N-CSR 1 main.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

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)

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:

August 31, 2007

Item 1. Reports to Stockholders

Fidelity® 1-3 Year Duration
Securitized Bond Central Fund

Annual Report

August 31, 2007

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

1.833848.100 474693.1.0

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Average annual total returns take Fidelity 1-3 Year Duration Securitized Bond Central Fund's cumulative total return and show you what would have happened if Fidelity 1-3 Year Duration Securitized Bond Central Fund's shares had performed at a constant rate each year. These numbers will be reported once the fund is a year old.

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity 1-3 Year Duration Securitized Bond Central Fund on September 25, 2006, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the LB U.S. Aggregate Index performed over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Andrew Dudley, Portfolio Manager of Fidelity® 1-3 Year Duration Securitized Bond Central Fund

A subprime mortgage loan crisis and an emerging credit crunch contributed to subpar performance for some sectors of the investment-grade bond market during the year ending August 31, 2007, though some categories, particularly Treasuries, benefited from a flight to quality. While returns for high-grade debt were fairly solid overall, they also were tempered by the Federal Reserve Board's decision to leave interest rates unchanged - and not lower them as bond investors had hoped - citing its concern that inflation was still a threat given the continued strength of the U.S. economy. During the one-year span, the Lehman Brothers® U.S. Aggregate Index gained 5.26%. Within the index, Treasuries - the bond market's highest-quality debt instrument - fared best, as many investors fled riskier fixed-income securities. The Lehman Brothers U.S. Treasury Index rose 6.02%. The asset-backed category - home to volatile subprime mortgages, as well as credit card debt and auto loans - had the weakest performance, gaining only 3.68% according to the Lehman Brothers Asset-Backed Securities Index.

From its inception on September 25, 2006, through August 31, 2007, the fund returned 0.23%, significantly lagging the 4.84% gain of the Lehman Brothers 1-Year/2-Year Swap Blend Index and the 4.06% advance of the Lehman Brothers U.S. Aggregate Index. Underperformance versus the Swap index stemmed from unfavorable sector selection, with our concentrations in asset-backed securities, collateralized mortgage obligations and commercial mortgage-backed securities all detracting as they lagged the index when the market repriced risk. In particular, a sizable exposure to subprime mortgage securities proved detrimental. I held these securities - and others - both directly and indirectly through Fidelity Ultra-Short Central Fund, a diversified pool of short-term assets I also manage. Early on, the fund's modest stake in lower-quality subprime holdings faltered, reflecting weakness in the housing market. Later, technical factors caused higher-rated securities - which made up the bulk of our subprime stake - to join lower-quality subprimes in a major sell-off as many investors pared their exposure to riskier assets. Higher-quality subprimes saw an uptick in the final weeks of the period in response to supportive actions by the Fed and the U.S. Treasury, although their recent gains weren't enough to offset the substantial losses they sustained earlier.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2007 to August 31, 2007).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Annual Report

Beginning
Account Value
March 1, 2007

Ending
Account Value
August 31, 2007

Expenses Paid
During Period*
March 1, 2007
to August 31, 2007

Actual

$ 1,000.00

$ 983.10

$ .01

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,025.20

$ .01

* Expenses are equal to the Fund's annualized expense ratio of .0013%; multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Annual Report

Investment Changes

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund.

Quality Diversification (% of fund's net assets)

As of August 31, 2007 *

As of February 28, 2007 **

U.S.Government and
U.S.Government
Agency Obligations 16.4%

U.S.Government and
U.S.Government
Agency Obligations 4.9%

AAA 53.9%

AAA 60.7%

AA 11.0%

AA 11.7%

A 6.6%

A 8.6%

BBB 8.0%

BBB 7.0%

BB and Below 0.0%

BB and Below 0.2%

Not Rated 1.3%

Not Rated 2.5%

Short-Term
Investments and
Net Other Assets 2.8%

Short-Term
Investments and
Net Other Assets 4.4%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition.

Weighted Average Maturity as of August 31, 2007

6 months ago

Years

2.9

3.0

The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision.

Duration as of August 31, 2007

6 months ago

Years

1.3

1.2

Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example.

Asset Allocation (% of fund's net assets)

As of August 31, 2007 *

As of February 28, 2007 **

Corporate Bonds 0.2%

Corporate Bonds 0.3%

U.S. Government and
U.S. Government
Agency Obligations 16.4%

U.S. Government and
U.S. Government
Agency Obligations 4.9%

Asset-Backed
Securities 37.8%

Asset-Backed
Securities 42.2%

CMOs and Other Mortgage Related Securities 42.8%

CMOs and Other Mortgage Related Securities 48.2%

Short-Term
Investments and
Net Other Assets 2.8%

Short-Term
Investments and
Net Other Assets 4.4%

*Foreign investments

8.3%

**Foreign investments

7.6%

*Futures and Swaps

15.3%

**Futures and Swaps

18.7%

Annual Report

Investments August 31, 2007

Showing Percentage of Net Assets

U.S. Government Agency Obligations - 16.3%

Principal Amount

Value

Fannie Mae:

0% 9/28/07 (b)

$ 10,000,000

$ 9,967,670

4.75% 3/12/10

20,000,000

20,009,160

6.375% 6/15/09

100,000,000

102,712,000

Freddie Mac:

4.25% 7/15/09

7,466,000

7,397,402

4.875% 2/9/10

85,000,000

85,259,760

5% 6/11/09

73,640,000

73,884,338

5.25% 5/21/09

154,000,000

155,081,842

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

(Cost $452,728,197)

454,312,172

Asset-Backed Securities - 37.2%

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1:

Class M1, 6.005% 2/25/34 (e)

1,485,603

1,354,633

Class M2, 6.605% 2/25/34 (e)

2,525,000

2,166,657

Series 2005-HE6 Class A2B, 5.705% 10/25/35 (e)

1,685,283

1,679,490

Series 2006-FM2:

Class AC2, 5.665% 8/25/36 (e)

1,195,000

1,108,176

Class M1, 5.755% 8/25/36 (e)

1,663,718

1,280,497

Series 2006-HE2 Class M2, 5.825% 5/25/36 (e)

1,185,000

846,696

Series 2006-HE3 Class A2A, 5.555% 6/25/36 (e)

919,918

916,756

Advanta Business Card Master Trust Series 2006-C1 Class C1, 6.0175% 10/20/14 (e)

2,280,000

2,206,896

Aesop Funding II LLC Series 2005-1A Class A1, 3.95% 4/20/08 (a)

800,000

794,351

American Express Credit Account Master Trust Series 2004-C Class C, 6.1113% 2/15/12 (a)(e)

1,544,893

1,540,125

AmeriCredit Automobile Receivables Trust:

Series 2004-1:

Class C, 4.22% 7/6/09

579,420

576,816

Class D, 5.07% 7/6/10

6,805,000

6,787,317

Series 2006-1:

Class A3, 5.11% 10/6/10

614,000

612,631

Class B1, 5.2% 3/6/11

1,870,000

1,859,480

Series 2007-CM Class A3A, 5.42% 5/7/12 (c)

6,940,000

6,960,452

Ameriquest Mortgage Securities, Inc.:

Series 2004-R2:

Class M1, 5.935% 4/25/34 (e)

5,085,000

4,952,927

Class M2, 5.985% 4/25/34 (e)

3,925,000

3,773,703

Asset-Backed Securities - continued

Principal Amount

Value

Ameriquest Mortgage Securities, Inc.: - continued

Series 2005-R10 Class A2B, 5.725% 12/25/35 (e)

$ 1,763,918

$ 1,741,041

Series 2006-M3 Class A2A, 5.555% 10/25/36 (e)

1,617,795

1,601,112

ARG Funding Corp. Series 2005-1A Class A1, 4.02% 4/20/09 (a)

3,000,000

2,980,690

Argent Securities, Inc.:

Series 2004-W5 Class M1, 6.105% 4/25/34 (e)

360,000

341,728

Series 2004-W7:

Class M1, 6.055% 5/25/34 (e)

4,965,000

4,352,329

Class M2, 6.105% 5/25/34 (e)

4,035,000

3,688,781

Asset Backed Funding Certificates Series 2005-HE1 Class M1, 5.925% 12/25/34 (e)

1,770,000

1,568,475

Asset Backed Funding Corp. Series 2006-OPT2:

Class M1, 5.755% 10/25/36 (e)

1,430,000

1,152,370

Class M5, 5.905% 10/25/36 (e)

3,500,000

1,723,201

Class M7, 6.285% 10/25/36 (e)

1,490,000

657,975

Class M9, 7.405% 10/25/36 (e)

3,000,000

960,630

Asset Backed Securities Corp. Home Equity Loan Trust Series 2006-HE6:

Class A4, 5.665% 11/25/36 (e)

3,185,000

3,020,275

Class M7, 6.305% 11/25/36 (e)

415,000

155,008

Class M9, 7.655% 11/25/36 (e)

1,105,000

365,913

Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.95% 4/4/17 (a)(e)

10,000,000

7,000,000

Bank of America Credit Card Master Trust:

Series 2006-C7 Class C7, 5.8413% 3/15/12 (e)

5,000,000

4,884,214

Series 2006-HE7 Class B4, 5.6913% 3/15/12 (e)

5,745,000

5,704,161

Series 2007-C2 Class C2, 5.59% 9/17/12 (e)

6,910,000

6,786,969

Bayview Financial Mortgage Trust Series 2006-D Class 2A1, 5.615% 12/28/36 (e)

3,732,687

3,719,858

Bear Stearns Asset Backed Securities I Trust:

Series 2005-FR1 Class M1, 6.005% 6/25/35 (e)

1,235,000

1,091,225

Series 2007-AQ1 Class A1, 5.615% 11/25/36 (e)

2,580,460

2,513,934

Series 2007-HE3 Class 1A1, 5.625% 4/25/37 (e)

2,104,640

2,090,499

BMW Floorplan Master Owner Trust Series 2006-1A Class B, 5.6594% 9/17/11 (a)(e)

1,950,000

1,925,929

BNC Mortgage Loan Trust Series 2006-2:

Class A4, 5.665% 11/25/36 (e)

1,095,000

1,014,073

Class M1, 5.745% 11/25/36 (e)

1,095,000

842,974

Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 5.03% 12/1/41

10,000,000

9,989,178

C-Bass Trust Series 2007-CB1 Class M1, 5.55% 1/25/37 (e)

1,120,000

948,016

Asset-Backed Securities - continued

Principal Amount

Value

Capital Auto Receivables Asset Trust:

Series 2006-1 Class B, 5.26% 10/15/10

$ 3,760,000

$ 3,750,439

Series 2006-2:

Class B, 5.07% 12/15/11

11,625,000

11,334,544

Class C 5.31% 6/15/12

8,550,000

8,348,030

Series 2007-1 Class C, 5.38% 11/15/12

3,045,000

2,978,610

Series 2007-SN1 Class D, 6.05% 1/17/12

1,490,000

1,491,630

Capital One Auto Finance Trust:

Series 2005-BSS Class D, 4.8% 9/15/12

6,300,000

6,237,533

Series 2006-C Class A3A, 5.07% 7/15/11

2,860,000

2,848,898

Series 2007-B Class A3A, 5.03% 4/15/12

8,670,000

8,623,294

Capital One Multi-Asset Execution Trust:

Series 2003-B3 Class B3, 4.5% 6/15/11

15,000,000

14,877,318

Series 2007-C3 Class C3, 5.9013% 4/15/13 (a)(e)

6,205,000

6,086,605

Capital One Prime Auto Receivable Trust Series 2004-3 Class A3, 3.39% 1/15/09

592,962

592,082

Carmax Auto Owner Trust Series 2007-1 Class A3, 5.24% 7/15/11

2,535,000

2,531,456

Carrington Mortgage Loan Trust:

Series 2005-NC4 Class M1, 5.985% 9/25/35 (e)

1,690,000

1,382,278

Series 2006-FRE1 Class A3, 5.655% 7/25/36 (e)

13,353,000

12,612,322

Cendant Timeshare Receivables Funding LLC Series 2005-1A Class A1, 4.67% 5/20/17 (a)

7,919,385

7,708,456

CIT Equipment Collateral Trust:

Series 2006-VT1:

Class A3, 5.13% 12/21/08

20,350,429

20,333,766

Class C, 5.28% 2/20/13

2,211,166

2,212,229

Series 2006-VT2:

Class A3, 5.07% 2/20/10

15,190,000

15,204,760

Class A4, 5.05% 4/20/14

3,770,000

3,780,734

Class B, 5.24% 4/20/14

450,099

450,649

Class C, 5.29% 4/20/14

490,422

491,027

Class D, 5.46% 4/20/14

1,315,990

1,323,021

Citibank Credit Card Issuance Trust:

Series 2005-B1 Class B1, 4.4% 9/15/10

30,035,000

29,730,214

Series 2006-C4 Class C4, 5.54% 1/9/12 (e)

7,675,000

7,522,512

Citigroup Mortgage Loan Trust:

Series 2006-HE2 Class A2A, 5.37% 8/26/36 (e)

498,434

496,098

Series 2006-NC2:

Class A2A, 5.36% 9/25/36 (e)

607,851

603,483

Class A2B, 5.48% 9/25/36 (e)

1,430,000

1,343,977

Series 2006-WFH3 Class M7, 5.47% 11/25/36 (e)

1,040,000

948,026

Asset-Backed Securities - continued

Principal Amount

Value

Citigroup Mortgage Loan Trust: - continued

Series 2006-WFHE3 Class M7, 6.12% 10/25/36 (e)

$ 3,500,000

$ 1,150,170

CNH Equipment Trust:

Series 2006-A Class A3, 5.2% 8/16/10

15,105,000

15,121,658

Series 2007-A Class A3, 4.98% 10/15/10

15,000,000

15,029,127

CNH Wholesale Master Note Trust Series 2005-1 Class A, 5.7213% 6/15/11 (e)

4,250,000

4,250,760

Countrywide Asset-Backed Certificates Trust:

Series 2007-4 Class A1A, 5.625% 9/25/37 (e)

2,805,923

2,789,264

Series 2007-BC2 Class 2A1, 5.595% 6/25/37 (e)

1,915,279

1,902,711

Countrywide Home Loans, Inc.:

Series 2004-2 Class M1, 6.005% 5/25/34 (e)

5,275,000

5,001,270

Series 2004-3 Class M1, 6.005% 6/25/34 (e)

1,500,000

1,398,750

CPS Auto Receivables Trust:

Series 2006-D Class A3, 5.157% 5/15/11 (a)

3,835,000

3,830,806

Series 2007-A Class A3, 5.04% 9/15/11 (a)

19,899,984

19,762,586

Series 2007-B Class A3, 5.47% 11/15/11 (a)

2,559,999

2,559,199

Credit-Based Asset Servicing & Securitization Trust Series 2006-CB7 Class A2, 5.565% 10/25/36 (e)

1,401,307

1,384,666

DaimlerChrysler Auto Trust Series 2006-D Class A3, 4.98% 2/8/11

2,620,000

2,606,491

DaimlerChrysler Master Owner Trust Series 2005-A Class A, 5.6613% 4/15/10 (e)

6,335,000

6,335,433

DriveTime Auto Owner Trust Series 2006-B:

Class A2, 5.32% 3/15/10 (a)

3,318,410

3,314,262

Class A3, 5.23% 8/15/12 (a)

2,530,000

2,515,453

DT Auto Owner Trust Series 2007-A Class A3, 5.6% 3/15/13 (a)

4,820,000

4,820,000

Fieldstone Mortgage Investment Corp. Series 2006-3:

Class 2A3, 5.48% 11/25/36 (e)

8,231,000

7,751,289

Class M1, 5.765% 11/25/36 (e)

5,480,000

4,094,168

First Franklin Mortgage Loan Trust:

Series 2004-FF2:

Class M3, 6.055% 3/25/34 (e)

415,000

362,606

Class M4, 6.405% 3/25/34 (e)

230,562

224,006

Series 2005-FF12 Class A2A, 5.595% 11/25/36 (e)

528,584

526,023

Series 2006-FF12 Class A2, 5.545% 9/25/36 (e)

2,070,527

2,049,822

Series 2006-FF15 Class M1, 5.745% 11/25/36 (e)

3,950,000

2,983,226

Series 2006-FF18 Class M1, 5.735% 12/25/37 (e)

10,000,000

7,532,450

Series 2006-FF5 Class 2A2, 5.615% 4/25/36 (e)

1,055,000

1,039,505

Series 2007-FF1 Class M1, 5.735% 1/25/38 (e)

1,280,000

963,453

Series 2007-FF2 Class A2C, 5.47% 3/25/37 (e)

5,525,000

5,360,112

Asset-Backed Securities - continued

Principal Amount

Value

Ford Credit Auto Owner Trust:

Series 2005-A Class B, 3.88% 1/15/10

$ 5,151,000

$ 5,077,796

Series 2007-A Class A3A, 5.4% 8/15/11

14,000,000

14,019,306

Fosse Master Issuer PLC Series 2007-1A Class C2, 5.8989% 10/18/54 (a)(e)

1,680,000

1,680,000

Franklin Auto Trust:

Series 2006-1:

Class B, 5.14% 7/21/14

375,000

368,653

Class C, 5.41% 7/21/14

3,340,000

3,284,890

Series 2007-1:

Class A4, 5.03% 2/16/15

2,625,000

2,587,096

Class C, 5.43% 2/16/15

3,215,000

3,141,729

Fremont Home Loan Trust:

Series 2005-A Class M1, 5.935% 1/25/35 (e)

6,550,000

5,942,835

Series 2006-1 Class M1, 5.825% 4/25/36 (e)

1,020,000

833,145

Series 2006-3 Class 2A1, 5.575% 2/25/37 (e)

136,852

131,679

Series 2006-D Class M1, 5.735% 11/25/36 (e)

1,695,000

1,303,923

Series 2006-E Class M1, 5.765% 1/25/37 (e)

4,865,000

3,609,061

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 5.885% 9/25/30 (a)(e)

2,810,000

2,791,466

GE Business Loan Trust Series 2006-2A:

Class A, 5.7913% 11/15/34 (a)(e)

6,635,039

6,610,036

Class B, 5.8913% 11/15/34 (a)(e)

2,398,559

2,382,942

Class C, 5.9913% 11/15/34 (a)(e)

3,982,974

3,895,965

Class D, 6.3613% 11/15/34 (a)(e)

1,514,328

1,430,179

GE Commercial Equipment Financing LLC Series 2004-A Class B, 3.65% 5/22/14 (a)

1,527,688

1,496,756

GE Equipment Midticket LLC Series 2006-1:

Class A2, 5.1% 5/15/09

3,920,000

3,913,855

Class B, 5.7613% 9/15/17 (e)

5,830,000

5,815,179

Class C, 5.9313% 9/15/17 (e)

1,610,000

1,602,444

Goal Capital Funding Trust Series 2007-1 Class C1, 5.73% 6/25/42 (e)

3,865,000

3,865,000

GS Auto Loan Trust Series 2007-1:

Class B, 5.53% 12/15/14

1,130,000

1,121,379

Class C, 5.74% 12/15/14

3,960,000

3,940,839

GSAMP Trust:

Series 2004-AR1 Class M1, 6.155% 6/25/34 (e)

2,775,000

2,630,328

Series 2004-FM2:

Class M1, 6.255% 1/25/34 (e)

3,173,790

3,066,653

Class M2, 7.155% 1/25/34 (e)

253,277

225,727

Class M3, 7.455% 1/25/34 (e)

253,286

224,502

Series 2006-FM2 Class M1, 5.765% 9/25/36 (e)

2,635,000

2,204,799

Asset-Backed Securities - continued

Principal Amount

Value

GSAMP Trust: - continued

Series 2006-FM3 Class ABS, 5.705% 11/25/36 (e)

$ 6,635,000

$ 6,245,194

Series 2006-HE5 Class A2C, 5.655% 8/25/36 (e)

1,000,000

917,031

Series 2007-FM1 Class M1, 5.775% 12/25/36 (e)

2,235,000

1,717,394

Series 2007-FM2 Class M1, 5.785% 1/25/37 (e)

4,745,000

3,648,117

Series 2007-HE1 Class M1, 5.57% 3/25/47 (e)

975,000

808,191

Series 2007-NC1 Class M7, 6.27% 12/25/46 (e)

7,508,000

2,931,934

Helios Finance L.P. Series 2007-S1 Class B1, 6.02% 10/20/14 (a)(e)

4,005,000

3,867,962

Holmes Master Issuer PLC:

Series 2006-1A:

Class 1B, 5.45% 7/15/40 (a)(e)

2,460,000

2,460,000

Class 1C, 5.6% 7/15/40 (a)(e)

1,390,000

1,390,000

Class 2A, 5.42% 7/15/21 (a)(e)

2,460,000

2,460,000

Class 2B, 5.48% 7/15/40 (a)(e)

1,770,000

1,770,000

Class 2C, 5.75% 7/15/40 (a)(e)

720,000

720,000

Class 2M, 5.55% 7/15/40 (a)(e)

1,475,000

1,475,000

Series 2007-2A Class 1C, 5.59% 7/15/21 (e)

5,765,000

5,765,000

Home Equity Asset Trust:

Series 2003-2 Class M1, 6.825% 8/25/33 (e)

3,519,242

3,365,937

Series 2003-4 Class M1, 6.705% 10/25/33 (e)

7,378,646

6,799,422

Series 2006-1 Class 2A3, 5.73% 4/25/36 (e)

6,095,000

5,847,391

Series 2006-7:

Class 2A3, 5.655% 1/25/37 (e)

16,000,000

14,717,504

Class B1, 7.405% 1/25/37 (e)

675,000

163,688

Class M4, 5.885% 1/25/37 (e)

1,320,000

656,279

Class M7, 6.285% 1/25/37 (e)

675,000

318,101

Series 2006-8:

Class 2A1, 5.555% 3/25/37 (e)

171,203

169,223

Class 2A3, 5.665% 3/25/37 (e)

2,630,000

2,419,190

Class M1, 5.745% 3/25/37 (e)

1,560,000

1,166,151

Series 2007-1 Class M1, 5.745% 5/25/37 (e)

4,320,000

3,560,972

Home Equity Loan Trust Series 2007-FRE1 Class M1, 6.005% 4/25/37 (e)

7,165,000

5,474,060

HSBC Automotive Trust:

Series 2006-3:

Class A2, 5.38% 12/17/09

978,138

976,885

Class A3, 5.28% 9/19/11

5,000,000

4,993,962

Series 2007-1 Class A3, 5.3% 11/17/11

2,520,000

2,516,500

HSBC Home Equity Loan Trust:

Series 2006-3 Class A1V, 5.6175% 3/20/36 (e)

2,969,214

2,955,760

Series 2007-2 Class A3V, 5.7575% 7/21/36 (e)

1,055,000

973,402

Asset-Backed Securities - continued

Principal Amount

Value

HSI Asset Securitization Corp. Trust:

Series 2006-HE1:

Class 2A3, 5.665% 10/25/36 (e)

$ 2,445,000

$ 2,414,159

Class M1, 5.755% 10/25/36 (e)

2,490,000

1,908,338

Series 2007-HE1 Class 2A3, 5.695% 1/25/37 (e)

1,485,000

1,334,875

Hyundai Auto Receivables Trust Series 2006-1:

Class B, 5.29% 11/15/12

1,945,000

1,937,538

Class C, 5.34% 11/15/12

2,520,000

2,496,482

JPMorgan Mortgage Acquisition Trust:

Series 2006-CH1:

Class A4, 5.645% 1/25/35 (e)

1,645,000

1,586,849

Class M1, 5.725% 5/25/36 (e)

765,000

644,682

Series 2006-WF1:

Class A1A, 5.6% 7/25/36

507,872

507,079

Class A1B, 5.605% 7/25/36 (e)

1,696,418

1,690,056

Series 2007-CH1:

Class AV4, 5.635% 11/25/36 (e)

1,450,000

1,400,610

Class MV1, 5.735% 11/25/36 (e)

1,180,000

973,769

Series 2007-CH3 Class M1, 5.805% 3/25/37 (e)

3,000,000

2,256,000

Keycorp Student Loan Trust Series 2006-A Class 2C, 6.4979% 3/27/42 (e)

11,300,000

10,275,938

Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14

9,242,500

9,119,900

Long Beach Mortgage Loan Trust:

Series 2003-3 Class M1, 6.255% 7/25/33 (e)

3,741,430

3,163,379

Series 2004-2 Class M1, 6.035% 6/25/34 (e)

5,225,000

4,934,882

Series 2005-1 Class M2, 6.035% 2/25/35 (e)

3,115,000

2,934,346

Series 2005-WL1 Class M2, 6.055% 6/25/35 (e)

2,340,000

2,134,071

Series 2006-1 Class 2A2, 5.645% 2/25/36 (e)

1,225,000

1,217,727

Series 2006-10 Class 2A3, 5.665% 11/25/36 (e)

3,780,000

3,335,850

Series 2006-8 Class 2A1, 5.545% 9/25/36 (e)

1,345,742

1,334,808

Series 2006-9:

Class M10, 8.005% 11/25/36 (e)

2,420,000

484,000

Class M4, 5.875% 11/25/36 (e)

815,000

392,623

Class M5, 5.905% 11/25/36 (e)

1,570,000

645,358

Class M7, 6.305% 11/25/36 (e)

740,000

294,194

Luminent Mortgage Trust Series 2006-3 Class 12A1, 5.715% 5/25/36 (e)

1,416,809

1,386,512

MASTR Asset Backed Securities Trust:

Series 2006-AM3:

Class A3, 5.675% 10/25/36 (e)

2,205,000

2,187,428

Class M1, 5.765% 10/25/36 (e)

500,000

419,089

Series 2006-HE3 Class A2, 5.605% 8/25/36 (e)

3,345,000

3,249,353

Asset-Backed Securities - continued

Principal Amount

Value

MASTR Asset Backed Securities Trust: - continued

Series 2006-HE5 Class M1, 5.735% 11/25/36 (e)

$ 9,900,000

$ 7,699,755

MBNA Credit Card Master Note Trust Series 2003-B2 Class B2, 6.0013% 10/15/10 (e)

1,610,000

1,611,487

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 6.255% 7/25/34 (e)

2,004,105

1,917,090

Class M2, 6.33% 7/25/34 (e)

99,769

93,695

Merna Reinsurance Ltd. Series 2007-1 Class B, 7.11% 6/30/12 (a)(e)

4,000,000

4,000,000

Merrill Auto Trust Securitization Series 2007-1:

Class A2, 5.43% 1/15/10

5,295,000

5,294,981

Class B, 5.79% 12/16/13

4,215,000

4,214,845

Merrill Lynch Alternative Note Asset Trust Series 2007-OAR1 Class A1, 5.675% 2/25/37 (e)

2,342,955

2,271,959

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 6.155% 7/25/34 (e)

6,775,000

6,626,912

Series 2006-OPT1 Class A1A, 5.765% 6/25/35 (e)

10,207,710

10,025,890

Merrill Lynch Mortgage Investors, Inc. Series 2006-FM1 Class A2B, 5.615% 4/25/37 (e)

3,101,000

3,022,991

Morgan Stanley ABS Capital I Trust:

Series 2002-HE3 Class M1, 6.605% 12/27/32 (e)

2,452,633

2,390,027

Series 2003-NC8 Class M1, 6.205% 9/25/33 (e)

3,729,755

3,607,968

Series 2006-HE1 Class A3, 5.685% 1/25/36 (e)

15,245,000

14,759,066

Series 2006-HE3 Class A2C, 5.665% 4/25/36 (e)

2,745,000

2,649,353

Series 2006-HE6 Class A2A, 5.545% 9/25/36 (e)

4,233,551

4,198,493

Series 2006-NC1 Class A2, 5.645% 12/25/35 (e)

1,955,000

1,947,059

Series 2006-NC5 Class A2C, 5.655% 10/25/36 (e)

1,285,000

1,192,841

Series 2007-HE2 Class A2A, 5.545% 1/25/37 (e)

320,178

316,926

Series 2007-HE4 Class A2A, 5.615% 2/25/37 (e)

297,883

294,858

Series 2007-NC3:

Class A2A, 5.565% 5/25/37 (e)

135,102

134,194

Class A2C, 5.695% 5/25/37 (e)

5,815,000

5,386,441

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 7.005% 1/25/32 (e)

1,020,825

1,011,893

Series 2002-NC1 Class M1, 6.705% 2/25/32 (a)(e)

3,960,213

3,837,739

Series 2002-NC3 Class M1, 6.585% 8/25/32 (e)

2,245,000

2,148,205

Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 5.605% 4/25/37 (e)

2,128,031

2,116,727

National Collegiate Funding LLC Series 2004-GT1 Class IO1, 7.87% 6/25/10 (a)(e)(g)

22,795,000

4,645,710

Asset-Backed Securities - continued

Principal Amount

Value

National Collegiate Student Loan Trust:

Series 2004-1 Class AIO, 5.5% 4/25/11 (g)

$ 2,440,000

$ 407,485

Series 2005-GT1 Class AIO, 6.75% 12/25/09 (g)

16,950,000

2,475,570

Series 2006-2 Class AIO, 6% 8/25/11 (g)

1,210,000

245,946

Series 2006-3 Class AIO, 7.1% 1/25/12 (g)

1,945,000

506,011

Series 2006-4:

Class AIO, 6.35% 2/27/12 (g)

6,185,000

1,523,180

Class D, 6.605% 5/25/32 (e)

8,700,000

6,525,000

Series 2007-1 Class A, 7.27% 4/25/12 (g)

8,315,000

2,452,925

Series 2007-2 Class AIO, 6.7% 7/25/12 (g)

7,070,000

1,989,781

New Century Home Equity Loan Trust:

Series 2005-D Class M2, 5.975% 2/25/36 (e)

2,775,000

2,039,514

Series 2006-1 Class M2, 5.865% 5/25/36 (e)

1,041,000

834,067

Newcastle CDO VIII Series 2006-8A Class 4, 5.92% 11/1/52 (a)(e)

7,900,000

6,754,863

Nissan Auto Lease Trust Series 2006-A Class A3, 5.11% 3/15/10

20,000,000

19,922,578

Nomura Home Equity Loan, Inc.:

Series 2006-AF1 Class A1, 6.032% 10/25/36

819,618

817,953

Series 2006-HE1 Class A1, 5.585% 2/25/36 (e)

109,640

109,314

NovaStar Home Equity Loan Trust:

Series 2004-1 Class M1, 5.955% 6/25/34 (e)

1,425,000

1,196,034

Series 2006-2 Class A2A, 5.555% 6/25/36 (e)

263,378

262,884

NovaStar Mortgage Funding Trust Series 2007-1 Class A2C, 5.685% 3/25/37 (e)

2,350,000

2,082,321

Onyx Acceptance Owner Trust Series 2005-A Class A3, 3.69% 5/15/09

546,298

545,465

Option One Mortgage Loan Trust Series 2007-5 Class 2A1, 5.595% 5/25/37 (e)

735,565

731,772

Ownit Mortgage Loan Asset-Backed Certificates Series 2006-2 Class A2A, 5.585% 1/25/37 (e)

869,348

864,050

Ownit Mortgage Loan Trust:

Series 2006-6 Class A2A, 5.565% 9/25/37 (e)

1,633,952

1,609,698

Series 2006-7:

Class A2C, 5.665% 10/25/37 (e)

1,975,000

1,866,375

Class M1, 5.755% 10/25/37 (e)

965,000

723,661

Park Place Securities, Inc. Series 2005-WCH1 Class M2, 6.025% 1/25/35 (e)

9,300,000

8,634,390

Pinnacle Capital Asset Trust Series 2006-A:

Class A3, 5.29% 5/26/09 (a)

8,000,000

7,988,610

Class B, 5.51% 9/25/09 (a)

985,000

982,808

Class C, 5.77% 5/25/10 (a)

915,000

908,742

Asset-Backed Securities - continued

Principal Amount

Value

Popular ABS Mortgage Trust pass-thru certificates Series 2005-6 Class A1, 5.5% 1/25/36

$ 421,058

$ 418,558

Providian Gateway Owner Trust:

Series 2004-DA Class C, 3.95% 9/15/11 (a)

1,750,000

1,746,226

Series 2004-FA Class D, 4.45% 11/15/11 (a)

5,000,000

4,980,801

Providian Master Note Trust Series 2006-C1A Class C1, 6.1613% 3/16/15 (a)(e)

11,090,000

10,690,587

Rental Car Finance Corp. Series 2005-1A Class A2, 4.59% 6/25/11 (a)

2,775,000

2,712,786

Residential Asset Mortgage Products, Inc. Series 2007-RZ1 Class A2, 5.48% 2/25/37 (e)

3,515,000

3,420,404

Residential Asset Securities Corp. Series 2006-EMX8 Class 1A2, 5.625% 10/25/36 (e)

2,455,000

2,412,038

Securitized Asset Backed Receivables LLC Trust:

Series 2005-FR4 Class B3, 7.225% 1/25/36 (e)

500,000

362,856

Series 2007-NC1 Class M1, 5.745% 12/25/36 (e)

4,545,000

3,525,720

SG Mortgage Securities Trust Series 2006-OPT2 Class M1, 5.745% 10/25/36 (e)

1,875,000

1,497,208

Sierra Receivables Funding Co. Series 2007-1A Class A2, 5.6875% 3/20/19 (a)(e)

2,720,810

2,689,351

Specialty Underwriting & Residential Finance Trust:

Series 2003-BC4 Class M1, 6.105% 11/25/34 (e)

2,830,000

2,511,433

Series 2006-AB2 Class N1, 5.75% 6/25/37 (a)

3,436,522

2,405,565

Structured Asset Securities Corp.:

Series 2004-1 Class 1A, 5.805% 4/25/34 (e)

9,216,491

8,971,683

Series 2006-BC3:

Class M1, 5.755% 10/25/36 (e)

3,085,000

2,468,148

Class M7, 6.305% 10/25/36 (e)

1,522,000

458,256

Structured Asset Securities Corp. Mortgage Loan Trust:

Series 2007-BC2 Class M1, 5.745% 3/25/37 (e)

1,663,000

1,294,945

Series 2007-OSI Class A2, 5.595% 6/25/37 (e)

2,634,825

2,617,535

Superior Wholesale Inventory Financing Trust:

Series 2004-A10 Class B, 5.8913% 9/15/11 (e)

4,825,000

4,726,088

Series 2007-AE1:

Class A, 5.7113% 1/15/12 (e)

1,170,000

1,151,865

Class B, 5.9113% 1/15/12 (e)

975,000

974,181

Class C, 6.2113% 1/15/12 (e)

1,220,000

1,202,432

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 6.0613% 3/15/11 (a)(e)

13,670,000

13,722,113

Superior Wholesale Inventory Financing Trust XII Series 2005-A12 Class C, 6.8113% 6/15/10 (e)

1,655,000

1,641,595

SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (a)

11,636,457

11,354,040

Asset-Backed Securities - continued

Principal Amount

Value

Swift Master Auto Receivables Trust Series 2007-1:

Class A, 5.7113% 6/15/12 (e)

$ 3,570,000

$ 3,496,458

Class B, 5.8313% 6/15/12 (e)

2,080,000

2,076,687

Class C, 6.1113% 6/15/12 (e)

1,245,000

1,242,924

Thornburg Mortgage Securities Trust Series 2006-6 Class A1, 5.615% 12/25/36 (e)

6,007,676

5,932,643

Trapeza CDO XII Ltd./, Inc. Series 2007-12A:

Class A3, 5.8116% 4/6/42 (a)(e)

860,000

857,420

Class B, 5.9116% 4/6/42 (a)(e)

5,720,000

5,535,816

Triad Auto Receivables Owner Trust Series 2006-C:

Class A2, 5.4% 1/12/10

1,996,428

1,994,677

Class A3, 5.26% 11/14/11

7,810,000

7,793,948

Turquoise Card Backed Securities PLC Series 2006-2:

Class B, 5.7613% 10/17/11 (e)

4,060,000

4,011,470

Class C, 5.9613% 10/17/11 (e)

3,815,000

3,735,720

UPFC Auto Receivables Trust:

Series 2006-B Class A3, 5.01% 8/15/12

15,000,000

14,915,747

Series 2007-A Class A3, 5.53% 7/15/13

1,865,000

1,866,563

Volkswagen Auto Lease Trust Series 2005-A Class A4, 3.94% 10/20/10

6,200,000

6,192,975

Wachovia Auto Loan Trust Series 2006-2A:

Class A3, 5.23% 8/22/11 (a)

5,380,000

5,368,138

Class B, 5.29% 6/20/12 (a)

2,140,000

2,128,073

Class D, 5.54% 12/20/12 (a)

3,050,000

3,017,979

Wachovia Bank Commercial Mortgage Trust Series 2007-WHL8 Class LXR2, 6.4113% 6/15/20 (e)

2,558,451

2,488,350

WaMu Asset-Backed Certificates Series 2006-HE5:

Class M1, 5.755% 10/25/36 (e)

2,900,000

2,229,314

Class M9, 8.005% 10/25/36 (e)

1,680,000

434,470

WaMu Master Note Trust:

Series 2006-C2A Class C2, 6.1113% 8/15/15 (a)(e)

8,000,000

7,637,504

Series 2006-C3A Class C3A, 5.9913% 10/15/13 (a)(e)

5,750,000

5,642,976

Series 2007-C1 Class C1, 6.0113% 5/15/14 (a)(e)

5,370,000

5,132,109

Wells Fargo Home Equity Trust Series 2007-2 Class A1, 5.595% 4/25/37 (e)

2,551,549

2,533,609

WFS Financial Owner Trust:

Series 2004-3 Class D, 4.07% 2/17/12

86,612

85,920

Series 2005-1 Class D, 4.09% 8/15/12

277,853

275,548

Asset-Backed Securities - continued

Principal Amount

Value

WFS Financial Owner Trust: - continued

Series 2005-2 Class C, 4.62% 11/19/12

$ 10,000,000

$ 9,903,171

World Omni Auto Receivables Trust Series 2005-A Class A3, 3.54% 6/12/09

1,936,165

1,928,362

TOTAL ASSET-BACKED SECURITIES

(Cost $1,102,815,973)

1,034,682,812

Collateralized Mortgage Obligations - 24.5%

Private Sponsor - 24.5%

American Home Mortgage Investment Trust floater Series 2005-4 Class 1A1, 5.795% 3/25/35 (e)

403,438

396,405

Arkle Master Issuer PLC floater:

Series 2006-1A:

Class 1C, 5.77% 2/17/52 (a)(e)

1,015,000

1,015,040

Class 3C, 5.91% 2/17/52 (a)(e)

620,000

619,976

Series 2006-2A:

Class 1B, 5.6% 2/17/52 (a)(e)

925,000

922,904

Class 1C, 5.76% 2/17/52 (a)(e)

1,110,000

1,107,789

Class 1M, 5.67% 2/17/52 (a)(e)

465,000

463,892

Class 2B, 5.64% 2/17/52 (a)(e)

2,890,000

2,863,245

Class 2C, 5.9% 2/17/52 (a)(e)

3,535,000

3,474,242

Class 2M, 5.72% 2/17/52 (a)(e)

1,965,000

1,948,804

Series 2007-1A Class 1C, 5.78% 2/17/52 (a)(e)

5,610,000

5,610,000

Banc of America Mortgage Securities, Inc.:

Series 2003-I Class 2A6, 4.1499% 10/25/33 (e)

10,750,000

10,554,981

Series 2003-J Class 2A2, 4.3919% 11/25/33 (e)

1,601,964

1,575,905

Series 2003-K:

Class 1A1, 6.0109% 12/25/33 (e)

808,157

813,547

Class 2A1, 4.158% 12/25/33 (c)(e)

12,379,990

12,147,722

Series 2003-L Class 2A1, 3.9725% 1/25/34 (e)

18,558,047

18,348,653

Series 2004-1 Class 2A2, 4.6856% 10/25/34 (e)

9,302,959

9,137,433

Series 2004-A:

Class 2A1, 3.5523% 2/25/34 (e)

939,926

914,305

Class 2A2, 4.1033% 2/25/34 (e)

4,057,381

3,966,555

Series 2004-B:

Class 1A1, 6.1226% 3/25/34 (e)

1,316,708

1,312,261

Class 2A2, 4.093% 3/25/34 (e)

9,443,882

9,240,349

Series 2004-C Class 1A1, 5.9228% 4/25/34 (e)

2,056,849

2,047,233

Series 2004-D:

Class 1A1, 5.6283% 5/25/34 (e)

3,611,509

3,604,343

Class 2A1, 3.6156% 5/25/34 (e)

453,364

440,134

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Banc of America Mortgage Securities, Inc.: - continued

Series 2004-D:

Class 2A2, 4.1966% 5/25/34 (c)(e)

$ 22,376,769

$ 22,084,644

Series 2004-G Class 2A7, 4.5349% 8/25/34 (e)

16,765,460

16,447,048

Series 2004-H Class 2A1, 4.4666% 9/25/34 (e)

17,218,268

16,871,891

Series 2004-J:

Class 1A2, 4.2195% 11/25/34 (e)

2,414,084

2,422,539

Class 2A1, 4.7685% 11/25/34 (e)

16,875,187

16,564,505

Series 2005-H:

Class 1A1, 4.9226% 9/25/35 (e)

497,880

492,047

Class 2A2, 4.8021% 9/25/35 (e)

512,417

499,011

Series 2005-J:

Class 2A4, 5.0858% 11/25/35 (e)

7,646,000

7,515,860

Class 2A5, 5.0858% 11/25/35 (e)

4,121,000

4,048,785

Bear Stearns Adjustable Rate Mortgage Trust floater Series 2005-6 Class 1A1, 5.082% 8/25/35 (c)(e)

25,523,488

25,281,342

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 5.785% 1/25/35 (e)

281,585

280,389

Series 2005-2 Class 1A1, 5.755% 3/25/35 (e)

308,360

306,882

Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.4502% 10/12/41 (a)(e)(g)

28,365,000

582,302

Chase Mortgage Finance Trust:

Series 2007-A1 Class 5A1, 4.1708% 2/25/37 (e)

2,481,458

2,420,829

Series 2007-A2:

Class 2A1, 4.243% 7/25/37 (e)

1,410,029

1,388,224

Class 3A1, 4.566% 7/25/37 (e)

2,540,119

2,494,651

Citigroup Mortgage Loan Trust floater Series 2006-FX1 Class A2, 5.705% 10/25/36 (e)

5,758,000

5,657,235

Citigroup Mortgage Loan Trust, Inc. Series 2004-UST1:

Class A3, 4.2265% 8/25/34 (e)

8,004,971

7,887,230

Class A4, 4.4069% 8/25/34 (e)

4,166,084

4,081,982

Countrywide Home Loans, Inc. 4.4262% 6/20/35 (e)

1,440,000

1,392,584

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:

Series 2004-4 Class 5A2, 5.905% 3/25/35 (e)

1,034,203

1,026,360

Series 2005-10 Class 5A2, 5.825% 1/25/36 (e)

508,046

500,680

Series 2005-8 Class 7A2, 5.785% 11/25/35 (e)

217,733

216,885

Credit Suisse First Boston Mortgage Securities Corp.:

floater:

Series 2004-AR3 Class 6A2, 5.875% 4/25/34 (e)

113,693

113,689

Series 2004-AR6 Class 9A2, 5.875% 10/25/34 (e)

623,970

623,896

Series 2005-6 Class 1A2, 5.775% 7/25/35 (e)

7,071,821

7,017,487

Series 2007-AR7 Class 2A1, 4.6454% 11/25/34 (e)

1,510,609

1,484,136

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

DT Auto Owner Trust sequential payer Series 2007-A Class A2, 5.53% 8/15/10 (a)

$ 4,925,000

$ 4,925,000

Fosse Master Issuer PLC floater Series 2006-1A:

Class A1, 5.5675% 10/18/31 (a)(e)

1,148,328

1,147,610

Class B1, 5.45% 10/18/54 (a)(e)

1,435,000

1,434,103

Class B2, 5.52% 10/18/54 (a)(e)

3,315,000

3,312,928

Class C2, 5.83% 10/18/54 (a)(e)

1,110,000

1,108,613

Class M1, 5.53% 10/18/54 (a)(e)

830,000

829,481

Class M2, 5.61% 10/18/54 (a)(e)

1,900,000

1,897,625

GMAC Mortgage Loan Trust Series 2005-AR6 Class 3A1, 5.3013% 11/19/35 (e)

24,034,758

23,573,646

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 5.98% 11/20/56 (a)(e)

2,590,000

2,524,525

Granite Master Issuer PLC floater:

Series 2005-1:

Class A3, 5.44% 12/21/24 (e)

5,462,500

5,460,315

Class A4, 5.46% 12/20/54 (e)

8,460,000

8,431,947

Series 2005-4 Class C2, 6.06% 12/20/54 (e)

1,995,000

1,992,666

Series 2006-1A:

Class A5, 5.58% 12/20/54 (a)(e)

15,000,000

14,962,980

Class C2, 6.11% 12/20/54 (a)(e)

4,555,000

4,510,179

Series 2006-2 Class C1, 5.83% 12/20/54 (e)

240,000

226,368

Series 2006-4:

Class B1, 5.45% 12/20/54 (e)

3,540,000

3,536,991

Class C1, 5.74% 12/20/54 (e)

2,165,000

2,162,857

Class M1, 5.53% 12/20/54 (e)

930,000

928,958

Series 2007-1:

Class 1C1, 5.66% 12/20/54 (e)

1,975,000

1,945,217

Class 1M1, 5.51% 12/20/54 (e)

1,490,000

1,477,663

Class 2B1, 5.48% 12/20/54 (e)

1,590,000

1,590,000

Class 2C1, 5.79% 12/20/54 (e)

880,000

844,941

Class 2M1, 5.61% 12/20/54 (e)

1,915,000

1,868,255

Series 2007-2 Class 2C1, 5.79% 12/17/54 (e)

2,645,000

2,642,107

Granite Mortgages PLC floater Series 2004-3 Class 2A1, 5.5% 9/20/44 (e)

1,634,420

1,631,078

GSR Mortgage Loan Trust:

Series 2006-AR2 Class 4A1, 5.8537% 4/25/36 (e)

7,011,495

6,923,088

Series 2007-AR2 Class 2A1, 4.8399% 4/25/35 (e)

1,437,300

1,408,604

Holmes Master Issuer PLC:

floater:

Series 2007-1 Class 1C1, 5.64% 7/15/40 (a)(e)

3,060,000

3,036,560

Series 2007-2A Class 2C1, 5.77% 7/15/21 (e)

1,805,000

1,805,000

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Holmes Master Issuer PLC: - continued

Series 2007-1 Class 2C1, 5.78% 7/15/40 (e)

$ 840,000

$ 808,172

Impac CMB Trust floater Series 2005-2 Class 1A2, 5.815% 4/25/35 (e)

345,386

344,249

JPMorgan Mortgage Trust:

sequential payer Series 2006-A4 Class 1A3, 5.8257% 6/25/36 (e)

2,770,000

2,728,450

Series 2006-A2 Class 5A1, 3.7552% 11/25/33 (e)

7,678,362

7,568,090

Series 2006-A3 Class 6A1, 3.7702% 8/25/34 (e)

2,521,260

2,449,626

Series 2006-A4 Class 1A1, 5.8257% 6/25/36 (e)

493,006

489,367

Series 2007-A1 Class 3A2, 5.0072% 7/25/35 (e)

7,462,764

7,348,290

Master Asset Securitization Trust Series 2004-9 Class 7A1, 6.3202% 5/25/17 (e)

14,554,728

14,554,286

MASTR Adjustable Rate Mortgages Trust floater Series 2005-1 Class 1A1, 5.59% 3/25/35 (e)

58,017

57,798

MASTR Asset Backed Securities Trust floater Series 2006-NC3 Class M1, 5.735% 10/25/36 (e)

2,860,000

2,266,035

MASTR Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2367% 8/25/17 (e)

14,813,676

14,967,669

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 5.7813% 6/15/22 (a)(e)

230,000

229,887

Class C, 5.8013% 6/15/22 (a)(e)

1,495,000

1,493,114

Class D, 5.8113% 6/15/22 (a)(e)

575,000

574,464

Class E, 5.8213% 6/15/22 (a)(e)

920,000

918,334

Class F, 5.8513% 6/15/22 (a)(e)

690,000

688,046

Class G, 5.9213% 6/15/22 (a)(e)

345,000

343,487

Class H, 5.9413% 6/15/22 (a)(e)

690,000

686,007

Class J, 5.9813% 6/15/22 (a)(e)

805,000

792,526

Class TM, 6.1113% 6/15/22 (a)(e)

16,190,000

16,320,043

Merrill Lynch Mortgage Investors Trust:

floater:

Series 2003-E Class A2, 5.7613% 10/25/28 (e)

201,541

198,679

Series 2004-B Class A2, 5.65% 6/25/29 (e)

172,932

172,285

Series 2003-G Class XA1, 1% 1/25/29 (g)

23,064,503

35,888

Series 2003-H Class XA1, 1% 1/25/29 (g)

17,792,295

40,840

Nomura Home Equity Loan, Inc. floater Series 2006-FM2:

Class M1, 5.795% 7/25/36 (e)

3,345,000

2,465,526

Class M7, 6.305% 7/25/36 (e)

910,000

411,705

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 5.805% 3/25/37 (e)

2,880,000

2,350,725

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Permanent Financing (No. 8) PLC floater Class 3C, 5.88% 6/10/42 (e)

$ 1,050,000

$ 1,027,098

Permanent Financing No. 3 PLC floater Series 2006-3 Class 3A, 5.54% 9/10/33 (e)

1,160,000

1,158,732

Permanent Financing No. 9 PLC floater Series 2006-9A Class 3A, 5.46% 6/10/33 (a)(e)

7,110,000

7,057,080

Permanent Master Issuer PLC floater:

Series 2006-1 Class 2C, 5.76% 7/17/42 (e)

4,910,000

4,907,890

Series 2007-1 Class 4A, 5.44% 10/15/33 (e)

10,110,000

9,984,939

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B:

Class B4, 7.1% 7/10/35 (a)(e)

9,342,500

9,435,925

Class B5, 7.7% 7/10/35 (a)(e)

8,674,388

8,677,099

Class B6, 8.2% 7/10/35 (a)(e)

3,782,587

3,820,413

Series 2003-CB1:

Class B3, 6.8% 6/10/35 (a)(e)

4,239,545

4,260,743

Class B4, 7% 6/10/35 (a)(e)

3,787,942

3,806,881

Class B5, 7.6% 6/10/35 (a)(e)

2,585,201

2,598,127

Class B6, 8.1% 6/10/35 (a)(e)

1,534,531

1,549,876

Series 2004-B:

Class B4, 6.45% 2/10/36 (a)(e)

1,540,730

1,509,916

Class B5, 6.9% 2/10/36 (a)(e)

1,042,956

1,022,097

Class B6, 7.35% 2/10/36 (a)(e)

379,257

367,879

Series 2004-C:

Class B4, 6.3% 9/10/36 (a)(e)

1,915,041

1,895,890

Class B5, 6.7% 9/10/36 (a)(e)

2,106,545

2,064,414

Class B6, 7.1% 9/10/36 (a)(e)

287,256

278,638

Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 5.605% 9/25/46 (e)

3,622,390

3,597,486

Residential Asset Mortgage Products, Inc. sequential payer:

Series 2003-SL1 Class A31, 7.125% 4/25/31

10,178,358

10,268,269

Series 2004-SL2 Class A1, 6.5% 10/25/16

3,162,029

3,199,035

Series 2004-SL3 Class A1, 7% 8/25/16

1,826,377

1,857,309

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 5.955% 6/25/33 (a)(e)

2,225,672

2,147,079

Securitized Asset Backed Receivables LLC Trust floater Series 2006-FR3 Class A1, 5.555% 5/25/36 (e)

285,217

284,192

Sequoia Mortgage Funding Trust Series 2003-A Class AX1, 0.8% 10/21/08 (a)(g)

22,540,557

14,201

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 5.72% 9/20/33 (e)

338,689

338,634

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Sequoia Mortgage Trust floater: - continued

Series 2004-12 Class 1A2, 5.69% 1/20/35 (e)

$ 166,404

$ 164,843

Series 2004-4 Class A, 5.6206% 5/20/34 (e)

141,870

141,848

Series 2004-5 Class A3, 5.6409% 6/20/34 (e)

161,319

160,886

Series 2004-6 Class A3A, 5.6975% 6/20/35 (e)

144,822

144,720

Series 2004-7 Class A3A, 5.7038% 8/20/34 (e)

142,064

141,796

Series 2005-1 Class A2, 5.6325% 2/20/35 (e)

162,980

160,844

SG Mortgage Securities Trust floater Series 2006-OPT2 Class A3C, 5.655% 10/25/36 (e)

4,415,000

3,907,275

Structured Asset Securities Corp. floater:

Series 2006-BC5 Class M1, 5.745% 12/25/36 (e)

15,000,000

11,100,015

Series 2007-MLN1 Class M1, 5.855% 1/25/37 (a)(e)

1,175,000

883,224

Triad Auto Receivables Owner Trust sequential payer Series 2007-A Class A3, 5.28% 2/13/12

15,000,000

14,973,056

WaMu Mortgage pass-thru certificates:

sequential payer Series 2002-S6 Class A25, 6% 10/25/32

386,937

386,399

Series 2003-AR10 Class A7, 4.0575% 10/25/33 (e)

1,835,000

1,790,755

Series 2003-AR12 Class A5, 4.043% 2/25/34

4,977,814

4,925,456

Series 2004-AR7 Class A6, 3.941% 7/25/34 (e)

655,000

633,410

Series 2006-AR10 Class 1A4, 5.9506% 9/25/36 (e)

8,675,000

8,749,458

WaMu Mortgage Securities Corp. pass-thru certificates sequential payer:

Series 2003-MS9 Class 2A1, 7.5% 12/25/33

3,308,348

3,399,857

Series 2004-RA2 Class 2A, 7% 7/25/33

3,854,911

3,915,144

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-T Class A1, 5.2907% 9/25/34 (e)

9,097,264

9,098,715

Series 2005-AR10 Class 2A2, 4.1097% 6/25/35 (c)(e)

46,353,051

45,077,869

Series 2005-AR12 Class 2A6, 4.3186% 7/25/35 (e)

11,646,218

11,357,775

Series 2005-AR2 Class 2A2, 4.57% 3/25/35

29,206,654

28,568,130

Series 2005-AR4 Class 2A2, 4.5234% 4/25/35 (e)

12,969,206

12,685,376

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $696,177,086)

681,168,417

Commercial Mortgage Securities - 17.8%

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-5 Class A1, 5.185% 7/10/11

850,126

845,345

Series 2007-2 Class A1, 5.421% 1/10/12

2,152,043

2,152,713

Commercial Mortgage Securities - continued

Principal Amount

Value

Banc of America Commercial Mortgage Trust: - continued

Series 2006-5 Class XP, 0.832% 9/10/47 (g)

$ 28,196,208

$ 796,816

Banc of America Commercial Mortgage, Inc.:

sequential payer Series 2004-2 Class A2, 3.52% 11/10/38

2,051,225

2,002,634

Series 2002-2 Class XP, 1.7784% 7/11/43 (a)(e)(g)

9,866,243

345,067

Series 2003-2 Class XP, 0.2627% 3/11/41 (a)(e)(g)

142,188,247

1,127,581

Banc of America Large Loan, Inc. floater Series 2006-BIX1:

Class A1, 5.6813% 10/15/19 (a)(e)

245,030

244,996

Class A2, 5.7213% 10/15/19 (a)(e)

360,000

359,873

Class B, 5.7513% 10/15/19 (a)(e)

410,000

409,786

Class C, 5.7913% 10/15/19 (a)(e)

925,000

924,038

Class D, 5.8213% 10/15/19 (a)(e)

1,130,000

1,128,240

Class E, 5.8513% 10/15/19 (a)(e)

615,000

613,869

Class F, 5.9213% 10/15/19 (a)(e)

820,000

817,914

Class G, 5.9413% 10/15/19 (a)(e)

870,000

867,174

Class JCA, 6.2113% 10/15/19 (a)(e)

140,864

138,820

Class JCP, 6.1113% 10/15/19 (a)(e)

101,838

100,548

Class KCA, 6.2613% 10/15/19 (a)(e)

96,253

95,213

Class KCP, 6.1613% 10/15/19 (a)(e)

166,074

164,202

Class LCA, 6.3613% 10/15/19 (a)(e)

111,902

110,693

Class LCP, 6.2613% 10/15/19 (a)(e)

612,592

605,975

Bayview Commercial Asset Trust floater:

Series 2004-1:

Class A, 5.865% 4/25/34 (a)(e)

3,276,583

3,275,047

Class B, 7.405% 4/25/34 (a)(e)

378,067

376,354

Class M1, 6.065% 4/25/34 (a)(e)

294,052

293,409

Class M2, 6.705% 4/25/34 (a)(e)

294,052

293,409

Series 2004-2 Class A, 5.935% 8/25/34 (a)(e)

3,838,283

3,837,683

Series 2004-3:

Class A1, 5.875% 1/25/35 (a)(e)

6,925,651

6,918,077

Class A2, 5.925% 1/25/35 (a)(e)

985,239

984,162

Class M1, 6.005% 1/25/35 (a)(e)

1,188,082

1,179,543

Series 2005-2A Class A1, 5.815% 8/25/35 (a)(e)

2,330,397

2,320,892

Series 2005-3A Class A2, 5.905% 11/25/35 (a)(e)

812,093

809,809

Series 2006-4A:

Class A1, 5.735% 12/25/36 (a)(e)

2,283,611

2,268,508

Class A2, 5.775% 12/25/36 (a)(e)

5,432,936

5,384,759

Class B1, 6.205% 12/25/36 (a)(e)

168,463

145,721

Class B2, 6.755% 12/25/36 (a)(e)

159,104

144,008

Class B3, 7.955% 12/25/36 (a)(e)

290,131

277,321

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust floater: - continued

Series 2006-4A:

Class M1, 5.795% 12/25/36 (a)(e)

$ 369,683

$ 363,230

Class M2, 5.815% 12/25/36 (a)(e)

233,977

225,787

Class M3, 5.845% 12/25/36 (a)(e)

237,720

221,962

Class M4, 5.905% 12/25/36 (a)(e)

285,451

271,268

Class M5, 5.945% 12/25/36 (a)(e)

262,054

234,641

Class M6, 6.025% 12/25/36 (a)(e)

233,977

222,585

Series 2007-1:

Class A2, 5.775% 3/25/37 (a)(e)

987,870

977,219

Class B1, 6.175% 3/25/37 (a)(e)

315,177

289,668

Class B2, 6.655% 3/25/37 (a)(e)

225,799

204,242

Class B3, 8.855% 3/25/37 (a)(e)

649,171

595,513

Class M1, 5.775% 3/25/37 (a)(e)

263,432

255,200

Class M2, 5.795% 3/25/37 (a)(e)

197,574

190,721

Class M3, 5.825% 3/27/37 (a)(e)

178,757

172,780

Class M4, 5.875% 3/25/37 (a)(e)

131,716

124,760

Class M5, 5.925% 3/25/37 (a)(e)

221,095

208,485

Class M6, 6.005% 3/25/37 (a)(e)

310,473

290,632

Series 2007-2A:

Class A1, 5.775% 7/25/37 (a)(e)

796,065

788,975

Class A2, 5.825% 7/25/37 (a)(e)

746,620

739,970

Class B1, 7.105% 7/25/37 (a)(e)

222,503

213,429

Class B2, 7.755% 7/25/37 (a)(e)

192,836

183,134

Class B3, 8.855% 7/25/37 (a)(e)

212,614

198,229

Class M1, 5.875% 7/25/37 (a)(e)

252,170

245,077

Class M2, 5.915% 7/25/37 (a)(e)

128,557

124,580

Class M3, 5.995% 7/25/37 (a)(e)

128,557

125,082

Class M4, 6.155% 7/25/37 (a)(e)

276,892

265,124

Class M5, 6.255% 7/25/37 (a)(e)

242,281

231,492

Class M6, 6.505% 7/25/37 (a)(e)

306,559

293,051

Series 2007-3:

Class B1, 6.455% 7/25/37 (a)(e)

247,241

243,533

Class B2, 7.105% 7/25/37 (a)(e)

644,766

635,095

Class B3, 9.505% 7/25/37 (a)(e)

329,655

324,710

Class M1, 5.815% 7/25/37 (a)(e)

213,306

212,106

Class M2, 5.845% 7/25/37 (a)(e)

227,850

226,568

Class M3, 5.875% 7/25/37 (a)(e)

373,286

370,719

Class M4, 6.005% 7/25/37 (a)(e)

586,592

581,459

Class M5, 6.105% 7/25/37 (a)(e)

295,720

292,763

Class M6, 6.305% 7/25/37 (a)(e)

223,002

220,772

Series 2007-4A:

Class B1, 8.055% 9/25/37 (a)(e)

308,327

308,327

Class B2, 8.955% 9/25/37 (a)(e)

1,158,714

1,158,714

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust floater: - continued

Series 2007-4A:

Class M1, 6.28% 9/25/37 (a)(e)

$ 283,462

$ 283,462

Class M2, 6.555% 9/25/37 (a)(e)

283,462

283,462

Class M4, 7.105% 9/25/37 (a)(e)

755,900

755,900

Class M5, 7.255% 9/25/37 (a)(e)

755,900

755,900

Class M6, 7.455% 9/25/37 (a)(e)

760,873

760,873

Bear Stearns Commercial Mortgage Securities Trust:

floater Series 2007-BBA8:

Class D, 5.57% 3/15/22 (a)(e)

490,000

487,550

Class E, 5.9113% 3/15/22 (a)(e)

2,550,000

2,532,469

Class F, 5.9613% 5/15/22 (a)(e)

1,565,000

1,549,350

Class G, 6.0113% 3/15/22 (a)(e)

400,000

395,500

Class H, 6.1613% 3/15/22 (a)(e)

490,000

483,875

Class J, 6.3113% 3/15/22 (a)(e)

490,000

483,263

Class MS-6, 6.5113% 3/15/22 (a)(e)

975,000

950,625

Class MS5, 6.2613% 3/15/22 (a)(e)

1,760,000

1,722,600

Class X-1M, 1.12% 3/15/22 (a)(g)

54,573,440

511,626

sequential payer Series 2006-T24 Class A1, 4.905% 10/12/41 (e)

2,548,403

2,514,731

Bear Stearns Commercial Mortgage Securities, Inc. Series 2007-PW15:

Class A1, 5.016% 2/11/44

1,669,274

1,653,345

Class X2, 0.3784% 2/11/44 (a)(e)(g)

118,660,000

2,300,794

Citigroup Commercial Mortgage Trust floater Series 2006-FL2:

Class A1, 5.6813% 11/15/36 (a)(e)

366,557

366,413

Class A2, 5.7213% 11/15/36 (a)(e)

2,055,000

2,053,947

Class B, 5.7513% 11/15/36 (a)(e)

515,000

514,780

Class C, 5.7813% 11/15/36 (a)(e)

515,000

514,780

Class CNP-1, 6.4113% 8/16/21 (a)(e)

545,000

540,976

Class D, 5.8213% 11/15/36 (a)(e)

410,000

409,632

Class E, 5.8513% 11/15/36 (a)(e)

310,000

309,433

Class F, 5.9213% 8/16/21 (a)(e)

515,000

513,695

Class G, 5.9413% 11/15/36 (a)(e)

515,000

513,134

Class H, 5.9813% 11/15/36 (a)(e)

410,000

405,438

Cobalt CMBS Commercial Mortgage Trust sequential payer Series 2006-C1 Class A1, 5.043% 8/15/48

9,045,227

8,963,690

COMM:

sequential payer Series 1999-1 Class A2, 6.455% 5/15/32

10,957,330

10,991,705

Series 2004-LBN2 Class X2, 0.9563% 3/10/39 (a)(e)(g)

31,499,233

702,446

Commercial Mortgage Securities - continued

Principal Amount

Value

COMM: - continued

Series 2006-C8:

Class A1, 5.11% 12/10/46

$ 2,467,818

$ 2,450,354

Class XP, 0.5055% 12/10/46 (e)(g)

138,880,723

3,252,489

Commercial Mortgage pass-thru certificates floater:

Series 2005-FL11:

Class B, 5.8613% 11/15/17 (a)(e)

2,513,431

2,513,140

Class C, 5.9113% 11/15/17 (a)(e)

1,748,914

1,748,885

Series 2006-FL12:

Class AJ, 5.7413% 12/15/20 (a)(e)

5,645,000

5,641,824

Class CA1, 6.3025% 12/15/20 (a)(e)

72,407

72,407

Class CA2, 6.3525% 12/15/20 (a)(e)

113,218

112,652

Class CA3, 6.4025% 12/15/20 (a)(e)

130,332

129,681

Class CA4, 6.5025% 12/15/20 (a)(e)

143,497

142,780

Class CN1, 6.2525% 12/15/20 (a)(e)

379,149

377,253

Class CN2, 6.3025% 12/15/20 (a)(e)

203,675

202,657

Class CN3, 6.4025% 12/15/20 (a)(e)

197,408

196,421

Series 2007-FL14:

Class F, 6.1113% 6/15/22 (a)(e)

2,234,431

2,223,259

Class G, 6.1613% 6/15/22 (a)(e)

619,299

616,203

Class H, 6.3113% 6/15/22 (a)(e)

619,299

616,203

Class MLK1, 6.4113% 6/15/22 (a)(e)

1,705,000

1,696,475

Class MLK2, 6.6113% 6/15/22 (a)(e)

945,000

940,275

Class MLK3, 6.8113% 6/15/22 (a)(e)

1,135,000

1,129,325

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2006-C5 Class A1, 5.297% 12/15/39

6,424,022

6,395,495

Series 2007-C3 Class A1, 5.664% 6/15/39 (e)

1,318,071

1,320,007

Series 2006-C5 Class ASP, 0.6708% 12/15/39 (e)(g)

85,375,000

2,784,326

Credit Suisse First Boston Mortgage Securities Corp.:

floater:

Series 2006-TF2A:

Class A2, 7.1113% 7/15/19 (a)(e)

2,440,555

2,397,845

Class SHDC, 6.6113% 7/15/19 (a)(e)

1,163,764

1,145,906

Series 2006-TFL2:

Class A2, 5.7813% 10/15/21 (a)(e)

10,000,000

9,994,529

Class SHDD, 6.9613% 7/15/19 (a)(e)

657,234

650,661

sequential payer Series 1998-C1 Class A1B, 6.48% 5/17/40

13,528,101

13,567,839

Series 1997-C2 Class D, 7.27% 1/17/35

20,440,000

20,650,090

Series 2002-CP5 Class A1, 4.106% 12/15/35

1,717,835

1,662,992

Series 2003-C4 Class ASP, 0.3695% 8/15/36 (a)(e)(g)

92,363,609

931,829

Commercial Mortgage Securities - continued

Principal Amount

Value

Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2006-1A Class AFL, 5.7813% 11/15/36 (a)(e)

$ 1,595,000

$ 1,580,916

CSMC Commercial Mortgage Trust floater Series 2006-TFLA Class D, 5.8913% 4/15/21 (a)(e)

1,440,000

1,438,857

DLJ Commercial Mortgage Corp.:

sequential payer Series 1998-CF1 Class A1B, 6.41% 2/18/31

1,891,521

1,887,634

sequential payer Series 1999-CG1 Class A1B, 6.46% 3/10/32

4,474,696

4,516,864

First Union-Lehman Brothers Commercial Mortgage Trust sequential payer Series 1997-C2 Class A3, 6.65% 11/18/29

1,590,248

1,585,570

GE Capital Commercial Mortgage Corp.:

Series 2004-C1 Class X2, 1.0589% 11/10/38 (e)(g)

92,728,467

2,558,323

Series 2007-C1 Class XP, 0.2519% 12/10/49 (e)(g)

96,490,000

1,186,817

General Growth Properties, Inc. sequential payer Series 1 Class A2, 6.602% 11/15/07 (a)

69,000,000

69,050,991

Global Signal Trust III Series 2006-1 Class B, 5.588% 2/15/36

5,440,000

5,364,350

GMAC Commercial Mortgage Securities, Inc. Series 2003-C3 Class X2, 0.6684% 12/10/38 (a)(e)(g)

104,943,929

1,778,821

Greenwich Capital Commercial Funding Corp.:

sequential payer Series 2007-GG9 Class A1, 5.233% 3/10/39

1,525,688

1,518,080

Series 2003-C1 Class XP, 1.8578% 7/5/35 (a)(e)(g)

55,857,340

2,669,858

Series 2003-C2 Class XP, 1.0034% 1/5/36 (a)(e)(g)

124,696,134

2,761,832

GS Mortgage Securities Corp. II:

floater Series 2007-EOP:

Class C, 5.65% 3/1/20 (a)(e)

4,615,000

4,522,700

Class D, 5.7% 3/1/20 (a)(e)

5,460,000

5,350,800

Class E, 5.77% 3/1/20 (a)(e)

765,000

749,700

Class F, 5.81% 3/1/20 (a)(e)

380,000

372,400

Class G, 5.85% 3/1/20 (a)(e)

190,000

186,200

Class H, 5.98% 3/1/20 (a)(e)

315,000

307,125

Class J:

6.18% 3/1/20 (a)(e)

450,000

438,750

6.38% 3/1/20 (a)(e)

315,000

307,125

sequential payer:

Series 2003-C1 Class A2A, 3.59% 1/10/40

37,549,829

37,240,520

Series 2004-C1 Class A1, 3.659% 10/10/28

27,150,744

26,657,190

Series 1998-GLII Class E, 6.9707% 4/13/31 (e)

8,460,000

8,518,022

GS Mortgage Securities Trust Series 2007-GG10 Class A1, 5.69% 8/10/45

1,861,435

1,872,474

Commercial Mortgage Securities - continued

Principal Amount

Value

Host Marriott Pool Trust sequential payer Series 1999-HMTA Class A, 6.98% 8/3/15 (a)

$ 2,396,679

$ 2,438,693

JPMorgan Chase Commercial Mortgage Securities Corp.:

Series 2004-C1 Class X2, 0.9771% 1/15/38 (a)(e)(g)

25,988,436

673,776

Series 2004-CB8 Class X2, 1.1078% 1/12/39 (a)(e)(g)

26,636,057

795,558

JPMorgan Chase Commercial Securities Trust floater Series 2006-FLA2:

Class A2, 5.7413% 11/15/18 (a)(e)

1,875,000

1,873,865

Class B, 5.7813% 11/15/18 (a)(e)

1,098,812

1,097,605

Class C, 5.8213% 11/15/18 (a)(e)

779,685

778,100

Class D, 5.8413% 11/15/18 (a)(e)

275,610

274,947

Class E, 5.8913% 11/15/18 (a)(e)

413,414

412,038

Class F, 5.9413% 11/15/18 (a)(e)

620,122

617,484

Class G, 5.9713% 11/15/18 (a)(e)

536,713

529,503

Class H, 6.1113% 11/15/18 (a)(e)

413,414

403,577

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2001-C7 Class A2, 5.533% 12/15/25

2,590,493

2,585,864

Series 2003-C3 Class A2, 3.086% 5/15/27

9,205,000

9,047,849

Series 2006-C7 Class A1, 5.279% 11/15/38

733,098

732,068

Series 2007-C1 Class A1, 5.391% 2/15/40 (e)

981,380

980,841

Series 2004-C2 Class XCP, 1.1169% 3/1/36 (a)(e)(g)

214,879,490

5,580,807

Series 2004-C4 Class A2, 4.567% 6/15/29 (e)

2,825,000

2,791,194

Series 2007-C2 Class A1, 5.226% 2/15/40

806,750

803,706

Merrill Lynch Mortgage Trust sequential payer Series 2007-C1 Class A1, 4.533% 7/12/40

5,420,000

5,350,977

Merrill Lynch/Countrywide Commercial Mortgage Trust Series 2006-4 Class XP, 0.6718% 12/12/49 (e)(g)

45,586,489

1,463,855

Morgan Stanley Capital I Trust sequential payer Series 2006-HQ8 Class A1, 5.124% 3/12/44

692,378

688,340

Morgan Stanley Capital I Trust:

floater:

Series 2007-XLCA Class B, 6.111% 7/17/17 (a)(e)

2,649,137

2,635,892

Series 2007-XLFA:

Class MHRO, 6.3013% 10/15/20 (a)(e)

931,091

912,470

Class MJPM, 6.6113% 10/15/20 (a)(e)

326,655

320,122

Class MSTR, 6.3113% 10/15/20 (a)(e)

505,000

494,900

Class NHRO, 6.5013% 10/15/20 (a)(e)

1,433,151

1,404,488

Class NSTR, 6.4613% 10/15/20 (a)(e)

460,000

450,800

Commercial Mortgage Securities - continued

Principal Amount

Value

Morgan Stanley Capital I Trust: - continued

sequential payer:

Series 2007-HQ11 Class A1, 5.246% 2/20/44 (e)

$ 1,610,781

$ 1,602,999

Series 2007-IQ13 Class A1, 5.05% 3/15/44

1,523,500

1,505,751

Series 2007-IQ14 Class A1, 5.38% 4/15/49

3,644,953

3,634,756

Series 2007-T25 Class A1, 5.391% 11/12/49

2,304,504

2,302,018

Series 2006-HQ10 Class X2, 0.5035% 11/1/41 (a)(e)(g)

67,617,173

1,452,998

Series 2007-HQ12 Series A1, 5.519% 4/12/49 (e)

2,064,027

2,061,859

Series 2007-XLC1:

Class C, 6.211% 7/17/17 (a)(e)

3,273,331

3,256,964

Class D, 6.311% 7/17/17 (a)(e)

1,538,367

1,522,984

Class E, 6.411% 7/17/17 (a)(e)

1,253,302

1,240,769

Morgan Stanley Capital I, Inc.:

floater Series 2006-XLF Class F, 5.9313% 7/15/19 (a)(e)

1,975,000

1,971,821

sequential payer Series 1998-HF2 Class A2, 6.48% 11/15/30

4,226,854

4,234,864

Mortgage Capital Funding, Inc. sequential payer Series 1998-MC2 Class A2, 6.423% 6/18/30

16,374,011

16,345,291

TrizecHahn Office Properties Trust Series 2001-TZHA:

Class C3, 6.522% 3/15/13 (a)

9,647,505

9,627,044

Class E3, 7.253% 3/15/13 (a)

11,693,356

11,639,543

Wachovia Bank Commercial Mortgage Trust:

floater Series 2007-WHL8:

Class AP1, 6.3113% 6/15/20 (e)

250,000

244,738

Class AP2, 6.4113% 6/15/20 (e)

435,000

423,081

Class F, 6.0913% 6/15/20 (e)

3,755,000

3,723,511

Class LXR1, 6.3113% 6/15/20 (e)

1,003,888

990,825

sequential payer Series 2007-C31 Class A1, 5.14% 4/15/47

1,423,840

1,411,354

Series 2003-C8 Class XP, 0.5525% 11/15/35 (a)(e)(g)

64,642,366

636,087

Series 2003-C9 Class XP, 0.5049% 12/15/35 (a)(e)(g)

45,384,126

595,472

Series 2006-C29 Class A1, 5.11% 11/15/48 (c)

8,239,016

8,166,406

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $502,916,208)

495,133,370

Fixed-Income Funds - 1.6%

Shares

Value

Fidelity Ultra-Short Central Fund (f)
(Cost $45,994,970)

462,261

$ 43,706,778

Cash Equivalents - 4.0%

Maturity Amount

Investments in repurchase agreements in a joint trading account at:

5.02%, dated 8/31/07 due 9/4/07 (Collateralized by U.S. Treasury Obligations) #

$ 6,332,528

6,329,000

5.37%, dated 8/31/07 due 9/4/07 (Collateralized by U.S. Government Obligations) #

104,712,474

104,650,000

TOTAL CASH EQUIVALENTS

(Cost $110,979,000)

110,979,000

TOTAL INVESTMENT PORTFOLIO - 101.4%

(Cost $2,911,611,434)

2,819,982,549

NET OTHER ASSETS - (1.4)%

(39,893,512)

NET ASSETS - 100%

$ 2,780,089,037

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Eurodollar Contracts

283 Eurodollar 90 Day Index Contracts

Sept. 2007

$ 279,103,444

$ (423,263)

283 Eurodollar 90 Day Index Contracts

Dec. 2007

279,508,487

(114,045)

283 Eurodollar 90 Day Index Contracts

March 2008

279,717,200

67,968

283 Eurodollar 90 Day Index Contracts

June 2008

279,777,338

117,781

283 Eurodollar 90 Day Index Contracts

Sept. 2008

279,773,800

114,968

283 Eurodollar 90 Day Index Contracts

Dec. 2008

279,745,500

23,593

283 Eurodollar 90 Day Index Contracts

March 2009

279,706,588

2,406

283 Eurodollar 90 Day Index Contracts

June 2009

279,667,675

(68,355)

283 Eurodollar 90 Day Index Contracts

Sept. 2009

279,639,375

196,968

283 Eurodollar 90 Day Index Contracts

Dec. 2009

279,596,925

204,043

TOTAL EURODOLLAR CONTRACTS

$ 122,064

Swap Agreements

Notional Amount

Value

Credit Default Swaps

Pay monthly a fixed rate of .15% multiplied by the notional amount and receive from Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (d)

August 2037

$ 3,900,000

$ 936,000

Receive monthly notional amount multiplied by 3.5% and pay Goldman Sachs upon credit event of Merrill Lynch Mortgage Investors, Inc., par value of the notional amount of Merrill Lynch Mortgage Investors, Inc. Series 2006-HE5 Class B3, 7.32% 8/25/37

Sept. 2037

10,000,000

(6,945,917)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive from JPMorgan Chase, Inc. upon credit event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-6 Class M9, 7.405% 7/25/36, and pay monthly notional amount multiplied by 2.45%

August 2036

$ 2,000,000

$ 1,547,487

Receive monthly notional amount multiplied by 2.35% and pay Morgan Stanley, Inc. upon credit 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, 8.52% 9/25/34

Oct. 2034

1,300,000

(241,850)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Citibank upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (d)

August 2037

3,000,000

(840,000)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (d)

August 2037

7,000,000

(1,960,000)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (d)

August 2037

3,000,000

(840,000)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Lehman Brothers, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (d)

August 2037

3,700,000

(1,036,000)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Merrill Lynch, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (d)

August 2037

7,000,000

(1,960,000)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (d)

August 2037

$ 3,900,000

$ (1,092,000)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (d)

August 2037

1,400,000

(392,000)

Receive monthly notional amount multiplied by 1.45% and pay UBS upon credit event of ACE Securities Corp., par value of the notional amount of ACE Securities Corp. Series 2006-NC2 Class M9, 7.03% 7/25/36

August 2036

2,400,000

(1,910,890)

Receive monthly notional amount multiplied by 2.22% and pay JPMorgan Chase, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2005-HE3 Class B2, 6.87% 7/25/35

August 2035

3,000,000

(846,360)

Receive monthly notional amount multiplied by 2.37% and pay Bank of America upon credit event of JP Morgan Mortgage Acquisition Corp., par value of the notional amount of JP Morgan Mortgage Acquisition Corp. Series 2006-CW2 Class MV9, 7.1244% 8/25/36

Sept. 2036

1,300,000

(673,117)

Receive monthly notional amount multiplied by 2.8% and pay Merrill Lynch, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.7768% 11/25/34

Dec. 2034

1,200,000

(332,740)

Receive monthly notional amount multiplied by 2.87% and pay Bank of America upon credit event of Morgan Stanley ABS Capital I, Inc. Trust, par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Trust Series 2006-HE3 Class B3, 7.22% 4/25/36

May 2036

1,498,000

(1,189,090)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 3.05% and pay JPMorgan Chase, Inc. upon credit event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-7 Class M9, 7.13% 8/25/36

Sept. 2036

$ 1,300,000

$ (982,750)

Receive monthly notional amount multiplied by 3.12% and pay Bank of America upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2006-B Class M9, 7.23% 8/25/36

Sept. 2036

1,300,000

(831,751)

Receive monthly notional amount multiplied by 3.6% and pay Goldman Sachs upon credit event of Nomura Home Equity Loan, Inc., par value of the notional amount of Nomura Home Equity Loan, Inc. Series 2006-HE3 Class M9, 7.17% 7/25/36

August 2036

10,000,000

(6,285,545)

Receive monthly notional amount multiplied by 3.7% and pay Goldman Sachs upon credit event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-6 Class M9, 7.22% 7/25/36

August 2036

10,000,000

(7,737,433)

Receive monthly notional amount multiplied by 3.8% and pay Goldman Sachs upon credit event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-8 Class M9, 7.12% 9/25/36

Oct. 2036

10,000,000

(6,660,000)

TOTAL CREDIT DEFAULT SWAPS

88,198,000

(40,273,956)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 5.108% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Sept. 2009

50,000,000

592,315

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Total Return Swaps

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor with Lehman Brothers, Inc.

March 2008

$ 30,000,000

$ (176,136)

Receive monthly a return equal to Lehman Brothers U.S. ABS AA Floating Home Equities Index and pay monthly a floating rate based on 1-month LIBOR minus 10 basis points with Lehman Brothers, Inc.

Sept. 2007

15,000,000

(1,644,546)

Receive monthly a return equal to Lehman Brothers U.S. ABS AA Floating Home Equities Index and pay monthly a floating rate based on 1-month LIBOR minus 15 basis points with Lehman Brothers, Inc.

Oct. 2007

20,000,000

(2,191,867)

TOTAL TOTAL RETURN SWAPS

65,000,000

(4,012,549)

$ 203,198,000

$ (43,694,190)

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $594,872,720 or 21.4% of net assets.

(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $1,794,181.

(c) 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 $62,181,989.

(d) Represents a tradable index of credit default swaps on home equity asset-backed debt securities.

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

(f) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on the Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

(g) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period.

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

Repurchase Agreement / Counterparty

Value

$6,329,000 due 9/04/07 at 5.02%

Banc of America Securities LLC

$ 553,137

Citigroup Global Markets, Inc.

2,011,238

Lehman Brothers, Inc.

1,701,817

UBS Securities LLC

2,062,808

$ 6,329,000

$104,650,000 due 9/04/07 at 5.37%

BNP Paribas Securities Corp.

$ 2,418,097

Banc of America Securities LLC

37,057,174

Repurchase Agreement / Counterparty

Value

Bank of America, NA

$ 16,655,967

Bear Stearns & Co., Inc.

2,081,996

Citigroup Global Markets, Inc.

6,566,544

Credit Suisse Securities (USA) LLC

4,163,992

Greenwich Capital Markets, Inc.

2,081,996

HSBC Securities (USA), Inc.

4,163,992

ING Financial Markets LLC

8,327,984

Societe Generale, New York Branch

12,491,975

UBS Securities LLC

4,059,892

WestLB AG

4,580,391

$ 104,650,000

Affiliated Central Funds

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

Fund

Income earned

Fidelity Ultra-Short Central Fund

$ 2,629,208

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 Ultra-Short Central Fund

$ -

$ 71,000,016

$ 25,000,020

$ 43,706,778

0.3%

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements

Statement of Assets and Liabilities

August 31, 2007

Assets

Investment in securities, at value (including repurchase agreements of $110,979,000) - See accompanying schedule:

Unaffiliated issuers (cost $2,865,616,464)

$ 2,776,275,771

Fidelity Central Funds (cost $45,994,970)

43,706,778

Total Investments (cost $2,911,611,434)

$ 2,819,982,549

Cash

7,061

Receivable for investments sold

45,003

Receivable for swap agreements

156,537

Interest receivable

13,605,073

Distributions receivable from Fidelity Central Funds

219,718

Total assets

2,834,015,941

Liabilities

Payable for investments purchased

$ 9,720,081

Swap agreements, at value

43,694,190

Payable for daily variation on futures contracts

497,043

Other payables and accrued expenses

15,590

Total liabilities

53,926,904

Net Assets

$ 2,780,089,037

Net Assets consist of:

Paid in capital

$ 2,913,279,600

Net unrealized appreciation (depreciation) on investments

(133,190,563)

Net Assets, for 29,130,204 shares outstanding

$ 2,780,089,037

Net Asset Value, offering price and redemption price per share ($2,780,089,037 ÷ 29,130,204 shares)

$ 95.44

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements - continued

Statement of Operations

For the period September 25, 2006 (commencement of operations) to August 31, 2007

Investment Income

Interest

$ 115,709,776

Income from Fidelity Central Funds

2,629,208

Total income

118,338,984

Expenses

Custodian fees and expenses

$ 40,965

Independent directors' compensation

6,705

Total expenses before reductions

47,670

Expense reductions

(20,698)

26,972

Net investment income

118,312,012

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

(3,796,960)

Fidelity Central Funds

(5,026)

Futures contracts

(671,324)

Swap agreements

(2,552,545)

Capital gain distributions from Fidelity Central Funds

9,990

Total net realized gain (loss)

(7,015,865)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(79,424,537)

Futures contracts

122,064

Swap agreements

(41,683,742)

Total change in net unrealized appreciation (depreciation)

(120,986,215)

Net gain (loss)

(128,002,080)

Net increase (decrease) in net assets resulting from operations

$ (9,690,068)

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Changes in Net Assets

For the period
September 25, 2006
(commencement of operations) to
August 31, 2007

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 118,312,012

Net realized gain (loss)

(7,015,865)

Change in net unrealized appreciation (depreciation)

(120,986,215)

Net increase (decrease) in net assets resulting
from operations

(9,690,068)

Distributions to partners from net investment income

(118,607,719)

Affiliated share transactions
Proceeds from sales of shares

1,240,752,589

Contributions in-kind

1,674,163,523

Reinvestment of distributions

25,480,138

Cost of shares redeemed

(32,009,426)

Net increase (decrease) in net assets resulting from share transactions

2,908,386,824

Total increase (decrease) in net assets

2,780,089,037

Net Assets

Beginning of period

-

End of period

$ 2,780,089,037

Other Information

Shares

Sold

12,446,121

Issued for in-kind contributions

16,741,635

Issued in reinvestment of distributions

263,929

Redeemed

(321,481)

Net increase (decrease)

29,130,204

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights

Period ended
August 31, 2007 H

Selected Per-Share Data

Net asset value, beginning of period

$ 100.00

Income from Investment Operations

Net investment incomeD

4.836

Net realized and unrealized gain (loss)

(4.540)

Total from investment operations

.296

Distributions to partners from net investment income

(4.856)

Net asset value, end of period

$ 95.44

Total Return B, C

.23%

Ratios to Average Net Assets E, I

Expenses before reductions

-%A, G

Expenses net of fee waivers, if any

-%A, G

Expenses net of all reductions

-%A, G

Net investment income

5.25%A

Supplemental Data

Net assets, end of period (000 omitted)

$ 2,780,089

Portfolio turnover rateF

59%A, J

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G Amount represents less than .01%.

H For the period September 25, 2006 (commencement of operations) to August 31, 2007.

I Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

J Portfolio turnover rate excludes securities received or delivered in-kind.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Notes to Financial Statements

For the period ended August 31, 2007

1. Organization.

Fidelity 1-3 Year Duration Securitized Bond Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) (formerly of Fidelity Central Investment Portfolios LLC) and is authorized to issue an unlimited number of shares. Effective April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund reorganized into Fidelity Central Investment Portfolios II LLC effective June 29, 2007 (Trust Reorganization). The Trust Reorganization does not impact the Fund's investment strategies or Fidelity Management & Research Company's (FMR) management of the Fund. The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company. Each Fund in the LLC is a separate partnership for tax purposes. Shares of the Fund are only offered to other investment companies and accounts managed by FMR, or its affiliates.

2. Investments in Fidelity Central Funds.

The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by FMR and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity Ultra-Short Central Fund

Fidelity Investments Money Management, Inc. (FIMM)

Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities.

Futures

Mortgage Dollar Rolls

Repurchase Agreements

Restricted Securities

Swap Agreements

The Central Funds may invest a portion of their assets in securities of issuers that hold mortgage securities, including subprime mortgage securities. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.

Annual Report

Notes to Financial Statements - continued

2. Investments in Fidelity Central Funds - continued

A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Directors 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 available dealer supplied prices. Certain of the Fund's securities may be valued by a single source or dealer.

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 Directors. Factors used in the determination of fair value may include current market trading activity, interest rates, credit quality and default rates. 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.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and income and capital gain distributions from other Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Annual Report

3. Significant Accounting Policies - continued

Expenses. Most expenses of the LLC can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the LLC. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known. All legal and other expenses associated with the Trust Reorganization will be paid by FMR.

Income Tax Information and Distributions to Partners. No provision has been made for federal income taxes because all income and expenses and gain/loss (realized and unrealized) are allocated daily to the partners, based on their capital balances, for inclusion in their individual income tax returns.

Distributions are declared daily and paid monthly from net investment income on a book basis, except for certain items such as market discount, which are deemed distributed based on allocations to the partners and are reclassified to paid in capital. Due to the Fund's partnership structure, paid in capital includes net realized gain/loss on investments.

The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:

Unrealized appreciation

$ 4,394,177

Unrealized depreciation

(95,197,208)

Net unrealized appreciation (depreciation)

$ (90,803,031)

Cost for federal income tax purposes

$ 2,910,785,580

New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management has concluded that the adoption of FIN 48 will not result in a material impact on the Fund's net assets, results of operations and financial statement disclosures.

In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.

Annual Report

Notes to Financial Statements - continued

4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates and currency values. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

Annual Report

4. Operating Policies - continued

Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.

Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty.

Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value.

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."

Annual Report

Notes to Financial Statements - continued

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, U.S. government securities and in-kind transactions, aggregated $1,574,759,825 and $617,437,727, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FIMM provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain exceptions such as interest expense.

Exchange-In-Kind. On September 25, 2006, the Investing Funds completed a non-taxable exchange with the Fund. The Investing Funds delivered securities with a value, including accrued interest, of $1,674,163,523 (which included $12,204,348 of unrealized appreciation) in exchange for 16,741,635 shares of the Fund, as presented in the accompanying Statement of Changes in Net Assets. This is considered a non-taxable exchange for federal income tax purposes, with no gain or loss recognized by the Fund or its partners.

The Board of Directors may permit the purchase of shares (for cash, securities or other consideration) and admit new Eligible Accredited Investors into the Fund, in accordance with the Partnership Agreement. At the end of the period, mutual funds managed by FMR or its affiliates were the owners of record of all the outstanding shares of the Fund.

7. Expense Reductions.

FMR voluntarily agreed to reimburse a portion of the Fund's operating expenses. During the period, this reimbursement reduced the Fund's expenses by $6,705.

In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $13,993.

8. Other.

The Fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum

Annual Report

8. Other - continued

exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

9. Credit Risk.

The fund invests a significant portion of its assets in securities of issuers that hold mortgage securities, including subprime mortgage securities. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Central Investment Portfolios II LLC and the Shareholders of Fidelity 1-3 Year Duration Securitized Bond Central Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity 1-3 Year Duration Securitized Bond Central Fund (a fund of Fidelity Central Investment Portfolios II LLC) at August 31, 2007, the results of its operations, the changes in its net assets and the financial highlights for the period September 25, 2006 (commencement of operations) through August 31, 2007, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity 1-3 Year Duration Securitized Bond Central Fund's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at August 31, 2007 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

October 30, 2007

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the Fidelity Central Investment Portfolios II LLC and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 369 funds advised by FMR or an affiliate. Mr. Curvey oversees 339 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (77)

Year of Election or Appointment: 2007

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as President (2006-present), Chief Executive Officer, Chairman, and a Director of FMR LLC; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001-present) and a Director of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of Fidelity International Limited (FIL).

James C. Curvey (72)

Year of Election or Appointment: 2007

Mr. Curvey also serves as Trustee (2007-present) or Member of the Advisory Board (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2006-present) and Director of FMR LLC. Mr. Curvey joined Fidelity in 1982 and served in numerous senior management positions, including President and Chief Operating Officer of FMR LLC (1997-2000) and President of Fidelity Strategic Investments (2000-2002). In addition, he serves as a member of the Board of Directors of Geerlings & Wade, Inc. (wine distribution).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the Fidelity Central Investment Portfolios II LLC or various entities under common control with FMR. FMR Corp. merged with FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

Dennis J. Dirks (59)

Year of Election or Appointment: 2007

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of Manhattan College (2005-present) and a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present).

Albert R. Gamper, Jr. (65)

Year of Election or Appointment: 2007

Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (1989-2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001-present), Chairman of the Board of Governors, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System.

George H. Heilmeier (71)

Year of Election or Appointment: 2007

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), and HRL Laboratories (private research and development, 2004-present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002), INET Technologies Inc. (telecommunications network surveillance, 2001-2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid crystal display, and a member of the Consumer Electronics Hall of Fame.

James H. Keyes (66)

Year of Election or Appointment: 2007

Prior to his retirement in 2003, Mr. Keyes was Chairman, President, and Chief Executive Officer of Johnson Controls, Inc. (automotive supplier, 1993-2003). He currently serves as a member of the boards of LSI Logic Corporation (semiconductor technologies), Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, 2002-present), and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions).

Marie L. Knowles (60)

Year of Election or Appointment: 2007

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002-present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (63)

Year of Election or Appointment: 2007

Mr. Lautenbach is Chairman of the Independent Trustees (2006-present). Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Sony Corporation (2006-present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations.

Cornelia M. Small (63)

Year of Election or Appointment: 2007

Ms. Small is a member (2000-present) and Chairperson (2002-present) of the Investment Committee, and a member (2002-present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1999). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

William S. Stavropoulos (68)

Year of Election or Appointment: 2007

Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003), CEO (1995-2000; 2002-2004), and Chairman of the Executive Committee (2000-2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002-present), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment firm, 2005-present). He is a special advisor to Clayton, Dubilier & Rice, Inc., a private equity investment firm. He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Kenneth L. Wolfe (68)

Year of Election or Appointment: 2007

Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003-present), Bausch & Lomb, Inc., and Revlon Inc. (2004-present).

Advisory Board Members and Executive Officers**:

Correspondence intended for Mr. Mauriello and Mr. Wiley may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Peter S. Lynch (63)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund.

Joseph Mauriello (62)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services firm, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Capital Ltd., (global insurance and re-insurance company, 2006-present) and of Arcadia Resources Inc., (health care services and products, 2007-present). He also served as a Director of the Hamilton Funds of the Bank of New York (2006-2007).

Michael E. Wiley (56)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Mr. Wiley also serves as Sr. Energy Advisor of Katzenbach Partners, LLC (consulting firm, 2006-present) and a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-present). He serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), and a Director of Bill Barrett Corporation (exploration and production company, 2005-present). In addition, he also serves as a Director of Post Oak Bank (privately-held bank, 2004-present), and an Advisory Director of Riverstone Holdings (private investment firm). Previously, Mr. Wiley served as Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services company, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production company, 2001-2005).

Kimberley H. Monasterio (43)

Year of Election or Appointment: 2007

President and Treasurer of 1-3 Year Duration Securitized Bond Central Fund. Ms. Monasterio also serves as President and Treasurer of other Fidelity funds (2007-present) and is an employee of FMR (2004-present). Previously, Ms. Monasterio served as Deputy Treasurer of the Fidelity funds (2004-2006). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

Boyce I. Greer (51)

Year of Election or Appointment: 2006

Vice President of 1-3 Year Duration Securitized Bond Central Fund. Mr. Greer also serves as Vice President of certain Asset Allocation Funds (2005-present), Fixed-Income Funds (2006-present), and Money Market Funds (2006-present). Mr. Greer is also a Trustee of other investment companies advised by FMR (2003-present). Mr. Greer is an Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present), and Senior Vice President of Fidelity Investments Money Management, Inc. (2006-present). Previously, Mr. Greer served as Vice President of certain Fidelity Equity Funds (2005-2007), a Director and Managing Director of Strategic Advisers, Inc. (2002-2005), and Executive Vice President (2000-2002) and Money Market Group Leader (1997-2002) of the Fidelity Investments Fixed Income Division. Mr. Greer also served as Vice President of Fidelity's Money Market Funds (1997-2002), Senior Vice President of FMR (1997-2002), and Vice President of FIMM (1998-2002).

David L. Murphy (59)

Year of Election or Appointment: 2006

Vice President of 1-3 Year Duration Securitized Bond Central Fund. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002-present) and Fixed-Income Funds (2005-present). Mr. Murphy serves as Senior Vice President (2000-present) and Head (2004-present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of Fidelity Investments Money Management, Inc. (2003-present) and an Executive Vice President of FMR (2005-present). Previously, Mr. Murphy served as Money Market Group Leader (2002-2004), Bond Group Leader (2000-2002), and Vice President of certain Asset Allocation Funds (2003-2007), Balanced Funds (2005-2007), Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002).

Thomas J. Silvia (46)

Year of Election or Appointment: 2006

Vice President of 1-3 Year Duration Securitized Bond Central Fund. Mr. Silvia also serves as Vice President of Fidelity's Fixed-Income Funds (2005-present) and Senior Vice President and Bond Group Leader of the Fidelity Investments Fixed-Income Division (2005-present). Previously, Mr. Silvia served as Vice President of certain Balanced Funds (2005-2007), certain Asset Allocation Funds (2005-2007), a Director of Fidelity's Taxable Bond portfolio managers (2002-2004) and a portfolio manager in the Bond Group (1997-2004).

Eric D. Roiter (58)

Year of Election or Appointment: 2006

Secretary of 1-3 Year Duration Securitized Bond Central Fund. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001-present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001-present), Fidelity Research & Analysis Company (2001-present), and Fidelity Investments Money Management, Inc. (2001-present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003-present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998-2005).

Scott C. Goebel (39)

Year of Election or Appointment: 2007

Assistant Secretary of 1-3 Year Duration Securitized Bond Central Fund. Mr. Goebel also serves as Assistant Secretary of other Fidelity funds (2007-present) and is an employee of FMR.

R. Stephen Ganis (41)

Year of Election or Appointment: 2006

Anti-Money Laundering (AML) officer of 1-3 Year Duration Securitized Bond Central Fund. Mr. Ganis also serves as AML officer of other Fidelity funds (2006-present) and FMR LLC (2003-present). Before joining Fidelity Investments, Mr. Ganis practiced law at Goodwin Procter, LLP (2000-2002).

Joseph B. Hollis (59)

Year of Election or Appointment: 2006

Chief Financial Officer of 1-3 Year Duration Securitized Bond Central Fund. Mr. Hollis also serves as Chief Financial Officer of other Fidelity funds. Mr. Hollis is President of Fidelity Pricing and Cash Management Services (FPCMS) (2005-present). Mr. Hollis also serves as President and Director of Fidelity Service Company, Inc. (2006-present). Previously, Mr. Hollis served as Senior Vice President of Cash Management Services (1999-2002) and Investment Management Operations (2002-2005).

Kenneth A. Rathgeber (60)

Year of Election or Appointment: 2006

Chief Compliance Officer of 1-3 Year Duration Securitized Bond Central Fund. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004-present) and Executive Vice President of Risk Oversight for Fidelity Investments (2002-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present). Previously, Mr. Rathgeber served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

Bryan A. Mehrmann (46)

Year of Election or Appointment: 2006

Deputy Treasurer of 1-3 Year Duration Securitized Bond Central Fund. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004).

Kenneth B. Robins (38)

Year of Election or Appointment: 2006

Deputy Treasurer of 1-3 Year Duration Securitized Bond Central Fund. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Robert G. Byrnes (40)

Year of Election or Appointment: 2006

Assistant Treasurer of 1-3 Year Duration Securitized Bond Central Fund. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003).

Peter L. Lydecker (53)

Year of Election or Appointment: 2006

Assistant Treasurer of 1-3 Year Duration Securitized Bond Central Fund. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Gary W. Ryan (49)

Year of Election or Appointment: 2006

Assistant Treasurer of 1-3 Year Duration Securitized Bond Central Fund. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999-2005).

** FMR Corp. merged with FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity 1-3 Year Duration Securitized Bond Central Fund

On April 19, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one LLC to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it initially approved the Advisory Contracts for the fund in July 2006, prior to commencement, and that it will again consider renewal of the Advisory Contracts in June 2008.

Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.

In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders; and (iv) whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies.

Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one LLC to another.

Annual Report

Annual Report

Annual Report

Annual Report

Fidelity® 2-5 Year Duration
Securitized Bond Central Fund

Annual Report

August 31, 2007

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

1.833852.100 474691.1.0

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Average annual total returns take Fidelity 2-5 Year Duration Securitized Bond Central Fund's cumulative total return and show you what would have happened if Fidelity 2-5 Year Duration Securitized Bond Central Fund's shares had performed at a constant rate each year. These numbers will be reported once the fund is a year old.

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity 2-5 Year Duration Securitized Bond Central Fund on October 30, 2006, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothers U.S. Aggregate Index performed over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Andrew Dudley, Portfolio Manager of Fidelity® 2-5 Year Duration Securitized Bond Central Fund

A subprime mortgage loan crisis and an emerging credit crunch contributed to subpar performance for some sectors of the investment-grade bond market during the year ending August 31, 2007, though some categories, particularly Treasuries, benefited from a flight to quality. While returns for high-grade debt were fairly solid overall, they also were tempered by the Federal Reserve Board's decision to leave interest rates unchanged - and not lower them as bond investors had hoped - citing its concern that inflation was still a threat given the continued strength of the U.S. economy. During the one-year span, the Lehman Brothers® U.S. Aggregate Index gained 5.26%. Within the index, Treasuries - the bond market's highest-quality debt instrument - fared best, as many investors fled riskier fixed-income securities. The Lehman Brothers U.S. Treasury Index rose 6.02%. The asset-backed category - home to volatile subprime mortgages, as well as credit card debt and auto loans - had the weakest performance, gaining only 3.68% according to the Lehman Brothers Asset-Backed Securities Index.

From its inception on October 30, 2006, through August 31, 2007, the fund returned 2.33%, lagging the 4.68% gain of the Lehman Brothers 1-Year/2-Year/3-Year/5-Year/10-Year Swap Blend Index and the 3.99% advance of the Lehman Brothers U.S. Aggregate Index. Underperformance versus the Swap index stemmed primarily from unfavorable sector selection, led by the fund's sizable exposure to commercial mortgage-backed securities. As a group, these bonds were hurt by concerns about what might have been loose lending standards and potentially rising defaults. The fund also lost ground from its exposure to asset-backed securities. Within the segment, subprime mortgage holdings were hurt the worst as housing market conditions deteriorated. Later, subprimes and other asset-backed securities - including those backed by credit cards and car loans - also were negatively affected as leveraged investors such as hedge funds and real estate investment trusts (REITs) unwound their positions in these groups amid a global flight to quality. Higher-rated subprimes - which we favored - saw an uptick in the final weeks of the period due to supportive actions by the Fed and U.S. Treasury, although those gains weren't enough to offset the substantial losses they sustained earlier. Elsewhere, our exposure to agency securities and collateralized mortgage obligations detracted from the fund's relative return, because they trailed the index as investors repriced risk.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2007 to August 31, 2007).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Beginning
Account Value
March 1, 2007

Ending
Account Value
August 31, 2007

Expenses Paid
During Period*
March 1, 2007
to August 31, 2007

Actual

$ 1,000.00

$ 1,002.40

$ .01

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,025.20

$ .01

* Expenses are equal to the Fund's annualized expense ratio of .0013%; multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

Annual Report

Investment Changes

Quality Diversification (% of fund's net assets)

As of August 31, 2007 *

As of February 28, 2007 **

U.S. Government
and U.S. Government
Agency Obligations 14.3%

U.S. Government
and U.S. Government
Agency Obligations 11.0%

AAA 54.8%

AAA 61.0%

AA 14.6%

AA 10.8%

A 9.8%

A 7.9%

BBB 4.5%

BBB 3.9%

BB and Below 0.1%

BB and Below 0.0%

Not Rated 1.0%

Not Rated 1.5%

Short-Term
Investments and
Net Other Assets 0.9%

Short-Term
Investments and
Net Other Assets 3.9%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition.

Weighted Average Maturity as of August 31, 2007

6 months ago

Years

4.6

4.6

The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision.

Duration as of August 31, 2007

6 months ago

Years

3.5

3.5

Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example.

Asset Allocation (% of fund's net assets)

As of August 31, 2007 *

As of February 28, 2007 **

U.S. Government
and U.S. Government
Agency Obligations 14.3%

U.S. Government
and U.S. Government
Agency Obligations 11.0%

Asset-Backed
Securities 17.5%

Asset-Backed
Securities 19.6%

CMOs and Other Mortgage Related Securities 67.3%

CMOs and Other Mortgage Related Securities 65.5%

Short-Term
Investments and
Net Other Assets 0.9%

Short-Term
Investments and
Net Other Assets 3.9%

* Foreign investments

2.2%

** Foreign investments

1.4%

* Futures and Swaps

6.6%

** Futures and Swaps

3.9%

Annual Report

Investments August 31, 2007

Showing Percentage of Net Assets

U.S. Government Agency Obligations - 13.5%

Principal Amount

Value

Fannie Mae:

4.75% 3/12/10

$ 111,000,000

$ 111,050,838

5.375% 6/12/17

57,000,000

58,095,768

Freddie Mac:

0% 11/13/07

5,000,000

4,953,335

4.25% 7/15/09

2,800,000

2,774,274

4.75% 3/5/12

183,000,000

182,738,662

4.875% 2/9/10

40,000,000

40,122,240

5% 6/11/09

12,615,000

12,656,857

5.25% 5/21/09

37,000,000

37,259,925

5.25% 7/18/11

40,500,000

41,230,904

5.5% 8/23/17

20,000,000

20,617,600

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

(Cost $507,139,747)

511,500,403

Asset-Backed Securities - 17.5%

Accredited Mortgage Loan Trust Series 2003-2 Class A1, 4.23% 10/25/33

4,213,089

3,982,026

ACE Securities Corp. Home Equity Loan Trust:

Series 2006-HE2 Class M2, 5.825% 5/25/36 (b)

1,550,000

1,107,492

Series 2007-HE1 Class M1, 5.765% 1/25/37 (b)

3,026,000

2,451,998

AmeriCredit Automobile Receivables Trust:

Series 2005-DA Class A4, 5.02% 11/6/12

2,895,000

2,875,203

Series 2006-1:

Class C1, 5.28% 11/6/11

11,535,000

11,370,873

Class D, 5.49% 4/6/12

7,670,000

7,583,195

AmeriCredit Prime Automobile Receivables Trust
Series 2007-1 Class D, 5.62% 9/30/14

5,915,000

5,763,517

Asset Backed Securities Corp. Home Equity Loan Trust Series 2006-HE7 Class A4, 5.645% 11/25/36 (b)

6,425,000

6,197,876

Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.95% 4/4/17 (a)(b)

10,000,000

7,000,000

Bank One Issuance Trust Series 2004-B2 Class B2, 4.37% 4/15/12

65,300,000

63,749,125

Bear Stearns Asset Backed Securities I Trust:

Series 2007-AQ1 Class A1, 5.615% 11/25/36 (b)

3,203,034

3,120,457

Series 2007-HE3 Class 1A1, 5.625% 4/25/37 (b)

2,609,574

2,592,041

C-Bass Trust Series 2007-CB1 Class M1, 5.55% 1/25/37 (b)

850,000

719,477

Asset-Backed Securities - continued

Principal Amount

Value

Capital Auto Receivables Asset Trust:

Series 2007-1 Class C, 5.38% 11/15/12

$ 6,180,000

$ 6,045,257

Series 2007-SN1 Class D, 6.05% 1/17/12

1,845,000

1,847,018

Capital One Auto Finance Trust Series 2007-B Class A3A, 5.03% 4/15/12

4,330,000

4,306,674

Capital One Multi-Asset Execution Trust:

Series 2003-B5 Class B5, 4.79% 8/15/13

9,540,000

9,399,736

Series 2004-6 Class B, 4.15% 7/16/12

58,650,000

57,422,848

CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13

4,880,000

4,924,053

CIT Equipment Collateral Trust Series 2006-VT2:

Class A4, 5.05% 4/20/14

4,535,000

4,547,912

Class B, 5.24% 4/20/14

557,585

558,267

Class C, 5.29% 4/20/14

611,348

612,102

Class D, 5.46% 4/20/14

1,641,630

1,650,401

Citigroup Mortgage Loan Trust, Inc. Series 2006-NC2 Class A2B, 5.48% 9/25/36 (b)

1,775,000

1,668,223

CNH Equipment Trust Series 2006-A Class A4, 5.27% 9/15/11

42,505,000

42,870,258

CPS Auto Receivables Trust:

Series 2006-A Class A4, 5.29% 11/15/12 (a)

13,839,990

13,806,390

Series 2006-D Class A4, 5.115% 8/15/13 (a)

5,324,999

5,313,351

Credit-Based Asset Servicing & Securitization Trust Series 2006-CB7 Class A2, 5.565% 10/25/36 (b)

1,837,663

1,815,841

Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A:

Class B, 4.878% 6/15/35 (a)

24,375,000

23,831,438

Class C, 5.074% 6/15/35 (a)

22,127,000

21,766,330

DaimlerChrysler Master Owner Trust Series 2005-A Class A, 5.6613% 4/15/10 (b)

8,665,000

8,665,593

Drive Auto Receivables Trust Series 2006-1 Class A4, 5.54% 12/16/13 (a)

14,265,000

14,280,627

First Franklin Mortgage Loan Trust:

Series 2005-FF12 Class A2A, 5.595% 11/25/36 (b)

655,562

652,386

Series 2006-FF18 Class M1, 5.735% 12/25/37 (b)

10,000,000

7,532,450

Series 2006-FF5 Class 2A2, 5.615% 4/25/36 (b)

1,290,000

1,271,054

Series 2007-FF1 Class M1, 5.735% 1/25/38 (b)

1,335,000

1,004,852

Ford Credit Auto Owner Trust Series 2006-C:

Class B, 5.3% 6/15/12

1,395,000

1,359,570

Class C, 5.47% 9/15/12

4,765,000

4,672,597

Fremont Home Loan Trust:

Series 2006-1 Class M1, 5.825% 4/25/36 (b)

1,340,000

1,094,524

Series 2006-3 Class 2A1, 5.575% 2/25/37 (b)

167,006

160,693

Asset-Backed Securities - continued

Principal Amount

Value

GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (a)

$ 18,780,912

$ 18,649,592

GE Business Loan Trust Series 2006-2A:

Class A, 5.7913% 11/15/34 (a)(b)

7,990,323

7,960,213

Class B, 5.8913% 11/15/34 (a)(b)

2,889,112

2,870,300

Class C, 5.9913% 11/15/34 (a)(b)

4,792,244

4,687,556

Class D, 6.3613% 11/15/34 (a)(b)

1,823,295

1,721,977

GE Equipment Midticket LLC Series 2006-1:

Class A2, 5.1% 5/15/09

4,805,000

4,797,468

Class B, 5.7613% 9/15/17 (b)

6,910,000

6,892,433

Class C, 5.9313% 9/15/17 (b)

1,910,000

1,901,036

GSAMP Trust:

Series 2006-FM3 Class ABS, 5.705% 11/25/36 (b)

7,680,000

7,228,800

Series 2007-FM1 Class M1, 5.775% 12/25/36 (b)

2,640,000

2,028,600

Holmes Master Issuer PLC Series 2006-1A:

Class 1B, 5.45% 7/15/40 (a)(b)

3,070,000

3,070,000

Class 1C, 5.6% 7/15/40 (a)(b)

1,735,000

1,735,000

Class 2A, 5.42% 7/15/21 (a)(b)

3,070,000

3,070,000

Class 2B, 5.48% 7/15/40 (a)(b)

2,210,000

2,210,000

Class 2C, 5.75% 7/15/40 (a)(b)

900,000

900,000

Class 2M, 5.55% 7/15/40 (a)(b)

1,840,000

1,840,000

Home Equity Asset Trust:

Series 2006-8 Class 2A1, 5.555% 3/25/37 (b)

209,248

206,829

Series 2007-1 Class M1, 5.745% 5/25/37 (b)

5,105,000

4,208,046

JPMorgan Mortgage Acquisition Trust Series 2006-WMC4 Class A4, 5.655% 12/25/36 (b)

10,000,000

9,503,130

Keycorp Student Loan Trust Series 2006-A Class 2C, 6.4979% 3/27/42 (b)

5,700,000

5,183,438

Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A:

Class B, 4.13% 11/20/37 (a)

15,140,000

14,531,171

Class C, 4.13% 11/20/37 (a)

43,140,000

39,850,221

Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14

9,242,500

9,119,900

Long Beach Mortgage Loan Trust:

Series 2005-WL1 Class M2, 6.055% 6/25/35 (b)

2,905,000

2,649,348

Series 2006-10 Class 2A3, 5.665% 11/25/36 (b)

4,475,000

3,949,188

Series 2006-8 Class 2A1, 5.545% 9/25/36 (b)

1,706,387

1,692,523

Marriott Vacation Club Owner Trust Series 2006-2A:

Class A, 5.362% 10/20/28 (a)

1,453,589

1,420,019

Class B, 5.442% 10/20/28 (a)

245,539

241,968

Class C, 5.691% 10/20/28 (a)

111,311

108,085

Class D, 6.01% 10/20/28 (a)

1,309,539

1,274,538

Merna Reinsurance Ltd. Series 2007-1 Class B, 7.11% 6/30/12 (a)(b)

5,000,000

5,000,000

Asset-Backed Securities - continued

Principal Amount

Value

Merrill Lynch Mortgage Investors Trust Series 2006-OPT1 Class A1A, 5.765% 6/25/35 (b)

$ 2,686,954

$ 2,639,094

Morgan Stanley ABS Capital I Trust Series 2006-HE6 Class A2A, 5.545% 9/25/36 (b)

5,339,353

5,295,138

Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 5.605% 4/25/37 (b)

304,491

302,874

Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A3, 5.655% 11/25/36 (b)

5,505,000

5,113,628

National Collegiate Student Loan Trust:

Series 2004-2 Class AIO, 9.75% 10/25/14 (c)

24,925,000

8,525,596

Series 2006-4 Class D, 6.605% 5/25/32 (b)

4,300,000

3,225,000

New Century Home Equity Loan Trust Series 2006-1 Class M2, 5.865% 5/25/36 (b)

1,365,000

1,093,661

Newcastle CDO VIII Series 2006-8A Class 4, 5.92% 11/1/52 (a)(b)

9,300,000

7,951,928

Nomura Home Equity Loan, Inc. Series 2006-AF1 Class A1, 6.032% 10/25/36

1,016,870

1,014,805

Ownit Mortgage Loan Trust Series 2006-6 Class A2A, 5.565% 9/25/37 (b)

2,071,835

2,041,081

Providian Master Note Trust Series 2006-B1A Class B1, 5.35% 3/15/13 (a)

28,515,000

28,534,610

Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 5.735% 12/25/36 (b)

2,970,000

2,418,762

SBA CMBS Trust Series 2005-1A Class C, 5.731% 11/15/35 (a)

500,000

500,355

Securitized Asset Backed Receivables LLC Trust:

Series 2007-HE1 Class M1, 5.755% 12/25/36 (b)

3,420,000

2,505,311

Series 2007-NC1 Class M1, 5.745% 12/25/36 (b)

5,380,000

4,173,460

Specialty Underwriting & Residential Finance Trust Series 2006-BC5 Class M1, 5.745% 11/25/37 (b)

5,680,000

4,444,515

Structured Asset Corp. Trust Series 2006-BC6 Class A4, 5.675% 1/25/37 (b)

4,445,000

4,133,157

Structured Asset Securities Corp.:

Series 2004-1 Class 1A, 5.805% 4/25/34 (b)

10,910,312

10,620,512

Series 2007-BC1 Class M1, 5.735% 2/25/37 (b)

4,710,000

3,289,163

Superior Wholesale Inventory Financing Trust:

Series 2004-A10 Class B, 5.8913% 9/15/11 (b)

5,905,000

5,783,948

Series 2007-AE1:

Class A, 5.7113% 1/15/12 (b)

1,585,000

1,560,433

Class B, 5.9113% 1/15/12 (b)

1,320,000

1,318,892

Class C, 6.2113% 1/15/12 (b)

1,700,000

1,675,520

Trapeza CDO XII Ltd./, Inc. Series 2007-12A:

Class A3, 5.8116% 4/6/42 (a)(b)

1,140,000

1,136,580

Class B, 5.9116% 4/6/42 (a)(b)

7,780,000

7,529,484

Asset-Backed Securities - continued

Principal Amount

Value

Triad Auto Receivables Owner Trust Series 2006-C Class A4, 5.31% 5/13/13

$ 4,600,000

$ 4,580,798

Turquoise Card Backed Securities PLC Series 2006-2:

Class B, 5.7613% 10/17/11 (b)

5,065,000

5,004,458

Class C, 5.9613% 10/17/11 (b)

4,755,000

4,656,185

Wachovia Bank Commercial Mortgage Trust Series 2007-WHL8 Class LXR2, 6.4113% 6/15/20 (b)

3,133,494

3,047,636

TOTAL ASSET-BACKED SECURITIES

(Cost $688,723,919)

666,211,688

Collateralized Mortgage Obligations - 7.5%

Private Sponsor - 7.5%

Arkle Master Issuer PLC floater Series 2007-1A Class 1C, 5.78% 2/17/52 (a)(b)

7,080,000

7,080,000

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6984% 4/10/17

555,000

522,871

Class C, 5.6984% 4/10/17

1,480,000

1,384,465

Class D, 5.6984% 5/10/17

740,000

686,860

Banc of America Mortgage Securities, Inc.:

Series 2005-E Class 2A7, 4.6045% 6/25/35 (b)

22,460,000

21,806,868

Series 2005-J Class 2A5, 5.0858% 11/25/35 (b)

4,840,000

4,755,185

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 4.4069% 8/25/34 (b)

5,067,146

4,964,854

Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (b)

11,171,000

10,417,102

Commercial Mortgage pass thru certificates floater Series 2001-J2A Class A2F, 6.0888% 7/16/34 (a)(b)

10,000,000

10,102,093

Countrywide Home Loans, Inc. 4.4262% 6/20/35 (b)

1,910,000

1,847,108

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 4.6454% 11/25/34 (b)

2,064,564

2,028,384

Granite Master Issuer PLC floater Series 2006-4:

Class B1, 5.45% 12/20/54 (b)

4,415,000

4,411,247

Class C1, 5.74% 12/20/54 (b)

2,700,000

2,697,327

Class M1, 5.53% 12/20/54 (b)

1,165,000

1,163,695

GSR Mortgage Loan Trust Series 2006-AR2 Class 4A1, 5.8537% 4/25/36 (b)

9,783,481

9,660,123

HSI Asset Securitization Corp. Trust floater Series 2007-OPT1 Class M1, 5.735% 12/25/36 (b)

2,395,000

1,884,154

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (b)

1,760,469

1,754,517

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: - continued

Class A3, 5.447% 6/12/47 (b)

$ 18,965,000

$ 18,711,920

JPMorgan Mortgage Trust:

Series 2005-A8 Class 2A3, 4.951% 11/25/35 (b)

6,360,000

6,225,547

Series 2007-A1:

Class 3A2, 5.0072% 7/25/35 (b)

9,131,885

8,991,808

Class 7A3, 5.3007% 7/25/35 (b)

11,850,000

11,672,386

MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34

4,127,949

4,081,510

MASTR Asset Backed Securities Trust floater Series 2006-WMC4 Class M1, 5.735% 10/25/36 (b)

3,640,000

2,755,163

Merrill Lynch Floating Trust floater Series 2006-1 Class TM, 6.1113% 6/15/22 (a)(b)

22,600,000

22,781,530

Merrill Lynch/Countrywide Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (b)

42,815,000

42,254,988

Salomon Brothers Mortgage Securities VII, Inc.:

Series 2003-UP1 Class A, 3.45% 4/25/32 (a)

2,358,656

2,285,961

Series 2006-C2 Class H, 6.308% 7/18/33 (a)

1,370,000

1,317,088

Structured Asset Securities Corp. floater Series 2006-BC5 Class M1, 5.745% 12/25/36 (b)

10,000,000

7,400,010

Wachovia Mortgage Loan Trust LLC Series 2005-B Class 2A4, 5.1708% 10/20/35 (b)

5,095,000

5,020,750

WaMu Mortgage pass-thru certificates Series 2006-AR10 Class 1A4, 5.9506% 9/25/36 (b)

10,535,000

10,625,422

Wells Fargo Mortgage Backed Securities Trust Series 2006-AR8 Class 2A6, 5.2401% 4/25/36 (b)

52,545,000

51,579,396

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $290,178,747)

282,870,332

Commercial Mortgage Securities - 60.6%

Asset Securitization Corp. Series 1997-D5:

Class A-6, 7.1243% 2/14/43 (b)

11,700,000

12,756,795

Class A2, 6.7543% 2/14/43 (b)

7,355,000

7,786,894

Class A3, 6.8043% 2/14/43 (b)

7,940,000

8,551,629

Class PS1, 1.4448% 2/14/43 (b)(c)

73,920,531

2,687,255

Banc of America Commercial Mortgage, Inc. Series 2007-3 Class A3, 5.8379% 6/10/49 (b)

16,700,000

16,694,599

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.7223% 5/10/45 (b)

11,675,000

11,775,646

Commercial Mortgage Securities - continued

Principal Amount

Value

Banc of America Commercial Mortgage Trust: - continued

sequential payer:

Series 2006-5:

Class A1, 5.185% 7/10/11

$ 9,913,488

$ 9,857,744

Class A2, 5.317% 10/10/11

103,595,000

102,884,649

Class A3, 5.39% 2/10/14

13,945,000

13,772,885

Series 2006-6 Class A3, 5.369% 12/10/16

20,000,000

19,730,422

Series 2007-2 Class A1, 5.421% 1/10/12

2,666,769

2,667,599

Series 2006-5 Class XP, 0.832% 9/10/47 (c)

176,052,788

4,975,199

Series 2006-6:

Class E, 5.619% 10/10/45 (a)

5,777,000

4,852,132

Class XP, 0.4311% 10/10/45 (b)(c)

64,440,587

1,332,844

Banc of America Commercial Mortgage, Inc.:

sequential payer:

Series 2000-2 Class A2, 7.197% 9/15/32

3,200,000

3,317,468

Series 2004-2:

Class A2, 3.52% 11/10/38

2,422,568

2,365,180

Class A3, 4.05% 11/10/38

13,527,000

13,088,203

Class A4, 4.153% 11/10/38

12,682,000

12,183,146

Series 2004-4 Class A3, 4.128% 7/10/42

7,860,000

7,686,050

Series 2005-1 Class A3, 4.877% 11/10/42

39,390,000

38,967,968

Series 2001-3 Class H, 6.562% 4/11/37 (a)

5,590,000

5,764,251

Series 2001-PB1:

Class J, 7.166% 5/11/35 (a)

2,500,000

2,604,251

Class K, 6.15% 5/11/35 (a)

4,650,000

4,534,937

Series 2005-3 Series A3B, 5.09% 7/10/43 (b)

31,065,000

30,459,754

Series 2005-6 Class A3, 5.181% 9/10/47 (b)

18,000,000

17,784,657

Series 2007-1 Class B, 5.543% 1/15/49

6,021,000

5,591,290

Banc of America Large Loan, Inc. floater Series 2006-BIX1 Class F, 5.9213% 10/15/19 (a)(b)

7,275,828

7,257,320

Bayview Commercial Asset Trust:

floater:

Series 2005-2A Class A1, 5.815% 8/25/35 (a)(b)

3,305,474

3,291,992

Series 2005-3A Class A2, 5.905% 11/25/35 (a)(b)

1,149,485

1,146,252

Series 2006-2A Class A1, 5.735% 7/25/36 (a)(b)

15,672,180

15,672,169

Series 2006-4A Class A2, 5.775% 12/25/36 (a)(b)

3,509,649

3,478,526

Series 2007-1:

Class A2, 5.775% 3/25/37 (a)(b)

1,335,976

1,321,573

Class B1, 6.175% 3/25/37 (a)(b)

428,077

393,429

Class B2, 6.655% 3/25/37 (a)(b)

310,473

280,833

Class B3, 8.855% 3/25/37 (a)(b)

879,674

806,964

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-1:

Class M1, 5.775% 3/25/37 (a)(b)

$ 362,219

$ 350,899

Class M2, 5.795% 3/25/37 (a)(b)

268,136

258,835

Class M3, 5.825% 3/27/37 (a)(b)

239,911

231,889

Class M4, 5.875% 3/25/37 (a)(b)

178,757

169,317

Class M5, 5.925% 3/25/37 (a)(b)

301,065

283,895

Class M6, 6.005% 3/25/37 (a)(b)

418,669

391,913

Series 2007-2A:

Class A1, 5.775% 7/25/37 (a)(b)

1,132,291

1,122,206

Class A2, 5.825% 7/25/37 (a)(b)

1,058,123

1,048,699

Class B1, 7.105% 7/25/37 (a)(b)

311,504

298,800

Class B2, 7.755% 7/25/37 (a)(b)

271,948

258,265

Class B3, 8.855% 7/25/37 (a)(b)

306,559

285,818

Class M1, 5.875% 7/25/37 (a)(b)

356,004

345,991

Class M2, 5.915% 7/25/37 (a)(b)

181,958

176,328

Class M3, 5.995% 7/25/37 (a)(b)

182,947

178,001

Class M4, 6.155% 7/25/37 (a)(b)

390,616

374,014

Class M5, 6.255% 7/25/37 (a)(b)

346,115

330,702

Class M6, 6.505% 7/25/37 (a)(b)

435,116

415,944

Series 2007-3:

Class B1, 6.455% 7/25/37 (a)(b)

310,263

305,610

Class B2, 7.105% 7/25/37 (a)(b)

809,594

797,450

Class B3, 9.505% 7/25/37 (a)(b)

416,917

410,663

Class M1, 5.815% 7/25/37 (a)(b)

271,481

269,953

Class M2, 5.845% 7/25/37 (a)(b)

286,024

284,415

Class M3, 5.875% 7/25/37 (a)(b)

470,243

467,010

Class M4, 6.005% 7/25/37 (a)(b)

741,724

735,234

Class M5, 6.105% 7/25/37 (a)(b)

368,438

364,754

Class M6, 6.305% 7/25/37 (a)(b)

281,176

278,365

Series 2007-4A:

Class B1, 8.055% 9/25/37 (a)(b)

393,863

393,863

Class B2, 8.955% 9/25/37 (a)(b)

1,486,934

1,486,934

Class M1, 6.28% 9/25/37 (a)(b)

368,004

368,004

Class M2, 6.555% 9/25/37 (a)(b)

368,004

368,004

Class M4, 7.105% 9/25/37 (a)(b)

969,740

969,740

Class M5, 7.255% 9/25/37 (a)(b)

969,740

969,740

Class M6, 7.455% 9/25/37 (a)(b)

974,713

974,713

Series 2004-1 Class IO, 1.25% 4/25/34 (a)(c)

45,634,418

2,085,634

Bear Stearns Commercial Mortgage Securities Trust:

floater Series 2007-BBA8:

Class D, 5.57% 3/15/22 (a)(b)

700,000

696,500

Class E, 5.9113% 3/15/22 (a)(b)

3,645,000

3,619,941

Class F, 5.9613% 5/15/22 (a)(b)

2,240,000

2,217,600

Commercial Mortgage Securities - continued

Principal Amount

Value

Bear Stearns Commercial Mortgage Securities Trust: - continued

floater Series 2007-BBA8:

Class G, 6.0113% 3/15/22 (a)(b)

$ 575,000

$ 568,531

Class H, 6.1613% 3/15/22 (a)(b)

700,000

691,250

Class J, 6.3113% 3/15/22 (a)(b)

700,000

690,375

Class MS-6, 6.5113% 3/15/22 (a)(b)

1,400,000

1,365,000

Class MS5, 6.2613% 3/15/22 (a)(b)

2,515,000

2,461,556

Class X-1M, 1.12% 3/15/22 (a)(c)

78,110,673

732,288

sequential payer:

Series 2006-T24 Class A1, 4.905% 10/12/41 (b)

12,365,493

12,202,111

Series 2007-T26 Class A1, 5.145% 1/12/45 (b)

4,862,781

4,827,097

Series 2007-T26 Class X2, 0.1425% 1/12/45 (a)(b)(c)

150,388,000

1,292,404

Bear Stearns Commercial Mortgage Securities, Inc.:

sequential payer:

Series 2003-PWR2 Class A3, 4.834% 5/11/39

8,890,546

8,783,870

Series 2004-ESA Class A3, 4.741% 5/14/16 (a)

9,265,000

9,239,292

Series 2003-PWR2 Class X2, 0.519% 5/11/39 (a)(b)(c)

111,503,720

1,713,511

Series 2004-ESA:

Class B, 4.888% 5/14/16 (a)

15,915,000

15,908,978

Class D, 4.986% 5/14/16 (a)

6,265,000

6,272,638

Class E, 5.064% 5/14/16 (a)

19,465,000

19,513,483

Class F, 5.182% 5/14/16 (a)

4,675,000

4,695,637

Series 2006-PW13 Class A3, 5.518% 9/11/41

35,295,000

35,090,540

Series 2006-T22 Class A1, 5.415% 4/12/38 (b)

3,129,252

3,127,662

Series 2007-PW15:

Class A1, 5.016% 2/11/44

2,318,703

2,296,578

Class X2, 0.3784% 2/11/44 (a)(b)(c)

164,865,000

3,196,699

Series 2007-PW16:

Class B, 5.713% 6/11/40 (a)

1,600,000

1,532,500

Class C, 5.713% 6/11/40 (a)

1,335,000

1,264,913

Class D, 5.713% 6/11/40 (a)

1,335,000

1,251,354

Bear Stearns Commerical Mortgage Securities Trust Series 2006-PW14 Class X2, 0.6563% 12/1/38 (a)(b)(c)

163,015,000

5,058,975

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (a)

11,750,000

12,242,031

Class XCL, 0.973% 5/15/35 (a)(b)(c)

192,278,806

9,577,465

Chase Commercial Mortgage Securities Corp.:

Series 1999-2:

Class E, 7.734% 1/15/32

4,010,000

4,192,972

Class F, 7.734% 1/15/32

2,170,000

2,269,015

Commercial Mortgage Securities - continued

Principal Amount

Value

Chase Commercial Mortgage Securities Corp.: - continued

Series 2001-245 Class A2, 6.275% 2/12/16 (a)(b)

$ 10,165,000

$ 10,446,334

Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-1 Class A2, 7.439% 8/15/31

4,847,308

4,991,616

Citigroup Commercial Mortgage Trust Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (a)

17,000,000

16,447,798

Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2007-CD4:

Class A1, 4.977% 12/11/49

3,730,715

3,686,158

Class A3, 5.293% 12/11/49

9,735,000

9,541,619

Class C, 5.476% 12/11/49

18,828,000

17,249,897

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C2 Class A1, 5.064% 9/15/11 (b)

2,072,020

2,049,135

Series 2006-C1 Class B, 5.359% 8/15/48

30,000,000

27,344,916

COMM Series 2006-C8:

Class A3, 5.31% 12/10/46

28,495,000

28,023,755

Class B, 5.44% 12/10/46

17,318,000

16,026,294

Commercial Mortgage Asset Trust sequential payer Series 1999-C2 Class A2, 7.546% 11/17/32 (b)

11,230,603

11,534,338

Commercial Mortgage pass-thru certificates:

floater Series 2007-FL14:

Class F, 6.1113% 6/15/22 (a)(b)

3,170,812

3,154,958

Class G, 6.1613% 6/15/22 (a)(b)

876,928

872,543

Class H, 6.3113% 6/15/22 (a)(b)

876,928

872,543

Class MLK1, 6.4113% 6/15/22 (a)(b)

2,420,000

2,407,900

Class MLK2, 6.6113% 6/15/22 (a)(b)

1,345,000

1,338,275

Class MLK3, 6.8113% 6/15/22 (a)(b)

1,610,000

1,601,950

sequential payer:

Series 2005-C6 Class A2, 4.999% 6/10/44 (b)

940,000

931,293

Series 2006-CN2A Class A2FX, 5.449% 2/5/19

16,905,000

16,924,615

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2006-C5 Class AJ, 5.373% 12/15/39

20,250,000

19,120,696

Series 2007-C3 Class A1, 5.664% 6/15/39 (b)

1,587,565

1,589,897

Series 2006-C4 Class AAB, 5.439% 9/15/39

56,915,000

56,318,206

Series 2007-C2 Class A1, 5.269% 1/15/49

1,383,956

1,377,424

Credit Suisse First Boston Mortgage Securities Corp.:

floater:

Series 2006-TF2A:

Class A2, 7.1113% 7/15/19 (a)(b)

3,043,368

2,990,109

Commercial Mortgage Securities - continued

Principal Amount

Value

Credit Suisse First Boston Mortgage Securities Corp.: - continued

floater:

Series 2006-TF2A:

Class SHDC, 6.6113% 7/15/19 (a)(b)

$ 1,452,612

$ 1,430,321

Series 2006-TFL2:

Class A2, 5.7813% 10/15/21 (a)(b)

20,000,000

19,989,058

Class SHDD, 6.9613% 7/15/19 (a)(b)

816,309

808,146

sequential payer:

Series 1999-C1 Class A2, 7.29% 9/15/41

24,869,590

25,532,670

Series 2000-C1 Class A2, 7.545% 4/15/62

23,400,000

24,310,667

Series 2004-C1:

Class A3, 4.321% 1/15/37

4,960,000

4,826,702

Class A4, 4.75% 1/15/37

4,655,000

4,456,330

Series 1998-C1 Class D, 7.17% 5/17/40

12,300,000

12,829,639

Series 1999-C1 Class E, 7.8864% 9/15/41 (b)

10,335,000

10,615,917

Series 2001-CK6 Class AX, 0.645% 9/15/18 (c)

30,762,558

803,346

Series 2001-CKN5 Class AX, 0.7664% 9/15/34 (a)(b)(c)

100,746,308

5,074,924

Series 2006-C1 Class A3, 5.5548% 2/15/39 (b)

52,800,000

52,853,793

Series 2006-OMA:

Class H, 5.805% 5/15/23 (b)

2,825,000

2,312,664

Class J, 5.805% 5/15/23 (a)(b)

4,770,000

3,810,419

Credit Suisse Mortgage Capital Certificates:

sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40

1,688,394

1,679,180

Series 2007-C1:

Class ASP, 0.4263% 2/15/40 (b)(c)

213,720,000

4,697,822

Class B, 5.487% 2/15/40 (a)(b)

15,286,000

14,135,114

CSMC Commercial Mortgage Trust floater Series 2006-TFLA Class D, 5.8913% 4/15/21 (a)(b)

1,690,000

1,688,659

DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33

42,788,230

44,770,737

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1:

Class D, 6.484% 3/15/33

3,565,000

3,608,422

Class G, 6.936% 3/15/33 (a)

6,580,000

6,642,822

GE Capital Commercial Mortgage Corp.:

Series 2001-1 Class X1, 0.4254% 5/15/33 (a)(b)(c)

106,877,897

3,185,506

Series 2005-C1 Class B, 4.846% 6/10/48 (b)

2,855,000

2,589,414

Series 2007-C1 Class XP, 0.2519% 12/10/49 (b)(c)

134,435,000

1,653,537

Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-22 Class B, 3.963% 5/16/32

32,548,362

31,615,663

Global Signal Trust III Series 2006-1 Class B, 5.588% 2/15/36

19,225,000

18,957,653

Commercial Mortgage Securities - continued

Principal Amount

Value

GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Class X2, 0.7376% 5/10/43 (b)(c)

$ 84,604,547

$ 1,787,119

Greenwich Capital Commercial Funding Corp.:

sequential payer:

Series 2004-GG1 Class A4, 4.755% 6/10/36

6,385,000

6,300,707

Series 2007-GG9 Class A1, 5.233% 3/10/39

2,029,361

2,019,241

Series 2005-GG3 Class XP, 0.7862% 8/10/42 (a)(b)(c)

352,683,413

8,250,394

Series 2006-GG7 Class A3, 6.1101% 7/10/38

26,360,000

26,858,947

GS Mortgage Securities Corp. II:

floater Series 2007-EOP:

Class C, 5.65% 3/1/20 (a)(b)

5,845,000

5,728,100

Class D, 5.7% 3/1/20 (a)(b)

15,580,000

15,268,400

Class E, 5.77% 3/1/20 (a)(b)

965,000

945,700

Class F, 5.81% 3/1/20 (a)(b)

480,000

470,400

Class G, 5.85% 3/1/20 (a)(b)

240,000

235,200

sequential payer Series 2001-LIBA Class A2, 6.615% 2/14/16 (a)

15,710,000

16,551,611

Series 2001-LIBA Class C, 6.733% 2/14/16 (a)

4,945,000

5,228,346

Series 2005-GG4 Class XP, 0.6968% 7/10/39 (a)(b)(c)

272,255,578

7,021,009

Series 2006-GG6 Class A2, 5.506% 4/10/38 (b)

83,640,000

83,865,836

GS Mortgage Securities Trust:

Series 2006-GG8 Class B, 5.662% 11/10/39

6,070,000

5,719,789

Series 2007-GG10 Class A1, 5.69% 8/10/45

2,255,680

2,269,057

Hilton Hotel Pool Trust:

sequential payer Series 2000-HLTA Class A1, 7.055% 10/3/15 (a)

872,688

886,526

Series 2000-HLTA Class D, 7.555% 10/3/15 (a)

18,755,000

19,932,979

Host Marriott Pool Trust:

sequential payer Series 1999-HMTA Class D, 7.97% 8/3/15 (a)

2,420,000

2,539,337

Series 1999-HMTA Class F, 8.31% 8/3/15 (a)

5,400,000

5,695,613

J.P. Morgan Commercial Mortgage Finance Corp.
Series 2000-C9 Class G, 6.25% 10/15/32 (a)

4,123,000

4,176,209

JPMorgan Chase Commercial Mortgage Securities Corp.:

sequential payer:

Series 2005-LDP2 Class A2, 4.575% 7/15/42

11,425,000

11,190,132

Series 2006-CB14 Class A3B, 5.4219% 12/12/44 (b)

29,740,000

29,637,275

Series 2006-CB15 Class A3, 5.819% 6/12/43 (b)

15,056,000

15,186,081

Series 2006-LDP9 Class A2, 5.134% 5/15/47 (b)

4,750,000

4,600,088

Commercial Mortgage Securities - continued

Principal Amount

Value

JPMorgan Chase Commercial Mortgage Securities Trust:

Series 2005-CB13 Class E, 5.3641% 1/12/43 (a)(b)

$ 5,060,000

$ 4,440,140

Series 2006-CB17 Class A3, 5.45% 12/12/43

2,850,000

2,831,698

Series 2007-CB19:

Class B, 5.7442% 2/12/49

855,000

812,387

Class C, 5.7462% 2/12/49

2,235,000

2,107,896

Class D, 5.7462% 2/12/49

2,350,000

2,200,564

Series 2007-LDP10:

Class A1, 5.122% 5/15/49

1,549,679

1,538,290

Class BS, 5.437% 1/15/49 (b)

1,910,000

1,802,744

Class CS, 5.466% 1/15/49 (b)

825,000

776,669

Class ES, 5.5458% 1/15/49 (a)(b)

5,170,000

4,702,301

JPMorgan Chase Commercial Securities Trust floater Series 2006-FLA2:

Class A2, 5.7413% 11/15/18 (a)(b)

2,340,000

2,338,584

Class B, 5.7813% 11/15/18 (a)(b)

1,370,795

1,369,289

Class C, 5.8213% 11/15/18 (a)(b)

975,513

973,530

Class D, 5.8413% 11/15/18 (a)(b)

344,512

343,684

Class E, 5.8913% 11/15/18 (a)(b)

514,955

513,240

Class F, 5.9413% 11/15/18 (a)(b)

772,432

769,147

Class G, 5.9713% 11/15/18 (a)(b)

670,892

661,879

Class H, 6.1113% 11/15/18 (a)(b)

514,955

502,701

LB Commercial Mortgage Trust Series 2007-C3:

Class F, 6.1339% 7/15/44 (b)

1,985,000

1,899,397

Class G, 6.1339% 7/15/44 (a)(b)

3,505,000

3,176,132

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2000-C3 Class A2, 7.95% 1/15/10

20,160,426

21,140,074

Series 2001-C2 Class A2, 6.653% 11/15/27

1,920,000

1,994,288

Series 2001-C3 Class A1, 6.058% 6/15/20

2,317,415

2,338,362

Series 2005-C3 Class A2, 4.553% 7/15/30

16,590,000

16,275,074

Series 2006-C1 Class A2, 5.084% 2/15/31

4,797,000

4,756,117

Series 2006-C3 Class A1, 5.478% 3/15/39

1,874,043

1,876,338

Series 2006-C6 Class A1, 5.23% 9/15/39

1,856,386

1,849,863

Series 2006-C7 Class A1, 5.279% 11/15/38

914,053

912,768

Series 2007-C1 Class A1, 5.391% 2/15/40 (b)

1,396,047

1,395,281

Series 2000-C5 Class E, 7.29% 12/15/32

700,000

714,043

Series 2001-C3 Class B, 6.512% 6/15/36

19,330,000

20,012,266

Series 2001-C7 Class D, 6.514% 11/15/33

11,000,000

11,305,938

Series 2003-C3 Class XCP, 1.179% 3/11/37 (a)(b)(c)

66,557,852

1,307,982

Series 2004-C4 Class A2, 4.567% 6/15/29 (b)

3,335,000

3,295,091

Series 2005-C3 Class XCP, 0.7387% 7/15/40 (b)(c)

42,718,480

1,178,940

Series 2006-C6 Class XCP, 0.6468% 9/15/39 (b)(c)

67,183,000

2,041,759

Commercial Mortgage Securities - continued

Principal Amount

Value

LB-UBS Commercial Mortgage Trust: - continued

Series 2007-C1:

Class C, 5.533% 2/15/40 (b)

$ 22,000,000

$ 20,320,386

Class D, 5.563% 2/15/40 (b)

4,000,000

3,677,155

Class E, 5.582% 2/15/40 (b)

2,000,000

1,803,133

Class XCP, 0.4593% 2/15/40 (b)(c)

26,180,000

672,192

Series 2007-C2:

Class A1, 5.226% 2/15/40

1,130,416

1,126,151

Class XCP, 0.5106% 2/17/40 (b)(c)

123,190,000

3,509,240

LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (a)

2,860,000

2,966,691

Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34

17,750,000

18,924,255

Merrill Lynch Mortgage Trust:

sequential payer:

Series 2005-CIP1 Class A2, 4.96% 7/12/38

7,430,000

7,350,862

Series 2005-MCP1 Class A2, 4.556% 6/12/43

20,145,000

19,727,835

Series 2007-C1 Class A1, 4.533% 7/12/40

6,621,000

6,536,682

Series 2005-CKI1 Class A3, 5.2439% 11/12/37 (b)

16,420,000

16,252,127

Series 2005-LC1 Class F, 5.5553% 1/12/44 (a)(b)

8,700,000

7,575,416

Series 2007-C1 Class A4, 6.022% 7/12/40 (b)

15,000,000

15,196,331

Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2006-1 CLass A3, 5.671% 2/12/39

10,640,000

10,609,071

Merrill Lynch/Countrywide Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 5.6613% 12/12/49 (b)

4,660,000

4,650,995

sequential payer:

Series 2006-4 Class ASB, 5.133% 12/12/49 (b)

8,595,000

8,366,139

Series 2007-5:

Class A1, 4.275% 12/12/11

1,233,212

1,203,861

Class B, 5.479% 2/12/17

30,000,000

27,544,770

Series 2006-4 Class XP, 0.6718% 12/12/49 (b)(c)

198,852,960

6,385,487

ML-CFC Commercial Mortgage Trust:

Series 2007-6:

Class A1, 5.175% 3/12/51

1,405,991

1,396,846

Class B, 5.635% 3/12/51 (b)

10,000,000

9,294,920

Series 2007-7 Class B, 5.75% 6/25/50

870,000

819,057

Morgan Stanley Capital I Trust Series 2006-HQ8
Class A3, 5.4409% 3/12/16 (b)

15,510,000

15,494,758

Morgan Stanley Capital I Trust:

floater:

Series 2007-XLCA Class B, 6.111% 7/17/17 (a)(b)

3,366,714

3,349,881

Commercial Mortgage Securities - continued

Principal Amount

Value

Morgan Stanley Capital I Trust: - continued

floater:

Series 2007-XLFA:

Class MHRO, 6.3013% 10/15/20 (a)(b)

$ 1,236,891

$ 1,212,153

Class MJPM, 6.6113% 10/15/20 (a)(b)

430,966

422,346

Class MSTR, 6.3113% 10/15/20 (a)(b)

675,000

661,500

Class NHRO, 6.5013% 10/15/20 (a)(b)

1,903,260

1,865,195

Class NSTR, 6.4613% 10/15/20 (a)(b)

615,000

602,700

sequential payer:

Series 2006-HQ10 Class A1, 5.131% 11/12/41

4,842,283

4,809,237

Series 2006-T23 Class A1, 5.682% 8/12/41

14,028,279

14,130,175

Series 2007-HQ11:

Class A1, 5.246% 2/20/44 (b)

2,144,587

2,134,226

Class A31, 5.439% 2/20/44 (b)

5,065,000

4,983,682

Series 2007-IQ13 Class A1, 5.05% 3/15/44

2,143,473

2,118,501

Series 2007-IQ14 Class A1, 5.38% 4/15/49

4,543,976

4,531,264

Series 2007-IQ15 Class A1, 5.519% 6/1/49

21,700,000

21,882,280

Series 2007-T25 Class A2, 5.507% 11/12/49

9,830,000

9,750,065

Series 2006-HQ9 Class B, 5.832% 7/12/44 (b)

14,840,000

14,174,557

Series 2006-T23 Class A3, 5.8068% 8/12/41 (b)

5,105,000

5,174,131

Series 2007-HQ11 Class B, 5.538% 2/20/44 (b)

18,133,000

16,842,135

Series 2007-HQ12 Series A1, 5.519% 4/12/49 (b)

2,527,685

2,525,031

Series 2007-IQ14 Class B, 5.914% 4/15/49

2,459,000

2,323,521

Series 2007-XLC1:

Class C, 6.211% 7/17/17 (a)(b)

4,644,591

4,621,368

Class D, 6.311% 7/17/17 (a)(b)

2,187,136

2,165,264

Class E, 6.411% 7/17/17 (a)(b)

1,774,283

1,756,540

Morgan Stanley Capital I, Inc.:

floater Series 2006-XLF Class F, 5.9313% 7/15/19 (a)(b)

2,320,000

2,316,266

sequential payer:

Series 2003-IQ5 Class X2, 0.906% 4/15/38 (a)(b)(c)

46,260,218

1,133,149

Series 2004-HQ3 Class A2, 4.05% 1/13/41

5,025,000

4,893,974

Series 2003-IQ6 Class X2, 0.5905% 12/15/41 (a)(b)(c)

86,604,525

1,721,464

Series 2005-IQ9 Class X2, 1.0449% 7/15/56 (a)(b)(c)

154,008,358

5,546,842

Series 2006-IQ11 Class A3, 5.7381% 10/15/42 (b)

16,595,000

16,716,233

Morgan Stanley Dean Witter Capital I Trust sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31

987,613

1,001,013

Salomon Brothers Mortgage Securities VII, Inc. sequential payer Series 2000-C3 Class A2, 6.592% 12/18/33

19,357,000

19,855,526

Commercial Mortgage Securities - continued

Principal Amount

Value

SBA CMBS Trust Series 2006-1A:

Class B, 5.451% 11/15/36 (a)

$ 640,000

$ 635,600

Class C, 5.559% 11/15/36 (a)

955,000

944,485

Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34

2,213,533

2,311,832

TrizecHahn Office Properties Trust Series 2001-TZHA Class C4, 6.893% 5/15/16 (a)

8,500,000

8,903,947

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A Class E, 5.8913% 9/15/21 (a)(b)

1,985,000

1,980,230

Series 2007-WHL8:

Class AP1, 6.3113% 6/15/20 (b)

305,000

298,581

Class AP2, 6.4113% 6/15/20 (b)

530,000

515,478

Class F, 6.0913% 6/15/20 (b)

4,599,000

4,560,433

Class LXR1, 6.3113% 6/15/20 (b)

1,228,057

1,212,077

sequential payer:

Series 2003-C6 Class A2, 4.498% 8/15/35

8,090,000

7,965,031

Series 2003-C7 Class A1, 4.241% 10/15/35 (a)

30,763,523

30,007,651

Series 2003-C8 Class A3, 4.445% 11/15/35

43,550,000

42,509,708

Series 2005-C16 Class A2, 4.38% 10/15/41

7,467,579

7,312,576

Series 2006-C24 Class A2, 5.506% 3/15/45

10,503,328

10,519,155

Series 2006-C27 Class A2, 5.624% 7/15/45

33,000,000

33,148,827

Series 2006-C29 Class A3, 5.319% 11/15/48

26,560,000

26,088,533

Series 2007-C30:

Class A1, 5.031% 12/15/43

2,097,343

2,076,001

Class A3, 5.246% 12/15/43

8,585,000

8,467,188

Class A5, 5.342% 12/15/43

10,000,000

9,712,021

Series 2007-C31 Class A1, 5.14% 4/15/47

1,779,801

1,764,192

Series 2003-C6 Class G, 5.125% 8/15/35 (a)

4,750,000

4,268,301

Series 2004-C15:

Class 180A, 5.3979% 10/15/41 (a)(b)

7,690,000

7,159,471

Class 180B, 5.3979% 10/15/41 (a)(b)

3,500,000

3,307,242

Series 2005-C19 Class B, 4.892% 5/15/44

10,000,000

9,009,964

Series 2005-C22:

Class B, 5.3559% 12/15/44 (b)

22,174,000

20,761,490

Class F, 5.3559% 12/15/44 (a)(b)

16,676,000

14,888,575

Series 2006-C25 Class AM, 5.7567% 5/15/43 (b)

8,725,000

8,663,851

Series 2007-C30:

Class C, 5.483% 12/15/43 (b)

30,000,000

27,537,198

Class D, 5.513% 12/15/43 (b)

16,000,000

14,578,843

Class XP, 0.4376% 12/15/43 (a)(b)(c)

130,505,000

3,113,379

Series 2007-C31 Class C, 5.6917% 4/15/47 (b)

2,748,000

2,602,612

Commercial Mortgage Securities - continued

Principal Amount

Value

Wachovia Bank Commercial Mortgage Trust: - continued

floater:

Series 2007-C32:

Class D, 5.741% 6/15/49 (b)

$ 7,515,000

$ 6,967,613

Class E, 5.741% 6/15/49 (b)

11,844,000

10,855,494

Wachovia Bank Commercial Mortgage Trust pass-thru certificates Series 2007-C33 Class B, 6.1% 2/15/51 (b)

16,815,000

16,009,400

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $2,354,359,640)

2,302,488,377

Cash Equivalents - 0.7%

Maturity Amount

Investments in repurchase agreements in a joint trading account at 5.37%, dated 8/31/07 due 9/4/07 (Collateralized by U.S. Government Obligations) #
(Cost $24,742,000)

$ 24,756,771

24,742,000

TOTAL INVESTMENT PORTFOLIO - 99.8%

(Cost $3,865,144,053)

3,787,812,800

NET OTHER ASSETS - 0.2%

9,480,668

NET ASSETS - 100%

$ 3,797,293,468

Swap Agreements

Expiration Date

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 5.1985% with Goldman Sachs

April 2017

$ 70,000,000

$ (808,297)

Receive semi-annually a fixed rate equal to 5.021% and pay quarterly a floating rate based on 3-month LIBOR with Goldman Sachs

April 2012

120,000,000

1,783,200

TOTAL INTEREST RATE SWAPS

190,000,000

974,903

Total Return Swaps

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor with Lehman Brothers, Inc.

March 2008

30,000,000

(176,136)

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Lehman Brothers, Inc.

May 2008

20,000,000

267,124

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 25 basis points with Lehman Brothers, Inc.

Feb. 2008

20,000,000

267,985

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR with Lehman Brothers, Inc.

Dec. 2007

40,000,000

527,359

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 15 basis points with Lehman Brothers, Inc.

May 2008

35,000,000

297,501

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.

April 2008

30,000,000

256,292

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Total Return Swaps - continued

Receive monthly a return equal to Lehman Brothers U.S. ABS AA Floating Home Equities Index and pay monthly a floating rate based on 1-month LIBOR minus 10 basis points with Lehman Brothers, Inc.

Sept. 2007

$ 10,000,000

$ (1,096,364)

Receive monthly a return equal to Lehman Brothers U.S. ABS AA Floating Home Equities Index and pay monthly a floating rate based on 1-month LIBOR minus 15 basis points with Lehman Brothers, Inc.

Oct. 2007

15,000,000

(1,643,900)

TOTAL TOTAL RETURN SWAPS

200,000,000

(1,300,139)

$ 390,000,000

$ (325,236)

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $785,669,025 or 20.7% of net assets.

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

(c) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period.

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

Repurchase Agreement / Counterparty

Value

$24,742,000 due 9/04/07 at 5.37%

BNP Paribas Securities Corp.

$ 571,701

Banc of America Securities LLC

8,761,287

Bank of America, NA

3,937,907

Bear Stearns & Co., Inc.

492,238

Citigroup Global Markets, Inc.

1,552,503

Credit Suisse Securities (USA) LLC

984,477

Greenwich Capital Markets, Inc.

492,238

HSBC Securities (USA), Inc.

984,477

ING Financial Markets LLC

1,968,953

Societe Generale, New York Branch

2,953,430

UBS Securities LLC

959,865

WestLB AG

1,082,924

$ 24,742,000

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements

Statement of Assets and Liabilities

August 31, 2007

Assets

Investment in securities, at value (including repurchase agreements of $24,742,000) - See accompanying schedule:

Unaffiliated issuers (cost $3,865,144,053)

$ 3,787,812,800

Cash

60,035

Interest receivable

22,670,361

Total assets

3,810,543,196

Liabilities

Payable for investments purchased

$ 12,909,910

Swap agreements, at value

325,236

Other payables and accrued expenses

14,582

Total liabilities

13,249,728

Net Assets

$ 3,797,293,468

Net Assets consist of:

Paid in capital

$ 3,874,949,957

Net unrealized appreciation (depreciation) on investments

(77,656,489)

Net Assets, for 38,831,788 shares outstanding

$ 3,797,293,468

Net Asset Value, offering price and redemption price per share ($3,797,293,468 ÷ 38,831,788 shares)

$ 97.79

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements - continued

Statement of Operations

For the period October 30, 2006 (commencement of operations) to August 31, 2007

Investment Income

Interest

$ 144,903,020

Expenses

Custodian fees and expenses

$ 35,035

Independent directors' compensation

7,930

Total expenses before reductions

42,965

Expense reductions

(22,889)

20,076

Net investment income

144,882,944

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

141,136

Swap agreements

(8,552,173)

Total net realized gain (loss)

(8,411,037)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(68,686,992)

Swap agreements

(325,236)

Total change in net unrealized appreciation (depreciation)

(69,012,228)

Net gain (loss)

(77,423,265)

Net increase (decrease) in net assets resulting from operations

$ 67,459,679

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Changes in Net Assets

For the period
October 30, 2006
(commencement of operations) to
August 31, 2007

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 144,882,944

Net realized gain (loss)

(8,411,037)

Change in net unrealized appreciation (depreciation)

(69,012,228)

Net increase (decrease) in net assets resulting from operations

67,459,679

Distributions to partners from net investment income

(144,582,741)

Affiliated share transactions
Proceeds from sales of shares

1,514,818,583

Contributions in-kind

2,329,097,566

Reinvestment of distributions

32,504,849

Cost of shares redeemed

(2,004,468)

Net increase (decrease) in net assets resulting from share transactions

3,874,416,530

Total increase (decrease) in net assets

3,797,293,468

Net Assets

Beginning of period

-

End of period

$ 3,797,293,468

Other Information

Shares

Sold

15,229,677

Issued for in-kind contributions

23,290,976

Issued in reinvestment of distributions

331,487

Redeemed

(20,352)

Net increase (decrease)

38,831,788

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights

Period ended
August 31,
2007 F

Selected Per-Share Data

Net asset value, beginning of period

$ 100.00

Income from Investment Operations

Net investment income D

4.528

Net realized and unrealized gain (loss)

(2.219)

Total from investment operations

2.309

Distributions to partners from net investment income

(4.519)

Net asset value, end of period

$ 97.79

Total Return B, C

2.33%

Ratios to Average Net Assets G

Expenses before reductions

-% A, E

Expenses net of fee waivers, if any

-% A, E

Expenses net of all reductions

-% A, E

Net investment income

5.46% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 3,797,293

Portfolio turnover rate

40% A, H

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E Amount represents less than .01%.

F For the period October 30, 2006 (commencement of operations) to August 31, 2007.

G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

H Portfolio turnover rate excludes securities received or delivered in-kind.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Notes to Financial Statements

For the period ended August 31, 2007

1. Organization.

Fidelity 2-5 Year Duration Securitized Bond Central Fund is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) (formerly of Fidelity Central Investment Portfolios LLC) and is authorized to issue an unlimited number of shares. Effective April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund reorganized into Fidelity Central Investment Portfolios II LLC effective June 29, 2007 (Trust Reorganization). The Trust Reorganization does not impact the Fund's investment strategies or Fidelity Management & Research Company's (FMR) management of the Fund. The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company. Each Fund in the LLC is a separate partnership for tax purposes. Shares of the Fund are only offered to other investment companies and accounts managed by FMR, or its affiliates.

2. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Directors 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 available dealer supplied prices.

When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Directors. Factors used in the determination of fair value may include current market trading activity, interest rates, credit quality and default rates. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

Annual Report

Notes to Financial Statements - continued

2. Significant Accounting Policies - continued

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Expenses. Most expenses of the LLC can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the LLC. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known. All legal and other expenses associated with the Trust Reorganization will be paid by FMR.

Income Tax Information and Distributions to Partners. No provision has been made for federal income taxes because all income and expenses and gain/loss (realized and unrealized) are allocated daily to the partners, based on their capital balances, for inclusion in their individual income tax returns.

Distributions are declared daily and paid monthly from net investment income on a book basis, except for certain items such as market discount which are deemed distributed based on allocations to the partners and are reclassified to paid in capital. Due to the Fund's partnership structure, paid in capital includes net realized gain/loss on investments.

The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:

Unrealized appreciation

$ 14,504,110

Unrealized depreciation

(91,384,568)

Net unrealized appreciation (depreciation)

$ (76,880,458)

Cost for federal income tax purposes

$ 3,864,693,258

New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management has concluded that the adoption of FIN 48 will not result in a material impact on the Fund's net assets, results of operations and financial statement disclosures.

Annual Report

2. Significant Accounting Policies - continued

New Accounting Pronouncements - continued

In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.

3. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.

Annual Report

Notes to Financial Statements - continued

3. Operating Policies - continued

Swap Agreements - continued

Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty.

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, aggregated $1,560,961,482 and $274,048,048, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain exceptions such as interest expense.

Annual Report

5. Fees and Other Transactions with Affiliates - continued

Exchange-In-Kind. On October 30, 2006, the Investing Funds completed a non-taxable exchange with the Fund. The Investing Funds delivered securities with a value, including accrued interest, of $2,329,097,566 (which included $8,644,261 of unrealized depreciation) in exchange for 23,290,976 shares of the Fund, as presented in the accompanying Statement of Changes in Net Assets. This is considered a non-taxable exchange for federal income tax purposes, with no gain or loss recognized by the Fund or its partners.

The Board of Directors may permit the purchase of shares (for cash, securities or other consideration) and admit new Eligible Accredited Investors into the Fund, in accordance with the Partnership Agreement. At the end of the period, mutual funds managed by FMR or its affiliates were the owners of record of all the outstanding shares of the Fund.

6. Expense Reductions.

FMR voluntarily agreed to reimburse a portion of each Fund's operating expenses. During the period, this reimbursement reduced the Fund's expenses by $7,930.

In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $14,959.

7. Other.

The Fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Central Investment Portfolios II LLC and the Shareholders of Fidelity 2-5 Year Duration Securitized Bond Central Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity 2-5 Year Duration Securitized Bond Central Fund (a fund of Fidelity Central Investment Portfolios II LLC) at August 31, 2007, the results of its operations, the changes in its net assets and the financial highlights for the period October 30, 2006 (commencement of operations) through August 31, 2007, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity 2-5 Year Duration Securitized Bond Central Fund's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at August 31, 2007 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

October 30, 2007

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the Fidelity Central Investment Portfolios II LLC and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 369 funds advised by FMR or an affiliate. Mr. Curvey oversees 339 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (77)

Year of Election or Appointment: 2007

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as President (2006-present), Chief Executive Officer, Chairman, and a Director of FMR LLC; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001-present) and a Director of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of Fidelity International Limited (FIL).

James C. Curvey (72)

Year of Election or Appointment: 2007

Mr. Curvey also serves as Trustee (2007-present) or Member of the Advisory Board (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2006-present) and Director of FMR LLC. Mr. Curvey joined Fidelity in 1982 and served in numerous senior management positions, including President and Chief Operating Officer of FMR LLC (1997-2000) and President of Fidelity Strategic Investments (2000-2002). In addition, he serves as a member of the Board of Directors of Geerlings & Wade, Inc. (wine distribution).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the Fidelity Central Investment Portfolios II LLC or various entities under common control with FMR. FMR Corp. merged with FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

Dennis J. Dirks (59)

Year of Election or Appointment: 2007

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of Manhattan College (2005-present) and a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present).

Albert R. Gamper, Jr. (65)

Year of Election or Appointment: 2007

Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (1989-2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001-present), Chairman of the Board of Governors, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System.

George H. Heilmeier (71)

Year of Election or Appointment: 2007

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), and HRL Laboratories (private research and development, 2004-present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002), INET Technologies Inc. (telecommunications network surveillance, 2001-2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid crystal display, and a member of the Consumer Electronics Hall of Fame.

James H. Keyes (66)

Year of Election or Appointment: 2007

Prior to his retirement in 2003, Mr. Keyes was Chairman, President, and Chief Executive Officer of Johnson Controls, Inc. (automotive supplier, 1993-2003). He currently serves as a member of the boards of LSI Logic Corporation (semiconductor technologies), Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, 2002-present), and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions).

Marie L. Knowles (60)

Year of Election or Appointment: 2007

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002-present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (63)

Year of Election or Appointment: 2007

Mr. Lautenbach is Chairman of the Independent Trustees (2006-present). Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Sony Corporation (2006-present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations.

Cornelia M. Small (63)

Year of Election or Appointment: 2007

Ms. Small is a member (2000-present) and Chairperson (2002-present) of the Investment Committee, and a member (2002-present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1999). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

William S. Stavropoulos (68)

Year of Election or Appointment: 2007

Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003), CEO (1995-2000; 2002-2004), and Chairman of the Executive Committee (2000-2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002-present), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment firm, 2005-present). He is a special advisor to Clayton, Dubilier & Rice, Inc., a private equity investment firm. He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Kenneth L. Wolfe (68)

Year of Election or Appointment: 2007

Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003-present), Bausch & Lomb, Inc., and Revlon Inc. (2004-present).

Advisory Board Members and Executive Officers**:

Correspondence intended for Mr. Mauriello and Mr. Wiley may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Peter S. Lynch (63)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund.

Joseph Mauriello (62)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services firm, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Capital Ltd., (global insurance and re-insurance company, 2006-present) and of Arcadia Resources Inc., (health care services and products, 2007-present). He also served as a Director of the Hamilton Funds of the Bank of New York (2006-2007).

Michael E. Wiley (56)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Mr. Wiley also serves as Sr. Energy Advisor of Katzenbach Partners, LLC (consulting firm, 2006-present) and a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-present). He serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), and a Director of Bill Barrett Corporation (exploration and production company, 2005-present). In addition, he also serves as a Director of Post Oak Bank (privately-held bank, 2004-present), and an Advisory Director of Riverstone Holdings (private investment firm). Previously, Mr. Wiley served as Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services company, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production company, 2001-2005).

Kimberley H. Monasterio (43)

Year of Election or Appointment: 2007

President and Treasurer of 2-5 Year Duration Securitized Bond Central Fund. Ms. Monasterio also serves as President and Treasurer of other Fidelity funds (2007-present) and is an employee of FMR (2004-present). Previously, Ms. Monasterio served as Deputy Treasurer of the Fidelity funds (2004-2006). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

Boyce I. Greer (51)

Year of Election or Appointment: 2006

Vice President of 2-5 Year Duration Securitized Bond Central Fund. Mr. Greer also serves as Vice President of certain Asset Allocation Funds (2005-present), Fixed-Income Funds (2006-present), and Money Market Funds (2006-present). Mr. Greer is also a Trustee of other investment companies advised by FMR (2003-present). Mr. Greer is an Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present), and Senior Vice President of Fidelity Investments Money Management, Inc. (2006-present). Previously, Mr. Greer served as Vice President of certain Fidelity Equity Funds (2005-2007), a Director and Managing Director of Strategic Advisers, Inc. (2002-2005), and Executive Vice President (2000-2002) and Money Market Group Leader (1997-2002) of the Fidelity Investments Fixed Income Division. Mr. Greer also served as Vice President of Fidelity's Money Market Funds (1997-2002), Senior Vice President of FMR (1997-2002), and Vice President of FIMM (1998-2002).

David L. Murphy (59)

Year of Election or Appointment: 2006

Vice President of 2-5 Year Duration Securitized Bond Central Fund. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002-present) and Fixed-Income Funds (2005-present). Mr. Murphy serves as Senior Vice President (2000-present) and Head (2004-present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of Fidelity Investments Money Management, Inc. (2003-present) and an Executive Vice President of FMR (2005-present). Previously, Mr. Murphy served as Money Market Group Leader (2002-2004), Bond Group Leader (2000-2002), and Vice President of certain Asset Allocation Funds (2003-2007), Balanced Funds (2005-2007), Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002).

Thomas J. Silvia (46)

Year of Election or Appointment: 2006

Vice President of 2-5 Year Duration Securitized Bond Central Fund. Mr. Silvia also serves as Vice President of Fidelity's Fixed-Income Funds (2005-present) and Senior Vice President and Bond Group Leader of the Fidelity Investments Fixed-Income Division (2005-present). Previously, Mr. Silvia served as Vice President of certain Balanced Funds (2005-2007), certain Asset Allocation Funds (2005-2007), a Director of Fidelity's Taxable Bond portfolio managers (2002-2004) and a portfolio manager in the Bond Group (1997-2004).

Eric D. Roiter (58)

Year of Election or Appointment: 2006

Secretary of 2-5 Year Duration Securitized Bond Central Fund. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001-present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001-present), Fidelity Research & Analysis Company (2001-present), and Fidelity Investments Money Management, Inc. (2001-present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003-present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998-2005).

Scott C. Goebel (39)

Year of Election or Appointment: 2007

Assistant Secretary of 2-5 Year Duration Securitized Bond Central Fund. Mr. Goebel also serves as Assistant Secretary of other Fidelity funds (2007-present) and is an employee of FMR.

R. Stephen Ganis (41)

Year of Election or Appointment: 2006

Anti-Money Laundering (AML) officer of 2-5 Year Duration Securitized Bond Central Fund. Mr. Ganis also serves as AML officer of other Fidelity funds (2006-present) and FMR LLC (2003-present). Before joining Fidelity Investments, Mr. Ganis practiced law at Goodwin Procter, LLP (2000-2002).

Joseph B. Hollis (59)

Year of Election or Appointment: 2006

Chief Financial Officer of 2-5 Year Duration Securitized Bond Central Fund. Mr. Hollis also serves as Chief Financial Officer of other Fidelity funds. Mr. Hollis is President of Fidelity Pricing and Cash Management Services (FPCMS) (2005-present). Mr. Hollis also serves as President and Director of Fidelity Service Company, Inc. (2006-present). Previously, Mr. Hollis served as Senior Vice President of Cash Management Services (1999-2002) and Investment Management Operations (2002-2005).

Kenneth A. Rathgeber (60)

Year of Election or Appointment: 2006

Chief Compliance Officer of 2-5 Year Duration Securitized Bond Central Fund. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004-present) and Executive Vice President of Risk Oversight for Fidelity Investments (2002-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present). Previously, Mr. Rathgeber served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

Bryan A. Mehrmann (46)

Year of Election or Appointment: 2006

Deputy Treasurer of 2-5 Year Duration Securitized Bond Central Fund. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004).

Kenneth B. Robins (38)

Year of Election or Appointment: 2006

Deputy Treasurer of 2-5 Year Duration Securitized Bond Central Fund. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Robert G. Byrnes (40)

Year of Election or Appointment: 2006

Assistant Treasurer of 2-5 Year Duration Securitized Bond Central Fund. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003).

Peter L. Lydecker (53)

Year of Election or Appointment: 2006

Assistant Treasurer of 2-5 Year Duration Securitized Bond Central Fund. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Gary W. Ryan (49)

Year of Election or Appointment: 2006

Assistant Treasurer of 2-5 Year Duration Securitized Bond Central Fund. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999-2005).

** FMR Corp. merged with FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity 2-5 Year Duration Securitized Bond Central Fund

On April 19, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one LLC to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it initially approved the Advisory Contracts for the fund in July 2006, prior to commencement, and that it will again consider renewal of the Advisory Contracts in June 2008.

Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.

In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders; and (iv) whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies.

Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one LLC to another.

Annual Report

Annual Report

Annual Report

Annual Report

Fidelity® Corporate Bond 1-5 Year Central Fund

Annual Report

August 31, 2007

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

1.833856.100 474688.1.0

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Average annual total returns take Fidelity Corporate Bond 1-5 Year Central Fund's cumulative total return and show you what would have happened if Fidelity Corporate Bond 1-5 Year Central Fund's shares had performed at a constant rate each year. These numbers will be reported once the fund is a year old.

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity Corporate Bond 1-5 Year Central Fund on November 6, 2006, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothers Credit 1-5 Year Index performed over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Brian Miron, Lead Portfolio Manager of Fidelity® Corporate Bond 1-5 Year Central Fund

A subprime mortgage loan crisis and an emerging credit crunch contributed to subpar performance for some sectors of the investment-grade bond market during the year ending August 31, 2007, while Treasuries benefited from a flight to quality. During the one-year span, the Lehman Brothers® U.S. Aggregate Index - a performance gauge of the taxable, high-quality debt market - gained 5.26%. Within the index, Treasuries - the bond market's highest-quality debt instrument - fared best, as many investors fled riskier bonds. The Lehman Brothers U.S. Treasury Index rose 6.02%. The asset-backed category - home to volatile subprime mortgages - had the weakest performance, gaining only 3.68% according to the Lehman Brothers Asset-Backed Securities Index.

From its inception on November 6, 2006, through August 31, 2007, the fund returned 3.37%, while the Lehman Brothers Credit 1-5 Year Index returned 4.11%. Despite tight yield spreads, the market environment was supportive for corporate bonds early in the period. However, as the period progressed, the environment became more challenging due to accelerating leveraged-buyout (LBO) activity followed by the spreading subprime contagion. Thus, while the fund had decent sector and security selection overall, its relative underperformance resulted in part from its holdings in Fidelity Ultra-Short Central Fund, which is a diversified pool of short-term assets, and from a flattening of the corporate yield curve, which negatively impacted shorter-dated corporate bonds. Fidelity Ultra-Short Central Fund suffered from exposure to subprime mortgage bonds while short-term corporate bonds were hurt by the spread of the subprime contagion. Early on, we reduced the fund's beta - its exposure to market volatility - and structured the portfolio to try to mitigate the negative impact of LBO activity. We did this by favoring sectors such as utilities and communications companies, where LBO risk was lower, and real estate investment trusts, which benefit from protective legal features. As the subprime crisis unfolded and its effects spread across the financial and housing sectors, our underweighted positions in banks, financial companies with large mortgage-lending operations, and home construction-related sectors contributed to results. However, adverse security selection on the LBO front, and among certain finance-related companies, hampered performance. Also, interest rate swap contracts, which we used to manage the fund's yield-curve positioning, detracted from relative results.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2007 to August 31, 2007).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Annual Report

Beginning
Account Value
March 1, 2007

Ending
Account Value
August 31, 2007

Expenses Paid
During Period*
March 1, 2007
to August 31, 2007

Actual

$ 1,000.00

$ 1,008.90

$ .01

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,025.20

$ .01

* Expenses are equal to the Fund's annualized expense ratio of .0017%; multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Annual Report

Investment Changes

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund.

Quality Diversification (% of fund's net assets)

As of August 31, 2007*

As of February 28, 2007**

U.S. Government and
U.S. Government
Agency Obligations 7.5%

U.S. Government and
U.S. Government
Agency Obligations 6.1%

AAA 2.1%

AAA 5.9%

AA 17.0%

AA 15.0%

A 15.2%

A 18.4%

BBB 50.6%

BBB 47.3%

BB and Below 3.0%

BB and Below 1.8%

Not Rated 1.6%

Not Rated 1.4%

Short-Term
Investments and
Net Other Assets 3.0%

Short-Term
Investments and
Net Other Assets 4.1%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition.

Weighted Average Maturity as of August 31, 2007

6 months ago

Years

3.1

3.4

The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision.

Duration as of August 31, 2007

6 months ago

Years

2.7

2.5

Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example.

Asset Allocation (% of fund's net assets)

As of August 31, 2007*

As of February 28, 2007**

Corporate Bonds 85.5%

Corporate Bonds 82.2%

U.S. Government and
U.S. Government
Agency Obligations 7.5%

U.S. Government and
U.S. Government
Agency Obligations 6.1%

Asset-Backed
Securities 2.1%

Asset-Backed
Securities 4.7%

CMOs and Other Mortgage Related Securities 1.5%

CMOs and Other Mortgage Related Securities 2.6%

Other Investments 0.4%

Other Investments 0.3%

Short-Term
Investments and
Net Other Assets 3.0%

Short-Term
Investments and
Net Other Assets 4.1%

* Foreign investments

13.5%

** Foreign investments

17.0%

* Futures and Swaps

12.7%

** Futures and Swaps

4.2%

Annual Report

Investments August 31, 2007

Showing Percentage of Net Assets

Nonconvertible Bonds - 84.7%

Principal Amount

Value

CONSUMER DISCRETIONARY - 6.1%

Auto Components - 2.6%

DaimlerChrysler NA Holding Corp.:

4.05% 6/4/08

$ 3,010,000

$ 2,965,449

5.71% 3/13/09 (c)

6,090,000

6,040,671

5.75% 9/8/11

8,705,000

8,763,628

5.79% 3/13/09 (c)

1,100,000

1,093,400

5.875% 3/15/11

5,050,000

5,097,748

23,960,896

Media - 2.8%

AOL Time Warner, Inc. 6.75% 4/15/11

5,000,000

5,196,860

Comcast Corp. 5.85% 1/15/10

6,275,000

6,375,362

Cox Communications, Inc. 4.625% 1/15/10

9,500,000

9,349,207

Time Warner Cable, Inc. 5.4% 7/2/12 (b)

5,000,000

4,941,435

25,862,864

Multiline Retail - 0.7%

Federated Department Stores, Inc. 6.3% 4/1/09

6,382,000

6,422,411

TOTAL CONSUMER DISCRETIONARY

56,246,171

CONSUMER STAPLES - 2.7%

Food & Staples Retailing - 1.1%

CVS Caremark Corp.:

5.66% 6/1/10 (c)

3,380,000

3,365,354

6.302% 6/1/37 (c)

7,245,000

6,998,272

10,363,626

Food Products - 0.8%

Kraft Foods, Inc.:

5.625% 11/1/11

5,635,000

5,658,306

6% 2/11/13

1,645,000

1,678,190

7,336,496

Tobacco - 0.8%

Reynolds American, Inc. 6.06% 6/15/11 (c)

7,000,000

6,982,500

TOTAL CONSUMER STAPLES

24,682,622

ENERGY - 9.1%

Oil, Gas & Consumable Fuels - 9.1%

Anadarko Petroleum Corp. 3.25% 5/1/08

2,400,000

2,360,153

Canadian Oil Sands Ltd. 4.8% 8/10/09 (b)

12,390,000

12,261,578

Delek & Avner-Yam Tethys Ltd. 5.326% 8/1/13 (b)

1,182,983

1,176,346

Nonconvertible Bonds - continued

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Duke Capital LLC:

4.37% 3/1/09

$ 5,059,000

$ 5,010,297

7.5% 10/1/09

680,000

710,106

Duke Energy Field Services:

6.875% 2/1/11

3,074,000

3,197,636

7.875% 8/16/10

1,580,000

1,682,507

EnCana Corp. 6.3% 11/1/11

12,000,000

12,339,392

Enterprise Products Operating LP 4.625% 10/15/09

5,000,000

4,938,870

Gazstream SA 5.625% 7/22/13 (b)

2,695,866

2,635,209

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

6,220,000

6,270,251

Kinder Morgan Finance Co. ULC 5.35% 1/5/11

9,518,000

9,208,665

Nexen, Inc. 5.05% 11/20/13

5,200,000

5,029,430

Pemex Project Funding Master Trust 8% 11/15/11

5,000,000

5,440,000

Plains All American Pipeline LP 7.75% 10/15/12

4,200,000

4,575,858

Premcor Refining Group, Inc. 9.5% 2/1/13

1,475,000

1,557,301

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

1,200,000

1,332,892

XTO Energy, Inc. 5.9% 8/1/12

4,473,000

4,542,756

84,269,247

FINANCIALS - 39.5%

Capital Markets - 10.1%

Bank of New York Co., Inc. 3.4% 3/15/13 (c)

7,500,000

7,430,168

Bear Stearns Companies, Inc.:

4.245% 1/7/10

1,845,000

1,766,327

5.85% 7/19/10

6,105,000

6,064,658

6.9% 8/15/12

2,970,000

2,990,140

Goldman Sachs Group, Inc. 6.6% 1/15/12

11,075,000

11,421,061

Janus Capital Group, Inc. 5.875% 9/15/11

5,887,000

5,860,821

Lehman Brothers Holdings E-Capital Trust I 6.29% 8/19/65 (c)

9,970,000

9,788,018

Lehman Brothers Holdings, Inc. 6% 7/19/12

1,570,000

1,568,135

Morgan Stanley:

5.66% 1/9/14 (c)

3,250,000

3,149,387

6.6% 4/1/12

20,435,000

21,174,706

Nuveen Investments, Inc. 5% 9/15/10

11,055,000

10,383,917

Sanwa Bank Ltd. 7.4% 6/15/11

11,277,000

12,100,898

93,698,236

Commercial Banks - 3.8%

DBS Bank Ltd. (Singapore) 5.75% 5/16/17 (b)(c)

3,675,000

3,604,514

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

PNC Funding Corp.:

4.5% 3/10/10

$ 2,695,000

$ 2,652,424

5.4975% 1/31/12 (c)

3,515,000

3,458,700

Santander Issuances SA Unipersonal 5.805% 6/20/16 (b)(c)

4,820,000

4,900,639

Wells Fargo & Co. 4.2% 1/15/10

14,500,000

14,179,594

Wells Fargo Bank NA, San Francisco:

6.45% 2/1/11

1,545,000

1,602,024

7.55% 6/21/10

5,100,000

5,402,573

35,800,468

Consumer Finance - 5.8%

Capital One Financial Corp. 5.7% 9/15/11

6,240,000

6,144,091

Discover Financial Services 5.89% 6/11/10 (b)(c)

3,005,000

3,006,109

Household Finance Corp. 6.375% 10/15/11

2,830,000

2,905,683

HSBC Finance Corp.:

5.25% 1/14/11

4,505,000

4,460,022

5.7% 6/1/11

4,495,000

4,515,520

5.9% 6/19/12

3,025,000

3,066,083

6.75% 5/15/11

3,055,000

3,169,727

Nelnet, Inc.:

5.125% 6/1/10

500,000

494,194

7.4% 9/29/36 (c)

7,760,000

7,533,804

Nissan Motor Acceptance Corp. 4.625% 3/8/10 (b)

6,240,000

6,150,905

ORIX Corp. 5.48% 11/22/11

4,555,000

4,590,479

SLM Corp.:

4.5% 7/26/10

3,635,000

3,364,302

5.5% 7/27/09 (c)

435,000

417,351

5.52% 7/26/10 (c)

1,661,000

1,565,200

5.6213% 4/14/08 (c)

2,000,000

1,970,000

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

866,487

902,422

54,255,892

Diversified Financial Services - 10.3%

BTM Curacao Holding NV 5.68% 12/19/16 (b)(c)

750,000

747,783

Citigroup, Inc. 5.125% 2/14/11

29,960,000

29,918,535

ILFC E-Capital Trust I 5.9% 12/21/65 (b)(c)

5,000,000

4,811,987

International Lease Finance Corp. 5.4% 2/15/12

6,000,000

5,889,519

JPMorgan Chase & Co.:

4.6% 1/17/11

5,000,000

4,862,060

4.891% 9/1/15 (c)

5,380,000

5,343,454

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Diversified Financial Services - continued

JPMorgan Chase & Co.: - continued

5.6% 6/1/11

$ 10,000,000

$ 10,087,730

Prime Property Funding, Inc.:

5.35% 4/15/12 (b)

8,700,000

8,548,690

5.5% 1/15/14 (b)

1,080,000

1,049,162

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

3,100,000

3,022,565

ZFS Finance USA Trust I 6.15% 12/15/65 (b)(c)

17,990,000

17,455,744

ZFS Finance USA Trust IV 5.88% 5/9/32 (b)(c)

3,845,000

3,620,066

95,357,295

Real Estate Investment Trusts - 4.5%

Archstone-Smith Operating Trust 5.25% 12/1/10

4,790,000

4,769,954

Brandywine Operating Partnership LP:

4.5% 11/1/09

5,000,000

4,865,353

5.625% 12/15/10

4,753,000

4,719,812

Camden Property Trust 4.375% 1/15/10

985,000

960,744

Colonial Properties Trust 4.75% 2/1/10

6,216,000

6,094,472

Developers Diversified Realty Corp. 4.625% 8/1/10

2,250,000

2,208,933

Duke Realty LP:

4.625% 5/15/13

430,000

407,518

5.25% 1/15/10

2,000,000

1,992,974

5.625% 8/15/11

1,000,000

994,634

6.75% 5/30/08

2,195,000

2,200,114

Federal Realty Investment Trust 5.4% 12/1/13

640,000

623,836

iStar Financial, Inc. 5.8% 3/15/11

5,095,000

5,028,841

Mack-Cali Realty LP 5.05% 4/15/10

5,219,000

5,185,750

Reckson Operating Partnership LP 5.15% 1/15/11

365,000

355,887

Simon Property Group LP 4.6% 6/15/10

1,325,000

1,294,591

41,703,413

Real Estate Management & Development - 0.1%

ERP Operating LP 5.5% 10/1/12

675,000

667,769

Thrifts & Mortgage Finance - 4.9%

Capmark Financial Group, Inc.:

5.875% 5/10/12 (b)

3,500,000

3,055,636

6.03% 5/10/10 (b)(c)

3,500,000

3,256,253

Countrywide Financial Corp. 4.5% 6/15/10

2,985,000

2,778,778

Countrywide Home Loans, Inc. 4.125% 9/15/09

3,005,000

2,822,993

Independence Community Bank Corp.:

3.75% 4/1/14 (c)

7,640,000

7,462,660

4.9% 9/23/10

11,200,000

11,072,365

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Residential Capital Corp. 8.69% 4/17/09 (b)(c)

$ 7,660,000

$ 4,213,000

Residential Capital LLC 6.5% 6/1/12

3,750,000

2,850,000

Washington Mutual Bank 5.55% 6/16/10

7,750,000

7,647,599

45,159,284

TOTAL FINANCIALS

366,642,357

INDUSTRIALS - 6.0%

Aerospace & Defense - 0.1%

BAE Systems Holdings, Inc. 6.4% 12/15/11 (b)

1,275,000

1,335,830

Airlines - 3.0%

American Airlines, Inc. pass thru trust certificates:

6.855% 10/15/10

814,422

816,458

6.978% 10/1/12

2,537,450

2,569,930

7.024% 4/15/11

4,465,000

4,533,761

Continental Airlines, Inc. pass thru trust certificates:

6.32% 11/1/08

7,178,000

7,174,411

6.648% 3/15/19

6,887,806

6,950,485

6.795% 2/2/20

2,159,713

2,040,928

7.056% 3/15/11

705,000

705,345

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

1,100,000

1,113,750

United Air Lines, Inc. pass-thru trust certificates 6.201% 3/1/10

2,069,242

2,066,655

27,971,723

Building Products - 0.2%

Masco Corp. 5.64% 3/12/10 (c)

1,550,000

1,527,272

Commercial Services & Supplies - 1.8%

International Lease Financial Corp. 4.75% 7/1/09

17,245,000

16,957,560

Industrial Conglomerates - 0.9%

Hutchison Whampoa International 03/33 Ltd. 5.45% 11/24/10 (b)

6,660,000

6,657,263

Hutchison Whampoa International Ltd. 6.5% 2/13/13 (b)

1,225,000

1,276,640

7,933,903

TOTAL INDUSTRIALS

55,726,288

Nonconvertible Bonds - continued

Principal Amount

Value

INFORMATION TECHNOLOGY - 0.7%

Office Electronics - 0.5%

Xerox Corp. 5.5% 5/15/12

$ 4,255,000

$ 4,206,425

Semiconductors & Semiconductor Equipment - 0.2%

National Semiconductor Corp. 6.15% 6/15/12

2,275,000

2,316,100

TOTAL INFORMATION TECHNOLOGY

6,522,525

MATERIALS - 1.4%

Containers & Packaging - 0.6%

Pactiv Corp. 5.875% 7/15/12

5,300,000

5,396,524

Metals & Mining - 0.8%

Norilsk Nickel Finance Luxembourg SA 7.125% 9/30/09

5,190,000

5,254,875

United States Steel Corp. 5.65% 6/1/13

2,270,000

2,230,280

7,485,155

TOTAL MATERIALS

12,881,679

TELECOMMUNICATION SERVICES - 6.3%

Diversified Telecommunication Services - 5.4%

Ameritech Capital Funding Corp. 6.25% 5/18/09

6,440,000

6,568,394

British Telecommunications PLC 8.625% 12/15/10

4,197,000

4,635,587

France Telecom SA 7.75% 3/1/11 (a)

6,635,000

7,100,731

Sprint Capital Corp. 7.625% 1/30/11

6,006,000

6,379,417

Telecom Italia Capital SA 4.875% 10/1/10

8,035,000

7,892,829

Telefonica Emisiones SAU 5.69% 2/4/13 (c)

9,630,000

9,443,929

Telefonos de Mexico SA de CV 4.5% 11/19/08

990,000

981,090

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

1,105,000

1,140,014

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

6,145,000

6,474,642

50,616,633

Wireless Telecommunication Services - 0.9%

Vodafone Group PLC 5.5% 6/15/11

8,385,000

8,381,688

TOTAL TELECOMMUNICATION SERVICES

58,998,321

UTILITIES - 12.9%

Electric Utilities - 6.7%

Appalachian Power Co. 5.65% 8/15/12

5,000,000

5,047,140

Commonwealth Edison Co.:

3.7% 2/1/08

785,000

775,188

5.4% 12/15/11

7,111,000

7,067,850

Nonconvertible Bonds - continued

Principal Amount

Value

UTILITIES - continued

Electric Utilities - continued

Entergy Corp. 7.75% 12/15/09 (b)

$ 12,500,000

$ 13,045,750

FirstEnergy Corp. 6.45% 11/15/11

5,815,000

6,005,773

Mid-American Energy Co. 5.65% 7/15/12

2,310,000

2,353,063

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

5,150,000

5,309,120

Pepco Holdings, Inc. 4% 5/15/10

9,275,000

8,973,831

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

6,045,000

6,385,388

TXU Energy Co. LLC 5.86% 9/16/08 (b)(c)

7,200,000

7,203,910

62,167,013

Gas Utilities - 1.3%

NiSource Finance Corp. 7.875% 11/15/10

3,485,000

3,701,537

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

7,915,000

8,408,065

12,109,602

Independent Power Producers & Energy Traders - 2.5%

Constellation Energy Group, Inc. 7% 4/1/12

9,530,000

10,076,946

PSEG Power LLC:

3.75% 4/1/09

1,425,000

1,393,761

7.75% 4/15/11

11,000,000

11,795,806

23,266,513

Multi-Utilities - 2.4%

Dominion Resources, Inc. 6.3% 9/30/66 (c)

14,345,000

14,213,399

DTE Energy Co. 7.05% 6/1/11

7,770,000

8,208,671

22,422,070

TOTAL UTILITIES

119,965,198

TOTAL NONCONVERTIBLE BONDS

(Cost $794,228,861)

785,934,408

U.S. Treasury Obligations - 7.3%

U.S. Treasury Notes:

4.5% 5/15/10

8,000,000

8,068,752

4.625% 7/31/09

18,195,000

18,344,254

4.625% 11/15/09

10,080,000

10,169,772

4.625% 7/31/12

30,444,000

30,931,589

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $67,233,314)

67,514,367

Foreign Government and Government Agency Obligations - 0.4%

Principal Amount

Value

United Mexican States:

4.625% 10/8/08

$ 2,110,000

$ 2,092,065

6.06% 1/13/09 (c)

1,610,000

1,616,440

TOTAL FOREIGN GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS

(Cost $3,709,249)

3,708,505

Fixed-Income Funds - 5.4%

Shares

Fidelity Ultra-Short Central Fund (d)
(Cost $53,043,970)

533,062

50,401,012

Cash Equivalents - 1.5%

Maturity
Amount

Investments in repurchase agreements in a joint trading account at 5.37%, dated 8/31/07 due 9/4/07 (Collateralized by U.S. Government Obligations) #
(Cost $14,145,000)

$ 14,153,444

14,145,000

TOTAL INVESTMENT PORTFOLIO - 99.3%

(Cost $932,360,394)

921,703,292

NET OTHER ASSETS - 0.7%

6,605,266

NET ASSETS - 100%

$ 928,308,558

Swap Agreements

Expiration Date

Notional
Amount

Credit Default Swaps

Receive from Bank of America upon credit event of Gannett Co., Inc., par value of the notional amount of Gannett Co., Inc. 6.375% 4/1/12, and pay quarterly notional amount multiplied by .68%

Sept. 2012

$ 3,900,000

(32,710)

Receive from Bank of America upon credit event of Kroger Co., par value of the notional amount of Kroger Co. 5.5% 2/1/13, and pay quarterly notional amount multiplied by .85%

Sept. 2017

1,700,000

(13,352)

Swap Agreements - continued

Expiration Date

Notional
Amount

Value

Credit Default Swaps - continued

Receive from Bank of America upon credit event of Southwest Airlines Co., par value of the notional amount of Southwest Airlines Co. 5.25% 10/1/14, and pay quarterly notional amount multiplied by .85%

Sept. 2017

$ 1,700,000

$ (64)

Receive from Citibank upon credit event of Washington Mutual, Inc., par value of the notional amount of Washington Mutual, Inc. 5.25% 9/15/17, and pay quarterly notional amount multiplied by .9%

Sept. 2012

10,000,000

106,408

Receive from Goldman Sachs upon credit event of AOL Time Warner, Inc., par value of the notional amount of AOL Time Warner, Inc. 6.75% 4/15/11, and pay quarterly notional amount multiplied by .27%

Sept. 2012

3,900,000

31,202

Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by .77%

Sept. 2017

1,400,000

14,756

Receive from Goldman Sachs upon credit event of Dow Chemical Co., par value of the notional amount of Dow Chemical Co. 6% 10/1/12, and pay quarterly notional amount multiplied by .55%

Sept. 2017

1,700,000

3,900

Receive from JPMorgan Chase, Inc. upon credit event of New York Times Co., par value of the notional amount of New York Times Co. 4.61% 9/26/12, and pay quarterly notional amount multiplied by .63%

Sept. 2012

3,900,000

(35,972)

Receive from Morgan Stanley, Inc. upon credit event of Verizon Global Funding Corp., par value of the notional amount of Verizon Global Funding Corp. 4.90% 9/20/12, and pay quarterly notional amount multiplied by .25%

Sept. 2012

2,125,000

2,209

Receive quarterly notional amount multiplied by .1% and pay Deutsche Bank upon credit event of Morgan Stanley, Inc. par value of the notional amount of Morgan Stanley, Inc. 6.6% 4/1/12

March 2008

6,000,000

(13,686)

Swap Agreements - continued

Expiration Date

Notional
Amount

Value

Credit Default Swaps - continued

Receive quarterly notional amount multiplied by .27% and pay Bank of America upon credit event of Pacific Gas & Electric Co., par value of the notional amount of Pacific Gas & Electric Co. 4.8% 3/1/14

June 2012

$ 1,485,000

$ (3,068)

Receive quarterly notional amount multiplied by .3% and pay Bank of America upon credit event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10

June 2012

1,700,000

(2,103)

Receive quarterly notional amount multiplied by .35% and pay UBS upon credit event of Goldman Sachs Group, Inc., par value of the notional amount of Goldman Sachs Group, Inc. 6.6% 1/15/12

Sept. 2012

1,600,000

(27,208)

Receive quarterly notional amount multiplied by .38% and pay Deutsche Bank upon credit event of Lehman Brothers Holdings, Inc., par value of the notional amount of Lehman Brothers Holdings, Inc. 6.625% 1/18/12

March 2012

1,600,000

(55,591)

Receive quarterly notional amount multiplied by .4% and pay Deutsche Bank upon credit event of Goldman Sachs Group, Inc., par value of the notional amount of Goldman Sachs Group, Inc. 6.6% 1/15/12

Sept. 2012

1,820,000

(27,034)

Receive quarterly notional amount multiplied by .45% and pay Citibank upon credit event of PPL Energy Supply LLC, par value of the notional amount of PPL Energy Supply LLC 6.4% 11/1/11

Sept. 2012

15,000,000

(36,258)

Receive quarterly notional amount multiplied by .46% and pay Lehman Brothers, Inc. upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. 4% 3/22/11

March 2012

6,000,000

(531,927)

Receive quarterly notional amount multiplied by .54% and pay UBS upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

June 2012

3,200,000

(140,648)

Receive quarterly notional amount multiplied by .58% and pay Deutsche Bank upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

Sept. 2010

300,000

(7,823)

Swap Agreements - continued

Expiration Date

Notional
Amount

Value

Credit Default Swaps - continued

Receive quarterly notional amount multiplied by .59% and pay Bank of America upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

Sept. 2010

$ 300,000

$ (7,736)

Receive quarterly notional amount multiplied by .59% and pay Merrill Lynch, Inc. upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

Sept. 2010

600,000

(15,471)

Receive quarterly notional amount multiplied by .67% and pay Goldman Sachs upon credit event of Lehman Brothers Holdings, Inc., par value of the notional amount of Lehman Brothers Holdings, Inc. 6.625% 1/18/12

Sept. 2012

3,900,000

(103,097)

Receive quarterly notional amount multiplied by .68% and pay JPMorgan Chase, Inc. upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. 4% 3/22/11

March 2012

2,400,000

(192,440)

Receive quarterly notional amount multiplied by .95% and pay Citibank upon credit event of Rogers Cable, Inc., par value of the notional amount of Rogers Cable, Inc. 5.5% 3/15/14

Sept. 2012

3,900,000

36,056

Receive quarterly notional amount multiplied by 1.43% and pay Deutsche Bank upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. 4% 3/22/11

Sept. 2012

1,600,000

(78,786)

Receive quarterly notional amount multiplied by 1.50% and pay Goldman Sachs upon credit event of AMBAC Financial Group, Inc., par value of the notional amount of AMBAC Financial Group, Inc. 9.375% 8/1/11

Sept. 2012

1,600,000

(64,119)

Receive quarterly notional amount multiplied by 1.55% and pay Goldman Sachs upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

Sept. 2012

1,600,000

(4,622)

Swap Agreements - continued

Expiration Date

Notional
Amount

Value

Credit Default Swaps - continued

Receive quarterly notional amount multiplied by 1.55% and pay Goldman Sachs upon credit event of Reynolds American, Inc., par value of the notional amount of Reynolds American, Inc. 7.625% 6/1/16

Sept. 2017

$ 2,000,000

$ 23,615

Receive quarterly notional amount multiplied by 1.82% and pay Deutsche Bank upon credit event of AMBAC Financial Group, Inc., par value of the notional amount of AMBAC Financial Group, Inc. 9.375% 8/1/11

Sept. 2012

2,700,000

(77,734)

TOTAL CREDIT DEFAULT SWAPS

89,630,000

(1,253,303)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 5.035% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

August 2009

14,500,000

37,233

Receive semi-annually a fixed rate equal to 5.066% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America

Nov. 2009

5,000,000

81,329

Receive semi-annually a fixed rate equal to 5.2875% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America

Feb. 2009

30,000,000

144,576

Receive semi-annually a fixed rate equal to 5.38% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

July 2009

3,000,000

25,379

Receive semi-annually a fixed rate equal to 5.47% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

July 2012

20,000,000

440,320

Receive semi-annually a fixed rate equal to 5.47% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

July 2010

15,000,000

236,145

TOTAL INTEREST RATE SWAPS

87,500,000

964,982

$ 177,130,000

$ (288,321)

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 $126,482,579 or 13.6% of net assets.

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

(d) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

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

Repurchase Agreement / Counterparty

Value

$14,145,000 due 9/04/07 at 5.37%

BNP Paribas Securities Corp.

$ 326,842

Banc of America Securities LLC

5,008,825

Bank of America, NA

2,251,301

Bear Stearns & Co., Inc.

281,413

Citigroup Global Markets, Inc.

887,566

Credit Suisse Securities (USA) LLC

562,825

Greenwich Capital Markets, Inc.

281,413

HSBC Securities (USA), Inc.

562,825

ING Financial Markets LLC

1,125,651

Societe Generale, New York Branch

1,688,476

UBS Securities LLC

548,755

WestLB AG

619,108

$ 14,145,000

Affiliated Central Funds

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

Fund

Income earned

Fidelity Ultra-Short Central Fund

$ 6,177,055

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 Ultra-Short Central Fund

$ -

$ 239,999,961

$ 185,125,459

$ 50,401,012

0.4%

Other Information

Distribution of investments by country of issue, as a percentage of total net assets, is as follows:

United States of America

86.5%

Canada

4.1%

United Kingdom

2.3%

Spain

1.6%

Others (individually less than 1%)

5.5%

100.0%

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements

Statement of Assets and Liabilities

August 31, 2007

Assets

Investment in securities, at value (including repurchase agreements of $14,145,000) - See accompanying schedule:

Unaffiliated issuers (cost $879,316,424)

$ 871,302,280

Fidelity Central Funds (cost $53,043,970)

50,401,012

Total Investments (cost $932,360,394)

$ 921,703,292

Cash

303

Receivable for investments sold

7,989,421

Interest receivable

12,493,940

Distributions receivable from Fidelity Central Funds

353,869

Total assets

942,540,825

Liabilities

Payable for investments purchased

$ 13,939,286

Swap agreements, at value

288,321

Other payables and accrued expenses

4,660

Total liabilities

14,232,267

Net Assets

$ 928,308,558

Net Assets consist of:

Paid in capital

$ 939,253,981

Net unrealized appreciation (depreciation) on investments

(10,945,423)

Net Assets, for 9,374,906 shares outstanding

$ 928,308,558

Net Asset Value, offering price and redemption price per share ($928,308,558 ÷ 9,374,906 shares)

$ 99.02

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements - continued

Statement of Operations

For the period November 6, 2006 (commencement of operations) to August 31, 2007

Investment Income

Interest

$ 50,749,180

Income from Fidelity Central Funds

6,177,055

Total income

56,926,235

Expenses

Custodian fees and expenses

$ 17,559

Independent directors' compensation

3,006

Total expenses before reductions

20,565

Expense reductions

(10,713)

9,852

Net investment income

56,916,383

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

1,138,424

Fidelity Central Funds

(1,830,533)

Swap agreements

(370,763)

Capital gain distributions from Fidelity Central Funds

28,841

Total net realized gain (loss)

(1,034,031)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(12,901,144)

Swap agreements

(288,321)

Total change in net unrealized appreciation (depreciation)

(13,189,465)

Net gain (loss)

(14,223,496)

Net increase (decrease) in net assets resulting from operations

$ 42,692,887

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Changes in Net Assets

For the period
November 6, 2006 (commencement of operations) to
August 31, 2007

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 56,916,383

Net realized gain (loss)

(1,034,031)

Change in net unrealized appreciation (depreciation)

(13,189,465)

Net increase (decrease) in net assets resulting
from operations

42,692,887

Distributions to partners from net investment income

(55,436,152)

Affiliated share transactions
Proceeds from sales of shares

160,039,913

Contributions in-kind

1,194,466,595

Reinvestment of distributions

11,265,052

Cost of shares redeemed

(424,719,737)

Net increase (decrease) in net assets resulting from share transactions

941,051,823

Total increase (decrease) in net assets

928,308,558

Net Assets

Beginning of period

-

End of period

$ 928,308,558

Other Information

Shares

Sold

1,598,656

Issued for in-kind contributions

11,944,666

Issued in reinvestment of distributions

113,432

Redeemed

(4,281,848)

Net increase (decrease)

9,374,906

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights

Period ended
August 31,
2007 H

Selected Per-Share Data

Net asset value, beginning of period

$ 100.00

Income from Investment Operations

Net investment income D

4.434

Net realized and unrealized gain (loss)

(1.100)

Total from investment operations

3.334

Distributions to partners from net investment income

(4.314)

Net asset value, end of period

$ 99.02

Total Return B, C

3.37%

Ratios to Average Net Assets E, I

Expenses before reductions

-% A, G

Expenses net of fee waivers, if any

-% A, G

Expenses net of all reductions

-% A, G

Net investment income

5.40% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 928,309

Portfolio turnover rate F

185% A, J

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G Amount represents less than .01%.

H For the period November 6, 2006 (commencement of operations) to August 31, 2007.

I Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

J Portfolio turnover rate excludes securities received or delivered in-kind.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Notes to Financial Statements

For the period ended August 31, 2007

1. Organization.

Fidelity Corporate Bond 1-5 Year Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) (formerly of Fidelity Central Investment Portfolios LLC) and is authorized to issue an unlimited number of shares. Effective April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund reorganized into Fidelity Central Investment Portfolios II LLC effective June 29, 2007 (Trust Reorganization). The Trust Reorganization does not impact the Fund's investment strategies or Fidelity Management & Research Company's(FMR) management of the Fund. The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company. Each Fund in the LLC is a separate partnership for tax purposes. Shares of the Fund are only offered to other investment companies and accounts managed by FMR, or its affiliates.

2. Investments in Fidelity Central Funds.

The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by FMR and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity Ultra-Short Central Fund

Fidelity Investments Money Management, Inc. (FIMM)

Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities.

Futures

Mortgage Dollar Rolls

Repurchase Agreements

Restricted Securities

Swap Agreements

The Central Funds may invest a portion of their assets in securities of issuers that hold mortgage securities, including subprime mortgage securities. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.

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Notes to Financial Statements - continued

2. Investments in Fidelity Central Funds - continued

A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Directors 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 available dealer supplied prices.

When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Directors. Factors used in the determination of fair value may include current market trading activity, interest rates, credit quality and default rates. 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.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and income and capital gain distributions from other Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

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3. Significant Accounting Policies - continued

Expenses. Most expenses of the LLC can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the LLC. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known. All legal and other expenses associated with the Trust Reorganization will be paid by FMR.

Income Tax Information and Distributions to Partners. No provision has been made for federal income taxes because all income and expenses and gain/loss (realized and unrealized) are allocated daily to the partners, based on their capital balances, for inclusion in their individual income tax returns.

Distributions are declared daily and paid monthly from net investment income on a book basis, except for certain items such as market discount which are deemed distributed based on allocations to the partners and are reclassified to paid in capital. Due to the Fund's partnership structure, paid in capital includes net realized gain/loss on investments.

The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:

Unrealized appreciation

$ 4,161,981

Unrealized depreciation

(14,050,367)

Net unrealized appreciation (depreciation)

$ (9,888,386)

Cost for federal income tax purposes

$ 931,591,678

New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management has concluded that the adoption of FIN 48 will not result in a material impact on the Fund's net assets, results of operations and financial statement disclosures.

In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.

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Notes to Financial Statements - continued

4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.

Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value.

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Periodic payments and

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4. Operating Policies - continued

Swap Agreements - continued

premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, U.S. government securities and in-kind transactions, aggregated $1,128,142,445 and $1,120,289,988, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FIMM provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain exceptions such as interest expense.

Exchange-In-Kind. On November 6, 2006, the Investing Funds completed a non-taxable exchange with the Fund. The Investing Funds delivered securities with a value, including accrued interest, of $1,194,466,595 (which included $2,244,042 of unrealized appreciation) in exchange for 11,944,666 shares of the Fund, as presented in the accompanying Statement of Changes in Net Assets. This is considered a non-taxable exchange for federal income tax purposes, with no gain or loss recognized by the Fund or its partners.

The Board of Directors may permit the purchase of shares (for cash, securities or other consideration) and admit new Eligible Accredited Investors into the Fund, in accordance with the Partnership Agreement. At the end of the period, mutual funds managed by FMR or its affiliates were the owners of record of all the outstanding shares of the Fund.

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Notes to Financial Statements - continued

7. Expense Reductions.

FMR voluntarily agreed to reimburse a portion of the Fund's operating expenses. During the period, this reimbursement reduced the fund's expenses by $3,006.

In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $7,707.

8. Other.

The Fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

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Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Central Investment Portfolios II LLC and the Shareholders of Fidelity Corporate Bond 1-5 Year Central Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Corporate Bond 1-5 Year Central Fund (a fund of Fidelity Central Investment Portfolios II LLC) at August 31, 2007, the results of its operations, the changes in its net assets and the financial highlights for the period November 6, 2006 (commencement of operations) through August 31, 2007, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Corporate Bond 1-5 Year Central Fund's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at August 31, 2007 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

October 30, 2007

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the Fidelity Central Investment Portfolios II LLC and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 369 funds advised by FMR or an affiliate. Mr. Curvey oversees 339 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (77)

Year of Election or Appointment: 2007

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as President (2006-present), Chief Executive Officer, Chairman, and a Director of FMR LLC; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001-present) and a Director of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of Fidelity International Limited (FIL).

James C. Curvey (72)

Year of Election or Appointment: 2007

Mr. Curvey also serves as Trustee (2007-present) or Member of the Advisory Board (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2006-present) and Director of FMR LLC. Mr. Curvey joined Fidelity in 1982 and served in numerous senior management positions, including President and Chief Operating Officer of FMR LLC (1997-2000) and President of Fidelity Strategic Investments (2000-2002). In addition, he serves as a member of the Board of Directors of Geerlings & Wade, Inc. (wine distribution).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the Fidelity Central Investment Portfolios II LLC or various entities under common control with FMR. FMR Corp. merged with FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

Dennis J. Dirks (59)

Year of Election or Appointment: 2007

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of Manhattan College (2005-present) and a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present).

Albert R. Gamper, Jr. (65)

Year of Election or Appointment: 2007

Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (1989-2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001-present), Chairman of the Board of Governors, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System.

George H. Heilmeier (71)

Year of Election or Appointment: 2007

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), and HRL Laboratories (private research and development, 2004-present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002), INET Technologies Inc. (telecommunications network surveillance, 2001-2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid crystal display, and a member of the Consumer Electronics Hall of Fame.

James H. Keyes (66)

Year of Election or Appointment: 2007

Prior to his retirement in 2003, Mr. Keyes was Chairman, President, and Chief Executive Officer of Johnson Controls, Inc. (automotive supplier, 1993-2003). He currently serves as a member of the boards of LSI Logic Corporation (semiconductor technologies), Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, 2002-present), and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions).

Marie L. Knowles (60)

Year of Election or Appointment: 2007

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002-present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (63)

Year of Election or Appointment: 2007

Mr. Lautenbach is Chairman of the Independent Trustees (2006-present). Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Sony Corporation (2006-present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations.

Cornelia M. Small (63)

Year of Election or Appointment: 2007

Ms. Small is a member (2000-present) and Chairperson (2002-present) of the Investment Committee, and a member (2002-present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1999). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

William S. Stavropoulos (68)

Year of Election or Appointment: 2007

Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003), CEO (1995-2000; 2002-2004), and Chairman of the Executive Committee (2000-2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002-present), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment firm, 2005-present). He is a special advisor to Clayton, Dubilier & Rice, Inc., a private equity investment firm. He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Kenneth L. Wolfe (68)

Year of Election or Appointment: 2007

Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003-present), Bausch & Lomb, Inc., and Revlon Inc. (2004-present).

Advisory Board Members and Executive Officers**:

Correspondence intended for Mr. Mauriello and Mr. Wiley may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Peter S. Lynch (63)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund.

Joseph Mauriello (62)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services firm, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Capital Ltd., (global insurance and re-insurance company, 2006-present) and of Arcadia Resources Inc., (health care services and products, 2007-present). He also served as a Director of the Hamilton Funds of the Bank of New York (2006-2007).

Michael E. Wiley (56)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Mr. Wiley also serves as Sr. Energy Advisor of Katzenbach Partners, LLC (consulting firm, 2006-present) and a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-present). He serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), and a Director of Bill Barrett Corporation (exploration and production company, 2005-present). In addition, he also serves as a Director of Post Oak Bank (privately-held bank, 2004-present), and an Advisory Director of Riverstone Holdings (private investment firm). Previously, Mr. Wiley served as Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services company, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production company, 2001-2005).

Kimberley H. Monasterio (43)

Year of Election or Appointment: 2007

President and Treasurer of Corporate Bond 1-5 Year Central Fund. Ms. Monasterio also serves as President and Treasurer of other Fidelity funds (2007-present) and is an employee of FMR (2004-present). Previously, Ms. Monasterio served as Deputy Treasurer of the Fidelity funds (2004-2006). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

Boyce I. Greer (51)

Year of Election or Appointment: 2006

Vice President of Corporate Bond 1-5 Year Central Fund. Mr. Greer also serves as Vice President of certain Asset Allocation Funds (2005-present), Fixed-Income Funds (2006-present), and Money Market Funds (2006-present). Mr. Greer is also a Trustee of other investment companies advised by FMR (2003-present). Mr. Greer is an Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present), and Senior Vice President of Fidelity Investments Money Management, Inc. (2006-present). Previously, Mr. Greer served as Vice President of certain Fidelity Equity Funds (2005-2007), a Director and Managing Director of Strategic Advisers, Inc. (2002-2005), and Executive Vice President (2000-2002) and Money Market Group Leader (1997-2002) of the Fidelity Investments Fixed Income Division. Mr. Greer also served as Vice President of Fidelity's Money Market Funds (1997-2002), Senior Vice President of FMR (1997-2002), and Vice President of FIMM (1998-2002).

David L. Murphy (59)

Year of Election or Appointment: 2006

Vice President of Corporate Bond 1-5 Year Central Fund. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002-present), and Fixed-Income Funds (2005-present). Mr. Murphy serves as Senior Vice President (2000-present) and Head (2004-present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of Fidelity Investments Money Management, Inc. (2003-present) and an Executive Vice President of FMR (2005-present). Previously, Mr. Murphy served as Money Market Group Leader (2002-2004), Bond Group Leader (2000-2002), and Vice President of certain Asset Allocation Funds (2003-2007), Balanced Funds (2005-2007), Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002).

Thomas J. Silvia (46)

Year of Election or Appointment: 2006

Vice President of Corporate Bond 1-5 Year Central Fund. Mr. Silvia also serves as Vice President of Fidelity's Fixed-Income Funds (2005-present) and Senior Vice President and Bond Group Leader of the Fidelity Investments Fixed-Income Division (2005-present). Previously, Mr. Silvia served as Vice President of certain Balanced Funds (2005-2007), certain Asset Allocation Funds (2005-2007), a Director of Fidelity's Taxable Bond portfolio managers (2002-2004) and a portfolio manager in the Bond Group (1997-2004).

Eric D. Roiter (58)

Year of Election or Appointment: 2006

Secretary of Corporate Bond 1-5 Year Central Fund. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001-present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001-present), Fidelity Research & Analysis Company (2001-present), and Fidelity Investments Money Management, Inc. (2001-present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003-present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998-2005).

Scott C. Goebel (39)

Year of Election or Appointment: 2007

Assistant Secretary of Corporate Bond 1-5 Year Central Fund. Mr. Goebel also serves as Assistant Secretary of other Fidelity funds (2007-present) and is an employee of FMR.

R. Stephen Ganis (41)

Year of Election or Appointment: 2006

Anti-Money Laundering (AML) officer of Corporate Bond 1-5 Year Central Fund. Mr. Ganis also serves as AML officer of other Fidelity funds (2006-present) and FMR LLC (2003-present). Before joining Fidelity Investments, Mr. Ganis practiced law at Goodwin Procter, LLP (2000-2002).

Joseph B. Hollis (59)

Year of Election or Appointment: 2006

Chief Financial Officer of Corporate Bond 1-5 Year Central Fund. Mr. Hollis also serves as Chief Financial Officer of other Fidelity funds. Mr. Hollis is President of Fidelity Pricing and Cash Management Services (FPCMS) (2005-present). Mr. Hollis also serves as President and Director of Fidelity Service Company, Inc. (2006-present). Previously, Mr. Hollis served as Senior Vice President of Cash Management Services (1999-2002) and Investment Management Operations (2002-2005).

Kenneth A. Rathgeber (60)

Year of Election or Appointment: 2006

Chief Compliance Officer of Corporate Bond 1-5 Year Central Fund. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004-present) and Executive Vice President of Risk Oversight for Fidelity Investments (2002-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present). Previously, Mr. Rathgeber served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

Bryan A. Mehrmann (46)

Year of Election or Appointment: 2006

Deputy Treasurer of Corporate Bond 1-5 Year Central Fund. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004).

Kenneth B. Robins (38)

Year of Election or Appointment: 2006

Deputy Treasurer of Corporate Bond 1-5 Year Central Fund. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Robert G. Byrnes (40)

Year of Election or Appointment: 2006

Assistant Treasurer of Corporate Bond 1-5 Year Central Fund. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003).

Peter L. Lydecker (53)

Year of Election or Appointment: 2006

Assistant Treasurer of Corporate Bond 1-5 Year Central Fund. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Gary W. Ryan (49)

Year of Election or Appointment: 2006

Assistant Treasurer of Corporate Bond 1-5 Year Central Fund. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999-2005).

** FMR Corp. merged with FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Corporate Bond 1-5 Year Central Fund

On April 19, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one LLC to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it initially approved the Advisory Contracts for the fund in July 2006, prior to commencement, and that it will again consider renewal of the Advisory Contracts in June 2008.

Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.

In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders; and (iv) whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies.

Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one LLC to another.

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Annual Report

Fidelity® Corporate Bond 1-10 Year Central Fund

Annual Report

August 31, 2007

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

1.833860.100 474690.1.0

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Average annual total returns take Fidelity Corporate Bond 1-10 Year Central Fund's cumulative total return and show you what would have happened if Fidelity Corporate Bond 1-10 Year Central Fund's shares had performed at a constant rate each year. These numbers will be reported once the fund is a year old.

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity Corporate Bond 1-10 Year Central Fund on November 6, 2006, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothers Credit Intermediate Index performed over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from David Prothro, Lead Portfolio Manager of Fidelity® Corporate Bond 1-10 Year Central Fund

A subprime mortgage loan crisis and an emerging credit crunch contributed to subpar performance for some sectors of the investment-grade bond market during the year ending August 31, 2007, though some categories, particularly Treasuries, benefited from a flight to quality. During the one-year span, the Lehman Brothers® U.S. Aggregate Index - a performance gauge of the taxable, high-quality debt market - gained 5.26%. Within the index, Treasuries - the bond market's highest-quality debt instrument - fared best, as many investors fled riskier fixed-income securities. The Lehman Brothers U.S. Treasury Index rose 6.02%. The asset-backed category - home to volatile subprime mortgages - had the weakest performance, gaining only 3.68% according to the Lehman Brothers Asset-Backed Securities Index.

From its inception on November 6, 2006, through August 31, 2007, the fund returned 3.52%, while the Lehman Brothers Credit Intermediate Index returned 3.63%. Despite tight yield spreads, the market environment was supportive for corporate bonds early in the period. However, as the period progressed, the environment became more challenging due to accelerating leveraged-buyout (LBO) activity followed by the spreading subprime contagion. Corporate bond issuers across multiple financial sectors were particularly hard hit. While the fund had decent sector and security selection overall, its relative underperformance resulted from its holdings in Fidelity Ultra-Short Central Fund, a diversified pool of short-term assets, which suffered from exposure to subprime mortgage bonds. The fund's relative underperformance was also attributable to having somewhat greater exposure to overall market volatility in a down-trending market. Early on, we structured the portfolio to try to mitigate the negative impact of LBO activity. We did this by favoring sectors such as utilities and communications companies, where LBO risk was lower, and real estate investment trusts, which benefit from protective legal features. As the subprime crisis unfolded and its effects spread across the financial and housing sectors, our underweighted positions in banks, financial companies with large mortgage-lending operations, and home construction-related sectors contributed to results. However, adverse security selection on the LBO front, and among certain finance-related companies, hampered performance.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2007 to August 31, 2007).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Annual Report

Beginning
Account Value
March 1, 2007

Ending
Account Value
August 31, 2007

Expenses Paid
During Period*
March 1, 2007
to August 31, 2007

Actual

$ 1,000.00

$ 1,005.30

$ -

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,025.20

$ -

* Expenses are equal to the Fund's annualized expense ratio of .0008%; multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Annual Report

Investment Changes

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund.

Quality Diversification (% of fund's net assets)

As of August 31, 2007 *

As of February 28, 2007 **

U.S.Government and
U.S.Government
Agency Obligations 2.6%

U.S.Government and
U.S.Government
Agency Obligations 4.3%

AAA 1.2%

AAA 2.4%

AA 16.6%

AA 11.2%

A 17.7%

A 20.7%

BBB 56.6%

BBB 56.2%

BB and Below 4.0%

BB and Below 2.1%

Not Rated 0.0%

Not Rated 0.3%

Short-Term
Investments and
Net Other Assets 1.3%

Short-Term
Investments and
Net Other Assets 2.8%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition.

Weighted Average Maturity as of August 31, 2007

6 months ago

Years

5.2

5.6

The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision.

Duration as of August 31, 2007

6 months ago

Years

4.2

4.0

Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example.

Asset Allocation (% of fund's net assets)

As of August 31, 2007 *

As of February 28, 2007 **

Corporate Bonds 92.1%

Corporate Bonds 87.1%

U.S. Government and
U.S. Government
Agency Obligations 2.6%

U.S. Government and
U.S. Government
Agency Obligations 4.3%

Asset-Backed
Securities 1.1%

Asset-Backed
Securities 2.1%

CMOs and Other Mortgage Related Securities 0.8%

CMOs and Other Mortgage Related Securities 1.1%

Other Investments 2.1%

Other Investments 2.6%

Short-Term
Investments and
Net Other Assets 1.3%

Short-Term
Investments and
Net Other Assets 2.8%

*Foreign investments

19.6%

**Foreign investments

20.8%

*Futures and Swaps

7.8%

**Futures and Swaps

2.3%

Annual Report

Investments August 31, 2007

Showing Percentage of Net Assets

Nonconvertible Bonds - 91.7%

Principal Amount

Value

CONSUMER DISCRETIONARY - 5.8%

Auto Components - 1.6%

DaimlerChrysler NA Holding Corp.:

4.05% 6/4/08

$ 16,210,000

$ 15,970,076

5.71% 3/13/09 (d)

32,330,000

32,068,127

5.75% 9/8/11

45,785,000

46,093,362

5.875% 3/15/11

17,000,000

17,160,735

111,292,300

Household Durables - 0.9%

Fortune Brands, Inc. 5.125% 1/15/11

34,690,000

34,116,540

Whirlpool Corp. 6.125% 6/15/11

32,155,000

32,773,116

66,889,656

Media - 2.9%

AOL Time Warner, Inc.:

6.75% 4/15/11

10,400,000

10,809,469

6.875% 5/1/12

19,975,000

20,937,875

Comcast Corp.:

4.95% 6/15/16

19,145,000

17,721,895

5.5% 3/15/11

3,125,000

3,124,053

5.85% 1/15/10

500,000

507,997

Cox Communications, Inc.:

4.625% 1/15/10

17,520,000

17,241,905

4.625% 6/1/13

55,475,000

51,986,732

Gannett Co., Inc. 5.705% 5/26/09 (d)

20,025,000

19,975,698

News America, Inc. 4.75% 3/15/10

2,000,000

1,982,498

Time Warner Cable, Inc.:

5.4% 7/2/12 (b)

25,000,000

24,707,175

5.85% 5/1/17 (b)

19,456,000

19,016,022

Time Warner, Inc. 5.875% 11/15/16

18,045,000

17,682,512

205,693,831

Multiline Retail - 0.4%

The May Department Stores Co. 4.8% 7/15/09

30,192,000

29,770,369

TOTAL CONSUMER DISCRETIONARY

413,646,156

CONSUMER STAPLES - 3.1%

Beverages - 0.3%

FBG Finance Ltd. 5.125% 6/15/15 (b)

24,025,000

22,698,892

Food & Staples Retailing - 1.1%

CVS Caremark Corp.:

5.66% 6/1/10 (d)

18,790,000

18,708,583

Nonconvertible Bonds - continued

Principal Amount

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

CVS Caremark Corp.: - continued

6.036% 12/10/28 (b)

$ 19,498,217

$ 19,013,296

6.302% 6/1/37 (d)

38,760,000

37,440,028

75,161,907

Food Products - 1.4%

H.J. Heinz Co. 6.428% 12/1/08 (b)(d)

30,405,000

30,726,077

Kraft Foods, Inc.:

5.625% 11/1/11

29,951,000

30,074,877

6% 2/11/13

8,660,000

8,834,724

6.5% 8/11/17

32,330,000

33,087,751

102,723,429

Tobacco - 0.3%

Altria Group, Inc. 7% 11/4/13

22,895,000

24,793,614

TOTAL CONSUMER STAPLES

225,377,842

ENERGY - 11.0%

Energy Equipment & Services - 1.3%

Kinder Morgan, Inc. 6.5% 9/1/12

19,305,000

18,894,769

Noble Drilling Corp. 5.875% 6/1/13

13,800,000

14,091,056

Petronas Capital Ltd. 7% 5/22/12 (b)

42,845,000

45,751,862

Weatherford International Ltd. 4.95% 10/15/13

14,255,000

13,631,287

92,368,974

Oil, Gas & Consumable Fuels - 9.7%

BW Group Ltd. 6.625% 6/28/17 (b)

24,199,000

24,188,836

Canadian Natural Resources Ltd. 5.7% 5/15/17

23,675,000

23,134,287

Canadian Oil Sands Ltd. 4.8% 8/10/09 (b)

33,730,000

33,380,389

Duke Capital LLC:

4.37% 3/1/09

13,045,000

12,919,416

6.25% 2/15/13

33,795,000

34,707,668

Duke Energy Field Services:

5.375% 10/15/15 (b)

10,000,000

9,638,030

6.875% 2/1/11

16,335,000

16,991,994

7.875% 8/16/10

8,489,000

9,039,749

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

7,650,000

7,462,338

Empresa Nacional de Petroleo 6.75% 11/15/12 (b)

13,864,000

14,553,789

Enbridge Energy Partners LP 5.875% 12/15/16

14,780,000

14,552,639

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

23,635,000

23,667,758

Nonconvertible Bonds - continued

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Enterprise Products Operating LP:

4.625% 10/15/09

$ 15,930,000

$ 15,735,240

6.3% 9/15/17

10,000,000

10,029,090

Gazstream SA 5.625% 7/22/13 (b)

14,430,812

14,106,119

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

32,715,000

32,979,304

Kinder Morgan Finance Co. ULC 5.35% 1/5/11

48,460,000

46,885,050

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

10,000,000

9,225,000

Nakilat, Inc. 6.067% 12/31/33 (b)

23,440,000

22,668,355

Nexen, Inc.:

5.05% 11/20/13

31,465,000

30,432,885

5.2% 3/10/15

7,435,000

7,182,634

Pemex Project Funding Master Trust:

5.75% 12/15/15

4,210,000

4,163,690

5.96% 12/3/12 (b)(d)

170,000

169,745

6.125% 8/15/08

42,500,000

42,542,500

6.66% 6/15/10 (b)(d)

17,420,000

17,698,720

Plains All American Pipeline LP:

6.125% 1/15/17

29,395,000

29,485,625

7.75% 10/15/12

19,297,000

21,023,889

Premcor Refining Group, Inc. 9.5% 2/1/13

10,155,000

10,721,619

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

24,445,000

27,152,113

Ras Laffan Liquid Natural Gas Co. Ltd. III 5.832% 9/30/16 (b)

10,990,000

11,158,147

Source Gas LLC 5.9% 4/1/17 (b)

29,000,000

28,184,665

TransCanada PipeLines Ltd. 6.35% 5/15/67

19,400,000

18,595,695

XTO Energy, Inc.:

5% 1/31/15

14,316,000

13,570,351

5.9% 8/1/12

54,850,000

55,705,386

693,652,715

TOTAL ENERGY

786,021,689

FINANCIALS - 42.7%

Capital Markets - 7.8%

American Capital Strategies Ltd. 6.85% 8/1/12

33,395,000

34,261,801

Bank of New York Co., Inc. 3.4% 3/15/13 (d)

27,850,000

27,590,689

Bear Stearns Companies, Inc.:

4.245% 1/7/10

9,960,000

9,535,296

5.85% 7/19/10

32,885,000

32,667,696

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Capital Markets - continued

Bear Stearns Companies, Inc.: - continued

6.9% 8/15/12

$ 15,625,000

$ 15,730,953

Deutsche Bank AG London 6% 9/1/17

23,425,000

23,633,974

Goldman Sachs Group, Inc.:

5.25% 10/15/13

35,455,000

34,278,461

6.6% 1/15/12

52,955,000

54,609,685

Janus Capital Group, Inc.:

5.875% 9/15/11

19,633,000

19,545,692

6.25% 6/15/12

24,465,000

24,795,865

6.7% 6/15/17

4,770,000

4,797,199

Lazard Group LLC:

6.85% 6/15/17

23,854,000

23,551,102

7.125% 5/15/15

11,265,000

11,505,091

Legg Mason, Inc. 6.75% 7/2/08

20,285,000

20,391,679

Lehman Brothers Holdings E-Capital Trust I 6.29% 8/19/65 (d)

35,105,000

34,464,228

Lehman Brothers Holdings, Inc.:

5% 1/14/11

2,395,000

2,355,732

5.75% 7/18/11

4,355,000

4,400,257

6% 7/19/12

8,430,000

8,419,985

Merrill Lynch & Co., Inc. 6.05% 8/15/12

12,125,000

12,332,204

Morgan Stanley:

4.75% 4/1/14

6,500,000

6,076,337

5.05% 1/21/11

24,915,000

24,686,729

5.66% 1/9/14 (d)

40,930,000

39,662,889

6.6% 4/1/12

66,565,000

68,974,520

Nuveen Investments, Inc.:

5% 9/15/10

3,205,000

3,010,444

5.5% 9/15/15

12,475,000

10,568,047

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

8,000,000

8,612,504

560,459,059

Commercial Banks - 6.1%

Bank of America NA 5.3% 3/15/17

22,000,000

21,194,756

Bank One Corp. 5.25% 1/30/13

7,610,000

7,553,214

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

10,170,000

10,545,161

DBS Bank Ltd. (Singapore) 5.75% 5/16/17 (b)(d)

40,825,000

40,041,977

Export-Import Bank of Korea:

4.125% 2/10/09 (b)

2,670,000

2,634,105

5.125% 2/14/11

23,895,000

23,846,565

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

Export-Import Bank of Korea: - continued

5.25% 2/10/14 (b)

$ 4,620,000

$ 4,574,442

KeyBank NA:

5.8% 7/1/14

12,790,000

12,805,425

7% 2/1/11

21,125,000

22,021,883

Korea Development Bank:

3.875% 3/2/09

50,780,000

49,573,775

4.625% 9/16/10

15,000,000

14,764,695

4.75% 7/20/09

7,670,000

7,627,462

5.75% 9/10/13

14,540,000

14,709,725

PNC Funding Corp.:

5.4975% 1/31/12 (d)

20,275,000

19,950,255

7.5% 11/1/09

16,580,000

17,354,618

Rabobank Capital Funding Trust II 5.26% (b)(d)

4,655,000

4,430,815

Santander Issuances SA Unipersonal 5.805% 6/20/16 (b)(d)

34,405,000

34,980,596

SouthTrust Corp. 5.8% 6/15/14

4,410,000

4,413,762

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

24,000,000

24,243,624

Union Planters Corp. 7.75% 3/1/11

7,500,000

8,119,935

UnionBanCal Corp. 5.25% 12/16/13

5,420,000

5,330,164

Wachovia Bank NA 4.875% 2/1/15

51,520,000

48,991,141

Wells Fargo & Co.:

4% 9/10/12 (d)

10,605,000

10,609,454

4.2% 1/15/10

27,595,000

26,985,233

437,302,782

Consumer Finance - 3.8%

Aiful Corp. 4.45% 2/16/10 (b)

300,000

290,351

American Express Co. 6.15% 8/28/17

9,605,000

9,661,986

Capital One Financial Corp. 5.7% 9/15/11

39,435,000

38,828,884

Discover Financial Services 5.89% 6/11/10 (b)(d)

16,140,000

16,145,956

Household Finance Corp.:

6.375% 10/15/11

15,220,000

15,627,028

7% 5/15/12

3,830,000

4,041,473

HSBC Finance Corp.:

5.25% 1/14/11

23,805,000

23,567,331

5.25% 1/15/14

8,625,000

8,327,843

5.9% 6/19/12

16,195,000

16,414,944

6.75% 5/15/11

16,155,000

16,761,685

MBNA America Bank NA 7.125% 11/15/12

5,675,000

6,164,066

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Consumer Finance - continued

MBNA Corp. 7.5% 3/15/12

$ 13,160,000

$ 14,395,632

Nelnet, Inc. 7.4% 9/29/36 (d)

22,000,000

21,358,722

Nissan Motor Acceptance Corp. 4.625% 3/8/10 (b)

22,990,000

22,661,749

ORIX Corp. 5.48% 11/22/11

24,050,000

24,237,325

SLM Corp.:

4.5% 7/26/10

19,570,000

18,112,622

5.52% 7/26/10 (d)

8,934,000

8,418,723

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

4,580,001

4,769,945

269,786,265

Diversified Financial Services - 6.8%

Bank of America Corp.:

4.5% 8/1/10

17,688,000

17,344,358

7.4% 1/15/11

80,500,000

85,604,975

BTM Curacao Holding NV 5.68% 12/19/16 (b)(d)

3,800,000

3,788,767

Citigroup, Inc.:

5% 9/15/14

32,500,000

31,118,198

5.1% 9/29/11

21,263,000

21,139,292

5.125% 2/14/11

16,880,000

16,856,638

HSBC Finance Capital Trust IX 5.911% 11/30/35 (d)

10,000,000

9,479,630

International Lease Finance Corp.:

4.375% 11/1/09

21,415,000

21,140,824

5.4% 2/15/12

23,440,000

23,008,387

JPMorgan Chase & Co.:

4.891% 9/1/15 (d)

6,715,000

6,669,385

5.6% 6/1/11

34,785,000

35,090,169

5.75% 1/2/13

37,830,000

38,240,531

6.125% 6/27/17

24,640,000

25,012,409

Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (b)

29,290,000

29,082,392

Prime Property Funding, Inc.:

5.125% 6/1/15 (b)

8,920,000

8,281,956

5.5% 1/15/14 (b)

5,685,000

5,522,670

5.7% 4/15/17 (b)

13,880,000

13,136,186

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

16,500,000

16,087,847

ZFS Finance USA Trust I 6.15% 12/15/65 (b)(d)

19,010,000

18,445,453

ZFS Finance USA Trust II 6.45% 12/15/65 (b)(d)

40,985,000

38,516,064

ZFS Finance USA Trust IV 5.88% 5/9/32 (b)(d)

20,465,000

19,267,790

482,833,921

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Insurance - 4.1%

American International Group, Inc. 4.25% 5/15/13

$ 26,500,000

$ 24,916,228

Assurant, Inc. 5.625% 2/15/14

15,645,000

15,416,552

Axis Capital Holdings Ltd. 5.75% 12/1/14

4,570,000

4,531,475

Genworth Financial, Inc. 5.65% 6/15/12

14,295,000

14,448,757

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

13,112,000

12,982,550

Liberty Mutual Group, Inc.:

5.75% 3/15/14 (b)

4,800,000

4,714,858

6.7% 8/15/16 (b)

9,230,000

9,428,427

Lincoln National Corp. 7% 5/17/66 (d)

48,820,000

49,468,720

MetLife, Inc. 6.125% 12/1/11

10,000,000

10,359,970

Metropolitan Life Global Funding I 4.625% 8/19/10 (b)

27,000,000

26,859,870

Principal Life Global Funding I 6.25% 2/15/12 (b)

13,690,000

14,300,109

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

27,351,000

26,823,536

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

35,710,000

35,932,509

The Chubb Corp. 6.375% 3/29/67 (d)

33,845,000

33,207,089

The St. Paul Travelers Companies, Inc.:

6.38% 12/15/08

2,200,000

2,221,875

8.125% 4/15/10

10,225,000

10,965,505

296,578,030

Real Estate Investment Trusts - 10.3%

AMB Property LP 5.9% 8/15/13

29,030,000

29,096,072

Archstone-Smith Operating Trust:

5.25% 12/1/10

13,625,000

13,567,979

5.25% 5/1/15

26,015,000

25,097,009

Arden Realty LP:

5.2% 9/1/11

10,960,000

11,030,276

5.25% 3/1/15

1,210,000

1,194,207

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

14,205,000

14,255,712

Boston Properties, Inc. 6.25% 1/15/13

20,580,000

21,247,553

Brandywine Operating Partnership LP:

4.5% 11/1/09

26,690,000

25,971,253

5.625% 12/15/10

33,380,000

33,146,923

5.75% 4/1/12

15,206,000

15,092,959

BRE Properties, Inc.:

4.875% 5/15/10

21,140,000

20,931,644

5.75% 9/1/09

5,000,000

5,040,930

Camden Property Trust:

4.375% 1/15/10

9,150,000

8,924,681

5.375% 12/15/13

5,370,000

5,208,368

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Camden Property Trust: - continued

5.875% 11/30/12

$ 24,210,000

$ 24,366,832

Colonial Properties Trust:

4.75% 2/1/10

48,119,000

47,178,235

5.5% 10/1/15

27,155,000

25,831,139

6.25% 6/15/14

3,000,000

3,030,150

CPG Partners LP 6% 1/15/13

8,325,000

8,561,280

Developers Diversified Realty Corp.:

3.875% 1/30/09

16,715,000

16,397,047

4.625% 8/1/10

24,655,000

24,204,997

5% 5/3/10

18,340,000

18,266,713

5.25% 4/15/11

19,905,000

19,794,249

5.375% 10/15/12

10,520,000

10,361,053

Duke Realty LP:

4.625% 5/15/13

5,130,000

4,861,788

5.25% 1/15/10

3,710,000

3,696,967

5.625% 8/15/11

13,895,000

13,820,436

5.95% 2/15/17

4,180,000

4,094,272

Equity One, Inc.:

6% 9/15/17 (b)

3,985,000

3,817,516

6.25% 1/15/17

4,040,000

3,961,579

Federal Realty Investment Trust:

5.4% 12/1/13

3,380,000

3,294,635

6% 7/15/12

24,000,000

24,342,410

6.2% 1/15/17

5,075,000

5,064,192

Hospitality Properties Trust 5.625% 3/15/17

9,820,000

9,159,858

HRPT Properties Trust:

5.75% 11/1/15

7,280,000

7,032,895

6.25% 6/15/17

10,085,000

9,960,188

iStar Financial, Inc.:

5.15% 3/1/12

14,155,000

13,127,970

5.375% 4/15/10

4,240,000

4,132,601

5.65% 9/15/11

26,790,000

25,493,552

5.8% 3/15/11

22,040,000

21,753,811

Liberty Property LP:

5.125% 3/2/15

6,940,000

6,488,074

5.5% 12/15/16

4,165,000

3,961,935

Mack-Cali Realty LP:

5.05% 4/15/10

5,675,000

5,638,845

7.25% 3/15/09

23,865,000

24,581,069

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Reckson Operating Partnership LP 5.15% 1/15/11

$ 1,935,000

$ 1,886,691

Simon Property Group LP:

4.6% 6/15/10

8,970,000

8,764,139

4.875% 8/15/10

5,520,000

5,433,143

5% 3/1/12

5,190,000

5,037,938

5.375% 6/1/11

5,080,000

5,035,961

5.6% 9/1/11

22,240,000

22,153,642

5.75% 5/1/12

10,365,000

10,359,921

7.75% 1/20/11

6,720,000

7,173,083

Tanger Properties LP:

6.15% 11/15/15

200,000

196,454

9.125% 2/15/08

1,125,000

1,147,500

United Dominion Realty Trust, Inc. 5.25% 1/15/15

9,905,000

9,497,845

Washington (REIT) 5.95% 6/15/11

29,760,000

30,178,667

732,946,838

Real Estate Management & Development - 1.0%

ERP Operating LP 5.5% 10/1/12

3,620,000

3,581,223

Post Apartment Homes LP:

5.45% 6/1/12

11,090,000

10,900,838

6.3% 6/1/13

19,615,000

19,856,539

Regency Centers LP:

4.95% 4/15/14

5,000,000

4,741,640

5.25% 8/1/15

17,455,000

16,552,384

5.875% 6/15/17

14,305,000

13,858,173

69,490,797

Thrifts & Mortgage Finance - 2.8%

Capmark Financial Group, Inc. 5.875% 5/10/12 (b)

36,710,000

32,049,257

Countrywide Financial Corp.:

4.5% 6/15/10

8,600,000

8,005,860

5.8% 6/7/12

15,000,000

14,096,100

Countrywide Home Loans, Inc.:

3.25% 5/21/08

4,111,000

3,966,798

4.125% 9/15/09

15,687,000

14,736,870

Independence Community Bank Corp.:

3.5% 6/20/13 (d)

3,030,000

2,969,176

3.75% 4/1/14 (d)

34,515,000

33,713,838

4.9% 9/23/10

21,280,000

21,037,493

Residential Capital Corp. 8.69% 4/17/09 (b)(d)

42,017,000

23,109,350

Residential Capital LLC 6.5% 6/1/12

20,060,000

15,245,600

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Washington Mutual, Inc.:

4.625% 4/1/14

$ 29,999,000

$ 27,152,875

5.76% 9/17/12 (d)

6,085,000

5,753,112

201,836,329

TOTAL FINANCIALS

3,051,234,021

HEALTH CARE - 1.8%

Biotechnology - 0.7%

Amgen, Inc. 5.85% 6/1/17 (b)

48,375,000

47,387,424

Health Care Equipment & Supplies - 0.1%

Boston Scientific Corp. 6% 6/15/11

10,609,000

10,078,550

Health Care Providers & Services - 0.9%

Coventry Health Care, Inc.:

5.95% 3/15/17

14,300,000

13,630,703

6.3% 8/15/14

29,610,000

29,566,562

UnitedHealth Group, Inc. 3.75% 2/10/09

17,550,000

17,223,061

60,420,326

Pharmaceuticals - 0.1%

Teva Pharmaceutical Finance LLC 5.55% 2/1/16

7,840,000

7,632,961

TOTAL HEALTH CARE

125,519,261

INDUSTRIALS - 4.5%

Aerospace & Defense - 0.4%

BAE Systems Holdings, Inc.:

4.75% 8/15/10 (b)

21,605,000

21,489,716

6.4% 12/15/11 (b)

6,693,000

7,012,323

28,502,039

Airlines - 3.1%

American Airlines, Inc. pass thru trust certificates:

6.855% 10/15/10

1,694,033

1,698,268

6.978% 10/1/12

5,943,380

6,019,456

7.024% 4/15/11

23,155,000

23,511,587

7.858% 4/1/13

44,460,000

46,905,300

Continental Airlines, Inc. pass thru trust certificates:

6.648% 3/15/19

34,598,626

34,913,474

6.795% 2/2/20

937,487

885,925

Nonconvertible Bonds - continued

Principal Amount

Value

INDUSTRIALS - continued

Airlines - continued

Continental Airlines, Inc. pass thru trust certificates: - continued

6.82% 5/1/18

$ 1,901,920

$ 1,880,809

6.9% 7/2/19

7,988,960

8,108,795

7.056% 3/15/11

12,310,000

12,316,032

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

5,820,000

5,892,750

U.S. Airways pass thru trust certificates:

6.85% 7/30/19

18,613,707

18,334,501

8.36% 7/20/20

12,639,906

13,651,098

United Air Lines, Inc. pass-thru certificates Class 1A, 6.636% 7/2/22

16,815,000

16,520,738

United Air Lines, Inc. pass-thru trust certificates:

6.071% 9/1/14

9,086,871

9,132,305

6.201% 3/1/10

5,787,148

5,779,914

6.602% 9/1/13

16,297,210

16,337,953

221,888,905

Building Products - 0.1%

Masco Corp. 5.64% 3/12/10 (d)

8,910,000

8,779,353

Commercial Services & Supplies - 0.0%

R.R. Donnelley & Sons Co. 5.5% 5/15/15

2,580,000

2,483,887

Industrial Conglomerates - 0.8%

Hutchison Whampoa International 03/33 Ltd. 5.45% 11/24/10 (b)

23,540,000

23,530,325

Hutchison Whampoa International Ltd. 6.5% 2/13/13 (b)

31,145,000

32,457,917

55,988,242

Machinery - 0.1%

Atlas Copco AB 5.6% 5/22/17 (b)

5,000,000

4,946,855

TOTAL INDUSTRIALS

322,589,281

INFORMATION TECHNOLOGY - 0.9%

Office Electronics - 0.5%

Xerox Corp.:

5.5% 5/15/12

22,640,000

22,381,542

9.75% 1/15/09

9,500,000

9,960,427

32,341,969

Nonconvertible Bonds - continued

Principal Amount

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - 0.4%

Chartered Semiconductor Manufacturing Ltd. 5.75% 8/3/10

$ 16,350,000

$ 16,435,331

National Semiconductor Corp. 6.15% 6/15/12

12,140,000

12,359,321

28,794,652

TOTAL INFORMATION TECHNOLOGY

61,136,621

MATERIALS - 1.7%

Construction Materials - 0.2%

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

15,000,000

14,968,140

Containers & Packaging - 0.5%

Pactiv Corp.:

5.875% 7/15/12

14,020,000

14,275,332

6.4% 1/15/18

14,310,000

14,607,305

Sealed Air Corp. 6.95% 5/15/09 (b)

5,315,000

5,441,231

34,323,868

Metals & Mining - 0.7%

Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (b)

16,380,000

17,129,074

United States Steel Corp. 5.65% 6/1/13

12,140,000

11,927,574

Vale Overseas Ltd. 6.25% 1/23/17

19,000,000

19,125,400

48,182,048

Paper & Forest Products - 0.3%

International Paper Co.:

4.25% 1/15/09

23,315,000

22,893,838

5.85% 10/30/12

1,216,000

1,232,318

24,126,156

TOTAL MATERIALS

121,600,212

TELECOMMUNICATION SERVICES - 8.9%

Diversified Telecommunication Services - 6.2%

Ameritech Capital Funding Corp. 6.25% 5/18/09

10,640,000

10,852,130

AT&T Broadband Corp. 8.375% 3/15/13

21,152,000

23,660,077

BellSouth Corp. 4.2% 9/15/09

9,835,000

9,635,045

British Telecommunications PLC 8.625% 12/15/10

15,955,000

17,622,298

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

20,035,000

19,537,010

KT Corp. 5.875% 6/24/14 (b)

8,420,000

8,594,892

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

SBC Communications, Inc.:

4.125% 9/15/09

$ 5,000,000

$ 4,891,235

5.1% 9/15/14

17,750,000

17,097,492

5.875% 2/1/12

22,365,000

22,714,677

5.875% 8/15/12

8,000,000

8,135,216

Sprint Capital Corp. 7.625% 1/30/11

13,750,000

14,604,893

Telecom Italia Capital SA:

4% 1/15/10

30,045,000

29,066,885

4.95% 9/30/14

36,251,000

33,958,088

5.25% 10/1/15

8,984,000

8,473,619

Telefonica Emisiones SAU:

5.69% 2/4/13 (d)

35,710,000

35,020,011

6.221% 7/3/17

6,540,000

6,586,100

6.421% 6/20/16

33,965,000

34,710,532

Telefonos de Mexico SA de CV 4.75% 1/27/10

68,055,000

67,195,465

Verizon Communications, Inc. 5.5% 4/1/17

20,000,000

19,544,500

Verizon Global Funding Corp. 7.25% 12/1/10

22,430,000

23,672,958

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

7,290,000

7,520,998

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

23,384,000

24,638,411

447,732,532

Wireless Telecommunication Services - 2.7%

America Movil SAB de CV 4.125% 3/1/09

9,945,000

9,797,814

AT&T Wireless Services, Inc.:

7.875% 3/1/11

19,560,000

21,067,274

8.125% 5/1/12

22,310,000

24,674,302

Sprint Nextel Corp. 6% 12/1/16

71,886,000

69,880,956

Vodafone Group PLC:

5% 12/16/13

26,375,000

25,325,117

5.5% 6/15/11

26,770,000

26,759,426

5.625% 2/27/17

14,515,000

14,031,142

191,536,031

TOTAL TELECOMMUNICATION SERVICES

639,268,563

UTILITIES - 11.3%

Electric Utilities - 5.5%

AmerenUE 6.4% 6/15/17

24,445,000

25,353,230

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

37,155,000

36,875,074

Nonconvertible Bonds - continued

Principal Amount

Value

UTILITIES - continued

Electric Utilities - continued

Commonwealth Edison Co.:

3.7% 2/1/08

$ 4,155,000

$ 4,103,063

5.4% 12/15/11

14,258,000

14,171,482

Exelon Corp.:

4.9% 6/15/15

26,185,000

24,347,468

6.75% 5/1/11

7,010,000

7,270,204

FirstEnergy Corp. 6.45% 11/15/11

16,146,000

16,675,702

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

5,720,000

5,896,731

Pennsylvania Electric Co. 6.05% 9/1/17 (b)

6,255,000

6,258,171

Pepco Holdings, Inc.:

4% 5/15/10

18,255,000

17,662,242

6.125% 6/1/17

24,635,000

24,869,476

6.45% 8/15/12

30,525,000

31,684,889

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

52,020,000

50,264,481

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

27,698,000

29,257,647

Southern California Edison Co.:

4.65% 4/1/15

2,685,000

2,546,253

5% 1/15/14

3,105,000

3,028,434

TXU Energy Co. LLC:

5.86% 9/16/08 (b)(d)

37,800,000

37,820,525

7% 3/15/13

55,236,000

56,733,503

394,818,575

Gas Utilities - 0.9%

NiSource Finance Corp.:

5.4% 7/15/14

11,024,000

10,609,861

6.4% 3/15/18

14,400,000

14,400,850

7.875% 11/15/10

8,360,000

8,879,440

Southern Natural Gas Co. 5.9% 4/1/17 (b)

3,615,000

3,513,823

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

25,370,000

26,950,424

64,354,398

Independent Power Producers & Energy Traders - 0.9%

Constellation Energy Group, Inc. 7% 4/1/12

29,952,000

31,671,005

Duke Capital LLC 5.668% 8/15/14

16,820,000

16,644,164

Exelon Generation Co. LLC 5.35% 1/15/14

12,500,000

12,079,188

PSEG Power LLC 3.75% 4/1/09

7,555,000

7,389,379

67,783,736

Multi-Utilities - 4.0%

CenterPoint Energy, Inc. 5.95% 2/1/17

24,630,000

24,553,007

Nonconvertible Bonds - continued

Principal Amount

Value

UTILITIES - continued

Multi-Utilities - continued

Dominion Resources, Inc.:

4.75% 12/15/10

$ 32,170,000

$ 31,492,757

6.3% 9/30/66 (d)

34,910,000

34,589,736

7.5% 6/30/66 (d)

43,305,000

44,869,393

DTE Energy Co. 7.05% 6/1/11

8,050,000

8,504,479

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

22,130,000

22,580,921

National Grid PLC 6.3% 8/1/16

20,120,000

20,609,620

PSEG Funding Trust I 5.381% 11/16/07

20,722,000

20,706,728

Sempra Energy 7.95% 3/1/10

14,454,000

15,246,368

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

48,000,000

46,495,632

WPS Resources Corp. 6.11% 12/1/66 (d)

13,865,000

13,359,163

283,007,804

TOTAL UTILITIES

809,964,513

TOTAL NONCONVERTIBLE BONDS

(Cost $6,617,066,554)

6,556,358,159

U.S. Treasury Obligations - 2.5%

U.S. Treasury Notes:

4.5% 11/30/11 (c)

7,645,000

7,722,643

4.625% 11/15/09

48,000,000

48,427,488

4.625% 7/31/12

1,123,000

1,140,986

4.75% 1/31/12

35,018,000

35,701,937

4.75% 8/15/17

52,000,000

52,853,112

5.125% 5/15/16

31,461,000

32,807,908

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $177,599,213)

178,654,074

Foreign Government and Government Agency Obligations - 1.1%

Chilean Republic 7.125% 1/11/12

24,915,000

26,634,135

Israeli State:

4.625% 6/15/13

5,650,000

5,564,685

5.5% 11/9/16

10,000,000

9,982,760

Korean Republic 4.875% 9/22/14

2,495,000

2,457,575

Foreign Government and Government Agency Obligations - continued

Principal Amount

Value

United Mexican States:

4.625% 10/8/08

$ 5,540,000

$ 5,492,910

5.875% 1/15/14

30,535,000

31,069,363

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $78,750,794)

81,201,428

Supranational Obligations - 0.2%

Corporacion Andina de Fomento:

5.2% 5/21/13

3,560,000

3,533,905

6.875% 3/15/12

5,970,000

6,358,850

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $9,449,281)

9,892,755

Fixed-Income Funds - 2.8%

Shares

Fidelity Ultra-Short Central Fund (e)
(Cost $209,525,602)

2,106,230

199,144,047

Preferred Securities - 0.8%

Principal Amount

FINANCIALS - 0.8%

Diversified Financial Services - 0.8%

ING Groep NV 5.775% (a)

$ 8,610,000

8,386,201

MUFG Capital Finance 1 Ltd. 6.346% (d)

51,670,000

49,645,801

TOTAL PREFERRED SECURITIES

(Cost $60,125,037)

58,032,002

Cash Equivalents - 1.0%

Maturity Amount

Value

Investments in repurchase agreements in a joint trading account at 5.37%, dated 8/31/07 due 9/4/07 (Collateralized by U.S. Government Obligations) #
(Cost $69,053,000)

$ 69,094,223

$ 69,053,000

TOTAL INVESTMENT PORTFOLIO - 100.1%

(Cost $7,221,569,481)

7,152,335,465

NET OTHER ASSETS - (0.1)%

(4,973,134)

NET ASSETS - 100%

$ 7,147,362,331

Swap Agreements

Expiration Date

Notional Amount

Credit Default Swaps

Receive from Bank of America upon credit event of Gannett Co., Inc., par value of the notional amount of Gannett Co., Inc. 6.375% 4/1/12, and pay quarterly notional amount multiplied by .68%

Sept. 2012

$ 21,100,000

(176,970)

Receive from Bank of America upon credit event of Kroger Co., par value of the notional amount of Kroger Co. 5.5% 2/1/13, and pay quarterly notional amount multiplied by .85%

Sept. 2017

18,300,000

(143,736)

Receive from Bank of America upon credit event of Southwest Airlines Co., par value of the notional amount of Southwest Airlines Co. 5.25% 10/1/14, and pay quarterly notional amount multiplied by .85%

Sept. 2017

18,300,000

(692)

Receive from Bank of America, upon credit event of Gannett Co., Inc., par value of the notional amount of Gannett Co., Inc. 6.375% 4/1/12, and pay quarterly notional amount multiplied by .2%

June 2009

8,890,000

(14,885)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive from Citibank upon credit event of Simon Property Group LP, par value of the notional amount of Simon Property Group LP 6.35% 8/28/12, and pay quarterly notional amount multiplied by .58%

Sept. 2017

$ 10,000,000

$ 167,902

Receive from Citibank upon credit event of Washington Mutual, Inc., par value of the notional amount of Washington Mutual, Inc. 5.25% 9/15/17, and pay quarterly notional amount multiplied by .93%

Sept. 2012

5,800,000

54,128

Receive from Citibank upon credit event of Washington Mutual, Inc., par value of the notional amount of Washington Mutual, Inc. 5.25% 9/15/17, and pay quarterly notional amount multiplied by 1.07%

Sept. 2012

5,800,000

18,540

Receive from Deutsche Bank upon credit event of Boston Properties, Inc., par value of the notional amount of Boston Properties, Inc. 6.25% 1/15/13, and pay quarterly notional amount multiplied by .50%

Sept. 2012

5,000,000

74,466

Receive from Deutsche Bank upon credit event of Colonial Properties Trust, par value of the notional amount of Colonial Properties Trust 6.15% 4/15/13, and pay quarterly notional amount multiplied by .65%

Sept. 2012

5,000,000

25,550

Receive from Deutsche Bank upon credit event of Vornado Realty Trust, par value of the notional amount of Vornado Realty Trust 4.75% 12/1/10, and pay quarterly notional amount multiplied by .68%

Sept. 2017

10,000,000

231,760

Receive from Deutsche Bank upon credit event of Washington Mutual, Inc., par value of the notional amount of Washington Mutual, Inc. 5.25% 9/15/17, and pay quarterly notional amount multiplied by 1.19%

Sept. 2012

5,800,000

(13,555)

Receive from Deutsche Bank, upon credit event of Boston Scientific Corp., par value of the notional amount of Boston Scientific Corp. 5.45% 6/15/14, and pay quarterly notional amount multiplied by .49%

March 2011

10,609,000

442,511

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive from Deutsche Bank, upon credit event of Gannett Co., Inc., par value of the notional amount of Gannett Co., Inc. 6.375% 4/1/12, and pay quarterly notional amount multiplied by .24%

June 2009

$ 11,135,000

$ (27,005)

Receive from Goldman Sachs upon credit event of AOL Time Warner, Inc., par value of the notional amount of AOL Time Warner, Inc. 6.75% 4/15/11, and pay quarterly notional amount multiplied by .27%

Sept. 2012

21,100,000

168,811

Receive from Goldman Sachs upon credit event of Boston Properties, Inc., par value of the notional amount of Boston Properties, Inc. 6.25% 1/15/13, and pay quarterly notional amount multiplied by .77%

Sept. 2017

10,000,000

201,399

Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by .78%

June 2017

20,000,000

177,336

Receive from Goldman Sachs upon credit event of Dow Chemical Co., par value of the notional amount of Dow Chemical Co. 6% 10/1/12, and pay quarterly notional amount multiplied by .55%

Sept. 2017

18,300,000

41,986

Receive from Goldman Sachs upon credit event of Simon Property Group LP, par value of the notional amount of Simon Property Group LP 6.35% 8/28/12, and pay quarterly notional amount multiplied by .51%

Sept. 2017

25,000,000

552,623

Receive from Goldman Sachs upon credit event of Simon Property Group LP, par value of the notional amount of Simon Property Group LP 6.35% 8/28/12, and pay quarterly notional amount multiplied by .58%

Sept. 2017

15,000,000

251,853

Receive from Goldman Sachs upon credit event of Vornado Realty Trust, par value of the notional amount of Vornado Realty Trust 4.75% 12/1/10, and pay quarterly notional amount multiplied by .68%

Sept. 2012

5,000,000

23,517

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive from JPMorgan Chase, Inc. upon credit event of New York Times Co., par value of the notional amount of New York Times Co. 4.61% 9/26/12, and pay quarterly notional amount multiplied by .63%

Sept. 2012

$ 21,100,000

$ (194,620)

Receive from Merrill Lynch, Inc. upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15, and pay quarterly notional amount multiplied by 2.12%

Sept. 2013

1,035,000

(89,444)

Receive from Merrill Lynch, Inc., upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15 and pay quarterly notional amount multiplied by 1.68%

Sept. 2013

1,545,000

(96,806)

Receive from Morgan Stanley, Inc. upon credit event of Verizon Global Funding Corp., par value of the notional amount of Verizon Global Funding Corp. 4.90% 9/20/12, and pay quarterly notional amount multiplied by .25%

Sept. 2012

17,875,000

18,583

Receive quarterly notional amount multiplied by .1% and pay Deutsche Bank upon credit event of Morgan Stanley, Inc. par value of the notional amount of Morgan Stanley, Inc. 6.6% 4/1/12

March 2008

36,000,000

(82,116)

Receive quarterly notional amount multiplied by .24% and pay Credit Suisse First Boston upon credit event of Bear Stearns Companies, Inc., par value of the notional amount of Bear Stearns Companies, Inc. 5.3% 10/30/15

March 2012

10,500,000

(448,994)

Receive quarterly notional amount multiplied by .27% and pay Bank of America upon credit event of Pacific Gas & Electric Co., par value of the notional amount of Pacific Gas & Electric Co. 4.8% 3/1/14

June 2012

7,860,000

(16,239)

Receive quarterly notional amount multiplied by .3% and pay Bank of America upon credit event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10

June 2012

9,200,000

(11,382)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

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

Sept. 2010

$ 29,000,000

$ 128,096

Receive quarterly notional amount multiplied by .35% and pay UBS upon credit event of Goldman Sachs Group, Inc., par value of the notional amount of Goldman Sachs Group, Inc. 6.6% 1/15/12

Sept. 2012

8,400,000

(142,839)

Receive quarterly notional amount multiplied by .38% and pay Deutsche Bank upon credit event of Lehman Brothers Holdings, Inc., par value of the notional amount of Lehman Brothers Holdings, Inc. 6.625% 1/18/12

March 2012

8,400,000

(291,855)

Receive quarterly notional amount multiplied by .395% and pay Deutsche Bank upon credit event of Lehman Brothers Holdings, Inc., par value of the notional amount of Lehman Brothers Holdings, Inc. 6.625% 1/18/12

Sept. 2012

25,000,000

(954,323)

Receive quarterly notional amount multiplied by .4% and pay Deutsche Bank upon credit event of Goldman Sachs Group, Inc., par value of the notional amount of Goldman Sachs Group, Inc. 6.6% 1/15/12

Sept. 2012

13,180,000

(195,770)

Receive quarterly notional amount multiplied by .41% and pay Citibank upon credit event of Lehman Brothers Holdings, Inc., par value of the notional amount of Lehman Brothers Holdings, Inc. 6.625% 1/8/12

June 2012

10,000,000

(355,782)

Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon credit event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27

March 2009

9,800,000

41,679

Receive quarterly notional amount multiplied by .45% and pay Citibank upon credit event of PPL Energy Supply LLC, par value of the notional amount of PPL Energy Supply LLC 6.4% 11/1/11

Sept. 2012

10,000,000

(24,172)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive quarterly notional amount multiplied by .45% and pay Lehman Brothers, Inc. upon credit event of PPL Energy Supply LLC, par value of the notional amount of PPL Energy Supply LLC 6.4% 11/1/11

Sept. 2012

$ 25,000,000

$ (60,430)

Receive quarterly notional amount multiplied by .54% and pay Merrill Lynch, Inc. upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

June 2012

16,800,000

(738,402)

Receive quarterly notional amount multiplied by .54% and pay UBS upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

June 2012

16,800,000

(738,402)

Receive quarterly notional amount multiplied by .58% and pay Deutsche Bank upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

Sept. 2010

1,500,000

(39,117)

Receive quarterly notional amount multiplied by .59% and pay Bank of America upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

Sept. 2010

1,500,000

(38,678)

Receive quarterly notional amount multiplied by .59% and pay Merrill Lynch, Inc. upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

Sept. 2010

3,100,000

(79,935)

Receive quarterly notional amount multiplied by .67% and pay Goldman Sachs upon credit event of Lehman Brothers Holdings, Inc., par value of the notional amount of Lehman Brothers Holdings, Inc. 6.625% 1/18/12

Sept. 2012

21,100,000

(557,783)

Receive quarterly notional amount multiplied by .68% and pay Lehman Brothers, Inc. upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. 4% 3/22/11

March 2012

5,700,000

(457,046)

Receive quarterly notional amount multiplied by .74% and pay Deutsche Bank upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

Sept. 2012

2,100,000

(79,235)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive quarterly notional amount multiplied by .95% and pay Citibank upon credit event of Rogers Cable, Inc., par value of the notional amount of Rogers Cable, Inc. 5.5% 3/15/14

Sept. 2012

$ 21,100,000

$ 195,075

Receive quarterly notional amount multiplied by 1.26% and pay Bank of America upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

Sept. 2012

20,000,000

(330,536)

Receive quarterly notional amount multiplied by 1.50% and pay Goldman Sachs upon credit event of AMBAC Financial Group, Inc., par value of the notional amount of AMBAC Financial Group, Inc. 9.375% 8/1/11

Sept. 2012

8,400,000

(336,622)

Receive quarterly notional amount multiplied by 1.55% and pay Goldman Sachs upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

Sept. 2012

8,400,000

(24,264)

Receive quarterly notional amount multiplied by 1.55% and pay Goldman Sachs upon credit event of Reynolds American, Inc., par value of the notional amount of Reynolds American, Inc. 7.625% 6/1/16

Sept. 2017

25,000,000

295,190

Receive quarterly notional amount multiplied by 1.78% and pay Goldman Sachs upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

Sept. 2012

10,000,000

69,967

Receive quarterly notional amount multiplied by 1.82% and pay Deutsche Bank upon credit event of AMBAC Financial Group, Inc., par value of the notional amount of AMBAC Financial Group, Inc. 9.375% 8/1/11

Sept. 2012

9,200,000

(264,871)

Receive quarterly notional amount multiplied by 1.83% and pay Bank of America upon credit event of AMBAC Financial Group, Inc., par value of the notional amount of AMBAC Financial Group, Inc. 9.375% 8/1/11

Sept. 2012

5,000,000

(141,839)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive quarterly notional amount multiplied by 1.85% and pay Goldman Sachs upon credit event of MBIA, Inc., par value of the notional amount of MBIA, Inc. 6.625% 10/1/28

Sept. 2012

$ 11,000,000

$ 110,490

Receive semi-annually notional amount multiplied by .26% and pay Lehman Brothers, Inc. upon credit event of Russian Federation, par value of the notional amount of Russian Federation 7.5% 3/31/30

April 2008

17,250,000

(20,188)

Receive semi-annually notional amount multiplied by .5% and pay Credit Suisse First Boston upon credit event of Russian Federation, par value of the notional amount of Russian Federation 7.5% 3/31/30 (Reg. S)

June 2008

11,391,000

6,762

Receive semi-annually notional amount multiplied by .5% and pay Deutsche Bank upon credit event of Russian Federation, par value of the notional amount of Russian Federation 7.5% 3/31/30 (Reg. S)

June 2008

20,385,000

12,101

Receive semi-annually notional amount multiplied by .56% and pay JPMorgan Chase, Inc. upon credit event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33

August 2011

12,000,000

21,563

TOTAL CREDIT DEFAULT SWAPS

741,755,000

(3,856,645)

Swap Agreements - continued

Expiration Date

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 5.272% with Credit Suisse First Boston

Feb. 2009

$ 10,105,000

$ (44,561)

Receive semi-annually a fixed rate equal to 5.001% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

April 2009

50,000,000

657,445

Receive semi-annually a fixed rate equal to 5.145% and pay quarterly a floating rate based on 3-month LIBOR with Morgan Stanley, Inc.

April 2014

21,000,000

358,115

Receive semi-annually a fixed rate equal to 5.257% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

Feb. 2012

20,000,000

247,712

Receive semi-annually a fixed rate equal to 5.337% and pay quarterly a floating rate based on 3-month LIBOR with Morgan Stanley, Inc.

June 2009

120,000,000

805,608

Receive semi-annually a fixed rate equal to 5.345% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank

June 2012

120,000,000

1,894,176

Receive semi-annually a fixed rate equal to 5.65% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

July 2017

70,000,000

2,308,780

TOTAL INTEREST RATE SWAPS

411,105,000

6,227,275

$ 1,152,860,000

$ 2,370,630

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 $1,135,594,321 or 15.9% of net assets.

(c) 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 $1,515,234.

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

(e) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

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

Repurchase Agreement / Counterparty

Value

$69,053,000 due 9/04/07 at 5.37%

BNP Paribas Securities Corp.

$ 1,595,574

Banc of America Securities LLC

24,452,069

Bank of America, NA

10,990,392

Bear Stearns & Co., Inc.

1,373,799

Citigroup Global Markets, Inc.

4,332,915

Credit Suisse Securities (USA) LLC

2,747,598

Greenwich Capital Markets, Inc.

1,373,799

HSBC Securities (USA), Inc.

2,747,598

ING Financial Markets LLC

5,495,196

Societe Generale, New York Branch

8,242,794

UBS Securities LLC

2,678,908

WestLB AG

3,022,358

$ 69,053,000

Affiliated Central Funds

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

Fund

Income earned

Fidelity Ultra-Short Central Fund

$ 9,961,860

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 Ultra-Short Central Fund

$ -

$ 524,999,955

$ 314,982,836

$ 199,144,047

1.6%

Other Information

Distribution of investments by country of issue, as a percentage of total net assets, is as follows:

United States of America

80.4%

Canada

2.6%

United Kingdom

2.1%

Cayman Islands

1.8%

Korea (South)

1.7%

Spain

1.7%

Mexico

1.5%

Others (individually less than 1%)

8.2%

100.0%

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements

Statement of Assets and Liabilities

August 31, 2007

Assets

Investment in securities, at value (including repurchase agreements of $69,053,000) - See accompanying schedule:

Unaffiliated issuers (cost $7,012,043,879)

$ 6,953,191,418

Fidelity Central Funds (cost $209,525,602)

199,144,047

Total Investments (cost $7,221,569,481)

$ 7,152,335,465

Cash

7,513

Interest receivable

96,688,783

Distributions receivable from Fidelity Central Funds

1,001,117

Swap agreements, at value

2,370,630

Total assets

7,252,403,508

Liabilities

Payable for investments purchased

$ 104,605,984

Payable for swap agreements

348,141

Other payables and accrued expenses

87,052

Total liabilities

105,041,177

Net Assets

$ 7,147,362,331

Net Assets consist of:

Paid in capital

$ 7,214,225,717

Net unrealized appreciation (depreciation) on investments

(66,863,386)

Net Assets, for 72,217,265 shares outstanding

$ 7,147,362,331

Net Asset Value, offering price and redemption price per share ($7,147,362,331 ÷ 72,217,265 shares)

$ 98.97

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Operations

For the period November 6, 2006 (commencement of operations) to August 31, 2007

Investment Income

Dividends

$ 5,080,593

Interest

301,503,364

Income from Fidelity Central Funds

9,961,860

Total income

316,545,817

Expenses

Custodian fees and expenses

$ 84,496

Independent directors' compensation

15,998

Total expenses before reductions

100,494

Expense reductions

(45,003)

55,491

Net investment income

316,490,326

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

(7,418,622)

Fidelity Central Funds

(491,517)

Swap agreements

(287,931)

Capital gain distributions from Fidelity Central Funds

31,656

Total net realized gain (loss)

(8,166,414)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(71,774,598)

Swap agreements

2,370,630

Total change in net unrealized appreciation (depreciation)

(69,403,968)

Net gain (loss)

(77,570,382)

Net increase (decrease) in net assets resulting from operations

$ 238,919,944

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements - continued

Statement of Changes in Net Assets

For the period
November 6, 2006 (commencement of operations) to
August 31, 2007

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 316,490,326

Net realized gain (loss)

(8,166,414)

Change in net unrealized appreciation (depreciation)

(69,403,968)

Net increase (decrease) in net assets resulting
from operations

238,919,944

Distributions to partners from net investment income

(311,127,412)

Affiliated share transactions
Proceeds from sales of shares

904,901,745

Contributions in-kind

6,794,092,362

Reinvestment of distributions

66,730,475

Cost of shares redeemed

(546,154,783)

Net increase (decrease) in net assets resulting from share transactions

7,219,569,799

Total increase (decrease) in net assets

7,147,362,331

Net Assets

Beginning of period

-

End of period

$ 7,147,362,331

Other Information

Shares

Sold

9,043,614

Issued for in-kind contributions

67,940,842

Issued in reinvestment of distributions

673,879

Redeemed

(5,441,070)

Net increase (decrease)

72,217,265

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights

Period ended
August 31,
2007 H

Selected Per-Share Data

Net asset value, beginning of period

$ 100.00

Income from Investment Operations

Net investment income D

4.588

Net realized and unrealized gain (loss)

(1.107)

Total from investment operations

3.481

Distributions to partners from net investment income

(4.511)

Net asset value, end of period

$ 98.97

Total Return B, C

3.52%

Ratios to Average Net Assets E, I

Expenses before reductions

-% A, G

Expenses net of fee waivers, if any

-% A, G

Expenses net of all reductions

-% A, G

Net investment income

5.60% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 7,147,362

Portfolio turnover rate F

92% A, J

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G Amount represents less than .01%.

H For the period November 6, 2006 (commencement of operations) to August 31, 2007.

I Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

J Portfolio turnover rate excludes securities received or delivered in-kind.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Notes to Financial Statements

For the period ended August 31, 2007

1. Organization.

Fidelity Corporate Bond 1-10 Year Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) (formerly of Fidelity Central Investment Portfolios LLC) and is authorized to issue an unlimited number of shares. Effective April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund reorganized into Fidelity Central Investment Portfolios II LLC effective June 29, 2007 (Trust Reorganization). The Trust Reorganization does not impact the Fund's investment strategies or Fidelity Management & Research Company's (FMR) management of the Fund. The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company. Each Fund in the LLC is a separate partnership for tax purposes. Shares of the Fund are only offered to other investment companies and accounts managed by FMR, or its affiliates.

2. Investments in Fidelity Central Funds.

The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by FMR and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity Ultra-Short Central Fund

Fidelity Investments Money Management, Inc. (FIMM)

Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities.

Futures

Mortgage Dollar Rolls

Repurchase Agreements

Restricted Securities

Swap Agreements

The Central Funds may invest a portion of their assets in securities of issuers that hold mortgage securities, including subprime mortgage securities. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.

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2. Investments in Fidelity Central Funds - continued

A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Directors 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 available dealer supplied prices.

When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Directors. Factors used in the determination of fair value may include current market trading activity, interest rates, credit quality and default rates. 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.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. Interest income and income and capital gain distributions from other Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Expenses. Most expenses of the LLC can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the LLC. Expense estimates are accrued in the period to which they relate and adjustments are

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Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Expenses - continued

made when actual amounts are known. All legal and other expenses associated with the Trust Reorganization will be paid by FMR.

Income Tax Information and Distributions to Partners. No provision has been made for federal income taxes because all income and expenses and gain/loss (realized and unrealized) are allocated daily to the partners, based on their capital balances, for inclusion in their individual income tax returns.

Distributions are declared daily and paid monthly from net investment income on a book basis, except for certain items such as market discount which are deemed distributed based on allocations to the partners and are reclassified to paid in capital. Due to the Fund's partnership structure, paid in capital includes net realized gain/loss on investments.

The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:

Unrealized appreciation

$ 53,968,797

Unrealized depreciation

$ (115,494,413)

Net unrealized appreciation (depreciation)

$ (61,525,616)

Cost for federal income tax purposes

$ 7,213,861,081

New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management has concluded that the adoption of FIN 48 will not result in a material impact on the Fund's net assets, results of operations and financial statement disclosures.

In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.

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4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.

Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value.

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Periodic payments and

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Notes to Financial Statements - continued

4. Operating Policies - continued

Swap Agreements - continued

premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, U.S. government securities and in-kind transactions, aggregated $4,504,132,607 and $3,827,642,299, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FIMM provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain exceptions such as interest expense.

Exchange-In-Kind. On November 6, 2006, the Investing Funds completed a non-taxable exchange with the Fund. The Investing Funds delivered securities with a value, including accrued interest, of $6,794,092,362 (which included $2,540,582 of unrealized appreciation) in exchange for 67,940,842 shares of the Fund, as presented in the accompanying Statement of Changes in Net Assets. This is considered a non-taxable exchange for federal income tax purposes, with no gain or loss recognized by the Fund or its partners.

The Board of Directors may permit the purchase of shares (for cash, securities or other consideration) and admit new Eligible Accredited Investors into the Fund, in accordance with the Partnership Agreement. At the end of the period, mutual funds managed by FMR or its affiliates were the owners of record of all the outstanding shares of the Fund.

Annual Report

7. Expense Reductions.

FMR voluntarily agreed to reimburse a portion of the Fund's operating expenses. During the period, this reimbursement reduced the Fund's expenses by $15,998.

In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $29,005.

8. Other.

The Fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Central Investment Portfolios II LLC and the Shareholders of Fidelity Corporate Bond 1-10 Year Central Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Corporate Bond 1-10 Year Central Fund (a fund of Fidelity Central Investment Portfolios II LLC) at August 31, 2007, the results of its operations, the changes in its net assets and the financial highlights for the period November 6, 2006 (commencement of operations) through August 31, 2007, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Corporate Bond 1-10 Year Central Fund's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at August 31, 2007 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

October 30, 2007

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the Fidelity Central Investment Portfolios II LLC and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 369 funds advised by FMR or an affiliate. Mr. Curvey oversees 339 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (77)

Year of Election or Appointment: 2007

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as President (2006-present), Chief Executive Officer, Chairman, and a Director of FMR LLC; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001-present) and a Director of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of Fidelity International Limited (FIL).

James C. Curvey (72)

Year of Election or Appointment: 2007

Mr. Curvey also serves as Trustee (2007-present) or Member of the Advisory Board (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2006-present) and Director of FMR LLC. Mr. Curvey joined Fidelity in 1982 and served in numerous senior management positions, including President and Chief Operating Officer of FMR LLC (1997-2000) and President of Fidelity Strategic Investments (2000-2002). In addition, he serves as a member of the Board of Directors of Geerlings & Wade, Inc. (wine distribution).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the Fidelity Central Investment Portfolios II LLC or various entities under common control with FMR. FMR Corp. merged with FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

Dennis J. Dirks (59)

Year of Election or Appointment: 2007

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of Manhattan College (2005-present) and a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present).

Albert R. Gamper, Jr. (65)

Year of Election or Appointment: 2007

Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (1989-2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001-present), Chairman of the Board of Governors, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System.

George H. Heilmeier (71)

Year of Election or Appointment: 2007

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), and HRL Laboratories (private research and development, 2004-present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002), INET Technologies Inc. (telecommunications network surveillance, 2001-2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid crystal display, and a member of the Consumer Electronics Hall of Fame.

James H. Keyes (66)

Year of Election or Appointment: 2007

Prior to his retirement in 2003, Mr. Keyes was Chairman, President, and Chief Executive Officer of Johnson Controls, Inc. (automotive supplier, 1993-2003). He currently serves as a member of the boards of LSI Logic Corporation (semiconductor technologies), Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, 2002-present), and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions).

Marie L. Knowles (60)

Year of Election or Appointment: 2007

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002-present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (63)

Year of Election or Appointment: 2007

Mr. Lautenbach is Chairman of the Independent Trustees (2006-present). Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Sony Corporation (2006-present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations.

Cornelia M. Small (63)

Year of Election or Appointment: 2007

Ms. Small is a member (2000-present) and Chairperson (2002-present) of the Investment Committee, and a member (2002-present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1999). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

William S. Stavropoulos (68)

Year of Election or Appointment: 2007

Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003), CEO (1995-2000; 2002-2004), and Chairman of the Executive Committee (2000-2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002-present), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment firm, 2005-present). He is a special advisor to Clayton, Dubilier & Rice, Inc., a private equity investment firm. He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Kenneth L. Wolfe (68)

Year of Election or Appointment: 2007

Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003-present), Bausch & Lomb, Inc., and Revlon Inc. (2004-present).

Advisory Board Members and Executive Officers**:

Correspondence intended for Mr. Mauriello and Mr. Wiley may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Peter S. Lynch (63)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund.

Joseph Mauriello (62)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services firm, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Capital Ltd., (global insurance and re-insurance company, 2006-present) and of Arcadia Resources Inc., (health care services and products, 2007-present). He also served as a Director of the Hamilton Funds of the Bank of New York (2006-2007).

Michael E. Wiley (56)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Mr. Wiley also serves as Sr. Energy Advisor of Katzenbach Partners, LLC (consulting firm, 2006-present) and a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-present). He serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), and a Director of Bill Barrett Corporation (exploration and production company, 2005-present). In addition, he also serves as a Director of Post Oak Bank (privately-held bank, 2004-present), and an Advisory Director of Riverstone Holdings (private investment firm). Previously, Mr. Wiley served as Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services company, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production company, 2001-2005).

Kimberley H. Monasterio (43)

Year of Election or Appointment: 2007

President and Treasurer of Corporate Bond 1-10 Year Central Fund. Ms. Monasterio also serves as President and Treasurer of other Fidelity funds (2007-present) and is an employee of FMR (2004-present). Previously, Ms. Monasterio served as Deputy Treasurer of the Fidelity funds (2004-2006). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

Boyce I. Greer (51)

Year of Election or Appointment: 2006

Vice President of Corporate Bond 1-10 Year Central Fund. Mr. Greer also serves as Vice President of certain Asset Allocation Funds (2005-present), Fixed-Income Funds (2006-present), and Money Market Funds (2006-present). Mr. Greer is also a Trustee of other investment companies advised by FMR (2003-present). Mr. Greer is an Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present), and Senior Vice President of Fidelity Investments Money Management, Inc. (2006-present). Previously, Mr. Greer served as Vice President of certain Fidelity Equity Funds (2005-2007), a Director and Managing Director of Strategic Advisers, Inc. (2002-2005), and Executive Vice President (2000-2002) and Money Market Group Leader (1997-2002) of the Fidelity Investments Fixed Income Division. Mr. Greer also served as Vice President of Fidelity's Money Market Funds (1997-2002), Senior Vice President of FMR (1997-2002), and Vice President of FIMM (1998-2002).

David L. Murphy (59)

Year of Election or Appointment: 2006

Vice President of Corporate Bond 1-10 Year Central Fund. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002-present), and Fixed-Income Funds (2005-present). Mr. Murphy serves as Senior Vice President (2000-present) and Head (2004-present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of Fidelity Investments Money Management, Inc. (2003-present) and an Executive Vice President of FMR (2005-present). Previously, Mr. Murphy served as Money Market Group Leader (2002-2004), Bond Group Leader (2000-2002), and Vice President of certain Asset Allocation Funds (2003-2007), Balanced Funds (2005-2007), Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002).

Thomas J. Silvia (46)

Year of Election or Appointment: 2006

Vice President of Corporate Bond 1-10 Year Central Fund. Mr. Silvia also serves as Vice President of Fidelity's Fixed-Income Funds (2005-present) and Senior Vice President and Bond Group Leader of the Fidelity Investments Fixed-Income Division (2005-present). Previously, Mr. Silvia served as Vice President of certain Balanced Funds (2005-2007), certain Asset Allocation Funds (2005-2007), a Director of Fidelity's Taxable Bond portfolio managers (2002-2004) and a portfolio manager in the Bond Group (1997-2004).

Eric D. Roiter (58)

Year of Election or Appointment: 2006

Secretary of Corporate Bond 1-10 Year Central Fund. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001-present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001-present), Fidelity Research & Analysis Company (2001-present), and Fidelity Investments Money Management, Inc. (2001-present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003-present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998-2005).

Scott C. Goebel (39)

Year of Election or Appointment: 2007

Assistant Secretary of Corporate Bond 1-10 Year Central Fund. Mr. Goebel also serves as Assistant Secretary of other Fidelity funds (2007-present) and is an employee of FMR.

R. Stephen Ganis (41)

Year of Election or Appointment: 2006

Anti-Money Laundering (AML) officer of Corporate Bond 1-10 Year Central Fund. Mr. Ganis also serves as AML officer of other Fidelity funds (2006-present) and FMR LLC (2003-present). Before joining Fidelity Investments, Mr. Ganis practiced law at Goodwin Procter, LLP (2000-2002).

Joseph B. Hollis (59)

Year of Election or Appointment: 2006

Chief Financial Officer of Corporate Bond 1-10 Year Central Fund. Mr. Hollis also serves as Chief Financial Officer of other Fidelity funds. Mr. Hollis is President of Fidelity Pricing and Cash Management Services (FPCMS) (2005-present). Mr. Hollis also serves as President and Director of Fidelity Service Company, Inc. (2006-present). Previously, Mr. Hollis served as Senior Vice President of Cash Management Services (1999-2002) and Investment Management Operations (2002-2005).

Kenneth A. Rathgeber (60)

Year of Election or Appointment: 2006

Chief Compliance Officer of Corporate Bond 1-10 Year Central Fund. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004-present) and Executive Vice President of Risk Oversight for Fidelity Investments (2002-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present). Previously, Mr. Rathgeber served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

Bryan A. Mehrmann (46)

Year of Election or Appointment: 2006

Deputy Treasurer of Corporate Bond 1-10 Year Central Fund. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004).

Kenneth B. Robins (38)

Year of Election or Appointment: 2006

Deputy Treasurer of Corporate Bond 1-10 Year Central Fund. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Robert G. Byrnes (40)

Year of Election or Appointment: 2006

Assistant Treasurer of Corporate Bond 1-10 Year Central Fund. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003).

Peter L. Lydecker (53)

Year of Election or Appointment: 2006

Assistant Treasurer of Corporate Bond 1-10 Year Central Fund. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Gary W. Ryan (49)

Year of Election or Appointment: 2006

Assistant Treasurer of Corporate Bond 1-10 Year Central Fund. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999-2005).

** FMR Corp. merged with FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Corporate Bond 1-10 Year Central Fund

On April 19, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one LLC to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it initially approved the Advisory Contracts for the fund in July 2006, prior to commencement, and that it will again consider renewal of the Advisory Contracts in June 2008.

Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.

In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders; and (iv) whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies.

Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one LLC to another.

Annual Report

Annual Report

Fidelity® Mortgage Backed Securities Central Fund

Annual Report

August 31, 2007

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

1.833864.100 474695.1.0

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Average annual total returns take Fidelity Mortgage Backed Securities Central Fund's cumulative total return and show you what would have happened if Fidelity Mortgage Backed Securities Central Fund's shares had performed at a constant rate each year. These numbers will be reported once the fund is a year old.

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity Mortgage Backed Securities Central Fund on November 27, 2006, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothers® U.S. Mortgage Backed Securities Index performed over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from William Irving, Portfolio Manager of Fidelity® Mortgage Backed Securities Central Fund

A subprime mortgage loan crisis and an emerging credit crunch contributed to subpar performance for some sectors of the investment-grade bond market during the year ending August 31, 2007, though some categories, particularly Treasuries, benefited from a flight to quality. While returns for high-grade debt were fairly solid overall, they also were tempered to an extent by the Federal Reserve Board's decision to leave interest rates unchanged - and not lower them as bond investors had hoped - citing its concern that inflation was still a threat given the continued strength of the U.S. economy. During the one-year span, the Lehman Brothers® U.S. Aggregate Index gained 5.26%. Within the index, Treasuries - the bond market's highest-quality debt instrument - fared best, as many investors fled riskier fixed-income securities. The Lehman Brothers U.S. Treasury Index rose 6.02%. The asset-backed category - home to volatile subprime mortgages, as well as credit card debt and auto loans - had the weakest performance, gaining only 3.68% according to the Lehman Brothers Asset-Backed Securities Index.

From its inception on November 27, 2006, through August 31, 2007, the fund returned 2.33%, lagging the 3.05% gain of the Lehman Brothers U.S. Mortgage-Backed Securities Index. The fund's underperformance stemmed largely from its sizable exposure to subprime mortgage securities. The bulk of my exposure to the subprime market stemmed from my stake in Fidelity Ultra-Short Central Fund, a diversified pool of short-term assets. Subprime securities performed poorly due to the downturn in the housing market and the unwinding of levered investment vehicles. We held onto much of our stake in higher-rated subprime securities, which proved somewhat beneficial because they saw an uptick more recently in response to accommodative moves by the Fed and the U.S. Treasury, although not enough to erase their earlier losses. Within the mortgage market, sector allocation generally worked in our favor, with an an overweight to hybrid adjustable-rate mortgages (hybrid ARMs) leading the way. Hybrid ARMs outpaced the fixed-rate mortgages, which dominate the fund's benchmark and came under pressure due to heavy supply, a pullback in bank buying, and growing investor concerns about interest-rate volatility. Favorable selection among fixed-rate mortgage securities also contributed, particularly higher-coupon and "seasoned" mortgages - some of which were in the form of collateralized mortgage obligations - which performed well as prepayments slowed.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2007 to August 31, 2007).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Annual Report

Beginning
Account Value
March 1, 2007

Ending
Account Value
August 31, 2007

Expenses Paid
During Period*
March 1, 2007
to August 31, 2007

Actual

$ 1,000.00

$ 1,009.50

$ .02

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,025.19

$ .02

* Expenses are equal to the Fund's annualized expense ratio of .0040%; multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Annual Report

Investment Changes

The information in the following table is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund.

Coupon Distribution as of August 31, 2007

% of fund's investments

% of fund's investments
6 months ago

Less than 4%

2.6

2.2

4 - 4.99%

15.2

14.6

5 - 5.99%

40.8

43.4

6 - 6.99%

23.1

22.0

7% and over

4.0

4.1

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Weighted Average Maturity as of August 31, 2007

6 months ago

Years

5.9

4.8

The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision.

Duration as of August 31, 2007

6 months ago

Years

3.7

2.9

Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example.

Asset Allocation (% of fund's net assets)

As of August 31, 2007 *

As of February 28, 2007 **

Corporate Bonds 2.5%

Corporate Bonds 2.0%

U.S. Government
and U.S. Government Agency Obligations 107.9%

U.S. Government
and U.S. Government Agency Obligations 116.3%

Asset-Backed
Securities 9.6%

Asset-Backed
Securities 5.5%

CMOs and
Other Mortgage
Related Securities 12.2%

CMOs and
Other Mortgage
Related Securities 4.0%

Short-Term
Investments and
Net Other Assets (dagger) (32.2)%

Short-Term
Investments and
Net Other Assets (dagger) (27.8)%

* Foreign investments

4.2%

** Foreign investments

2.5%

* Futures and Swaps

0.0%

** Futures and Swaps

3.5%

8 Short-Term Investments and Net Other Assets are not included in the pie chart.

Annual Report

Investments August 31, 2007

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 97.8%

Principal Amount

Value

Fannie Mae - 71.3%

3.585% 9/1/33 (d)

$ 3,932,046

$ 3,841,550

3.716% 7/1/33 (d)

1,243,470

1,241,264

3.72% 6/1/33 (d)

12,380,646

12,273,664

3.72% 10/1/33 (d)

40,797

39,969

3.75% 1/1/34 (d)

42,775

42,200

3.754% 10/1/33 (d)

2,820,391

2,806,303

3.783% 6/1/33 (d)

14,818,740

14,788,317

3.802% 6/1/33 (d)

1,642,892

1,642,408

3.823% 4/1/33 (d)

123,874

123,837

3.84% 5/1/34 (d)

8,840,986

8,707,668

3.842% 5/1/34 (d)

33,622,847

33,094,716

3.859% 8/1/33 (d)

999,326

993,232

3.934% 5/1/33 (d)

885,681

874,748

3.937% 1/1/35 (d)

103,677

103,980

3.944% 5/1/34 (d)

5,370,556

5,296,096

3.979% 8/1/33 (d)

5,429,192

5,332,270

3.991% 4/1/34 (d)

11,565,413

11,419,081

4% 10/1/18 (d)

2,007,472

1,981,811

4.025% 4/1/33 (d)

755,568

754,525

4.029% 3/1/34 (d)

22,251,106

21,975,337

4.029% 6/1/34 (d)

21,881,147

21,582,677

4.067% 2/1/35 (d)

1,291,145

1,288,710

4.115% 4/1/34 (d)

14,620,387

14,457,231

4.122% 5/1/34 (d)

11,948,852

11,818,770

4.167% 1/1/35 (d)

6,278,140

6,177,875

4.185% 8/1/34 (d)

5,946,148

5,879,394

4.203% 1/1/34 (d)

4,337,288

4,296,104

4.249% 1/1/34 (d)

3,165,032

3,136,910

4.25% 2/1/35 (d)

3,020,961

2,976,150

4.26% 5/1/35 (d)

3,029,006

3,021,249

4.27% 10/1/33 (d)

490,693

486,389

4.285% 3/1/33 (d)

1,216,916

1,215,846

4.288% 12/1/33 (d)

903,998

896,227

4.295% 3/1/35 (d)

2,522,405

2,538,339

4.296% 3/1/33 (d)

317,467

312,658

4.297% 3/1/33 (d)

1,480,917

1,458,125

4.303% 6/1/33 (d)

630,044

630,422

4.304% 4/1/35 (d)

1,498,883

1,492,789

4.343% 1/1/35 (d)

3,311,179

3,266,943

4.356% 2/1/34 (d)

5,914,140

5,867,605

4.39% 10/1/34 (d)

5,808,438

5,747,185

4.391% 2/1/35 (d)

4,814,839

4,749,302

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

4.396% 10/1/33 (d)

$ 5,711,659

$ 5,611,839

4.413% 5/1/35 (d)

2,692,658

2,680,178

4.43% 5/1/35 (d)

8,166,307

8,142,262

4.434% 3/1/35 (d)

4,495,912

4,437,076

4.452% 8/1/34 (d)

8,379,246

8,320,235

4.481% 1/1/35 (d)

3,359,951

3,331,376

4.487% 3/1/35 (d)

5,796,812

5,727,334

4.5% 12/1/17 to 11/1/35 (c)

593,442,291

559,779,314

4.5% 9/1/37 (b)

32,600,000

30,184,415

4.5% 9/1/37 (b)

101,400,000

93,886,493

4.506% 2/1/35 (d)

2,383,805

2,380,563

4.509% 3/1/35 (d)

5,705,657

5,639,549

4.513% 2/1/35 (d)

46,712,208

46,423,830

4.517% 12/1/34 (d)

223,424

221,207

4.517% 2/1/35 (d)

1,266,107

1,268,919

4.527% 7/1/34 (d)

9,667,875

9,591,639

4.528% 7/1/35 (d)

9,693,325

9,606,938

4.57% 11/1/34 (d)

5,044,175

4,997,852

4.57% 2/1/35 (d)

17,765,781

17,580,546

4.57% 7/1/35 (d)

9,774,393

9,788,146

4.575% 2/1/35 (d)

4,975,599

4,927,383

4.578% 9/1/34 (d)

2,637,567

2,616,880

4.582% 4/1/33 (d)

4,259,439

4,270,262

4.586% 1/1/35 (d)

6,625,271

6,565,382

4.602% 8/1/35 (d)

13,667,503

13,701,740

4.635% 1/1/35 (d)

6,307,175

6,253,946

4.638% 8/1/35 (d)

6,401,583

6,348,514

4.642% 6/1/35 (d)

4,999,525

4,965,978

4.657% 3/1/35 (d)

11,878,971

11,926,618

4.668% 11/1/34 (d)

5,822,965

5,782,352

4.685% 11/1/34 (d)

6,125,670

6,083,271

4.7% 10/1/34 (d)

6,832,848

6,789,504

4.708% 12/1/34 (d)

3,965,641

3,937,931

4.709% 3/1/35 (d)

381,882

384,377

4.717% 7/1/34 (d)

7,879,830

7,838,945

4.723% 10/1/34 (d)

83,661

83,121

4.734% 12/1/35 (d)

22,536,320

22,414,995

4.767% 1/1/35 (d)

25,167,103

25,149,448

4.776% 12/1/34 (d)

2,738,043

2,720,044

4.777% 1/1/35 (d)

5,664,197

5,624,290

4.779% 12/1/35 (d)

4,497,536

4,452,278

4.807% 11/1/34 (d)

5,765,778

5,733,458

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

4.808% 2/1/33 (d)

$ 66,607

$ 67,081

4.847% 10/1/34 (d)

10,965,732

10,922,862

4.856% 10/1/34 (d)

36,824,298

36,662,989

4.87% 5/1/33 (d)

53,637

53,928

4.87% 1/1/35 (d)

4,144,304

4,134,840

4.945% 8/1/34 (d)

2,015,583

2,010,704

5% 6/1/09 to 5/1/36 (b)

638,592,890

614,059,056

5% 9/18/22 (b)(c)

55,000,000

53,755,257

5% 9/1/37 (b)

57,000,000

54,211,024

5% 9/1/37 (b)

80,000,000

76,085,648

5% 9/1/37 (b)

18,000,000

17,119,271

5% 9/1/37 (b)

55,000,000

52,308,883

5% 9/13/37 (b)

40,000,000

38,042,824

5.016% 7/1/34 (d)

536,449

535,500

5.039% 4/1/36 (d)

5,850,798

5,835,756

5.04% 10/1/36 (d)

25,141,265

25,194,954

5.045% 5/1/35 (d)

15,955,652

16,003,376

5.062% 8/1/34 (d)

898,421

899,114

5.07% 9/1/34 (d)

25,850,097

25,813,764

5.079% 9/1/34 (d)

1,119,516

1,118,370

5.087% 2/1/35 (d)

8,099,978

8,081,676

5.115% 7/1/34 (d)

2,182,182

2,180,343

5.123% 3/1/34 (d)

26,316,130

26,307,328

5.138% 3/1/35 (d)

536,848

536,038

5.144% 5/1/35 (d)

2,402,921

2,399,212

5.15% 1/1/37 (d)

6,099,910

6,083,230

5.157% 5/1/35 (d)

13,098,654

13,081,829

5.163% 3/1/36 (d)

14,817,838

14,804,021

5.173% 6/1/35 (d)

11,386,725

11,426,544

5.176% 8/1/33 (d)

1,554,291

1,556,431

5.197% 5/1/35 (d)

20,753,060

20,742,134

5.22% 9/1/35 (d)

856,002

854,853

5.267% 8/1/34 (d)

8,496,857

8,378,619

5.271% 12/1/36 (d)

3,350,140

3,348,476

5.297% 7/1/35 (d)

599,993

602,052

5.304% 2/1/36 (d)

8,608,135

8,606,771

5.31% 3/1/36 (d)

39,431,593

39,467,061

5.317% 12/1/34 (d)

1,607,819

1,610,549

5.332% 1/1/36 (d)

13,315,022

13,327,558

5.351% 1/1/32 (d)

886,748

893,611

5.368% 6/1/36 (d)

8,809,471

8,798,428

5.387% 2/1/37 (d)

3,368,086

3,373,935

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

5.387% 3/1/37 (d)

$ 18,542,925

$ 18,599,193

5.388% 7/1/35 (d)

2,551,239

2,554,927

5.438% 4/1/36 (d)

7,226,305

7,248,270

5.483% 6/1/47 (d)

2,723,247

2,734,044

5.498% 11/1/36 (d)

12,727,309

12,771,110

5.5% 9/1/10 to 4/1/36 (b)(c)

675,588,550

665,684,008

5.5% 9/1/37 (b)

85,000,000

83,058,294

5.5% 9/1/37 (b)

146,000,000

142,664,834

5.5% 9/1/37 (b)

100,000,000

97,715,640

5.5% 9/1/37 (b)

121,000,000

118,235,924

5.5% 9/1/37 (b)

30,000,000

29,314,692

5.5% 9/1/37 (b)

100,000,000

97,715,640

5.5% 9/1/37 (b)

190,000,000

185,659,716

5.5% 9/1/37 (b)

84,000,000

82,081,138

5.53% 2/1/37 (d)

29,164,676

29,278,171

5.558% 9/1/36 (d)

13,447,672

13,509,511

5.661% 11/1/35 (d)

13,759,469

13,778,932

5.668% 6/1/36 (d)

8,936,558

8,992,300

5.672% 4/1/37 (d)

14,611,474

14,704,907

5.7% 9/1/35 (d)

4,507,544

4,539,505

5.704% 3/1/36 (d)

10,272,292

10,347,922

5.76% 4/1/36 (d)

7,303,222

7,360,337

5.772% 4/1/36 (d)

12,068,064

12,162,081

5.795% 2/1/36 (d)

9,269,940

9,350,537

5.815% 1/1/36 (d)

9,330,287

9,392,226

5.815% 7/1/36 (d)

4,118,432

4,142,222

5.819% 7/1/37 (d)

4,147,154

4,131,347

5.856% 12/1/35 (d)

15,549,624

15,581,858

5.914% 3/1/36 (d)

7,805,316

7,885,785

5.931% 6/1/36 (d)

18,342,744

18,519,944

5.939% 5/1/36 (d)

6,119,173

6,187,307

5.94% 12/1/36 (d)

16,942,751

17,069,153

5.946% 5/1/36 (d)

9,016,326

9,114,599

5.948% 5/1/36 (d)

3,389,572

3,427,283

6% 7/1/08 to 9/1/37 (c)

205,380,135

206,579,421

6% 9/1/22 (b)

6,000,000

6,064,099

6% 9/18/22 (b)

34,000,000

34,363,229

6% 9/1/37 (b)

148,000,000

147,954,224

6% 9/1/37 (b)

271,000,000

270,916,180

6% 9/1/37 (b)

55,000,000

54,982,989

6% 9/1/37 (b)

116,000,000

115,964,121

6% 9/1/37 (b)

56,000,000

55,982,679

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

6% 9/1/37 (b)

$ 24,920,000

$ 24,912,292

6% 9/1/37

9,948,915

9,871,189

6.033% 4/1/36 (d)

56,835,595

57,497,701

6.101% 3/1/37 (d)

5,373,560

5,442,736

6.108% 4/1/36 (d)

28,570,727

28,907,819

6.13% 7/1/36 (d)

24,458,524

24,764,268

6.155% 4/1/36 (d)

5,826,701

5,905,329

6.197% 5/1/37 (d)

393,962

399,115

6.226% 3/1/37 (d)

1,679,598

1,699,954

6.256% 6/1/36 (d)

896,367

904,700

6.27% 6/1/36 (d)

15,167,863

15,385,833

6.313% 10/1/36 (d)

25,495,001

25,852,148

6.339% 5/1/36 (d)

6,199,187

6,299,567

6.359% 8/1/46 (d)

1,322,672

1,336,369

6.5% 1/1/08 to 6/1/47 (b)(c)

299,409,267

305,087,745

6.5% 9/1/37 (b)

135,000,000

137,069,388

6.5% 9/1/37 (b)

7,000,000

7,105,000

6.54% 4/1/37 (d)

6,096,844

6,170,332

6.575% 9/1/36 (d)

33,255,041

33,762,795

7% 5/1/13 to 7/1/37 (c)

72,891,457

75,666,664

7% 9/1/37 (b)

70,000,000

71,952,657

7% 9/1/37 (b)(c)

90,000,000

92,510,559

7% 10/1/37 (b)

30,000,000

30,820,446

7.5% 1/1/08 to 4/1/37

64,394,427

67,200,258

8% 11/1/08 to 3/1/37

1,147,110

1,194,073

8.5% 1/1/09 to 8/1/23

167,480

179,303

9.5% 12/1/09 to 2/1/25

505,130

558,068

10% 8/1/17

1,489

1,670

10.75% 9/1/10 to 5/1/14

23,782

25,915

11.25% 5/1/14

2,015

2,241

12.5% 1/1/15 to 7/1/15

8,718

10,039

6,146,912,676

Freddie Mac - 22.1%

3.753% 10/1/33 (d)

10,640,914

10,463,009

3.914% 6/1/34 (d)

16,998,480

16,688,810

4% 11/1/14 to 2/1/21

24,128,445

22,667,484

4.008% 5/1/33 (d)

17,936,595

17,784,169

4.178% 1/1/35 (d)

17,765,821

17,576,802

4.234% 3/1/34 (d)

9,364,300

9,246,445

4.237% 1/1/35 (d)

125,660

124,889

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Freddie Mac - continued

4.289% 3/1/35 (d)

$ 3,335,797

$ 3,343,423

4.307% 12/1/34 (d)

4,274,506

4,205,081

4.342% 3/1/35 (d)

4,044,892

3,976,790

4.375% 2/1/35 (d)

4,836,676

4,757,739

4.382% 9/1/36 (d)

47,234,009

46,803,542

4.423% 3/1/35 (d)

4,196,533

4,126,482

4.423% 6/1/35 (d)

5,109,955

5,057,236

4.426% 2/1/34 (d)

3,463,959

3,429,477

4.455% 3/1/35 (d)

4,330,954

4,263,683

4.481% 3/1/35 (d)

4,096,120

4,032,001

4.5% 9/1/18 to 5/1/19

14,706,221

14,170,621

4.539% 2/1/35 (d)

7,251,443

7,146,844

4.567% 6/1/33 (d)

5,613,644

5,599,537

4.655% 5/1/35 (d)

11,903,757

11,894,186

4.704% 9/1/35 (d)

55,758,838

55,509,066

4.773% 10/1/34 (d)

3,828,718

3,794,836

4.789% 2/1/36 (d)

1,554,623

1,535,687

4.807% 3/1/33 (d)

525,152

528,311

4.819% 3/1/35 (d)

3,110,000

3,084,646

4.822% 9/1/34 (d)

1,869,524

1,854,949

4.871% 10/1/35 (d)

7,197,859

7,180,415

4.99% 4/1/35 (d)

18,111,346

18,128,678

5% 5/1/18 to 7/1/35

82,953,325

79,144,744

5% 9/1/37 (b)

8,000,000

7,611,065

5.021% 4/1/35 (d)

539,878

532,384

5.131% 4/1/35 (d)

20,338,274

20,249,487

5.199% 3/1/36 (d)

4,838,951

4,825,960

5.275% 11/1/35 (d)

5,156,910

5,143,901

5.389% 3/1/37 (d)

2,373,469

2,372,037

5.5% 9/1/09 to 7/1/35

103,455,020

102,540,654

5.5% 9/1/37 (b)

69,000,000

67,415,705

5.5% 9/1/37 (b)

101,000,000

98,680,959

5.5% 9/1/37 (b)

287,000,000

280,410,250

5.521% 1/1/36 (d)

7,519,490

7,523,667

5.534% 1/1/36 (d)

11,779,988

11,794,307

5.553% 4/1/37 (d)

3,624,541

3,631,114

5.625% 5/1/37 (d)

12,353,472

12,285,349

5.666% 1/1/37 (d)

11,849,409

11,887,783

5.779% 3/1/37 (d)

12,048,240

12,103,391

5.787% 10/1/35 (d)

1,653,135

1,660,752

5.799% 5/1/37 (d)

27,507,618

27,654,990

5.809% 4/1/37 (d)

11,444,131

11,506,805

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Freddie Mac - continued

5.814% 1/1/36 (d)

$ 2,357,150

$ 2,372,239

5.828% 6/1/37 (d)

9,294,216

9,348,304

5.833% 5/1/37 (d)

3,909,601

3,932,474

5.858% 5/1/37 (d)

2,551,161

2,562,102

5.963% 4/1/36 (d)

30,874,438

31,125,988

6% 2/1/17 to 8/1/34

120,973,523

121,773,755

6% 9/1/37 (b)

71,000,000

70,980,809

6% 9/13/37 (b)

200,000,000

199,945,940

6.015% 6/1/36 (d)

3,887,476

3,917,672

6.142% 4/1/37 (d)

3,876,757

3,899,779

6.17% 6/1/36 (d)

5,134,125

5,181,870

6.221% 5/1/36 (d)

3,203,776

3,239,638

6.282% 3/1/36 (d)

13,653,046

13,740,459

6.283% 6/1/37 (d)

2,503,574

2,523,363

6.362% 7/1/36 (d)

4,536,294

4,592,365

6.374% 12/1/36 (d)

7,649,399

7,741,295

6.416% 6/1/37 (d)

860,000

870,153

6.492% 10/1/36 (d)

32,788,859

33,192,080

6.5% 4/1/11 to 8/1/37

43,305,070

44,009,017

6.5% 9/1/37 (b)

25,000,000

25,380,290

6.521% 9/1/36 (d)

22,139,729

22,362,577

6.534% 2/1/37 (d)

66,716,587

67,584,936

6.562% 7/1/36 (d)

35,310,032

35,696,695

6.614% 12/1/36 (d)

18,658,741

18,944,808

6.631% 7/1/36 (d)

14,238,845

14,483,917

6.703% 8/1/36 (d)

5,414,158

5,495,270

6.725% 8/1/37 (d)

6,720,000

6,832,113

6.758% 6/1/36 (d)

2,773,328

2,810,961

7% 6/1/21 to 5/1/37

40,120,582

41,250,245

7.226% 2/1/37 (d)

1,876,492

1,925,163

7.5% 9/1/15 to 4/1/37

9,356,169

9,727,278

7.581% 4/1/37 (d)

905,860

929,356

7.659% 8/1/36 (d)

187,454

190,876

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

2,405,657

2,505,496

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

701,041

761,207

9% 10/1/16

16,040

16,979

9.5% 10/1/08 to 8/1/30

45,269

48,336

10.5% 5/1/09 to 9/1/13

6,246

6,439

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

155,966

174,851

11.5% 10/1/15

6,184

7,033

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Freddie Mac - continued

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

$ 4,080

$ 4,537

13.5% 12/1/14

30,437

35,204

1,900,074,011

Government National Mortgage Association - 4.4%

4.25% 7/20/34 (d)

2,672,780

2,662,002

5.5% 4/15/29 to 5/15/34

25,372,908

24,983,468

5.5% 9/1/37 (b)

45,000,000

44,253,288

5.5% 9/1/37 (b)

52,000,000

51,137,133

5.5% 9/1/37 (b)

95,000,000

93,423,608

6% 9/15/08 to 10/15/30

1,845,175

1,866,248

6.5% 6/15/23 to 10/15/35

73,902,533

75,703,741

6.5% 9/1/37 (b)

5,000,000

5,095,394

6.5% 9/1/37 (b)

27,000,000

27,515,128

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

31,624,246

32,827,290

7.5% 1/15/17 to 1/15/32

14,359,409

15,168,824

8% 10/15/07 to 3/15/32

4,145,436

4,419,631

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

795,253

865,445

9% 3/15/10 to 1/15/23

88,910

95,930

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

33,777

37,991

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

154,811

176,731

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

212,002

240,082

380,471,934

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $8,449,597,644)

8,427,458,621

Asset-Backed Securities - 2.8%

Accredited Mortgage Loan Trust Series 2007-1 Class A3, 5.635% 2/25/37 (d)

16,000,000

15,577,504

ACE Securities Corp. Home Equity Loan Trust:

Series 2005-HE6 Class A2B, 5.705% 10/25/35 (d)

5,028,729

5,011,445

Series 2007-HE1 Class A2C, 5.675% 1/25/37 (d)

12,235,000

11,659,576

Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class A2A, 5.555% 10/25/36 (d)

4,930,131

4,879,291

Bear Stearns Asset Backed Securities I Trust:

Series 2007-AQ1 Class A1, 5.615% 11/25/36 (d)

6,376,013

6,211,633

Series 2007-HE3 Class 1A1, 5.625% 4/25/37 (d)

5,196,807

5,161,889

BNC Mortgage Loan Trust Series 2006-1 Class A3, 5.665% 10/25/36 (d)

3,000,000

2,814,843

Asset-Backed Securities - continued

Principal Amount

Value

Carrington Mortgage Loan Trust Series 2005-NC4 Class M1, 5.985% 9/25/35 (d)

$ 4,960,000

$ 4,056,863

Citigroup Mortgage Loan Trust:

Series 2006-HE2 Class A2A, 5.37% 8/26/36 (d)

1,541,010

1,533,787

Series 2006-NC2:

Class A2A, 5.36% 9/25/36 (d)

1,883,765

1,870,227

Class A2B, 5.48% 9/25/36 (d)

3,535,000

3,322,349

Series 2007-AMC4 Class M1, 5.775% 5/25/37 (d)

4,720,000

4,582,912

Countrywide Asset-Backed Certificates Trust Series 2007-BC2 Class 2A1, 5.595% 6/25/37 (d)

5,833,076

5,794,799

Credit-Based Asset Servicing & Securitization Trust Series 2006-CB7 Class A2, 5.565% 10/25/36 (d)

3,501,493

3,459,913

First Franklin Mortgage Loan Trust:

Series 2005-FF12 Class A2A, 5.595% 11/25/36 (d)

1,305,217

1,298,895

Series 2006-FF5 Class 2A2, 5.615% 4/25/36 (d)

3,165,000

3,118,516

Fremont Home Loan Trust Series 2006-3 Class 2A1, 5.575% 2/25/37 (d)

410,557

395,038

GSAMP Trust Series 2006-HE5 Class A2C, 5.655% 8/25/36 (d)

3,000,000

2,751,093

Home Equity Asset Trust Series 2006-8 Class 2A1, 5.555% 3/25/37 (d)

513,609

507,670

HSBC Home Equity Loan Trust Series 2007-2 Class A3V, 5.7575% 7/21/36 (d)

3,255,000

3,003,245

HSI Asset Securitization Corp. Trust Series 2006-HE2 Class 2A3, 5.49% 12/25/36 (d)

15,000,000

14,769,150

JPMorgan Mortgage Acquisition Trust Series 2006-WF1:

Class A1A, 5.6% 7/25/36

1,544,690

1,542,278

Class A1B, 5.605% 7/25/36 (d)

5,163,010

5,143,649

Long Beach Mortgage Loan Trust:

Series 2006-1 Class 2A2, 5.645% 2/25/36 (d)

3,030,000

3,012,011

Series 2006-10 Class 2A3, 5.665% 11/25/36 (d)

10,000,000

8,825,000

Series 2006-8 Class 2A1, 5.545% 9/25/36 (d)

4,090,654

4,057,417

Luminent Mortgage Trust Series 2006-3 Class 12A1, 5.715% 5/25/36 (d)

3,546,317

3,470,482

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 5.715% 5/25/47 (d)

4,190,000

4,092,630

MASTR Asset Backed Securities Trust Series 2007-HE1 Class A3, 5.715% 5/25/37 (d)

17,500,000

17,106,250

Merrill Lynch Alternative Note Asset Trust Series 2007-OAR1 Class A1, 5.675% 2/25/37 (d)

10,837,299

10,508,905

Asset-Backed Securities - continued

Principal Amount

Value

Morgan Stanley ABS Capital I Trust:

Series 2006-HE1 Class M2, 5.895% 1/25/36 (d)

$ 3,909,000

$ 3,042,637

Series 2006-HE3 Class A2C, 5.665% 4/25/36 (d)

8,255,000

7,967,363

Series 2006-HE6 Class A2A, 5.545% 9/25/36 (d)

12,736,013

12,630,546

Series 2006-NC1 Class A2, 5.645% 12/25/35 (d)

4,850,000

4,830,299

Series 2007-HE2 Class A2A, 5.545% 1/25/37 (d)

835,789

827,300

Series 2007-HE4 Class A2A, 5.615% 2/25/37 (d)

766,611

758,825

Series 2007-NC3 Class A2A, 5.565% 5/25/37 (d)

349,401

347,054

Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 5.605% 4/25/37 (d)

6,386,315

6,352,390

National Collegiate Student Loan Trust Series 2007-2 Class AIO, 6.7% 7/25/12 (f)

21,050,000

5,924,312

Nomura Home Equity Loan Trust:

Series 2006-AF1 Class A1, 6.032% 10/25/36

2,020,137

2,016,034

Series 2006-HE1 Class A1, 5.585% 2/25/36 (d)

267,051

266,258

Series 2007-2 Class 2A3, 5.695% 2/25/37 (d)

14,000,000

13,339,382

NovaStar Home Equity Loan Trust Series 2006-2 Class A2A, 5.555% 6/25/36 (d)

655,922

654,692

Option One Mortgage Loan Trust Series 2007-5 Class 2A1, 5.595% 5/25/37 (d)

2,243,244

2,231,678

Ownit Mortgage Loan Asset-Backed Certificates Series 2006-2 Class A2A, 5.585% 1/25/37 (d)

2,367,456

2,353,029

Ownit Mortgage Loan Trust Series 2006-6 Class A2A, 5.565% 9/25/37 (d)

4,966,729

4,893,003

Popular ABS Mortgage Trust pass-thru certificates Series 2005-6 Class A1, 5.5% 1/25/36

1,281,791

1,274,181

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 5.595% 6/25/37 (d)

8,032,465

7,979,756

Wells Fargo Home Equity Trust Series 2007-2 Class A1, 5.595% 4/25/37 (d)

7,773,434

7,718,779

TOTAL ASSET-BACKED SECURITIES

(Cost $251,697,761)

244,946,778

Collateralized Mortgage Obligations - 15.9%

Private Sponsor - 7.0%

Arkle Master Issuer PLC floater Series 2007-1A Class 1C, 5.78% 2/17/52 (a)(d)

13,425,000

13,425,000

Banc of America Mortgage Securities, Inc.:

Series 2003-I Class 2A6, 4.1499% 10/25/33 (d)

32,350,000

31,763,129

Series 2003-J Class 2A2, 4.3919% 11/25/33 (d)

4,883,441

4,803,999

Series 2004-1 Class 2A2, 4.6856% 10/25/34 (d)

10,041,134

9,862,474

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Banc of America Mortgage Securities, Inc.: - continued

Series 2004-A:

Class 2A1, 3.5523% 2/25/34 (d)

$ 2,862,595

$ 2,784,564

Class 2A2, 4.1033% 2/25/34 (d)

12,323,022

12,047,165

Series 2004-D Class 2A1, 3.6156% 5/25/34 (d)

1,380,700

1,340,408

Series 2004-J Class 2A1, 4.7685% 11/25/34 (d)

4,383,482

4,302,780

Series 2005-D Class 2A7, 4.7749% 5/25/35 (d)

4,480,000

4,364,210

Series 2005-H:

Class 1A1, 4.9226% 9/25/35 (d)

1,516,018

1,498,254

Class 2A2, 4.8021% 9/25/35 (d)

1,561,459

1,520,607

Series 2005-J Class 2A5, 5.0858% 11/25/35 (d)

13,095,000

12,865,527

Bear Stearns Adjustable Rate Mortgage Trust:

Series 2003-6 Class 1A2, 3.9702% 8/25/33 (d)

15,391,655

15,208,984

Series 2004-10 Class 11A1, 4.2907% 1/25/35 (d)

9,865,551

9,828,012

Chase Mortgage Finance Trust:

Series 2007-A1:

Class 1A5, 4.3588% 2/25/37 (d)

928,727

915,485

Class 5A1, 4.1708% 2/25/37 (d)

7,553,293

7,368,745

Series 2007-A2:

Class 2A1, 4.243% 7/25/37 (d)

4,293,295

4,226,901

Class 3A1, 4.566% 7/25/37 (d)

30,355,395

29,812,034

Citigroup Mortgage Loan Trust:

Series 2004-UST1:

Class A3, 4.2265% 8/25/34 (d)

18,868,388

18,590,865

Class A4, 4.4069% 8/25/34 (d)

12,254,436

12,007,052

Series 2006-AR7:

Class 1A1, 6.705% 11/25/36 (d)

1,009,181

1,009,181

Countrywide Home Loans pass-thru certificates:

Series 2007-HY3 Class 1A1, 5.6832% 6/25/47 (d)

16,886,991

16,797,128

Series 2007-HY5 Class 3A1, 6.2335% 9/25/37 (d)

6,920,000

6,816,200

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 4.6454% 11/25/34 (d)

4,694,869

4,612,594

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 5.1102% 10/25/34 (d)

14,329,200

14,129,441

Granite Master Issuer PLC floater Series 2005-4 Class C2, 6.06% 12/20/54 (d)

6,005,000

5,997,974

GSR Mortgage Loan Trust:

Series 2005-AR4 Class 3A5, 4.7579% 7/25/35 (d)

4,255,000

4,255,000

Series 2006-AR2 Class 4A1, 5.8537% 4/25/36 (d)

15,885,927

15,685,624

Series 2007-AR2 Class 2A1, 4.8399% 4/25/35 (d)

4,553,124

4,462,221

Holmes Master Issuer PLC floater Series 2007-2A Class 2C1, 5.77% 7/15/21 (d)

5,370,000

5,370,000

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

JPMorgan Mortgage Trust:

sequential payer:

Series 2006-A3 Class 3A3, 5.7456% 5/25/36 (d)

$ 21,370,000

$ 21,262,385

Series 2006-A4 Class 1A3, 5.8257% 6/25/36 (d)

8,445,000

8,318,325

Series 2006-A2 Class 5A1, 3.7552% 11/25/33 (d)

32,027,393

31,567,435

Series 2006-A3 Class 6A1, 3.7702% 8/25/34 (d)

7,414,177

7,203,524

Series 2006-A4 Class 1A1, 5.8257% 6/25/36 (d)

1,507,538

1,496,411

Series 2007-A1:

Class 3A2, 5.0072% 7/25/35 (d)

23,050,422

22,696,844

Class 7A3, 5.3007% 7/25/35 (d)

29,063,000

28,627,389

Merrill Lynch Mortgage Investors Trust:

Series 2004-A4 Class A1, 4.2273% 8/25/34 (d)

13,569,634

13,233,183

Series 2006-A6 Class A4, 4.1758% 10/25/33 (d)

21,584,385

21,210,364

Morgan Stanley Mortgage Loan Trust sequential payer Series 2006-8AR Class 5A3, 5.4264% 6/25/36 (d)

10,320,000

10,227,057

Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.2922% 7/25/34 (d)

11,166,463

10,939,423

Securitized Asset Backed Receivables LLC Trust floater Series 2006-FR3 Class A1, 5.555% 5/25/36 (d)

697,708

695,200

Structured Asset Securities Corp.:

Series 2003-15A Class 4A, 5.4207% 4/25/33 (d)

8,676,598

8,487,845

Series 2003-20 Class 1A1, 5.5% 7/25/33

5,422,444

5,265,702

WaMu Mortgage pass-thru certificates:

Series 2003-AR10 Class A7, 4.0575% 10/25/33 (d)

38,330,000

37,405,802

Series 2003-AR8 Class A, 4.03% 8/25/33 (d)

12,305,707

12,120,344

Series 2004-AR7 Class A6, 3.941% 7/25/34 (d)

1,995,000

1,929,242

Series 2006-AR10 Class 1A4, 5.9506% 9/25/36 (d)

25,453,000

25,671,463

WaMu Mortgage Securities Corp. pass-thru certificates Series 2005-AR3 Class A2, 4.6374% 3/25/35 (d)

20,319,263

19,845,314

Wells Fargo Mortgage Backed Securities Trust:

sequential payer Series 2006-AR13 Class A4, 5.7598% 9/25/36 (d)

7,990,000

8,007,417

Series 2004-W:

Class A1, 4.5638% 11/25/34 (d)

9,150,060

8,957,835

Class A9, 4.5638% 11/25/34 (d)

16,510,000

16,113,152

Series 2005-AR12:

Class 2A5, 4.3186% 7/25/35 (d)

4,475,000

4,365,728

Class 2A6, 4.3186% 7/25/35 (d)

1,203,554

1,173,745

Series 2005-AR3 Class 2A1, 4.187% 3/25/35 (d)

2,365,217

2,320,127

TOTAL PRIVATE SPONSOR

606,812,814

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - 8.9%

Fannie Mae:

planned amortization class:

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

$ 2,590,000

$ 2,667,853

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

4,664,000

4,559,439

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

10,044,665

7,485,565

Series 2006-53 Class PB, 5.5% 1/25/30

20,373,000

20,495,181

Series 2006-64:

Class MB, 5.5% 9/25/33

14,040,916

14,045,411

Class PB, 5.5% 9/25/33

33,007,700

33,018,266

Series 1993-165 Class SH, 4.1544% 9/25/23 (d)

762,641

742,676

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

27,748,394

28,210,999

Series 2003-22 6% 4/25/33 (f)

21,435,943

4,992,549

Fannie Mae STRIP:

Series 339:

Class 29, 5.5% 7/1/18 (f)

12,006,747

1,891,063

Class 5, 5.5% 7/1/33 (f)

11,702,351

2,808,564

Series 343 Class 16, 5.5% 5/1/34 (f)

8,354,583

2,007,711

Series 348 Class 14, 6.5% 8/1/34 (f)

5,148,674

1,176,955

Series 351:

Class 12, 5.5% 4/1/34 (f)

3,728,623

866,905

Class 13, 6% 3/1/34 (f)

4,906,490

1,177,558

Series 359, Class 19 6% 7/1/35 (f)

4,842,356

1,122,821

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

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

19,384,966

19,700,109

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

1,020,290

1,048,885

Series 2001-63 Class TC, 6% 12/25/31

16,685,000

16,810,087

Series 2001-72 Class NZ, 6% 12/25/31

4,585,024

4,556,384

Series 2005-14 Class ME, 5% 10/25/33

6,813,000

6,476,733

Series 2006-57 Class PC, 5.5% 10/25/32

14,081,000

14,080,938

sequential payer:

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

24,801,425

25,128,943

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

9,291,760

9,527,376

Series 2003-112 Class AN, 4% 11/25/18

16,358,000

15,008,553

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

3,051,994

3,088,504

Series 2004-3 Class BA, 4% 7/25/17

1,118,729

1,081,933

Series 2004-70 Class GB, 4.5% 1/25/32

5,961,966

5,645,295

Series 2004-91 Class AH, 4.5% 5/25/29

733,297

716,192

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

12,815,000

13,009,468

Series 2001-63 Class PG, 6% 12/25/31

9,950,781

10,075,934

Series 2001-74 Class QE, 6% 12/25/31

9,467,677

9,586,828

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Fannie Mae subordinate REMIC pass-thru certificates: - continued

Series 2003-21 Class SK, 2.595% 3/25/33 (d)(f)

$ 4,316,293

$ 412,207

Series 2003-3 Class HS, 2.145% 9/25/16 (d)(f)

431,896

19,268

Series 2003-35:

Class BS, 1.495% 4/25/17 (d)(f)

4,299,860

175,505

Class TQ, 1.995% 5/25/18 (d)(f)

4,571,206

349,020

Series 2003-42 Class SJ, 1.545% 11/25/22 (d)(f)

5,530,618

324,665

Series 2004-54 Class SW, 0.495% 6/25/33 (d)(f)

19,355,297

605,085

Series 2005-14 Class SE, 0.545% 3/25/35 (d)(f)

22,280,222

786,770

Series 2007-36:

Class GO, 4/25/37 (g)

5,304,365

4,063,233

Class PO, 4/25/37 (g)

7,204,248

5,496,026

Class SB, 1.095% 4/25/37 (d)(f)

93,673,559

5,287,235

Class SG, 1.095% 4/25/37 (d)(f)

68,950,976

3,561,118

Series 2007-57 Class SA, 7.59% 6/25/37 (d)

18,887,190

20,338,833

Series 2007-66:

Class SA, 6.57% 7/25/37 (d)

16,341,797

17,973,894

Class SB, 6.57% 7/25/37 (d)

6,839,431

7,601,601

Freddie Mac:

floater Series 3318:

Class CY, 0% 11/15/36 (d)

1,242,471

1,379,192

Class GY, 0% 5/15/37 (d)

1,353,635

1,485,773

planned amortization class:

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

24,293,470

24,675,998

Series 3033 Class UD, 5.5% 10/15/30

8,960,000

9,022,018

Series 3178:

Class PB, 5.5% 4/15/30

23,374,000

23,550,034

Class PC, 5.5% 12/15/32

7,453,000

7,466,817

Series 3225 Class EO, 10/15/36 (g)

12,317,676

9,193,021

Series 3030 Class SL, 0.4888% 9/15/35 (d)(f)

53,550,719

1,732,103

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 3129 Class MF, 0% 7/15/34 (d)

2,023,925

2,008,745

Series 3222 Class HF, 0% 9/15/36 (d)

3,132,606

3,116,943

Series 3298 Class CF, 0% 8/15/36 (d)

2,608,657

3,097,781

planned amortization class:

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

12,018,022

8,598,542

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

9,760,378

9,935,209

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

9,963,498

10,137,682

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

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

$ 13,723,684

$ 13,979,639

Series 2585 Class KS, 1.9888% 3/15/23 (d)(f)

3,050,163

257,506

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

574,091

175,141

Series 2625 Class QX, 2.25% 3/15/22

710,391

705,441

Series 2640 Class QG, 2% 4/15/22

969,702

961,108

Series 2665 Class PB, 3.5% 6/15/23

1,392,008

1,374,704

Series 2750 Class NE, 5% 4/15/32

21,352,000

20,789,919

Series 2836 Class EG, 5% 12/15/32

40,221,000

38,964,882

Series 2952 Class EC, 5.5% 11/15/28

11,757,000

11,822,817

Series 3018 Class UD, 5.5% 9/15/30

10,540,000

10,608,714

Series 3049 Class DB, 5.5% 6/15/31

11,205,000

11,282,793

Series 3075 Class PB, 5.5% 7/15/30

18,780,000

18,925,192

Series 3078 Class PB, 5.5% 7/15/29

32,145,000

32,369,649

Series 3159 Class TC, 5.5% 6/15/32

7,522,000

7,529,562

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

14,113,659

14,206,269

sequential payer:

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

3,531,812

3,643,286

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

5,925,546

5,865,903

Series 2564 Class ES, 1.9888% 2/15/22 (d)(f)

5,030,943

276,614

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

861,852

139,782

Series 2675 Class CB, 4% 5/15/16

501,068

488,279

Series 2683 Class JA, 4% 10/15/16

523,965

509,014

Series 2750 Class ZT, 5% 2/15/34

12,229,651

10,562,889

Series 2817 Class SD, 1.4388% 7/15/30 (d)(f)

8,140,230

435,524

Series 2902 Class LZ, 5.5% 9/15/31

28,898,983

28,343,678

Series 3204 Class VB, 5% 3/15/25

6,632,403

6,163,336

Series 2957 Class SW, 0.3888% 4/15/35 (d)(f)

33,133,878

1,025,162

Series 3002 Class SN, 0.8888% 7/15/35 (d)(f)

32,994,829

1,561,975

Ginnie Mae guaranteed REMIC pass-thru securities:

planned amortization class:

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

14,910,216

15,158,131

Series 2006-50:

Class JC, 5% 6/20/36

31,031,879

29,236,191

Class JD, 5% 9/20/36

2,512,120

2,252,089

Series 2003-11 Class S, 0.9613% 2/16/33 (d)(f)

24,282,872

1,097,588

Series 2004-32 Class GS, 0.9113% 5/16/34 (d)(f)

7,181,301

310,155

Series 2007-18 Class S, 1.2113% 4/16/37 (d)(f)

43,715,332

2,217,097

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru securities: - continued

Series 2007-32 Class XA, 0% 5/20/36 (d)

$ 8,681,255

$ 8,987,953

Series 2007-35 Class SC, 6.6675% 6/16/37 (d)

818,850

924,629

TOTAL U.S. GOVERNMENT AGENCY

768,358,607

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $1,367,613,199)

1,375,171,421

Commercial Mortgage Securities - 0.7%

Ginnie Mae guaranteed Multi-family pass-thru securities sequential payer Series 2002-35 Class C, 5.8739% 10/16/23 (d)

1,357,255

1,370,172

Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-59 Class D, 3.654% 10/16/27

35,005,000

33,310,604

WaMu Mortgage pass-thru certificates Series 2006-AR8 Class 2A2, 6.1342% 8/25/36 (d)

22,370,000

22,595,865

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $59,118,915)

57,276,641

Fixed-Income Funds - 17.4%

Shares

Fidelity Ultra-Short Central Fund (e)
(Cost $1,576,018,760)

15,878,100

1,501,274,355

Cash Equivalents - 2.3%

Maturity Amount

Value

Investments in repurchase agreements in a joint trading account at 5.37%, dated 8/31/07 due 9/4/07 (Collateralized by U.S. Government Obligations) #
(Cost $196,409,000)

$ 196,526,253

$ 196,409,000

TOTAL INVESTMENT PORTFOLIO - 136.9%

(Cost $11,900,455,279)

11,802,536,816

NET OTHER ASSETS - (36.9)%

(3,183,661,983)

NET ASSETS - 100%

$ 8,618,874,833

Swap Agreements

Expiration Date

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 5.134% with JPMorgan Chase, Inc.

August 2009

$ 91,000,000

$ (426,344)

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.309% with Credit Suisse First Boston

June 2009

150,000,000

(920,040)

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.47% with Credit Suisse First Boston

Sept. 2037

11,000,000

(20,434)

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.524% with Credit Suisse First Boston

June 2009

322,000,000

(3,455,929)

Receive semi-annually a fixed rate equal to 5.1225% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

August 2012

83,000,000

566,102

Receive semi-annually a fixed rate equal to 5.193% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank

August 2012

145,000,000

1,405,616

Receive semi-annually a fixed rate equal to 5.46% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

August 2017

60,000,000

1,111,896

Receive semi-annually a fixed rate equal to 5.48% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

August 2017

44,000,000

876,432

Receive semi-annually a fixed rate equal to 5.74% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

July 2017

40,000,000

1,599,252

Receive semi-annually a fixed rate equal to 5.79% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

June 2017

80,000,000

3,515,824

Receive semi-annually a fixed rate equal to 5.93% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

July 2027

50,000,000

3,032,864

$ 1,076,000,000

$ 7,285,239

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $13,425,000 or 0.2% of net assets.

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

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

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

(e) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

(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.

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

Repurchase Agreement / Counterparty

Value

$196,409,000 due 9/04/07 at 5.37%

BNP Paribas Securities Corp.

$ 4,538,327

Banc of America Securities LLC

69,549,572

Bank of America, NA

31,260,218

Bear Stearns & Co., Inc.

3,907,527

Citigroup Global Markets, Inc.

12,324,208

Credit Suisse Securities (USA) LLC

7,815,055

Greenwich Capital Markets, Inc.

3,907,527

HSBC Securities (USA), Inc.

7,815,055

ING Financial Markets LLC

15,630,109

Societe Generale, New York Branch

23,445,164

UBS Securities LLC

7,619,678

WestLB AG

8,596,560

$ 196,409,000

Affiliated Central Funds

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

Fund

Income earned

Fidelity Ultra-Short Central Fund

$ 53,127,378

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 Ultra-Short Central Fund

$ -

$ 2,045,050,507

$ 464,941,107

$ 1,501,274,355

11.9%

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements

Statement of Assets and Liabilities

August 31, 2007

Assets

Investment in securities, at value (including repurchase agreements of $196,409,000) - See accompanying schedule:

Unaffiliated issuers (cost $10,324,436,519)

$ 10,301,262,461

Fidelity Central Funds (cost $1,576,018,760)

1,501,274,355

Total Investments (cost $11,900,455,279)

$ 11,802,536,816

Commitment to sell securities on a delayed delivery basis

(818,155,008)

Receivable for securities sold on a delayed delivery basis

815,473,550

(2,681,458)

Cash

440,473

Receivable for investments sold
Regular delivery

79,623,826

Delayed delivery

56,779,481

Interest receivable

38,578,038

Distributions receivable from Fidelity Central Funds

7,642,698

Swap agreements, at value

7,285,239

Total assets

11,990,205,113

Liabilities

Payable for investments purchased
Regular delivery

$ 83,602,196

Delayed delivery

3,287,539,646

Other payables and accrued expenses

188,438

Total liabilities

3,371,330,280

Net Assets

$ 8,618,874,833

Net Assets consist of:

Paid in capital

$ 8,712,189,515

Net unrealized appreciation (depreciation) on investments

(93,314,682)

Net Assets, for 87,706,030 shares outstanding

$ 8,618,874,833

Net Asset Value, offering price and redemption price per share ($8,618,874,833 ÷ 87,706,030 shares)

$ 98.27

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements - continued

Statement of Operations

For the period November 27, 2006 (commencement of operations) to August 31, 2007

Investment Income

Interest

$ 268,003,072

Income from Fidelity Central Funds

53,127,378

Total income

321,130,450

Expenses

Custodian fees and expenses

$ 347,985

Independent directors' compensation

17,660

Total expenses before reductions

365,645

Expense reductions

(17,660)

347,985

Net investment income

320,782,465

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

(73,088,547)

Fidelity Central Funds

(4,090,640)

Swap agreements

(5,979,971)

Capital gain distributions from Fidelity Central Funds

21,106

Total net realized gain (loss)

(83,138,052)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(63,511,404)

Swap agreements

7,285,239

Delayed delivery commitments

(2,681,458)

Total change in net unrealized appreciation (depreciation)

(58,907,623)

Net gain (loss)

(142,045,675)

Net increase (decrease) in net assets resulting from operations

$ 178,736,790

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Changes in Net Assets

For the period
November 27, 2006
(commencement of
operations) to
August 31, 2007

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 320,782,465

Net realized gain (loss)

(83,138,052)

Change in net unrealized appreciation (depreciation)

(58,907,623)

Net increase (decrease) in net assets resulting from operations

178,736,790

Distributions to partners from net investment income

(320,386,448)

Affiliated share transactions
Proceeds from sales of shares

1,738,485,436

Contributions in-kind

7,140,674,090

Reinvestment of distributions

114,456,703

Cost of shares redeemed

(233,091,738)

Net increase (decrease) in net assets resulting from share transactions

8,760,524,491

Total increase (decrease) in net assets

8,618,874,833

Net Assets

Beginning of period

-

End of period

$ 8,618,874,833

Other Information

Shares

Sold

17,473,187

Issued for in-kind contributions

71,406,741

Issued in reinvestment of distributions

1,165,697

Redeemed

(2,339,595)

Net increase (decrease)

87,706,030

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights

Period ended
August 31,

2007 G

Selected Per-Share Data

Net asset value, beginning of period

$ 100.00

Income from Investment Operations

Net investment income D

4.024

Net realized and unrealized gain (loss)

(1.731)

Total from investment operations

2.293

Distributions to partners from net investment income

(4.023)

Net asset value, end of period

$ 98.27

Total Return B, C

2.33%

Ratios to Average Net Assets E, H

Expenses before reductions

.01% A

Expenses net of fee waivers, if any

.01% A

Expenses net of all reductions

.01% A

Net investment income

5.34% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 8,618,875

Portfolio turnover rate F

450% A, I

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period November 27, 2006 (commencement of operations) to August 31, 2007.

H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

I Portfolio turnover rate excludes securities received or delivered in-kind.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Notes to Financial Statements

For the period ended August 31, 2007

1. Organization.

Fidelity Mortgage Backed Securities Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) (formerly of Fidelity Central Investment Portfolios LLC) and is authorized to issue an unlimited number of shares. Effective, April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund reorganized into Fidelity Central Investment Portfolios II LLC effective June 29, 2007 (Trust Reorganization). The Trust Reorganization does not impact the Fund's investment strategies or Fidelity Management & Research Company's (FMR) management of the Fund. The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company. Each Fund in the LLC is a separate partnership for tax purposes. Shares of the Fund are only offered to other investment companies and accounts managed by FMR, or its affiliates.

2. Investments in Fidelity Central Funds.

The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by FMR and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity Ultra-Short Central Fund

Fidelity Investments Money Management, Inc. (FIMM)

Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities.

Futures

Mortgage Dollar Rolls

Repurchase Agreements

Restricted Securities

Swap Agreements

The Central Funds may invest a portion of their assets in securities of issuers that hold mortgage securities, including subprime mortgage securities. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.

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Notes to Financial Statements - continued

2. Investments in Fidelity Central Funds - continued

A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Directors 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 available dealer supplied prices. Certain of the Fund's securities may be valued by a single source or dealer.

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 Directors. Factors used in the determination of fair value may include current market trading activity, interest rates, credit quality and default rates. 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.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and income and capital gain distributions from the other Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Annual Report

3. Significant Accounting Policies - continued

Expenses. Most expenses of the LLC can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the LLC. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known. All legal and other expenses associated with the Trust Reorganization will be paid by FMR.

Income Tax Information and Distributions to Partners. No provision has been made for federal income taxes because all income and expenses and gain/loss (realized and unrealized) are allocated daily to the partners, based on their capital balances, for inclusion in their individual income tax returns.

Distributions are declared daily and paid monthly from net investment income on a book basis, except for certain items such as market discount and financing transactions which are deemed distributed based on allocations to the partners and are reclassified to paid in capital. Due to the Fund's partnership structure, paid in capital includes net realized gain/loss on investments.

The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:

Unrealized appreciation

$ 52,498,082

Unrealized depreciation

(147,086,028)

Net unrealized appreciation (depreciation)

$ (94,587,946)

Cost for federal income tax purposes

$ 11,897,124,762

New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management has concluded that the adoption of FIN 48 will not result in a material impact on the Fund's net assets, results of operations and financial statement disclosures.

In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.

Annual Report

Notes to Financial Statements - continued

4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the fund's Statement of Assets and Liabilities under the caption "Delayed delivery." Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

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4. Operating Policies - continued

Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."

Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.

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Notes to Financial Statements - continued

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, U.S. government securities and in-kind transactions, aggregated $2,972,733,694 and $508,284,766, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain exceptions such as interest expense.

Exchange-In-Kind. On November 24, 2006, the Investing Funds completed a non-taxable exchange with the Fund. The Investing Funds delivered securities with a value, including accrued interest, of $7,140,674,090 (which included $34,407,059 of unrealized depreciation) in exchange for 71,406,741 shares of the Fund, as presented in the accompanying Statement of Changes in Net Assets. This is considered a non-taxable exchange for federal income tax purposes, with no gain or loss recognized by the Fund or its partners.

The Board of Directors may permit the purchase of shares (for cash, securities or other consideration) and admit new Eligible Accredited Investors into the Fund, in accordance with the Partnership Agreement. At the end of the period, mutual funds managed by FMR or its affiliates were the owners of record of all the outstanding shares of the Fund.

7. Expense Reductions.

FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. During the period, this reimbursement reduced expenses by $17,660.

8. Other.

The Fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

9. Credit Risk.

The Fund invests a portion of its assets in securities of issuers that hold mortgage securities, including subprime mortgage securities. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Central Investment Portfolios II LLC and the Shareholders of Fidelity Mortgage Backed Securities Central Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Mortgage Backed Securities Central Fund (a fund of Fidelity Central Investment Portfolios II LLC) at August 31, 2007, the results of its operations, the changes in its net assets and the financial highlights for the period November 27, 2006, (commencement of operations) through August 31, 2007, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Mortgage Backed Securities Central Fund's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at August 31, 2007 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

October 30, 2007

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the Fidelity Central Investment Portfolios II LLC and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 369 funds advised by FMR or an affiliate. Mr. Curvey oversees 339 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (77)

Year of Election or Appointment: 2007

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as President (2006-present), Chief Executive Officer, Chairman, and a Director of FMR LLC; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001-present) and a Director of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of Fidelity International Limited (FIL).

James C. Curvey (72)

Year of Election or Appointment: 2007

Mr. Curvey also serves as Trustee (2007-present) or Member of the Advisory Board (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2006-present) and Director of FMR LLC. Mr. Curvey joined Fidelity in 1982 and served in numerous senior management positions, including President and Chief Operating Officer of FMR LLC (1997-2000) and President of Fidelity Strategic Investments (2000-2002). In addition, he serves as a member of the Board of Directors of Geerlings & Wade, Inc. (wine distribution).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the Fidelity Central Investment Portfolios II LLC or various entities under common control with FMR. FMR Corp. merged with FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

Dennis J. Dirks (59)

Year of Election or Appointment: 2007

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of Manhattan College (2005-present) and a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present).

Albert R. Gamper, Jr. (65)

Year of Election or Appointment: 2007

Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (1989-2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001-present), Chairman of the Board of Governors, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System.

George H. Heilmeier (71)

Year of Election or Appointment: 2007

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), and HRL Laboratories (private research and development, 2004-present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002), INET Technologies Inc. (telecommunications network surveillance, 2001-2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid crystal display, and a member of the Consumer Electronics Hall of Fame.

James H. Keyes (66)

Year of Election or Appointment: 2007

Prior to his retirement in 2003, Mr. Keyes was Chairman, President, and Chief Executive Officer of Johnson Controls, Inc. (automotive supplier, 1993-2003). He currently serves as a member of the boards of LSI Logic Corporation (semiconductor technologies), Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, 2002-present), and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions).

Marie L. Knowles (60)

Year of Election or Appointment: 2007

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002-present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (63)

Year of Election or Appointment: 2007

Mr. Lautenbach is Chairman of the Independent Trustees (2006-present). Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Sony Corporation (2006-present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations.

Cornelia M. Small (63)

Year of Election or Appointment: 2007

Ms. Small is a member (2000-present) and Chairperson (2002-present) of the Investment Committee, and a member (2002-present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1999). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

William S. Stavropoulos (68)

Year of Election or Appointment: 2007

Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003), CEO (1995-2000; 2002-2004), and Chairman of the Executive Committee (2000-2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002-present), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment firm, 2005-present). He is a special advisor to Clayton, Dubilier & Rice, Inc., a private equity investment firm. He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Kenneth L. Wolfe (68)

Year of Election or Appointment: 2007

Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003-present), Bausch & Lomb, Inc., and Revlon Inc. (2004-present).

Advisory Board Members and Executive Officers**:

Correspondence intended for Mr. Mauriello and Mr. Wiley may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Peter S. Lynch (63)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund.

Joseph Mauriello (62)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services firm, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Capital Ltd., (global insurance and re-insurance company, 2006-present) and of Arcadia Resources Inc., (health care services and products, 2007-present). He also served as a Director of the Hamilton Funds of the Bank of New York (2006-2007).

Michael E. Wiley (56)

Year of Election or Appointment: 2007

Member of the Advisory Board of Fidelity Central Investment Portfolios II LLC. Mr. Wiley also serves as Sr. Energy Advisor of Katzenbach Partners, LLC (consulting firm, 2006-present) and a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-present). He serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), and a Director of Bill Barrett Corporation (exploration and production company, 2005-present). In addition, he also serves as a Director of Post Oak Bank (privately-held bank, 2004-present), and an Advisory Director of Riverstone Holdings (private investment firm). Previously, Mr. Wiley served as Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services company, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production company, 2001-2005).

Kimberley H. Monasterio (43)

Year of Election or Appointment: 2007

President and Treasurer of Mortgage Backed Securities Central Fund. Ms. Monasterio also serves as President and Treasurer of other Fidelity funds (2007-present) and is an employee of FMR (2004-present). Previously, Ms. Monasterio served as Deputy Treasurer of the Fidelity funds (2004-2006). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

Boyce I. Greer (51)

Year of Election or Appointment: 2006

Vice President of Mortgage Backed Securities Central Fund. Mr. Greer also serves as Vice President of certain Asset Allocation Funds (2005-present), Fixed-Income Funds (2006-present), and Money Market Funds (2006-present). Mr. Greer is also a Trustee of other investment companies advised by FMR (2003-present). Mr. Greer is an Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present), and Senior Vice President of Fidelity Investments Money Management, Inc. (2006-present). Previously, Mr. Greer served as Vice President of certain Fidelity Equity Funds (2005-2007), a Director and Managing Director of Strategic Advisers, Inc. (2002-2005), and Executive Vice President (2000-2002) and Money Market Group Leader (1997-2002) of the Fidelity Investments Fixed Income Division. Mr. Greer also served as Vice President of Fidelity's Money Market Funds (1997-2002), Senior Vice President of FMR (1997-2002), and Vice President of FIMM (1998-2002).

David L. Murphy (59)

Year of Election or Appointment: 2006

Vice President of Mortgage Backed Securities Central Fund. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002-present), and Fixed-Income Funds (2005-present). Mr. Murphy serves as Senior Vice President (2000-present) and Head (2004-present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of Fidelity Investments Money Management, Inc. (2003-present) and an Executive Vice President of FMR (2005-present). Previously, Mr. Murphy served as Money Market Group Leader (2002-2004), Bond Group Leader (2000-2002), and Vice President of certain Asset Allocation Funds (2003-2007), Balanced Funds (2005-2007), Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002).

Thomas J. Silvia (46)

Year of Election or Appointment: 2006

Vice President of Mortgage Backed Securities Central Fund. Mr. Silvia also serves as Vice President of Fidelity's Fixed-Income Funds (2005-present) and Senior Vice President and Bond Group Leader of the Fidelity Investments Fixed-Income Division (2005-present). Previously, Mr. Silvia served as Vice President of certain Balanced Funds (2005-2007), certain Asset Allocation Funds (2005-2007), a Director of Fidelity's Taxable Bond portfolio managers (2002-2004) and a portfolio manager in the Bond Group (1997-2004).

Eric D. Roiter (58)

Year of Election or Appointment: 2006

Secretary of Mortgage Backed Securities Central Fund. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001-present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001-present), Fidelity Research & Analysis Company (2001-present), and Fidelity Investments Money Management, Inc. (2001-present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003-present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998-2005).

Scott C. Goebel (39)

Year of Election or Appointment: 2007

Assistant Secretary of Mortgage Backed Securities Central Fund. Mr. Goebel also serves as Assistant Secretary of other Fidelity funds (2007-present), and is an employee of FMR.

R. Stephen Ganis (41)

Year of Election or Appointment: 2006

Anti-Money Laundering (AML) officer of Mortgage Backed Securities Central Fund. Mr. Ganis also serves as AML officer of other Fidelity funds (2006-present) and FMR LLC (2003-present). Before joining Fidelity Investments, Mr. Ganis practiced law at Goodwin Procter, LLP (2000-2002).

Joseph B. Hollis (59)

Year of Election or Appointment: 2006

Chief Financial Officer of Mortgage Backed Securities Central Fund. Mr. Hollis also serves as Chief Financial Officer of other Fidelity funds. Mr. Hollis is President of Fidelity Pricing and Cash Management Services (FPCMS) (2005-present). Mr. Hollis also serves as President and Director of Fidelity Service Company, Inc. (2006-present). Previously, Mr. Hollis served as Senior Vice President of Cash Management Services (1999-2002) and Investment Management Operations (2002-2005).

Kenneth A. Rathgeber (60)

Year of Election or Appointment: 2006

Chief Compliance Officer of Mortgage Backed Securities Central Fund. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004-present) and Executive Vice President of Risk Oversight for Fidelity Investments (2002-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present). Previously, Mr. Rathgeber served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

Bryan A. Mehrmann (46)

Year of Election or Appointment: 2006

Deputy Treasurer of Mortgage Backed Securities Central Fund. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004).

Kenneth B. Robins (38)

Year of Election or Appointment: 2006

Deputy Treasurer of Mortgage Backed Securities Central Fund. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Robert G. Byrnes (40)

Year of Election or Appointment: 2006

Assistant Treasurer of Mortgage Backed Securities Central Fund. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003).

Peter L. Lydecker (53)

Year of Election or Appointment: 2006

Assistant Treasurer of Mortgage Backed Securities Central Fund. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Gary W. Ryan (49)

Year of Election or Appointment: 2006

Assistant Treasurer of Mortgage Backed Securities Central Fund. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999-2005).

** FMR Corp. merged with FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Mortgage Backed Securities Central Fund

On April 19, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one LLC to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it initially approved the Advisory Contracts for the fund in July 2006, prior to commencement, and that it will again consider renewal of the Advisory Contracts in June 2008.

Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.

In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders; and (iv) whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies.

Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one LLC to another.

Annual Report

Item 2. Code of Ethics

As of the end of the period, August 31, 2007, Fidelity Central Investment Portfolios II LLC (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert

The Board of Trustees of the trust has determined that Marie L. Knowles is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Knowles is independent for purposes of Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services

(a) Audit Fees.

For the fiscal years ended August 31, 2007 and August 31, 2006, the aggregate Audit Fees billed by PricewaterhouseCoopers LLP (PwC) for professional services rendered for the audits of the financial statements, or services that are normally provided in connection with statutory and regulatory filings or engagements for those fiscal years, for Fidelity 1-3 Year Duration Securitized Bond Central Fund, Fidelity 2-5 Year Duration Securitized Bond Central Fund, Fidelity Corporate Bond 1-10 Year Central Fund, Fidelity Corporate Bond 1-5 Year Central Fund and Fidelity Mortgage Backed Securities Central Fund (the funds) and for all funds in the Fidelity Group of Funds are shown in the table below.

Fund

2007A

2006A,B

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$50,000

$0

Fidelity 2-5 Year Duration Securitized Bond Central Fund

$94,000

$0

Fidelity Corporate Bond 1-10 Year Central Fund

$49,000

$0

Fidelity Corporate Bond 1-5 Year Central Fund

$48,000

$0

Fidelity Mortgage Backed Securities Central Fund

$127,000

$0

All funds in the Fidelity Group of Funds audited by PwC

$14,300,000

$13,300,000

A

Aggregate amounts may reflect rounding.

B

No Audit Fees were billed by PwC for professional services rendered for the audit of the annual financial statements, or services that are normally provided in connection with the statutory and regulatory filings or engagements, to Fidelity 1-3 Year Duration Securitized Bond Central Fund (September 25, 2006), Fidelity 2-5 Year Duration Securitized Bond Central Fund (October 30, 2006), Fidelity Corporate Bond 1-10 Year Central Fund (November 6, 2006), Fidelity Corporate Bond 1-5 Year Central Fund (November 6, 2006) and Fidelity Mortgage Backed Securities Central Fund (November 29, 2006) as the funds did not commence operations until September 25, 2006, October 30, 2006, November 6, 2006 and November 29, 2006 as noted above.

(b) Audit-Related Fees.

In each of the fiscal years ended August 31, 2007 and August 31, 2006 the aggregate Audit-Related Fees billed by PwC for services rendered for assurance and related services to each fund that are reasonably related to the performance of the audit or review of the fund's financial statements, but not reported as Audit Fees, are shown in the table below.

Fund

2007A

2006A,B

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$0

$0

Fidelity 2-5 Year Duration Securitized Bond Central Fund

$0

$0

Fidelity Corporate Bond 1-10 Year Central Fund

$0

$0

Fidelity Corporate Bond 1-5 Year Central Fund

$0

$0

Fidelity Mortgage Backed Securities Central Fund

$0

$0

A

Aggregate amounts may reflect rounding.

B

No Audit-Related Fees were billed by PwC for services rendered for assurance and related services to the funds that are reasonably related to the performance of the audit or review of the funds' financial statements, but not reported as Audit Fees to Fidelity 1-3 Year Duration Securitized Bond Central Fund (September 25, 2006), Fidelity 2-5 Year Duration Securitized Bond Central Fund (October 30, 2006), Fidelity Corporate Bond 1-10 Year Central Fund (November 6, 2006), Fidelity Corporate Bond 1-5 Year Central Fund (November 6, 2006) and Fidelity Mortgage Backed Securities Central Fund (November 29, 2006) as the funds did not commence operations until September 25, 2006, October 30, 2006, November 6, 2006 and November 29, 2006 as noted above.

In each of the fiscal years ended August 31, 2007 and August 31, 2006, the aggregate Audit-Related Fees that were billed by PwC that were required to be approved by the Audit Committee for services rendered on behalf of Fidelity Management & Research Company (FMR) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the funds ("Fund Service Providers") for assurance and related services that relate directly to the operations and financial reporting of each fund that are reasonably related to the performance of the audit or review of the fund's financial statements, but not reported as Audit Fees, are shown in the table below.

Billed By

2007A,B

2006A,B

PwC

$0

$0

A

Aggregate amounts may reflect rounding.

B

May include amounts billed prior to the funds' commencement of operations.

Fees included in the audit-related category comprise assurance and related services (e.g., due diligence services) that are traditionally performed by the independent registered public accounting firm. These audit-related services include due diligence related to mergers and acquisitions, accounting consultations and audits in connection with acquisitions, internal control reviews, attest services that are not required by statute or regulation and consultation concerning financial accounting and reporting standards.

(c) Tax Fees.

In each of the fiscal years ended August 31, 2007 and August 31, 2006, the aggregate Tax Fees billed by PwC for professional services rendered for tax compliance, tax advice, and tax planning for each fund is shown in the table below.

Fund

2007A

2006A,B

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$10,000

$0

Fidelity 2-5 Year Duration Securitized Bond Central Fund

$18,500

$0

Fidelity Corporate Bond 1-10 Year Central Fund

$15,500

$0

Fidelity Corporate Bond 1-5 Year Central Fund

$15,500

$0

Fidelity Mortgage Backed Securities Central Fund

$14,500

$0

A

Aggregate amounts may reflect rounding.

B

No Tax Fees were billed by PwC for services rendered for tax compliance, tax advice, and tax planning for Fidelity 1-3 Year Duration Securitized Bond Central Fund (September 25, 2006), Fidelity 2-5 Year Duration Securitized Bond Central Fund (October 30, 2006), Fidelity Corporate Bond 1-10 Year Central Fund (November 6, 2006), Fidelity Corporate Bond 1-5 Year Central Fund (November 6, 2006) and Fidelity Mortgage Backed Securities Central Fund (November 29, 2006) as the funds did not commence operations until September 25, 2006, October 30, 2006, November 6, 2006 and November 29, 2006 as noted above.

In each of the fiscal years ended August 31, 2007 and August 31, 2006, the aggregate Tax Fees billed by PwC that were required to be approved by the Audit Committee for professional services rendered on behalf of the Fund Service Providers for tax compliance, tax advice, and tax planning that relate directly to the operations and financial reporting of each fund is shown in the table below.

Billed By

2007A,B

2006A,B

PwC

$0

$0

A

Aggregate amounts may reflect rounding.

B

May include amounts billed prior to the funds' commencement of operations.

Fees included in the Tax Fees category comprise all services performed by professional staff in the independent registered public accounting firm's tax division except those services related to the audit. Typically, this category would include fees for tax compliance, tax planning, and tax advice. Tax compliance, tax advice, and tax planning services include preparation of original and amended tax returns, claims for refund and tax payment-planning services, assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.

(d) All Other Fees.

In each of the fiscal years ended August 31, 2007 and August 31, 2006, the aggregate Other Fees billed by PwC for all other non-audit services rendered to the funds is shown in the table below.

Fund

2007A

2006A,B

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$200

$0

Fidelity 2-5 Year Duration Securitized Bond Central Fund

$200

$0

Fidelity Corporate Bond 1-10 Year Central Fund

$200

$0

Fidelity Corporate Bond 1-5 Year Central Fund

$200

$0

Fidelity Mortgage Backed Securities Central Fund

$200

$0

A

Aggregate amounts may reflect rounding.

B

No Other Fees were billed by PwC for all other non-audit services rendered to for Fidelity 1-3 Year Duration Securitized Bond Central Fund (September 25, 2006), Fidelity 2-5 Year Duration Securitized Bond Central Fund (October 30, 2006), Fidelity Corporate Bond 1-10 Year Central Fund (November 6, 2006), Fidelity Corporate Bond 1-5 Year Central Fund (November 6, 2006) and Fidelity Mortgage Backed Securities Central Fund (November 29, 2006) as the funds did not commence operations until September 25, 2006, October 30, 2006, November 6, 2006 and November 29, 2006 as noted above.

In each of the fiscal years ended August 31, 2007 and August 31, 2006, the aggregate Other Fees billed by PwC that were required to be approved by the Audit Committee for all other non-audit services rendered on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund is shown in the table below.

Billed By

2007A,B

2006A,B

PwC

275,000

$155,000

A

Aggregate amounts may reflect rounding.

B

May include amounts billed prior to the funds' commencement of operations.

Fees included in the All Other Fees category include services related to internal control reviews, strategy and other consulting, financial information systems design and implementation, consulting on other information systems, and other tax services unrelated to the fund.

(e) (1)

Audit Committee Pre-Approval Policies and Procedures:

The trust's Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm relating to the operations or financial reporting of the funds. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.

The trust's Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity Fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (Covered Service) are subject to approval by the Audit Committee before such service is provided. Non-audit services provided by a fund audit firm for a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund (Non-Covered Service) but that are expected to exceed $50,000 are also subject to pre-approval by the Audit Committee.

All Covered Services, as well as Non-Covered Services that are expected to exceed $50,000, must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee. Neither pre-approval nor advance notice of Non-Covered Service engagements for which fees are not expected to exceed $50,000 is required; such engagements are to be reported to the Audit Committee monthly.

(e) (2)

Services approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:

Audit-Related Fees:

There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended August 31, 2007 and August 31, 2006 on behalf of each fund.

There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended August 31, 2007 and August 31, 2006 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.

Tax Fees:

There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended August 31, 2007 and August 31, 2006 on behalf of each fund.

There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended August 31, 2007 and August 31, 2006 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.

All Other Fees:

There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended August 31, 2007 and August 31, 2006 on behalf of each fund.

There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended August 31, 2007 and August 31, 2006 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.

(f) Not Applicable.

(g) For the fiscal years ended August 31, 2007 and August 31, 2006, the aggregate fees billed by PwC of $1,460,000A,B and $1,155,000A,B for non-audit services rendered on behalf of the funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and Fund Service Providers relating to Covered Services and Non-Covered Services are shown in the table below.

2007A,B

2006A,B

Covered Services

$350,000

$155,000

Non-Covered Services

$1,110,000

$1,000,000

A

Aggregate amounts may reflect rounding.

B

May include amounts billed prior to the funds' commencement of operations.

(h) The trust's Audit Committee has considered Non-Covered Services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its audit of the funds, taking into account representations from PwC, in accordance with Independence Standards Board Standard No.1, regarding its independence from the funds and their related entities.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.

Item 11. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.

Item 12. Exhibits

(a)

(1)

Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

(a)

(2)

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.

(a)

(3)

Not applicable.

(b)

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

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/Kimberley Monasterio

Kimberley Monasterio

President and Treasurer

Date:

November 7, 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:

November 7, 2007

By:

/s/Joseph B. Hollis

Joseph B. Hollis

Chief Financial Officer

Date:

November 7, 2007