1 Ltd. 6.346% (k)	3,342		2,975
			3,458
TOTAL PREFERRED SECURITIES (Cost $2,515)		3,458
Fixed-Income Funds - 15.6%
	Shares
Fidelity 1-3 Year Duration Securitized Bond Central Fund (l)	1,493,919		112,656
Fidelity Corporate Bond 1-10 Year Central Fund (l)	7,072,578		670,410
Fidelity High Income Central Fund 2 (l)	4,135,321		357,871
Fidelity Mortgage Backed Securities Central Fund (l)	16,200,649		1,637,400
TOTAL FIXED-INCOME FUNDS (Cost $2,875,497)		2,778,337
Money Market Funds - 2.5%
Fidelity Cash Central Fund, 0.53% (b)	420,128,652		420,129
Fidelity Securities Lending Cash Central Fund, 0.28% (b)(c)	27,689,750		27,690
TOTAL MONEY MARKET FUNDS (Cost $447,819)		447,819
Cash Equivalents - 1.4%
	Maturity Amount (000s)		Value (000s)
Investments in repurchase agreements in a joint trading account at:
0.17%, dated 5/29/09 due 6/1/09 (Collateralized by U.S. Treasury Obligations) #	$ 3		$ 3
0.18%, dated 5/29/09 due 6/1/09 (Collateralized by U.S. Government Obligations) #	254,047		254,043
TOTAL CASH EQUIVALENTS (Cost $254,046)		254,046
TOTAL INVESTMENT PORTFOLIO - 104.3% (Cost $18,917,058)			18,603,925
NET OTHER ASSETS - (4.3)%			(766,422)
NET ASSETS - 100%		$ 17,837,503

Futures Contracts
	Expiration Date	Underlying Face Amount at Value (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Purchased
Equity Index Contracts
2,967 CME E-mini S&P 500 Index Contracts	June 2009	$ 136,200	$ 14,650

The face value of futures purchased as a percentage of net assets - 0.8%

Swap Agreements
		Notional Amount (000s)	Value (000s)
Credit Default Swaps
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.102% 11/25/34 (Rating-C) (i)	Dec. 2034	$ 613	$ (577)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (Rating-C) (i)	Oct. 2034	$ 1,099	$ (1,059)
Receive monthly notional amount multiplied by 2.6% and pay Merrill Lynch, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (Rating-C) (i)	Oct. 2034	1,099	(1,058)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (j)	Sept. 2037	16,700	(16,366)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-Ca) (j)	Sept. 2037	13,600	(13,328)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-Ca) (j)	Sept. 2037	1,800	(1,764)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Morgan Stanley, Inc. upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (j)	Sept. 2037	13,600	(13,328)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (j)	Sept. 2037	$ 13,100	$ (12,838)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (j)	Sept. 2037	11,500	(11,270)
Receive monthly notional amount multiplied by 3.83% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35 (Rating-C) (i)	June 2035	1,600	(1,501)
TOTAL CREDIT DEFAULT SWAPS		74,711	(73,089)
Interest Rate Swaps
Receive semi-annually a fixed rate equal to 5.458% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	June 2017	120,000	20,205
		$ 194,711	$ (52,884)

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

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

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

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

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $342,050,000 or 1.9% of net assets.

(g) 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 $14,098,000.

(h) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $58,552,000.

(i) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

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

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

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

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

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

* 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)
$3,000 due 6/01/09 at 0.17%
BNP Paribas Securities Corp.	$ 0*
Bank of America, NA	0*
Barclays Capital, Inc.	1
Credit Suisse Securities (USA) LLC	0*
Deutsche Bank Securities, Inc.	1
HSBC Securities (USA), Inc.	0*
ING Financial Markets LLC	0*
J.P. Morgan Securities, Inc.	1
Mizuho Securities USA, Inc.	0*
Societe Generale, New York Branch	0*
	$ 3
$254,043,000 due 6/01/09 at 0.18%
J.P. Morgan Securities, Inc.	$ 254,043

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 High Income Central Fund 2	$ 24,330
Fidelity 1-3 Year Duration Securitized Bond Central Fund	5,396
Fidelity Cash Central Fund	5,472
Fidelity Commercial Mortgage-Backed Securities Central Fund	14,232
Fidelity Corporate Bond 1-10 Year Central Fund	47,434
Fidelity Mortgage Backed Securities Central Fund	62,203
Fidelity Securities Lending Cash Central Fund	1,839
Fidelity Ultra-Short Central Fund	5,117
Total	$ 166,023

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 1-3 Year Duration Securitized Bond Central Fund	$ 283,606	$ 4,143	$ 150,603	$ 112,656	19.1%
Fidelity Commercial Mortgage-Backed Securities Central Fund	454,738	11,553	383,370*	-	0.0%
Fidelity Corporate Bond 1-10 Year Central Fund	1,517,973	126,709	900,980*	670,410	25.3%
Fidelity High Income Central Fund 2	400,269	91,764	87,098	357,871	0.0%
Fidelity Mortgage Backed Securities Central Fund	1,762,588	463,444	634,006	1,637,400	23.0%
Fidelity Ultra-Short Central Fund	658,434	-	554,165*	-	0.0%
Total	$ 5,077,608	$ 697,613	$ 2,710,222	$ 2,778,337

* Includes the value of shares redeemed through in-kind transactions.

Other Affiliated Issuers

An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliates (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Dividend Income	Value, end of period
Aurora Oil & Gas Corp.	$ 1,272	$ -	$ 455	$ -	$ -
Bell Microproducts, Inc.	4,429	-	4,228	-	-
Capitol Bancorp Ltd.	17,008	-	17,867	-	-
Central Garden & Pet Co.	9,861	-	11,130	-	-
Cirrus Logic, Inc.	-	16,303	3,621	-	-
Credence Systems Corp.	7,204	-	-	-	-
DUSA Pharmaceuticals, Inc.	2,911	-	2,292	-	-
Evergreen Energy, Inc.	6,322	-	6,097	-	-
Great Lakes Dredge & Dock Corp.	34,885	-	32,883	79	-
LandAmerica Financial Group, Inc.	16,912	-	20,004	-	-
Lighthouse Caledonia ASA	2,310	-	119	-	-
LTX Corp.	6,836	-	-	-	-
MarineMax, Inc.	8,237	-	2,909	-	-
Mattson Technology, Inc.	-	14,901	307	-	-
Sourcefire, Inc.	12,346	-	12,049	-	-
Spartech Corp.	16,808	-	16,306	-	-
Standard Pacific Corp.	14,818	-	16,004	-	-
The Pantry, Inc.	31,496	-	35,160	-	-
Tween Brands, Inc.	25,114	-	27,074	-	-
Universal Truckload Services, Inc.	26,743	-	24,427	-	-
Total	$ 245,512	$ 31,204	$ 232,932	$ 79	$ -

Other Information

The following is a summary of the inputs used, as of May 31, 2009, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the 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	$ 18,603,925	$ 13,194,224	$ 5,318,292	$ 91,409
Other Financial Instruments*	$ (38,234)	$ 14,650	$ 3,838	$ (56,722)

* Other financial instruments include Futures Contracts and Swap Agreements.

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

(Amounts in thousands)	Investments in Securities	Other Financial Instruments
Beginning Balance	$ 16,518	$ (16,837)
Total Realized Gain (Loss)	1,573	-*
Total Unrealized Gain (Loss)	(18,843)	8,891
Cost of Purchases	88,757	-
Proceeds of Sales	(7,185)	-
Amortization/Accretion	(759)	-
Transfer in/out of Level 3	11,348	(48,776)
Ending Balance	$ 91,409	$ (56,722)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(5,978,000).

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At May 31, 2009, the aggregate cost of investment securities for income tax purposes was $19,446,150,000. Net unrealized depreciation aggregated $842,225,000, of which $1,022,455,000 related to appreciated investment securities and $1,864,680,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked- to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities.

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1 - Quoted prices in active markets for identical securities.

Level 2 - Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3 - Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

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

Credit Default Swap Agreements

The Fund entered into credit default swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss include credit risk. The Fund's maximum risk of loss from counterparty risk, either as a buyer of protection or as a seller of protection, is the value of the contract. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and, if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer (buyer of protection) and/or to gain credit exposure to an issuer to which it is not otherwise exposed (seller of protection). The issuer may be either a single issuer or a basket of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection receives credit protection in exchange for making periodic payments to the seller of protection based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller of protection acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer of protection, the seller of protection is obligated to take delivery from the buyer of protection the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller of protection. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller of protection. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller of protection is not limited to the specific reference obligation described.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $74,711,000 representing 0.42% of net assets.

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

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity® Puritan® Fund

May 31, 2009

1.800346.105

PUR-QTLY-0709

Investments May 31, 2009 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 59.1%
	Shares		Value (000s)
CONSUMER DISCRETIONARY - 6.8%
Auto Components - 0.2%
Johnson Controls, Inc.	1,180,900		$ 23,535
The Goodyear Tire & Rubber Co. (a)	1,300,800		14,894
			38,429
Automobiles - 0.1%
Ford Motor Co. (a)	3,563,500		20,490
Hotels, Restaurants & Leisure - 1.2%
Darden Restaurants, Inc.	781,900		28,281
McDonald's Corp.	1,060,700		62,571
P.F. Chang's China Bistro, Inc. (a)(f)	404,200		12,910
Penn National Gaming, Inc. (a)	831,700		27,504
Starwood Hotels & Resorts Worldwide, Inc.	1,005,600		24,607
Vail Resorts, Inc. (a)(f)	865,200		23,784
WMS Industries, Inc. (a)	509,800		18,083
			197,740
Household Durables - 0.5%
Black & Decker Corp.	465,000		14,913
Mohawk Industries, Inc. (a)	607,500		23,249
Pulte Homes, Inc.	3,200,700		28,166
Whirlpool Corp.	174,683		7,361
			73,689
Internet & Catalog Retail - 0.2%
Amazon.com, Inc.	402,800		31,414
Media - 2.0%
Comcast Corp. Class A (special) (non-vtg.)	5,842,700		75,955
DreamWorks Animation SKG, Inc. Class A (a)	416,443		11,602
Grupo Televisa SA de CV (CPO) sponsored ADR	2,312,600		41,118
News Corp. Class B (f)	1,962,896		22,043
Playboy Enterprises, Inc. Class B (non-vtg.) (a)	895,600		2,982
The DIRECTV Group, Inc. (a)	1,427,100		32,110
The Walt Disney Co.	3,922,190		94,995
Time Warner Cable, Inc.	917,400		28,247
Time Warner, Inc.	426,153		9,981
Vertis Holdings, Inc. (a)	30,518		0*
			319,033
Multiline Retail - 0.3%
Macy's, Inc.	1,348,600		15,752
Target Corp.	727,300		28,583
			44,335
Common Stocks - continued
	Shares		Value (000s)
CONSUMER DISCRETIONARY - continued
Specialty Retail - 2.0%
Advance Auto Parts, Inc.	289,700		$ 12,338
Best Buy Co., Inc.	1,052,500		36,943
Gymboree Corp. (a)	382,200		14,084
Home Depot, Inc.	681,200		15,777
J. Crew Group, Inc. (a)	1,004,537		25,977
Lowe's Companies, Inc.	2,985,100		56,747
Lumber Liquidators, Inc. (a)	350,000		5,303
Sherwin-Williams Co.	347,200		18,332
Staples, Inc.	3,052,100		62,415
Tiffany & Co., Inc.	729,800		20,704
TJX Companies, Inc.	2,028,800		59,870
			328,490
Textiles, Apparel & Luxury Goods - 0.3%
NIKE, Inc. Class B	263,300		15,021
Polo Ralph Lauren Corp. Class A	567,900		30,564
			45,585
TOTAL CONSUMER DISCRETIONARY			1,099,205
CONSUMER STAPLES - 4.9%
Beverages - 0.8%
Coca-Cola Enterprises, Inc.	1,257,900		20,957
Molson Coors Brewing Co. Class B	359,400		15,810
The Coca-Cola Co.	1,751,100		86,084
			122,851
Food & Staples Retailing - 1.6%
CVS Caremark Corp.	1,207,900		35,995
SUPERVALU, Inc.	640,600		10,634
Wal-Mart Stores, Inc.	3,689,900		183,536
Walgreen Co.	945,700		28,172
Whole Foods Market, Inc. (f)	334,200		6,306
			264,643
Food Products - 0.7%
Bunge Ltd.	255,500		16,165
Corn Products International, Inc.	627,600		16,575
Dean Foods Co. (a)	586,800		11,032
Marine Harvest ASA (a)	26,391,400		15,542
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Food Products - continued
Smithfield Foods, Inc. (a)	1,146,800		$ 14,255
Tyson Foods, Inc. Class A	2,739,600		36,491
			110,060
Household Products - 0.9%
Colgate-Palmolive Co.	367,400		24,230
Procter & Gamble Co.	2,371,622		123,182
			147,412
Tobacco - 0.9%
British American Tobacco PLC sponsored ADR	444,400		24,331
Philip Morris International, Inc.	2,806,440		119,667
			143,998
TOTAL CONSUMER STAPLES			788,964
ENERGY - 7.0%
Energy Equipment & Services - 1.0%
BJ Services Co.	1,002,500		15,679
ENSCO International, Inc.	461,800		17,959
Nabors Industries Ltd. (a)	823,600		14,726
Noble Corp.	424,400		14,587
Schlumberger Ltd. (NY Shares)	138,580		7,931
Smith International, Inc.	521,200		15,214
Transocean Ltd. (a)	418,600		33,270
Weatherford International Ltd. (a)	2,080,400		43,064
			162,430
Oil, Gas & Consumable Fuels - 6.0%
Chesapeake Energy Corp.	1,358,217		30,777
Chevron Corp.	3,101,700		206,790
ConocoPhillips	952,400		43,658
Denbury Resources, Inc. (a)	470,400		8,086
Exxon Mobil Corp.	3,668,424		254,401
Frontier Oil Corp.	350,100		6,116
Marathon Oil Corp.	1,981,900		63,183
Massey Energy Co.	1,106,800		25,335
Occidental Petroleum Corp.	1,671,958		112,205
Petrohawk Energy Corp. (a)	1,094,100		27,571
Petroleo Brasileiro SA - Petrobras sponsored ADR	744,300		32,772
Range Resources Corp.	834,908		38,247
Southwestern Energy Co. (a)	1,651,300		71,782
Common Stocks - continued
	Shares		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Ultra Petroleum Corp. (a)	556,300		$ 25,189
Valero Energy Corp.	1,147,800		25,676
			971,788
TOTAL ENERGY			1,134,218
FINANCIALS - 8.5%
Capital Markets - 2.8%
Bank of New York Mellon Corp.	1,214,600		33,742
Credit Suisse Group sponsored ADR	518,100		23,226
Deutsche Bank AG (NY Shares)	584,200		39,498
Goldman Sachs Group, Inc.	1,015,400		146,796
Julius Baer Holding Ltd.	148,473		6,301
KKR Private Equity Investors, LP (a)	923,600		3,614
KKR Private Equity Investors, LP Restricted Depositary Units (a)(g)	977,300		3,811
Morgan Stanley	3,658,500		110,926
Nomura Holdings, Inc.	874,900		6,580
Nomura Holdings, Inc. sponsored ADR	1,149,400		8,712
State Street Corp.	1,010,167		46,922
The Blackstone Group LP	2,053,500		22,486
			452,614
Commercial Banks - 1.3%
Comerica, Inc.	238,500		5,171
Fifth Third Bancorp	947,000		6,534
PNC Financial Services Group, Inc.	1,001,400		45,614
Standard Chartered PLC (United Kingdom)	510,460		10,449
TCF Financial Corp. (f)	349,900		5,025
Wells Fargo & Co.	5,208,440		132,815
			205,608
Consumer Finance - 0.1%
Capital One Financial Corp.	446,600		10,915
Diversified Financial Services - 2.7%
Bank of America Corp.	13,853,132		156,125
CME Group, Inc.	127,400		40,977
IntercontinentalExchange, Inc. (a)	191,500		20,642
JPMorgan Chase & Co.	6,200,423		228,796
			446,540
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - continued
Insurance - 1.5%
ACE Ltd.	746,122		$ 32,822
AFLAC, Inc.	509,600		18,091
Berkshire Hathaway, Inc. Class B (a)	12,060		35,842
Genworth Financial, Inc. Class A (non-vtg.)	1,356,100		8,028
Lincoln National Corp.	888,800		16,843
MetLife, Inc.	1,071,600		33,755
Prudential Financial, Inc.	382,000		15,246
The Chubb Corp.	482,200		19,119
The Travelers Companies, Inc.	1,113,800		45,287
Unum Group	909,100		15,555
XL Capital Ltd. Class A	707,500		7,160
			247,748
Real Estate Investment Trusts - 0.1%
The Macerich Co. (f)	916,200		15,465
Thrifts & Mortgage Finance - 0.0%
Washington Mutual, Inc.	281,428		28
TOTAL FINANCIALS			1,378,918
HEALTH CARE - 7.5%
Biotechnology - 0.8%
Amgen, Inc. (a)	994,900		49,685
Biogen Idec, Inc. (a)	551,000		28,536
Cephalon, Inc. (a)	423,912		24,718
CSL Ltd.	817		19
Dendreon Corp. (a)(f)	417,400		9,462
United Therapeutics Corp. (a)	224,500		17,994
			130,414
Health Care Equipment & Supplies - 1.0%
Baxter International, Inc.	1,020,000		52,214
C.R. Bard, Inc.	311,700		22,283
Covidien Ltd.	293,300		10,477
NuVasive, Inc. (a)	657,200		23,738
St. Jude Medical, Inc. (a)	1,239,300		48,357
			157,069
Health Care Providers & Services - 1.0%
BMP Sunstone Corp. warrants 8/19/12 (a)(j)	59,000		32
Express Scripts, Inc. (a)	675,800		43,285
Common Stocks - continued
	Shares		Value (000s)
HEALTH CARE - continued
Health Care Providers & Services - continued
Medco Health Solutions, Inc. (a)	1,100,000		$ 50,479
UnitedHealth Group, Inc.	2,870,000		76,342
			170,138
Life Sciences Tools & Services - 0.7%
Illumina, Inc. (a)	821,860		30,170
Life Technologies Corp. (a)	704,900		27,336
QIAGEN NV (a)	1,506,900		26,521
Waters Corp. (a)	580,358		25,141
			109,168
Pharmaceuticals - 4.0%
Abbott Laboratories	851,600		38,373
Allergan, Inc.	870,500		38,415
Auxilium Pharmaceuticals, Inc. (a)	944,100		22,120
Elan Corp. PLC sponsored ADR (a)	1,439,548		10,048
Johnson & Johnson	1,438,600		79,353
Merck & Co., Inc.	1,953,200		53,869
Pfizer, Inc.	11,284,300		171,409
Roche Holding AG (participation certificate)	58,494		8,010
Schering-Plough Corp.	2,747,600		67,041
Watson Pharmaceuticals, Inc. (a)	353,700		10,699
Wyeth	3,460,900		155,256
			654,593
TOTAL HEALTH CARE			1,221,382
INDUSTRIALS - 6.4%
Aerospace & Defense - 2.4%
Honeywell International, Inc.	3,380,000		112,081
Lockheed Martin Corp.	586,500		49,049
Northrop Grumman Corp.	956,200		45,534
Precision Castparts Corp.	361,400		29,841
Raytheon Co.	652,200		29,121
United Technologies Corp.	2,182,600		114,827
			380,453
Air Freight & Logistics - 0.5%
United Parcel Service, Inc. Class B	1,675,900		85,706
Airlines - 0.1%
Delta Air Lines, Inc. (a)	2,016,131		11,714
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - continued
Building Products - 0.2%
Masco Corp.	3,505,773		$ 36,320
Construction & Engineering - 0.1%
Chicago Bridge & Iron Co. NV (NY Shares)	1,503,800		19,414
Electrical Equipment - 0.5%
Acuity Brands, Inc.	282,800		7,687
AMETEK, Inc.	537,800		16,914
Cooper Industries Ltd. Class A	964,100		31,642
First Solar, Inc. (a)	72,500		13,775
Rockwell Automation, Inc.	568,400		17,444
			87,462
Industrial Conglomerates - 0.8%
General Electric Co.	2,648,100		35,696
Siemens AG sponsored ADR	575,900		42,294
Textron, Inc.	3,345,300		38,471
Tyco International Ltd.	571,400		15,776
			132,237
Machinery - 1.3%
Cummins, Inc.	1,302,200		42,230
Danaher Corp.	948,000		57,212
Deere & Co.	647,300		28,138
Ingersoll-Rand Co. Ltd. Class A	717,300		14,511
Navistar International Corp. (a)	831,500		33,102
PACCAR, Inc.	550,000		16,418
Parker Hannifin Corp.	319,400		13,498
			205,109
Professional Services - 0.2%
Manpower, Inc.	766,400		32,580
Road & Rail - 0.3%
CSX Corp.	695,200		22,080
Union Pacific Corp.	453,556		22,347
			44,427
TOTAL INDUSTRIALS			1,035,422
INFORMATION TECHNOLOGY - 12.3%
Communications Equipment - 2.2%
Cisco Systems, Inc. (a)	9,022,200		166,911
Corning, Inc.	3,430,100		50,422
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Communications Equipment - continued
Nokia Corp. sponsored ADR	1,845,900		$ 28,242
QUALCOMM, Inc.	2,350,100		102,441
			348,016
Computers & Peripherals - 2.9%
Apple, Inc. (a)	1,494,800		203,009
Hewlett-Packard Co.	3,912,902		134,408
International Business Machines Corp.	1,209,600		128,556
			465,973
Electronic Equipment & Components - 0.8%
Amphenol Corp. Class A	788,924		26,342
Arrow Electronics, Inc. (a)	884,400		21,394
Avnet, Inc. (a)	897,300		20,647
Flextronics International Ltd. (a)	4,360,700		17,268
Ingram Micro, Inc. Class A (a)	1,195,800		19,755
Tyco Electronics Ltd.	1,351,756		23,480
			128,886
Internet Software & Services - 1.1%
Akamai Technologies, Inc. (a)	227,400		5,062
Alibaba.com Ltd. (a)	806,000		1,594
China Finance Online Co. Ltd. ADR (a)	212,160		2,656
eBay, Inc. (a)	2,268,500		39,971
Google, Inc. Class A (sub. vtg.) (a)	303,500		126,629
			175,912
IT Services - 0.8%
Cognizant Technology Solutions Corp. Class A (a)	807,600		20,343
Gartner, Inc. Class A (a)	890,638		13,671
MasterCard, Inc. Class A	49,900		8,799
Redecard SA	777,400		11,226
Visa, Inc.	1,066,900		72,240
			126,279
Semiconductors & Semiconductor Equipment - 2.0%
Applied Materials, Inc.	3,471,000		39,083
Applied Micro Circuits Corp. (a)	2,206,520		17,255
Cree, Inc. (a)	323,900		9,856
Intel Corp.	6,564,940		103,201
KLA-Tencor Corp.	620,600		16,756
Lam Research Corp. (a)	703,700		18,430
Marvell Technology Group Ltd. (a)	986,100		11,271
Skyworks Solutions, Inc. (a)	986,900		9,405
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Semiconductors & Semiconductor Equipment - continued
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR	3,917,100		$ 42,853
Texas Instruments, Inc.	3,084,700		59,843
			327,953
Software - 2.5%
Activision Blizzard, Inc. (a)	977,300		11,806
BMC Software, Inc. (a)	1,097,900		37,438
CA, Inc.	868,200		15,150
Electronic Arts, Inc. (a)	677,500		15,576
Microsoft Corp.	10,028,113		209,487
Nintendo Co. Ltd.	2,037		549
Oracle Corp.	6,219,900		121,848
			411,854
TOTAL INFORMATION TECHNOLOGY			1,984,873
MATERIALS - 2.7%
Chemicals - 1.5%
Airgas, Inc.	1,091,300		46,118
Albemarle Corp.	1,074,400		30,320
Celanese Corp. Class A	1,151,581		23,619
Dow Chemical Co.	3,374,000		59,652
E.I. du Pont de Nemours & Co.	468,900		13,350
FMC Corp.	119,000		6,468
Monsanto Co.	356,900		29,319
Solutia, Inc. (a)	190,000		931
Terra Industries, Inc.	1,510,800		41,985
			251,762
Containers & Packaging - 0.2%
Rock-Tenn Co. Class A	271,800		10,432
Sealed Air Corp.	888,900		17,787
			28,219
Metals & Mining - 1.0%
ArcelorMittal SA (NY Shares) Class A (f)	350,300		11,623
Commercial Metals Co.	559,100		9,488
Freeport-McMoRan Copper & Gold, Inc. Class B	496,500		27,024
Harmony Gold Mining Co. Ltd. sponsored ADR (a)	929,400		11,246
Kinross Gold Corp.	587,800		11,796
Lihir Gold Ltd. (a)	2,128,696		5,528
Newcrest Mining Ltd.	1,470,897		39,053
Common Stocks - continued
	Shares		Value (000s)
MATERIALS - continued
Metals & Mining - continued
Steel Dynamics, Inc.	1,615,800		$ 24,140
Stillwater Mining Co. (a)(f)	1,012,100		7,479
United States Steel Corp.	390,000		13,291
			160,668
TOTAL MATERIALS			440,649
TELECOMMUNICATION SERVICES - 2.2%
Diversified Telecommunication Services - 1.8%
AT&T, Inc.	2,863,336		70,982
Qwest Communications International, Inc.	3,366,800		14,679
Verizon Communications, Inc.	7,141,795		208,969
			294,630
Wireless Telecommunication Services - 0.4%
Sprint Nextel Corp. (a)	12,357,300		63,640
TOTAL TELECOMMUNICATION SERVICES			358,270
UTILITIES - 0.8%
Electric Utilities - 0.6%
Entergy Corp.	160,300		11,962
Exelon Corp.	638,900		30,674
FirstEnergy Corp.	650,900		24,598
FPL Group, Inc.	455,500		25,749
Portland General Electric Co.	13,771		248
			93,231
Gas Utilities - 0.1%
Questar Corp.	687,300		23,293
Independent Power Producers & Energy Traders - 0.1%
NRG Energy, Inc. (a)	480,500		10,811
TOTAL UTILITIES			127,335
TOTAL COMMON STOCKS (Cost $9,342,020)		9,569,236
Preferred Stocks - 0.3%
	Shares		Value (000s)
Convertible Preferred Stocks - 0.3%
ENERGY - 0.1%
Oil, Gas & Consumable Fuels - 0.1%
Chesapeake Energy Corp. 4.50%	56,300		$ 3,899
El Paso Corp. 4.99% (g)	8,100		6,771
			10,670
FINANCIALS - 0.2%
Commercial Banks - 0.1%
Wells Fargo & Co. 7.50%	22,600		16,837
Diversified Financial Services - 0.1%
Citigroup, Inc. Series T, 6.50%	232,900		9,069
Insurance - 0.0%
American International Group, Inc. Series A, 8.50%	800,000		7,120
TOTAL FINANCIALS			33,026
INFORMATION TECHNOLOGY - 0.0%
Internet Software & Services - 0.0%
wetpaint.com, Inc. Series C (j)	497,017		994
UTILITIES - 0.0%
Electric Utilities - 0.0%
AES Trust III 6.75%	126,300		4,860
TOTAL CONVERTIBLE PREFERRED STOCKS			49,550
Nonconvertible Preferred Stocks - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
Preferred Blocker, Inc. 7.00% (g)	8,046		3,420
TELECOMMUNICATION SERVICES - 0.0%
Diversified Telecommunication Services - 0.0%
PTV, Inc. Series A, 10.00%	187		0*
TOTAL NONCONVERTIBLE PREFERRED STOCKS			3,420
TOTAL PREFERRED STOCKS (Cost $111,712)		52,970

Corporate Bonds - 14.7%
	Principal Amount (000s)		Value (000s)
Convertible Bonds - 0.5%
CONSUMER DISCRETIONARY - 0.1%
Media - 0.1%
Liberty Media Corp.:
3.5% 1/15/31	$ 512		$ 255
3.5% 1/15/31 (g)	3,785		1,886
Regal Entertainment Group 6.25% 3/15/11 (g)	4,580		4,352
Virgin Media, Inc. 6.5% 11/15/16 (g)	10,000		7,871
			14,364
Specialty Retail - 0.0%
United Auto Group, Inc. 3.5% 4/1/26	10,340		8,823
TOTAL CONSUMER DISCRETIONARY			23,187
CONSUMER STAPLES - 0.1%
Food & Staples Retailing - 0.1%
The Great Atlantic & Pacific Tea Co. 6.75% 12/15/12	17,480		11,012
ENERGY - 0.2%
Oil, Gas & Consumable Fuels - 0.2%
Chesapeake Energy Corp. 2.5% 5/15/37	43,570		32,155
FINANCIALS - 0.0%
Real Estate Investment Trusts - 0.0%
Vornado Realty LP 3.625% 11/15/26	5,900		5,192
INDUSTRIALS - 0.0%
Marine - 0.0%
Horizon Lines, Inc. 4.25% 8/15/12 (g)	6,209		3,858
INFORMATION TECHNOLOGY - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
Advanced Micro Devices, Inc. 6% 5/1/15 (g)	6,000		2,880
Spansion, Inc. 2.25% 6/15/16 (e)(g)	1,480		7
			2,887
TELECOMMUNICATION SERVICES - 0.1%
Diversified Telecommunication Services - 0.1%
Qwest Communications International, Inc. 3.5% 11/15/25	9,500		9,571
TOTAL CONVERTIBLE BONDS			87,862
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - 14.2%
CONSUMER DISCRETIONARY - 2.0%
Auto Components - 0.2%
Allison Transmission, Inc. 11% 11/1/15 (g)	$ 7,105		$ 5,613
DaimlerChrysler NA Holding Corp.:
5.75% 9/8/11	3,297		3,324
5.875% 3/15/11	1,224		1,239
Tenneco, Inc.:
8.125% 11/15/15	2,430		1,786
8.625% 11/15/14	9,810		5,935
The Goodyear Tire & Rubber Co.:
7.857% 8/15/11	5,355		5,248
9% 7/1/15	5,030		4,779
10.5% 5/15/16	3,175		3,151
TRW Automotive, Inc.:
7% 3/15/14 (g)	1,975		1,452
7.25% 3/15/17 (g)	6,795		4,757
			37,284
Automobiles - 0.0%
General Motors Corp.:
7.125% 7/15/13 (e)	860		77
7.2% 1/15/11 (e)	985		69
8.25% 7/15/23 (e)	1,640		148
			294
Diversified Consumer Services - 0.1%
Education Management LLC/Education Management Finance Corp.:
8.75% 6/1/14	1,945		1,896
10.25% 6/1/16	2,110		2,057
Mac-Gray Corp. 7.625% 8/15/15	5,400		5,090
			9,043
Hotels, Restaurants & Leisure - 0.4%
Ameristar Casinos, Inc. 9.25% 6/1/14 (g)	1,930		1,949
Chukchansi Economic Development Authority:
4.9125% 11/15/12 (g)(l)	1,140		695
8% 11/15/13 (g)	1,890		1,191
McDonald's Corp. 5.35% 3/1/18	1,378		1,430
MGM Mirage, Inc.:
6.625% 7/15/15	2,320		1,462
6.75% 4/1/13	80		50
7.5% 6/1/16	4,765		3,050
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Hotels, Restaurants & Leisure - continued
MGM Mirage, Inc.: - continued
7.625% 1/15/17	$ 8,335		$ 5,334
10.375% 5/15/14 (g)	4,935		5,083
11.125% 11/15/17 (g)	5,175		5,408
13% 11/15/13 (g)	12,000		13,140
San Pasqual Casino Development Group, Inc. 8% 9/15/13 (g)	1,080		886
Scientific Games Corp. 9.25% 6/15/19 (g)	2,795		2,746
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (g)	2,270		1,249
Six Flags Operations, Inc. 12.25% 7/15/16 (g)	5,550		3,968
Six Flags, Inc. 9.625% 6/1/14	6,858		1,063
Station Casinos, Inc.:
6% 4/1/12 (e)	7,405		2,666
7.75% 8/15/16 (e)	1,735		625
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10	8,370		8,035
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (g)	1,633		980
			61,010
Household Durables - 0.0%
Fortune Brands, Inc.:
5.125% 1/15/11	2,498		2,533
5.875% 1/15/36	1,500		1,108
Sealy Mattress Co. 10.875% 4/15/16 (g)	1,140		1,166
			4,807
Media - 1.1%
AOL Time Warner, Inc.:
6.75% 4/15/11	1,109		1,162
6.875% 5/1/12	1,438		1,514
CanWest Media, Inc. 8% 9/15/12 (e)	8,625		2,243
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15 (e)	17,730		2,039
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.:
Series B, 10.25% 9/15/10 (e)	7,240		7,105
10.25% 10/1/13 (g)	2,450		2,254
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - continued
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
10% 4/30/12 (g)(l)	$ 1,500		$ 1,448
10.375% 4/30/14 (g)(l)	10,000		9,475
Clear Channel Communications, Inc.:
4.4% 5/15/11	1,800		558
5% 3/15/12	4,405		903
6.25% 3/15/11	2,510		841
Comcast Cable Communications, Inc. 6.75% 1/30/11	301		320
Comcast Corp.:
4.95% 6/15/16	1,107		1,058
5.5% 3/15/11	225		235
5.7% 5/15/18	5,309		5,266
5.85% 1/15/10	36		37
6.45% 3/15/37	4,155		3,909
COX Communications, Inc.:
4.625% 1/15/10	1,261		1,267
4.625% 6/1/13	2,632		2,541
6.25% 6/1/18 (g)	745		717
CSC Holdings, Inc. 8.5% 4/15/14 (g)	3,630		3,594
EchoStar Communications Corp.:
6.625% 10/1/14	3,000		2,730
7.125% 2/1/16	5,000		4,575
7.75% 5/31/15	3,705		3,520
Kabel Deutschland GmbH 10.625% 7/1/14	4,730		4,872
Lamar Media Corp.:
6.625% 8/15/15	2,080		1,768
6.625% 8/15/15	2,500		2,025
7.25% 1/1/13	1,585		1,450
LBI Media, Inc. 8.5% 8/1/17 (g)	6,320		2,338
Liberty Media Corp.:
5.7% 5/15/13	2,055		1,752
8.25% 2/1/30	10,280		6,888
Muzak LLC/Muzak Finance Corp. 10% 2/15/09 (e)	5,455		3,328
News America Holdings, Inc. 7.75% 12/1/45	18,112		14,314
News America, Inc.:
4.75% 3/15/10	144		146
5.3% 12/15/14	516		523
6.2% 12/15/34	5,885		4,802
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - continued
News America, Inc.: - continued
6.9% 3/1/19 (g)	$ 2,867		$ 2,896
Nexstar Broadcasting, Inc.:
0.4479% 1/15/14 pay-in-kind (g)(l)	5,969		1,482
7% 1/15/14	1,977		692
Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc. 11.375% 4/1/13	4,033		1,129
Nielsen Finance LLC/Nielsen Finance Co.:
10% 8/1/14	9,095		8,640
11.5% 5/1/16 (g)	3,000		2,858
11.625% 2/1/14 (g)	1,800		1,764
Radio One, Inc. 8.875% 7/1/11	4,005		1,562
Rainbow National Services LLC:
8.75% 9/1/12 (g)	4,000		4,000
10.375% 9/1/14 (g)	7,775		8,008
The Reader's Digest Association, Inc. 9% 2/15/17	9,530		334
Time Warner Cable, Inc.:
5.4% 7/2/12	1,440		1,467
6.2% 7/1/13	1,369		1,430
6.75% 7/1/18	691		714
7.3% 7/1/38	1,848		1,874
8.75% 2/14/19	1,684		1,931
Time Warner, Inc.:
5.875% 11/15/16	2,609		2,519
6.5% 11/15/36	3,295		2,677
TL Acquisitions, Inc. 10.5% 1/15/15 (g)	23,565		18,381
Vertis, Inc. 13.5% 4/1/14 pay-in-kind (e)	608		6
Videotron Ltd.:
9.125% 4/15/18 (g)	2,520		2,589
9.125% 4/15/18	3,045		3,129
			173,599
Specialty Retail - 0.2%
GSC Holdings Corp./Gamestop, Inc. 8% 10/1/12	7,125		7,152
Michaels Stores, Inc. 10% 11/1/14	7,940		5,717
Sally Holdings LLC 9.25% 11/15/14	2,050		2,065
Sonic Automotive, Inc. 8.625% 8/15/13	5,015		3,134
Staples, Inc. 9.75% 1/15/14	8,117		8,950
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Specialty Retail - continued
Toys 'R' US, Inc. 7.875% 4/15/13	$ 6,585		$ 4,247
United Auto Group, Inc. 7.75% 12/15/16	3,610		2,726
			33,991
Textiles, Apparel & Luxury Goods - 0.0%
Levi Strauss & Co. 8.875% 4/1/16	6,000		5,550
TOTAL CONSUMER DISCRETIONARY			325,578
CONSUMER STAPLES - 0.6%
Beverages - 0.2%
Anheuser-Busch Companies, Inc. 6.45% 9/1/37	43		38
Anheuser-Busch InBev Worldwide, Inc.:
5.375% 11/15/14 (g)	4,022		4,035
6.875% 11/15/19 (g)	4,000		4,046
8.2% 1/15/39 (g)	8,200		8,745
Constellation Brands, Inc.:
7.25% 9/1/16	2,795		2,606
7.25% 5/15/17	2,400		2,238
Diageo Capital PLC:
5.2% 1/30/13	3,201		3,304
5.75% 10/23/17	1,105		1,125
FBG Finance Ltd. 5.125% 6/15/15 (g)	1,730		1,528
PepsiCo, Inc. 7.9% 11/1/18	6,140		7,352
			35,017
Food & Staples Retailing - 0.1%
CVS Caremark Corp.:
1.5613% 6/1/10 (l)	1,353		1,338
6.036% 12/10/28 (g)	1,343		1,106
6.302% 6/1/37 (l)	2,791		1,898
Rite Aid Corp.:
7.5% 3/1/17	5,980		4,649
10.375% 7/15/16	10,340		9,228
Wal-Mart Stores, Inc. 6.2% 4/15/38	6,660		6,907
			25,126
Food Products - 0.1%
Cargill, Inc. 6% 11/27/17 (g)	417		394
Dean Foods Co. 7% 6/1/16	5,915		5,545
General Mills, Inc. 5.65% 2/15/19	934		956
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER STAPLES - continued
Food Products - continued
Kraft Foods, Inc.:
5.625% 11/1/11	$ 2,156		$ 2,292
6.75% 2/19/14	318		346
			9,533
Personal Products - 0.0%
Avon Products, Inc. 4.8% 3/1/13	1,054		1,101
Tobacco - 0.2%
Altria Group, Inc. 9.7% 11/10/18	16,293		18,543
Philip Morris International, Inc.:
4.875% 5/16/13	1,054		1,106
6.375% 5/16/38	2,900		2,917
Reynolds American, Inc.:
6.75% 6/15/17	1,724		1,625
7.25% 6/15/37	6,485		5,151
			29,342
TOTAL CONSUMER STAPLES			100,119
ENERGY - 1.6%
Energy Equipment & Services - 0.1%
DCP Midstream LLC 9.75% 3/15/19 (g)	4,276		4,462
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (g)	5,420		4,390
Transocean Ltd. 5.25% 3/15/13	2,042		2,107
Weatherford International Ltd.:
4.95% 10/15/13	1,026		970
5.15% 3/15/13	1,341		1,287
			13,216
Oil, Gas & Consumable Fuels - 1.5%
BW Group Ltd. 6.625% 6/28/17 (g)	1,742		1,315
Canadian Natural Resources Ltd.:
5.15% 2/1/13	2,650		2,712
5.7% 5/15/17	683		658
Canadian Oil Sands Ltd. 4.8% 8/10/09 (g)	2,429		2,435
Chesapeake Energy Corp.:
6.5% 8/15/17	14,280		11,710
9.5% 2/15/15	3,440		3,371
Colorado Interstate Gas Co. 5.95% 3/15/15	7,000		6,762
Connacher Oil and Gas Ltd. 10.25% 12/15/15 (g)	5,990		3,774
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
ConocoPhillips:
4.75% 2/1/14	$ 621		$ 645
5.75% 2/1/19	7,588		7,803
6.5% 2/1/39	3,908		4,039
Devon Energy Corp. 5.625% 1/15/14	1,381		1,448
Drummond Co., Inc. 7.375% 2/15/16 (g)	8,000		5,880
Duke Capital LLC:
6.25% 2/15/13	589		601
6.75% 2/15/32	2,454		2,019
Duke Energy Field Services:
5.375% 10/15/15 (g)	720		596
6.45% 11/3/36 (g)	8,320		5,607
6.875% 2/1/11	1,363		1,379
7.875% 8/16/10	611		625
El Paso Natural Gas Co. 5.95% 4/15/17	551		511
Empresa Nacional de Petroleo 6.75% 11/15/12 (g)	998		1,054
Enbridge Energy Partners LP:
5.875% 12/15/16	1,064		918
6.5% 4/15/18	1,398		1,277
9.875% 3/1/19	1,726		1,937
EnCana Holdings Finance Corp. 5.8% 5/1/14	1,702		1,755
Energy Transfer Partners LP 9% 4/15/19	2,800		3,126
Enterprise Products Operating LP:
4.625% 10/15/09	1,147		1,150
5.6% 10/15/14	1,152		1,132
5.65% 4/1/13	410		407
EOG Resources, Inc. 5.625% 6/1/19	2,191		2,243
EXCO Resources, Inc. 7.25% 1/15/11	5,585		5,082
Forest Oil Corp.:
7.25% 6/15/19	9,250		7,978
8.5% 2/15/14 (g)	2,955		2,852
Gazstream SA 5.625% 7/22/13 (g)	647		621
Gulf South Pipeline Co. LP 5.75% 8/15/12 (g)	2,276		2,196
Kinder Morgan Energy Partners LP 5.125% 11/15/14	10,945		10,627
Lukoil International Finance BV 6.656% 6/7/22 (g)	720		547
Mariner Energy, Inc. 8% 5/15/17	2,100		1,628
Nakilat, Inc. 6.067% 12/31/33 (g)	4,083		3,077
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (g)	3,700		2,738
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Nexen, Inc.:
5.05% 11/20/13	$ 2,265		$ 2,205
5.2% 3/10/15	535		481
5.875% 3/10/35	2,365		1,877
6.4% 5/15/37	4,230		3,614
NGPL PipeCo LLC 6.514% 12/15/12 (g)	2,099		2,098
Peabody Energy Corp. 7.875% 11/1/26	7,925		7,212
Pemex Project Funding Master Trust 2.62% 6/15/10 (g)(l)	734		727
Petrohawk Energy Corp. 9.125% 7/15/13	12,000		11,760
Petroleos Mexicanos 8% 5/3/19 (g)	406		444
Petroleum Development Corp. 12% 2/15/18	4,240		2,968
Plains All American Pipeline LP:
6.125% 1/15/17	1,880		1,734
6.65% 1/15/37	4,780		4,075
7.75% 10/15/12	1,389		1,393
Plains Exploration & Production Co.:
7% 3/15/17	4,400		3,795
7.625% 6/1/18	7,415		6,572
7.75% 6/15/15	3,000		2,805
Range Resources Corp. 7.375% 7/15/13	1,330		1,290
Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (g)	1,760		1,852
Ras Laffan Liquid Natural Gas Co. Ltd. III:
5.832% 9/30/16 (g)	791		785
6.332% 9/30/27 (g)	5,710		5,113
Rockies Express Pipeline LLC 6.25% 7/15/13 (g)	1,603		1,612
Ship Finance International Ltd. 8.5% 12/15/13	10,070		7,855
Source Gas LLC 5.9% 4/1/17 (g)	2,088		1,510
Southwestern Energy Co. 7.5% 2/1/18 (g)	3,340		3,173
Stone Energy Corp. 6.75% 12/15/14	5,580		2,957
Suncor Energy, Inc.:
6.1% 6/1/18	6,842		6,578
6.85% 6/1/39	6,550		5,887
Talisman Energy, Inc. yankee 6.25% 2/1/38	2,650		2,199
Teekay Corp. 8.875% 7/15/11	5,450		5,382
Tennessee Gas Pipeline Co. 8% 2/1/16 (g)	825		825
TEPPCO Partners LP 5.9% 4/15/13	1,908		1,796
Texas Eastern Transmission LP 6% 9/15/17 (g)	948		950
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
TransCanada PipeLines Ltd. 6.35% 5/15/67 (l)	$ 1,397		$ 922
Williams Companies, Inc.:
6.375% 10/1/10 (g)	4,195		4,195
7.625% 7/15/19	2,985		2,910
8.125% 3/15/12	6,285		6,427
XTO Energy, Inc.:
5% 1/31/15	1,031		1,006
5.65% 4/1/16	707		707
5.9% 8/1/12	2,623		2,743
6.5% 12/15/18	5,000		5,246
			243,915
TOTAL ENERGY			257,131
FINANCIALS - 4.0%
Capital Markets - 0.8%
Bear Stearns Companies, Inc.:
0.8425% 8/21/09 (l)	689		689
1.2406% 10/22/10 (l)	1,379		1,359
1.3919% 7/16/09 (l)	339		339
1.5538% 9/9/09 (l)	749		748
4.245% 1/7/10	717		720
4.5% 10/28/10	1,080		1,109
5.3% 10/30/15	689		650
5.85% 7/19/10	2,220		2,292
6.95% 8/10/12	11,066		11,966
BlackRock, Inc. 6.25% 9/15/17	1,810		1,772
Goldman Sachs Group, Inc.:
5.25% 10/15/13	3,478		3,477
5.45% 11/1/12	2,220		2,275
5.95% 1/18/18	2,350		2,241
6% 5/1/14	4,000		4,067
6.15% 4/1/18	1,161		1,121
6.6% 1/15/12	1,008		1,065
6.75% 10/1/37	8,835		7,407
6.875% 1/15/11	161		170
7.5% 2/15/19	15,036		15,822
JPMorgan Chase Capital XX 6.55% 9/29/36	11,345		8,937
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Capital Markets - continued
Lazard Group LLC:
6.85% 6/15/17	$ 2,262		$ 1,957
7.125% 5/15/15	811		708
Merrill Lynch & Co., Inc.:
5.45% 2/5/13	3,781		3,524
6.15% 4/25/13	652		627
6.4% 8/28/17	1,830		1,659
6.875% 4/25/18	2,591		2,405
Morgan Stanley:
1.3994% 1/9/12 (l)	6,662		6,049
1.4494% 1/9/14 (l)	2,947		2,439
4.75% 4/1/14	468		428
5.05% 1/21/11	1,794		1,814
5.25% 11/2/12	144		144
5.45% 1/9/17	140		128
5.95% 12/28/17	324		304
6% 5/13/14	4,650		4,673
6.6% 4/1/12	3,370		3,510
6.625% 4/1/18	806		797
6.75% 4/15/11	4,992		5,199
7.3% 5/13/19	7,034		7,205
Northern Trust Corp.:
4.625% 5/1/14	1,071		1,080
5.5% 8/15/13	168		175
Nuveen Investments, Inc. 10.5% 11/15/15 (g)	6,070		3,247
Scotland International Finance No. 2 BV 7.7% 8/15/10 (g)	576		562
State Street Corp. 4.3% 5/30/14	990		988
The Bank of New York, Inc.:
4.3% 5/15/14	4,756		4,778
4.95% 11/1/12	2,277		2,368
5.45% 5/15/19	5,023		5,033
UBS AG Stamford Branch:
5.75% 4/25/18	2,418		2,169
5.875% 12/20/17	1,760		1,598
			133,794
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Commercial Banks - 0.5%
American Express Bank FSB:
5.5% 4/16/13	$ 2,410		$ 2,312
6% 9/13/17	366		327
ANZ National International Ltd. 6.2% 7/19/13 (g)	647		660
Bank of America NA 6% 10/15/36	2,235		1,692
Bank One Corp.:
5.25% 1/30/13	548		550
7.875% 8/1/10	407		426
BB&T Corp. 6.5% 8/1/11	732		748
Chase Manhattan Corp. 7.875% 6/15/10	915		958
Credit Suisse First Boston 6% 2/15/18	9,961		9,257
Credit Suisse First Boston New York Branch 5% 5/15/13	10,815		10,762
Credit Suisse New York Branch 5.5% 5/1/14	4,885		4,934
DBS Bank Ltd. (Singapore) 1.0744% 5/16/17 (g)(l)	3,570		3,017
Export-Import Bank of Korea:
5.125% 2/14/11	1,720		1,749
5.25% 2/10/14 (g)	333		323
5.5% 10/17/12	1,329		1,358
Fifth Third Bancorp:
4.5% 6/1/18	73		47
8.25% 3/1/38	1,237		949
HBOS PLC 6.75% 5/21/18 (g)	408		289
HSBC Holdings PLC:
1.3659% 10/6/16 (l)	868		687
6.5% 5/2/36	6,610		6,041
6.5% 9/15/37	8,400		7,618
JPMorgan Chase Bank 6% 10/1/17	1,234		1,185
KeyBank NA:
5.8% 7/1/14	660		594
7% 2/1/11	662		650
Korea Development Bank:
4.625% 9/16/10	1,080		1,090
4.75% 7/20/09	552		551
Manufacturers & Traders Trust Co. 2.7075% 4/1/13 (g)(l)	547		419
National City Bank, Cleveland:
4.15% 8/1/09	1,123		1,122
4.5% 3/15/10	1,734		1,743
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Commercial Banks - continued
PNC Funding Corp.:
1.1794% 1/31/12 (l)	$ 3,525		$ 3,121
7.5% 11/1/09	1,194		1,217
Rabobank Capital Funding Trust II 5.26% (g)(l)	335		258
Santander Issuances SA Unipersonal:
1.6475% 6/20/16 (g)(l)	2,649		1,735
5.805% 6/20/16 (g)(l)	2,477		1,879
Standard Chartered Bank 6.4% 9/26/17 (g)	2,577		2,195
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (g)(l)	1,728		1,192
Union Planters Corp. 7.75% 3/1/11	353		339
UnionBanCal Corp. 5.25% 12/16/13	390		363
Wachovia Bank NA 4.875% 2/1/15	829		734
Wachovia Corp.:
1.23% 4/23/12 (l)	320		294
1.2613% 10/15/11 (l)	2,366		2,214
1.3113% 12/1/09 (l)	640		635
5.625% 10/15/16	2,003		1,709
5.75% 6/15/17	1,728		1,652
Wells Fargo & Co.:
4.2% 1/15/10	1,552		1,572
5.625% 12/11/17	1,847		1,758
Wells Fargo Bank NA, San Francisco 6.45% 2/1/11	342		350
			85,275
Consumer Finance - 1.0%
American Express Co. 7.25% 5/20/14	4,000		4,084
American Express Credit Corp. 5.875% 5/2/13	343		333
Capital One Financial Corp.:
1.5725% 9/10/09 (l)	1,931		1,892
7.375% 5/23/14	4,410		4,544
Discover Financial Services:
1.8613% 6/11/10 (l)	2,370		2,229
6.45% 6/12/17	8,700		7,059
Ford Motor Credit Co. LLC:
2.7013% 1/15/10 (l)	2,800		2,576
5.7% 1/15/10	8,920		8,530
7% 10/1/13	2,800		2,259
7.375% 10/28/09	8,940		8,761
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Consumer Finance - continued
Ford Motor Credit Co. LLC: - continued
8% 6/1/14	$ 5,430		$ 4,453
8% 12/15/16	10,620		8,528
General Electric Capital Corp.:
5.625% 9/15/17	17,812		17,105
5.9% 5/13/14	6,210		6,257
General Motors Acceptance Corp.:
6.875% 9/15/11	1,360		1,210
6.875% 8/28/12	3,685		3,132
8% 11/1/31	2,055		1,548
GMAC LLC:
6% 12/15/11 (g)	2,735		2,393
6.625% 5/15/12	1,785		1,535
6.625% 5/15/12 (g)	8,315		7,151
6.75% 12/1/14 (g)	6,105		5,067
6.875% 9/15/11 (g)	1,365		1,215
7% 2/1/12 (g)	5,945		5,172
7.5% 12/31/13 (g)	7,562		6,276
8% 11/1/31 (g)	13,691		10,200
Household Finance Corp.:
6.375% 10/15/11	1,096		1,109
7% 5/15/12	276		282
HSBC Finance Corp.:
5.25% 1/14/11	771		772
5.25% 1/15/14	621		600
MBNA America Bank NA 7.125% 11/15/12 (g)	409		384
MBNA Corp. 7.5% 3/15/12	948		927
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (g)	2,501		2,396
ORIX Corp. 5.48% 11/22/11	227		200
SLM Corp.:
1.2519% 7/26/10 (l)	20,263		17,832
1.3219% 10/25/11 (l)	5,381		3,884
1.52% 3/15/11 (l)	66		52
4.5% 7/26/10	2,889		2,665
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (g)	231		233
			154,845
Diversified Financial Services - 0.9%
Bank of America Corp. 7.4% 1/15/11	12,203		12,451
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Diversified Financial Services - continued
BP Capital Markets PLC 5.25% 11/7/13	$ 13,466		$ 14,290
BTM Curacao Holding NV 1.6194% 12/19/16 (g)(l)	1,709		1,323
Calpine Construction Finance Co. LP 8% 6/1/16 (g)	10,880		10,445
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13	9,335		8,612
CIT Group, Inc. 1.3938% 6/8/09 (l)	690		688
Citigroup, Inc.:
0.9444% 5/18/11 (l)	1,656		1,512
5.3% 10/17/12	8,973		8,603
5.5% 4/11/13	6,263		6,007
6.125% 5/15/18	9,915		8,846
6.5% 1/18/11	770		778
6.5% 8/19/13	12,925		12,808
CME Group, Inc. 5.75% 2/15/14	2,601		2,743
GlaxoSmithKline Capital, Inc. 5.65% 5/15/18	12,399		12,884
Hilcorp Energy I LP/Hilcorp Finance Co. 9% 6/1/16 (g)	4,685		4,123
ILFC E-Capital Trust I 5.9% 12/21/65 (g)(l)	1,765		671
International Lease Finance Corp.:
5.4% 2/15/12	1,688		1,291
6.375% 3/25/13	886		689
6.625% 11/15/13	1,603		1,223
JPMorgan Chase & Co.:
4.65% 6/1/14	6,500		6,456
4.891% 9/1/15 (l)	1,608		1,262
5.6% 6/1/11	1,824		1,922
5.75% 1/2/13	1,306		1,337
6.3% 4/23/19	6,000		5,969
6.75% 2/1/11	221		232
Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (g)	165		171
NSG Holdings II, LLC 7.75% 12/15/25 (g)	6,750		5,434
Prime Property Funding, Inc.:
5.125% 6/1/15 (g)	642		414
5.5% 1/15/14 (g)	409		277
5.7% 4/15/17 (g)	999		582
TransCapitalInvest Ltd. 5.67% 3/5/14 (g)	1,908		1,658
ZFS Finance USA Trust I 6.15% 12/15/65 (g)(l)	1,369		897
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Diversified Financial Services - continued
ZFS Finance USA Trust II 6.45% 12/15/65 (g)(l)	$ 2,951		$ 1,948
ZFS Finance USA Trust IV 5.875% 5/9/62 (g)(l)	1,473		906
			139,452
Insurance - 0.3%
Allstate Corp. 7.45% 5/16/19	5,875		6,137
Assurant, Inc.:
5.625% 2/15/14	1,126		960
6.75% 2/15/34	1,159		762
Axis Capital Holdings Ltd. 5.75% 12/1/14	329		285
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (g)(l)	878		664
HUB International Holdings, Inc. 9% 12/15/14 (g)	3,710		2,783
Jackson National Life Global Funding 5.375% 5/8/13 (g)	444		422
Liberty Mutual Group, Inc. 6.5% 3/15/35 (g)	350		195
Marsh & McLennan Companies, Inc. 9.25% 4/15/19	22		25
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (g)	4,500		4,733
Merna Reinsurance Ltd. Series 2007-1 Class B, 2.97% 6/30/12 (g)(l)	3,821		3,401
MetLife, Inc.:
5% 6/15/15	686		634
6.125% 12/1/11	583		608
6.75% 6/1/16	3,874		3,942
7.717% 2/15/19	6,959		7,396
Metropolitan Life Global Funding I:
4.625% 8/19/10 (g)	1,944		1,964
5.125% 4/10/13 (g)	329		325
Monumental Global Funding II 5.65% 7/14/11 (g)	973		940
Monumental Global Funding III 5.5% 4/22/13 (g)	1,297		1,223
Pacific Life Global Funding 5.15% 4/15/13 (g)	1,995		1,879
Prudential Financial, Inc.:
5.15% 1/15/13	1,277		1,201
5.4% 6/13/35	266		199
5.5% 3/15/16	250		237
5.7% 12/14/36	226		184
8.875% 6/15/68 (l)	1,751		1,383
QBE Insurance Group Ltd. 5.647% 7/1/23 (g)(l)	1,969		1,118
Symetra Financial Corp. 6.125% 4/1/16 (g)	3,053		2,295
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Insurance - continued
The St. Paul Travelers Companies, Inc. 8.125% 4/15/10	$ 736		$ 770
USI Holdings Corp. 4.7581% 11/15/14 (g)(l)	2,920		1,599
			48,264
Real Estate Investment Trusts - 0.3%
AMB Property LP 5.9% 8/15/13	1,520		1,359
Arden Realty LP 5.2% 9/1/11	789		810
AvalonBay Communities, Inc.:
4.95% 3/15/13	216		199
5.5% 1/15/12	1,410		1,396
6.625% 9/15/11	482		494
Brandywine Operating Partnership LP:
4.5% 11/1/09	1,819		1,790
5.625% 12/15/10	2,403		2,192
5.75% 4/1/12	1,095		906
BRE Properties, Inc.:
4.875% 5/15/10	1,522		1,505
5.75% 9/1/09	360		361
Camden Property Trust:
4.375% 1/15/10	871		877
5.375% 12/15/13	387		354
5.875% 11/30/12	1,743		1,663
CPG Partners LP 6% 1/15/13	599		590
Developers Diversified Realty Corp.:
4.625% 8/1/10	1,775		1,575
5% 5/3/10	1,320		1,188
5.25% 4/15/11	1,433		1,177
5.375% 10/15/12	757		528
Duke Realty LP:
4.625% 5/15/13	369		297
5.25% 1/15/10	267		265
5.4% 8/15/14	325		255
5.5% 3/1/16	2,930		2,184
5.625% 8/15/11	4,312		4,037
5.875% 8/15/12	67		60
Equity One, Inc.:
6% 9/15/17	503		373
6.25% 1/15/17	291		223
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Investment Trusts - continued
Federal Realty Investment Trust:
5.4% 12/1/13	$ 243		$ 212
6% 7/15/12	1,728		1,565
6.2% 1/15/17	365		297
Hospitality Properties Trust 5.625% 3/15/17	707		519
HRPT Properties Trust:
5.75% 11/1/15	524		416
6.25% 6/15/17	726		548
6.65% 1/15/18	364		291
Liberty Property LP:
5.125% 3/2/15	500		405
5.5% 12/15/16	876		676
Mack-Cali Realty LP:
5.05% 4/15/10	478		464
7.75% 2/15/11	575		557
Omega Healthcare Investors, Inc. 7% 1/15/16	4,090		3,681
Senior Housing Properties Trust 8.625% 1/15/12	5,910		5,762
Simon Property Group LP:
4.6% 6/15/10	646		642
4.875% 8/15/10	397		397
5% 3/1/12	214		207
5.375% 6/1/11	366		361
5.6% 9/1/11	1,601		1,587
5.75% 5/1/12	746		727
6.75% 5/15/14	4,302		4,275
7.75% 1/20/11	484		497
Tanger Properties LP 6.15% 11/15/15	14		11
Ventas Realty LP 6.5% 6/1/16	660		602
Washington (REIT) 5.95% 6/15/11	2,143		2,024
			53,381
Real Estate Management & Development - 0.0%
ERP Operating LP 5.5% 10/1/12	261		256
Post Apartment Homes LP:
5.45% 6/1/12	798		727
6.3% 6/1/13	1,412		1,270
Regency Centers LP:
4.95% 4/15/14	360		290
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Management & Development - continued
Regency Centers LP: - continued
5.25% 8/1/15	$ 1,257		$ 996
5.875% 6/15/17	622		473
			4,012
Thrifts & Mortgage Finance - 0.2%
Bank of America Corp.:
7.375% 5/15/14	8,392		8,832
7.625% 6/1/19	19,000		19,217
Countrywide Financial Corp.:
4.5% 6/15/10	282		279
5.8% 6/7/12	1,718		1,724
Countrywide Home Loans, Inc. 4.125% 9/15/09	2,267		2,256
Independence Community Bank Corp.:
3.0275% 4/1/14 (l)	2,485		1,774
4.9% 9/23/10	999		977
World Savings Bank FSB 4.125% 12/15/09	306		309
			35,368
TOTAL FINANCIALS			654,391
HEALTH CARE - 1.0%
Biotechnology - 0.0%
Amgen, Inc. 5.85% 6/1/17	1,741		1,807
Health Care Equipment & Supplies - 0.1%
Biomet, Inc.:
10% 10/15/17	6,820		6,956
11.625% 10/15/17	7,320		7,192
Fresenius US Finance II, Inc. 9% 7/15/15 (g)	3,140		3,258
			17,406
Health Care Providers & Services - 0.8%
Apria Healthcare Group, Inc. 11.25% 11/1/14 (g)	7,330		7,193
Cardinal Health 409, Inc. 10.25% 4/15/15 pay-in-kind (l)	5,075		1,914
Coventry Health Care, Inc.:
5.95% 3/15/17	1,030		783
6.3% 8/15/14	2,132		1,797
DaVita, Inc. 6.625% 3/15/13	15,205		14,198
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
HEALTH CARE - continued
Health Care Providers & Services - continued
HCA, Inc.:
6.375% 1/15/15	$ 1,325		$ 1,027
6.5% 2/15/16	5,605		4,316
8.5% 4/15/19 (g)	4,455		4,332
8.75% 9/1/10	9,235		9,155
9.25% 11/15/16	19,940		19,616
9.875% 2/15/17 (g)	850		852
IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14	7,000		6,843
NMH Holdings, Inc. 8.445% 6/15/14 pay-in-kind (g)(l)	0*		0*
Rural/Metro Corp. 9.875% 3/15/15	4,835		4,061
Sun Healthcare Group, Inc. 9.125% 4/15/15	4,230		4,167
Surgical Care Affiliates LLC 8.875% 7/15/15 pay-in-kind (g)(l)	4,360		3,488
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13	6,460		6,395
Tenet Healthcare Corp.:
7.375% 2/1/13	1,250		1,178
9% 5/1/15 (g)	1,002		1,012
9.25% 2/1/15	1,910		1,772
9.875% 7/1/14	4,690		4,678
10% 5/1/18 (g)	5,002		5,202
United Surgical Partners International, Inc. 8.875% 5/1/17	10,745		9,160
US Oncology Holdings, Inc. 7.6538% 3/15/12 pay-in-kind (l)	8,582		5,440
Viant Holdings, Inc. 10.125% 7/15/17 (g)	10,489		7,919
			126,498
Pharmaceuticals - 0.1%
AstraZeneca PLC 6.45% 9/15/37	1,853		2,083
Bristol-Myers Squibb Co. 5.45% 5/1/18	1,728		1,793
Novartis Capital Corp. 4.125% 2/10/14	1,727		1,768
Roche Holdings, Inc. 5% 3/1/14 (g)	3,501		3,651
Teva Pharmaceutical Finance LLC 5.55% 2/1/16	564		573
			9,868
TOTAL HEALTH CARE			155,579
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INDUSTRIALS - 0.7%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc.:
4.75% 8/15/10 (g)	$ 1,556		$ 1,566
6.4% 12/15/11 (g)	482		508
Bombardier, Inc.:
6.3% 5/1/14 (g)	10,420		9,118
7.45% 5/1/34 (g)	2,340		1,778
DRS Technologies, Inc.:
6.625% 2/1/16	3,760		3,663
7.625% 2/1/18	1,830		1,763
			18,396
Airlines - 0.2%
American Airlines, Inc. pass-thru trust certificates:
6.978% 10/1/12	233		221
7.024% 4/15/11	1,667		1,642
7.858% 4/1/13	3,201		2,929
AMR Corp. 10.2% 3/15/20	3,445		1,809
Continental Airlines, Inc.:
pass-thru trust certificates:
8.388% 5/1/22	95		62
9.798% 4/1/21	6,278		3,390
6.648% 3/15/19	1,816		1,452
6.82% 5/1/18	130		100
6.9% 7/2/19	512		420
7.056% 3/15/11	1,036		1,020
7.339% 4/19/14	2,050		1,399
Delta Air Lines, Inc.:
7.9% 12/15/09 (a)	27,035		270
8.3% 12/15/29 (a)	15,711		157
10.375% 2/1/11 (a)	8,640		86
Delta Air Lines, Inc. pass-thru trust certificates:
6.821% 8/10/22	222		178
7.57% 11/18/10	6,419		6,130
7.779% 1/2/12	1,541		1,402
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	1,336		989
8.36% 7/20/20	910		728
United Air Lines, Inc. pass-thru trust certificates:
Class 1A, 6.636% 1/2/24	333		247
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Airlines - continued
United Air Lines, Inc. pass-thru trust certificates: - - continued
6.071% 9/1/14	$ 29		$ 28
6.201% 3/1/10	18		18
6.602% 9/1/13	52		51
			24,728
Building Products - 0.0%
Masco Corp. 1.6313% 3/12/10 (l)	2,670		2,555
Masonite International Corp. 11% 4/6/15 (e)	6,000		60
Nortek, Inc. 10% 12/1/13	7,610		4,947
			7,562
Commercial Services & Supplies - 0.1%
ARAMARK Corp. 8.5% 2/1/15	7,670		7,287
Browning-Ferris Industries, Inc. 9.25% 5/1/21	1,350		1,411
Cenveo Corp. 10.5% 8/15/16 (g)	2,590		1,858
Iron Mountain, Inc.:
7.75% 1/15/15	3,400		3,281
8.625% 4/1/13	370		370
			14,207
Electrical Equipment - 0.1%
Sensus Metering Systems, Inc. 8.625% 12/15/13	11,608		10,679
Industrial Conglomerates - 0.2%
Covidien International Finance SA:
5.15% 10/15/10	1,489		1,534
5.45% 10/15/12	3,609		3,842
6% 10/15/17	1,726		1,821
6.55% 10/15/37	3,560		3,671
General Electric Co. 5.25% 12/6/17	19,778		19,590
			30,458
Machinery - 0.0%
Atlas Copco AB 5.6% 5/22/17 (g)	360		343
Commercial Vehicle Group, Inc. 8% 7/1/13	1,730		744
			1,087
Marine - 0.0%
Navios Maritime Holdings, Inc. 9.5% 12/15/14	3,320		2,540
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Professional Services - 0.0%
FTI Consulting, Inc.:
7.625% 6/15/13	$ 920		$ 902
7.75% 10/1/16	1,800		1,764
			2,666
Road & Rail - 0.0%
Kansas City Southern Railway Co. 8% 6/1/15	2,450		2,083
Trading Companies & Distributors - 0.0%
VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind	6,330		4,748
TOTAL INDUSTRIALS			119,154
INFORMATION TECHNOLOGY - 0.4%
Communications Equipment - 0.1%
Cisco Systems, Inc.:
4.95% 2/15/19	2,070		2,083
5.9% 2/15/39	331		321
Lucent Technologies, Inc. 6.45% 3/15/29	10,065		5,737
Nortel Networks Corp.:
10.125% 7/15/13 (e)	7,880		2,443
10.75% 7/15/16 (e)	4,900		1,544
			12,128
Computers & Peripherals - 0.0%
Seagate Technology International 10% 5/1/14 (g)	965		965
Electronic Equipment & Components - 0.0%
Itron, Inc. 7.75% 5/15/12	860		783
Tyco Electronics Group SA:
5.95% 1/15/14	1,738		1,558
6% 10/1/12	2,284		2,232
6.55% 10/1/17	1,390		1,233
7.125% 10/1/37	1,952		1,399
			7,205
IT Services - 0.1%
SunGard Data Systems, Inc.:
4.875% 1/15/14	12,355		11,120
10.625% 5/15/15 (g)	5,015		4,865
			15,985
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - continued
Office Electronics - 0.0%
Xerox Corp.:
5.5% 5/15/12	$ 944		$ 928
8.25% 5/15/14	1,799		1,826
			2,754
Semiconductors & Semiconductor Equipment - 0.2%
Avago Technologies Finance Ltd. 10.125% 12/1/13	8,150		7,834
Freescale Semiconductor, Inc.:
8.875% 12/15/14	10,770		4,900
10.125% 12/15/16	24,065		6,979
National Semiconductor Corp.:
1.57% 6/15/10 (l)	2,354		2,100
6.15% 6/15/12	874		839
NXP BV:
3.8813% 10/15/13 (l)	715		211
7.875% 10/15/14	8,000		2,880
9.5% 10/15/15	690		121
Spansion LLC 11.25% 1/15/16 (e)(g)	7,320		1,647
			27,511
TOTAL INFORMATION TECHNOLOGY			66,548
MATERIALS - 0.9%
Chemicals - 0.1%
Agrium, Inc. 7.125% 5/23/36	5,105		4,328
Airgas, Inc. 7.125% 10/1/18 (g)	2,190		2,102
Dow Chemical Co.:
7.6% 5/15/14	3,864		3,911
8.55% 5/15/19	3,864		3,864
E.I. du Pont de Nemours & Co. 5% 1/15/13	278		293
Georgia Gulf Corp.:
7.125% 12/15/13	1,390		361
9.5% 10/15/14	6,440		1,723
10.75% 10/15/16 (e)	885		80
Lubrizol Corp. 8.875% 2/1/19	547		603
MacDermid, Inc. 9.5% 4/15/17 (g)	740		474
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
MATERIALS - continued
Chemicals - continued
Momentive Performance Materials, Inc.:
9.75% 12/1/14	$ 3,670		$ 1,363
10.125% 12/1/14 pay-in-kind (l)	199		49
			19,151
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	1,080		907
Containers & Packaging - 0.2%
Berry Plastics Holding Corp. 8.875% 9/15/14	10,450		8,308
Cellu Tissue Holdings, Inc. 11.5% 6/1/14 (g)	2,410		2,374
Crown Americas LLC/Capital Corp. II 7.625% 5/15/17 (g)	1,970		1,921
Crown Americas LLC/Crown Americas Capital Corp.:
7.625% 11/15/13	4,000		3,910
7.75% 11/15/15	4,000		3,900
Owens-Brockway Glass Container, Inc. 6.75% 12/1/14	2,390		2,265
Owens-Illinois, Inc.:
7.5% 5/15/10	770		800
7.8% 5/15/18	350		329
Pactiv Corp.:
5.875% 7/15/12	1,009		1,014
6.4% 1/15/18	1,030		903
			25,724
Metals & Mining - 0.6%
Anglo American Capital PLC 9.375% 4/8/19 (g)	13		14
BHP Billiton Financial USA Ltd.:
5.125% 3/29/12	1,164		1,224
5.5% 4/1/14	5,752		6,139
6.5% 4/1/19	5,752		6,265
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (g)	1,179		1,266
FMG Finance Property Ltd. 10.625% 9/1/16 (g)	7,000		6,230
Freeport-McMoRan Copper & Gold, Inc. 8.375% 4/1/17	13,725		13,348
Noranda Aluminium Holding Corp. 7.9125% 11/15/14 pay-in-kind (l)	3,659		1,305
Nucor Corp.:
5.85% 6/1/18	5,135		5,272
6.4% 12/1/37	4,120		3,779
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
MATERIALS - continued
Metals & Mining - continued
Rio Tinto Finance (USA) Ltd.:
5.875% 7/15/13	$ 7,256		$ 7,087
6.5% 7/15/18	6,714		6,611
7.125% 7/15/28	7,050		6,341
Steel Dynamics, Inc.:
7.375% 11/1/12	3,005		2,750
7.75% 4/15/16 (g)	3,990		3,372
Teck Resources Ltd.:
9.75% 5/15/14 (g)	4,165		4,144
10.25% 5/15/16 (g)	5,310		5,370
10.75% 5/15/19 (g)	6,210		6,389
United States Steel Corp. 6.65% 6/1/37	4,975		3,631
Vale Overseas Ltd. 6.25% 1/23/17	1,368		1,383
			91,920
Paper & Forest Products - 0.0%
Catalyst Paper Corp. 7.375% 3/1/14	4,268		1,835
International Paper Co. 7.4% 6/15/14	1,525		1,502
Verso Paper Holdings LLC/ Verso Paper, Inc. 11.5% 7/1/14 (g)	1,430		1,330
			4,667
TOTAL MATERIALS			142,369
TELECOMMUNICATION SERVICES - 1.6%
Diversified Telecommunication Services - 1.1%
AT&T Broadband Corp. 8.375% 3/15/13	1,523		1,696
AT&T, Inc.:
5.8% 2/15/19	5,178		5,314
6.3% 1/15/38	9,775		9,182
6.7% 11/15/13	691		760
6.8% 5/15/36	13,429		13,376
BellSouth Capital Funding Corp. 7.875% 2/15/30	1,845		1,942
BellSouth Corp. 6.55% 6/15/34	4,075		3,755
British Telecommunications PLC:
8.625% 12/15/10	1,601		1,699
9.125% 12/15/30	3,080		3,080
Deutsche Telekom International Financial BV:
5.25% 7/22/13	1,443		1,479
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Deutsche Telekom International Financial BV: - continued
6.75% 8/20/18	$ 4,408		$ 4,698
Intelsat Corp. 9.25% 8/15/14 (g)	5,190		5,086
Intelsat Ltd. 11.25% 6/15/16	14,660		15,100
Level 3 Financing, Inc. 9.25% 11/1/14	8,960		7,000
Qwest Corp. 8.375% 5/1/16 (g)	5,765		5,650
SBC Communications, Inc.:
5.1% 9/15/14	1,278		1,324
5.875% 2/1/12	1,610		1,705
5.875% 8/15/12	576		615
Sprint Capital Corp.:
6.875% 11/15/28	15,273		10,691
6.9% 5/1/19	24,065		19,493
8.375% 3/15/12	7,330		7,220
8.75% 3/15/32	3,945		3,117
Telecom Italia Capital SA:
4% 1/15/10	2,881		2,886
4.95% 9/30/14	1,890		1,794
5.25% 10/1/15	2,367		2,167
6.999% 6/4/18	6,391		6,238
7.2% 7/18/36	7,123		6,329
7.721% 6/4/38	1,777		1,677
Telefonica Emisiones SAU:
1.3463% 2/4/13 (l)	1,416		1,334
6.421% 6/20/16	684		724
7.045% 6/20/36	8,220		8,917
Telefonos de Mexico SA de CV 4.75% 1/27/10	3,654		3,716
Verizon Communications, Inc.:
6.1% 4/15/18	1,909		1,986
6.25% 4/1/37	3,729		3,504
6.4% 2/15/38	6,365		6,136
6.9% 4/15/38	8,315		8,459
Verizon Global Funding Corp. 7.25% 12/1/10	1,615		1,728
Verizon New England, Inc. 6.5% 9/15/11	525		562
Verizon New York, Inc. 6.875% 4/1/12	1,563		1,642
			183,781
Wireless Telecommunication Services - 0.5%
America Movil SAB de CV 5.625% 11/15/17	1,066		1,032
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - continued
Cricket Communications, Inc. 9.375% 11/1/14	$ 660		$ 657
Crown Castle International Corp. 9% 1/15/15	2,955		2,970
Digicel Group Ltd.:
8.875% 1/15/15 (g)	11,915		9,711
9.125% 1/15/15 pay-in-kind (g)(l)	1,645		1,316
9.25% 9/1/12 (g)	4,120		3,935
12% 4/1/14 (g)	5,790		5,558
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 7.625% 5/15/16	3,975		3,821
Intelsat Jackson Holdings Ltd.:
9.5% 6/15/16 (g)	6,745		6,796
11.5% 6/15/16 (g)	665		652
Intelsat Subsidiary Holding Co. Ltd.:
8.875% 1/15/15 (g)	6,980		6,840
8.875% 1/15/15 (g)	870		855
Nextel Communications, Inc.:
5.95% 3/15/14	830		656
6.875% 10/31/13	4,380		3,646
7.375% 8/1/15	13,910		11,024
Orascom Telecom Finance SCA 7.875% 2/8/14 (g)	1,510		1,178
Rogers Communications, Inc. 6.8% 8/15/18	4,480		4,783
Verizon Wireless Capital LLC:
5.55% 2/1/14 (g)	1,399		1,479
8.5% 11/15/18 (g)	2,074		2,516
Vodafone Group PLC:
5% 12/16/13	1,353		1,418
5.5% 6/15/11	1,626		1,723
7.75% 2/15/10	1,089		1,128
			73,694
TOTAL TELECOMMUNICATION SERVICES			257,475
UTILITIES - 1.4%
Electric Utilities - 0.7%
AmerenUE 6.4% 6/15/17	1,760		1,764
Appalachian Power Co. 6.375% 4/1/36	6,000		5,204
Cleveland Electric Illuminating Co.:
5.65% 12/15/13	2,423		2,454
8.875% 11/15/18	5,136		5,921
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Electric Utilities - continued
Commonwealth Edison Co. 5.4% 12/15/11	$ 1,027		$ 1,063
Duke Energy Carolinas LLC:
6.05% 4/15/38	2,510		2,568
7% 11/15/18	3,449		3,959
EDP Finance BV:
5.375% 11/2/12 (g)	1,175		1,201
6% 2/2/18 (g)	2,160		2,136
Enel Finance International SA:
5.7% 1/15/13 (g)	491		506
6.8% 9/15/37 (g)	10,928		10,495
Exelon Corp.:
4.9% 6/15/15	1,885		1,691
6.75% 5/1/11	392		408
FirstEnergy Corp. 6.45% 11/15/11	1,163		1,217
Florida Power Corp.:
5.65% 6/15/18	2,710		2,853
6.4% 6/15/38	6,435		6,849
FPL Group Capital, Inc. 7.875% 12/15/15	911		1,046
Illinois Power Co. 6.125% 11/15/17	243		234
Intergen NV 9% 6/30/17 (g)	7,015		6,699
IPALCO Enterprises, Inc.:
7.25% 4/1/16 (g)	3,670		3,523
8.625% 11/14/11	3,905		3,925
Jersey Central Power & Light Co. 7.35% 2/1/19	1,039		1,093
Mirant Americas Generation LLC 8.3% 5/1/11	6,000		6,000
Nevada Power Co.:
6.5% 5/15/18	5,100		5,026
6.5% 8/1/18	925		911
Oncor Electric Delivery Co. 6.375% 5/1/12	1,609		1,654
Oncor Electric Delivery Co. LLC 5.95% 9/1/13	2,131		2,172
Pacific Gas & Electric Co. 5.8% 3/1/37	3,230		3,151
PacifiCorp 6% 1/15/39	710		722
PECO Energy Co. 5.6% 10/15/13	6,150		6,546
Pennsylvania Electric Co. 6.05% 9/1/17	450		426
Pepco Holdings, Inc.:
4% 5/15/10	1,314		1,314
6.45% 8/15/12	2,198		2,271
PPL Capital Funding, Inc. 6.7% 3/30/67 (l)	3,512		2,423
Progress Energy, Inc. 7.1% 3/1/11	1,994		2,134
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Electric Utilities - continued
Sierra Pacific Power Co. 5.45% 9/1/13	$ 919		$ 920
Tampa Electric Co. 6.15% 5/15/37	3,871		3,371
West Penn Power Co. 5.95% 12/15/17 (g)	185		165
Wisconsin Electric Power Co. 6.25% 12/1/15	1,775		1,875
			107,890
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (g)	260		242
Texas Eastern Transmission Corp. 7.3% 12/1/10	1,827		1,901
			2,143
Independent Power Producers & Energy Traders - 0.4%
AES Corp.:
7.75% 10/15/15	4,660		4,334
9.75% 4/15/16 (g)	2,000		2,010
Constellation Energy Group, Inc. 7% 4/1/12	3,797		3,852
Duke Capital LLC 5.668% 8/15/14	1,211		1,182
Energy Future Holdings 10.875% 11/1/17	41,405		29,812
Enron Corp.:
6.4% 7/15/06 (e)	3,600		2
6.625% 11/15/05 (e)	2,155		1
6.75% 9/1/04 (e)	1,425		0*
9.125% 4/1/03 (e)	4,315		3
Exelon Generation Co. LLC 5.35% 1/15/14	900		865
NRG Energy, Inc. 7.375% 2/1/16	13,560		12,882
RRI Energy, Inc. 6.75% 12/15/14	9,645		9,283
			64,226
Multi-Utilities - 0.3%
CenterPoint Energy, Inc. 5.95% 2/1/17	1,053		890
Dominion Resources, Inc.:
4.75% 12/15/10	2,316		2,377
6.3% 9/30/66 (l)	12,212		7,358
7.5% 6/30/66 (l)	2,999		2,077
DTE Energy Co.:
7.05% 6/1/11	580		603
7.625% 5/15/14	1,868		1,930
KeySpan Corp. 7.625% 11/15/10	291		307
MidAmerican Energy Holdings, Co.:
5.875% 10/1/12	1,721		1,797
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Multi-Utilities - continued
MidAmerican Energy Holdings, Co.: - continued
6.5% 9/15/37	$ 6,515		$ 6,324
National Grid PLC 6.3% 8/1/16	870		879
NiSource Finance Corp.:
5.25% 9/15/17	497		413
5.4% 7/15/14	794		704
5.45% 9/15/20	2,082		1,643
6.4% 3/15/18	912		796
6.8% 1/15/19	4,000		3,584
7.875% 11/15/10	602		613
10.75% 3/15/16	8,160		8,891
Wisconsin Energy Corp. 6.25% 5/15/67 (l)	3,636		2,618
WPS Resources Corp. 6.11% 12/1/66 (l)	520		317
			44,121
TOTAL UTILITIES			218,380
TOTAL NONCONVERTIBLE BONDS			2,296,724
TOTAL CORPORATE BONDS (Cost $2,523,186)		2,384,586
U.S. Government and Government Agency Obligations - 4.6%
U.S. Government Agency Obligations - 1.6%
Fannie Mae:
3.375% 5/19/11	163,673		171,035
3.625% 8/15/11	14,335		15,080
4.375% 7/17/13	20,070		21,501
6% 5/15/11 (i)	38,785		42,473
Freddie Mac 5.25% 7/18/11 (i)	1,950		2,115
Tennessee Valley Authority 5.375% 4/1/56	5,573		5,333
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			257,537
U.S. Treasury Inflation Protected Obligations - 2.7%
U.S. Treasury Inflation-Indexed Notes:
0.625% 4/15/13	12,075		12,049
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Inflation Protected Obligations - continued
U.S. Treasury Inflation-Indexed Notes: - continued
1.625% 1/15/15 (i)	$ 33,417		$ 33,662
1.625% 1/15/18	12,183		12,166
2% 4/15/12	7,452		7,719
2% 1/15/14 (i)	156,514		161,282
2% 1/15/14	16,150		16,642
2.375% 1/15/27	47,461		48,161
2.5% 7/15/16	142,179		150,709
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			442,390
U.S. Treasury Obligations - 0.3%
U.S. Treasury Notes 1.875% 4/30/14 (f)	38,380		37,576
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $718,495)		737,503
U.S. Government Agency - Mortgage Securities - 5.1%
Fannie Mae - 3.7%
5% 12/1/25 to 10/1/38	138,210		141,984
5% 6/1/39 (h)	30,000		30,716
5% 6/11/39 (h)	52,000		53,241
5% 6/11/39 (h)	62,500		63,991
5.5% 1/1/33 to 7/1/38	174,265		180,932
5.593% 7/1/37 (l)	1,358		1,414
6% 6/1/30 to 7/1/37	98,041		103,537
6% 6/11/39 (h)	10,500		10,993
6.01% 4/1/36 (l)	1,045		1,090
6.131% 4/1/36 (l)	2,303		2,404
6.248% 6/1/36 (l)	383		395
6.326% 4/1/36 (l)	1,103		1,153
6.5% 11/1/29 to 1/1/36	11,648		12,531
TOTAL FANNIE MAE			604,381
Freddie Mac - 0.9%
5% 3/1/19 to 6/1/38	94,664		97,621
5% 6/11/39 (h)	21,500		21,993
5.692% 10/1/35 (l)	668		702
5.921% 6/1/36 (l)	2,355		2,452
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
6% 11/1/33	$ 807		$ 850
6.115% 6/1/36 (l)	1,154		1,207
6.5% 11/1/34 to 3/1/36	21,365		22,937
TOTAL FREDDIE MAC			147,762
Government National Mortgage Association - 0.5%
5.5% 9/20/38	534		555
5.5% 6/18/39 (h)	6,000		6,221
5.5% 6/18/39 (h)	30,000		31,105
5.5% 6/18/39 (h)	17,000		17,611
5.5% 6/18/39 (h)	2,500		2,592
6% 2/15/34	13,214		13,962
6.5% 3/15/34	7,307		7,836
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION			79,882
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $811,123)		832,025
Asset-Backed Securities - 0.9%
Accredited Mortgage Loan Trust:
Series 2004-4 Class A2D, 0.6588% 1/25/35 (l)	77		28
Series 2005-1 Class M1, 0.7788% 4/25/35 (l)	1,383		676
ACE Securities Corp. Series 2006-NC2:
Class M7, 1.0588% 7/25/36 (l)	633		1
Class M8, 1.1588% 7/25/36 (l)	313		0*
Class M9, 2.0088% 7/25/36 (l)	5		0*
ACE Securities Corp. Home Equity Loan Trust:
Series 2003-HS1 Class M2, 2.9338% 6/25/33 (l)	89		58
Series 2004-HE1 Class M1, 0.8088% 2/25/34 (l)	187		166
Series 2004-OP1 Class M1, 0.8288% 4/25/34 (l)	472		241
Series 2005-HE2 Class M2, 0.7588% 4/25/35 (l)	199		168
Series 2005-SD1 Class A1, 0.7088% 11/25/50 (l)	26		25
Series 2006-HE2:
Class M3, 0.6488% 5/25/36 (l)	275		5
Class M4, 0.7088% 5/25/36 (l)	233		4
Class M5, 0.7488% 5/25/36 (l)	55		1
Series 2006-OP1:
Class M4, 0.6788% 4/25/36 (l)	129		4
Class M5, 0.6988% 4/25/36 (l)	123		3
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Advanta Business Card Master Trust:
Series 2006-A6 Class A6, 0.3463% 9/20/13 (l)	$ 6,890		$ 6,046
Series 2006-A7 Class A7, 0.3363% 10/20/12 (l)	3,470		3,045
Series 2006-C1 Class C1, 0.7963% 10/20/14 (l)	353		18
Series 2007-A1 Class A, 0.3663% 1/20/15 (l)	2,330		2,045
Series 2007-A4 Class A4, 0.3463% 4/22/13 (l)	3,311		2,906
ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (g)(l)	618		616
American Express Credit Account Master Trust Series 2004-C Class C, 0.8444% 2/15/12 (g)(l)	188		186
AmeriCredit Automobile Receivables Trust:
Series 2005-1 Class C, 4.73% 7/6/10	148		148
Series 2005-DA Class A4, 5.02% 11/6/12	131		131
AmeriCredit Prime Automobile Receivables Trust Series 2007-1 Class D, 5.62% 9/30/14	539		162
Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class A2A, 0.3588% 10/25/36 (l)	43		42
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.0088% 12/25/33 (l)	108		70
Series 2004-R10 Class M1, 1.0088% 11/25/34 (l)	515		263
Series 2004-R11 Class M1, 0.9688% 11/25/34 (l)	443		174
Series 2004-R2:
Class M1, 0.7388% 4/25/34 (l)	180		140
Class M3, 0.8588% 4/25/34 (l)	124		41
Series 2005-R1 Class M1, 0.7588% 3/25/35 (l)	715		377
Series 2005-R10 Class A2B, 0.5288% 12/25/35 (l)	609		440
Series 2005-R2 Class M1, 0.7588% 4/25/35 (l)	1,567		850
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.6388% 6/25/32 (l)	125		63
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.6988% 3/1/34 (l)	36		7
Series 2004-W11 Class M2, 1.0088% 11/25/34 (l)	426		175
Series 2004-W5 Class M1, 0.9088% 4/25/34 (l)	516		266
Series 2004-W7:
Class M1, 0.8588% 5/25/34 (l)	451		167
Class M2, 0.9088% 5/25/34 (l)	394		222
Series 2006-W4 Class A2C, 0.4688% 5/25/36 (l)	1,178		322
Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.0888% 10/25/36 (l)	989		18
Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.7288% 12/25/34 (l)	1,089		580
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2003-HE3 Class M1, 1.5894% 6/15/33 (l)	$ 176		$ 81
Series 2004-HE2 Class M1, 0.8588% 4/25/34 (l)	2,026		988
Series 2004-HE3:
Class M1, 0.8488% 6/25/34 (l)	179		75
Class M2, 1.4288% 6/25/34 (l)	291		192
Series 2004-HE6 Class A2, 0.6688% 6/25/34 (l)	316		132
Series 2006-HE6 Class M7, 1.1088% 11/25/36 (l)	220		3
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (e)(g)(l)	3,496		0*
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.4244% 3/15/12 (l)	2,606		2,561
Bayview Financial Acquisition Trust Series 2004-C Class A1, 0.9463% 5/28/44 (l)	239		145
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 0.9913% 2/28/44 (l)	465		284
Bear Stearns Asset Backed Securities I Trust:
Series 2005-3 Class A1, 0.7588% 9/25/35 (l)	77		50
Series 2005-FR1 Class M1, 0.8088% 6/25/35 (l)	735		355
Series 2005-HE2 Class M1, 0.8088% 2/25/35 (l)	1,159		444
Series 2007-HE3 Class 1A1, 0.4288% 4/25/37 (l)	363		284
Bear Stearns Asset Backed Securities Trust Series 2006-3 Class A1, 0.4588% 8/25/36 (l)	1,987		1,762
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.2322% 12/26/24 (l)	1,743		1,615
C-BASS Trust Series 2006-CB7 Class A2, 0.3688% 10/25/36 (l)	487		428
Capital Auto Receivables Asset Trust Series 2005-1 Class B, 0.7194% 6/15/10 (l)	141		141
Capital One Auto Finance Trust Series 2006-C Class A3B, 0.3544% 7/15/11 (l)	167		165
Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.6344% 4/15/13 (g)(l)	2,208		2,014
Capital Trust Ltd. Series 2004-1:
Class A2, 0.7663% 7/20/39 (g)(l)	347		69
Class B, 1.0663% 7/20/39 (g)(l)	200		24
Class C, 1.4163% 7/20/39 (g)(l)	258		21
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13	445		299
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 0.6088% 7/25/36 (l)	4,366		182
Series 2006-NC2 Class M7, 1.1588% 6/25/36 (l)	323		6
Series 2006-NC4 Class M1, 0.6088% 10/25/36 (l)	2,570		113
Series 2006-RFC1 Class M9, 2.1788% 5/25/36 (l)	141		4
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Carrington Mortgage Loan Trust: - continued
Series 2007-RFC1 Class A3, 0.4488% 12/25/36 (l)	$ 1,368		$ 294
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.4963% 5/20/17 (g)(l)	188		137
Chase Issuance Trust Series 2004-3 Class C, 0.8144% 6/15/12 (l)	402		386
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14	230		126
Citigroup Mortgage Loan Trust:
Series 2003-HE4 Class A, 0.7188% 12/25/33 (g)(l)	272		194
Series 2005-HE4 Class A2C, 0.5788% 10/25/35 (l)	3,984		3,558
Series 2006-AMC1 Class M7, 1.1288% 9/25/36 (l)	574		3
Series 2006-WF2 Class A2B, 5.735% 5/25/36	191		190
Series 2007-AMC4 Class M1, 0.5788% 5/25/37 (l)	581		18
CNH Wholesale Master Note Trust Series 2006-1A:
Class A, 0.4044% 7/15/12 (g)(l)	993		974
Class B, 0.6244% 7/15/12 (g)(l)	993		968
Countrywide Asset-Backed Certificates Trust:
Series 2007-5 Class 2A1, 0.4088% 4/25/29 (l)	9,296		7,542
Series 2007-BC2 Class 2A1, 0.3988% 6/25/37 (l)	333		277
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (g)	251		0*
Countrywide Home Loans, Inc.:
Series 2002-6 Class AV1, 1.1688% 5/25/33 (l)	35		18
Series 2004-3:
Class 3A4, 0.5588% 8/25/34 (l)	128		65
Class M1, 0.8088% 6/25/34 (l)	502		310
Class M4, 1.2788% 4/25/34 (l)	121		60
Series 2004-4:
Class A, 0.6788% 8/25/34 (l)	29		13
Class M2, 0.8388% 6/25/34 (l)	446		304
Series 2005-1:
Class M1, 0.7288% 8/25/35 (l)	389		252
Class MV2, 0.7488% 7/25/35 (l)	1,073		729
Series 2005-3 Class MV1, 0.7288% 8/25/35 (l)	1,736		1,490
Series 2005-AB1 Class A2, 0.5188% 8/25/35 (l)	323		290
CPS Auto Receivables Trust Series 2006-D Class A4, 5.115% 8/15/13 (g)	486		457
Discover Card Master Trust I:
Series 2006-2 Class B1, 0.4644% 1/17/12 (l)	2,207		2,178
Series 2007-1 Class B, 0.4444% 8/15/12 (l)	2,207		1,963
Drive Auto Receivables Trust Series 2006-1 Class A4, 5.54% 12/16/13 (g)	1,118		1,069
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 1.012% 5/28/35 (l)	$ 30		$ 16
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 2.4838% 8/25/34 (l)	221		43
Series 2006-3 Class 2A3, 0.4688% 11/25/36 (l)	3,417		786
First Franklin Mortgage Loan Trust:
Series 2004-FF2 Class M3, 1.1338% 3/25/34 (l)	17		7
Series 2005-FF9 Class A3, 0.5888% 10/25/35 (l)	4,572		3,515
Series 2006-FF12 Class A2, 0.3488% 9/25/36 (l)	246		233
Series 2006-FF14 Class A2, 0.3688% 10/25/36 (l)	2,963		2,496
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (g)	51		51
Ford Credit Auto Owner Trust Series 2006-C Class B, 5.3% 6/15/12	127		102
Ford Credit Floorplan Master Owner Trust:
Series 2006-3 Class B, 0.7944% 6/15/11 (l)	1,537		1,153
Series 2006-4 Class B, 0.8944% 6/15/13 (l)	587		323
Fremont Home Loan Trust:
Series 2004-1:
Class M1, 0.9838% 2/25/34 (l)	55		17
Class M2, 1.0588% 2/25/34 (l)	94		62
Series 2004-A Class M1, 1.1338% 1/25/34 (l)	881		505
Series 2005-A:
Class M1, 0.7388% 1/25/35 (l)	57		54
Class M2, 0.7688% 1/25/35 (l)	1,333		714
Class M3, 0.7988% 1/25/35 (l)	720		152
Class M4, 0.9888% 1/25/35 (l)	276		116
Series 2006-A:
Class M4, 0.7088% 5/25/36 (l)	687		7
Class M5, 0.8088% 5/25/36 (l)	139		1
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (g)(l)	1,788		1,310
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (g)	1,341		1,166
GE Business Loan Trust:
Series 2003-1 Class A, 0.7744% 4/15/31 (g)(l)	268		166
Series 2006-2A:
Class A, 0.5244% 11/15/34 (g)(l)	654		334
Class B, 0.6244% 11/15/34 (g)(l)	237		54
Class C, 0.7244% 11/15/34 (g)(l)	393		59
Class D, 1.0944% 11/15/34 (g)(l)	150		16
GE Capital Credit Card Master Note Trust:
Series 2006-1:
Class B, 0.4544% 9/17/12 (l)	675		628
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
GE Capital Credit Card Master Note Trust: - continued
Class C, 0.5844% 9/17/12 (l)	$ 525		$ 473
Series 2007-1 Class C, 0.6144% 3/15/13 (l)	3,603		3,063
GE Equipment Midticket LLC Series 2006-1 Class B, 0.4944% 9/15/17 (l)	299		227
GSAMP Trust:
Series 2002-HE Class M1, 2.1913% 11/20/32 (l)	437		198
Series 2003-FM1 Class M1, 1.5463% 3/20/33 (l)	858		525
Series 2004-AR1 Class M1, 0.9588% 6/25/34 (l)	1,665		568
Series 2004-FM1 Class M1, 1.2838% 11/25/33 (l)	302		165
Series 2004-FM2 Class M1, 1.0588% 1/25/34 (l)	764		390
Series 2007-HE1 Class M1, 0.5588% 3/25/47 (l)	691		25
GSR Mortgage Loan Trust:
Series 2004-OPT Class A1, 0.6488% 11/25/34 (l)	12		5
Series 2005-MTR1 Class A1, 0.4488% 10/25/35 (l)	154		149
Series 2006-FM1 Class M3, 0.6588% 4/25/36 (l)	327		4
Guggenheim Structured Real Estate Funding Ltd.:
Series 2005-1 Class C, 1.3888% 5/25/30 (g)(l)	501		125
Series 2006-3:
Class B, 0.7088% 9/25/46 (g)(l)	497		75
Class C, 0.8588% 9/25/46 (g)(l)	1,159		116
Home Equity Asset Trust:
Series 2002-3 Class A5, 1.1888% 2/25/33 (l)	0*		0*
Series 2003-3 Class M1, 1.5988% 8/25/33 (l)	723		348
Series 2003-4 Class M1, 1.5088% 10/25/33 (l)	225		130
Series 2003-5:
Class A2, 1.0088% 12/25/33 (l)	25		7
Class M1, 1.3588% 12/25/33 (l)	247		136
Series 2003-7 Class A2, 1.0688% 3/25/34 (l)	1		0*
Series 2003-8 Class M1, 1.3888% 4/25/34 (l)	395		190
Series 2004-3 Class M2, 2.0088% 8/25/34 (l)	240		137
Series 2004-7 Class A3, 0.6988% 1/25/35 (l)	0*		0*
Series 2005-1 Class M1, 0.7388% 5/25/35 (l)	785		709
Series 2005-3 Class M1, 0.7188% 8/25/35 (l)	566		521
Series 2005-5 Class 2A2, 0.5588% 11/25/35 (l)	249		228
Series 2006-1 Class 2A3, 0.5338% 4/25/36 (l)	2,446		1,698
Series 2006-7 Class M4, 0.6888% 1/25/37 (l)	379		2
Household Home Equity Loan Trust Series 2004-1 Class M, 0.8363% 9/20/33 (l)	211		129
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.4844% 6/15/12 (l)	1,707		1,623
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
HSBC Home Equity Loan Trust:
Series 2005-2:
Class M1, 0.7763% 1/20/35 (l)	$ 582		$ 351
Class M2, 0.8063% 1/20/35 (l)	437		255
Series 2005-3 Class A1, 0.5763% 1/20/35 (l)	301		161
Series 2006-2:
Class M1, 0.5863% 3/20/36 (l)	463		260
Class M2, 0.6063% 3/20/36 (l)	766		373
Series 2006-3 Class A1V, 0.3963% 3/20/36 (l)	345		334
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4988% 1/25/37 (l)	940		231
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.6088% 7/25/36 (l)	2,355		48
Series 2007-CH1:
Class AV4, 0.4388% 11/25/36 (l)	944		376
Class MV1, 0.5388% 11/25/36 (l)	767		71
Keycorp Student Loan Trust:
Series 1999-A Class A2, 1.5575% 12/27/09 (l)	807		628
Series 2006-A:
Class 2A1, 1.2575% 9/27/21 (l)	426		419
Class 2C, 2.3775% 3/27/42 (l)	520		83
Lancer Funding Ltd. Series 2006-1A Class A3, 2.8659% 4/6/46 (g)(l)	206		0*
Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14	843		787
Long Beach Mortgage Loan Trust:
Series 2003-2 Class M1, 1.5388% 6/25/33 (l)	1,562		778
Series 2004-2:
Class M1, 0.8388% 6/25/34 (l)	472		230
Class M2, 1.3888% 6/25/34 (l)	297		219
Series 2005-WL1 Class M2, 0.8588% 6/25/35 (l)	265		142
Series 2006-8 Class 2A1, 0.3488% 9/25/36 (l)	20		20
Marriott Vacation Club Owner Trust Series 2006-2A:
Class B, 5.442% 10/20/28 (g)	13		7
Class C, 5.691% 10/20/28 (g)	6		3
Class D, 6.01% 10/20/28 (g)	71		32
MASTR Asset Backed Securities Trust:
Series 2006-AM3 Class M1, 0.5688% 10/25/36 (l)	341		10
Series 2007-HE1 Class M1, 0.6088% 5/25/37 (l)	596		20
Merrill Lynch Mortgage Investors Trust:
Series 2003-HE1 Class M1, 1.0088% 7/25/34 (l)	415		287
Series 2003-OPT1 Class M1, 0.9588% 7/25/34 (l)	115		63
Series 2006-FM1 Class A2B, 0.4188% 4/25/37 (l)	1,824		1,397
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Merrill Lynch Mortgage Investors Trust: - continued
Series 2006-OPT1 Class A1A, 0.5688% 6/25/35 (l)	$ 1,289		$ 598
Morgan Stanley ABS Capital I Trust:
Series 2002-HE3 Class M1, 1.9588% 12/27/32 (l)	31		19
Series 2003-NC7 Class M1, 1.3588% 6/25/33 (l)	386		209
Series 2003-NC8 Class M1, 1.3588% 9/25/33 (l)	299		163
Series 2004-HE6 Class A2, 0.6488% 8/25/34 (l)	44		7
Series 2004-NC2 Class M1, 1.1338% 12/25/33 (l)	782		396
Series 2005-HE1 Class M2, 0.7788% 12/25/34 (l)	370		195
Series 2005-HE2 Class M1, 0.7088% 1/25/35 (l)	335		110
Series 2005-NC1 Class M1, 0.7488% 1/25/35 (l)	303		112
Series 2005-NC2 Class B1, 1.4788% 3/25/35 (l)	388		204
Series 2006-HE6 Class A2A, 0.3488% 9/25/36 (l)	275		263
Series 2006-NC4:
Class M4, 0.6588% 6/25/36 (l)	258		1
Class M6, 0.7588% 6/25/36 (l)	93		0*
Series 2007-HE2:
Class A2A, 0.3488% 1/25/37 (l)	74		57
Class M1, 0.5588% 1/25/37 (l)	3,030		54
Series 2007-HE4 Class A2A, 0.4188% 2/25/37 (l)	70		45
Series 2007-NC3 Class A2A, 0.3688% 5/25/37 (l)	40		30
Morgan Stanley Dean Witter Capital I Trust:
Series 2002-AM3 Class A3, 1.2888% 2/25/33 (l)	78		64
Series 2002-HE2 Class M1, 1.8088% 8/25/32 (l)	479		259
Series 2002-NC1 Class M1, 1.5088% 2/25/32 (g)(l)	408		234
Series 2002-NC3:
Class A3, 0.9888% 8/25/32 (l)	26		4
Class M1, 1.3888% 8/25/32 (l)	46		23
Series 2003-NC1 Class M1, 1.8838% 11/25/32 (l)	298		174
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.4088% 4/25/37 (l)	636		474
Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 0.3588% 11/25/36 (l)	207		194
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/25/14 (n)	2,046		387
Series 2006-3 Class A1, 0.3388% 9/25/19 (l)	725		695
Series 2006-4:
Class A1, 0.3388% 3/25/25 (l)	679		633
Class D, 1.4088% 5/25/32 (l)	392		9
New Century Home Equity Loan Trust:
Series 2003-6 Class M1, 1.3888% 1/25/34 (l)	871		492
Series 2005-4 Class M2, 0.8188% 9/25/35 (l)	1,083		303
Series 2005-D Class M2, 0.7788% 2/25/36 (l)	226		14
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Nomura Home Equity Loan Trust:
Series 2006-AF1 Class A1, 6.032% 10/25/36	$ 208		$ 122
Series 2006-HE2 Class A2, 0.4288% 3/25/36 (l)	491		454
Ocala Funding LLC:
Series 2005-1A Class A, 1.8163% 3/20/10 (g)(l)	429		167
Series 2006-1A Class A, 1.7163% 3/20/11 (g)(l)	892		330
Option One Mortgage Loan Trust:
Series 2004-3 Class M3, 0.9588% 11/25/34 (l)	261		167
Series 2007-5 Class 2A1, 0.3988% 5/25/37 (l)	125		115
Series 2007-6 Class 2A1, 0.3688% 7/25/37 (l)	171		158
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M2, 0.9888% 9/25/34 (l)	211		125
Class M3, 1.5588% 9/25/34 (l)	405		82
Class M4, 1.7588% 9/25/34 (l)	519		51
Series 2004-WCW2 Class M3, 0.8588% 7/25/35 (l)	304		42
Series 2004-WHQ2 Class M1, 0.8988% 2/25/35 (l)	883		632
Series 2004-WWF1:
Class M2, 0.9888% 2/25/35 (l)	1,221		617
Class M3, 1.0488% 2/25/35 (l)	151		62
Series 2005-WCH1:
Class M2, 0.8288% 1/25/35 (l)	586		314
Class M3, 0.8688% 1/25/35 (l)	363		144
Class M4, 1.1388% 1/25/35 (l)	1,120		191
Series 2005-WHQ2:
Class M7, 1.5588% 5/25/35 (l)	1,328		38
Class M9, 2.1888% 5/25/35 (l)	449		7
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:
Class 1A1, 0.3788% 9/25/36 (l)	759		750
Class M4, 0.6688% 9/25/36 (l)	1,295		4
Class M5, 0.6988% 9/25/36 (l)	169		0*
Providian Master Note Trust Series 2006-C1A Class C1, 0.8944% 3/16/15 (g)(l)	1,628		1,451
Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.5388% 12/25/36 (l)	271		7
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3788% 2/25/37 (l)	250		228
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.1088% 4/25/33 (l)	4		1
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.1038% 3/25/35 (l)	1,434		689
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Securitized Asset Backed Receivables LLC Trust:
Series 2006-FR4 Class A2A, 0.3888% 8/25/36 (l)	$ 819		$ 447
Series 2007-NC1 Class A2A, 0.3588% 12/25/36 (l)	513		414
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.4663% 3/20/19 (g)(l)	754		528
SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.27% 6/15/33 (l)	965		434
Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 1.9088% 8/25/34 (l)	153		103
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4588% 9/25/34 (l)	67		11
Structured Asset Securities Corp.:
Series 2004-GEL1 Class A, 0.6688% 2/25/34 (l)	104		47
Series 2007-BC4 Class A3, 0.6875% 11/25/37 (l)	8,263		7,162
Series 2007-GEL1 Class A2, 0.4988% 1/25/37 (g)(l)	993		293
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3988% 6/25/37 (l)	1,130		833
Superior Wholesale Inventory Financing Trust:
Series 2004-A10:
Class A, 0.4444% 9/15/11 (l)	3,992		3,908
Class B, 0.6244% 9/15/11 (l)	3,525		2,679
Series 2007-AE1:
Class A, 0.4444% 1/15/12 (l)	743		700
Class B, 0.6444% 1/15/12 (l)	646		491
Class C, 0.9444% 1/15/12 (l)	958		460
Swift Master Auto Receivables Trust Series 2007-1 Class A, 0.4444% 6/15/12 (l)	2,181		1,974
Terwin Mortgage Trust:
Series 2003-4HE Class A1, 0.7388% 9/25/34 (l)	22		6
Series 2003-6HE Class A1, 0.7788% 11/25/33 (l)	28		8
Trapeza CDO XII Ltd./, Inc. Series 2007-12A Class B, 1.9725% 4/6/42 (g)(l)	710		16
Triad Auto Receivables Owner Trust Series 2006-C Class A4, 5.31% 5/13/13	420		393
Turquoise Card Backed Securities PLC:
Series 2006-2:
Class B, 0.4944% 10/17/11 (l)	2,600		2,522
Class C, 0.6944% 10/17/11 (l)	2,873		2,729
Series 2007-1 Class C, 0.7144% 6/15/12 (l)	2,785		2,089
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (g)	674		0*
WaMu Asset-Backed Certificates Series 2006-HE3:
Class M4, 0.6888% 10/25/36 (l)	458		8
Class M7, 1.1088% 10/25/36 (l)	139		1
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
WaMu Master Note Trust:
Series 2006-C2A Class C2, 0.8444% 8/15/15 (g)(l)	$ 5,315		$ 4,502
Series 2007-A4A Class A4, 5.2% 10/15/14 (g)	6,375		6,617
Series 2007-A5A Class A5, 1.0944% 10/15/14 (g)(l)	900		890
Series 2007-C1 Class C1, 0.7444% 5/15/14 (g)(l)	3,237		3,022
Wells Fargo Home Equity Trust:
Series 2004-3 Class A, 4.5% 11/27/34 (g)	6		0
Series 2006-2 Class A2, 0.4088% 7/25/36 (l)	606		560
Series 2007-2 Class A1, 0.3988% 4/25/37 (l)	486		402
Whinstone Capital Management Ltd. Series 1A Class B3, 1.9919% 10/25/44 (g)(l)	1,358		163
TOTAL ASSET-BACKED SECURITIES (Cost $153,550)		148,621
Collateralized Mortgage Obligations - 0.6%
Private Sponsor - 0.6%
Arkle Master Issuer PLC floater:
Series 2006-1A Class 3C, 1.2444% 2/17/52 (g)(l)	508		381
Series 2006-2A:
Class 2B, 0.9744% 2/17/52 (g)(l)	1,788		1,695
Class 2M, 1.0544% 2/17/52 (g)(l)	1,216		1,116
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.5688% 4/12/56 (g)(l)	1,113		479
Banc of America Commercial Mortgage Trust Series 2007-2:
Class B, 5.8768% 4/10/49 (l)	51		8
Class C, 5.8768% 4/10/49 (l)	135		19
Class D, 5.8768% 4/10/49 (l)	67		9
Banc of America Mortgage Securities, Inc.:
Series 2003-H Class 2A3, 5.1855% 9/25/33 (l)	453		389
Series 2003-J Class 2A2, 5.2883% 11/25/33 (l)	370		318
Series 2003-K Class 1A1, 5.2036% 12/25/33 (l)	51		45
Series 2003-L Class 2A1, 5.2897% 1/25/34 (l)	733		640
Series 2004-1 Class 2A2, 4.6694% 10/25/34 (l)	1,179		992
Series 2004-A:
Class 2A1, 5.4582% 2/25/34 (l)	248		214
Class 2A2, 5.4582% 2/25/34 (l)	895		775
Series 2004-B:
Class 1A1, 4.6868% 3/25/34 (l)	57		48
Class 2A2, 4.6035% 3/25/34 (l)	411		349
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Banc of America Mortgage Securities, Inc.: - continued
Series 2004-C Class 1A1, 4.131% 4/25/34 (l)	$ 92		$ 78
Series 2004-D Class 2A1, 3.9318% 5/25/34 (l)	143		121
Series 2004-L Class 2A1, 4.3717% 1/25/35 (l)	611		509
Series 2005-H Class 1A1, 5.3265% 9/25/35 (l)	142		111
Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (g)(l)(n)	42,871		3,091
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-6 Class 1A2, 4.9845% 8/25/33 (l)	1,198		938
Bear Stearns ALT-A Trust floater:
Series 2005-1 Class A1, 0.5888% 1/25/35 (l)	2,201		1,119
Series 2005-2 Class 1A1, 0.5588% 3/25/35 (l)	410		209
Series 2005-5 Class 1A1, 0.5288% 7/25/35 (l)	518		253
Chase Mortgage Finance Trust:
Series 2007-A1 Class 1A5, 4.8273% 2/25/37 (l)	574		495
Series 2007-A2 Class 2A1, 5.1817% 7/25/37 (l)	5,266		4,709
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0955% 12/10/49 (l)	912		801
Citigroup Mortgage Loan Trust Series 2004-UST1:
Class A3, 4.5098% 8/25/34 (l)	1,403		1,246
Class A4, 3.8446% 8/25/34 (l)	1,220		1,071
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (l)	1,019		138
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.835% 7/16/34 (g)(l)	912		751
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.7088% 5/25/33 (l)	49		48
Countrywide Home Loans, Inc. Series 2005-HYB3 Class 2A6B, 4.385% 6/20/35 (l)	174		66
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:
Series 2004-1 Class 9A2, 0.7088% 1/25/35 (l)	40		20
Series 2004-2 Class 7A3, 0.7088% 2/25/35 (l)	91		52
Series 2004-4 Class 5A2, 0.7088% 3/25/35 (l)	19		9
Series 2005-1 Class 5A2, 0.6388% 5/25/35 (l)	324		174
Series 2005-10:
Class 5A1, 0.5688% 1/25/36 (l)	521		247
Class 5A2, 0.6288% 1/25/36 (l)	235		109
Series 2005-2:
Class 6A2, 0.5888% 6/25/35 (l)	71		37
Class 6M2, 0.7888% 6/25/35 (l)	1,120		217
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: - continued
Series 2005-4 Class 7A2, 0.5388% 8/25/35 (l)	$ 123		$ 55
Series 2005-8 Class 7A2, 0.5888% 11/25/35 (l)	314		171
Credit Suisse First Boston Mortgage Securities Corp. floater:
Series 2004-AR4 Class 5A2, 1.0488% 5/25/34 (l)	11		6
Series 2004-AR5 Class 11A2, 1.0488% 6/25/34 (l)	24		13
Series 2004-AR6 Class 9A2, 1.0488% 10/25/34 (l)	112		64
Series 2004-AR7 Class 6A2, 1.0688% 8/25/34 (l)	31		17
Series 2004-AR8 Class 8A2, 1.0688% 9/25/34 (l)	19		14
Series 2007-AR7 Class 2A1, 4.6058% 11/25/34 (l)	125		98
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.4688% 3/25/37 (l)	2,608		822
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.4181% 9/19/36 (l)	420		369
First Horizon Mortgage pass-thru Trust:
floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (l)	41		20
Series 2004-AR5 Class 2A1, 5.1134% 10/25/34 (l)	1,913		1,448
Fosse Master Issuer PLC floater Series 2006-1A:
Class B2, 1.2669% 10/18/54 (g)(l)	2,169		1,712
Class C2, 1.5769% 10/18/54 (g)(l)	727		340
Class M2, 1.3569% 10/18/54 (g)(l)	1,247		818
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.255% 11/20/56 (g)(l)	1,862		925
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.6088% 10/11/41 (g)(l)	2,364		1,069
Granite Master Issuer PLC floater:
Series 2006-1A Class C2, 0.9163% 12/20/54 (g)(l)	4,562		274
Series 2006-2 Class C1, 0.7863% 12/20/54 (l)	4,063		284
Series 2006-3 Class C2, 0.8163% 12/20/54 (l)	853		44
Series 2006-4:
Class B1, 0.4063% 12/20/54 (l)	2,685		456
Class C1, 0.6963% 12/20/54 (l)	1,641		98
Class M1, 0.4863% 12/20/54 (l)	706		78
Series 2007-1:
Class 1C1, 0.6163% 12/20/54 (l)	1,410		99
Class 1M1, 0.4663% 12/20/54 (l)	917		92
Class 2C1, 0.7463% 12/20/54 (l)	643		45
Class 2M1, 0.5663% 12/20/54 (l)	1,177		118
Series 2007-2 Class 2C1, 0.765% 12/17/54 (l)	1,631		98
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Granite Mortgages PLC floater Series 2003-3 Class 1C, 3.5569% 1/20/44 (l)	$ 326		$ 37
GSR Mortgage Loan Trust:
Series 2004-11 Class 1A1, 4.8984% 9/25/34 (l)	281		190
Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (l)	546		369
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.5481% 5/19/35 (l)	319		144
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.5213% 7/15/40 (g)(l)	544		460
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.7588% 10/25/34 (l)	114		67
Impac CMB Trust floater:
Series 2004-11 Class 2A2, 1.0488% 3/25/35 (l)	189		50
Series 2005-1:
Class M4, 1.0588% 4/25/35 (l)	23		1
Class M5, 1.0788% 4/25/35 (l)	23		3
Class M6, 1.1288% 4/25/35 (l)	9		1
Series 2005-3 Class A1, 0.5488% 8/25/35 (l)	460		225
Series 2005-6 Class 1M3, 0.9188% 10/25/35 (l)	21		1
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:
Class A1, 5.32% 6/12/47 (l)	124		122
Class A3, 5.447% 6/12/47 (l)	1,730		1,388
JPMorgan Mortgage Trust:
sequential payer Series 2006-A5 Class 3A5, 5.9517% 8/25/36 (l)	1,917		1,381
Series 2004-A1 Class 2A1, 4.5098% 2/25/34 (l)	959		846
Series 2004-A3 Class 4A1, 4.2869% 7/25/34 (l)	2,550		2,281
Series 2004-A5 Class 2A1, 4.5678% 12/25/34 (l)	1,720		1,509
Series 2006-A2 Class 5A1, 5.1365% 11/25/33 (l)	4,552		4,044
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 12/31/49	410		334
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.6988% 9/26/45 (g)(l)	348		158
MASTR Adjustable Rate Mortgages Trust:
floater Series 2005-1 Class 1A1, 0.5788% 3/25/35 (l)	42		25
Series 2007-3 Class 22A2, 0.5188% 5/25/47 (l)	1,083		431
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34	322		245
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4788% 2/25/37 (l)	1,340		590
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Merrill Lynch Floating Trust floater Series 2006-1:
Class B, 0.5144% 6/15/22 (g)(l)	$ 158		$ 79
Class C, 0.5344% 6/15/22 (g)(l)	967		435
Class D, 0.5444% 6/15/22 (g)(l)	372		112
Class E, 0.5544% 6/15/22 (g)(l)	595		149
Class F, 0.5844% 6/15/22 (g)(l)	1,073		236
Class G, 0.6544% 6/15/22 (g)(l)	223		45
Class H, 0.6744% 6/15/22 (g)(l)	447		67
Class J, 0.7144% 6/15/22 (g)(l)	521		52
Merrill Lynch Mortgage Investors Trust:
floater:
Series 2003-A Class 2A1, 0.6988% 3/25/28 (l)	160		104
Series 2003-B Class A1, 0.6488% 4/25/28 (l)	176		114
Series 2003-D Class A, 0.6188% 8/25/28 (l)	149		94
Series 2003-E Class A2, 2.0813% 10/25/28 (l)	248		162
Series 2004-E:
Class A2B, 2.1163% 11/25/29 (l)	410		246
Class A2D, 2.3063% 11/25/29 (l)	59		40
Series 2004-G Class A2, 2.15% 1/25/30 (l)	199		133
Series 2005-A Class A2, 2.0013% 2/25/30 (l)	190		119
Series 2005-B Class A2, 1.4% 7/25/30 (l)	572		387
Series 2006-MLN1 Class M4, 0.6688% 7/25/37 (l)	1,237		5
Series 2004-A4 Class A1, 3.9375% 8/25/34 (l)	1,880		1,577
Series 2005-A2:
Class A2, 4.4844% 2/25/35 (l)	1,161		941
Class A7, 4.4844% 2/25/35 (l)	2,175		1,623
Series 2006-A6 Class A4, 5.3866% 10/25/33 (l)	1,747		1,476
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (l)	3,905		3,551
MortgageIT Trust floater:
Series 2004-2:
Class A1, 0.6788% 12/25/34 (l)	203		131
Class A2, 0.7588% 12/25/34 (l)	274		182
Series 2005-2 Class 1A1, 0.5688% 5/25/35 (l)	229		120
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5988% 7/25/35 (l)	2,342		1,075
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.6088% 3/25/37 (l)	1,855		78
Permanent Financing No. 8 PLC floater Class 3C, 1.8125% 6/10/42 (l)	1,557		1,180
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.5313% 7/17/42 (l)	$ 396		$ 293
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5716% 10/25/35 (l)	866		662
RESI Finance LP/RESI Finance DE Corp. floater:
Series 2003-B Class B5, 2.7319% 7/10/35 (g)(l)	1,007		476
Series 2003-CB1 Class B3, 1.8319% 6/10/35 (g)(l)	785		404
Series 2004-A:
Class B4, 1.5819% 2/10/36 (g)(l)	598		200
Class B5, 2.0819% 2/10/36 (g)(l)	399		127
Series 2004-B:
Class B4, 1.4819% 2/10/36 (g)(l)	263		79
Class B5, 1.9319% 2/10/36 (g)(l)	203		54
Class B6, 2.3819% 2/10/36 (g)(l)	71		17
Series 2004-C:
Class B4, 1.3319% 9/10/36 (g)(l)	338		95
Class B5, 1.7319% 9/10/36 (g)(l)	379		94
Class B6, 2.1319% 9/10/36 (g)(l)	84		18
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.4088% 9/25/46 (l)	1,177		908
Residential Asset Mortgage Products, Inc.:
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31	174		159
Series 2005-AR5 Class 1A1, 5.3716% 9/19/35 (l)	189		128
Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.2753% 7/25/34 (l)	970		760
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7588% 6/25/33 (g)(l)	208		137
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.4088% 2/25/36 (g)(l)	20		20
Salomon Brothers Mortgage Securities VII, Inc.:
Series 2003-UP1 Class A, 3.45% 4/25/32 (g)	130		100
Series 2006-C2 Class H, 6.308% 7/18/33 (g)	129		98
Sequoia Mortgage Trust floater:
Series 2004-1 Class A, 1.8888% 2/20/34 (l)	118		79
Series 2004-10 Class A4, 4.5188% 11/20/34 (l)	169		104
Series 2004-12 Class 1A2, 2.1538% 1/20/35 (l)	506		301
Series 2004-4 Class A, 4.4388% 5/20/34 (l)	616		422
Series 2004-5 Class A3, 1.5925% 6/20/34 (l)	241		157
Series 2004-6:
Class A3A, 2.1613% 7/20/34 (l)	186		119
Class A3B, 2.3038% 7/20/34 (l)	36		22
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Sequoia Mortgage Trust floater: - continued
Series 2004-7:
Class A3A, 1.9138% 8/20/34 (l)	$ 191		$ 114
Class A3B, 2.1388% 7/20/34 (l)	24		14
Series 2005-1 Class A2, 1.7513% 2/20/35 (l)	296		189
Series 2005-2 Class A2, 2.03% 3/20/35 (l)	389		229
Series 2005-3 Class A1, 0.5163% 5/20/35 (l)	190		101
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.1088% 9/25/36 (l)	399		7
Structured Asset Securities Corp.:
floater Series 2004-NP1 Class A, 0.7088% 9/25/33 (g)(l)	69		29
Series 2003-15A Class 4A, 5.4553% 4/25/33 (l)	923		763
Series 2003-20 Class 1A1, 5.5% 7/25/33	583		503
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.6375% 9/25/36 (l)	2,485		1,034
WaMu Mortgage pass-thru certificates:
floater:
Series 2006-AR11 Class C1B1, 0.3888% 9/25/46 (l)	72		69
Series 2006-AR7 Class C1B1, 0.3688% 7/25/46 (l)	21		21
Series 2003-AR8 Class A, 4.2538% 8/25/33 (l)	940		774
Series 2005-AR3 Class A2, 4.6397% 3/25/35 (l)	2,678		2,130
Wells Fargo Mortgage Backed Securities Trust:
Series 2004-EE Class 2A2, 4.1079% 12/25/34 (l)	946		809
Series 2004-H Class A1, 4.5272% 6/25/34 (l)	2,230		1,976
Series 2004-W:
Class A1, 4.5433% 11/25/34 (l)	868		740
Class A9, 4.5433% 11/25/34 (l)	3,939		2,749
Series 2005-AR10 Class 2A2, 4.0939% 6/25/35 (l)	746		668
Series 2005-AR12:
Class 2A5, 4.2078% 7/25/35 (l)	9,940		6,886
Class 2A6, 4.1484% 7/25/35 (l)	626		536
Series 2005-AR3 Class 2A1, 4.3579% 3/25/35 (l)	1,170		938
TOTAL PRIVATE SPONSOR			90,470
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - 0.0%
Fannie Mae subordinate REMIC pass-thru certificates sequential payer Series 2002-57 Class BT, 6% 11/25/31	$ 5,562		$ 5,623
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $96,611)		96,093
Commercial Mortgage Securities - 1.6%
Asset Securitization Corp. Series 1997-D5:
Class A-6, 7.2691% 2/14/43 (l)	1,067		754
Class A2, 6.8991% 2/14/43 (l)	671		681
Class A3, 6.9491% 2/14/43 (l)	724		691
Class PS1, 1.4493% 2/14/43 (l)(n)	3,797		128
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.7211% 5/10/45 (l)	1,065		1,003
Series 2006-4 Class A1, 5.363% 7/10/46 (l)	327		326
Series 2006-5:
Class A1, 5.185% 7/10/11	707		704
Class A2, 5.317% 9/10/47	3,520		3,270
Class A3, 5.39% 9/10/47	1,272		1,062
Series 2006-6 Class A3, 5.369% 12/10/16	1,824		1,542
Series 2007-2 Class A1, 5.421% 4/10/49	188		189
Series 2007-4 Class A3, 6.0024% 2/10/51 (l)	910		756
Series 2006-5 Class XP, 0.832% 9/10/47 (n)	14,463		272
Series 2006-6:
Class E, 5.619% 10/10/45 (g)	527		63
Class XP, 0.4315% 10/10/45 (l)(n)	5,306		74
Series 2007-3:
Class A3, 5.6582% 6/10/49 (l)	1,523		1,191
Class A4, 5.8374% 6/10/49 (l)	1,901		1,388
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2000-2 Class A2, 7.197% 9/15/32	284		288
Series 2001-1 Class A4, 5.451% 1/15/49	1,997		1,537
Series 2004-2:
Class A3, 4.05% 11/10/38	1,234		1,184
Class A4, 4.153% 11/10/38	1,157		1,051
Series 2004-4 Class A3, 4.128% 7/10/42	643		638
Series 2005-1 Class A3, 4.877% 11/10/42	3,142		3,054
Series 2006-1 Class A1, 5.219% 9/10/45 (l)	817		815
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Banc of America Commercial Mortgage, Inc.: - - continued
Series 2007-1 Class A2, 5.381% 1/15/49	$ 2,565		$ 2,359
Series 2001-3 Class H, 6.562% 4/11/37 (g)	510		460
Series 2001-PB1:
Class J, 7.166% 5/11/35 (g)	228		148
Class K, 6.15% 5/11/35 (g)	424		293
Series 2005-3 Series A3B, 5.09% 7/10/43 (l)	2,833		2,598
Series 2005-6 Class A3, 5.3515% 9/10/47 (l)	1,642		1,580
Series 2007-1 Class B, 5.543% 1/15/49	549		130
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class C, 0.6544% 3/15/22 (g)(l)	392		196
Class D, 0.7044% 3/15/22 (g)(l)	397		179
Class E, 0.7444% 3/15/22 (g)(l)	328		148
Class F, 0.8144% 3/15/22 (g)(l)	467		210
Class G, 0.8744% 3/15/22 (g)(l)	303		115
Series 2006-BIX1:
Class C, 0.5244% 10/15/19 (g)(l)	586		340
Class D, 0.5544% 10/15/19 (g)(l)	716		315
Class E, 0.5844% 10/15/19 (g)(l)	663		252
Class F, 0.6544% 10/15/19 (g)(l)	1,878		751
Class G, 0.6744% 10/15/19 (g)(l)	820		287
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.1588% 12/25/33 (g)(l)	78		38
Series 2004-1:
Class A, 0.6688% 4/25/34 (g)(l)	1,001		651
Class B, 2.2088% 4/25/34 (g)(l)	111		32
Class M1, 0.8688% 4/25/34 (g)(l)	90		48
Class M2, 1.5088% 4/25/34 (g)(l)	81		36
Series 2004-2:
Class A, 0.7388% 8/25/34 (g)(l)	762		571
Class M1, 0.8888% 8/25/34 (g)(l)	173		93
Series 2004-3:
Class A1, 0.6788% 1/25/35 (g)(l)	1,565		1,017
Class A2, 0.7288% 1/25/35 (g)(l)	225		135
Class M1, 0.8088% 1/25/35 (g)(l)	271		152
Class M2, 1.3088% 1/25/35 (g)(l)	175		81
Series 2005-2A:
Class A1, 0.6188% 8/25/35 (g)(l)	1,341		741
Class M1, 0.7388% 8/25/35 (g)(l)	84		31
Class M2, 0.7888% 8/25/35 (g)(l)	139		48
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
Class M3, 0.8088% 8/25/35 (g)(l)	$ 77		$ 25
Class M4, 0.9188% 8/25/35 (g)(l)	71		22
Series 2005-3A:
Class A1, 0.6288% 11/25/35 (g)(l)	625		355
Class A2, 0.7088% 11/25/35 (g)(l)	487		256
Class M1, 0.7488% 11/25/35 (g)(l)	74		28
Class M2, 0.7988% 11/25/35 (g)(l)	94		34
Class M3, 0.8188% 11/25/35 (g)(l)	84		29
Class M4, 0.9088% 11/25/35 (g)(l)	105		34
Series 2005-4A:
Class A2, 0.6988% 1/25/36 (g)(l)	1,455		727
Class B1, 1.7088% 1/25/36 (g)(l)	126		33
Class M1, 0.7588% 1/25/36 (g)(l)	469		218
Class M2, 0.7788% 1/25/36 (g)(l)	141		62
Class M3, 0.8088% 1/25/36 (g)(l)	206		85
Class M4, 0.9188% 1/25/36 (g)(l)	114		44
Class M5, 0.9588% 1/25/36 (g)(l)	114		42
Class M6, 1.0088% 1/25/36 (g)(l)	121		41
Series 2006-1:
Class A2, 0.6688% 4/25/36 (g)(l)	221		110
Class M1, 0.6888% 4/25/36 (g)(l)	79		29
Class M2, 0.7088% 4/25/36 (g)(l)	84		29
Class M3, 0.7288% 4/25/36 (g)(l)	72		24
Class M4, 0.8288% 4/25/36 (g)(l)	41		13
Class M5, 0.8688% 4/25/36 (g)(l)	40		12
Class M6, 0.9488% 4/25/36 (g)(l)	79		23
Series 2006-2A:
Class A1, 0.5388% 7/25/36 (g)(l)	3,377		1,909
Class A2, 0.5888% 7/25/36 (g)(l)	200		105
Class B1, 1.1788% 7/25/36 (g)(l)	75		21
Class B3, 3.0088% 7/25/36 (g)(l)	113		27
Class M1, 0.6188% 7/25/36 (g)(l)	210		79
Class M2, 0.6388% 7/25/36 (g)(l)	148		53
Class M3, 0.6588% 7/25/36 (g)(l)	123		42
Class M4, 0.7288% 7/25/36 (g)(l)	83		27
Class M5, 0.7788% 7/25/36 (g)(l)	102		32
Class M6, 0.8488% 7/25/36 (g)(l)	152		45
Series 2006-3A:
Class B1, 1.1088% 10/25/36 (g)(l)	132		35
Class B2, 1.6588% 10/25/36 (g)(l)	95		20
Class B3, 2.9088% 10/25/36 (g)(l)	155		26
Class M4, 0.7388% 10/25/36 (g)(l)	146		55
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
Class M5, 0.7888% 10/25/36 (g)(l)	$ 175		$ 59
Class M6, 0.8688% 10/25/36 (g)(l)	342		108
Series 2006-4A:
Class A1, 0.5388% 12/25/36 (g)(l)	626		351
Class A2, 0.5788% 12/25/36 (g)(l)	3,083		1,288
Class B1, 1.0088% 12/25/36 (g)(l)	99		21
Class B2, 1.5588% 12/25/36 (g)(l)	102		20
Class B3, 2.7588% 12/25/36 (g)(l)	171		30
Class M1, 0.5988% 12/25/36 (g)(l)	203		65
Class M2, 0.6188% 12/25/36 (g)(l)	137		41
Class M3, 0.6488% 12/25/36 (g)(l)	139		39
Class M4, 0.7088% 12/25/36 (g)(l)	166		45
Class M5, 0.7488% 12/25/36 (g)(l)	153		39
Class M6, 0.8288% 12/25/36 (g)(l)	137		32
Series 2007-1:
Class A2, 0.5788% 3/25/37 (g)(l)	647		307
Class B1, 0.9788% 3/25/37 (g)(l)	207		55
Class B2, 1.4588% 3/25/37 (g)(l)	150		36
Class B3, 3.6588% 3/25/37 (g)(l)	407		67
Class M1, 0.5788% 3/25/37 (g)(l)	183		85
Class M2, 0.5988% 3/25/37 (g)(l)	137		60
Class M3, 0.6288% 3/25/37 (g)(l)	122		51
Class M4, 0.6788% 3/25/37 (g)(l)	99		39
Class M5, 0.7288% 3/25/37 (g)(l)	152		56
Class M6, 0.8088% 3/25/37 (g)(l)	213		67
Series 2007-2A:
Class A1, 0.5788% 7/25/37 (g)(l)	562		312
Class A2, 0.6288% 7/25/37 (g)(l)	527		277
Class B1, 1.9088% 7/25/37 (g)(l)	164		39
Class B2, 2.5588% 7/25/37 (g)(l)	142		30
Class B3, 3.6588% 7/25/37 (g)(l)	159		33
Class M1, 0.6788% 7/25/37 (g)(l)	186		87
Class M2, 0.7188% 7/25/37 (g)(l)	103		45
Class M3, 0.7988% 7/25/37 (g)(l)	104		43
Class M4, 0.9588% 7/25/37 (g)(l)	203		69
Class M5, 1.0588% 7/25/37 (g)(l)	180		57
Class M6, 1.3088% 7/25/37 (g)(l)	228		66
Series 2007-3:
Class A2, 0.5988% 7/25/37 (g)(l)	778		313
Class B1, 1.2588% 7/25/37 (g)(l)	148		34
Class B2, 1.9088% 7/25/37 (g)(l)	367		73
Class B3, 4.3088% 7/25/37 (g)(l)	197		33
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
Class M1, 0.6188% 7/25/37 (g)(l)	$ 133		$ 42
Class M2, 0.6488% 7/25/37 (g)(l)	142		41
Class M3, 0.6788% 7/25/37 (g)(l)	221		60
Class M4, 0.8088% 7/25/37 (g)(l)	348		93
Class M5, 0.9088% 7/25/37 (g)(l)	183		44
Class M6, 1.1088% 7/25/37 (g)(l)	139		34
Series 2007-4A:
Class B1, 2.8588% 9/25/37 (g)(l)	206		50
Class B2, 3.7588% 9/25/37 (g)(l)	738		163
Class M1, 1.2588% 9/25/37 (g)(l)	198		92
Class M2, 1.3588% 9/25/37 (g)(l)	198		82
Class M4, 1.9088% 9/25/37 (g)(l)	501		170
Class M5, 2.0588% 9/25/37 (g)(l)	501		158
Class M6, 2.2588% 9/25/37 (g)(l)	502		146
Series 2004-1 Class IO, 1.25% 4/25/34 (g)(n)	2,685		30
Series 2007-5A Class IO, 1.5496% 10/25/37 (g)(n)	5,666		411
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class G, 0.7844% 3/15/19 (g)(l)	611		400
Class H, 0.9944% 3/15/19 (g)(l)	411		115
Class J, 1.1944% 3/15/19 (g)(l)	309		46
Series 2007-BBA8:
Class D, 0.5944% 3/15/22 (g)(l)	387		193
Class E, 0.6444% 3/15/22 (g)(l)	2,009		924
Class F, 0.6944% 3/15/22 (g)(l)	1,233		530
Class G, 0.7444% 3/15/22 (g)(l)	316		123
Class H, 0.8944% 3/15/22 (g)(l)	387		139
Class J, 1.0444% 3/15/22 (g)(l)	387		108
sequential payer:
Series 2003-PWR2 Class A3, 4.834% 5/11/39	552		550
Series 2004-PWR3 Class A3, 4.487% 2/11/41	1,141		1,041
Series 2006-PW14 Class A4, 5.201% 12/11/38	1,178		967
Series 2006-T24 Class A1, 4.905% 10/12/41 (l)	866		856
Series 2007-PW15 Class AAB, 5.315% 2/11/44	2,680		2,428
Series 2007-PW16:
Class A4, 5.9089% 6/11/40 (l)	534		451
Class AAB, 5.9089% 6/11/40 (l)	4,740		4,361
Series 2007-PW17 Class A1, 5.282% 6/11/50	374		366
Series 2007-PW18:
Class A2, 5.613% 6/11/50	320		293
Class A4, 5.7% 6/11/50	4,380		3,591
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bear Stearns Commercial Mortgage Securities Trust: - - continued
Series 2007-T26 Class A1, 5.145% 1/12/45 (l)	$ 328		$ 321
Series 2003-PWR2 Class X2, 0.6031% 5/11/39 (g)(l)(n)	8,545		79
Series 2006-PW13 Class A3, 5.518% 9/11/41	3,219		2,890
Series 2006-PW14 Class X2, 0.8435% 12/11/38 (g)(l)(n)	13,271		286
Series 2006-T22:
Class A1, 5.415% 4/12/38 (l)	170		170
Class A4, 5.4635% 4/12/38 (l)	114		102
Series 2007-PW15:
Class A1, 5.016% 2/11/44	168		167
Class X2, 0.3635% 2/11/44 (g)(l)(n)	13,468		182
Series 2007-PW16:
Class B, 5.713% 6/11/40 (g)	146		34
Class C, 5.713% 6/11/40 (g)	122		26
Class D, 5.713% 6/11/40 (g)	122		24
Series 2007-PW18 Class X2, 0.3443% 6/11/50 (g)(l)(n)	90,897		1,286
Series 2007-T26 Class X2, 0.1255% 1/12/45 (g)(l)(n)	12,221		73
Series 2007-T28:
Class A1, 5.422% 9/11/42	165		162
Class X2, 0.1822% 9/11/42 (g)(l)(n)	45,671		322
Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 0.0189% 8/1/24 (g)(l)	595		260
C-BASS Trust floater Series 2006-SC1 Class A, 0.5788% 5/25/36 (g)(l)	804		349
CDC Commercial Mortgage Trust Series 2002-FX1:
Class G, 6.625% 5/15/35 (g)	1,072		897
Class XCL, 0.8163% 5/15/35 (g)(l)(n)	14,801		587
Chase Commercial Mortgage Securities Corp.:
Series 1999-2:
Class E, 7.734% 1/15/32	366		360
Class F, 7.734% 1/15/32	198		194
Series 2001-245 Class A2, 6.275% 2/12/16 (g)(l)	927		936
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-1 Class A2, 7.439% 8/15/31	125		125
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class A1, 0.4144% 11/15/36 (g)(l)	5		3
Class F, 0.6544% 8/16/21 (g)(l)	326		88
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup Commercial Mortgage Trust: - continued
Class G, 0.6744% 11/15/36 (g)(l)	$ 337		$ 84
Class H, 0.7144% 11/15/36 (g)(l)	270		62
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	6,330		5,083
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (g)	1,550		434
Series 2007-C6:
Class A1, 5.622% 12/10/49 (l)	1,016		1,027
Class A2, 5.8884% 12/10/49 (l)	1,210		1,142
Class A4, 5.8884% 12/10/49 (l)	2,063		1,614
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer:
Series 2006-CD2 Class A4, 5.3624% 1/15/46 (l)	380		321
Series 2007-CD4:
Class A1, 4.977% 12/11/49	268		263
Class A2A, 5.237% 12/11/49	812		746
Series 2007-CD4:
Class A3, 5.293% 12/11/49	888		735
Class C, 5.476% 12/11/49	1,717		129
Cobalt CMBS Commercial Mortgage Trust:
sequential payer:
Series 2007-C2 Class A1, 5.064% 4/15/47 (l)	141		138
Series 2007-C3 Class A3, 5.8202% 5/15/46 (l)	912		759
Series 2006-C1 Class B, 5.359% 8/15/48	2,736		383
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class B, 0.5744% 4/15/17 (g)(l)	2,043		1,185
Class C, 0.6144% 4/15/17 (g)(l)	734		419
Class D, 0.6544% 4/15/17 (g)(l)	721		373
Class E, 0.7144% 4/15/17 (g)(l)	230		109
Class F, 0.7544% 4/15/17 (g)(l)	130		58
Class G, 0.8944% 4/15/17 (g)(l)	130		54
Class H, 0.9644% 4/15/17 (g)(l)	130		52
Class J, 1.1944% 4/15/17 (g)(l)	100		38
Series 2005-FL11:
Class C, 0.6444% 11/15/17 (g)(l)	1,439		672
Class D, 0.6844% 11/15/17 (g)(l)	75		34
Class E, 0.7344% 11/15/17 (g)(l)	265		113
Class F, 0.7944% 11/15/17 (g)(l)	292		117
Class G, 0.8444% 11/15/17 (g)(l)	202		77
Series 2006-FL12 Class AJ, 0.4744% 12/15/20 (g)(l)	1,300		657
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
COMM pass-thru certificates: - continued
sequential payer:
Series 2005-C6 Class A2, 4.999% 6/10/44 (l)	$ 86		$ 85
Series 2006-C8 Class A3, 5.31% 12/10/46	2,599		2,171
Series 2006-CN2A Class A2FX, 5.449% 2/5/19	1,542		1,384
Series 2007-C9 Class A4, 5.8162% 12/10/49 (l)	2,018		1,624
Series 2006-C8 Class B, 5.44% 12/10/46	1,579		442
Commercial Mortgage Asset Trust sequential payer Series 1999-C2 Class A2, 7.546% 11/17/32 (l)	415		421
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C5 Class AJ, 5.373% 12/15/39	1,847		663
Series 2007-C2:
Class A1, 5.269% 1/15/49	89		88
Class A2, 5.448% 1/15/49 (l)	6,455		6,046
Class A3, 5.542% 1/15/49 (l)	1,824		1,314
Series 2007-C3:
Class A1, 5.664% 6/15/39 (l)	108		108
Class A4, 5.9124% 6/15/39 (l)	549		401
Series 2006-C4 Class AAB, 5.439% 9/15/39	5,191		4,371
Series 2007-C5 Class A4, 5.695% 9/15/40 (l)	825		600
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6944% 4/15/22 (g)(l)	3,254		814
Credit Suisse First Boston Mortgage Securities Corp.:
floater:
Series 2006-TF2A:
Class A2, 1.8444% 7/15/19 (g)(l)	27		5
Class SHDC, 1.3444% 7/15/19 (g)(l)	13		3
Series 2006-TFL2 Class SHDD, 1.6944% 7/15/19 (g)(l)	7		2
sequential payer:
Series 1999-C1 Class A2, 7.29% 9/15/41	797		801
Series 2000-C1 Class A2, 7.545% 4/15/62	1,180		1,196
Series 2001-CK6 Class B, 6.582% 8/15/36	912		872
Series 2004-C1:
Class A3, 4.321% 1/15/37	324		317
Class A4, 4.75% 1/15/37	425		386
Series 1998-C1 Class D, 7.17% 5/17/40	987		978
Series 1999-C1 Class E, 8.0655% 9/15/41 (l)	943		915
Series 2001-CK6 Class AX, 0.645% 9/15/18 (n)	2,667		48
Series 2001-CKN5 Class AX, 2.0787% 9/15/34 (g)(l)(n)	8,542		288
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse First Boston Mortgage Securities Corp.: - - continued
Series 2006-C1 Class A3, 5.711% 2/15/39 (l)	$ 4,815		$ 4,213
Credit Suisse Mortgage Capital Certificates:
floater:
Series 200-TFL1 Class B, 0.4944% 2/15/22 (g)(l)	345		138
Series 2007-TFL1:
Class C:
0.5144% 2/15/22 (g)(l)	1,416		467
0.6144% 2/15/22 (g)(l)	506		137
Class F, 0.6644% 2/15/22 (g)(l)	1,011		253
sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40	104		103
Series 2007-C1:
Class ASP, 0.4177% 2/15/40 (l)(n)	17,870		261
Class B, 5.487% 2/15/40 (g)(l)	1,394		265
DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33	3,531		3,605
First Chicago/Lennar Trust I Series 1997-CHL1 Class E, 7.7516% 4/29/39 (g)(l)	109		107
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1:
Class D, 6.484% 3/15/33	325		271
Class G, 6.936% 3/15/33 (g)	600		497
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	4,534		3,149
Series 2001-1 Class X1, 1.0497% 5/15/33 (g)(l)(n)	9,471		154
Series 2005-C1 Class B, 4.846% 6/10/48 (l)	260		80
Series 2007-C1 Class XP, 0.1974% 12/10/49 (l)(n)	11,430		87
GMAC Commercial Mortgage Securities, Inc.:
Series 2004-C3 Class X2, 0.8287% 12/10/41 (l)(n)	4,326		44
Series 2005-C1 Class X2, 0.7105% 5/10/43 (l)(n)	6,701		70
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.6013% 11/5/21 (g)(l)	343		146
sequential payer:
Series 2004-GG1 Class A4, 4.755% 6/10/36	582		584
Series 2007-GG11:
Class A1, 5.358% 12/10/49	603		584
Class A2, 5.597% 12/10/49	1,824		1,586
Series 2007-GG9:
Class A1, 5.233% 3/10/39	149		147
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Greenwich Capital Commercial Funding Corp.: - - continued
Class A4, 5.444% 3/10/39	$ 2,652		$ 2,086
Series 2005-GG3 Class XP, 0.7066% 8/10/42 (g)(l)(n)	23,212		358
Series 2006-GG7 Class A3, 6.1142% 7/10/38 (l)	2,404		2,137
Series 2007-GG11 Class A1, 0.4798% 12/10/49 (g)(n)	22,984		225
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class C, 0.6544% 6/6/20 (g)(l)	46		33
Class D, 0.6944% 6/6/20 (g)(l)	218		124
Class E, 0.7844% 6/6/20 (g)(l)	252		139
Class F, 0.8544% 6/6/20 (g)(l)	634		317
Series 2007-EOP:
Class C, 0.7344% 3/6/20 (g)(l)	533		368
Class D, 0.7844% 3/6/20 (g)(l)	1,421		980
Class F, 0.8944% 3/6/20 (g)(l)	44		30
Class G, 0.9344% 3/6/20 (g)(l)	22		15
sequential payer:
Series 2001-LIBA Class A2, 6.615% 2/14/16 (g)	1,433		1,537
Series 2004-GG2 Class A4, 4.964% 8/10/38	283		263
Series 2001-LIBA Class C, 6.733% 2/14/16 (g)	451		485
Series 2005-GG4 Class XP, 0.6995% 7/10/39 (g)(l)(n)	22,346		353
Series 2006-GG6 Class A2, 5.506% 4/10/38 (l)	5,348		5,214
GS Mortgage Securities Trust:
sequential payer:
Series 2006-GG8 Class A2, 5.479% 11/10/39	1,368		1,291
Series 2007-GG10:
Class A1, 5.69% 8/10/45	195		192
Class A2, 5.778% 8/10/45	435		396
Class A4, 5.7992% 8/10/45 (l)	556		425
Series 2007-GG10 Class B, 5.9932% 8/10/45 (l)	1,140		159
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class B, 0.5144% 11/15/18 (g)(l)	763		404
Class C, 0.5544% 11/15/18 (g)(l)	542		276
Class D, 0.5744% 11/15/18 (g)(l)	207		93
Class E, 0.6244% 11/15/18 (g)(l)	295		127
Class F, 0.6744% 11/15/18 (g)(l)	443		186
Class G, 0.7044% 11/15/18 (g)(l)	385		154
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
Class H, 0.8444% 11/15/18 (g)(l)	$ 295		$ 103
sequential payer:
Series 2006-CB14 Class A3B, 5.6699% 12/12/44 (l)	2,712		2,279
Series 2006-CB15 Class A3, 5.819% 6/12/43 (l)	1,373		1,183
Series 2006-CB17 Class A4, 5.429% 12/12/43	474		378
Series 2006-LDP8 Class A4, 5.399% 5/15/45	581		457
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (l)	433		368
Series 2007-CB19 Class A4, 5.7463% 2/12/49 (l)	3,198		2,440
Series 2007-LD11:
Class A2, 5.8036% 6/15/49 (l)	2,560		2,353
Class A4, 6.0069% 6/15/49 (l)	1,353		1,058
Series 2007-LDP10 Class A1, 5.122% 1/15/49	97		97
Series 2007-LDPX Class A3, 5.412% 1/15/49	2,510		1,886
Series 2004-LDP4 Class D, 5.1237% 10/15/42 (l)	821		156
Series 2005-CB13 Class E, 5.35% 1/12/43 (g)(l)	461		78
Series 2005-LDP3 Class A3, 4.959% 8/15/42	6,840		6,432
Series 2006-CB17 Class A3, 5.45% 12/12/43	260		233
Series 2007-CB19:
Class B, 5.7442% 2/12/49	78		18
Class C, 5.7462% 2/12/49	204		43
Class D, 5.7462% 2/12/49	214		43
Series 2007-LDP10:
Class BS, 5.437% 1/15/49 (l)	174		37
Class CS, 5.466% 1/15/49 (l)	75		15
Class ES, 5.5455% 1/15/49 (g)(l)	472		66
JPMorgan Commercial Mortgage Finance Corp. Series 2000-C9 Class G, 6.25% 10/15/32 (g)	376		369
LB Commercial Conduit Mortgage Trust:
Series 1998-C1 Class D, 6.98% 2/18/30	1,023		1,033
Series 2007-C3:
Class F, 5.9388% 7/15/44 (l)	181		18
Class G, 5.9388% 7/15/44 (g)(l)	320		30
LB Multi-family Mortgage Trust Series 1991-4 Class A1, 7.0934% 4/25/21 (g)(l)	133		98
LB-UBS Commercial Mortgage Trust:
sequential pay Series 2006-C1 Class A4, 5.156% 2/15/31	347		290
sequential payer:
Series 2000-C3 Class A2, 7.95% 1/15/10	1,633		1,658
Series 2001-C2 Class A2, 6.653% 11/15/27	175		177
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
LB-UBS Commercial Mortgage Trust: - continued
Series 2001-C3 Class A1, 6.058% 6/15/20	$ 73		$ 74
Series 2006-C1 Class A2, 5.084% 2/15/31	437		426
Series 2006-C3 Class A1, 5.478% 3/15/39	91		91
Series 2006-C6:
Class A1, 5.23% 9/15/39	140		141
Class A2, 5.262% 9/15/39 (l)	1,591		1,522
Series 2006-C7:
Class A1, 5.279% 11/15/38	65		65
Class A2, 5.3% 11/15/38	1,003		911
Class A3, 5.347% 11/15/38	679		546
Series 2007-C1:
Class A1, 5.391% 2/15/40 (l)	87		88
Class A4, 5.424% 2/15/40	118		87
Series 2007-C2:
Class A1, 5.226% 2/15/40	81		80
Class A3, 5.43% 2/15/40	440		311
Series 2000-C5 Class E, 7.29% 12/15/32	64		61
Series 2001-C3 Class B, 6.512% 6/15/36	1,763		1,753
Series 2001-C7 Class D, 6.514% 11/15/33	1,003		764
Series 2003-C3 Class XCP, 1.0324% 3/11/37 (g)(l)(n)	3,826		39
Series 2004-C4 Class A2, 4.567% 6/15/29 (l)	132		132
Series 2005-C3 Class XCP, 0.9277% 7/15/40 (l)(n)	3,605		59
Series 2006-C3 Class A3 5.689% 3/15/32	550		482
Series 2006-C6 Class XCP, 0.6633% 9/15/39 (l)(n)	5,651		114
Series 2007-C1:
Class C, 5.533% 2/15/40 (l)	2,006		281
Class D, 5.563% 2/15/40 (l)	365		44
Class E, 5.582% 2/15/40 (l)	182		20
Class XCP, 0.6696% 2/15/40 (l)(n)	2,225		37
Series 2007-C2 Class XCP, 0.715% 2/15/40 (l)(n)	10,501		187
Series 2007-C6 Class A4, 5.858% 7/15/40 (l)	1,140		842
Series 2007-C7:
Class A3, 5.866% 9/15/45	2,982		2,359
Class XCP, 0.3124% 9/15/45 (l)(n)	75,030		915
LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (g)	261		246
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A:
Class B, 4.13% 11/20/37 (g)	1,381		1,105
Class C, 4.13% 11/20/37 (g)	3,934		2,675
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.5744% 9/15/21 (g)(l)	$ 292		$ 117
Class E, 0.6344% 9/15/21 (g)(l)	1,054		316
Class F, 0.6844% 9/15/21 (g)(l)	868		239
Class G, 0.7044% 9/15/21 (g)(l)	1,714		429
Class H, 0.7444% 9/15/21 (g)(l)	442		100
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34	1,619		1,660
Merrill Lynch Mortgage Trust:
sequential payer Series 2007-C1 Class A1, 4.533% 6/12/50	454		441
Series 2005-CKI1 Class A3, 5.4149% 11/12/37 (l)	1,498		1,457
Series 2005-LC1 Class F, 5.378% 1/12/44 (g)(l)	793		161
Series 2006-C1 Class A2, 5.6116% 5/12/39 (l)	1,286		1,243
Series 2007-C1 Class A4, 6.0224% 6/12/50 (l)	3,452		2,608
Series 2008-C1 Class A4, 5.69% 2/12/51	1,947		1,328
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.4875% 12/12/49 (l)	425		311
sequential payer:
Series 2006-1 CLass A3, 5.671% 2/12/39	970		858
Series 2006-4 Class ASB, 5.133% 12/12/49 (l)	784		675
Series 2007-5:
Class A1, 4.275% 12/12/11	74		72
Class A3, 5.364% 8/12/48	356		285
Class A4, 5.378% 8/12/48	36		25
Class B, 5.479% 2/12/17	2,736		552
Series 2007-6 Class A1, 5.175% 3/12/51	87		86
Series 2007-7 Class A4, 5.81% 6/12/50 (l)	3,192		2,257
Series 2007-8 Class A1, 4.622% 8/12/49	159		155
Series 2006-2 Class A4, 5.9093% 6/12/46 (l)	554		477
Series 2006-4 Class XP, 0.6211% 12/12/49 (l)(n)	16,780		361
Series 2007-6 Class B, 5.635% 3/12/51 (l)	912		199
Series 2007-7 Class B, 5.75% 6/12/50	79		18
Series 2007-8 Class A3, 6.1556% 8/12/49 (l)	787		604
Morgan Stanley Capital I Trust:
floater:
Series 2005-XLF:
Class G, 0.715% 8/15/19 (g)(l)	15		13
Class H, 0.735% 8/15/19 (g)(l)	73		51
Class J, 0.805% 8/15/19 (g)(l)	55		36
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust: - continued
Series 2006-XLF:
Class C, 1.545% 7/15/19 (g)(l)	$ 625		$ 62
Class F, 0.665% 7/15/19 (g)(l)	878		641
Class G, 0.705% 7/15/19 (g)(l)	499		225
Series 2007-XCLA Class A1, 0.545% 7/17/17 (g)(l)	2,066		1,033
Series 2007-XLCA Class B, 0.8444% 7/17/17 (g)(l)	1,411		127
Series 2007-XLFA:
Class C, 0.505% 10/15/20 (g)(l)	523		146
Class D, 0.535% 10/15/20 (g)(l)	507		127
Class E, 0.595% 10/15/20 (g)(l)	634		127
Class F, 0.645% 10/15/20 (g)(l)	380		68
Class G, 0.685% 10/15/20 (g)(l)	470		71
Class H, 0.775% 10/15/20 (g)(l)	296		30
Class J, 0.925% 10/15/20 (g)(l)	338		27
Class MHRO, 1.035% 10/15/20 (g)(l)	268		29
Class MJPM, 1.345% 10/15/20 (g)(l)	83		8
Class MSTR, 1.045% 10/15/20 (g)(l)	150		21
Class NHRO, 1.235% 10/15/20 (g)(l)	400		36
Class NSTR, 1.195% 10/15/20 (g)(l)	138		15
sequential payer:
Series 2003-IQ5 Class X2, 0.8728% 4/15/38 (g)(l)(n)	3,230		52
Series 2004-HQ3 Class A2, 4.05% 1/13/41	263		266
Series 2005-IQ9 Class A3, 4.54% 7/15/56	1,354		1,252
Series 2006-HQ10 Class A1, 5.131% 11/12/41	315		314
Series 2006-T23 Class A1, 5.682% 8/12/41	865		866
Series 2007-HQ11:
Class A1, 5.246% 2/20/44	144		142
Class A31, 5.439% 2/12/44 (l)	462		397
Series 2007-IQ13 Class A1, 5.05% 3/15/44	148		145
Series 2007-IQ14 Class A1, 5.38% 4/15/49	333		327
Series 2007-T25 Class A2, 5.507% 11/12/49	896		789
Series 2003-IQ6 Class X2, 0.5816% 12/15/41 (g)(l)(n)	6,601		85
Series 2005-IQ9 Class X2, 1.0455% 7/15/56 (g)(l)(n)	12,546		274
Series 2006-HQ8 Class A3, 5.6115% 3/12/16 (l)	1,415		1,318
Series 2006-HQ9 Class B, 5.832% 7/12/44 (l)	1,353		263
Series 2006-IQ11:
Class A3, 5.9062% 10/15/42 (l)	1,513		1,371
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust: - continued
Class A4, 5.7708% 10/15/42 (l)	$ 274		$ 231
Series 2006-IQ12 Class B, 5.468% 12/15/43	912		162
Series 2006-T23 Class A3, 5.8075% 8/12/41 (l)	466		409
Series 2007-HQ11 Class B, 5.538% 2/20/44 (l)	1,654		277
Series 2007-HQ12 Series A1, 5.519% 4/12/49 (l)	213		208
Series 2007-IQ14:
Class A4, 5.692% 4/15/49 (l)	1,368		992
Class AAB, 5.654% 4/15/49	2,650		2,410
Class B, 5.914% 4/15/49	224		35
Series 2007-XLC1:
Class C, 0.9444% 7/17/17 (g)(l)	1,930		154
Class D, 1.0444% 7/17/17 (g)(l)	908		64
Class E, 1.1444% 7/17/17 (g)(l)	738		44
Morgan Stanley Dean Witter Capital I Trust sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31	37		37
Salomon Brothers Mortgage Securities VII, Inc. sequential payer Series 2000-C3 Class A2, 6.592% 12/18/33	1,638		1,661
SBA CMBS Trust Series 2006-1A Class C, 5.559% 11/15/36 (g)	87		78
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.7888% 3/24/18 (g)(l)	97		88
Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34	147		150
TrizecHahn Office Properties Trust Series 2001-TZHA Class C4, 6.893% 5/15/16 (g)	775		790
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 1.5444% 1/15/18 (g)(l)	969		484
Series 2006-WL7A:
Class E, 0.6244% 9/15/21 (g)(l)	1,239		372
Class F, 0.6844% 8/11/18 (g)(l)	1,426		328
Class G, 0.7044% 8/11/18 (g)(l)	1,351		270
Class J, 0.9444% 8/11/18 (g)(l)	300		30
Series 2007-WHL8:
Class AP1, 1.0444% 6/15/20 (g)(l)	83		17
Class AP2, 1.1444% 6/15/20 (g)(l)	138		14
Class F, 0.8244% 6/15/20 (g)(l)	2,674		535
Class LXR1, 1.0444% 6/15/20 (g)(l)	112		22
Class LXR2, 1.1444% 6/15/20 (g)(l)	1,823		182
sequential payer:
Series 2003-C6 Class A2, 4.498% 8/15/35	310		307
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2003-C7 Class A1, 4.241% 10/15/35 (g)	$ 1,823		$ 1,797
Series 2003-C8 Class A3, 4.445% 11/15/35	3,972		3,827
Series 2006-C24 Class A2, 5.506% 3/15/45	749		748
Series 2006-C27 Class A2, 5.624% 7/15/45	815		770
Series 2006-C29 Class A3, 5.313% 11/15/48	2,422		2,072
Series 2007-C30:
Class A1, 5.031% 12/15/43	140		138
Class A3, 5.246% 12/15/43	783		716
Class A4, 5.305% 12/15/43	268		220
Class A5, 5.342% 12/15/43	976		680
Series 2007-C31:
Class A1, 5.14% 4/15/47	80		79
Class A4, 5.509% 4/15/47	2,061		1,409
Series 2007-C32:
Class A2, 5.7356% 6/15/49 (l)	3,184		2,899
Class A3, 5.929% 6/15/49 (l)	1,548		1,090
Series 2003-C6 Class G, 5.125% 8/15/35 (g)	433		203
Series 2004-C15:
Class 180A, 5.3979% 10/15/41 (g)(l)	701		586
Class 180B, 5.3979% 10/15/41 (g)(l)	319		272
Series 2005-C19 Class B, 4.892% 5/15/44	912		337
Series 2005-C22:
Class B, 5.355% 12/15/44 (l)	2,022		708
Class F, 5.355% 12/15/44 (g)(l)	1,521		243
Series 2006-C23 Class A5, 5.416% 1/15/45 (l)	5,005		4,151
Series 2006-C25 Class AM, 5.9263% 5/15/43 (l)	477		252
Series 2006-C29 Class E, 5.516% 11/15/48 (l)	912		96
Series 2007-C30:
Class C, 5.483% 12/15/43 (l)	2,736		301
Class D, 5.513% 12/15/43 (l)	1,459		139
Class XP, 0.4317% 12/15/43 (g)(l)(n)	11,216		177
Series 2007-C31 Class C, 5.6906% 4/15/47 (l)	251		30
Series 2007-C31A Class A2, 5.421% 4/15/47	6,385		5,703
Series 2007-C32:
Class D, 5.929% 6/15/49 (l)	685		75
Class E, 5.929% 6/15/49 (l)	1,080		108
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust pass-thru certificates:
sequential payer Series 2007-C33 Class A5, 5.9024% 2/15/51 (l)	$ 604		$ 427
Series 2007-C33 Class B, 5.9024% 2/15/51 (l)	1,534		230
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $264,449)		261,951
Municipal Securities - 0.2%
California Gen. Oblig.:
7.5% 4/1/34	3,750		3,631
7.55% 4/1/39	7,500		7,249
Montgomery County Gen. Oblig. Series A, 5% 1/1/13	3,800		4,249
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2009 C, 7.336% 11/15/39	2,184		2,416
North Carolina Gen. Oblig. Series A, 5.5% 3/1/13	3,400		3,877
Ohio Gen. Oblig. (Common Schools Proj.) Series E, 5% 9/15/12	3,910		4,318
TOTAL MUNICIPAL SECURITIES (Cost $25,602)		25,740
Foreign Government and Government Agency Obligations - 0.0%
Chilean Republic 7.125% 1/11/12 (Cost $1,957)	1,794		1,971
Supranational Obligations - 0.0%
Corporacion Andina de Fomento 5.2% 5/21/13 (Cost $127)	143		138
Floating Rate Loans - 1.5%
CONSUMER DISCRETIONARY - 0.4%
Automobiles - 0.1%
AM General LLC term loan 6.0688% 4/17/12 (l)	14,725		10,455
Floating Rate Loans - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Hotels, Restaurants & Leisure - 0.1%
Fantasy Springs Resort Casino term loan 7.9113% 8/6/12 (l)	$ 7,650		$ 4,590
Southwest Sports Group, Inc. Tranche B, term loan 5.75% 12/22/10 (l)	7,000		4,200
			8,790
Media - 0.2%
Charter Communications Operating LLC Tranche B 1LN, term loan 6.25% 3/6/14 (l)	17,367		14,805
Discovery Communications, Inc. term loan 3.22% 5/14/14 (l)	1,523		1,420
GateHouse Media, Inc.:
Tranche AO, term loan 8/28/14 (l)	4,850		921
Tranche B, term loan 8/28/14 (l)	12,309		2,339
Tranche DD, term loan 8/28/14 (l)	5,968		1,134
Hicks Sports Group LLC Tranche 2LN, term loan 8.75% 12/22/11 (l)	11,000		3,300
Idearc, Inc. term loan 3.4179% 11/17/14 (e)(l)	18,004		7,021
Newsday LLC term loan 9.75% 8/1/13	7,000		6,983
Tribune Co. term loan 7.0838% 3/17/09 (e)(l)	1,188		350
Tribune Receivables LLC term loan 9% 4/10/10 (l)	240		241
			38,514
Multiline Retail - 0.0%
Dollar General Corp. Tranche B2, term loan 3.0691% 7/6/14 (l)	4,000		3,620
Specialty Retail - 0.0%
GNC Corp. term loan 3.257% 9/16/13 (l)	781		671
Michaels Stores, Inc. term loan 2.6792% 10/31/13 (l)	2,992		2,162
			2,833
Textiles, Apparel & Luxury Goods - 0.0%
Levi Strauss & Co. term loan 2.585% 4/4/14 (l)	1,560		1,201
TOTAL CONSUMER DISCRETIONARY			65,413
ENERGY - 0.1%
Oil, Gas & Consumable Fuels - 0.1%
Antero Resources Corp. Tranche 2LN, term loan 5.71% 4/12/14 (l)	11,000		7,040
Venoco, Inc. Tranche 2LN, term loan 4.375% 5/7/14 (l)	603		422
			7,462
Floating Rate Loans - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
LandSource Communities Development LLC Tranche 2LN, term loan 10.55% 2/27/14 (e)(l)	$ 1,120		$ 6
MGM Holdings II, Inc. Tranche B, term loan 3.5688% 4/8/12 (l)	9,449		5,433
			5,439
HEALTH CARE - 0.3%
Health Care Providers & Services - 0.3%
Concentra Operating Corp. Tranche 2LN, term loan 7.47% 6/25/15 (l)	19,188		9,739
Genoa Healthcare Group LLC Tranche 2, term loan 10.75% 2/4/13 (l)	2,500		875
Golden Gate National Senior Care LLC:
Tranche 1, term loan 3.0688% 3/14/11 (l)	9,205		8,330
Tranche 2, term loan 8.0688% 9/14/11 (l)	16,000		12,000
Rural/Metro Corp.:
Credit-Linked Deposit 3.96% 3/4/11 (l)	2,285		2,171
term loan 3.9013% 3/4/11 (l)	3,352		3,184
Sheridan Healthcare, Inc. Tranche 2LN, term loan 6.085% 6/15/15 (l)	17,840		13,202
			49,501
Pharmaceuticals - 0.0%
Graceway Pharmaceuticals LLC Tranche B 2LN, term loan 6.8188% 5/3/13 (l)	15,000		5,175
TOTAL HEALTH CARE			54,676
INDUSTRIALS - 0.2%
Aerospace & Defense - 0.0%
McKechnie Aerospace Holdings Ltd. Tranche 2LN, term loan 5.32% 5/11/15 pay-in-kind (l)	110		55
Airlines - 0.1%
Delta Air Lines, Inc. Tranche 2LN, term loan 3.6644% 4/30/14 (l)	8,422		5,348
Northwest Airlines, Inc. term loan 2.36% 12/31/10 (l)	10,712		10,042
US Airways Group, Inc. term loan 2.8088% 3/23/14 (l)	4,657		2,584
			17,974
Commercial Services & Supplies - 0.0%
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.4625% 2/7/15 (l)	985		453
Floating Rate Loans - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Machinery - 0.1%
Dresser, Inc. Tranche 2LN, term loan 6.085% 5/4/15 pay-in-kind (l)	$ 10,990		$ 6,594
Navistar International Corp.:
term loan 3.51% 1/19/12 (l)	352		294
Credit-Linked Deposit 3.5485% 1/19/12 (l)	128		107
			6,995
TOTAL INDUSTRIALS			25,477
INFORMATION TECHNOLOGY - 0.2%
Communications Equipment - 0.0%
IPC Systems, Inc. Tranche 2LN, term loan 6.5% 5/31/15 (l)	6,000		1,380
SafeNet, Inc. Tranche 2LN, term loan 6.3488% 4/12/15 (l)	7,500		4,725
			6,105
Electronic Equipment & Components - 0.0%
Texas Competitive Electric Holdings Co. LLC:
Tranche B2, term loan 3.8812% 10/10/14 (l)	2,798		1,938
Tranche B3, term loan 3.8812% 10/10/14 (l)	2,992		2,072
			4,010
Semiconductors & Semiconductor Equipment - 0.0%
Freescale Semiconductor, Inc. term loan 12.5% 12/15/14	8,125		6,256
Software - 0.2%
Kronos, Inc. Tranche 2LN, term loan 6.97% 6/11/15 (l)	33,730		22,262
Serena Software, Inc. term loan 2.915% 3/10/13 (l)	286		242
SS&C Technologies, Inc. term loan 3.22% 11/23/12 (l)	446		379
			22,883
TOTAL INFORMATION TECHNOLOGY			39,254
MATERIALS - 0.0%
Containers & Packaging - 0.0%
Anchor Glass Container Corp. term loan 6.75% 6/20/14 (l)	6,743		6,203
Floating Rate Loans - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - 0.2%
Diversified Telecommunication Services - 0.2%
Intelsat Ltd. Tranche B, term loan 2.9144% 7/3/13 (l)	$ 9,565		$ 8,919
Wind Telecomunicazioni SpA term loan 8.3569% 12/21/11 pay-in-kind (l)	20,922		17,799
			26,718
UTILITIES - 0.1%
Electric Utilities - 0.0%
Bicent Power LLC Tranche 2LN, term loan 5.22% 12/31/14 (l)	810		275
Independent Power Producers & Energy Traders - 0.1%
Nebraska Energy, Inc. Tranche 2LN, term loan 5.75% 5/1/14 (l)	12,970		9,014
TOTAL UTILITIES			9,289
TOTAL FLOATING RATE LOANS (Cost $342,558)		239,931
Bank Notes - 0.0%
National City Bank, Cleveland 1.3613% 3/1/13 (l) (Cost $465)	576		490

Preferred Securities - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
ING Groep NV 5.775% (l)	620		352
MUFG Capital Finance 1 Ltd. 6.346% (l)	2,427		2,161
			2,513
TOTAL PREFERRED SECURITIES (Cost $1,828)		2,513
Fixed-Income Funds - 11.2%
	Shares		Value (000s)
Fidelity 1-3 Year Duration Securitized Bond Central Fund (m)	1,035,612		$ 78,095
Fidelity Corporate Bond 1-10 Year Central Fund (m)	5,209,658		493,823
Fidelity Mortgage Backed Securities Central Fund (m)	12,232,412		1,236,330
TOTAL FIXED-INCOME FUNDS (Cost $1,854,984)		1,808,248
Money Market Funds - 1.9%
Fidelity Cash Central Fund, 0.53% (b)	257,861,151		257,861
Fidelity Securities Lending Cash Central Fund, 0.28% (b)(d)	56,079,800		56,080
TOTAL MONEY MARKET FUNDS (Cost $313,941)		313,941
Cash Equivalents - 0.2%
	Maturity Amount (000s)
Investments in repurchase agreements in a joint trading account at 0.18%, dated 5/29/09 due 6/1/09 (Collateralized by U.S. Government Obligations) # (c) (Cost $34,868)	34,869		34,868
TOTAL INVESTMENT PORTFOLIO - 101.9% (Cost $16,597,476)			16,510,825
NET OTHER ASSETS - (1.9)%			(313,087)
NET ASSETS - 100%		$ 16,197,738

Swap Agreements
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (k)	Sept. 2037	$ 13,300	$ (13,034)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-Ca) (k)	Sept. 2037	10,900	(10,682)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-Ca) (k)	Sept. 2037	2,500	(2,450)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Morgan Stanley, Inc. upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (k)	Sept. 2037	10,900	(10,682)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (k)	Sept. 2037	10,600	(10,388)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (k)	Sept. 2037	9,100	(8,918)
TOTAL CREDIT DEFAULT SWAPS		$ 57,300	$ (56,154)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Interest Rate Swaps
Receive semi-annually a fixed rate equal to 4.947% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	March 2012	$ 100,000	$ 9,441
Receive semi-annually a fixed rate equal to 5.458% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	June 2017	50,000	8,419
Receive semi-annually a fixed rate equal to 5.61% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	June 2012	95,500	12,642
TOTAL INTEREST RATE SWAPS		$ 245,500	$ 30,502
		$ 302,800	$ (25,652)

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

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

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

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

(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 $614,739,000 or 3.8% of net assets.

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

(i) Security or a portion of the security has been segregated as collateral for swap agreements. At the period end, the value of securities pledged amounted to $62,613,000 of which $2,115,000 is segregated at the custodian for terminated contracts with Lehman Brothers Special Financing, Inc.

(j) 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 $1,027,000 or 0.0% of net assets.

Additional information on each holding is as follows:

Security	Acquisition Date	Acquisition Cost (000s)
BMP Sunstone Corp. warrants 8/19/12	8/17/07	$ 7
wetpaint.com, Inc. Series C	5/14/08	$ 5,000

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

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

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

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

* Amount represents less than $1000.

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

Repurchase Agreement / Counterparty	Value (Amount in thousands)
$34,868,000 due 6/01/09 at 0.18%
J.P. Morgan Securities, Inc.	$ 34,868

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 1-3 Year Duration Securitized Bond Central Fund	$ 3,744
Fidelity Cash Central Fund	5,084
Fidelity Commercial Mortgage-Backed Securities Central Fund	9,884
Fidelity Corporate Bond 1-10 Year Central Fund	35,679
Fidelity Mortgage Backed Securities Central Fund	50,982
Fidelity Securities Lending Cash Central Fund	3,154
Fidelity Ultra-Short Central Fund	3,539
Total	$ 112,066

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 1-3 Year Duration Securitized Bond Central Fund	$ 196,835	$ 2,875	$ 104,612	$ 78,095	13.2%
Fidelity Commercial Mortgage-Backed Securities Central Fund	315,814	8,023	266,248*	-	0.0%
Fidelity Corporate Bond 1-10 Year Central Fund	1,064,585	28,505	553,180*	493,823	18.7%
Fidelity Mortgage Backed Securities Central Fund	1,308,960	34,818	144,650	1,236,330	17.3%
Fidelity Ultra-Short Central Fund	455,384	-	383,267*	-	0.0%
Total	$ 3,341,578	$ 74,221	$ 1,451,957	$ 1,808,248

*Includes the value of shares redeemed through in-kind transactions.

Other Affiliated Issuers

An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliate (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Dividend Income	Value, end of period
ULURU, Inc.	$ 5,614	$ -	$ 734	$ -	$ -

Other Information

The following is a summary of the inputs used, as of May 31, 2009, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the 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	$ 16,510,825	$ 11,610,991	$ 4,832,566	$ 67,268
Other Financial Instruments*	$ (25,652)	$ -	$ 17,468	$ (43,120)

*Other financial instruments include Swap Agreements.

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

(Amounts in thousands)	Investments in Securities	Other Financial Instruments
Beginning Balance	$ 6,438	$ (30,439)
Total Realized Gain (Loss)	1,116	-*
Total Unrealized Gain (Loss)	(20,781)	27,359
Cost of Purchases	62,304	-
Proceeds of Sales	(5,905)	-
Amortization/Accretion	(1,481)	-
Transfer in/out of Level 3	25,577	(40,040)
Ending Balance	$ 67,268	$ (43,120)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(30,960,000).

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At May 31, 2009, the aggregate cost of investment securities for income tax purposes was $16,959,282,000. Net unrealized depreciation aggregated $448,457,000, of which $1,334,465,000 related to appreciated investment securities and $1,782,922,000 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. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities.

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1 - Quoted prices in active markets for identical securities.

Level 2 - Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3 - Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

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

Credit Default Swap Agreements

The Fund entered into credit default swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss include credit risk. The Fund's maximum risk of loss from counterparty risk, either as a buyer of protection or as a seller of protection, is the value of the contract. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and, if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer (buyer of protection) and/or to gain credit exposure to an issuer to which it is not otherwise exposed (seller of protection). The issuer may be either a single issuer or a basket of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection receives credit protection in exchange for making periodic payments to the seller of protection based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller of protection acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer of protection, the seller of protection is obligated to take delivery from the buyer of protection the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller of protection. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller of protection. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller of protection is not limited to the specific reference obligation described.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $57,300,000 representing 0.35% of net assets.

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

Quarterly Report

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

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

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Puritan Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Puritan Trust

By:	/s/Kenneth B. Robins
	Kenneth B. Robins
	President and Treasurer
Date:	July 30, 2009

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/Kenneth B. Robins
	Kenneth B. Robins
	President and Treasurer
Date:	July 30, 2009

By:	/s/Christine Reynolds
	Christine Reynolds
	Chief Financial Officer
Date:	July 30, 2009

EX-99.CERT

Exhibit EX-99.CERT

I, Kenneth B. Robins, certify that:

1. I have reviewed this report on Form N-Q of Fidelity Puritan Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: July 30, 2009

/s/Kenneth B. Robins

Kenneth B. Robins

President and Treasurer

I, Christine Reynolds, certify that:

1. I have reviewed this report on Form N-Q of Fidelity Puritan Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: July 30, 2009

/s/Christine Reynolds

Christine Reynolds

Chief Financial Officer