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As Of Filer Filing For·On·As Docs:Size Issuer Agent 12/28/06 Fidelity Income Fund/MA N-Q 10/31/06 2:1.7M Fidelity Adv Series II → Fidelity GNMA Fund ⇒ FGMNX → Fidelity Government Income Fund ⇒ FGOVX → Fidelity Intermediate Government Income Fund ⇒ FSTGX → Fidelity Ultra-Short Bond Fund ⇒ 4 Classes/Contracts |
Document/Exhibit Description Pages Size
1: N-Q Quarterly Schedule of Portfolio Holdings of a HTML 1.60M
Management Investment Company
2: EX-99.CERT Miscellaneous Exhibit HTML 14K
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-4085
Fidelity Income Fund
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
|
Date of fiscal year end: |
July 31 |
|
|
|
|
Date of reporting period: |
Item 1. Schedule of Investments
Quarterly Holdings Report
for
Fidelity ® Government Income Fund
1.809070.102
GOV-QTLY-1206
Showing Percentage of Net Assets
|
U.S. Government and Government Agency Obligations - 60.3% |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Government Agency Obligations - 28.8% |
||||
|
Fannie Mae: |
|
|
|
|
|
3.25% 1/15/08 |
|
$ 6,965 |
$ 6,819 |
|
|
3.25% 8/15/08 |
|
4,812 |
4,676 |
|
|
3.25% 2/15/09 |
|
143,050 |
138,049 |
|
|
4% 9/2/08 |
|
13,225 |
12,988 |
|
|
4.25% 5/15/09 |
|
21,500 |
21,200 |
|
|
4.5% 10/15/08 |
|
81,560 |
80,983 |
|
|
4.625% 1/15/08 |
|
121,264 |
120,634 |
|
|
4.625% 10/15/13 |
|
3,320 |
3,256 |
|
|
4.75% 12/15/10 |
|
323,801 |
322,229 |
|
|
4.875% 4/15/09 |
|
77,610 |
77,627 |
|
|
5% 9/15/08 |
|
65,545 |
65,637 |
|
|
5.125% 4/15/11 |
|
210,000 |
212,033 |
|
|
5.125% 1/2/14 |
|
19,730 |
19,684 |
|
|
6.25% 2/1/11 |
|
25,315 |
26,471 |
|
|
6.375% 6/15/09 |
|
55,710 |
57,757 |
|
|
6.625% 9/15/09 |
|
1,620 |
1,695 |
|
|
Federal Home Loan Bank: |
|
|
|
|
|
4.5% 10/14/08 |
|
56,475 |
56,064 |
|
|
5% 9/18/09 |
|
26,920 |
27,058 |
|
|
5.375% 8/19/11 |
|
35,350 |
36,091 |
|
|
5.8% 9/2/08 |
|
26,570 |
26,926 |
|
|
Freddie Mac: |
|
|
|
|
|
3.875% 6/15/08 |
|
2,791 |
2,746 |
|
|
4% 8/17/07 |
|
8,282 |
8,205 |
|
|
4.25% 7/15/09 |
|
40,396 |
39,782 |
|
|
4.875% 11/15/13 |
|
14,070 |
14,008 |
|
|
5% 1/30/14 |
|
25,000 |
24,831 |
|
|
5.125% 4/18/08 |
|
66,000 |
66,155 |
|
|
5.125% 4/18/11 |
|
31,220 |
31,530 |
|
|
5.25% 7/18/11 |
|
29,000 |
29,448 |
|
|
5.5% 7/18/16 |
|
19,800 |
20,603 |
|
|
5.75% 1/15/12 |
|
1,686 |
1,752 |
|
|
5.75% 6/27/16 |
|
30,000 |
31,315 |
|
|
5.875% 3/21/11 |
|
48,555 |
50,104 |
|
|
Israeli State (guaranteed by U.S. Government through Agency for International Development): |
|
|
|
|
|
5.5% 9/18/23 |
|
110,500 |
115,582 |
|
|
6.6% 2/15/08 |
|
30,937 |
31,067 |
|
|
6.8% 2/15/12 |
|
30,000 |
31,830 |
|
|
U.S. Government and Government Agency Obligations - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Government Agency Obligations - continued |
||||
|
Overseas Private Investment Corp. U.S. Government guaranteed participation certificates: |
|
|
|
|
|
6.77% 11/15/13 |
|
$ 7,417 |
$ 7,640 |
|
|
6.99% 5/21/16 |
|
23,814 |
25,634 |
|
|
Private Export Funding Corp.: |
|
|
|
|
|
secured: |
|
|
|
|
|
5.66% 9/15/11 (c) |
|
18,000 |
18,540 |
|
|
5.685% 5/15/12 |
|
24,035 |
24,910 |
|
|
6.49% 7/15/07 |
|
5,000 |
5,039 |
|
|
6.67% 9/15/09 |
|
3,500 |
3,672 |
|
|
7.17% 5/15/07 |
|
12,900 |
13,028 |
|
|
4.974% 8/15/13 |
|
22,940 |
23,023 |
|
|
Small Business Administration guaranteed development participation certificates: |
|
|
|
|
|
Series 2002-20J Class 1, 4.75% 10/1/22 |
|
7,045 |
6,909 |
|
|
Series 2002-20K Class 1, 5.08% 11/1/22 |
|
16,851 |
16,810 |
|
|
Series 2003 P10B, 5.136% 8/10/13 |
|
14,362 |
14,367 |
|
|
Series 2004-20H Class 1, 5.17% 8/1/24 |
|
4,187 |
4,183 |
|
|
Tennessee Valley Authority 5.375% 4/1/56 |
|
8,429 |
8,690 |
|
|
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A, 5.96% 8/1/09 |
|
18,380 |
18,555 |
|
|
U.S. Trade Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank) 8.17% 1/15/07 |
|
384 |
386 |
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
2,008,221 |
|||
|
U.S. Treasury Inflation Protected Obligations - 10.9% |
||||
|
U.S. Treasury Inflation-Indexed Notes: |
|
|
|
|
|
0.875% 4/15/10 |
|
113,758 |
107,199 |
|
|
1.875% 7/15/13 |
|
83,258 |
80,617 |
|
|
2% 7/15/14 |
|
43,266 |
42,150 |
|
|
2.375% 4/15/11 |
|
461,320 |
458,802 |
|
|
2.5% 7/15/16 |
|
70,570 |
71,573 |
|
|
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS |
760,341 |
|||
|
U.S. Treasury Obligations - 20.6% |
||||
|
U.S. Treasury Bonds: |
|
|
|
|
|
6.125% 8/15/29 |
|
253,102 |
299,708 |
|
|
6.25% 8/15/23 |
|
1,500 |
1,746 |
|
|
8% 11/15/21 |
|
146,794 |
196,750 |
|
|
U.S. Government and Government Agency Obligations - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Treasury Obligations - continued |
||||
|
U.S. Treasury Notes: |
|
|
|
|
|
3.125% 9/15/08 (b) |
|
$ 21,500 |
$ 20,901 |
|
|
4% 11/15/12 |
|
11,000 |
10,673 |
|
|
4.25% 8/15/13 (b) |
|
28,945 |
28,384 |
|
|
4.25% 11/15/13 |
|
37,610 |
36,862 |
|
|
4.25% 8/15/14 |
|
9,000 |
8,798 |
|
|
4.25% 11/15/14 (b) |
|
322,185 |
314,722 |
|
|
4.25% 8/15/15 |
|
12,500 |
12,186 |
|
|
4.375% 12/15/10 |
|
5,230 |
5,191 |
|
|
4.5% 11/15/15 (b) |
|
276,800 |
274,702 |
|
|
4.75% 5/15/14 (b) |
|
143,431 |
144,865 |
|
|
4.875% 4/30/08 |
|
26,737 |
26,774 |
|
|
4.875% 5/15/09 |
|
3,432 |
3,452 |
|
|
4.875% 5/31/11 |
|
44,500 |
45,042 |
|
|
TOTAL U.S. TREASURY OBLIGATIONS |
1,430,756 |
|||
|
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,185,354) |
4,199,318 |
|||
|
U.S. Government Agency - Mortgage Securities - 23.1% |
||||
|
|
||||
|
Fannie Mae - 17.5% |
||||
|
3.73% 10/1/33 (f) |
|
852 |
836 |
|
|
3.732% 1/1/35 (f) |
|
1,183 |
1,167 |
|
|
3.75% 1/1/34 (f) |
|
798 |
782 |
|
|
3.763% 12/1/34 (f) |
|
898 |
886 |
|
|
3.768% 10/1/33 (f) |
|
832 |
817 |
|
|
3.786% 6/1/34 (f) |
|
3,825 |
3,734 |
|
|
3.793% 12/1/34 (f) |
|
185 |
183 |
|
|
3.81% 6/1/33 (f) |
|
624 |
616 |
|
|
3.829% 1/1/35 (f) |
|
2,262 |
2,230 |
|
|
3.835% 4/1/33 (f) |
|
2,359 |
2,329 |
|
|
3.849% 1/1/35 (f) |
|
705 |
694 |
|
|
3.851% 10/1/33 (f) |
|
23,293 |
22,943 |
|
|
3.867% 1/1/35 (f) |
|
1,378 |
1,362 |
|
|
3.881% 6/1/33 (f) |
|
3,135 |
3,094 |
|
|
3.888% 10/1/34 (f) |
|
855 |
843 |
|
|
3.917% 12/1/34 (f) |
|
702 |
696 |
|
|
3.942% 11/1/34 (f) |
|
1,446 |
1,423 |
|
|
3.951% 12/1/34 (f) |
|
687 |
681 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Fannie Mae - continued |
||||
|
3.952% 5/1/33 (f) |
|
$ 278 |
$ 274 |
|
|
3.953% 1/1/35 (f) |
|
888 |
878 |
|
|
3.979% 5/1/34 (f) |
|
249 |
253 |
|
|
3.995% 2/1/35 (f) |
|
705 |
698 |
|
|
4% 1/1/18 to 6/1/20 |
|
22,736 |
21,615 |
|
|
4.001% 12/1/34 (f) |
|
909 |
910 |
|
|
4.004% 1/1/35 (f) |
|
613 |
612 |
|
|
4.01% 12/1/34 (f) |
|
483 |
480 |
|
|
4.016% 12/1/34 (f) |
|
1,339 |
1,340 |
|
|
4.02% 1/1/35 (f) |
|
1,313 |
1,304 |
|
|
4.022% 2/1/35 (f) |
|
638 |
632 |
|
|
4.026% 1/1/35 (f) |
|
354 |
351 |
|
|
4.034% 10/1/18 (f) |
|
676 |
667 |
|
|
4.036% 1/1/35 (f) |
|
557 |
551 |
|
|
4.052% 1/1/35 (f) |
|
1,245 |
1,235 |
|
|
4.074% 5/1/33 (f) |
|
10,161 |
10,050 |
|
|
4.079% 2/1/35 (f) |
|
457 |
453 |
|
|
4.081% 4/1/33 (f) |
|
280 |
278 |
|
|
4.081% 2/1/35 (f) |
|
1,240 |
1,229 |
|
|
4.092% 11/1/34 (f) |
|
1,008 |
993 |
|
|
4.093% 2/1/35 (f) |
|
446 |
442 |
|
|
4.096% 2/1/35 (f) |
|
2,293 |
2,289 |
|
|
4.103% 1/1/35 (f) |
|
1,329 |
1,318 |
|
|
4.106% 1/1/35 (f) |
|
1,395 |
1,382 |
|
|
4.111% 2/1/35 (f) |
|
1,604 |
1,592 |
|
|
4.131% 2/1/35 (f) |
|
1,227 |
1,216 |
|
|
4.132% 1/1/35 (f) |
|
2,282 |
2,262 |
|
|
4.144% 1/1/35 (f) |
|
2,100 |
2,107 |
|
|
4.162% 11/1/34 (f) |
|
301 |
297 |
|
|
4.164% 1/1/35 (f) |
|
1,162 |
1,157 |
|
|
4.169% 1/1/35 (f) |
|
1,756 |
1,720 |
|
|
4.177% 1/1/35 (f) |
|
2,415 |
2,422 |
|
|
4.215% 1/1/35 (f) |
|
721 |
717 |
|
|
4.25% 2/1/35 (f) |
|
871 |
855 |
|
|
4.258% 1/1/34 (f) |
|
2,445 |
2,414 |
|
|
4.27% 8/1/33 (f) |
|
1,592 |
1,579 |
|
|
4.272% 2/1/35 (f) |
|
452 |
452 |
|
|
4.273% 12/1/34 (f) |
|
434 |
430 |
|
|
4.278% 3/1/35 (f) |
|
793 |
786 |
|
|
4.286% 10/1/33 (f) |
|
385 |
381 |
|
|
4.289% 10/1/34 (f) |
|
219 |
220 |
|
|
4.295% 3/1/33 (f) |
|
313 |
307 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Fannie Mae - continued |
||||
|
4.303% 5/1/35 (f) |
|
$ 1,054 |
$ 1,046 |
|
|
4.31% 3/1/33 (f) |
|
429 |
421 |
|
|
4.31% 3/1/33 (f) |
|
1,066 |
1,058 |
|
|
4.318% 6/1/33 (f) |
|
512 |
508 |
|
|
4.35% 1/1/35 (f) |
|
923 |
907 |
|
|
4.362% 2/1/34 (f) |
|
1,583 |
1,566 |
|
|
4.362% 4/1/35 (f) |
|
508 |
505 |
|
|
4.385% 11/1/34 (f) |
|
8,729 |
8,759 |
|
|
4.394% 10/1/34 (f) |
|
4,824 |
4,759 |
|
|
4.401% 5/1/35 (f) |
|
2,475 |
2,461 |
|
|
4.402% 2/1/35 (f) |
|
1,137 |
1,118 |
|
|
4.429% 3/1/35 (f) |
|
1,170 |
1,151 |
|
|
4.453% 8/1/34 (f) |
|
2,457 |
2,433 |
|
|
4.472% 5/1/35 (f) |
|
749 |
744 |
|
|
4.479% 1/1/35 (f) |
|
1,083 |
1,079 |
|
|
4.5% 2/1/18 to 10/1/21 |
|
33,023 |
31,986 |
|
|
4.5% 11/1/21 (d) |
|
65,015 |
62,895 |
|
|
4.5% 11/1/21 (d)(e) |
|
27,935 |
27,024 |
|
|
4.513% 1/1/35 (f) |
|
1,014 |
1,008 |
|
|
4.513% 2/1/35 (f) |
|
14,497 |
14,375 |
|
|
4.515% 10/1/35 (f) |
|
534 |
530 |
|
|
4.522% 2/1/35 (f) |
|
5,073 |
5,047 |
|
|
4.523% 2/1/35 (f) |
|
802 |
797 |
|
|
4.533% 7/1/35 (f) |
|
3,099 |
3,079 |
|
|
4.543% 1/1/35 (f) |
|
1,782 |
1,778 |
|
|
4.563% 2/1/35 (f) |
|
513 |
511 |
|
|
4.565% 9/1/34 (f) |
|
23,215 |
22,969 |
|
|
4.575% 7/1/35 (f) |
|
3,693 |
3,670 |
|
|
4.58% 2/1/35 (f) |
|
4,047 |
3,996 |
|
|
4.603% 7/1/34 (f) |
|
33,487 |
33,406 |
|
|
4.624% 3/1/35 (f) |
|
400 |
399 |
|
|
4.64% 1/1/33 (f) |
|
581 |
581 |
|
|
4.654% 3/1/35 (f) |
|
768 |
765 |
|
|
4.695% 9/1/34 (f) |
|
312 |
313 |
|
|
4.712% 2/1/33 (f) |
|
171 |
173 |
|
|
4.713% 10/1/32 (f) |
|
154 |
154 |
|
|
4.725% 10/1/34 (f) |
|
3,471 |
3,445 |
|
|
4.728% 7/1/34 (f) |
|
2,375 |
2,359 |
|
|
4.746% 5/1/33 (f) |
|
54 |
54 |
|
|
4.763% 10/1/32 (f) |
|
243 |
244 |
|
|
4.763% 12/1/34 (f) |
|
836 |
829 |
|
|
4.775% 1/1/35 (f) |
|
146 |
148 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Fannie Mae - continued |
||||
|
4.803% 12/1/32 (f) |
|
$ 1,077 |
$ 1,081 |
|
|
4.808% 8/1/34 (f) |
|
873 |
874 |
|
|
4.81% 6/1/35 (f) |
|
4,195 |
4,181 |
|
|
4.812% 11/1/34 (f) |
|
2,737 |
2,719 |
|
|
4.828% 2/1/33 (f) |
|
1,340 |
1,337 |
|
|
4.841% 10/1/35 (f) |
|
2,432 |
2,418 |
|
|
4.869% 7/1/34 (f) |
|
9,091 |
9,053 |
|
|
4.873% 10/1/34 (f) |
|
9,187 |
9,141 |
|
|
4.881% 8/1/34 (f) |
|
6,173 |
6,147 |
|
|
4.976% 2/1/35 (f) |
|
332 |
331 |
|
|
4.988% 11/1/32 (f) |
|
656 |
660 |
|
|
4.989% 12/1/32 (f) |
|
98 |
98 |
|
|
5% 12/1/15 to 12/1/35 |
|
201,009 |
195,526 |
|
|
5.057% 7/1/34 (f) |
|
438 |
438 |
|
|
5.058% 11/1/34 (f) |
|
205 |
205 |
|
|
5.077% 5/1/35 (f) |
|
5,285 |
5,287 |
|
|
5.079% 9/1/34 (f) |
|
7,008 |
7,001 |
|
|
5.095% 9/1/34 (f) |
|
872 |
871 |
|
|
5.1% 1/1/34 (f) |
|
112 |
113 |
|
|
5.179% 8/1/33 (f) |
|
1,253 |
1,255 |
|
|
5.181% 3/1/35 (f) |
|
509 |
509 |
|
|
5.183% 6/1/35 (f) |
|
3,709 |
3,715 |
|
|
5.288% 7/1/35 (f) |
|
498 |
499 |
|
|
5.339% 12/1/34 (f) |
|
1,369 |
1,373 |
|
|
5.492% 2/1/36 (f) |
|
16,606 |
16,695 |
|
|
5.5% 4/1/09 to 12/1/35 |
|
403,718 |
401,208 |
|
|
5.614% 1/1/36 (f) |
|
4,699 |
4,732 |
|
|
5.861% 6/1/35 (f) |
|
2,555 |
2,584 |
|
|
5.902% 1/1/36 (f) |
|
3,291 |
3,314 |
|
|
6% 9/1/17 to 2/1/34 |
|
56,607 |
57,228 |
|
|
6.5% 3/1/13 to 7/1/35 |
|
94,043 |
96,272 |
|
|
7% 7/1/13 to 7/1/32 |
|
6,613 |
6,840 |
|
|
7.5% 8/1/10 to 4/1/29 |
|
206 |
213 |
|
|
8% 1/1/22 |
|
33 |
33 |
|
|
8.5% 1/1/15 to 7/1/31 |
|
733 |
777 |
|
|
9% 11/1/11 to 5/1/14 |
|
789 |
792 |
|
|
9.5% 11/15/09 to 10/1/20 |
|
1,113 |
1,204 |
|
|
10% 8/1/10 |
|
9 |
9 |
|
|
11% 8/1/10 |
|
18 |
19 |
|
|
11.25% 5/1/14 |
|
10 |
11 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Fannie Mae - continued |
||||
|
11.5% 6/15/19 to 1/15/21 |
|
$ 1,720 |
$ 1,927 |
|
|
12.5% 8/1/15 to 3/1/16 |
|
4 |
5 |
|
|
|
1,216,209 |
|||
|
Freddie Mac - 2.6% |
||||
|
4.053% 12/1/34 (f) |
|
864 |
853 |
|
|
4.107% 1/1/35 (f) |
|
1,674 |
1,649 |
|
|
4.113% 12/1/34 (f) |
|
1,271 |
1,258 |
|
|
4.275% 3/1/35 (f) |
|
1,046 |
1,035 |
|
|
4.294% 5/1/35 (f) |
|
1,893 |
1,868 |
|
|
4.298% 12/1/34 (f) |
|
1,268 |
1,242 |
|
|
4.31% 2/1/35 (f) |
|
2,264 |
2,239 |
|
|
4.312% 1/1/35 (f) |
|
1,901 |
1,883 |
|
|
4.433% 2/1/34 (f) |
|
894 |
884 |
|
|
4.434% 6/1/35 (f) |
|
1,618 |
1,601 |
|
|
4.44% 3/1/35 (f) |
|
1,188 |
1,166 |
|
|
4.457% 3/1/35 (f) |
|
1,363 |
1,338 |
|
|
4.5% 11/1/18 to 9/1/19 |
|
6,710 |
6,499 |
|
|
4.548% 2/1/35 (f) |
|
1,707 |
1,678 |
|
|
4.704% 9/1/35 (f) |
|
30,428 |
30,245 |
|
|
4.783% 10/1/32 (f) |
|
165 |
166 |
|
|
4.809% 3/1/33 (f) |
|
460 |
458 |
|
|
4.99% 4/1/35 (f) |
|
5,832 |
5,815 |
|
|
5% 1/1/09 to 9/1/35 |
|
11,222 |
10,857 |
|
|
5.12% 4/1/35 (f) |
|
5,303 |
5,277 |
|
|
5.296% 6/1/35 (f) |
|
4,171 |
4,165 |
|
|
5.5% 11/1/20 to 11/1/36 |
|
49,583 |
49,399 |
|
|
5.565% 1/1/36 (f) |
|
8,022 |
8,040 |
|
|
5.614% 4/1/32 (f) |
|
188 |
189 |
|
|
5.628% 8/1/33 (f) |
|
504 |
508 |
|
|
6% 9/1/16 to 11/1/33 |
|
19,482 |
19,680 |
|
|
6.5% 10/1/32 to 10/1/36 |
|
20,190 |
20,623 |
|
|
7% 4/1/11 |
|
4 |
5 |
|
|
7.5% 5/1/11 to 7/1/16 |
|
2,967 |
3,082 |
|
|
8% 1/1/10 to 6/1/11 |
|
14 |
15 |
|
|
8.5% 8/1/08 to 9/1/29 |
|
285 |
304 |
|
|
9% 8/1/08 to 10/1/20 |
|
159 |
167 |
|
|
9.5% 6/1/09 to 8/1/21 |
|
453 |
488 |
|
|
9.75% 8/1/14 |
|
163 |
174 |
|
|
10% 7/1/09 to 8/1/21 |
|
52 |
56 |
|
|
11% 7/1/13 to 5/1/14 |
|
93 |
102 |
|
|
12% 8/1/13 to 3/1/15 |
|
3 |
4 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Freddie Mac - continued |
||||
|
12.25% 4/1/11 to 9/1/13 |
|
$ 7 |
$ 8 |
|
|
12.5% 2/1/10 to 6/1/19 |
|
54 |
60 |
|
|
13% 8/1/10 to 6/1/15 |
|
12 |
13 |
|
|
|
185,093 |
|||
|
Government National Mortgage Association - 3.0% |
||||
|
3.75% 1/20/34 (f) |
|
5,394 |
5,352 |
|
|
4.25% 7/20/34 (f) |
|
1,300 |
1,288 |
|
|
6% 7/15/08 to 12/15/10 |
|
2,692 |
2,739 |
|
|
6.5% 2/15/24 to 10/15/36 |
|
108,612 |
111,722 |
|
|
6.5% 11/1/36 (d) |
|
62,848 |
64,542 |
|
|
6.5% 11/1/36 (d) |
|
21,082 |
21,650 |
|
|
7% 10/15/26 to 8/15/32 |
|
49 |
51 |
|
|
7.5% 4/15/07 to 8/15/29 |
|
193 |
201 |
|
|
8% 11/15/07 to 12/15/23 |
|
1,681 |
1,782 |
|
|
8.5% 10/15/08 to 1/15/25 |
|
25 |
26 |
|
|
9% 12/15/09 |
|
1 |
1 |
|
|
9.5% 2/15/25 |
|
1 |
1 |
|
|
10.5% 4/15/14 to 1/20/18 |
|
120 |
136 |
|
|
13.5% 7/15/11 |
|
9 |
10 |
|
|
|
209,501 |
|||
|
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,621,789) |
1,610,803 |
|||
|
Asset-Backed Securities - 0.7% |
||||
|
|
||||
|
Fannie Mae Grantor Trust Series 2005-T4 Class A1C,
5.47% 9/25/35 (f) |
|
49,655 |
49,744 |
|
|
Collateralized Mortgage Obligations - 13.8% |
||||
|
|
||||
|
U.S. Government Agency - 13.8% |
||||
|
Fannie Mae: |
|
|
|
|
|
planned amortization class: |
|
|
|
|
|
Series 1991-170 Class E, 8% 12/25/06 |
|
3 |
3 |
|
|
Series 1992-168 Class KB, 7% 10/25/22 |
|
1,776 |
1,826 |
|
|
Series 1993-109 Class NZ, 6% 7/25/08 |
|
2,183 |
2,185 |
|
|
Series 1993-187 Class L, 6.5% 7/25/23 |
|
826 |
840 |
|
|
Series 1993-207 Class H, 6.5% 11/25/23 |
|
18,360 |
19,039 |
|
|
Series 1993-240 Class PD, 6.25% 12/25/13 |
|
8,400 |
8,536 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Government Agency - continued |
||||
|
Fannie Mae: - continued |
|
|
|
|
|
planned amortization class: |
|
|
|
|
|
Series 1994-23 Class PG, 6% 4/25/23 |
|
$ 8,228 |
$ 8,234 |
|
|
Series 1994-27 Class PJ, 6.5% 6/25/23 |
|
1,750 |
1,750 |
|
|
Series 1994-50 Class PJ, 6.5% 8/25/23 |
|
11,201 |
11,256 |
|
|
Series 1996-28 Class PK, 6.5% 7/25/25 |
|
4,114 |
4,282 |
|
|
Series 2003-24 CLass PB, 4.5% 12/25/12 |
|
11,011 |
10,918 |
|
|
Series 2003-28 Class KG, 5.5% 4/25/23 |
|
4,940 |
4,875 |
|
|
Series 2003-39 Class PV, 5.5% 9/25/22 |
|
1,845 |
1,843 |
|
|
Series 2006-45 Class OP, 6/25/36 (g) |
|
7,261 |
5,573 |
|
|
Series 2006-62 Class KP, 4/25/36 (g) |
|
14,411 |
10,552 |
|
|
sequential payer Series 1997-41 Class J, 7.5% 6/18/27 |
|
3,591 |
3,782 |
|
|
Fannie Mae Grantor Trust: |
|
|
|
|
|
floater Series 2005-93: |
|
|
|
|
|
Class MF, 5.57% 8/25/34 (f) |
|
30,063 |
30,066 |
|
|
Class NF, 5.57% 8/25/34 (f) |
|
18,903 |
18,905 |
|
|
planned amortization class: |
|
|
|
|
|
Series 2005-81 Class PC, 5.5% 9/25/35 |
|
2,150 |
2,108 |
|
|
Series 2005-84 Class MB, 5.75% 10/25/35 |
|
20,386 |
20,598 |
|
|
Fannie Mae guaranteed REMIC pass thru certificates: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2001-38 Class QF, 6.3% 8/25/31 (f) |
|
924 |
944 |
|
|
Series 2002-49 Class FB, 5.92% 11/18/31 (f) |
|
1,369 |
1,387 |
|
|
Series 2002-60 Class FV, 6.32% 4/25/32 (f) |
|
563 |
576 |
|
|
Series 2002-68 Class FH, 5.82% 10/18/32 (f) |
|
3,407 |
3,437 |
|
|
Series 2002-75 Class FA, 6.32% 11/25/32 (f) |
|
1,154 |
1,180 |
|
|
Series 2003-122 Class FL, 5.67% 7/25/29 (f) |
|
3,691 |
3,708 |
|
|
Series 2003-131 Class FM, 5.72% 12/25/29 (f) |
|
2,662 |
2,671 |
|
|
Series 2003-15 Class WF, 5.67% 8/25/17 (f) |
|
1,168 |
1,173 |
|
|
Series 2004-33 Class FW, 5.72% 8/25/25 (f) |
|
6,346 |
6,380 |
|
|
Series 2004-54 Class FE, 6.47% 2/25/33 (f) |
|
522 |
523 |
|
|
Series 2005-46 Class FW, 5.72% 6/25/36 (f) |
|
19,292 |
19,355 |
|
|
Series 2006-79: |
|
|
|
|
|
Class GF, 5.72% 8/25/36 (f) |
|
14,401 |
14,445 |
|
|
Class PF, 5.72% 8/25/36 (f) |
|
17,294 |
17,341 |
|
|
planned amortization class: |
|
|
|
|
|
Series 2001-30 Class PL, 7% 2/25/31 |
|
285 |
284 |
|
|
Series 2002-18 Class PC, 5.5% 4/25/17 |
|
1,170 |
1,173 |
|
|
Series 2002-25 Class PD, 6.5% 3/25/31 |
|
16,008 |
16,085 |
|
|
Series 2003-113 Class PJ, 3.5% 2/25/13 |
|
1,621 |
1,587 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Government Agency - continued |
||||
|
Fannie Mae guaranteed REMIC pass thru certificates: - continued |
|
|
|
|
|
planned amortization class: |
|
|
|
|
|
Series 2003-73 Class GA, 3.5% 5/25/31 |
|
$ 4,544 |
$ 4,254 |
|
|
Series 2003-91 Class HA, 4.5% 11/25/16 |
|
11,521 |
11,306 |
|
|
Series 2004-21 Class QE, 4.5% 11/25/32 |
|
1,500 |
1,405 |
|
|
Series 2005-102 Class CO, 11/25/35 (g) |
|
7,216 |
5,348 |
|
|
Series 2006-12 Class BO, 10/25/35 (g) |
|
33,378 |
24,968 |
|
|
Series 2006-37 Class OW, 5/25/36 (g) |
|
7,297 |
5,604 |
|
|
Series 2006-49 Class CA, 6% 2/25/31 |
|
6,071 |
6,141 |
|
|
Series 2006-51 Class PB, 5.5% 8/25/33 |
|
1,555 |
1,545 |
|
|
sequential payer: |
|
|
|
|
|
Series 2001-46 Class ZG, 6% 9/25/31 |
|
8,174 |
8,296 |
|
|
Series 2002-79 Class Z, 5.5% 11/25/22 |
|
28,816 |
28,394 |
|
|
Series 2004-3 Class BA, 4% 7/25/17 |
|
831 |
801 |
|
|
Series 2004-86 Class KC, 4.5% 5/25/19 |
|
3,664 |
3,566 |
|
|
Series 2004-91 Class AH, 4.5% 5/25/29 |
|
7,264 |
7,066 |
|
|
Series 2005-117 Class JN, 4.5% 1/25/36 |
|
645 |
573 |
|
|
Series 2005-41 Class WY, 5.5% 5/25/25 |
|
20,552 |
20,081 |
|
|
Series 2005-55 Class LY, 5.5% 7/25/25 |
|
2,580 |
2,518 |
|
|
Series 2002-50 Class LE, 7% 12/25/29 |
|
293 |
294 |
|
|
Freddie Mac: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2344 Class FP, 6.27% 8/15/31 (f) |
|
4,164 |
4,264 |
|
|
Series 3028 Class FM, 5.57% 9/15/35 (f) |
|
21,123 |
21,130 |
|
|
planned amortization class: |
|
|
|
|
|
Series 1413 Class J, 4% 11/15/07 |
|
651 |
646 |
|
|
Series 2356 Class GD, 6% 9/15/16 |
|
745 |
758 |
|
|
Series 2512 Class PG, 5.5% 10/15/22 |
|
2,000 |
1,963 |
|
|
Series 3149 Class OD, 5/15/36 (g) |
|
35,997 |
25,715 |
|
|
sequential payer: |
|
|
|
|
|
Series 2114 Class ZM, 6% 1/15/29 |
|
3,043 |
3,088 |
|
|
Series 2343 Class VD, 7% 8/15/16 |
|
873 |
874 |
|
|
Series 2361 Class KB, 6.25% 1/15/28 |
|
265 |
265 |
|
|
Series 2516 Class AH, 5% 1/15/16 |
|
3,029 |
3,010 |
|
|
Freddie Mac Manufactured Housing participation certificates guaranteed: |
|
|
|
|
|
floater Series 1686 Class FA, 6.275% 2/15/24 (f) |
|
1,017 |
1,033 |
|
|
planned amortization class Series 1681 Class PJ, 7% 12/15/23 |
|
11,356 |
11,609 |
|
|
Series 1560 Class PN, 7% 12/15/12 |
|
11,753 |
11,796 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Government Agency - continued |
||||
|
Freddie Mac Multi-class participation certificates guaranteed: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2389 Class DA, 6.22% 11/15/30 (f) |
|
$ 1,524 |
$ 1,530 |
|
|
Series 2406: |
|
|
|
|
|
Class FP, 6.3% 1/15/32 (f) |
|
8,300 |
8,484 |
|
|
Class PF, 6.3% 12/15/31 (f) |
|
8,133 |
8,312 |
|
|
Series 2410 Class PF, 6.3% 2/15/32 (f) |
|
21,852 |
22,399 |
|
|
Series 2412 Class GF, 6.27% 2/15/32 (f) |
|
3,440 |
3,513 |
|
|
Series 2448 Class FT, 6.32% 3/15/32 (f) |
|
1,389 |
1,424 |
|
|
Series 2530 Class FE, 5.92% 2/15/32 (f) |
|
791 |
799 |
|
|
Series 2608 Class FJ, 5.72% 3/15/17 (f) |
|
10,775 |
10,876 |
|
|
Series 2638 Class FA, 5.72% 11/15/16 (f) |
|
10,099 |
10,168 |
|
|
Series 2644 Class EF, 5.67% 2/15/18 (f) |
|
11,525 |
11,595 |
|
|
Series 2861: |
|
|
|
|
|
Class GF, 5.62% 1/15/21 (f) |
|
3,587 |
3,593 |
|
|
Class JF, 5.62% 4/15/17 (f) |
|
736 |
740 |
|
|
Series 2994 Class FB, 5.47% 6/15/20 (f) |
|
5,103 |
5,099 |
|
|
Series 3008 Class SM, 0% 7/15/35 (f) |
|
408 |
386 |
|
|
planned amortization class: |
|
|
|
|
|
Series 1141 Class G, 9% 9/15/21 |
|
500 |
500 |
|
|
Series 1614 Class L, 6.5% 7/15/23 |
|
7,017 |
7,130 |
|
|
Series 1671 Class G, 6.5% 8/15/23 |
|
2,376 |
2,377 |
|
|
Series 1727 Class H, 6.5% 8/15/23 |
|
1,696 |
1,696 |
|
|
Series 2006-15 Class OP, 3/25/36 (g) |
|
8,577 |
6,177 |
|
|
Series 2543 CLass PM, 5.5% 8/15/18 |
|
490 |
489 |
|
|
Series 2587 Class UP, 4% 8/15/25 |
|
1,473 |
1,467 |
|
|
Series 2622 Class PE, 4.5% 5/15/18 |
|
2,640 |
2,539 |
|
|
Series 2625 Class QX, 2.25% 3/15/22 |
|
138 |
135 |
|
|
Series 2628 Class OE, 4.5% 6/15/18 |
|
11,000 |
10,532 |
|
|
Series 2640: |
|
|
|
|
|
Class GE, 4.5% 7/15/18 |
|
7,310 |
7,026 |
|
|
Class QG, 2% 4/15/22 |
|
178 |
173 |
|
|
Series 2660 Class ML, 3.5% 7/15/22 |
|
10,000 |
9,814 |
|
|
Series 2682 Class LD, 4.5% 10/15/33 |
|
777 |
692 |
|
|
Series 2683 Class UH, 3% 3/15/19 |
|
787 |
782 |
|
|
Series 2690: |
|
|
|
|
|
Class PD, 5% 2/15/27 |
|
12,900 |
12,803 |
|
|
Class TB, 4.5% 12/15/17 |
|
1,663 |
1,659 |
|
|
Series 2752 Class PW, 4% 4/15/22 |
|
3,270 |
3,215 |
|
|
Series 2755 Class LC, 4% 6/15/27 |
|
12,735 |
12,273 |
|
|
Series 2760 Class EC, 4.5% 4/15/17 |
|
8,098 |
7,853 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Government Agency - continued |
||||
|
Freddie Mac Multi-class participation certificates guaranteed: - continued |
|
|
|
|
|
planned amortization class: |
|
|
|
|
|
Series 2763 Class PD, 4.5% 12/15/17 |
|
$ 12,325 |
$ 11,917 |
|
|
Series 2770 Class UD, 4.5% 5/15/17 |
|
15,620 |
15,130 |
|
|
Series 2780 Class OC, 4.5% 3/15/17 |
|
5,940 |
5,820 |
|
|
Series 2802 Class OB, 6% 5/15/34 |
|
10,455 |
10,627 |
|
|
Series 2810 Class PD, 6% 6/15/33 |
|
995 |
1,007 |
|
|
Series 2828 Class JA, 4.5% 1/15/10 |
|
4,292 |
4,279 |
|
|
Series 2831 Class PB, 5% 7/15/19 |
|
6,020 |
5,893 |
|
|
Series 2885 Class PC, 4.5% 3/15/18 |
|
7,970 |
7,765 |
|
|
Series 2937 Class KC, 4.5% 2/15/20 |
|
19,686 |
18,705 |
|
|
Series 2966 Class XC, 5.5% 1/15/31 |
|
25,111 |
25,033 |
|
|
Series 3077 Class TO, 4/15/35 (g) |
|
18,863 |
13,805 |
|
|
Series 3100 Class PO, 1/15/36 (g) |
|
8,188 |
6,139 |
|
|
Series 3102 Class OH, 1/15/36 (g) |
|
8,560 |
6,480 |
|
|
Series 3110 Class OP, 9/15/35 (g) |
|
17,700 |
12,942 |
|
|
Series 3119 Class PO, 2/15/36 (g) |
|
21,321 |
15,325 |
|
|
Series 3121 Class KO, 3/15/36 (g) |
|
7,566 |
5,808 |
|
|
Series 3122 Class OP, 3/15/36 (g) |
|
14,911 |
11,034 |
|
|
Series 3123 Class LO, 3/15/36 (g) |
|
13,750 |
9,818 |
|
|
Series 3140 Class XO, 3/15/36 (g) |
|
9,882 |
7,377 |
|
|
Series 3145 Class GO, 4/15/36 (g) |
|
12,481 |
8,947 |
|
|
Series 3151 Class PO, 5/15/36 (g) |
|
13,300 |
9,537 |
|
|
sequential payer: |
|
|
|
|
|
Series 2448 Class VH, 6.5% 5/15/18 |
|
895 |
892 |
|
|
Series 2492 Class A, 5.25% 5/15/29 |
|
626 |
625 |
|
|
Series 2546 Class MJ, 5.5% 3/15/23 |
|
2,861 |
2,801 |
|
|
Series 2587 Class AD, 4.71% 3/15/33 |
|
5,785 |
5,167 |
|
|
Series 2601 Class TB, 5.5% 4/15/23 |
|
869 |
850 |
|
|
Series 2617 Class GW, 3.5% 6/15/16 |
|
1,847 |
1,803 |
|
|
Series 2675 Class CB, 4% 5/15/16 |
|
2,387 |
2,315 |
|
|
Series 2677 Class HG, 3% 8/15/12 |
|
2,036 |
1,996 |
|
|
Series 2683 Class JA, 4% 10/15/16 |
|
2,435 |
2,358 |
|
|
Series 2750 Class ZT, 5% 2/15/34 |
|
982 |
882 |
|
|
Series 2773 Class HC, 4.5% 4/15/19 |
|
704 |
653 |
|
|
Series 2809 Class UA, 4% 12/15/14 |
|
4,098 |
4,010 |
|
|
Series 2866 Class N, 4.5% 12/15/18 |
|
7,093 |
6,974 |
|
|
Series 2998 Class LY, 5.5% 7/15/25 |
|
2,011 |
1,963 |
|
|
Series 3007 Class EW, 5.5% 7/15/25 |
|
8,875 |
8,661 |
|
|
Series 3013 Class VJ, 5% 1/15/14 |
|
2,171 |
2,150 |
|
|
Series 2769 Class BU, 5% 3/15/34 |
|
6,521 |
6,150 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Government Agency - continued |
||||
|
Freddie Mac Multi-class participation certificates guaranteed: - continued |
|
|
|
|
|
target amortization class: |
|
|
|
|
|
Series 2156 Class TC, 6.25% 5/15/29 |
|
$ 11,852 |
$ 12,091 |
|
|
Series 2877 Class JC, 5% 10/15/34 |
|
1,498 |
1,472 |
|
|
Ginnie Mae guaranteed REMIC pass thru securities planned amortization class: |
|
|
|
|
|
Series 1997-8 Class PE, 7.5% 5/16/27 |
|
5,607 |
5,919 |
|
|
Series 2005-58 Class NJ, 4.5% 8/20/35 |
|
21,605 |
21,192 |
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $962,760) |
960,293 |
|||
|
Cash Equivalents - 15.4% |
|||
|
Maturity Amount (000s) |
|
||
|
Investments in repurchase agreements in a joint trading account at 5.32%, dated 10/31/06 due 11/1/06: |
|
|
|
|
(Collateralized by U.S. Government Obligations) # |
$ 269,478 |
269,438 |
|
|
(Collateralized by U.S. Government Obligations) (a) # |
799,966 |
799,848 |
|
|
TOTAL CASH EQUIVALENTS (Cost $1,069,286) |
1,069,286 |
||
|
TOTAL INVESTMENT PORTFOLIO - 113.3% (Cost $7,888,844) |
7,889,444 |
||
|
NET OTHER ASSETS - (13.3)% |
(923,110) |
||
|
NET ASSETS - 100% |
$ 6,966,334 |
||
|
Swap Agreements |
|||||
|
|
Expiration Date |
Notional Amount (000s) |
Value |
||
|
Interest Rate Swaps |
|||||
|
Receive quarterly a fixed rate equal to 4.508% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. |
August 2010 |
$ 8,000 |
$ (147) |
||
|
Receive semi-annually a fixed rate equal to 4.708% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. |
Oct. 2010 |
9,000 |
(103) |
||
|
|
$ 17,000 |
$ (250) |
|||
|
Legend |
|
(a) Includes investment made with cash collateral received from securities on loan. |
|
(b) Security or a portion of the security is on loan at period end. |
|
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $18,540,000 or 0.3% of net assets. |
|
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
|
(e) A portion of the security is subject to a forward commitment to sell. |
|
(f) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
|
(g) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
|
# Additional Information on each counterparty to the repurchase agreement is as follows: |
|
Repurchase Agreement / Counterparty |
Value |
|
$269,438,000 due 11/01/06 at 5.32% |
|
|
ABN AMRO Bank N.V., New York Branch |
$ 3,687 |
|
BNP Paribas Securities Corp. |
29,496 |
|
Banc of America Securities LLC |
87,748 |
|
Bank of America, NA |
16,960 |
|
Barclays Capital, Inc. |
43,122 |
|
Countrywide Securities Corp. |
44,244 |
|
Credit Suisse Securities (USA) LLC |
2,334 |
|
HSBC Securities (USA), Inc. |
7,374 |
|
Morgan Stanley & Co., Inc. |
4,977 |
|
Societe Generale, New York Branch |
3,687 |
|
UBS Securities LLC |
22,122 |
|
WestLB AG |
3,687 |
|
|
$ 269,438 |
|
$799,848,000 due 11/01/06 at 5.32% |
|
|
Barclays Capital, Inc. |
$ 799,848 |
|
Income Tax Information |
|
At October 31, 2006, the aggregate cost of investment securities for income tax purposes was $7,888,560,000. Net unrealized appreciation aggregated $884,000, of which $58,226,000 related to appreciated investment securities and $57,342,000 related to depreciated investment securities. |
|
Investment Valuation |
|
Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Swaps are marked-to-market daily based on dealer-supplied valuations. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. |
|
For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report. |
Quarterly Report
|
The fund's schedule of investments as of the date on the cover of this report has not
been audited. This report is provided for the general information of the fund's
shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report. |
Quarterly Report
Quarterly Holdings Report
for
Fidelity ® Ginnie Mae Fund
1.809097.102
MOG-QTLY-1206
Showing Percentage of Net Assets
|
U.S. Government Agency - Mortgage Securities - 82.9% |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Fannie Mae - 2.6% |
||||
|
3.768% 10/1/33 (b) |
|
$ 505 |
$ 496 |
|
|
3.817% 10/1/33 (b) |
|
4,289 |
4,216 |
|
|
3.835% 4/1/33 (b) |
|
1,413 |
1,395 |
|
|
4.171% 3/1/35 (b) |
|
2,063 |
2,056 |
|
|
4.258% 1/1/34 (b) |
|
1,269 |
1,253 |
|
|
4.286% 10/1/33 (b) |
|
206 |
204 |
|
|
4.289% 10/1/34 (b) |
|
155 |
155 |
|
|
4.295% 3/1/33 (b) |
|
225 |
220 |
|
|
4.31% 3/1/33 (b) |
|
568 |
564 |
|
|
4.318% 6/1/33 (b) |
|
269 |
267 |
|
|
4.362% 4/1/35 (b) |
|
302 |
300 |
|
|
4.394% 10/1/34 (b) |
|
2,506 |
2,472 |
|
|
4.401% 5/1/35 (b) |
|
1,477 |
1,469 |
|
|
4.515% 10/1/35 (b) |
|
178 |
177 |
|
|
4.533% 7/1/35 (b) |
|
1,822 |
1,810 |
|
|
4.543% 1/1/35 (b) |
|
961 |
958 |
|
|
4.58% 2/1/35 (b) |
|
2,065 |
2,039 |
|
|
4.624% 3/1/35 (b) |
|
212 |
211 |
|
|
4.64% 1/1/33 (b) |
|
311 |
311 |
|
|
4.695% 9/1/34 (b) |
|
163 |
163 |
|
|
4.712% 2/1/33 (b) |
|
91 |
92 |
|
|
4.713% 10/1/32 (b) |
|
83 |
83 |
|
|
4.746% 5/1/33 (b) |
|
27 |
27 |
|
|
4.762% 1/1/35 (b) |
|
1,730 |
1,716 |
|
|
4.763% 10/1/32 (b) |
|
129 |
129 |
|
|
4.763% 12/1/34 (b) |
|
499 |
495 |
|
|
4.775% 1/1/35 (b) |
|
85 |
86 |
|
|
4.808% 8/1/34 (b) |
|
466 |
467 |
|
|
4.828% 2/1/33 (b) |
|
680 |
678 |
|
|
4.835% 9/1/34 (b) |
|
863 |
859 |
|
|
4.841% 10/1/35 (b) |
|
1,234 |
1,227 |
|
|
4.976% 2/1/35 (b) |
|
179 |
178 |
|
|
4.988% 11/1/32 (b) |
|
350 |
353 |
|
|
4.989% 12/1/32 (b) |
|
53 |
53 |
|
|
4.991% 9/1/34 (b) |
|
755 |
753 |
|
|
5.057% 7/1/34 (b) |
|
231 |
231 |
|
|
5.058% 11/1/34 (b) |
|
114 |
114 |
|
|
5.077% 5/1/35 (b) |
|
3,107 |
3,108 |
|
|
5.095% 9/1/34 (b) |
|
436 |
436 |
|
|
5.179% 8/1/33 (b) |
|
669 |
671 |
|
|
5.181% 3/1/35 (b) |
|
254 |
254 |
|
|
5.183% 6/1/35 (b) |
|
2,190 |
2,194 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Fannie Mae - continued |
||||
|
5.209% 7/1/35 (b) |
|
$ 2,058 |
$ 2,064 |
|
|
5.288% 7/1/35 (b) |
|
267 |
268 |
|
|
5.339% 12/1/34 (b) |
|
713 |
715 |
|
|
5.5% 11/1/13 to 3/1/25 |
|
24,259 |
24,299 |
|
|
6.5% 10/1/17 to 7/1/32 |
|
18,026 |
18,471 |
|
|
7% 11/1/16 to 3/1/17 |
|
2,052 |
2,100 |
|
|
7.5% 1/1/07 to 4/1/17 |
|
3,080 |
3,174 |
|
|
8.5% 12/1/27 |
|
336 |
363 |
|
|
9.5% 9/1/30 |
|
471 |
522 |
|
|
10.25% 10/1/18 |
|
13 |
14 |
|
|
11.5% 5/1/14 to 9/1/15 |
|
35 |
39 |
|
|
12.5% 11/1/13 to 7/1/16 |
|
77 |
87 |
|
|
13.25% 9/1/11 |
|
50 |
56 |
|
|
|
87,112 |
|||
|
Freddie Mac - 0.8% |
||||
|
4.783% 10/1/32 (b) |
|
88 |
89 |
|
|
4.809% 3/1/33 (b) |
|
244 |
243 |
|
|
5.296% 6/1/35 (b) |
|
2,069 |
2,066 |
|
|
5.5% 11/1/17 to 3/1/25 |
|
24,492 |
24,386 |
|
|
5.614% 4/1/32 (b) |
|
101 |
102 |
|
|
8.5% 2/1/09 to 6/1/25 |
|
71 |
75 |
|
|
9% 7/1/08 to 7/1/21 |
|
181 |
187 |
|
|
9.5% 7/1/30 to 8/1/30 |
|
156 |
175 |
|
|
9.75% 12/1/08 to 4/1/13 |
|
9 |
10 |
|
|
10% 1/1/09 to 11/1/20 |
|
358 |
388 |
|
|
10.25% 2/1/09 to 11/1/16 |
|
165 |
171 |
|
|
10.5% 5/1/10 |
|
4 |
4 |
|
|
11.25% 2/1/10 |
|
16 |
16 |
|
|
11.75% 11/1/11 |
|
10 |
11 |
|
|
12% 5/1/10 to 2/1/17 |
|
70 |
78 |
|
|
12.5% 11/1/12 to 5/1/15 |
|
104 |
117 |
|
|
13% 5/1/14 to 11/1/14 |
|
12 |
14 |
|
|
13.5% 1/1/13 to 12/1/14 |
|
6 |
7 |
|
|
|
28,139 |
|||
|
Government National Mortgage Association - 79.5% |
||||
|
3.5% 3/20/34 |
|
1,259 |
1,093 |
|
|
3.5% 5/20/34 (b) |
|
1,514 |
1,494 |
|
|
3.5% 5/20/35 (b) |
|
1,991 |
1,938 |
|
|
3.5% 6/20/35 (b) |
|
2,122 |
2,065 |
|
|
3.75% 1/20/34 (b) |
|
2,626 |
2,605 |
|
|
3.75% 4/20/34 (b) |
|
6,797 |
6,719 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Government National Mortgage Association - continued |
||||
|
3.75% 5/20/34 (b) |
|
$ 3,288 |
$ 3,250 |
|
|
3.75% 6/20/34 (b) |
|
9,338 |
9,231 |
|
|
3.75% 5/20/35 (b) |
|
8,918 |
8,717 |
|
|
3.75% 6/20/35 (b) |
|
5,183 |
5,066 |
|
|
4% 11/20/33 |
|
1,585 |
1,431 |
|
|
4% 2/20/35 (b) |
|
19,240 |
18,928 |
|
|
4% 4/20/35 (b) |
|
3,594 |
3,527 |
|
|
4.25% 7/20/34 (b) |
|
1,300 |
1,288 |
|
|
4.5% 4/15/18 to 4/20/34 |
|
142,102 |
136,238 |
|
|
4.5% 9/20/34 (b) |
|
6,337 |
6,292 |
|
|
4.5% 2/20/35 (b) |
|
27,496 |
27,235 |
|
|
4.5% 3/20/35 (b) |
|
1,190 |
1,178 |
|
|
4.5% 6/20/35 (b) |
|
5,731 |
5,702 |
|
|
5% 4/15/24 to 7/20/36 |
|
599,192 |
584,065 |
|
|
5% 2/20/35 (b) |
|
145 |
145 |
|
|
5% 6/20/35 (b) |
|
6,626 |
6,564 |
|
|
5% 6/20/35 (b) |
|
16,401 |
16,351 |
|
|
5.5% 12/20/18 to 9/20/36 |
|
797,253 |
792,956 |
|
|
5.5% 11/1/36 (a) |
|
30,000 |
29,868 |
|
|
5.5% 11/1/36 (a) |
|
22,000 |
21,840 |
|
|
5.75% 8/20/35 (b) |
|
754 |
757 |
|
|
6% 8/15/17 to 9/20/34 |
|
568,185 |
577,347 |
|
|
6.5% 4/15/23 to 8/15/36 |
|
211,776 |
217,947 |
|
|
7% 3/15/22 to 9/20/34 |
|
110,740 |
115,038 |
|
|
7.25% 9/15/27 to 12/15/30 |
|
354 |
370 |
|
|
7.395% 6/20/25 to 11/20/27 |
|
2,183 |
2,272 |
|
|
7.5% 2/15/07 to 9/20/32 |
|
52,403 |
54,983 |
|
|
8% 1/15/07 to 7/15/32 |
|
12,632 |
13,380 |
|
|
8.5% 7/15/08 to 2/15/31 |
|
4,987 |
5,346 |
|
|
9% 5/15/08 to 5/15/30 |
|
2,010 |
2,200 |
|
|
9.5% 12/20/15 to 4/20/17 |
|
671 |
738 |
|
|
10.5% 1/15/14 to 9/15/19 |
|
711 |
797 |
|
|
13% 2/15/11 to 1/15/15 |
|
163 |
188 |
|
|
13.5% 7/15/10 to 1/15/15 |
|
26 |
30 |
|
|
|
2,687,179 |
|||
|
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,805,101) |
2,802,430 |
|||
|
Asset-Backed Securities - 0.9% |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Fannie Mae Grantor Trust Series 2005-T4 Class A1C,
5.47% 9/25/35 (b) |
|
$ 28,756 |
$ 28,808 |
|
|
Collateralized Mortgage Obligations - 14.1% |
||||
|
|
||||
|
U.S. Government Agency - 14.1% |
||||
|
Fannie Mae: |
|
|
|
|
|
Series 2003-39 Class IA, 5.5% 10/25/22 (b)(c) |
|
5,044 |
771 |
|
|
Series 2006-48 Class LF, 0% 8/25/34 (b) |
|
1,689 |
1,636 |
|
|
target amortization class Series G94-2 Class D, 6.45% 1/25/24 |
|
4,079 |
4,143 |
|
|
Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2006-51 Class PB, 5.5% 8/25/33 |
|
15,690 |
15,589 |
|
|
Freddie Mac floater Series 2344 Class FP, 6.27% 8/15/31 (b) |
|
2,507 |
2,568 |
|
|
Freddie Mac Multi-class participation certificates guaranteed: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2406: |
|
|
|
|
|
Class FP, 6.3% 1/15/32 (b) |
|
4,882 |
4,990 |
|
|
Class PF, 6.3% 12/15/31 (b) |
|
4,783 |
4,888 |
|
|
Series 2410 Class PF, 6.3% 2/15/32 (b) |
|
9,797 |
10,042 |
|
|
Series 2412 Class GF, 6.27% 2/15/32 (b) |
|
2,050 |
2,094 |
|
|
Series 2861 Class JF, 5.62% 4/15/17 (b) |
|
3,387 |
3,403 |
|
|
Series 3094 Class UF, 0% 9/15/34 (b) |
|
694 |
664 |
|
|
planned amortization class: |
|
|
|
|
|
Series 2220 Class PD, 8% 3/15/30 |
|
5,029 |
5,244 |
|
|
Series 2787 Class OI, 5.5% 10/15/24 (c) |
|
6,887 |
298 |
|
|
Series 40 Class K, 6.5% 8/17/24 |
|
2,038 |
2,113 |
|
|
sequential payer: |
|
|
|
|
|
Series 2204 Class N, 7.5% 12/20/29 |
|
8,997 |
9,426 |
|
|
Series 2601 Class TI, 5.5% 10/15/22 (c) |
|
20,993 |
3,319 |
|
|
Series 2750 Class ZT, 5% 2/15/34 |
|
5,849 |
5,250 |
|
|
Series 2866 Class CY, 4.5% 10/15/19 |
|
4,491 |
4,187 |
|
|
Ginnie Mae guaranteed Multi-family pass thru securities sequential payer Series 2002-71 Class Z, 5.5% 10/20/32 |
|
43,796 |
42,829 |
|
|
Ginnie Mae guaranteed REMIC pass thru securities: |
|
|
|
|
|
planned amortization class: |
|
|
|
|
|
Series 1994-4 Class KQ, 7.9875% 7/16/24 |
|
1,354 |
1,444 |
|
|
Series 2000-26 Class PK, 7.5% 9/20/30 |
|
3,855 |
4,020 |
|
|
Series 2001-65 Class PH, 6% 11/20/28 |
|
6,323 |
6,353 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Government Agency - continued |
||||
|
Ginnie Mae guaranteed REMIC pass thru securities: - continued |
|
|
|
|
|
planned amortization class: |
|
|
|
|
|
Series 2002-5 Class PD, 6.5% 5/16/31 |
|
$ 15,911 |
$ 16,019 |
|
|
Series 2003-103 Class PC, 5.5% 11/20/33 |
|
18,843 |
18,325 |
|
|
Series 2003-20 Class BI, 5.5% 5/16/27 (c) |
|
2,282 |
32 |
|
|
Series 2003-29 Class PD, 5.5% 4/16/33 |
|
25,000 |
24,267 |
|
|
Series 2003-31 Class PI, 5.5% 4/16/30 (c) |
|
7,013 |
615 |
|
|
Series 2003-34 Class IO, 5.5% 4/16/28 (c) |
|
10,361 |
392 |
|
|
Series 2003-4 Class LI, 5.5% 7/16/27 (c) |
|
4,098 |
125 |
|
|
Series 2003-7 Class IN, 5.5% 1/16/28 (c) |
|
11,096 |
532 |
|
|
Series 2003-70 Class LE, 5% 7/20/32 |
|
44,000 |
42,637 |
|
|
Series 2004-19: |
|
|
|
|
|
Class DJ, 4.5% 3/20/34 |
|
3,468 |
3,409 |
|
|
Class DP, 5.5% 3/20/34 |
|
3,895 |
3,917 |
|
|
Series 2004-30: |
|
|
|
|
|
Class PC, 5% 11/20/30 |
|
19,736 |
19,429 |
|
|
Class UA, 3.5% 2/20/32 |
|
6,935 |
6,693 |
|
|
Series 2004-64 Class KE, 5.5% 12/20/33 |
|
22,978 |
22,811 |
|
|
Series 2004-98 Class IG, 5.5% 2/20/30 (c) |
|
2,581 |
442 |
|
|
Series 2005-17 Class IA, 5.5% 8/20/33 (c) |
|
9,459 |
1,486 |
|
|
Series 2005-24 Class TC, 5.5% 3/20/35 |
|
5,403 |
5,295 |
|
|
Series 2005-54 Class BM, 5% 7/20/35 |
|
9,658 |
9,425 |
|
|
Series 2005-57 Class PB, 5.5% 7/20/35 |
|
5,673 |
5,567 |
|
|
Series 2005-58 Class NJ, 4.5% 8/20/35 |
|
41,635 |
40,840 |
|
|
Series 2008-28 Class PC, 5.5% 4/20/34 |
|
18,652 |
18,687 |
|
|
sequential payer: |
|
|
|
|
|
Series 1995-4 Class CQ, 8% 6/20/25 |
|
976 |
1,039 |
|
|
Series 2001-15 Class VB, 6.5% 4/20/19 |
|
457 |
456 |
|
|
Series 2002-29 Class SK, 8.25% 5/20/32 (b) |
|
507 |
544 |
|
|
Series 2002-88 Class GZ, 5.5% 12/20/32 |
|
24,682 |
23,538 |
|
|
Series 2003-7 Class VP, 6% 11/20/13 |
|
5,479 |
5,543 |
|
|
Series 2004-65 Class VE, 5.5% 7/20/15 |
|
5,021 |
5,066 |
|
|
Series 2004-86 Class G, 6% 10/20/34 |
|
6,273 |
6,470 |
|
|
Series 2005-47 Class ZY, 6% 6/20/35 |
|
4,332 |
4,456 |
|
|
Series 2005-6 Class EX, 5.5% 11/20/34 |
|
1,001 |
984 |
|
|
Series 2005-82 Class JV, 5% 6/20/35 |
|
3,500 |
3,288 |
|
|
Series 1995-6 Class Z, 7% 9/20/25 |
|
2,836 |
2,968 |
|
|
Series 2003-24 Class PA, 5% 10/20/28 |
|
754 |
752 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Government Agency - continued |
||||
|
Ginnie Mae guaranteed REMIC pass thru securities: - continued |
|
|
|
|
|
planned amortization class: |
|
|
|
|
|
Series 2005-6 Class EY, 5.5% 11/20/33 |
|
$ 1,016 |
$ 1,007 |
|
|
Series 2006-13 Class DS, 3.12% 3/20/36 (b) |
|
49,737 |
42,869 |
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $484,693) |
475,196 |
|||
|
Commercial Mortgage Securities - 0.8% |
||||
|
|
||||
|
Fannie Mae Series 1997-M1 Class N, 0.445% 10/17/36 (b)(c) |
|
41,037 |
372 |
|
|
Fannie Mae guaranteed REMIC pass thru certificates: |
|
|
|
|
|
Series 1998-M3 Class IB, 0.9125% 1/17/38 (b)(c) |
|
44,041 |
993 |
|
|
Series 1998-M4 Class N, 1.119% 2/25/35 (b)(c) |
|
16,818 |
366 |
|
|
Ginnie Mae guaranteed Multi-family pass thru securities: |
|
|
|
|
|
sequential payer Series 2001-58 Class X, 1.3464% 9/16/41 (b)(c) |
|
194,595 |
6,438 |
|
|
Series 2001-12 Class X, 0.9015% 7/16/40 (b)(c) |
|
48,788 |
1,801 |
|
|
Ginnie Mae guaranteed REMIC pass thru securities: |
|
|
|
|
|
sequential payer Series 2002-81 Class IO, 1.876% 9/16/42 (b)(c) |
|
121,646 |
7,237 |
|
|
Series 2002-62 Class IO, 1.499% 8/16/42 (b)(c) |
|
91,440 |
5,015 |
|
|
Series 2002-85 Class X, 1.9066% 3/16/42 (b)(c) |
|
65,941 |
3,956 |
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $47,099) |
26,178 |
|||
|
Cash Equivalents - 2.8% |
|||
|
Maturity Amount (000s) |
|
||
|
Investments in repurchase agreements in a joint trading
account at 5.32%, dated 10/31/06 due 11/1/06
(Collateralized by U.S. Government Obligations) # |
$ 95,412 |
95,398 |
|
|
TOTAL INVESTMENT PORTFOLIO - 101.5% (Cost $3,461,047) |
3,428,010 |
||
|
NET OTHER ASSETS - (1.5)% |
(49,507) |
||
|
NET ASSETS - 100% |
$ 3,378,503 |
||
|
Legend |
|
(a) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
|
(b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
|
(c) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
|
# Additional Information on each counterparty to the repurchase agreement is as follows: |
|
Repurchase Agreement / Counterparty |
Value |
|
$95,398,000 due 11/01/06 at 5.32% |
|
|
ABN AMRO Bank N.V., New York Branch |
$ 1,305 |
|
BNP Paribas Securities Corp. |
10,443 |
|
Banc of America Securities LLC |
31,070 |
|
Bank of America, NA |
6,005 |
|
Barclays Capital, Inc. |
15,268 |
|
Countrywide Securities Corp. |
15,665 |
|
Credit Suisse Securities (USA) LLC |
826 |
|
HSBC Securities (USA), |
2,611 |
|
Morgan Stanley & Co., |
1,762 |
|
Societe Generale, New York Branch |
1,305 |
|
UBS Securities LLC |
7,833 |
|
WestLB AG |
1,305 |
|
|
$ 95,398 |
|
Income Tax Information |
|
At October 31, 2006, the aggregate cost of investment securities for income tax purposes was $3,460,404,000. Net unrealized depreciation aggregated $32,394,000, of which $21,895,000 related to appreciated investment securities and $54,289,000 related to depreciated investment securities. |
|
Investment Valuation |
|
Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. |
|
For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report. |
Quarterly Report
|
The fund's schedule of investments as of the date on the cover of this report has not
been audited. This report is provided for the general information of the fund's
shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report. |
Quarterly Report
Quarterly Holdings Report
for
Fidelity ® Intermediate
Government
Income Fund
1.809098.102
SLM-QTLY-1206
Showing Percentage of Net Assets
|
U.S. Government and Government Agency Obligations - 75.0% |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Government Agency Obligations - 34.4% |
||||
|
Fannie Mae: |
|
|
|
|
|
3.25% 1/15/08 |
|
$ 370 |
$ 362 |
|
|
3.25% 2/15/09 |
|
745 |
719 |
|
|
4.5% 10/15/08 |
|
2,905 |
2,884 |
|
|
4.625% 10/15/13 |
|
19,570 |
19,190 |
|
|
4.75% 12/15/10 |
|
58,500 |
58,216 |
|
|
4.875% 4/15/09 |
|
5,500 |
5,501 |
|
|
5% 9/15/08 |
|
11,335 |
11,351 |
|
|
5.125% 1/2/14 |
|
6,000 |
5,986 |
|
|
6.375% 6/15/09 |
|
11,870 |
12,306 |
|
|
Federal Home Loan Bank: |
|
|
|
|
|
4.5% 10/14/08 |
|
1,850 |
1,837 |
|
|
5% 9/18/09 |
|
2,790 |
2,804 |
|
|
5.375% 8/19/11 |
|
16,960 |
17,316 |
|
|
5.8% 9/2/08 |
|
9,595 |
9,723 |
|
|
Freddie Mac: |
|
|
|
|
|
4.25% 7/15/09 |
|
4,180 |
4,116 |
|
|
5.125% 4/18/08 |
|
10,000 |
10,023 |
|
|
5.125% 4/18/11 |
|
2,360 |
2,383 |
|
|
5.25% 7/18/11 |
|
42,808 |
43,470 |
|
|
5.75% 1/15/12 |
|
986 |
1,025 |
|
|
Israeli State (guaranteed by U.S. Government through Agency for International Development): |
|
|
|
|
|
6.6% 2/15/08 |
|
8,386 |
8,422 |
|
|
6.8% 2/15/12 |
|
7,500 |
7,957 |
|
|
Private Export Funding Corp.: |
|
|
|
|
|
secured: |
|
|
|
|
|
5.66% 9/15/11 (c) |
|
9,000 |
9,270 |
|
|
5.685% 5/15/12 |
|
3,915 |
4,058 |
|
|
4.974% 8/15/13 |
|
3,435 |
3,447 |
|
|
Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24 |
|
808 |
807 |
|
|
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A, 6.06% 8/1/10 |
|
10,000 |
10,132 |
|
|
U.S. Trade Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank) 8.17% 1/15/07 |
|
322 |
323 |
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
253,628 |
|||
|
U.S. Government and Government Agency Obligations - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Treasury Inflation Protected Obligations - 9.2% |
||||
|
U.S. Treasury Inflation-Indexed Notes: |
|
|
|
|
|
0.875% 4/15/10 |
|
$ 25,830 |
$ 24,340 |
|
|
2.375% 4/15/11 |
|
44,170 |
43,928 |
|
|
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS |
68,268 |
|||
|
U.S. Treasury Obligations - 31.4% |
||||
|
U.S. Treasury Notes: |
|
|
|
|
|
3.375% 9/15/09 |
|
63,842 |
61,746 |
|
|
4.25% 11/15/14 (b) |
|
29,000 |
28,328 |
|
|
4.25% 8/15/15 |
|
3,000 |
2,925 |
|
|
4.375% 12/15/10 |
|
45,060 |
44,724 |
|
|
4.75% 3/31/11 |
|
38,000 |
38,257 |
|
|
4.75% 5/15/14 (b) |
|
19,058 |
19,249 |
|
|
4.875% 4/30/08 |
|
21,246 |
21,275 |
|
|
4.875% 5/15/09 |
|
10,000 |
10,057 |
|
|
5.125% 5/15/16 |
|
5,000 |
5,198 |
|
|
TOTAL U.S. TREASURY OBLIGATIONS |
231,759 |
|||
|
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $554,304) |
553,655 |
|||
|
U.S. Government Agency - Mortgage Securities - 10.8% |
||||
|
|
||||
|
Fannie Mae - 8.3% |
||||
|
3.732% 1/1/35 (e) |
|
182 |
180 |
|
|
3.763% 12/1/34 (e) |
|
120 |
118 |
|
|
3.768% 10/1/33 (e) |
|
104 |
102 |
|
|
3.786% 6/1/34 (e) |
|
531 |
518 |
|
|
3.793% 12/1/34 (e) |
|
25 |
24 |
|
|
3.81% 6/1/33 (e) |
|
98 |
97 |
|
|
3.829% 1/1/35 (e) |
|
343 |
338 |
|
|
3.849% 1/1/35 (e) |
|
115 |
113 |
|
|
3.851% 10/1/33 (e) |
|
2,510 |
2,472 |
|
|
3.867% 1/1/35 (e) |
|
209 |
207 |
|
|
3.881% 6/1/33 (e) |
|
489 |
483 |
|
|
3.888% 10/1/34 (e) |
|
132 |
130 |
|
|
3.917% 12/1/34 (e) |
|
117 |
116 |
|
|
3.942% 11/1/34 (e) |
|
226 |
223 |
|
|
3.951% 12/1/34 (e) |
|
100 |
99 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Fannie Mae - continued |
||||
|
3.952% 5/1/33 (e) |
|
$ 36 |
$ 36 |
|
|
3.953% 1/1/35 (e) |
|
141 |
139 |
|
|
3.979% 5/1/34 (e) |
|
29 |
30 |
|
|
3.995% 2/1/35 (e) |
|
103 |
102 |
|
|
4% 9/1/18 |
|
1,868 |
1,777 |
|
|
4.001% 12/1/34 (e) |
|
141 |
141 |
|
|
4.004% 1/1/35 (e) |
|
94 |
94 |
|
|
4.01% 12/1/34 (e) |
|
78 |
77 |
|
|
4.016% 12/1/34 (e) |
|
215 |
215 |
|
|
4.02% 1/1/35 (e) |
|
199 |
197 |
|
|
4.022% 2/1/35 (e) |
|
93 |
93 |
|
|
4.026% 1/1/35 (e) |
|
51 |
50 |
|
|
4.034% 10/1/18 (e) |
|
94 |
93 |
|
|
4.036% 1/1/35 (e) |
|
81 |
81 |
|
|
4.052% 1/1/35 (e) |
|
198 |
196 |
|
|
4.079% 2/1/35 (e) |
|
59 |
59 |
|
|
4.081% 4/1/33 (e) |
|
43 |
43 |
|
|
4.081% 2/1/35 (e) |
|
188 |
187 |
|
|
4.092% 11/1/34 (e) |
|
149 |
147 |
|
|
4.093% 2/1/35 (e) |
|
62 |
61 |
|
|
4.096% 2/1/35 (e) |
|
342 |
341 |
|
|
4.103% 1/1/35 (e) |
|
207 |
205 |
|
|
4.106% 1/1/35 (e) |
|
207 |
205 |
|
|
4.111% 2/1/35 (e) |
|
243 |
241 |
|
|
4.131% 2/1/35 (e) |
|
165 |
163 |
|
|
4.132% 1/1/35 (e) |
|
344 |
341 |
|
|
4.144% 1/1/35 (e) |
|
315 |
316 |
|
|
4.162% 11/1/34 (e) |
|
50 |
49 |
|
|
4.164% 1/1/35 (e) |
|
173 |
172 |
|
|
4.169% 1/1/35 (e) |
|
248 |
243 |
|
|
4.177% 1/1/35 (e) |
|
364 |
365 |
|
|
4.215% 1/1/35 (e) |
|
107 |
107 |
|
|
4.25% 2/1/35 (e) |
|
114 |
111 |
|
|
4.258% 1/1/34 (e) |
|
278 |
275 |
|
|
4.27% 8/1/33 (e) |
|
218 |
216 |
|
|
4.272% 2/1/35 (e) |
|
57 |
56 |
|
|
4.273% 12/1/34 (e) |
|
72 |
72 |
|
|
4.278% 3/1/35 (e) |
|
103 |
103 |
|
|
4.286% 10/1/33 (e) |
|
45 |
44 |
|
|
4.289% 10/1/34 (e) |
|
52 |
52 |
|
|
4.303% 5/1/35 (e) |
|
145 |
144 |
|
|
4.31% 3/1/33 (e) |
|
63 |
62 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Fannie Mae - continued |
||||
|
4.31% 3/1/33 (e) |
|
$ 124 |
$ 124 |
|
|
4.318% 6/1/33 (e) |
|
61 |
60 |
|
|
4.35% 1/1/35 (e) |
|
120 |
118 |
|
|
4.362% 2/1/34 (e) |
|
261 |
258 |
|
|
4.362% 4/1/35 (e) |
|
64 |
63 |
|
|
4.385% 11/1/34 (e) |
|
1,584 |
1,589 |
|
|
4.394% 10/1/34 (e) |
|
564 |
556 |
|
|
4.401% 5/1/35 (e) |
|
328 |
326 |
|
|
4.402% 2/1/35 (e) |
|
183 |
180 |
|
|
4.429% 3/1/35 (e) |
|
176 |
173 |
|
|
4.453% 8/1/34 (e) |
|
347 |
343 |
|
|
4.472% 5/1/35 (e) |
|
136 |
135 |
|
|
4.479% 1/1/35 (e) |
|
146 |
145 |
|
|
4.513% 1/1/35 (e) |
|
133 |
132 |
|
|
4.513% 2/1/35 (e) |
|
1,544 |
1,531 |
|
|
4.515% 10/1/35 (e) |
|
89 |
88 |
|
|
4.522% 2/1/35 (e) |
|
712 |
708 |
|
|
4.523% 2/1/35 (e) |
|
109 |
108 |
|
|
4.533% 7/1/35 (e) |
|
394 |
392 |
|
|
4.543% 1/1/35 (e) |
|
208 |
208 |
|
|
4.563% 2/1/35 (e) |
|
75 |
75 |
|
|
4.565% 9/1/34 (e) |
|
2,654 |
2,626 |
|
|
4.575% 7/1/35 (e) |
|
381 |
378 |
|
|
4.58% 2/1/35 (e) |
|
454 |
449 |
|
|
4.603% 7/1/34 (e) |
|
3,553 |
3,545 |
|
|
4.624% 3/1/35 (e) |
|
45 |
45 |
|
|
4.64% 1/1/33 (e) |
|
67 |
67 |
|
|
4.654% 3/1/35 (e) |
|
867 |
863 |
|
|
4.695% 9/1/34 (e) |
|
41 |
41 |
|
|
4.712% 2/1/33 (e) |
|
20 |
21 |
|
|
4.713% 10/1/32 (e) |
|
16 |
16 |
|
|
4.725% 10/1/34 (e) |
|
377 |
374 |
|
|
4.728% 7/1/34 (e) |
|
337 |
335 |
|
|
4.746% 5/1/33 (e) |
|
9 |
9 |
|
|
4.749% 7/1/36 (e) |
|
697 |
692 |
|
|
4.763% 10/1/32 (e) |
|
30 |
30 |
|
|
4.763% 12/1/34 (e) |
|
103 |
102 |
|
|
4.775% 1/1/35 (e) |
|
12 |
12 |
|
|
4.803% 12/1/32 (e) |
|
145 |
146 |
|
|
4.808% 8/1/34 (e) |
|
101 |
101 |
|
|
4.81% 6/1/35 (e) |
|
431 |
429 |
|
|
4.812% 11/1/34 (e) |
|
295 |
293 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Fannie Mae - continued |
||||
|
4.828% 2/1/33 (e) |
|
$ 140 |
$ 140 |
|
|
4.841% 10/1/35 (e) |
|
254 |
253 |
|
|
4.873% 10/1/34 (e) |
|
1,112 |
1,106 |
|
|
4.955% 8/1/34 (e) |
|
897 |
894 |
|
|
4.976% 2/1/35 (e) |
|
39 |
39 |
|
|
4.988% 11/1/32 (e) |
|
77 |
77 |
|
|
4.989% 12/1/32 (e) |
|
11 |
11 |
|
|
5.057% 7/1/34 (e) |
|
51 |
51 |
|
|
5.058% 11/1/34 (e) |
|
23 |
23 |
|
|
5.077% 5/1/35 (e) |
|
689 |
689 |
|
|
5.079% 9/1/34 (e) |
|
854 |
853 |
|
|
5.095% 9/1/34 (e) |
|
87 |
87 |
|
|
5.105% 5/1/35 (e) |
|
273 |
273 |
|
|
5.179% 8/1/33 (e) |
|
146 |
146 |
|
|
5.181% 3/1/35 (e) |
|
64 |
64 |
|
|
5.183% 6/1/35 (e) |
|
480 |
480 |
|
|
5.288% 7/1/35 (e) |
|
58 |
59 |
|
|
5.339% 12/1/34 (e) |
|
143 |
143 |
|
|
5.492% 2/1/36 (e) |
|
1,720 |
1,729 |
|
|
5.5% 1/1/09 to 3/1/20 |
|
12,940 |
12,979 |
|
|
5.614% 1/1/36 (e) |
|
487 |
490 |
|
|
5.902% 1/1/36 (e) |
|
366 |
368 |
|
|
6% 4/1/16 to 11/1/17 |
|
1,603 |
1,631 |
|
|
6% 11/1/21 (d) |
|
36 |
37 |
|
|
6.5% 2/1/17 to 3/1/35 |
|
5,717 |
5,844 |
|
|
7% 12/1/08 to 9/1/31 |
|
517 |
532 |
|
|
9% 2/1/13 |
|
139 |
146 |
|
|
9.5% 11/15/09 |
|
171 |
179 |
|
|
10.25% 10/1/09 to 10/1/18 |
|
9 |
10 |
|
|
11% 8/1/10 to 1/1/16 |
|
400 |
428 |
|
|
11.25% 5/1/14 to 1/1/16 |
|
61 |
68 |
|
|
11.5% 9/1/11 to 6/15/19 |
|
252 |
279 |
|
|
12.25% 7/1/12 to 8/1/13 |
|
13 |
14 |
|
|
12.5% 9/1/12 to 7/1/16 |
|
186 |
213 |
|
|
12.75% 10/1/11 to 6/1/15 |
|
146 |
162 |
|
|
13% 7/1/13 to 7/1/15 |
|
83 |
95 |
|
|
13.25% 9/1/11 |
|
81 |
91 |
|
|
13.5% 11/1/14 to 12/1/14 |
|
16 |
19 |
|
|
15% 4/1/12 |
|
3 |
4 |
|
|
|
61,513 |
|||
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Freddie Mac - 2.2% |
||||
|
4% 1/1/19 to 4/1/19 |
|
$ 2,083 |
$ 1,978 |
|
|
4.053% 12/1/34 (e) |
|
115 |
114 |
|
|
4.107% 1/1/35 (e) |
|
508 |
500 |
|
|
4.113% 12/1/34 (e) |
|
164 |
163 |
|
|
4.275% 3/1/35 (e) |
|
149 |
148 |
|
|
4.294% 5/1/35 (e) |
|
259 |
255 |
|
|
4.298% 12/1/34 (e) |
|
186 |
183 |
|
|
4.31% 2/1/35 (e) |
|
326 |
322 |
|
|
4.433% 2/1/34 (e) |
|
146 |
144 |
|
|
4.434% 6/1/35 (e) |
|
211 |
209 |
|
|
4.44% 3/1/35 (e) |
|
164 |
161 |
|
|
4.457% 3/1/35 (e) |
|
200 |
197 |
|
|
4.548% 2/1/35 (e) |
|
291 |
286 |
|
|
4.704% 9/1/35 (e) |
|
4,449 |
4,423 |
|
|
4.783% 10/1/32 (e) |
|
22 |
22 |
|
|
4.809% 3/1/33 (e) |
|
53 |
53 |
|
|
4.99% 4/1/35 (e) |
|
795 |
792 |
|
|
5% 9/1/35 |
|
64 |
62 |
|
|
5.058% 9/1/32 (e) |
|
375 |
377 |
|
|
5.12% 4/1/35 (e) |
|
645 |
642 |
|
|
5.296% 6/1/35 (e) |
|
434 |
433 |
|
|
5.5% 11/1/20 |
|
144 |
144 |
|
|
5.565% 1/1/36 (e) |
|
827 |
829 |
|
|
5.614% 4/1/32 (e) |
|
22 |
22 |
|
|
5.628% 8/1/33 (e) |
|
84 |
85 |
|
|
6.5% 5/1/08 |
|
48 |
49 |
|
|
8.5% 6/1/14 to 6/1/17 |
|
62 |
63 |
|
|
9% 11/1/09 to 8/1/16 |
|
49 |
52 |
|
|
9.5% 7/1/16 to 8/1/21 |
|
375 |
408 |
|
|
10% 7/1/09 to 3/1/21 |
|
821 |
896 |
|
|
10.5% 9/1/09 to 5/1/21 |
|
67 |
70 |
|
|
11% 2/1/11 to 9/1/20 |
|
41 |
46 |
|
|
11.25% 2/1/10 to 8/1/14 |
|
102 |
111 |
|
|
11.5% 10/1/15 to 8/1/19 |
|
58 |
65 |
|
|
11.75% 11/1/11 to 7/1/15 |
|
12 |
13 |
|
|
12% 10/1/09 to 11/1/19 |
|
178 |
195 |
|
|
12.25% 12/1/11 to 8/1/15 |
|
123 |
140 |
|
|
12.5% 10/1/09 to 6/1/19 |
|
898 |
1,008 |
|
|
12.75% 2/1/10 to 10/1/10 |
|
9 |
10 |
|
|
13% 9/1/10 to 5/1/17 |
|
132 |
151 |
|
|
13.25% 11/1/10 to 10/1/13 |
|
37 |
42 |
|
|
13.5% 11/1/10 to 8/1/11 |
|
39 |
44 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
Freddie Mac - continued |
||||
|
14% 11/1/12 to 4/1/16 |
|
$ 6 |
$ 7 |
|
|
14.5% 12/1/10 |
|
1 |
1 |
|
|
14.75% 3/1/10 |
|
2 |
2 |
|
|
16.25% 7/1/11 |
|
0 |
0 |
|
|
|
15,917 |
|||
|
Government National Mortgage Association - 0.3% |
||||
|
3.75% 1/20/34 (e) |
|
585 |
581 |
|
|
8% 8/15/07 to 12/15/23 |
|
518 |
547 |
|
|
8.5% 6/15/16 to 2/15/17 |
|
8 |
9 |
|
|
10.5% 9/15/15 to 10/15/21 |
|
831 |
947 |
|
|
10.75% 12/15/09 to 3/15/10 |
|
13 |
14 |
|
|
11% 5/20/16 to 1/20/21 |
|
42 |
49 |
|
|
12.5% 12/15/10 |
|
2 |
2 |
|
|
13% 1/15/11 to 10/15/13 |
|
67 |
76 |
|
|
13.25% 8/15/14 |
|
10 |
12 |
|
|
13.5% 7/15/11 to 12/15/14 |
|
15 |
17 |
|
|
14% 6/15/11 |
|
7 |
8 |
|
|
17% 12/15/11 |
|
2 |
3 |
|
|
|
2,265 |
|||
|
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $79,948) |
79,695 |
|||
|
Asset-Backed Securities - 0.9% |
||||
|
|
||||
|
Fannie Mae Grantor Trust Series 2005-T4 Class A1C,
5.47% 9/25/35 (e) |
|
6,285 |
6,296 |
|
|
Collateralized Mortgage Obligations - 11.8% |
||||
|
|
||||
|
U.S. Government Agency - 11.8% |
||||
|
Fannie Mae: |
|
|
|
|
|
floater Series 1994-42 Class FK, 4.21% 4/25/24 (e) |
|
4,146 |
3,974 |
|
|
planned amortization class: |
|
|
|
|
|
Series 1988-21 Class G, 9.5% 8/25/18 |
|
98 |
107 |
|
|
Series 1994-12 Class PH, 6.25% 1/25/09 |
|
885 |
888 |
|
|
Series 2003-24 Class PB, 4.5% 12/25/12 |
|
1,345 |
1,334 |
|
|
Series 2003-28 Class KG, 5.5% 4/25/23 |
|
725 |
715 |
|
|
Series 2003-39 Class PV, 5.5% 9/25/22 |
|
1,905 |
1,903 |
|
|
sequential payer Series 1993-238 Class C, 6.5% 12/25/08 |
|
3,955 |
3,965 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Government Agency - continued |
||||
|
Fannie Mae guaranteed REMIC pass thru certificates: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2001-38 Class QF, 6.3% 8/25/31 (e) |
|
$ 864 |
$ 883 |
|
|
Series 2002-60 Class FV, 6.32% 4/25/32 (e) |
|
282 |
288 |
|
|
Series 2002-68 Class FH, 5.82% 10/18/32 (e) |
|
1,118 |
1,128 |
|
|
Series 2002-74 Class FV, 5.77% 11/25/32 (e) |
|
4,229 |
4,254 |
|
|
Series 2002-75 Class FA, 6.32% 11/25/32 (e) |
|
577 |
590 |
|
|
Series 2003-122 Class FL, 5.67% 7/25/29 (e) |
|
467 |
469 |
|
|
Series 2003-131 Class FM, 5.72% 12/25/29 (e) |
|
324 |
325 |
|
|
Series 2003-15 Class WF, 5.67% 8/25/17 (e) |
|
579 |
582 |
|
|
Series 2004-33 Class FW, 5.72% 8/25/25 (e) |
|
803 |
807 |
|
|
planned amortization class: |
|
|
|
|
|
Series 2002-11 Class QB, 5.5% 3/25/15 |
|
219 |
219 |
|
|
Series 2002-16 Class PG, 6% 4/25/17 |
|
1,273 |
1,293 |
|
|
Series 2002-18 Class PC, 5.5% 4/25/17 |
|
1,045 |
1,048 |
|
|
Series 2003-91 Class HA, 4.5% 11/25/16 |
|
1,485 |
1,457 |
|
|
sequential payer: |
|
|
|
|
|
Series 2002-56 Class MC, 5.5% 9/25/17 |
|
514 |
514 |
|
|
Series 2002-79 Class Z, 5.5% 11/25/22 |
|
3,643 |
3,590 |
|
|
Series 2005-4 Class ED, 5% 6/25/27 |
|
5,000 |
4,960 |
|
|
Series 2005-41 Class WY, 5.5% 5/25/25 |
|
2,600 |
2,540 |
|
|
Series 2002-50 Class LE, 7% 12/25/29 |
|
64 |
65 |
|
|
Freddie Mac: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2344 Class FP, 6.27% 8/15/31 (e) |
|
548 |
561 |
|
|
Series 3028 Class FM, 5.57% 9/15/35 (e) |
|
2,813 |
2,814 |
|
|
planned amortization class Series 2356 Class GD, 6% 9/15/16 |
|
566 |
576 |
|
|
Freddie Mac Multi-class participation certificates guaranteed: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2406: |
|
|
|
|
|
Class FP, 6.3% 1/15/32 (e) |
|
1,070 |
1,094 |
|
|
Class PF, 6.3% 12/15/31 (e) |
|
1,047 |
1,070 |
|
|
Series 2410 Class PF, 6.3% 2/15/32 (e) |
|
2,805 |
2,875 |
|
|
Series 2412 Class GF, 6.27% 2/15/32 (e) |
|
450 |
460 |
|
|
Series 2526 Class FC, 5.72% 11/15/32 (e) |
|
1,109 |
1,115 |
|
|
Series 2608 Class FJ, 5.72% 3/15/17 (e) |
|
1,418 |
1,431 |
|
|
Series 2638 Class FA, 5.72% 11/15/16 (e) |
|
1,330 |
1,339 |
|
|
Series 2644 Class EF, 5.67% 2/15/18 (e) |
|
1,517 |
1,526 |
|
|
Series 2861 Class GF, 5.62% 1/15/21 (e) |
|
435 |
436 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount (000s) |
Value |
||
|
U.S. Government Agency - continued |
||||
|
Freddie Mac Multi-class participation certificates guaranteed: - continued |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2994 Class FB, 5.47% 6/15/20 (e) |
|
$ 647 |
$ 646 |
|
|
planned amortization class: |
|
|
|
|
|
Series 1543 Class VK, 6.7% 1/15/23 |
|
568 |
569 |
|
|
Series 2640 Class GE, 4.5% 7/15/18 |
|
3,690 |
3,546 |
|
|
Series 2752 Class PW, 4% 4/15/22 |
|
2,600 |
2,556 |
|
|
Series 2802 Class OB, 6% 5/15/34 |
|
1,355 |
1,377 |
|
|
Series 2810 Class PD, 6% 6/15/33 |
|
1,020 |
1,032 |
|
|
Series 2828 Class JA, 4.5% 1/15/10 |
|
641 |
639 |
|
|
sequential payer: |
|
|
|
|
|
Series 1929 Class EZ, 7.5% 2/17/27 |
|
2,721 |
2,821 |
|
|
Series 2617 Class GW, 3.5% 6/15/16 |
|
1,875 |
1,830 |
|
|
Series 2866 Class N, 4.5% 12/15/18 |
|
1,340 |
1,318 |
|
|
Series 2998 Class LY, 5.5% 7/15/25 |
|
295 |
288 |
|
|
Series 3007 Class EW, 5.5% 7/15/25 |
|
1,125 |
1,098 |
|
|
Series 3013 Class VJ, 5% 1/15/14 |
|
2,177 |
2,156 |
|
|
Series 2689 Class CN, 4.5% 2/15/23 |
|
10,000 |
9,740 |
|
|
Series 2769 Class BU, 5% 3/15/34 |
|
1,158 |
1,092 |
|
|
Ginnie Mae guaranteed REMIC pass thru securities planned amortization class Series 2005-58 Class NJ, 4.5% 8/20/35 |
|
3,465 |
3,399 |
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $88,340) |
87,302 |
|||
|
Cash Equivalents - 7.4% |
|||
|
Maturity Amount (000s) |
Value |
||
|
Investments in repurchase agreements in a joint trading account at 5.32%, dated 10/31/06 due 11/1/06: |
|
|
|
|
(Collateralized by U.S. Government Obligations) # |
$ 5,670 |
$ 5,669 |
|
|
(Collateralized by U.S. Government Obligations) # (a) |
49,291 |
49,284 |
|
|
TOTAL CASH EQUIVALENTS (Cost $54,953) |
54,953 |
||
|
TOTAL INVESTMENT PORTFOLIO - 105.9% (Cost $783,830) |
781,901 |
||
|
NET OTHER ASSETS - (5.9)% |
(43,702) |
||
|
NET ASSETS - 100% |
$ 738,199 |
||
|
Legend |
|
(a) Includes investment made with cash collateral received from securities on loan. |
|
(b) Security or a portion of the security is on loan at period end. |
|
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration, normally to qualified
institutional buyers. At the end of the period, the value |
|
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
|
(e) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
|
# Additional Information on each counterparty to the repurchase agreement is as follows: |
|
Repurchase Agreement / Counterparty |
Value |
|
$5,669,000 due 11/01/06 at 5.32% |
|
|
ABN AMRO Bank N.V., New York Branch |
$ 78 |
|
BNP Paribas Securities Corp. |
621 |
|
Banc of America Securities LLC |
1,845 |
|
Bank of America, NA |
357 |
|
Barclays Capital, Inc. |
907 |
|
Countrywide Securities Corp. |
931 |
|
Credit Suisse Securities (USA) LLC |
49 |
|
HSBC Securities (USA), Inc. |
155 |
|
Morgan Stanley & Co., Inc. |
105 |
|
Societe Generale, New York Branch |
78 |
|
UBS Securities LLC |
465 |
|
WestLB AG |
78 |
|
|
$ 5,669 |
|
$49,284,000 due 11/01/06 at 5.32% |
|
|
Barclays Capital, Inc. |
$ 49,284 |
|
Income Tax Information |
|
At October 31, 2006, the aggregate cost of investment securities for income tax purposes was $782,805,000. Net unrealized depreciation aggregated $904,000, of which $4,326,000 related to appreciated investment securities and $5,230,000 related to depreciated investment securities. |
|
Investment Valuation |
|
Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. |
|
For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report. |
Quarterly Report
|
The fund's schedule of investments as of the date on the cover of this report has not
been audited. This report is provided for the general information of the fund's
shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report. |
Quarterly Report
Quarterly Holdings Report
for
Fidelity ® Ultra-Short Bond Fund
1.809108.102
ULB-QTLY-1206
Showing Percentage of Net Assets
|
Nonconvertible Bonds - 11.4% |
||||
|
|
Principal Amount |
Value |
||
|
CONSUMER DISCRETIONARY - 1.3% |
||||
|
Auto Components - 0.3% |
||||
|
DaimlerChrysler NA Holding Corp.: |
|
|
|
|
|
5.82% 3/13/09 (c) |
|
$ 1,800,000 |
$ 1,801,166 |
|
|
5.87% 9/10/07 (c) |
|
1,230,000 |
1,233,071 |
|
|
|
3,034,237 |
|||
|
Media - 1.0% |
||||
|
AOL Time Warner, Inc. 6.15% 5/1/07 |
|
2,480,000 |
2,488,970 |
|
|
Cox Communications, Inc. (Reg. S) 5.94% 12/14/07 (c) |
|
2,330,000 |
2,340,767 |
|
|
Time Warner, Inc. 8.18% 8/15/07 |
|
2,000,000 |
2,042,798 |
|
|
Viacom, Inc. 5.74% 6/16/09 (c) |
|
2,000,000 |
2,000,232 |
|
|
|
8,872,767 |
|||
|
TOTAL CONSUMER DISCRETIONARY |
11,907,004 |
|||
|
ENERGY - 1.1% |
||||
|
Energy Equipment & Services - 0.2% |
||||
|
Transocean, Inc. 5.59% 9/5/08 (c) |
|
2,400,000 |
2,400,583 |
|
|
Oil, Gas & Consumable Fuels - 0.9% |
||||
|
Anadarko Petroleum Corp.: |
|
|
|
|
|
3.25% 5/1/08 |
|
850,000 |
823,279 |
|
|
5.79% 9/15/09 (c) |
|
2,200,000 |
2,203,172 |
|
|
Devon Oei Operating, Inc. 4.375% 10/1/07 |
|
2,310,000 |
2,287,916 |
|
|
Enterprise Products Operating LP 4% 10/15/07 |
|
2,670,000 |
2,631,053 |
|
|
|
7,945,420 |
|||
|
TOTAL ENERGY |
10,346,003 |
|||
|
FINANCIALS - 4.5% |
||||
|
Capital Markets - 0.3% |
||||
|
Lehman Brothers Holdings E-Capital Trust I 6.1725% 8/19/65 (c) |
|
955,000 |
961,453 |
|
|
Merrill Lynch & Co., Inc. 5.4938% 8/14/09 (c) |
|
2,065,000 |
2,065,258 |
|
|
|
3,026,711 |
|||
|
Commercial Banks - 0.4% |
||||
|
Santander Issuances SA Unipersonal 5.75% 6/20/16 (a)(c) |
|
1,500,000 |
1,500,663 |
|
|
Wells Fargo & Co. 5.43% 3/10/08 (c) |
|
2,300,000 |
2,301,847 |
|
|
|
3,802,510 |
|||
|
Consumer Finance - 1.0% |
||||
|
Capital One Financial Corp. 5.67% 9/10/09 (c) |
|
2,260,000 |
2,266,312 |
|
|
Nonconvertible Bonds - continued |
||||
|
|
Principal Amount |
Value |
||
|
FINANCIALS - continued |
||||
|
Consumer Finance - continued |
||||
|
MBNA Capital I 8.278% 12/1/26 |
|
$ 810,000 |
$ 844,702 |
|
|
MBNA Europe Funding PLC 5.49% 9/7/07 (a)(c) |
|
2,720,000 |
2,721,972 |
|
|
SLM Corp. 5.5369% 7/26/10 (c) |
|
2,770,000 |
2,770,094 |
|
|
|
8,603,080 |
|||
|
Diversified Financial Services - 0.4% |
||||
|
CC Funding Trust I 6.9% 2/16/07 |
|
1,695,000 |
1,701,441 |
|
|
Tyco International Group SA Participation Certificate Trust 4.436% 6/15/07 (a) |
|
1,800,000 |
1,787,530 |
|
|
|
3,488,971 |
|||
|
Real Estate Investment Trusts - 1.1% |
||||
|
Colonial Properties Trust 7% 7/14/07 |
|
3,801,000 |
3,837,326 |
|
|
iStar Financial, Inc. 5.94% 3/16/09 (c) |
|
2,505,000 |
2,521,841 |
|
|
Reckson Operating Partnership LP 6% 6/15/07 |
|
1,440,000 |
1,442,912 |
|
|
Simon Property Group LP 6.375% 11/15/07 |
|
2,310,000 |
2,329,651 |
|
|
|
10,131,730 |
|||
|
Real Estate Management & Development - 0.3% |
||||
|
Chelsea GCA Realty Partnership LP 7.25% 10/21/07 |
|
880,000 |
887,176 |
|
|
Realogy Corp. 6.0738% 10/20/09 (a)(c) |
|
1,830,000 |
1,829,663 |
|
|
|
2,716,839 |
|||
|
Thrifts & Mortgage Finance - 1.0% |
||||
|
Countrywide Financial Corp. 5.53% 4/11/07 (c) |
|
1,575,000 |
1,576,030 |
|
|
Residential Capital Corp. 6.7419% 6/29/07 (c) |
|
1,995,000 |
2,006,146 |
|
|
Washington Mutual Bank 5.4613% 5/1/09 (c) |
|
3,000,000 |
3,002,778 |
|
|
Washington Mutual, Inc. 5.54% 8/24/09 (c) |
|
2,250,000 |
2,250,605 |
|
|
|
8,835,559 |
|||
|
TOTAL FINANCIALS |
40,605,400 |
|||
|
INFORMATION TECHNOLOGY - 0.2% |
||||
|
Communications Equipment - 0.2% |
||||
|
Motorola, Inc. 4.608% 11/16/07 |
|
1,700,000 |
1,688,590 |
|
|
TELECOMMUNICATION SERVICES - 2.3% |
||||
|
Diversified Telecommunication Services - 2.0% |
||||
|
AT&T, Inc. 5.495% 5/15/08 (c) |
|
3,000,000 |
3,002,205 |
|
|
BellSouth Corp. 5.58% 8/15/08 (c) |
|
2,000,000 |
2,000,626 |
|
|
Deutsche Telekom International Finance BV 5.5688% 3/23/09 (c) |
|
1,725,000 |
1,725,600 |
|
|
Telecom Italia Capital SA 5.9844% 7/18/11 (c) |
|
3,000,000 |
2,993,181 |
|
|
Nonconvertible Bonds - continued |
||||
|
|
Principal Amount |
Value |
||
|
TELECOMMUNICATION SERVICES - continued |
||||
|
Diversified Telecommunication Services - continued |
||||
|
Telefonica Emisiones SAU 5.69% 6/19/09 (c) |
|
$ 3,500,000 |
$ 3,502,884 |
|
|
Telefonos de Mexico SA de CV 4.5% 11/19/08 |
|
1,605,000 |
1,575,017 |
|
|
TELUS Corp. yankee 7.5% 6/1/07 |
|
3,305,000 |
3,342,865 |
|
|
|
18,142,378 |
|||
|
Wireless Telecommunication Services - 0.3% |
||||
|
Verizon Wireless Capital LLC 5.375% 12/15/06 |
|
700,000 |
699,850 |
|
|
Vodafone Group PLC 5.4269% 6/29/07 (c) |
|
2,260,000 |
2,259,912 |
|
|
|
2,959,762 |
|||
|
TOTAL TELECOMMUNICATION SERVICES |
21,102,140 |
|||
|
UTILITIES - 2.0% |
||||
|
Electric Utilities - 0.8% |
||||
|
Baltimore Gas & Electric Co. 5.25% 12/15/06 |
|
1,290,000 |
1,289,465 |
|
|
Pepco Holdings, Inc. 5.5% 8/15/07 |
|
2,710,000 |
2,710,840 |
|
|
Progress Energy, Inc. 6.05% 4/15/07 |
|
3,375,000 |
3,386,516 |
|
|
|
7,386,821 |
|||
|
Gas Utilities - 0.3% |
||||
|
Consolidated Natural Gas Co. 5.375% 11/1/06 |
|
1,750,000 |
1,750,000 |
|
|
NiSource Finance Corp. 5.9681% 11/23/09 (c) |
|
845,000 |
844,923 |
|
|
|
2,594,923 |
|||
|
Independent Power Producers & Energy Traders - 0.3% |
||||
|
Constellation Energy Group, Inc. 6.35% 4/1/07 |
|
910,000 |
913,191 |
|
|
Duke Capital LLC 4.331% 11/16/06 |
|
1,590,000 |
1,589,307 |
|
|
|
2,502,498 |
|||
|
Multi-Utilities - 0.6% |
||||
|
Dominion Resources, Inc.: |
|
|
|
|
|
3.66% 11/15/06 |
|
635,000 |
634,602 |
|
|
5.6638% 9/28/07 (c) |
|
2,470,000 |
2,470,768 |
|
|
NiSource, Inc. 3.628% 11/1/06 |
|
1,055,000 |
1,055,000 |
|
|
Sempra Energy 4.75% 5/15/09 |
|
2,000,000 |
1,974,574 |
|
|
|
6,134,944 |
|||
|
TOTAL UTILITIES |
18,619,186 |
|||
|
TOTAL NONCONVERTIBLE BONDS (Cost $104,326,720) |
104,268,323 |
|||
|
U.S. Government Agency Obligations - 4.9% |
||||
|
|
Principal Amount |
Value |
||
|
Fannie Mae 0% 4/27/07 (b) |
|
$ 46,000,000 |
$ 44,818,372 |
|
|
U.S. Government Agency - Mortgage Securities - 1.0% |
||||
|
|
||||
|
Fannie Mae - 1.0% |
||||
|
4.286% 10/1/33 (c) |
|
46,708 |
46,215 |
|
|
4.289% 10/1/34 (c) |
|
51,639 |
51,787 |
|
|
4.31% 3/1/33 (c) |
|
129,128 |
128,196 |
|
|
4.318% 6/1/33 (c) |
|
60,697 |
60,242 |
|
|
4.515% 10/1/35 (c) |
|
89,040 |
88,363 |
|
|
4.543% 1/1/35 (c) |
|
208,211 |
207,652 |
|
|
4.552% 9/1/34 (c) |
|
389,228 |
393,048 |
|
|
4.594% 8/1/34 (c) |
|
126,750 |
126,595 |
|
|
4.624% 3/1/35 (c) |
|
47,676 |
47,468 |
|
|
4.64% 1/1/33 (c) |
|
72,627 |
72,604 |
|
|
4.695% 9/1/34 (c) |
|
40,743 |
40,862 |
|
|
4.712% 2/1/33 (c) |
|
20,462 |
20,635 |
|
|
4.713% 10/1/32 (c) |
|
19,796 |
19,807 |
|
|
4.746% 5/1/33 (c) |
|
9,048 |
9,020 |
|
|
4.763% 10/1/32 (c) |
|
29,513 |
29,568 |
|
|
4.775% 1/1/35 (c) |
|
12,187 |
12,292 |
|
|
4.808% 8/1/34 (c) |
|
105,801 |
105,935 |
|
|
4.976% 2/1/35 (c) |
|
40,761 |
40,704 |
|
|
4.988% 11/1/32 (c) |
|
79,460 |
80,021 |
|
|
4.989% 12/1/32 (c) |
|
11,155 |
11,210 |
|
|
5.057% 7/1/34 (c) |
|
53,130 |
53,069 |
|
|
5.058% 11/1/34 (c) |
|
22,786 |
22,814 |
|
|
5.179% 8/1/33 (c) |
|
151,076 |
151,391 |
|
|
5.288% 7/1/35 (c) |
|
61,483 |
61,610 |
|
|
5.5% 11/1/16 to 2/1/19 |
|
3,843,438 |
3,856,830 |
|
|
6.5% 7/1/16 to 3/1/35 |
|
2,114,721 |
2,165,677 |
|
|
7% 8/1/17 to 5/1/32 |
|
1,169,607 |
1,199,654 |
|
|
TOTAL FANNIE MAE |
9,103,269 |
|||
|
Freddie Mac - 0.0% |
||||
|
4.783% 10/1/32 (c) |
|
21,993 |
22,216 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Freddie Mac - continued |
||||
|
4.809% 3/1/33 (c) |
|
$ 55,366 |
$ 55,089 |
|
|
5.614% 4/1/32 (c) |
|
26,433 |
26,679 |
|
|
TOTAL FREDDIE MAC |
103,984 |
|||
|
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $9,359,151) |
9,207,253 |
|||
|
Asset-Backed Securities - 30.1% |
||||
|
|
||||
|
Accredited Mortgage Loan Trust: |
|
|
|
|
|
Series 2004-2 Class A2, 5.62% 7/25/34 (c) |
|
345,530 |
346,709 |
|
|
Series 2004-3 Class 2A4, 5.67% 10/25/34 (c) |
|
156,258 |
156,298 |
|
|
Series 2004-4 Class A2D, 5.67% 1/25/35 (c) |
|
196,933 |
197,606 |
|
|
Series 2005-1 Class M1, 5.79% 4/25/35 (c) |
|
1,545,000 |
1,552,055 |
|
|
ACE Securities Corp.: |
|
|
|
|
|
Series 2002-HE2 Class M1, 6.595% 8/25/32 (c) |
|
151,473 |
151,597 |
|
|
Series 2003-HE1: |
|
|
|
|
|
Class M1, 5.97% 11/25/33 (c) |
|
113,099 |
113,648 |
|
|
Class M2, 7.02% 11/25/33 (c) |
|
75,000 |
75,929 |
|
|
Series 2003-HS1: |
|
|
|
|
|
Class M1, 6.07% 6/25/33 (c) |
|
50,000 |
50,247 |
|
|
Class M2, 7.07% 6/25/33 (c) |
|
50,000 |
50,566 |
|
|
Series 2003-NC1 Class M1, 6.1% 7/25/33 (c) |
|
100,000 |
100,588 |
|
|
Series 2004-HE1: |
|
|
|
|
|
Class M1, 5.82% 2/25/34 (c) |
|
150,000 |
150,624 |
|
|
Class M2, 6.42% 2/25/34 (c) |
|
175,000 |
176,578 |
|
|
Series 2005-HE2: |
|
|
|
|
|
Class M2, 5.77% 4/25/35 (c) |
|
250,000 |
251,099 |
|
|
Class M3, 5.8% 4/25/35 (c) |
|
145,000 |
145,947 |
|
|
Class M4, 5.96% 4/25/35 (c) |
|
185,000 |
186,181 |
|
|
Series 2005-HE3: |
|
|
|
|
|
Class A2A, 5.42% 5/25/35 (c) |
|
87,154 |
87,159 |
|
|
Class A2B, 5.53% 5/25/35 (c) |
|
630,000 |
630,423 |
|
|
Series 2005-SD1 Class A1, 5.72% 11/25/50 (c) |
|
150,359 |
150,693 |
|
|
Series 2006-HE2: |
|
|
|
|
|
Class A2C, 5.48% 5/25/36 (c) |
|
995,000 |
995,988 |
|
|
Class M1, 5.62% 5/25/36 (c) |
|
915,000 |
916,863 |
|
|
Class M2, 5.64% 5/25/36 (c) |
|
305,000 |
305,466 |
|
|
Class M3, 5.66% 5/25/36 (c) |
|
240,000 |
240,444 |
|
|
Class M4, 5.72% 5/25/36 (c) |
|
200,000 |
200,364 |
|
|
Class M5, 5.76% 5/25/36 (c) |
|
295,000 |
295,636 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Aesop Funding II LLC Series 2005-1A Class A2, 5.38% 4/20/09 (a)(c) |
|
$ 1,200,000 |
$ 1,200,142 |
|
|
American Express Credit Account Master Trust: |
|
|
|
|
|
Series 2004-1 Class B, 5.57% 9/15/11 (c) |
|
410,000 |
411,552 |
|
|
Series 2004-5 Class B, 5.57% 4/16/12 (c) |
|
2,150,000 |
2,151,003 |
|
|
Series 2004-C Class C, 5.82% 2/15/12 (a)(c) |
|
591,770 |
593,053 |
|
|
Series 2005-1 Class A, 5.35% 10/15/12 (c) |
|
2,185,000 |
2,187,168 |
|
|
Series 2005-6 Class C, 5.57% 3/15/11 (a)(c) |
|
2,680,000 |
2,683,216 |
|
|
AmeriCredit Automobile Receivables Trust: |
|
|
|
|
|
Series 2003-AM Class A4B, 5.79% 11/6/09 (c) |
|
271,320 |
271,666 |
|
|
Series 2003-BX Class A4B, 5.79% 1/6/10 (c) |
|
70,016 |
70,076 |
|
|
Series 2005-1 Class C, 4.73% 7/6/10 |
|
2,500,000 |
2,476,300 |
|
|
Series 2006-RM Class A1, 5.37% 10/6/09 |
|
2,000,000 |
2,001,425 |
|
|
Ameriquest Mississippi, Inc. Series 2006-M3: |
|
|
|
|
|
Class M7, 6.176% 10/25/36 (c) |
|
705,000 |
705,000 |
|
|
Class M9, 7.326% 10/25/36 (c) |
|
450,000 |
450,000 |
|
|
Ameriquest Mortgage Securities, Inc.: |
|
|
|
|
|
Series 2003-1 Class M1, 6.22% 2/25/33 (c) |
|
474,619 |
475,326 |
|
|
Series 2003-3 Class M1, 6.12% 3/25/33 (c) |
|
3,892 |
3,901 |
|
|
Series 2003-AR1 Class M1, 6.47% 1/25/33 (c) |
|
210,042 |
210,239 |
|
|
Series 2004-R11 Class M1, 5.98% 11/25/34 (c) |
|
560,000 |
563,470 |
|
|
Series 2004-R2: |
|
|
|
|
|
Class M1, 5.75% 4/25/34 (c) |
|
85,000 |
84,999 |
|
|
Class M2, 5.8% 4/25/34 (c) |
|
75,000 |
75,000 |
|
|
Series 2004-R8 Class M9, 8.07% 9/25/34 (c) |
|
1,525,000 |
1,536,142 |
|
|
Series 2004-R9 Class M2, 5.97% 10/25/34 (c) |
|
720,000 |
725,006 |
|
|
Series 2005-R1: |
|
|
|
|
|
Class M1, 5.77% 3/25/35 (c) |
|
770,000 |
772,033 |
|
|
Class M2, 5.8% 3/25/35 (c) |
|
260,000 |
261,023 |
|
|
Series 2005-R2 Class M1, 5.77% 4/25/35 (c) |
|
1,700,000 |
1,706,862 |
|
|
Amortizing Residential Collateral Trust Series 2002-BC1 Class M2, 6.42% 1/25/32 (c) |
|
29,202 |
29,310 |
|
|
ARG Funding Corp.: |
|
|
|
|
|
Series 2005-1A Class A2, 5.42% 4/20/09 (a)(c) |
|
1,500,000 |
1,501,847 |
|
|
Series 2005-2A Class A2, 5.43% 5/20/09 (a)(c) |
|
800,000 |
799,996 |
|
|
Argent Securities, Inc.: |
|
|
|
|
|
Series 2003-W3 Class M2, 6.9289% 9/25/33 (c) |
|
800,000 |
808,895 |
|
|
Series 2004-W5 Class M1, 5.92% 4/25/34 (c) |
|
1,420,000 |
1,422,082 |
|
|
Series 2004-W7: |
|
|
|
|
|
Class M1, 5.87% 5/25/34 (c) |
|
305,000 |
307,132 |
|
|
Class M2, 5.92% 5/25/34 (c) |
|
250,000 |
251,711 |
|
|
Series 2006-W1 Class M10, 7.82% 3/25/36 (c) |
|
995,000 |
921,735 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Argent Securities, Inc.: - continued |
|
|
|
|
|
Series 2006-W4: |
|
|
|
|
|
Class A2C, 5.48% 5/25/36 (c) |
|
$ 1,200,000 |
$ 1,200,768 |
|
|
Class M2, 5.64% 5/25/36 (c) |
|
1,265,000 |
1,265,465 |
|
|
Class M3, 5.66% 5/25/36 (c) |
|
1,010,000 |
1,010,366 |
|
|
Arran Funding Ltd. Series 2005-A Class C, 5.65% 12/15/10 (c) |
|
3,235,000 |
3,234,353 |
|
|
Asset Backed Funding Certificates Series 2004-HE1 Class M2, 6.47% 1/25/34 (c) |
|
230,000 |
233,561 |
|
|
Asset Backed Funding Corp. Series 2006-OPT2 |
|
780,000 |
779,996 |
|
|
Asset Backed Securities Corp. Home Equity Loan Trust: |
|
|
|
|
|
Series 2003-HE2 Class M1, 6.22% 4/15/33 (c) |
|
1,165,025 |
1,165,522 |
|
|
Series 2003-HE6 Class M1, 5.97% 11/25/33 (c) |
|
215,000 |
216,507 |
|
|
Series 2003-HE7 Class A3, 5.68% 12/15/33 (c) |
|
32,327 |
32,336 |
|
|
Series 2004-HE6 Class A2, 5.68% 6/25/34 (c) |
|
566,793 |
568,213 |
|
|
Series 2005-HE1 Class M1, 5.82% 3/25/35 (c) |
|
540,000 |
543,073 |
|
|
Series 2005-HE2: |
|
|
|
|
|
Class M1, 5.77% 3/25/35 (c) |
|
1,105,000 |
1,111,184 |
|
|
Class M2, 5.82% 3/25/35 (c) |
|
275,000 |
276,969 |
|
|
Series 2005-HE3 Class A4, 5.52% 4/25/35 (c) |
|
1,025,753 |
1,026,153 |
|
|
Bank of America Credit Card Trust Series 2006-C7 |
|
1,500,000 |
1,500,000 |
|
|
Bank One Issuance Trust: |
|
|
|
|
|
Series 2002-B1 Class B1, 5.7% 12/15/09 (c) |
|
465,000 |
465,317 |
|
|
Series 2002-C1 Class C1, 6.28% 12/15/09 (c) |
|
675,000 |
677,187 |
|
|
Series 2003-C4 Class C4, 6.35% 2/15/11 (c) |
|
2,010,000 |
2,035,920 |
|
|
Series 2004-C1 Class C1, 5.82% 11/15/11 (c) |
|
25,000 |
25,157 |
|
|
Bayview Financial Acquisition Trust Series 2004-C |
|
517,068 |
517,828 |
|
|
Bayview Financial Asset Trust Series 2003-F Class A, 5.82% 9/28/43 (c) |
|
131,467 |
131,445 |
|
|
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 5.77% 2/28/44 (c) |
|
240,024 |
240,396 |
|
|
Bayview Financial Securities Co. LLC Series 2006-A Class 2A1, 5.4481% 2/28/41 (c) |
|
1,222,034 |
1,222,251 |
|
|
Bear Stearns Asset Backed Securities, Inc.: |
|
|
|
|
|
Series 2004-BO1: |
|
|
|
|
|
Class M2, 6.07% 9/25/34 (c) |
|
390,000 |
395,659 |
|
|
Class M3, 6.37% 9/25/34 (c) |
|
265,000 |
268,738 |
|
|
Class M4, 6.52% 9/25/34 (c) |
|
225,000 |
229,502 |
|
|
Class M5, 6.72% 9/25/34 (c) |
|
210,000 |
214,515 |
|
|
Series 2004-HE9 Class M2, 6.52% 11/25/34 (c) |
|
490,000 |
496,240 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Bear Stearns Asset Backed Securities, Inc.: - continued |
|
|
|
|
|
Series 2005-HE2: |
|
|
|
|
|
Class M1, 5.82% 2/25/35 (c) |
|
$ 905,000 |
$ 909,684 |
|
|
Class M2, 6.07% 2/25/35 (c) |
|
330,000 |
332,680 |
|
|
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 5.3778% 12/26/24 (c) |
|
2,840,000 |
2,839,889 |
|
|
Capital Auto Receivables Asset Trust: |
|
|
|
|
|
Series 2003-1 Class B, 5.79% 6/15/10 (a)(c) |
|
36,927 |
36,930 |
|
|
Series 2005-1 Class B, 5.695% 6/15/10 (c) |
|
850,000 |
853,741 |
|
|
Series 2006-SN1A Class A4B, 5.44% 3/20/10 (a)(c) |
|
2,700,000 |
2,700,000 |
|
|
Capital One Auto Finance Trust: |
|
|
|
|
|
Series 2003-A Class A4B, 5.6% 1/15/10 (c) |
|
250,950 |
251,139 |
|
|
Series 2004-B Class A4, 5.43% 8/15/11 (c) |
|
1,700,000 |
1,700,335 |
|
|
Series 2006-B Class A2, 5.53% 4/15/09 |
|
1,805,000 |
1,809,537 |
|
|
Capital One Master Trust: |
|
|
|
|
|
Series 2001-1 Class B, 5.83% 12/15/10 (c) |
|
500,000 |
501,890 |
|
|
Series 2001-6 Class C, 6.7% 6/15/11 (a) |
|
2,200,000 |
2,252,594 |
|
|
Capital One Multi-Asset Execution Trust: |
|
|
|
|
|
Series 2003-B6 Class B6, 5.85% 9/15/11 (c) |
|
1,125,000 |
1,133,369 |
|
|
Series 2004-B1 Class B1, 5.76% 11/15/11 (c) |
|
1,180,000 |
1,185,950 |
|
|
Series 2004-C1 Class C1, 3.4% 11/16/09 |
|
2,480,000 |
2,468,315 |
|
|
Capital Trust Ltd. Series 2004-1: |
|
|
|
|
|
Class A2, 5.77% 7/20/39 (a)(c) |
|
265,000 |
265,415 |
|
|
Class B, 6.07% 7/20/39 (a)(c) |
|
140,000 |
141,083 |
|
|
Class C, 6.42% 7/20/39 (a)(c) |
|
180,000 |
181,228 |
|
|
Carrington Mortgage Loan Trust: |
|
|
|
|
|
Series 2006-FRE1: |
|
|
|
|
|
Class M7, 6.27% 7/25/36 (c) |
|
445,000 |
445,149 |
|
|
Class M9, 7.22% 7/25/36 (c) |
|
285,000 |
285,091 |
|
|
Series 2006-NC3 Class M10, 7.37% 8/25/36 (a)(c) |
|
125,000 |
112,422 |
|
|
Cayman ABSC NIMS Trust Series 2004-HE2 Class A1, 6.75% 4/25/34 (a) |
|
12,813 |
12,749 |
|
|
CDC Mortgage Capital Trust Series 2003-HE3 Class M1, 6.02% 11/25/33 (c) |
|
91,792 |
92,372 |
|
|
Cendant Timeshare Receivables Funding LLC |
|
715,045 |
714,049 |
|
|
Chase Credit Card Owner Trust: |
|
|
|
|
|
Series 2001-6 Class B, 5.8% 3/16/09 (c) |
|
200,000 |
200,067 |
|
|
Series 2003-6 Class C, 6.12% 2/15/11 (c) |
|
2,210,000 |
2,235,084 |
|
|
Series 2004-1 Class B, 5.52% 5/15/09 (c) |
|
295,000 |
294,999 |
|
|
Chase Issuance Trust: |
|
|
|
|
|
Series 2004-C3 Class C3, 5.79% 6/15/12 (c) |
|
1,645,000 |
1,653,598 |
|
|
Series 2006-C3 Class C3, 5.55% 6/15/11 (c) |
|
1,975,000 |
1,975,000 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
CIT Equipment Collateral Trust Series 2005-VT1: |
|
|
|
|
|
Class C, 4.18% 11/20/12 |
|
$ 549,911 |
$ 544,000 |
|
|
Class D, 4.51% 11/20/12 |
|
221,539 |
219,307 |
|
|
Citibank Credit Card Issuance Trust: |
|
|
|
|
|
Series 2001-B2 Class B2, 5.86% 12/10/08 (c) |
|
615,000 |
615,178 |
|
|
Series 2002-B1 Class B1, 5.7188% 6/25/09 (c) |
|
655,000 |
655,631 |
|
|
Series 2002-C1 Class C1, 6.47% 2/9/09 (c) |
|
900,000 |
901,936 |
|
|
Series 2003-C1 Class C1, 6.4681% 4/7/10 (c) |
|
1,685,000 |
1,707,432 |
|
|
Citigroup Mortgage Loan Trust Series 2006-NC2 |
|
2,000,000 |
2,000,000 |
|
|
College Loan Corp. Trust I Series 2006-1 Class A7B, 5.495% 4/25/46 (a)(c) |
|
3,195,000 |
3,195,000 |
|
|
Countrywide Home Loan Trust Series 2006-13N |
|
840,941 |
837,329 |
|
|
Countrywide Home Loans, Inc.: |
|
|
|
|
|
Series 2002-6 Class AV1, 5.75% 5/25/33 (c) |
|
30,872 |
30,901 |
|
|
Series 2003-BC1 Class M2, 7.0745% 9/25/32 (c) |
|
251,598 |
252,675 |
|
|
Series 2003-SD3 Class A1, 5.74% 12/25/32 (a)(c) |
|
11,605 |
11,644 |
|
|
Series 2004-2 Class M1, 5.82% 5/25/34 (c) |
|
375,000 |
376,377 |
|
|
Series 2004-3: |
|
|
|
|
|
Class 3A4, 5.57% 8/25/34 (c) |
|
2,239,452 |
2,243,042 |
|
|
Class M1, 5.82% 6/25/34 (c) |
|
100,000 |
100,457 |
|
|
Series 2004-4 Class M2, 5.85% 6/25/34 (c) |
|
315,000 |
316,489 |
|
|
Series 2005-1: |
|
|
|
|
|
Class 1AV2, 5.52% 7/25/35 (c) |
|
1,035,444 |
1,035,808 |
|
|
Class MV1, 5.72% 7/25/35 (c) |
|
435,000 |
436,446 |
|
|
Class MV2, 5.76% 7/25/35 (c) |
|
525,000 |
527,050 |
|
|
Series 2005-AB1 Class A2, 5.53% 8/25/35 (c) |
|
2,378,800 |
2,380,744 |
|
|
CPS Auto Receivables Trust: |
|
|
|
|
|
Series 2006-B Class A2, 5.71% 6/15/16 (a) |
|
3,999,990 |
4,009,990 |
|
|
Series 2006-C Class A2, 5.31% 3/15/10 (a) |
|
1,775,000 |
1,773,891 |
|
|
Credit Suisse First Boston Mortgage Securities Corp.: |
|
|
|
|
|
Series 2003-8 Class A2, 5.71% 4/25/34 (c) |
|
7,446 |
7,448 |
|
|
Series 2004-FRE1 Class B1, 7.12% 4/25/34 (c) |
|
605,000 |
605,223 |
|
|
Discover Card Master Trust I: |
|
|
|
|
|
Series 2003-4 Class B1, 5.65% 5/16/11 (c) |
|
550,000 |
552,788 |
|
|
Series 2005-1 Class B, 5.47% 9/16/10 (c) |
|
1,580,000 |
1,581,658 |
|
|
Series 2005-3 Class B, 5.51% 5/15/11 (c) |
|
2,000,000 |
2,002,414 |
|
|
Series 2006-1 Class B1, 5.47% 8/16/11 (c) |
|
1,845,000 |
1,846,649 |
|
|
Series 2006-2 Class B1, 5.44% 1/17/12 (c) |
|
2,000,000 |
1,995,393 |
|
|
Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5: |
|
|
|
|
|
Class AB1, 5.58% 5/28/35 (c) |
|
208,621 |
208,686 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5: - continued |
|
|
|
|
|
Class AB3, 5.7235% 5/28/35 (c) |
|
$ 46,319 |
$ 46,493 |
|
|
Fieldstone Mortgage Investment Corp.: |
|
|
|
|
|
Series 2004-3 Class M5, 6.77% 8/25/34 (c) |
|
1,500,000 |
1,503,403 |
|
|
Series 2005-2 Class 2A1, 5.44% 12/25/35 (c) |
|
796,024 |
796,088 |
|
|
Series 2006-2: |
|
|
|
|
|
Class 2A2, 5.49% 7/25/36 (c) |
|
880,000 |
880,197 |
|
|
Class M1, 5.63% 7/25/36 (c) |
|
1,765,000 |
1,766,244 |
|
|
First Franklin Mortgage Loan Asset Backed Certificates Trust Series 2005-FF2 Class A2A, 5.41% 3/25/35 (c) |
|
77,407 |
77,412 |
|
|
First Franklin Mortgage Loan Trust: |
|
|
|
|
|
Series 2004-FF2: |
|
|
|
|
|
Class M3, 5.87% 3/25/34 (c) |
|
25,000 |
25,045 |
|
|
Class M4, 6.22% 3/25/34 (c) |
|
25,000 |
25,101 |
|
|
Series 2004-FF8 Class M3, 6.27% 10/25/34 (c) |
|
1,760,000 |
1,786,227 |
|
|
Series 2006-FF14: |
|
|
|
|
|
Class A5, 5.49% 10/25/36 (c) |
|
990,000 |
990,000 |
|
|
Class M1, 5.59% 10/25/36 (c) |
|
880,000 |
880,000 |
|
|
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (a) |
|
830,000 |
826,763 |
|
|
Ford Credit Floorplan Master Owner Trust: |
|
|
|
|
|
Series 2005-1: |
|
|
|
|
|
Class A, 5.47% 5/15/10 (c) |
|
1,375,000 |
1,374,993 |
|
|
Class B, 5.76% 5/15/10 (c) |
|
1,110,000 |
1,111,648 |
|
|
Series 2006-3: |
|
|
|
|
|
Class A, 5.5% 6/15/11 (c) |
|
990,000 |
990,512 |
|
|
Class B, 5.77% 6/15/11 (c) |
|
1,405,000 |
1,405,559 |
|
|
Franklin Auto Trust Series 2006-1 Class A2, 5.2% 10/20/09 |
|
1,535,000 |
1,534,171 |
|
|
Fremont Home Loan Trust: |
|
|
|
|
|
Series 2003-B Class M6, 9.82% 12/25/33 (c) |
|
264,204 |
264,664 |
|
|
Series 2004-B Class M1, 5.9% 5/25/34 (c) |
|
205,000 |
206,111 |
|
|
Series 2004-C: |
|
|
|
|
|
Class 2A2, 5.87% 8/25/34 (c) |
|
373,810 |
374,148 |
|
|
Class M1, 5.97% 8/25/34 (c) |
|
540,000 |
544,047 |
|
|
Series 2004-D Class 3A2, 5.6% 11/25/34 (c) |
|
47,275 |
47,310 |
|
|
Series 2005-A: |
|
|
|
|
|
Class 2A2, 5.56% 2/25/35 (c) |
|
765,433 |
765,930 |
|
|
Class M1, 5.75% 1/25/35 (c) |
|
225,000 |
226,467 |
|
|
Class M2, 5.78% 1/25/35 (c) |
|
325,000 |
326,642 |
|
|
Class M3, 5.81% 1/25/35 (c) |
|
175,000 |
176,124 |
|
|
Class M4, 6% 1/25/35 (c) |
|
125,000 |
126,162 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Fremont Home Loan Trust: - continued |
|
|
|
|
|
Series 2006-A: |
|
|
|
|
|
Class M3, 5.7% 5/25/36 (c) |
|
$ 455,000 |
$ 455,159 |
|
|
Class M4, 5.72% 5/25/36 (c) |
|
685,000 |
685,482 |
|
|
Class M5, 5.82% 5/25/36 (c) |
|
365,000 |
366,031 |
|
|
GE Business Loan Trust Series 2003-1 Class A, 5.75% 4/15/31 (a)(c) |
|
195,920 |
196,680 |
|
|
GE Capital Credit Card Master Note Trust: |
|
|
|
|
|
Series 2005-2 Class B, 5.52% 6/15/11 (c) |
|
925,000 |
926,100 |
|
|
Series 2006-1: |
|
|
|
|
|
Class B, 5.63% 9/17/12 (c) |
|
585,000 |
584,634 |
|
|
Class C, 5.73% 9/17/12 (c) |
|
455,000 |
454,716 |
|
|
Gracechurch Card Funding PLC: |
|
|
|
|
|
Series 11 Class C, 5.6% 11/15/10 (c) |
|
2,490,000 |
2,489,975 |
|
|
Series 6 Class B, 5.51% 2/17/09 (c) |
|
75,000 |
75,023 |
|
|
Series 8 Class C, 5.65% 6/15/10 (c) |
|
2,650,000 |
2,649,974 |
|
|
Series 9: |
|
|
|
|
|
Class B, 5.47% 9/15/10 (c) |
|
485,000 |
485,000 |
|
|
Class C, 5.63% 9/15/10 (c) |
|
1,800,000 |
1,801,926 |
|
|
GSAMP Trust: |
|
|
|
|
|
Series 2002-NC1 Class A2, 5.64% 7/25/32 (c) |
|
2,606 |
2,641 |
|
|
Series 2003-FM1 Class M1, 6.55% 3/20/33 (c) |
|
636,784 |
637,166 |
|
|
Series 2004-AHL Class A2D, 5.68% 8/25/34 (c) |
|
585,672 |
587,577 |
|
|
Series 2004-FM1: |
|
|
|
|
|
Class M1, 5.97% 11/25/33 (c) |
|
168,544 |
168,543 |
|
|
Class M2, 6.72% 11/25/33 (c) |
|
135,000 |
136,068 |
|
|
Series 2004-FM2 Class M1, 5.82% 1/25/34 (c) |
|
249,683 |
249,682 |
|
|
Series 2004-HE1: |
|
|
|
|
|
Class M1, 5.87% 5/25/34 (c) |
|
320,000 |
319,998 |
|
|
Class M2, 6.47% 5/25/34 (c) |
|
150,000 |
151,389 |
|
|
Series 2005-6: |
|
|
|
|
|
Class A2, 5.53% 6/25/35 (c) |
|
1,800,000 |
1,798,812 |
|
|
Class M3, 5.97% 6/25/35 (c) |
|
1,555,000 |
1,552,823 |
|
|
Series 2005-9 Class 2A1, 5.44% 8/25/35 (c) |
|
893,201 |
892,515 |
|
|
Series 2005-HE2 Class M, 5.75% 3/25/35 (c) |
|
1,220,000 |
1,225,808 |
|
|
Series 2005-MTR1 Class A1, 5.46% 10/25/35 (c) |
|
1,301,735 |
1,301,735 |
|
|
Series 2005-NC1 Class M1, 5.77% 2/25/35 (c) |
|
1,205,000 |
1,211,291 |
|
|
Series 2006-HE5 Class M7, 6.1544% 8/25/36 (c) |
|
1,495,000 |
1,494,982 |
|
|
Series 2006-NC2 Class M4, 5.6744% 6/25/36 (c) |
|
1,541,000 |
1,541,532 |
|
|
Guggenheim Structured Real Estate Funding Ltd. |
|
2,880,000 |
2,880,000 |
|
|
Harwood Street Funding I LLC Series 2004-1A |
|
1,700,000 |
1,702,217 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Home Equity Asset Trust: |
|
|
|
|
|
Series 2002-3 Class A5, 6.2% 2/25/33 (c) |
|
$ 14 |
$ 14 |
|
|
Series 2002-5 Class M1, 7.02% 5/25/33 (c) |
|
165,729 |
165,914 |
|
|
Series 2003-1 Class M1, 6.32% 6/25/33 (c) |
|
524,845 |
525,278 |
|
|
Series 2003-2 Class M1, 6.2% 8/25/33 (c) |
|
66,323 |
66,356 |
|
|
Series 2003-3 Class M1, 6.18% 8/25/33 (c) |
|
320,568 |
321,284 |
|
|
Series 2003-4 Class M1, 6.12% 10/25/33 (c) |
|
96,601 |
96,817 |
|
|
Series 2003-5: |
|
|
|
|
|
Class A2, 5.67% 12/25/33 (c) |
|
10,566 |
10,593 |
|
|
Class M1, 6.02% 12/25/33 (c) |
|
160,000 |
160,758 |
|
|
Class M2, 7.05% 12/25/33 (c) |
|
70,000 |
70,835 |
|
|
Series 2003-7: |
|
|
|
|
|
Class A2, 5.7% 3/25/34 (c) |
|
33,395 |
33,437 |
|
|
Class M1, 5.97% 3/25/34 (c) |
|
795,000 |
798,306 |
|
|
Series 2003-8 Class M1, 6.04% 4/25/34 (c) |
|
260,000 |
261,471 |
|
|
Series 2004-4 Class A2, 5.64% 10/25/34 (c) |
|
110,506 |
110,577 |
|
|
Series 2004-6 Class A2, 5.67% 12/25/34 (c) |
|
249,740 |
250,061 |
|
|
Series 2005-1: |
|
|
|
|
|
Class M1, 5.75% 5/25/35 (c) |
|
1,270,000 |
1,274,980 |
|
|
Class M2, 5.77% 5/25/35 (c) |
|
1,410,000 |
1,415,330 |
|
|
Series 2005-2: |
|
|
|
|
|
Class 2A2, 5.52% 7/25/35 (c) |
|
1,734,880 |
1,735,767 |
|
|
Class M1, 5.77% 7/25/35 (c) |
|
890,000 |
893,414 |
|
|
Household Home Equity Loan Trust Series 2004-1 |
|
121,197 |
121,733 |
|
|
Household Private Label Credit Card Master Note Trust I Series 2002-2 Class A, 5.49% 1/18/11 (c) |
|
1,000,000 |
1,000,405 |
|
|
HSBC Automotive Trust: |
|
|
|
|
|
Series 2006-1 Class A2, 5.4% 6/17/09 |
|
3,410,000 |
3,410,752 |
|
|
Series 2006-2 Class A2, 5.61% 6/17/09 |
|
1,500,000 |
1,502,849 |
|
|
HSBC Home Equity Loan Trust: |
|
|
|
|
|
Series 2005-2: |
|
|
|
|
|
Class M1, 5.78% 1/20/35 (c) |
|
242,339 |
242,872 |
|
|
Class M2, 5.81% 1/20/35 (c) |
|
180,408 |
181,037 |
|
|
Series 2005-3: |
|
|
|
|
|
Class A1, 5.58% 1/20/35 (c) |
|
545,602 |
546,098 |
|
|
Class M1, 5.74% 1/20/35 (c) |
|
320,383 |
320,967 |
|
|
Series 2006-2: |
|
|
|
|
|
Class M1, 5.64% 3/20/36 (c) |
|
780,522 |
780,516 |
|
|
Class M2, 5.66% 3/20/36 (c) |
|
1,288,554 |
1,288,545 |
|
|
IXIS Real Estate Capital Trust Series 2005-HE1: |
|
|
|
|
|
Class A1, 5.57% 6/25/35 (c) |
|
451,586 |
451,853 |
|
|
Class M1, 5.79% 6/25/35 (c) |
|
550,000 |
552,064 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
John Deere Owner Trust Series 2006-A Class A2, 5.41% 11/17/08 |
|
$ 1,805,000 |
$ 1,805,162 |
|
|
Keycorp Student Loan Trust Series 1999-A Class A2, 5.7019% 12/27/09 (c) |
|
208,738 |
209,353 |
|
|
Long Beach Auto Receivables Trust Series 2006-B |
|
1,565,000 |
1,565,446 |
|
|
Long Beach Mortgage Loan Trust: |
|
|
|
|
|
Series 2003-2 Class M1, 6.14% 6/25/33 (c) |
|
462,597 |
463,220 |
|
|
Series 2003-3 Class M1, 6.07% 7/25/33 (c) |
|
337,423 |
338,465 |
|
|
Series 2006-6: |
|
|
|
|
|
Class 2A3, 5.48% 7/25/36 (c) |
|
1,435,000 |
1,435,749 |
|
|
Class M4, 5.69% 7/25/36 (c) |
|
425,000 |
425,312 |
|
|
Class M5, 5.72% 7/25/36 (c) |
|
265,000 |
265,095 |
|
|
Class M6, 5.78% 7/25/36 (c) |
|
265,000 |
265,094 |
|
|
Series 2006-7 Class M10, 7.7185% 8/25/36 (c) |
|
675,000 |
611,719 |
|
|
Master Asset Backed Securities Trust: |
|
|
|
|
|
Series 2004-FRE1 Class M1, 5.87% 7/25/34 (c) |
|
357,163 |
357,806 |
|
|
Series 2004-HE1 Class M1, 5.97% 9/25/34 (c) |
|
685,000 |
689,796 |
|
|
MBNA Credit Card Master Note Trust: |
|
|
|
|
|
Series 2002-B2 Class B2, 5.7% 10/15/09 (c) |
|
1,034,000 |
1,035,713 |
|
|
Series 2002-B4 Class B4, 5.82% 3/15/10 (c) |
|
630,000 |
632,491 |
|
|
Series 2003-B1 Class B1, 5.76% 7/15/10 (c) |
|
1,510,000 |
1,517,240 |
|
|
Series 2003-B2 Class B2, 5.71% 10/15/10 (c) |
|
125,000 |
125,616 |
|
|
Series 2003-B3 Class B3, 5.695% 1/18/11 (c) |
|
1,550,000 |
1,556,544 |
|
|
Series 2003-B5 Class B5, 5.69% 2/15/11 (c) |
|
2,000,000 |
2,010,815 |
|
|
Series 2003-C2 Class C2, 6.92% 6/15/10 (c) |
|
2,000,000 |
2,034,750 |
|
|
Series 2005-C3 Class C, 5.59% 3/15/11 (c) |
|
2,830,000 |
2,837,424 |
|
|
MBNA Master Credit Card Trust II Series 1998-E Class B, 5.7038% 9/15/10 (c) |
|
200,000 |
200,761 |
|
|
Meritage Mortgage Loan Trust Series 2004-1: |
|
|
|
|
|
Class M1, 5.82% 7/25/34 (c) |
|
142,040 |
142,259 |
|
|
Class M2, 5.87% 7/25/34 (c) |
|
25,000 |
25,047 |
|
|
Merrill Lynch Mortgage Investors, Inc.: |
|
|
|
|
|
Series 2004-FM1 Class M2, 6.47% 1/25/35 (c) |
|
150,000 |
150,589 |
|
|
Series 2004-HE2: |
|
|
|
|
|
Class A1B, 5.79% 8/25/35 (c) |
|
196,031 |
196,960 |
|
|
Class A2B, 5.7% 8/25/35 (c) |
|
362,731 |
363,152 |
|
|
Morgan Stanley ABS Capital I, Inc.: |
|
|
|
|
|
Series 2002-HE3 Class M1, 6.42% 12/27/32 (c) |
|
125,000 |
126,213 |
|
|
Series 2003-NC10 Class M1, 6% 10/25/33 (c) |
|
792,708 |
795,638 |
|
|
Series 2003-NC8 Class M1, 6.02% 9/25/33 (c) |
|
119,992 |
120,288 |
|
|
Series 2004-HE6 Class A2, 5.66% 8/25/34 (c) |
|
302,833 |
303,560 |
|
|
Series 2004-NC2 Class M1, 5.87% 12/25/33 (c) |
|
347,703 |
349,669 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Morgan Stanley ABS Capital I, Inc.: - continued |
|
|
|
|
|
Series 2004-NC6 Class A2, 5.66% 7/25/34 (c) |
|
$ 51,034 |
$ 51,067 |
|
|
Series 2005-1 Class M2, 5.79% 12/25/34 (c) |
|
570,000 |
572,864 |
|
|
Series 2005-HE1: |
|
|
|
|
|
Class A3B, 5.54% 12/25/34 (c) |
|
144,459 |
144,547 |
|
|
Class M1, 5.77% 12/25/34 (c) |
|
150,000 |
150,971 |
|
|
Class M2, 5.79% 12/25/34 (c) |
|
385,000 |
387,141 |
|
|
Series 2005-HE2: |
|
|
|
|
|
Class M1, 5.72% 1/25/35 (c) |
|
370,000 |
372,447 |
|
|
Class M2, 5.76% 1/25/35 (c) |
|
265,000 |
266,118 |
|
|
Series 2005-NC1: |
|
|
|
|
|
Class M1, 5.76% 1/25/35 (c) |
|
325,000 |
327,201 |
|
|
Class M2, 5.79% 1/25/35 (c) |
|
325,000 |
325,992 |
|
|
Class M3, 5.83% 1/25/35 (c) |
|
325,000 |
327,149 |
|
|
Series 2006-HE4: |
|
|
|
|
|
Class M1, 5.6% 6/25/36 (c) |
|
440,000 |
440,349 |
|
|
Class M2: |
|
|
|
|
|
5.62% 6/25/36 (c) |
|
770,000 |
770,909 |
|
|
5.63% 6/25/36 (c) |
|
550,000 |
550,211 |
|
|
Class M4, 5.67% 6/25/36 (c) |
|
1,160,000 |
1,160,442 |
|
|
Series 2006-HE5 Class B1, 6.29% 8/25/36 (c) |
|
2,415,000 |
2,415,939 |
|
|
Morgan Stanley Dean Witter Capital I Trust: |
|
|
|
|
|
Series 2001-AM1 Class M1, 6.595% 2/25/32 (c) |
|
334,289 |
340,656 |
|
|
Series 2001-NC1 Class M2, 6.925% 10/25/31 (c) |
|
9,628 |
9,638 |
|
|
Series 2001-NC4 Class M1, 6.82% 1/25/32 (c) |
|
54,071 |
54,129 |
|
|
Series 2002-AM3 Class A3, 5.81% 2/25/33 (c) |
|
14,114 |
14,139 |
|
|
Series 2002-HE1 Class M1, 5.92% 7/25/32 (c) |
|
590,000 |
595,975 |
|
|
Series 2002-NC3 Class M1, 6.04% 8/25/32 (c) |
|
100,000 |
100,043 |
|
|
Series 2002-OP1 Class M1, 6.445% 9/25/32 (c) |
|
415,497 |
415,801 |
|
|
Navistar Financial Dealer Note Master Trust Series 2005-1 Class A, 5.43% 2/25/13 (c) |
|
2,050,000 |
2,055,029 |
|
|
New Century Home Equity Loan Trust Series 2005-1: |
|
|
|
|
|
Class M1, 5.77% 3/25/35 (c) |
|
595,000 |
597,376 |
|
|
Class M2, 5.8% 3/25/35 (c) |
|
595,000 |
597,762 |
|
|
Class M3, 5.84% 3/25/35 (c) |
|
290,000 |
292,082 |
|
|
Nissan Auto Lease Trust: |
|
|
|
|
|
Series 2004-A Class A4A, 5.39% 6/15/10 (c) |
|
1,167,321 |
1,167,835 |
|
|
Series 2005-A Class A4, 5.37% 8/15/11 (c) |
|
2,210,000 |
2,209,988 |
|
|
Nomura Home Equity Loan, Inc. Series 2006-HE3: |
|
|
|
|
|
Class M7, 6.13% 7/25/36 (c) |
|
485,000 |
485,168 |
|
|
Class M8, 6.28% 7/25/36 (c) |
|
340,000 |
338,300 |
|
|
Class M9, 7.18% 7/25/36 (c) |
|
490,000 |
489,315 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
NovaStar Home Equity Loan Series 2004-1: |
|
|
|
|
|
Class M1, 5.77% 6/25/34 (c) |
|
$ 100,000 |
$ 100,726 |
|
|
Class M4, 6.295% 6/25/34 (c) |
|
170,000 |
171,325 |
|
|
NovaStar Mortgage Funding Trust Series 2003-3 |
|
42,722 |
42,866 |
|
|
Ocala Funding LLC Series 2006-1A Class A, 6.72% 3/20/11 (a)(c) |
|
965,000 |
965,000 |
|
|
Option One Mortgage Loan Trust Series 2003-6 |
|
1,025,000 |
1,032,921 |
|
|
Ownit Mortgage Loan Asset-Backed Certificates Series 2005-3 Class A2A, 5.44% 6/25/36 (c) |
|
734,316 |
734,395 |
|
|
Park Place Securities, Inc.: |
|
|
|
|
|
Series 2004 WWF1 Class M4, 6.42% 1/25/35 (c) |
|
945,000 |
956,727 |
|
|
Series 2004-WCW1: |
|
|
|
|
|
Class M1, 5.95% 9/25/34 (c) |
|
565,000 |
571,740 |
|
|
Class M2, 6% 9/25/34 (c) |
|
160,000 |
161,315 |
|
|
Class M3, 6.57% 9/25/34 (c) |
|
310,000 |
313,331 |
|
|
Class M4, 6.77% 9/25/34 (c) |
|
435,000 |
439,520 |
|
|
Series 2004-WCW2 Class A2, 5.7% 10/25/34 (c) |
|
124,886 |
124,965 |
|
|
Series 2004-WWF1 Class A5, 5.79% 1/25/35 (c) |
|
126,376 |
126,648 |
|
|
Series 2005-WCH1: |
|
|
|
|
|
Class A3B, 5.54% 1/25/35 (c) |
|
176,354 |
176,487 |
|
|
Class M2, 5.84% 1/25/35 (c) |
|
1,130,000 |
1,136,313 |
|
|
Class M3, 5.88% 1/25/35 (c) |
|
425,000 |
428,314 |
|
|
Class M5, 6.2% 1/25/35 (c) |
|
400,000 |
403,976 |
|
|
Series 2005-WHQ1 Class M7, 6.57% 3/25/35 (c) |
|
910,000 |
915,074 |
|
|
Permanent Master Issuer PLC Series 2006-1 Class 2C, 5.7744% 7/17/42 (c) |
|
2,645,000 |
2,644,897 |
|
|
Providian Master Note Trust: |
|
|
|
|
|
Series 2005-2 Class C2, 5.82% 11/15/12 (a)(c) |
|
2,160,000 |
2,166,307 |
|
|
Series 2006-C1A Class C1, 5.87% 3/16/15 (a)(c) |
|
1,575,000 |
1,575,000 |
|
|
Residential Asset Mortgage Products, Inc.: |
|
|
|
|
|
Series 2004-RS10 Class MII2, 6.57% 10/25/34 (c) |
|
1,300,000 |
1,322,863 |
|
|
Series 2004-RS6: |
|
|
|
|
|
Class 2M2, 6.62% 6/25/34 (c) |
|
250,000 |
249,998 |
|
|
Class 2M3, 6.77% 6/25/34 (c) |
|
250,000 |
249,998 |
|
|
Series 2005-SP2 Class 1A1, 5.47% 5/25/44 (c) |
|
646,454 |
646,580 |
|
|
Residential Asset Securities Corp.: |
|
|
|
|
|
Series 2004-KS10 Class AI2, 5.64% 3/25/29 (c) |
|
25,322 |
25,377 |
|
|
Series 2005-KS7 Class A1, 5.42% 8/25/35 (c) |
|
271,164 |
271,180 |
|
|
Salomon Brothers Mortgage Securities VII, Inc. |
|
1,451 |
1,454 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Saxon Asset Securities Trust: |
|
|
|
|
|
Series 2004-1 Class M1, 5.85% 3/25/35 (c) |
|
$ 640,000 |
$ 640,536 |
|
|
Series 2004-2 Class MV1, 5.9% 8/25/35 (c) |
|
415,000 |
415,802 |
|
|
Sharps SP I LLC Net Interest Margin Trust Series 2004-HE3N Class NA, 5.19% 11/25/34 (a) |
|
3,551 |
3,546 |
|
|
Sierra Timeshare Receivables Fund LLC Series 2006-1A Class A2, 5.47% 5/20/18 (a)(c) |
|
3,384,812 |
3,384,795 |
|
|
Sovereign Dealer Floor Plan Master LLC Series 2006-1: |
|
|
|
|
|
Class B, 5.5% 8/15/11 (a)(c) |
|
1,140,000 |
1,139,989 |
|
|
Class C, 5.7% 8/15/11 (a)(c) |
|
520,000 |
519,995 |
|
|
Specialty Underwriting & Residential Finance: |
|
|
|
|
|
Series 2003-BC3 Class M1, 5.97% 8/25/34 (c) |
|
1,000,000 |
1,002,824 |
|
|
Series 2003-BC4 Class M1, 5.92% 11/25/34 (c) |
|
260,000 |
261,826 |
|
|
Structured Asset Investment Loan Trust: |
|
|
|
|
|
Series 2003-BC9 Class M1, 6.02% 8/25/33 (c) |
|
1,135,000 |
1,137,181 |
|
|
Series 2004-8 Class M5, 6.47% 9/25/34 (c) |
|
290,000 |
293,167 |
|
|
Series 2005-1 Class M4, 6.08% 2/25/35 (a)(c) |
|
485,000 |
490,129 |
|
|
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 5.68% 2/25/34 (c) |
|
32,067 |
32,242 |
|
|
Superior Wholesale Inventory Financing Trust VII |
|
675,000 |
675,000 |
|
|
Superior Wholesale Inventory Financing Trust XII |
|
980,000 |
982,867 |
|
|
TBW Mortgage-Backed pass thru certificates |
|
2,255,000 |
2,254,989 |
|
|
Terwin Mortgage Trust: |
|
|
|
|
|
Series 2003-4HE Class A1, 5.75% 9/25/34 (c) |
|
21,802 |
21,923 |
|
|
Series 2003-6HE Class A1, 5.79% 11/25/33 (c) |
|
22,699 |
22,805 |
|
|
Series 2005-14HE Class AF1, 5.46% 8/25/36 (c) |
|
432,738 |
432,783 |
|
|
Series 2006-9HGA Class A1, 5.424% 10/25/37 (c) |
|
1,472,062 |
1,472,062 |
|
|
Triad Auto Receivables Owner Trust Series 2006-B |
|
2,585,000 |
2,584,916 |
|
|
Turquoise Card Backed Securities PLC Series 2006-1A Class C, 5.65% 5/16/11 (a)(c) |
|
2,165,000 |
2,165,000 |
|
|
UPFC Auto Receivables Trust Series 2006-A Class A2, 5.46% 6/15/09 |
|
685,000 |
685,308 |
|
|
Wachovia Auto Loan Owner Trust Series 2006-1 |
|
2,615,000 |
2,615,288 |
|
|
WaMu Asset Holdings Corp. Series 2006-5 Class N1, 5.926% 7/25/46 (a) |
|
1,636,260 |
1,634,726 |
|
|
WaMu Master Note Trust Series 2006-A3A Class A3, 5.35% 9/16/13 (a)(c) |
|
3,025,000 |
3,025,000 |
|
|
WaMu Mortgage pass thru certificates Series 2006-AR11 Class C1B1, 5.41% 9/25/46 (c) |
|
1,448,029 |
1,448,029 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
WFS Financial Owner Trust: |
|
|
|
|
|
Series 2004-3 Class D, 4.07% 2/17/12 |
|
$ 261,274 |
$ 258,553 |
|
|
Series 2004-4 Class D, 3.58% 5/17/12 |
|
239,389 |
235,504 |
|
|
Series 2005-1 Class D, 4.09% 8/15/12 |
|
252,907 |
249,302 |
|
|
Whinstone Capital Management Ltd. Series 1A Class B3, 6.2769% 10/25/44 (a)(c) |
|
2,032,529 |
2,032,529 |
|
|
WM Asset Holdings Corp. Series 2006-7 Class N1, 5.926% 10/25/46 (a) |
|
1,179,073 |
1,179,073 |
|
|
TOTAL ASSET-BACKED SECURITIES (Cost $275,421,105) |
275,756,922 |
|||
|
Collateralized Mortgage Obligations - 14.6% |
||||
|
|
||||
|
Private Sponsor - 10.6% |
||||
|
American Home Mortgage Assets Trust floater |
|
1,314,553 |
1,312,159 |
|
|
Bear Stearns Adjustable Rate Mortgage Trust floater Series 2005-6 Class 1A1, 5.0954% 8/25/35 (c) |
|
1,854,549 |
1,857,119 |
|
|
Bear Stearns Alt-A Trust floater: |
|
|
|
|
|
Series 2005-1 Class A1, 5.6% 1/25/35 (c) |
|
1,494,771 |
1,495,993 |
|
|
Series 2005-2 Class 1A1, 5.57% 3/25/35 (c) |
|
977,419 |
977,436 |
|
|
Citigroup Mortgage Loan Trust floater Series 2006-NC1: |
|
|
|
|
|
Class M4, 5.71% 8/25/36 (c) |
|
1,205,000 |
1,205,420 |
|
|
Class M5, 5.74% 8/25/36 (c) |
|
860,000 |
860,601 |
|
|
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: |
|
|
|
|
|
Series 2004-2 Class 7A3, 5.72% 2/25/35 (c) |
|
510,244 |
511,328 |
|
|
Series 2004-4 Class 5A2, 5.72% 3/25/35 (c) |
|
154,449 |
154,672 |
|
|
Series 2005-1 Class 5A2, 5.65% 5/25/35 (c) |
|
351,424 |
350,862 |
|
|
Series 2005-10 Class 5A2, 5.64% 1/25/36 (c) |
|
1,257,666 |
1,260,732 |
|
|
Series 2005-2: |
|
|
|
|
|
Class 6A2, 5.6% 6/25/35 (c) |
|
141,091 |
141,327 |
|
|
Class 6M2, 5.8% 6/25/35 (c) |
|
1,375,000 |
1,382,788 |
|
|
Series 2005-3 Class 8A2, 5.56% 7/25/35 (c) |
|
1,196,721 |
1,199,215 |
|
|
Series 2005-5 Class 6A2, 5.55% 9/25/35 (c) |
|
984,266 |
985,441 |
|
|
Series 2005-8 Class 7A2, 5.6% 11/25/35 (c) |
|
626,894 |
628,626 |
|
|
Credit Suisse First Boston Mortgage Securities Corp. floater: |
|
|
|
|
|
Series 2004-AR2 Class 6A1, 5.72% 3/25/34 (c) |
|
87,190 |
87,342 |
|
|
Series 2004-AR3 Class 6A2, 5.69% 4/25/34 (c) |
|
42,258 |
42,295 |
|
|
Series 2004-AR5 Class 11A2, 5.69% 6/25/34 (c) |
|
76,678 |
76,753 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount |
Value |
||
|
Private Sponsor - continued |
||||
|
Credit Suisse First Boston Mortgage Securities Corp. floater: - continued |
|
|
|
|
|
Series 2004-AR6 Class 9A2, 5.69% 10/25/34 (c) |
|
$ 109,339 |
$ 109,524 |
|
|
Series 2004-AR7 Class 6A2, 5.7% 8/25/34 (c) |
|
186,095 |
186,431 |
|
|
Series 2004-AR8 Class 8A2, 5.7% 9/25/34 (c) |
|
134,869 |
134,979 |
|
|
CWALT, Inc. floater Series 2005-56 Class 3A1, 5.61% 11/25/35 (c) |
|
638,015 |
639,911 |
|
|
First Franklin Mortgage Loan Trust floater Series 2006-FF13: |
|
|
|
|
|
Class M7, 6.0738% 10/25/36 (c) |
|
1,205,000 |
1,205,000 |
|
|
Class M8, 6.2738% 10/25/36 (c) |
|
525,000 |
525,000 |
|
|
First Horizon Mortgage pass thru Trust floater |
|
111,730 |
111,820 |
|
|
Gracechurch Mortgage Funding PLC floater Series 1A: |
|
|
|
|
|
Class A2B, 5.44% 10/11/41 (a)(c) |
|
3,305,493 |
3,306,022 |
|
|
Class CB, 5.37% 10/11/41 (a)(c) |
|
260,000 |
259,990 |
|
|
Class DB, 5.84% 10/11/41 (a)(c) |
|
1,060,000 |
1,059,958 |
|
|
Granite Master Issuer PLC floater: |
|
|
|
|
|
Series 2005-1: |
|
|
|
|
|
Class A3, 5.47% 12/21/24 (c) |
|
700,000 |
700,378 |
|
|
Class B1, 5.52% 12/20/54 (c) |
|
950,000 |
949,948 |
|
|
Class M1, 5.62% 12/20/54 (c) |
|
700,000 |
699,960 |
|
|
Series 2005-2 Class C1, 5.8925% 12/20/54 (c) |
|
1,200,000 |
1,200,840 |
|
|
Series 2005-4: |
|
|
|
|
|
Class C1, 5.8225% 12/20/54 (c) |
|
925,000 |
925,108 |
|
|
Class M2, 5.6725% 12/20/54 (c) |
|
1,830,000 |
1,830,286 |
|
|
Series 2006-3 Class C2, 5.9114% 12/20/54 (c) |
|
1,230,000 |
1,230,000 |
|
|
Granite Mortgages PLC floater Series 2004-3: |
|
|
|
|
|
Class 1B, 5.55% 9/20/44 (c) |
|
58,209 |
58,213 |
|
|
Class 1C, 5.98% 9/20/44 (c) |
|
269,217 |
269,365 |
|
|
Class 1M, 5.66% 9/20/44 (c) |
|
29,105 |
29,108 |
|
|
GSAMP Trust floater Series 2004-11 Class 2A1, 5.65% 12/20/34 (c) |
|
899,371 |
901,039 |
|
|
Holmes Financing No. 10 PLC floater Series 10A: |
|
|
|
|
|
Class 1C, 5.6438% 7/15/40 (a)(c) |
|
415,000 |
414,988 |
|
|
Class 2A, 5.4038% 7/15/40 (a)(c) |
|
1,040,000 |
1,039,979 |
|
|
Class 2C, 5.8182% 7/15/40 (a)(c) |
|
975,000 |
974,971 |
|
|
Holmes Financing No. 8 PLC floater Series 2: |
|
|
|
|
|
Class A, 5.4538% 4/15/11 (c) |
|
1,400,000 |
1,400,052 |
|
|
Class B, 5.5438% 7/15/40 (c) |
|
190,000 |
190,038 |
|
|
Class C, 6.0938% 7/15/40 (c) |
|
775,000 |
776,085 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount |
Value |
||
|
Private Sponsor - continued |
||||
|
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 5.77% 10/25/34 (c) |
|
$ 579,873 |
$ 582,853 |
|
|
Impac CMB Trust floater: |
|
|
|
|
|
Series 2004-11 Class 2A2, 5.69% 3/25/35 (c) |
|
530,748 |
531,316 |
|
|
Series 2004-6 Class 1A2, 5.71% 10/25/34 (c) |
|
147,853 |
148,114 |
|
|
Series 2005-1: |
|
|
|
|
|
Class M1, 5.78% 4/25/35 (c) |
|
251,688 |
252,320 |
|
|
Class M2, 5.82% 4/25/35 (c) |
|
445,091 |
446,128 |
|
|
Class M3, 5.85% 4/25/35 (c) |
|
108,623 |
109,131 |
|
|
Class M4, 6.07% 4/25/35 (c) |
|
66,234 |
66,526 |
|
|
Class M5, 6.09% 4/25/35 (c) |
|
66,234 |
66,526 |
|
|
Class M6, 6.14% 4/25/35 (c) |
|
103,324 |
103,695 |
|
|
Series 2005-2 Class 1A2, 5.63% 4/25/35 (c) |
|
1,061,444 |
1,062,574 |
|
|
Series 2005-4 Class 1B1, 6.62% 5/25/35 (c) |
|
447,587 |
448,356 |
|
|
Series 2005-7: |
|
|
|
|
|
Class M1, 5.8% 11/25/35 (c) |
|
188,039 |
188,311 |
|
|
Class M2, 5.84% 11/25/35 (c) |
|
141,029 |
141,535 |
|
|
Class M3, 5.94% 11/25/35 (c) |
|
705,145 |
706,931 |
|
|
Class M4, 5.98% 11/25/35 (c) |
|
336,903 |
337,705 |
|
|
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.71% 9/26/45 (a)(c) |
|
961,107 |
964,142 |
|
|
Lehman XS Trust floater: |
|
|
|
|
|
Series 2006-12N Class A1A1, 5.4% 8/25/46 (c) |
|
2,869,877 |
2,869,877 |
|
|
Series 2006-GP1 Class A1, 5.41% 5/25/46 (c) |
|
2,061,670 |
2,060,370 |
|
|
Master Asset Backed Securities Trust floater: |
|
|
|
|
|
Series 2004-11: |
|
|
|
|
|
Class 1A4, 5.81% 11/25/34 (c) |
|
78,300 |
78,452 |
|
|
Class 2A1, 5.7% 11/25/34 (c) |
|
237,549 |
239,144 |
|
|
Class 2A2, 5.76% 11/25/34 (c) |
|
52,296 |
52,372 |
|
|
Series 2005-1 Class 1A1, 5.59% 3/25/35 (c) |
|
439,754 |
440,632 |
|
|
Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2349% 8/25/17 (c) |
|
510,207 |
518,931 |
|
|
Merrill Lynch Mortgage Investors Trust floater Series 2006-MLN1 Class M4, 5.6844% 7/25/37 (c) |
|
1,015,000 |
1,006,457 |
|
|
Merrill Lynch Mortgage Investors, Inc.: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2003-A: |
|
|
|
|
|
Class 2A1, 5.71% 3/25/28 (c) |
|
137,152 |
137,887 |
|
|
Class 2A2, 5.87% 3/25/28 (c) |
|
48,983 |
49,125 |
|
|
Series 2003-B Class A1, 5.66% 4/25/28 (c) |
|
132,869 |
133,497 |
|
|
Series 2003-D Class A, 5.63% 8/25/28 (c) |
|
615,117 |
616,173 |
|
|
Series 2003-E Class A2, 5.79% 10/25/28 (c) |
|
234,333 |
234,693 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount |
Value |
||
|
Private Sponsor - continued |
||||
|
Merrill Lynch Mortgage Investors, Inc.: - continued |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2003-F Class A2, 5.76% 10/25/28 (c) |
|
$ 249,077 |
$ 249,480 |
|
|
Series 2004-A Class A2, 5.67% 4/25/29 (c) |
|
316,344 |
316,328 |
|
|
Series 2004-B Class A2, 5.5875% 6/25/29 (c) |
|
330,499 |
330,642 |
|
|
Series 2004-C Class A2, 5.01% 7/25/29 (c) |
|
438,358 |
437,818 |
|
|
Series 2004-D Class A2, 5.82% 9/25/29 (c) |
|
456,802 |
457,314 |
|
|
Series 2004-E Class A2D, 5.97% 11/25/29 (c) |
|
467,386 |
468,831 |
|
|
Series 2004-G Class A2, 5.8719% 11/25/29 (c) |
|
175,222 |
175,304 |
|
|
Series 2005-A Class A2, 5.71% 2/25/30 (c) |
|
546,443 |
547,080 |
|
|
Series 2005-B Class A2, 5.5475% 7/25/30 (c) |
|
573,626 |
574,178 |
|
|
Series 2003-G Class XA1, 1% 1/25/29 (e) |
|
1,441,278 |
10,098 |
|
|
MortgageIT Trust floater Series 2004-2: |
|
|
|
|
|
Class A1, 5.69% 12/25/34 (c) |
|
415,535 |
415,032 |
|
|
Class A2, 5.77% 12/25/34 (c) |
|
561,282 |
567,066 |
|
|
Opteum Mortgage Acceptance Corp. floater: |
|
|
|
|
|
Series 2005-3 Class APT, 5.61% 7/25/35 (c) |
|
1,800,618 |
1,804,216 |
|
|
Series 2005-5 Class 1A1B, 5.52% 12/25/35 (c) |
|
920,000 |
919,668 |
|
|
Permanent Financing No. 4 PLC floater Series 2 Class C, 6.11% 6/10/42 (c) |
|
1,145,000 |
1,149,367 |
|
|
Permanent Financing No. 5 PLC floater: |
|
|
|
|
|
Series 2: |
|
|
|
|
|
Class A, 5.5% 6/10/11 (c) |
|
5,000,000 |
5,002,250 |
|
|
Class C, 6.04% 6/10/42 (c) |
|
390,000 |
391,053 |
|
|
Series 3 Class C, 6.19% 6/10/42 (c) |
|
1,030,000 |
1,031,339 |
|
|
Permanent Financing No. 6 PLC floater Series 6 |
|
1,600,000 |
1,602,125 |
|
|
Permanent Financing No. 7 PLC floater Series 7 |
|
1,140,000 |
1,141,193 |
|
|
Permanent Financing No. 8 PLC floater: |
|
|
|
|
|
Series 3C, 5.85% 6/10/42 (c) |
|
910,000 |
910,564 |
|
|
Series 8 Class 2C, 5.79% 6/10/42 (c) |
|
1,435,000 |
1,436,082 |
|
|
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 5.4244% 9/25/46 (c) |
|
2,870,198 |
2,870,198 |
|
|
Residential Asset Mortgage Products, Inc.: |
|
|
|
|
|
sequential payer: |
|
|
|
|
|
Series 2003-SL1 Class A31, 7.125% 4/25/31 |
|
193,411 |
195,517 |
|
|
Series 2004-SL2 Class A1, 6.5% 10/25/16 |
|
72,273 |
73,163 |
|
|
Series 2005-AR5 Class 1A1, 4.8316% 9/19/35 (c) |
|
529,756 |
529,592 |
|
|
Residential Funding Securities Corp.: |
|
|
|
|
|
Series 2003-RP1 Class A1, 5.82% 11/25/34 (c) |
|
9,648 |
9,652 |
|
|
Series 2003-RP2 Class A1, 5.77% 6/25/33 (a)(c) |
|
109,218 |
109,679 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount |
Value |
||
|
Private Sponsor - continued |
||||
|
Sequoia Mortgage Funding Trust Series 2003-A |
|
$ 3,873,319 |
$ 10,491 |
|
|
Sequoia Mortgage Trust floater: |
|
|
|
|
|
Series 2003-5 Class A2, 5.78% 9/20/33 (c) |
|
209,962 |
210,005 |
|
|
Series 2003-7 Class A2, 5.6419% 1/20/34 (c) |
|
110,021 |
110,067 |
|
|
Series 2004-1 Class A, 5.8825% 2/20/34 (c) |
|
162,349 |
162,514 |
|
|
Series 2004-10 Class A4, 5.7469% 11/20/34 (c) |
|
481,777 |
482,426 |
|
|
Series 2004-12 Class 1A2, 5.82% 1/20/35 (c) |
|
772,006 |
774,706 |
|
|
Series 2004-4 Class A, 5.7288% 5/20/34 (c) |
|
608,830 |
609,042 |
|
|
Series 2004-5 Class A3, 5.5769% 6/20/34 (c) |
|
216,173 |
216,205 |
|
|
Series 2004-6: |
|
|
|
|
|
Class A3A, 5.8275% 6/20/35 (c) |
|
233,159 |
233,589 |
|
|
Class A3B, 5.1069% 7/20/34 (c) |
|
466,317 |
466,800 |
|
|
Series 2004-7: |
|
|
|
|
|
Class A3A, 5.775% 8/20/34 (c) |
|
278,800 |
279,157 |
|
|
Class A3B, 6% 7/20/34 (c) |
|
541,359 |
543,397 |
|
|
Series 2004-8 Class A2, 5.82% 9/20/34 (c) |
|
831,479 |
832,721 |
|
|
Series 2005-1 Class A2, 5.8325% 2/20/35 (c) |
|
403,602 |
404,686 |
|
|
Series 2005-2 Class A2, 5.7% 3/20/35 (c) |
|
747,149 |
748,562 |
|
|
Soundview Home Equity Loan Trust floater |
|
|
|
|
|
Class M2, 5.65% 9/25/36 (c) |
|
640,000 |
640,000 |
|
|
Class M4, 5.7% 9/25/36 (c) |
|
960,000 |
959,400 |
|
|
Class M7, 6.13% 9/25/36 (c) |
|
330,000 |
330,000 |
|
|
Structured Asset Securities Corp. floater: |
|
|
|
|
|
Series 2004-NP1 Class A, 5.72% 9/25/33 (a)(c) |
|
107,652 |
107,733 |
|
|
Series 2005-AR1 Class B1, 7.32% 9/25/35 (a)(c) |
|
1,155,000 |
989,373 |
|
|
Thornburg Mortgage Securities Trust floater: |
|
|
|
|
|
Series 2004-3 Class A, 5.69% 9/25/34 (c) |
|
1,846,532 |
1,855,600 |
|
|
Series 2005-3 Class A4, 5.6% 10/25/35 (c) |
|
2,125,960 |
2,122,342 |
|
|
WaMu Mortgage pass thru certificates: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2005-AR11 Class A1C1, 5.52% 8/25/45 (c) |
|
362,278 |
362,381 |
|
|
Series 2005-AR13 Class A1C1, 5.51% 10/25/45 (c) |
|
701,405 |
701,687 |
|
|
Series 2005-AR17 Class A1C1, 5.51% 12/25/45 (c) |
|
639,819 |
640,222 |
|
|
Series 2005-AR19 Class A1C1, 5.51% 12/25/45 (c) |
|
656,219 |
656,529 |
|
|
sequential payer Series 2002-S6 Class A25, 6% 10/25/32 |
|
121,306 |
120,767 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount |
Value |
||
|
Private Sponsor - continued |
||||
|
WaMu Mortgage Securities Corp. sequential payer Series 2003-MS9 Class 2A1, 7.5% 12/25/33 |
|
$ 53,470 |
$ 55,050 |
|
|
Wells Fargo Mortgage Backed Securities Trust: |
|
|
|
|
|
Series 2004-M Class A3, 4.6742% 8/25/34 (c) |
|
1,080,436 |
1,073,798 |
|
|
Series 2005-AR10 Class 2A2, 4.109% 6/25/35 (c) |
|
4,427,130 |
4,335,482 |
|
|
Series 2005-AR12 Class 2A1, 4.319% 7/25/35 (c) |
|
2,670,886 |
2,628,038 |
|
|
TOTAL PRIVATE SPONSOR |
97,640,474 |
|||
|
U.S. Government Agency - 4.0% |
||||
|
Fannie Mae: |
|
|
|
|
|
floater Series 2002-89 Class F, 5.62% 1/25/33 (c) |
|
96,968 |
97,423 |
|
|
planned amortization class: |
|
|
|
|
|
Series 1993-207 Class G, 6.15% 4/25/23 |
|
364,768 |
364,396 |
|
|
Series 2003-24 Class PB, 4.5% 12/25/12 |
|
1,508,557 |
1,495,765 |
|
|
Fannie Mae guaranteed REMIC pass thru certificates: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2001-38 Class QF, 6.3% 8/25/31 (c) |
|
878,895 |
897,845 |
|
|
Series 2002-11 Class QF, 5.82% 3/25/32 (c) |
|
131,979 |
133,204 |
|
|
Series 2002-36 Class FT, 5.82% 6/25/32 (c) |
|
130,565 |
131,427 |
|
|
Series 2002-49 Class FB, 5.92% 11/18/31 (c) |
|
1,350,720 |
1,368,297 |
|
|
Series 2002-60 Class FV, 6.32% 4/25/32 (c) |
|
291,973 |
298,648 |
|
|
Series 2002-64 Class FE, 5.67% 10/18/32 (c) |
|
63,556 |
63,820 |
|
|
Series 2002-68 Class FH, 5.82% 10/18/32 (c) |
|
2,537,655 |
2,560,537 |
|
|
Series 2002-74 Class FV, 5.77% 11/25/32 (c) |
|
86,142 |
86,646 |
|
|
Series 2002-75 Class FA, 6.32% 11/25/32 (c) |
|
598,105 |
611,774 |
|
|
Series 2003-11: |
|
|
|
|
|
Class DF, 5.77% 2/25/33 (c) |
|
70,925 |
71,329 |
|
|
Class EF, 5.77% 2/25/33 (c) |
|
32,685 |
32,842 |
|
|
Series 2003-122 Class FL, 5.67% 7/25/29 (c) |
|
484,277 |
486,537 |
|
|
Series 2003-15 Class WF, 5.67% 8/25/17 (c) |
|
580,856 |
583,671 |
|
|
Series 2004-33 Class FW, 5.72% 8/25/25 (c) |
|
832,311 |
836,777 |
|
|
Series 2004-54 Class FE, 6.47% 2/25/33 (c) |
|
508,219 |
508,929 |
|
|
Series 2005-72 Class FG, 5.57% 5/25/35 (c) |
|
6,442,746 |
6,446,958 |
|
|
planned amortization class: |
|
|
|
|
|
Series 2002-11 Class QB, 5.5% 3/25/15 |
|
147,239 |
147,059 |
|
|
Series 2002-52 Class PA, 6% 4/25/31 |
|
7,865 |
7,883 |
|
|
Series 2002-50 Class LE, 7% 12/25/29 |
|
31,304 |
31,399 |
|
|
Series 2004-31 Class IA, 4.5% 6/25/10 (e) |
|
146,772 |
1,433 |
|
|
Freddie Mac planned amortization class Series 2162 Class PH, 6% 6/15/29 |
|
1,329,018 |
1,354,066 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount |
Value |
||
|
U.S. Government Agency - continued |
||||
|
Freddie Mac Multi-class participation certificates guaranteed: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2389 Class DA, 6.22% 11/15/30 (c) |
|
$ 1,514,519 |
$ 1,520,197 |
|
|
Series 2406: |
|
|
|
|
|
Class FP, 6.3% 1/15/32 (c) |
|
1,108,471 |
1,133,038 |
|
|
Class PF, 6.3% 12/15/31 (c) |
|
1,085,299 |
1,109,310 |
|
|
Series 2410 Class PF, 6.3% 2/15/32 (c) |
|
3,000,930 |
3,076,126 |
|
|
Series 2526 Class FC, 5.72% 11/15/32 (c) |
|
18,485 |
18,580 |
|
|
Series 2538 Class FB, 5.72% 12/15/32 (c) |
|
163,672 |
164,770 |
|
|
Series 2551 Class FH, 5.77% 1/15/33 (c) |
|
60,628 |
60,992 |
|
|
Series 2553 Class FB, 5.82% 3/15/29 (c) |
|
2,654,994 |
2,665,862 |
|
|
Series 2577 Class FW, 5.82% 1/15/30 (c) |
|
1,776,650 |
1,785,411 |
|
|
Series 2650 Class FV, 5.72% 12/15/32 (c) |
|
1,624,129 |
1,636,142 |
|
|
Series 2861 Class JF, 5.62% 4/15/17 (c) |
|
766,336 |
769,912 |
|
|
Series 2994 Class FB, 5.47% 6/15/20 (c) |
|
653,374 |
652,802 |
|
|
Series 3066 Class HF, 0% 1/15/34 (c) |
|
68,741 |
67,846 |
|
|
planned amortization class: |
|
|
|
|
|
Series 2395 Class PE, 6% 2/15/30 |
|
51,374 |
51,324 |
|
|
Series 2543 Class PM, 5.5% 8/15/18 |
|
450,049 |
449,379 |
|
|
Series 2614 Class IC, 4.5% 12/15/10 (e) |
|
557,206 |
6,176 |
|
|
Series 2676 Class KN, 3% 12/15/13 |
|
810,696 |
802,138 |
|
|
Series 2683 Class UH, 3% 3/15/19 |
|
825,848 |
821,426 |
|
|
Series 2748 Class IB, 4.5% 3/15/10 (e) |
|
210,600 |
1,096 |
|
|
Series 2776 Class UJ, 4.5% 5/15/20 (e) |
|
283,973 |
6,364 |
|
|
Series 2828 Class JA, 4.5% 1/15/10 |
|
544,605 |
542,914 |
|
|
Series 1803 Class A, 6% 12/15/08 |
|
253,438 |
254,529 |
|
|
Ginnie Mae guaranteed REMIC pass thru securities: |
|
|
|
|
|
floater Series 2001-21 Class FB, 5.72% 1/16/27 (c) |
|
100,270 |
100,758 |
|
|
planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31 |
|
172,374 |
173,545 |
|
|
TOTAL U.S. GOVERNMENT AGENCY |
36,489,302 |
|||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $134,237,153) |
134,129,776 |
|||
|
Commercial Mortgage Securities - 6.6% |
||||
|
|
Principal Amount |
Value |
||
|
Banc of America Large Loan, Inc.: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2003-BBA2: |
|
|
|
|
|
Class D, 5.87% 11/15/15 (a)(c) |
|
$ 80,375 |
$ 80,389 |
|
|
Class F, 6.22% 11/15/15 (a)(c) |
|
80,000 |
80,026 |
|
|
Class H, 6.72% 11/15/15 (a)(c) |
|
70,000 |
70,091 |
|
|
Class J, 7.27% 11/15/15 (a)(c) |
|
70,000 |
70,130 |
|
|
Class K, 7.92% 11/15/15 (a)(c) |
|
65,000 |
65,018 |
|
|
Series 2005-BBA6: |
|
|
|
|
|
Class B, 5.54% 1/15/19 (a)(c) |
|
390,000 |
390,151 |
|
|
Class C, 5.58% 1/15/19 (a)(c) |
|
400,000 |
400,155 |
|
|
Class D, 5.63% 1/15/19 (a)(c) |
|
390,000 |
390,151 |
|
|
Class E, 5.67% 1/15/19 (a)(c) |
|
245,000 |
245,085 |
|
|
Class F, 5.72% 1/15/19 (a)(c) |
|
165,000 |
165,057 |
|
|
Class G, 5.75% 1/15/19 (a)(c) |
|
125,000 |
125,048 |
|
|
Series 2005-ESHA: |
|
|
|
|
|
Class F, 6.07% 7/14/20 (a)(c) |
|
860,000 |
860,980 |
|
|
Class G, 6.2% 7/14/20 (a)(c) |
|
585,000 |
585,666 |
|
|
Class H, 6.42% 7/14/20 (a)(c) |
|
720,000 |
720,817 |
|
|
Series 2005-MIB1: |
|
|
|
|
|
Class B, 5.58% 3/15/22 (a)(c) |
|
475,000 |
475,155 |
|
|
Class C, 5.63% 3/15/22 (a)(c) |
|
200,000 |
200,074 |
|
|
Class D, 5.68% 3/15/22 (a)(c) |
|
205,000 |
205,121 |
|
|
Class E, 5.72% 3/15/22 (a)(c) |
|
390,000 |
390,238 |
|
|
Class F, 5.79% 3/15/22 (a)(c) |
|
200,000 |
200,122 |
|
|
Class G, 5.85% 3/15/22 (a)(c) |
|
130,000 |
130,079 |
|
|
Series 2006-LAQ: |
|
|
|
|
|
Class H, 6% 2/9/21 (a)(c) |
|
440,000 |
441,587 |
|
|
Class J, 6.09% 2/9/21 (a)(c) |
|
320,000 |
321,152 |
|
|
Class K, 6.32% 2/9/21 (a)(c) |
|
880,000 |
882,628 |
|
|
Series 2005-ESHA Class X1, 0.8865% 7/14/20 (a)(c)(e) |
|
44,830,000 |
274,682 |
|
|
Series 2006-ESH: |
|
|
|
|
|
Class A, 6.18% 7/14/11 (a)(c) |
|
938,219 |
937,603 |
|
|
Class B, 6.28% 7/14/11 (a)(c) |
|
467,860 |
467,097 |
|
|
Class C, 6.43% 7/14/11 (a)(c) |
|
936,970 |
936,355 |
|
|
Class D, 7.06% 7/14/11 (a)(c) |
|
544,559 |
546,682 |
|
|
Bayview Commercial Asset Trust floater: |
|
|
|
|
|
Series 2003-1 Class A, 5.9% 8/25/33 (a)(c) |
|
190,265 |
190,741 |
|
|
Series 2003-2 Class A, 5.9% 12/25/33 (a)(c) |
|
572,368 |
573,799 |
|
|
Series 2004-1: |
|
|
|
|
|
Class A, 5.68% 4/25/34 (a)(c) |
|
359,924 |
360,599 |
|
|
Class B, 7.22% 4/25/34 (a)(c) |
|
59,987 |
60,550 |
|
|
Commercial Mortgage Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Bayview Commercial Asset Trust floater: - continued |
|
|
|
|
|
Series 2004-2: |
|
|
|
|
|
Class A, 5.75% 8/25/34 (a)(c) |
|
$ 451,879 |
$ 453,150 |
|
|
Class M1, 5.9% 8/25/34 (a)(c) |
|
144,742 |
145,036 |
|
|
Series 2004-3: |
|
|
|
|
|
Class A1, 5.69% 1/25/35 (a)(c) |
|
648,162 |
649,479 |
|
|
Class A2, 5.74% 1/25/35 (a)(c) |
|
76,254 |
76,540 |
|
|
Class M1, 5.82% 1/25/35 (a)(c) |
|
114,382 |
114,739 |
|
|
Class M2, 6.32% 1/25/35 (a)(c) |
|
76,254 |
76,707 |
|
|
Series 2005-2A: |
|
|
|
|
|
Class M1, 5.75% 8/25/35 (a)(c) |
|
165,235 |
165,235 |
|
|
Class M2, 5.8% 8/25/35 (a)(c) |
|
276,880 |
277,700 |
|
|
Class M3, 5.82% 8/25/35 (a)(c) |
|
151,837 |
152,437 |
|
|
Class M4, 5.93% 8/25/35 (a)(c) |
|
138,440 |
139,053 |
|
|
Series 2005-3A: |
|
|
|
|
|
Class A1, 5.64% 11/25/35 (a)(c) |
|
760,476 |
761,857 |
|
|
Class M1, 5.76% 11/25/35 (a)(c) |
|
108,639 |
109,330 |
|
|
Class M2, 5.81% 11/25/35 (a)(c) |
|
149,379 |
150,668 |
|
|
Class M3, 5.83% 11/25/35 (a)(c) |
|
135,799 |
136,970 |
|
|
Class M4, 5.92% 11/25/35 (a)(c) |
|
167,486 |
167,902 |
|
|
Series 2005-4A: |
|
|
|
|
|
Class A2, 5.71% 1/25/36 (a)(c) |
|
1,034,817 |
1,036,758 |
|
|
Class B1, 6.72% 1/25/36 (a)(c) |
|
94,074 |
95,015 |
|
|
Class M1, 5.77% 1/25/36 (a)(c) |
|
376,297 |
377,003 |
|
|
Class M2, 5.79% 1/25/36 (a)(c) |
|
94,074 |
94,251 |
|
|
Class M3, 5.82% 1/25/36 (a)(c) |
|
188,149 |
188,443 |
|
|
Class M4, 5.93% 1/25/36 (a)(c) |
|
94,074 |
94,427 |
|
|
Class M5, 5.97% 1/25/36 (a)(c) |
|
94,074 |
94,486 |
|
|
Class M6, 6.02% 1/25/36 (a)(c) |
|
94,074 |
94,309 |
|
|
Series 2006-2A: |
|
|
|
|
|
Class A2, 5.6% 7/25/36 (a)(c) |
|
284,289 |
284,289 |
|
|
Class B1, 6.19% 7/25/36 (a)(c) |
|
104,239 |
104,239 |
|
|
Class B3, 8.02% 7/25/36 (a)(c) |
|
170,573 |
170,573 |
|
|
Class M1, 5.63% 7/25/36 (a)(c) |
|
298,504 |
298,504 |
|
|
Class M2, 5.65% 7/25/36 (a)(c) |
|
213,217 |
213,217 |
|
|
Class M3, 5.67% 7/25/36 (a)(c) |
|
165,835 |
165,835 |
|
|
Class M4, 5.74% 7/25/36 (a)(c) |
|
113,716 |
113,716 |
|
|
Class M5, 5.79% 7/25/36 (a)(c) |
|
137,406 |
137,406 |
|
|
Class M6, 5.86% 7/25/36 (a)(c) |
|
217,955 |
217,955 |
|
|
Series 2006-3A: |
|
|
|
|
|
Class A1, 5.57% 10/25/36 (a)(c) |
|
1,295,590 |
1,295,590 |
|
|
Class B1, 6.12% 10/25/36 (a)(c) |
|
153,295 |
153,295 |
|
|
Class B2, 6.67% 10/25/36 (a)(c) |
|
98,900 |
98,900 |
|
|
Commercial Mortgage Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Bayview Commercial Asset Trust floater: - continued |
|
|
|
|
|
Series 2006-3A: |
|
|
|
|
|
Class B3, 7.92% 10/25/36 (a)(c) |
|
$ 178,020 |
$ 178,020 |
|
|
Class M4, 5.75% 10/25/36 (a)(c) |
|
153,295 |
153,295 |
|
|
Class M5, 5.8% 10/25/36 (a)(c) |
|
192,855 |
192,855 |
|
|
Class M6, 5.88% 10/25/36 (a)(c) |
|
380,765 |
380,765 |
|
|
Bear Stearns Commercial Mortgage Securities, Inc. floater Series 2004-BBA3 Class E, 6.02% 6/15/17 (a)(c) |
|
960,000 |
960,330 |
|
|
COMM floater Series 2002-FL7: |
|
|
|
|
|
Class F, 6.63% 11/15/14 (a)(c) |
|
1,000,000 |
1,005,421 |
|
|
Class H, 7.58% 11/15/14 (a)(c) |
|
150,000 |
150,502 |
|
|
Commercial Mortgage pass thru certificates floater: |
|
|
|
|
|
Series 2004-HTL1: |
|
|
|
|
|
Class B, 5.78% 7/15/16 (a)(c) |
|
8,103 |
8,105 |
|
|
Class D, 5.88% 7/15/16 (a)(c) |
|
17,733 |
17,737 |
|
|
Class E, 6.08% 7/15/16 (a)(c) |
|
12,482 |
12,486 |
|
|
Class F, 6.13% 7/15/16 (a)(c) |
|
29,623 |
29,635 |
|
|
Class H, 6.63% 7/15/16 (a)(c) |
|
87,041 |
87,166 |
|
|
Class J, 6.78% 7/15/16 (a)(c) |
|
32,745 |
32,840 |
|
|
Class K, 7.68% 7/15/16 (a)(c) |
|
565,375 |
566,963 |
|
|
Series 2005-F10A: |
|
|
|
|
|
Class B, 5.56% 4/15/17 (a)(c) |
|
1,005,000 |
1,005,070 |
|
|
Class C, 5.6% 4/15/17 (a)(c) |
|
425,000 |
425,011 |
|
|
Class D, 5.64% 4/15/17 (a)(c) |
|
345,000 |
345,088 |
|
|
Class E, 5.7% 4/15/17 (a)(c) |
|
260,000 |
260,042 |
|
|
Class F, 5.74% 4/15/17 (a)(c) |
|
145,000 |
145,010 |
|
|
Class G, 5.88% 4/15/17 (a)(c) |
|
145,000 |
145,011 |
|
|
Class H, 5.95% 4/15/17 (a)(c) |
|
145,000 |
145,029 |
|
|
Class J, 6.18% 4/15/17 (a)(c) |
|
50,000 |
50,012 |
|
|
Class MOA3, 5.62% 3/15/20 (a)(c) |
|
650,000 |
650,046 |
|
|
Series 2005-FL11: |
|
|
|
|
|
Class B, 5.57% 11/15/17 (a)(c) |
|
295,290 |
295,372 |
|
|
Class C, 5.62% 11/15/17 (a)(c) |
|
590,580 |
590,744 |
|
|
Class D, 5.66% 11/15/17 (a)(c) |
|
102,367 |
102,396 |
|
|
Class E, 5.71% 11/15/17 (a)(c) |
|
157,488 |
157,539 |
|
|
Class F, 5.77% 11/15/17 (a)(c) |
|
141,739 |
141,778 |
|
|
Class G, 5.82% 11/15/17 (a)(c) |
|
224,420 |
224,482 |
|
|
Series 2006-CN2A Class AJFL, 5.5813% 2/5/19 (a)(c) |
|
1,135,000 |
1,138,919 |
|
|
Credit Suisse First Boston Mortgage Securities Corp. floater: |
|
|
|
|
|
Series 2004-FL1 Class B, 5.77% 5/15/14 (a)(c) |
|
296,157 |
296,190 |
|
|
Series 2004-TF2A Class E, 5.74% 11/15/19 (a)(c) |
|
640,000 |
640,259 |
|
|
Commercial Mortgage Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Credit Suisse First Boston Mortgage Securities Corp. floater: - continued |
|
|
|
|
|
Series 2005-TF2A Class F, 5.82% 11/15/19 (a)(c) |
|
$ 230,000 |
$ 230,098 |
|
|
Series 2005-TFLA: |
|
|
|
|
|
Class E, 5.65% 2/15/20 (a)(c) |
|
560,000 |
560,207 |
|
|
Class F, 5.7% 2/15/20 (a)(c) |
|
250,000 |
250,092 |
|
|
Class G, 5.84% 2/15/20 (a)(c) |
|
70,000 |
70,032 |
|
|
Class H, 6.07% 2/15/20 (a)(c) |
|
100,000 |
100,044 |
|
|
CS First Boston Mortgage Securities Corp. floater: |
|
|
|
|
|
Series 2005-CN2A Class A1J, 5.65% 11/15/19 (a)(c) |
|
2,165,000 |
2,166,201 |
|
|
Series 2005-TF3A Class A2, 5.6% 11/15/20 (a)(c) |
|
2,775,000 |
2,776,965 |
|
|
CSMC Commercial Mortgage Trust floater Series 2006-TFLA: |
|
|
|
|
|
Class D, 5.6% 4/15/21 (a)(c) |
|
300,000 |
300,083 |
|
|
Class E, 5.65% 4/15/21 (a)(c) |
|
300,000 |
300,147 |
|
|
Class G, 5.74% 4/15/21 (a)(c) |
|
300,000 |
300,232 |
|
|
Class H, 6.05% 4/15/21 (a)(c) |
|
300,000 |
300,167 |
|
|
Class J, 6.12% 4/15/21 (a)(c) |
|
200,000 |
200,055 |
|
|
Class K, 6.52% 4/15/21 (a)(c) |
|
1,005,000 |
1,005,275 |
|
|
Freddie Mac Multi-class participation certificates guaranteed floater Series 2448 Class FT, 6.32% 3/15/32 (c) |
|
1,370,455 |
1,405,596 |
|
|
Greenwich Capital Commercial Funding Corp. floater Series 2005-FL3A: |
|
|
|
|
|
Class H-AON: |
|
|
|
|
|
6.3213% 10/5/20 (a)(c) |
|
180,000 |
180,000 |
|
|
6.5713% 10/5/20 (a)(c) |
|
220,000 |
220,000 |
|
|
Class M-AON, 6.8213% 10/5/20 (a)(c) |
|
215,000 |
215,000 |
|
|
Class N-AON, 7.1713% 10/5/20 (a)(c) |
|
550,000 |
550,000 |
|
|
GS Mortgage Securities Corp. II floater |
|
|
|
|
|
Class C, 5.56% 6/6/20 (a)(c) |
|
145,000 |
145,000 |
|
|
Class D, 5.6% 6/6/20 (a)(c) |
|
400,000 |
400,000 |
|
|
Class E, 5.69% 6/6/20 (a)(c) |
|
800,000 |
800,000 |
|
|
Class F, 5.76% 6/6/20 (a)(c) |
|
575,000 |
575,180 |
|
|
Guggenheim Structure Real Estate Funding Ltd. floater Series 2006-3: |
|
|
|
|
|
Class B, 5.72% 9/25/46 (a)(c) |
|
450,000 |
450,000 |
|
|
Class C, 5.87% 9/25/46 (a)(c) |
|
1,150,000 |
1,150,000 |
|
|
Hilton Hotel Pool Trust floater Series 2000-HLTA Class A2, 5.7219% 10/3/15 (a)(c) |
|
3,000,000 |
3,021,395 |
|
|
Commercial Mortgage Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2003-LLFA Class K1, 7.88% 12/16/14 (a)(c) |
|
$ 435,000 |
$ 434,564 |
|
|
Merrill Lynch Mortgage Trust Series 2005-GGP1 Class X, 0.1416% 11/15/10 (a)(c)(e) |
|
417,400,000 |
267,386 |
|
|
Morgan Stanley Capital I, Inc.: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2005-XLF: |
|
|
|
|
|
Class B, 5.54% 8/15/19 (a)(c) |
|
935,000 |
935,380 |
|
|
Class C, 5.57% 8/15/19 (a)(c) |
|
75,000 |
75,030 |
|
|
Class D, 5.59% 8/15/19 (a)(c) |
|
270,000 |
270,110 |
|
|
Class E, 5.61% 8/15/19 (a)(c) |
|
245,000 |
245,099 |
|
|
Class F, 5.65% 8/15/19 (a)(c) |
|
170,000 |
170,069 |
|
|
Class G, 5.7% 8/15/19 (a)(c) |
|
120,000 |
120,049 |
|
|
Class H, 5.72% 8/15/19 (a)(c) |
|
100,000 |
100,040 |
|
|
Class J, 5.79% 8/15/19 (a)(c) |
|
75,000 |
75,024 |
|
|
Series 2006-XLF: |
|
|
|
|
|
Class D, 5.57% 7/15/19 (a)(c) |
|
1,195,000 |
1,194,993 |
|
|
Class E, 5.61% 7/15/19 (a)(c) |
|
1,450,000 |
1,450,004 |
|
|
Class F, 5.64% 7/15/19 (a)(c) |
|
535,000 |
535,002 |
|
|
Class G, 5.68% 7/15/19 (a)(c) |
|
385,000 |
385,920 |
|
|
Series 2006-XLF Class C, 6.52% 7/15/19 (a)(c) |
|
570,000 |
569,996 |
|
|
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 5.8% 3/24/18 (a)(c) |
|
364,238 |
364,921 |
|
|
Wachovia Bank Commercial Mortgage Trust floater: |
|
|
|
|
|
Series 2005-WL6A: |
|
|
|
|
|
Class A2, 5.57% 10/15/17 (a)(c) |
|
990,000 |
990,382 |
|
|
Class B, 5.62% 10/15/17 (a)(c) |
|
200,000 |
200,069 |
|
|
Class D, 5.75% 10/15/17 (a)(c) |
|
400,000 |
400,149 |
|
|
Series 2006-WL7A: |
|
|
|
|
|
Class F, 5.6638% 8/11/18 (a)(c) |
|
1,235,000 |
1,235,000 |
|
|
Class G, 5.6838% 8/11/18 (a)(c) |
|
1,170,000 |
1,170,000 |
|
|
Class J, 5.9238% 8/11/18 (a)(c) |
|
260,000 |
260,000 |
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $60,275,241) |
60,403,116 |
|||
|
Certificates of Deposit - 2.6% |
||||
|
|
||||
|
BNP Paribas SA yankee 5.045% 2/21/07 |
|
4,000,000 |
3,994,161 |
|
|
Deutsche Bank AG yankee 5.045% 2/21/07 |
|
4,000,000 |
3,994,161 |
|
|
HBOS Treasury Services PLC yankee 5.04% 2/21/07 |
|
4,000,000 |
3,994,229 |
|
|
Rabobank Nederland Coop. Central yankee 5.01% 2/14/07 |
|
4,000,000 |
3,993,969 |
|
|
Certificates of Deposit - continued |
||||
|
|
Principal Amount |
Value |
||
|
Royal Bank of Scotland PLC yankee 5.04% 2/21/07 |
|
$ 4,000,000 |
$ 3,994,102 |
|
|
Societe Generale euro 5.05% 2/21/07 |
|
4,000,000 |
3,994,257 |
|
|
TOTAL CERTIFICATES OF DEPOSIT (Cost $23,999,608) |
23,964,879 |
|||
|
Commercial Paper - 0.2% |
||||
|
|
||||
|
Rockies Express Pipeline LLC 5.58% 12/20/06 (a) |
|
2,000,000 |
1,985,191 |
|
|
Fixed-Income Funds - 25.2% |
|||
|
Shares |
|
||
|
Fidelity Ultra-Short Central Fund (d) |
2,314,696 |
230,335,439 |
|
|
Cash Equivalents - 2.9% |
|||
|
Maturity Amount |
|
||
|
Investments in repurchase agreements in a joint trading
account at 5.32%, dated 10/31/06 due 11/1/06
(Collateralized by U.S. Government Obligations) # |
$ 26,816,960 |
26,813,000 |
|
|
TOTAL INVESTMENT PORTFOLIO - 99.5% (Cost $911,343,934) |
911,682,271 |
||
|
NET OTHER ASSETS - 0.5% |
4,359,737 |
||
|
NET ASSETS - 100% |
$ 916,042,008 |
||
|
Futures Contracts |
|||||
|
|
Expiration Date |
Underlying Face Amount at Value |
Unrealized
Appreciation/ |
||
|
Purchased |
|||||
|
Eurodollar Contracts |
|||||
|
103 Eurodollar 90 Day Index Contracts |
Dec. 2006 |
$ 101,618,513 |
$ (229,587) |
||
|
103 Eurodollar 90 Day Index Contracts |
March 2007 |
101,655,850 |
(122,837) |
||
|
103 Eurodollar 90 Day Index Contracts |
June 2007 |
101,699,625 |
61,138 |
||
|
103 Eurodollar 90 Day Index Contracts |
Sept. 2007 |
101,744,687 |
149,080 |
||
|
TOTAL EURODOLLAR CONTRACTS |
$ (142,206) |
||||
|
Sold |
|||||
|
Eurodollar Contracts |
|||||
|
5 Eurodollar 90 Day Index Contracts |
Dec. 2007 |
4,940,563 |
3,893 |
||
|
5 Eurodollar 90 Day Index Contracts |
March 2008 |
4,941,063 |
3,218 |
||
|
4 Eurodollar 90 Day Index Contracts |
June 2008 |
3,952,650 |
3,409 |
||
|
3 Eurodollar 90 Day Index Contracts |
Sept. 2008 |
2,964,300 |
2,588 |
||
|
2 Eurodollar 90 Day Index Contracts |
Dec. 2008 |
1,976,050 |
1,092 |
||
|
1 Eurodollar 90 Day Index Contracts |
March 2009 |
987,938 |
584 |
||
|
TOTAL EURODOLLAR CONTRACTS |
$ 14,784 |
||||
|
|
$ (127,422) |
||||
|
Swap Agreements |
|||||
|
|
|
Notional Amount |
Value |
||
|
Credit Default Swaps |
|||||
|
Receive monthly notional amount
multiplied by 3.3% and pay Morgan
Stanley, Inc. upon default event of
Ameriquest |
Dec. 2034 |
$ 275,000 |
$ 2,641 |
||
|
Swap Agreements - continued |
|||||
|
|
Expiration Date |
Notional Amount |
Value |
||
|
Credit Default Swaps - continued |
|||||
|
Receive from Citibank, upon default event of DaimlerChrysler NA Holding Corp., par value of the notional amount of DaimlerChrysler NA Holding Corp. 6.5% 11/15/13, and pay quarterly notional amount multiplied by .8% |
June 2007 |
$ 1,000,000 |
$ (4,983) |
||
|
Receive monthly notional amount multiplied by 1.9% and pay Morgan Stanley, Inc., upon default event of Morgan Stanley ABS Capital, par value of the notional amount of Morgan Stanley ABS Capital I Series 2006-HE3 Class B3, 7.2225% 4/25/36 |
May 2036 |
500,000 |
(8,686) |
||
|
Receive monthly notional amount multiplied by 2.39% and pay UBS upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 |
March 2034 |
310,009 |
183 |
||
|
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 |
Feb. 2034 |
212,016 |
112 |
||
|
Receive monthly notional amount multiplied by 2.7% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.41% 5/25/35 |
June 2035 |
845,000 |
(9,705) |
||
|
Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon default event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35 |
March 2035 |
610,000 |
3,011 |
||
|
Receive quarterly notional amount multiplied by .20% and pay Merrill Lynch, Inc. upon default event of American Transmission Co. LLC, par value of the notional amount of American Transmission Co. LLC 7.125% 3/15/11 |
May 2007 |
1,315,000 |
1,545 |
||
|
Swap Agreements - continued |
|||||
|
|
Expiration Date |
Notional Amount |
Value |
||
|
Credit Default Swaps - continued |
|||||
|
Receive quarterly notional amount multiplied by .26% and pay Morgan Stanley, Inc. upon default event of Amerada Hess Corp., par value of the notional amount of Amerada Hess Corp. 6.65% 8/15/11 |
March 2007 |
$ 1,650,000 |
$ 1,707 |
||
|
Receive quarterly notional amount multiplied by .28% and pay Morgan Stanley, Inc. upon default event of Amerada Hess Corp., par value of the notional amount of Amerada Hess 6.65% 8/15/11 |
March 2007 |
2,000,000 |
2,167 |
||
|
Receive quarterly notional amount multiplied by .285% and pay Deutsche Bank upon default event of ConocoPhillips, par value of the notional amount of ConocoPhillips 4.75% 10/15/12 |
Sept. 2011 |
2,200,000 |
10,831 |
||
|
Receive quarterly notional amount multiplied by .30% and pay Deutsche Bank upon default event of Entergy Corp., par value of the notional amount of Entergy Corp. 7.75% 12/15/09 |
March 2008 |
1,390,000 |
3,651 |
||
|
Receive quarterly notional amount multiplied by .30% and pay Goldman Sachs upon default event of Entergy Corp., par value of the notional amount of Entergy Corp. 7.75% 12/15/09 |
March 2008 |
1,015,000 |
2,666 |
||
|
Receive quarterly notional amount multiplied by .48% and pay Goldman Sachs upon default event of TXU Corp., par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 |
Sept. 2008 |
1,840,000 |
9,916 |
||
|
Receive quarterly notional amount multiplied by .78% and pay Goldman Sachs upon default event of TXU Corp., par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 |
Dec. 2008 |
1,750,000 |
21,355 |
||
|
Receive semi-annually notional amount multiplied by .42% and pay Credit Suisse First Boston upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30 |
June 2007 |
1,900,000 |
4,854 |
||
|
TOTAL CREDIT DEFAULT SWAPS |
$ 18,812,025 |
$ 41,265 |
|||
|
Swap Agreements - continued |
|||||
|
|
Expiration Date |
Notional Amount |
Value |
||
|
Total Return Swaps |
|||||
|
Receive monthly notional amount multiplied
by the nominal spread appreciation of
the Lehman Brothers CMBS U.S.
Aggregate Index adjusted by a modified
duration |
Jan. 2007 |
$ 4,900,000 |
$ 726 |
||
|
Receive monthly notional amount
multiplied by the nominal spread
appreciation of the Lehman Brothers
CMBS U.S. Aggregate Index adjusted by
a modified duration |
Jan. 2007 |
3,000,000 |
819 |
||
|
Receive monthly notional amount multiplied
by the nominal spread appreciation of
the Lehman Brothers CMBS U.S.
Aggregate Index adjusted by a modified
duration |
April 2007 |
4,000,000 |
476 |
||
|
Receive monthly notional amount multiplied
by the nominal spread appreciation of
the Lehman Brothers CMBS U.S.
Aggregate Index adjusted by a modified
duration |
May 2007 |
5,655,000 |
(231) |
||
|
Receive monthly notional amount multiplied
by the nominal spread appreciation of
the Lehman Brothers CMBS U.S.
Aggregate Index adjusted by a modified
duration |
Nov. 2006 |
6,800,000 |
1,376 |
||
|
Swap Agreements - continued |
|||||
|
|
Expiration Date |
Notional Amount |
Value |
||
|
Total Return Swaps - continued |
|||||
|
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. |
Nov. 2006 |
$ 8,900,000 |
$ 1,689 |
||
|
Receive monthly a return equal to Lehman Brothers ABS Floating Rate Index and pay monthly a floating rate based on the 1-month LIBOR plus 2 basis points with Lehman Brothers, Inc. |
April 2007 |
4,000,000 |
594 |
||
|
TOTAL TOTAL RETURN SWAPS |
$ 37,255,000 |
$ 5,449 |
|||
|
|
$ 56,067,025 |
$ 46,714 |
|||
|
Legend |
|
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $130,259,480 or 14.2% of net assets. |
|
(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $341,009. |
|
(c) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
|
(d) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each Fidelity Central Fund, as of the Investing Fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Investing Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, each Fidelity Central Fund's financial statements are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
|
(e) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
|
# Additional Information on each counterparty to the repurchase agreement is as follows: |
|
Repurchase Agreement / Counterparty |
Value |
|
$26,813,000 due 11/01/06 at 5.32% |
|
|
ABN AMRO Bank N.V., New York Branch |
$ 366,907 |
|
BNP Paribas Securities Corp. |
2,935,256 |
|
Banc of America Securities LLC |
8,732,167 |
|
Bank of America, NA |
1,687,772 |
|
Barclays Capital, Inc. |
4,291,323 |
|
Countrywide Securities Corp. |
4,402,883 |
|
Credit Suisse Securities (USA) LLC |
232,298 |
|
HSBC Securities (USA), Inc. |
733,814 |
|
Morgan Stanley & Co., Inc. |
495,324 |
|
Societe Generale, New York Branch |
366,907 |
|
UBS Securities LLC |
2,201,442 |
|
WestLB AG |
366,907 |
|
|
$ 26,813,000 |
|
Affiliated Central Funds |
|
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
|
Fund |
Income earned |
|
Fidelity Ultra-Short Central Fund |
$ 3,303,718 |
|
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
|
Fund |
Value, |
Purchases |
Sales |
Value, |
% ownership, |
|
Fidelity Ultra-Short Central Fund |
$ 237,764,502 |
$ - |
$ 7,500,012 |
$ 230,335,439 |
2.1% |
|
Income Tax Information |
|
At October 31, 2006, the aggregate cost of investment securities for income tax purposes was $911,289,987. Net unrealized appreciation aggregated $392,284, of which $1,154,296 related to appreciated investment securities and $762,012 related to depreciated investment securities. |
|
Investment Valuation |
|
Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Swaps are marked-to-market daily based on dealer-supplied valuations. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. |
|
For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report. |
Quarterly Report
|
The fund's schedule of investments as of the date on the cover of this report has not
been audited. This report is provided for the general information of the fund's
shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report. |
Quarterly Report
Quarterly Holdings Report
for
Fidelity ® Advisor Ultra-Short
Bond Fund
Class A
Class T
Class B
Class C
Institutional Class
1.809541.102
AUSB-QTLY-1206
Showing Percentage of Net Assets
|
Nonconvertible Bonds - 11.4% |
||||
|
|
Principal Amount |
Value |
||
|
CONSUMER DISCRETIONARY - 1.3% |
||||
|
Auto Components - 0.3% |
||||
|
DaimlerChrysler NA Holding Corp.: |
|
|
|
|
|
5.82% 3/13/09 (c) |
|
$ 1,800,000 |
$ 1,801,166 |
|
|
5.87% 9/10/07 (c) |
|
1,230,000 |
1,233,071 |
|
|
|
3,034,237 |
|||
|
Media - 1.0% |
||||
|
AOL Time Warner, Inc. 6.15% 5/1/07 |
|
2,480,000 |
2,488,970 |
|
|
Cox Communications, Inc. (Reg. S) 5.94% 12/14/07 (c) |
|
2,330,000 |
2,340,767 |
|
|
Time Warner, Inc. 8.18% 8/15/07 |
|
2,000,000 |
2,042,798 |
|
|
Viacom, Inc. 5.74% 6/16/09 (c) |
|
2,000,000 |
2,000,232 |
|
|
|
8,872,767 |
|||
|
TOTAL CONSUMER DISCRETIONARY |
11,907,004 |
|||
|
ENERGY - 1.1% |
||||
|
Energy Equipment & Services - 0.2% |
||||
|
Transocean, Inc. 5.59% 9/5/08 (c) |
|
2,400,000 |
2,400,583 |
|
|
Oil, Gas & Consumable Fuels - 0.9% |
||||
|
Anadarko Petroleum Corp.: |
|
|
|
|
|
3.25% 5/1/08 |
|
850,000 |
823,279 |
|
|
5.79% 9/15/09 (c) |
|
2,200,000 |
2,203,172 |
|
|
Devon Oei Operating, Inc. 4.375% 10/1/07 |
|
2,310,000 |
2,287,916 |
|
|
Enterprise Products Operating LP 4% 10/15/07 |
|
2,670,000 |
2,631,053 |
|
|
|
7,945,420 |
|||
|
TOTAL ENERGY |
10,346,003 |
|||
|
FINANCIALS - 4.5% |
||||
|
Capital Markets - 0.3% |
||||
|
Lehman Brothers Holdings E-Capital Trust I 6.1725% 8/19/65 (c) |
|
955,000 |
961,453 |
|
|
Merrill Lynch & Co., Inc. 5.4938% 8/14/09 (c) |
|
2,065,000 |
2,065,258 |
|
|
|
3,026,711 |
|||
|
Commercial Banks - 0.4% |
||||
|
Santander Issuances SA Unipersonal 5.75% 6/20/16 (a)(c) |
|
1,500,000 |
1,500,663 |
|
|
Wells Fargo & Co. 5.43% 3/10/08 (c) |
|
2,300,000 |
2,301,847 |
|
|
|
3,802,510 |
|||
|
Consumer Finance - 1.0% |
||||
|
Capital One Financial Corp. 5.67% 9/10/09 (c) |
|
2,260,000 |
2,266,312 |
|
|
Nonconvertible Bonds - continued |
||||
|
|
Principal Amount |
Value |
||
|
FINANCIALS - continued |
||||
|
Consumer Finance - continued |
||||
|
MBNA Capital I 8.278% 12/1/26 |
|
$ 810,000 |
$ 844,702 |
|
|
MBNA Europe Funding PLC 5.49% 9/7/07 (a)(c) |
|
2,720,000 |
2,721,972 |
|
|
SLM Corp. 5.5369% 7/26/10 (c) |
|
2,770,000 |
2,770,094 |
|
|
|
8,603,080 |
|||
|
Diversified Financial Services - 0.4% |
||||
|
CC Funding Trust I 6.9% 2/16/07 |
|
1,695,000 |
1,701,441 |
|
|
Tyco International Group SA Participation Certificate Trust 4.436% 6/15/07 (a) |
|
1,800,000 |
1,787,530 |
|
|
|
3,488,971 |
|||
|
Real Estate Investment Trusts - 1.1% |
||||
|
Colonial Properties Trust 7% 7/14/07 |
|
3,801,000 |
3,837,326 |
|
|
iStar Financial, Inc. 5.94% 3/16/09 (c) |
|
2,505,000 |
2,521,841 |
|
|
Reckson Operating Partnership LP 6% 6/15/07 |
|
1,440,000 |
1,442,912 |
|
|
Simon Property Group LP 6.375% 11/15/07 |
|
2,310,000 |
2,329,651 |
|
|
|
10,131,730 |
|||
|
Real Estate Management & Development - 0.3% |
||||
|
Chelsea GCA Realty Partnership LP 7.25% 10/21/07 |
|
880,000 |
887,176 |
|
|
Realogy Corp. 6.0738% 10/20/09 (a)(c) |
|
1,830,000 |
1,829,663 |
|
|
|
2,716,839 |
|||
|
Thrifts & Mortgage Finance - 1.0% |
||||
|
Countrywide Financial Corp. 5.53% 4/11/07 (c) |
|
1,575,000 |
1,576,030 |
|
|
Residential Capital Corp. 6.7419% 6/29/07 (c) |
|
1,995,000 |
2,006,146 |
|
|
Washington Mutual Bank 5.4613% 5/1/09 (c) |
|
3,000,000 |
3,002,778 |
|
|
Washington Mutual, Inc. 5.54% 8/24/09 (c) |
|
2,250,000 |
2,250,605 |
|
|
|
8,835,559 |
|||
|
TOTAL FINANCIALS |
40,605,400 |
|||
|
INFORMATION TECHNOLOGY - 0.2% |
||||
|
Communications Equipment - 0.2% |
||||
|
Motorola, Inc. 4.608% 11/16/07 |
|
1,700,000 |
1,688,590 |
|
|
TELECOMMUNICATION SERVICES - 2.3% |
||||
|
Diversified Telecommunication Services - 2.0% |
||||
|
AT&T, Inc. 5.495% 5/15/08 (c) |
|
3,000,000 |
3,002,205 |
|
|
BellSouth Corp. 5.58% 8/15/08 (c) |
|
2,000,000 |
2,000,626 |
|
|
Deutsche Telekom International Finance BV 5.5688% 3/23/09 (c) |
|
1,725,000 |
1,725,600 |
|
|
Telecom Italia Capital SA 5.9844% 7/18/11 (c) |
|
3,000,000 |
2,993,181 |
|
|
Nonconvertible Bonds - continued |
||||
|
|
Principal Amount |
Value |
||
|
TELECOMMUNICATION SERVICES - continued |
||||
|
Diversified Telecommunication Services - continued |
||||
|
Telefonica Emisiones SAU 5.69% 6/19/09 (c) |
|
$ 3,500,000 |
$ 3,502,884 |
|
|
Telefonos de Mexico SA de CV 4.5% 11/19/08 |
|
1,605,000 |
1,575,017 |
|
|
TELUS Corp. yankee 7.5% 6/1/07 |
|
3,305,000 |
3,342,865 |
|
|
|
18,142,378 |
|||
|
Wireless Telecommunication Services - 0.3% |
||||
|
Verizon Wireless Capital LLC 5.375% 12/15/06 |
|
700,000 |
699,850 |
|
|
Vodafone Group PLC 5.4269% 6/29/07 (c) |
|
2,260,000 |
2,259,912 |
|
|
|
2,959,762 |
|||
|
TOTAL TELECOMMUNICATION SERVICES |
21,102,140 |
|||
|
UTILITIES - 2.0% |
||||
|
Electric Utilities - 0.8% |
||||
|
Baltimore Gas & Electric Co. 5.25% 12/15/06 |
|
1,290,000 |
1,289,465 |
|
|
Pepco Holdings, Inc. 5.5% 8/15/07 |
|
2,710,000 |
2,710,840 |
|
|
Progress Energy, Inc. 6.05% 4/15/07 |
|
3,375,000 |
3,386,516 |
|
|
|
7,386,821 |
|||
|
Gas Utilities - 0.3% |
||||
|
Consolidated Natural Gas Co. 5.375% 11/1/06 |
|
1,750,000 |
1,750,000 |
|
|
NiSource Finance Corp. 5.9681% 11/23/09 (c) |
|
845,000 |
844,923 |
|
|
|
2,594,923 |
|||
|
Independent Power Producers & Energy Traders - 0.3% |
||||
|
Constellation Energy Group, Inc. 6.35% 4/1/07 |
|
910,000 |
913,191 |
|
|
Duke Capital LLC 4.331% 11/16/06 |
|
1,590,000 |
1,589,307 |
|
|
|
2,502,498 |
|||
|
Multi-Utilities - 0.6% |
||||
|
Dominion Resources, Inc.: |
|
|
|
|
|
3.66% 11/15/06 |
|
635,000 |
634,602 |
|
|
5.6638% 9/28/07 (c) |
|
2,470,000 |
2,470,768 |
|
|
NiSource, Inc. 3.628% 11/1/06 |
|
1,055,000 |
1,055,000 |
|
|
Sempra Energy 4.75% 5/15/09 |
|
2,000,000 |
1,974,574 |
|
|
|
6,134,944 |
|||
|
TOTAL UTILITIES |
18,619,186 |
|||
|
TOTAL NONCONVERTIBLE BONDS (Cost $104,326,720) |
104,268,323 |
|||
|
U.S. Government Agency Obligations - 4.9% |
||||
|
|
Principal Amount |
Value |
||
|
Fannie Mae 0% 4/27/07 (b) |
|
$ 46,000,000 |
$ 44,818,372 |
|
|
U.S. Government Agency - Mortgage Securities - 1.0% |
||||
|
|
||||
|
Fannie Mae - 1.0% |
||||
|
4.286% 10/1/33 (c) |
|
46,708 |
46,215 |
|
|
4.289% 10/1/34 (c) |
|
51,639 |
51,787 |
|
|
4.31% 3/1/33 (c) |
|
129,128 |
128,196 |
|
|
4.318% 6/1/33 (c) |
|
60,697 |
60,242 |
|
|
4.515% 10/1/35 (c) |
|
89,040 |
88,363 |
|
|
4.543% 1/1/35 (c) |
|
208,211 |
207,652 |
|
|
4.552% 9/1/34 (c) |
|
389,228 |
393,048 |
|
|
4.594% 8/1/34 (c) |
|
126,750 |
126,595 |
|
|
4.624% 3/1/35 (c) |
|
47,676 |
47,468 |
|
|
4.64% 1/1/33 (c) |
|
72,627 |
72,604 |
|
|
4.695% 9/1/34 (c) |
|
40,743 |
40,862 |
|
|
4.712% 2/1/33 (c) |
|
20,462 |
20,635 |
|
|
4.713% 10/1/32 (c) |
|
19,796 |
19,807 |
|
|
4.746% 5/1/33 (c) |
|
9,048 |
9,020 |
|
|
4.763% 10/1/32 (c) |
|
29,513 |
29,568 |
|
|
4.775% 1/1/35 (c) |
|
12,187 |
12,292 |
|
|
4.808% 8/1/34 (c) |
|
105,801 |
105,935 |
|
|
4.976% 2/1/35 (c) |
|
40,761 |
40,704 |
|
|
4.988% 11/1/32 (c) |
|
79,460 |
80,021 |
|
|
4.989% 12/1/32 (c) |
|
11,155 |
11,210 |
|
|
5.057% 7/1/34 (c) |
|
53,130 |
53,069 |
|
|
5.058% 11/1/34 (c) |
|
22,786 |
22,814 |
|
|
5.179% 8/1/33 (c) |
|
151,076 |
151,391 |
|
|
5.288% 7/1/35 (c) |
|
61,483 |
61,610 |
|
|
5.5% 11/1/16 to 2/1/19 |
|
3,843,438 |
3,856,830 |
|
|
6.5% 7/1/16 to 3/1/35 |
|
2,114,721 |
2,165,677 |
|
|
7% 8/1/17 to 5/1/32 |
|
1,169,607 |
1,199,654 |
|
|
TOTAL FANNIE MAE |
9,103,269 |
|||
|
Freddie Mac - 0.0% |
||||
|
4.783% 10/1/32 (c) |
|
21,993 |
22,216 |
|
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Freddie Mac - continued |
||||
|
4.809% 3/1/33 (c) |
|
$ 55,366 |
$ 55,089 |
|
|
5.614% 4/1/32 (c) |
|
26,433 |
26,679 |
|
|
TOTAL FREDDIE MAC |
103,984 |
|||
|
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $9,359,151) |
9,207,253 |
|||
|
Asset-Backed Securities - 30.1% |
||||
|
|
||||
|
Accredited Mortgage Loan Trust: |
|
|
|
|
|
Series 2004-2 Class A2, 5.62% 7/25/34 (c) |
|
345,530 |
346,709 |
|
|
Series 2004-3 Class 2A4, 5.67% 10/25/34 (c) |
|
156,258 |
156,298 |
|
|
Series 2004-4 Class A2D, 5.67% 1/25/35 (c) |
|
196,933 |
197,606 |
|
|
Series 2005-1 Class M1, 5.79% 4/25/35 (c) |
|
1,545,000 |
1,552,055 |
|
|
ACE Securities Corp.: |
|
|
|
|
|
Series 2002-HE2 Class M1, 6.595% 8/25/32 (c) |
|
151,473 |
151,597 |
|
|
Series 2003-HE1: |
|
|
|
|
|
Class M1, 5.97% 11/25/33 (c) |
|
113,099 |
113,648 |
|
|
Class M2, 7.02% 11/25/33 (c) |
|
75,000 |
75,929 |
|
|
Series 2003-HS1: |
|
|
|
|
|
Class M1, 6.07% 6/25/33 (c) |
|
50,000 |
50,247 |
|
|
Class M2, 7.07% 6/25/33 (c) |
|
50,000 |
50,566 |
|
|
Series 2003-NC1 Class M1, 6.1% 7/25/33 (c) |
|
100,000 |
100,588 |
|
|
Series 2004-HE1: |
|
|
|
|
|
Class M1, 5.82% 2/25/34 (c) |
|
150,000 |
150,624 |
|
|
Class M2, 6.42% 2/25/34 (c) |
|
175,000 |
176,578 |
|
|
Series 2005-HE2: |
|
|
|
|
|
Class M2, 5.77% 4/25/35 (c) |
|
250,000 |
251,099 |
|
|
Class M3, 5.8% 4/25/35 (c) |
|
145,000 |
145,947 |
|
|
Class M4, 5.96% 4/25/35 (c) |
|
185,000 |
186,181 |
|
|
Series 2005-HE3: |
|
|
|
|
|
Class A2A, 5.42% 5/25/35 (c) |
|
87,154 |
87,159 |
|
|
Class A2B, 5.53% 5/25/35 (c) |
|
630,000 |
630,423 |
|
|
Series 2005-SD1 Class A1, 5.72% 11/25/50 (c) |
|
150,359 |
150,693 |
|
|
Series 2006-HE2: |
|
|
|
|
|
Class A2C, 5.48% 5/25/36 (c) |
|
995,000 |
995,988 |
|
|
Class M1, 5.62% 5/25/36 (c) |
|
915,000 |
916,863 |
|
|
Class M2, 5.64% 5/25/36 (c) |
|
305,000 |
305,466 |
|
|
Class M3, 5.66% 5/25/36 (c) |
|
240,000 |
240,444 |
|
|
Class M4, 5.72% 5/25/36 (c) |
|
200,000 |
200,364 |
|
|
Class M5, 5.76% 5/25/36 (c) |
|
295,000 |
295,636 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Aesop Funding II LLC Series 2005-1A Class A2, 5.38% 4/20/09 (a)(c) |
|
$ 1,200,000 |
$ 1,200,142 |
|
|
American Express Credit Account Master Trust: |
|
|
|
|
|
Series 2004-1 Class B, 5.57% 9/15/11 (c) |
|
410,000 |
411,552 |
|
|
Series 2004-5 Class B, 5.57% 4/16/12 (c) |
|
2,150,000 |
2,151,003 |
|
|
Series 2004-C Class C, 5.82% 2/15/12 (a)(c) |
|
591,770 |
593,053 |
|
|
Series 2005-1 Class A, 5.35% 10/15/12 (c) |
|
2,185,000 |
2,187,168 |
|
|
Series 2005-6 Class C, 5.57% 3/15/11 (a)(c) |
|
2,680,000 |
2,683,216 |
|
|
AmeriCredit Automobile Receivables Trust: |
|
|
|
|
|
Series 2003-AM Class A4B, 5.79% 11/6/09 (c) |
|
271,320 |
271,666 |
|
|
Series 2003-BX Class A4B, 5.79% 1/6/10 (c) |
|
70,016 |
70,076 |
|
|
Series 2005-1 Class C, 4.73% 7/6/10 |
|
2,500,000 |
2,476,300 |
|
|
Series 2006-RM Class A1, 5.37% 10/6/09 |
|
2,000,000 |
2,001,425 |
|
|
Ameriquest Mississippi, Inc. Series 2006-M3: |
|
|
|
|
|
Class M7, 6.176% 10/25/36 (c) |
|
705,000 |
705,000 |
|
|
Class M9, 7.326% 10/25/36 (c) |
|
450,000 |
450,000 |
|
|
Ameriquest Mortgage Securities, Inc.: |
|
|
|
|
|
Series 2003-1 Class M1, 6.22% 2/25/33 (c) |
|
474,619 |
475,326 |
|
|
Series 2003-3 Class M1, 6.12% 3/25/33 (c) |
|
3,892 |
3,901 |
|
|
Series 2003-AR1 Class M1, 6.47% 1/25/33 (c) |
|
210,042 |
210,239 |
|
|
Series 2004-R11 Class M1, 5.98% 11/25/34 (c) |
|
560,000 |
563,470 |
|
|
Series 2004-R2: |
|
|
|
|
|
Class M1, 5.75% 4/25/34 (c) |
|
85,000 |
84,999 |
|
|
Class M2, 5.8% 4/25/34 (c) |
|
75,000 |
75,000 |
|
|
Series 2004-R8 Class M9, 8.07% 9/25/34 (c) |
|
1,525,000 |
1,536,142 |
|
|
Series 2004-R9 Class M2, 5.97% 10/25/34 (c) |
|
720,000 |
725,006 |
|
|
Series 2005-R1: |
|
|
|
|
|
Class M1, 5.77% 3/25/35 (c) |
|
770,000 |
772,033 |
|
|
Class M2, 5.8% 3/25/35 (c) |
|
260,000 |
261,023 |
|
|
Series 2005-R2 Class M1, 5.77% 4/25/35 (c) |
|
1,700,000 |
1,706,862 |
|
|
Amortizing Residential Collateral Trust Series 2002-BC1 Class M2, 6.42% 1/25/32 (c) |
|
29,202 |
29,310 |
|
|
ARG Funding Corp.: |
|
|
|
|
|
Series 2005-1A Class A2, 5.42% 4/20/09 (a)(c) |
|
1,500,000 |
1,501,847 |
|
|
Series 2005-2A Class A2, 5.43% 5/20/09 (a)(c) |
|
800,000 |
799,996 |
|
|
Argent Securities, Inc.: |
|
|
|
|
|
Series 2003-W3 Class M2, 6.9289% 9/25/33 (c) |
|
800,000 |
808,895 |
|
|
Series 2004-W5 Class M1, 5.92% 4/25/34 (c) |
|
1,420,000 |
1,422,082 |
|
|
Series 2004-W7: |
|
|
|
|
|
Class M1, 5.87% 5/25/34 (c) |
|
305,000 |
307,132 |
|
|
Class M2, 5.92% 5/25/34 (c) |
|
250,000 |
251,711 |
|
|
Series 2006-W1 Class M10, 7.82% 3/25/36 (c) |
|
995,000 |
921,735 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Argent Securities, Inc.: - continued |
|
|
|
|
|
Series 2006-W4: |
|
|
|
|
|
Class A2C, 5.48% 5/25/36 (c) |
|
$ 1,200,000 |
$ 1,200,768 |
|
|
Class M2, 5.64% 5/25/36 (c) |
|
1,265,000 |
1,265,465 |
|
|
Class M3, 5.66% 5/25/36 (c) |
|
1,010,000 |
1,010,366 |
|
|
Arran Funding Ltd. Series 2005-A Class C, 5.65% 12/15/10 (c) |
|
3,235,000 |
3,234,353 |
|
|
Asset Backed Funding Certificates Series 2004-HE1 Class M2, 6.47% 1/25/34 (c) |
|
230,000 |
233,561 |
|
|
Asset Backed Funding Corp. Series 2006-OPT2 |
|
780,000 |
779,996 |
|
|
Asset Backed Securities Corp. Home Equity Loan Trust: |
|
|
|
|
|
Series 2003-HE2 Class M1, 6.22% 4/15/33 (c) |
|
1,165,025 |
1,165,522 |
|
|
Series 2003-HE6 Class M1, 5.97% 11/25/33 (c) |
|
215,000 |
216,507 |
|
|
Series 2003-HE7 Class A3, 5.68% 12/15/33 (c) |
|
32,327 |
32,336 |
|
|
Series 2004-HE6 Class A2, 5.68% 6/25/34 (c) |
|
566,793 |
568,213 |
|
|
Series 2005-HE1 Class M1, 5.82% 3/25/35 (c) |
|
540,000 |
543,073 |
|
|
Series 2005-HE2: |
|
|
|
|
|
Class M1, 5.77% 3/25/35 (c) |
|
1,105,000 |
1,111,184 |
|
|
Class M2, 5.82% 3/25/35 (c) |
|
275,000 |
276,969 |
|
|
Series 2005-HE3 Class A4, 5.52% 4/25/35 (c) |
|
1,025,753 |
1,026,153 |
|
|
Bank of America Credit Card Trust Series 2006-C7 |
|
1,500,000 |
1,500,000 |
|
|
Bank One Issuance Trust: |
|
|
|
|
|
Series 2002-B1 Class B1, 5.7% 12/15/09 (c) |
|
465,000 |
465,317 |
|
|
Series 2002-C1 Class C1, 6.28% 12/15/09 (c) |
|
675,000 |
677,187 |
|
|
Series 2003-C4 Class C4, 6.35% 2/15/11 (c) |
|
2,010,000 |
2,035,920 |
|
|
Series 2004-C1 Class C1, 5.82% 11/15/11 (c) |
|
25,000 |
25,157 |
|
|
Bayview Financial Acquisition Trust Series 2004-C |
|
517,068 |
517,828 |
|
|
Bayview Financial Asset Trust Series 2003-F Class A, 5.82% 9/28/43 (c) |
|
131,467 |
131,445 |
|
|
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 5.77% 2/28/44 (c) |
|
240,024 |
240,396 |
|
|
Bayview Financial Securities Co. LLC Series 2006-A Class 2A1, 5.4481% 2/28/41 (c) |
|
1,222,034 |
1,222,251 |
|
|
Bear Stearns Asset Backed Securities, Inc.: |
|
|
|
|
|
Series 2004-BO1: |
|
|
|
|
|
Class M2, 6.07% 9/25/34 (c) |
|
390,000 |
395,659 |
|
|
Class M3, 6.37% 9/25/34 (c) |
|
265,000 |
268,738 |
|
|
Class M4, 6.52% 9/25/34 (c) |
|
225,000 |
229,502 |
|
|
Class M5, 6.72% 9/25/34 (c) |
|
210,000 |
214,515 |
|
|
Series 2004-HE9 Class M2, 6.52% 11/25/34 (c) |
|
490,000 |
496,240 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Bear Stearns Asset Backed Securities, Inc.: - continued |
|
|
|
|
|
Series 2005-HE2: |
|
|
|
|
|
Class M1, 5.82% 2/25/35 (c) |
|
$ 905,000 |
$ 909,684 |
|
|
Class M2, 6.07% 2/25/35 (c) |
|
330,000 |
332,680 |
|
|
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 5.3778% 12/26/24 (c) |
|
2,840,000 |
2,839,889 |
|
|
Capital Auto Receivables Asset Trust: |
|
|
|
|
|
Series 2003-1 Class B, 5.79% 6/15/10 (a)(c) |
|
36,927 |
36,930 |
|
|
Series 2005-1 Class B, 5.695% 6/15/10 (c) |
|
850,000 |
853,741 |
|
|
Series 2006-SN1A Class A4B, 5.44% 3/20/10 (a)(c) |
|
2,700,000 |
2,700,000 |
|
|
Capital One Auto Finance Trust: |
|
|
|
|
|
Series 2003-A Class A4B, 5.6% 1/15/10 (c) |
|
250,950 |
251,139 |
|
|
Series 2004-B Class A4, 5.43% 8/15/11 (c) |
|
1,700,000 |
1,700,335 |
|
|
Series 2006-B Class A2, 5.53% 4/15/09 |
|
1,805,000 |
1,809,537 |
|
|
Capital One Master Trust: |
|
|
|
|
|
Series 2001-1 Class B, 5.83% 12/15/10 (c) |
|
500,000 |
501,890 |
|
|
Series 2001-6 Class C, 6.7% 6/15/11 (a) |
|
2,200,000 |
2,252,594 |
|
|
Capital One Multi-Asset Execution Trust: |
|
|
|
|
|
Series 2003-B6 Class B6, 5.85% 9/15/11 (c) |
|
1,125,000 |
1,133,369 |
|
|
Series 2004-B1 Class B1, 5.76% 11/15/11 (c) |
|
1,180,000 |
1,185,950 |
|
|
Series 2004-C1 Class C1, 3.4% 11/16/09 |
|
2,480,000 |
2,468,315 |
|
|
Capital Trust Ltd. Series 2004-1: |
|
|
|
|
|
Class A2, 5.77% 7/20/39 (a)(c) |
|
265,000 |
265,415 |
|
|
Class B, 6.07% 7/20/39 (a)(c) |
|
140,000 |
141,083 |
|
|
Class C, 6.42% 7/20/39 (a)(c) |
|
180,000 |
181,228 |
|
|
Carrington Mortgage Loan Trust: |
|
|
|
|
|
Series 2006-FRE1: |
|
|
|
|
|
Class M7, 6.27% 7/25/36 (c) |
|
445,000 |
445,149 |
|
|
Class M9, 7.22% 7/25/36 (c) |
|
285,000 |
285,091 |
|
|
Series 2006-NC3 Class M10, 7.37% 8/25/36 (a)(c) |
|
125,000 |
112,422 |
|
|
Cayman ABSC NIMS Trust Series 2004-HE2 Class A1, 6.75% 4/25/34 (a) |
|
12,813 |
12,749 |
|
|
CDC Mortgage Capital Trust Series 2003-HE3 Class M1, 6.02% 11/25/33 (c) |
|
91,792 |
92,372 |
|
|
Cendant Timeshare Receivables Funding LLC |
|
715,045 |
714,049 |
|
|
Chase Credit Card Owner Trust: |
|
|
|
|
|
Series 2001-6 Class B, 5.8% 3/16/09 (c) |
|
200,000 |
200,067 |
|
|
Series 2003-6 Class C, 6.12% 2/15/11 (c) |
|
2,210,000 |
2,235,084 |
|
|
Series 2004-1 Class B, 5.52% 5/15/09 (c) |
|
295,000 |
294,999 |
|
|
Chase Issuance Trust: |
|
|
|
|
|
Series 2004-C3 Class C3, 5.79% 6/15/12 (c) |
|
1,645,000 |
1,653,598 |
|
|
Series 2006-C3 Class C3, 5.55% 6/15/11 (c) |
|
1,975,000 |
1,975,000 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
CIT Equipment Collateral Trust Series 2005-VT1: |
|
|
|
|
|
Class C, 4.18% 11/20/12 |
|
$ 549,911 |
$ 544,000 |
|
|
Class D, 4.51% 11/20/12 |
|
221,539 |
219,307 |
|
|
Citibank Credit Card Issuance Trust: |
|
|
|
|
|
Series 2001-B2 Class B2, 5.86% 12/10/08 (c) |
|
615,000 |
615,178 |
|
|
Series 2002-B1 Class B1, 5.7188% 6/25/09 (c) |
|
655,000 |
655,631 |
|
|
Series 2002-C1 Class C1, 6.47% 2/9/09 (c) |
|
900,000 |
901,936 |
|
|
Series 2003-C1 Class C1, 6.4681% 4/7/10 (c) |
|
1,685,000 |
1,707,432 |
|
|
Citigroup Mortgage Loan Trust Series 2006-NC2 |
|
2,000,000 |
2,000,000 |
|
|
College Loan Corp. Trust I Series 2006-1 Class A7B, 5.495% 4/25/46 (a)(c) |
|
3,195,000 |
3,195,000 |
|
|
Countrywide Home Loan Trust Series 2006-13N |
|
840,941 |
837,329 |
|
|
Countrywide Home Loans, Inc.: |
|
|
|
|
|
Series 2002-6 Class AV1, 5.75% 5/25/33 (c) |
|
30,872 |
30,901 |
|
|
Series 2003-BC1 Class M2, 7.0745% 9/25/32 (c) |
|
251,598 |
252,675 |
|
|
Series 2003-SD3 Class A1, 5.74% 12/25/32 (a)(c) |
|
11,605 |
11,644 |
|
|
Series 2004-2 Class M1, 5.82% 5/25/34 (c) |
|
375,000 |
376,377 |
|
|
Series 2004-3: |
|
|
|
|
|
Class 3A4, 5.57% 8/25/34 (c) |
|
2,239,452 |
2,243,042 |
|
|
Class M1, 5.82% 6/25/34 (c) |
|
100,000 |
100,457 |
|
|
Series 2004-4 Class M2, 5.85% 6/25/34 (c) |
|
315,000 |
316,489 |
|
|
Series 2005-1: |
|
|
|
|
|
Class 1AV2, 5.52% 7/25/35 (c) |
|
1,035,444 |
1,035,808 |
|
|
Class MV1, 5.72% 7/25/35 (c) |
|
435,000 |
436,446 |
|
|
Class MV2, 5.76% 7/25/35 (c) |
|
525,000 |
527,050 |
|
|
Series 2005-AB1 Class A2, 5.53% 8/25/35 (c) |
|
2,378,800 |
2,380,744 |
|
|
CPS Auto Receivables Trust: |
|
|
|
|
|
Series 2006-B Class A2, 5.71% 6/15/16 (a) |
|
3,999,990 |
4,009,990 |
|
|
Series 2006-C Class A2, 5.31% 3/15/10 (a) |
|
1,775,000 |
1,773,891 |
|
|
Credit Suisse First Boston Mortgage Securities Corp.: |
|
|
|
|
|
Series 2003-8 Class A2, 5.71% 4/25/34 (c) |
|
7,446 |
7,448 |
|
|
Series 2004-FRE1 Class B1, 7.12% 4/25/34 (c) |
|
605,000 |
605,223 |
|
|
Discover Card Master Trust I: |
|
|
|
|
|
Series 2003-4 Class B1, 5.65% 5/16/11 (c) |
|
550,000 |
552,788 |
|
|
Series 2005-1 Class B, 5.47% 9/16/10 (c) |
|
1,580,000 |
1,581,658 |
|
|
Series 2005-3 Class B, 5.51% 5/15/11 (c) |
|
2,000,000 |
2,002,414 |
|
|
Series 2006-1 Class B1, 5.47% 8/16/11 (c) |
|
1,845,000 |
1,846,649 |
|
|
Series 2006-2 Class B1, 5.44% 1/17/12 (c) |
|
2,000,000 |
1,995,393 |
|
|
Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5: |
|
|
|
|
|
Class AB1, 5.58% 5/28/35 (c) |
|
208,621 |
208,686 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5: - continued |
|
|
|
|
|
Class AB3, 5.7235% 5/28/35 (c) |
|
$ 46,319 |
$ 46,493 |
|
|
Fieldstone Mortgage Investment Corp.: |
|
|
|
|
|
Series 2004-3 Class M5, 6.77% 8/25/34 (c) |
|
1,500,000 |
1,503,403 |
|
|
Series 2005-2 Class 2A1, 5.44% 12/25/35 (c) |
|
796,024 |
796,088 |
|
|
Series 2006-2: |
|
|
|
|
|
Class 2A2, 5.49% 7/25/36 (c) |
|
880,000 |
880,197 |
|
|
Class M1, 5.63% 7/25/36 (c) |
|
1,765,000 |
1,766,244 |
|
|
First Franklin Mortgage Loan Asset Backed Certificates Trust Series 2005-FF2 Class A2A, 5.41% 3/25/35 (c) |
|
77,407 |
77,412 |
|
|
First Franklin Mortgage Loan Trust: |
|
|
|
|
|
Series 2004-FF2: |
|
|
|
|
|
Class M3, 5.87% 3/25/34 (c) |
|
25,000 |
25,045 |
|
|
Class M4, 6.22% 3/25/34 (c) |
|
25,000 |
25,101 |
|
|
Series 2004-FF8 Class M3, 6.27% 10/25/34 (c) |
|
1,760,000 |
1,786,227 |
|
|
Series 2006-FF14: |
|
|
|
|
|
Class A5, 5.49% 10/25/36 (c) |
|
990,000 |
990,000 |
|
|
Class M1, 5.59% 10/25/36 (c) |
|
880,000 |
880,000 |
|
|
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (a) |
|
830,000 |
826,763 |
|
|
Ford Credit Floorplan Master Owner Trust: |
|
|
|
|
|
Series 2005-1: |
|
|
|
|
|
Class A, 5.47% 5/15/10 (c) |
|
1,375,000 |
1,374,993 |
|
|
Class B, 5.76% 5/15/10 (c) |
|
1,110,000 |
1,111,648 |
|
|
Series 2006-3: |
|
|
|
|
|
Class A, 5.5% 6/15/11 (c) |
|
990,000 |
990,512 |
|
|
Class B, 5.77% 6/15/11 (c) |
|
1,405,000 |
1,405,559 |
|
|
Franklin Auto Trust Series 2006-1 Class A2, 5.2% 10/20/09 |
|
1,535,000 |
1,534,171 |
|
|
Fremont Home Loan Trust: |
|
|
|
|
|
Series 2003-B Class M6, 9.82% 12/25/33 (c) |
|
264,204 |
264,664 |
|
|
Series 2004-B Class M1, 5.9% 5/25/34 (c) |
|
205,000 |
206,111 |
|
|
Series 2004-C: |
|
|
|
|
|
Class 2A2, 5.87% 8/25/34 (c) |
|
373,810 |
374,148 |
|
|
Class M1, 5.97% 8/25/34 (c) |
|
540,000 |
544,047 |
|
|
Series 2004-D Class 3A2, 5.6% 11/25/34 (c) |
|
47,275 |
47,310 |
|
|
Series 2005-A: |
|
|
|
|
|
Class 2A2, 5.56% 2/25/35 (c) |
|
765,433 |
765,930 |
|
|
Class M1, 5.75% 1/25/35 (c) |
|
225,000 |
226,467 |
|
|
Class M2, 5.78% 1/25/35 (c) |
|
325,000 |
326,642 |
|
|
Class M3, 5.81% 1/25/35 (c) |
|
175,000 |
176,124 |
|
|
Class M4, 6% 1/25/35 (c) |
|
125,000 |
126,162 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Fremont Home Loan Trust: - continued |
|
|
|
|
|
Series 2006-A: |
|
|
|
|
|
Class M3, 5.7% 5/25/36 (c) |
|
$ 455,000 |
$ 455,159 |
|
|
Class M4, 5.72% 5/25/36 (c) |
|
685,000 |
685,482 |
|
|
Class M5, 5.82% 5/25/36 (c) |
|
365,000 |
366,031 |
|
|
GE Business Loan Trust Series 2003-1 Class A, 5.75% 4/15/31 (a)(c) |
|
195,920 |
196,680 |
|
|
GE Capital Credit Card Master Note Trust: |
|
|
|
|
|
Series 2005-2 Class B, 5.52% 6/15/11 (c) |
|
925,000 |
926,100 |
|
|
Series 2006-1: |
|
|
|
|
|
Class B, 5.63% 9/17/12 (c) |
|
585,000 |
584,634 |
|
|
Class C, 5.73% 9/17/12 (c) |
|
455,000 |
454,716 |
|
|
Gracechurch Card Funding PLC: |
|
|
|
|
|
Series 11 Class C, 5.6% 11/15/10 (c) |
|
2,490,000 |
2,489,975 |
|
|
Series 6 Class B, 5.51% 2/17/09 (c) |
|
75,000 |
75,023 |
|
|
Series 8 Class C, 5.65% 6/15/10 (c) |
|
2,650,000 |
2,649,974 |
|
|
Series 9: |
|
|
|
|
|
Class B, 5.47% 9/15/10 (c) |
|
485,000 |
485,000 |
|
|
Class C, 5.63% 9/15/10 (c) |
|
1,800,000 |
1,801,926 |
|
|
GSAMP Trust: |
|
|
|
|
|
Series 2002-NC1 Class A2, 5.64% 7/25/32 (c) |
|
2,606 |
2,641 |
|
|
Series 2003-FM1 Class M1, 6.55% 3/20/33 (c) |
|
636,784 |
637,166 |
|
|
Series 2004-AHL Class A2D, 5.68% 8/25/34 (c) |
|
585,672 |
587,577 |
|
|
Series 2004-FM1: |
|
|
|
|
|
Class M1, 5.97% 11/25/33 (c) |
|
168,544 |
168,543 |
|
|
Class M2, 6.72% 11/25/33 (c) |
|
135,000 |
136,068 |
|
|
Series 2004-FM2 Class M1, 5.82% 1/25/34 (c) |
|
249,683 |
249,682 |
|
|
Series 2004-HE1: |
|
|
|
|
|
Class M1, 5.87% 5/25/34 (c) |
|
320,000 |
319,998 |
|
|
Class M2, 6.47% 5/25/34 (c) |
|
150,000 |
151,389 |
|
|
Series 2005-6: |
|
|
|
|
|
Class A2, 5.53% 6/25/35 (c) |
|
1,800,000 |
1,798,812 |
|
|
Class M3, 5.97% 6/25/35 (c) |
|
1,555,000 |
1,552,823 |
|
|
Series 2005-9 Class 2A1, 5.44% 8/25/35 (c) |
|
893,201 |
892,515 |
|
|
Series 2005-HE2 Class M, 5.75% 3/25/35 (c) |
|
1,220,000 |
1,225,808 |
|
|
Series 2005-MTR1 Class A1, 5.46% 10/25/35 (c) |
|
1,301,735 |
1,301,735 |
|
|
Series 2005-NC1 Class M1, 5.77% 2/25/35 (c) |
|
1,205,000 |
1,211,291 |
|
|
Series 2006-HE5 Class M7, 6.1544% 8/25/36 (c) |
|
1,495,000 |
1,494,982 |
|
|
Series 2006-NC2 Class M4, 5.6744% 6/25/36 (c) |
|
1,541,000 |
1,541,532 |
|
|
Guggenheim Structured Real Estate Funding Ltd. |
|
2,880,000 |
2,880,000 |
|
|
Harwood Street Funding I LLC Series 2004-1A |
|
1,700,000 |
1,702,217 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Home Equity Asset Trust: |
|
|
|
|
|
Series 2002-3 Class A5, 6.2% 2/25/33 (c) |
|
$ 14 |
$ 14 |
|
|
Series 2002-5 Class M1, 7.02% 5/25/33 (c) |
|
165,729 |
165,914 |
|
|
Series 2003-1 Class M1, 6.32% 6/25/33 (c) |
|
524,845 |
525,278 |
|
|
Series 2003-2 Class M1, 6.2% 8/25/33 (c) |
|
66,323 |
66,356 |
|
|
Series 2003-3 Class M1, 6.18% 8/25/33 (c) |
|
320,568 |
321,284 |
|
|
Series 2003-4 Class M1, 6.12% 10/25/33 (c) |
|
96,601 |
96,817 |
|
|
Series 2003-5: |
|
|
|
|
|
Class A2, 5.67% 12/25/33 (c) |
|
10,566 |
10,593 |
|
|
Class M1, 6.02% 12/25/33 (c) |
|
160,000 |
160,758 |
|
|
Class M2, 7.05% 12/25/33 (c) |
|
70,000 |
70,835 |
|
|
Series 2003-7: |
|
|
|
|
|
Class A2, 5.7% 3/25/34 (c) |
|
33,395 |
33,437 |
|
|
Class M1, 5.97% 3/25/34 (c) |
|
795,000 |
798,306 |
|
|
Series 2003-8 Class M1, 6.04% 4/25/34 (c) |
|
260,000 |
261,471 |
|
|
Series 2004-4 Class A2, 5.64% 10/25/34 (c) |
|
110,506 |
110,577 |
|
|
Series 2004-6 Class A2, 5.67% 12/25/34 (c) |
|
249,740 |
250,061 |
|
|
Series 2005-1: |
|
|
|
|
|
Class M1, 5.75% 5/25/35 (c) |
|
1,270,000 |
1,274,980 |
|
|
Class M2, 5.77% 5/25/35 (c) |
|
1,410,000 |
1,415,330 |
|
|
Series 2005-2: |
|
|
|
|
|
Class 2A2, 5.52% 7/25/35 (c) |
|
1,734,880 |
1,735,767 |
|
|
Class M1, 5.77% 7/25/35 (c) |
|
890,000 |
893,414 |
|
|
Household Home Equity Loan Trust Series 2004-1 |
|
121,197 |
121,733 |
|
|
Household Private Label Credit Card Master Note Trust I Series 2002-2 Class A, 5.49% 1/18/11 (c) |
|
1,000,000 |
1,000,405 |
|
|
HSBC Automotive Trust: |
|
|
|
|
|
Series 2006-1 Class A2, 5.4% 6/17/09 |
|
3,410,000 |
3,410,752 |
|
|
Series 2006-2 Class A2, 5.61% 6/17/09 |
|
1,500,000 |
1,502,849 |
|
|
HSBC Home Equity Loan Trust: |
|
|
|
|
|
Series 2005-2: |
|
|
|
|
|
Class M1, 5.78% 1/20/35 (c) |
|
242,339 |
242,872 |
|
|
Class M2, 5.81% 1/20/35 (c) |
|
180,408 |
181,037 |
|
|
Series 2005-3: |
|
|
|
|
|
Class A1, 5.58% 1/20/35 (c) |
|
545,602 |
546,098 |
|
|
Class M1, 5.74% 1/20/35 (c) |
|
320,383 |
320,967 |
|
|
Series 2006-2: |
|
|
|
|
|
Class M1, 5.64% 3/20/36 (c) |
|
780,522 |
780,516 |
|
|
Class M2, 5.66% 3/20/36 (c) |
|
1,288,554 |
1,288,545 |
|
|
IXIS Real Estate Capital Trust Series 2005-HE1: |
|
|
|
|
|
Class A1, 5.57% 6/25/35 (c) |
|
451,586 |
451,853 |
|
|
Class M1, 5.79% 6/25/35 (c) |
|
550,000 |
552,064 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
John Deere Owner Trust Series 2006-A Class A2, 5.41% 11/17/08 |
|
$ 1,805,000 |
$ 1,805,162 |
|
|
Keycorp Student Loan Trust Series 1999-A Class A2, 5.7019% 12/27/09 (c) |
|
208,738 |
209,353 |
|
|
Long Beach Auto Receivables Trust Series 2006-B |
|
1,565,000 |
1,565,446 |
|
|
Long Beach Mortgage Loan Trust: |
|
|
|
|
|
Series 2003-2 Class M1, 6.14% 6/25/33 (c) |
|
462,597 |
463,220 |
|
|
Series 2003-3 Class M1, 6.07% 7/25/33 (c) |
|
337,423 |
338,465 |
|
|
Series 2006-6: |
|
|
|
|
|
Class 2A3, 5.48% 7/25/36 (c) |
|
1,435,000 |
1,435,749 |
|
|
Class M4, 5.69% 7/25/36 (c) |
|
425,000 |
425,312 |
|
|
Class M5, 5.72% 7/25/36 (c) |
|
265,000 |
265,095 |
|
|
Class M6, 5.78% 7/25/36 (c) |
|
265,000 |
265,094 |
|
|
Series 2006-7 Class M10, 7.7185% 8/25/36 (c) |
|
675,000 |
611,719 |
|
|
Master Asset Backed Securities Trust: |
|
|
|
|
|
Series 2004-FRE1 Class M1, 5.87% 7/25/34 (c) |
|
357,163 |
357,806 |
|
|
Series 2004-HE1 Class M1, 5.97% 9/25/34 (c) |
|
685,000 |
689,796 |
|
|
MBNA Credit Card Master Note Trust: |
|
|
|
|
|
Series 2002-B2 Class B2, 5.7% 10/15/09 (c) |
|
1,034,000 |
1,035,713 |
|
|
Series 2002-B4 Class B4, 5.82% 3/15/10 (c) |
|
630,000 |
632,491 |
|
|
Series 2003-B1 Class B1, 5.76% 7/15/10 (c) |
|
1,510,000 |
1,517,240 |
|
|
Series 2003-B2 Class B2, 5.71% 10/15/10 (c) |
|
125,000 |
125,616 |
|
|
Series 2003-B3 Class B3, 5.695% 1/18/11 (c) |
|
1,550,000 |
1,556,544 |
|
|
Series 2003-B5 Class B5, 5.69% 2/15/11 (c) |
|
2,000,000 |
2,010,815 |
|
|
Series 2003-C2 Class C2, 6.92% 6/15/10 (c) |
|
2,000,000 |
2,034,750 |
|
|
Series 2005-C3 Class C, 5.59% 3/15/11 (c) |
|
2,830,000 |
2,837,424 |
|
|
MBNA Master Credit Card Trust II Series 1998-E Class B, 5.7038% 9/15/10 (c) |
|
200,000 |
200,761 |
|
|
Meritage Mortgage Loan Trust Series 2004-1: |
|
|
|
|
|
Class M1, 5.82% 7/25/34 (c) |
|
142,040 |
142,259 |
|
|
Class M2, 5.87% 7/25/34 (c) |
|
25,000 |
25,047 |
|
|
Merrill Lynch Mortgage Investors, Inc.: |
|
|
|
|
|
Series 2004-FM1 Class M2, 6.47% 1/25/35 (c) |
|
150,000 |
150,589 |
|
|
Series 2004-HE2: |
|
|
|
|
|
Class A1B, 5.79% 8/25/35 (c) |
|
196,031 |
196,960 |
|
|
Class A2B, 5.7% 8/25/35 (c) |
|
362,731 |
363,152 |
|
|
Morgan Stanley ABS Capital I, Inc.: |
|
|
|
|
|
Series 2002-HE3 Class M1, 6.42% 12/27/32 (c) |
|
125,000 |
126,213 |
|
|
Series 2003-NC10 Class M1, 6% 10/25/33 (c) |
|
792,708 |
795,638 |
|
|
Series 2003-NC8 Class M1, 6.02% 9/25/33 (c) |
|
119,992 |
120,288 |
|
|
Series 2004-HE6 Class A2, 5.66% 8/25/34 (c) |
|
302,833 |
303,560 |
|
|
Series 2004-NC2 Class M1, 5.87% 12/25/33 (c) |
|
347,703 |
349,669 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Morgan Stanley ABS Capital I, Inc.: - continued |
|
|
|
|
|
Series 2004-NC6 Class A2, 5.66% 7/25/34 (c) |
|
$ 51,034 |
$ 51,067 |
|
|
Series 2005-1 Class M2, 5.79% 12/25/34 (c) |
|
570,000 |
572,864 |
|
|
Series 2005-HE1: |
|
|
|
|
|
Class A3B, 5.54% 12/25/34 (c) |
|
144,459 |
144,547 |
|
|
Class M1, 5.77% 12/25/34 (c) |
|
150,000 |
150,971 |
|
|
Class M2, 5.79% 12/25/34 (c) |
|
385,000 |
387,141 |
|
|
Series 2005-HE2: |
|
|
|
|
|
Class M1, 5.72% 1/25/35 (c) |
|
370,000 |
372,447 |
|
|
Class M2, 5.76% 1/25/35 (c) |
|
265,000 |
266,118 |
|
|
Series 2005-NC1: |
|
|
|
|
|
Class M1, 5.76% 1/25/35 (c) |
|
325,000 |
327,201 |
|
|
Class M2, 5.79% 1/25/35 (c) |
|
325,000 |
325,992 |
|
|
Class M3, 5.83% 1/25/35 (c) |
|
325,000 |
327,149 |
|
|
Series 2006-HE4: |
|
|
|
|
|
Class M1, 5.6% 6/25/36 (c) |
|
440,000 |
440,349 |
|
|
Class M2: |
|
|
|
|
|
5.62% 6/25/36 (c) |
|
770,000 |
770,909 |
|
|
5.63% 6/25/36 (c) |
|
550,000 |
550,211 |
|
|
Class M4, 5.67% 6/25/36 (c) |
|
1,160,000 |
1,160,442 |
|
|
Series 2006-HE5 Class B1, 6.29% 8/25/36 (c) |
|
2,415,000 |
2,415,939 |
|
|
Morgan Stanley Dean Witter Capital I Trust: |
|
|
|
|
|
Series 2001-AM1 Class M1, 6.595% 2/25/32 (c) |
|
334,289 |
340,656 |
|
|
Series 2001-NC1 Class M2, 6.925% 10/25/31 (c) |
|
9,628 |
9,638 |
|
|
Series 2001-NC4 Class M1, 6.82% 1/25/32 (c) |
|
54,071 |
54,129 |
|
|
Series 2002-AM3 Class A3, 5.81% 2/25/33 (c) |
|
14,114 |
14,139 |
|
|
Series 2002-HE1 Class M1, 5.92% 7/25/32 (c) |
|
590,000 |
595,975 |
|
|
Series 2002-NC3 Class M1, 6.04% 8/25/32 (c) |
|
100,000 |
100,043 |
|
|
Series 2002-OP1 Class M1, 6.445% 9/25/32 (c) |
|
415,497 |
415,801 |
|
|
Navistar Financial Dealer Note Master Trust Series 2005-1 Class A, 5.43% 2/25/13 (c) |
|
2,050,000 |
2,055,029 |
|
|
New Century Home Equity Loan Trust Series 2005-1: |
|
|
|
|
|
Class M1, 5.77% 3/25/35 (c) |
|
595,000 |
597,376 |
|
|
Class M2, 5.8% 3/25/35 (c) |
|
595,000 |
597,762 |
|
|
Class M3, 5.84% 3/25/35 (c) |
|
290,000 |
292,082 |
|
|
Nissan Auto Lease Trust: |
|
|
|
|
|
Series 2004-A Class A4A, 5.39% 6/15/10 (c) |
|
1,167,321 |
1,167,835 |
|
|
Series 2005-A Class A4, 5.37% 8/15/11 (c) |
|
2,210,000 |
2,209,988 |
|
|
Nomura Home Equity Loan, Inc. Series 2006-HE3: |
|
|
|
|
|
Class M7, 6.13% 7/25/36 (c) |
|
485,000 |
485,168 |
|
|
Class M8, 6.28% 7/25/36 (c) |
|
340,000 |
338,300 |
|
|
Class M9, 7.18% 7/25/36 (c) |
|
490,000 |
489,315 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
NovaStar Home Equity Loan Series 2004-1: |
|
|
|
|
|
Class M1, 5.77% 6/25/34 (c) |
|
$ 100,000 |
$ 100,726 |
|
|
Class M4, 6.295% 6/25/34 (c) |
|
170,000 |
171,325 |
|
|
NovaStar Mortgage Funding Trust Series 2003-3 |
|
42,722 |
42,866 |
|
|
Ocala Funding LLC Series 2006-1A Class A, 6.72% 3/20/11 (a)(c) |
|
965,000 |
965,000 |
|
|
Option One Mortgage Loan Trust Series 2003-6 |
|
1,025,000 |
1,032,921 |
|
|
Ownit Mortgage Loan Asset-Backed Certificates Series 2005-3 Class A2A, 5.44% 6/25/36 (c) |
|
734,316 |
734,395 |
|
|
Park Place Securities, Inc.: |
|
|
|
|
|
Series 2004 WWF1 Class M4, 6.42% 1/25/35 (c) |
|
945,000 |
956,727 |
|
|
Series 2004-WCW1: |
|
|
|
|
|
Class M1, 5.95% 9/25/34 (c) |
|
565,000 |
571,740 |
|
|
Class M2, 6% 9/25/34 (c) |
|
160,000 |
161,315 |
|
|
Class M3, 6.57% 9/25/34 (c) |
|
310,000 |
313,331 |
|
|
Class M4, 6.77% 9/25/34 (c) |
|
435,000 |
439,520 |
|
|
Series 2004-WCW2 Class A2, 5.7% 10/25/34 (c) |
|
124,886 |
124,965 |
|
|
Series 2004-WWF1 Class A5, 5.79% 1/25/35 (c) |
|
126,376 |
126,648 |
|
|
Series 2005-WCH1: |
|
|
|
|
|
Class A3B, 5.54% 1/25/35 (c) |
|
176,354 |
176,487 |
|
|
Class M2, 5.84% 1/25/35 (c) |
|
1,130,000 |
1,136,313 |
|
|
Class M3, 5.88% 1/25/35 (c) |
|
425,000 |
428,314 |
|
|
Class M5, 6.2% 1/25/35 (c) |
|
400,000 |
403,976 |
|
|
Series 2005-WHQ1 Class M7, 6.57% 3/25/35 (c) |
|
910,000 |
915,074 |
|
|
Permanent Master Issuer PLC Series 2006-1 Class 2C, 5.7744% 7/17/42 (c) |
|
2,645,000 |
2,644,897 |
|
|
Providian Master Note Trust: |
|
|
|
|
|
Series 2005-2 Class C2, 5.82% 11/15/12 (a)(c) |
|
2,160,000 |
2,166,307 |
|
|
Series 2006-C1A Class C1, 5.87% 3/16/15 (a)(c) |
|
1,575,000 |
1,575,000 |
|
|
Residential Asset Mortgage Products, Inc.: |
|
|
|
|
|
Series 2004-RS10 Class MII2, 6.57% 10/25/34 (c) |
|
1,300,000 |
1,322,863 |
|
|
Series 2004-RS6: |
|
|
|
|
|
Class 2M2, 6.62% 6/25/34 (c) |
|
250,000 |
249,998 |
|
|
Class 2M3, 6.77% 6/25/34 (c) |
|
250,000 |
249,998 |
|
|
Series 2005-SP2 Class 1A1, 5.47% 5/25/44 (c) |
|
646,454 |
646,580 |
|
|
Residential Asset Securities Corp.: |
|
|
|
|
|
Series 2004-KS10 Class AI2, 5.64% 3/25/29 (c) |
|
25,322 |
25,377 |
|
|
Series 2005-KS7 Class A1, 5.42% 8/25/35 (c) |
|
271,164 |
271,180 |
|
|
Salomon Brothers Mortgage Securities VII, Inc. |
|
1,451 |
1,454 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Saxon Asset Securities Trust: |
|
|
|
|
|
Series 2004-1 Class M1, 5.85% 3/25/35 (c) |
|
$ 640,000 |
$ 640,536 |
|
|
Series 2004-2 Class MV1, 5.9% 8/25/35 (c) |
|
415,000 |
415,802 |
|
|
Sharps SP I LLC Net Interest Margin Trust Series 2004-HE3N Class NA, 5.19% 11/25/34 (a) |
|
3,551 |
3,546 |
|
|
Sierra Timeshare Receivables Fund LLC Series 2006-1A Class A2, 5.47% 5/20/18 (a)(c) |
|
3,384,812 |
3,384,795 |
|
|
Sovereign Dealer Floor Plan Master LLC Series 2006-1: |
|
|
|
|
|
Class B, 5.5% 8/15/11 (a)(c) |
|
1,140,000 |
1,139,989 |
|
|
Class C, 5.7% 8/15/11 (a)(c) |
|
520,000 |
519,995 |
|
|
Specialty Underwriting & Residential Finance: |
|
|
|
|
|
Series 2003-BC3 Class M1, 5.97% 8/25/34 (c) |
|
1,000,000 |
1,002,824 |
|
|
Series 2003-BC4 Class M1, 5.92% 11/25/34 (c) |
|
260,000 |
261,826 |
|
|
Structured Asset Investment Loan Trust: |
|
|
|
|
|
Series 2003-BC9 Class M1, 6.02% 8/25/33 (c) |
|
1,135,000 |
1,137,181 |
|
|
Series 2004-8 Class M5, 6.47% 9/25/34 (c) |
|
290,000 |
293,167 |
|
|
Series 2005-1 Class M4, 6.08% 2/25/35 (a)(c) |
|
485,000 |
490,129 |
|
|
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 5.68% 2/25/34 (c) |
|
32,067 |
32,242 |
|
|
Superior Wholesale Inventory Financing Trust VII |
|
675,000 |
675,000 |
|
|
Superior Wholesale Inventory Financing Trust XII |
|
980,000 |
982,867 |
|
|
TBW Mortgage-Backed pass thru certificates |
|
2,255,000 |
2,254,989 |
|
|
Terwin Mortgage Trust: |
|
|
|
|
|
Series 2003-4HE Class A1, 5.75% 9/25/34 (c) |
|
21,802 |
21,923 |
|
|
Series 2003-6HE Class A1, 5.79% 11/25/33 (c) |
|
22,699 |
22,805 |
|
|
Series 2005-14HE Class AF1, 5.46% 8/25/36 (c) |
|
432,738 |
432,783 |
|
|
Series 2006-9HGA Class A1, 5.424% 10/25/37 (c) |
|
1,472,062 |
1,472,062 |
|
|
Triad Auto Receivables Owner Trust Series 2006-B |
|
2,585,000 |
2,584,916 |
|
|
Turquoise Card Backed Securities PLC Series 2006-1A Class C, 5.65% 5/16/11 (a)(c) |
|
2,165,000 |
2,165,000 |
|
|
UPFC Auto Receivables Trust Series 2006-A Class A2, 5.46% 6/15/09 |
|
685,000 |
685,308 |
|
|
Wachovia Auto Loan Owner Trust Series 2006-1 |
|
2,615,000 |
2,615,288 |
|
|
WaMu Asset Holdings Corp. Series 2006-5 Class N1, 5.926% 7/25/46 (a) |
|
1,636,260 |
1,634,726 |
|
|
WaMu Master Note Trust Series 2006-A3A Class A3, 5.35% 9/16/13 (a)(c) |
|
3,025,000 |
3,025,000 |
|
|
WaMu Mortgage pass thru certificates Series 2006-AR11 Class C1B1, 5.41% 9/25/46 (c) |
|
1,448,029 |
1,448,029 |
|
|
Asset-Backed Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
WFS Financial Owner Trust: |
|
|
|
|
|
Series 2004-3 Class D, 4.07% 2/17/12 |
|
$ 261,274 |
$ 258,553 |
|
|
Series 2004-4 Class D, 3.58% 5/17/12 |
|
239,389 |
235,504 |
|
|
Series 2005-1 Class D, 4.09% 8/15/12 |
|
252,907 |
249,302 |
|
|
Whinstone Capital Management Ltd. Series 1A Class B3, 6.2769% 10/25/44 (a)(c) |
|
2,032,529 |
2,032,529 |
|
|
WM Asset Holdings Corp. Series 2006-7 Class N1, 5.926% 10/25/46 (a) |
|
1,179,073 |
1,179,073 |
|
|
TOTAL ASSET-BACKED SECURITIES (Cost $275,421,105) |
275,756,922 |
|||
|
Collateralized Mortgage Obligations - 14.6% |
||||
|
|
||||
|
Private Sponsor - 10.6% |
||||
|
American Home Mortgage Assets Trust floater |
|
1,314,553 |
1,312,159 |
|
|
Bear Stearns Adjustable Rate Mortgage Trust floater Series 2005-6 Class 1A1, 5.0954% 8/25/35 (c) |
|
1,854,549 |
1,857,119 |
|
|
Bear Stearns Alt-A Trust floater: |
|
|
|
|
|
Series 2005-1 Class A1, 5.6% 1/25/35 (c) |
|
1,494,771 |
1,495,993 |
|
|
Series 2005-2 Class 1A1, 5.57% 3/25/35 (c) |
|
977,419 |
977,436 |
|
|
Citigroup Mortgage Loan Trust floater Series 2006-NC1: |
|
|
|
|
|
Class M4, 5.71% 8/25/36 (c) |
|
1,205,000 |
1,205,420 |
|
|
Class M5, 5.74% 8/25/36 (c) |
|
860,000 |
860,601 |
|
|
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: |
|
|
|
|
|
Series 2004-2 Class 7A3, 5.72% 2/25/35 (c) |
|
510,244 |
511,328 |
|
|
Series 2004-4 Class 5A2, 5.72% 3/25/35 (c) |
|
154,449 |
154,672 |
|
|
Series 2005-1 Class 5A2, 5.65% 5/25/35 (c) |
|
351,424 |
350,862 |
|
|
Series 2005-10 Class 5A2, 5.64% 1/25/36 (c) |
|
1,257,666 |
1,260,732 |
|
|
Series 2005-2: |
|
|
|
|
|
Class 6A2, 5.6% 6/25/35 (c) |
|
141,091 |
141,327 |
|
|
Class 6M2, 5.8% 6/25/35 (c) |
|
1,375,000 |
1,382,788 |
|
|
Series 2005-3 Class 8A2, 5.56% 7/25/35 (c) |
|
1,196,721 |
1,199,215 |
|
|
Series 2005-5 Class 6A2, 5.55% 9/25/35 (c) |
|
984,266 |
985,441 |
|
|
Series 2005-8 Class 7A2, 5.6% 11/25/35 (c) |
|
626,894 |
628,626 |
|
|
Credit Suisse First Boston Mortgage Securities Corp. floater: |
|
|
|
|
|
Series 2004-AR2 Class 6A1, 5.72% 3/25/34 (c) |
|
87,190 |
87,342 |
|
|
Series 2004-AR3 Class 6A2, 5.69% 4/25/34 (c) |
|
42,258 |
42,295 |
|
|
Series 2004-AR5 Class 11A2, 5.69% 6/25/34 (c) |
|
76,678 |
76,753 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount |
Value |
||
|
Private Sponsor - continued |
||||
|
Credit Suisse First Boston Mortgage Securities Corp. floater: - continued |
|
|
|
|
|
Series 2004-AR6 Class 9A2, 5.69% 10/25/34 (c) |
|
$ 109,339 |
$ 109,524 |
|
|
Series 2004-AR7 Class 6A2, 5.7% 8/25/34 (c) |
|
186,095 |
186,431 |
|
|
Series 2004-AR8 Class 8A2, 5.7% 9/25/34 (c) |
|
134,869 |
134,979 |
|
|
CWALT, Inc. floater Series 2005-56 Class 3A1, 5.61% 11/25/35 (c) |
|
638,015 |
639,911 |
|
|
First Franklin Mortgage Loan Trust floater Series 2006-FF13: |
|
|
|
|
|
Class M7, 6.0738% 10/25/36 (c) |
|
1,205,000 |
1,205,000 |
|
|
Class M8, 6.2738% 10/25/36 (c) |
|
525,000 |
525,000 |
|
|
First Horizon Mortgage pass thru Trust floater |
|
111,730 |
111,820 |
|
|
Gracechurch Mortgage Funding PLC floater Series 1A: |
|
|
|
|
|
Class A2B, 5.44% 10/11/41 (a)(c) |
|
3,305,493 |
3,306,022 |
|
|
Class CB, 5.37% 10/11/41 (a)(c) |
|
260,000 |
259,990 |
|
|
Class DB, 5.84% 10/11/41 (a)(c) |
|
1,060,000 |
1,059,958 |
|
|
Granite Master Issuer PLC floater: |
|
|
|
|
|
Series 2005-1: |
|
|
|
|
|
Class A3, 5.47% 12/21/24 (c) |
|
700,000 |
700,378 |
|
|
Class B1, 5.52% 12/20/54 (c) |
|
950,000 |
949,948 |
|
|
Class M1, 5.62% 12/20/54 (c) |
|
700,000 |
699,960 |
|
|
Series 2005-2 Class C1, 5.8925% 12/20/54 (c) |
|
1,200,000 |
1,200,840 |
|
|
Series 2005-4: |
|
|
|
|
|
Class C1, 5.8225% 12/20/54 (c) |
|
925,000 |
925,108 |
|
|
Class M2, 5.6725% 12/20/54 (c) |
|
1,830,000 |
1,830,286 |
|
|
Series 2006-3 Class C2, 5.9114% 12/20/54 (c) |
|
1,230,000 |
1,230,000 |
|
|
Granite Mortgages PLC floater Series 2004-3: |
|
|
|
|
|
Class 1B, 5.55% 9/20/44 (c) |
|
58,209 |
58,213 |
|
|
Class 1C, 5.98% 9/20/44 (c) |
|
269,217 |
269,365 |
|
|
Class 1M, 5.66% 9/20/44 (c) |
|
29,105 |
29,108 |
|
|
GSAMP Trust floater Series 2004-11 Class 2A1, 5.65% 12/20/34 (c) |
|
899,371 |
901,039 |
|
|
Holmes Financing No. 10 PLC floater Series 10A: |
|
|
|
|
|
Class 1C, 5.6438% 7/15/40 (a)(c) |
|
415,000 |
414,988 |
|
|
Class 2A, 5.4038% 7/15/40 (a)(c) |
|
1,040,000 |
1,039,979 |
|
|
Class 2C, 5.8182% 7/15/40 (a)(c) |
|
975,000 |
974,971 |
|
|
Holmes Financing No. 8 PLC floater Series 2: |
|
|
|
|
|
Class A, 5.4538% 4/15/11 (c) |
|
1,400,000 |
1,400,052 |
|
|
Class B, 5.5438% 7/15/40 (c) |
|
190,000 |
190,038 |
|
|
Class C, 6.0938% 7/15/40 (c) |
|
775,000 |
776,085 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount |
Value |
||
|
Private Sponsor - continued |
||||
|
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 5.77% 10/25/34 (c) |
|
$ 579,873 |
$ 582,853 |
|
|
Impac CMB Trust floater: |
|
|
|
|
|
Series 2004-11 Class 2A2, 5.69% 3/25/35 (c) |
|
530,748 |
531,316 |
|
|
Series 2004-6 Class 1A2, 5.71% 10/25/34 (c) |
|
147,853 |
148,114 |
|
|
Series 2005-1: |
|
|
|
|
|
Class M1, 5.78% 4/25/35 (c) |
|
251,688 |
252,320 |
|
|
Class M2, 5.82% 4/25/35 (c) |
|
445,091 |
446,128 |
|
|
Class M3, 5.85% 4/25/35 (c) |
|
108,623 |
109,131 |
|
|
Class M4, 6.07% 4/25/35 (c) |
|
66,234 |
66,526 |
|
|
Class M5, 6.09% 4/25/35 (c) |
|
66,234 |
66,526 |
|
|
Class M6, 6.14% 4/25/35 (c) |
|
103,324 |
103,695 |
|
|
Series 2005-2 Class 1A2, 5.63% 4/25/35 (c) |
|
1,061,444 |
1,062,574 |
|
|
Series 2005-4 Class 1B1, 6.62% 5/25/35 (c) |
|
447,587 |
448,356 |
|
|
Series 2005-7: |
|
|
|
|
|
Class M1, 5.8% 11/25/35 (c) |
|
188,039 |
188,311 |
|
|
Class M2, 5.84% 11/25/35 (c) |
|
141,029 |
141,535 |
|
|
Class M3, 5.94% 11/25/35 (c) |
|
705,145 |
706,931 |
|
|
Class M4, 5.98% 11/25/35 (c) |
|
336,903 |
337,705 |
|
|
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.71% 9/26/45 (a)(c) |
|
961,107 |
964,142 |
|
|
Lehman XS Trust floater: |
|
|
|
|
|
Series 2006-12N Class A1A1, 5.4% 8/25/46 (c) |
|
2,869,877 |
2,869,877 |
|
|
Series 2006-GP1 Class A1, 5.41% 5/25/46 (c) |
|
2,061,670 |
2,060,370 |
|
|
Master Asset Backed Securities Trust floater: |
|
|
|
|
|
Series 2004-11: |
|
|
|
|
|
Class 1A4, 5.81% 11/25/34 (c) |
|
78,300 |
78,452 |
|
|
Class 2A1, 5.7% 11/25/34 (c) |
|
237,549 |
239,144 |
|
|
Class 2A2, 5.76% 11/25/34 (c) |
|
52,296 |
52,372 |
|
|
Series 2005-1 Class 1A1, 5.59% 3/25/35 (c) |
|
439,754 |
440,632 |
|
|
Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2349% 8/25/17 (c) |
|
510,207 |
518,931 |
|
|
Merrill Lynch Mortgage Investors Trust floater Series 2006-MLN1 Class M4, 5.6844% 7/25/37 (c) |
|
1,015,000 |
1,006,457 |
|
|
Merrill Lynch Mortgage Investors, Inc.: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2003-A: |
|
|
|
|
|
Class 2A1, 5.71% 3/25/28 (c) |
|
137,152 |
137,887 |
|
|
Class 2A2, 5.87% 3/25/28 (c) |
|
48,983 |
49,125 |
|
|
Series 2003-B Class A1, 5.66% 4/25/28 (c) |
|
132,869 |
133,497 |
|
|
Series 2003-D Class A, 5.63% 8/25/28 (c) |
|
615,117 |
616,173 |
|
|
Series 2003-E Class A2, 5.79% 10/25/28 (c) |
|
234,333 |
234,693 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount |
Value |
||
|
Private Sponsor - continued |
||||
|
Merrill Lynch Mortgage Investors, Inc.: - continued |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2003-F Class A2, 5.76% 10/25/28 (c) |
|
$ 249,077 |
$ 249,480 |
|
|
Series 2004-A Class A2, 5.67% 4/25/29 (c) |
|
316,344 |
316,328 |
|
|
Series 2004-B Class A2, 5.5875% 6/25/29 (c) |
|
330,499 |
330,642 |
|
|
Series 2004-C Class A2, 5.01% 7/25/29 (c) |
|
438,358 |
437,818 |
|
|
Series 2004-D Class A2, 5.82% 9/25/29 (c) |
|
456,802 |
457,314 |
|
|
Series 2004-E Class A2D, 5.97% 11/25/29 (c) |
|
467,386 |
468,831 |
|
|
Series 2004-G Class A2, 5.8719% 11/25/29 (c) |
|
175,222 |
175,304 |
|
|
Series 2005-A Class A2, 5.71% 2/25/30 (c) |
|
546,443 |
547,080 |
|
|
Series 2005-B Class A2, 5.5475% 7/25/30 (c) |
|
573,626 |
574,178 |
|
|
Series 2003-G Class XA1, 1% 1/25/29 (e) |
|
1,441,278 |
10,098 |
|
|
MortgageIT Trust floater Series 2004-2: |
|
|
|
|
|
Class A1, 5.69% 12/25/34 (c) |
|
415,535 |
415,032 |
|
|
Class A2, 5.77% 12/25/34 (c) |
|
561,282 |
567,066 |
|
|
Opteum Mortgage Acceptance Corp. floater: |
|
|
|
|
|
Series 2005-3 Class APT, 5.61% 7/25/35 (c) |
|
1,800,618 |
1,804,216 |
|
|
Series 2005-5 Class 1A1B, 5.52% 12/25/35 (c) |
|
920,000 |
919,668 |
|
|
Permanent Financing No. 4 PLC floater Series 2 Class C, 6.11% 6/10/42 (c) |
|
1,145,000 |
1,149,367 |
|
|
Permanent Financing No. 5 PLC floater: |
|
|
|
|
|
Series 2: |
|
|
|
|
|
Class A, 5.5% 6/10/11 (c) |
|
5,000,000 |
5,002,250 |
|
|
Class C, 6.04% 6/10/42 (c) |
|
390,000 |
391,053 |
|
|
Series 3 Class C, 6.19% 6/10/42 (c) |
|
1,030,000 |
1,031,339 |
|
|
Permanent Financing No. 6 PLC floater Series 6 |
|
1,600,000 |
1,602,125 |
|
|
Permanent Financing No. 7 PLC floater Series 7 |
|
1,140,000 |
1,141,193 |
|
|
Permanent Financing No. 8 PLC floater: |
|
|
|
|
|
Series 3C, 5.85% 6/10/42 (c) |
|
910,000 |
910,564 |
|
|
Series 8 Class 2C, 5.79% 6/10/42 (c) |
|
1,435,000 |
1,436,082 |
|
|
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 5.4244% 9/25/46 (c) |
|
2,870,198 |
2,870,198 |
|
|
Residential Asset Mortgage Products, Inc.: |
|
|
|
|
|
sequential payer: |
|
|
|
|
|
Series 2003-SL1 Class A31, 7.125% 4/25/31 |
|
193,411 |
195,517 |
|
|
Series 2004-SL2 Class A1, 6.5% 10/25/16 |
|
72,273 |
73,163 |
|
|
Series 2005-AR5 Class 1A1, 4.8316% 9/19/35 (c) |
|
529,756 |
529,592 |
|
|
Residential Funding Securities Corp.: |
|
|
|
|
|
Series 2003-RP1 Class A1, 5.82% 11/25/34 (c) |
|
9,648 |
9,652 |
|
|
Series 2003-RP2 Class A1, 5.77% 6/25/33 (a)(c) |
|
109,218 |
109,679 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount |
Value |
||
|
Private Sponsor - continued |
||||
|
Sequoia Mortgage Funding Trust Series 2003-A |
|
$ 3,873,319 |
$ 10,491 |
|
|
Sequoia Mortgage Trust floater: |
|
|
|
|
|
Series 2003-5 Class A2, 5.78% 9/20/33 (c) |
|
209,962 |
210,005 |
|
|
Series 2003-7 Class A2, 5.6419% 1/20/34 (c) |
|
110,021 |
110,067 |
|
|
Series 2004-1 Class A, 5.8825% 2/20/34 (c) |
|
162,349 |
162,514 |
|
|
Series 2004-10 Class A4, 5.7469% 11/20/34 (c) |
|
481,777 |
482,426 |
|
|
Series 2004-12 Class 1A2, 5.82% 1/20/35 (c) |
|
772,006 |
774,706 |
|
|
Series 2004-4 Class A, 5.7288% 5/20/34 (c) |
|
608,830 |
609,042 |
|
|
Series 2004-5 Class A3, 5.5769% 6/20/34 (c) |
|
216,173 |
216,205 |
|
|
Series 2004-6: |
|
|
|
|
|
Class A3A, 5.8275% 6/20/35 (c) |
|
233,159 |
233,589 |
|
|
Class A3B, 5.1069% 7/20/34 (c) |
|
466,317 |
466,800 |
|
|
Series 2004-7: |
|
|
|
|
|
Class A3A, 5.775% 8/20/34 (c) |
|
278,800 |
279,157 |
|
|
Class A3B, 6% 7/20/34 (c) |
|
541,359 |
543,397 |
|
|
Series 2004-8 Class A2, 5.82% 9/20/34 (c) |
|
831,479 |
832,721 |
|
|
Series 2005-1 Class A2, 5.8325% 2/20/35 (c) |
|
403,602 |
404,686 |
|
|
Series 2005-2 Class A2, 5.7% 3/20/35 (c) |
|
747,149 |
748,562 |
|
|
Soundview Home Equity Loan Trust floater |
|
|
|
|
|
Class M2, 5.65% 9/25/36 (c) |
|
640,000 |
640,000 |
|
|
Class M4, 5.7% 9/25/36 (c) |
|
960,000 |
959,400 |
|
|
Class M7, 6.13% 9/25/36 (c) |
|
330,000 |
330,000 |
|
|
Structured Asset Securities Corp. floater: |
|
|
|
|
|
Series 2004-NP1 Class A, 5.72% 9/25/33 (a)(c) |
|
107,652 |
107,733 |
|
|
Series 2005-AR1 Class B1, 7.32% 9/25/35 (a)(c) |
|
1,155,000 |
989,373 |
|
|
Thornburg Mortgage Securities Trust floater: |
|
|
|
|
|
Series 2004-3 Class A, 5.69% 9/25/34 (c) |
|
1,846,532 |
1,855,600 |
|
|
Series 2005-3 Class A4, 5.6% 10/25/35 (c) |
|
2,125,960 |
2,122,342 |
|
|
WaMu Mortgage pass thru certificates: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2005-AR11 Class A1C1, 5.52% 8/25/45 (c) |
|
362,278 |
362,381 |
|
|
Series 2005-AR13 Class A1C1, 5.51% 10/25/45 (c) |
|
701,405 |
701,687 |
|
|
Series 2005-AR17 Class A1C1, 5.51% 12/25/45 (c) |
|
639,819 |
640,222 |
|
|
Series 2005-AR19 Class A1C1, 5.51% 12/25/45 (c) |
|
656,219 |
656,529 |
|
|
sequential payer Series 2002-S6 Class A25, 6% 10/25/32 |
|
121,306 |
120,767 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount |
Value |
||
|
Private Sponsor - continued |
||||
|
WaMu Mortgage Securities Corp. sequential payer Series 2003-MS9 Class 2A1, 7.5% 12/25/33 |
|
$ 53,470 |
$ 55,050 |
|
|
Wells Fargo Mortgage Backed Securities Trust: |
|
|
|
|
|
Series 2004-M Class A3, 4.6742% 8/25/34 (c) |
|
1,080,436 |
1,073,798 |
|
|
Series 2005-AR10 Class 2A2, 4.109% 6/25/35 (c) |
|
4,427,130 |
4,335,482 |
|
|
Series 2005-AR12 Class 2A1, 4.319% 7/25/35 (c) |
|
2,670,886 |
2,628,038 |
|
|
TOTAL PRIVATE SPONSOR |
97,640,474 |
|||
|
U.S. Government Agency - 4.0% |
||||
|
Fannie Mae: |
|
|
|
|
|
floater Series 2002-89 Class F, 5.62% 1/25/33 (c) |
|
96,968 |
97,423 |
|
|
planned amortization class: |
|
|
|
|
|
Series 1993-207 Class G, 6.15% 4/25/23 |
|
364,768 |
364,396 |
|
|
Series 2003-24 Class PB, 4.5% 12/25/12 |
|
1,508,557 |
1,495,765 |
|
|
Fannie Mae guaranteed REMIC pass thru certificates: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2001-38 Class QF, 6.3% 8/25/31 (c) |
|
878,895 |
897,845 |
|
|
Series 2002-11 Class QF, 5.82% 3/25/32 (c) |
|
131,979 |
133,204 |
|
|
Series 2002-36 Class FT, 5.82% 6/25/32 (c) |
|
130,565 |
131,427 |
|
|
Series 2002-49 Class FB, 5.92% 11/18/31 (c) |
|
1,350,720 |
1,368,297 |
|
|
Series 2002-60 Class FV, 6.32% 4/25/32 (c) |
|
291,973 |
298,648 |
|
|
Series 2002-64 Class FE, 5.67% 10/18/32 (c) |
|
63,556 |
63,820 |
|
|
Series 2002-68 Class FH, 5.82% 10/18/32 (c) |
|
2,537,655 |
2,560,537 |
|
|
Series 2002-74 Class FV, 5.77% 11/25/32 (c) |
|
86,142 |
86,646 |
|
|
Series 2002-75 Class FA, 6.32% 11/25/32 (c) |
|
598,105 |
611,774 |
|
|
Series 2003-11: |
|
|
|
|
|
Class DF, 5.77% 2/25/33 (c) |
|
70,925 |
71,329 |
|
|
Class EF, 5.77% 2/25/33 (c) |
|
32,685 |
32,842 |
|
|
Series 2003-122 Class FL, 5.67% 7/25/29 (c) |
|
484,277 |
486,537 |
|
|
Series 2003-15 Class WF, 5.67% 8/25/17 (c) |
|
580,856 |
583,671 |
|
|
Series 2004-33 Class FW, 5.72% 8/25/25 (c) |
|
832,311 |
836,777 |
|
|
Series 2004-54 Class FE, 6.47% 2/25/33 (c) |
|
508,219 |
508,929 |
|
|
Series 2005-72 Class FG, 5.57% 5/25/35 (c) |
|
6,442,746 |
6,446,958 |
|
|
planned amortization class: |
|
|
|
|
|
Series 2002-11 Class QB, 5.5% 3/25/15 |
|
147,239 |
147,059 |
|
|
Series 2002-52 Class PA, 6% 4/25/31 |
|
7,865 |
7,883 |
|
|
Series 2002-50 Class LE, 7% 12/25/29 |
|
31,304 |
31,399 |
|
|
Series 2004-31 Class IA, 4.5% 6/25/10 (e) |
|
146,772 |
1,433 |
|
|
Freddie Mac planned amortization class Series 2162 Class PH, 6% 6/15/29 |
|
1,329,018 |
1,354,066 |
|
|
Collateralized Mortgage Obligations - continued |
||||
|
|
Principal Amount |
Value |
||
|
U.S. Government Agency - continued |
||||
|
Freddie Mac Multi-class participation certificates guaranteed: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2389 Class DA, 6.22% 11/15/30 (c) |
|
$ 1,514,519 |
$ 1,520,197 |
|
|
Series 2406: |
|
|
|
|
|
Class FP, 6.3% 1/15/32 (c) |
|
1,108,471 |
1,133,038 |
|
|
Class PF, 6.3% 12/15/31 (c) |
|
1,085,299 |
1,109,310 |
|
|
Series 2410 Class PF, 6.3% 2/15/32 (c) |
|
3,000,930 |
3,076,126 |
|
|
Series 2526 Class FC, 5.72% 11/15/32 (c) |
|
18,485 |
18,580 |
|
|
Series 2538 Class FB, 5.72% 12/15/32 (c) |
|
163,672 |
164,770 |
|
|
Series 2551 Class FH, 5.77% 1/15/33 (c) |
|
60,628 |
60,992 |
|
|
Series 2553 Class FB, 5.82% 3/15/29 (c) |
|
2,654,994 |
2,665,862 |
|
|
Series 2577 Class FW, 5.82% 1/15/30 (c) |
|
1,776,650 |
1,785,411 |
|
|
Series 2650 Class FV, 5.72% 12/15/32 (c) |
|
1,624,129 |
1,636,142 |
|
|
Series 2861 Class JF, 5.62% 4/15/17 (c) |
|
766,336 |
769,912 |
|
|
Series 2994 Class FB, 5.47% 6/15/20 (c) |
|
653,374 |
652,802 |
|
|
Series 3066 Class HF, 0% 1/15/34 (c) |
|
68,741 |
67,846 |
|
|
planned amortization class: |
|
|
|
|
|
Series 2395 Class PE, 6% 2/15/30 |
|
51,374 |
51,324 |
|
|
Series 2543 Class PM, 5.5% 8/15/18 |
|
450,049 |
449,379 |
|
|
Series 2614 Class IC, 4.5% 12/15/10 (e) |
|
557,206 |
6,176 |
|
|
Series 2676 Class KN, 3% 12/15/13 |
|
810,696 |
802,138 |
|
|
Series 2683 Class UH, 3% 3/15/19 |
|
825,848 |
821,426 |
|
|
Series 2748 Class IB, 4.5% 3/15/10 (e) |
|
210,600 |
1,096 |
|
|
Series 2776 Class UJ, 4.5% 5/15/20 (e) |
|
283,973 |
6,364 |
|
|
Series 2828 Class JA, 4.5% 1/15/10 |
|
544,605 |
542,914 |
|
|
Series 1803 Class A, 6% 12/15/08 |
|
253,438 |
254,529 |
|
|
Ginnie Mae guaranteed REMIC pass thru securities: |
|
|
|
|
|
floater Series 2001-21 Class FB, 5.72% 1/16/27 (c) |
|
100,270 |
100,758 |
|
|
planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31 |
|
172,374 |
173,545 |
|
|
TOTAL U.S. GOVERNMENT AGENCY |
36,489,302 |
|||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $134,237,153) |
134,129,776 |
|||
|
Commercial Mortgage Securities - 6.6% |
||||
|
|
Principal Amount |
Value |
||
|
Banc of America Large Loan, Inc.: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2003-BBA2: |
|
|
|
|
|
Class D, 5.87% 11/15/15 (a)(c) |
|
$ 80,375 |
$ 80,389 |
|
|
Class F, 6.22% 11/15/15 (a)(c) |
|
80,000 |
80,026 |
|
|
Class H, 6.72% 11/15/15 (a)(c) |
|
70,000 |
70,091 |
|
|
Class J, 7.27% 11/15/15 (a)(c) |
|
70,000 |
70,130 |
|
|
Class K, 7.92% 11/15/15 (a)(c) |
|
65,000 |
65,018 |
|
|
Series 2005-BBA6: |
|
|
|
|
|
Class B, 5.54% 1/15/19 (a)(c) |
|
390,000 |
390,151 |
|
|
Class C, 5.58% 1/15/19 (a)(c) |
|
400,000 |
400,155 |
|
|
Class D, 5.63% 1/15/19 (a)(c) |
|
390,000 |
390,151 |
|
|
Class E, 5.67% 1/15/19 (a)(c) |
|
245,000 |
245,085 |
|
|
Class F, 5.72% 1/15/19 (a)(c) |
|
165,000 |
165,057 |
|
|
Class G, 5.75% 1/15/19 (a)(c) |
|
125,000 |
125,048 |
|
|
Series 2005-ESHA: |
|
|
|
|
|
Class F, 6.07% 7/14/20 (a)(c) |
|
860,000 |
860,980 |
|
|
Class G, 6.2% 7/14/20 (a)(c) |
|
585,000 |
585,666 |
|
|
Class H, 6.42% 7/14/20 (a)(c) |
|
720,000 |
720,817 |
|
|
Series 2005-MIB1: |
|
|
|
|
|
Class B, 5.58% 3/15/22 (a)(c) |
|
475,000 |
475,155 |
|
|
Class C, 5.63% 3/15/22 (a)(c) |
|
200,000 |
200,074 |
|
|
Class D, 5.68% 3/15/22 (a)(c) |
|
205,000 |
205,121 |
|
|
Class E, 5.72% 3/15/22 (a)(c) |
|
390,000 |
390,238 |
|
|
Class F, 5.79% 3/15/22 (a)(c) |
|
200,000 |
200,122 |
|
|
Class G, 5.85% 3/15/22 (a)(c) |
|
130,000 |
130,079 |
|
|
Series 2006-LAQ: |
|
|
|
|
|
Class H, 6% 2/9/21 (a)(c) |
|
440,000 |
441,587 |
|
|
Class J, 6.09% 2/9/21 (a)(c) |
|
320,000 |
321,152 |
|
|
Class K, 6.32% 2/9/21 (a)(c) |
|
880,000 |
882,628 |
|
|
Series 2005-ESHA Class X1, 0.8865% 7/14/20 (a)(c)(e) |
|
44,830,000 |
274,682 |
|
|
Series 2006-ESH: |
|
|
|
|
|
Class A, 6.18% 7/14/11 (a)(c) |
|
938,219 |
937,603 |
|
|
Class B, 6.28% 7/14/11 (a)(c) |
|
467,860 |
467,097 |
|
|
Class C, 6.43% 7/14/11 (a)(c) |
|
936,970 |
936,355 |
|
|
Class D, 7.06% 7/14/11 (a)(c) |
|
544,559 |
546,682 |
|
|
Bayview Commercial Asset Trust floater: |
|
|
|
|
|
Series 2003-1 Class A, 5.9% 8/25/33 (a)(c) |
|
190,265 |
190,741 |
|
|
Series 2003-2 Class A, 5.9% 12/25/33 (a)(c) |
|
572,368 |
573,799 |
|
|
Series 2004-1: |
|
|
|
|
|
Class A, 5.68% 4/25/34 (a)(c) |
|
359,924 |
360,599 |
|
|
Class B, 7.22% 4/25/34 (a)(c) |
|
59,987 |
60,550 |
|
|
Commercial Mortgage Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Bayview Commercial Asset Trust floater: - continued |
|
|
|
|
|
Series 2004-2: |
|
|
|
|
|
Class A, 5.75% 8/25/34 (a)(c) |
|
$ 451,879 |
$ 453,150 |
|
|
Class M1, 5.9% 8/25/34 (a)(c) |
|
144,742 |
145,036 |
|
|
Series 2004-3: |
|
|
|
|
|
Class A1, 5.69% 1/25/35 (a)(c) |
|
648,162 |
649,479 |
|
|
Class A2, 5.74% 1/25/35 (a)(c) |
|
76,254 |
76,540 |
|
|
Class M1, 5.82% 1/25/35 (a)(c) |
|
114,382 |
114,739 |
|
|
Class M2, 6.32% 1/25/35 (a)(c) |
|
76,254 |
76,707 |
|
|
Series 2005-2A: |
|
|
|
|
|
Class M1, 5.75% 8/25/35 (a)(c) |
|
165,235 |
165,235 |
|
|
Class M2, 5.8% 8/25/35 (a)(c) |
|
276,880 |
277,700 |
|
|
Class M3, 5.82% 8/25/35 (a)(c) |
|
151,837 |
152,437 |
|
|
Class M4, 5.93% 8/25/35 (a)(c) |
|
138,440 |
139,053 |
|
|
Series 2005-3A: |
|
|
|
|
|
Class A1, 5.64% 11/25/35 (a)(c) |
|
760,476 |
761,857 |
|
|
Class M1, 5.76% 11/25/35 (a)(c) |
|
108,639 |
109,330 |
|
|
Class M2, 5.81% 11/25/35 (a)(c) |
|
149,379 |
150,668 |
|
|
Class M3, 5.83% 11/25/35 (a)(c) |
|
135,799 |
136,970 |
|
|
Class M4, 5.92% 11/25/35 (a)(c) |
|
167,486 |
167,902 |
|
|
Series 2005-4A: |
|
|
|
|
|
Class A2, 5.71% 1/25/36 (a)(c) |
|
1,034,817 |
1,036,758 |
|
|
Class B1, 6.72% 1/25/36 (a)(c) |
|
94,074 |
95,015 |
|
|
Class M1, 5.77% 1/25/36 (a)(c) |
|
376,297 |
377,003 |
|
|
Class M2, 5.79% 1/25/36 (a)(c) |
|
94,074 |
94,251 |
|
|
Class M3, 5.82% 1/25/36 (a)(c) |
|
188,149 |
188,443 |
|
|
Class M4, 5.93% 1/25/36 (a)(c) |
|
94,074 |
94,427 |
|
|
Class M5, 5.97% 1/25/36 (a)(c) |
|
94,074 |
94,486 |
|
|
Class M6, 6.02% 1/25/36 (a)(c) |
|
94,074 |
94,309 |
|
|
Series 2006-2A: |
|
|
|
|
|
Class A2, 5.6% 7/25/36 (a)(c) |
|
284,289 |
284,289 |
|
|
Class B1, 6.19% 7/25/36 (a)(c) |
|
104,239 |
104,239 |
|
|
Class B3, 8.02% 7/25/36 (a)(c) |
|
170,573 |
170,573 |
|
|
Class M1, 5.63% 7/25/36 (a)(c) |
|
298,504 |
298,504 |
|
|
Class M2, 5.65% 7/25/36 (a)(c) |
|
213,217 |
213,217 |
|
|
Class M3, 5.67% 7/25/36 (a)(c) |
|
165,835 |
165,835 |
|
|
Class M4, 5.74% 7/25/36 (a)(c) |
|
113,716 |
113,716 |
|
|
Class M5, 5.79% 7/25/36 (a)(c) |
|
137,406 |
137,406 |
|
|
Class M6, 5.86% 7/25/36 (a)(c) |
|
217,955 |
217,955 |
|
|
Series 2006-3A: |
|
|
|
|
|
Class A1, 5.57% 10/25/36 (a)(c) |
|
1,295,590 |
1,295,590 |
|
|
Class B1, 6.12% 10/25/36 (a)(c) |
|
153,295 |
153,295 |
|
|
Class B2, 6.67% 10/25/36 (a)(c) |
|
98,900 |
98,900 |
|
|
Commercial Mortgage Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Bayview Commercial Asset Trust floater: - continued |
|
|
|
|
|
Series 2006-3A: |
|
|
|
|
|
Class B3, 7.92% 10/25/36 (a)(c) |
|
$ 178,020 |
$ 178,020 |
|
|
Class M4, 5.75% 10/25/36 (a)(c) |
|
153,295 |
153,295 |
|
|
Class M5, 5.8% 10/25/36 (a)(c) |
|
192,855 |
192,855 |
|
|
Class M6, 5.88% 10/25/36 (a)(c) |
|
380,765 |
380,765 |
|
|
Bear Stearns Commercial Mortgage Securities, Inc. floater Series 2004-BBA3 Class E, 6.02% 6/15/17 (a)(c) |
|
960,000 |
960,330 |
|
|
COMM floater Series 2002-FL7: |
|
|
|
|
|
Class F, 6.63% 11/15/14 (a)(c) |
|
1,000,000 |
1,005,421 |
|
|
Class H, 7.58% 11/15/14 (a)(c) |
|
150,000 |
150,502 |
|
|
Commercial Mortgage pass thru certificates floater: |
|
|
|
|
|
Series 2004-HTL1: |
|
|
|
|
|
Class B, 5.78% 7/15/16 (a)(c) |
|
8,103 |
8,105 |
|
|
Class D, 5.88% 7/15/16 (a)(c) |
|
17,733 |
17,737 |
|
|
Class E, 6.08% 7/15/16 (a)(c) |
|
12,482 |
12,486 |
|
|
Class F, 6.13% 7/15/16 (a)(c) |
|
29,623 |
29,635 |
|
|
Class H, 6.63% 7/15/16 (a)(c) |
|
87,041 |
87,166 |
|
|
Class J, 6.78% 7/15/16 (a)(c) |
|
32,745 |
32,840 |
|
|
Class K, 7.68% 7/15/16 (a)(c) |
|
565,375 |
566,963 |
|
|
Series 2005-F10A: |
|
|
|
|
|
Class B, 5.56% 4/15/17 (a)(c) |
|
1,005,000 |
1,005,070 |
|
|
Class C, 5.6% 4/15/17 (a)(c) |
|
425,000 |
425,011 |
|
|
Class D, 5.64% 4/15/17 (a)(c) |
|
345,000 |
345,088 |
|
|
Class E, 5.7% 4/15/17 (a)(c) |
|
260,000 |
260,042 |
|
|
Class F, 5.74% 4/15/17 (a)(c) |
|
145,000 |
145,010 |
|
|
Class G, 5.88% 4/15/17 (a)(c) |
|
145,000 |
145,011 |
|
|
Class H, 5.95% 4/15/17 (a)(c) |
|
145,000 |
145,029 |
|
|
Class J, 6.18% 4/15/17 (a)(c) |
|
50,000 |
50,012 |
|
|
Class MOA3, 5.62% 3/15/20 (a)(c) |
|
650,000 |
650,046 |
|
|
Series 2005-FL11: |
|
|
|
|
|
Class B, 5.57% 11/15/17 (a)(c) |
|
295,290 |
295,372 |
|
|
Class C, 5.62% 11/15/17 (a)(c) |
|
590,580 |
590,744 |
|
|
Class D, 5.66% 11/15/17 (a)(c) |
|
102,367 |
102,396 |
|
|
Class E, 5.71% 11/15/17 (a)(c) |
|
157,488 |
157,539 |
|
|
Class F, 5.77% 11/15/17 (a)(c) |
|
141,739 |
141,778 |
|
|
Class G, 5.82% 11/15/17 (a)(c) |
|
224,420 |
224,482 |
|
|
Series 2006-CN2A Class AJFL, 5.5813% 2/5/19 (a)(c) |
|
1,135,000 |
1,138,919 |
|
|
Credit Suisse First Boston Mortgage Securities Corp. floater: |
|
|
|
|
|
Series 2004-FL1 Class B, 5.77% 5/15/14 (a)(c) |
|
296,157 |
296,190 |
|
|
Series 2004-TF2A Class E, 5.74% 11/15/19 (a)(c) |
|
640,000 |
640,259 |
|
|
Commercial Mortgage Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Credit Suisse First Boston Mortgage Securities Corp. floater: - continued |
|
|
|
|
|
Series 2005-TF2A Class F, 5.82% 11/15/19 (a)(c) |
|
$ 230,000 |
$ 230,098 |
|
|
Series 2005-TFLA: |
|
|
|
|
|
Class E, 5.65% 2/15/20 (a)(c) |
|
560,000 |
560,207 |
|
|
Class F, 5.7% 2/15/20 (a)(c) |
|
250,000 |
250,092 |
|
|
Class G, 5.84% 2/15/20 (a)(c) |
|
70,000 |
70,032 |
|
|
Class H, 6.07% 2/15/20 (a)(c) |
|
100,000 |
100,044 |
|
|
CS First Boston Mortgage Securities Corp. floater: |
|
|
|
|
|
Series 2005-CN2A Class A1J, 5.65% 11/15/19 (a)(c) |
|
2,165,000 |
2,166,201 |
|
|
Series 2005-TF3A Class A2, 5.6% 11/15/20 (a)(c) |
|
2,775,000 |
2,776,965 |
|
|
CSMC Commercial Mortgage Trust floater Series 2006-TFLA: |
|
|
|
|
|
Class D, 5.6% 4/15/21 (a)(c) |
|
300,000 |
300,083 |
|
|
Class E, 5.65% 4/15/21 (a)(c) |
|
300,000 |
300,147 |
|
|
Class G, 5.74% 4/15/21 (a)(c) |
|
300,000 |
300,232 |
|
|
Class H, 6.05% 4/15/21 (a)(c) |
|
300,000 |
300,167 |
|
|
Class J, 6.12% 4/15/21 (a)(c) |
|
200,000 |
200,055 |
|
|
Class K, 6.52% 4/15/21 (a)(c) |
|
1,005,000 |
1,005,275 |
|
|
Freddie Mac Multi-class participation certificates guaranteed floater Series 2448 Class FT, 6.32% 3/15/32 (c) |
|
1,370,455 |
1,405,596 |
|
|
Greenwich Capital Commercial Funding Corp. floater Series 2005-FL3A: |
|
|
|
|
|
Class H-AON: |
|
|
|
|
|
6.3213% 10/5/20 (a)(c) |
|
180,000 |
180,000 |
|
|
6.5713% 10/5/20 (a)(c) |
|
220,000 |
220,000 |
|
|
Class M-AON, 6.8213% 10/5/20 (a)(c) |
|
215,000 |
215,000 |
|
|
Class N-AON, 7.1713% 10/5/20 (a)(c) |
|
550,000 |
550,000 |
|
|
GS Mortgage Securities Corp. II floater |
|
|
|
|
|
Class C, 5.56% 6/6/20 (a)(c) |
|
145,000 |
145,000 |
|
|
Class D, 5.6% 6/6/20 (a)(c) |
|
400,000 |
400,000 |
|
|
Class E, 5.69% 6/6/20 (a)(c) |
|
800,000 |
800,000 |
|
|
Class F, 5.76% 6/6/20 (a)(c) |
|
575,000 |
575,180 |
|
|
Guggenheim Structure Real Estate Funding Ltd. floater Series 2006-3: |
|
|
|
|
|
Class B, 5.72% 9/25/46 (a)(c) |
|
450,000 |
450,000 |
|
|
Class C, 5.87% 9/25/46 (a)(c) |
|
1,150,000 |
1,150,000 |
|
|
Hilton Hotel Pool Trust floater Series 2000-HLTA Class A2, 5.7219% 10/3/15 (a)(c) |
|
3,000,000 |
3,021,395 |
|
|
Commercial Mortgage Securities - continued |
||||
|
|
Principal Amount |
Value |
||
|
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2003-LLFA Class K1, 7.88% 12/16/14 (a)(c) |
|
$ 435,000 |
$ 434,564 |
|
|
Merrill Lynch Mortgage Trust Series 2005-GGP1 Class X, 0.1416% 11/15/10 (a)(c)(e) |
|
417,400,000 |
267,386 |
|
|
Morgan Stanley Capital I, Inc.: |
|
|
|
|
|
floater: |
|
|
|
|
|
Series 2005-XLF: |
|
|
|
|
|
Class B, 5.54% 8/15/19 (a)(c) |
|
935,000 |
935,380 |
|
|
Class C, 5.57% 8/15/19 (a)(c) |
|
75,000 |
75,030 |
|
|
Class D, 5.59% 8/15/19 (a)(c) |
|
270,000 |
270,110 |
|
|
Class E, 5.61% 8/15/19 (a)(c) |
|
245,000 |
245,099 |
|
|
Class F, 5.65% 8/15/19 (a)(c) |
|
170,000 |
170,069 |
|
|
Class G, 5.7% 8/15/19 (a)(c) |
|
120,000 |
120,049 |
|
|
Class H, 5.72% 8/15/19 (a)(c) |
|
100,000 |
100,040 |
|
|
Class J, 5.79% 8/15/19 (a)(c) |
|
75,000 |
75,024 |
|
|
Series 2006-XLF: |
|
|
|
|
|
Class D, 5.57% 7/15/19 (a)(c) |
|
1,195,000 |
1,194,993 |
|
|
Class E, 5.61% 7/15/19 (a)(c) |
|
1,450,000 |
1,450,004 |
|
|
Class F, 5.64% 7/15/19 (a)(c) |
|
535,000 |
535,002 |
|
|
Class G, 5.68% 7/15/19 (a)(c) |
|
385,000 |
385,920 |
|
|
Series 2006-XLF Class C, 6.52% 7/15/19 (a)(c) |
|
570,000 |
569,996 |
|
|
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 5.8% 3/24/18 (a)(c) |
|
364,238 |
364,921 |
|
|
Wachovia Bank Commercial Mortgage Trust floater: |
|
|
|
|
|
Series 2005-WL6A: |
|
|
|
|
|
Class A2, 5.57% 10/15/17 (a)(c) |
|
990,000 |
990,382 |
|
|
Class B, 5.62% 10/15/17 (a)(c) |
|
200,000 |
200,069 |
|
|
Class D, 5.75% 10/15/17 (a)(c) |
|
400,000 |
400,149 |
|
|
Series 2006-WL7A: |
|
|
|
|
|
Class F, 5.6638% 8/11/18 (a)(c) |
|
1,235,000 |
1,235,000 |
|
|
Class G, 5.6838% 8/11/18 (a)(c) |
|
1,170,000 |
1,170,000 |
|
|
Class J, 5.9238% 8/11/18 (a)(c) |
|
260,000 |
260,000 |
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $60,275,241) |
60,403,116 |
|||
|
Certificates of Deposit - 2.6% |
||||
|
|
||||
|
BNP Paribas SA yankee 5.045% 2/21/07 |
|
4,000,000 |
3,994,161 |
|
|
Deutsche Bank AG yankee 5.045% 2/21/07 |
|
4,000,000 |
3,994,161 |
|
|
HBOS Treasury Services PLC yankee 5.04% 2/21/07 |
|
4,000,000 |
3,994,229 |
|
|
Rabobank Nederland Coop. Central yankee 5.01% 2/14/07 |
|
4,000,000 |
3,993,969 |
|
|
Certificates of Deposit - continued |
||||
|
|
Principal Amount |
Value |
||
|
Royal Bank of Scotland PLC yankee 5.04% 2/21/07 |
|
$ 4,000,000 |
$ 3,994,102 |
|
|
Societe Generale euro 5.05% 2/21/07 |
|
4,000,000 |
3,994,257 |
|
|
TOTAL CERTIFICATES OF DEPOSIT (Cost $23,999,608) |
23,964,879 |
|||
|
Commercial Paper - 0.2% |
||||
|
|
||||
|
Rockies Express Pipeline LLC 5.58% 12/20/06 (a) |
|
2,000,000 |
1,985,191 |
|
|
Fixed-Income Funds - 25.2% |
|||
|
Shares |
|
||
|
Fidelity Ultra-Short Central Fund (d) |
2,314,696 |
230,335,439 |
|
|
Cash Equivalents - 2.9% |
|||
|
Maturity Amount |
|
||
|
Investments in repurchase agreements in a joint trading
account at 5.32%, dated 10/31/06 due 11/1/06
(Collateralized by U.S. Government Obligations) # |
$ 26,816,960 |
26,813,000 |
|
|
TOTAL INVESTMENT PORTFOLIO - 99.5% (Cost $911,343,934) |
911,682,271 |
||
|
NET OTHER ASSETS - 0.5% |
4,359,737 |
||
|
NET ASSETS - 100% |
$ 916,042,008 |
||
|
Futures Contracts |
|||||
|
|
Expiration Date |
Underlying Face Amount at Value |
Unrealized
Appreciation/ |
||
|
Purchased |
|||||
|
Eurodollar Contracts |
|||||
|
103 Eurodollar 90 Day Index Contracts |
Dec. 2006 |
$ 101,618,513 |
$ (229,587) |
||
|
103 Eurodollar 90 Day Index Contracts |
March 2007 |
101,655,850 |
(122,837) |
||
|
103 Eurodollar 90 Day Index Contracts |
June 2007 |
101,699,625 |
61,138 |
||
|
103 Eurodollar 90 Day Index Contracts |
Sept. 2007 |
101,744,687 |
149,080 |
||
|
TOTAL EURODOLLAR CONTRACTS |
$ (142,206) |
||||
|
Sold |
|||||
|
Eurodollar Contracts |
|||||
|
5 Eurodollar 90 Day Index Contracts |
Dec. 2007 |
4,940,563 |
3,893 |
||
|
5 Eurodollar 90 Day Index Contracts |
March 2008 |
4,941,063 |
3,218 |
||
|
4 Eurodollar 90 Day Index Contracts |
June 2008 |
3,952,650 |
3,409 |
||
|
3 Eurodollar 90 Day Index Contracts |
Sept. 2008 |
2,964,300 |
2,588 |
||
|
2 Eurodollar 90 Day Index Contracts |
Dec. 2008 |
1,976,050 |
1,092 |
||
|
1 Eurodollar 90 Day Index Contracts |
March 2009 |
987,938 |
584 |
||
|
TOTAL EURODOLLAR CONTRACTS |
$ 14,784 |
||||
|
|
$ (127,422) |
||||
|
Swap Agreements |
|||||
|
|
|
Notional Amount |
Value |
||
|
Credit Default Swaps |
|||||
|
Receive monthly notional amount
multiplied by 3.3% and pay Morgan
Stanley, Inc. upon default event of
Ameriquest |
Dec. 2034 |
$ 275,000 |
$ 2,641 |
||
|
Swap Agreements - continued |
|||||
|
|
Expiration Date |
Notional Amount |
Value |
||
|
Credit Default Swaps - continued |
|||||
|
Receive from Citibank, upon default event of DaimlerChrysler NA Holding Corp., par value of the notional amount of DaimlerChrysler NA Holding Corp. 6.5% 11/15/13, and pay quarterly notional amount multiplied by .8% |
June 2007 |
$ 1,000,000 |
$ (4,983) |
||
|
Receive monthly notional amount multiplied by 1.9% and pay Morgan Stanley, Inc., upon default event of Morgan Stanley ABS Capital, par value of the notional amount of Morgan Stanley ABS Capital I Series 2006-HE3 Class B3, 7.2225% 4/25/36 |
May 2036 |
500,000 |
(8,686) |
||
|
Receive monthly notional amount multiplied by 2.39% and pay UBS upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 |
March 2034 |
310,009 |
183 |
||
|
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 |
Feb. 2034 |
212,016 |
112 |
||
|
Receive monthly notional amount multiplied by 2.7% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.41% 5/25/35 |
June 2035 |
845,000 |
(9,705) |
||
|
Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon default event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35 |
March 2035 |
610,000 |
3,011 |
||
|
Receive quarterly notional amount multiplied by .20% and pay Merrill Lynch, Inc. upon default event of American Transmission Co. LLC, par value of the notional amount of American Transmission Co. LLC 7.125% 3/15/11 |
May 2007 |
1,315,000 |
1,545 |
||
|
Swap Agreements - continued |
|||||
|
|
Expiration Date |
Notional Amount |
Value |
||
|
Credit Default Swaps - continued |
|||||
|
Receive quarterly notional amount multiplied by .26% and pay Morgan Stanley, Inc. upon default event of Amerada Hess Corp., par value of the notional amount of Amerada Hess Corp. 6.65% 8/15/11 |
March 2007 |
$ 1,650,000 |
$ 1,707 |
||
|
Receive quarterly notional amount multiplied by .28% and pay Morgan Stanley, Inc. upon default event of Amerada Hess Corp., par value of the notional amount of Amerada Hess 6.65% 8/15/11 |
March 2007 |
2,000,000 |
2,167 |
||
|
Receive quarterly notional amount multiplied by .285% and pay Deutsche Bank upon default event of ConocoPhillips, par value of the notional amount of ConocoPhillips 4.75% 10/15/12 |
Sept. 2011 |
2,200,000 |
10,831 |
||
|
Receive quarterly notional amount multiplied by .30% and pay Deutsche Bank upon default event of Entergy Corp., par value of the notional amount of Entergy Corp. 7.75% 12/15/09 |
March 2008 |
1,390,000 |
3,651 |
||
|
Receive quarterly notional amount multiplied by .30% and pay Goldman Sachs upon default event of Entergy Corp., par value of the notional amount of Entergy Corp. 7.75% 12/15/09 |
March 2008 |
1,015,000 |
2,666 |
||
|
Receive quarterly notional amount multiplied by .48% and pay Goldman Sachs upon default event of TXU Corp., par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 |
Sept. 2008 |
1,840,000 |
9,916 |
||
|
Receive quarterly notional amount multiplied by .78% and pay Goldman Sachs upon default event of TXU Corp., par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 |
Dec. 2008 |
1,750,000 |
21,355 |
||
|
Receive semi-annually notional amount multiplied by .42% and pay Credit Suisse First Boston upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30 |
June 2007 |
1,900,000 |
4,854 |
||
|
TOTAL CREDIT DEFAULT SWAPS |
$ 18,812,025 |
$ 41,265 |
|||
|
Swap Agreements - continued |
|||||
|
|
Expiration Date |
Notional Amount |
Value |
||
|
Total Return Swaps |
|||||
|
Receive monthly notional amount multiplied
by the nominal spread appreciation of
the Lehman Brothers CMBS U.S.
Aggregate Index adjusted by a modified
duration |
Jan. 2007 |
$ 4,900,000 |
$ 726 |
||
|
Receive monthly notional amount
multiplied by the nominal spread
appreciation of the Lehman Brothers
CMBS U.S. Aggregate Index adjusted by
a modified duration |
Jan. 2007 |
3,000,000 |
819 |
||
|
Receive monthly notional amount multiplied
by the nominal spread appreciation of
the Lehman Brothers CMBS U.S.
Aggregate Index adjusted by a modified
duration |
April 2007 |
4,000,000 |
476 |
||
|
Receive monthly notional amount multiplied
by the nominal spread appreciation of
the Lehman Brothers CMBS U.S.
Aggregate Index adjusted by a modified
duration |
May 2007 |
5,655,000 |
(231) |
||
|
Receive monthly notional amount multiplied
by the nominal spread appreciation of
the Lehman Brothers CMBS U.S.
Aggregate Index adjusted by a modified
duration |
Nov. 2006 |
6,800,000 |
1,376 |
||
|
Swap Agreements - continued |
|||||
|
|
Expiration Date |
Notional Amount |
Value |
||
|
Total Return Swaps - continued |
|||||
|
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. |
Nov. 2006 |
$ 8,900,000 |
$ 1,689 |
||
|
Receive monthly a return equal to Lehman Brothers ABS Floating Rate Index and pay monthly a floating rate based on the 1-month LIBOR plus 2 basis points with Lehman Brothers, Inc. |
April 2007 |
4,000,000 |
594 |
||
|
TOTAL TOTAL RETURN SWAPS |
$ 37,255,000 |
$ 5,449 |
|||
|
|
$ 56,067,025 |
$ 46,714 |
|||
|
Legend |
|
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $130,259,480 or 14.2% of net assets. |
|
(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $341,009. |
|
(c) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
|
(d) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each Fidelity Central Fund, as of the Investing Fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Investing Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, each Fidelity Central Fund's financial statements are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
|
(e) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
|
# Additional Information on each counterparty to the repurchase agreement is as follows: |
|
Repurchase Agreement / Counterparty |
Value |
|
$26,813,000 due 11/01/06 at 5.32% |
|
|
ABN AMRO Bank N.V., New York Branch |
$ 366,907 |
|
BNP Paribas Securities Corp. |
2,935,256 |
|
Banc of America Securities LLC |
8,732,167 |
|
Bank of America, NA |
1,687,772 |
|
Barclays Capital, Inc. |
4,291,323 |
|
Countrywide Securities Corp. |
4,402,883 |
|
Credit Suisse Securities (USA) LLC |
232,298 |
|
HSBC Securities (USA), Inc. |
733,814 |
|
Morgan Stanley & Co., Inc. |
495,324 |
|
Societe Generale, New York Branch |
366,907 |
|
UBS Securities LLC |
2,201,442 |
|
WestLB AG |
366,907 |
|
|
$ 26,813,000 |
|
Affiliated Central Funds |
|
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
|
Fund |
Income earned |
|
Fidelity Ultra-Short Central Fund |
$ 3,303,718 |
|
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
|
Fund |
Value, |
Purchases |
Sales |
Value, |
% ownership, |
|
Fidelity Ultra-Short Central Fund |
$ 237,764,502 |
$ - |
$ 7,500,012 |
$ 230,335,439 |
2.1% |
|
Income Tax Information |
|
At October 31, 2006, the aggregate cost of investment securities for income tax purposes was $911,289,987. Net unrealized appreciation aggregated $392,284, of which $1,154,296 related to appreciated investment securities and $762,012 related to depreciated investment securities. |
|
Investment Valuation |
|
Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Swaps are marked-to-market daily based on dealer-supplied valuations. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. |
|
For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report. |
Quarterly Report
|
The fund's schedule of investments as of the date on the cover of this report has not
been audited. This report is provided for the general information of the fund's
shareholders. For more information regarding the fund and its holdings, please
visit advisor.fidelity.com or call Fidelity at 1-877-208-0098 for a free copy of the
fund's most recent prospectus and annual report. |
Quarterly Report
Item 2. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Income Fund's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 3. Exhibits
|
Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Income Fund
|
By: |
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|
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President and Treasurer |
|
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|
|
Date: |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By: |
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President and Treasurer |
|
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Date: |
|
By: |
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|
|
Chief Financial Officer |
|
|
|
|
Date: |
| This ‘N-Q’ Filing | Date | Other Filings | ||
|---|---|---|---|---|
 | ||||
| Filed on / Effective on: | 12/28/06 | |||
| 12/20/06 | ||||
| For Period End: | 10/31/06 | 497J | ||
| List all Filings | ||||