N-Q 1 cip2.htm

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 811-22083

Fidelity Central Investment Portfolios II LLC
 (Exact name of registrant as specified in charter)

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

Scott C. Goebel, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:

August 31

 

 

Date of reporting period:

May 31, 2010

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Corporate Bond
1-10 Year Central Fund

May 31, 2010 

1.850078.103

CB10CEN-QTLY-0710

Investments May 31, 2010 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 86.2%

 

Principal Amount

Value

CONSUMER DISCRETIONARY - 8.8%

Auto Components - 1.0%

DaimlerChrysler NA Holding Corp.:

5.75% 9/8/11

$ 15,894,000

$ 16,577,919

5.875% 3/15/11

5,902,000

6,084,330

 

22,662,249

Household Durables - 2.5%

Fortune Brands, Inc.:

5.125% 1/15/11

13,113,000

13,409,734

5.375% 1/15/16

8,850,000

9,424,639

6.375% 6/15/14

11,609,000

12,799,039

Newell Rubbermaid, Inc. 5.5% 4/15/13

6,035,000

6,441,946

Whirlpool Corp.:

6.125% 6/15/11

9,713,000

10,090,777

6.5% 6/15/16

5,415,000

5,990,257

 

58,156,392

Media - 4.7%

AOL Time Warner, Inc. 6.875% 5/1/12

6,934,000

7,556,493

CBS Corp. 5.75% 4/15/20

9,547,000

9,747,735

Comcast Corp.:

4.95% 6/15/16

5,340,000

5,631,142

5.15% 3/1/20

5,000,000

5,141,220

COX Communications, Inc.:

4.625% 6/1/13

6,621,000

7,054,543

6.25% 6/1/18 (b)

7,083,000

7,763,152

Discovery Communications LLC:

3.7% 6/1/15 (c)

3,076,000

3,086,526

5.05% 6/1/20 (c)

1,136,000

1,135,121

NBC Universal, Inc. 3.65% 4/30/15 (b)

8,210,000

8,313,011

News America, Inc.:

5.3% 12/15/14

2,490,000

2,718,236

6.9% 3/1/19

3,500,000

4,082,593

Time Warner Cable, Inc.:

5% 2/1/20

492,000

491,109

5.4% 7/2/12

6,943,000

7,442,354

6.2% 7/1/13

6,601,000

7,332,054

6.75% 7/1/18

3,333,000

3,753,585

Time Warner, Inc.:

4.875% 3/15/20

7,630,000

7,607,141

5.875% 11/15/16

4,230,000

4,672,839

Nonconvertible Bonds - continued

 

Principal Amount

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Viacom, Inc.:

4.375% 9/15/14

$ 3,246,000

$ 3,409,884

6.25% 4/30/16

13,603,000

15,270,265

 

112,209,003

Multiline Retail - 0.3%

Nordstrom, Inc. 4.75% 5/1/20

8,445,000

8,477,640

Specialty Retail - 0.3%

Staples, Inc. 7.375% 10/1/12

6,370,000

7,092,549

TOTAL CONSUMER DISCRETIONARY

208,597,833

CONSUMER STAPLES - 5.8%

Beverages - 2.1%

Anheuser-Busch InBev Worldwide, Inc.:

5.375% 11/15/14 (b)

13,872,000

15,048,013

7.2% 1/15/14 (b)

9,760,000

11,126,029

Diageo Capital PLC 5.2% 1/30/13

2,947,000

3,203,589

Diageo Finance BV 5.5% 4/1/13

9,993,000

10,990,561

FBG Finance Ltd. 5.125% 6/15/15 (b)

8,340,000

9,054,146

 

49,422,338

Food & Staples Retailing - 0.5%

CVS Caremark Corp.:

6.036% 12/10/28

6,296,521

6,371,891

6.302% 6/1/37 (e)

6,937,000

6,277,985

 

12,649,876

Food Products - 1.3%

Kraft Foods, Inc.:

5.625% 11/1/11

10,397,000

10,988,620

6.5% 8/11/17

17,454,000

19,762,815

 

30,751,435

Personal Products - 0.4%

Avon Products, Inc. 5.625% 3/1/14

7,946,000

8,814,490

Tobacco - 1.5%

Altria Group, Inc. 9.7% 11/10/18

21,597,000

26,185,952

Reynolds American, Inc. 6.75% 6/15/17

8,328,000

8,791,203

 

34,977,155

TOTAL CONSUMER STAPLES

136,615,294

Nonconvertible Bonds - continued

 

Principal Amount

Value

ENERGY - 13.6%

Energy Equipment & Services - 1.2%

DCP Midstream LLC 5.35% 3/15/20 (b)

$ 990,000

$ 989,693

El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20

8,480,000

8,571,618

Transocean Ltd. 5.25% 3/15/13

5,349,000

5,467,641

Weatherford International Ltd.:

4.95% 10/15/13

4,949,000

5,191,941

5.15% 3/15/13

6,467,000

6,827,348

 

27,048,241

Oil, Gas & Consumable Fuels - 12.4%

Anadarko Petroleum Corp. 5.95% 9/15/16

21,521,000

22,924,148

BW Group Ltd. 6.625% 6/28/17 (b)

8,402,000

7,813,860

Canadian Natural Resources Ltd.:

5.15% 2/1/13

12,778,000

13,680,945

5.7% 5/15/17

3,293,000

3,597,731

Cenovus Energy, Inc.:

4.5% 9/15/14 (b)

5,034,000

5,311,122

5.7% 10/15/19 (b)

9,341,000

9,822,529

Duke Energy Field Services:

5.375% 10/15/15 (b)

3,471,000

3,722,491

6.875% 2/1/11

6,572,000

6,800,127

7.875% 8/16/10

2,947,000

2,985,122

El Paso Natural Gas Co. 5.95% 4/15/17

2,655,000

2,776,554

Enbridge Energy Partners LP:

5.875% 12/15/16

5,131,000

5,643,356

6.5% 4/15/18

6,737,000

7,543,722

EnCana Holdings Finance Corp. 5.8% 5/1/14

8,205,000

9,105,507

Enterprise Products Operating LP 5.6% 10/15/14

5,554,000

6,010,550

Gulf South Pipeline Co. LP 5.75% 8/15/12 (b)

10,973,000

11,803,722

Gulfstream Natural Gas System LLC 6.95% 6/1/16 (b)

2,537,000

2,862,530

Kinder Morgan Energy Partners LP:

5.3% 9/15/20

1,057,000

1,044,702

6.55% 9/15/40

746,000

734,480

Lukoil International Finance BV 6.656% 6/7/22 (b)

3,471,000

3,210,675

Magellan Midstream Partners LP 6.55% 7/15/19

3,287,000

3,651,071

Midcontinent Express Pipel LLC 5.45% 9/15/14 (b)

9,585,000

10,003,740

Motiva Enterprises LLC:

5.75% 1/15/20 (b)

14,132,000

14,988,936

6.85% 1/15/40 (b)

3,086,000

3,414,773

Nexen, Inc.:

5.05% 11/20/13

10,923,000

11,694,513

Nonconvertible Bonds - continued

 

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Nexen, Inc.: - continued

5.2% 3/10/15

$ 2,580,000

$ 2,745,783

6.2% 7/30/19

6,935,000

7,533,074

NGPL PipeCo LLC 6.514% 12/15/12 (b)

10,121,000

10,370,189

Pemex Project Funding Master Trust 1.557% 6/15/10 (b)(e)

3,537,000

3,519,315

Petrobras International Finance Co. Ltd.:

5.75% 1/20/20

14,490,000

14,380,137

7.875% 3/15/19

3,425,000

3,876,758

Petroleos Mexicanos 6% 3/5/20 (b)

7,395,000

7,459,706

Plains All American Pipeline LP:

4.25% 9/1/12

5,580,000

5,820,292

7.75% 10/15/12

6,699,000

7,439,742

Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 3/15/14 (b)

6,789,600

7,539,532

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (b)

1,582,000

1,631,899

5.5% 9/30/14 (b)

2,210,000

2,361,507

5.832% 9/30/16 (b)

3,816,000

4,029,696

6.75% 9/30/19 (b)

1,447,000

1,573,798

Rockies Express Pipeline LLC 6.25% 7/15/13 (b)

7,726,000

8,339,777

Southeast Supply Header LLC 4.85% 8/15/14 (b)

4,216,000

4,382,806

Spectra Energy Capital, LLC 5.65% 3/1/20

3,537,000

3,707,982

Suncor Energy, Inc. 6.1% 6/1/18

3,482,000

3,817,599

Texas Eastern Transmission LP 6% 9/15/17 (b)

4,573,000

5,125,085

Williams Partners LP 5.25% 3/15/20 (b)

13,000,000

12,995,957

XTO Energy, Inc. 4.9% 2/1/14

3,065,000

3,336,354

 

293,133,894

TOTAL ENERGY

320,182,135

FINANCIALS - 37.1%

Capital Markets - 8.5%

Bear Stearns Companies, Inc.:

5.3% 10/30/15

5,924,000

6,279,114

6.95% 8/10/12

1,235,000

1,356,338

BlackRock, Inc. 6.25% 9/15/17

4,950,000

5,601,846

Goldman Sachs Group, Inc.:

5.25% 10/15/13

16,772,000

17,450,863

5.95% 1/18/18

11,333,000

11,496,943

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Capital Markets - continued

Goldman Sachs Group, Inc.: - continued

6.15% 4/1/18

$ 12,985,000

$ 13,264,827

6.6% 1/15/12

4,860,000

5,101,163

Janus Capital Group, Inc.:

6.125% 9/15/11 (a)

6,833,000

6,933,069

6.5% 6/15/12

11,874,000

12,247,794

JPMorgan Chase Capital XX 6.55% 9/29/36

10,541,000

9,886,436

Lazard Group LLC:

6.85% 6/15/17

10,915,000

11,240,016

7.125% 5/15/15

3,910,000

4,140,381

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

18,229,000

19,020,394

6.875% 4/25/18

13,531,000

13,936,808

Morgan Stanley:

2.9228% 5/14/13 (e)

3,194,000

3,188,219

4.75% 4/1/14

2,257,000

2,240,551

5.625% 9/23/19

13,950,000

13,331,820

5.95% 12/28/17

1,561,000

1,556,214

6.6% 4/1/12

16,248,000

17,095,707

6.625% 4/1/18

9,766,000

10,028,520

Royal Bank of Scotland PLC 4.875% 8/25/14 (b)

7,170,000

7,117,924

Scotland International Finance No. 2 BV 7.7% 8/15/10 (b)

2,974,000

3,007,788

UBS AG Stamford Branch 5.75% 4/25/18

5,761,000

5,864,796

 

201,387,531

Commercial Banks - 7.7%

American Express Bank FSB 6% 9/13/17

1,888,000

2,046,065

ANZ National International Ltd. 6.2% 7/19/13 (b)

1,921,000

2,118,740

Bank of America NA:

5.3% 3/15/17

10,275,000

10,080,761

6.1% 6/15/17

4,390,000

4,436,942

Bank One Corp. 5.25% 1/30/13

2,642,000

2,801,675

Barclays Bank PLC 5% 9/22/16

3,715,000

3,670,580

BB&T Corp. 6.5% 8/1/11

3,531,000

3,714,075

Comerica Bank 5.7% 6/1/14

3,170,000

3,369,409

Comerica, Inc. 4.8% 5/1/15

4,778,000

4,933,127

Credit Suisse New York Branch 6% 2/15/18

7,790,000

7,951,152

DBS Bank Ltd. (Singapore) 0.6559% 5/16/17 (b)(e)

8,863,494

8,331,684

Discover Bank:

7% 4/15/20

1,089,000

1,073,357

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

Discover Bank: - continued

8.7% 11/18/19

$ 1,727,000

$ 1,889,531

Export-Import Bank of Korea:

5.125% 2/14/11

8,296,000

8,473,833

5.5% 10/17/12

6,408,000

6,800,810

Fifth Third Bancorp 8.25% 3/1/38

6,407,000

6,837,935

JPMorgan Chase Bank 6% 10/1/17

5,952,000

6,358,331

KeyBank NA:

5.8% 7/1/14

9,407,000

9,981,749

7% 2/1/11

6,384,000

6,592,597

KeyBank NA, Cleveland 5.45% 3/3/16

938,000

959,879

Korea Development Bank 4.625% 9/16/10

5,207,000

5,256,524

Marshall & Ilsley Bank:

4.85% 6/16/15

3,212,000

3,041,144

5% 1/17/17

3,284,000

2,930,921

5.25% 9/4/12

710,000

702,898

PNC Funding Corp. 3.625% 2/8/15

725,000

739,633

Regions Bank 6.45% 6/26/37

7,312,000

6,218,768

Regions Financial Corp.:

0.4549% 6/26/12 (e)

3,880,000

3,651,018

5.75% 6/15/15

470,000

465,459

7.75% 11/10/14

2,516,000

2,672,352

UniCredit Luxembourg Finance SA 5.584% 1/13/17 (b)(e)

8,332,000

7,901,177

Union Planters Corp. 7.75% 3/1/11

5,566,000

5,628,618

UnionBanCal Corp. 5.25% 12/16/13

1,883,000

2,037,422

Wachovia Bank NA:

4.8% 11/1/14

4,280,000

4,461,956

4.875% 2/1/15

4,000,000

4,184,044

Wachovia Corp.:

0.4328% 10/15/11 (e)

11,410,000

11,330,723

5.625% 10/15/16

9,657,000

10,263,460

5.75% 6/15/17

8,332,000

8,861,682

 

182,770,031

Consumer Finance - 4.6%

Capital One Bank USA NA 8.8% 7/15/19

19,101,000

22,779,089

Caterpillar Financial Services Corp. 2% 4/5/13

1,813,000

1,824,043

Discover Financial Services:

0.7856% 6/11/10 (e)

4,557,000

4,556,075

6.45% 6/12/17

6,788,000

6,778,198

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Consumer Finance - continued

Discover Financial Services: - continued

10.25% 7/15/19

$ 6,699,000

$ 7,890,772

General Electric Capital Corp.:

5.5% 1/8/20

17,230,000

17,675,172

5.9% 5/13/14

3,610,000

3,944,084

Household Finance Corp. 6.375% 10/15/11

5,284,000

5,586,694

HSBC Finance Corp.:

5.25% 1/14/11

3,716,000

3,787,693

5.25% 1/15/14

2,995,000

3,172,394

5.5% 1/19/16

10,600,000

11,307,465

5.9% 6/19/12

6,640,000

7,074,827

MBNA America Bank NA 7.125% 11/15/12 (b)

2,109,000

2,298,078

MBNA Corp. 7.5% 3/15/12

4,568,000

4,920,280

SLM Corp. 8% 3/25/20

5,055,000

4,496,412

Systems 2001 Asset Trust LLC 7.156% 12/15/11 (b)

775,051

807,990

 

108,899,266

Diversified Financial Services - 4.5%

Citigroup, Inc.:

4.75% 5/19/15

19,771,000

19,527,046

6.125% 5/15/18

4,796,000

4,905,545

6.5% 8/19/13

27,586,000

29,053,382

JPMorgan Chase & Co.:

4.891% 9/1/15 (e)

7,752,000

7,733,488

5.75% 1/2/13

6,299,000

6,758,562

Prime Property Funding, Inc.:

5.125% 6/1/15 (b)

3,097,000

2,891,234

5.5% 1/15/14 (b)

1,973,000

1,950,277

5.7% 4/15/17 (b)

4,820,000

4,397,276

Teachers Insurance & Annuity Association of America
6.85% 12/16/39 (b)

12,820,000

14,090,988

TECO Finance, Inc.:

4% 3/15/16

637,000

643,002

5.15% 3/15/20

916,000

929,788

TransCapitalInvest Ltd. 5.67% 3/5/14 (b)

12,408,000

12,439,020

 

105,319,608

Insurance - 3.9%

Assurant, Inc. 5.625% 2/15/14

5,431,000

5,704,592

Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(e)

4,234,000

3,768,260

Hartford Financial Services Group, Inc. 5.375% 3/15/17

2,228,000

2,202,866

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Insurance - continued

Jackson National Life Global Funding 5.375% 5/8/13 (b)

$ 2,137,000

$ 2,288,179

Liberty Mutual Group, Inc. 6.5% 3/15/35 (b)

1,688,000

1,479,339

Marsh & McLennan Companies, Inc. 9.25% 4/15/19

4,694,000

5,859,347

Monumental Global Funding II 5.65% 7/14/11 (b)

4,693,000

4,843,678

Monumental Global Funding III 5.5% 4/22/13 (b)

6,257,000

6,616,483

Northwestern Mutual Life Insurance Co. 6.063%
3/30/40 (b)

6,000,000

6,075,012

Pacific Life Global Funding 5.15% 4/15/13 (b)

9,617,000

10,092,311

Pacific LifeCorp 6% 2/10/20 (b)

6,400,000

6,665,350

Prudential Financial, Inc.:

5.15% 1/15/13

6,154,000

6,504,649

5.8% 6/15/12

3,030,000

3,219,542

QBE Insurance Group Ltd. 5.647% 7/1/23 (b)(e)

4,039,000

3,694,110

Symetra Financial Corp. 6.125% 4/1/16 (b)

14,719,000

14,574,665

Unum Group 7.125% 9/30/16

6,750,000

7,551,529

 

91,139,912

Real Estate Investment Trusts - 3.2%

AvalonBay Communities, Inc. 5.5% 1/15/12

3,585,000

3,775,292

BRE Properties, Inc. 5.5% 3/15/17

7,592,000

7,520,650

Developers Diversified Realty Corp.:

4.625% 8/1/10

8,560,000

8,569,647

5.25% 4/15/11

6,960,000

6,999,401

5.375% 10/15/12

3,660,000

3,628,963

7.5% 4/1/17

10,203,000

10,154,056

Duke Realty LP 4.625% 5/15/13

1,799,000

1,841,566

Equity One, Inc. 6.25% 12/15/14

7,730,000

7,993,083

Federal Realty Investment Trust:

5.9% 4/1/20

622,000

645,667

6% 7/15/12

8,332,000

8,897,634

Washington (REIT):

5.25% 1/15/14

3,700,000

3,893,810

5.95% 6/15/11

10,347,000

10,516,815

 

74,436,584

Real Estate Management & Development - 2.6%

Arden Realty LP 5.2% 9/1/11

3,804,000

3,937,585

BioMed Realty LP 6.125% 4/15/20 (b)

804,000

822,465

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Real Estate Management & Development - continued

Brandywine Operating Partnership LP:

5.625% 12/15/10

$ 11,616,000

$ 11,797,152

5.75% 4/1/12

5,288,000

5,485,285

Duke Realty LP:

5.4% 8/15/14

1,585,000

1,627,874

5.625% 8/15/11

8,408,000

8,637,177

6.75% 3/15/20

4,351,000

4,565,309

8.25% 8/15/19

858,000

977,984

Liberty Property LP:

5.125% 3/2/15

2,408,000

2,469,753

5.5% 12/15/16

4,231,000

4,362,017

Mack-Cali Realty LP:

7.75% 2/15/11

2,772,000

2,867,243

7.75% 8/15/19

8,050,000

9,311,572

Reckson Operating Partnership LP 5.15% 1/15/11

1,521,000

1,523,447

Simon Property Group LP:

4.6% 6/15/10

1,662,000

1,663,637

4.875% 8/15/10

1,917,000

1,926,016

 

61,974,516

Thrifts & Mortgage Finance - 2.1%

Bank of America Corp. 5.65% 5/1/18

17,366,000

17,465,941

Countrywide Financial Corp. 5.8% 6/7/12

12,454,000

13,128,247

First Niagara Financial Group, Inc. 6.75% 3/19/20

1,777,000

1,859,284

Independence Community Bank Corp.:

2.1115% 4/1/14 (e)

11,982,000

11,729,372

4.9% 9/23/10

4,820,000

4,862,040

 

49,044,884

TOTAL FINANCIALS

874,972,332

HEALTH CARE - 1.0%

Health Care Equipment & Supplies - 0.4%

Hospira, Inc. 6.4% 5/15/15

8,211,000

9,336,400

Health Care Providers & Services - 0.1%

Express Scripts, Inc. 5.25% 6/15/12

2,423,000

2,592,811

Nonconvertible Bonds - continued

 

Principal Amount

Value

HEALTH CARE - continued

Pharmaceuticals - 0.5%

Watson Pharmaceuticals, Inc.:

5% 8/15/14

$ 8,274,000

$ 8,781,006

6.125% 8/15/19

2,676,000

2,865,035

 

11,646,041

TOTAL HEALTH CARE

23,575,252

INDUSTRIALS - 1.6%

Aerospace & Defense - 0.4%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (b)

6,570,000

7,043,769

6.4% 12/15/11 (b)

2,323,000

2,471,693

 

9,515,462

Airlines - 1.2%

Continental Airlines, Inc.:

6.648% 3/15/19

8,012,017

8,012,017

6.9% 7/2/19

2,371,193

2,347,481

Delta Air Lines, Inc. pass-thru trust certificates 7.57% 11/18/10

9,592,000

9,687,920

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

5,600,147

5,124,135

8.36% 7/20/20

4,161,019

4,077,799

 

29,249,352

TOTAL INDUSTRIALS

38,764,814

INFORMATION TECHNOLOGY - 1.4%

Electronic Equipment & Components - 1.0%

Tyco Electronics Group SA:

5.95% 1/15/14

10,169,000

11,128,872

6% 10/1/12

11,015,000

11,878,752

 

23,007,624

Office Electronics - 0.4%

Xerox Corp.:

4.25% 2/15/15

4,232,000

4,333,945

5.5% 5/15/12

4,550,000

4,852,206

 

9,186,151

TOTAL INFORMATION TECHNOLOGY

32,193,775

Nonconvertible Bonds - continued

 

Principal Amount

Value

MATERIALS - 4.8%

Chemicals - 2.3%

Dow Chemical Co.:

4.85% 8/15/12

$ 26,952,000

$ 28,319,949

7.6% 5/15/14

18,927,000

21,682,771

Lubrizol Corp. 8.875% 2/1/19

2,636,000

3,191,461

 

53,194,181

Construction Materials - 0.2%

CRH America, Inc. 6% 9/30/16

5,207,000

5,669,574

Containers & Packaging - 0.4%

Pactiv Corp.:

5.875% 7/15/12

4,868,000

4,996,958

6.4% 1/15/18

4,968,000

5,055,357

 

10,052,315

Metals & Mining - 1.9%

Anglo American Capital PLC 9.375% 4/8/14 (b)

9,930,000

11,673,023

ArcelorMittal SA 9.85% 6/1/19

7,346,000

8,966,843

Rio Tinto Finance (USA) Ltd.:

6.5% 7/15/18

2,779,000

3,073,057

8.95% 5/1/14

11,888,000

14,281,720

Vale Overseas Ltd. 6.25% 1/23/17

6,596,000

7,082,237

 

45,076,880

TOTAL MATERIALS

113,992,950

TELECOMMUNICATION SERVICES - 4.8%

Diversified Telecommunication Services - 3.3%

British Telecommunications PLC 9.125% 12/15/10 (a)

7,718,000

8,038,575

CenturyTel, Inc. 7.6% 9/15/39

6,000,000

5,650,734

Deutsche Telekom International Financial BV 5.25% 7/22/13

4,263,000

4,555,544

Embarq Corp. 7.995% 6/1/36

4,325,000

4,359,526

SBC Communications, Inc.:

5.875% 2/1/12

7,764,000

8,321,820

5.875% 8/15/12

2,777,000

3,025,666

Sprint Capital Corp. 7.625% 1/30/11

10,805,000

10,994,088

Telecom Italia Capital SA:

4.95% 9/30/14

9,112,000

9,035,924

7.175% 6/18/19

5,990,000

6,345,602

Telefonica Emisiones SAU 5.134% 4/27/20

6,000,000

5,788,044

Nonconvertible Bonds - continued

 

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Verizon New England, Inc. 6.5% 9/15/11

$ 2,531,000

$ 2,682,521

Verizon New York, Inc. 6.875% 4/1/12

7,540,000

8,159,449

 

76,957,493

Wireless Telecommunication Services - 1.5%

America Movil SAB de CV 3.625% 3/30/15 (b)

8,404,000

8,518,631

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

14,200,000

15,025,801

5.875% 10/1/19

4,295,000

4,564,524

6.35% 3/15/40 (b)

871,000

888,310

Vodafone Group PLC 5% 12/16/13

6,523,000

7,027,508

 

36,024,774

TOTAL TELECOMMUNICATION SERVICES

112,982,267

UTILITIES - 7.3%

Electric Utilities - 4.0%

AmerenUE 6.4% 6/15/17

8,487,000

9,394,337

Cleveland Electric Illuminating Co. 5.65% 12/15/13

11,683,000

12,696,302

EDP Finance BV:

4.9% 10/1/19 (b)

700,000

638,389

6% 2/2/18 (b)

10,414,000

10,379,519

Enel Finance International SA 5.7% 1/15/13 (b)

2,370,000

2,508,811

FirstEnergy Corp. 7.375% 11/15/31

5,684,000

5,872,362

Nevada Power Co. 6.5% 8/1/18

4,462,000

5,032,119

Oncor Electric Delivery Co. 6.375% 5/1/12

7,760,000

8,384,308

Pennsylvania Electric Co. 6.05% 9/1/17

2,172,000

2,349,678

Pepco Holdings, Inc. 6.45% 8/15/12

10,597,000

11,508,734

PPL Capital Funding, Inc. 6.7% 3/30/67 (e)

11,652,000

10,195,500

Progress Energy, Inc. 7.1% 3/1/11

9,615,000

10,036,954

Sierra Pacific Power Co. 5.45% 9/1/13

4,430,000

4,778,322

 

93,775,335

Gas Utilities - 0.4%

Texas Eastern Transmission Corp. 7.3% 12/1/10

8,807,000

9,059,840

Independent Power Producers & Energy Traders - 0.3%

Duke Capital LLC 5.668% 8/15/14

5,839,000

6,231,282

Multi-Utilities - 2.6%

Dominion Resources, Inc.:

6.3% 9/30/66 (e)

9,216,000

8,524,800

7.5% 6/30/66 (e)

9,265,000

8,987,050

Nonconvertible Bonds - continued

 

Principal Amount

Value

UTILITIES - continued

Multi-Utilities - continued

DTE Energy Co. 7.05% 6/1/11

$ 2,795,000

$ 2,938,722

MidAmerican Energy Holdings, Co. 5.875% 10/1/12

6,726,000

7,338,375

National Grid PLC 6.3% 8/1/16

5,265,000

5,930,538

NiSource Finance Corp.:

5.25% 9/15/17

2,395,000

2,463,655

5.4% 7/15/14

3,828,000

4,107,674

6.4% 3/15/18

3,767,000

4,085,436

7.875% 11/15/10

2,901,000

2,981,990

Wisconsin Energy Corp. 6.25% 5/15/67 (e)

14,259,000

12,975,690

WPS Resources Corp. 6.11% 12/1/66 (e)

2,091,000

1,881,900

 

62,215,830

TOTAL UTILITIES

171,282,287

TOTAL NONCONVERTIBLE BONDS

(Cost $1,916,505,177)

2,033,158,939

U.S. Treasury Obligations - 10.4%

 

U.S. Treasury Notes:

2.125% 5/31/15 (c)

58,900,000

58,973,625

2.5% 4/30/15 (c)

156,753,000

159,912,510

3.625% 2/15/20

26,300,000

26,975,989

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $242,800,527)

245,862,124

Municipal Securities - 0.9%

 

California Gen. Oblig. 6.2% 3/1/19
(Cost $19,218,195)

18,965,000

19,669,170

Bank Notes - 1.3%

 

National City Bank, Cleveland 0.3519% 3/1/13 (e)

2,974,000

2,858,758

Wachovia Bank NA 6% 11/15/17

25,786,000

27,944,874

TOTAL BANK NOTES

(Cost $25,440,903)

30,803,632

Preferred Securities - 0.4%

Principal Amount

Value

FINANCIALS - 0.4%

Diversified Financial Services - 0.4%

ING Groep NV 5.775% (e)

$ 2,989,000

$ 2,271,395

MUFG Capital Finance 1 Ltd. 6.346% (e)

8,045,000

7,295,910

 

9,567,305

TOTAL PREFERRED SECURITIES

(Cost $11,024,440)

9,567,305

Cash Equivalents - 3.5%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at 0.21%, dated 5/28/10 due 6/1/10 (Collateralized by U.S. Government Obligations) #
(Cost $82,981,000)

$ 82,982,926

82,981,000

TOTAL INVESTMENT PORTFOLIO - 102.7%

(Cost $2,297,970,242)

2,422,042,170

NET OTHER ASSETS - (2.7)%

(63,007,915)

NET ASSETS - 100%

$ 2,359,034,255

Swap Agreements

 

Expiration Date

Notional Amount

 

Credit Default Swaps

Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon credit event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10 (d)

Sept. 2010

$ 29,000,000

$ (82,723)

Legend

(a) 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.

(b) 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 $366,971,862 or 15.6% of net assets.

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

(d) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk.

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

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

Repurchase Agreement / Counterparty

Value

$82,981,000 due 6/01/10 at 0.21%

Banc of America Securities LLC

$ 5,587,185

Bank of America, NA

52,834,064

J.P. Morgan Securities, Inc. 

5,645,920

Mizuho Securities USA, Inc. 

18,913,831

 

$ 82,981,000

Other Information

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At May 31, 2010, the cost of investment securities for income tax purposes was $2,289,686,460. Net unrealized appreciation aggregated $132,355,710, of which $144,382,911 related to appreciated investment securities and $12,027,201 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Directors to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Directors. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels. Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows.

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, bank notes, municipal securities, preferred securities, and U.S. government and government agency obligations pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

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 and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

Credit Default Swap Agreements

The Fund entered into credit default swaps, which are agreements with a counterparty that enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund entered into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a basket of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.

As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.

Credit default swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation). Any upfront payments made or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap.

The fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to sell a credit default swaps in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund.

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

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $29,000,000 representing 1.23% of net assets.

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Mortgage Backed Securities Central Fund

May 31, 2010 

1.850080.103

MBSCEN-QTLY-0710

Investments May 31, 2010 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 118.4%

 

Principal Amount

Value

Fannie Mae - 84.7%

1.75% 10/1/34 (e)

$ 52,237

$ 53,352

1.967% 3/1/35 (e)

10,157,241

10,465,376

1.989% 2/1/33 (e)

30,004

30,846

2.026% 4/1/36 (e)

12,580,451

12,938,560

2.033% 1/1/35 (e)

10,612,257

10,937,156

2.041% 10/1/34 (e)

6,821,630

7,038,513

2.048% 10/1/33 (e)

250,281

257,680

2.063% 12/1/34 (e)

839,790

862,736

2.072% 3/1/35 (e)

424,029

436,684

2.113% 1/1/35 (e)

3,248,886

3,334,889

2.129% 7/1/35 (e)

285,813

294,122

2.136% 3/1/35 (e)

106,914

110,413

2.211% 4/1/36 (e)

2,894,247

2,981,221

2.327% 10/1/33 (e)

32,833

33,703

2.373% 12/1/34 (e)

124,840

129,260

2.582% 3/1/35 (e)

874,799

912,712

2.69% 1/1/35 (e)

38,480

39,502

2.732% 5/1/35 (e)

17,262,538

17,967,687

2.786% 8/1/35 (e)

6,626,954

6,940,327

2.799% 10/1/33 (e)

1,262,528

1,321,792

2.823% 11/1/34 (e)

26,501,633

27,667,877

2.899% 7/1/35 (e)

19,273,798

20,095,816

2.904% 11/1/34 (e)

7,720,989

8,070,534

2.963% 3/1/33 (e)

1,459,746

1,527,718

2.972% 9/1/35 (e)

8,512,178

8,961,532

3.018% 1/1/35 (e)

2,499,533

2,599,664

3.084% 7/1/34 (e)

2,310,557

2,425,832

3.152% 7/1/35 (e)

7,042,991

7,396,665

3.177% 2/1/34 (e)

10,219,225

10,686,387

3.203% 7/1/35 (e)

1,682,026

1,759,381

3.258% 9/1/34 (e)

663,111

688,977

3.343% 11/1/36 (e)

1,284,288

1,345,655

3.346% 10/1/35 (e)

7,491,817

7,796,089

3.347% 7/1/35 (e)

15,618,313

16,058,668

3.358% 7/1/34 (e)

351,489

365,106

3.361% 1/1/40 (e)

17,430,348

17,830,375

3.38% 7/1/35 (e)

6,184,112

6,443,764

3.455% 7/1/35 (e)

1,131,065

1,164,272

3.465% 4/1/35 (e)

17,010,181

17,823,812

3.513% 5/1/35 (e)

3,816,827

3,986,069

3.549% 12/1/39 (e)

10,934,500

11,250,026

3.674% 6/1/47 (e)

1,666,025

1,746,626

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Fannie Mae - continued

3.893% 9/1/36 (e)

$ 3,655,352

$ 3,829,496

3.914% 9/1/36 (e)

4,052,428

4,233,202

4% 8/1/24 to 11/1/39

245,973,464

245,026,474

4% 6/1/25 (a)(b)

116,000,000

118,906,067

4% 6/1/25 (a)(b)

119,000,000

121,981,224

4% 6/1/25 (a)(b)

70,000,000

71,753,661

4% 6/1/25 (a)(b)

49,000,000

50,227,563

4% 6/1/25 (a)(b)

139,000,000

142,482,270

4.08% 9/1/35 (e)

2,558,077

2,675,447

4.209% 10/1/37 (e)

3,354,047

3,509,229

4.278% 6/1/36 (e)

556,652

580,071

4.5% 4/1/21 to 11/1/39

513,613,683

526,245,200

4.5% 6/1/25 (a)

101,000,000

105,639,900

4.5% 6/1/25 (a)

58,100,000

60,769,091

4.5% 5/1/40 (a)(b)

132,000,000

134,878,788

4.5% 6/1/40 (a)(b)

184,000,000

187,732,532

4.5% 6/1/40 (a)(b)

81,000,000

82,643,126

4.5% 6/1/40 (a)(b)

160,000,000

163,245,680

4.5% 6/1/40 (a)(b)

11,100,000

11,325,169

4.5% 6/1/40 (a)(b)

218,000,000

222,422,239

4.661% 10/1/35 (e)

15,356,196

16,210,377

5% 9/1/16 to 6/1/40 (b)

728,146,547

766,434,808

5% 4/1/40 (a)(b)

10,000,000

10,366,399

5% 6/1/40 (a)(b)

235,450,000

246,404,429

5% 6/1/40 (a)(b)

186,000,000

194,653,743

5% 6/1/40 (a)(b)

10,000,000

10,465,255

5.121% 6/1/35 (e)

6,612,772

6,944,434

5.165% 9/1/35 (e)

1,982,312

2,075,718

5.367% 6/1/36 (e)

5,856,178

6,094,027

5.38% 8/1/36 (e)

3,981,199

4,202,651

5.5% 6/1/11 to 3/1/40

1,208,229,723

1,291,042,242

5.5% 6/1/40 (a)(b)

58,500,000

62,397,966

5.5% 6/1/40 (a)(b)

177,000,000

188,793,846

5.5% 6/1/40 (a)(b)

1,700,000

1,813,274

5.5% 6/1/40 (a)(b)

35,000,000

37,332,117

5.5% 6/1/40 (a)(b)

21,000,000

22,399,270

5.5% 6/1/40 (a)(b)

60,800,000

64,851,220

5.715% 3/1/36 (e)

5,247,821

5,449,017

5.724% 9/1/35 (e)

2,391,336

2,524,353

5.812% 7/1/37 (e)

1,597,133

1,669,275

5.838% 3/1/36 (e)

4,002,367

4,154,713

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Fannie Mae - continued

5.838% 5/1/36 (e)

$ 7,174,397

$ 7,505,804

5.938% 1/1/37 (e)

13,311,233

13,962,332

5.989% 4/1/36 (e)

21,305,933

22,146,548

6% 12/1/11 to 3/1/39

373,778,390

405,633,966

6% 5/1/40 (a)(b)

41,000,000

44,240,587

6% 5/1/40 (a)(b)

73,000,000

78,769,825

6% 5/1/40 (a)(b)

71,000,000

76,611,748

6% 6/1/40 (a)(b)

91,000,000

98,004,124

6% 6/1/40 (a)(b)

32,500,000

35,001,473

6% 6/1/40 (a)(b)

54,000,000

58,156,294

6% 6/1/40 (a)(b)

319,000,000

343,552,920

6.213% 3/1/37 (e)

1,154,152

1,232,058

6.255% 8/1/46 (e)

637,050

680,051

6.276% 9/1/37 (e)

540,256

566,466

6.368% 5/1/36 (e)

2,375,789

2,490,808

6.399% 9/1/36 (e)

1,013,629

1,070,581

6.442% 4/1/37 (e)

2,754,073

2,927,497

6.5% 2/1/11 to 9/1/38

115,843,648

126,750,724

6.5% 6/1/40 (a)(b)

4,800,000

5,221,967

6.5% 6/1/40 (a)(b)

13,500,000

14,686,781

6.5% 6/1/40 (a)(b)

37,000,000

40,252,659

6.736% 5/1/37 (e)

142,186

149,684

6.961% 9/1/37 (e)

1,409,832

1,479,143

6.962% 9/1/37 (e)

595,119

625,821

7% 5/1/13 to 7/1/37

23,642,754

26,201,156

7.5% 7/1/11 to 2/1/32

9,556,473

10,488,359

8% 9/1/17 to 3/1/37

529,227

584,367

8.5% 12/1/16 to 8/1/23

74,034

81,994

9.5% 5/1/18 to 2/1/25

186,498

214,297

10% 8/1/17

716

798

10.75% 5/1/14

9,693

10,612

11.25% 5/1/14

810

888

12.5% 1/1/15

2,347

2,592

 

6,880,467,863

Freddie Mac - 12.7%

1.967% 3/1/35 (e)

1,673,582

1,712,275

2.027% 3/1/37 (e)

6,175,589

6,325,227

2.356% 7/1/36 (e)

4,155,472

4,288,778

2.588% 6/1/33 (e)

2,832,469

2,936,643

2.627% 4/1/35 (e)

2,770,538

2,891,941

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Freddie Mac - continued

2.879% 6/1/33 (e)

$ 8,898,636

$ 9,307,088

2.879% 11/1/35 (e)

2,707,126

2,826,895

2.959% 3/1/36 (e)

3,098,961

3,217,162

2.996% 5/1/35 (e)

5,499,703

5,746,686

3.086% 4/1/37 (e)

1,130,765

1,184,527

3.236% 3/1/35 (e)

12,118,880

12,711,657

3.269% 1/1/36 (e)

7,276,407

7,673,739

3.274% 10/1/35 (e)

3,699,531

3,823,157

3.32% 10/1/33 (e)

4,116,306

4,323,216

3.392% 3/1/37 (e)

1,086,873

1,125,540

3.537% 3/1/33 (e)

88,937

93,856

3.58% 1/1/37 (e)

6,581,495

6,945,531

3.706% 10/1/36 (e)

3,981,666

4,136,802

3.938% 6/1/35 (e)

2,509,077

2,624,095

4% 6/1/25 (a)

12,000,000

12,297,815

4.208% 4/1/34 (e)

2,685,276

2,771,915

4.5% 9/1/39 to 11/1/39

18,704,152

19,142,968

4.744% 5/1/37 (e)

826,475

865,460

4.774% 2/1/36 (e)

718,235

755,307

4.846% 5/1/35 (e)

4,929,057

5,140,001

5% 6/1/20 to 6/1/40

312,225,538

328,747,457

5.116% 4/1/38 (e)

11,646,878

12,329,303

5.138% 4/1/35 (e)

297,762

314,517

5.234% 12/1/35 (e)

2,772,693

2,878,777

5.402% 1/1/36 (e)

4,937,496

5,156,787

5.5% 6/1/15 to 5/1/40

238,906,597

256,306,041

5.509% 5/1/37 (e)

999,220

1,026,492

5.515% 1/1/36 (e)

752,310

774,833

5.585% 10/1/35 (e)

484,047

506,735

5.585% 4/1/36 (e)

3,542,699

3,708,465

5.86% 6/1/37 (e)

2,802,716

2,877,197

6% 2/1/17 to 12/1/37

71,642,481

78,174,376

6% 3/1/40 (a)(b)

39,000,000

41,910,687

6% 5/1/40 (a)

54,750,000

59,120,140

6.009% 6/1/37 (e)

328,898

348,063

6.068% 7/1/36 (e)

1,351,225

1,424,345

6.078% 3/1/36 (e)

4,026,896

4,298,712

6.142% 6/1/36 (e)

2,757,214

2,943,326

6.157% 6/1/37 (e)

857,190

905,784

6.158% 8/1/37 (e)

306,772

323,425

6.194% 4/1/37 (e)

893,423

952,541

6.233% 8/1/37 (e)

2,386,321

2,537,621

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Freddie Mac - continued

6.449% 2/1/37 (e)

$ 2,938,550

$ 3,085,038

6.452% 12/1/36 (e)

3,727,639

3,979,255

6.474% 6/1/36 (e)

523,531

558,869

6.5% 4/1/11 to 3/1/37

51,713,478

56,763,423

6.605% 6/1/37 (e)

983,063

1,043,380

7% 6/1/21 to 9/1/36

23,779,259

26,369,763

7.22% 4/1/37 (e)

43,838

46,603

7.255% 2/1/37 (e)

236,573

252,541

7.5% 9/1/15 to 6/1/32

516,733

567,036

8% 7/1/16 to 1/1/37

1,111,267

1,227,553

8.5% 9/1/19 to 1/1/28

458,145

514,664

9% 10/1/16

2,319

2,565

11% 8/1/15 to 9/1/20

67,700

76,969

11.5% 10/1/15

4,096

4,603

12% 2/1/13 to 7/1/15

1,420

1,577

13.5% 12/1/14

10,771

12,204

 

1,026,939,948

Government National Mortgage Association - 21.0%

4% 2/15/39 to 4/15/40

179,926,815

180,001,112

4% 6/1/40 (a)

24,000,000

23,947,032

4.5% 9/15/33 to 9/15/39

168,295,224

173,205,816

4.5% 6/1/40 (a)

75,000,000

76,781,250

4.5% 6/1/40 (a)

80,000,000

81,900,000

4.5% 6/1/40 (a)

105,000,000

107,769,827

4.5% 6/1/40 (a)

96,000,000

98,532,413

4.5% 6/1/40 (a)

9,700,000

9,955,879

4.5% 6/1/40 (a)

117,100,000

120,189,016

5% 6/15/38 to 11/15/39

133,916,254

141,644,234

5% 6/1/40 (a)

48,800,000

51,312,439

5% 6/1/40 (a)

14,000,000

14,720,782

5% 6/1/40 (a)

42,000,000

44,162,345

5% 6/1/40 (a)(b)

23,000,000

24,242,587

5.31% 6/1/60 (a)(i)

35,000,000

38,073,875

5.5% 4/15/29 to 9/15/39

62,578,828

67,512,039

5.5% 6/1/40 (a)(b)

39,000,000

41,818,019

5.5% 6/1/40 (a)(b)

26,000,000

27,878,679

5.5% 6/1/40 (a)(b)

35,000,000

37,528,992

5.5% 6/1/40 (a)(b)

34,800,000

37,314,540

5.5% 5/1/60 (i)

34,075,000

37,323,199

6% 4/15/28 to 11/15/39

48,149,400

52,656,707

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Government National Mortgage Association - continued

6% 6/1/40 (a)

$ 71,250,000

$ 77,056,847

6.5% 3/20/31 to 11/20/39

93,356,768

102,590,533

7% 6/15/22 to 3/15/33

19,510,506

21,662,412

7.5% 1/15/17 to 10/15/31

8,972,607

9,799,745

8% 8/15/16 to 11/15/29

2,552,079

2,798,326

8.5% 11/15/16 to 1/15/31

487,999

544,347

9% 8/15/19 to 1/15/23

33,909

37,860

9.5% 12/15/20 to 3/15/23

20,033

22,574

10.5% 5/20/16 to 1/20/18

89,041

104,188

11% 7/20/13 to 7/20/20

78,006

87,701

 

1,703,175,315

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $9,373,062,732)

9,610,583,126

Asset-Backed Securities - 0.1%

 

Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.6128% 5/25/37 (e)

2,235,000

88,917

Home Equity Asset Trust Series 2006-8 Class 2A1, 0.3928% 3/25/37 (e)

83,420

79,989

Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.5028% 11/25/36 (e)

6,000,000

1,947,795

Merrill Lynch Mortgage Investors Trust:

Series 2005-FM1 Class A2D, 0.7228% 5/25/36 (e)

6,554,133

5,924,343

Series 2006-MLN1 Class A2A, 0.4128% 7/25/37 (e)

457,550

451,381

Morgan Stanley Capital I Trust Series 2006-HE1 Class M2, 0.7328% 1/25/36 (e)

3,909,000

296,842

Securitized Asset Backed Receivables LLC Trust:

Series 2006-FR4 Class A2A, 0.4228% 8/25/36 (e)

909,269

461,228

Series 2007-NC1 Class A2A, 0.3928% 12/25/36 (e)

438,559

426,596

TOTAL ASSET-BACKED SECURITIES

(Cost $19,761,019)

9,677,091

Collateralized Mortgage Obligations - 9.8%

 

Principal Amount

Value

Private Sponsor - 0.1%

Citigroup Mortgage Loan Trust Series 2006-AR7 Class 1A1, 4.3738% 11/25/36 (e)

$ 842,503

$ 539,824

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 1A1, 3.1062% 10/25/34 (e)

1,263,367

1,025,474

Granite Master Issuer PLC floater Series 2005-4 Class C2, 0.8897% 12/20/54 (e)

3,231,304

1,373,304

TOTAL PRIVATE SPONSOR

2,938,602

U.S. Government Agency - 9.7%

Fannie Mae:

floater:

Series 2002-94 Class FB, 0.7428% 1/25/18 (e)

2,774,060

2,791,640

Series 2006-56 Class PF, 0.6928% 7/25/36 (e)

26,588,808

26,533,940

planned amortization class:

Series 1996-28 Class PK, 6.5% 7/25/25

1,685,179

1,854,092

Series 1999-17 Class PG, 6% 4/25/29

15,311,417

16,808,987

Series 2006-105 Class MD, 5.5% 6/25/35

4,664,000

5,106,012

Series 2006-45 Class OP, 0% 6/25/36 (g)

7,030,260

6,225,178

sequential payer Series 1999-25 Class Z, 6% 6/25/29

5,980,506

6,550,262

Series 1993-165 Class SH, 18.7391% 9/25/23 (e)(h)

460,882

508,101

Series 2009-16 Class SA, 5.9072% 3/25/24 (e)(f)(h)

23,551,219

2,084,323

Series 2009-76 Class MI, 5.5% 9/25/24 (f)

11,062,122

1,315,910

Series 2010-17 Class DI, 4.5% 6/25/21 (f)

9,389,558

967,241

Series 2010-23:

Class AI, 5% 12/25/18 (f)

21,034,281

2,476,090

Class HI, 4.5% 10/25/18 (f)

13,538,630

1,401,424

Series 2010-29 Class LI, 4.5% 6/25/19 (f)

39,839,579

4,448,089

Series 2010-37 Class GI, 5% 4/25/25 (f)

30,616,529

3,441,322

Fannie Mae Stripped Mortgage-Backed Securities:

sequential payer Series 377 Class 1, 0% 10/1/36 (g)

30,631,087

26,219,580

Series 339:

Class 29, 5.5% 7/1/18 (f)

6,112,877

742,668

Class 5, 5.5% 8/1/33 (f)

6,993,089

1,267,283

Series 343 Class 16, 5.5% 5/1/34 (f)

5,281,089

970,122

Series 348 Class 14, 6.5% 8/1/34 (f)

3,078,897

639,577

Series 351:

Class 12, 5.5% 4/1/34 (f)

2,479,362

464,437

Class 13, 6% 3/1/34 (f)

2,940,836

555,226

Series 359, Class 19 6% 7/1/35 (f)

3,057,076

589,001

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

U.S. Government Agency - continued

Fannie Mae Stripped Mortgage-Backed Securities: - continued

Series 384 Class 6, 5% 7/25/37 (f)

$ 34,697,723

$ 5,689,795

Fannie Mae subordinate REMIC pass-thru certificates:

floater:

Series 2002-18 Class FD, 1.1428% 2/25/32 (e)

781,724

779,462

Series 2002-39 Class FD, 1.3378% 3/18/32 (e)

916,303

922,298

Series 2002-60 Class FV, 1.3428% 4/25/32 (e)

1,930,394

1,969,138

Series 2002-63 Class FN, 1.3428% 10/25/32 (e)

2,006,493

2,016,493

Series 2002-7 Class FC, 1.0928% 1/25/32 (e)

1,023,452

1,034,056

Series 2007-36:

Class FB, 0.7428% 4/25/37 (e)

59,141,168

59,042,894

Class FG, 0.7428% 4/25/37 (e)

19,062,486

19,073,415

Series 2007-57 Class FA, 0.5728% 6/25/37 (e)

22,479,638

22,247,472

planned amortization class:

Series 1999-32 Class PL, 6% 7/25/29

11,023,101

12,008,174

Series 1999-33 Class PK, 6% 7/25/29

7,437,808

8,195,926

Series 2001-52 Class YZ, 6.5% 10/25/31

679,907

754,305

Series 2002-52 Class PB, 6% 2/25/32

6,645,809

6,883,900

Series 2005-73 Class SA, 16.6587% 8/25/35 (e)(h)

5,323,649

5,888,280

sequential payer:

Series 2001-20 Class Z, 6% 5/25/31

13,716,342

14,943,480

Series 2001-31 Class ZC, 6.5% 7/25/31

5,522,145

6,045,937

Series 2002-16 Class ZD, 6.5% 4/25/32

3,727,856

4,137,554

Series 2002-79 Class Z, 5.5% 11/25/22

12,201,684

13,189,001

Series 2003-80 Class CG, 6% 4/25/30

1,630,458

1,702,183

Series 2003-21 Class SK, 7.7572% 3/25/33 (e)(f)(h)

2,260,076

450,849

Series 2003-3 Class HS, 7.3072% 9/25/16 (e)(f)(h)

86,327

1,629

Series 2003-35:

Class BS, 6.6572% 4/25/17 (e)(f)(h)

1,486,911

59,284

Class TQ, 7.1572% 5/25/18 (e)(f)(h)

2,398,379

232,923

Series 2003-42 Class SJ, 6.7072% 11/25/22 (e)(f)(h)

2,718,188

203,491

Series 2004-54 Class SW, 5.6572% 6/25/33 (e)(f)(h)

11,013,519

999,367

Series 2005-104 Class NI, 6.3572% 3/25/35 (e)(f)(h)

42,720,524

5,767,625

Series 2007-36:

Class GO, 0% 4/25/37 (g)

3,055,091

2,703,799

Class PO, 0% 4/25/37 (g)

4,178,582

3,681,407

Class SB, 6.2572% 4/25/37 (e)(f)(h)

54,144,083

7,676,819

Class SG, 6.2572% 4/25/37 (e)(f)(h)

39,559,270

5,109,578

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

U.S. Government Agency - continued

Fannie Mae subordinate REMIC pass-thru certificates: - continued

Series 2007-57 Class SA, 38.5631% 6/25/37 (e)(h)

$ 6,729,347

$ 11,442,116

Series 2007-66:

Class FB, 0.7428% 7/25/37 (e)

22,945,538

22,954,232

Class SA, 37.5431% 7/25/37 (e)(h)

9,591,706

15,895,674

Class SB, 37.5431% 7/25/37 (e)(h)

3,824,256

6,492,191

Series 2009-114 Class AI, 5% 12/25/23 (f)

23,086,268

2,692,496

Series 2010-12 Class AI, 5% 12/25/18 (f)

41,872,716

4,923,963

Freddie Mac:

floater:

Series 3033 Class TF, 0% 9/15/35 (e)

107,399

104,876

Series 3318:

Class CY, 0% 11/15/36 (e)

376,379

369,519

Class GY, 0% 5/15/37 (e)

542,977

527,582

planned amortization class:

Series 2095 Class PE, 6% 11/15/28

13,724,779

14,873,665

Series 2101 Class PD, 6% 11/15/28

1,285,031

1,390,229

Series 2162 Class PH, 6% 6/15/29

2,266,089

2,466,429

Series 3225 Class EO, 0% 10/15/36 (g)

8,757,599

7,516,863

Freddie Mac Manufactured Housing participation certificates guaranteed sequential payer:

Series 2043 Class ZH, 6% 4/15/28

6,006,988

6,695,174

Series 2056 Class Z, 6% 5/15/28

9,132,457

9,938,963

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2412 Class FK, 1.1369% 1/15/32 (e)

587,613

585,779

Series 2423 Class FA, 1.2369% 3/15/32 (e)

1,175,401

1,176,503

Series 2424 Class FM, 1.3369% 3/15/32 (e)

1,171,756

1,177,033

Series 2432:

Class FE, 1.2369% 6/15/31 (e)

1,382,816

1,385,476

Class FG, 1.2369% 3/15/32 (e)

518,880

519,411

Series 3066 Class HF, 0% 1/15/34 (e)

77,101

76,148

Series 3129 Class MF, 0% 7/15/34 (e)

473,149

464,887

Series 3222 Class HF, 0% 9/15/36 (e)

1,023,385

1,015,001

Series 3298 Class CF, 0% 8/15/36 (e)

40,397

40,344

Series 3346 Class FA, 0.5669% 2/15/19 (e)

71,011,835

71,089,380

planned amortization class:

Series 2006-15 Class OP, 0% 3/25/36 (g)

8,929,866

7,301,786

Series 2121 Class MG, 6% 2/15/29

5,600,814

6,111,596

Series 2131 Class BG, 6% 3/15/29 (c)(d)

35,942,420

39,434,205

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

Series 2137 Class PG, 6% 3/15/29

$ 5,723,864

$ 6,240,930

Series 2154 Class PT, 6% 5/15/29

8,427,106

9,173,871

Series 2425 Class JH, 6% 3/15/17

3,057,404

3,306,112

Series 2520 Class BE, 6% 11/15/32

14,830,000

16,317,634

Series 2585 Class KS, 7.2631% 3/15/23 (e)(f)(h)

1,543,349

162,421

Series 2590 Class YR, 5.5% 9/15/32 (f)

502,608

57,343

Series 3258 Class PM, 5.5% 12/15/36

9,747,592

10,658,850

sequential payer:

Series 2135 Class JE, 6% 3/15/29

2,330,444

2,553,680

Series 2274 Class ZM, 6.5% 1/15/31

2,128,409

2,328,156

Series 2281 Class ZB, 6% 3/15/30

4,225,124

4,591,818

Series 2303 Class ZV, 6% 4/15/31

3,585,028

3,885,601

Series 2502 Class ZC, 6% 9/15/32

6,904,487

7,638,608

Series 2519 Class ZD, 5.5% 11/15/32

11,979,764

13,011,968

Series 2564 Class ES, 7.2631% 2/15/22 (e)(f)(h)

1,288,332

52,475

Series 2575 Class ID, 5.5% 8/15/22 (f)

354,556

27,894

Series 2642 Class AR, 4.5% 7/15/23

10,660,000

11,220,865

Series 2817 Class SD, 6.7131% 7/15/30 (e)(f)(h)

3,693,549

254,275

Series 3266 Class D, 5% 1/15/22

11,000,000

12,063,293

Series 3427 Class FX, 0.4869% 8/15/18 (e)

59,896,597

59,862,408

Series 2844:

Class SC, 44.6103% 8/15/24 (e)(h)

350,973

634,114

Class SD, 82.0705% 8/15/24 (e)(h)

516,346

1,341,594

Series 2957 Class SW, 5.6631% 4/15/35 (e)(f)(h)

18,860,317

1,981,835

Series 3002 Class SN, 6.1631% 7/15/35 (e)(f)(h)

18,931,396

2,243,528

Ginnie Mae guaranteed REMIC pass-thru securities:

floater Series 2010-H03 Class FA, 0.8897% 3/20/60 (e)(i)

24,208,140

24,504,085

planned amortization class Series 1993-13 Class PD, 6% 5/20/29

9,092,627

9,820,922

Series 2004-32 Class GS, 6.1631% 5/16/34 (e)(f)(h)

4,121,484

676,264

Series 2007-35 Class SC, 38.1787% 6/16/37 (e)(h)

495,593

816,427

Government National Mortgage Association 0.2777% 5/1/60 (a)(e)(i)

18,650,000

18,732,526

TOTAL U.S. GOVERNMENT AGENCY

790,192,057

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $746,283,811)

793,130,659

Cash Equivalents - 23.8%

Maturity Amount

Value

Investments in repurchase agreements in a joint trading account at 0.21%, dated 5/28/10 due 6/1/10 (Collateralized by U.S. Government Obligations) #
(Cost $1,934,049,000)

$ 1,934,093,888

$ 1,934,049,000

TOTAL INVESTMENT PORTFOLIO - 152.1%

(Cost $12,073,156,562)

12,347,439,876

NET OTHER ASSETS (LIABILITIES) - (52.1)%

(4,227,342,675)

NET ASSETS - 100%

$ 8,120,097,201

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Sold

Treasury Contracts

397 CBOT 2 Year U.S. Treasury Notes Index Contracts

Oct. 2010

$ 86,601,828

$ (88,019)

 

The face value of futures sold as a percentage of net assets is 1.1%

Swap Agreements

 

 

Notional Amount

Value

Interest Rate Swaps

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 1.07% with JPMorgan Chase, Inc.

March 2012

$ 62,947,000

$ (60,291)

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 2.8025% with JPMorgan Chase, Inc.

Oct. 2014

114,150,000

(3,069,105)

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 3.8225% with Credit Suisse First Boston

April 2020

47,000,000

(2,033,779)

 

 

$ 224,097,000

$ (5,163,175)

Legend

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

(b) A portion of the security is subject to a forward commitment to sell.

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $581,489.

(d) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $9,287,370.

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

(f) 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.

(g) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(h) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

(i) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

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

Repurchase Agreement / Counterparty

Value

$1,934,049,000 due 6/01/10 at 0.21%

Banc of America Securities LLC

$ 130,221,254

Bank of America, NA

1,231,410,436

J.P. Morgan Securities, Inc.

131,590,186

Mizuho Securities USA, Inc.

440,827,124

 

$ 1,934,049,000

Other Information

The following is a summary of the inputs used, as of May 31, 2010, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government Agency - Mortgage Securities

$ 9,610,583,126

$ -

$ 9,610,583,126

$ -

Asset-Backed Securities

9,677,091

-

9,291,332

385,759

Collateralized Mortgage Obligations

793,130,659

-

793,130,659

-

Cash Equivalents

1,934,049,000

-

1,934,049,000

-

Total Investments in Securities:

$ 12,347,439,876

$ -

$ 12,347,054,117

$ 385,759

Derivative Instruments:

Liabilities

Futures Contracts

$ (88,019)

$ (88,019)

$ -

$ -

Swap Agreements

(5,163,175)

-

(5,163,175)

-

Total Liabilities

$ (5,251,194)

$ (88,019)

$ (5,163,175)

$ -

Other Financial Instruments:

Forward Commitments

$ (11,610,011)

 

$ (11,610,011)

 

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

Investments in Securities:

Beginning Balance

$ 10,590,614

Total Realized Gain (Loss)

(259,205)

Total Unrealized Gain (Loss)

414,283

Cost of Purchases

-

Proceeds of Sales

(700,314)

Amortization/Accretion

(27,214)

Transfers in to Level 3

-

Transfers out of Level 3

(9,632,405)

Ending Balance

$ 385,759

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2010

$ 185,623

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges.

Income Tax Information

At May 31, 2010, the cost of investment securities for income tax purposes was $12,073,521,262. Net unrealized appreciation aggregated $273,918,614, of which $289,979,582 related to appreciated investment securities and $16,060,968 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels. Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows.

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities.

For asset backed securities, collateralized mortgage obligations, and commercial mortgage securities, and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Dealers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. 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 and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

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

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Central Investment Portfolios II LLC'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 Central Investment Portfolios II LLC

By:

/s/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

July 30, 2010

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/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

July 30, 2010

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

July 30, 2010