Hrmnth pdf

Portfolio Holdings ListingFidelity Balanced Fund

as of May 31, 2012

The portfolio holdings listing (listing) provides information on a fund’s investments as ofthe date indicated. Top 10 holdings information (top 10 holdings) is also provided forcertain equity and high income funds. The listing and top 10 holdings are not part of afund’s annual/semiannual report or Form N-Q and have not been audited.

The information provided in this listing and top 10 holdings may differ from a fund’sholdings disclosed in its annual/semiannual report and Form N-Q as follows, whereapplicable:

With certain exceptions, the listing and top 10 holdings provide information onthe direct holdings of a fund as well as a fund’s pro rata share of any securitiesand other investments held indirectly through investment in underlying non-money market Fidelity Central Funds. A fund’s pro rata share of the underlyingholdings of any investment in high income and floating rate central funds isprovided at a fund’s fiscal quarter end. For certain funds, direct holdings in highincome or convertible securities are presented at a fund’s fiscal quarter end andare presented collectively for other periods.

For the annual/semiannual report, a fund’s investments include trades executedthrough the end of the last business day of the period. This listing and the top 10holdings include trades executed through the end of the prior business day.

The listing includes any investment in derivative instruments, and excludes thevalue of any cash collateral held for securities on loan and a fund’s net otherassets. Therefore, the holdings as a percent of fund net assets may not total to100%.

The presentation of investment holdings by category is similar to that used inother marketing materials.

The top 10 holdings is presented to illustrate examples of the securities that the fund hasbought and the diversity of the areas in which the fund may invest, may not be representativeof the fund’s current or future investments, and may change at any time. The top 10holdings do not include cash, cash equivalents, money market instruments, options,interest rate swaps, fixed income total return swaps and/or futures contracts. Depositaryreceipts, credit default swaps and equity total return swaps are normally combined withthe underlying security.

The most recent annual/semiannual report can be viewed at www.fidelity.com orwww.advisor.fidelity.com. Forms N-Q are available on the SEC’s web site at www.sec.gov.

Before investing, consider the fund’s investment objectives, risks, charges and expenses.Contact Fidelity for a prospectus containing this information. Read it carefully.

DUMMY

TOP TEN HOLDINGS% of Net

Security Name Market Value AssetsApple, Inc. $894,781,291 4.5%U.S. Treasury Notes 0.875% 4/30/17 $595,781,619 3.0%U.S. Treasury Notes 0.375% 4/15/15 $459,159,079 2.3%Microsoft Corp. $358,379,349 1.8%QUALCOMM, Inc. $298,579,656 1.5%Procter & Gamble Co. $275,169,127 1.4%The Coca-Cola Co. $263,430,947 1.3%Fannie Mae 4% 30 Year $229,478,901 1.2%Wells Fargo & Co. $224,449,259 1.1%U.S. Treasury Notes 0.625% 7/15/14 $216,690,244 1.1%

Top Ten Holdings Total: $3,815,899,472 19.2%

Fidelity Distributors Corporation

82 Devonshire Street

Not Part of Annual or Semiannual Report Boston, MA 02109

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FULL HOLDINGS LISTING% of Net

Security Name Market Value AssetsDomestic Equities

Apple, Inc. $894,781,291 4.507%Microsoft Corp. $358,379,349 1.805%QUALCOMM, Inc. $298,579,656 1.504%Procter & Gamble Co. $275,169,127 1.386%The Coca-Cola Co. $263,430,947 1.327%Wells Fargo & Co. $224,449,259 1.131%Comcast Corp. Class A $198,400,021 0.999%U.S. Bancorp $193,150,262 0.973%Pfizer, Inc. $191,953,099 0.967%Capital One Financial Corp. $181,363,172 0.914%Exxon Mobil Corp. $171,742,938 0.865%CVS Caremark Corp. $144,660,512 0.729%Amgen, Inc. $136,381,208 0.687%Citigroup, Inc. $130,593,323 0.658%The Walt Disney Co. $125,430,571 0.632%Analog Devices, Inc. $122,981,191 0.620%UnitedHealth Group, Inc. $122,317,831 0.616%McDonald’s Corp. $118,283,748 0.596%MetLife, Inc. $114,775,028 0.578%Citrix Systems, Inc. $109,141,326 0.550%United Technologies Corp. $105,304,307 0.530%Lowe’s Companies, Inc. $104,787,664 0.528%American Tower Corp. $103,194,560 0.520%Union Pacific Corp. $101,518,820 0.511%TJX Companies, Inc. $99,941,244 0.503%Starbucks Corp. $97,616,211 0.492%Verizon Communications, Inc. $96,711,732 0.487%CenturyLink, Inc. $95,060,220 0.479%Danaher Corp. $88,555,529 0.446%Yum! Brands, Inc. $86,632,439 0.436%Dollar General Corp. $86,253,323 0.434%Honeywell International, Inc. $84,126,695 0.424%NextEra Energy, Inc. $82,442,026 0.415%Occidental Petroleum Corp. $81,057,697 0.408%Google, Inc. Class A $80,510,681 0.406%JPMorgan Chase & Co. $78,221,569 0.394%Caterpillar, Inc. $77,860,271 0.392%Biogen Idec, Inc. $76,254,446 0.384%Merck & Co., Inc. $75,917,237 0.382%The Boeing Co. $74,192,983 0.374%Edison International $73,559,371 0.371%VeriSign, Inc. $73,508,797 0.370%Gilead Sciences, Inc. $71,418,360 0.360%DIRECTV $71,135,558 0.358%E.I. du Pont de Nemours & Co. $70,817,496 0.357%Precision Castparts Corp. $70,606,507 0.356%Duke Energy Corp. $70,118,222 0.353%Cummins, Inc. $67,425,623 0.340%FirstEnergy Corp. $67,327,815 0.339%Anadarko Petroleum Corp. $66,512,997 0.335%




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% of NetSecurity Name Market Value AssetsApache Corp. $65,662,918 0.331%SanDisk Corp. $65,022,511 0.328%National Oilwell Varco, Inc. $64,483,704 0.325%Ariba, Inc. $61,324,103 0.309%Illinois Tool Works, Inc. $60,005,989 0.302%McKesson Corp. $59,916,847 0.302%Priceline.com, Inc. $58,715,997 0.296%Sempra Energy $54,884,367 0.276%BlackRock, Inc. Class A $54,204,063 0.273%Marathon Oil Corp. $52,970,941 0.267%SLM Corp. $51,713,224 0.261%Marathon Petroleum Corp. $50,750,057 0.256%Textron, Inc. $49,508,584 0.249%Bank of America Corp. $49,212,932 0.248%General Electric Co. $48,881,319 0.246%Williams Companies, Inc. $47,684,807 0.240%Allergan, Inc. $47,596,045 0.240%CME E-mini S&P 500 Index Contracts $47,262,120 0.238%Henry Schein, Inc. $47,135,799 0.237%Air Products & Chemicals, Inc. $46,235,080 0.233%Edwards Lifesciences Corp. $45,483,514 0.229%Owens Corning $45,346,857 0.228%Under Armour, Inc. Class A (sub. vtg.) $44,884,180 0.226%Sherwin-Williams Co. $43,530,390 0.219%HollyFrontier Corp. $42,915,982 0.216%Ecolab, Inc. $41,818,345 0.211%Micron Technology, Inc. $41,726,771 0.210%CIGNA Corp. $41,576,140 0.209%Constellation Brands, Inc. Class A (sub. vtg.) $41,512,639 0.209%CSX Corp. $40,153,170 0.202%Cameron International Corp. $39,452,904 0.199%Schlumberger Ltd. $39,336,693 0.198%Regal-Beloit Corp. $38,184,008 0.192%State Street Corp. $37,240,282 0.188%Ocwen Financial Corp. $36,332,716 0.183%Weight Watchers International, Inc. $36,295,840 0.183%Halliburton Co. $35,961,860 0.181%The Macerich Co. $34,708,935 0.175%Agilent Technologies, Inc. $33,433,783 0.168%Fluor Corp. $33,093,905 0.167%Maxim Integrated Products, Inc. $32,208,272 0.162%The AES Corp. $31,986,694 0.161%Roper Industries, Inc. $31,891,082 0.161%Chevron Corp. $31,431,083 0.158%Stericycle, Inc. $31,007,754 0.156%Raytheon Co. $30,948,662 0.156%Armstrong World Industries, Inc. $30,784,156 0.155%C.R. Bard, Inc. $30,783,280 0.155%Hess Corp. $30,477,516 0.154%Juniper Networks, Inc. $30,385,881 0.153%Validus Holdings Ltd. $30,377,880 0.153%Limited Brands, Inc. $29,867,499 0.150%Express Scripts Holding Co. $29,017,118 0.146%




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% of NetSecurity Name Market Value AssetsTorchmark Corp. $28,991,351 0.146%The Cooper Companies, Inc. $28,626,187 0.144%Molson Coors Brewing Co. Class B $28,171,892 0.142%eBay, Inc. $27,348,742 0.138%AutoZone, Inc. $27,329,666 0.138%Noble Energy, Inc. $26,982,014 0.136%Baker Hughes, Inc. $26,623,323 0.134%International Rectifier Corp. $26,532,391 0.134%Ball Corp. $26,238,666 0.132%Comerica, Inc. $25,511,916 0.129%Tyco International Ltd. $25,399,848 0.128%Eastman Chemical Co. $25,375,340 0.128%Berkshire Hathaway, Inc. Class A $24,720,800 0.125%Colgate-Palmolive Co. $24,719,403 0.125%PG&E Corp. $24,149,887 0.122%Huntington Bancshares, Inc. $23,855,206 0.120%Omnicare, Inc. $23,658,597 0.119%Skyworks Solutions, Inc. $22,968,093 0.116%Camden Property Trust (SBI) $22,606,257 0.114%BioMarin Pharmaceutical, Inc. $22,524,017 0.113%Prologis, Inc. $22,454,501 0.113%Bunge Ltd. $22,453,218 0.113%Rock-Tenn Co. Class A $21,606,150 0.109%Invesco Ltd. $20,960,084 0.106%Berkshire Hathaway, Inc. Class B $20,640,584 0.104%Quidel Corp. $20,576,647 0.104%SBA Communications Corp. Class A $20,057,583 0.101%Parker Hannifin Corp. $20,053,356 0.101%ADTRAN, Inc. $19,850,093 0.100%Wal-Mart Stores, Inc. $18,350,616 0.092%Hewlett-Packard Co. $17,631,387 0.089%NiSource, Inc. $17,524,713 0.088%Altria Group, Inc. $17,488,666 0.088%Boston Scientific Corp. $17,143,319 0.086%Domino’s Pizza, Inc. $17,049,332 0.086%Alexion Pharmaceuticals, Inc. $16,478,034 0.083%Sigma Aldrich Corp. $16,069,561 0.081%CenterPoint Energy, Inc. $16,009,860 0.081%Equity Lifestyle Properties, Inc. $15,275,503 0.077%The Blackstone Group LP $15,255,884 0.077%Catalyst Health Solutions, Inc. $14,628,908 0.074%QEP Resources, Inc. $14,578,148 0.073%The Mosaic Co. $14,027,408 0.071%TD Ameritrade Holding Corp. $13,467,786 0.068%Harman International Industries, Inc. $13,418,613 0.068%Quanex Building Products Corp. $13,342,474 0.067%Oceaneering International, Inc. $13,222,941 0.067%Mako Surgical Corp. $13,114,707 0.066%Nu Skin Enterprises, Inc. Class A $13,100,397 0.066%ONYX Pharmaceuticals, Inc. $13,017,360 0.066%Fairchild Semiconductor International, Inc. $13,002,682 0.066%Oracle Corp. $12,866,352 0.065%Midstates Petroleum Co., Inc. $12,039,721 0.061%




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% of NetSecurity Name Market Value AssetsRF Micro Devices, Inc. $11,941,713 0.060%ON Semiconductor Corp. $11,939,593 0.060%Sprint Nextel Corp. $11,766,429 0.059%W.W. Grainger, Inc. $11,754,555 0.059%Joy Global, Inc. $11,194,400 0.056%Cobalt International Energy, Inc. $11,105,295 0.056%Dunkin’ Brands Group, Inc. $11,100,746 0.056%J.B. Hunt Transport Services, Inc. $10,943,194 0.055%Walgreen Co. $10,923,871 0.055%NBH Holdings Corp. Class A $10,377,000 0.052%PMC-Sierra, Inc. $9,899,718 0.050%FirstMerit Corp. $9,884,998 0.050%ONEOK, Inc. $9,861,536 0.050%Acme Packet, Inc. $9,763,811 0.049%Dice Holdings, Inc. $9,487,366 0.048%Legend Pictures LLC $9,163,513 0.046%Advanced Micro Devices, Inc. $9,158,754 0.046%Exelon Corp. $8,976,303 0.045%Sun Communities, Inc. $8,951,883 0.045%Broadcom Corp. Class A $8,831,550 0.044%CIT Group, Inc. $8,824,234 0.044%Optimer Pharmaceuticals, Inc. $8,487,474 0.043%Synovus Financial Corp. $8,406,903 0.042%Halcon Resources Corp. $7,706,790 0.039%NVIDIA Corp. $7,568,043 0.038%Marvell Technology Group Ltd. $7,442,870 0.037%Coca-Cola Bottling Co. CONSOLIDATED $7,155,601 0.036%Vantage Drilling Co. $7,015,652 0.035%Riverbed Technology, Inc. $6,987,007 0.035%Spectrum Brands Holdings, Inc. $6,927,681 0.035%Philip Morris International, Inc. $6,840,408 0.034%Alpha Natural Resources, Inc. $6,839,594 0.034%Evercore Partners, Inc. Class A $6,800,192 0.034%Eli Lilly & Co. $6,326,775 0.032%E*TRADE Financial Corp. $5,342,765 0.027%Safeway, Inc. $5,289,557 0.027%Forum Energy Technologies, Inc. $4,695,528 0.024%Amkor Technology, Inc. $4,448,234 0.022%Green Mountain Coffee Roasters, Inc. $3,985,474 0.020%NRG Energy, Inc. $3,759,528 0.019%Cheniere Energy, Inc. $3,678,480 0.019%Polycom, Inc. $3,584,816 0.018%Morgan Stanley $3,369,339 0.017%Calumet Specialty Products Partners LP $3,278,027 0.017%EV Energy Partners LP $2,533,232 0.013%Wright Medical Group, Inc. $2,154,854 0.011%AVEO Pharmaceuticals, Inc. $983,316 0.005%Kroger Co. $970,641 0.005%Icahn Enterprises LP rights $3 0.000%

Domestic Equities Total: $10,549,400,884 53.1%

Developed Markets




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% of NetSecurity Name Market Value AssetsBritish American Tobacco PLC sponsored ADR $196,439,134 0.990%Royal Dutch Shell PLC Class B sponsored ADR $122,999,941 0.620%Covidien PLC $76,934,879 0.388%Accenture PLC Class A $60,918,620 0.307%BP PLC sponsored ADR $53,360,887 0.269%Check Point Software Technologies Ltd. $52,181,023 0.263%Diageo PLC sponsored ADR $49,658,125 0.250%Anheuser-Busch InBev SA NV $48,097,086 0.242%ACE Ltd. $45,266,718 0.228%Valeant Pharmaceuticals International, Inc.(Canada) $44,983,706 0.227%GlaxoSmithKline PLC sponsored ADR $44,489,346 0.224%Avago Technologies Ltd. $44,256,521 0.223%Noble Corp. $41,379,841 0.208%Suncor Energy, Inc. $41,117,542 0.207%Fairfax Financial Holdings Ltd. (sub. vtg.) $40,508,883 0.204%Ensco PLC Class A $36,679,748 0.185%Unilever NV (NY Reg.) $33,998,348 0.171%Pernod Ricard SA $33,906,286 0.171%L’Oreal SA $31,514,413 0.159%Fanuc Corp. $30,365,301 0.153%NXP Semiconductors NV $28,015,419 0.141%Goldcorp, Inc. $27,872,011 0.140%Remy Cointreau SA $27,709,089 0.140%First Quantum Minerals Ltd. $26,177,474 0.132%InterOil Corp. $25,975,010 0.131%Shire PLC sponsored ADR $24,281,971 0.122%Jazz Pharmaceuticals PLC $22,795,862 0.115%Foster Wheeler AG $22,278,989 0.112%UBS AG $21,993,887 0.111%Nestle SA $19,533,595 0.098%MTU Aero Engines Holdings AG $17,891,766 0.090%Sanofi SA sponsored ADR $17,818,210 0.090%LyondellBasell Industries NV Class A $17,161,785 0.086%Canadian Pacific $15,144,550 0.076%Ivanhoe Mines Ltd. $13,422,593 0.068%Fiat Industrial SpA $13,215,882 0.067%Vodafone Group PLC sponsored ADR $11,219,277 0.057%Amlin PLC $10,456,327 0.053%ASML Holding NV $9,805,585 0.049%SXC Health Solutions Corp. $8,291,312 0.042%Randstad Holding NV $7,450,037 0.038%Rockhopper Exploration PLC $6,243,830 0.031%Transocean Ltd. (United States) $5,690,845 0.029%Kodiak Oil & Gas Corp. $5,659,969 0.029%Japan Retail Fund Investment Corp. $5,510,914 0.028%ICAP PLC $4,861,190 0.024%Betfair Group PLC $3,678,837 0.019%Discovery Offshore S.A. $1,749,227 0.009%Fiat Industrial SpA rights 6/20/12 $48 0.000%Fiat Industrial SpA rights 6/20/12 $24 0.000%ASAT Holdings Ltd. $0 0.000%ASAT Holdings Ltd. 13.00% $0 0.000%




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% of NetSecurity Name Market Value Assets

Developed Markets Total: $1,550,961,863 7.8%

Emerging Markets

Arcos Dorados Holdings, Inc. $44,048,660 0.222%Ocean Rig UDW, Inc. (United States) $13,577,411 0.068%Mail.ru Group Ltd. GDR $12,273,011 0.062%Hon Hai Precision Industry Co. Ltd. (Foxconn) $9,959,159 0.050%Coca-Cola FEMSA SAB de CV sponsored ADR $7,169,868 0.036%Embotelladora Andina SA sponsored ADR $6,917,989 0.035%Companhia de Bebidas das Americas (AmBev) (PN)sponsored ADR $6,539,634 0.033%Souza Cruz SA $6,395,072 0.032%Mail.ru Group Ltd. GDR (Reg. S) $6,149,856 0.031%Coca-Cola Icecek A/S $5,772,395 0.029%African Bank Investments Ltd. $5,511,296 0.028%PT Lippo Karawaci Tbk $5,485,394 0.028%Orion Corp. $5,077,827 0.026%Drogasil SA $5,023,021 0.025%

Emerging Markets Total: $139,900,592 0.7%

Bonds

U.S. Treasury Notes 0.875% 4/30/17 $595,781,619 3.001%Fidelity High Income Central Fund 2 $577,185,122 2.908%U.S. Treasury Notes 0.375% 4/15/15 $459,159,079 2.313%High Yield Debt Securities Directly Held $261,638,579 1.318%Fannie Mae 4% 30 Year $229,478,901 1.156%U.S. Treasury Notes 0.625% 7/15/14 $216,690,244 1.092%Freddie Mac 4.5% 30 Year $184,897,184 0.931%Ginnie Mae 4.5% 30 Year $169,441,431 0.854%U.S. Treasury Bonds 4.375% 5/15/41 $168,575,865 0.849%Fannie Mae 4.5% 30 Year $163,035,103 0.821%Fannie Mae 5.5% 30 Year $160,215,747 0.807%Fannie Mae 6% 30 Year $134,694,075 0.679%Fannie Mae 5% 30 Year $133,046,274 0.670%U.S. Treasury Notes 0.5% 8/15/14 $100,272,284 0.505%Ginnie Mae 5% 30 Year $97,815,751 0.493%Fannie Mae 3% 15 Year $95,797,551 0.483%U.S. Treasury Bonds 3.125% 2/15/42 $87,799,710 0.442%Freddie Mac 5.5% 30 Year $85,660,250 0.432%Freddie Mac 4% 30 Year $79,174,370 0.399%Freddie Mac 5% 30 Year $69,579,855 0.351%U.S. Treasury Inflation-Indexed Bonds 2.125%2/15/41 $65,442,088 0.330%U.S. Treasury Inflation-Indexed Bonds 0.75%2/15/42 $55,942,535 0.282%Fannie Mae 3.5% 30 Year $54,738,534 0.276%Ginnie Mae 3.5% 30 Year $46,902,017 0.236%U.S. Treasury Bonds 3% 5/15/42 $46,329,653 0.233%Tennessee Valley Authority 3.875% 2/15/21 $45,940,163 0.231%U.S. Treasury Notes 1% 9/30/16 $41,065,145 0.207%




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% of NetSecurity Name Market Value AssetsU.S. Treasury Notes 0.375% 3/15/15 $38,807,307 0.195%U.S. Treasury Bonds 3.125% 11/15/41 $33,813,465 0.170%Freddie Mac 4% 15 Year $32,416,734 0.163%Ginnie Mae 4% 30 Year $29,438,837 0.148%Ginnie Mae 4% 15 Year $29,257,407 0.147%Freddie Mac 3.5% 30 Year $28,713,126 0.145%Fannie Mae 4% 15 Year $27,095,326 0.136%Citigroup, Inc. 6.5% 8/19/13 $26,153,592 0.132%Altria Group, Inc. 9.7% 11/10/18 $25,670,841 0.129%Ginnie Mae 6% 30 Year $25,394,141 0.128%U.S. Treasury Notes 1.25% 4/30/19 $23,189,592 0.117%Volkswagen International Finance NV 2.375% 3/22/17 $22,883,021 0.115%Daimler Finance North America LLC 1.65% 4/10/15 $20,631,274 0.104%Capital One Financial Corp. 2.15% 3/23/15 $20,406,952 0.103%JPMorgan Chase Commercial Mortgage SecuritiesTrust sequential payer Series 2007-LDPX Class A3,5.42% 1/15/49 $20,303,413 0.102%Greenwich Capital Commercial Funding Corp.sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 $19,074,594 0.096%Ally Auto Receivables Trust Series 2012-2 ClassA3, 0.74% 4/15/16 $18,883,841 0.095%Anadarko Petroleum Corp. 6.375% 9/15/17 $18,476,170 0.093%Wachovia Bank Commercial Mortgage Trust sequentialpayer Series 2007-C30 Class A5, 5.342% 12/15/43 $18,241,853 0.092%General Electric Capital Corp. 5.625% 9/15/17 $18,001,890 0.091%U.S. Treasury Notes 0.875% 11/30/16 $17,916,277 0.090%Amgen, Inc. 5.15% 11/15/41 $17,817,074 0.090%Credit Suisse New York Branch 6% 2/15/18 $17,740,894 0.089%Citigroup/Deutsche Bank Commercial Mortgage Trustsequential payer Series 2007-CD4 Class A4, 5.322%12/11/49 $17,645,350 0.089%Citigroup, Inc. 4.75% 5/19/15 $17,338,739 0.087%Ally Master Owner Trust Series 2012-2 Class A,0.7413% 3/15/16 $17,050,303 0.086%Ford Credit Auto Owner Trust Series 2012-B ClassA4, 1.43% 9/15/17 $16,411,586 0.083%U.S. Treasury Notes 2.125% 8/15/21 $15,431,169 0.078%American International Group, Inc. 3.8% 3/22/17 $15,194,076 0.077%ERP Operating LP 4.625% 12/15/21 $14,982,071 0.075%Kraft Foods, Inc. 6.5% 8/11/17 $14,758,557 0.074%Time Warner Cable, Inc. 5.5% 9/1/41 $14,577,732 0.073%Dow Chemical Co. 7.6% 5/15/14 $14,355,230 0.072%Health Care REIT, Inc. 4.125% 4/1/19 $13,942,380 0.070%Norfolk Southern Corp. 3% 4/1/22 $13,903,710 0.070%Bank of America Corp. 5.7% 1/24/22 $13,565,985 0.068%Dominion Resources, Inc. 2.7697% 9/30/66 $13,503,660 0.068%Fannie Mae 5.5% 15 Year $13,450,669 0.068%Citibank Credit Card Issuance Trust Series 2009-A5Class A5, 2.25% 12/23/14 $13,447,803 0.068%Wachovia Bank Commercial Mortgage Trust sequentialpayer Series 2007-C31 Class A4, 5.509% 4/15/47 $13,418,107 0.068%Freddie Mac 6.5% 30 Year $13,400,845 0.068%Burlington Northern Santa Fe LLC 3.05% 3/15/22 $13,220,048 0.067%




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% of NetSecurity Name Market Value AssetsAristotle Holding, Inc. 4.75% 11/15/21 $13,143,126 0.066%Burlington Northern Santa Fe LLC 4.4% 3/15/42 $12,511,531 0.063%JPMorgan Chase & Co. 4.5% 1/24/22 $12,482,713 0.063%Bank of America Corp. 5.75% 12/1/17 $12,479,911 0.063%Petrobras International Finance Co. Ltd. 5.375%1/27/21 $12,313,951 0.062%Hartford Financial Services Group, Inc. 5.125%4/15/22 $12,187,841 0.061%TECO Finance, Inc. 5.15% 3/15/20 $12,099,873 0.061%AT&T, Inc. 6.8% 5/15/36 $11,969,211 0.060%JPMorgan Chase Capital XX 6.55% 9/29/36 $11,778,846 0.059%Merrill Lynch-CFC Commercial Mortgage Trustsequential payer Series 2007-6 Class A4, 5.485% 3/12/51 $11,712,921 0.059%Wells Fargo & Co. 3.5% 3/8/22 $11,554,693 0.058%Comcast Corp. 6.4% 3/1/40 $11,412,944 0.057%U.S. Treasury Notes 0.25% 9/15/14 $11,216,592 0.057%DIRECTV Holdings LLC/DIRECTV Financing, Inc.5.875% 10/1/19 $11,114,144 0.056%Tanger Properties LP 6.125% 6/1/20 $11,097,662 0.056%California Gen. Oblig. 7.5% 4/1/34 $11,051,210 0.056%KeyBank NA 5.8% 7/1/14 $10,937,967 0.055%Marshall & Ilsley Bank 5% 1/17/17 $10,919,875 0.055%JPMorgan Chase & Co. 3.15% 7/5/16 $10,862,105 0.055%News America, Inc. 6.15% 2/15/41 $10,600,145 0.053%News America Holdings, Inc. 7.75% 12/1/45 $10,584,108 0.053%Hartford Financial Services Group, Inc. 6.625%4/15/42 $10,390,464 0.052%Simon Property Group LP 2.15% 9/15/17 $10,257,228 0.052%Xerox Corp. 1.8737% 9/13/13 $10,181,336 0.051%Hyundai Automobile Receivables Trust Series 2012-AClass A4, 1.27% 12/15/16 $9,836,661 0.050%Petroleos Mexicanos 6.5% 6/2/41 $9,767,400 0.049%America Movil SAB de CV 2.375% 9/8/16 $9,765,460 0.049%Bank of America NA 5.3% 3/15/17 $9,714,446 0.049%GE Capital Commercial Mortgage Corp. sequentialpayer Series 2007-C1 Class A4, 5.543% 12/10/49 $9,700,092 0.049%Wachovia Bank NA 6% 11/15/17 $9,693,155 0.049%Burlington Northern Santa Fe LLC 5.05% 3/1/41 $9,582,480 0.048%Reynolds American, Inc. 7.25% 6/15/37 $9,543,480 0.048%Liberty Property LP 4.75% 10/1/20 $9,398,560 0.047%Fortune Brands, Inc. 5.875% 1/15/36 $9,359,451 0.047%Ford Credit Automobile Lease Trust Series 2012-AClass A4, 1.03% 4/15/15 $9,284,288 0.047%Corporacion Nacional del Cobre de Chile (Codelco)3.875% 11/3/21 $9,230,541 0.046%BioMed Realty LP 3.85% 4/15/16 $9,121,773 0.046%BB&T Corp. 3.95% 3/22/22 $9,119,248 0.046%HSBC USA, Inc. 2.375% 2/13/15 $9,019,357 0.045%Petrobras International Finance Co. Ltd. 7.875%3/15/19 $8,928,337 0.045%Liberty Mutual Group, Inc. 5% 6/1/21 $8,792,702 0.044%Symetra Financial Corp. 6.125% 4/1/16 $8,783,168 0.044%Enbridge Energy Partners LP 4.2% 9/15/21 $8,680,319 0.044%




10

% of NetSecurity Name Market Value AssetsCleveland Electric Illuminating Co. 5.65% 12/15/13 $8,672,681 0.044%Bank of America Corp. 3.875% 3/22/17 $8,598,412 0.043%NBCUniversal Media LLC 3.65% 4/30/15 $8,577,629 0.043%NBCUniversal Media LLC 5.15% 4/30/20 $8,441,331 0.043%JPMorgan Chase & Co. 4.35% 8/15/21 $8,378,229 0.042%Petrobras International Finance Co. Ltd. 5.75%1/20/20 $8,289,008 0.042%Petroleos Mexicanos 5.5% 1/21/21 $8,165,300 0.041%United Technologies Corp. 3.1% 6/1/22 $8,055,715 0.041%Wachovia Bank Commercial Mortgage Trust Series2006-C23 Class A5, 5.416% 1/15/45 $8,036,497 0.040%Morgan Stanley 5.5% 7/28/21 $7,948,096 0.040%NiSource Finance Corp. 5.4% 7/15/14 $7,924,639 0.040%Duke Energy Field Services 6.45% 11/3/36 $7,814,709 0.039%Wachovia Bank Commercial Mortgage Trust Series2007-C31A Class A2, 5.421% 4/15/47 $7,786,389 0.039%NBCUniversal Media LLC 6.4% 4/30/40 $7,718,466 0.039%American International Group, Inc. 4.875% 9/15/16 $7,695,371 0.039%DCP Midstream LLC 5.35% 3/15/20 $7,643,704 0.039%FirstEnergy Solutions Corp. 6.05% 8/15/21 $7,581,316 0.038%Petrobras International Finance Co. Ltd. 3.875%1/27/16 $7,565,396 0.038%Express Scripts, Inc. 3.125% 5/15/16 $7,547,532 0.038%DCP Midstream LLC 4.75% 9/30/21 $7,518,522 0.038%Pacific LifeCorp 6% 2/10/20 $7,374,370 0.037%FHMLC Multi-class participation certificatesguaranteed floater Series 3835 Class FC, 0.5888%5/15/38 $7,333,161 0.037%United Technologies Corp. 4.5% 6/1/42 $7,327,909 0.037%Sempra Energy 2.3% 4/1/17 $7,311,861 0.037%Ginnie Mae 5.5% 30 Year $7,257,566 0.037%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H03 Class FA, 0.7398% 1/20/61 $7,130,239 0.036%Fannie Mae 5% 15 Year $7,122,551 0.036%Ford Credit Floorplan Master Owner Trust Series2010-5 Class A1, 1.5% 9/15/15 $7,070,572 0.036%TransCapitalInvest Ltd. 5.67% 3/5/14 $6,991,679 0.035%Vale Overseas Ltd. 4.375% 1/11/22 $6,865,386 0.035%Transocean, Inc. 6.375% 12/15/21 $6,860,589 0.035%Dow Chemical Co. 4.125% 11/15/21 $6,831,793 0.034%BP Capital Markets PLC 4.742% 3/11/21 $6,829,956 0.034%Granite Master Issuer PLC floater Series 2006-1AClass A5, 0.3798% 12/20/54 $6,777,193 0.034%Morgan Stanley 7.3% 5/13/19 $6,771,390 0.034%Bear Stearns Commercial Mortgage Securities Trustsequential payer Series 2007-PW16 Class AAB,5.9046% 6/11/40 $6,728,495 0.034%Ras Laffan Liquefied Natural Gas Co. Ltd. III6.332% 9/30/27 $6,720,557 0.034%SABMiller Holdings, Inc. 3.75% 1/15/22 $6,687,737 0.034%Phillips 66 4.3% 4/1/22 $6,676,058 0.034%Bear Stearns Commercial Mortgage Securities Trustsequential payer Series 2007-PW18 Class A4, 5.7%




11

% of NetSecurity Name Market Value Assets6/11/50 $6,654,658 0.034%Aristotle Holding, Inc. 6.125% 11/15/41 $6,624,060 0.033%Wachovia Corp. 5.625% 10/15/16 $6,538,665 0.033%Nevada Power Co. 6.5% 5/15/18 $6,513,789 0.033%AOL Time Warner, Inc. 7.625% 4/15/31 $6,494,270 0.033%Ally Master Owner Trust Series 2011-1 Class A2,2.15% 1/15/16 $6,472,785 0.033%BP Capital Markets PLC 3.625% 5/8/14 $6,445,561 0.032%Ginnie Mae 5.251% 30 Year $6,424,544 0.032%HSBC Holdings PLC 4% 3/30/22 $6,321,652 0.032%Illinois Gen. Oblig. Series 2010, 4.421% 1/1/15 $6,305,671 0.032%Ras Laffan Liquefied Natural Gas Co. Ltd. III 5.5%9/30/14 $6,239,422 0.031%Marsh & McLennan Companies, Inc. 4.8% 7/15/21 $6,232,532 0.031%BlackRock, Inc. 3.375% 6/1/22 $6,222,039 0.031%Simon Property Group LP 6.75% 5/15/14 $6,211,834 0.031%AmerenUE 6.4% 6/15/17 $6,208,971 0.031%Northwestern Mutual Life Insurance Co. 6.063%3/30/40 $6,175,270 0.031%ERP Operating LP 4.75% 7/15/20 $6,164,737 0.031%Reynolds American, Inc. 6.75% 6/15/17 $6,111,953 0.031%MetLife, Inc. 6.75% 6/1/16 $6,070,708 0.031%Discovery Communications LLC 3.7% 6/1/15 $6,060,153 0.031%Tyco Electronics Group SA 5.95% 1/15/14 $6,039,944 0.030%Prudential Financial, Inc. 4.5% 11/16/21 $6,038,685 0.030%California Gen. Oblig. 7.6% 11/1/40 $5,955,406 0.030%Dominion Resources, Inc. 7.5% 6/30/66 $5,929,840 0.030%BAE Systems Holdings, Inc. 6.375% 6/1/19 $5,894,550 0.030%Phillips 66 5.875% 5/1/42 $5,870,722 0.030%Verizon Communications, Inc. 6.25% 4/1/37 $5,860,844 0.030%Ally Master Owner Trust Series 2011-3 Class A2,1.81% 5/15/16 $5,844,817 0.029%Marshall & Ilsley Bank 4.85% 6/16/15 $5,823,064 0.029%Time Warner, Inc. 5.875% 11/15/16 $5,801,704 0.029%Freddie Mac 6% 30 Year $5,787,403 0.029%Fifth Third Bancorp 8.25% 3/1/38 $5,762,416 0.029%Goldman Sachs Group, Inc. 5.95% 1/18/18 $5,627,780 0.028%JPMorgan Chase Commercial Mortgage SecuritiesTrust sequential payer Series 2006-LDP9 Class A3,5.336% 5/15/47 $5,625,556 0.028%Prudential Financial, Inc. 3.875% 1/14/15 $5,587,867 0.028%FBG Finance Ltd. 5.125% 6/15/15 $5,543,340 0.028%Motiva Enterprises LLC 6.85% 1/15/40 $5,501,520 0.028%Merrill Lynch Mortgage Trust Series 2007-C1 ClassA4, 6.0324% 6/12/50 $5,496,752 0.028%Merrill Lynch & Co., Inc. 6.4% 8/28/17 $5,456,705 0.027%Pepco Holdings, Inc. 2.7% 10/1/15 $5,451,044 0.027%Medco Health Solutions, Inc. 4.125% 9/15/20 $5,423,826 0.027%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H12 Class FA, 0.7313% 2/20/61 $5,403,468 0.027%Encana Holdings Finance Corp. 5.8% 5/1/14 $5,361,117 0.027%LG&E and KU Energy LLC 2.125% 11/15/15 $5,272,478 0.027%Bank of America Corp. 5.875% 2/7/42 $5,238,790 0.026%




12

% of NetSecurity Name Market Value AssetsAon Corp. 3.5% 9/30/15 $5,213,230 0.026%JPMorgan Chase Commercial Mortgage SecuritiesTrust sequential payer Series 2007-CB19 Class A4,5.9254% 2/12/49 $5,174,302 0.026%Ginnie Mae 4.814% 30 Year $5,163,208 0.026%Wisconsin Energy Corp. 6.25% 5/15/67 $5,093,993 0.026%Credit Suisse First Boston Mortgage SecuritiesCorp. Series 2006-C1 Class A3, 5.5958% 2/15/39 $5,038,305 0.025%Merrill Lynch-CFC Commercial Mortgage Trust Series2006-3 Class ASB, 5.382% 7/12/46 $5,011,282 0.025%Freddie Mac 5% 15 Year $5,009,678 0.025%Citigroup Commercial Mortgage Trust Series 2007-C6Class A4, 5.8852% 12/10/49 $4,996,490 0.025%Metropolitan Life Global Funding I 5.125% 6/10/14 $4,978,780 0.025%Aon Corp. 3.125% 5/27/16 $4,954,736 0.025%Merrill Lynch-CFC Commercial Mortgage Trustsequential payer Series 2007-7 Class A4, 5.81% 6/12/50 $4,944,560 0.025%Transocean, Inc. 5.05% 12/15/16 $4,939,335 0.025%Marathon Petroleum Corp. 5.125% 3/1/21 $4,920,329 0.025%NiSource Finance Corp. 6.8% 1/15/19 $4,911,744 0.025%Merrill Lynch & Co., Inc. 6.11% 1/29/37 $4,910,439 0.025%Bear Stearns Commercial Mortgage Securities TrustSeries 2006-PW13 Class A3, 5.518% 9/11/41 $4,843,802 0.024%Fannie Mae floater Series 2011-104 Class FK,0.6088% 3/25/39 $4,819,666 0.024%Edison International 3.75% 9/15/17 $4,777,094 0.024%Fannie Mae floater Series 2011-104 Class FN,0.5888% 3/25/39 $4,774,799 0.024%FirstEnergy Solutions Corp. 4.8% 2/15/15 $4,733,203 0.024%Simon Property Group LP 4.125% 12/1/21 $4,729,342 0.024%Ginnie Mae 5.294% 30 Year $4,729,114 0.024%Wells Fargo & Co. 3.625% 4/15/15 $4,711,008 0.024%Wachovia Bank Commercial Mortgage Trust sequentialpayer Series 2003-C8 Class A3, 4.445% 11/15/35 $4,672,494 0.024%Granite Master Issuer PLC sequential payer Series2006-3 Class B2, 0.4098% 12/20/54 $4,587,240 0.023%LB-UBS Commercial Mortgage Trust sequential payerSeries 2007-C1 Class A4, 5.424% 2/15/40 $4,572,706 0.023%Apache Corp. 3.25% 4/15/22 $4,520,048 0.023%Ras Laffan Liquefied Natural Gas Co. Ltd. III6.75% 9/30/19 $4,500,210 0.023%Vale Overseas Ltd. 6.25% 1/23/17 $4,490,916 0.023%Russian Federation 5.625% 4/4/42 $4,477,000 0.023%Telefonica Emisiones SAU 5.462% 2/16/21 $4,463,343 0.022%Time Warner, Inc. 6.2% 3/15/40 $4,462,210 0.022%Medco Health Solutions, Inc. 2.75% 9/15/15 $4,454,435 0.022%Digital Realty Trust LP 5.25% 3/15/21 $4,416,384 0.022%MidAmerican Energy Holdings, Co. 6.5% 9/15/37 $4,396,576 0.022%Pacific Life Insurance Co. 9.25% 6/15/39 $4,364,225 0.022%Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19 $4,362,793 0.022%Goldman Sachs Group, Inc. 6.15% 4/1/18 $4,329,949 0.022%NiSource Finance Corp. 5.8% 2/1/42 $4,312,356 0.022%Banc of America Commercial Mortgage, Inc. Series




13

% of NetSecurity Name Market Value Assets2005-3 Class A3B, 5.09% 7/10/43 $4,265,135 0.021%Unum Group 5.625% 9/15/20 $4,235,251 0.021%Time Warner Cable, Inc. 6.2% 7/1/13 $4,208,744 0.021%Ras Laffan Liquefied Natural Gas Co. Ltd. III 4.5%9/30/12 $4,199,475 0.021%Americredit Automobile Receivables Trust Series2012-2 Class A3, 1.05% 10/11/16 $4,188,136 0.021%Vodafone Group PLC 5% 12/16/13 $4,183,720 0.021%Banc of America Commercial Mortgage Trustsequential payer Series 2006-5 Class A2, 5.317% 9/10/47 $4,174,778 0.021%JPMorgan Chase & Co. 4.625% 5/10/21 $4,111,784 0.021%COMM pass-thru certificates sequential payerSeries 2006-CN2A Class AJFX, 5.478% 2/5/19 $4,105,261 0.021%Credit Suisse Commercial Mortgage Trust Series2006-C4 Class AAB, 5.439% 9/15/39 $4,098,356 0.021%Continental Airlines, Inc. 6.648% 3/15/19 $4,079,927 0.021%Freddie Mac 5.5% 20 Year $4,076,361 0.021%Huntington Bancshares, Inc. 7% 12/15/20 $4,074,916 0.021%Granite Master Issuer PLC floater Series 2006-3Class M2, 0.5198% 12/20/54 $4,067,700 0.020%Ginnie Mae 4.751% 30 Year $4,063,678 0.020%Weatherford International Ltd. 5.15% 3/15/13 $4,022,946 0.020%Ginnie Mae guaranteed REMIC pass-thru certificatesplanned amortization class Series 2011-79 ClassPO, 0% 6/20/40 $3,997,669 0.020%Massachusetts Mutual Life Insurance Co. 5.375%12/1/41 $3,991,638 0.020%Time Warner Cable, Inc. 5.85% 5/1/17 $3,954,754 0.020%Granite Master Issuer PLC floater Series 2007-1Class 1B1, 0.3798% 12/20/54 $3,906,000 0.020%Nexen, Inc. 6.2% 7/30/19 $3,892,955 0.020%Wachovia Bank Commercial Mortgage Trust sequentialpayer Series 2007-C32 Class A2, 5.9223% 6/15/49 $3,859,670 0.019%COMM pass-thru certificates sequential payerSeries 2006-C8 Class A3, 5.31% 12/10/46 $3,835,784 0.019%Digital Realty Trust LP 4.5% 7/15/15 $3,833,770 0.019%Granite Master Issuer PLC floater Series 2006-4Class B1, 0.4198% 12/20/54 $3,827,040 0.019%Duke Capital LLC 5.668% 8/15/14 $3,818,518 0.019%GS Mortgage Securities Corp. II Series 2006-GG6Class A2, 5.506% 4/10/38 $3,785,514 0.019%Dow Chemical Co. 4.25% 11/15/20 $3,774,326 0.019%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H07 Class FA, 0.7413% 2/20/61 $3,767,054 0.019%Morgan Stanley Capital I Trust Series 2007-IQ14Class AAB, 5.654% 4/15/49 $3,760,546 0.019%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H21 Class FA, 0.8398%10/20/61 $3,744,796 0.019%COX Communications, Inc. 4.625% 6/1/13 $3,742,447 0.019%Equity One, Inc. 6.25% 12/15/14 $3,704,343 0.019%Anglo American Capital PLC 9.375% 4/8/14 $3,670,469 0.018%KeyBank NA 5.45% 3/3/16 $3,670,022 0.018%




14

% of NetSecurity Name Market Value AssetsFreddie Mac planned amortization class Series 3806Class UP, 4.5% 2/15/41 $3,667,022 0.018%Comcast Corp. 4.95% 6/15/16 $3,631,854 0.018%DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.15%3/15/42 $3,611,827 0.018%Bear Stearns Commercial Mortgage Securities Trustsequential payer Series 2007-PW15 Class AAB,5.315% 2/11/44 $3,584,932 0.018%Wachovia Bank Commercial Mortgage Trust sequentialpayer Series 2006-C29 Class A3, 5.313% 11/15/48 $3,579,209 0.018%Freddie Mac planned amortization class Series 3741Class YU, 3.5% 11/15/22 $3,572,525 0.018%Plains All American Pipeline LP/PAA Finance Corp.3.65% 6/1/22 $3,547,890 0.018%CRH America, Inc. 6% 9/30/16 $3,461,876 0.017%JPMorgan Chase Commercial Mortgage SecuritiesTrust Series 2005-LDP3 Class A3, 4.959% 8/15/42 $3,457,227 0.017%Wells Fargo & Co. 3.676% 6/15/16 $3,431,720 0.017%America Movil SAB de CV 3.625% 3/30/15 $3,429,212 0.017%Credit Suisse Commercial Mortgage Trust sequentialpayer Series 2007-C2 Class A2, 5.448% 1/15/49 $3,408,655 0.017%COMM pass-thru certificates sequential payerSeries 2007-C9 Class A4, 6.0063% 12/10/49 $3,343,492 0.017%Nevada Power Co. 6.5% 8/1/18 $3,337,962 0.017%Duke Realty LP 5.5% 3/1/16 $3,329,874 0.017%Freddie Mac 3.5% 20 Year $3,317,185 0.017%JPMorgan Chase Commercial Mortgage SecuritiesTrust sequential payer Series 2006-CB14 Class A3B,5.674% 12/12/44 $3,309,256 0.017%Ginnie Mae 5.513% 30 Year $3,293,013 0.017%Duke Realty LP 8.25% 8/15/19 $3,292,143 0.017%JPMorgan Chase Commercial Mortgage SecuritiesTrust sequential payer Series 2007-LD11 Class A2,5.9877% 6/15/49 $3,284,908 0.017%California Gen. Oblig. 7.625% 3/1/40 $3,284,547 0.017%Time Warner, Inc. 6.5% 11/15/36 $3,282,199 0.017%Russian Federation 4.5% 4/4/22 $3,281,736 0.017%Camden Property Trust 5.375% 12/15/13 $3,268,641 0.016%Verizon Communications, Inc. 6.1% 4/15/18 $3,250,678 0.016%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H17 Class FA, 0.7698% 6/20/61 $3,236,055 0.016%Banc of America Commercial Mortgage, Inc.sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 $3,227,824 0.016%Post Apartment Homes LP 6.3% 6/1/13 $3,203,136 0.016%LB-UBS Commercial Mortgage Trust sequential payerSeries 2007-C2 Class A3, 5.43% 2/15/40 $3,199,183 0.016%Coventry Health Care, Inc. 6.3% 8/15/14 $3,192,559 0.016%Fannie Mae 3.5% 15 Year $3,180,163 0.016%Merrill Lynch Mortgage Trust Series 2008-C1 ClassA4, 5.69% 2/12/51 $3,179,069 0.016%Mack-Cali Realty LP 7.75% 8/15/19 $3,155,370 0.016%Weatherford International Ltd. 4.95% 10/15/13 $3,122,617 0.016%NiSource Finance Corp. 4.45% 12/1/21 $3,110,844 0.016%




15

% of NetSecurity Name Market Value AssetsFreddie Mac 4.5% 15 Year $3,091,090 0.016%MetLife, Inc. 4.75% 2/8/21 $3,077,516 0.016%Prudential Financial, Inc. 7.375% 6/15/19 $3,076,257 0.015%GS Mortgage Securities Corp. II floater Series2007-EOP Class D, 2.2018% 3/6/20 $3,054,721 0.015%Banc of America Commercial Mortgage Trust Series2007-3 Class A4, 5.8366% 6/10/49 $3,052,314 0.015%Prime Property Funding, Inc. 5.7% 4/15/17 $3,003,375 0.015%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2012-H01 Class FA, 0.9398%11/20/61 $2,994,260 0.015%BioMed Realty LP 6.125% 4/15/20 $2,992,622 0.015%Citigroup, Inc. 6.125% 5/15/18 $2,960,854 0.015%General Electric Capital Corp. 2.15% 1/9/15 $2,953,954 0.015%Anheuser-Busch InBev Worldwide, Inc. 5.375%11/15/14 $2,918,519 0.015%Prime Property Funding, Inc. 5.125% 6/1/15 $2,909,156 0.015%Fannie Mae 6.5% 20 Year $2,879,714 0.015%DIRECTV Holdings LLC/DIRECTV Financing, Inc. 6.35%3/15/40 $2,868,388 0.014%Liberty Property LP 5.5% 12/15/16 $2,844,580 0.014%Prudential Financial, Inc. 6.2% 11/15/40 $2,821,204 0.014%Sierra Pacific Power Co. 5.45% 9/1/13 $2,818,147 0.014%Credit Suisse Commercial Mortgage Trust sequentialpayer Series 2007-C2 Class A3, 5.542% 1/15/49 $2,816,083 0.014%Watson Pharmaceuticals, Inc. 5% 8/15/14 $2,815,865 0.014%Simon Property Group LP 4.2% 2/1/15 $2,815,040 0.014%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2012-H06 Class FA, 0.8698% 1/20/62 $2,812,900 0.014%Banc of America Commercial Mortgage Trustsequential payer Series 2006-6 Class A3, 5.369% 10/10/45 $2,802,922 0.014%Wachovia Corp. 5.75% 6/15/17 $2,750,915 0.014%JPMorgan Chase Bank 6% 10/1/17 $2,735,690 0.014%Banc of America Large Loan, Inc. floater Series2006-BIX1 Class F, 0.5488% 10/15/19 $2,725,058 0.014%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2010-H03 Class FA, 0.7898% 3/20/60 $2,721,936 0.014%Nakilat, Inc. 6.067% 12/31/33 $2,701,650 0.014%Greenwich Capital Commercial Funding Corp.sequential payer Series 2007-GG11 Class A2, 5.597%12/10/49 $2,699,631 0.014%Freddie Mac planned amortization class Series 2131Class BG, 6% 3/15/29 $2,695,962 0.014%BRE Properties, Inc. 5.5% 3/15/17 $2,687,725 0.014%NiSource Finance Corp. 6.4% 3/15/18 $2,680,562 0.014%BP Capital Markets PLC 4.5% 10/1/20 $2,667,050 0.013%Southern Natural Gas Co. / Southern NaturalIssuing Corp. 4.4% 6/15/21 $2,663,140 0.013%Petroleos Mexicanos 6% 3/5/20 $2,650,599 0.013%Wachovia Bank NA 4.875% 2/1/15 $2,637,065 0.013%Freddie Mac 5.5% 15 Year $2,616,693 0.013%Fifth Third Bancorp 5.45% 1/15/17 $2,594,782 0.013%Fannie Mae 6% 20 Year $2,590,248 0.013%




16

% of NetSecurity Name Market Value AssetsCapital Auto Receivables Asset Trust Series 2008-2Class B, 6.46% 12/15/14 $2,582,895 0.013%SABMiller Holdings, Inc. 2.45% 1/15/17 $2,573,251 0.013%American Honda Finance Corp. 1.45% 2/27/15 $2,557,366 0.013%SunTrust Banks, Inc. 3.5% 1/20/17 $2,549,163 0.013%Sempra Energy 2% 3/15/14 $2,549,151 0.013%Associated Banc Corp. 5.125% 3/28/16 $2,547,454 0.013%Fannie Mae Stripped Mortgage-Backed Securitiessequential payer Series 377 Class 1, 0% 10/1/36 $2,545,419 0.013%Great-West Life & Annuity Insurance Co. 7.153%5/16/46 $2,544,796 0.013%SABMiller Holdings, Inc. 1.85% 1/15/15 $2,544,651 0.013%Xerox Corp. 4.5% 5/15/21 $2,525,174 0.013%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H14 Class FC, 0.7398% 5/20/61 $2,509,865 0.013%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H14 Class FB, 0.7398% 5/20/61 $2,480,907 0.012%Unum Group 7.125% 9/30/16 $2,474,040 0.012%Time Warner Cable, Inc. 6.75% 7/1/18 $2,440,793 0.012%Freddie Mac planned amortization class Series 2937Class KC, 4.5% 2/15/20 $2,435,333 0.012%Fedral National Mortgage Association floaterSeries 2011-128 Class FQ, 0.6088% 3/25/39 $2,432,312 0.012%Morgan Stanley 5.75% 1/25/21 $2,431,906 0.012%Daimler Finance North America LLC 1.95% 3/28/14 $2,412,916 0.012%Dow Chemical Co. 5.25% 11/15/41 $2,408,690 0.012%Beaver County Indl. Dev. Auth. Poll. Cont. Rev.Bonds (FirstEnergy Nuclear Generation Corp. Proj.)Series 2005 A, 3.375%, tender 7/1/15 $2,374,980 0.012%Wachovia Bank Commercial Mortgage Trust sequentialpayer Series 2007-C32 Class A3, 5.9273% 6/15/49 $2,368,026 0.012%ERP Operating LP 5.75% 6/15/17 $2,362,904 0.012%Lehman Large Loan Trust Series 1997-LLI Class E,7.3% 10/12/34 $2,334,362 0.012%Celgene Corp. 2.45% 10/15/15 $2,302,371 0.012%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H05 Class FA, 0.7398%12/20/60 $2,292,547 0.012%Morgan Stanley 5.625% 9/23/19 $2,270,349 0.011%Duke Energy Field Services 5.375% 10/15/15 $2,264,793 0.011%Plains All American Pipeline LP/PAA Finance Corp.6.125% 1/15/17 $2,261,724 0.011%Federal Realty Investment Trust 5.9% 4/1/20 $2,255,668 0.011%Banc of America Commercial Mortgage Trust Series2007-3 Class A3, 5.8366% 6/10/49 $2,247,795 0.011%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H13 Class FA, 0.7398% 4/20/61 $2,247,551 0.011%Bayview Commercial Asset Trust floater Series2006-2A Class A1, 0.4688% 7/25/36 $2,236,165 0.011%JPMorgan Chase Commercial Mortgage SecuritiesTrust Series 2007-CB18 Class A3, 5.447% 6/12/47 $2,228,306 0.011%UBS AG Stamford Branch 2.25% 1/28/14 $2,224,559 0.011%COMM pass-thru certificates sequential payer




17

% of NetSecurity Name Market Value AssetsSeries 2006-CN2A Class A2FX, 5.449% 2/5/19 $2,223,956 0.011%Freddie Mac floater planned amortization Series3153 Class FX, 0.5888% 5/15/36 $2,215,268 0.011%BAE Systems Holdings, Inc. 4.95% 6/1/14 $2,214,355 0.011%Berkshire Hathaway Finance Corp. 4.4% 5/15/42 $2,180,028 0.011%Express Scripts, Inc. 6.25% 6/15/14 $2,179,347 0.011%California Gen. Oblig. 7.55% 4/1/39 $2,176,043 0.011%AMB Property LP 5.9% 8/15/13 $2,167,456 0.011%Fortune Brands, Inc. 5.375% 1/15/16 $2,147,220 0.011%Morgan Stanley Capital I Trust Series 2007-IQ14Class A4, 5.692% 4/15/49 $2,141,393 0.011%Merrill Lynch Mortgage Investors Trust Series2006-OPT1 Class A1A, 0.4988% 6/25/35 $2,131,748 0.011%Aristotle Holding, Inc. 3.9% 2/15/22 $2,119,278 0.011%JPMorgan Chase Commercial Mortgage SecuritiesTrust sequential payer Series 2007-LDPX Class A2S, 5.305% 1/15/49 $2,119,016 0.011%Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 $2,102,655 0.011%Mack-Cali Realty LP 4.5% 4/18/22 $2,102,521 0.011%AT&T, Inc. 2.95% 5/15/16 $2,059,226 0.010%Anadarko Petroleum Corp. 5.95% 9/15/16 $2,020,699 0.010%Amgen, Inc. 3.875% 11/15/21 $2,019,572 0.010%Phillips 66 2.95% 5/1/17 $2,004,089 0.010%Ameriquest Mortgage Securities, Inc. pass-thrucertificates Series 2005-R2 Class M1, 0.6888% 4/25/35 $2,001,414 0.010%Phillips 66 1.95% 3/5/15 $1,983,543 0.010%Transocean, Inc. 6.5% 11/15/20 $1,982,145 0.010%TECO Finance, Inc. 4% 3/15/16 $1,962,969 0.010%Diageo Capital PLC 1.5% 5/11/17 $1,961,332 0.010%Spectra Energy Partners, LP 4.6% 6/15/21 $1,960,956 0.010%Morgan Stanley 6.625% 4/1/18 $1,952,697 0.010%Enterprise Products Operating LP 5.6% 10/15/14 $1,949,965 0.010%ABB Finance (USA), Inc. 2.875% 5/8/22 $1,947,912 0.010%Nexen, Inc. 6.4% 5/15/37 $1,927,601 0.010%Banc of America Commercial Mortgage Trustsequential payer Series 2006-5 Class A3, 5.39% 9/10/47 $1,918,177 0.010%Fannie Mae 7% 30 Year $1,914,165 0.010%Freddie Mac planned amortization class Series 2962Class BE, 4.5% 4/15/20 $1,873,049 0.009%Comcast Corp. 5.15% 3/1/20 $1,864,483 0.009%LB-UBS Commercial Mortgage Trust Series 2007-C6Class A4, 5.858% 7/15/40 $1,860,985 0.009%Ginnie Mae 7% 30 Year $1,858,414 0.009%Regency Centers LP 5.25% 8/1/15 $1,848,595 0.009%COMM pass-thru certificates floater Series2006-CN2A Class A2FL, 0.4588% 2/5/19 $1,833,170 0.009%Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2010-H010 Class FA, 0.5698% 5/20/60 $1,828,855 0.009%Fannie Mae planned amortization class Series1994-23 Class PZ, 6% 2/25/24 $1,820,494 0.009%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2012-H03 Class FA, 0.9428% 1/20/62 $1,818,128 0.009%Liberty Property LP 5.125% 3/2/15 $1,810,090 0.009%




18

% of NetSecurity Name Market Value AssetsHRPT Properties Trust 5.75% 11/1/15 $1,806,098 0.009%JPMorgan Chase & Co. 3.45% 3/1/16 $1,801,126 0.009%Ras Laffan Liquefied Natural Gas Co. Ltd. III5.832% 9/30/16 $1,800,924 0.009%American Express Credit Corp. 2.75% 9/15/15 $1,796,955 0.009%PSEG Power LLC 2.75% 9/15/16 $1,761,324 0.009%Freddie Mac 6.5% 15 Year $1,757,226 0.009%Credit Suisse Commercial Mortgage Trust sequentialpayer Series 2006-C4 Class A3, 5.467% 9/15/39 $1,749,821 0.009%Kraft Foods, Inc. 6.5% 2/9/40 $1,732,397 0.009%Freddie Mac 6% 15 Year $1,731,588 0.009%Telefonica Emisiones SAU 5.134% 4/27/20 $1,727,895 0.009%Banc of America Commercial Mortgage, Inc.sequential payer Series 2004-2 Class A4, 4.153% 11/10/38 $1,709,481 0.009%COMM pass-thru certificates floater Series2006-FL12 Class AJ, 0.3688% 12/15/20 $1,694,671 0.009%Beam, Inc. 3.25% 5/15/22 $1,683,147 0.008%Nexen, Inc. 5.2% 3/10/15 $1,661,667 0.008%Granite Master Issuer PLC floater Series 2007-2Class 2C1, 1.0988% 12/17/54 $1,661,120 0.008%Corporacion Nacional del Cobre de Chile (Codelco)6.375% 11/30/12 $1,655,128 0.008%Duke Realty LP 6.75% 3/15/20 $1,651,108 0.008%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2012-H07 Class FA, 0.8698% 3/20/62 $1,641,685 0.008%Time Warner, Inc. 4.875% 3/15/20 $1,640,578 0.008%GS Mortgage Securities Corp. II floater Series2007-EOP Class C, 2.0056% 3/6/20 $1,631,302 0.008%Nexen, Inc. 5.875% 3/10/35 $1,630,752 0.008%Coventry Health Care, Inc. 5.95% 3/15/17 $1,620,078 0.008%Simon Property Group LP 2.8% 1/30/17 $1,600,602 0.008%CDC Commercial Mortgage Trust Series 2002-FX1Class G, 6.625% 5/15/35 $1,591,334 0.008%Fannie Mae planned amortization class Series2006-12 Class BO, 0% 10/25/35 $1,587,365 0.008%Freddie Mac planned amortization class Series 3832Class PE, 5% 3/15/41 $1,586,986 0.008%LB-UBS Commercial Mortgage Trust Series 2007-C7Class A3, 5.866% 9/15/45 $1,575,002 0.008%Credit Suisse New York Branch 5.4% 1/14/20 $1,570,142 0.008%Motiva Enterprises LLC 5.75% 1/15/20 $1,562,265 0.008%Asset Securitization Corp. Series 1997-D5 ClassA6, 7.5234% 2/14/43 $1,547,235 0.008%Granite Master Issuer PLC floater Series 2007-1Class 2M1, 0.7398% 12/20/54 $1,539,915 0.008%DaimlerChrysler NA Holding Corp. 6.5% 11/15/13 $1,538,039 0.008%AT&T, Inc. 2.5% 8/15/15 $1,526,739 0.008%Fannie Mae 6.5% 15 Year $1,525,157 0.008%Texas Eastern Transmission LP 6% 9/15/17 $1,513,449 0.008%BP Capital Markets PLC 3.125% 10/1/15 $1,509,615 0.008%Spectra Energy Partners, LP 2.95% 6/15/16 $1,505,968 0.008%BellSouth Capital Funding Corp. 7.875% 2/15/30 $1,497,983 0.008%Petroleos Mexicanos 4.875% 1/24/22 $1,494,350 0.008%




19

% of NetSecurity Name Market Value AssetsSoutheast Supply Header LLC 4.85% 8/15/14 $1,490,366 0.008%Freddie Mac sequential payer Series 2357 Class ZB,6.5% 9/15/31 $1,487,386 0.007%Fannie Mae Series 2007-66 Class FB, 0.6388%7/25/37 $1,484,453 0.007%Guggenheim Structured Real Estate Funding Ltd.Series 2006-3 Class C, 0.7888% 9/25/46 $1,481,622 0.007%Noble Holding International Ltd. 3.45% 8/1/15 $1,453,217 0.007%JPMorgan Chase & Co. 3.4% 6/24/15 $1,451,247 0.007%Xerox Corp. 4.25% 2/15/15 $1,435,478 0.007%Tanger Properties LP 6.15% 11/15/15 $1,432,388 0.007%Fannie Mae sequential payer Series 2002-79 ClassZ, 5.5% 11/25/22 $1,427,146 0.007%Teva Pharmaceutical Finance IV BV 3.65% 11/10/21 $1,421,897 0.007%Freddie Mac 7% 30 Year $1,421,443 0.007%Beam, Inc. 1.875% 5/15/17 $1,415,489 0.007%Morgan Stanley 4% 7/24/15 $1,415,399 0.007%Bank of America Corp. 6.5% 8/1/16 $1,408,418 0.007%Citigroup Commercial Mortgage Trust Series 2007-C6Class A2, 5.8852% 12/10/49 $1,407,886 0.007%Merrill Lynch-CFC Commercial Mortgage Trustsequential payer Series 2006-1 Class A3, 5.6555% 2/12/39 $1,407,016 0.007%Hartford Financial Services Group, Inc. 4%10/15/17 $1,401,407 0.007%Fannie Mae floater Series 2007-57 Class FA,0.4688% 6/25/37 $1,401,301 0.007%Cobalt CMBS Commercial Mortgage Trust sequentialpayer Series 2007-C3 Class A3, 6.0104% 5/15/46 $1,400,038 0.007%Liberty Mutual Group, Inc. 6.5% 3/15/35 $1,396,430 0.007%Freddie Mac planned amortization class Series 2802Class OB, 6% 5/15/34 $1,391,811 0.007%DCP Midstream Operating LP 4.95% 4/1/22 $1,389,955 0.007%Comerica, Inc. 4.8% 5/1/15 $1,383,613 0.007%ArcelorMittal SA 3.75% 2/25/15 $1,374,511 0.007%Banc of America Commercial Mortgage Trustsequential payer Series 2007-4 Class A3, 5.9835% 2/10/51 $1,365,164 0.007%Citigroup/Deutsche Bank Commercial Mortgage TrustSeries 2007-CD4 Class A3, 5.293% 12/11/49 $1,349,143 0.007%Tyco Electronics Group SA 6.55% 10/1/17 $1,343,357 0.007%GE Business Loan Trust Series 2006-2A Class A,0.4188% 11/15/34 $1,336,565 0.007%Bank of America Corp. 5.65% 5/1/18 $1,323,421 0.007%Fortune Brands, Inc. 6.375% 6/15/14 $1,318,527 0.007%Morgan Stanley Capital I Trust sequential payerSeries 2005-IQ9 Class A3, 4.54% 7/15/56 $1,315,502 0.007%Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2010-91 Class PO, 0% 7/20/40 $1,304,781 0.007%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2010-H27 Series FA, 0.6198%12/20/60 $1,303,779 0.007%ZFS Finance USA Trust IV 5.875% 5/9/62 $1,301,053 0.007%Spectra Energy Capital, LLC 5.65% 3/1/20 $1,296,593 0.007%Export-Import Bank of Korea 5.5% 10/17/12 $1,278,796 0.006%




20

% of NetSecurity Name Market Value AssetsBanc of America Large Loan, Inc. floater Series2006-BIX1 Class G, 0.5688% 10/15/19 $1,268,880 0.006%Continental Airlines, Inc. 6.9% 7/2/19 $1,261,189 0.006%Fannie Mae Series 2010-109 Class IM, 5.5% 9/25/40 $1,260,569 0.006%Credit Suisse Commercial Mortgage Trust Series2007-C5 Class A4, 5.695% 9/15/40 $1,259,499 0.006%Merrill Lynch-CFC Commercial Mortgage Trust Series2007-8 Class A3, 6.1649% 8/12/49 $1,244,789 0.006%Banc of America Commercial Mortgage Trustsequential payer Series 2006-2 Class AAB, 5.9026% 5/10/45 $1,244,519 0.006%Merrill Lynch Mortgage Trust Series 2006-C1 ClassA2, 5.803% 5/12/39 $1,240,735 0.006%Washington (REIT) 5.25% 1/15/14 $1,229,497 0.006%Xerox Corp. 2.95% 3/15/17 $1,228,823 0.006%Bear Stearns Companies, Inc. 5.3% 10/30/15 $1,224,991 0.006%Prime Property Funding, Inc. 5.5% 1/15/14 $1,215,902 0.006%LB Commercial Conduit Mortgage Trust sequentialpayer Series 2007-C3 Class A4, 6.1105% 7/15/44 $1,204,782 0.006%HSBC Holdings PLC 5.1% 4/5/21 $1,203,833 0.006%Citigroup Commercial Mortgage Trust Series 2008-C7Class A2B, 6.2761% 12/10/49 $1,200,682 0.006%Granite Master Issuer PLC floater Series 2007-1Class 1M1, 0.5398% 12/20/54 $1,200,195 0.006%UnionBanCal Corp. 5.25% 12/16/13 $1,195,997 0.006%Wachovia Bank Commercial Mortgage Trust Series2005-C19 Class B, 4.892% 5/15/44 $1,192,450 0.006%Comcast Corp. 5.7% 5/15/18 $1,187,342 0.006%Freddie Mac planned amortization class Series2006-15 Class OP, 0% 3/25/36 $1,186,336 0.006%Freddie Mac planned amortization class Series 3119Class PO, 0% 2/15/36 $1,171,750 0.006%National Grid PLC 6.3% 8/1/16 $1,171,435 0.006%Freddie Mac sequential payer Series 2519 Class ZD,5.5% 11/15/32 $1,162,248 0.006%Freddie Mac 2.56% 30 Year $1,160,959 0.006%Argent Securities, Inc. pass-thru certificatesSeries 2004-W7 Class M1, 0.7888% 5/25/34 $1,146,050 0.006%Pacific Gas & Electric Co. 3.25% 9/15/21 $1,145,393 0.006%Duke Realty LP 5.4% 8/15/14 $1,143,712 0.006%Whinstone Capital Management Ltd. Series 1A ClassB3, 2.2657% 10/25/44 $1,139,165 0.006%Greenwich Capital Commercial Funding Corp. Series2006-GG7 Class A3, 6.0811% 7/10/38 $1,118,787 0.006%Fannie Mae Series 2007-66 Class SA, 38.1675%7/25/37 $1,118,027 0.006%NiSource Finance Corp. 5.45% 9/15/20 $1,114,742 0.006%Wachovia Bank Commercial Mortgage Trust sequentialpayer Series 2003-C7 Class A1, 4.241% 10/15/35 $1,099,914 0.006%LB-UBS Commercial Mortgage Trust sequential payerSeries 2006-C7 Class A3, 5.347% 11/15/38 $1,095,535 0.006%GCO Education Loan Funding Master Trust II Series2007-1A Class C1L, 0.8469% 2/25/47 $1,092,700 0.006%PepsiCo, Inc. 7.9% 11/1/18 $1,091,183 0.005%




21

% of NetSecurity Name Market Value AssetsFannie Mae planned amortization class Series1993-207 Class H, 6.5% 11/25/23 $1,088,770 0.005%Bayview Commercial Asset Trust floater Series2005-2A Class A1, 0.5488% 8/25/35 $1,088,061 0.005%Assurant, Inc. 5.625% 2/15/14 $1,087,106 0.005%LG&E and KU Energy LLC 3.75% 11/15/20 $1,081,304 0.005%Freddie Mac planned amortization class Series 2520Class BE, 6% 11/15/32 $1,080,455 0.005%Fannie Mae floater Series 2008-76 Class EF,0.7388% 9/25/23 $1,078,627 0.005%HRPT Properties Trust 6.25% 6/15/17 $1,070,762 0.005%Merrill Lynch-CFC Commercial Mortgage Trustsequential payer Series 2006-4 Class ASB, 5.133%12/12/49 $1,066,466 0.005%MetLife, Inc. 5% 6/15/15 $1,032,318 0.005%Fannie Mae planned amortization class Series1999-17 Class PG, 6% 4/25/29 $1,029,262 0.005%Cenovus Energy, Inc. 4.5% 9/15/14 $1,027,033 0.005%Time Warner, Inc. 3.15% 7/15/15 $1,024,760 0.005%RESI Finance LP/RESI Finance DE Corp. floaterSeries 2003-B Class B5, 2.5888% 7/10/35 $1,021,243 0.005%Fifth Third Bank 4.75% 2/1/15 $1,011,978 0.005%Noble Holding International Ltd. 3.05% 3/1/16 $1,009,977 0.005%Equity One, Inc. 5.375% 10/15/15 $1,008,876 0.005%Freddie Mac planned amortization class Series 3110Class OP, 0% 9/15/35 $999,676 0.005%Freddie Mac planned amortization class Series 2095Class PE, 6% 11/15/28 $995,431 0.005%General Electric Capital Corp. 4.625% 1/7/21 $989,024 0.005%Regency Centers LP 5.875% 6/15/17 $987,661 0.005%Fannie Mae 3.472% 30 Year $986,107 0.005%Bayview Commercial Asset Trust floater Series2005-4A Class A2, 0.6288% 1/25/36 $985,698 0.005%Fannie Mae sequential payer Series 2001-20 ClassZ, 6% 5/25/31 $974,709 0.005%Bayview Commercial Asset Trust floater Series2004-1 Class A, 0.5988% 4/25/34 $974,168 0.005%Wachovia Bank Commercial Mortgage Trust pass-thrucertificates sequential payer Series 2007-C33Class A5, 6.0975% 2/15/51 $965,170 0.005%Alcoa, Inc. 5.4% 4/15/21 $959,701 0.005%Bear Stearns Commercial Mortgage Securities TrustSeries 2007-PW18 Class X2, 0.4794% 6/11/50 $949,169 0.005%JPMorgan Chase Commercial Mortgage SecuritiesTrust sequential payer Series 2006-LDP8 Class A4,5.399% 5/15/45 $945,489 0.005%Wachovia Bank NA 4.8% 11/1/14 $944,974 0.005%Gulfstream Natural Gas System LLC 6.95% 6/1/16 $942,053 0.005%Russia Government Bill 4/4/17 $932,949 0.005%Telefonica Emisiones SAU 6.421% 6/20/16 $922,942 0.005%Fannie Mae 7.5% 30 Year $913,136 0.005%Banc of America Large Loan, Inc. floater Series2006-BIX1 Class E, 0.4788% 10/15/19 $912,980 0.005%




22

% of NetSecurity Name Market Value AssetsFreddie Mac planned amortization class Series 3258Class PM, 5.5% 12/15/36 $909,551 0.005%Granite Master Issuer PLC floater Series 2006-4Class M1, 0.5798% 12/20/54 $892,510 0.004%Kraft Foods, Inc. 5.375% 2/10/20 $876,637 0.004%First Union National Bank-Bank of AmericaCommercial Mortgage Trust Series 2001-C1 Class G,6.936% 3/15/33 $872,475 0.004%Bear Stearns Commercial Mortgage Securities Trustsequential payer Series 2007-PW16 Class A4,5.9046% 6/11/40 $869,864 0.004%COMM pass-thru certificates floater Series2006-CN2A Class AJFL, 0.4988% 2/5/19 $861,128 0.004%Ginnie Mae 7.5% 30 Year $857,443 0.004%Freddie Mac 2.469% 30 Year $848,952 0.004%Credit Suisse Commercial Mortgage Trust sequentialpayer Series 2007-C3 Class A4, 5.8672% 6/15/39 $841,384 0.004%Morgan Stanley Capital I Trust Series 2006-IQ11Class A3, 5.8615% 10/15/42 $833,988 0.004%Fannie Mae planned amortization class Series1999-32 Class PL, 6% 7/25/29 $821,922 0.004%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2010-H19 Class FG, 0.5398% 8/20/60 $818,063 0.004%Fannie Mae planned amortization class Series2006-62 Class KP, 0% 4/25/36 $810,268 0.004%Suncor Energy, Inc. 6.1% 6/1/18 $791,104 0.004%Equity One, Inc. 6% 9/15/17 $782,717 0.004%Ginnie Mae guaranteed REMIC pass-thru certificatesplanned amortization class Series 1993-13 ClassPD, 6% 5/20/29 $778,756 0.004%LB-UBS Commercial Mortgage Trust sequential payerSeries 2006-C7 Class A2, 5.3% 11/15/38 $771,684 0.004%COMM pass-thru certificates floater Series2005-FL11 Class C, 0.5388% 11/15/17 $766,179 0.004%GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 $765,521 0.004%Freddie Mac 5.107% 30 Year $765,458 0.004%NiSource Finance Corp. 5.25% 9/15/17 $762,995 0.004%Morgan Stanley Capital I Trust floater Series2007-XLFA Class E, 0.489% 10/15/20 $760,336 0.004%Fannie Mae 3.495% 30 Year $758,688 0.004%Freddie Mac planned amortization class Series 3123Class LO, 0% 3/15/36 $758,217 0.004%KeyCorp. 5.1% 3/24/21 $756,276 0.004%Hartford Financial Services Group, Inc. 5.375%3/15/17 $756,090 0.004%Merrill Lynch Mortgage Trust Series 2005-CKI1Class A3, 5.3909% 11/12/37 $746,213 0.004%Citigroup Mortgage Loan Trust Series 2005-HE4Class A2C, 0.5088% 10/25/35 $743,228 0.004%Banc of America Commercial Mortgage, Inc. Series2001-3 Class H, 6.562% 4/11/37 $733,877 0.004%HRPT Properties Trust 6.65% 1/15/18 $733,656 0.004%Freddie Mac Manufactured Housing participation




23

% of NetSecurity Name Market Value Assetscertificates guaranteed sequential payer Series2056 Class Z, 6% 5/15/28 $730,993 0.004%ArcelorMittal SA 3.75% 3/1/16 $729,358 0.004%Fannie Mae Series 2007-57 Class SA, 39.1875%6/25/37 $722,975 0.004%Fannie Mae sequential payer Series 1999-25 ClassZ, 6% 6/25/29 $714,594 0.004%Pennsylvania Electric Co. 6.05% 9/1/17 $711,564 0.004%Banc of America Commercial Mortgage, Inc.sequential payer Series 2007-1 Class A2, 5.381% 1/15/49 $703,743 0.004%Morgan Stanley Capital I Trust sequential payerSeries 2007-HQ11 Class A31, 5.439% 2/12/44 $700,210 0.004%General Electric Capital Corp. 2.25% 11/9/15 $696,601 0.004%Comerica Bank 5.7% 6/1/14 $696,040 0.004%Freddie Mac planned amortization class Series 3145Class GO, 0% 4/15/36 $694,941 0.004%Fifth Third Bancorp 3.5% 3/15/22 $691,663 0.003%American Express Credit Corp. 2.8% 9/19/16 $688,033 0.003%Morgan Stanley Capital I Trust Series 2006-T23Class A3, 5.9838% 8/12/41 $686,434 0.003%Cargill, Inc. 6% 11/27/17 $684,830 0.003%Morgan Stanley Capital I Trust floater Series2007-XLFA Class C, 0.399% 10/15/20 $678,600 0.003%Freddie Mac planned amortization class Series 3225Class EO, 0% 10/15/36 $672,175 0.003%LB-UBS Commercial Mortgage Trust sequential payerSeries 2006-C6 Class A4, 5.372% 9/15/39 $668,007 0.003%Fannie Mae planned amortization class Series2006-45 Class OP, 0% 6/25/36 $667,109 0.003%Freddie Mac 7% 20 Year $664,796 0.003%NextEra Energy Capital Holdings, Inc. 1.611%6/1/14 $662,576 0.003%C-BASS Trust floater Series 2006-SC1 Class A,0.5088% 5/25/36 $657,910 0.003%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2010-H18 Class AF, 0.5428% 9/20/60 $646,452 0.003%Credit Suisse First Boston Mortgage SecuritiesCorp. sequential payer Series 2004-C1 Class A4,4.75% 1/15/37 $638,495 0.003%JPMorgan Chase Commercial Mortgage SecuritiesTrust floater Series 2006-FLA2 Class B, 0.4088%11/15/18 $638,449 0.003%Morgan Stanley Capital I Trust floater Series2007-XLFA Class D, 0.429% 10/15/20 $637,225 0.003%Fannie Mae planned amortization class Series2003-28 Class KG, 5.5% 4/25/23 $632,098 0.003%QBE Insurance Group Ltd. 5.647% 7/1/23 $629,640 0.003%Freddie Mac planned amortization class Series 2154Class PT, 6% 5/15/29 $627,582 0.003%GS Mortgage Securities Trust sequential payerSeries 2006-GG8 Class A2, 5.479% 11/10/39 $625,190 0.003%Fannie Mae 2.665% 30 Year $621,193 0.003%LB-UBS Commercial Mortgage Trust Series 2007-C7




24

% of NetSecurity Name Market Value AssetsClass XCP, 0.4289% 9/15/45 $620,831 0.003%Wachovia Bank Commercial Mortgage Trust Series2003-C6 Class G, 5.125% 8/15/35 $620,280 0.003%Fifth Third Bancorp 4.5% 6/1/18 $619,778 0.003%Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2010-H17 Class FA, 0.5698% 7/20/60 $606,061 0.003%Fannie Mae planned amortization class Series2006-105 Class MD, 5.5% 6/25/35 $600,353 0.003%First Franklin Mortgage Loan Trust Series2006-FF14 Class A2, 0.2988% 10/25/36 $594,358 0.003%Bear Stearns Commercial Mortgage Securities Trustfloater Series 2007-BBA8 Class D, 0.4888% 3/15/22 $590,683 0.003%Goldman Sachs Group, Inc. 5.75% 1/24/22 $585,495 0.003%BlackRock, Inc. 4.25% 5/24/21 $584,313 0.003%Ginnie Mae 6.5% 30 Year $579,680 0.003%Fannie Mae Series 2008-12 Class SG, 6.1113%3/25/38 $578,384 0.003%Federal Realty Investment Trust 6.2% 1/15/17 $565,581 0.003%Fannie Mae Series 2005-104 Class NI, 6.4613%3/25/35 $563,935 0.003%Banc of America Large Loan, Inc. floater Series2006-BIX1 Class D, 0.4488% 10/15/19 $560,294 0.003%Banc of America Large Loan, Inc. floater Series2005-MIB1 Class D, 0.5988% 3/15/22 $556,327 0.003%Marathon Petroleum Corp. 3.5% 3/1/16 $554,379 0.003%Banc of America Large Loan, Inc. floater Series2005-MIB1 Class C, 0.5488% 3/15/22 $552,776 0.003%Fannie Mae 3.37% 30 Year $551,597 0.003%Keycorp Student Loan Trust Series 1999-A Class A2,0.8032% 12/27/29 $543,242 0.003%SVO VOI Mortgage Corp. Series 2006-AA Class A,5.28% 2/20/24 $540,538 0.003%Bayview Commercial Asset Trust floater Series2006-4A Class A1, 0.4688% 12/25/36 $534,394 0.003%GE Business Loan Trust Series 2006-2A Class C,0.6188% 11/15/34 $525,235 0.003%Merrill Lynch-CFC Commercial Mortgage Trustsequential payer Series 2007-5 Class A3, 5.364% 8/12/48 $524,946 0.003%Freddie Mac sequential payer Series 2502 Class ZC,6% 9/15/32 $520,587 0.003%Regency Centers LP 4.95% 4/15/14 $514,979 0.003%Freddie Mac sequential payer Series 2281 Class ZB,6% 3/15/30 $510,575 0.003%Freddie Mac target amortization class Series 2156Class TC, 6.25% 5/15/29 $508,404 0.003%Fannie Mae planned amortization class Series1999-33 Class PK, 6% 7/25/29 $504,723 0.003%Fannie Mae 5.5% 20 Year $498,081 0.003%Sierra Receivables Funding Co. Series 2007-1AClass A2, 0.3898% 3/20/19 (FGIC Insured) $497,554 0.003%Banc of America Commercial Mortgage, Inc.sequential payer Series 2005-1 Class A3, 4.877% 11/10/42 $494,608 0.002%Progress Energy, Inc. 4.4% 1/15/21 $489,225 0.002%




25

% of NetSecurity Name Market Value AssetsViacom, Inc. 1.25% 2/27/15 $485,091 0.002%Axis Capital Holdings Ltd. 5.75% 12/1/14 $481,976 0.002%Kraft Foods, Inc. 6.75% 2/19/14 $476,439 0.002%Fannie Mae Series 2010-135 Class LS, 5.8113%12/25/40 $471,253 0.002%Fannie Mae planned amortization class Series2005-73 Class SA, 16.9293% 8/25/35 $467,366 0.002%Banc of America Large Loan, Inc. floater Series2005-MIB1 Class E, 0.6388% 3/15/22 $458,595 0.002%JPMorgan Chase Commercial Mortgage SecuritiesTrust sequential payer Series 2006-LDP9 Class A2,5.134% 5/15/47 $452,914 0.002%JPMorgan Chase Commercial Mortgage SecuritiesTrust floater Series 2006-FLA2 Class C, 0.4488%11/15/18 $452,466 0.002%Fannie Mae sequential payer Series 2010-50 ClassFA, 0.5888% 1/25/24 $451,778 0.002%Morgan Stanley Capital I Trust Series 2006-IQ11Class A4, 5.8975% 10/15/42 $443,394 0.002%Freddie Mac Manufactured Housing participationcertificates guaranteed sequential payer Series2043 Class ZH, 6% 4/15/28 $443,382 0.002%Fannie Mae Series 2007-66 Class SB, 38.1675%7/25/37 $442,475 0.002%Fannie Mae sequential payer Series 2001-31 ClassZC, 6.5% 7/25/31 $441,130 0.002%Citigroup Commercial Mortgage Trust floater Series2006-FL2 Class H, 0.6098% 8/15/21 $437,026 0.002%Argent Securities, Inc. pass-thru certificatesSeries 2004-W11 Class M2, 0.9388% 11/25/34 $435,564 0.002%Southern Co. 2.375% 9/15/15 $434,368 0.002%Morgan Stanley Capital I Trust Series 2006-HQ8Class A3, 5.653% 3/12/44 $433,867 0.002%Equity One, Inc. 6.25% 1/15/17 $432,910 0.002%Bear Stearns Commercial Mortgage Securities Trustfloater Series 2006-BBA7 Class H, 0.8888% 3/15/19 $429,558 0.002%Morgan Stanley 4.75% 4/1/14 $425,800 0.002%Wachovia Bank Commercial Mortgage Trust sequentialpayer Series 2007-C30 Class A3, 5.246% 12/15/43 $420,487 0.002%Fannie Mae 3.921% 30 Year $414,174 0.002%Bayview Commercial Asset Trust floater Series2007-1 Class A2, 0.5088% 3/25/37 $413,753 0.002%Freddie Mac planned amortization class Series 2121Class MG, 6% 2/15/29 $413,147 0.002%Fannie Mae 7% 20 Year $413,008 0.002%Southern Natural Gas Co. 5.9% 4/1/17 $411,594 0.002%Wachovia Bank Commercial Mortgage Trust sequentialpayer Series 2007-C30 Class A4, 5.305% 12/15/43 $410,188 0.002%Fannie Mae 6% 15 Year $404,881 0.002%JPMorgan Chase Commercial Mortgage SecuritiesTrust floater Series 2006-FLA2 Class F, 0.5688%11/15/18 $401,733 0.002%Plains All American Pipeline LP/PAA Finance Corp.




26

% of NetSecurity Name Market Value Assets3.95% 9/15/15 $396,428 0.002%Freddie Mac planned amortization class Series 2137Class PG, 6% 3/15/29 $394,985 0.002%AT&T, Inc. 2.4% 8/15/16 $394,565 0.002%Ameren Illinois Co. 6.125% 11/15/17 $391,082 0.002%United Technologies Corp. 1.8% 6/1/17 $386,010 0.002%Fannie Mae planned amortization class Series2006-37 Class OW, 0% 5/25/36 $386,007 0.002%Receive monthly a fixed rate of .15% multiplied bythe notional amount and pay to Credit Suisse FirstBoston upon each credit event of one of the issuesof ABX AA 07-01 Index, par value of theproportional notional amount (Rating-C) (UpfrontPremium Received/(Paid) $X) $383,684 0.002%GE Business Loan Trust Series 2006-2A Class B,0.5188% 11/15/34 $383,511 0.002%Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 384 Class 6, 5% 7/25/37 $373,401 0.002%Federal Realty Investment Trust 5.4% 12/1/13 $372,800 0.002%Freddie Mac sequential payer Series 2546 Class MJ,5.5% 3/15/23 $372,700 0.002%Bear Stearns Commercial Mortgage Securities Trustsequential payer Series 2007-PW18 Class A2, 5.613%6/11/50 $371,855 0.002%Fannie Mae 6.5% 30 Year $357,261 0.002%Bayview Commercial Asset Trust floater Series2005-3A Class A2, 0.6388% 11/25/35 $356,643 0.002%Asset Securitization Corp. Series 1997-D5 ClassA3, 7.2034% 2/14/43 $354,605 0.002%Fannie Mae planned amortization class Series2005-102 Class CO, 0% 11/25/35 $353,021 0.002%JPMorgan Chase Commercial Mortgage SecuritiesTrust Series 2006-CB17 Class A3, 5.45% 12/12/43 $348,330 0.002%Bear Stearns Commercial Mortgage Securities Trustsequential payer Series 2004-PWR3 Class A3, 4.487%2/11/41 $347,669 0.002%Freddie Mac planned amortization class Series 3121Class KO, 0% 3/15/36 $345,067 0.002%Freddie Mac 6.051% 30 Year $343,226 0.002%Brandywine Operating Partnership LP 5.7% 5/1/17 $342,516 0.002%Fannie Mae planned amortization class Series1996-28 Class PK, 6.5% 7/25/25 $340,463 0.002%SunTrust Banks, Inc. 3.6% 4/15/16 $337,458 0.002%Granite Mortgages PLC floater Series 2003-3 Class1C, 2.9157% 1/20/44 $332,855 0.002%Fannie Mae Series 2010-139 Class NI, 4.5% 2/25/40 $331,158 0.002%Ginnie Mae 8% 30 Year $330,102 0.002%Freddie Mac 2.989% 30 Year $329,610 0.002%Freddie Mac 2.667% 30 Year $325,961 0.002%Freddie Mac 3.446% 30 Year $322,566 0.002%AutoZone, Inc. 3.7% 4/15/22 $320,959 0.002%Morgan Stanley 5.95% 12/28/17 $320,338 0.002%Receive monthly a fixed rate of .15% multiplied by




27

% of NetSecurity Name Market Value Assetsthe notional amount and pay to Morgan Stanley,Inc. upon each credit event of one of the issuesof ABX AA 07-01 Index, par value of theproportional notional amount (Rating-C) (UpfrontPremium Received/(Paid) $X) $312,461 0.002%Receive monthly a fixed rate of .15% multiplied bythe notional amount and pay to JPMorgan Chase,Inc. upon each credit event of one of the issuesof ABX AA 07-01 Index, par value of theproportional notional amount (Rating-C) (UpfrontPremium Received/(Paid) $X) $312,461 0.002%Merrill Lynch-CFC Commercial Mortgage Trust Series2006-4 Class XP, 0.8105% 12/12/49 $312,288 0.002%Freddie Mac Series 3244 Class SG, 6.4213% 11/15/36 $307,395 0.002%Structured Asset Securities Corp. Series 2003-15AClass 4A, 5.3146% 4/25/33 $305,902 0.002%Freddie Mac 6.5% 20 Year $305,442 0.002%Viacom, Inc. 3.5% 4/1/17 $303,081 0.002%GS Mortgage Securities Trust sequential payerSeries 2007-GG10 Class A2, 5.778% 8/10/45 $302,931 0.002%Freddie Mac 6.404% 30 Year $301,942 0.002%Receive monthly a fixed rate of .15% multiplied bythe notional amount and pay to UBS upon eachcredit event of one of the issues of ABX AA 07-1Index, par value of the proportional notionalamount (Rating-C) (Upfront Premium Received/(Paid) $X) $300,973 0.002%Fannie Mae 2.118% 30 Year $299,794 0.002%Fannie Mae planned amortization class Series2005-81 Class PC, 5.5% 9/25/35 $299,055 0.002%Cameron International Corp. 1.6% 4/30/15 $297,394 0.001%Fannie Mae sequential payer Series 2002-16 ClassZD, 6.5% 4/25/32 $295,026 0.001%Bear Stearns Commercial Mortgage Securities TrustSeries 2007-T28 Class X2, 0.3209% 9/11/42 $295,020 0.001%Fannie Mae 2.48% 30 Year $289,090 0.001%GS Mortgage Securities Corp. II sequential payerSeries 2004-GG2 Class A4, 4.964% 8/10/38 $286,811 0.001%JPMorgan Chase Commercial Mortgage SecuritiesTrust floater Series 2006-FLA2 Class E, 0.5188%11/15/18 $281,239 0.001%Lowe’s Companies, Inc. 3.8% 11/15/21 $279,125 0.001%Ginnie Mae guaranteed REMIC pass-thru certificatesplanned amortization class Series 1997-8 Class PE,7.5% 5/16/27 $275,766 0.001%Freddie Mac planned amortization Series 3786 ClassHI, 4% 3/15/38 $275,576 0.001%Freddie Mac sequential payer Series 2998 Class LY,5.5% 7/15/25 $267,018 0.001%Dominion Resources, Inc. 1.95% 8/15/16 $266,450 0.001%Government National Mortgage Association plannedamortization class Series 2011-136 Class WI, 4.5%5/20/40 $265,406 0.001%Receive monthly a fixed rate of .15% multiplied by




28

% of NetSecurity Name Market Value Assetsthe notional amount and pay to UBS upon eachcredit event of one of the issues of ABX AA 07-1Index, par value of the proportional notionalamount (Rating-C) (Upfront Premium Received/(Paid) $X) $264,213 0.001%Fannie Mae 2.763% 30 Year $263,106 0.001%Freddie Mac 2.64% 30 Year $262,864 0.001%Freddie Mac sequential payer Series 2303 Class ZV,6% 4/15/31 $254,928 0.001%Fannie Mae Series 2011-83 Class DI, 6% 9/25/26 $253,123 0.001%Freddie Mac 2.203% 30 Year $252,137 0.001%Residential Funding Securities Corp. floaterSeries 2003-RP2 Class A1, 0.6888% 6/25/33 $249,853 0.001%Fannie Mae Series 2010-12 Class AI, 5% 12/25/18 $248,972 0.001%Discovery Communications LLC 5.05% 6/1/20 $247,463 0.001%Commonwealth Edison Co. 1.95% 9/1/16 $241,146 0.001%Freddie Mac 2.279% 30 Year $229,747 0.001%Morgan Stanley Capital I Trust floater Series2006-XLF Class C, 1.439% 7/15/19 $227,711 0.001%Fannie Mae 2.32% 30 Year $227,591 0.001%Fannie Mae 2.388% 30 Year $221,126 0.001%Entergy Louisiana LLC 1.875% 12/15/14 $220,456 0.001%Fannie Mae floater Series 2006-104 Class GI,6.4413% 11/25/36 $219,940 0.001%GE Business Loan Trust Series 2003-1 Class A,0.6688% 4/15/31 $216,427 0.001%RESI Finance LP/RESI Finance DE Corp. floaterSeries 2003-B Class B6, 3.0888% 7/10/35 $214,082 0.001%Freddie Mac 2.651% 30 Year $213,291 0.001%Home Equity Asset Trust Series 2006-1 Class 2A3,0.4638% 4/25/36 $208,485 0.001%Fannie Mae 5% 20 Year $207,309 0.001%Citigroup Commercial Mortgage Trust floater Series2006-FL2 Class G, 0.5698% 8/15/21 $205,827 0.001%Tyco Electronics Group SA 1.6% 2/3/15 $201,428 0.001%JPMorgan Chase Commercial Mortgage SecuritiesTrust floater Series 2006-FLA2 Class D, 0.4688%11/15/18 $200,474 0.001%Fannie Mae Series 2010-97 Class CI, 4.5% 8/25/25 $197,675 0.001%Fannie Mae Series 2010-29 Class LI, 4.5% 6/25/19 $194,535 0.001%Fannie Mae 2.597% 30 Year $189,234 0.001%Bear Stearns Commercial Mortgage Securities TrustSeries 2006-T22 Class A4, 5.7138% 4/12/38 $185,250 0.001%Freddie Mac 2.296% 30 Year $182,191 0.001%Fannie Mae planned amortization class Series2004-21 Class QE, 4.5% 11/25/32 $182,109 0.001%Freddie Mac sequential payer Series 2135 Class JE,6% 3/15/29 $181,464 0.001%Freddie Mac planned amortization class Series 2425Class JH, 6% 3/15/17 $180,157 0.001%Freddie Mac sequential payer Series 2274 Class ZM,6.5% 1/15/31 $179,136 0.001%LB-UBS Commercial Mortgage Trust sequential payerSeries 2006-C1 Class A2, 5.084% 2/15/31 $178,904 0.001%




29

% of NetSecurity Name Market Value AssetsFannie Mae sequential payer Series 1997-41 ClassJ, 7.5% 6/18/27 $178,612 0.001%Freddie Mac 6.174% 30 Year $172,662 0.001%Freddie Mac 2.312% 30 Year $171,689 0.001%Citigroup, Inc. 5.875% 1/30/42 $166,759 0.001%Freddie Mac planned amortization class Series 2162Class PH, 6% 6/15/29 $165,558 0.001%Banc of America Commercial Mortgage, Inc.sequential payer Series 2004-2 Class A3, 4.05% 11/10/38 $161,647 0.001%Freddie Mac 2.188% 30 Year $160,441 0.001%Fannie Mae sequential payer Series 2002-74 ClassSV, 7.3113% 11/25/32 $159,526 0.001%Aon Corp. 5% 9/30/20 $156,216 0.001%Freddie Mac Series 3772 Class BI, 4.5% 10/15/18 $154,029 0.001%Fannie Mae 2.688% 30 Year $150,535 0.001%Greenwich Capital Commercial Funding Corp. Series2007-GG11 Class A1, 0.4392% 12/10/49 $150,116 0.001%COMM pass-thru certificates floater Series2005-FL11 Class F, 0.6888% 11/15/17 $149,779 0.001%Bayview Commercial Asset Trust floater Series2006-1 Class A2, 0.5988% 4/25/36 $143,302 0.001%Fannie Mae floater Series 2002-94 Class FB,0.6388% 1/25/18 $142,165 0.001%Bear Stearns Commercial Mortgage Securities TrustSeries 2006-PW14 Class X2, 0.8632% 12/11/38 $139,214 0.001%COMM pass-thru certificates floater Series2005-FL11 Class E, 0.6288% 11/15/17 $136,827 0.001%Fannie Mae floater Series 2002-63 Class FN,1.2388% 10/25/32 $136,072 0.001%GS Mortgage Securities Corp. II floater Series2007-EOP Class F, 2.6334% 3/6/20 $134,468 0.001%Fannie Mae 6.313% 30 Year $133,240 0.001%Merrill Lynch-CFC Commercial Mortgage Trustfloater Series 2006-4 Class A2FL, 0.3603% 12/12/49 $132,943 0.001%Bayview Commercial Asset Trust floater Series2006-2A Class A2, 0.5188% 7/25/36 $130,814 0.001%Fannie Mae 2.409% 30 Year $130,555 0.001%Credit Suisse Mortgage Capital Certificates Series2007-C1 Class ASP, 0.5749% 2/15/40 $129,083 0.001%COMM pass-thru certificates Series 2006-C8 ClassXP, 0.6588% 12/10/46 $123,935 0.001%Fannie Mae 2.63% 30 Year $121,118 0.001%Fannie Mae Series 2011-67 Class AI, 4% 7/25/26 $120,257 0.001%Fannie Mae 5.617% 30 Year $118,684 0.001%Freddie Mac Manufactured Housing participationcertificates guaranteed floater Series 1686 ClassFA, 1.15% 2/15/24 $117,676 0.001%Fannie Mae floater Series 2002-60 Class FV,1.2388% 4/25/32 $116,925 0.001%Freddie Mac sequential payer Series 2601 Class TB,5.5% 4/15/23 $115,355 0.001%Fannie Mae 2.71% 30 Year $115,148 0.001%Fannie Mae 2.525% 30 Year $115,071 0.001%




30

% of NetSecurity Name Market Value AssetsFannie Mae Series 2009-16 Class SA, 6.0113%3/25/24 $114,120 0.001%Credit Suisse Commercial Mortgage Trust Series2006-C5 Class ASP, 0.8651% 12/15/39 $113,266 0.001%Fannie Mae 2.424% 30 Year $112,294 0.001%Fannie Mae planned amortization class Series2002-52 Class PB, 6% 2/25/32 $111,837 0.001%Fannie Mae 2.393% 30 Year $111,437 0.001%Freddie Mac 2.149% 30 Year $111,059 0.001%GE Business Loan Trust Series 2006-2A Class D,0.9888% 11/15/34 $107,912 0.001%Freddie Mac 2.795% 30 Year $106,661 0.001%ACE Securities Corp. Home Equity Loan Trust Series2005-HE2 Class M2, 0.6888% 4/25/35 $105,610 0.001%Freddie Mac 5.919% 30 Year $104,794 0.001%Fannie Mae 2.609% 30 Year $103,867 0.001%COMM pass-thru certificates floater Series2005-FL11 Class G, 0.7388% 11/15/17 $102,965 0.001%Wachovia Bank Commercial Mortgage Trust Series2007-C30 Class XP, 0.6679% 12/15/43 $98,700 0.000%Fannie Mae Series 2009-114 Class AI, 5% 12/25/23 $98,442 0.000%Freddie Mac floater Series 2432 Class FE, 1.1388%6/15/31 $94,935 0.000%Freddie Mac 2.638% 30 Year $94,181 0.000%Freddie Mac planned amortization class Series 2101Class PD, 6% 11/15/28 $86,949 0.000%Fannie Mae Series 2010-23 Class AI, 5% 12/25/18 $85,777 0.000%Freddie Mac Series 2844 Class SD, 83.3462% 8/15/24 $84,158 0.000%Fannie Mae Series 2009-93 Class IC, 4.5% 9/25/24 $81,652 0.000%Freddie Mac 8% 30 Year $79,802 0.000%Freddie Mac floater Series 2424 Class FM, 1.2388%3/15/32 $79,053 0.000%GE Capital Commercial Mortgage Corp. Series2007-C1 Class XP, 0.3359% 12/10/49 $78,830 0.000%Fannie Mae sequential payer Series 2003-80 ClassCG, 6% 4/25/30 $76,408 0.000%Bayview Commercial Asset Trust floater Series2004-1 Class M1, 0.7988% 4/25/34 $75,353 0.000%Fannie Mae planned amortization class Series1992-168 Class KB, 7% 10/25/22 $74,264 0.000%National Collegiate Student Loan Trust Series2004-2 Class AIO, 9.75% 10/27/14 $73,688 0.000%Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2004-32 Class GS, 6.2613% 5/16/34 $73,065 0.000%Fannie Mae Series 2010-112 Class SG, 6.1213%6/25/21 $72,907 0.000%LB-UBS Commercial Mortgage Trust sequential payerSeries 2006-C6 Class A2, 5.262% 9/15/39 $72,494 0.000%Fannie Mae 2.332% 30 Year $72,209 0.000%Freddie Mac sequential payer Series 3013 Class VJ,5% 1/15/14 $72,130 0.000%Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2007-35 Class SC, 38.7675% 6/16/37 $71,903 0.000%




31

% of NetSecurity Name Market Value AssetsFannie Mae 2.375% 30 Year $69,959 0.000%Fannie Mae floater Series 2002-39 Class FD,1.2398% 3/18/32 $69,709 0.000%Freddie Mac 2.357% 30 Year $69,032 0.000%Bayview Commercial Asset Trust floater Series2004-1 Class M2, 1.4388% 4/25/34 $68,676 0.000%Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 339 Class 5, 5.5% 8/1/33 $67,034 0.000%GS Mortgage Securities Corp. II floater Series2007-EOP Class G, 2.7903% 3/6/20 $66,218 0.000%Freddie Mac floater Series 2423 Class FA, 1.1388%3/15/32 $66,200 0.000%Fannie Mae Series 2010-23 Class HI, 4.5% 10/25/18 $66,048 0.000%Salomon Brothers Mortgage Securities VII, Inc.Series 2006-C2 Class H, 6.308% 7/18/33 $63,500 0.000%Fannie Mae 5.984% 30 Year $61,708 0.000%GS Mortgage Securities Corp. II floater Series2007-EOP Class H, 3.3004% 3/6/20 $61,431 0.000%Fannie Mae floater Series 2002-7 Class FC, 0.9888%1/25/32 $61,192 0.000%Freddie Mac 2.139% 30 Year $60,664 0.000%Fannie Mae 6.824% 30 Year $58,560 0.000%Freddie Mac 8.5% 30 Year $58,106 0.000%Fannie Mae Series 2009-76 Class MI, 5.5% 9/25/24 $57,842 0.000%Merrill Lynch-CFC Commercial Mortgage Trustsequential payer Series 2007-5 Class A4, 5.378% 8/12/48 $56,572 0.000%Fannie Mae 2.301% 30 Year $56,244 0.000%Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 343 Class 16, 5.5% 5/1/34 $56,049 0.000%Fannie Mae planned amortization class Series2001-52 Class YZ, 6.5% 10/25/31 $55,241 0.000%Fannie Mae Series 2010-96 Class DI, 4% 5/25/23 $55,151 0.000%Fannie Mae 6.022% 30 Year $54,188 0.000%Marriott Vacation Club Owner Trust Series 2006-2AClass D, 6.01% 10/20/28 $53,891 0.000%Freddie Mac 3.949% 30 Year $52,431 0.000%Fannie Mae floater Series 2002-18 Class FD,1.0388% 2/25/32 $52,101 0.000%Ginnie Mae 8.5% 30 Year $51,442 0.000%Freddie Mac 7.5% 15 Year $51,307 0.000%Bayview Commercial Asset Trust floater Series2005-3A Class M2, 0.7288% 11/25/35 $51,121 0.000%Freddie Mac 2.375% 30 Year $50,482 0.000%Fannie Mae 2.258% 30 Year $50,356 0.000%Fannie Mae Series 2009-85 Class IB, 4.5% 8/25/24 $49,627 0.000%LB-UBS Commercial Mortgage Trust Series 2006-C6Class XCP, 0.8617% 9/15/39 $49,350 0.000%Bayview Commercial Asset Trust floater Series2003-2 Class M1, 1.0888% 12/25/33 $49,328 0.000%Fannie Mae 7% 15 Year $49,132 0.000%Freddie Mac floater Series 3222 Class HF, 0%9/15/36 $49,047 0.000%Freddie Mac 7.5% 30 Year $47,782 0.000%




32

% of NetSecurity Name Market Value AssetsStructured Asset Securities Corp. Series 1997-LLIClass D, 7.15% 10/12/34 $47,621 0.000%Bayview Commercial Asset Trust floater Series2006-1 Class M1, 0.6188% 4/25/36 $46,698 0.000%Morgan Stanley ABS Capital I Trust Series 2004-HE6Class A2, 0.5788% 8/25/34 $46,660 0.000%Bayview Commercial Asset Trust floater Series2006-1 Class M2, 0.6388% 4/25/36 $46,169 0.000%Freddie Mac Series 2844 Class SC, 45.2481% 8/15/24 $46,153 0.000%Fannie Mae Series 1993-165 Class SH, 19.0927%9/25/23 $46,019 0.000%Fannie Mae 2.15% 30 Year $45,922 0.000%Bayview Commercial Asset Trust floater Series2005-3A Class M3, 0.7488% 11/25/35 $43,832 0.000%Freddie Mac 6.011% 30 Year $42,704 0.000%Fannie Mae 9.5% 30 Year $42,678 0.000%Bayview Commercial Asset Trust floater Series2005-3A Class M1, 0.6788% 11/25/35 $42,028 0.000%Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 348 Class 14, 6.5% 8/1/34 $41,800 0.000%Freddie Mac floater Series 2412 Class FK, 1.0388%1/15/32 $41,491 0.000%Receive monthly a fixed rate of .15% multiplied bythe notional amount and pay to JPMorgan Chase,Inc. upon each credit event of one of the issuesof ABX AA 07-01 Index, par value of theproportional notional amount (Rating-C) (UpfrontPremium Received/(Paid) $X) $41,355 0.000%COMM pass-thru certificates floater Series2005-FL11 Class D, 0.5788% 11/15/17 $39,057 0.000%Fannie Mae Series 2010-17 Class DI, 4.5% 6/25/21 $38,144 0.000%Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 351 Class 13, 6% 3/1/34 $37,690 0.000%Argent Securities, Inc. pass-thru certificatesSeries 2003-W7 Class A2, 1.0188% 3/25/34 $37,616 0.000%Fannie Mae 8% 30 Year $37,285 0.000%Freddie Mac 2.492% 30 Year $35,964 0.000%Freddie Mac floater Series 2432 Class FG, 1.1388%3/15/32 $35,737 0.000%Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 339 Class 29, 5.5% 7/1/18 $32,403 0.000%Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 359 Class 19, 6% 7/1/35 $32,006 0.000%Freddie Mac 2.2% 30 Year $30,768 0.000%Freddie Mac 5.937% 30 Year $29,956 0.000%Freddie Mac 7.07% 30 Year $28,715 0.000%Home Equity Asset Trust Series 2003-5 Class A2,0.9388% 12/25/33 $28,551 0.000%Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 351 Class 12, 5.5% 4/1/34 $28,300 0.000%Sequoia Mortgage Trust floater Series 2004-6 ClassA3B, 1.668% 7/20/34 $27,934 0.000%Fannie Mae Series 2003-21 Class SK, 7.8613%




33

% of NetSecurity Name Market Value Assets3/25/33 $26,878 0.000%Fannie Mae Series 2004-T5 Class AB3, 0.6889%5/28/35 $26,725 0.000%Freddie Mac 6.333% 30 Year $26,373 0.000%Freddie Mac 2.478% 30 Year $25,980 0.000%Fannie Mae 2.257% 30 Year $24,300 0.000%Freddie Mac 7% 15 Year $23,354 0.000%Terwin Mortgage Trust Series 2003-4HE Class A1,1.0988% 9/25/34 $22,983 0.000%Morgan Stanley Capital I Trust Series 2006-HQ10Class X2, 0.691% 11/12/41 $22,357 0.000%Receive monthly notional amount multiplied by 2.5%and pay Bank of America upon credit event ofAmeriquest Mortgage Securities, Inc., par value ofthe notional amount of Ameriquest MortgageSecurities, Inc. Series 2004-R11 Class M9, 6.102%11/25/34 (Rating-C) $22,284 0.000%Bear Stearns Commercial Mortgage Securities TrustSeries 2006-T24 Class X2, 0.6233% 10/12/41 $20,947 0.000%Fannie Mae 7.28% 30 Year $19,888 0.000%Fannie Mae Series 2003-35 Class TQ, 7.2613%5/25/18 $17,865 0.000%Freddie Mac 7.03% 30 Year $16,238 0.000%Countrywide Home Loans, Inc. Series 2005-3 ClassMV1, 0.6588% 8/25/35 $15,911 0.000%LB-UBS Commercial Mortgage Trust Series 2007-C1Class XCP, 0.6211% 2/15/40 $15,182 0.000%Fannie Mae 8.5% 15 Year $14,817 0.000%Freddie Mac floater Series 3318 Class GY, 0%5/15/37 $14,139 0.000%Fannie Mae 6.24% 30 Year $13,967 0.000%Fannie Mae 2.365% 30 Year $12,716 0.000%Fannie Mae 8.5% 30 Year $12,470 0.000%Freddie Mac planned amortization class Series 2585Class KS, 7.3613% 3/15/23 $11,463 0.000%Ginnie Mae 10.5% 30 Year $11,022 0.000%COMM pass-thru certificates floater Series2001-J2A Class A2F, 0.7388% 7/16/34 $10,938 0.000%Marriott Vacation Club Owner Trust Series 2006-2AClass B, 5.442% 10/20/28 $10,112 0.000%Freddie Mac sequential payer Series 2817 Class SD,6.8113% 7/15/30 $9,928 0.000%Freddie Mac 3.135% 30 Year $9,509 0.000%Fannie Mae 2.425% 30 Year $7,519 0.000%Fannie Mae Series 2003-42 Class SJ, 6.8113%11/25/22 $6,256 0.000%Freddie Mac 2.97% 30 Year $5,268 0.000%Fannie Mae 2.125% 30 Year $4,999 0.000%Salomon Brothers Mortgage Securities VII, Inc.Series 2003-HE1 Class A, 1.0388% 4/25/33 $4,623 0.000%Marriott Vacation Club Owner Trust Series 2006-2AClass C, 5.691% 10/20/28 $4,523 0.000%Freddie Mac 11% 30 Year $4,172 0.000%




34

% of NetSecurity Name Market Value AssetsFannie Mae 2.149% 30 Year $3,650 0.000%Ginnie Mae 11% 30 Year $3,460 0.000%Ginnie Mae 9% 30 Year $3,128 0.000%Fannie Mae 2.235% 30 Year $2,959 0.000%Fannie Mae 2.225% 30 Year $2,870 0.000%Credit Suisse First Boston Mortgage SecuritiesCorp. sequential payer Series 2004-C1 Class A3,4.321% 1/15/37 $2,245 0.000%Freddie Mac 9% 30 Year $1,885 0.000%Freddie Mac planned amortization class Series 2590Class YR, 5.5% 9/15/32 $1,838 0.000%Fannie Mae 7.5% 15 Year $1,811 0.000%Ginnie Mae 9.5% 30 Year $1,706 0.000%Freddie Mac 9.5% 30 Year $1,620 0.000%Freddie Mac floater Series 3129 Class MF, 0%7/15/34 $1,389 0.000%Commercial Mortgage pass-thru certificatessequential payer Series 2005-C6 Class A2, 4.999% 6/10/44 $991 0.000%LB-UBS Commercial Mortgage Trust Series 2005-C3Class XCP, 0.9022% 7/15/40 $750 0.000%Freddie Mac sequential payer Series 2575 Class ID,5.5% 8/15/22 $633 0.000%Freddie Mac 13.5% 30 Year $510 0.000%Freddie Mac 10% 30 Year $494 0.000%Fannie Mae 10.75% 30 Year $387 0.000%Freddie Mac 11.5% 30 Year $266 0.000%Freddie Mac 7.5% 20 Year $220 0.000%GS Mortgage Securities Corp. II Series 2005-GG4Class XP, 0.8966% 7/10/39 $200 0.000%Fannie Mae 12.5% 30 Year $98 0.000%Freddie Mac 13% 30 Year $73 0.000%Freddie Mac 12.5% 30 Year $66 0.000%Freddie Mac 12% 30 Year $53 0.000%GMAC Commercial Mortgage Securities, Inc. Series2005-C1 Class X2, 0.7319% 5/10/43 $46 0.000%Fannie Mae 10% 30 Year $43 0.000%Fannie Mae 11.25% 30 Year $23 0.000%Axon Financial Funding Ltd. Series 2007-1 ClassA1, 1.0682% 4/4/17 $1 0.000%Ocala Funding LLC Series 2006-1A Class A, 1.6398%3/20/11 $0 0.000%Ocala Funding LLC Series 2005-1A Class A, 1.7398%3/20/10 $0 0.000%Receive monthly notional amount multiplied by 2.5%and pay Bank of America upon credit event ofAmeriquest Mortgage Securities, Inc., par value ofthe notional amount of Ameriquest MortgageSecurities, Inc. Series 2004-R8 Class M9, 8.07%9/25/34 (Rating-C) $0 0.000%Receive monthly notional amount multiplied by3.05% and pay Morgan Stanley, Inc. upon creditevent of Morgan Stanley ABS Capital I, Inc., parvalue of the notional amount of Morgan Stanley ABS




35

% of NetSecurity Name Market Value AssetsCapital I, Inc. Series 2006-HE3 Class B3, 7.22% 4/25/36 $0 0.000%Receive monthly notional amount multiplied by2.36% and pay Morgan Stanley, Inc. upon creditevent of GE-WMC Mortgage Securities, LLC, parvalue of the notional amount of GE-WMC MortgageSecurities, LLC Series 2006-01 Class B3, 7.13%8/25/36 (Paid Down) $0 0.000%Fannie Mae 4.5% 15 Year -$4,889,403 -0.025%

Bonds Total: $7,273,637,883 36.6%

Cash and Other Securities

Fidelity Cash Central Fund, 0.17% $424,604,591 2.139%Overnight Cash/Repurchase Agreements $104,359,857 0.526%Tyco Electronics Group SA 6% 10/1/12 $6,765,248 0.034%Gulf South Pipeline Co. LP 5.75% 8/15/12 $6,678,367 0.034%U.S. Treasury Bill 0.07% 8/23/12 $5,599,098 0.028%Canadian Natural Resources Ltd. 5.15% 2/1/13 $5,433,894 0.027%Federal Realty Investment Trust 6% 7/15/12 $5,055,138 0.025%Prudential Financial, Inc. 5.15% 1/15/13 $4,802,289 0.024%MidAmerican Energy Holdings, Co. 5.875% 10/1/12 $4,583,858 0.023%Diageo Capital PLC 5.2% 1/30/13 $4,261,171 0.021%Time Warner Cable, Inc. 5.4% 7/2/12 $4,206,837 0.021%Monumental Global Funding III 5.5% 4/22/13 $3,912,192 0.020%NiSource Finance Corp. 6.15% 3/1/13 $2,452,712 0.012%Marshall & Ilsley Bank 5.25% 9/4/12 $2,380,184 0.012%HSBC Finance Corp. 5.9% 6/19/12 $2,166,825 0.011%Staples, Inc. 7.375% 10/1/12 $2,076,721 0.010%Pacific Life Global Funding 5.15% 4/15/13 $1,892,758 0.010%Plains All American Pipeline LP/PAA Finance Corp.4.25% 9/1/12 $1,794,120 0.009%Duke Realty LP 4.625% 5/15/13 $1,342,016 0.007%Duke Capital LLC 6.25% 2/15/13 $835,013 0.004%Enel Finance International SA 5.7% 1/15/13 $805,787 0.004%Enterprise Products Operating LP 5.65% 4/1/13 $582,783 0.003%Camden Property Trust 5.875% 11/30/12 $554,469 0.003%Metropolitan Life Global Funding I 5.125% 4/10/13 $468,167 0.002%ERP Operating LP 5.5% 10/1/12 $387,889 0.002%Anheuser-Busch InBev Worldwide, Inc. 2.5% 3/26/13 $308,321 0.002%AvalonBay Communities, Inc. 4.95% 3/15/13 $304,263 0.002%Duke Realty LP 5.875% 8/15/12 $98,837 0.000%Interest Rate Swaps -$2,128,246 -0.011%

Cash and Other Securities Total: $596,585,157 3.0%




36

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