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JPMorgan Core Bond FundSchedule of Portfolio Investments as of November 30, 2009

(Unaudited)



PMorgan Core Bond Fund

CHEDULE OF PORTFOLIO INVESTMENTSAS OF NOVEMBER 30, 2009 (Unaudited)Amounts in thousands)

PRINCIPALAMOUNT ($) SECURITY DESCRIPTION VALUE($

Asset-Backed Securities — 2.3% 3,000 Ally Auto Receivables Trust, Series 2009-A, Class A3, 2.330%, 06/17/13 (e) 3,04

AmeriCredit Automobile Receivables Trust,

2,806 Series 2005-BM, Class A4, VAR, 0.322%, 05/06/12 2,781,301 Series 2006-BG, Class A4, 5.210%, 09/06/13 1,332,159 Series 2007-CM, Class A3B, VAR, 0.272%, 05/07/12 2,151,400 Series 2008-AF, Class A3, 5.680%, 12/12/12 1,442,670 Series 2008-AF, Class A4, 6.960%, 10/14/14 2,833,000 Series 2009-1, Class A3, 3.040%, 10/15/13 3,03

842 Ameriquest Mortgage Securities, Inc., Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34 76Bank of America Auto Trust,

15,000 Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) 15,333,235 Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) 3,36

10,000 Series 2009-2A, Class A3, 2.130%, 09/15/13 (e) 10,155,575 Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) 5,571,932 Bear Stearns Asset Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.606%, 04/25/36

(i) 1,33Capital One Auto Finance Trust,

970 Series 2007-B, Class A3A, 5.030%, 04/15/12 98220 Series 2007-C, Class A3A, 5.130%, 04/16/12 22

16,938 Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-6, Class 1A7, SUB,4.277%, 11/25/34 14,72

Chrysler Financial Auto Securitization Trust,

3,750 Series 2009-A, Class A3, 2.820%, 01/15/16 3,848,500 Series 2009-B, Class A2, 1.150%, 11/08/11 8,49

Citibank Credit Card Issuance Trust,

8,282 Series 2002-C2, Class C2, 6.950%, 02/18/14 8,70950 Series 2007-A3, Class A3, 6.150%, 06/15/39 1,09

CitiFinancial Auto Issuance Trust, 17,500 Series 2009-1, Class A2, 1.830%, 11/15/12 (e) 17,56

5,350

Series 2009-1, Class A3, 2.590%, 10/15/13 (e)

5,402,208 Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.616%, 12/25/33 1,50CNH Equipment Trust,

2,015 Series 2008-B, Class A3A, 4.780%, 07/16/12 2,053,900 Series 2008-B, Class A4A, 5.600%, 11/17/14 4,10

500 Series 2009-A, Class A3, 5.280%, 11/15/12 521,970 Series 2009-C, Class A3, 1.850%, 12/16/13 1,97

Countrywide Asset-Backed Certificates,

837 Series 2003-5, Class MF1, VAR, 5.413%, 01/25/34 5611 Series 2004-1, Class 3A, VAR, 0.516%, 04/25/34

1,290 Series 2004-1, Class M1, VAR, 0.736%, 03/25/34 1,041,060 Series 2004-1, Class M2, VAR, 0.786%, 03/25/34 841,065 Series 2004-6, Class M1, VAR, 0.836%, 10/25/34 (i) 53

852 Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.546%,

11/25/35 (i) 631,421 Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB,5.236%, 01/25/36 94

2,400 Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 2,661,400 First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR,

0.336%, 12/25/36 97Ford Credit Auto Owner Trust,

808 Series 2006-B, Class A4, 5.250%, 09/15/11 826,700 Series 2009-B, Class A3, 2.790%, 08/15/13 6,865,000 Series 2009-B, Class A4, 4.500%, 07/15/14 5,326,000 Series 2009-D, Class A3, 2.170%, 10/15/13 6,095,500 GS Mortgage Securities Corp. II, Series 2009-RR1, Class JPB, SUB, 4.478%, 05/17/45 4,34

Harley-Davidson Motorcycle Trust,

13,335 Series 2009-3, Class A2, 0.940%, 04/15/12 13,33

5,140 Series 2009-3, Class A3, 1.740%, 09/15/13 5,16



HFC Home Equity Loan Asset Backed Certificates,

3,918 Series 2005-2, Class A1, VAR, 0.507%, 01/20/35 3,593,192 Series 2005-2, Class M2, VAR, 0.727%, 01/20/35 2,637,239 Series 2006-1, Class A1, VAR, 0.397%, 01/20/36 6,313,238 Series 2006-2, Class A1, VAR, 0.387%, 03/20/36 2,849,000 Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 9,20

16,958 Series 2007-3, Class APT, VAR, 1.437%, 11/20/36 14,40Honda Auto Receivables Owner Trust,

5,495 Series 2009-2, Class A3, 2.790%, 01/15/13 5,633,500 Series 2009-2, Class A4, 4.430%, 07/15/15 3,733,155 Series 2009-3, Class A3, 2.310%, 05/15/13 3,214,200 Series 2009-3, Class A4, 3.300%, 09/15/15 4,362,500 Hyundai Auto Receivables Trust, Series 2009-A, Class A3, 2.030%, 08/15/13 2,531,981 Indymac Residential Asset Backed Trust, Series 2006-A, Class A3, VAR, 0.436%, 03/25/36 1,05

John Deere Owner Trust, 4,230 Series 2009-A, Class A3, 2.590%, 10/15/13 4,315,360 Series 2009-B, Class A3, 1.570%, 10/15/13 5,39

Long Beach Mortgage Loan Trust, 1,500 Series 2004-3, Class M1, VAR, 0.806%, 07/25/34 1,051,716 Series 2006-8, Class 2A2, VAR, 0.326%, 09/25/36 632,697 Series 2006-WL2, Class 2A3, VAR, 0.436%, 01/25/36 1,94

62 MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A1, VAR, 0.276%, 08/25/36 6MBNA Credit Card Master Note Trust,

4,776 Series 2002-C1, Class C1, 6.800%, 07/15/14 4,922,285 Series 2003-C1, Class C1, VAR, 1.939%, 06/15/12 2,28

3,000

Mercedes-Benz Auto Receivables Trust, Series 2009-1, Class A3, 1.670%, 01/15/14 3,023,899 Morgan Stanley ABS Capital I, Series 2004-WMC3, Class M1, VAR, 0.986%, 01/25/35 3,714,000 New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 3,32

345 Option One Mortgage Loan Trust, Series 2003-1, Class A2, VAR, 1.076%, 02/25/33 22100 Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 5

Residential Asset Securities Corp., 90 Series 2002-KS4, Class AIIB, VAR, 0.736%, 07/25/32 4

123 Series 2003-KS5, Class AIIB, VAR, 0.816%, 07/25/33 6142 Series 2003-KS9, Class A2B, VAR, 0.876%, 11/25/33 4

2,746 Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%,04/25/32 (e) 2,37

4,206 Structured Asset Securities Corp., Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 3,38359 Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24 35

USAA Auto Owner Trust,

8,485

Series 2009-2, Class A3, 1.540%, 02/18/14

8,483,080 Series 2009-2, Class A4, 2.530%, 07/15/15 3,081,700 Volkswagen Auto Loan Enhanced Trust, Series 2008-1, Class A3, 4.500%, 07/20/12 1,74

Wachovia Asset Securitization, Inc.,

198 Series 2002-HE2, Class A, VAR, 0.666%, 12/25/32 12615 Series 2003-HE3, Class A, VAR, 0.486%, 11/25/33 31

World Omni Auto Receivables Trust,

1,648 Series 2007-B, Class A3A, 5.280%, 01/17/12 1,671,400 Series 2009-A, Class A3, 3.330%, 05/15/13 1,44

Total Asset-Backed Securities(Cost $288,465) 288,16

Collateralized Mortgage Obligations — 39.6%

Agency CMO — 26.7% 2,149 Federal Home Loan Bank System, Series 2000-0606, Class Y, 5.270%, 12/28/12 2,30

Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 725 Series 8, Class ZA, 7.000%, 03/25/23 79454 Series 24, Class ZE, 6.250%, 11/25/23 49

3,282 Series 29, Class L, 7.500%, 04/25/24 3,57Federal Home Loan Mortgage Corp. REMICS,

122 Series 11, Class D, 9.500%, 07/15/19 1335 Series 22, Class C, 9.500%, 04/15/20 350 Series 23, Class F, 9.600%, 04/15/20 5

2 Series 41, Class I, HB, 84.000%, 05/15/20

22 Series 46, Class B, 7.800%, 09/15/20 212 Series 47, Class F, 10.000%, 06/15/20 1

1 Series 85, Class C, 8.600%, 01/15/21

40 Series 99, Class Z, 9.500%, 01/15/21 4107 Series 114, Class H, 6.950%, 01/15/21 11



1 Series 204, Class E, HB, IF, 1,838.732%, 05/15/23 2– (h) Series 1045, Class G, HB, IO, 1,066.208%, 02/15/21

20 Series 1065, Class J, 9.000%, 04/15/21 213 Series 1079, Class S, HB, IF, 33.150%, 05/15/21 233 Series 1084, Class F, VAR, 1.200%, 05/15/21 323 Series 1084, Class S, HB, IF, 44.100%, 05/15/21 434 Series 1116, Class I, 5.500%, 08/15/21 394 Series 1144, Class KB, 8.500%, 09/15/21 10

– (h) Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21

1 Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22 382 Series 1206, Class IA, 7.000%, 03/15/22 8

475 Series 1212, Class IZ, 8.000%, 02/15/22 47106 Series 1250, Class J, 7.000%, 05/15/22 11245 Series 1343, Class LA, 8.000%, 08/15/22 2798 Series 1343, Class LB, 7.500%, 08/15/22 10

166 Series 1370, Class JA, VAR, 1.400%, 09/15/22 16159 Series 1455, Class WB, IF, 4.550%, 12/15/22 14

1,485 Series 1466, Class PZ, 7.500%, 02/15/23 1,6222 Series 1470, Class F, VAR, 2.272%, 02/15/23 2

287 Series 1491, Class I, 7.500%, 04/15/23 28930 Series 1498, Class I, VAR, 1.400%, 04/15/23 93

1,152 Series 1502, Class PX, 7.000%, 04/15/23 1,21153 Series 1505, Class Q, 7.000%, 05/15/23 16652 Series 1518, Class G, IF, 8.839%, 05/15/23 66121 Series 1541, Class M, HB, IF, 22.479%, 07/15/23 17

579

Series 1541, Class O, VAR, 2.790%, 07/15/23

5832 Series 1570, Class F, VAR, 2.772%, 08/15/23 31,171 Series 1573, Class PZ, 7.000%, 09/15/23 1,28

687 Series 1591, Class PV, 6.250%, 10/15/23 7464 Series 1595, Class D, 7.000%, 10/15/13 7

202 Series 1596, Class D, 6.500%, 10/15/13 2051 Series 1602, Class SA, HB, IF, 21.938%, 10/15/23 8

390 Series 1607, Class H, 6.250%, 10/15/13 3942 Series 1607, Class SA, HB, IF, 20.142%, 10/15/13 5

4,029 Series 1608, Class L, 6.500%, 09/15/23 4,411,796 Series 1609, Class LG, IF, 16.792%, 11/15/23 2,16

205 Series 1611, Class JA, VAR, 1.625%, 08/15/23 20191 Series 1611, Class JB, HB, IF, 20.836%, 08/15/23 20

1,404 Series 1642, Class PJ, 6.000%, 11/15/23 1,51

596

Series 1658, Class GZ, 7.000%, 01/15/24

6416 Series 1671, Class L, 7.000%, 02/15/24 121 Series 1671, Class QC, IF, 10.000%, 02/15/24 224 Series 1686, Class SH, IF, 18.675%, 02/15/24 3

497 Series 1695, Class EB, 7.000%, 03/15/24 5495 Series 1699, Class FC, VAR, 0.850%, 03/15/24 9

548 Series 1700, Class GA, PO, 02/15/24 492,736 Series 1706, Class K, 7.000%, 03/15/24 2,98

43 Series 1709, Class FA, VAR, 2.580%, 03/15/24 41,500 Series 1720, Class PL, 7.500%, 04/15/24 1,622,072 Series 1737, Class L, 6.000%, 06/15/24 2,25

210 Series 1745, Class D, 7.500%, 08/15/24 231,473 Series 1798, Class F, 5.000%, 05/15/23 1,52

30 Series 1807, Class G, 9.000%, 10/15/20 3

328 Series 1829, Class ZB, 6.500%, 03/15/26 3544 Series 1844, Class E, 6.500%, 10/15/13 4

2,119 Series 1863, Class Z, 6.500%, 07/15/26 2,2858 Series 1865, Class D, PO, 02/15/24 3

209 Series 1890, Class H, 7.500%, 09/15/26 22569 Series 1899, Class ZE, 8.000%, 09/15/26 63

1,221 Series 1927, Class PH, 7.500%, 01/15/27 1,311,448 Series 1927, Class ZA, 6.500%, 01/15/27 1,54

35 Series 1935, Class FL, VAR, 0.950%, 02/15/27 3450 Series 1963, Class Z, 7.500%, 01/15/27 4570 Series 1970, Class PG, 7.250%, 07/15/27 8

1,229 Series 1981, Class Z, 6.000%, 05/15/27 1,33766 Series 1983, Class Z, 6.500%, 12/15/23 82492 Series 1987, Class PE, 7.500%, 09/15/27 54

691 Series 2019, Class Z, 6.500%, 12/15/27 76



488 Series 2025, Class PE, 6.300%, 01/15/13 482,664 Series 2033, Class J, 5.600%, 06/15/23 2,66

327 Series 2033, Class SN, HB, IF, 25.719%, 03/15/24 20887 Series 2038, Class PN, IO, 7.000%, 03/15/28 15

2,314 Series 2040, Class PE, 7.500%, 03/15/28 2,32919 Series 2054, Class PV, 7.500%, 05/15/28 99366 Series 2055, Class OE, 6.500%, 05/15/13 38374 Series 2056, Class TD, 6.500%, 05/15/18 40

1,516 Series 2063, Class PG, 6.500%, 06/15/28 1,61223 Series 2064, Class TE, 7.000%, 06/15/28 23

1,008 Series 2070, Class C, 6.000%, 07/15/28 1,083,049 Series 2075, Class PH, 6.500%, 08/15/28 3,293,263 Series 2075, Class PM, 6.250%, 08/15/28 3,521,080 Series 2086, Class GB, 6.000%, 09/15/28 1,161,039 Series 2089, Class PJ, IO, 7.000%, 10/15/28 183,448 Series 2095, Class PE, 6.000%, 11/15/28 3,751,091 Series 2102, Class TC, 6.000%, 12/15/13 1,16

600 Series 2102, Class TU, 6.000%, 12/15/13 634,681 Series 2106, Class ZD, 6.000%, 12/15/28 5,039,290 Series 2110, Class PG, 6.000%, 01/15/29 10,112,438 Series 2115, Class PE, 6.000%, 01/15/14 2,581,944 Series 2125, Class JZ, 6.000%, 02/15/29 2,102,710 Series 2126, Class CB, 6.250%, 02/15/29 3,00

216 Series 2132, Class SB, HB, IF, 29.495%, 03/15/29 31153 Series 2134, Class PI, IO, 6.500%, 03/15/19 2

67

Series 2135, Class UK, IO, 6.500%, 03/15/14

109 Series 2141, Class IO, IO, 7.000%, 04/15/29 2354 Series 2163, Class PC, IO, 7.500%, 06/15/29 6

4,234 Series 2169, Class TB, 7.000%, 06/15/29 4,672,198 Series 2172, Class QC, 7.000%, 07/15/29 2,411,409 Series 2176, Class OJ, 7.000%, 08/15/29 1,49

71 Series 2189, Class SA, IF, 17.899%, 02/15/28 77 Series 2196, Class TL, 7.500%, 11/15/29

1,098 Series 2201, Class C, 8.000%, 11/15/29 1,213,300 Series 2208, Class PG, 7.000%, 01/15/30 3,61

550 Series 2209, Class TC, 8.000%, 01/15/30 581,628 Series 2210, Class Z, 8.000%, 01/15/30 1,75

487 Series 2224, Class CB, 8.000%, 03/15/30 53604 Series 2230, Class Z, 8.000%, 04/15/30 66

471

Series 2234, Class PZ, 7.500%, 05/15/30

51377 Series 2247, Class Z, 7.500%, 08/15/30 431,027 Series 2256, Class MC, 7.250%, 09/15/30 1,121,855 Series 2259, Class ZM, 7.000%, 10/15/30 2,03

41 Series 2261, Class ZY, 7.500%, 10/15/30 4144 Series 2262, Class Z, 7.500%, 10/15/30 15

1,700 Series 2271, Class PC, 7.250%, 12/15/30 1,732,982 Series 2283, Class K, 6.500%, 12/15/23 3,29

967 Series 2296, Class PD, 7.000%, 03/15/31 1,037,913 Series 2301, Class PA, 6.000%, 10/15/13 8,36

362 Series 2306, Class K, PO, 05/15/24 32867 Series 2306, Class SE, IF, IO, 7.170%, 05/15/24 16674 Series 2313, Class LA, 6.500%, 05/15/31 73

1,501 Series 2325, Class PM, 7.000%, 06/15/31 1,67

2,717 Series 2332, Class ZH, 7.000%, 07/15/31 2,98288 Series 2333, Class HC, 6.000%, 07/15/31 30

3,495 Series 2344, Class QG, 6.000%, 08/15/16 3,7614,597 Series 2344, Class ZD, 6.500%, 08/15/31 15,971,488 Series 2344, Class ZJ, 6.500%, 08/15/31 1,621,206 Series 2345, Class NE, 6.500%, 08/15/31 1,301,669 Series 2345, Class PQ, 6.500%, 08/15/16 1,80

574 Series 2347, Class VP, 6.500%, 03/15/20 611,869 Series 2351, Class PZ, 6.500%, 08/15/31 2,044,431 Series 2353, Class TD, 6.000%, 09/15/16 4,781,382 Series 2355, Class BP, 6.000%, 09/15/16 1,49

440 Series 2359, Class PM, 6.000%, 09/15/16 472,339 Series 2359, Class ZB, 8.500%, 06/15/31 2,662,343 Series 2360, Class PG, 6.000%, 09/15/16 2,49

412 Series 2363, Class PF, 6.000%, 09/15/16 44



1,253 Series 2366, Class MD, 6.000%, 10/15/16 1,341,329 Series 2367, Class ME, 6.500%, 10/15/31 1,441,529 Series 2388, Class FB, VAR, 0.839%, 01/15/29 1,523,840 Series 2391, Class QR, 5.500%, 12/15/16 4,111,473 Series 2391, Class VQ, 6.000%, 10/15/12 1,521,014 Series 2394, Class MC, 6.000%, 12/15/16 1,091,635 Series 2399, Class OH, 6.500%, 01/15/32 1,782,584 Series 2399, Class TH, 6.500%, 01/15/32 2,822,929 Series 2410, Class NG, 6.500%, 02/15/32 3,201,445 Series 2410, Class OE, 6.375%, 02/15/32 1,583,688 Series 2410, Class QS, IF, 18.879%, 02/15/32 4,37

903 Series 2410, Class QX, IF, IO, 8.411%, 02/15/32 153,625 Series 2412, Class SP, IF, 15.622%, 02/15/32 4,223,270 Series 2420, Class XK, 6.500%, 02/15/32 3,571,732 Series 2423, Class MC, 7.000%, 03/15/32 1,912,134 Series 2423, Class MT, 7.000%, 03/15/32 2,352,843 Series 2423, Class TB, 6.500%, 03/15/32 3,11

953 Series 2425, Class OB, 6.000%, 03/15/17 1,033,360 Series 2430, Class WF, 6.500%, 03/15/32 3,694,591 Series 2434, Class TC, 7.000%, 04/15/32 5,099,245 Series 2434, Class ZA, 6.500%, 04/15/32 10,111,797 Series 2435, Class CJ, 6.500%, 04/15/32 2,024,395 Series 2435, Class VH, 6.000%, 07/15/19 4,641,847 Series 2436, Class MC, 7.000%, 04/15/32 2,051,010 Series 2441, Class GF, 6.500%, 04/15/32 1,11

2,124

Series 2444, Class ES, IF, IO, 7.711%, 03/15/32

281,729 Series 2450, Class GZ, 7.000%, 05/15/32 1,891,385 Series 2450, Class SW, IF, IO, 7.761%, 03/15/32 173,636 Series 2455, Class GK, 6.500%, 05/15/32 3,99

764 Series 2458, Class QE, 5.500%, 06/15/17 812,764 Series 2458, Class ZM, 6.500%, 06/15/32 3,045,021 Series 2460, Class VZ, 6.000%, 11/15/29 5,133,261 Series 2463, Class CE, 6.000%, 06/15/17 3,522,750 Series 2466, Class DH, 6.500%, 06/15/32 3,015,259 Series 2466, Class PG, 6.500%, 04/15/32 5,591,400 Series 2466, Class PH, 6.500%, 06/15/32 1,573,246 Series 2474, Class NR, 6.500%, 07/15/32 3,568,618 Series 2475, Class S, IF, IO, 7.761%, 02/15/32 1,01

376 Series 2480, Class PV, 6.000%, 07/15/11 39

4,755

Series 2484, Class LZ, 6.500%, 07/15/32

5,26523 Series 2488, Class WS, IF, 16.195%, 08/15/17 615,753 Series 2500, Class MC, 6.000%, 09/15/32 6,321,229 Series 2508, Class AQ, 5.500%, 10/15/17 1,314,073 Series 2512, Class PG, 5.500%, 10/15/22 4,451,561 Series 2513, Class YO, PO, 02/15/32 1,544,454 Series 2515, Class DE, 4.000%, 03/15/32 4,592,555 Series 2515, Class MG, 4.000%, 09/15/17 2,661,406 Series 2518, Class PX, 5.500%, 09/15/13 1,50

323 Series 2519, Class BT, 8.500%, 09/15/31 33126 Series 2521, Class PU, 5.500%, 05/15/10 12

2,225 Series 2527, Class VU, 5.500%, 10/15/13 2,232,743 Series 2535, Class BK, 5.500%, 12/15/22 2,965,035 Series 2537, Class TE, 5.500%, 12/15/17 5,43

395 Series 2541, Class GX, 5.500%, 02/15/17 402,000 Series 2543, Class LX, 5.000%, 12/15/17 2,145,462 Series 2543, Class YX, 6.000%, 12/15/32 5,993,640 Series 2544, Class HC, 6.000%, 12/15/32 4,003,516 Series 2549, Class ZG, 5.000%, 01/15/18 3,453,763 Series 2552, Class ME, 6.000%, 01/15/33 4,141,640 Series 2565, Class MB, 6.000%, 05/15/30 1,681,904 Series 2567, Class QD, 6.000%, 02/15/33 2,092,706 Series 2571, Class FY, VAR, 0.989%, 12/15/32 2,70

491 Series 2571, Class SK, HB, IF, 33.470%, 09/15/23 791,596 Series 2571, Class SY, IF, 18.027%, 12/15/32 2,032,580 Series 2574, Class HP, 5.000%, 02/15/18 2,778,791 Series 2575, Class ME, 6.000%, 02/15/33 9,641,416 Series 2586, Class HD, 5.500%, 03/15/23 1,50

2,422 Series 2586, Class WI, IO, 6.500%, 03/15/33 39



3,060 Series 2591, Class WI, IO, 5.500%, 02/15/30 101,777 Series 2594, Class VA, 6.000%, 03/15/14 1,78

766 Series 2594, Class VP, 6.000%, 02/15/14 766,860 Series 2594, Class VQ, 6.000%, 08/15/20 7,211,420 Series 2595, Class HC, 5.500%, 04/15/23 1,512,051 Series 2596, Class QG, 6.000%, 03/15/33 2,202,838 Series 2597, Class AD, 6.500%, 03/15/32 2,913,790 Series 2597, Class DS, IF, IO, 7.311%, 02/15/33 187,557 Series 2599, Class DS, IF, IO, 6.761%, 02/15/33 379,424 Series 2610, Class DS, IF, IO, 6.861%, 03/15/33 528,321 Series 2611, Class SH, IF, IO, 7.411%, 10/15/21 481,680 Series 2611, Class UH, 4.500%, 05/15/18 1,783,835 Series 2617, Class GR, 4.500%, 05/15/18 4,08

299 Series 2619, Class HR, 3.500%, 11/15/31 301,495 Series 2619, Class IM, IO, 5.000%, 10/15/21 7

401 Series 2624, Class IU, IO, 5.000%, 06/15/33 28,966 Series 2626, Class NS, IF, IO, 6.311%, 06/15/23 94

681 Series 2627, Class SP, IF, 13.141%, 06/15/33 671,000 Series 2628, Class WA, 4.000%, 07/15/28 1,033,354 Series 2629, Class BY, IO, 4.500%, 03/15/18 276,974 Series 2630, Class S, IF, IO, 6.911%, 01/15/17 358,558 Series 2631, Class LC, 4.500%, 06/15/18 9,12

12,340 Series 2631, Class SA, IF, 14.412%, 06/15/33 13,9422,014 Series 2636, Class Z, 4.500%, 06/15/18 23,322,410 Series 2637, Class SA, IF, IO, 5.861%, 06/15/18 21

920

Series 2638, Class DS, IF, 8.361%, 07/15/23

852,235 Series 2638, Class SA, IF, IO, 6.861%, 11/15/16 101,232 Series 2640, Class UG, IO, 5.000%, 01/15/32 18

10,821 Series 2640, Class UP, IO, 5.000%, 01/15/32 88557 Series 2640, Class UR, IO, 4.500%, 08/15/17 1798 Series 2640, Class VE, 3.250%, 07/15/22 80

1,602 Series 2642, Class SL, IF, 6.678%, 07/15/33 1,49553 Series 2643, Class HI, IO, 4.500%, 12/15/16 1595 Series 2646, Class SH, IF, 13.391%, 07/15/33 59

3,933 Series 2649, Class QE, 4.500%, 08/15/17 4,141,150 Series 2650, Class PO, PO, 12/15/32 1,055,401 Series 2650, Class SO, PO, 12/15/32 4,92

22,454 Series 2651, Class VZ, 4.500%, 07/15/18 23,803,232 Series 2655, Class EO, PO, 02/15/33 2,97

2,052

Series 2656, Class SH, HB, IF, 20.884%, 02/15/25

2,164,000 Series 2658, Class PE, 4.500%, 11/15/16 4,18562 Series 2663, Class EO, PO, 08/15/33 46

2,429 Series 2667, Class SW, IF, 6.570%, 01/15/18 2,314,370 Series 2668, Class S, IF, 11.522%, 09/15/33 4,284,566 Series 2668, Class SB, IF, 6.988%, 10/15/15 4,643,610 Series 2671, Class S, IF, 14.321%, 09/15/33 4,053,598 Series 2672, Class ME, 5.000%, 11/15/22 3,84

811 Series 2672, Class SJ, IF, 6.943%, 09/15/16 8111,345 Series 2675, Class CK, 4.000%, 09/15/18 11,821,795 Series 2676, Class TS, IF, 15.755%, 01/15/32 1,914,998 Series 2682, Class YS, IF, 8.635%, 10/15/33 4,70

190 Series 2683, Class VA, 5.500%, 02/15/21 1918,000 Series 2684, Class PO, PO, 01/15/33 15,05

300 Series 2684, Class SN, HB, IF, 27.056%, 10/15/33 355,437 Series 2684, Class TO, PO, 10/15/33 4,231,416 Series 2686, Class GB, 5.000%, 05/15/20 1,472,899 Series 2686, Class NS, IF, IO, 7.361%, 10/15/21 18

18,552 Series 2690, Class SJ, IF, 8.792%, 10/15/33 17,532,274 Series 2691, Class SM, IF, 8.792%, 10/15/33 2,153,105 Series 2691, Class WS, IF, 8.642%, 10/15/33 2,922,681 Series 2692, Class SC, IF, 12.809%, 07/15/33 2,821,617 Series 2694, Class SQ, IF, 8.635%, 10/15/33 1,542,000 Series 2695, Class DE, 4.000%, 01/15/17 2,09

772 Series 2696, Class CO, PO, 10/15/18 67687 Series 2696, Class SM, IF, 13.723%, 12/15/26 71

1,501 Series 2697, Class LE, 4.500%, 11/15/20 1,545,473 Series 2698, Class SV, IF, 8.642%, 11/15/33 5,14

7,450 Series 2700, Class S, IF, 8.642%, 11/15/33 6,98



1,791 Series 2702, Class PC, 5.000%, 01/15/23 1,902,455 Series 2705, Class SC, IF, 8.642%, 11/15/33 2,313,935 Series 2705, Class SD, IF, 8.693%, 11/15/33 3,517,400 Series 2707, Class QE, 4.500%, 11/15/18 7,882,240 Series 2715, Class OG, 5.000%, 01/15/23 2,404,480 Series 2716, Class UN, 4.500%, 12/15/23 4,692,240 Series 2720, Class PC, 5.000%, 12/15/23 2,40

17,303 Series 2727, Class BS, IF, 8.717%, 01/15/34 16,04489 Series 2727, Class PO, PO, 01/15/34 36

10,505 Series 2733, Class SB, IF, 7.795%, 10/15/33 8,431,437 Series 2739, Class S, IF, 11.522%, 01/15/34 1,411,251 Series 2743, Class HC, 4.500%, 12/15/15 1,272,150 Series 2743, Class HD, 4.500%, 08/15/17 2,265,000 Series 2743, Class HE, 4.500%, 02/15/19 5,312,597 Series 2744, Class FE, VAR, 0.000%, 02/15/34 2,521,051 Series 2744, Class PD, 5.500%, 08/15/33 1,092,535 Series 2744, Class PE, 5.500%, 02/15/34 2,796,422 Series 2744, Class TU, 5.500%, 05/15/32 6,644,507 Series 2748, Class KO, PO, 10/15/23 4,211,027 Series 2750, Class PO, PO, 06/15/30 992,720 Series 2752, Class PD, 5.000%, 03/15/26 2,781,850 Series 2753, Class S, IF, 11.522%, 02/15/34 1,802,598 Series 2755, Class PA, PO, 02/15/29 2,523,177 Series 2755, Class SA, IF, 13.723%, 05/15/30 3,403,857 Series 2758, Class AO, PO, 03/15/19 3,46

1,611

Series 2762, Class LO, PO, 03/15/34

1,301,267 Series 2764, Class UC, 5.000%, 05/15/27 1,311,348 Series 2766, Class SX, IF, 15.770%, 03/15/34 1,351,281 Series 2769, Class PO, PO, 03/15/34 1,18

675 Series 2771, Class FG, VAR, 0.000%, 03/15/34 585,598 Series 2776, Class SK, IF, 8.717%, 04/15/34 5,32

429 Series 2777, Class SX, IF, 11.844%, 04/15/34 42692 Series 2778, Class BS, IF, 15.153%, 04/15/34 70

5,844 Series 2778, Class US, IF, IO, 6.961%, 06/15/33 391,055 Series 2780, Class JG, 4.500%, 04/15/19 1,091,000 Series 2780, Class SY, IF, 15.975%, 11/15/33 1,215,672 Series 2802, Class OH, 6.000%, 05/15/34 6,232,000 Series 2809, Class UB, 4.000%, 09/15/17 2,072,000 Series 2809, Class UC, 4.000%, 06/15/19 2,07

1,793

Series 2812, Class AB, 4.500%, 10/15/18

1,87840 Series 2812, Class EL, 7.500%, 02/15/27 86295 Series 2827, Class SQ, IF, 7.500%, 01/15/19 29

5,719 Series 2833, Class KO, PO, 08/15/34 4,91841 Series 2835, Class QO, PO, 12/15/32 75274 Series 2836, Class SG, IF, 11.852%, 05/15/34 27473 Series 2838, Class FQ, VAR, 0.689%, 08/15/34 47970 Series 2840, Class JO, PO, 06/15/23 91

1,111 Series 2841, Class YA, 5.500%, 07/15/27 1,121,476 Series 2863, Class JA, 4.500%, 09/15/19 1,512,000 Series 2864, Class GB, 4.000%, 09/15/19 2,076,601 Series 2865, Class GO, PO, 10/15/33 5,572,930 Series 2872, Class JD, 4.500%, 01/15/16 2,981,107 Series 2890, Class DO, PO, 11/15/34 94

8 Series 2911, Class BU, 5.000%, 09/15/23 4,356 Series 2925, Class MW, VAR, 0.000%, 01/15/35 4,262,522 Series 2929, Class MS, HB, IF, 27.109%, 02/15/35 3,20

21,316 Series 2934, Class EC, PO, 02/15/20 19,961,830 Series 2934, Class EN, PO, 02/15/18 1,786,349 Series 2934, Class HI, IO, 5.000%, 02/15/20 624,413 Series 2934, Class KI, IO, 5.000%, 02/15/20 412,598 Series 2945, Class SA, IF, 11.864%, 03/15/20 2,922,319 Series 2965, Class GD, 4.500%, 04/15/20 2,472,377 Series 2967, Class S, HB, IF, 32.512%, 04/15/25 3,33

788 Series 2975, Class KO, PO, 05/15/35 735,838 Series 2981, Class FA, VAR, 0.639%, 05/15/35 5,664,946 Series 2988, Class AF, VAR, 0.539%, 06/15/35 4,792,435 Series 2988, Class GS, IF, 16.028%, 06/15/35 2,61

222 Series 2988, Class SD, IF, 15.903%, 03/15/35 23



1,332 Series 2989, Class PO, PO, 06/15/23 1,251,772 Series 2990, Class GO, PO, 02/15/35 1,396,366 Series 2990, Class LK, VAR, 0.609%, 10/15/34 6,315,168 Series 2990, Class SL, HB, IF, 23.618%, 06/15/34 6,813,149 Series 2990, Class WP, IF, 16.412%, 06/15/35 3,725,000 Series 2992, Class LB, 5.000%, 06/15/20 5,362,281 Series 2996, Class SL, IF, 15.171%, 06/15/35 2,386,000 Series 2999, Class NC, 4.500%, 12/15/18 6,324,500 Series 2999, Class ND, 4.500%, 07/15/20 4,76

960 Series 3007, Class AI, IO, 5.500%, 07/15/24 8508 Series 3014, Class OD, PO, 08/15/35 44

1,717 Series 3022, Class GF, VAR, 0.539%, 08/15/35 1,72823 Series 3022, Class OH, PO, 08/15/35 76

1,092 Series 3022, Class SX, IF, 16.278%, 08/15/25 1,322,394 Series 3029, Class SO, PO, 09/15/35 2,06

527 Series 3034, Class FB, VAR, 0.000%, 09/15/35 49885 Series 3044, Class GU, VAR, 0.000%, 10/15/35 84634 Series 3044, Class VO, PO, 10/15/35 56

3,803 Series 3047, Class OB, 5.500%, 12/15/33 4,0726,527 Series 3049, Class XF, VAR, 0.589%, 05/15/33 25,902,500 Series 3051, Class DP, HB, IF, 26.977%, 10/15/25 3,33

646 Series 3058, Class YO, PO, 10/15/35 542,500 Series 3064, Class OB, 5.500%, 07/15/29 2,642,030 Series 3064, Class SG, IF, 19.204%, 11/15/35 2,508,188 Series 3065, Class DF, VAR, 0.619%, 04/15/35 8,03

2,724

Series 3066, Class FH, VAR, 1.244%, 01/15/34

2,661,452 Series 3068, Class AO, PO, 01/15/35 1,40880 Series 3081, Class CT, 5.500%, 04/15/24 88

3,804 Series 3100, Class MA, VAR, 4.577%, 12/15/35 (i) 3,761,095 Series 3102, Class HS, HB, IF, 23.691%, 01/15/36 1,48

11,762 Series 3117, Class AO, PO, 02/15/36 10,592,434 Series 3117, Class EO, PO, 02/15/36 2,192,538 Series 3117, Class OK, PO, 02/15/36 2,197,179 Series 3122, Class OH, PO, 03/15/36 6,506,723 Series 3122, Class OP, PO, 03/15/36 6,06

114 Series 3122, Class ZB, 6.000%, 03/15/36 11920 Series 3134, Class PO, PO, 03/15/36 80

5,459 Series 3138, Class PO, PO, 04/15/36 4,7713,405 Series 3147, Class PO, PO, 04/15/36 12,08

1,169

Series 3149, Class SO, PO, 05/15/36

1,04805 Series 3158, Class LX, VAR, 0.000%, 05/15/36 793,000 Series 3162, Class OB, 6.000%, 11/15/30 3,22

103 Series 3164, Class CF, VAR, 0.000%, 04/15/33 109,249 Series 3171, Class MO, PO, 06/15/36 8,301,180 Series 3174, Class CA, 5.500%, 02/15/26 1,211,491 Series 3174, Class PX, 5.000%, 06/15/17 1,624,556 Series 3179, Class OA, PO, 07/15/36 4,133,413 Series 3181, Class AZ, 6.500%, 07/15/36 3,77

10,809 Series 3184, Class OA, PO, 02/15/33 10,442,534 Series 3186, Class MT, IF, 4.639%, 07/15/36 2,356,595 Series 3194, Class SA, IF, IO, 6.861%, 07/15/36 697,030 Series 3195, Class PD, 6.500%, 07/15/36 7,84

39,534 Series 3202, Class HI, IF, IO, 6.411%, 08/15/36 4,21

1,865 Series 3213, Class OA, PO, 09/15/36 1,631,800 Series 3218, Class AO, PO, 09/15/36 1,64

16,490 Series 3219, Class DI, IO, 6.000%, 04/15/36 2,314,149 Series 3225, Class EO, PO, 10/15/36 3,638,974 Series 3232, Class ST, IF, IO, 6.461%, 10/15/36 891,722 Series 3233, Class OP, PO, 05/15/36 1,551,662 Series 3234, Class MA, 4.500%, 03/15/28 1,71

745 Series 3245, Class MO, PO, 11/15/36 671,181 Series 3253, Class A, 5.000%, 08/15/20 1,24

33,757 Series 3253, Class PO, PO, 12/15/21 31,921,273 Series 3256, Class KF, VAR, 12/15/36 1,241,899 Series 3256, Class PO, PO, 12/15/36 1,674,622 Series 3260, Class CS, IF, IO, 5.901%, 01/15/37 411,776 Series 3261, Class OA, PO, 01/15/37 1,57

1,863 Series 3263, Class TP, VAR, 08/15/35 1,82



1,279 Series 3263, Class WE, VAR, 08/15/35 1,23337 Series 3269, Class WF, VAR, 0.000%, 01/15/37 33

2,690 Series 3274, Class JO, PO, 02/15/37 2,278,647 Series 3275, Class FL, VAR, 0.679%, 02/15/37 8,475,608 Series 3286, Class PO, PO, 03/15/37 4,848,244 Series 3290, Class SB, IF, IO, 6.211%, 03/15/37 705,000 Series 3299, Class KB, 5.000%, 08/15/29 5,213,000 Series 3302, Class UT, 6.000%, 04/15/37 3,306,378 Series 3305, Class MG, IF, 2.459%, 07/15/34 5,24

702 Series 3318, Class AO, PO, 05/15/37 61425 Series 3320, Class TF, VAR, 0.000%, 10/15/36 39

3,500 Series 3329, Class WK, 6.000%, 12/15/31 3,783,313 Series 3331, Class PO, PO, 06/15/37 2,854,000 Series 3334, Class MC, 5.000%, 04/15/33 4,206,808 Series 3344, Class SL, IF, IO, 6.361%, 07/15/37 633,170 Series 3356, Class PA, 6.000%, 11/15/26 3,262,000 Series 3361, Class EF, VAR, 0.839%, 08/15/35 1,923,780 Series 3369, Class VA, 6.000%, 07/15/18 4,122,167 Series 3371, Class FA, VAR, 0.839%, 09/15/37 2,14

26,537 Series 3383, Class SA, IF, IO, 6.211%, 11/15/37 2,3337,925 Series 3387, Class SA, IF, IO, 6.181%, 11/15/37 3,827,524 Series 3398, Class PO, PO, 01/15/36 6,87

37,310 Series 3404, Class SC, IF, IO, 5.761%, 01/15/38 3,5620,181 Series 3424, Class PI, IF, IO, 6.561%, 04/15/38 2,1736,148 Series 3430, Class AI, IO, 1.417%, 09/15/12 75

71,405

Series 3437, Class AI, IO, 1.335%, 09/15/11

77767 Series 3443, Class SY, IF, 9.000%, 03/15/37 7412,977 Series 3455, Class SE, IF, IO, 5.961%, 06/15/38 1,3120,469 Series 3481, Class SJ, IF, IO, 5.611%, 08/15/38 1,897,500 Series 3493, Class LA, 4.000%, 10/15/23 7,67

34,212 Series 3505, Class SA, IF, IO, 5.761%, 01/15/39 3,0233,126 Series 3511, Class SA, IF, IO, 5.761%, 02/15/39 2,9010,126 Series 3546, Class A, VAR, 6.116%, 02/15/39 10,66

Federal Home Loan Mortgage Corp. STRIPS,

9 Series 134, Class B, IO, 9.000%, 04/01/22

18,773 Series 233, Class 11, IO, 5.000%, 09/15/35 2,8515,408 Series 233, Class 12, IO, 5.000%, 09/15/35 2,3829,783 Series 233, Class 13, IO, 5.000%, 09/15/35 4,539,546 Series 243, Class 16, IO, 4.500%, 11/15/20 91

5,957

Series 243, Class 17, IO, 4.500%, 12/15/20

52Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,

1,460 Series T-41, Class 3A, VAR, 7.500%, 07/25/32 1,646,304 Series T-42, Class A5, 7.500%, 02/25/42 7,094,409 Series T-48, Class 1A, VAR, 7.017%, 07/25/33 4,87

962 Series T-51, Class 2A, VAR, 7.500%, 08/25/42 1,085,923 Series T-54, Class 2A, 6.500%, 02/25/43 6,462,060 Series T-54, Class 3A, 7.000%, 02/25/43 2,281,724 Series T-57, Class 1A3, 7.500%, 07/25/43 1,94

640 Series T-57, Class 1AP, PO, 07/25/43 598,285 Series T-58, Class 4A, 7.500%, 09/25/43 9,39

766 Series T-58, Class APO, PO, 09/25/43 698,065 Series T-59, Class 1A2, 7.000%, 10/25/43 8,99

895 Series T-59, Class 1AP, PO, 10/25/43 80

Federal National Mortgage Association Grantor Trust, 4,002 Series 2001-T10, Class A2, 7.500%, 12/25/41 4,523,348 Series 2001-T3, Class A1, 7.500%, 11/25/40 3,781,756 Series 2004-T1, Class 1A2, 6.500%, 01/25/44 1,918,891 Series 2004-T2, Class 1A4, 7.500%, 11/25/43 10,04

12,789 Series 2004-T3, Class 1A2, 6.500%, 02/25/44 13,944,660 Series 2004-T3, Class 1A3, 7.000%, 02/25/44 5,18

Federal National Mortgage Association REMICS,

29 Series 1988-7, Class Z, 9.250%, 04/25/18 3129 Series 1989-70, Class G, 8.000%, 10/25/19 1452 Series 1989-78, Class H, 9.400%, 11/25/19 655 Series 1989-83, Class H, 8.500%, 11/25/19 656 Series 1989-89, Class H, 9.000%, 11/25/19 634 Series 1990-1, Class D, 8.800%, 01/25/20 3

13 Series 1990-7, Class B, 8.500%, 01/25/20 1



17 Series 1990-60, Class K, 5.500%, 06/25/20 124 Series 1990-63, Class H, 9.500%, 06/25/20 221 Series 1990-93, Class G, 5.500%, 08/25/20 2

– (h) Series 1990-94, Class H, HB, 505.000%, 08/25/20

– (h) Series 1990-95, Class J, HB, 1,118.040%, 08/25/20

118 Series 1990-102, Class J, 6.500%, 08/25/20 12110 Series 1990-120, Class H, 9.000%, 10/25/20 1212 Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20 1

1 Series 1990-140, Class K, HB, 652.145%, 12/25/20

– (h) Series 1991-7, Class K, HB, 908.500%, 02/25/21

32 Series 1991-24, Class Z, 5.000%, 03/25/21 339 Series 1991-42, Class S, IF, 17.237%, 05/25/21 4

9 Series 1992-38, Class Z, 7.500%, 02/25/22

6 Series 1992-101, Class J, 7.500%, 06/25/22

920 Series 1992-117, Class MA, 8.000%, 07/25/22 1,00159 Series 1992-136, Class PK, 6.000%, 08/25/22 17165 Series 1992-143, Class MA, 5.500%, 09/25/22 18

1,102 Series 1992-150, Class M, 8.000%, 09/25/22 1,22347 Series 1992-163, Class M, 7.750%, 09/25/22 39536 Series 1992-188, Class PZ, 7.500%, 10/25/22 58251 Series 1993-21, Class KA, 7.700%, 03/25/23 28612 Series 1993-25, Class J, 7.500%, 03/25/23 6998 Series 1993-27, Class SA, IF, 15.500%, 02/25/23 11

1,655 Series 1993-37, Class PX, 7.000%, 03/25/23 1,85563 Series 1993-54, Class Z, 7.000%, 04/25/23 63

6,028

Series 1993-56, Class PZ, 7.000%, 05/25/23

6,62271 Series 1993-62, Class SA, IF, 17.565%, 04/25/23 363,498 Series 1993-99, Class Z, 7.000%, 07/25/23 3,84

152 Series 1993-122, Class M, 6.500%, 07/25/23 163,092 Series 1993-136, Class ZB, VAR, 6.792%, 07/25/23 3,404,719 Series 1993-141, Class Z, 7.000%, 08/25/23 5,18

137 Series 1993-165, Class SD, IF, 12.158%, 09/25/23 15170 Series 1993-165, Class SK, IF, 12.500%, 09/25/23 18237 Series 1993-167, Class GA, 7.000%, 09/25/23 24245 Series 1993-178, Class PK, 6.500%, 09/25/23 27115 Series 1993-179, Class SB, HB, IF, 24.185%, 10/25/23 1777 Series 1993-179, Class SC, IF, 10.500%, 10/25/23 7

3,988 Series 1993-183, Class KA, 6.500%, 10/25/23 4,461,885 Series 1993-189, Class PL, 6.500%, 10/25/23 2,09

404

Series 1993-199, Class FA, VAR, 0.800%, 10/25/23

40219 Series 1993-205, Class H, PO, 09/25/23 19355 Series 1993-220, Class SG, IF, 15.500%, 11/25/13 40211 Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13 26311 Series 1993-225, Class UB, 6.500%, 12/25/23 3380 Series 1993-230, Class FA, VAR, 0.850%, 12/25/23 8

337 Series 1993-247, Class FE, VAR, 1.250%, 12/25/23 33411 Series 1993-247, Class SA, HB, IF, 25.377%, 12/25/23 62156 Series 1993-247, Class SU, IF, 11.678%, 12/25/23 17

1,374 Series 1993-250, Class Z, 7.000%, 12/25/23 1,482,763 Series 1993-257, Class C, PO, 06/25/23 2,59

24 Series 1994-9, Class E, PO, 11/25/23 21,317 Series 1994-37, Class L, 6.500%, 03/25/24 1,436,427 Series 1994-40, Class Z, 6.500%, 03/25/24 7,11

4,422 Series 1994-63, Class PK, 7.000%, 04/25/24 4,93186 Series 1995-2, Class Z, 8.500%, 01/25/25 20373 Series 1995-19, Class Z, 6.500%, 11/25/23 40

2,453 Series 1996-14, Class SE, IF, IO, 7.320%, 08/25/23 4599 Series 1996-27, Class FC, VAR, 0.750%, 03/25/17 9

1,864 Series 1996-48, Class Z, 7.000%, 11/25/26 2,06224 Series 1996-59, Class J, 6.500%, 08/25/22 24497 Series 1996-59, Class K, 6.500%, 07/25/23 52503 Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 1

1,754 Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 5335 Series 1997-27, Class J, 7.500%, 04/18/27 36360 Series 1997-29, Class J, 7.500%, 04/20/27 40

1,300 Series 1997-32, Class PG, 6.500%, 04/25/27 1,401,429 Series 1997-39, Class PD, 7.500%, 05/20/27 1,60

429 Series 1997-42, Class EN, 7.250%, 07/18/27 45



140 Series 1997-42, Class ZC, 6.500%, 07/18/27 15– (h) Series 1997-51, Class PM, IO, 7.000%, 05/18/12

2,025 Series 1997-61, Class ZC, 7.000%, 02/25/23 2,20584 Series 1997-81, Class PI, IO, 7.000%, 12/18/27 1092 Series 1998-4, Class C, PO, 04/25/23 8

1,747 Series 1998-36, Class ZB, 6.000%, 07/18/28 1,91455 Series 1998-43, Class SA, IF, IO, 15.277%, 04/25/23 15721 Series 1998-66, Class SB, IF, IO, 7.914%, 12/25/28 11389 Series 1999-17, Class C, 6.350%, 04/25/29 43

2,232 Series 1999-18, Class Z, 5.500%, 04/18/29 2,42839 Series 1999-38, Class SK, IF, IO, 7.814%, 08/25/23 10214 Series 1999-52, Class NS, HB, IF, 22.719%, 10/25/23 30552 Series 1999-62, Class PB, 7.500%, 12/18/29 62

2,914 Series 2000-2, Class ZE, 7.500%, 02/25/30 3,32810 Series 2000-20, Class SA, IF, IO, 8.864%, 07/25/30 19136 Series 2000-52, Class IO, IO, 8.500%, 01/25/31 2

1,257 Series 2001-4, Class PC, 7.000%, 03/25/21 1,411,058 Series 2001-5, Class OW, 6.000%, 03/25/16 1,12

500 Series 2001-7, Class PF, 7.000%, 03/25/31 552,434 Series 2001-7, Class PR, 6.000%, 03/25/16 2,602,540 Series 2001-10, Class PR, 6.000%, 04/25/16 2,701,365 Series 2001-30, Class PM, 7.000%, 07/25/31 1,52

959 Series 2001-31, Class VD, 6.000%, 05/25/31 983,736 Series 2001-33, Class ID, IO, 6.000%, 07/25/31 532,521 Series 2001-36, Class DE, 7.000%, 08/25/31 2,81

2,891

Series 2001-44, Class MY, 7.000%, 09/25/31

3,23805 Series 2001-44, Class PD, 7.000%, 09/25/31 89595 Series 2001-44, Class PU, 7.000%, 09/25/31 66

7,232 Series 2001-48, Class Z, 6.500%, 09/25/21 8,03881 Series 2001-49, Class Z, 6.500%, 09/25/31 97410 Series 2001-52, Class KB, 6.500%, 10/25/31 45259 Series 2001-52, Class XM, 6.500%, 11/25/10 26

1,462 Series 2001-52, Class XN, 6.500%, 11/25/15 1,585,000 Series 2001-60, Class PX, 6.000%, 11/25/31 5,481,756 Series 2001-60, Class QS, HB, IF, 23.674%, 09/25/31 2,384,509 Series 2001-61, Class Z, 7.000%, 11/25/31 5,031,660 Series 2001-71, Class MB, 6.000%, 12/25/16 1,792,719 Series 2001-71, Class QE, 6.000%, 12/25/16 2,94

353 Series 2001-72, Class SX, IF, 16.916%, 12/25/31 41

8,762

Series 2001-74, Class MB, 6.000%, 12/25/16

9,521,773 Series 2001-80, Class PE, 6.000%, 07/25/29 1,84272 Series 2001-81, Class LO, PO, 01/25/32 24

2,090 Series 2002-1, Class G, 7.000%, 07/25/23 2,331,147 Series 2002-1, Class HC, 6.500%, 02/25/22 1,27

765 Series 2002-1, Class SA, HB, IF, 24.421%, 02/25/32 1,04337 Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23 48

2,268 Series 2002-2, Class UC, 6.000%, 02/25/17 2,446,220 Series 2002-3, Class OG, 6.000%, 02/25/17 6,722,840 Series 2002-5, Class PK, 6.000%, 02/25/22 3,171,106 Series 2002-7, Class OG, 6.000%, 03/25/17 1,193,628 Series 2002-7, Class TG, 6.000%, 03/25/17 3,921,288 Series 2002-11, Class QG, 5.500%, 03/25/17 1,374,013 Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 12

72 Series 2002-13, Class ST, IF, 10.000%, 03/25/32 75,765 Series 2002-16, Class PG, 6.000%, 04/25/17 6,23

10,727 Series 2002-18, Class PC, 5.500%, 04/25/17 11,361,094 Series 2002-19, Class PE, 6.000%, 04/25/17 1,18

209 Series 2002-21, Class LO, PO, 04/25/32 182,722 Series 2002-21, Class PE, 6.500%, 04/25/32 2,983,275 Series 2002-24, Class AJ, 6.000%, 04/25/17 3,595,003 Series 2002-28, Class PK, 6.500%, 05/25/32 5,512,082 Series 2002-31, Class S, IF, 18.754%, 05/25/17 2,542,443 Series 2002-37, Class Z, 6.500%, 06/25/32 2,69

12,479 Series 2002-38, Class QE, 6.000%, 06/25/17 13,491,120 Series 2002-42, Class C, 6.000%, 07/25/17 1,235,601 Series 2002-48, Class GH, 6.500%, 11/25/32 6,165,000 Series 2002-54, Class PG, 6.000%, 09/25/22 5,51

900 Series 2002-55, Class QE, 5.500%, 09/25/17 96



12,195 Series 2002-56, Class UC, 5.500%, 09/25/17 13,074,525 Series 2002-57, Class AE, 5.500%, 09/25/17 4,841,212 Series 2002-63, Class KC, 5.000%, 10/25/17 1,281,135 Series 2002-71, Class AP, 5.000%, 11/25/32 1,219,500 Series 2002-71, Class KM, 5.000%, 11/25/17 10,122,300 Series 2002-74, Class LD, 5.000%, 01/25/16 2,31

429 Series 2002-74, Class PD, 5.000%, 11/25/15 42851 Series 2002-74, Class VB, 6.000%, 11/25/31 85

1,595 Series 2002-77, Class S, IF, 14.051%, 12/25/32 1,782,699 Series 2002-83, Class CS, 6.881%, 08/25/23 3,001,743 Series 2002-84, Class VB, 5.500%, 04/25/15 1,881,560 Series 2002-90, Class A1, 6.500%, 06/25/42 1,70

479 Series 2002-91, Class UH, IO, 5.500%, 06/25/22 325 Series 2002-93, Class PD, 3.500%, 02/25/29 2

6,216 Series 2002-94, Class BK, 5.500%, 01/25/18 6,77383 Series 2003-8, Class SB, IF, IO, 7.414%, 03/25/16

2,062 Series 2003-9, Class NZ, 6.500%, 02/25/33 2,272,378 Series 2003-14, Class TI, IO, 5.000%, 03/25/33 224,550 Series 2003-22, Class UD, 4.000%, 04/25/33 4,46

952 Series 2003-27, Class DW, 4.500%, 04/25/17 991,400 Series 2003-32, Class KC, 5.000%, 05/25/18 1,508,559 Series 2003-33, Class IA, IO, 6.500%, 05/25/33 1,382,614 Series 2003-34, Class AX, 6.000%, 05/25/33 2,872,256 Series 2003-34, Class ED, 6.000%, 05/25/33 2,48

640 Series 2003-34, Class GB, 6.000%, 03/25/33 70

1,199

Series 2003-34, Class GE, 6.000%, 05/25/33

1,321,115 Series 2003-35, Class EA, PO, 05/25/33 911,057 Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 141,960 Series 2003-39, Class LW, 5.500%, 05/25/23 2,092,800 Series 2003-41, Class PE, 5.500%, 05/25/23 3,071,092 Series 2003-42, Class GB, 4.000%, 05/25/33 1,127,177 Series 2003-45, Class AI, IO, 5.500%, 05/25/33 392,715 Series 2003-47, Class PE, 5.750%, 06/25/33 2,941,813 Series 2003-52, Class SX, HB, IF, 22.242%, 10/25/31 2,20

593 Series 2003-60, Class NJ, 5.000%, 07/25/21 603,493 Series 2003-64, Class SX, IF, 13.141%, 07/25/33 3,54

438 Series 2003-65, Class CI, IO, 4.500%, 03/25/15

254 Series 2003-65, Class ML, 4.000%, 07/25/33 25525 Series 2003-67, Class VQ, 7.000%, 01/25/19 54

370

Series 2003-68, Class QP, 3.000%, 07/25/22

374,132 Series 2003-71, Class DS, IF, 7.142%, 08/25/33 3,7323,044 Series 2003-72, Class IE, IO, 5.500%, 08/25/33 2,717,283 Series 2003-73, Class HF, VAR, 0.686%, 01/25/31 7,23

697 Series 2003-74, Class SH, IF, 9.745%, 08/25/33 683,245 Series 2003-76, Class SH, IF, 13.728%, 09/25/31 3,53

13,257 Series 2003-80, Class SY, IF, IO, 7.414%, 06/25/23 1,271,580 Series 2003-81, Class LC, 4.500%, 09/25/18 1,682,000 Series 2003-82, Class VB, 5.500%, 08/25/33 2,168,876 Series 2003-83, Class PG, 5.000%, 06/25/23 9,441,865 Series 2003-91, Class SD, IF, 12.107%, 09/25/33 2,015,929 Series 2003-91, Class XT, 4.500%, 12/25/17 6,061,278 Series 2003-92, Class GA, 4.500%, 09/25/18 1,32

435 Series 2003-92, Class SH, IF, 9.211%, 09/25/18 43

4,556 Series 2003-106, Class US, IF, 8.721%, 11/25/23 4,41449 Series 2003-106, Class WS, IF, 9.275%, 02/25/23 44423 Series 2003-113, Class PC, 4.000%, 03/25/15 42

9,339 Series 2003-116, Class SB, IF, IO, 7.364%, 11/25/33 1,258,161 Series 2003-117, Class JB, 3.500%, 06/25/33 8,242,240 Series 2003-122, Class TE, 5.000%, 12/25/22 2,391,294 Series 2003-124, Class SV, IF, 11.287%, 03/25/31 1,322,123 Series 2003-128, Class KE, 4.500%, 01/25/14 2,223,300 Series 2003-128, Class NG, 4.000%, 01/25/19 3,401,952 Series 2003-130, Class SX, IF, 11.166%, 01/25/34 2,101,817 Series 2003-131, Class SK, IF, 15.728%, 01/25/34 2,081,076 Series 2003-132, Class OA, PO, 08/25/33 961,115 Series 2004-1, Class DL, 4.500%, 02/25/18 1,125,895 Series 2004-3, Class BE, 4.000%, 02/25/19 6,09

5,693 Series 2004-4, Class QI, IF, IO, 6.864%, 06/25/33 62



4,234 Series 2004-4, Class QM, IF, 13.728%, 06/25/33 4,644,015 Series 2004-10, Class SC, HB, IF, 27.656%, 02/25/34 5,034,148 Series 2004-14, Class SD, IF, 8.721%, 03/25/34 3,971,000 Series 2004-21, Class AE, 4.000%, 04/25/19 1,032,711 Series 2004-21, Class CO, PO, 04/25/34 1,71

844 Series 2004-22, Class A, 4.000%, 04/25/19 853,275 Series 2004-25, Class PC, 5.500%, 01/25/34 3,566,680 Series 2004-25, Class SA, IF, 18.876%, 04/25/34 7,708,100 Series 2004-27, Class HB, 4.000%, 05/25/19 8,312,157 Series 2004-36, Class PC, 5.500%, 02/25/34 2,345,892 Series 2004-36, Class SA, IF, 18.876%, 05/25/34 6,692,097 Series 2004-36, Class SN, IF, 13.728%, 07/25/33 2,288,014 Series 2004-46, Class HS, IF, IO, 5.764%, 05/25/30 411,536 Series 2004-46, Class QB, HB, IF, 23.056%, 05/25/34 1,821,281 Series 2004-46, Class SK, IF, 15.851%, 05/25/34 1,351,808 Series 2004-51, Class SY, IF, 13.768%, 07/25/34 2,001,400 Series 2004-53, Class NC, 5.500%, 07/25/24 1,501,942 Series 2004-59, Class BG, PO, 12/25/32 1,724,162 Series 2004-61, Class CO, PO, 10/25/31 4,06

300 Series 2004-61, Class SH, HB, IF, 23.044%, 11/25/32 37903 Series 2004-61, Class SK, IF, 8.500%, 11/25/32 90

5,000 Series 2004-65, Class EY, 5.500%, 08/25/24 5,4012,000 Series 2004-72, Class CB, 4.000%, 09/25/19 12,401,603 Series 2004-74, Class SW, IF, 15.025%, 11/25/31 1,852,251 Series 2004-76, Class CL, 4.000%, 10/25/19 2,34

5,465

Series 2004-79, Class S, IF, 19.151%, 08/25/32

6,081,796 Series 2004-79, Class SP, IF, 19.151%, 11/25/34 2,042,000 Series 2004-81, Class AC, 4.000%, 11/25/19 2,071,867 Series 2004-89, Class EA, IF, 12.791%, 01/25/34 2,112,370 Series 2004-92, Class BX, 5.500%, 09/25/34 2,551,355 Series 2004-92, Class JO, PO, 12/25/34 1,352,120 Series 2004-101, Class HD, 5.000%, 01/25/20 2,272,648 Series 2005-14, Class BA, 4.500%, 04/25/19 2,775,829 Series 2005-25, Class PF, VAR, 0.586%, 04/25/35 5,731,034 Series 2005-27, Class TH, 5.500%, 07/25/31 1,071,257 Series 2005-40, Class ZM, 5.000%, 05/25/35 1,271,654 Series 2005-42, Class PS, IF, 16.410%, 05/25/35 1,98

406 Series 2005-47, Class AN, 5.000%, 12/25/16 41467 Series 2005-51, Class CS, IF, 9.823%, 06/25/35 46

826

Series 2005-52, Class PA, 6.500%, 06/25/35

896,739 Series 2005-56, Class S, IF, IO, 6.474%, 07/25/35 642,877 Series 2005-56, Class TP, IF, 17.442%, 08/25/33 3,282,371 Series 2005-57, Class CD, IF, 24.240%, 01/25/35 3,12

934 Series 2005-57, Class DC, HB, IF, 21.008%, 12/25/34 1,16762 Series 2005-59, Class PA, 5.500%, 06/25/25 77

1,665 Series 2005-66, Class SG, IF, 16.785%, 07/25/35 1,891,500 Series 2005-68, Class BC, 5.250%, 06/25/35 1,618,231 Series 2005-68, Class PG, 5.500%, 08/25/35 8,922,500 Series 2005-68, Class UC, 5.000%, 06/25/35 2,66

10,259 Series 2005-72, Class SB, IF, 16.285%, 08/25/35 11,912,488 Series 2005-73, Class PS, IF, 16.110%, 08/25/35 2,952,111 Series 2005-74, Class CP, HB, IF, 23.885%, 05/25/35 2,949,199 Series 2005-74, Class CS, IF, 19.371%, 05/25/35 10,88

11,014 Series 2005-84, Class XM, 5.750%, 10/25/35 12,03652 Series 2005-86, Class GB, 5.000%, 10/25/35 65

10,256 Series 2005-88, Class QO, PO, 11/25/33 9,217,345 Series 2005-93, Class MF, VAR, 0.486%, 08/25/34 7,173,397 Series 2005-96, Class BP, 5.900%, 02/25/15 3,481,029 Series 2005-98, Class GO, PO, 11/25/35 94

17,202 Series 2005-106, Class US, HB, IF, 23.702%, 11/25/35 24,1310,000 Series 2005-109, Class PB, 6.000%, 01/25/34 10,651,000 Series 2005-109, Class PC, 6.000%, 12/25/35 1,09

21,737 Series 2005-110, Class GJ, 5.500%, 11/25/30 22,9517,500 Series 2005-110, Class GK, 5.500%, 08/25/34 18,905,659 Series 2005-110, Class GL, 5.500%, 12/25/35 6,002,840 Series 2005-110, Class MN, 5.500%, 06/25/35 3,082,002 Series 2005-116, Class PB, 6.000%, 04/25/34 2,16

35,000 Series 2005-118, Class ME, 6.000%, 01/25/32 37,31



15,000 Series 2005-118, Class PN, 6.000%, 01/25/32 16,26525 Series 2005-123, Class LO, PO, 01/25/36 49

1,602 Series 2006-11, Class PS, HB, IF, 23.702%, 03/25/36 2,211,436 Series 2006-12, Class PA, 5.500%, 03/25/25 1,463,975 Series 2006-15, Class OT, PO, 01/25/36 3,731,512 Series 2006-16, Class OA, PO, 03/25/36 1,363,046 Series 2006-22, Class AO, PO, 04/25/36 2,624,709 Series 2006-23, Class FK, VAR, 0.486%, 04/25/36 4,602,610 Series 2006-23, Class KO, PO, 04/25/36 2,361,597 Series 2006-33, Class LS, HB, IF, 29.088%, 05/25/36 2,152,000 Series 2006-39, Class WC, 5.500%, 01/25/36 2,163,546 Series 2006-42, Class CF, VAR, 0.686%, 06/25/36 3,525,005 Series 2006-43, Class DO, PO, 06/25/36 4,392,296 Series 2006-43, Class G, 6.500%, 09/25/33 2,401,834 Series 2006-43, Class PO, PO, 06/25/36 1,56

21,158 Series 2006-44, Class FP, VAR, 0.636%, 06/25/36 21,053,175 Series 2006-44, Class GO, PO, 06/25/36 2,789,914 Series 2006-44, Class P, PO, 12/25/33 8,514,210 Series 2006-46, Class FW, VAR, 0.636%, 06/25/36 4,15

674 Series 2006-46, Class SW, HB, IF, 23.334%, 06/25/36 892,000 Series 2006-46, Class UC, 5.500%, 12/25/35 2,16

11,542 Series 2006-50, Class JO, PO, 06/25/36 9,8416,488 Series 2006-50, Class PS, PO, 06/25/36 14,1920,514 Series 2006-53, Class US, IF, IO, 6.344%, 06/25/36 2,041,329 Series 2006-58, Class AP, PO, 07/25/36 1,15

3,989

Series 2006-58, Class FL, VAR, 0.696%, 07/25/36

3,961,971 Series 2006-58, Class PO, PO, 07/25/36 1,716,194 Series 2006-59, Class QO, PO, 01/25/33 5,621,607 Series 2006-60, Class AK, HB, IF, 27.856%, 07/25/36 2,111,553 Series 2006-62, Class PS, HB, IF, 38.484%, 07/25/36 2,433,725 Series 2006-65, Class QO, PO, 07/25/36 3,263,651 Series 2006-66, Class NV, 6.500%, 02/25/24 4,086,758 Series 2006-72, Class GO, PO, 08/25/36 5,861,832 Series 2006-72, Class TO, PO, 08/25/36 1,593,375 Series 2006-75, Class CM, 6.500%, 12/25/33 3,49

10,500 Series 2006-77, Class PC, 6.500%, 08/25/36 11,764,120 Series 2006-79, Class DF, VAR, 0.586%, 08/25/36 4,052,744 Series 2006-79, Class DO, PO, 08/25/36 2,382,295 Series 2006-79, Class OP, PO, 08/25/36 2,00

1,235

Series 2006-85, Class MZ, 6.500%, 09/25/36

1,362,618 Series 2006-90, Class AO, PO, 09/25/36 2,341,789 Series 2006-94, Class GK, HB, IF, 32.070%, 10/25/26 2,473,006 Series 2006-95, Class SG, HB, IF, 25.256%, 10/25/36 3,72

573 Series 2006-102, Class PA, 5.000%, 08/25/26 59833 Series 2006-109, Class PO, PO, 11/25/36 73

8,996 Series 2006-110, Class PO, PO, 11/25/36 7,723,220 Series 2006-111, Class EO, PO, 11/25/36 2,89

698 Series 2006-115, Class ES, HB, IF, 25.616%, 12/25/36 942,226 Series 2006-115, Class OK, PO, 12/25/36 1,93

10,578 Series 2006-118, Class A1, VAR, 0.296%, 12/25/36 9,7737,456 Series 2006-118, Class A2, VAR, 0.296%, 12/25/36 35,813,547 Series 2006-119, Class PO, PO, 12/25/36 3,081,124 Series 2006-123, Class FD, VAR, 0.736%, 01/25/37 1,09

1,300 Series 2006-128, Class BP, 5.500%, 01/25/37 1,391,742 Series 2006-128, Class PO, PO, 01/25/37 1,48

10,278 Series 2006-130, Class GI, IO, 6.500%, 07/25/32 1,56724 Series 2007-1, Class SD, HB, IF, 37.584%, 02/25/37 95

2,415 Series 2007-2, Class FA, VAR, 0.436%, 02/25/37 2,3715,130 Series 2007-7, Class SG, IF, IO, 6.264%, 08/25/36 759,901 Series 2007-10, Class FD, VAR, 0.486%, 02/25/37 9,65

43,347 Series 2007-14, Class ES, IF, IO, 6.204%, 03/25/37 4,243,182 Series 2007-14, Class OP, PO, 03/25/37 2,722,913 Series 2007-15, Class NO, PO, 03/25/22 2,73

34,438 Series 2007-16, Class FC, VAR, 0.986%, 03/25/37 32,145,851 Series 2007-22, Class SC, IF, IO, 5.844%, 03/25/37 55

29,113 Series 2007-35, Class SI, IF, IO, 5.864%, 04/25/37 2,883,439 Series 2007-42, Class AO, PO, 05/25/37 3,06

9,901 Series 2007-43, Class FL, VAR, 0.536%, 05/25/37 9,73



1,500 Series 2007-47, Class PC, 5.000%, 07/25/33 1,5840,170 Series 2007-53, Class SH, IF, IO, 5.864%, 06/25/37 3,9463,438 Series 2007-54, Class FA, VAR, 0.636%, 06/25/37 62,597,268 Series 2007-54, Class WI, IF, IO, 5.864%, 06/25/37 75

59,289 Series 2007-60, Class AX, IF, IO, 6.914%, 07/25/37 7,991,924 Series 2007-65, Class PA, 6.000%, 03/25/31 2,03

12,088 Series 2007-77, Class FG, VAR, 0.736%, 03/25/37 11,942,000 Series 2007-79, Class PC, 5.000%, 01/25/32 2,126,009 Series 2007-79, Class SB, HB, IF, 23.152%, 08/25/37 7,754,000 Series 2007-81, Class GE, 6.000%, 08/25/37 4,384,478 Series 2007-83, Class PA, 6.000%, 03/25/29 4,714,464 Series 2007-84, Class PG, 6.000%, 12/25/36 4,912,813 Series 2007-85, Class SL, IF, 15.560%, 09/25/37 3,11

16,178 Series 2007-88, Class VI, IF, IO, 6.304%, 09/25/37 1,6216,735 Series 2007-91, Class ES, IF, IO, 6.224%, 10/25/37 2,034,649 Series 2007-92, Class YA, 6.500%, 06/25/37 5,037,748 Series 2007-92, Class YS, IF, IO, 5.544%, 06/25/37 696,792 Series 2007-97, Class FC, VAR, 0.736%, 07/25/37 6,71

11,010 Series 2007-97, Class KI, IO, 7.000%, 05/25/33 2,135,318 Series 2007-97, Class MS, IF, 14.234%, 12/25/31 5,664,294 Series 2007-98, Class FB, VAR, 0.686%, 06/25/37 4,054,186 Series 2007-98, Class VA, 6.000%, 11/25/17 4,57

12,635 Series 2007-106, Class A7, VAR, 6.168%, 10/25/37 13,477,839 Series 2007-108, Class SA, IF, IO, 6.124%, 12/25/37 70

79,007 Series 2007-116, Class HI, IO, VAR, 6.599%, 01/25/38 6,46

1,603

Series 2007-118, Class IO, IO, 6.000%, 06/25/36

1339,651 Series 2008-1, Class BI, IF, IO, 5.674%, 02/25/38 3,7036,349 Series 2008-4, Class SD, IF, IO, 5.764%, 02/25/38 3,4511,031 Series 2008-10, Class XI, IF, IO, 5.994%, 03/25/38 1,0231,706 Series 2008-16, Class IS, IF, IO, 5.964%, 03/25/38 3,034,497 Series 2008-18, Class SP, IF, 13.528%, 03/25/38 4,94

14,431 Series 2008-27, Class SN, IF, IO, 6.664%, 04/25/38 1,474,084 Series 2008-28, Class QS, IF, 19.992%, 04/25/38 4,77

22,845 Series 2008-32, Class SA, IF, IO, 6.614%, 04/25/38 2,1543,456 Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12 4890,219 Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 1,212,810 Series 2008-42, Class AO, PO, 09/25/36 2,58

810 Series 2008-44, Class PO, PO, 05/25/38 7134,922 Series 2008-46, Class HI, IO, VAR, 6.671%, 06/25/38 2,12

10,522

Series 2008-47, Class SI, IF, IO, 6.264%, 06/25/23

1,002,649 Series 2008-53, Class CA, 5.000%, 07/25/23 2,8315,805 Series 2008-53, Class CI, IF, IO, 6.964%, 07/25/38 1,681,523 Series 2008-59, Class IG, IO, 5.500%, 11/25/34 91,500 Series 2008-60, Class JC, 5.000%, 07/25/38 1,582,778 Series 2008-61, Class BH, 4.500%, 07/25/23 2,913,778 Series 2008-61, Class CB, 5.000%, 07/25/23 4,00

744 Series 2008-66, Class GD, 6.000%, 06/25/30 7835,084 Series 2008-80, Class SA, IF, IO, 5.614%, 09/25/38 3,2217,005 Series 2008-81, Class SB, IF, IO, 5.614%, 09/25/38 1,5433,564 Series 2009-6, Class GS, IF, IO, 6.314%, 02/25/39 3,0712,868 Series 2009-9, Class IO, IO, 5.000%, 02/25/24 1,1015,763 Series 2009-15, Class MI, IO, 5.000%, 03/25/24 1,415,819 Series 2009-18, Class IO, IO, 5.000%, 03/25/24 52

1,845 Series 2009-47, Class MT, 7.000%, 07/25/39 2,0111,654 Series 2009-69, Class WA, VAR, 6.016%, 09/25/39 12,6655,000 Series 2009-99, Class SC, IF, IO, 5.935%, 12/25/39 4,8911,500 Series 2009-99, Class WA, VAR, 6.286%, 12/25/39 12,58

23 Series G-14, Class L, 8.500%, 06/25/21 22 Series G-17, Class S, HB, VAR, 1,055.166%, 06/25/21 3

114 Series G-18, Class Z, 8.750%, 06/25/21 1232 Series G-22, Class G, 6.000%, 12/25/16 3

102 Series G-28, Class S, IF, 14.850%, 09/25/21 12169 Series G-35, Class M, 8.750%, 10/25/21 1934 Series G-51, Class SA, HB, IF, 21.362%, 12/25/21 586 Series G92-15, Class Z, 7.000%, 01/25/22 8

– (h) Series G92-27, Class SQ, HB, IF, 11,737.650%, 05/25/22 7781 Series G92-35, Class E, 7.500%, 07/25/22 87

– (h) Series G92-35, Class G, HB, 1,184.775%, 07/25/22



70 Series G92-42, Class Z, 7.000%, 07/25/22 72,586 Series G92-44, Class ZQ, 8.000%, 07/25/22 2,871,236 Series G92-45, Class Z, 6.000%, 08/25/22 1,34

70 Series G92-52, Class FD, VAR, 0.271%, 09/25/22 6954 Series G92-54, Class ZQ, 7.500%, 09/25/22 1,0773 Series G92-59, Class F, VAR, 1.972%, 10/25/22 7

145 Series G92-61, Class Z, 7.000%, 10/25/22 16107 Series G92-62, Class B, PO, 10/25/22 9485 Series G93-1, Class KA, 7.900%, 01/25/23 55185 Series G93-5, Class Z, 6.500%, 02/25/23 20139 Series G93-14, Class J, 6.500%, 03/25/23 15329 Series G93-17, Class SI, IF, 6.000%, 04/25/23 32316 Series G93-27, Class FD, VAR, 1.130%, 08/25/23 3179 Series G93-37, Class H, PO, 09/25/23 7

213 Series G95-1, Class C, 8.800%, 01/25/25 24Federal National Mortgage Association STRIPS,

12 Series 23, Class 2, IO, 10.000%, 09/01/17

6 Series 50, Class 2, IO, 10.500%, 03/01/19

80 Series 218, Class 2, IO, 7.500%, 04/01/23 144 Series 265, Class 2, 9.000%, 03/01/24 5

1,595 Series 329, Class 1, PO, 01/01/33 1,415,093 Series 339, Class 18, IO, 4.500%, 07/01/18 427,392 Series 339, Class 21, IO, 4.500%, 07/01/18 623,570 Series 339, Class 28, IO, 5.500%, 07/01/18 362,242 Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 28

8,109

Series 365, Class 8, IO, 5.500%, 05/01/36

1,111,014 Series 368, Class 3, IO, 4.500%, 11/01/20 96,091 Series 374, Class 5, IO, 5.500%, 08/01/36 848,726 Series 383, Class 33, IO, 6.000%, 01/01/38 1,183,547 Series 393, Class 6, IO, 5.500%, 04/25/37 43

Federal National Mortgage Association Whole Loan,

355 Series 2002-W5, Class A10, IF, IO, 7.864%, 11/25/30 13,241 Series 2003-W1, Class 1A1, 6.500%, 12/25/42 3,53

753 Series 2003-W1, Class 2A, 7.500%, 12/25/42 853,120 Series 2003-W2, Class 1A1, 6.500%, 07/25/42 3,401,937 Series 2003-W2, Class 2A9, 5.900%, 07/25/42 2,06

675 Series 2003-W4, Class 2A, 6.500%, 10/25/42 737,288 Series 2003-W6, Class 3A, 6.500%, 09/25/42 7,999,416 Series 2004-W1, Class 2A2, 7.000%, 12/25/33 10,48

10,722

Series 2004-W15, Class 2AF, VAR, 0.486%, 08/25/44

10,153,430 Series 2004-W2, Class 2A2, 7.000%, 02/25/44 3,783,051 Series 2004-W8, Class 3A, 7.500%, 06/25/44 3,445,122 Series 2005-W1, Class 1A2, 6.500%, 10/25/44 5,59

58,622 Series 2005-W3, Class 2AF, VAR, 0.456%, 03/25/45 55,634,612 Series 2005-W4, Class 1A1, 6.000%, 08/25/35 4,98

45,017 Series 2006-W2, Class 1AF1, VAR, 0.456%, 02/25/36 43,3478,335 Series 2007-W1, Class 1AF1, VAR, 0.496%, 11/25/46 75,161,412 Series 2007-W10, Class 2A, VAR, 6.145%, 08/25/47 1,506,326 Series 2007-W5, Class PO, PO, 06/25/37 5,426,071 Series 2007-W7, Class 1A4, HB, IF, 37.764%, 07/25/37 10,74

Government National Mortgage Association,

1,924 Series 1994-3, Class PQ, 7.488%, 07/16/24 2,101,970 Series 1994-4, Class KQ, 7.988%, 07/16/24 2,17

7,357 Series 1994-7, Class PQ, 6.500%, 10/16/24 8,11415 Series 1995-3, Class DQ, 8.050%, 06/16/25 48107 Series 1995-7, Class CQ, 7.500%, 09/16/25 11

1,599 Series 1996-16, Class E, 7.500%, 08/16/26 1,691,195 Series 1997-8, Class PN, 7.500%, 05/16/27 1,27

267 Series 1997-11, Class D, 7.500%, 07/20/27 27810 Series 1998-26, Class K, 7.500%, 09/17/25 88

6,220 Series 1999-4, Class ZB, 6.000%, 02/20/29 6,785,635 Series 1999-10, Class ZC, 6.500%, 04/20/29 6,16

174 Series 1999-15, Class E, 6.500%, 01/16/29 17861 Series 1999-30, Class S, IF, IO, 8.361%, 08/16/29 1237 Series 1999-33, Class SM, IF, 9.200%, 09/16/29 4

666 Series 1999-40, Class ZW, 7.500%, 11/20/29 741,256 Series 1999-41, Class Z, 8.000%, 11/16/29 1,38

508 Series 1999-44, Class PC, 7.500%, 12/20/29 58



6,130 Series 1999-44, Class ZC, 8.500%, 12/16/29 6,76939 Series 1999-44, Class ZG, 8.000%, 12/20/29 1,03

1,209 Series 2000-6, Class Z, 7.500%, 02/20/30 1,31485 Series 2000-9, Class Z, 8.000%, 06/20/30 53

6,203 Series 2000-9, Class ZJ, 8.500%, 02/16/30 6,87707 Series 2000-12, Class ST, HB, IF, 38.283%, 02/16/30 1,34

1,756 Series 2000-14, Class PD, 7.000%, 02/16/30 1,93472 Series 2000-16, Class ZN, 7.500%, 02/16/30 52

5,518 Series 2000-21, Class Z, 9.000%, 03/16/30 6,36930 Series 2000-26, Class TZ, 8.500%, 09/20/30 1,00270 Series 2000-26, Class Z, 7.750%, 09/20/30 2951 Series 2000-30, Class ST, IF, 11.050%, 12/16/22 5

779 Series 2000-31, Class Z, 9.000%, 10/20/30 77239 Series 2000-34, Class SG, IF, IO, 8.293%, 10/20/30 4441 Series 2000-35, Class ZA, 9.000%, 11/20/30 5067 Series 2000-36, Class IK, IO, 9.000%, 11/16/30 1

1,523 Series 2000-37, Class B, 8.000%, 12/20/30 1,66275 Series 2000-38, Class AH, 7.150%, 12/20/30 27399 Series 2001-4, Class SJ, IF, IO, 7.913%, 01/19/30 5505 Series 2001-6, Class SD, IF, IO, 8.311%, 03/16/31 10

1,530 Series 2001-7, Class PK, 6.500%, 03/20/31 1,652,190 Series 2001-8, Class Z, 6.500%, 03/20/31 2,403,142 Series 2001-22, Class PS, HB, IF, 20.391%, 03/17/31 4,02

77 Series 2001-32, Class WA, IF, 19.534%, 07/20/31 10580 Series 2001-35, Class SA, IF, IO, 8.011%, 08/16/31 9

469

Series 2001-36, Class S, IF, IO, 7.811%, 08/16/31

74,500 Series 2001-53, Class PB, 6.500%, 11/20/31 5,044,395 Series 2001-64, Class MQ, 6.500%, 12/20/31 4,68

558 Series 2002-3, Class SP, IF, IO, 7.151%, 01/16/32 81,222 Series 2002-7, Class PG, 6.500%, 01/20/32 1,322,512 Series 2002-24, Class AG, IF, IO, 7.711%, 04/16/32 38

234 Series 2002-24, Class SB, IF, 11.567%, 04/16/32 26404 Series 2002-31, Class S, IF, IO, 8.461%, 01/16/31 8

6,104 Series 2002-31, Class SE, IF, IO, 7.261%, 04/16/30 922,916 Series 2002-40, Class UK, 6.500%, 06/20/32 3,19

98 Series 2002-41, Class SV, IF, 9.000%, 06/16/32 1011,749 Series 2002-45, Class QE, 6.500%, 06/20/32 12,883,676 Series 2002-47, Class PG, 6.500%, 07/16/32 4,031,310 Series 2002-47, Class PY, 6.000%, 07/20/32 1,42

5,927

Series 2002-47, Class ZA, 6.500%, 07/20/32

6,49231 Series 2002-51, Class SG, HB, IF, 31.475%, 04/20/31 343,993 Series 2002-52, Class GH, 6.500%, 07/20/32 4,381,750 Series 2002-54, Class GB, 6.500%, 08/20/32 1,924,095 Series 2002-69, Class PO, PO, 02/20/32 3,881,332 Series 2002-70, Class AV, 6.000%, 03/20/12 1,393,772 Series 2002-70, Class PS, IF, IO, 7.463%, 08/20/32 301,411 Series 2002-75, Class PB, 6.000%, 11/20/32 1,551,203 Series 2002-79, Class KV, 6.000%, 11/20/13 1,214,280 Series 2002-88, Class VA, 6.000%, 12/20/17 4,362,185 Series 2003-4, Class NI, IO, 5.500%, 01/20/32 101,695 Series 2003-4, Class NY, 5.500%, 12/20/13 1,811,505 Series 2003-8, Class PO, PO, 01/16/32 1,462,996 Series 2003-11, Class SK, IF, IO, 7.461%, 02/16/33 48

1,338 Series 2003-12, Class SP, IF, IO, 7.463%, 02/20/33 17523 Series 2003-24, Class PO, PO, 03/16/33 47

1,534 Series 2003-34, Class TO, PO, 02/16/32 1,491,960 Series 2003-40, Class TC, 7.500%, 03/20/33 2,123,156 Series 2003-40, Class TJ, 6.500%, 03/20/33 3,521,120 Series 2003-46, Class MG, 6.500%, 05/20/33 1,252,072 Series 2003-46, Class TC, 6.500%, 03/20/33 2,312,019 Series 2003-52, Class AP, PO, 06/16/33 1,783,196 Series 2003-58, Class BE, 6.500%, 01/20/33 3,46

945 Series 2003-60, Class NS, IF, 15.975%, 07/16/33 1,05815 Series 2003-62, Class HC, 5.000%, 01/20/29 82

1,476 Series 2003-66, Class ED, 5.000%, 08/20/28 1,492,908 Series 2003-76, Class LS, IF, IO, 6.963%, 09/20/31 21

361 Series 2003-90, Class PO, PO, 10/20/33 30

4,853 Series 2003-97, Class SA, 6.311%, 11/16/33 56



877 Series 2003-98, Class PC, 5.000%, 02/20/29 894,631 Series 2003-112, Class SA, IF, IO, 6.311%, 12/16/33 43

20,000 Series 2003-112, Class TS, IF, IO, 6.713%, 10/20/32 3,081,000 Series 2003-114, Class SH, IF, 14.268%, 11/17/32 1,16

13,434 Series 2004-11, Class SW, IF, IO, 5.263%, 02/20/34 1,089,073 Series 2004-15, Class SA, IF, 19.012%, 12/20/32 9,901,014 Series 2004-27, Class VJ, 6.000%, 02/20/15 1,061,459 Series 2004-28, Class S, IF, 19.006%, 04/16/34 1,664,182 Series 2004-34, Class JO, PO, 02/20/34 3,925,080 Series 2004-46, Class PO, PO, 06/20/34 4,313,186 Series 2004-68, Class PO, PO, 05/20/31 3,01

15,720 Series 2004-68, Class SA, IF, IO, 6.563%, 05/20/31 992,841 Series 2004-71, Class SB, HB, IF, 28.303%, 09/20/34 3,682,841 Series 2004-71, Class ST, IF, 7.000%, 09/20/34 2,722,238 Series 2004-73, Class AE, IF, 14.365%, 08/17/34 2,51

12,658 Series 2004-73, Class JL, IF, IO, 6.311%, 09/16/34 1,362,260 Series 2004-83, Class AP, IF, 13.740%, 10/16/34 2,591,743 Series 2004-87, Class SB, IF, 7.399%, 03/17/33 1,621,554 Series 2004-89, Class LS, HB, IF, 23.508%, 10/16/34 2,04

32,184 Series 2004-90, Class SI, IF, IO, 5.863%, 10/20/34 3,0513,712 Series 2004-96, Class SC, IF, IO, 5.843%, 11/20/34 1,2215,861 Series 2005-3, Class SB, IF, IO, 5.863%, 01/20/35 1,5222,410 Series 2005-3, Class SK, IF, IO, 6.513%, 01/20/35 2,391,396 Series 2005-6, Class GS, IF, 13.027%, 12/20/32 1,556,735 Series 2005-7, Class JM, IF, 16.198%, 05/18/34 7,92

23,707

Series 2005-17, Class SL, IF, IO, 6.463%, 07/20/34

1,983,123 Series 2005-35, Class FL, VAR, 0.587%, 03/20/32 3,053,094 Series 2005-44, Class SP, IF, 11.727%, 10/20/34 3,332,696 Series 2005-56, Class IC, IO, 5.500%, 07/20/35 33

700 Series 2005-65, Class SA, HB, IF, 21.836%, 08/20/35 73736 Series 2005-66, Class SP, HB, IF, 20.038%, 08/16/35 90

10,079 Series 2005-68, Class DP, IF, 15.861%, 06/17/35 11,8042,581 Series 2005-68, Class KI, IF, IO, 6.063%, 09/20/35 5,056,748 Series 2005-69, Class SY, IF, IO, 6.513%, 11/20/33 902,350 Series 2005-82, Class PO, PO, 10/20/35 1,995,036 Series 2005-91, Class PI, IO, 6.000%, 12/20/35 582,657 Series 2005-93, Class JO, PO, 03/20/31 2,635,072 Series 2006-16, Class OP, PO, 03/20/36 4,634,965 Series 2006-33, Class Z, 6.500%, 07/20/36 5,48

1,623

Series 2006-38, Class SW, IF, IO, 6.263%, 06/20/36

155,185 Series 2006-38, Class ZK, 6.500%, 08/20/36 5,7613,000 Series 2006-40, Class VB, 6.000%, 11/20/26 13,981,780 Series 2006-57, Class PZ, 5.565%, 10/20/36 1,889,642 Series 2006-59, Class SD, IF, IO, 6.463%, 10/20/36 73

21,450 Series 2006-65, Class SA, IF, IO, 6.563%, 11/20/36 2,0716,008 Series 2007-9, Class CI, IF, IO, 5.963%, 03/20/37 1,3926,034 Series 2007-9, Class DI, IF, IO, 6.273%, 03/20/37 1,9024,036 Series 2007-17, Class AF, VAR, 0.439%, 04/16/37 23,4719,993 Series 2007-17, Class JI, IF, IO, 6.571%, 04/16/37 1,797,757 Series 2007-17, Class JO, PO, 04/16/37 6,83

10,484 Series 2007-19, Class SD, IF, IO, 5.963%, 04/20/37 905,382 Series 2007-25, Class FN, VAR, 0.539%, 05/16/37 5,14

26,526 Series 2007-26, Class SC, IF, IO, 5.963%, 05/20/37 2,27

16,886 Series 2007-27, Class SD, IF, IO, 5.963%, 05/20/37 1,441,990 Series 2007-28, Class BO, PO, 05/20/37 1,66

16,015 Series 2007-35, Class PO, PO, 06/16/37 13,672,696 Series 2007-35, Class TO, PO, 04/20/35 2,543,689 Series 2007-36, Class HO, PO, 06/16/37 3,45

15,809 Series 2007-36, Class SE, IF, IO, 6.231%, 06/16/37 1,5720,551 Series 2007-36, Class SJ, IF, IO, 6.013%, 06/20/37 1,9415,923 Series 2007-40, Class SD, IF, IO, 6.513%, 07/20/37 1,5238,702 Series 2007-42, Class SC, IF, IO, 6.513%, 07/20/37 3,6623,657 Series 2007-45, Class QA, IF, IO, 6.403%, 07/20/37 2,236,903 Series 2007-49, Class NO, PO, 12/20/35 6,398,175 Series 2007-50, Class AI, IF, IO, 6.538%, 08/20/37 82

18,024 Series 2007-53, Class ES, IF, IO, 6.313%, 09/20/37 1,505,564 Series 2007-53, Class SW, IF, 19.495%, 09/20/37 6,39

15,289 Series 2007-57, Class PO, PO, 03/20/37 13,29



22,303 Series 2007-57, Class QA, IF, IO, 6.263%, 10/20/37 2,1923,636 Series 2007-67, Class SI, IF, IO, 6.273%, 11/20/37 1,7919,669 Series 2007-71, Class SB, IF, IO, 6.463%, 07/20/36 2,1820,276 Series 2007-72, Class US, IF, IO, 6.313%, 11/20/37 1,7422,364 Series 2007-73, Class MI, IF, IO, 5.763%, 11/20/37 1,9011,266 Series 2007-74, Class SL, IF, IO, 6.301%, 11/16/37 1,0841,715 Series 2007-76, Class SB, IF, IO, 6.263%, 11/20/37 4,0032,583 Series 2007-79, Class SY, IF, IO, 6.313%, 12/20/37 2,7924,257 Series 2007-82, Class SA, IF, IO, 6.293%, 12/20/37 1,852,287 Series 2008-7, Class SK, IF, 19.240%, 11/20/37 2,603,179 Series 2008-7, Class SP, IF, 12.927%, 10/20/37 3,447,378 Series 2008-17, Class IO, IO, 5.500%, 02/20/38 811,145 Series 2008-20, Class EX, VAR, 0.000%, 03/20/38 1,145,537 Series 2008-20, Class PO, PO, 09/20/37 4,613,339 Series 2008-23, Class IO, IO, 6.000%, 02/20/37 34

15,108 Series 2008-25, Class SB, IF, IO, 6.663%, 03/20/38 1,5721,707 Series 2008-32, Class PI, IO, 5.500%, 10/16/37 2,6511,611 Series 2008-33, Class XS, IF, IO, 7.461%, 04/16/38 1,206,000 Series 2008-36, Class AY, 5.000%, 04/16/23 6,43

28,993 Series 2008-36, Class SH, IF, IO, 6.063%, 04/20/38 2,2940,947 Series 2008-40, Class SA, IF, IO, 6.161%, 05/16/38 5,0122,189 Series 2008-41, Class SA, IF, IO, 6.103%, 05/20/38 1,993,221 Series 2008-43, Class NA, 5.500%, 11/20/37 3,443,500 Series 2008-50, Class KB, 6.000%, 06/20/38 3,848,322 Series 2008-55, Class SA, IF, IO, 5.963%, 06/20/38 70

32,289

Series 2008-60, Class CS, IF, IO, 5.913%, 07/20/38

3,156,381 Series 2008-60, Class PO, PO, 01/20/38 5,5012,741 Series 2008-71, Class SC, IF, IO, 5.763%, 08/20/38 1,0010,399 Series 2008-79, Class CS, IF, 6.563%, 06/20/35 9,2931,047 Series 2008-93, Class AS, IF, IO, 5.463%, 12/20/38 2,3718,623 Series 2008-96, Class SL, IF, IO, 5.763%, 12/20/38 1,5426,377 Series 2009-6, Class SA, IF, IO, 5.861%, 02/16/39 2,2419,456 Series 2009-6, Class SH, IF, IO, 5.803%, 02/20/39 1,639,506 Series 2009-10, Class SL, IF, IO, 6.261%, 03/16/34 63

21,932 Series 2009-11, Class SC, IF, IO, 5.911%, 02/16/39 2,088,857 Series 2009-14, Class KI, IO, 6.500%, 03/20/39 1,09

17,680 Series 2009-14, Class NI, IO, 6.500%, 03/20/39 2,0453,979 Series 2009-22, Class SA, IF, IO, 6.033%, 04/20/39 4,8725,289 Series 2009-24, Class DS, IF, IO, 6.063%, 03/20/39 2,52

14,936

Series 2009-25, Class SE, IF, IO, 7.363%, 09/20/38

1,7430,266 Series 2009-31, Class ST, IF, IO, 6.113%, 03/20/39 2,8236,431 Series 2009-31, Class TS, IF, IO, 6.063%, 03/20/39 3,157,661 Series 2009-33, Class CI, IO, 5.500%, 05/20/39 1,009,107 Series 2009-33, Class TI, IO, 6.000%, 05/20/39 1,34

21,891 Series 2009-35, Class SN, IF, IO, 6.161%, 12/16/38 2,3146,664 Series 2009-42, Class SC, IF, IO, 5.843%, 06/20/39 4,5531,339 Series 2009-43, Class SA, IF, IO, 5.713%, 06/20/39 2,3512,347 Series 2009-44, Class MV, 6.000%, 04/20/20 13,6391,023 Series 2009-61, Class ES, IF, IO, 6.513%, 03/20/39 11,0511,223 Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 1,463,070 Series 2009-75, Class MN, 5.500%, 09/20/39 3,25

Vendee Mortgage Trust, 15,420 Series 1993-1, Class ZB, 7.250%, 02/15/23 17,07

2,861 Series 1994-1, Class 1, VAR, 5.627%, 02/15/24 3,0410,557 Series 1994-1, Class 2ZB, 6.500%, 02/15/24 11,044,161 Series 1996-1, Class 1Z, 6.750%, 02/15/26 4,491,902 Series 1996-2, Class 1Z, 6.750%, 06/15/26 2,055,790 Series 1997-1, Class 2Z, 7.500%, 02/15/27 6,453,928 Series 1998-1, Class 2E, 7.000%, 03/15/28 4,30

3,404,33

Non-Agency CMO — 12.9% 1,138 ABN Amro Mortgage Corp., Series 2003-9, Class A2, 4.500%, 08/25/18 1,129,186 American General Mortgage Loan Trust, Series 2006-1, Class A2, VAR, 5.750%, 12/25/35 (e) 9,108,500 American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 4.848%,

09/25/35 3,85ASG Resecuritization Trust,

11,465 Series 2009-1, Class A60, VAR, 5.619%, 06/26/37 (e) 11,46



35,116 Series 2009-2, Class A55, VAR, 5.806%, 05/24/36 (e) 35,1160,418 Series 2009-3, Class A65, VAR, 5.595%, 03/26/37 (e) 59,5133,017 Series 2009-4, Class A60, 6.000%, 06/28/37 (e) 32,68

Banc of America Alternative Loan Trust,

497 Series 2003-1, Class APO, PO, 02/25/33 265,747 Series 2003-7, Class 1CB1, 5.500%, 09/25/33 5,82

12,210 Series 2003-9, Class 1CB2, 5.500%, 11/25/33 12,3710,671 Series 2003-11, Class 1A1, 6.000%, 01/25/34 10,379,089 Series 2003-11, Class 2A1, 6.000%, 01/25/34 8,831,195 Series 2003-11, Class PO, PO, 01/25/34 673,687 Series 2004-1, Class 5A1, 5.500%, 02/25/19 3,57

688 Series 2004-6, Class 15PO, PO, 07/25/19 495,303 Series 2004-8, Class 3A1, 5.500%, 09/25/19 5,301,433 Series 2005-5, Class 1CB1, 5.500%, 06/25/35 995,126 Series 2005-9, Class CBIO, IO, 5.500%, 10/25/35 (f) 51

Banc of America Funding Corp., 2,498 Series 2003-3, Class 1A33, 5.500%, 10/25/33 2,471,736 Series 2004-1, Class PO, PO, 03/25/34 1,242,463 Series 2004-2, Class 1CB1, 5.750%, 09/20/34 2,27

17,209 Series 2004-3, Class 1A7, 5.500%, 10/25/34 17,072,787 Series 2005-6, Class 2A7, 5.500%, 10/25/35 2,072,858 Series 2005-7, Class 30PO, PO, 11/25/35 2,041,222 Series 2005-8, Class 30PO, PO, 01/25/36 724,613 Series 2005-E, Class 4A1, VAR, 3.327%, 03/20/35 3,173,015 Series 2006-1, Class XPO, PO, 01/25/36 1,71

Banc of America Mortgage Securities, Inc.,

8,124 Series 2003-3, Class 2A1, VAR, 0.786%, 05/25/18 7,711,380 Series 2003-5, Class 3A1, 7.500%, 02/25/31 1,41

464 Series 2003-7, Class A2, 4.750%, 09/25/18 4710,662 Series 2003-8, Class 3A3, 5.500%, 11/25/33 10,331,134 Series 2003-8, Class APO, PO, 11/25/33 85

629 Series 2004-1, Class APO, PO, 02/25/34 4510,407 Series 2004-3, Class 15IO, IO, VAR, 0.220%, 04/25/19 43,003 Series 2004-3, Class 1A23, 4.500%, 04/25/34 3,00

466 Series 2004-4, Class APO, PO, 05/25/34 353,516 Series 2004-5, Class 2A2, 5.500%, 06/25/34 2,533,870 Series 2004-5, Class 4A1, 4.750%, 06/25/19 3,891,450 Series 2004-6, Class 2A7, 5.500%, 07/25/34 1,282,589 Series 2004-6, Class APO, PO, 07/25/34 1,88

226

Series 2004-8, Class 5PO, PO, 05/25/32

14993 Series 2004-8, Class XPO, PO, 10/25/34 683,407 Series 2004-9, Class 3A1, 6.500%, 09/25/32 3,36

409 Series 2004-9, Class 3PO, PO, 09/25/32 262,409 Series 2004-E, Class 2A5, VAR, 4.158%, 06/25/34 2,383,937 Series 2004-J, Class 3A1, VAR, 5.092%, 11/25/34 3,319,756 Series 2005-1, Class 2A1, 5.000%, 02/25/20 9,60

BCAP LLC Trust, 29,912 Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) 29,6110,700 Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) 10,7018,010 Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) 17,46

Bear Stearns Adjustable Rate Mortgage Trust,

5,253 Series 2003-2, Class A5, VAR, 3.530%, 01/25/33 (e) 4,78948 Series 2003-7, Class 3A, VAR, 4.948%, 10/25/33 (i) 87

15,575 Series 2006-1, Class A1, VAR, 4.625%, 02/25/36 13,00Cendant Mortgage Corp.,

2,143 Series 2003-8, Class 1P, PO, 10/25/33 1,38715 Series 2004-1, Class P, PO, 02/25/34 49

Chase Mortgage Finance Corp., 8,330 Series 2003-S10, Class A1, 4.750%, 11/25/18 8,511,477 Series 2003-S6, Class A1, 5.000%, 06/25/18 1,514,494 Series 2003-S9, Class AP, PO, 10/25/18 3,635,927 Series 2007-A1, Class 2A1, VAR, 4.129%, 02/25/37 5,453,410 Series 2007-A2, Class 1A1, VAR, 4.053%, 07/25/37 3,10

Citicorp Mortgage Securities, Inc., 331 Series 1993-14, Class A3, VAR, 1.450%, 11/25/23 32

6,842 Series 2004-1, Class 3A1, 4.750%, 01/25/34 6,852,960 Series 2004-2, Class A1, 5.000%, 03/25/34 2,90

5,442 Series 2004-2, Class A2, VAR, 0.694%, 03/25/34 5,24



2,185 Series 2004-3, Class A8, 5.250%, 05/25/34 2,182,113 Series 2004-5, Class 2A5, 4.500%, 08/25/34 2,102,834 Series 2004-8, Class 1A1, 5.500%, 10/25/34 2,825,000 Series 2006-4, Class 1A2, 6.000%, 08/25/36 3,71

Citigroup Mortgage Loan Trust, Inc.,

8,359 Series 2003-1, Class 2A5, 5.250%, 10/25/33 8,47604 Series 2003-1, Class 2A6, PO, 10/25/33 31937 Series 2003-1, Class PO2, PO, 10/25/33 62849 Series 2003-1, Class PO3, PO, 09/25/33 56125 Series 2003-1, Class WPO1, PO, 06/25/16 11

1,055 Series 2003-UP3, Class A3, 7.000%, 09/25/33 1,044,575 Series 2003-UST1, Class A1, 5.500%, 12/25/18 4,681,288 Series 2003-UST1, Class PO1, PO, 12/25/18 1,00

654 Series 2003-UST1, Class PO3, PO, 12/25/18 535,201 Series 2004-UST1, Class A6, VAR, 5.073%, 08/25/34 5,09

783 Series 2005-1, Class 2A1A, VAR, 4.504%, 04/25/35 412,137 Series 2005-5, Class 1A2, VAR, 5.208%, 08/25/35 1,274,978 Series 2009-5, Class 8A1, 6.000%, 06/25/36 (e) 4,57

16,000 Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) 16,00Countrywide Alternative Loan Trust,

3,565 Series 2002-8, Class A4, 6.500%, 07/25/32 3,38680 Series 2002-12, Class PO, PO, 11/25/32 37218 Series 2002-17, Class A7, 2.500%, 01/25/33 20

4,519 Series 2002-18, Class M, 6.000%, 02/25/33 4,00901 Series 2003-6T2, Class A6, 5.500%, 06/25/33 69

9,922

Series 2004-2CB, Class 1A9, 5.750%, 03/25/34

5,862,630 Series 2004-14T2, Class A5, 5.500%, 08/25/34 1,8510,000 Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 7,671,896 Series 2005-5R, Class A1, 5.250%, 12/25/18 1,72

13,260 Series 2005-1CB, Class 1A6, IF, IO, 6.864%, 03/25/35 1,6621,469 Series 2005-20CB, Class 3A8, IF, IO, 4.514%, 07/25/35 1,5729,600 Series 2005-22T1, Class A2, IF, IO, 4.834%, 06/25/35 2,30

894 Series 2005-26CB, Class A10, IF, 12.622%, 07/25/35 898,000 Series 2005-28CB, Class 1A4, 5.500%, 08/25/35 5,86

367 Series 2005-28CB, Class 1A5, 5.500%, 08/25/35 35444 Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 39

86,987 Series 2005-37T1, Class A2, IF, IO, 4.814%, 09/25/35 7,329,300 Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 6,78

41,307 Series 2005-54CB, Class 1A2, IF, IO, 4.614%, 11/25/35 3,72

712

Series 2005-54CB, Class 1A7, 5.500%, 11/25/35

633,190 Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 1,7121,586 Series 2005-J1, Class 1A4, IF, IO, 4.864%, 02/25/35 1,828,000 Series 2007-21CB, Class 1A5, 6.000%, 09/25/37 1,981,500 Series 2007-21CB, Class 2A6, 6.000%, 09/25/37 31

Countrywide Home Loan Mortgage Pass-Through Trust,

737 Series 2002-18, Class PO, PO, 11/25/32 563,858 Series 2002-22, Class A20, 6.250%, 10/25/32 4,006,911 Series 2003-26, Class 1A6, 3.500%, 08/25/33 5,812,782 Series 2003-29, Class A1, 5.500%, 08/25/33 2,41

873 Series 2003-34, Class A11, 5.250%, 09/25/33 855,800 Series 2003-34, Class A6, 5.250%, 09/25/33 5,851,120 Series 2003-44, Class A9, PO, 10/25/33 71

427 Series 2003-J13, Class PO, PO, 01/25/34 31

181 Series 2003-J2, Class A17, IF, IO, 7.164%, 04/25/33 3,925 Series 2003-J7, Class 4A3, IF, 9.468%, 08/25/18 3,07

462 Series 2004-7, Class 2A1, VAR, 3.424%, 06/25/34 4314,635 Series 2004-8, Class 2A1, 4.500%, 06/25/19 14,59

894 Series 2004-HYB1, Class 2A, VAR, 4.348%, 05/20/34 713,421 Series 2004-HYB3, Class 2A, VAR, 3.651%, 06/20/34 2,272,254 Series 2004-HYB6, Class A3, VAR, 3.628%, 11/20/34 1,732,287 Series 2004-J6, Class 2A1, 4.750%, 07/25/14 2,311,457 Series 2004-J8, Class 1A2, 4.750%, 11/25/19 1,471,332 Series 2005-14, Class A2, 5.500%, 07/25/35 1,24

442 Series 2005-16, Class A21, 5.500%, 09/25/35 431,000 Series 2005-16, Class A23, 5.500%, 09/25/35 827,935 Series 2005-22, Class 2A1, VAR, 5.209%, 11/25/35 5,14

392 Series 2005-R1, Class 2A, PO, 03/25/35 (e) 26

19,896 Credit Suisse Mortgage Capital Certificates, Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) 19,83



CS First Boston Mortgage Securities Corp.,

103 Series 1997-2, Class A, 7.500%, 06/25/20 (e) 92,477 Series 2003-1, Class DB1, 6.564%, 02/25/33 2,035,783 Series 2003-23, Class 1P, PO, 10/25/33 3,984,874 Series 2003-23, Class 2A5, 5.000%, 10/25/18 4,745,650 Series 2003-23, Class 3A10, 5.750%, 09/25/33 5,641,268 Series 2003-25, Class 2A1, 4.500%, 10/25/18 1,252,778 Series 2004-4, Class 3A5, 5.500%, 08/25/34 2,76

470 Series 2004-5, Class 5P, PO, 08/25/19 371,848 Series 2005-4, Class 3A24, IF, 18.189%, 06/25/35 1,821,344 Series 2005-9, Class AP, PO, 10/25/35 729,358 Series 2005-9, Class DX, IO, 5.500%, 10/25/35 1,17

781 Series 2005-10, Class AP, PO, 11/25/35 554,968 Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 1A1, VAR,

5.283%, 06/25/20 4,42Deutsche Mortgage Securities, Inc.,

422 Series 2004-1, Class 2APO, PO, 10/25/18 3019,140 Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) 18,54

First Boston Mortgage Securities Corp. 1987 STRIPS,

94 Series C, Class IO, IO, 10.965%, 04/25/17 152 Series C, Class PO, PO, 04/25/17 4

First Horizon Alternative Mortgage Securities,

3,142 Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 2,1027,014 Series 2007-FA4, Class 1A2, IF, IO, 5.414%, 08/25/37 2,18

First Horizon Asset Securities, Inc.,

612

Series 2003-7, Class 2A1, 4.500%, 09/25/18

615,612 Series 2003-8, Class 2A1, 4.500%, 09/25/18 5,652,946 Series 2003-9, Class 1A6, 5.500%, 11/25/33 2,442,944 Series 2004-AR2, Class 2A1, VAR, 3.024%, 05/25/34 2,804,336 Series 2004-AR7, Class 2A1, VAR, 4.835%, 02/25/35 3,98

798 Series 2004-AR7, Class 2A2, VAR, 4.835%, 02/25/35 648,329 Series 2005-AR1, Class 2A2, VAR, 5.008%, 04/25/35 7,46

GMAC Mortgage Corp. Loan Trust,

21,306 Series 2003-AR1, Class A4, VAR, 4.133%, 10/19/33 20,022,301 Series 2003-J7, Class A10, 5.500%, 11/25/33 2,371,400 Series 2003-J7, Class A2, 4.500%, 11/25/33 1,402,871 Series 2003-J7, Class A3, VAR, 0.686%, 11/25/33 2,81

12,192 Series 2003-J7, Class A7, 5.000%, 11/25/33 11,061,355 Series 2003-J8, Class A, 5.250%, 12/25/33 1,37

377

Series 2004-J1, Class A15, 5.250%, 04/25/34

385,246 Series 2004-J5, Class A2, VAR, 0.636%, 01/25/35 5,172,691 Series 2005-AR3, Class 3A3, VAR, 4.842%, 06/19/35 2,405,000 Series 2005-AR3, Class 3A4, VAR, 4.842%, 06/19/35 3,51

GSMPS Mortgage Loan Trust, 1,590 Series 2004-4, Class 1AF, VAR, 0.636%, 06/25/34 (e) 1,252,963 Series 2005-RP2, Class 1AF, VAR, 0.586%, 03/25/35 (e) 2,39

GSR Mortgage Loan Trust, 1,485 Series 2003-3F, Class 4A3, 5.750%, 04/25/33 1,371,406 Series 2003-6F, Class A2, VAR, 0.636%, 09/25/32 1,326,619 Series 2004-9, Class 5A5, VAR, 3.888%, 08/25/34 6,414,128 Series 2004-6F, Class 3A4, 6.500%, 05/25/34 3,811,506 Series 2004-10F, Class 1A1, 4.500%, 08/25/19 1,511,080 Series 2004-10F, Class 2A1, 5.000%, 08/25/19 1,05

904 Series 2004-13F, Class 3A3, 6.000%, 11/25/34 56268 Series 2004-15F, Class AP, PO, 12/25/34 18

8,519 Series 2005-7F, Class 3A9, 6.000%, 09/25/35 5,60699 Series 2005-AR6, Class 3A1, VAR, 4.558%, 09/25/35 60

4,000 Series 2006-1F, Class 1A3, 5.500%, 02/25/36 2,6710,517 Series 2006-1F, Class 2A4, 6.000%, 02/25/36 4,041,653 Series 2006-2F, Class 2A15, 5.750%, 02/25/36 1,48

13,000 Series 2007-1F, Class 2A4, 5.500%, 01/25/37 10,24Impac Secured Assets CMN Owner Trust,

3,159 Series 2003-2, Class A1, 5.500%, 08/25/33 3,20154 Series 2004-3, Class 1A4, VAR, 1.036%, 11/25/34 13

16,641 Series 2006-2, Class 2A1, VAR, 0.586%, 08/25/36 13,0238,843 Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.504%,

08/25/35 38

JP Morgan Mortgage Trust,



69,881 Series 2006-A2, Class 4A1, VAR, 4.055%, 08/25/34 62,124,029 Series 2006-A2, Class 5A3, VAR, 3.445%, 11/25/33 4,009,807 Series 2006-A3, Class 6A1, VAR, 3.999%, 08/25/34 8,405,692 Series 2007-A1, Class 5A1, VAR, 4.167%, 07/25/35 5,12

Lehman Mortgage Trust, 3,901 Series 2006-2, Class 1A1, VAR, 6.462%, 04/25/36 3,432,500 Series 2007-6, Class 1A8, 6.000%, 07/25/37 1,38

10,000 Series 2008-2, Class 1A6, 6.000%, 03/25/38 7,12MASTR Adjustable Rate Mortgages Trust,

2,605 Series 2004-3, Class 4A2, VAR, 3.116%, 04/25/34 2,285,073 Series 2004-13, Class 2A1, VAR, 3.083%, 04/21/34 4,72

26,118 Series 2004-13, Class 3A6, VAR, 3.096%, 11/21/34 25,55804 Series 2004-15, Class 3A1, VAR, 3.939%, 12/25/34 58

MASTR Alternative Loans Trust, 6,731 Series 2003-9, Class 2A1, 6.000%, 12/25/33 6,601,266 Series 2003-9, Class 8A1, 6.000%, 01/25/34 1,122,596 Series 2004-3, Class 2A1, 6.250%, 04/25/34 2,417,520 Series 2004-3, Class 3A1, 6.000%, 04/25/34 7,451,459 Series 2004-6, Class 30PO, PO, 07/25/34 78

792 Series 2004-6, Class 7A1, 6.000%, 07/25/34 691,322 Series 2004-7, Class 30PO, PO, 08/25/34 754,134 Series 2004-8, Class 6A1, 5.500%, 09/25/19 4,011,886 Series 2004-10, Class 1A1, 4.500%, 09/25/19 1,785,793 Series 2005-6, Class 3A1, 5.500%, 11/25/20 4,75

MASTR Asset Securitization Trust,

233

Series 2003-1, Class 2A12, 5.000%, 06/25/30

231,024 Series 2003-2, Class 2A1, 4.500%, 03/25/18 972,000 Series 2003-2, Class 2A10, 4.500%, 03/25/18 1,91

260 Series 2003-4, Class 2A2, 5.000%, 05/25/18 26868 Series 2003-8, Class 1A1, 5.500%, 09/25/33 89

1,875 Series 2003-9, Class 15PO, PO, 10/25/18 1,501,294 Series 2003-9, Class 2A7, 5.500%, 10/25/33 1,321,165 Series 2003-11, Class 3A1, 4.500%, 12/25/18 1,17

86 Series 2003-11, Class 6A2, 4.000%, 12/25/33 8923 Series 2003-12, Class 30PO, PO, 12/25/33 62

2,730 Series 2003-12, Class 6A1, 5.000%, 12/25/33 2,75626 Series 2004-1, Class 30PO, PO, 02/25/34 42599 Series 2004-4, Class 3A1, 4.500%, 04/25/19 57

1,020 Series 2004-6, Class 15PO, PO, 05/25/19 80

5,572

Series 2004-8, Class 1A1, 4.750%, 08/25/19

5,64904 Series 2004-8, Class PO, PO, 08/25/19 712,390 Series 2004-9, Class 5A1, 5.250%, 09/25/19 2,291,532 Series 2004-10, Class 5A1, VAR, 0.636%, 11/25/34 1,442,300 Series 2006-2, Class 1A30, 6.000%, 06/25/36 1,35

MASTR Reperforming Loan Trust,

24,411 Series 2005-2, Class 1A1F, VAR, 0.586%, 05/25/35 (e) 19,382,748 Series 2006-2, Class 1A1, VAR, 5.820%, 05/25/36 (e) 2,458,894 MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) 5,78

577 Medallion Trust, (Australia), Series 2004-1G, Class A1, VAR, 0.392%, 05/25/35 543,374 Mellon Residential Funding Corp., Series 2000-TBC3, Class A1, VAR, 0.679%, 12/15/30 3,03

Merrill Lynch Mortgage Investors, Inc.,

10,252 Series 2005-A2, Class A1, VAR, 4.475%, 02/25/35 8,75116 Series 2005-A8, Class A1B1, VAR, 5.250%, 08/25/36 11

175 Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 193,991 Morgan Stanley Mortgage Loan Trust, Series 2004-9, Class 4A, VAR, 5.516%, 11/25/19 3,87

– (h) Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 15,218.660%, 04/20/21 42,884 MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.556%, 02/25/35 1,94

Nomura Asset Acceptance Corp., 1,892 Series 2003-A1, Class A1, 5.500%, 05/25/33 1,91

941 Series 2003-A1, Class A2, 6.000%, 05/25/33 91154 Series 2003-A1, Class A5, 7.000%, 04/25/33 13111 Series 2003-A1, Class A7, 5.000%, 04/25/18 11

1,761 Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) 1,65Paine Webber CMO Trust,

11 Series H, Class 4, 8.750%, 04/01/18 141 Series P, Class 4, 8.500%, 08/01/19 4

1,160 Prime Mortgage Trust, Series 2004-R1, Class A4, PO, 07/27/33 79

RBSSP Resecuritization Trust,



9,876 Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e) 9,539,578 Series 2009-11, Class 1A1, 5.528%, 06/26/34 (e) 9,56

11,935 Series 2009-12, Class 14A1, VAR, 5.500%, 03/26/38 11,7523,310 Series 2009-12, Class 1A1, VAR, 5.700%, 11/26/33 23,0412,000 Series 2009-12, Class 3A1, 0.476%, 12/26/35 11,28

Residential Accredit Loans, Inc., 2,896 Series 2001-QS19, Class A2, 6.000%, 12/25/16 2,911,301 Series 2002-QS16, Class A3, IF, 16.129%, 10/25/17 1,374,772 Series 2002-QS8, Class A5, 6.250%, 06/25/17 4,842,822 Series 2003-QR19, Class CB4, 5.750%, 10/25/33 1,971,845 Series 2003-QR24, Class A5, 4.000%, 07/25/33 1,523,462 Series 2003-QS12, Class A2A, IF, IO, 7.364%, 06/25/18 501,054 Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 108,392 Series 2003-QS14, Class A1, 5.000%, 07/25/18 8,242,510 Series 2003-QS18, Class A1, 5.000%, 09/25/18 2,49

16,441 Series 2003-QS19, Class A1, 5.750%, 10/25/33 15,772,290 Series 2003-QS3, Class A2, IF, 15.981%, 02/25/18 2,392,573 Series 2003-QS3, Class A8, IF, IO, 7.364%, 02/25/18 326,748 Series 2003-QS9, Class A3, IF, IO, 7.314%, 05/25/18 97

10,265 Series 2004-QS7, Class A4, 5.500%, 05/25/34 7,281,895 Series 2004-QS8, Class A2, 5.000%, 06/25/34 1,713,000 Series 2005-QA6, Class A32, VAR, 5.643%, 05/25/35 1,831,754 Series 2005-QA7, Class A21, VAR, 4.822%, 07/25/35 1,10

766 Series 2006-QS4, Class A7, IF, 19.961%, 04/25/36 64739 Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 45

Residential Asset Securitization Trust,

1,946 Series 2003-A13, Class A3, 5.500%, 01/25/34 1,55310 Series 2003-A14, Class A1, 4.750%, 02/25/19 30

6,101 Series 2003-A8, Class A5, 4.250%, 10/25/18 5,61989 Series 2005-A11, Class PO, PO, 10/25/35 57

25,662 Series 2005-A2, Class A4, IF, IO, 4.814%, 03/25/35 2,553,567 Series 2006-A4, Class 2A5, 6.000%, 05/25/36 2,01

Residential Funding Mortgage Securities I,

1,193 Series 2003-S12, Class 4A5, 4.500%, 12/25/32 1,191,680 Series 2003-S13, Class A3, 5.500%, 06/25/33 1,521,136 Series 2003-S14, Class A4, PO, 07/25/18 983,349 Series 2003-S16, Class A3, 5.000%, 09/25/18 3,385,166 Series 2003-S7, Class A17, 4.000%, 05/25/33 4,82

539 Series 2004-S6, Class 2A6, PO, 06/25/34 40

2,464

Series 2005-SA4, Class 1A1, VAR, 3.770%, 09/25/35

1,75232 Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33 16494 Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP2, Class PO1, PO, 12/25/18 37

60,000 SPST, Series 2009-1, Class A, 0.000%, 06/25/36 59,974,200 Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.956%,

06/25/34 3,54Structured Asset Securities Corp.,

1,620 Series 2002-17, Class B1, VAR, 6.108%, 09/25/32 1,45147 Series 2002-10H, Class 1AP, PO, 05/25/32 10

2,235 Series 2003-8, Class 1A2, 5.000%, 04/25/18 2,1110,427 Series 2003-16, Class A3, VAR, 0.736%, 06/25/33 9,411,693 Series 2003-21, Class 1A3, 5.500%, 07/25/33 1,689,670 Series 2003-29, Class 1A1, 4.750%, 09/25/18 9,881,735 Series 2003-30, Class 1A1, 5.500%, 10/25/33 1,58

5,338 Series 2003-30, Class 3A2, VAR, 0.736%, 10/25/33 4,931,484 Series 2003-31A, Class B1, VAR, 3.450%, 10/25/33 (i) 75

11,163 Series 2003-33H, Class 1A1, 5.500%, 10/25/33 10,928,206 Series 2004-20, Class 1A3, 5.250%, 11/25/34 8,05

11,000 Series 2004-5H, Class A4, 5.540%, 12/25/33 10,515,226 Series 2005-6, Class 4A1, 5.000%, 05/25/35 5,116,942 Series 2005-6, Class 5A8, IF, 13.428%, 05/25/35 6,062,302 Series 2005-RF3, Class 1A, VAR, 0.586%, 06/25/35 (e) 1,723,603 Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.556%, 09/25/43 3,07

WaMu Mortgage Pass-Through Certificates,

5,453 Series 2003-AR9, Class 2A, VAR, 2.882%, 09/25/33 5,311,756 Series 2003-S10, Class A2, 5.000%, 10/25/18 1,791,118 Series 2003-S10, Class A6, PO, 10/25/18 92

11,896 Series 2003-S11, Class 2A5, IF, 16.401%, 11/25/33 11,72

4,166 Series 2003-S13, Class 23A1, VAR, 0.786%, 12/25/18 3,92



2,405 Series 2003-S4, Class 2A10, VAR, 16.814%, 06/25/33 2,177,837 Series 2003-S8, Class A4, 4.500%, 09/25/18 7,661,946 Series 2003-S8, Class A5, 4.500%, 09/25/18 1,662,050 Series 2003-S8, Class A6, 4.500%, 09/25/18 2,04

19,254 Series 2003-S9, Class A8, 5.250%, 10/25/33 17,471,005 Series 2003-S9, Class P, PO, 10/25/33 68

40,566 Series 2004-AR14, Class A1, VAR, 4.190%, 01/25/35 37,587,596 Series 2004-AR3, Class A1, VAR, 3.136%, 06/25/34 7,053,038 Series 2004-AR3, Class A2, VAR, 3.136%, 06/25/34 2,824,272 Series 2004-CB2, Class 7A, 5.500%, 08/25/19 4,271,321 Series 2004-RS2, Class A4, 5.000%, 11/25/33 933,560 Series 2004-S1, Class 1A3, VAR, 0.636%, 03/25/34 3,45

646 Series 2004-S3, Class 2A3, IF, 18.189%, 07/25/34 67761 Series 2006-AR10, Class 2P, VAR, 0.000%, 09/25/36 33

2,000 Series 2006-AR8, Class 1A2, VAR, 5.838%, 08/25/46 1,45Washington Mutual Alternative Mortgage Pass-Through Certificates,

7,774 Series 2005-1, Class 1A1, 5.500%, 03/25/35 6,60535 Series 2005-1, Class CP, PO, 03/25/35 29

30,168 Series 2005-2, Class 1A4, IF, IO, 4.814%, 04/25/35 2,598,341 Series 2005-2, Class 2A3, IF, IO, 4.764%, 04/25/35 678,000 Series 2005-4, Class CB7, 5.500%, 06/25/35 5,709,696 Series 2005-4, Class CX, IO, 5.500%, 06/25/35 1,242,550 Series 2005-6, Class 2A4, 5.500%, 08/25/35 2,071,176 Series 2006-1, Class 3A2, 5.750%, 02/25/36 97

Washington Mutual MSC Mortgage Pass-Through Certificates,

262

Series 2002-MS12, Class A, 6.500%, 05/25/32

252,066 Series 2003-MS5, Class 1A4, VAR, 0.736%, 03/25/18 1,98211 Series 2003-MS7, Class P, PO, 03/25/33 14

Wells Fargo Alternative Loan Trust,

572 Series 2003-1, Class APO, PO, 09/25/33 341,434 Series 2007-PA3, Class 1A2, 5.750%, 07/25/37 68

Wells Fargo Mortgage Backed Securities Trust,

1,241 Series 2003-8, Class A9, 4.500%, 08/25/18 1,253,360 Series 2003-11, Class 1A4, 4.750%, 10/25/18 3,181,438 Series 2003-11, Class 1APO, PO, 10/25/18 1,153,784 Series 2003-13, Class A7, 4.500%, 11/25/18 3,81

23,651 Series 2003-15, Class 1A1, 4.750%, 12/25/18 24,17530 Series 2003-15, Class APO, PO, 12/25/18 42

1,528 Series 2003-16, Class 2A1, 4.500%, 12/25/18 1,55

2,618

Series 2003-J, Class 2A5, 4.436%, 10/25/33

2,5329,277 Series 2003-K, Class 1A1, VAR, 4.473%, 11/25/33 28,751,122 Series 2003-K, Class 1A2, VAR, 4.473%, 11/25/33 1,102,086 Series 2004-7, Class 2A1, 4.500%, 07/25/19 2,112,447 Series 2004-7, Class 2A2, 5.000%, 07/25/19 2,472,864 Series 2004-8, Class APO, PO, 08/25/19 2,218,811 Series 2004-B, Class A1, VAR, 4.885%, 02/25/34 8,375,353 Series 2004-BB, Class A4, VAR, 4.069%, 01/25/35 5,255,250 Series 2004-E, Class A8, VAR, 4.854%, 05/25/34 5,12

11,410 Series 2004-EE, Class 2A1, VAR, 3.122%, 12/25/34 10,887,762 Series 2004-EE, Class 2A2, VAR, 3.122%, 12/25/34 7,44

12,502 Series 2004-EE, Class 3A1, VAR, 3.995%, 12/25/34 12,414,081 Series 2004-EE, Class 3A2, VAR, 3.995%, 12/25/34 3,99

12,829 Series 2004-I, Class 1A1, VAR, 3.689%, 07/25/34 12,97

12,588 Series 2004-P, Class 2A1, VAR, 3.066%, 09/25/34 11,507,969 Series 2004-V, Class 1A1, VAR, 3.301%, 10/25/34 7,84

10,021 Series 2004-V, Class 1A2, VAR, 3.301%, 10/25/34 9,901,496 Series 2005-14, Class 2APO, PO, 12/25/35 1,046,629 Series 2005-AR8, Class 2A1, VAR, 3.530%, 06/25/35 6,02

731 Series 2006-5, Class 1A1, 5.250%, 04/25/36 721,550 Series 2007-7, Class A7, 6.000%, 06/25/37 99

11,000 Series 2007-9, Class 1A8, 5.500%, 07/25/37 10,1610,355 Series 2007-11, Class A14, 6.000%, 08/25/37 8,10

1,643,34

Total Collateralized Mortgage Obligations(Cost $4,861,382) 5,047,67

Commercial Mortgage-Backed Securities — 1.4%

Banc of America Commercial Mortgage, Inc.,



1,950 Series 2005-3, Class AM, 4.727%, 07/10/43 1,679,700 Series 2005-6, Class ASB, VAR, 5.351%, 09/10/47 10,062,855 Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 2,779,500 Banc of America Large Loan, Inc., Series 2009-UB1, Class A4A, VAR, 5.699%, 06/24/50 (e) 8,59

Bear Stearns Commercial Mortgage Securities,

4,150 Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 4,256,060 Series 2006-PW11, Class A4, VAR, 5.622%, 03/11/39 5,831,852 Series 2006-PW14, Class A1, 5.044%, 12/11/38 1,902,700 Series 2006-T24, Class A4, 5.537%, 10/12/41 2,682,788 Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.913%, 03/15/49 2,866,300 Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A4, VAR, 4.982%,

05/10/43 6,3325,000 Credit Suisse Mortage Capital Certificate, Series 2009-ASG, Class A, VAR, 1.485%, 11/28/39 25,0011,000 First Union National Bank Commercial Mortgage, Series 2000-C2, Class B, VAR, 7.281%,

10/15/32 11,381,314 GE Capital Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 97

GMAC Commercial Mortgage Securities, Inc.,

693 Series 2003-C1, Class A1, 3.337%, 05/10/36 7014,000 Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 13,437,300 GS Mortgage Securities Corp. II, Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 6,581,600 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP8, Class A4,

5.399%, 05/15/45 1,48LB-UBS Commercial Mortgage Trust,

5,000 Series 2006-C1, Class A4, 5.156%, 02/15/31 4,883,950 Series 2008-C1, Class A2, VAR, 6.318%, 04/15/41 3,93

Merrill Lynch Mortgage Trust, 2,500 Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 2,486,950 Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 7,124,950 Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, VAR,

5.598%, 02/12/39 4,71Morgan Stanley Capital I,

1,859 Series 2006-IQ12, Class A1, 5.257%, 12/15/43 1,911,081 Series 2006-T23, Class A1, 5.682%, 08/12/41 1,10

25 Morgan Stanley Dean Witter Capital I, Series 2002-TOP7, Class A2, 5.980%, 01/15/39 227,950 TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.073%,

08/15/39 29,709,943 Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.039%, 10/15/41 9,92

Total Commercial Mortgage-Backed Securities(Cost $163,784) 172,36

Corporate Bonds — 12.2% Consumer Discretionary — 0.7%

Broadcasting & Cable TV — 0.1%

News America Holdings, Inc., 1,100 8.000%, 10/17/16 1,291,050 8.875%, 04/26/23 1,26

News America, Inc., 1,500 6.900%, 08/15/39 (e) 1,63

900 7.250%, 05/18/18 1,044,400 7.300%, 04/30/28 4,58

9,82

Hotels, Restaurants & Leisure — 0.0% (g)

2,025 McDonald’s Corp., 4.300%, 03/01/13 2,18

Media — 0.5% Comcast Cable Communications Holdings, Inc.,

6,417 8.375%, 03/15/13 7,511,250 9.455%, 11/15/22 1,632,200 Comcast Cable Communications LLC, 7.125%, 06/15/13 2,517,039 Comcast Cable Holdings LLC, 9.800%, 02/01/12 8,07

Comcast Corp., 2,574 5.500%, 03/15/11 2,701,300 5.900%, 03/15/16 1,411,000 6.500%, 01/15/17 1,11

Cox Communications, Inc., 2,600 5.450%, 12/15/14 2,831,740 7.750%, 11/01/10 1,823,365 Historic TW, Inc., 9.150%, 02/01/23 4,23

1,337 TCI Communications, Inc., 7.125%, 02/15/28 1,42



Thomson Reuters Corp., (Canada), 2,150 4.700%, 10/15/19 2,211,125 5.950%, 07/15/13 1,26

Time Warner Cable, Inc., 1,700 5.850%, 05/01/17 1,812,150 6.750%, 07/01/18 2,402,000 6.750%, 06/15/39 2,122,450 7.300%, 07/01/38 2,76

650 8.250%, 02/14/14 762,150 8.250%, 04/01/19 2,61

Time Warner Entertainment Co. LP,

2,020 8.375%, 03/15/23 2,402,165 10.150%, 05/01/12 2,52

255 Time Warner, Inc., 7.700%, 05/01/32 293,190 Viacom, Inc., 6.250%, 04/30/16 3,52

59,99

Multiline Retail — 0.0% (g) 1,000 Kohl’s Corp., 6.250%, 12/15/17 1,12

Target Corp., 2,100 6.000%, 01/15/18 2,381,900 7.000%, 01/15/38 2,29

5,80

Specialty Retail — 0.1% 4,600 Home Depot, Inc., 5.400%, 03/01/16 4,901,775 Staples, Inc., 9.750%, 01/15/14 2,14

7,05Total Consumer Discretionary 84,85

Consumer Staples — 0.6% Beverages — 0.2% Anheuser-Busch Cos., Inc.,

1,000 5.500%, 01/15/18 1,041,100 5.750%, 04/01/36 1,08

Anheuser-Busch InBev Worldwide, Inc.,

800 7.200%, 01/15/14 (e) 912,350 7.750%, 01/15/19 (e) 2,81

Coca-Cola Co. (The), 1,550 3.625%, 03/15/14 1,621,550 4.875%, 03/15/19 1,67

1,650

Coca-Cola Enterprises, Inc., 8.500%, 02/01/12

1,882,780 Diageo Capital plc, (United Kingdom), 7.375%, 01/15/14 3,26Diageo Finance BV, (Netherlands),

2,150 5.300%, 10/28/15 2,383,600 5.500%, 04/01/13 3,943,975 FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) 4,211,900 Miller Brewing Co., 5.500%, 08/15/13 (e) 2,051,075 PepsiCo, Inc., 7.900%, 11/01/18 1,36

850 SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e) 96

29,26

Food & Staples Retailing — 0.1%

Kroger Co. (The), 2,225 7.500%, 01/15/14 2,592,876 8.050%, 02/01/10 2,90

Wal-Mart Stores, Inc., 1,820 4.550%, 05/01/13 1,971,200 5.250%, 09/01/35 1,201,050 6.200%, 04/15/38 1,18

700 7.550%, 02/15/30 90

10,78

Food Products — 0.3% Bunge Ltd. Finance Corp.,

1,025 5.875%, 05/15/13 1,094,760 8.500%, 06/15/19 5,54

605 Bunge N.A. Finance LP, 5.900%, 04/01/17 60Cargill, Inc.,

1,650 5.200%, 01/22/13 (e) 1,78

900

6.375%, 06/01/12 (e) 98



2,850 7.350%, 03/06/19 (e) 3,381,810 General Mills, Inc., 6.000%, 02/15/12 1,97

Kellogg Co., 1,500 4.250%, 03/06/13 1,602,600 5.125%, 12/03/12 2,85

Kraft Foods, Inc., 4,250 6.125%, 02/01/18 4,553,605 6.500%, 08/11/17 3,971,000 6.750%, 02/19/14 1,121,600 6.875%, 02/01/38 1,722,700 6.875%, 01/26/39 2,91

34,13

Household Products — 0.0% (g) 500 Kimberly-Clark Corp., 7.500%, 11/01/18 63

2,451 Procter & Gamble - ESOP, 9.360%, 01/01/21 3,101,000 Procter & Gamble Co., 5.500%, 02/01/34 1,04

4,78

Total Consumer Staples 78,96

Energy — 0.7% Energy Equipment & Services — 0.1%

Halliburton Co., 750 6.150%, 09/15/19 85

5,050 7.450%, 09/15/39 6,37

7,23

Oil, Gas & Consumable Fuels — 0.6%

455 Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31 53Anadarko Petroleum Corp.,

405 5.750%, 06/15/14 445,500 7.625%, 03/15/14 6,361,100 8.700%, 03/15/19 1,37

Canadian Natural Resources Ltd., (Canada),

400 5.900%, 02/01/18 432,000 6.750%, 02/01/39 2,262,495 Cenovus Energy, Inc., (Canada), 5.700%, 10/15/19 (e) 2,646,500 Chevron Corp., 4.950%, 03/03/19 7,051,040 Conoco Funding Co., (Canada), 7.250%, 10/15/31 1,23

ConocoPhillips, 1,500 5.200%, 05/15/18 1,61

2,000

5.750%, 02/01/19 2,211,450 6.000%, 01/15/20 1,621,450 6.500%, 02/01/39 1,644,394 8.750%, 05/25/10 4,57

900 Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11 982,750 EnCana Corp., (Canada), 6.500%, 05/15/19 3,101,800 EOG Resources, Inc., 6.875%, 10/01/18 2,131,155 Husky Energy, Inc., (Canada), 6.150%, 06/15/19 1,241,230 Kerr-McGee Corp., 6.950%, 07/01/24 1,331,980 Marathon Oil Canada Corp., (Canada), 8.375%, 05/01/12 2,24

Marathon Oil Corp., 3,100 5.900%, 03/15/18 3,322,800 6.000%, 10/01/17 3,041,150 PC Financial Partnership, 5.000%, 11/15/14 1,22

3,200 Petro-Canada, (Canada), 6.800%, 05/15/38 3,522,045 Pioneer Natural Resources Co., 5.875%, 07/15/16 1,92

Shell International Finance BV, (Netherlands),

3,000 4.300%, 09/22/19 3,076,000 6.375%, 12/15/38 6,96

900 Suncor Energy, Inc., (Canada), 6.850%, 06/01/39 1,00475 Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 56300 Tosco Corp., 7.800%, 01/01/27 35

XTO Energy, Inc., 3,000 4.625%, 06/15/13 3,152,800 5.750%, 12/15/13 3,08

76,34

Total Energy 83,57

Financials — 6.6%



Capital Markets — 1.4% Bank of New York Mellon Corp. (The),

3,750 4.600%, 01/15/20 3,841,000 5.125%, 08/27/13 1,09

Bear Stearns Cos., LLC (The), 1,000 5.700%, 11/15/14 (y) 1,101,400 7.250%, 02/01/18 (y) 1,61

Credit Suisse USA, Inc., 1,200 4.875%, 01/15/15 1,281,803 5.125%, 01/15/14 1,942,995 5.500%, 08/15/13 (c) 3,30

15,099 6.125%, 11/15/11 (c) 16,452,500 FMR LLC, 6.450%, 11/15/39 (e) 2,522,095 Goldman Sachs Capital I, 6.345%, 02/15/34 1,95

Goldman Sachs Group, Inc. (The), 600 3.625%, 08/01/12 62

2,694 4.750%, 07/15/13 2,863,185 5.150%, 01/15/14 3,383,210 5.250%, 10/15/13 3,46

10 5.700%, 09/01/12 112,900 5.950%, 01/18/18 13,80

650 6.150%, 04/01/18 707,470 6.250%, 09/01/17 8,145,056 6.600%, 01/15/12 5,531,600 6.750%, 10/01/37 1,64

10,716

6.875%, 01/15/11 11,362,630 7.500%, 02/15/19 3,10Jefferies Group, Inc.,

5,600 6.450%, 06/08/27 4,762,750 7.750%, 03/15/12 2,981,125 8.500%, 07/15/19 1,23

Lehman Brothers Holdings, Inc., 151 3.950%, 11/10/09 (d) 2

3,480 4.800%, 03/13/14 (d) 67800 5.750%, 05/17/13 (d) 15

3,000 6.000%, 07/19/12 (d) 583,962 6.625%, 01/18/12 (d) 77

450 6.750%, 12/28/17 (d) 219 7.875%, 11/01/09 (d) 4

Merrill Lynch & Co., Inc., 500 4.790%, 08/04/10 51700 5.000%, 01/15/15 71

3,723 5.450%, 07/15/14 3,911,000 5.700%, 05/02/17 99

550 6.050%, 08/15/12 596,379 6.150%, 04/25/13 6,863,412 6.400%, 08/28/17 3,586,348 6.875%, 04/25/18 6,80

Morgan Stanley, 4,263 4.200%, 11/20/14 4,281,485 4.250%, 05/15/10 1,502,711 4.750%, 04/01/14 2,751,000 5.300%, 03/01/13 1,06

2,900 5.625%, 09/23/19 2,931,300 5.750%, 08/31/12 1,405,800 6.000%, 05/13/14 6,323,294 6.000%, 04/28/15 3,571,070 6.250%, 08/28/17 1,148,078 6.600%, 04/01/12 8,822,225 6.625%, 04/01/18 2,41

12,306 6.750%, 04/15/11 13,12504 8.000%, 06/15/10 52887 Northern Trust Corp., 5.500%, 08/15/13 98

4,297 State Street Corp., 7.650%, 06/15/10 4,44UBS AG, (Switzerland),

2,400 5.750%, 04/25/18 2,481,025 5.875%, 12/20/17 1,06

183,85



Commercial Banks — 1.4% Barclays Bank plc, (United Kingdom),

7,200 2.500%, 01/23/13 7,221,100 5.000%, 09/22/16 1,145,500 5.200%, 07/10/14 5,902,000 5.450%, 09/12/12 2,173,700 6.050%, 12/04/17 (c) (e) 3,85

BB&T Corp., 2,350 3.375%, 09/25/13 2,393,750 3.850%, 07/27/12 3,912,750 4.900%, 06/30/17 2,715,000 6.850%, 04/30/19 5,69

598 Branch Banking & Trust Co., 4.875%, 01/15/13 631,500 Cadets Trust, 4.800%, 07/15/13 (e) 1,45

Credit Suisse, (Switzerland), 2,700 3.450%, 07/02/12 2,812,000 5.500%, 05/01/14 2,193,520 Deutsche Bank AG, (Germany), 3.875%, 08/18/14 3,631,450 Fifth Third Bancorp, 5.450%, 01/15/17 1,301,750 Huntington National Bank (The), 8.000%, 04/01/10 1,753,150 KeyBank N.A., 5.500%, 09/17/12 3,271,650 Keycorp, 6.500%, 05/14/13 1,724,500 Manufacturers & Traders Trust Co., 6.625%, 12/04/17 4,712,750 Marshall & Ilsley Corp., 5.350%, 04/01/11 (c) 2,69

National City Bank,

4,000

5.800%, 06/07/17 4,151,800 VAR, 0.393%, 01/21/10 1,802,400 PNC Funding Corp., 5.250%, 11/15/15 2,521,200 Regions Financial Corp., 7.375%, 12/10/37 931,250 State Street Corp., 4.300%, 05/30/14 1,32

SunTrust Banks, Inc., 4,015 5.250%, 11/05/12 (c) 4,221,000 6.000%, 09/11/17 1,002,021 6.375%, 04/01/11 2,13

505 7.250%, 03/15/18 53U.S. Bancorp,

4,299 2.875%, 11/20/14 4,311,400 7.500%, 06/01/26 1,44

U.S. Bank N.A.,

690 6.375%, 08/01/11 747,068 7.125%, 12/01/09 7,06

Wachovia Bank N.A., 2,700 6.600%, 01/15/38 2,871,862 7.800%, 08/18/10 1,944,430 VAR, 0.629%, 03/15/16 3,96

Wachovia Corp., 2,130 4.875%, 02/15/14 2,213,900 5.500%, 05/01/13 4,221,750 5.750%, 06/15/17 1,849,350 5.750%, 02/01/18 9,83

Wells Fargo & Co., 16,700 3.750%, 10/01/14 16,832,340 4.200%, 01/15/10 2,35

8,185 5.625%, 12/11/17 8,54Wells Fargo Bank N.A.,

970 4.750%, 02/09/15 1,004,000 5.750%, 05/16/16 4,19

319 6.450%, 02/01/11 335,328 7.550%, 06/21/10 5,52

Westpac Banking Corp., (Australia),

4,800 4.200%, 02/27/15 4,9610,711 4.875%, 11/19/19 10,87

174,96

Consumer Finance — 0.5% American Express Credit Corp.,

4,100 5.875%, 05/02/13 4,44

5,650

7.300%, 08/20/13 6,41



1,479 American General Finance Corp., 5.375%, 10/01/12 1,21517 Capital One Bank USA N.A., 5.750%, 09/15/10 53

Capital One Financial Corp., 1,175 5.700%, 09/15/11 1,243,105 6.250%, 11/15/13 3,405,300 6.750%, 09/15/17 5,842,970 7.375%, 05/23/14 3,40

HSBC Finance Corp., 311 4.750%, 07/15/13 32

2,000 5.000%, 06/30/15 2,071,600 5.250%, 01/15/14 1,69

200 5.500%, 01/19/16 212,251 6.375%, 10/15/11 2,401,078 6.375%, 11/27/12 1,174,500 7.000%, 05/15/12 4,94

308 7.350%, 11/27/32 312,752 8.000%, 07/15/10 2,861,700 VAR, 0.534%, 01/15/14 1,57

John Deere Capital Corp., 450 4.500%, 04/03/13 48

4,750 5.250%, 10/01/12 5,20SLM Corp.,

3,800 4.000%, 01/15/10 3,792,437 5.375%, 01/15/13 2,181,750 Washington Mutual Finance Corp., 6.875%, 05/15/11 1,84

57,60Diversified Financial Services — 2.1%

Associates Corp. of North America,

5,700 6.950%, 11/01/18 5,861,400 7.950%, 02/15/10 1,40

18,700 BA Covered Bond Issuer, 5.500%, 06/14/12 (e) 20,20Bank of America Corp.,

5,500 4.900%, 05/01/13 5,741,000 5.625%, 10/14/16 1,025,000 6.500%, 08/01/16 5,313,000 7.375%, 05/15/14 3,363,079 7.400%, 01/15/11 3,241,100 7.625%, 06/01/19 1,26

11,953 7.800%, 02/15/10 12,10

7,420 Bank of America N.A., 5.300%, 03/15/17 7,27Caterpillar Financial Services Corp.,

1,850 4.850%, 12/07/12 2,011,900 4.900%, 08/15/13 2,051,000 5.450%, 04/15/18 1,06

900 5.500%, 03/15/16 974,800 6.200%, 09/30/13 5,363,500 7.050%, 10/01/18 4,15

600 7.150%, 02/15/19 72Citigroup, Inc.,

1,500 4.700%, 05/29/15 1,472,400 5.500%, 04/11/13 2,486,000 5.500%, 10/15/14 6,111,000 5.500%, 02/15/17 95

5,286 5.625%, 08/27/12 5,489,900 6.000%, 08/15/17 9,932,250 6.125%, 11/21/17 2,263,675 6.375%, 08/12/14 3,862,850 8.125%, 07/15/39 3,133,975 8.500%, 05/22/19 4,48

CME Group, Inc., 7,200 5.400%, 08/01/13 7,86

700 5.750%, 02/15/14 771,225 ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 1,37

400 Diageo Investment Corp., 9.000%, 08/15/11 45General Electric Capital Corp.,

2,000 4.375%, 11/21/11 2,101,305 4.375%, 09/21/15 1,34



16,000 5.250%, 10/19/12 17,261,500 5.400%, 02/15/17 1,544,400 5.625%, 09/15/17 4,59

18,000 5.625%, 05/01/18 18,5524,603 5.875%, 02/15/12 26,581,900 5.875%, 01/14/38 1,764,700 5.900%, 05/13/14 5,15

24,792 6.000%, 06/15/12 26,974,941 6.750%, 03/15/32 5,06

900 6.875%, 01/10/39 942,625 VAR, 0.404%, 04/10/12 2,55

International Lease Finance Corp., 1,287 5.875%, 05/01/13 1,025,300 6.375%, 03/25/13 4,26

National Rural Utilities Cooperative Finance Corp.,

530 2.625%, 09/16/12 543,550 4.750%, 03/01/14 3,84

605 10.375%, 11/01/18 812,400 Textron Financial Corp., 5.400%, 04/28/13 2,37

261,11

Insurance — 1.0% 2,500 Allstate Life Global Funding Trusts, 5.375%, 04/30/13 2,69

American International Group, Inc.,

3,284 4.250%, 05/15/13 2,872,800 5.450%, 05/18/17 2,13

1,425 5.600%, 10/18/16 1,095,641 ASIF Global Financing XIX, 4.900%, 01/17/13 (e) 5,21

Berkshire Hathaway Finance Corp.,

3,500 4.000%, 04/15/12 3,703,800 4.600%, 05/15/13 4,08

750 5.000%, 08/15/13 826,200 5.400%, 05/15/18 6,641,130 Chubb Corp. (The), 5.750%, 05/15/18 1,254,800 Genworth Global Funding Trusts, 5.200%, 10/08/10 4,91

Jackson National Life Global Funding,

2,000 5.375%, 05/08/13 (e) 2,064,115 6.125%, 05/30/12 (e) 4,412,469 John Hancock Global Funding II, 7.900%, 07/02/10 (e) 2,552,980 Liberty Mutual Group, Inc., 5.750%, 03/15/14 (e) 3,00

MassMutual Global Funding II, 4,059 3.500%, 03/15/10 (e) 4,072,000 3.625%, 07/16/12 (e) 2,073,200 MetLife Life and Annuity Co. of Connecticut, 5.125%, 08/15/14 (e) 3,17

815 MetLife, Inc., 6.817%, 08/15/18 92Metropolitan Life Global Funding I,

8,000 2.875%, 09/17/12 (e) 8,093,000 5.125%, 04/10/13 (e) 3,212,497 5.200%, 09/18/13 (e) 2,651,450 5.750%, 07/25/11 (e) 1,531,000 Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) 1,05

Nationwide Financial Services, 1,130 5.900%, 07/01/12 1,191,661 6.250%, 11/15/11 1,73

New York Life Global Funding, 5,910 4.650%, 05/09/13 (e) 6,325,914 5.375%, 09/15/13 (e) 6,522,500 Pacific Life Global Funding, 5.150%, 04/15/13 (e) 2,656,400 Pricoa Global Funding I, 5.450%, 06/11/14 (e) 6,81

Principal Life Global Funding I, 1,600 5.050%, 03/15/15 (e) 1,58

11,236 6.250%, 02/15/12 (e) 11,92Principal Life Income Funding Trusts,

1,750 5.150%, 06/17/11 1,812,950 5.300%, 12/14/12 3,181,425 5.300%, 04/24/13 1,524,955 Protective Life Secured Trusts, 4.000%, 04/01/11 5,061,070 Travelers Cos, Inc. (The), 5.800%, 05/15/18 1,17



890 Travelers Property Casualty Corp., 5.000%, 03/15/13 95

126,76

Oil, Gas & Consumable Fuels — 0.1%

BP Capital Markets plc, (United Kingdom),

1,380 3.125%, 03/10/12 1,439,100 5.250%, 11/07/13 10,12

11,56

Real Estate Investment Trusts (REITs) — 0.1%

2,050 HRPT Properties Trust, 6.650%, 01/15/18 1,94Simon Property Group LP,

1,775 5.625%, 08/15/14 1,88

2,120 6.100%, 05/01/16 2,241,645 6.750%, 05/15/14 1,804,092 WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) 4,30

12,17

Thrifts & Mortgage Finance — 0.0% (g)

6,270 Countrywide Home Loans, Inc., 4.000%, 03/22/11 6,40

Total Financials 834,45

Health Care — 0.2% Biotechnology — 0.0% (g)

1,975 Amgen, Inc., 5.700%, 02/01/19 2,19

Health Care Equipment & Supplies — 0.0% (g)

Baxter International, Inc., 1,150 4.000%, 03/01/14 1,21

500 4.625%, 03/15/15 54700 Becton Dickinson and Co., 5.000%, 05/15/19 75

2,51

Health Care Providers & Services — 0.0% (g)

WellPoint, Inc., 492 5.875%, 06/15/17 52340 7.000%, 02/15/19 39

91

Pharmaceuticals — 0.2% 350 Abbott Laboratories, 6.150%, 11/30/37 39

3,200 AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 3,581,095 Eli Lilly & Co., 3.550%, 03/06/12 1,15

GlaxoSmithKline Capital, Inc.,

1,000

4.375%, 04/15/14 1,073,100 4.850%, 05/15/13 3,382,100 6.375%, 05/15/38 2,407,300 Pfizer, Inc., 4.450%, 03/15/12 7,771,040 Schering-Plough Corp., 6.000%, 09/15/17 1,18

790 Wyeth, 6.450%, 02/01/24 91

21,87

Total Health Care 27,49

Industrials — 0.4% Aerospace & Defense — 0.1% Boeing Co. (The),

250 3.500%, 02/15/15 25500 4.875%, 02/15/20 52

1,500 Honeywell International, Inc., 5.300%, 03/01/18 1,63

Lockheed Martin Corp., 1,660 7.750%, 05/01/26 2,061,399 8.500%, 12/01/29 1,87

Northrop Grumman Systems Corp.,

2,700 7.125%, 02/15/11 2,871,100 7.750%, 03/01/16 1,341,000 Systems 2001 AT LLC, (Cayman Islands), 7.156%, 12/15/11 (e) 1,04

5 United Technologies Corp., 6.100%, 05/15/12

11,62

Air Freight & Logistics — 0.0% (g)

1,700 United Parcel Service, Inc., 5.500%, 01/15/18 1,86

Airlines — 0.0% (g) Continental Airlines, Inc.,

576 7.256%, 03/15/20 (c) 53



1,000 7.487%, 10/02/10 99

1,52

Building Products — 0.0% (g) 800 Masco Corp., 5.850%, 03/15/17 74

Commercial Services & Supplies — 0.0% (g)

2,850 Allied Waste North America, Inc., 6.875%, 06/01/17 3,011,365 Waste Management, Inc., 7.375%, 03/11/19 1,61

4,63

Industrial Conglomerates — 0.0% (g)

1,350 Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) 1,49

Machinery — 0.1% 2,650 Eaton Corp., 5.600%, 05/15/18 2,85

775 Ingersoll-Rand Co., (Bermuda), 6.391%, 11/15/27 83350 PACCAR, Inc., 6.375%, 02/15/12 38775 Parker Hannifin Corp., 5.500%, 05/15/18 84

4,92

Road & Rail — 0.2% Burlington Northern Santa Fe Corp.,

700 6.750%, 07/15/11 761,300 7.000%, 02/01/14 1,502,223 7.125%, 12/15/10 2,371,300 7.290%, 06/01/36 1,54

CSX Corp., 850 6.300%, 03/15/12 93

700

7.375%, 02/01/19 83400 Erac USA Finance Co., 6.375%, 10/15/17 (e) 412,853 Federal Express Corp. 1998 Pass Through Trust, 6.720%, 01/15/22 3,10

Norfolk Southern Corp., 299 5.590%, 05/17/25 31871 5.640%, 05/17/29 88

2,500 6.750%, 02/15/11 2,65326 7.250%, 02/15/31 39135 7.700%, 05/15/17 1634 7.800%, 05/15/27 4

Union Pacific Corp., 175 4.875%, 01/15/15 18

1,800 5.650%, 05/01/17 1,941,700 5.700%, 08/15/18 1,84

3,000 7.000%, 02/01/16 3,441,000 7.875%, 01/15/19 1,25

24,59

Total Industrials 51,41

Information Technology — 0.4%

Communications Equipment — 0.1%

Cisco Systems, Inc., 1,500 5.500%, 02/22/16 1,682,360 5.500%, 01/15/40 2,343,100 5.900%, 02/15/39 3,24

7,28

Computers & Peripherals — 0.2%

Dell, Inc.,

570

5.650%, 04/15/18 611,900 7.100%, 04/15/28 2,09Hewlett-Packard Co.,

650 2.950%, 08/15/12 671,000 4.500%, 03/01/13 1,081,900 4.750%, 06/02/14 2,072,525 5.400%, 03/01/17 2,794,400 6.125%, 03/01/14 5,01

International Business Machines Corp.,

3,950 5.700%, 09/14/17 4,46660 6.220%, 08/01/27 73

4,500 7.625%, 10/15/18 5,68

25,23

Electronic Equipment, Instruments & Components — 0.0% (g)

1,120 Arrow Electronics, Inc., 6.875%, 07/01/13 1,24



IT Services — 0.0% (g) 2,950 Electronic Data Systems LLC, 6.000%, 08/01/13 3,32

Office Electronics — 0.0% (g) 310 Xerox Corp., 8.250%, 05/15/14 36

Software — 0.1% 850 Intuit, Inc., 5.750%, 03/15/17 90

Oracle Corp., 5,300 5.000%, 07/08/19 5,642,320 5.250%, 01/15/16 2,563,400 5.750%, 04/15/18 3,78

850 6.500%, 04/15/38 97

13,86Total Information Technology 51,29

Materials — 0.3% Chemicals — 0.2%

850 Air Products & Chemicals, Inc., 4.150%, 02/01/13 891,680 Dow Capital BV, (Netherlands), 8.500%, 06/08/10 1,71

Dow Chemical Co. (The), 1,670 4.850%, 08/15/12 1,76

650 6.000%, 10/01/12 701,776 6.125%, 02/01/11 1,851,345 7.375%, 11/01/29 1,44

EI Du Pont de Nemours & Co., 125 4.125%, 03/06/13 13500 4.875%, 04/30/14 54

3,800 6.000%, 07/15/18 4,303,750 Monsanto Co., 7.375%, 08/15/12 4,321,450 Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13 1,552,150 PPG Industries, Inc., 5.750%, 03/15/13 2,32

Praxair, Inc., 850 4.375%, 03/31/14 91

1,900 4.625%, 03/30/15 2,071,295 5.250%, 11/15/14 1,45

26,02

Diversified Financial Services — 0.0% (g)

1,150 BHP Billiton Finance USA Ltd., (Australia), 5.500%, 04/01/14 1,28

Metals & Mining — 0.1% Alcoa, Inc.,

2,190 5.550%, 02/01/17 2,202,800 6.000%, 07/15/13 2,971,600 BHP Billiton Finance USA Ltd., (Australia), 5.400%, 03/29/17 1,743,400 Rio Tinto Finance USA Ltd., (Australia), 5.875%, 07/15/13 3,73

10,65

Total Materials 37,95

Telecommunication Services — 1.1%

Diversified Telecommunication Services — 1.0%

6,950 AT&T Corp., 8.000%, 11/15/31 8,53AT&T, Inc.,

8,300 4.950%, 01/15/13 8,971,120 5.100%, 09/15/14 1,221,025 5.500%, 02/01/18 1,081,300 5.600%, 05/15/18 1,382,295 5.625%, 06/15/16 2,525,000 6.300%, 01/15/38 5,191,288 Bellsouth Capital Funding Corp., 7.750%, 02/15/10 1,301,330 BellSouth Corp., 5.200%, 09/15/14 1,452,099 Bellsouth Telecommunications, Inc., 6.300%, 12/15/15 (c) 2,27

British Telecommunications plc, (United Kingdom),

5,000 5.150%, 01/15/13 5,292,800 5.950%, 01/15/18 2,898,236 9.125%, 12/15/10 8,84

300 9.625%, 12/15/30 38Deutsche Telekom International Finance BV, (Netherlands),

4,200 4.875%, 07/08/14 4,48785 5.250%, 07/22/13 84

2,025

6.000%, 07/08/19 2,21



200 8.750%, 06/15/30 26France Telecom S.A., (France),

7,133 7.750%, 03/01/11 7,701,000 8.500%, 03/01/31 1,371,000 GTE Corp., 8.750%, 11/01/21 1,23

47 Nynex Corp., 9.550%, 05/01/10 4Telecom Italia Capital S.A., (Luxembourg),

2,900 4.950%, 09/30/14 3,062,300 5.250%, 11/15/13 2,451,350 6.175%, 06/18/14 1,492,125 6.999%, 06/04/18 2,36

Telefonica Emisiones S.A.U., (Spain),

4,000 5.855%, 02/04/13 4,391,500 5.877%, 07/15/19 1,641,000 Telefonica Europe BV, (Netherlands), 7.750%, 09/15/10 1,052,629 TELUS Corp., (Canada), 8.000%, 06/01/11 2,87

Verizon Communications, Inc., 2,175 5.500%, 02/15/18 2,31

250 5.550%, 02/15/16 273,000 7.350%, 04/01/39 3,561,500 8.750%, 11/01/18 1,906,498 Verizon Florida LLC, 6.125%, 01/15/13 7,07

Verizon Global Funding Corp., 8,808 7.250%, 12/01/10 9,351,540 7.375%, 09/01/12 1,76

Verizon Maryland, Inc., 823 6.125%, 03/01/12 883,100 7.150%, 05/01/23 3,26

900 Verizon New England, Inc., 4.750%, 10/01/13 95880 Verizon New York, Inc., 7.375%, 04/01/32 97

1,232 Verizon Pennsylvania, Inc., 8.350%, 12/15/30 1,392,788 Verizon Virginia, Inc., 4.625%, 03/15/13 2,93

125,54

Wireless Telecommunication Services — 0.1%

New Cingular Wireless Services, Inc.,

6,983 7.875%, 03/01/11 7,551,215 8.750%, 03/01/31 1,591,500 Verizon Wireless Capital LLC, 5.550%, 02/01/14 1,65

Vodafone Group plc, (United Kingdom),

5,125 5.000%, 09/15/15 5,50753 5.450%, 06/10/19 80

17,10

Total Telecommunication Services 142,65

Utilities — 1.2% Electric Utilities — 0.9% Alabama Power Co.,

711 4.700%, 12/01/10 (c) 73700 6.125%, 05/15/38 78

1,110 Arizona Public Service Co., 4.650%, 05/15/15 1,14Carolina Power & Light Co.,

2,177 5.125%, 09/15/13 2,372,000 5.300%, 01/15/19 2,17

CenterPoint Energy Houston Electric LLC,

3,100 5.750%, 01/15/14 3,42725 7.000%, 03/01/14 83

3,450 Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 4,181,550 Columbus Southern Power Co., 6.050%, 05/01/18 1,68

925 Connecticut Light & Power Co., 5.650%, 05/01/18 1,01Duke Energy Carolinas LLC,

1,400 5.100%, 04/15/18 1,501,795 5.625%, 11/30/12 1,991,816 6.250%, 01/15/12 (c) 1,991,875 Duke Energy Corp., 3.950%, 09/15/14 1,933,100 Duke Energy Indiana, Inc., 6.350%, 08/15/38 3,554,600 Enel Finance International S.A., (Luxembourg), 5.125%, 10/07/19 (e) 4,751,470 FirstEnergy Corp., 7.375%, 11/15/31 1,64

Florida Power & Light Co.,



500 5.950%, 10/01/33 541,000 5.950%, 02/01/38 1,09

Florida Power Corp., 500 4.800%, 03/01/13 53

1,125 5.650%, 06/15/18 1,24700 6.400%, 06/15/38 79

FPL Group Capital, Inc., 900 5.350%, 06/15/13 98

1,200 6.000%, 03/01/19 1,331,600 7.875%, 12/15/15 1,96

Georgia Power Co., 400 5.950%, 02/01/39 43

1,100 6.000%, 11/01/13 1,24340 Indiana Michigan Power Co., 7.000%, 03/15/19 39300 Jersey Central Power & Light Co., 7.350%, 02/01/19 35314 Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) 31700 Midamerican Energy Co., 5.300%, 03/15/18 74

Nevada Power Co.,

950 6.500%, 08/01/18 1,051,825 7.125%, 03/15/19 2,091,625 Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) 1,66

Nisource Finance Corp., 2,560 6.150%, 03/01/13 2,74

325 7.875%, 11/15/10 341,850 10.750%, 03/15/16 2,23

2,400

Ohio Power Co., 5.750%, 09/01/13

2,60820 Oncor Electric Delivery Co., 5.950%, 09/01/13 89Pacific Gas & Electric Co.,

1,980 5.625%, 11/30/17 2,19750 8.250%, 10/15/18 94

PacifiCorp, 250 5.500%, 01/15/19 27

1,000 5.650%, 07/15/18 1,10125 6.900%, 11/15/11 13900 Peco Energy Co., 5.350%, 03/01/18 98675 Pepco Holdings, Inc., 6.450%, 08/15/12 73

1,320 Potomac Electric Power Co., 6.500%, 11/15/37 1,51730 Progress Energy, Inc., 6.050%, 03/15/14 80

PSEG Power LLC,

2,190

5.500%, 12/01/15 2,382,191 7.750%, 04/15/11 2,361,255 8.625%, 04/15/31 1,67

275 Public Service Co. of Colorado, 5.800%, 08/01/18 303,350 Public Service Co. of Oklahoma, 6.625%, 11/15/37 3,68

Public Service Electric & Gas Co., 825 5.300%, 05/01/18 88

1,138 5.375%, 11/01/39 1,155,300 6.330%, 11/01/13 6,00

Southern California Edison Co., 1,200 4.150%, 09/15/14 1,271,400 5.500%, 08/15/18 1,541,650 5.750%, 03/15/14 1,84

645 5.950%, 02/01/38 70

2,450 6.050%, 03/15/39 2,73580 Southern Co. (The), 4.150%, 05/15/14 61

Spectra Energy Capital LLC, 2,900 5.500%, 03/01/14 (c) 3,06

350 5.668%, 08/15/14 373,645 6.250%, 02/15/13 3,973,850 8.000%, 10/01/19 4,56

Virginia Electric and Power Co., 2,550 5.100%, 11/30/12 2,794,600 5.400%, 04/30/18 4,97

800 5.950%, 09/15/17 89

117,88

Gas Utilities — 0.1% 1,200 ANR Pipeline Co., 9.625%, 11/01/21 1,68



Atmos Energy Corp., 320 5.125%, 01/15/13 34690 8.500%, 03/15/19 86530 CenterPoint Energy Resources Corp., 6.125%, 11/01/17 57

1,646 KeySpan Gas East Corp., 7.875%, 02/01/10 1,661,950 Schlumberger Technology Corp., 6.500%, 04/15/12 (e) 2,151,037 Southern California Gas Co., 4.800%, 10/01/12 1,12

70 Texas Eastern Transmission LP, 7.300%, 12/01/10 7TransCanada Pipelines Ltd., (Canada),

1,515 4.000%, 06/15/13 1,581,500 6.200%, 10/15/37 1,641,900 6.500%, 08/15/18 2,192,100 7.250%, 08/15/38 2,56

16,45

Multi-Utilities — 0.2% Dominion Resources, Inc.,

1,879 6.250%, 06/30/12 2,061,200 7.000%, 06/15/38 1,421,600 8.875%, 01/15/19 2,043,250 KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12 3,771,550 PG&E Corp., 5.750%, 04/01/14 1,70

Sempra Energy, 2,300 6.150%, 06/15/18 2,51

900 6.500%, 06/01/16 1,002,760 8.900%, 11/15/13 3,28

1,550 9.800%, 02/15/19 2,01Wisconsin Electric Power Co.,

1,400 6.000%, 04/01/14 1,591,295 6.250%, 12/01/15 1,51

22,95

Water Utilities — 0.0% (g) 2,025 American Water Capital Corp., 6.085%, 10/15/17 2,17

Total Utilities 159,47

Total Corporate Bonds(Cost $1,460,713) 1,552,14

Foreign Government Securities — 0.1%

560 Province of Quebec, (Canada), SUB, 7.365%, 03/06/26 66United Mexican States, (Mexico),

2,035

5.875%, 01/15/14 (c) 2,213,398 6.375%, 01/16/13 3,76850 6.625%, 03/03/15 95

4,881 7.500%, 04/08/33 5,832,925 8.300%, 08/15/31 3,77

Total Foreign Government Securities(Cost $14,873) 17,19

Mortgage Pass-Through Securities — 16.9%

Federal Home Loan Mortgage Corp.,

285 ARM, 2.873%, 09/01/32 2968 ARM, 3.125%, 07/01/26 7

4,275 ARM, 3.255%, 09/01/34 4,35145 ARM, 3.352%, 07/01/19 14107 ARM, 3.457%, 04/01/30 10

267 ARM, 3.558%, 01/01/27 276,514 ARM, 3.643%, 05/01/33 6,642,194 ARM, 3.653%, 04/01/34 2,242,557 ARM, 3.980%, 01/01/35 2,621,242 ARM, 4.189%, 12/01/33 1,271,053 ARM, 4.279%, 01/01/37 1,091,392 ARM, 5.052%, 08/01/35 1,452,152 ARM, 5.165%, 02/01/36 2,231,873 ARM, 5.170%, 11/01/36 1,967,946 ARM, 5.421%, 05/01/38 8,392,737 ARM, 5.434%, 07/01/37 2,85

12,743 ARM, 5.543%, 05/01/36 13,424,723 ARM, 5.549%, 12/01/35 4,97

12,305 ARM, 5.566%, 05/01/36 12,9710,539 ARM, 5.657%, 03/01/36 11,08



9,700 ARM, 5.717%, 02/01/37 10,2712,434 ARM, 5.749%, 04/01/38 13,179,122 ARM, 5.753%, 03/01/36 9,564,542 ARM, 5.800%, 07/01/36 4,76

11,649 ARM, 5.812%, 06/01/37 12,4012,811 ARM, 5.813%, 05/01/37 13,559,503 ARM, 5.824%, 04/01/37 10,138,287 ARM, 5.847%, 05/01/37 8,804,688 ARM, 5.849%, 06/01/36 5,015,312 ARM, 5.852%, 10/01/36 5,623,145 ARM, 5.869%, 05/01/36 3,312,359 ARM, 5.883%, 05/01/37 2,50

12,834 ARM, 5.904%, 01/01/37 13,63734 ARM, 5.938%, 02/01/37 77

14,651 ARM, 5.952%, 11/01/36 15,538,092 ARM, 5.973%, 05/01/37 8,636,059 ARM, 5.978%, 10/01/36 6,357,774 ARM, 5.985%, 03/01/37 8,264,271 ARM, 5.990%, 02/01/37 4,54

15,317 ARM, 5.994%, 04/01/37 16,293,683 ARM, 6.024%, 04/01/37 3,91

17,499 ARM, 6.032%, 06/01/36 18,4927,359 ARM, 6.033%, 12/01/36 29,0310,226 ARM, 6.075%, 09/01/36 10,831,759 ARM, 6.170%, 12/01/36 1,86

23,649

ARM, 6.173%, 12/01/36 25,175,840 ARM, 6.202%, 05/01/37 6,224,574 ARM, 6.238%, 03/01/37 4,84

11,736 ARM, 6.250%, 09/01/36 12,4519,016 ARM, 6.261%, 02/01/37 20,229,897 ARM, 6.300%, 05/01/37 10,55


6,484

ARM, 6.610%, 10/01/36 6,8911,213 ARM, 6.663%, 10/01/36 11,922,737 ARM, 6.679%, 08/01/36 2,924,489 ARM, 6.696%, 07/01/36 4,76

13,241 ARM, 6.706%, 11/01/36 14,0831,187 ARM, 6.711%, 08/01/36 33,145,562 ARM, 6.871%, 08/01/36 5,90

Federal Home Loan Mortgage Corp. Gold Pools,

19,545 7.500%, 12/01/36 22,2814,449 10.000%, 10/01/30 17,03

Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,

8,958 4.000%, 04/01/14 - 05/01/19 9,325,105 4.500%, 08/01/18 - 10/01/18 5,44

28,502 5.000%, 10/01/17 - 12/01/18 30,58

20,464 5.500%, 06/01/17 - 06/01/20 22,1230,579 6.000%, 10/01/17 - 03/01/22 33,0710,292 6.500%, 07/01/16 - 03/01/22 11,11

176 7.000%, 08/01/10 - 04/01/17 18163 7.500%, 09/01/10 - 11/01/15 1678 8.500%, 01/01/10 - 11/01/15 9

Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,

10,744 5.500%, 01/01/23 - 11/01/23 11,55706 6.000%, 12/01/22 76

4,172 6.500%, 12/01/13 - 01/01/28 4,55Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,

6,392 4.000%, 10/01/33 6,4332,987 5.000%, 01/01/34 - 03/01/35 34,728,659 5.500%, 10/01/33 - 07/01/35 9,26

3,319 6.000%, 10/01/29 - 01/01/34 3,58



18,608 6.500%, 08/01/29 - 11/01/37 20,247,705 7.000%, 04/01/22 - 02/01/37 8,60

33,379 7.500%, 08/01/25 - 09/01/38 36,6569 8.000%, 07/01/20 - 11/01/24 7

180 8.500%, 07/01/28 20Federal Home Loan Mortgage Corp. Gold Pools, Other,

26,813 6.500%, 12/01/35 - 06/01/37 28,853,257 7.000%, 07/01/29 - 08/01/47 3,542,944 10.000%, 03/17/26 3,46

Federal Home Loan Mortgage Corp., 30 Year, Single Family,

50 12.000%, 08/01/15 - 07/01/19 5Federal National Mortgage Association,

999 ARM, 2.485%, 08/01/34 1,0013,381 ARM, 2.794%, 01/01/36 13,97

87 ARM, 2.864%, 03/01/19 8327 ARM, 2.904%, 07/01/34 33

1,650 ARM, 2.996%, 10/01/34 1,672,875 ARM, 3.008%, 06/01/34 2,921,461 ARM, 3.107%, 09/01/35 1,49

304 ARM, 3.228%, 09/01/34 311,136 ARM, 3.234%, 08/01/34 1,161,217 ARM, 3.264%, 08/01/35 1,24

384 ARM, 3.314%, 09/01/27 3919 ARM, 3.368%, 01/01/19 1

1,620 ARM, 3.393%, 08/01/33 1,66

1,043

ARM, 3.438%, 04/01/34 1,07793 ARM, 3.440%, 08/01/34 813,261 ARM, 3.447%, 07/01/35 3,25

15 ARM, 3.597%, 06/01/26 12,943 ARM, 3.722%, 01/01/36 3,05

476 ARM, 3.801%, 05/01/35 49371 ARM, 3.949%, 03/01/29 38


230 ARM, 4.337%, 01/01/36 241,073 ARM, 4.461%, 11/01/34 1,12

1,614

ARM, 4.709%, 11/01/34 1,6915 ARM, 4.786%, 08/01/19 1912 ARM, 4.873%, 02/01/35 94

1,837 ARM, 4.982%, 01/01/34 1,932,580 ARM, 5.019%, 05/01/35 2,68

511 ARM, 5.020%, 01/01/34 522,342 ARM, 5.030%, 03/01/35 2,431,779 ARM, 5.069%, 01/01/35 1,872,341 ARM, 5.104%, 11/01/33 2,442,622 ARM, 5.116%, 10/01/34 2,721,246 ARM, 5.222%, 02/01/36 1,302,101 ARM, 5.252%, 09/01/36 2,19

14,882 ARM, 5.340%, 01/01/38 15,725,395 ARM, 5.405%, 10/01/35 5,72


29,355 ARM, 5.686%, 01/01/23 31,359,247 ARM, 5.733%, 09/01/36 9,78

18,467 ARM, 5.752%, 08/01/37 19,566,805 ARM, 5.754%, 02/01/37 7,23

27,032 ARM, 5.790%, 12/01/37 28,7019,636 ARM, 5.855%, 04/01/37 20,88

15,666 ARM, 5.874%, 10/01/36 16,59



30,497 ARM, 5.900%, 11/01/36 - 12/01/36 32,346,800 ARM, 5.901%, 07/01/37 7,216,007 ARM, 5.913%, 09/01/37 6,417,208 ARM, 5.918%, 10/01/36 7,638,699 ARM, 5.937%, 07/01/36 9,24

24,042 ARM, 6.015%, 07/01/37 25,527,555 ARM, 6.020%, 09/01/37 8,043,771 ARM, 6.040%, 05/01/36 3,99

13,977 ARM, 6.085%, 08/01/36 14,833,918 ARM, 6.109%, 09/01/37 4,167,227 ARM, 6.121%, 09/01/37 7,67


11,712 ARM, 6.233%, 10/01/36 12,426,589 ARM, 6.261%, 07/01/37 7,04

13,376 ARM, 6.286%, 09/01/37 14,225,461 ARM, 6.346%, 09/01/36 5,81

17,394 ARM, 6.594%, 09/01/36 18,426,324 ARM, 6.657%, 01/01/37 6,72

Federal National Mortgage Association, 15 Year, Single Family,

814 3.500%, 04/01/19 8216,351 4.000%, 07/01/18 - 12/01/20 17,09

60,792

4.500%, 05/01/18 - 12/01/19 64,4851,262 5.000%, 12/01/16 - 10/01/19 55,0059,745 5.500%, 02/01/18 - 07/01/20 64,6474,592 6.000%, 06/01/16 - 12/01/21 80,964,802 6.500%, 12/01/10 - 04/01/22 5,212,078 7.000%, 06/01/10 - 11/01/17 2,25

237 7.500%, 10/01/12 - 03/01/17 25230 8.000%, 11/01/12 - 11/01/15 24


1,300 6.000%, 02/01/14 - 04/01/24 1,417,788 6.500%, 05/01/22 - 04/01/25 8,54

Federal National Mortgage Association, 30 Year FHA/VA,

343 6.000%, 09/01/33 37659 6.500%, 03/01/29 71

84

7.000%, 02/01/33 9146 8.000%, 06/01/28 16171 8.500%, 08/01/27 - 02/01/30 19240 9.000%, 05/01/18 - 12/01/30 2748 9.500%, 12/01/18 5


2,167 4.000%, 12/01/33 2,183,064 4.500%, 11/01/33 3,17

26,135 5.000%, 06/01/33 - 09/01/35 27,4915,773 5.500%, 02/01/33 - 03/01/34 16,905,308 6.000%, 12/01/28 - 09/01/33 5,74

86,336 6.500%, 11/01/29 - 08/01/36 94,2522,399 7.000%, 04/01/17 - 10/01/38 24,8676,670 7.500%, 11/01/22 - 11/01/38 85,18

2,874 8.000%, 03/01/21 - 01/01/38 3,2866 8.500%, 07/01/24 - 06/01/25 7

9 9.000%, 04/01/26 157 9.500%, 07/01/28 625 10.000%, 02/01/24 260 12.500%, 01/01/16 6

Federal National Mortgage Association, Other,

2,310 4.000%, 09/01/13 - 03/01/14 2,381,529 4.500%, 11/01/14 1,581,124 5.000%, 12/01/32 1,182,788 5.500%, 05/01/13 - 10/01/34 2,861,072 6.000%, 02/01/36 1,14

14,478 6.500%, 04/01/36 - 05/01/37 15,6616,054 7.000%, 02/01/36 - 01/01/38 17,64

2,195 7.500%, 10/01/37 2,40



12,394 8.000%, 11/01/37 13,62294 10.890%, 04/15/19 33

Government National Mortgage Association II, 30 Year, Single Family,

421 6.000%, 03/20/28 454,371 7.000%, 08/20/38 4,74

254 7.500%, 02/20/28 - 09/20/28 29494 8.000%, 12/20/25 - 10/20/28 56221 8.500%, 03/20/25 - 05/20/25 25

Government National Mortgage Association, 15 Year, Single Family,

276 6.000%, 10/15/17 29352 6.500%, 06/15/17 - 12/15/17 3835 7.500%, 02/15/12 - 03/15/12 3

747 8.000%, 01/15/16 80Government National Mortgage Association, 30 Year, Single Family,

2,870 5.500%, 06/15/33 - 09/15/34 3,07763 6.000%, 11/15/28 82

6,400 6.500%, 01/15/24 - 12/15/35 6,9014,386 7.000%, 08/15/23 - 04/15/37 15,8212,262 7.500%, 11/15/22 - 10/15/37 13,40

142 8.000%, 05/15/22 - 08/15/28 1653 8.500%, 03/15/17 - 11/15/17 588 9.000%, 08/15/16 - 11/15/24 9

5,879 9.500%, 01/15/17 - 12/15/25 7,1663 12.000%, 11/15/19 7

Total Mortgage Pass-Through Securities

(Cost $2,098,703) 2,149,92Municipal Bond — 0.0% (g) Illinois — 0.0% (g)

5,450 State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33(Cost $5,232) 4,88

Supranational — 0.0% (g) 720 Corp. Andina de Fomento, 5.200%, 05/21/13

(Cost $719) 75

U.S. Government Agency Securities — 0.3%

5,000 Federal Farm Credit Bank, 1.875%, 12/07/12 5,0717,473 Federal Home Loan Bank System, 4.720%, 09/20/12 18,651,260 Federal Home Loan Mortgage Corp., 5.750%, 01/15/12 1,38

Federal National Mortgage Association,

1,190 5.500%, 03/15/11 1,262,735 6.125%, 03/15/12 (c) 3,057,494 6.250%, 02/01/11 7,911,195 Tennessee Valley Authority, 5.250%, 09/15/39 1,22

Total U.S. Government Agency Securities(Cost $36,468) 38,57

U.S. Treasury Obligations — 17.4%

U.S. Treasury Bonds, 1,300 5.375%, 02/15/31 1,531,500 5.500%, 08/15/28 1,781,800 6.000%, 02/15/26 2,251,400 6.125%, 11/15/27 1,781,000 6.250%, 08/15/23 1,263,650 6.375%, 08/15/27 4,75

3,550 6.500%, 11/15/26 4,671,550 6.625%, 02/15/27 2,066,800 6.750%, 08/15/26 9,162,120 7.125%, 02/15/23 2,87

24,490 7.250%, 08/15/22 (m) 33,46105,592 7.500%, 11/15/16 137,70

8,717 7.875%, 02/15/21 (m) 12,281,000 8.000%, 11/15/21 1,437,000 8.125%, 08/15/19 9,84

16,650 8.125%, 05/15/21 23,9111,880 8.500%, 02/15/20 17,22

172,245 8.750%, 05/15/17 240,8714,000 8.750%, 05/15/20 20,6638,739 8.750%, 08/15/20 57,37

213,150 8.875%, 08/15/17 301,24



2,736 8.875%, 02/15/19 (c) 3,983,100 9.250%, 02/15/16 4,325,094 9.875%, 11/15/15 (m) 7,24

11,250 10.625%, 08/15/15 16,313,650 11.250%, 02/15/15 (m) 5,31

U.S. Treasury Bonds Coupon STRIPS,

25,081 02/15/11 (c) 24,998,820 08/15/11 (c) 8,75

239 02/15/12 23399 08/15/12 38

26,132 11/15/12 (c) 25,3045,062 02/15/13 (c) 43,2131,374 08/15/13 (c) 29,6410,750 11/15/13 (c) 10,0578,676 02/15/14 (m) 72,9360,063 05/15/14 (m) 55,2541,062 08/15/14 (m) 37,4030,961 11/15/14 (c) 27,9131,209 02/15/15 (m) 27,859,895 05/15/15 8,734,941 08/15/15 (c) 4,31

38,361 11/15/15 (c) 33,1187,812 02/15/16 74,6622,450 05/15/16 (c) 18,7844,427 08/15/16 36,69

19,261

11/15/16 (c) 15,6782,408 02/15/17 (c) 66,2143,651 05/15/17 (c) 34,6720,310 08/15/17 15,9085,180 11/15/17 65,8526,250 02/15/18 (c) 20,0524,699 05/15/18 (c) 18,7211,897 02/15/19 (c) 8,661,500 08/15/19 (c) 1,06

21,100 05/15/20 14,3423,900 08/15/20 (c) 16,028,550 11/15/20 5,651,000 02/15/21 657,708 02/15/22 4,76

7,869

02/15/23 (c) 4,621,200 02/15/24 667,000 05/15/24 3,835,925 08/15/24 3,191,500 11/15/24 79

300 02/15/25 15300 05/15/26 14

1,250 05/15/29 521,120 11/15/29 46

500 02/15/30 201,175 05/15/36 36

U.S. Treasury Bonds Principal STRIPS,

15,750 08/15/15 13,748,096 11/15/15 (c) 6,98

2,500 05/15/17 1,995,200 08/15/17 4,08

11,475 02/15/19 8,364,550 05/15/20 3,10

10,109 U.S. Treasury Inflation Indexed Bonds, 3.625%, 04/15/28 (m) 17,36U.S. Treasury Inflation Indexed Notes,

1,000 2.000%, 04/15/12 1,122,000 2.000%, 07/15/14 2,46

22,853 4.250%, 01/15/10 29,47U.S. Treasury Notes,

31,700 1.375%, 09/15/12 32,0236,050 1.375%, 10/15/12 (c) 36,3810,000 1.750%, 01/31/14 10,0420,500 1.750%, 03/31/14 20,53

12,000 1.875%, 02/28/14 12,09



Percentages indicated are based on net assets.

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS :

19,000 2.375%, 03/31/16 18,887,000 2.625%, 06/30/14 (c) 7,24

19,000 2.625%, 02/29/16 19,1910,800 2.625%, 04/30/16 10,8816,650 3.875%, 02/15/13 18,062,000 4.500%, 11/30/11 2,15

91,000 4.500%, 05/15/17 (c) 101,579,500 4.625%, 02/15/17 10,69

48,250 4.750%, 08/15/17 54,635,000 6.500%, 02/15/10 (m) 5,06

Total U.S. Treasury Obligations(Cost $2,101,767) 2,217,07

HARES Common Stock — 0.0% Utilities — 0.0% (g) Independent Power Producers & Energy Traders — 0.0% (g)

1 Dynegy, Inc., Class A(Cost $—) (a) Short-Term Investment — 9.7% Investment Company — 9.7%

1,236,247 JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.150% (b) (l)(Cost $1,236,247) 1,236,24

PRINCIPAL

AMOUNT($) Investments of Cash Collateral for Securities on Loan — 2.4%

Asset-Backed Security — 0.0% (g)

1,599 GSAA Trust, Series 2006-3, Class A1, VAR, 0.316%, 12/30/09 (i) 1,08

Corporate Notes — 0.2% 13,500 Monumental Global Funding III, VAR, 0.312%, 05/24/10 (e) 13,3412,000 Pricoa Global Funding I, VAR, 0.410%, 12/15/09 (e) 11,96

25,31

HARES Investment Company — 2.2%

279,363 JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) 279,36

Total Investments of Cash Collateral for Securities on Loan

(Cost $306,463) 305,76Total Investments — 102.3%(Cost $12,574,816) 13,030,76Liabilities in Excess of Other Assets — (2.3)% (297,12

NET ASSETS — 100.0% $ 12,733,63

ARM — Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2009. CMO — Collateralized Mortgage Obligation ESOP — Employee Stock Ownership Program FHA — Federal Housing Administration GMAC — General Motors Acceptance Corp. GO — General Obligation HB — High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgag

with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very smalportion of principal. The high interest rates result from taking interest payments from other classes in the Real EstateMortgage Investment Conduit trust and allocating them to the small principal of the HB class.

HFC — Housing Finance Corp. F — Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a spec

index. The interest rate shown is the rate in effect as of November 30, 2009. The rate may be subject to a cap and floor.O — Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The

principal amount shown represents the par value on the underlying pool. The yields on these securities are subject toaccelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instrumentsa result, interest income may be reduced considerably.



As of November 30, 2009, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments forederal income tax purposes was as follows:

The various inputs that are used in determining the fair value of the Fund’s investments are summarized into the three broad levels listedelow.

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk,

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securit

The following table represents each valuation input by sector as presented in the Schedule of Portfolio Investments (amounts in thousands)

PO — Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The mavalue of these securities is extremely volatile in response to changes in market interest rates. As prepayments on theunderlying mortgages of these securities increase, the yield on these securities increases.

REMICS — Real Estate Mortgage Investment ConduitsTRIPS — Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade

individual interest and principal components of eligible notes and bonds as separate securities. UB — Step-Up Bond. The interest rate shown is the rate in effect as of November 30, 2009.

VA — Veterans Administration VAR — Variable Rate Security. The interest rate shown is the rate in effect as of November 30, 2009.

a) Non-income producing security.

b) Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P.Morgan Investment Management Inc. or JPMorgan Investment Advisors Inc.

c) Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction.

d) Defaulted Security.

e) Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, thissecurity has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactionsexempt from registration, normally to qualified institutional buyers.

f) Security is fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of

Trustees. The Fund owns fair valued securities with a value of approximately $519,000 which amounts to less than 0.1% of totalinvestments.

g) Amount rounds to less than 0.1%.

h) Amount rounds to less than one thousand (shares or dollars).

i) Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.

l) The rate shown is the current yield as of November 30, 2009.

m) All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securitiesdelayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts.

y) Affiliated issuer. Security was purchased prior to its affiliation with JPMorgan Chase & Co.

Aggregate gross unrealized appreciation $ 597,Aggregate gross unrealized depreciation (141,

Net unrealized appreciation/depreciation $ 455,

Federal income tax cost of investments $ 12,574,

Level 1Quoted prices

Level 2Other significant observable

inputs

Level 3Significant unobservable

inputs Total

nvestments in Securities



Common Stocks Utilities $ 2 $ — $ — $

Total Common Stocks 2 — —

Debt Securities Asset-Backed Securities — 288,166 — 288,Collateralized Mortgage Obligations — 5,047,155 519 5,047,Commercial Mortgage-Backed Securities — 172,368 — 172,Corporate Bonds

Consumer Discretionary — 84,852 — 84,

Consumer Staples — 78,964 — 78,Energy — 83,574 — 83,Financials — 834,457 — 834,Health Care — 27,494 — 27,Industrials — 51,417 — 51,Information Technology — 51,297 — 51,Materials — 37,958 — 37,Telecommunication Services — 142,658 — 142,Utilities — 159,471 — 159,

Total Corporate Bonds — 1,552,142 — 1,552,

Foreign Government Securities — 17,197 — 17,Mortgage Pass-Through Securities — 2,149,921 — 2,149,Municipal Bonds — 4,880 — 4,Supranational — 759 —

U.S. Government Agency Securities — 38,576 — 38,U.S. Treasury Obligations — 2,217,070 — 2,217,

hort-Term Investments Investment Companies 1,236,247 — — 1,236,

nvestments of Cash Collateral forSecurities on Loan Asset-Backed Securities — 1,089 — 1,Corporate Notes — 25,313 — 25,Investment Companies 279,363 — — 279,

Total Investments in Securities $ 1,515,612 $ 11,514,636 $ 519 $ 13,030,



The following is a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determiningalue (amounts in thousands):

Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period.

The change in unrealized appreciation (depreciation) attributable to securities owned at November 30, 2009, which were valued usingignificant unobservable inputs (level 3) amounted to approximately $65,000.

Balanceas of

02/28/09Realized

gain (loss)

Change inunrealized

appreciation(depreciation)

Netamortization /

accretion

Netpurchases

(sales)

Nettransfers in

(out)of Level 3

Balancas of

11/30/0

Investments in Securities Asset-Backed Securities $87 $ - $ - $ - $ - $(87)

Collateralized Mortgage Obligations - - 65 (3) 457 -Total $87 $ - $65 $ (3) $457 $(87)

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