SEC Info℠

Home

Help

Please Sign In

Fidelity Income Fund/MA – ‘N-Q’ for 11/30/06

On: Monday, 1/29/07, at 1:17pm ET · Effective: 1/29/07 · For: 11/30/06 · Accession #: 751199-7-3 · File #: 811-04085

  As Of                Filer                Filing    For·On·As Docs:Size

 1/29/07  Fidelity Income Fund/MA           N-Q        11/30/06    2:1.2M
          → Fidelity Total Bond Fund ⇒ 6 Classes/Contracts

Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-Q
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Quarterly Schedule of Portfolio Holdings of a       HTML   1.15M 
                          Management Investment Company                          
 2: EX-99.CERT  Miscellaneous Exhibit                               HTML     14K

N-Q — Quarterly Schedule of Portfolio Holdings of a Management Investment Company

This is an HTML Document rendered as filed. [ Alternative Formats ]

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:	August 31

Date of reporting period:	November 30, 2006

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Total Bond Fund

November 30, 2006

1.824865.102

TBD-QTLY-0107

Investments November 30, 2006 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 10.8%
		Principal Amount		Value
Convertible Bonds - 0.0%
FINANCIALS - 0.0%
Real Estate Investment Trusts - 0.0%
American Financial Realty Trust 4.375% 7/15/24		$ 50,000		$ 47,312
Nonconvertible Bonds - 10.8%
CONSUMER DISCRETIONARY - 2.1%
Auto Components - 0.1%
Affinia Group, Inc. 9% 11/30/14		100,000		98,000
Goodyear Tire & Rubber Co.:
8.625% 12/1/11 (f)		120,000		121,800
9% 7/1/15		500,000		512,500
Tenneco, Inc. 8.625% 11/15/14		555,000		564,713
TRW Automotive Acquisition Corp. 9.375% 2/15/13		87,000		93,308
Visteon Corp. 7% 3/10/14		690,000		607,200
				1,997,521
Automobiles - 0.1%
General Motors Corp.:
6.375% 5/1/08		800,000		791,000
8.25% 7/15/23		800,000		729,000
				1,520,000
Diversified Consumer Services - 0.1%
Affinion Group, Inc. 11.5% 10/15/15		340,000		358,700
Carriage Services, Inc. 7.875% 1/15/15		650,000		627,250
Education Management LLC/Education Management Finance Corp.:
8.75% 6/1/14 (f)		300,000		309,750
10.25% 6/1/16 (f)		300,000		317,250
Service Corp. International:
6.5% 3/15/08		75,000		75,000
6.75% 4/1/16		1,205,000		1,183,913
7.375% 10/1/14		300,000		312,000
7.625% 10/1/18		220,000		229,900
				3,413,763
Hotels, Restaurants & Leisure - 0.4%
Carrols Corp. 9% 1/15/13		105,000		107,100
Chukchansi Economic Development Authority 8% 11/15/13 (f)		200,000		206,500
Felcor Lodging LP 9% 6/1/11 (h)		150,000		159,375
Festival Fun Parks LLC 10.875% 4/15/14		250,000		248,125
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Hotels, Restaurants & Leisure - continued
Gaylord Entertainment Co.:
6.75% 11/15/14		$ 1,050,000		$ 1,015,875
8% 11/15/13		225,000		230,625
Herbst Gaming, Inc.:
7% 11/15/14		250,000		240,000
8.125% 6/1/12		70,000		71,400
Host Marriott LP:
6.375% 3/15/15		250,000		245,313
6.75% 6/1/16		100,000		100,375
7.125% 11/1/13		35,000		35,744
ITT Corp. 7.375% 11/15/15		250,000		256,875
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14		2,385,000		2,301,525
MGM Mirage, Inc.:
6% 10/1/09		50,000		49,875
6.75% 9/1/12		500,000		492,500
6.875% 4/1/16		135,000		130,444
8.375% 2/1/11		180,000		187,650
Mohegan Tribal Gaming Authority 7.125% 8/15/14		40,000		40,350
MTR Gaming Group, Inc. 9.75% 4/1/10		385,000		406,175
Penn National Gaming, Inc. 6.875% 12/1/11		80,000		80,400
Resorts International Hotel & Casino, Inc. 11.5% 3/15/09		225,000		228,375
San Pasqual Casino Development Group, Inc. 8% 9/15/13 (f)		30,000		30,675
Seneca Gaming Corp.:
Series B, 7.25% 5/1/12		70,000		70,263
7.25% 5/1/12		350,000		351,313
Six Flags, Inc.:
8.875% 2/1/10		400,000		383,500
9.625% 6/1/14		995,000		905,450
9.75% 4/15/13		55,000		50,600
Speedway Motorsports, Inc. 6.75% 6/1/13		100,000		99,875
Starwood Hotels & Resorts Worldwide, Inc. 7.875% 5/1/12		250,000		264,885
Station Casinos, Inc.:
6.5% 2/1/14		40,000		37,150
6.625% 3/15/18		50,000		45,500
6.875% 3/1/16		305,000		284,794
Town Sports International, Inc. 9.625% 4/15/11		106,000		111,565
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Hotels, Restaurants & Leisure - continued
Vail Resorts, Inc. 6.75% 2/15/14		$ 310,000		$ 306,513
Virgin River Casino Corp./RBG LLC/B&BB, Inc.:
0% 1/15/13 (c)		40,000		27,600
9% 1/15/12		280,000		288,400
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (f)		40,000		42,400
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625% 12/1/14		1,060,000		1,044,100
				11,179,184
Household Durables - 0.0%
Goodman Global Holdings, Inc. 7.875% 12/15/12		480,000		466,800
K. Hovnanian Enterprises, Inc.:
6.25% 1/15/15		50,000		47,125
6.5% 1/15/14		100,000		96,130
8.875% 4/1/12		10,000		10,000
KB Home 7.25% 6/15/18		100,000		98,375
Sealy Mattress Co. 8.25% 6/15/14		50,000		51,750
Technical Olympic USA, Inc. 8.25% 4/1/11 (f)		200,000		189,000
Urbi, Desarrollos Urbanos, SA de CV 8.5% 4/19/16 (f)		290,000		308,488
WCI Communities, Inc. 9.125% 5/1/12		35,000		33,600
				1,301,268
Leisure Equipment & Products - 0.0%
Riddell Bell Holdings, Inc. 8.375% 10/1/12		500,000		480,000
Media - 1.2%
AOL Time Warner, Inc. 7.625% 4/15/31		500,000		572,910
Cablemas SA de CV 9.375% 11/15/15		100,000		107,250
Cablevision Systems Corp.:
8% 4/15/12		340,000		334,900
9.87% 4/1/09 (h)		340,000		355,300
Charter Communications Holdings I LLC 9.92% 4/1/14		165,000		135,300
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15		290,000		282,750
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.:
10.25% 9/15/10		615,000		641,138
10.25% 9/15/10		100,000		104,125
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - continued
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8.375% 4/30/14 (f)		$ 370,000		$ 383,875
Cinemark, Inc. 0% 3/15/14 (c)		100,000		82,500
Comcast Corp. 6.45% 3/15/37		7,845,000		8,076,749
Cox Communications, Inc. 6.45% 12/1/36 (f)		2,730,000		2,751,717
CSC Holdings, Inc.:
7.25% 4/15/12 (f)(h)		460,000		450,800
8.125% 7/15/09		365,000		377,319
Dex Media, Inc.:
0% 11/15/13 (c)		95,000		84,075
0% 11/15/13 (c)		5,000		4,425
8% 11/15/13		260,000		265,850
EchoStar Communications Corp.:
6.375% 10/1/11		450,000		446,625
6.625% 10/1/14		400,000		388,000
7.125% 2/1/16		750,000		743,475
Globo Communicacoes e Partcipacoes LTDA 9.375%		1,190,000		1,204,875
Houghton Mifflin Co.:
0% 10/15/13 (c)		450,000		428,625
8.25% 2/1/11		500,000		515,000
9.875% 2/1/13		445,000		480,600
Insight Midwest LP/Insight Capital, Inc. 9.75% 10/1/09		52,000		52,780
Liberty Media Corp.:
5.7% 5/15/13		450,000		427,500
8.5% 7/15/29		630,000		649,144
LodgeNet Entertainment Corp. 9.5% 6/15/13		440,000		474,100
Net Servicos de Communicacao SA 9.25% 12/31/49 (f)		280,000		281,750
News America Holdings, Inc. 7.75% 12/1/45		170,000		200,812
News America, Inc. 6.2% 12/15/34		5,330,000		5,315,806
Nexstar Broadcasting, Inc. 7% 1/15/14		700,000		652,750
Nielsen Finance LLC/Co.:
0% 8/1/16 (c)(f)		300,000		199,125
10% 8/1/14 (f)		400,000		424,000
PanAmSat Corp.:
6.375% 1/15/08		200,000		200,000
9% 8/15/14		84,000		88,200
Paxson Communications Corp.:
8.6238% 1/15/12 (f)(h)		700,000		710,500
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - continued
Paxson Communications Corp.: - continued
11.6238% 1/15/13 (f)(h)		$ 400,000		$ 404,000
Quebecor Media, Inc. 7.75% 3/15/16		450,000		454,500
Rainbow National LLC & RNS Co. Corp.:
8.75% 9/1/12 (f)		280,000		293,300
10.375% 9/1/14 (f)		30,000		33,375
The Reader's Digest Association, Inc. 6.5% 3/1/11		815,000		835,375
Time Warner Entertainment Co. LP 8.375% 7/15/33		1,000,000		1,241,579
Time Warner, Inc. 6.625% 5/15/29		4,415,000		4,579,980
Visant Holding Corp. 8.75% 12/1/13		450,000		461,250
				37,198,009
Multiline Retail - 0.0%
Neiman Marcus Group, Inc. 9% 10/15/15		100,000		108,130
Specialty Retail - 0.1%
Asbury Automotive Group, Inc.:
8% 3/15/14		60,000		60,300
9% 6/15/12		265,000		274,275
AutoNation, Inc. 7% 4/15/14		50,000		50,063
GSC Holdings Corp./Gamestop, Inc. 8% 10/1/12		920,000		956,800
Michaels Stores, Inc. 10% 11/1/14 (f)		300,000		306,375
Nebraska Book Co., Inc. 8.625% 3/15/12		90,000		85,725
Sally Holdings LLC:
9.25% 11/15/14 (f)		160,000		163,200
10.5% 11/15/16 (f)		230,000		235,175
Sonic Automotive, Inc. 8.625% 8/15/13		1,265,000		1,296,625
United Auto Group, Inc. 9.625% 3/15/12		50,000		52,563
				3,481,101
Textiles, Apparel & Luxury Goods - 0.1%
Jostens IH Corp. 7.625% 10/1/12		190,000		191,900
Levi Strauss & Co.:
8.875% 4/1/16		100,000		102,250
9.75% 1/15/15		180,000		192,150
10.1216% 4/1/12 (h)		320,000		328,800
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Textiles, Apparel & Luxury Goods - continued
Levi Strauss & Co.: - continued
12.25% 12/15/12		$ 315,000		$ 351,225
Warnaco, Inc. 8.875% 6/15/13		300,000		317,250
				1,483,575
TOTAL CONSUMER DISCRETIONARY				62,162,551
CONSUMER STAPLES - 0.1%
Food & Staples Retailing - 0.0%
Albertsons, Inc.:
7.45% 8/1/29		250,000		245,120
7.75% 6/15/26		210,000		210,743
Southern States Cooperative, Inc. 10.5% 11/1/10 (f)		365,000		384,163
Stater Brothers Holdings, Inc. 8.125% 6/15/12		330,000		333,300
SUPERVALU, Inc. 7.5% 11/15/14		510,000		520,838
				1,694,164
Food Products - 0.1%
Bertin Ltda 10.25% 10/5/16 (f)		205,000		214,225
Gruma SA de CV 7.75%		300,000		309,000
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11		370,000		388,500
NPI Merger Corp. 9.4% 10/15/13 (f)(h)		20,000		20,600
Pierre Foods, Inc. 9.875% 7/15/12		540,000		552,150
Swift & Co.:
10.125% 10/1/09		350,000		360,500
12.5% 1/1/10		80,000		81,400
				1,926,375
Personal Products - 0.0%
Revlon Consumer Products Corp. 9.5% 4/1/11		100,000		93,375
TOTAL CONSUMER STAPLES				3,713,914
ENERGY - 1.0%
Energy Equipment & Services - 0.0%
Complete Production Services, Inc. 8% 12/15/16 (f)		470,000		474,700
Hanover Compressor Co.:
7.5% 4/15/13		480,000		481,200
8.625% 12/15/10		20,000		20,800
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
ENERGY - continued
Energy Equipment & Services - continued
Hanover Equipment Trust 8.75% 9/1/11		$ 50,000		$ 52,188
Universal Compression, Inc. 7.25% 5/15/10		290,000		290,725
				1,319,613
Oil, Gas & Consumable Fuels - 1.0%
ANR Pipeline, Inc. 9.625% 11/1/21		350,000		455,000
Arch Western Finance LLC 6.75% 7/1/13		350,000		344,313
Atlas Pipeline Partners LP 8.125% 12/15/15		290,000		295,800
Berry Petroleum Co. 8.25% 11/1/16		320,000		320,000
Chaparral Energy, Inc. 8.5% 12/1/15		530,000		528,675
Chesapeake Energy Corp.:
6.5% 8/15/17		300,000		286,125
6.625% 1/15/16		225,000		221,625
6.875% 1/15/16		350,000		349,563
7.5% 9/15/13		300,000		309,000
7.625% 7/15/13		200,000		208,000
7.75% 1/15/15		430,000		442,900
Colorado Interstate Gas Co.:
5.95% 3/15/15		510,000		496,613
6.8% 11/15/15		80,000		82,400
Drummond Co., Inc. 7.375% 2/15/16 (f)		630,000		607,950
Duke Capital LLC 6.75% 2/15/32		1,195,000		1,313,513
Duke Energy Field Services 6.45% 11/3/36 (f)		2,400,000		2,552,254
El Paso Corp.:
6.375% 2/1/09		455,000		460,442
6.5% 6/1/08		400,000		402,512
6.7% 2/15/27		65,000		64,903
7.75% 6/15/10		850,000		891,395
7.875% 6/15/12		1,500,000		1,567,500
El Paso Energy Corp.:
7.375% 12/15/12		5,000		5,125
7.75% 1/15/32		15,000		16,098
8.05% 10/15/30		95,000		101,888
El Paso Production Holding Co. 7.75% 6/1/13		390,000		398,775
Foundation Pennsylvania Coal Co. 7.25% 8/1/14		50,000		49,500
Giant Industries, Inc. 8% 5/15/14		130,000		140,888
Massey Energy Co.:
6.625% 11/15/10		40,000		40,000
6.875% 12/15/13		485,000		451,050
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (f)		$ 240,000		$ 242,252
Newfield Exploration Co. 6.625% 9/1/14		90,000		89,550
Nexen, Inc. 5.875% 3/10/35		600,000		580,207
Northwest Pipeline Corp. 7% 6/15/16		300,000		307,500
Overseas Shipholding Group, Inc.:
7.5% 2/15/24		55,000		55,000
8.25% 3/15/13		390,000		410,475
Pan American Energy LLC 7.75% 2/9/12 (f)		555,000		564,713
Pemex Project Funding Master Trust:
7.75%		1,468,000		1,523,050
8.625% 2/1/22		300,000		371,250
Petrobras Energia SA 9.375% 10/30/13		55,000		61,875
Petrohawk Energy Corp. 9.125% 7/15/13		1,270,000		1,317,625
Petrozuata Finance, Inc.:
7.63% 4/1/09 (f)		411,541		409,998
8.22% 4/1/17 (f)		450,000		443,250
Plains All American Pipeline LP 6.65% 1/15/37 (f)		3,055,000		3,205,880
Range Resources Corp.:
6.375% 3/15/15 (Reg. S)		390,000		376,350
7.375% 7/15/13		440,000		445,500
Ras Laffan LNG III 6.332% 9/30/27 (f)		1,840,000		1,935,054
Ship Finance International Ltd. 8.5% 12/15/13		330,000		325,875
Southern Star Central Corp. 6.75% 3/1/16		60,000		60,180
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 (f)		440,000		444,400
Teekay Shipping Corp. 8.875% 7/15/11		30,000		32,100
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16		100,000		100,000
Williams Co., Inc. Credit Linked Certificate Trust III 6.75% 4/15/09 (f)		215,000		217,688
Williams Companies, Inc.:
7.125% 9/1/11		255,000		263,925
7.625% 7/15/19		30,000		31,800
7.875% 9/1/21		35,000		37,406
8.125% 3/15/12		280,000		301,350
8.75% 3/15/32		165,000		185,625
Williams Partners LP/Williams Partners Finance Corp. 7.5% 6/15/11 (f)		100,000		102,625
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
YPF SA:
10% 11/2/28		$ 125,000		$ 148,906
yankee 9.125% 2/24/09		275,000		290,125
				28,285,341
TOTAL ENERGY				29,604,954
FINANCIALS - 2.2%
Capital Markets - 0.3%
E*TRADE Financial Corp.:
7.375% 9/15/13		440,000		453,200
7.875% 12/1/15		400,000		426,000
8% 6/15/11		815,000		847,600
JPMorgan Chase Capital XX 6.55% 9/29/36		6,015,000		6,348,917
				8,075,717
Commercial Banks - 0.4%
Banco Nacional de Desenvolvimento Economico e Social 5.727% 6/16/08 (h)		1,025,000		1,013,469
Bank of America NA 6% 10/15/36		3,125,000		3,309,878
Development Bank of Philippines 8.375% 12/31/49 (h)		200,000		210,500
Dresdner Bank AG 10.375% 8/17/09 (f)		1,050,000		1,144,500
HSBC Holdings PLC 6.5% 5/2/36		500,000		554,399
KeyCorp Capital Trust VII 5.7% 6/15/35		4,340,000		4,196,988
Kyivstar GSM 7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (f)		100,000		103,500
UBS Luxembourg SA:
8% 2/11/10		660,000		682,275
8.25% 5/23/16		220,000		228,800
Vimpel Communications 10% 6/16/09 (Issued by UBS Luxembourg SA for Vimpel Communications)		400,000		431,600
				11,875,909
Consumer Finance - 0.3%
Ford Motor Credit Co.:
5.7% 1/15/10		190,000		180,923
6.625% 6/16/08		840,000		835,313
7% 10/1/13		1,050,000		1,000,125
8.625% 11/1/10		900,000		925,012
9.8238% 4/15/12 (h)		1,000,000		1,060,000
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
FINANCIALS - continued
Consumer Finance - continued
Ford Motor Credit Co.: - continued
9.875% 8/10/11		$ 300,000		$ 320,957
General Motors Acceptance Corp.:
6.125% 2/1/07		600,000		600,250
6.75% 12/1/14		1,135,000		1,157,700
6.875% 9/15/11		950,000		973,750
8% 11/1/31		1,300,000		1,449,500
Triad Acquisition Corp. 11.125% 5/1/13		55,000		51,013
				8,554,543
Diversified Financial Services - 0.9%
BAC Capital Trust XI 6.625% 5/23/36		6,650,000		7,368,692
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13		320,000		327,600
Citigroup, Inc. 6.125% 8/25/36		8,375,000		8,994,482
El Paso Performance-Linked Trust 7.75% 7/15/11 (f)		500,000		517,500
JPMorgan Chase Capital XVII 5.85% 8/1/35		7,405,000		7,352,417
TMK Capital 8.5% 9/29/09		300,000		307,890
Universal City Florida Holding Co. I/II 8.375% 5/1/10		1,010,000		1,027,675
				25,896,256
Insurance - 0.0%
UnumProvident Corp. 7.625% 3/1/11		77,000		82,799
Real Estate Investment Trusts - 0.1%
HMB Capital Trust V 8.99% 12/15/36 (f)(h)		270,000		261,900
Host Hotels & Resorts LP 6.875% 11/1/14 (f)		460,000		465,750
iStar Financial, Inc. 5.95% 10/15/13 (f)		300,000		305,568
Omega Healthcare Investors, Inc.:
7% 4/1/14		870,000		872,175
7% 1/15/16		400,000		398,500
Senior Housing Properties Trust:
7.875% 4/15/15		613,000		639,053
8.625% 1/15/12		500,000		541,250
The Rouse Co. 5.375% 11/26/13		100,000		94,196
Thornburg Mortgage, Inc. 8% 5/15/13		100,000		99,000
Ventas Realty LP:
6.5% 6/1/16		150,000		151,125
6.625% 10/15/14		865,000		874,731
6.75% 4/1/17		310,000		315,038
				5,018,286
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Management & Development - 0.2%
American Real Estate Partners/American Real Estate Finance Corp.:
7.125% 2/15/13		$ 915,000		$ 915,000
8.125% 6/1/12		485,000		500,763
CB Richard Ellis Services, Inc. 9.75% 5/15/10		10,000		10,675
EOP Operating LP:
7.25% 6/15/28		129,000		159,917
7.5% 4/19/29		2,641,000		3,372,264
7.875% 7/15/31		157,000		210,347
Forest City Enterprises, Inc. 7.625% 6/1/15		100,000		102,000
				5,270,966
Thrifts & Mortgage Finance - 0.0%
Residential Capital Corp. 6.375% 6/30/10		45,000		46,073
Saxon Capital, Inc. 12% 5/1/14 (f)		125,000		166,250
				212,323
TOTAL FINANCIALS				64,986,799
HEALTH CARE - 0.3%
Health Care Providers & Services - 0.3%
AmeriPath, Inc. 10.5% 4/1/13		80,000		86,400
AMR HoldCo, Inc./EmCare HoldCo, Inc. 10% 2/15/15		310,000		334,025
Community Health Systems, Inc. 6.5% 12/15/12		80,000		77,000
Concentra Operating Corp.:
9.125% 6/1/12		10,000		10,488
9.5% 8/15/10		110,000		115,368
CRC Health Group, Inc. 10.75% 2/1/16		350,000		371,000
DaVita, Inc.:
6.625% 3/15/13		290,000		287,100
7.25% 3/15/15		615,000		616,538
HCA, Inc.:
9.125% 11/15/14 (f)		440,000		459,250
9.25% 11/15/16 (f)		860,000		898,700
9.625% 11/15/16 pay-in-kind (f)		290,000		303,775
HealthSouth Corp. 10.75% 6/15/16 (f)		300,000		319,500
IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14		350,000		346,500
Multiplan, Inc. 10.375% 4/15/16 (f)		600,000		600,000
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
HEALTH CARE - continued
Health Care Providers & Services - continued
ResCare, Inc. 7.75% 10/15/13		$ 490,000		$ 493,675
Rural/Metro Corp.:
0% 3/15/16 (c)		150,000		116,250
9.875% 3/15/15		180,000		187,200
Skilled Healthcare Group, Inc. 11% 1/15/14 (f)		100,000		110,000
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13		100,000		102,500
Tenet Healthcare Corp.:
6.375% 12/1/11		375,000		343,125
6.5% 6/1/12		15,000		13,538
7.375% 2/1/13		675,000		617,625
9.25% 2/1/15		1,000,000		987,500
U.S. Oncology, Inc.:
9% 8/15/12		280,000		291,200
10.75% 8/15/14		80,000		88,000
				8,176,257
Pharmaceuticals - 0.0%
CDRV Investors, Inc. 0% 1/1/15 (c)		100,000		77,750
Mylan Laboratories, Inc. 6.375% 8/15/15		60,000		59,100
VWR International, Inc.:
6.875% 4/15/12		30,000		30,000
8% 4/15/14		30,000		30,488
				197,338
TOTAL HEALTH CARE				8,373,595
INDUSTRIALS - 1.1%
Aerospace & Defense - 0.0%
Alliant Techsystems, Inc. 6.75% 4/1/16		300,000		298,500
Bombardier, Inc.:
6.3% 5/1/14 (f)		340,000		313,650
6.75% 5/1/12 (f)		355,000		342,575
8% 11/15/14 (f)		160,000		161,200
				1,115,925
Airlines - 0.3%
American Airlines, Inc. pass thru trust certificates:
6.817% 5/23/11		50,000		50,625
6.977% 11/23/22		328,043		322,302
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Airlines - continued
American Airlines, Inc. pass thru trust certificates: - continued
7.377% 5/23/19		$ 100,852		$ 97,827
7.379% 11/23/17		34,237		33,038
AMR Corp. 9% 8/1/12		485,000		515,313
Continental Airlines, Inc.:
8.5225% 6/2/13 (h)		100,000		101,750
9.558% 9/1/19		273,414		296,655
Continental Airlines, Inc. pass thru trust certificates:
7.566% 9/15/21		84,282		84,704
7.73% 9/15/12		21,945		22,000
8.499% 11/1/12		23,360		23,710
9.798% 4/1/21		383,999		418,559
Delta Air Lines, Inc.:
7.9% 12/15/09 (b)		1,450,000		870,000
8.3% 12/15/29 (b)		1,000,000		600,000
Delta Air Lines, Inc. pass thru trust certificates 7.779% 1/2/12		85,157		84,305
Northwest Airlines, Inc. 9.875% 3/15/07 (b)		600,000		510,000
Northwest Airlines, Inc. pass thru trust certificates:
7.068% 7/2/17		7,800		7,098
7.626% 4/1/10		24,160		23,194
United Airlines pass thru trust certificates:
7.032% 4/1/12		1,404,865		1,429,450
7.186% 10/1/12		3,481,224		3,546,497
				9,037,027
Building Products - 0.0%
Jacuzzi Brands, Inc. 9.625% 7/1/10		20,000		21,300
Nortek, Inc. 8.5% 9/1/14		100,000		96,500
				117,800
Commercial Services & Supplies - 0.2%
Adesa, Inc. 7.625% 6/15/12		250,000		248,125
ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13		445,000		438,325
Allied Waste North America, Inc.:
5.75% 2/15/11		370,000		357,050
7.125% 5/15/16		400,000		395,000
7.25% 3/15/15		800,000		800,000
7.875% 4/15/13		120,000		123,600
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Commercial Services & Supplies - continued
Cenveo Corp. 7.875% 12/1/13		$ 463,000		$ 442,165
FTI Consulting, Inc.:
7.625% 6/15/13		355,000		363,875
7.75% 10/1/16 (f)		400,000		414,000
Mac-Gray Corp. 7.625% 8/15/15		350,000		353,500
Rental Service Co. 9.5% 12/1/14 (f)		330,000		334,950
				4,270,590
Electrical Equipment - 0.0%
Sensus Metering Systems, Inc. 8.625% 12/15/13		220,000		217,800
Industrial Conglomerates - 0.1%
Nell AF Sarl 8.375% 8/15/15 (f)		75,000		76,688
Siemens Financieringsmaatschap NV 6.125% 8/17/26 (f)		3,075,000		3,254,113
				3,330,801
Machinery - 0.0%
Case New Holland, Inc. 7.125% 3/1/14		350,000		351,750
Chart Industries, Inc. 9.125% 10/15/15 (f)		40,000		42,000
Columbus McKinnon Corp. 8.875% 11/1/13		20,000		20,950
Commercial Vehicle Group, Inc. 8% 7/1/13		330,000		319,275
Invensys PLC 9.875% 3/15/11 (f)		49,000		52,920
Park-Ohio Industries, Inc. 8.375% 11/15/14		200,000		181,000
				967,895
Marine - 0.0%
American Commercial Lines LLC/ACL Finance Corp. 9.5% 2/15/15		471,000		522,810
H-Lines Finance Holding Corp. 0% 4/1/13 (c)		126,000		116,864
Horizon Lines LLC/Horizon Lines Holdings Corp. 9% 11/1/12		332,000		346,940
OMI Corp. 7.625% 12/1/13		95,000		97,375
				1,083,989
Road & Rail - 0.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:
7.625% 5/15/14 (f)		400,000		384,000
7.75% 5/15/16 (f)		400,000		384,000
Hertz Corp.:
8.875% 1/1/14 (f)		700,000		728,875
10.5% 1/1/16 (f)		360,000		390,600
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Road & Rail - continued
Kansas City Southern Railway Co. 7.5% 6/15/09		$ 400,000		$ 404,000
TFM SA de CV 9.375% 5/1/12		65,000		69,469
				2,360,944
Trading Companies & Distributors - 0.1%
Ahern Rentals, Inc. 9.25% 8/15/13		400,000		415,000
Ashtead Capital, Inc. 9% 8/15/16 (f)		300,000		317,250
Ashtead Holdings PLC 8.625% 8/1/15 (f)		275,000		282,563
H&E Equipment Services, Inc. 8.375% 7/15/16		160,000		166,800
Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12		400,000		434,000
Penhall International Corp. 12% 8/1/14 (f)		250,000		268,750
				1,884,363
Transportation Infrastructure - 0.3%
BNSF Funding Trust I 6.613% 12/15/55 (h)		9,030,000		9,337,372
TOTAL INDUSTRIALS				33,724,506
INFORMATION TECHNOLOGY - 0.4%
Communications Equipment - 0.1%
L-3 Communications Corp. 6.375% 10/15/15		520,000		516,100
Lucent Technologies, Inc. 6.5% 1/15/28		400,000		360,000
Nortel Networks Corp.:
9.6238% 7/15/11 (f)(h)		200,000		207,000
10.125% 7/15/13 (f)		500,000		529,375
				1,612,475
Computers & Peripherals - 0.0%
Seagate Technology HDD Holdings 6.8% 10/1/16		600,000		593,250
Electronic Equipment & Instruments - 0.1%
Celestica, Inc.:
7.625% 7/1/13		195,000		192,563
7.875% 7/1/11		350,000		351,750
NXP BV:
7.875% 10/15/14 (f)		605,000		621,638
9.5% 10/15/15 (f)		615,000		633,450
				1,799,401
IT Services - 0.1%
Iron Mountain, Inc.:
6.625% 1/1/16		120,000		114,600
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - continued
IT Services - continued
Iron Mountain, Inc.: - continued
7.75% 1/15/15		$ 300,000		$ 303,750
8.625% 4/1/13		210,000		216,300
SunGard Data Systems, Inc.:
9.125% 8/15/13		1,175,000		1,233,750
10.25% 8/15/15		700,000		740,250
				2,608,650
Office Electronics - 0.0%
Xerox Capital Trust I 8% 2/1/27		130,000		132,925
Xerox Corp.:
6.75% 2/1/17		200,000		212,250
7.2% 4/1/16		465,000		502,200
7.625% 6/15/13		310,000		327,050
				1,174,425
Semiconductors & Semiconductor Equipment - 0.1%
Amkor Technology, Inc.:
7.75% 5/15/13		65,000		60,613
9.25% 6/1/16		100,000		98,375
Avago Technologies Finance Ltd. 10.125% 12/1/13 (f)		600,000		639,000
Conexant Systems, Inc. 9.1263% 11/15/10 (f)(h)		250,000		253,125
Freescale Semiconductor, Inc.:
7.125% 7/15/14		60,000		64,585
8.875% 12/15/14 (f)(g)		550,000		550,715
9.125% 12/15/14 pay-in-kind (f)(g)		570,000		569,316
9.25% 12/15/14 (f)(g)(h)		290,000		288,202
10.125% 12/15/16 (f)(g)		380,000		383,800
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co.:
6.875% 12/15/11		25,000		21,375
8% 12/15/14		80,000		52,800
Viasystems, Inc. 10.5% 1/15/11		480,000		482,400
				3,464,306
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - continued
Software - 0.0%
Activant Solutions, Inc. 9.5% 5/1/16 (f)		$ 50,000		$ 46,250
Serena Software, Inc. 10.375% 3/15/16		230,000		243,225
				289,475
TOTAL INFORMATION TECHNOLOGY				11,541,982
MATERIALS - 0.6%
Chemicals - 0.2%
BCP Crystal U.S. Holdings Corp. 9.625% 6/15/14		410,000		449,975
Crystal US Holding 3 LLC/Crystal US Sub 3 Corp. Series B, 0% 10/1/14 (c)		550,000		462,000
Equistar Chemicals LP 7.55% 2/15/26		350,000		325,938
Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11		395,000		421,663
Huntsman International LLC 9.875% 3/1/09		71,000		73,219
Inergy LP/Inergy Finance Corp. 8.25% 3/1/16		310,000		322,400
Lyondell Chemical Co.:
8% 9/15/14		500,000		515,000
10.875% 5/1/09		55,000		56,169
Nalco Co. 7.75% 11/15/11		630,000		647,325
Pliant Corp. 0.225% 6/15/09 (d)		60,000		58,800
Rhodia SA 8.875% 6/1/11		300,000		313,500
Rockwood Specialties Group, Inc. 7.5% 11/15/14		150,000		151,500
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12		800,000		838,000
				4,635,489
Construction Materials - 0.0%
Texas Industries, Inc. 7.25% 7/15/13		30,000		30,375
U.S. Concrete, Inc. 8.375% 4/1/14		350,000		338,625
				369,000
Containers & Packaging - 0.1%
Ball Corp. 6.625% 3/15/18		500,000		495,000
BWAY Corp. 10% 10/15/10		105,000		109,988
Crown Americas LLC/Crown Americas Capital Corp. 7.75% 11/15/15		200,000		206,000
Crown Cork & Seal, Inc. 8% 4/15/23		105,000		101,850
Graham Packaging Co. LP/GPC Capital Corp.:
8.5% 10/15/12		50,000		49,750
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
MATERIALS - continued
Containers & Packaging - continued
Graham Packaging Co. LP/GPC Capital Corp.: - continued
9.875% 10/15/14		$ 395,000		$ 391,050
Graphic Packaging International, Inc. 8.5% 8/15/11		120,000		123,300
Jefferson Smurfit Corp. U.S. 7.5% 6/1/13		15,000		14,100
Owens-Brockway Glass Container, Inc.:
8.25% 5/15/13		15,000		15,488
8.875% 2/15/09		350,000		357,875
Owens-Illinois, Inc.:
7.35% 5/15/08		50,000		50,250
7.5% 5/15/10		395,000		398,950
7.8% 5/15/18		45,000		43,875
8.1% 5/15/07		410,000		414,100
Tekni-Plex, Inc. 10.875% 8/15/12 (f)		40,000		44,600
				2,816,176
Metals & Mining - 0.2%
Corporacion Nacional del Cobre (Codelco) 6.15% 10/24/36 (f)		145,000		152,133
CSN Islands X Corp. (Reg. S) 9.5%		306,000		315,945
Evraz Securities SA 10.875% 8/3/09		600,000		657,000
FMG Finance Pty Ltd.:
9.405% 9/1/11 (f)(h)		150,000		145,875
10.625% 9/1/16 (f)		195,000		196,219
Freeport-McMoRan Copper & Gold, Inc.:
6.875% 2/1/14		375,000		380,625
10.125% 2/1/10		45,000		47,250
Newmont Mining Corp. 5.875% 4/1/35		405,000		391,685
Novelis, Inc. 8.25% 2/15/15 (f)(h)		460,000		446,200
RathGibson, Inc. 11.25% 2/15/14 (f)		50,000		52,500
Vale Overseas Ltd. 6.875% 11/21/36		2,695,000		2,758,686
				5,544,118
Paper & Forest Products - 0.1%
Boise Cascade LLC/Boise Cascade Finance Corp.:
7.125% 10/15/14		30,000		28,725
8.2488% 10/15/12 (h)		30,000		30,000
Buckeye Technologies, Inc. 8.5% 10/1/13		450,000		455,625
Georgia-Pacific Corp.:
7.375% 12/1/25		15,000		14,606
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
MATERIALS - continued
Paper & Forest Products - continued
Georgia-Pacific Corp.: - continued
7.7% 6/15/15		$ 400,000		$ 410,000
7.75% 11/15/29		10,000		9,950
8% 1/15/24		130,000		131,950
8.125% 5/15/11		605,000		632,225
Millar Western Forest Products Ltd. 7.75% 11/15/13		120,000		104,400
P.H. Glatfelter Co. 7.125% 5/1/16 (f)		230,000		231,725
Stone Container Corp. 8.375% 7/1/12		400,000		387,000
Stone Container Finance Co. 7.375% 7/15/14		400,000		362,000
				2,798,206
TOTAL MATERIALS				16,162,989
TELECOMMUNICATION SERVICES - 1.8%
Diversified Telecommunication Services - 1.5%
AT&T, Inc. 6.8% 5/15/36		2,000,000		2,187,078
British Telecommunications PLC 8.875% 12/15/30		145,000		204,548
Embarq Corp.:
6.738% 6/1/13		85,000		88,321
7.995% 6/1/36		1,101,000		1,191,595
Eschelon Operating Co. 8.375% 3/15/10		396,000		382,635
GCI, Inc. 7.25% 2/15/14		50,000		48,625
Hanarotelecom, Inc. 7% 2/1/12 (f)		160,000		159,600
Intelsat Ltd.:
6.5% 11/1/13		40,000		33,200
7.625% 4/15/12		20,000		18,100
9.25% 6/15/16 (f)		850,000		909,500
11.25% 6/15/16 (f)		1,400,000		1,536,500
Level 3 Financing, Inc.:
9.25% 11/1/14 (f)		310,000		313,488
12.25% 3/15/13		1,050,000		1,186,500
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (f)		75,000		79,406
NTL Cable PLC:
8.75% 4/15/14		300,000		313,500
9.125% 8/15/16		610,000		643,550
PT Indosat International Finance Co. BV 7.125% 6/22/12 (f)		155,000		155,775
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Qwest Capital Funding, Inc.:
7% 8/3/09		$ 50,000		$ 50,625
7.25% 2/15/11		285,000		290,700
7.625% 8/3/21		20,000		19,900
Qwest Communications International, Inc.:
7.5% 2/15/14		1,360,000		1,400,800
7.5% 2/15/14		60,000		61,650
8.8738% 2/15/09 (h)		340,000		345,100
Qwest Corp.:
7.5% 10/1/14 (f)		500,000		531,250
7.625% 6/15/15		610,000		648,918
8.64% 6/15/13 (h)		90,000		97,200
SBC Communications, Inc.:
6.15% 9/15/34		500,000		507,238
6.45% 6/15/34		220,000		231,385
Sprint Capital Corp. 8.75% 3/15/32		6,890,000		8,627,251
Telecom Italia Capital SA:
6% 9/30/34		500,000		467,305
7.2% 7/18/36		3,620,000		3,875,391
Telefonica de Argentina SA 9.125% 11/7/10		394,000		423,550
Telefonica Emisiones SAU 7.045% 6/20/36		8,825,000		9,624,351
Telenet Group Holding NV 0% 6/15/14 (c)(f)		52,000		46,800
U.S. West Capital Funding, Inc. 6.375% 7/15/08		375,000		375,000
U.S. West Communications:
6.875% 9/15/33		415,000		401,513
7.5% 6/15/23		300,000		305,250
Verizon Global Funding Corp. 7.75% 12/1/30		5,296,000		6,320,654
Wind Acquisition Finance SA 10.75% 12/1/15 (f)		350,000		394,625
Windstream Corp.:
8.125% 8/1/13 (f)		200,000		215,500
8.625% 8/1/16 (f)		350,000		380,170
				45,094,047
Wireless Telecommunication Services - 0.3%
America Movil SA de CV 6.375% 3/1/35		780,000		770,245
American Tower Corp. 7.5% 5/1/12		105,000		108,675
Centennial Communications Corp. 10% 1/1/13		450,000		469,125
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - continued
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14		$ 310,000		$ 312,325
Cricket Communications, Inc. 9.375% 11/1/14 (f)		480,000		492,600
Digicel Ltd. 9.25% 9/1/12 (f)		820,000		865,100
DirecTV Holdings LLC/DirecTV Financing, Inc.:
6.375% 6/15/15		1,000,000		966,250
8.375% 3/15/13		1,000,000		1,037,500
Intelsat Subsidiary Holding Co. Ltd. 8.625% 1/15/15 (h)		195,000		202,800
Megafon SA 8% 12/10/09		300,000		310,125
MetroPCS Wireless, Inc. 9.25% 11/1/14 (f)		600,000		608,250
Millicom International Cellular SA 10% 12/1/13		265,000		287,525
Mobile Telesystems Finance SA:
8% 1/28/12 (f)		536,000		560,790
8.375% 10/14/10 (f)		885,000		931,905
Nextel Communications, Inc. 7.375% 8/1/15		150,000		154,875
Rogers Communications, Inc.:
8% 12/15/12		355,000		375,413
9.625% 5/1/11		26,000		29,445
Rural Cellular Corp.:
8.25% 3/15/12		360,000		373,500
9.75% 1/15/10		100,000		102,250
Stratos Global Corp. 9.875% 2/15/13		150,000		145,125
Telecom Personal SA 9.25% 12/22/10 (f)		590,000		620,975
				9,724,798
TOTAL TELECOMMUNICATION SERVICES				54,818,845
UTILITIES - 1.2%
Electric Utilities - 0.1%
AES Gener SA 7.5% 3/25/14		70,000		73,588
Chivor SA E.S.P. 9.75% 12/30/14 (f)		493,000		548,463
Mirant Americas Generation LLC:
8.3% 5/1/11		400,000		405,000
8.5% 10/1/21		350,000		348,250
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10		655,000		668,100
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
UTILITIES - continued
Electric Utilities - continued
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10		$ 360,000		$ 370,800
Nevada Power Co.:
5.875% 1/15/15		40,000		40,383
6.5% 4/15/12		50,000		51,928
6.5% 5/15/18		790,000		819,941
Reliant Energy, Inc. 6.75% 12/15/14		400,000		388,000
Sierra Pacific Power Co. 6% 5/15/16		50,000		50,875
Sierra Pacific Resources 7.803% 6/15/12		290,000		304,500
				4,069,828
Gas Utilities - 0.1%
Dynegy Holdings, Inc. 8.375% 5/1/16		600,000		622,500
El Paso Energy Corp. 6.75% 5/15/09		25,000		25,313
NiSource Finance Corp. 5.45% 9/15/20		1,905,000		1,816,097
Sonat, Inc.:
6.625% 2/1/08		20,000		20,100
6.75% 10/1/07		15,000		15,094
Transportadora de Gas del Sur SA:
(Reg. S) 6.5% 12/15/10 (d)		788,356		786,385
7.5% 12/15/13 (d)		295,000		302,375
7.5% 12/15/13 (d)(f)		50,000		51,250
7.5% 12/15/13 (d)		204,800		206,336
				3,845,450
Independent Power Producers & Energy Traders - 0.4%
AES Corp.:
7.75% 3/1/14		1,400,000		1,477,000
8.75% 6/15/08		2,000		2,070
8.75% 5/15/13 (f)		35,000		37,538
8.875% 2/15/11		982,000		1,055,650
9% 5/15/15 (f)		625,000		671,875
9.375% 9/15/10		7,000		7,595
9.5% 6/1/09		19,000		20,354
Allegheny Energy Supply Co. LLC:
7.8% 3/15/11		170,000		181,050
8.25% 4/15/12 (f)		90,000		98,325
Mirant North America LLC 7.375% 12/31/13		1,020,000		1,032,750
NRG Energy, Inc.:
7.25% 2/1/14		1,300,000		1,300,000
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
UTILITIES - continued
Independent Power Producers & Energy Traders - continued
NRG Energy, Inc.: - continued
7.375% 2/1/16		$ 1,280,000		$ 1,280,000
Tenaska Alabama Partners LP 7% 6/30/21 (f)		484,605		484,605
TXU Corp. 5.55% 11/15/14		3,140,000		3,019,038
				10,667,850
Multi-Utilities - 0.6%
CMS Energy Corp.:
6.3% 2/1/12		760,000		761,900
8.5% 4/15/11		545,000		594,050
9.875% 10/15/07		135,000		139,556
Dominion Resources, Inc. 5.95% 6/15/35		3,545,000		3,608,193
MidAmerican Energy Holdings, Co. 6.125% 4/1/36		11,405,000		11,954,903
Utilicorp Canada Finance Corp. 7.75% 6/15/11		105,000		111,300
				17,169,902
TOTAL UTILITIES				35,753,030
TOTAL NONCONVERTIBLE BONDS				320,843,165
TOTAL CORPORATE BONDS (Cost $304,239,160)			320,890,477
U.S. Government and Government Agency Obligations - 21.3%

U.S. Government Agency Obligations - 0.6%
Fannie Mae:
3.25% 1/15/08		8,000,000		7,851,096
4.375% 7/17/13		8,745,000		8,535,697
Freddie Mac 5.25% 11/5/12		280,000		278,337
Tennessee Valley Authority 5.375% 4/1/56		385,000		408,290
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS				17,073,420
U.S. Treasury Inflation Protected Obligations - 5.0%
U.S. Treasury Inflation-Indexed Notes:
0.875% 4/15/10		3,213,600		3,063,851
2% 1/15/14		122,117,753		120,634,501
U.S. Government and Government Agency Obligations - continued
		Principal Amount		Value
U.S. Treasury Inflation Protected Obligations - continued
U.S. Treasury Inflation-Indexed Notes: - continued
2.375% 4/15/11		$ 2,044,800		$ 2,056,761
3.5% 1/15/11		23,319,600		24,512,124
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS				150,267,237
U.S. Treasury Obligations - 15.7%
U.S. Treasury Bond - principal STRIPS:
2/15/15		78,530,000		54,594,213
5/15/30		35,870,000		12,256,382
U.S. Treasury Bonds 6.25% 5/15/30		7,453,000		9,174,181
U.S. Treasury Notes:
4.25% 8/15/13 (e)		66,769,000		66,062,183
4.5% 9/30/11		44,855,000		44,942,602
4.625% 10/31/11 (g)		75,000,000		75,582,808
4.75% 5/15/14 (e)		33,615,000		34,254,458
U.S. Treasury Notes - principal STRIPS:
8/15/10		131,350,000		111,543,339
2/15/12		75,970,000		60,506,990
TOTAL U.S. TREASURY OBLIGATIONS				468,917,156
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $621,050,927)			636,257,813
U.S. Government Agency - Mortgage Securities - 11.1%

Fannie Mae - 9.7%
5% 12/1/36 (g)		92,810,011		90,655,250
5% 12/12/36 (g)		20,000,000		19,535,662
5.5% 12/1/36 (g)		54,265,689		54,056,055
5.5% 12/1/36 (g)		50,000,000		49,806,845
6% 12/1/21 (g)		1,458,555		1,484,537
6% 12/1/36 (g)		20,000,000		20,210,874
6% 12/1/36 (g)		25,000,000		25,263,593
6% 12/12/36 (g)		20,000,000		20,210,874
6.5% 12/1/36 (g)		8,682,350		8,858,528
TOTAL FANNIE MAE				290,082,218
U.S. Government Agency - Mortgage Securities - continued
		Principal Amount		Value
Freddie Mac - 1.4%
6% 12/1/36 (g)		$ 30,000,000		$ 30,328,029
6% 12/1/36 (g)		9,946,113		10,054,867
TOTAL FREDDIE MAC				40,382,896
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $323,386,736)			330,465,114
Asset-Backed Securities - 1.0%

ACE Securities Corp.:
Series 2004-HE1:
Class M1, 5.82% 2/25/34 (h)		125,000		125,369
Class M2, 6.42% 2/25/34 (h)		125,000		126,177
Series 2005-SD1 Class A1, 5.72% 11/25/50 (h)		58,225		58,356
Aircraft Lease Securitization Ltd. Series 2005-1 Class C1, 9.07% 9/9/30 (f)(h)		188,050		191,341
Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (h)		725,000		729,854
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2003-HE7 Class A3, 5.68% 12/15/33 (h)		5,253		5,253
Series 2004-HE2 Class M1, 5.87% 4/25/34 (h)		375,000		377,739
Bank One Issuance Trust Series 2002-C1 Class C1, 6.28% 12/15/09 (h)		425,000		426,126
Capital Auto Receivables Asset Trust:
Series 2006-1:
Class C, 5.55% 1/18/11		1,500,000		1,507,211
Class D, 7.16% 1/15/13 (f)		160,000		160,781
Series 2006-SN1A:
Class B, 5.5% 4/20/10 (f)		340,000		342,542
Class C, 5.77% 5/20/10 (f)		325,000		327,513
Class D, 6.15% 4/20/11 (f)		550,000		554,204
Capmark VII Ltd. Series 2006-7A Class H, 6.9391% 8/20/36 (f)(h)		500,000		501,250
Carrington Mortgage Loan Trust Series 2006-NC3 Class M10, 7.33% 8/25/36 (f)(h)		290,000		249,128
Chase Credit Card Owner Trust Series 2004-1 Class B, 5.52% 5/15/09 (h)		220,000		219,987
Concord Real Estate CDO Ltd./LLC Series 2006-1A:
Class E, 6.52% 12/25/46 (g)(h)		250,000		250,000
Class F, 7.07% 12/25/46 (f)(g)(h)		250,000		250,000
Asset-Backed Securities - continued
		Principal Amount		Value
Countrywide Home Loan Trust Series 2006-13N Class N, 7% 8/25/37 (f)		$ 1,859,900		$ 1,840,185
Countrywide Home Loans, Inc.:
Series 2004-2 Class M1, 5.82% 5/25/34 (h)		410,000		411,411
Series 2004-3 Class M1, 5.82% 6/25/34 (h)		75,000		75,338
Series 2005-1:
Class MV1, 5.72% 7/25/35 (h)		185,000		185,603
Class MV2, 5.76% 7/25/35 (h)		220,000		220,831
Series 2005-3 Class MV1, 5.74% 8/25/35 (h)		4,750,000		4,764,808
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (f)		235,000		241,339
First Franklin Mortgage Loan Trust Series 2004-FF2:
Class M3, 5.87% 3/25/34 (h)		25,000		25,039
Class M4, 6.22% 3/25/34 (h)		25,000		25,088
Ford Credit Auto Owner Trust:
Series 2006-B Class D, 7.26% 2/15/13 (f)		1,175,000		1,190,670
Series 2006-C Class D, 6.89% 5/15/13 (f)		915,000		909,501
Fremont Home Loan Trust Series 2004-A Class M1, 5.87% 1/25/34 (h)		225,000		225,503
GS Auto Loan Trust Series 2006-1 Class D, 6.25% 1/15/14 (f)		1,425,000		1,415,923
GSAMP Trust Series 2004-FM2 Class M1, 5.82% 1/25/34 (h)		249,683		249,678
Home Equity Asset Trust:
Series 2003-2 Class M1, 6.2% 8/25/33 (h)		20,726		20,732
Series 2004-3 Class M2, 6.52% 8/25/34 (h)		120,000		121,245
Series 2006-3N Class B, 6.5% 8/27/36 (f)		250,000		244,338
HSBC Home Equity Loan Trust Series 2005-2:
Class M1, 5.78% 1/20/35 (h)		95,963		96,171
Class M2, 5.81% 1/20/35 (h)		72,621		72,871
Kent Funding III Ltd. Series 2006-3A Class D, 8.47% 10/31/36 (h)		250,000		248,125
Lancer Funding Ltd. Series 2006-1A Class A3, 7.07% 4/6/46 (f)(h)		421,306		425,232
Long Beach Mortgage Loan Trust Series 2006-6 Class M9, 7.23% 7/25/36 (h)		150,000		149,373
MBNA Credit Card Master Note Trust Series 2003-B2 Class B2, 5.71% 10/15/10 (h)		80,000		80,383
Meritage Mortgage Loan Trust Series 2004-1:
Class M1, 5.82% 7/25/34 (h)		94,694		94,801
Class M2, 5.87% 7/25/34 (h)		25,000		25,037
Morgan Stanley ABS Capital I, Inc.:
Series 2002-HE3 Class M1, 6.42% 12/27/32 (h)		90,000		90,671
Series 2003-NC8 Class M1, 6.02% 9/25/33 (h)		34,998		35,084
Asset-Backed Securities - continued
		Principal Amount		Value
Morgan Stanley Dean Witter Capital I Trust:
Series 2001-NC4 Class M1, 6.82% 1/25/32 (h)		$ 13,267		$ 13,278
Series 2002-NC1 Class M1, 6.52% 2/25/32 (f)(h)		138,907		142,734
Series 2002-NC3 Class M1, 6.04% 8/25/32 (h)		75,000		75,039
NovaStar Home Equity Loan Series 2004-1:
Class M1, 5.77% 6/25/34 (h)		75,000		75,393
Class M4, 6.295% 6/25/34 (h)		125,000		125,684
Ownit Mortgage Loan Asset-Backed Certificates Series 2005-3 Class A2A, 5.44% 6/25/36 (h)		2,470,541		2,470,735
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 6.15% 1/25/35 (h)		750,000		755,796
SLM Private Credit Student Loan Trust Series 2004-A Class C, 6.34% 6/15/33 (h)		260,000		263,033
Structured Asset Securities Corp. Series 2006-BC1 Class B1, 7.82% 3/25/36 (f)(h)		100,000		87,060
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 5.77% 3/15/11 (f)(h)		4,670,000		4,670,000
Wachovia Auto Loan Trust Series 2006-2A Class E, 7.05% 5/20/14 (f)		1,390,000		1,406,729
Washington Mutual Asset-Backed Certificates Series 2006-HE5 Class B1, 7.82% 10/25/36 (f)(h)		1,330,000		1,130,082
TOTAL ASSET-BACKED SECURITIES (Cost $31,051,394)			31,103,374
Collateralized Mortgage Obligations - 1.0%

Private Sponsor - 1.0%
ABN AMRO Mortgage Corp.:
Series 2003-2 Class B4, 5.3302% 3/25/18 (h)		208,787		193,021
Series 2003-9 Class B5, 4.5164% 8/25/18 (f)		345,182		186,398
Banc of America Mortgage Securities, Inc.:
Series 2003-K Class 1A1, 4.1028% 12/25/33 (h)		83,658		84,518
Series 2004-7 Class 15B4, 5.3048% 8/25/19 (f)(h)		84,715		77,777
Series 2004-B Class 1A1, 3.4572% 3/25/34 (h)		330,389		331,048
Series 2004-C Class 1A1, 3.3269% 4/25/34 (h)		249,641		250,237
Bayview Commercial Asset Trust Series 2006-3A Class IO, 1.1688% 10/25/36 (h)(j)		16,660,958		2,113,859
Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, 5.6% 1/25/35 (h)		8,115,705		8,131,245
Countrywide Alternative Loan Trust Series 2006-OC5N Class N, 7.25% 7/25/37 (f)		157,033		156,250
Countrywide Home Loans, Inc.:
Series 2003-28 Class B3, 5.5% 8/25/33		95,287		85,205
Collateralized Mortgage Obligations - continued
		Principal Amount		Value
Private Sponsor - continued
Countrywide Home Loans, Inc.: - continued
Series 2003-35 Class B, 4.639% 9/25/18 (h)		$ 187,401		$ 169,682
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:
Series 2005-1 Class 5A2, 5.65% 5/25/35 (h)		134,358		134,225
Series 2005-2 Class 6A2, 5.6% 6/25/35 (h)		52,657		52,747
Credit Suisse First Boston Mortgage Securities Corp.:
floater:
Series 2004-AR3 Class 6A2, 5.69% 4/25/34 (h)		28,197		28,220
Series 2004-AR6 Class 9A2, 5.69% 10/25/34 (h)		63,620		63,723
Series 2003-17 Class B4, 5.389% 6/25/33 (f)(h)		403,318		367,622
Series 2004-3 Class DB4, 5.8427% 4/25/34 (h)		120,101		82,342
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (f)		176,400		149,246
Granite Master Issuer PLC floater Series 2006-1A Class C2, 5.975% 12/20/54 (f)(h)		400,000		399,992
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.71% 9/26/45 (f)(h)		292,766		293,727
Merrill Lynch Mortgage Investors, Inc.:
floater Series 2005-B Class A2, 5.5988% 7/25/30 (h)		209,321		209,606
Series 2003-E Class XA1, 1% 10/25/28 (h)(j)		710,670		3,928
Nomura Home Equity Loan, Inc. floater Series 2006-FM2 Class B1, 7.62% 7/25/36 (h)		4,165,000		3,665,200
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 5.61% 7/25/35 (h)		245,517		245,934
Residential Finance LP/Residential Finance Development Corp. floater:
Series 2003-CB1:
Class B3, 6.77% 6/10/35 (f)(h)		42,202		42,835
Class B4, 6.97% 6/10/35 (f)(h)		37,513		38,216
Class B5, 7.57% 6/10/35 (f)(h)		28,135		28,803
Class B6, 8.07% 6/10/35 (f)(h)		14,067		14,419
Series 2004-B:
Class B4, 6.42% 2/10/36 (f)(h)		96,132		97,334
Class B5, 6.87% 2/10/36 (f)(h)		96,132		96,853
Class B6, 7.32% 2/10/36 (f)(h)		96,132		96,373
Series 2004-C:
Class B4, 6.27% 9/10/36 (f)(h)		96,919		98,251
Class B5, 6.67% 9/10/36 (f)(h)		96,919		97,161
Class B6, 7.07% 9/10/36 (f)(h)		96,919		96,919
Collateralized Mortgage Obligations - continued
		Principal Amount		Value
Private Sponsor - continued
Sequoia Mortgage Trust floater Series 2005-2 Class A2, 5.7% 3/20/35 (h)		$ 195,511		$ 195,893
Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 5.63% 7/25/35 (h)		651,456		653,949
Structured Asset Securities Corp. floater:
Series 2005-AR1 Class B1, 7.32% 9/25/35 (f)(h)		530,000		453,998
Series 2006-BC5 Class B, 7.82% 12/25/36 (h)		1,050,000		891,697
Thornburg Mortgage Securities Trust floater Series 2005-3 Class A4, 5.6% 10/25/35 (h)		8,000,793		7,990,730
WaMu Mortgage pass thru certificates floater Series 2005-AR13 Class A1C1, 5.51% 10/25/45 (h)		2,388,222		2,388,895
Wells Fargo Mortgage Backed 03-12 Series 2003-12 Class B6, 4.75% 11/25/18 (f)		337,150		187,961
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $30,916,618)			30,946,039
Commercial Mortgage Securities - 0.8%

Asset Securitization Corp.:
Series 1996-D2 Class B1A, 8.6254% 2/14/29 (f)(h)		750,000		822,305
Series 1997-D4:
Class B2, 7.525% 4/14/29		500,000		553,431
Class B5, 7.525% 4/14/29		129,000		128,234
Banc of America Commercial Mortgage, Inc. Series 2003-2:
Class BWF, 7.55% 10/11/37 (f)		97,643		108,093
Class BWH, 9.073% 10/11/37 (f)		97,643		113,337
Class BWJ, 9.99% 10/11/37 (f)		97,643		117,075
Banc of America Large Loan, Inc.:
floater:
Series 2003-BBA2:
Class D, 5.87% 11/15/15 (f)(h)		58,455		58,463
Class F, 6.22% 11/15/15 (f)(h)		60,000		60,017
Class H, 6.72% 11/15/15 (f)(h)		50,000		50,059
Class J, 7.27% 11/15/15 (f)(h)		55,000		55,093
Class K, 7.92% 11/15/15 (f)(h)		50,000		50,002
Series 2005-ESHA:
Class E, 5.9% 7/14/20 (f)(h)		190,000		190,233
Class F, 6.07% 7/14/20 (f)(h)		110,000		110,134
Class G, 6.2% 7/14/20 (f)(h)		100,000		100,122
Class H, 6.42% 7/14/20 (f)(h)		100,000		100,122
Commercial Mortgage Securities - continued
		Principal Amount		Value
Banc of America Large Loan, Inc.: - continued
Series 2006-ESH:
Class A, 6.18% 7/14/11 (f)(h)		$ 212,580		$ 212,612
Class B, 6.28% 7/14/11 (f)(h)		106,007		105,941
Class C, 6.43% 7/14/11 (f)(h)		212,297		212,328
Class D, 7.06% 7/14/11 (f)(h)		123,385		123,563
Bayview Commercial Asset Trust floater:
Series 2004-1 Class A, 5.68% 4/25/34 (f)(h)		234,420		234,896
Series 2004-2 Class A, 5.75% 8/25/34 (f)(h)		278,987		280,033
Series 2004-3:
Class A1, 5.69% 1/25/35 (f)(h)		261,216		261,951
Class A2, 5.74% 1/25/35 (f)(h)		37,317		37,433
Class M1, 5.82% 1/25/35 (f)(h)		37,317		37,445
Class M2, 6.32% 1/25/35 (f)(h)		37,317		37,649
Citigroup Commercial Mortgage Trust Series 2006-FL2:
Class CNP3, 6.52% 8/16/21 (f)(h)		5,182,308		5,182,308
Class HFL, 6.27% 8/16/21 (f)(h)		400,000		400,000
COMM floater Series 2002-FL7 Class D, 5.89% 11/15/14 (f)(h)		28,571		28,672
Commercial Mortgage Acceptance Corp. Series 1998-C1 Class G, 6.21% 7/15/31 (f)		500,000		526,170
Commercial Mortgage Asset Trust Series 1999-C1 Class F, 6.25% 1/17/32 (f)		500,000		528,755
Commercial Mortgage pass thru certificates Series 2001-J1A Class G, 6.9883% 2/14/34 (f)(h)		500,000		536,171
Credit Suisse First Boston Mortgage Securities Corp.:
Series 1997-C2 Class F, 7.46% 1/17/35 (h)		500,000		557,721
Series 2003-C3 Class J, 4.231% 5/15/38 (f)		300,000		276,466
First Chicago/Lennar Trust I weighted average coupon Series 1997-CHL1 Class E, 7.6262% 4/29/39 (f)(h)		372,993		379,054
Ginnie Mae guaranteed REMIC pass thru securities sequential pay Series 2003-47 Class C, 4.227% 10/16/27		5,917,115		5,802,838
Global Signal Trust III Series 2006-1 Class F, 7.036% 2/15/36 (f)		200,000		203,315
GMAC Commercial Mortgage Securities, Inc.:
Series 1999-C1 Class F, 6.02% 5/15/33 (f)		500,000		513,704
Series 2003-J10 Class B2, 6.75% 4/15/29 (h)		500,000		516,250
Greenwich Capital Commercial Funding Corp. Series 2003-C2 Class J, 5.234% 11/5/13 (f)(h)		250,000		247,377
GS Mortgage Securities Corp. II:
floater Series 2006-FL8A Class J, 7.07% 6/6/20 (f)(h)		250,000		250,156
Series 1998-GLII Class G, 6.9706% 4/13/31 (f)(h)		500,000		531,420
Commercial Mortgage Securities - continued
		Principal Amount		Value
GS Mortgage Securities Corp. II: - continued
Series 2006-RR2:
Class M, 5.689% 6/1/46 (f)(h)		$ 100,000		$ 81,436
Class N, 5.689% 6/1/46 (f)(h)		100,000		74,342
Guggenheim Structure Real Estate Funding Ltd. floater Series 2006-3 Class E, 6.97% 9/25/46 (f)(h)		250,000		250,000
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA Class SFL, 6.57% 9/15/21 (f)(h)		500,000		500,000
Merrill Lynch Mortgage Trust Series 2006-KEY2 Class L, 5.091% 8/12/39 (f)		300,000		273,425
Newcastle CDO VIII floater Series 2006-8A Class 10, 7.5824% 11/1/52 (f)(h)		250,000		249,996
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f)		353,175		478,464
Real Estate Asset Liquidity Trust Series 2006-2:
Class F, 4.456% 4/12/17 (k)	CAD	107,000		79,546
Class G, 4.456% 4/12/17 (k)	CAD	54,000		38,969
Class H, 4.456% 4/12/17 (k)	CAD	36,000		22,698
Class J, 4.456% 4/12/17 (k)	CAD	36,000		21,041
Class K, 4.456% 4/12/18 (k)	CAD	18,000		9,308
Class L, 4.456% 4/12/18 (k)	CAD	26,000		12,950
Class M, 4.456% 4/12/18 (k)	CAD	130,000		42,087
ROCK 1 CRE CDO LLC floater Series 2006-1A Class H, 6.67625% 12/15/26 (g)(h)		185,000		185,000
SBA CMBS Trust Series 2006-1A Class J, 7.825% 11/15/36 (f)		90,000		91,013
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $22,772,301)			23,051,223
Foreign Government and Government Agency Obligations - 1.6%

Argentine Republic:
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33		502,851		510,897
5.589% 8/3/12 (h)		1,938,750		1,809,472
7% 3/28/11		1,250,000		1,226,458
7% 9/12/13		805,000		764,057
Brazilian Federative Republic:
8% 1/15/18		191,000		212,965
8.25% 1/20/34		310,000		371,225
8.75% 2/4/25		280,000		343,700
10.5% 7/14/14		140,000		178,150
Foreign Government and Government Agency Obligations - continued
		Principal Amount		Value
Brazilian Federative Republic: - continued
11% 8/17/40		$ 1,370,000		$ 1,821,415
12.25% 3/6/30		470,000		773,150
12.75% 1/15/20		290,000		450,950
Central Bank of Nigeria promissory note 5.092% 1/5/10		260,895		249,266
City of Kiev 8.75% 8/8/08		100,000		103,750
Colombian Republic 11.75% 2/25/20		247,000		353,828
Dominican Republic:
Brady 6.2725% 8/30/09 (h)		77,490		77,374
6.1875% 8/30/24 (h)		1,250,000		1,242,188
9.04% 1/23/18 (f)		54,649		62,655
9.5% 9/27/11		708,111		762,636
Ecuador Republic:
10% 8/15/30 (Reg. S)		1,345,000		1,254,213
12% 11/15/12 (Reg. S)		244,800		241,128
euro par 5% 2/28/25		153,000		113,985
Indonesian Republic:
6.75% 3/10/14		925,000		959,688
7.25% 4/20/15 (f)		60,000		64,128
7.25% 4/20/15		275,000		293,920
Islamic Republic of Pakistan 7.125% 3/31/16 (f)		300,000		310,500
Lebanese Rep Medical Term Nts Regs 7.875% 5/20/11		515,000		511,138
Lebanon, Republic of:
7.125% 3/5/10		50,000		47,500
8.6044% 11/30/09 (f)(h)		105,000		103,425
8.6044% 11/30/09 (h)		1,400,000		1,379,000
Pakistan International Sukuk Co. Ltd. 7.76% 1/27/10 (h)		500,000		517,500
Peruvian Republic:
6.25% 3/7/27 (h)		340,000		333,200
7.35% 7/21/25		375,000		413,438
euro Brady past due interest 5% 3/7/17 (h)		1,132,400		1,121,076
Philippine Republic:
5.3203% 12/1/09 (h)		23,800		23,800
8.25% 1/15/14		1,105,000		1,234,838
8.375% 2/15/11		365,000		398,325
8.875% 3/17/15		150,000		175,320
9% 2/15/13		630,000		722,925
9.875% 1/15/19		845,000		1,087,938
10.625% 3/16/25		665,000		937,650
Republic of Iraq 5.8% 1/15/28 (f)		500,000		327,500
Foreign Government and Government Agency Obligations - continued
		Principal Amount		Value
Russian Federation:
5% 3/31/30 (Reg. S) (d)		$ 2,977,000		$ 3,386,338
12.75% 6/24/28 (Reg. S)		590,000		1,074,538
State of Qatar 9.75% 6/15/30 (Reg. S)		75,000		114,000
Turkish Republic:
7% 9/26/16		555,000		559,856
7.375% 2/5/25		210,000		212,888
11% 1/14/13		1,240,000		1,515,280
11.75% 6/15/10		1,375,000		1,621,813
11.875% 1/15/30		950,000		1,447,563
Ukraine Cabinet of Ministers 6.58% 11/21/16 (f)		225,000		224,827
Ukraine Government:
6.875% 3/4/11		450,000		461,790
8.9025% 8/5/09 (h)		1,000,000		1,059,000
United Mexican States:
6.75% 9/27/34		3,790,000		4,131,100
7.5% 4/8/33		605,000		716,925
8.3% 8/15/31		665,000		854,525
11.5% 5/15/26		50,000		80,750
Uruguay Republic 8% 11/18/22		721,000		803,915
Venezuelan Republic:
5.375% 8/7/10		265,000		258,640
6% 12/9/20		220,000		200,750
6.3738% 4/20/11 (h)		820,000		815,900
7% 12/1/18 (Reg. S)		220,000		221,100
7.65% 4/21/25		300,000		315,450
9.25% 9/15/27		385,000		479,710
9.375% 1/13/34		335,000		424,445
10.75% 9/19/13		590,000		727,175
13.625% 8/15/18		578,000		864,110
euro Brady FLIRB B 6.25% 3/31/07 (h)		11,900		11,900
Vietnamese Socialist Republic Brady par 3.75% 3/12/28 (d)		90,000		77,288
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $43,974,064)			46,547,847
Floating Rate Loans - 0.1%
		Principal Amount		Value
CONSUMER DISCRETIONARY - 0.0%
Specialty Retail - 0.0%
The Pep Boys - Manny, Moe & Jack term loan 8.12% 10/27/13 (h)		$ 10,000		$ 10,075
Toys 'R' US, Inc. term loan 8.32% 12/9/08 (h)		500,000		500,625
				510,700
FINANCIALS - 0.1%
Diversified Financial Services - 0.0%
Landsource Communication Development LLC Tranche B, term loan 7.875% 3/31/10 (h)		117,000		115,245
Real Estate Investment Trusts - 0.1%
Capital Automotive (REIT) Tranche B, term loan 7.07% 12/16/10 (h)		250,000		250,625
General Growth Properties, Inc. Tranche A1, term loan 6.57% 2/24/10 (h)		250,000		248,438
				499,063
TOTAL FINANCIALS				614,308
INDUSTRIALS - 0.0%
Airlines - 0.0%
Delta Air Lines, Inc. Tranche C, term loan 12.8681% 3/16/08 (h)		300,000		308,250
TOTAL FLOATING RATE LOANS (Cost $1,428,350)			1,433,258
Sovereign Loan Participations - 0.0%

Indonesian Republic loan participation:
- Credit Suisse First Boston 6.25% 3/28/13 (h)		104,268		101,662
- Deutsche Bank 6.25% 3/28/13 (h)		12,922		12,599
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $103,187)			114,261
Fixed-Income Funds - 54.3%
		Shares
Fidelity 1-3 Year Duration Securitized Bond Central Fund (i)		1,465,596		146,691,495
Fidelity 2-5 Year Duration Securitized Bond Central Fund (i)		1,644,065		165,623,066
Fidelity Corporate Bond 1-10 Year Central Fund (i)		4,048,762		409,248,836
Fidelity Floating Rate Central Fund (i)		1,165,536		117,066,436
Fixed-Income Funds - continued
		Shares		Value
Fidelity Mortgage Backed Securities Central Fund (i)		3,659,683		$ 367,395,562
Fidelity Ultra-Short Central Fund (i)		4,161,697		414,088,815
TOTAL FIXED-INCOME FUNDS (Cost $1,598,670,421)			1,620,114,210
Cash Equivalents - 14.2%
		Maturity Amount
Investments in repurchase agreements in a joint trading account at:
5.32%, dated 11/30/06 due 12/1/06 (Collateralized by U.S. Government Obligations) #		$ 322,410,657		322,363,000
5.33%, dated 11/30/06 due 12/1/06 (Collateralized by U.S. Government Obligations) # (a)		101,195,980		101,181,000
TOTAL CASH EQUIVALENTS (Cost $423,544,000)			423,544,000
TOTAL INVESTMENT PORTFOLIO - 116.2% (Cost $3,401,137,158)				3,464,467,616
NET OTHER ASSETS - (16.2)%				(482,872,902)
NET ASSETS - 100%			$ 2,981,594,714

Swap Agreements
	Expiration Date	Notional Amount	Value
Credit Default Swaps
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34	Oct. 2034	$ 134,000	1,519
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.8244% 8/25/34	Sept. 2034	134,000	1,228
Swap Agreements - continued
	Expiration Date	Notional Amount	Value
Credit Default Swaps - continued
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7, Class B3, 7.6913% 7/25/34	August 2034	$ 134,000	$ 1,294
Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34	August 2034	134,000	504
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34	Nov. 2034	134,000	492
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34	Oct. 2034	134,000	996
Receive monthly notional amount multiplied by 1.6% 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 M7, 5.4413% 5/25/35	June 2035	100,000	(426)
Receive monthly notional amount multiplied by 1.66% 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 M7, 5.4413% 5/25/35	June 2035	134,000	(390)
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	134,482	(508)
Swap Agreements - continued
	Expiration Date	Notional Amount	Value
Credit Default Swaps - continued
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	$ 93,286	$ (174)
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32	April 2032	16,887	101
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33	May 2033	134,000	1,421
TOTAL CREDIT DEFAULT SWAPS		1,416,655	6,057
Interest Rate Swaps
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	March 2010	1,250,000	(19,589)
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	March 2015	1,250,000	(10,279)
Receive quarterly a fixed rate equal to 4.898% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.	July 2014	1,135,000	1,977
Receive semi-annually a fixed rate equal to 4.7515% and pay quarterly a floating rate based on 3-month LIBOR with UBS	Jan. 2009	15,000,000	106,224
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank	April 2011	20,000,000	328,326
Receive semi-annually a fixed rate equal to 5.375% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank	April 2009	30,000,000	305,736
Swap Agreements - continued
	Expiration Date	Notional Amount	Value
Interest Rate Swaps - continued
Receive semi-annually a fixed rate equal to 5.636% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank	July 2009	$ 100,000,000	$ 3,249,040
Receive semi-annually a fixed rate equal to 5.6485% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank	July 2010	100,000,000	4,057,680
TOTAL INTEREST RATE SWAPS		268,635,000	8,019,115
Total Return Swaps
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Lehman Brothers, Inc.	Jan. 2007	40,000,000	315,459
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 7.5 basis points with Lehman Brothers, Inc.	Feb. 2007	2,000,000	15,565
TOTAL TOTAL RETURN SWAPS		42,000,000	331,024
		$ 312,051,655	$ 8,356,196

Currency Abbreviation
CAD	-	Canadian dollar

Legend

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

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

(c) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

(d) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

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

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $85,507,419 or 2.9% of net assets.

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

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

(i) 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.

(j) 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.

(k) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $226,597
or 0.0% of net assets.

Additional information on each holding is as follows:

Security	Acquisition Date	Acquisition Cost
Real Estate Asset Liquidity Trust:
Series 2006-2 Class F, 4.456% 4/12/17	10/2/06	$ 80,777
Series 2006-2 Class G, 4.456% 4/12/17	10/2/06	$ 39,498
Series 2006-2 Class H, 4.456% 4/12/17	10/2/06	$ 22,997
Series 2006-2 Class J, 4.456% 4/12/17	10/2/06	$ 21,304
Series 2006-2 Class K, 4.456% 4/12/18	10/2/06	$ 9,417
Series 2006-2 Class L, 4.456% 4/12/18	10/2/06	$ 13,077
Series 2006-2 Class M, 4.456% 4/12/18	10/2/06	$ 43,033

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

Repurchase Agreement / Counterparty	Value
$322,363,000 due 12/01/06 at 5.32%
ABN AMRO Bank N.V., New York Branch	$ 11,702,667
BNP Paribas Securities Corp.	3,315,756
Banc of America Securities LLC	101,884,045
Bank of America, NA	19,504,446
Barclays Capital, Inc.	90,838,132
Citigroup Global Markets, Inc.	23,405,335
Countrywide Securities Corp.	26,852,394
Societe Generale, New York Branch	7,801,778
UBS Securities LLC	31,207,113
WestLB AG	5,851,334
	$ 322,363,000
$101,181,000 due 12/01/06 at 5.33%
Countrywide Securities Corp.	$ 101,181,000

Affiliated Central Funds

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

Fund	Income earned
Fidelity 1-3 Year Duration Securitized Bond Central Fund	$ 1,115,618
Fidelity 2-5 Year Duration Securitized Bond Central Fund	714,540
Fidelity Corporate Bond 1-10 Year Central Fund	1,414,887
Fidelity Floating Rate Central Fund	1,782,701
Fidelity Mortgage Backed Securities Central Fund	223,225
Fidelity Ultra-Short Central Fund	5,785,244
Total	$ 11,036,215

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

Fund	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity 1-3 Year Duration Securitized Bond Central Fund	$ -	$ 146,504,007*	$ -	$ 146,691,495	6.8%
Fidelity 2-5 Year Duration Securitizied Bond Central Fund	-	164,446,996*	-	165,623,066	6.5%
Fidelity Corporate Bond 1-10 Year Central Fund	-	405,231,150*	-	409,248,836	6.0%
Fidelity Floating Rate Central Fund	66,958,885	50,000,056	-	117,066,436	6.6%
Fidelity Mortgage Backed Securities Central Fund	-	365,968,286*	-	367,395,562	5.1%
Fidelity Ultra-Short Central Fund	414,088,852	-	-	414,088,815	3.6%
Total	$ 481,047,737	$ 1,132,150,495	$ -	$ 1,620,114,210

* Includes the value of shares received through in-kind contributions.

Income Tax Information

At November 30, 2006, the aggregate cost of investment securities for income tax purposes was $3,400,887,080. Net unrealized appreciation aggregated $63,580,536, of which $65,136,942 related to appreciated investment securities and $1,556,406 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. 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.

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

Quarterly Report

Quarterly Holdings Report

for

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

November 30, 2006

1.809539.102

ATB-QTLY-0107

Investments November 30, 2006 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 10.8%
		Principal Amount		Value
Convertible Bonds - 0.0%
FINANCIALS - 0.0%
Real Estate Investment Trusts - 0.0%
American Financial Realty Trust 4.375% 7/15/24		$ 50,000		$ 47,312
Nonconvertible Bonds - 10.8%
CONSUMER DISCRETIONARY - 2.1%
Auto Components - 0.1%
Affinia Group, Inc. 9% 11/30/14		100,000		98,000
Goodyear Tire & Rubber Co.:
8.625% 12/1/11 (f)		120,000		121,800
9% 7/1/15		500,000		512,500
Tenneco, Inc. 8.625% 11/15/14		555,000		564,713
TRW Automotive Acquisition Corp. 9.375% 2/15/13		87,000		93,308
Visteon Corp. 7% 3/10/14		690,000		607,200
				1,997,521
Automobiles - 0.1%
General Motors Corp.:
6.375% 5/1/08		800,000		791,000
8.25% 7/15/23		800,000		729,000
				1,520,000
Diversified Consumer Services - 0.1%
Affinion Group, Inc. 11.5% 10/15/15		340,000		358,700
Carriage Services, Inc. 7.875% 1/15/15		650,000		627,250
Education Management LLC/Education Management Finance Corp.:
8.75% 6/1/14 (f)		300,000		309,750
10.25% 6/1/16 (f)		300,000		317,250
Service Corp. International:
6.5% 3/15/08		75,000		75,000
6.75% 4/1/16		1,205,000		1,183,913
7.375% 10/1/14		300,000		312,000
7.625% 10/1/18		220,000		229,900
				3,413,763
Hotels, Restaurants & Leisure - 0.4%
Carrols Corp. 9% 1/15/13		105,000		107,100
Chukchansi Economic Development Authority 8% 11/15/13 (f)		200,000		206,500
Felcor Lodging LP 9% 6/1/11 (h)		150,000		159,375
Festival Fun Parks LLC 10.875% 4/15/14		250,000		248,125
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Hotels, Restaurants & Leisure - continued
Gaylord Entertainment Co.:
6.75% 11/15/14		$ 1,050,000		$ 1,015,875
8% 11/15/13		225,000		230,625
Herbst Gaming, Inc.:
7% 11/15/14		250,000		240,000
8.125% 6/1/12		70,000		71,400
Host Marriott LP:
6.375% 3/15/15		250,000		245,313
6.75% 6/1/16		100,000		100,375
7.125% 11/1/13		35,000		35,744
ITT Corp. 7.375% 11/15/15		250,000		256,875
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14		2,385,000		2,301,525
MGM Mirage, Inc.:
6% 10/1/09		50,000		49,875
6.75% 9/1/12		500,000		492,500
6.875% 4/1/16		135,000		130,444
8.375% 2/1/11		180,000		187,650
Mohegan Tribal Gaming Authority 7.125% 8/15/14		40,000		40,350
MTR Gaming Group, Inc. 9.75% 4/1/10		385,000		406,175
Penn National Gaming, Inc. 6.875% 12/1/11		80,000		80,400
Resorts International Hotel & Casino, Inc. 11.5% 3/15/09		225,000		228,375
San Pasqual Casino Development Group, Inc. 8% 9/15/13 (f)		30,000		30,675
Seneca Gaming Corp.:
Series B, 7.25% 5/1/12		70,000		70,263
7.25% 5/1/12		350,000		351,313
Six Flags, Inc.:
8.875% 2/1/10		400,000		383,500
9.625% 6/1/14		995,000		905,450
9.75% 4/15/13		55,000		50,600
Speedway Motorsports, Inc. 6.75% 6/1/13		100,000		99,875
Starwood Hotels & Resorts Worldwide, Inc. 7.875% 5/1/12		250,000		264,885
Station Casinos, Inc.:
6.5% 2/1/14		40,000		37,150
6.625% 3/15/18		50,000		45,500
6.875% 3/1/16		305,000		284,794
Town Sports International, Inc. 9.625% 4/15/11		106,000		111,565
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Hotels, Restaurants & Leisure - continued
Vail Resorts, Inc. 6.75% 2/15/14		$ 310,000		$ 306,513
Virgin River Casino Corp./RBG LLC/B&BB, Inc.:
0% 1/15/13 (c)		40,000		27,600
9% 1/15/12		280,000		288,400
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (f)		40,000		42,400
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625% 12/1/14		1,060,000		1,044,100
				11,179,184
Household Durables - 0.0%
Goodman Global Holdings, Inc. 7.875% 12/15/12		480,000		466,800
K. Hovnanian Enterprises, Inc.:
6.25% 1/15/15		50,000		47,125
6.5% 1/15/14		100,000		96,130
8.875% 4/1/12		10,000		10,000
KB Home 7.25% 6/15/18		100,000		98,375
Sealy Mattress Co. 8.25% 6/15/14		50,000		51,750
Technical Olympic USA, Inc. 8.25% 4/1/11 (f)		200,000		189,000
Urbi, Desarrollos Urbanos, SA de CV 8.5% 4/19/16 (f)		290,000		308,488
WCI Communities, Inc. 9.125% 5/1/12		35,000		33,600
				1,301,268
Leisure Equipment & Products - 0.0%
Riddell Bell Holdings, Inc. 8.375% 10/1/12		500,000		480,000
Media - 1.2%
AOL Time Warner, Inc. 7.625% 4/15/31		500,000		572,910
Cablemas SA de CV 9.375% 11/15/15		100,000		107,250
Cablevision Systems Corp.:
8% 4/15/12		340,000		334,900
9.87% 4/1/09 (h)		340,000		355,300
Charter Communications Holdings I LLC 9.92% 4/1/14		165,000		135,300
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15		290,000		282,750
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.:
10.25% 9/15/10		615,000		641,138
10.25% 9/15/10		100,000		104,125
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - continued
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8.375% 4/30/14 (f)		$ 370,000		$ 383,875
Cinemark, Inc. 0% 3/15/14 (c)		100,000		82,500
Comcast Corp. 6.45% 3/15/37		7,845,000		8,076,749
Cox Communications, Inc. 6.45% 12/1/36 (f)		2,730,000		2,751,717
CSC Holdings, Inc.:
7.25% 4/15/12 (f)(h)		460,000		450,800
8.125% 7/15/09		365,000		377,319
Dex Media, Inc.:
0% 11/15/13 (c)		95,000		84,075
0% 11/15/13 (c)		5,000		4,425
8% 11/15/13		260,000		265,850
EchoStar Communications Corp.:
6.375% 10/1/11		450,000		446,625
6.625% 10/1/14		400,000		388,000
7.125% 2/1/16		750,000		743,475
Globo Communicacoes e Partcipacoes LTDA 9.375%		1,190,000		1,204,875
Houghton Mifflin Co.:
0% 10/15/13 (c)		450,000		428,625
8.25% 2/1/11		500,000		515,000
9.875% 2/1/13		445,000		480,600
Insight Midwest LP/Insight Capital, Inc. 9.75% 10/1/09		52,000		52,780
Liberty Media Corp.:
5.7% 5/15/13		450,000		427,500
8.5% 7/15/29		630,000		649,144
LodgeNet Entertainment Corp. 9.5% 6/15/13		440,000		474,100
Net Servicos de Communicacao SA 9.25% 12/31/49 (f)		280,000		281,750
News America Holdings, Inc. 7.75% 12/1/45		170,000		200,812
News America, Inc. 6.2% 12/15/34		5,330,000		5,315,806
Nexstar Broadcasting, Inc. 7% 1/15/14		700,000		652,750
Nielsen Finance LLC/Co.:
0% 8/1/16 (c)(f)		300,000		199,125
10% 8/1/14 (f)		400,000		424,000
PanAmSat Corp.:
6.375% 1/15/08		200,000		200,000
9% 8/15/14		84,000		88,200
Paxson Communications Corp.:
8.6238% 1/15/12 (f)(h)		700,000		710,500
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - continued
Paxson Communications Corp.: - continued
11.6238% 1/15/13 (f)(h)		$ 400,000		$ 404,000
Quebecor Media, Inc. 7.75% 3/15/16		450,000		454,500
Rainbow National LLC & RNS Co. Corp.:
8.75% 9/1/12 (f)		280,000		293,300
10.375% 9/1/14 (f)		30,000		33,375
The Reader's Digest Association, Inc. 6.5% 3/1/11		815,000		835,375
Time Warner Entertainment Co. LP 8.375% 7/15/33		1,000,000		1,241,579
Time Warner, Inc. 6.625% 5/15/29		4,415,000		4,579,980
Visant Holding Corp. 8.75% 12/1/13		450,000		461,250
				37,198,009
Multiline Retail - 0.0%
Neiman Marcus Group, Inc. 9% 10/15/15		100,000		108,130
Specialty Retail - 0.1%
Asbury Automotive Group, Inc.:
8% 3/15/14		60,000		60,300
9% 6/15/12		265,000		274,275
AutoNation, Inc. 7% 4/15/14		50,000		50,063
GSC Holdings Corp./Gamestop, Inc. 8% 10/1/12		920,000		956,800
Michaels Stores, Inc. 10% 11/1/14 (f)		300,000		306,375
Nebraska Book Co., Inc. 8.625% 3/15/12		90,000		85,725
Sally Holdings LLC:
9.25% 11/15/14 (f)		160,000		163,200
10.5% 11/15/16 (f)		230,000		235,175
Sonic Automotive, Inc. 8.625% 8/15/13		1,265,000		1,296,625
United Auto Group, Inc. 9.625% 3/15/12		50,000		52,563
				3,481,101
Textiles, Apparel & Luxury Goods - 0.1%
Jostens IH Corp. 7.625% 10/1/12		190,000		191,900
Levi Strauss & Co.:
8.875% 4/1/16		100,000		102,250
9.75% 1/15/15		180,000		192,150
10.1216% 4/1/12 (h)		320,000		328,800
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Textiles, Apparel & Luxury Goods - continued
Levi Strauss & Co.: - continued
12.25% 12/15/12		$ 315,000		$ 351,225
Warnaco, Inc. 8.875% 6/15/13		300,000		317,250
				1,483,575
TOTAL CONSUMER DISCRETIONARY				62,162,551
CONSUMER STAPLES - 0.1%
Food & Staples Retailing - 0.0%
Albertsons, Inc.:
7.45% 8/1/29		250,000		245,120
7.75% 6/15/26		210,000		210,743
Southern States Cooperative, Inc. 10.5% 11/1/10 (f)		365,000		384,163
Stater Brothers Holdings, Inc. 8.125% 6/15/12		330,000		333,300
SUPERVALU, Inc. 7.5% 11/15/14		510,000		520,838
				1,694,164
Food Products - 0.1%
Bertin Ltda 10.25% 10/5/16 (f)		205,000		214,225
Gruma SA de CV 7.75%		300,000		309,000
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11		370,000		388,500
NPI Merger Corp. 9.4% 10/15/13 (f)(h)		20,000		20,600
Pierre Foods, Inc. 9.875% 7/15/12		540,000		552,150
Swift & Co.:
10.125% 10/1/09		350,000		360,500
12.5% 1/1/10		80,000		81,400
				1,926,375
Personal Products - 0.0%
Revlon Consumer Products Corp. 9.5% 4/1/11		100,000		93,375
TOTAL CONSUMER STAPLES				3,713,914
ENERGY - 1.0%
Energy Equipment & Services - 0.0%
Complete Production Services, Inc. 8% 12/15/16 (f)		470,000		474,700
Hanover Compressor Co.:
7.5% 4/15/13		480,000		481,200
8.625% 12/15/10		20,000		20,800
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
ENERGY - continued
Energy Equipment & Services - continued
Hanover Equipment Trust 8.75% 9/1/11		$ 50,000		$ 52,188
Universal Compression, Inc. 7.25% 5/15/10		290,000		290,725
				1,319,613
Oil, Gas & Consumable Fuels - 1.0%
ANR Pipeline, Inc. 9.625% 11/1/21		350,000		455,000
Arch Western Finance LLC 6.75% 7/1/13		350,000		344,313
Atlas Pipeline Partners LP 8.125% 12/15/15		290,000		295,800
Berry Petroleum Co. 8.25% 11/1/16		320,000		320,000
Chaparral Energy, Inc. 8.5% 12/1/15		530,000		528,675
Chesapeake Energy Corp.:
6.5% 8/15/17		300,000		286,125
6.625% 1/15/16		225,000		221,625
6.875% 1/15/16		350,000		349,563
7.5% 9/15/13		300,000		309,000
7.625% 7/15/13		200,000		208,000
7.75% 1/15/15		430,000		442,900
Colorado Interstate Gas Co.:
5.95% 3/15/15		510,000		496,613
6.8% 11/15/15		80,000		82,400
Drummond Co., Inc. 7.375% 2/15/16 (f)		630,000		607,950
Duke Capital LLC 6.75% 2/15/32		1,195,000		1,313,513
Duke Energy Field Services 6.45% 11/3/36 (f)		2,400,000		2,552,254
El Paso Corp.:
6.375% 2/1/09		455,000		460,442
6.5% 6/1/08		400,000		402,512
6.7% 2/15/27		65,000		64,903
7.75% 6/15/10		850,000		891,395
7.875% 6/15/12		1,500,000		1,567,500
El Paso Energy Corp.:
7.375% 12/15/12		5,000		5,125
7.75% 1/15/32		15,000		16,098
8.05% 10/15/30		95,000		101,888
El Paso Production Holding Co. 7.75% 6/1/13		390,000		398,775
Foundation Pennsylvania Coal Co. 7.25% 8/1/14		50,000		49,500
Giant Industries, Inc. 8% 5/15/14		130,000		140,888
Massey Energy Co.:
6.625% 11/15/10		40,000		40,000
6.875% 12/15/13		485,000		451,050
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (f)		$ 240,000		$ 242,252
Newfield Exploration Co. 6.625% 9/1/14		90,000		89,550
Nexen, Inc. 5.875% 3/10/35		600,000		580,207
Northwest Pipeline Corp. 7% 6/15/16		300,000		307,500
Overseas Shipholding Group, Inc.:
7.5% 2/15/24		55,000		55,000
8.25% 3/15/13		390,000		410,475
Pan American Energy LLC 7.75% 2/9/12 (f)		555,000		564,713
Pemex Project Funding Master Trust:
7.75%		1,468,000		1,523,050
8.625% 2/1/22		300,000		371,250
Petrobras Energia SA 9.375% 10/30/13		55,000		61,875
Petrohawk Energy Corp. 9.125% 7/15/13		1,270,000		1,317,625
Petrozuata Finance, Inc.:
7.63% 4/1/09 (f)		411,541		409,998
8.22% 4/1/17 (f)		450,000		443,250
Plains All American Pipeline LP 6.65% 1/15/37 (f)		3,055,000		3,205,880
Range Resources Corp.:
6.375% 3/15/15 (Reg. S)		390,000		376,350
7.375% 7/15/13		440,000		445,500
Ras Laffan LNG III 6.332% 9/30/27 (f)		1,840,000		1,935,054
Ship Finance International Ltd. 8.5% 12/15/13		330,000		325,875
Southern Star Central Corp. 6.75% 3/1/16		60,000		60,180
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 (f)		440,000		444,400
Teekay Shipping Corp. 8.875% 7/15/11		30,000		32,100
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16		100,000		100,000
Williams Co., Inc. Credit Linked Certificate Trust III 6.75% 4/15/09 (f)		215,000		217,688
Williams Companies, Inc.:
7.125% 9/1/11		255,000		263,925
7.625% 7/15/19		30,000		31,800
7.875% 9/1/21		35,000		37,406
8.125% 3/15/12		280,000		301,350
8.75% 3/15/32		165,000		185,625
Williams Partners LP/Williams Partners Finance Corp. 7.5% 6/15/11 (f)		100,000		102,625
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
YPF SA:
10% 11/2/28		$ 125,000		$ 148,906
yankee 9.125% 2/24/09		275,000		290,125
				28,285,341
TOTAL ENERGY				29,604,954
FINANCIALS - 2.2%
Capital Markets - 0.3%
E*TRADE Financial Corp.:
7.375% 9/15/13		440,000		453,200
7.875% 12/1/15		400,000		426,000
8% 6/15/11		815,000		847,600
JPMorgan Chase Capital XX 6.55% 9/29/36		6,015,000		6,348,917
				8,075,717
Commercial Banks - 0.4%
Banco Nacional de Desenvolvimento Economico e Social 5.727% 6/16/08 (h)		1,025,000		1,013,469
Bank of America NA 6% 10/15/36		3,125,000		3,309,878
Development Bank of Philippines 8.375% 12/31/49 (h)		200,000		210,500
Dresdner Bank AG 10.375% 8/17/09 (f)		1,050,000		1,144,500
HSBC Holdings PLC 6.5% 5/2/36		500,000		554,399
KeyCorp Capital Trust VII 5.7% 6/15/35		4,340,000		4,196,988
Kyivstar GSM 7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (f)		100,000		103,500
UBS Luxembourg SA:
8% 2/11/10		660,000		682,275
8.25% 5/23/16		220,000		228,800
Vimpel Communications 10% 6/16/09 (Issued by UBS Luxembourg SA for Vimpel Communications)		400,000		431,600
				11,875,909
Consumer Finance - 0.3%
Ford Motor Credit Co.:
5.7% 1/15/10		190,000		180,923
6.625% 6/16/08		840,000		835,313
7% 10/1/13		1,050,000		1,000,125
8.625% 11/1/10		900,000		925,012
9.8238% 4/15/12 (h)		1,000,000		1,060,000
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
FINANCIALS - continued
Consumer Finance - continued
Ford Motor Credit Co.: - continued
9.875% 8/10/11		$ 300,000		$ 320,957
General Motors Acceptance Corp.:
6.125% 2/1/07		600,000		600,250
6.75% 12/1/14		1,135,000		1,157,700
6.875% 9/15/11		950,000		973,750
8% 11/1/31		1,300,000		1,449,500
Triad Acquisition Corp. 11.125% 5/1/13		55,000		51,013
				8,554,543
Diversified Financial Services - 0.9%
BAC Capital Trust XI 6.625% 5/23/36		6,650,000		7,368,692
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13		320,000		327,600
Citigroup, Inc. 6.125% 8/25/36		8,375,000		8,994,482
El Paso Performance-Linked Trust 7.75% 7/15/11 (f)		500,000		517,500
JPMorgan Chase Capital XVII 5.85% 8/1/35		7,405,000		7,352,417
TMK Capital 8.5% 9/29/09		300,000		307,890
Universal City Florida Holding Co. I/II 8.375% 5/1/10		1,010,000		1,027,675
				25,896,256
Insurance - 0.0%
UnumProvident Corp. 7.625% 3/1/11		77,000		82,799
Real Estate Investment Trusts - 0.1%
HMB Capital Trust V 8.99% 12/15/36 (f)(h)		270,000		261,900
Host Hotels & Resorts LP 6.875% 11/1/14 (f)		460,000		465,750
iStar Financial, Inc. 5.95% 10/15/13 (f)		300,000		305,568
Omega Healthcare Investors, Inc.:
7% 4/1/14		870,000		872,175
7% 1/15/16		400,000		398,500
Senior Housing Properties Trust:
7.875% 4/15/15		613,000		639,053
8.625% 1/15/12		500,000		541,250
The Rouse Co. 5.375% 11/26/13		100,000		94,196
Thornburg Mortgage, Inc. 8% 5/15/13		100,000		99,000
Ventas Realty LP:
6.5% 6/1/16		150,000		151,125
6.625% 10/15/14		865,000		874,731
6.75% 4/1/17		310,000		315,038
				5,018,286
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Management & Development - 0.2%
American Real Estate Partners/American Real Estate Finance Corp.:
7.125% 2/15/13		$ 915,000		$ 915,000
8.125% 6/1/12		485,000		500,763
CB Richard Ellis Services, Inc. 9.75% 5/15/10		10,000		10,675
EOP Operating LP:
7.25% 6/15/28		129,000		159,917
7.5% 4/19/29		2,641,000		3,372,264
7.875% 7/15/31		157,000		210,347
Forest City Enterprises, Inc. 7.625% 6/1/15		100,000		102,000
				5,270,966
Thrifts & Mortgage Finance - 0.0%
Residential Capital Corp. 6.375% 6/30/10		45,000		46,073
Saxon Capital, Inc. 12% 5/1/14 (f)		125,000		166,250
				212,323
TOTAL FINANCIALS				64,986,799
HEALTH CARE - 0.3%
Health Care Providers & Services - 0.3%
AmeriPath, Inc. 10.5% 4/1/13		80,000		86,400
AMR HoldCo, Inc./EmCare HoldCo, Inc. 10% 2/15/15		310,000		334,025
Community Health Systems, Inc. 6.5% 12/15/12		80,000		77,000
Concentra Operating Corp.:
9.125% 6/1/12		10,000		10,488
9.5% 8/15/10		110,000		115,368
CRC Health Group, Inc. 10.75% 2/1/16		350,000		371,000
DaVita, Inc.:
6.625% 3/15/13		290,000		287,100
7.25% 3/15/15		615,000		616,538
HCA, Inc.:
9.125% 11/15/14 (f)		440,000		459,250
9.25% 11/15/16 (f)		860,000		898,700
9.625% 11/15/16 pay-in-kind (f)		290,000		303,775
HealthSouth Corp. 10.75% 6/15/16 (f)		300,000		319,500
IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14		350,000		346,500
Multiplan, Inc. 10.375% 4/15/16 (f)		600,000		600,000
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
HEALTH CARE - continued
Health Care Providers & Services - continued
ResCare, Inc. 7.75% 10/15/13		$ 490,000		$ 493,675
Rural/Metro Corp.:
0% 3/15/16 (c)		150,000		116,250
9.875% 3/15/15		180,000		187,200
Skilled Healthcare Group, Inc. 11% 1/15/14 (f)		100,000		110,000
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13		100,000		102,500
Tenet Healthcare Corp.:
6.375% 12/1/11		375,000		343,125
6.5% 6/1/12		15,000		13,538
7.375% 2/1/13		675,000		617,625
9.25% 2/1/15		1,000,000		987,500
U.S. Oncology, Inc.:
9% 8/15/12		280,000		291,200
10.75% 8/15/14		80,000		88,000
				8,176,257
Pharmaceuticals - 0.0%
CDRV Investors, Inc. 0% 1/1/15 (c)		100,000		77,750
Mylan Laboratories, Inc. 6.375% 8/15/15		60,000		59,100
VWR International, Inc.:
6.875% 4/15/12		30,000		30,000
8% 4/15/14		30,000		30,488
				197,338
TOTAL HEALTH CARE				8,373,595
INDUSTRIALS - 1.1%
Aerospace & Defense - 0.0%
Alliant Techsystems, Inc. 6.75% 4/1/16		300,000		298,500
Bombardier, Inc.:
6.3% 5/1/14 (f)		340,000		313,650
6.75% 5/1/12 (f)		355,000		342,575
8% 11/15/14 (f)		160,000		161,200
				1,115,925
Airlines - 0.3%
American Airlines, Inc. pass thru trust certificates:
6.817% 5/23/11		50,000		50,625
6.977% 11/23/22		328,043		322,302
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Airlines - continued
American Airlines, Inc. pass thru trust certificates: - continued
7.377% 5/23/19		$ 100,852		$ 97,827
7.379% 11/23/17		34,237		33,038
AMR Corp. 9% 8/1/12		485,000		515,313
Continental Airlines, Inc.:
8.5225% 6/2/13 (h)		100,000		101,750
9.558% 9/1/19		273,414		296,655
Continental Airlines, Inc. pass thru trust certificates:
7.566% 9/15/21		84,282		84,704
7.73% 9/15/12		21,945		22,000
8.499% 11/1/12		23,360		23,710
9.798% 4/1/21		383,999		418,559
Delta Air Lines, Inc.:
7.9% 12/15/09 (b)		1,450,000		870,000
8.3% 12/15/29 (b)		1,000,000		600,000
Delta Air Lines, Inc. pass thru trust certificates 7.779% 1/2/12		85,157		84,305
Northwest Airlines, Inc. 9.875% 3/15/07 (b)		600,000		510,000
Northwest Airlines, Inc. pass thru trust certificates:
7.068% 7/2/17		7,800		7,098
7.626% 4/1/10		24,160		23,194
United Airlines pass thru trust certificates:
7.032% 4/1/12		1,404,865		1,429,450
7.186% 10/1/12		3,481,224		3,546,497
				9,037,027
Building Products - 0.0%
Jacuzzi Brands, Inc. 9.625% 7/1/10		20,000		21,300
Nortek, Inc. 8.5% 9/1/14		100,000		96,500
				117,800
Commercial Services & Supplies - 0.2%
Adesa, Inc. 7.625% 6/15/12		250,000		248,125
ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13		445,000		438,325
Allied Waste North America, Inc.:
5.75% 2/15/11		370,000		357,050
7.125% 5/15/16		400,000		395,000
7.25% 3/15/15		800,000		800,000
7.875% 4/15/13		120,000		123,600
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Commercial Services & Supplies - continued
Cenveo Corp. 7.875% 12/1/13		$ 463,000		$ 442,165
FTI Consulting, Inc.:
7.625% 6/15/13		355,000		363,875
7.75% 10/1/16 (f)		400,000		414,000
Mac-Gray Corp. 7.625% 8/15/15		350,000		353,500
Rental Service Co. 9.5% 12/1/14 (f)		330,000		334,950
				4,270,590
Electrical Equipment - 0.0%
Sensus Metering Systems, Inc. 8.625% 12/15/13		220,000		217,800
Industrial Conglomerates - 0.1%
Nell AF Sarl 8.375% 8/15/15 (f)		75,000		76,688
Siemens Financieringsmaatschap NV 6.125% 8/17/26 (f)		3,075,000		3,254,113
				3,330,801
Machinery - 0.0%
Case New Holland, Inc. 7.125% 3/1/14		350,000		351,750
Chart Industries, Inc. 9.125% 10/15/15 (f)		40,000		42,000
Columbus McKinnon Corp. 8.875% 11/1/13		20,000		20,950
Commercial Vehicle Group, Inc. 8% 7/1/13		330,000		319,275
Invensys PLC 9.875% 3/15/11 (f)		49,000		52,920
Park-Ohio Industries, Inc. 8.375% 11/15/14		200,000		181,000
				967,895
Marine - 0.0%
American Commercial Lines LLC/ACL Finance Corp. 9.5% 2/15/15		471,000		522,810
H-Lines Finance Holding Corp. 0% 4/1/13 (c)		126,000		116,864
Horizon Lines LLC/Horizon Lines Holdings Corp. 9% 11/1/12		332,000		346,940
OMI Corp. 7.625% 12/1/13		95,000		97,375
				1,083,989
Road & Rail - 0.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:
7.625% 5/15/14 (f)		400,000		384,000
7.75% 5/15/16 (f)		400,000		384,000
Hertz Corp.:
8.875% 1/1/14 (f)		700,000		728,875
10.5% 1/1/16 (f)		360,000		390,600
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Road & Rail - continued
Kansas City Southern Railway Co. 7.5% 6/15/09		$ 400,000		$ 404,000
TFM SA de CV 9.375% 5/1/12		65,000		69,469
				2,360,944
Trading Companies & Distributors - 0.1%
Ahern Rentals, Inc. 9.25% 8/15/13		400,000		415,000
Ashtead Capital, Inc. 9% 8/15/16 (f)		300,000		317,250
Ashtead Holdings PLC 8.625% 8/1/15 (f)		275,000		282,563
H&E Equipment Services, Inc. 8.375% 7/15/16		160,000		166,800
Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12		400,000		434,000
Penhall International Corp. 12% 8/1/14 (f)		250,000		268,750
				1,884,363
Transportation Infrastructure - 0.3%
BNSF Funding Trust I 6.613% 12/15/55 (h)		9,030,000		9,337,372
TOTAL INDUSTRIALS				33,724,506
INFORMATION TECHNOLOGY - 0.4%
Communications Equipment - 0.1%
L-3 Communications Corp. 6.375% 10/15/15		520,000		516,100
Lucent Technologies, Inc. 6.5% 1/15/28		400,000		360,000
Nortel Networks Corp.:
9.6238% 7/15/11 (f)(h)		200,000		207,000
10.125% 7/15/13 (f)		500,000		529,375
				1,612,475
Computers & Peripherals - 0.0%
Seagate Technology HDD Holdings 6.8% 10/1/16		600,000		593,250
Electronic Equipment & Instruments - 0.1%
Celestica, Inc.:
7.625% 7/1/13		195,000		192,563
7.875% 7/1/11		350,000		351,750
NXP BV:
7.875% 10/15/14 (f)		605,000		621,638
9.5% 10/15/15 (f)		615,000		633,450
				1,799,401
IT Services - 0.1%
Iron Mountain, Inc.:
6.625% 1/1/16		120,000		114,600
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - continued
IT Services - continued
Iron Mountain, Inc.: - continued
7.75% 1/15/15		$ 300,000		$ 303,750
8.625% 4/1/13		210,000		216,300
SunGard Data Systems, Inc.:
9.125% 8/15/13		1,175,000		1,233,750
10.25% 8/15/15		700,000		740,250
				2,608,650
Office Electronics - 0.0%
Xerox Capital Trust I 8% 2/1/27		130,000		132,925
Xerox Corp.:
6.75% 2/1/17		200,000		212,250
7.2% 4/1/16		465,000		502,200
7.625% 6/15/13		310,000		327,050
				1,174,425
Semiconductors & Semiconductor Equipment - 0.1%
Amkor Technology, Inc.:
7.75% 5/15/13		65,000		60,613
9.25% 6/1/16		100,000		98,375
Avago Technologies Finance Ltd. 10.125% 12/1/13 (f)		600,000		639,000
Conexant Systems, Inc. 9.1263% 11/15/10 (f)(h)		250,000		253,125
Freescale Semiconductor, Inc.:
7.125% 7/15/14		60,000		64,585
8.875% 12/15/14 (f)(g)		550,000		550,715
9.125% 12/15/14 pay-in-kind (f)(g)		570,000		569,316
9.25% 12/15/14 (f)(g)(h)		290,000		288,202
10.125% 12/15/16 (f)(g)		380,000		383,800
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co.:
6.875% 12/15/11		25,000		21,375
8% 12/15/14		80,000		52,800
Viasystems, Inc. 10.5% 1/15/11		480,000		482,400
				3,464,306
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - continued
Software - 0.0%
Activant Solutions, Inc. 9.5% 5/1/16 (f)		$ 50,000		$ 46,250
Serena Software, Inc. 10.375% 3/15/16		230,000		243,225
				289,475
TOTAL INFORMATION TECHNOLOGY				11,541,982
MATERIALS - 0.6%
Chemicals - 0.2%
BCP Crystal U.S. Holdings Corp. 9.625% 6/15/14		410,000		449,975
Crystal US Holding 3 LLC/Crystal US Sub 3 Corp. Series B, 0% 10/1/14 (c)		550,000		462,000
Equistar Chemicals LP 7.55% 2/15/26		350,000		325,938
Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11		395,000		421,663
Huntsman International LLC 9.875% 3/1/09		71,000		73,219
Inergy LP/Inergy Finance Corp. 8.25% 3/1/16		310,000		322,400
Lyondell Chemical Co.:
8% 9/15/14		500,000		515,000
10.875% 5/1/09		55,000		56,169
Nalco Co. 7.75% 11/15/11		630,000		647,325
Pliant Corp. 0.225% 6/15/09 (d)		60,000		58,800
Rhodia SA 8.875% 6/1/11		300,000		313,500
Rockwood Specialties Group, Inc. 7.5% 11/15/14		150,000		151,500
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12		800,000		838,000
				4,635,489
Construction Materials - 0.0%
Texas Industries, Inc. 7.25% 7/15/13		30,000		30,375
U.S. Concrete, Inc. 8.375% 4/1/14		350,000		338,625
				369,000
Containers & Packaging - 0.1%
Ball Corp. 6.625% 3/15/18		500,000		495,000
BWAY Corp. 10% 10/15/10		105,000		109,988
Crown Americas LLC/Crown Americas Capital Corp. 7.75% 11/15/15		200,000		206,000
Crown Cork & Seal, Inc. 8% 4/15/23		105,000		101,850
Graham Packaging Co. LP/GPC Capital Corp.:
8.5% 10/15/12		50,000		49,750
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
MATERIALS - continued
Containers & Packaging - continued
Graham Packaging Co. LP/GPC Capital Corp.: - continued
9.875% 10/15/14		$ 395,000		$ 391,050
Graphic Packaging International, Inc. 8.5% 8/15/11		120,000		123,300
Jefferson Smurfit Corp. U.S. 7.5% 6/1/13		15,000		14,100
Owens-Brockway Glass Container, Inc.:
8.25% 5/15/13		15,000		15,488
8.875% 2/15/09		350,000		357,875
Owens-Illinois, Inc.:
7.35% 5/15/08		50,000		50,250
7.5% 5/15/10		395,000		398,950
7.8% 5/15/18		45,000		43,875
8.1% 5/15/07		410,000		414,100
Tekni-Plex, Inc. 10.875% 8/15/12 (f)		40,000		44,600
				2,816,176
Metals & Mining - 0.2%
Corporacion Nacional del Cobre (Codelco) 6.15% 10/24/36 (f)		145,000		152,133
CSN Islands X Corp. (Reg. S) 9.5%		306,000		315,945
Evraz Securities SA 10.875% 8/3/09		600,000		657,000
FMG Finance Pty Ltd.:
9.405% 9/1/11 (f)(h)		150,000		145,875
10.625% 9/1/16 (f)		195,000		196,219
Freeport-McMoRan Copper & Gold, Inc.:
6.875% 2/1/14		375,000		380,625
10.125% 2/1/10		45,000		47,250
Newmont Mining Corp. 5.875% 4/1/35		405,000		391,685
Novelis, Inc. 8.25% 2/15/15 (f)(h)		460,000		446,200
RathGibson, Inc. 11.25% 2/15/14 (f)		50,000		52,500
Vale Overseas Ltd. 6.875% 11/21/36		2,695,000		2,758,686
				5,544,118
Paper & Forest Products - 0.1%
Boise Cascade LLC/Boise Cascade Finance Corp.:
7.125% 10/15/14		30,000		28,725
8.2488% 10/15/12 (h)		30,000		30,000
Buckeye Technologies, Inc. 8.5% 10/1/13		450,000		455,625
Georgia-Pacific Corp.:
7.375% 12/1/25		15,000		14,606
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
MATERIALS - continued
Paper & Forest Products - continued
Georgia-Pacific Corp.: - continued
7.7% 6/15/15		$ 400,000		$ 410,000
7.75% 11/15/29		10,000		9,950
8% 1/15/24		130,000		131,950
8.125% 5/15/11		605,000		632,225
Millar Western Forest Products Ltd. 7.75% 11/15/13		120,000		104,400
P.H. Glatfelter Co. 7.125% 5/1/16 (f)		230,000		231,725
Stone Container Corp. 8.375% 7/1/12		400,000		387,000
Stone Container Finance Co. 7.375% 7/15/14		400,000		362,000
				2,798,206
TOTAL MATERIALS				16,162,989
TELECOMMUNICATION SERVICES - 1.8%
Diversified Telecommunication Services - 1.5%
AT&T, Inc. 6.8% 5/15/36		2,000,000		2,187,078
British Telecommunications PLC 8.875% 12/15/30		145,000		204,548
Embarq Corp.:
6.738% 6/1/13		85,000		88,321
7.995% 6/1/36		1,101,000		1,191,595
Eschelon Operating Co. 8.375% 3/15/10		396,000		382,635
GCI, Inc. 7.25% 2/15/14		50,000		48,625
Hanarotelecom, Inc. 7% 2/1/12 (f)		160,000		159,600
Intelsat Ltd.:
6.5% 11/1/13		40,000		33,200
7.625% 4/15/12		20,000		18,100
9.25% 6/15/16 (f)		850,000		909,500
11.25% 6/15/16 (f)		1,400,000		1,536,500
Level 3 Financing, Inc.:
9.25% 11/1/14 (f)		310,000		313,488
12.25% 3/15/13		1,050,000		1,186,500
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (f)		75,000		79,406
NTL Cable PLC:
8.75% 4/15/14		300,000		313,500
9.125% 8/15/16		610,000		643,550
PT Indosat International Finance Co. BV 7.125% 6/22/12 (f)		155,000		155,775
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Qwest Capital Funding, Inc.:
7% 8/3/09		$ 50,000		$ 50,625
7.25% 2/15/11		285,000		290,700
7.625% 8/3/21		20,000		19,900
Qwest Communications International, Inc.:
7.5% 2/15/14		1,360,000		1,400,800
7.5% 2/15/14		60,000		61,650
8.8738% 2/15/09 (h)		340,000		345,100
Qwest Corp.:
7.5% 10/1/14 (f)		500,000		531,250
7.625% 6/15/15		610,000		648,918
8.64% 6/15/13 (h)		90,000		97,200
SBC Communications, Inc.:
6.15% 9/15/34		500,000		507,238
6.45% 6/15/34		220,000		231,385
Sprint Capital Corp. 8.75% 3/15/32		6,890,000		8,627,251
Telecom Italia Capital SA:
6% 9/30/34		500,000		467,305
7.2% 7/18/36		3,620,000		3,875,391
Telefonica de Argentina SA 9.125% 11/7/10		394,000		423,550
Telefonica Emisiones SAU 7.045% 6/20/36		8,825,000		9,624,351
Telenet Group Holding NV 0% 6/15/14 (c)(f)		52,000		46,800
U.S. West Capital Funding, Inc. 6.375% 7/15/08		375,000		375,000
U.S. West Communications:
6.875% 9/15/33		415,000		401,513
7.5% 6/15/23		300,000		305,250
Verizon Global Funding Corp. 7.75% 12/1/30		5,296,000		6,320,654
Wind Acquisition Finance SA 10.75% 12/1/15 (f)		350,000		394,625
Windstream Corp.:
8.125% 8/1/13 (f)		200,000		215,500
8.625% 8/1/16 (f)		350,000		380,170
				45,094,047
Wireless Telecommunication Services - 0.3%
America Movil SA de CV 6.375% 3/1/35		780,000		770,245
American Tower Corp. 7.5% 5/1/12		105,000		108,675
Centennial Communications Corp. 10% 1/1/13		450,000		469,125
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - continued
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14		$ 310,000		$ 312,325
Cricket Communications, Inc. 9.375% 11/1/14 (f)		480,000		492,600
Digicel Ltd. 9.25% 9/1/12 (f)		820,000		865,100
DirecTV Holdings LLC/DirecTV Financing, Inc.:
6.375% 6/15/15		1,000,000		966,250
8.375% 3/15/13		1,000,000		1,037,500
Intelsat Subsidiary Holding Co. Ltd. 8.625% 1/15/15 (h)		195,000		202,800
Megafon SA 8% 12/10/09		300,000		310,125
MetroPCS Wireless, Inc. 9.25% 11/1/14 (f)		600,000		608,250
Millicom International Cellular SA 10% 12/1/13		265,000		287,525
Mobile Telesystems Finance SA:
8% 1/28/12 (f)		536,000		560,790
8.375% 10/14/10 (f)		885,000		931,905
Nextel Communications, Inc. 7.375% 8/1/15		150,000		154,875
Rogers Communications, Inc.:
8% 12/15/12		355,000		375,413
9.625% 5/1/11		26,000		29,445
Rural Cellular Corp.:
8.25% 3/15/12		360,000		373,500
9.75% 1/15/10		100,000		102,250
Stratos Global Corp. 9.875% 2/15/13		150,000		145,125
Telecom Personal SA 9.25% 12/22/10 (f)		590,000		620,975
				9,724,798
TOTAL TELECOMMUNICATION SERVICES				54,818,845
UTILITIES - 1.2%
Electric Utilities - 0.1%
AES Gener SA 7.5% 3/25/14		70,000		73,588
Chivor SA E.S.P. 9.75% 12/30/14 (f)		493,000		548,463
Mirant Americas Generation LLC:
8.3% 5/1/11		400,000		405,000
8.5% 10/1/21		350,000		348,250
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10		655,000		668,100
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
UTILITIES - continued
Electric Utilities - continued
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10		$ 360,000		$ 370,800
Nevada Power Co.:
5.875% 1/15/15		40,000		40,383
6.5% 4/15/12		50,000		51,928
6.5% 5/15/18		790,000		819,941
Reliant Energy, Inc. 6.75% 12/15/14		400,000		388,000
Sierra Pacific Power Co. 6% 5/15/16		50,000		50,875
Sierra Pacific Resources 7.803% 6/15/12		290,000		304,500
				4,069,828
Gas Utilities - 0.1%
Dynegy Holdings, Inc. 8.375% 5/1/16		600,000		622,500
El Paso Energy Corp. 6.75% 5/15/09		25,000		25,313
NiSource Finance Corp. 5.45% 9/15/20		1,905,000		1,816,097
Sonat, Inc.:
6.625% 2/1/08		20,000		20,100
6.75% 10/1/07		15,000		15,094
Transportadora de Gas del Sur SA:
(Reg. S) 6.5% 12/15/10 (d)		788,356		786,385
7.5% 12/15/13 (d)		295,000		302,375
7.5% 12/15/13 (d)(f)		50,000		51,250
7.5% 12/15/13 (d)		204,800		206,336
				3,845,450
Independent Power Producers & Energy Traders - 0.4%
AES Corp.:
7.75% 3/1/14		1,400,000		1,477,000
8.75% 6/15/08		2,000		2,070
8.75% 5/15/13 (f)		35,000		37,538
8.875% 2/15/11		982,000		1,055,650
9% 5/15/15 (f)		625,000		671,875
9.375% 9/15/10		7,000		7,595
9.5% 6/1/09		19,000		20,354
Allegheny Energy Supply Co. LLC:
7.8% 3/15/11		170,000		181,050
8.25% 4/15/12 (f)		90,000		98,325
Mirant North America LLC 7.375% 12/31/13		1,020,000		1,032,750
NRG Energy, Inc.:
7.25% 2/1/14		1,300,000		1,300,000
Corporate Bonds - continued
		Principal Amount		Value
Nonconvertible Bonds - continued
UTILITIES - continued
Independent Power Producers & Energy Traders - continued
NRG Energy, Inc.: - continued
7.375% 2/1/16		$ 1,280,000		$ 1,280,000
Tenaska Alabama Partners LP 7% 6/30/21 (f)		484,605		484,605
TXU Corp. 5.55% 11/15/14		3,140,000		3,019,038
				10,667,850
Multi-Utilities - 0.6%
CMS Energy Corp.:
6.3% 2/1/12		760,000		761,900
8.5% 4/15/11		545,000		594,050
9.875% 10/15/07		135,000		139,556
Dominion Resources, Inc. 5.95% 6/15/35		3,545,000		3,608,193
MidAmerican Energy Holdings, Co. 6.125% 4/1/36		11,405,000		11,954,903
Utilicorp Canada Finance Corp. 7.75% 6/15/11		105,000		111,300
				17,169,902
TOTAL UTILITIES				35,753,030
TOTAL NONCONVERTIBLE BONDS				320,843,165
TOTAL CORPORATE BONDS (Cost $304,239,160)			320,890,477
U.S. Government and Government Agency Obligations - 21.3%

U.S. Government Agency Obligations - 0.6%
Fannie Mae:
3.25% 1/15/08		8,000,000		7,851,096
4.375% 7/17/13		8,745,000		8,535,697
Freddie Mac 5.25% 11/5/12		280,000		278,337
Tennessee Valley Authority 5.375% 4/1/56		385,000		408,290
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS				17,073,420
U.S. Treasury Inflation Protected Obligations - 5.0%
U.S. Treasury Inflation-Indexed Notes:
0.875% 4/15/10		3,213,600		3,063,851
2% 1/15/14		122,117,753		120,634,501
U.S. Government and Government Agency Obligations - continued
		Principal Amount		Value
U.S. Treasury Inflation Protected Obligations - continued
U.S. Treasury Inflation-Indexed Notes: - continued
2.375% 4/15/11		$ 2,044,800		$ 2,056,761
3.5% 1/15/11		23,319,600		24,512,124
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS				150,267,237
U.S. Treasury Obligations - 15.7%
U.S. Treasury Bond - principal STRIPS:
2/15/15		78,530,000		54,594,213
5/15/30		35,870,000		12,256,382
U.S. Treasury Bonds 6.25% 5/15/30		7,453,000		9,174,181
U.S. Treasury Notes:
4.25% 8/15/13 (e)		66,769,000		66,062,183
4.5% 9/30/11		44,855,000		44,942,602
4.625% 10/31/11 (g)		75,000,000		75,582,808
4.75% 5/15/14 (e)		33,615,000		34,254,458
U.S. Treasury Notes - principal STRIPS:
8/15/10		131,350,000		111,543,339
2/15/12		75,970,000		60,506,990
TOTAL U.S. TREASURY OBLIGATIONS				468,917,156
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $621,050,927)			636,257,813
U.S. Government Agency - Mortgage Securities - 11.1%

Fannie Mae - 9.7%
5% 12/1/36 (g)		92,810,011		90,655,250
5% 12/12/36 (g)		20,000,000		19,535,662
5.5% 12/1/36 (g)		54,265,689		54,056,055
5.5% 12/1/36 (g)		50,000,000		49,806,845
6% 12/1/21 (g)		1,458,555		1,484,537
6% 12/1/36 (g)		20,000,000		20,210,874
6% 12/1/36 (g)		25,000,000		25,263,593
6% 12/12/36 (g)		20,000,000		20,210,874
6.5% 12/1/36 (g)		8,682,350		8,858,528
TOTAL FANNIE MAE				290,082,218
U.S. Government Agency - Mortgage Securities - continued
		Principal Amount		Value
Freddie Mac - 1.4%
6% 12/1/36 (g)		$ 30,000,000		$ 30,328,029
6% 12/1/36 (g)		9,946,113		10,054,867
TOTAL FREDDIE MAC				40,382,896
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $323,386,736)			330,465,114
Asset-Backed Securities - 1.0%

ACE Securities Corp.:
Series 2004-HE1:
Class M1, 5.82% 2/25/34 (h)		125,000		125,369
Class M2, 6.42% 2/25/34 (h)		125,000		126,177
Series 2005-SD1 Class A1, 5.72% 11/25/50 (h)		58,225		58,356
Aircraft Lease Securitization Ltd. Series 2005-1 Class C1, 9.07% 9/9/30 (f)(h)		188,050		191,341
Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (h)		725,000		729,854
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2003-HE7 Class A3, 5.68% 12/15/33 (h)		5,253		5,253
Series 2004-HE2 Class M1, 5.87% 4/25/34 (h)		375,000		377,739
Bank One Issuance Trust Series 2002-C1 Class C1, 6.28% 12/15/09 (h)		425,000		426,126
Capital Auto Receivables Asset Trust:
Series 2006-1:
Class C, 5.55% 1/18/11		1,500,000		1,507,211
Class D, 7.16% 1/15/13 (f)		160,000		160,781
Series 2006-SN1A:
Class B, 5.5% 4/20/10 (f)		340,000		342,542
Class C, 5.77% 5/20/10 (f)		325,000		327,513
Class D, 6.15% 4/20/11 (f)		550,000		554,204
Capmark VII Ltd. Series 2006-7A Class H, 6.9391% 8/20/36 (f)(h)		500,000		501,250
Carrington Mortgage Loan Trust Series 2006-NC3 Class M10, 7.33% 8/25/36 (f)(h)		290,000		249,128
Chase Credit Card Owner Trust Series 2004-1 Class B, 5.52% 5/15/09 (h)		220,000		219,987
Concord Real Estate CDO Ltd./LLC Series 2006-1A:
Class E, 6.52% 12/25/46 (g)(h)		250,000		250,000
Class F, 7.07% 12/25/46 (f)(g)(h)		250,000		250,000
Asset-Backed Securities - continued
		Principal Amount		Value
Countrywide Home Loan Trust Series 2006-13N Class N, 7% 8/25/37 (f)		$ 1,859,900		$ 1,840,185
Countrywide Home Loans, Inc.:
Series 2004-2 Class M1, 5.82% 5/25/34 (h)		410,000		411,411
Series 2004-3 Class M1, 5.82% 6/25/34 (h)		75,000		75,338
Series 2005-1:
Class MV1, 5.72% 7/25/35 (h)		185,000		185,603
Class MV2, 5.76% 7/25/35 (h)		220,000		220,831
Series 2005-3 Class MV1, 5.74% 8/25/35 (h)		4,750,000		4,764,808
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (f)		235,000		241,339
First Franklin Mortgage Loan Trust Series 2004-FF2:
Class M3, 5.87% 3/25/34 (h)		25,000		25,039
Class M4, 6.22% 3/25/34 (h)		25,000		25,088
Ford Credit Auto Owner Trust:
Series 2006-B Class D, 7.26% 2/15/13 (f)		1,175,000		1,190,670
Series 2006-C Class D, 6.89% 5/15/13 (f)		915,000		909,501
Fremont Home Loan Trust Series 2004-A Class M1, 5.87% 1/25/34 (h)		225,000		225,503
GS Auto Loan Trust Series 2006-1 Class D, 6.25% 1/15/14 (f)		1,425,000		1,415,923
GSAMP Trust Series 2004-FM2 Class M1, 5.82% 1/25/34 (h)		249,683		249,678
Home Equity Asset Trust:
Series 2003-2 Class M1, 6.2% 8/25/33 (h)		20,726		20,732
Series 2004-3 Class M2, 6.52% 8/25/34 (h)		120,000		121,245
Series 2006-3N Class B, 6.5% 8/27/36 (f)		250,000		244,338
HSBC Home Equity Loan Trust Series 2005-2:
Class M1, 5.78% 1/20/35 (h)		95,963		96,171
Class M2, 5.81% 1/20/35 (h)		72,621		72,871
Kent Funding III Ltd. Series 2006-3A Class D, 8.47% 10/31/36 (h)		250,000		248,125
Lancer Funding Ltd. Series 2006-1A Class A3, 7.07% 4/6/46 (f)(h)		421,306		425,232
Long Beach Mortgage Loan Trust Series 2006-6 Class M9, 7.23% 7/25/36 (h)		150,000		149,373
MBNA Credit Card Master Note Trust Series 2003-B2 Class B2, 5.71% 10/15/10 (h)		80,000		80,383
Meritage Mortgage Loan Trust Series 2004-1:
Class M1, 5.82% 7/25/34 (h)		94,694		94,801
Class M2, 5.87% 7/25/34 (h)		25,000		25,037
Morgan Stanley ABS Capital I, Inc.:
Series 2002-HE3 Class M1, 6.42% 12/27/32 (h)		90,000		90,671
Series 2003-NC8 Class M1, 6.02% 9/25/33 (h)		34,998		35,084
Asset-Backed Securities - continued
		Principal Amount		Value
Morgan Stanley Dean Witter Capital I Trust:
Series 2001-NC4 Class M1, 6.82% 1/25/32 (h)		$ 13,267		$ 13,278
Series 2002-NC1 Class M1, 6.52% 2/25/32 (f)(h)		138,907		142,734
Series 2002-NC3 Class M1, 6.04% 8/25/32 (h)		75,000		75,039
NovaStar Home Equity Loan Series 2004-1:
Class M1, 5.77% 6/25/34 (h)		75,000		75,393
Class M4, 6.295% 6/25/34 (h)		125,000		125,684
Ownit Mortgage Loan Asset-Backed Certificates Series 2005-3 Class A2A, 5.44% 6/25/36 (h)		2,470,541		2,470,735
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 6.15% 1/25/35 (h)		750,000		755,796
SLM Private Credit Student Loan Trust Series 2004-A Class C, 6.34% 6/15/33 (h)		260,000		263,033
Structured Asset Securities Corp. Series 2006-BC1 Class B1, 7.82% 3/25/36 (f)(h)		100,000		87,060
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 5.77% 3/15/11 (f)(h)		4,670,000		4,670,000
Wachovia Auto Loan Trust Series 2006-2A Class E, 7.05% 5/20/14 (f)		1,390,000		1,406,729
Washington Mutual Asset-Backed Certificates Series 2006-HE5 Class B1, 7.82% 10/25/36 (f)(h)		1,330,000		1,130,082
TOTAL ASSET-BACKED SECURITIES (Cost $31,051,394)			31,103,374
Collateralized Mortgage Obligations - 1.0%

Private Sponsor - 1.0%
ABN AMRO Mortgage Corp.:
Series 2003-2 Class B4, 5.3302% 3/25/18 (h)		208,787		193,021
Series 2003-9 Class B5, 4.5164% 8/25/18 (f)		345,182		186,398
Banc of America Mortgage Securities, Inc.:
Series 2003-K Class 1A1, 4.1028% 12/25/33 (h)		83,658		84,518
Series 2004-7 Class 15B4, 5.3048% 8/25/19 (f)(h)		84,715		77,777
Series 2004-B Class 1A1, 3.4572% 3/25/34 (h)		330,389		331,048
Series 2004-C Class 1A1, 3.3269% 4/25/34 (h)		249,641		250,237
Bayview Commercial Asset Trust Series 2006-3A Class IO, 1.1688% 10/25/36 (h)(j)		16,660,958		2,113,859
Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, 5.6% 1/25/35 (h)		8,115,705		8,131,245
Countrywide Alternative Loan Trust Series 2006-OC5N Class N, 7.25% 7/25/37 (f)		157,033		156,250
Countrywide Home Loans, Inc.:
Series 2003-28 Class B3, 5.5% 8/25/33		95,287		85,205
Collateralized Mortgage Obligations - continued
		Principal Amount		Value
Private Sponsor - continued
Countrywide Home Loans, Inc.: - continued
Series 2003-35 Class B, 4.639% 9/25/18 (h)		$ 187,401		$ 169,682
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:
Series 2005-1 Class 5A2, 5.65% 5/25/35 (h)		134,358		134,225
Series 2005-2 Class 6A2, 5.6% 6/25/35 (h)		52,657		52,747
Credit Suisse First Boston Mortgage Securities Corp.:
floater:
Series 2004-AR3 Class 6A2, 5.69% 4/25/34 (h)		28,197		28,220
Series 2004-AR6 Class 9A2, 5.69% 10/25/34 (h)		63,620		63,723
Series 2003-17 Class B4, 5.389% 6/25/33 (f)(h)		403,318		367,622
Series 2004-3 Class DB4, 5.8427% 4/25/34 (h)		120,101		82,342
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (f)		176,400		149,246
Granite Master Issuer PLC floater Series 2006-1A Class C2, 5.975% 12/20/54 (f)(h)		400,000		399,992
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.71% 9/26/45 (f)(h)		292,766		293,727
Merrill Lynch Mortgage Investors, Inc.:
floater Series 2005-B Class A2, 5.5988% 7/25/30 (h)		209,321		209,606
Series 2003-E Class XA1, 1% 10/25/28 (h)(j)		710,670		3,928
Nomura Home Equity Loan, Inc. floater Series 2006-FM2 Class B1, 7.62% 7/25/36 (h)		4,165,000		3,665,200
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 5.61% 7/25/35 (h)		245,517		245,934
Residential Finance LP/Residential Finance Development Corp. floater:
Series 2003-CB1:
Class B3, 6.77% 6/10/35 (f)(h)		42,202		42,835
Class B4, 6.97% 6/10/35 (f)(h)		37,513		38,216
Class B5, 7.57% 6/10/35 (f)(h)		28,135		28,803
Class B6, 8.07% 6/10/35 (f)(h)		14,067		14,419
Series 2004-B:
Class B4, 6.42% 2/10/36 (f)(h)		96,132		97,334
Class B5, 6.87% 2/10/36 (f)(h)		96,132		96,853
Class B6, 7.32% 2/10/36 (f)(h)		96,132		96,373
Series 2004-C:
Class B4, 6.27% 9/10/36 (f)(h)		96,919		98,251
Class B5, 6.67% 9/10/36 (f)(h)		96,919		97,161
Class B6, 7.07% 9/10/36 (f)(h)		96,919		96,919
Collateralized Mortgage Obligations - continued
		Principal Amount		Value
Private Sponsor - continued
Sequoia Mortgage Trust floater Series 2005-2 Class A2, 5.7% 3/20/35 (h)		$ 195,511		$ 195,893
Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 5.63% 7/25/35 (h)		651,456		653,949
Structured Asset Securities Corp. floater:
Series 2005-AR1 Class B1, 7.32% 9/25/35 (f)(h)		530,000		453,998
Series 2006-BC5 Class B, 7.82% 12/25/36 (h)		1,050,000		891,697
Thornburg Mortgage Securities Trust floater Series 2005-3 Class A4, 5.6% 10/25/35 (h)		8,000,793		7,990,730
WaMu Mortgage pass thru certificates floater Series 2005-AR13 Class A1C1, 5.51% 10/25/45 (h)		2,388,222		2,388,895
Wells Fargo Mortgage Backed 03-12 Series 2003-12 Class B6, 4.75% 11/25/18 (f)		337,150		187,961
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $30,916,618)			30,946,039
Commercial Mortgage Securities - 0.8%

Asset Securitization Corp.:
Series 1996-D2 Class B1A, 8.6254% 2/14/29 (f)(h)		750,000		822,305
Series 1997-D4:
Class B2, 7.525% 4/14/29		500,000		553,431
Class B5, 7.525% 4/14/29		129,000		128,234
Banc of America Commercial Mortgage, Inc. Series 2003-2:
Class BWF, 7.55% 10/11/37 (f)		97,643		108,093
Class BWH, 9.073% 10/11/37 (f)		97,643		113,337
Class BWJ, 9.99% 10/11/37 (f)		97,643		117,075
Banc of America Large Loan, Inc.:
floater:
Series 2003-BBA2:
Class D, 5.87% 11/15/15 (f)(h)		58,455		58,463
Class F, 6.22% 11/15/15 (f)(h)		60,000		60,017
Class H, 6.72% 11/15/15 (f)(h)		50,000		50,059
Class J, 7.27% 11/15/15 (f)(h)		55,000		55,093
Class K, 7.92% 11/15/15 (f)(h)		50,000		50,002
Series 2005-ESHA:
Class E, 5.9% 7/14/20 (f)(h)		190,000		190,233
Class F, 6.07% 7/14/20 (f)(h)		110,000		110,134
Class G, 6.2% 7/14/20 (f)(h)		100,000		100,122
Class H, 6.42% 7/14/20 (f)(h)		100,000		100,122
Commercial Mortgage Securities - continued
		Principal Amount		Value
Banc of America Large Loan, Inc.: - continued
Series 2006-ESH:
Class A, 6.18% 7/14/11 (f)(h)		$ 212,580		$ 212,612
Class B, 6.28% 7/14/11 (f)(h)		106,007		105,941
Class C, 6.43% 7/14/11 (f)(h)		212,297		212,328
Class D, 7.06% 7/14/11 (f)(h)		123,385		123,563
Bayview Commercial Asset Trust floater:
Series 2004-1 Class A, 5.68% 4/25/34 (f)(h)		234,420		234,896
Series 2004-2 Class A, 5.75% 8/25/34 (f)(h)		278,987		280,033
Series 2004-3:
Class A1, 5.69% 1/25/35 (f)(h)		261,216		261,951
Class A2, 5.74% 1/25/35 (f)(h)		37,317		37,433
Class M1, 5.82% 1/25/35 (f)(h)		37,317		37,445
Class M2, 6.32% 1/25/35 (f)(h)		37,317		37,649
Citigroup Commercial Mortgage Trust Series 2006-FL2:
Class CNP3, 6.52% 8/16/21 (f)(h)		5,182,308		5,182,308
Class HFL, 6.27% 8/16/21 (f)(h)		400,000		400,000
COMM floater Series 2002-FL7 Class D, 5.89% 11/15/14 (f)(h)		28,571		28,672
Commercial Mortgage Acceptance Corp. Series 1998-C1 Class G, 6.21% 7/15/31 (f)		500,000		526,170
Commercial Mortgage Asset Trust Series 1999-C1 Class F, 6.25% 1/17/32 (f)		500,000		528,755
Commercial Mortgage pass thru certificates Series 2001-J1A Class G, 6.9883% 2/14/34 (f)(h)		500,000		536,171
Credit Suisse First Boston Mortgage Securities Corp.:
Series 1997-C2 Class F, 7.46% 1/17/35 (h)		500,000		557,721
Series 2003-C3 Class J, 4.231% 5/15/38 (f)		300,000		276,466
First Chicago/Lennar Trust I weighted average coupon Series 1997-CHL1 Class E, 7.6262% 4/29/39 (f)(h)		372,993		379,054
Ginnie Mae guaranteed REMIC pass thru securities sequential pay Series 2003-47 Class C, 4.227% 10/16/27		5,917,115		5,802,838
Global Signal Trust III Series 2006-1 Class F, 7.036% 2/15/36 (f)		200,000		203,315
GMAC Commercial Mortgage Securities, Inc.:
Series 1999-C1 Class F, 6.02% 5/15/33 (f)		500,000		513,704
Series 2003-J10 Class B2, 6.75% 4/15/29 (h)		500,000		516,250
Greenwich Capital Commercial Funding Corp. Series 2003-C2 Class J, 5.234% 11/5/13 (f)(h)		250,000		247,377
GS Mortgage Securities Corp. II:
floater Series 2006-FL8A Class J, 7.07% 6/6/20 (f)(h)		250,000		250,156
Series 1998-GLII Class G, 6.9706% 4/13/31 (f)(h)		500,000		531,420
Commercial Mortgage Securities - continued
		Principal Amount		Value
GS Mortgage Securities Corp. II: - continued
Series 2006-RR2:
Class M, 5.689% 6/1/46 (f)(h)		$ 100,000		$ 81,436
Class N, 5.689% 6/1/46 (f)(h)		100,000		74,342
Guggenheim Structure Real Estate Funding Ltd. floater Series 2006-3 Class E, 6.97% 9/25/46 (f)(h)		250,000		250,000
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA Class SFL, 6.57% 9/15/21 (f)(h)		500,000		500,000
Merrill Lynch Mortgage Trust Series 2006-KEY2 Class L, 5.091% 8/12/39 (f)		300,000		273,425
Newcastle CDO VIII floater Series 2006-8A Class 10, 7.5824% 11/1/52 (f)(h)		250,000		249,996
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f)		353,175		478,464
Real Estate Asset Liquidity Trust Series 2006-2:
Class F, 4.456% 4/12/17 (k)	CAD	107,000		79,546
Class G, 4.456% 4/12/17 (k)	CAD	54,000		38,969
Class H, 4.456% 4/12/17 (k)	CAD	36,000		22,698
Class J, 4.456% 4/12/17 (k)	CAD	36,000		21,041
Class K, 4.456% 4/12/18 (k)	CAD	18,000		9,308
Class L, 4.456% 4/12/18 (k)	CAD	26,000		12,950
Class M, 4.456% 4/12/18 (k)	CAD	130,000		42,087
ROCK 1 CRE CDO LLC floater Series 2006-1A Class H, 6.67625% 12/15/26 (g)(h)		185,000		185,000
SBA CMBS Trust Series 2006-1A Class J, 7.825% 11/15/36 (f)		90,000		91,013
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $22,772,301)			23,051,223
Foreign Government and Government Agency Obligations - 1.6%

Argentine Republic:
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33		502,851		510,897
5.589% 8/3/12 (h)		1,938,750		1,809,472
7% 3/28/11		1,250,000		1,226,458
7% 9/12/13		805,000		764,057
Brazilian Federative Republic:
8% 1/15/18		191,000		212,965
8.25% 1/20/34		310,000		371,225
8.75% 2/4/25		280,000		343,700
10.5% 7/14/14		140,000		178,150
Foreign Government and Government Agency Obligations - continued
		Principal Amount		Value
Brazilian Federative Republic: - continued
11% 8/17/40		$ 1,370,000		$ 1,821,415
12.25% 3/6/30		470,000		773,150
12.75% 1/15/20		290,000		450,950
Central Bank of Nigeria promissory note 5.092% 1/5/10		260,895		249,266
City of Kiev 8.75% 8/8/08		100,000		103,750
Colombian Republic 11.75% 2/25/20		247,000		353,828
Dominican Republic:
Brady 6.2725% 8/30/09 (h)		77,490		77,374
6.1875% 8/30/24 (h)		1,250,000		1,242,188
9.04% 1/23/18 (f)		54,649		62,655
9.5% 9/27/11		708,111		762,636
Ecuador Republic:
10% 8/15/30 (Reg. S)		1,345,000		1,254,213
12% 11/15/12 (Reg. S)		244,800		241,128
euro par 5% 2/28/25		153,000		113,985
Indonesian Republic:
6.75% 3/10/14		925,000		959,688
7.25% 4/20/15 (f)		60,000		64,128
7.25% 4/20/15		275,000		293,920
Islamic Republic of Pakistan 7.125% 3/31/16 (f)		300,000		310,500
Lebanese Rep Medical Term Nts Regs 7.875% 5/20/11		515,000		511,138
Lebanon, Republic of:
7.125% 3/5/10		50,000		47,500
8.6044% 11/30/09 (f)(h)		105,000		103,425
8.6044% 11/30/09 (h)		1,400,000		1,379,000
Pakistan International Sukuk Co. Ltd. 7.76% 1/27/10 (h)		500,000		517,500
Peruvian Republic:
6.25% 3/7/27 (h)		340,000		333,200
7.35% 7/21/25		375,000		413,438
euro Brady past due interest 5% 3/7/17 (h)		1,132,400		1,121,076
Philippine Republic:
5.3203% 12/1/09 (h)		23,800		23,800
8.25% 1/15/14		1,105,000		1,234,838
8.375% 2/15/11		365,000		398,325
8.875% 3/17/15		150,000		175,320
9% 2/15/13		630,000		722,925
9.875% 1/15/19		845,000		1,087,938
10.625% 3/16/25		665,000		937,650
Republic of Iraq 5.8% 1/15/28 (f)		500,000		327,500
Foreign Government and Government Agency Obligations - continued
		Principal Amount		Value
Russian Federation:
5% 3/31/30 (Reg. S) (d)		$ 2,977,000		$ 3,386,338
12.75% 6/24/28 (Reg. S)		590,000		1,074,538
State of Qatar 9.75% 6/15/30 (Reg. S)		75,000		114,000
Turkish Republic:
7% 9/26/16		555,000		559,856
7.375% 2/5/25		210,000		212,888
11% 1/14/13		1,240,000		1,515,280
11.75% 6/15/10		1,375,000		1,621,813
11.875% 1/15/30		950,000		1,447,563
Ukraine Cabinet of Ministers 6.58% 11/21/16 (f)		225,000		224,827
Ukraine Government:
6.875% 3/4/11		450,000		461,790
8.9025% 8/5/09 (h)		1,000,000		1,059,000
United Mexican States:
6.75% 9/27/34		3,790,000		4,131,100
7.5% 4/8/33		605,000		716,925
8.3% 8/15/31		665,000		854,525
11.5% 5/15/26		50,000		80,750
Uruguay Republic 8% 11/18/22		721,000		803,915
Venezuelan Republic:
5.375% 8/7/10		265,000		258,640
6% 12/9/20		220,000		200,750
6.3738% 4/20/11 (h)		820,000		815,900
7% 12/1/18 (Reg. S)		220,000		221,100
7.65% 4/21/25		300,000		315,450
9.25% 9/15/27		385,000		479,710
9.375% 1/13/34		335,000		424,445
10.75% 9/19/13		590,000		727,175
13.625% 8/15/18		578,000		864,110
euro Brady FLIRB B 6.25% 3/31/07 (h)		11,900		11,900
Vietnamese Socialist Republic Brady par 3.75% 3/12/28 (d)		90,000		77,288
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $43,974,064)			46,547,847
Floating Rate Loans - 0.1%
		Principal Amount		Value
CONSUMER DISCRETIONARY - 0.0%
Specialty Retail - 0.0%
The Pep Boys - Manny, Moe & Jack term loan 8.12% 10/27/13 (h)		$ 10,000		$ 10,075
Toys 'R' US, Inc. term loan 8.32% 12/9/08 (h)		500,000		500,625
				510,700
FINANCIALS - 0.1%
Diversified Financial Services - 0.0%
Landsource Communication Development LLC Tranche B, term loan 7.875% 3/31/10 (h)		117,000		115,245
Real Estate Investment Trusts - 0.1%
Capital Automotive (REIT) Tranche B, term loan 7.07% 12/16/10 (h)		250,000		250,625
General Growth Properties, Inc. Tranche A1, term loan 6.57% 2/24/10 (h)		250,000		248,438
				499,063
TOTAL FINANCIALS				614,308
INDUSTRIALS - 0.0%
Airlines - 0.0%
Delta Air Lines, Inc. Tranche C, term loan 12.8681% 3/16/08 (h)		300,000		308,250
TOTAL FLOATING RATE LOANS (Cost $1,428,350)			1,433,258
Sovereign Loan Participations - 0.0%

Indonesian Republic loan participation:
- Credit Suisse First Boston 6.25% 3/28/13 (h)		104,268		101,662
- Deutsche Bank 6.25% 3/28/13 (h)		12,922		12,599
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $103,187)			114,261
Fixed-Income Funds - 54.3%
		Shares
Fidelity 1-3 Year Duration Securitized Bond Central Fund (i)		1,465,596		146,691,495
Fidelity 2-5 Year Duration Securitized Bond Central Fund (i)		1,644,065		165,623,066
Fidelity Corporate Bond 1-10 Year Central Fund (i)		4,048,762		409,248,836
Fidelity Floating Rate Central Fund (i)		1,165,536		117,066,436
Fixed-Income Funds - continued
		Shares		Value
Fidelity Mortgage Backed Securities Central Fund (i)		3,659,683		$ 367,395,562
Fidelity Ultra-Short Central Fund (i)		4,161,697		414,088,815
TOTAL FIXED-INCOME FUNDS (Cost $1,598,670,421)			1,620,114,210
Cash Equivalents - 14.2%
		Maturity Amount
Investments in repurchase agreements in a joint trading account at:
5.32%, dated 11/30/06 due 12/1/06 (Collateralized by U.S. Government Obligations) #		$ 322,410,657		322,363,000
5.33%, dated 11/30/06 due 12/1/06 (Collateralized by U.S. Government Obligations) # (a)		101,195,980		101,181,000
TOTAL CASH EQUIVALENTS (Cost $423,544,000)			423,544,000
TOTAL INVESTMENT PORTFOLIO - 116.2% (Cost $3,401,137,158)				3,464,467,616
NET OTHER ASSETS - (16.2)%				(482,872,902)
NET ASSETS - 100%			$ 2,981,594,714

Swap Agreements
	Expiration Date	Notional Amount	Value
Credit Default Swaps
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34	Oct. 2034	$ 134,000	1,519
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.8244% 8/25/34	Sept. 2034	134,000	1,228
Swap Agreements - continued
	Expiration Date	Notional Amount	Value
Credit Default Swaps - continued
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7, Class B3, 7.6913% 7/25/34	August 2034	$ 134,000	$ 1,294
Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34	August 2034	134,000	504
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34	Nov. 2034	134,000	492
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34	Oct. 2034	134,000	996
Receive monthly notional amount multiplied by 1.6% 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 M7, 5.4413% 5/25/35	June 2035	100,000	(426)
Receive monthly notional amount multiplied by 1.66% 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 M7, 5.4413% 5/25/35	June 2035	134,000	(390)
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	134,482	(508)
Swap Agreements - continued
	Expiration Date	Notional Amount	Value
Credit Default Swaps - continued
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	$ 93,286	$ (174)
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32	April 2032	16,887	101
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33	May 2033	134,000	1,421
TOTAL CREDIT DEFAULT SWAPS		1,416,655	6,057
Interest Rate Swaps
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	March 2010	1,250,000	(19,589)
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	March 2015	1,250,000	(10,279)
Receive quarterly a fixed rate equal to 4.898% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.	July 2014	1,135,000	1,977
Receive semi-annually a fixed rate equal to 4.7515% and pay quarterly a floating rate based on 3-month LIBOR with UBS	Jan. 2009	15,000,000	106,224
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank	April 2011	20,000,000	328,326
Receive semi-annually a fixed rate equal to 5.375% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank	April 2009	30,000,000	305,736
Swap Agreements - continued
	Expiration Date	Notional Amount	Value
Interest Rate Swaps - continued
Receive semi-annually a fixed rate equal to 5.636% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank	July 2009	$ 100,000,000	$ 3,249,040
Receive semi-annually a fixed rate equal to 5.6485% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank	July 2010	100,000,000	4,057,680
TOTAL INTEREST RATE SWAPS		268,635,000	8,019,115
Total Return Swaps
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Lehman Brothers, Inc.	Jan. 2007	40,000,000	315,459
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 7.5 basis points with Lehman Brothers, Inc.	Feb. 2007	2,000,000	15,565
TOTAL TOTAL RETURN SWAPS		42,000,000	331,024
		$ 312,051,655	$ 8,356,196

Currency Abbreviation
CAD	-	Canadian dollar

Legend

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

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

(c) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

(d) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

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

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

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

Additional information on each holding is as follows:

Security	Acquisition Date	Acquisition Cost
Real Estate Asset Liquidity Trust:
Series 2006-2 Class F, 4.456% 4/12/17	10/2/06	$ 80,777
Series 2006-2 Class G, 4.456% 4/12/17	10/2/06	$ 39,498
Series 2006-2 Class H, 4.456% 4/12/17	10/2/06	$ 22,997
Series 2006-2 Class J, 4.456% 4/12/17	10/2/06	$ 21,304
Series 2006-2 Class K, 4.456% 4/12/18	10/2/06	$ 9,417
Series 2006-2 Class L, 4.456% 4/12/18	10/2/06	$ 13,077
Series 2006-2 Class M, 4.456% 4/12/18	10/2/06	$ 43,033

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

Repurchase Agreement / Counterparty	Value
$322,363,000 due 12/01/06 at 5.32%
ABN AMRO Bank N.V., New York Branch	$ 11,702,667
BNP Paribas Securities Corp.	3,315,756
Banc of America Securities LLC	101,884,045
Bank of America, NA	19,504,446
Barclays Capital, Inc.	90,838,132
Citigroup Global Markets, Inc.	23,405,335
Countrywide Securities Corp.	26,852,394
Societe Generale, New York Branch	7,801,778
UBS Securities LLC	31,207,113
WestLB AG	5,851,334
	$ 322,363,000
$101,181,000 due 12/01/06 at 5.33%
Countrywide Securities Corp.	$ 101,181,000

Affiliated Central Funds

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

Fund	Income earned
Fidelity 1-3 Year Duration Securitized Bond Central Fund	$ 1,115,618
Fidelity 2-5 Year Duration Securitized Bond Central Fund	714,540
Fidelity Corporate Bond 1-10 Year Central Fund	1,414,887
Fidelity Floating Rate Central Fund	1,782,701
Fidelity Mortgage Backed Securities Central Fund	223,225
Fidelity Ultra-Short Central Fund	5,785,244
Total	$ 11,036,215

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

Fund	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity 1-3 Year Duration Securitized Bond Central Fund	$ -	$ 146,504,007*	$ -	$ 146,691,495	6.8%
Fidelity 2-5 Year Duration Securitizied Bond Central Fund	-	164,446,996*	-	165,623,066	6.5%
Fidelity Corporate Bond 1-10 Year Central Fund	-	405,231,150*	-	409,248,836	6.0%
Fidelity Floating Rate Central Fund	66,958,885	50,000,056	-	117,066,436	6.6%
Fidelity Mortgage Backed Securities Central Fund	-	365,968,286*	-	367,395,562	5.1%
Fidelity Ultra-Short Central Fund	414,088,852	-	-	414,088,815	3.6%
Total	$ 481,047,737	$ 1,132,150,495	$ -	$ 1,620,114,210

* Includes the value of shares received through in-kind contributions.

Income Tax Information

Investment Valuation

Quarterly Report

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

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

Quarterly Report

Item 2. Controls and Procedures

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

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

Item 3. Exhibits

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

SIGNATURES

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

Fidelity Income Fund

By:	/s/*Kimberley Monasterio*
	Kimberley Monasterio
	President and Treasurer

Date:	January 24, 2007

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

By:	/s/*Kimberley Monasterio*
	Kimberley Monasterio
	President and Treasurer

Date:	January 24, 2007

By:	/s/*Joseph B. Hollis*
	Joseph B. Hollis
	Chief Financial Officer

Date:	January 24, 2007

Dates Referenced Herein and Documents Incorporated by Reference

This ‘N-Q’ Filing	Date	Other Filings

Filed on / Effective on:	1/29/07
	1/24/07	497
For Period End:	11/30/06
		List all Filings

↑Top

Filing Submission 0000751199-07-000003 – Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)

Fidelity Income Fund/MA – ‘N-Q’ for 11/30/06

On: Monday, 1/29/07, at 1:17pm ET · Effective: 1/29/07 · For: 11/30/06 · Accession #: 751199-7-3 · File #: 811-04085

Previous ‘N-Q’: ‘N-Q’ on 12/28/06 for 10/31/06 · Next: ‘N-Q’ on 6/27/07 for 4/30/07 · Latest: ‘N-Q’ on 1/28/19 for 11/30/18

Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-QFiling Table of Contents

N-Q — Quarterly Schedule of Portfolio Holdings of a Management Investment Company

This is an HTML Document rendered as filed. [ Alternative Formats ]

Investments November 30, 2006 (Unaudited)

Investments November 30, 2006 (Unaudited)

Dates Referenced Herein and Documents Incorporated by Reference

Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-Q
Filing Table of Contents