N-Q 1 main.htm

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811- 2676

Fidelity School Street Trust
 (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:

December 31

Date of reporting period:

September 30, 2004

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® New Markets Income Fund

September 30, 2004

1.808781.100

NMI-QTLY-1104

Investments September 30, 2004 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 13.6%

Principal Amount (c)

Value

Argentina - 0.5%

Pecom Energia SA 8.125% 7/15/10 (Reg. S)

$ 2,390,000

$ 2,390,000

Telefonica de Argentina SA 9.125% 11/7/10

2,255,000

2,283,188

TOTAL ARGENTINA

4,673,188

Bahamas (Nassau) - 0.1%

Odebrecht Overseas Ltd. 11.5% 2/25/09 (e)

900,000

965,250

Bermuda - 0.2%

APP China Group Ltd.:

14% 3/15/10 (b)(e)

3,855,000

828,825

14% 3/15/10 (Reg. S) (b)

6,570,000

1,412,550

TOTAL BERMUDA

2,241,375

Brazil - 0.1%

Braskem SA 11.75% 1/22/14 (e)

880,000

948,200

Cayman Islands - 0.1%

CSN Islands VIII Corp. 9.75% 12/16/13 (e)

880,000

882,200

Germany - 1.9%

Aries Vermogensverwaltngs GmbH 5.368% 10/25/07 (e)(f)

EUR

8,500,000

10,821,652

Bayerische Hypo-und Vereinsbank AG 8.625% 7/15/11 (e)

3,105,000

3,233,858

Citigroup Global Markets Deutschland AG 9.25% 4/19/14 (e)

3,615,000

3,434,250

TOTAL GERMANY

17,489,760

Indonesia - 0.3%

APP International Finance (Mauritius) Ltd.:

0% 7/5/05 (b)(e)

4,420,000

265,200

0% 7/5/05 (Reg. S) (b)

1,335,000

80,100

MEI Euro Finance Ltd. 8.75% 5/22/10 (e)

2,170,000

2,140,163

TOTAL INDONESIA

2,485,463

Luxembourg - 0.7%

Millicom International Cellular SA 10% 12/1/13 (e)

6,350,000

6,350,000

Malaysia - 1.4%

Petroliam Nasional BHD (Petronas) 7.625% 10/15/26 (Reg. S)

11,310,000

13,275,113

Mexico - 0.1%

Innova S. de R.L. 9.375% 9/19/13

915,000

999,638

Nonconvertible Bonds - continued

Principal Amount (c)

Value

Netherlands - 0.2%

Hurricane Finance BV:

9.625% 2/12/10 (e)

$ 1,770,000

$ 1,911,600

9.625% 2/12/10 (Reg. S)

50,000

54,000

TOTAL NETHERLANDS

1,965,600

Russia - 3.6%

Mobile Telesystems Finance SA:

9.75% 1/30/08 (e)

12,710,000

13,472,600

9.75% 1/30/08 (Reg. S)

300,000

318,000

OAO Gazprom:

9.625% 3/1/13

8,090,000

8,990,417

10.5% 10/21/09

9,060,000

10,464,300

TOTAL RUSSIA

33,245,317

Tunisia - 0.3%

Banque Centrale de Tunisie 7.375% 4/25/12

2,195,000

2,500,764

Ukraine - 0.7%

Kyivstar GSM 10.375% 8/17/09 (e)

6,189,000

6,606,758

United States of America - 3.4%

Pemex Project Funding Master Trust:

3.4% 10/15/09 (e)(f)

11,175,000

11,622,000

7.375% 12/15/14

8,705,000

9,488,450

8.625% 2/1/22

4,670,000

5,317,963

9.125% 10/13/10

3,630,000

4,315,163

TOTAL UNITED STATES OF AMERICA

30,743,576

TOTAL NONCONVERTIBLE BONDS

(Cost $126,310,169)

125,372,202

Government Obligations - 77.1%

Argentina - 4.5%

Argentine Republic:

BOCON:

4/1/07 February 2002 coupon (b)(i)

2,200,000

733

4/1/07 January 2002 coupon (b)(i)

2,200,000

733

4/1/07 March 2002 coupon (b)(i)

2,200,000

733

2% 4/1/07 (b)(f)

1,547,511

330,000

Brady:

discount 2.4006% 3/31/23 (b)(f)

7,710,000

4,009,200

par L-GP 6% 3/31/23 (b)

13,010,000

6,830,250

3% 3/29/05 (b)(f)

6,921,600

1,834,224

Government Obligations - continued

Principal Amount (c)

Value

Argentina - continued

Argentine Republic: - continued

1.98% 8/3/12 (f)

$ 6,295,000

$ 4,651,407

9.75% 9/19/27 (b)

13,536,000

3,925,440

11.375% 3/15/10 (b)

7,494,000

2,248,200

11.375% 1/30/17 (b)

10,806,000

3,295,830

11.75% 4/7/09 (b)

6,416,000

1,956,880

11.75% 6/15/15 (b)

11,258,000

3,377,400

12% 6/19/31 (b)

6,089,700

1,787,327

12.25% 6/19/18 (b)

6,818,532

2,011,467

12.375% 2/21/12 (b)

4,745,000

1,470,950

15.5% 12/19/08 (b)

9,741,000

2,922,300

82.329% 4/10/05 (b)(f)

1,180,000

395,300

TOTAL ARGENTINA

41,048,374

Belize - 0.1%

Belize Government 9.75% 6/12/15

1,435,000

1,148,000

Brazil - 18.4%

Brazilian Federative Republic:

Brady:

capitalization bond 8% 4/15/14

52,669,101

52,110,808

debt conversion bond 2.125% 4/15/12 (f)

12,489,412

11,583,929

7.72% 6/29/09 (f)

4,355,000

4,763,281

8.25% 1/20/34

1,940,000

1,731,450

8.875% 4/15/24

14,345,000

13,771,200

9.25% 10/22/10

4,260,000

4,575,240

10% 8/7/11

7,915,000

8,726,288

10.25% 6/17/13

4,870,000

5,391,090

11% 1/11/12

4,645,000

5,330,138

11% 8/17/40

31,125,000

34,922,250

11.5% 3/12/08

4,290,000

4,946,370

12% 4/15/10

4,295,000

5,130,378

12.75% 1/15/20

4,570,000

5,803,900

14.5% 10/15/09

8,605,000

11,100,450

TOTAL BRAZIL

169,886,772

Colombia - 3.1%

Colombian Republic:

8.125% 5/21/24

1,525,000

1,387,750

9.75% 4/23/09

3,590,000

4,038,750

10% 1/23/12

5,205,000

5,764,538

10.375% 1/28/33

1,760,000

1,922,800

10.5% 7/9/10

5,400,000

6,210,000

Government Obligations - continued

Principal Amount (c)

Value

Colombia - continued

Colombian Republic: - continued

10.75% 1/15/13

$ 3,460,000

$ 3,966,890

11.75% 2/25/20

4,090,000

5,010,250

TOTAL COLOMBIA

28,300,978

Dominican Republic - 0.3%

Dominican Republic:

9.04% 1/23/13 (e)

1,990,000

1,547,225

9.5% 9/27/06 (Reg. S)

1,695,000

1,440,750

TOTAL DOMINICAN REPUBLIC

2,987,975

Ecuador - 1.3%

Ecuador Republic:

8% 8/15/30 (d)(e)

2,484,000

2,024,460

8% 8/15/30 (Reg. S) (d)

6,880,000

5,607,200

12% 11/15/12 (e)

124,000

122,450

12% 11/15/12 (Reg. S)

4,065,000

4,014,188

TOTAL ECUADOR

11,768,298

Egypt - 0.3%

Arab Republic 10.3592% to 10.4534% 11/23/04

EGP

18,050,000

2,852,768

Ivory Coast - 0.3%

Ivory Coast:

Brady past due interest 2% 3/29/18 (Reg. S) (b)(f)

3,880,750

737,343

FLIRB 2% 3/29/18 (Reg. S) (b)(f)

8,730,000

1,571,400

TOTAL IVORY COAST

2,308,743

Lebanon - 1.7%

Lebanese Republic:

7.875% 5/20/11 (e)

3,510,000

3,606,525

10.25% 10/6/09 (Reg. S)

2,280,000

2,599,200

11.625% 5/11/16 (Reg. S)

8,305,000

9,654,563

TOTAL LEBANON

15,860,288

Mexico - 9.8%

United Mexican States:

6.375% 1/16/13

15,535,000

16,358,355

6.625% 3/3/15

3,465,000

3,672,900

6.75% 9/27/34

11,690,000

11,222,400

7.5% 4/8/33

32,745,000

34,431,368

8.125% 12/30/19

11,355,000

13,012,830

Government Obligations - continued

Principal Amount (c)

Value

Mexico - continued

United Mexican States: - continued

11.375% 9/15/16

$ 4,285,000

$ 6,288,238

11.5% 5/15/26

3,725,000

5,568,875

TOTAL MEXICO

90,554,966

Nigeria - 1.1%

Central Bank of Nigeria:

promissory note 5.092% 1/5/10

10,873,776

10,267,549

warrants 11/15/20 (g)(h)

4,000

1,480

TOTAL NIGERIA

10,269,029

Panama - 1.6%

Panamanian Republic:

8.875% 9/30/27

1,960,000

2,038,400

9.375% 1/16/23

4,580,000

4,992,200

9.625% 2/8/11

6,360,000

7,282,200

TOTAL PANAMA

14,312,800

Peru - 2.6%

Peruvian Republic:

8.75% 11/21/33

1,690,000

1,681,550

9.125% 2/21/12

13,305,000

14,868,338

euro Brady past due interest 5% 3/7/17 (f)

8,522,800

7,798,362

TOTAL PERU

24,348,250

Philippines - 4.6%

Philippine Republic:

8.375% 3/12/09

4,295,000

4,579,544

8.375% 2/15/11

13,159,000

13,356,385

8.875% 3/17/15

5,365,000

5,344,881

9% 2/15/13

3,550,000

3,665,375

9.875% 3/16/10

2,105,000

2,341,813

9.875% 1/15/19

3,450,000

3,557,813

10.625% 3/16/25

8,695,000

9,314,519

TOTAL PHILIPPINES

42,160,330

Russia - 11.9%

Russian Federation:

5% 3/31/30 (d)(e)

17,592,500

16,932,781

5% 3/31/30 (Reg. S) (d)

64,570,000

62,148,615

Government Obligations - continued

Principal Amount (c)

Value

Russia - continued

Russian Federation: - continued

11% 7/24/18 (Reg. S)

$ 12,687,000

$ 16,556,535

12.75% 6/24/28 (Reg. S)

9,092,000

13,819,840

TOTAL RUSSIA

109,457,771

Turkey - 4.7%

Turkish Republic:

9.5% 1/15/14

2,165,000

2,457,275

11% 1/14/13

6,600,000

8,093,250

11.5% 1/23/12

4,690,000

5,839,050

11.75% 6/15/10

8,540,000

10,600,275

11.875% 1/15/30

4,390,000

6,058,200

12.375% 6/15/09

6,875,000

8,559,375

22.7799% 4/27/05

TRL

3,480,000,000,000

2,043,855

TOTAL TURKEY

43,651,280

Ukraine - 1.0%

City of Kiev 8.75% 8/8/08

1,315,000

1,380,750

Ukraine Government 6.875% 3/4/11 (e)

7,605,000

7,481,419

TOTAL UKRAINE

8,862,169

Uruguay - 1.5%

Uruguay Republic:

7.25% 2/15/11

6,490,000

6,100,600

7.5% 3/15/15

5,690,000

5,078,325

7.875% 1/15/33 pay-in-kind

3,615,199

2,964,463

TOTAL URUGUAY

14,143,388

Venezuela - 8.3%

Venezuelan Republic:

oil recovery rights 4/15/20 (g)

14,625

0

2.6325% 4/20/11 (f)

11,720,000

10,020,600

5.375% 8/7/10

24,170,000

21,777,170

7% 12/1/18 (Reg. S)

5,375,000

4,541,875

8.5% 10/8/14

3,905,000

3,817,138

9.25% 9/15/27

18,055,000

17,802,230

9.375% 1/13/34

3,900,000

3,853,200

Government Obligations - continued

Principal Amount (c)

Value

Venezuela - continued

Venezuelan Republic: - continued

10.75% 9/19/13

$ 8,080,000

$ 9,057,680

13.625% 8/15/18

4,615,000

5,907,200

TOTAL VENEZUELA

76,777,093

TOTAL GOVERNMENT OBLIGATIONS

(Cost $674,124,025)

710,699,272

Money Market Funds - 7.9%

Shares

Fidelity Cash Central Fund, 1.74% (a)
(Cost $72,354,838)

72,354,838

72,354,838

Purchased Options - 0.0%

Expiration Date/
Strike Price

Underlying Face Amount

United States of America - 0.0%

Lehman Brothers Holdings, Inc. Call Option on $34,866,452 notional amount of Brazilian Federative Republic 8% 4/15/14
(Cost $132,493)

October
2004/
$98.5

$ 34,496,868

188,279

TOTAL INVESTMENT PORTFOLIO - 98.6%

(Cost $872,921,525)

908,614,591

NET OTHER ASSETS - 1.4%

12,855,201

NET ASSETS - 100%

$ 921,469,792

Security Type Abbreviations

FLIRB

-

Front Loaded Interest
Reduction Bonds

Currency Abbreviations

EGP

-

Egyptian pound

EUR

-

European Monetary Unit

TRL

-

Turkish lira

Legend

(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request.

(b) Non-income producing - issuer filed for bankruptcy or is in default of interest payments.

(c) Principal amount is stated in United States dollars unless otherwise noted.

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

(e) Security 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 period end, the value of these securities amounted to $95,197,416 or 10.3% of net assets.

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

(g) Quantity represents share amount.

(h) Non-income producing.

(i) Represents right to receive interest payment on underlying security. Principal shown is original face of underlying security.

Income Tax Information

At September 30, 2004, the aggregate cost of investment securities for income tax purposes was $869,979,834. Net unrealized appreciation aggregated $38,634,757, of which $49,999,901 related to appreciated investment securities and $11,365,144 related to depreciated investment securities.

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Strategic Income Fund

September 30, 2004

1.808788.100

FSN-QTLY-1104

Investments September 30, 2004 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 48.0%

Principal Amount (000s) (d)

Value
(000s)

Convertible Bonds - 0.1%

INFORMATION TECHNOLOGY - 0.1%

Semiconductors & Semiconductor Equipment - 0.1%

Atmel Corp. 0% 5/23/21

$ 6,275

$ 2,836

Nonconvertible Bonds - 47.9%

CONSUMER DISCRETIONARY - 9.9%

Auto Components - 0.3%

Dana Corp.:

9% 8/15/11

2,700

3,254

10.125% 3/15/10

855

975

EaglePicher, Inc. 9.75% 9/1/13

1,780

1,820

Stoneridge, Inc. 11.5% 5/1/12

635

721

Tenneco Automotive, Inc. 11.625% 10/15/09

380

401

United Components, Inc. 9.375% 6/15/13

610

657

7,828

Automobiles - 0.1%

General Motors Corp. euro 1.25% 12/20/04

JPY

50,000

455

Renault SA 0.3313% 4/23/07 (h)

JPY

200,000

1,805

Volkswagen Financial Services NV 5.5% 9/20/06

GBP

500

909

3,169

Hotels, Restaurants & Leisure - 2.5%

Domino's, Inc. 8.25% 7/1/11

864

933

Gaylord Entertainment Co. 8% 11/15/13

2,055

2,160

Hilton Hotels Corp.:

7.625% 12/1/12

1,420

1,658

8.25% 2/15/11

3,235

3,817

ITT Corp. 7.375% 11/15/15

2,850

3,103

Mandalay Resort Group:

6.375% 12/15/11

1,780

1,825

6.5% 7/31/09

2,865

2,965

MGM MIRAGE:

6% 10/1/09 (g)

1,360

1,374

6.75% 9/1/12 (g)

4,210

4,352

8.5% 9/15/10

275

313

Morton's Restaurant Group, Inc. 7.5% 7/1/10

1,845

1,762

Penn National Gaming, Inc. 8.875% 3/15/10

3,450

3,782

Royal Caribbean Cruises Ltd. 6.875% 12/1/13

3,010

3,191

Speedway Motorsports, Inc.:

6.75% 6/1/13

3,050

3,180

6.75% 6/1/13 (g)

1,110

1,157

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Starwood Hotels & Resorts Worldwide, Inc.:

7.375% 5/1/07

$ 1,925

$ 2,074

7.875% 5/1/12

1,480

1,672

Station Casinos, Inc.:

6% 4/1/12

2,740

2,815

6.5% 2/1/14

2,620

2,679

Sun International Hotels Ltd./Sun International North America, Inc. 8.875% 8/15/11

4,080

4,478

Town Sports International Holdings, Inc. 0% 2/1/14 (e)

8,065

4,073

Vail Resorts, Inc. 6.75% 2/15/14

6,165

6,180

Venetian Casino Resort LLC/Las Vegas Sands, Inc. 11% 6/15/10

430

493

Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (g)

885

947

Wheeling Island Gaming, Inc. 10.125% 12/15/09

1,300

1,375

Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp. 12% 11/1/10

3,056

3,774

66,132

Household Durables - 0.6%

Beazer Homes USA, Inc. 8.625% 5/15/11

1,510

1,665

D.R. Horton, Inc.:

7.875% 8/15/11

1,175

1,334

8% 2/1/09

1,925

2,156

K. Hovnanian Enterprises, Inc. 7.75% 5/15/13

4,210

4,526

KB Home 8.625% 12/15/08

1,800

2,034

Standard Pacific Corp.:

7.75% 3/15/13

1,000

1,085

9.25% 4/15/12

305

351

Tempur-Pedic, Inc./Tempur Production USA, Inc. 10.25% 8/15/10

1,395

1,580

William Lyon Homes, Inc. 7.5% 2/15/14

1,760

1,795

16,526

Leisure Equipment & Products - 0.0%

Riddell Bell Holdings, Inc. 8.375% 10/1/12 (g)

950

967

Media - 5.9%

AMC Entertainment, Inc.:

8% 3/1/14 (g)

2,000

1,880

8.625% 8/15/12 (g)

1,790

1,888

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

AMC Entertainment, Inc.: - continued

9.5% 2/1/11

$ 10

$ 10

9.875% 2/1/12

2,000

2,080

Cablevision Systems Corp. 8% 4/15/12 (g)

15,055

15,657

Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8% 4/30/12 (g)

3,000

2,985

Cinemark USA, Inc. 9% 2/1/13

640

715

Cinemark, Inc. 0% 3/15/14 (e)

6,865

4,720

Corus Entertainment, Inc. 8.75% 3/1/12

1,875

2,067

CSC Holdings, Inc.:

6.75% 4/15/12 (g)

5,610

5,624

7.625% 4/1/11

3,575

3,763

7.625% 7/15/18

8,865

9,087

7.875% 2/15/18

3,320

3,436

Dex Media, Inc.:

0% 11/15/13 (e)(g)

130

95

0% 11/15/13 (e)

2,970

2,168

8% 11/15/13

7,040

7,374

EchoStar DBS Corp.:

6.375% 10/1/11

5,255

5,308

6.625% 10/1/14 (g)

5,130

5,085

9.125% 1/15/09

948

1,052

10.375% 10/1/07

25

26

Entravision Communications Corp. 8.125% 3/15/09

3,380

3,583

Haights Cross Communications, Inc. 0% 8/15/11 (e)

2,480

1,513

Haights Cross Operating Co. 11.75% 8/15/11

2,700

2,970

Houghton Mifflin Co.:

0% 10/15/13 (e)

15,995

9,757

8.25% 2/1/11

2,845

2,973

9.875% 2/1/13

5,575

5,854

IMAX Corp. 9.625% 12/1/10 (g)

2,870

2,870

Innova S. de R.L. 9.375% 9/19/13

9,825

10,734

Lamar Media Corp. 7.25% 1/1/13

390

419

LBI Media, Inc. 10.125% 7/15/12

890

995

PanAmSat Corp. 6.375% 1/15/08

920

936

PEI Holdings, Inc. 11% 3/15/10

2,331

2,698

Radio One, Inc. 8.875% 7/1/11

2,590

2,855

Corporate Bonds - continued

Principal Amount (000s) (d))

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Rainbow National LLC & RNS Co. Corp.:

8.75% 9/1/12 (g)

$ 4,230

$ 4,399

10.375% 9/1/14 (g)

4,770

4,985

Rogers Cable, Inc.:

5.5% 3/15/14

1,535

1,412

6.25% 6/15/13

5,295

5,176

7.875% 5/1/12

670

700

Sun Media Corp. Canada 7.625% 2/15/13

2,000

2,140

Susquehanna Media Co. 7.375% 4/15/13

1,090

1,145

The Reader's Digest Association, Inc. 6.5% 3/1/11

5,510

5,675

The Walt Disney Co. 0.72% 10/19/04 (h)

JPY

200,000

1,818

TV Azteca SA de CV:

euro 10.5% 2/15/07 (Reg. S)

3,795

3,876

yankee 10.5% 2/15/07

295

301

Videotron LTEE 6.875% 1/15/14

780

800

155,604

Multiline Retail - 0.1%

Barneys, Inc. 9% 4/1/08

1,600

1,668

Specialty Retail - 0.4%

AutoNation, Inc. 9% 8/1/08

2,640

3,043

Blockbuster, Inc. 9% 9/1/12 (g)

2,370

2,447

CSK Automotive, Inc. 7% 1/15/14

620

605

Hollywood Entertainment Corp. 9.625% 3/15/11

1,390

1,501

J. Crew Intermediate LLC 0% 5/15/08 (e)

1,740

1,583

9,179

TOTAL CONSUMER DISCRETIONARY

261,073

CONSUMER STAPLES - 0.5%

Food & Staples Retailing - 0.1%

Jean Coutu Group, Inc. 7.625% 8/1/12 (g)

930

946

Food Products - 0.4%

Dean Foods Co.:

6.625% 5/15/09

40

42

6.9% 10/15/17

1,050

1,061

Doane Pet Care Co.:

9.75% 5/15/07

4,055

3,933

10.75% 3/1/10

1,050

1,124

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

Hines Nurseries, Inc. 10.25% 10/1/11

$ 520

$ 551

Michael Foods, Inc. 8% 11/15/13

610

634

Philipp Brothers Chemicals, Inc. 9.875% 6/1/08

2,755

2,590

9,935

Household Products - 0.0%

Central Garden & Pet Co. 9.125% 2/1/13

320

351

Personal Products - 0.0%

Elizabeth Arden, Inc. 7.75% 1/15/14

700

735

Tobacco - 0.0%

Gallaher Group PLC 4.625% 6/10/11

EUR

500

629

TOTAL CONSUMER STAPLES

12,596

ENERGY - 5.0%

Energy Equipment & Services - 0.5%

CHC Helicopter Corp. 7.375% 5/1/14

2,915

3,032

Grant Prideco, Inc.:

9% 12/15/09

170

190

9.625% 12/1/07

230

259

Hanover Compressor Co. 8.625% 12/15/10

720

781

Petroliam Nasional BHD (Petronas) 7.625% 10/15/26 (Reg. S)

3,910

4,589

Seabulk International, Inc. 9.5% 8/15/13

5,070

5,247

SESI LLC 8.875% 5/15/11

30

32

14,130

Oil & Gas - 4.5%

Belden & Blake Corp. 8.75% 7/15/12 (g)

2,225

2,359

Chesapeake Energy Corp.:

6.875% 1/15/16

2,509

2,609

7% 8/15/14 (g)

1,135

1,197

7.5% 6/15/14

1,115

1,215

7.75% 1/15/15

1,860

2,027

El Paso Corp. 7.875% 6/15/12

2,915

2,871

El Paso Energy Corp.:

7.375% 12/15/12

370

353

7.75% 1/15/32

6,000

5,198

7.8% 8/1/31

2,270

1,981

8.05% 10/15/30

170

149

Corporate Bonds - continued

Principal Amount (000s) (d))

Value
(000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil & Gas - continued

El Paso Production Holding Co. 7.75% 6/1/13

$ 5,000

$ 4,950

Encore Acquisition Co. 8.375% 6/15/12

3,295

3,592

Energy Partners Ltd. 8.75% 8/1/10

5,155

5,567

EXCO Resources, Inc. 7.25% 1/15/11

880

933

Forest Oil Corp. 8% 12/15/11

190

213

General Maritime Corp. 10% 3/15/13

4,420

5,017

GulfTerra Energy Partners LP/GulfTerra Energy Finance Corp. 10.625% 12/1/12

1,485

1,856

Houston Exploration Co. 7% 6/15/13

680

707

InterNorth, Inc. 9.625% 3/15/06 (c)

1,490

387

OAO Gazprom 9.625% 3/1/13

4,130

4,590

Pecom Energia SA:

8.125% 7/15/10 (Reg. S)

2,402

2,402

9% 5/1/09 (Reg. S)

4,683

4,859

Petroleos Mexicanos 9.25% 3/30/18

3,910

4,702

Plains Exploration & Production Co. 7.125% 6/15/14 (g)

1,320

1,439

Plains Exploration & Production Co.:

Series B, 8.75% 7/1/12

2,640

2,970

8.75% 7/1/12

1,500

1,688

Range Resources Corp. 7.375% 7/15/13

3,120

3,292

Ship Finance International Ltd. 8.5% 12/15/13

7,525

7,525

Teekay Shipping Corp. 8.875% 7/15/11

5,465

6,230

The Coastal Corp.:

6.375% 2/1/09

650

619

7.75% 6/15/10

3,355

3,355

7.75% 10/15/35

240

206

Vintage Petroleum, Inc. 8.25% 5/1/12

1,065

1,156

Williams Companies, Inc.:

7.125% 9/1/11

2,270

2,491

7.625% 7/15/19

11,455

12,543

7.75% 6/15/31

2,375

2,399

7.875% 9/1/21

5,350

5,845

8.125% 3/15/12

795

910

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil & Gas - continued

Williams Companies, Inc.: - continued

8.75% 3/15/32

$ 4,830

$ 5,385

YPF SA yankee 9.125% 2/24/09

1,391

1,534

119,321

TOTAL ENERGY

133,451

FINANCIALS - 8.8%

Capital Markets - 0.7%

Banco BPI SA 0.1013% 2/12/07 (h)

JPY

200,000

1,815

BCP Caylux Holdings Luxembourg SCA 9.625% 6/15/14 (g)

10,990

11,869

Goldman Sachs Group, Inc. 6.125% 2/14/17

GBP

2,000

3,736

Merrill Lynch & Co., Inc. 0.3719% 5/28/08 (h)

JPY

200,000

1,825

19,245

Commercial Banks - 0.7%

ABN-AMRO Bank NV 2.195% 1/23/08 (h)

EUR

1,500

1,865

ASB Bank Ltd. 0.0525% 7/27/05 (h)

JPY

300,000

2,716

Banco Santander Central Hispano SA 0% 2/23/06 (h)

EUR

1,500

1,864

Banque Federative du Credit Mutuel (BFCM) 2.22% 7/24/06 (h)

EUR

1,500

1,863

Japan Development Bank 1.7% 9/20/22

JPY

350,000

2,970

NIB Capital Bank NV 0.1013% 2/17/09 (h)

JPY

350,000

3,176

San Paolo IMI Spa 2.416% 6/28/16 (h)

EUR

1,000

1,244

Westpac Banking Corp. 2.2371% 1/27/06 (h)

CAD

1,500

1,188

16,886

Consumer Finance - 0.4%

Chester Asset Receivables Dealings PLC 2.957% 9/15/13 (h)

EUR

500

624

Cumbernauld Funding 5.2% 3/16/09

GBP

600

1,086

Ford Credit Australia Ltd. 0% 1/5/07 (h)

EUR

250

317

General Motors Acceptance Corp. 0% 7/5/05 (h)

EUR

2,000

2,512

General Motors Acceptance Corp. of Canada Ltd. 3.866% 9/12/08 (h)

EUR

1,750

2,232

Household Finance Corp. 6.25% 8/19/19

GBP

2,000

3,846

Metris Companies, Inc. 10.125% 7/15/06

470

463

11,080

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - 5.6%

Ahold Finance USA, Inc. 8.25% 7/15/10

$ 4,485

$ 5,023

Arch Western Finance LLC 6.75% 7/1/13 (g)

2,450

2,609

Aries Vermogensverwaltngs GmbH 9.6% 10/25/14 (g)

3,000

3,364

BAT International Finance PLC 0% 4/3/06 (h)

EUR

2,000

2,504

Caixa Finance BV 2.164% 11/21/06 (h)

EUR

2,000

2,486

Canada Housing Trust No. 1 4.65% 9/15/09

CAD

15,000

12,132

CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13

1,390

1,355

Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.:

0% 5/15/11 (e)

1,400

868

10.25% 1/15/10

3,300

2,607

Chukchansi Economic Development Authority 14.5% 6/15/09 (g)

470

588

Citigroup Global Markets Holdings, Inc. 5.01% 2/20/07 (h)

GBP

1,000

1,812

Crystal US Holding 3LLC/Crystal US Sub 3Corp.:

Series A, 0% 10/1/14 (e)(g)

2,790

1,709

Series B, 0% 10/1/14 (e)(g)

8,150

4,870

Deutsche Telekom International Finance BV 6.25% 12/9/10

GBP

450

837

El Paso Energy Partners LP/El Paso Energy Partners Finance Corp. 8.5% 6/1/11

729

808

Entercom Radio LLC/Entercom Capital, Inc. 7.625% 3/1/14

2,910

3,136

FIMEP SA 10.5% 2/15/13

5,965

6,994

Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11

1,915

2,174

Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 (g)

1,935

2,051

Graham Packaging Co. LP/ GPC Capital Corp.:

8.5% 10/15/12 (g)

2,510

2,510

9.875% 10/15/14 (g)

3,740

3,740

Huntsman Advanced Materials LLC:

11% 7/15/10 (g)

1,280

1,482

11.86% 7/15/08 (g)(h)

1,610

1,682

Hurricane Finance BV:

9.625% 2/12/10 (g)

885

956

9.625% 2/12/10 (Reg. S)

675

729

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

IOS Capital LLC 7.25% 6/30/08

$ 99

$ 103

Ispat Inland ULC 9.75% 4/1/14

2,125

2,338

Japan Finance Corp. for Municipal Enterprises 1.35% 11/26/13

JPY

275,000

2,487

Jostens Holding Corp. 0% 12/1/13 (e)

3,060

2,096

Jostens IH Corp. 7.625% 10/1/12 (g)

1,360

1,367

Level 3 Financing, Inc. 10.75% 10/15/11 (g)

5,670

4,763

MDP Acquisitions PLC 9.625% 10/1/12

1,000

1,143

Mobile Telesystems Finance SA:

8.375% 10/14/10 (g)

2,875

2,882

9.75% 1/30/08 (g)

4,050

4,293

9.75% 1/30/08 (Reg. S)

175

186

MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10

1,700

1,821

National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11

3,065

3,142

Pemex Project Funding Master Trust:

3.18% 6/15/10 (g)(h)

3,265

3,298

3.4% 10/15/09 (g)(h)

3,420

3,557

6.625% 4/4/10

EUR

500

674

8.625% 2/1/22

5,985

6,815

Petronas Capital Ltd. 7.875% 5/22/22 (Reg. S)

5,510

6,598

Punch Taverns Finance PLC:

5.1488% 4/15/09 (h)

GBP

500

819

euro 7.567% 4/15/26

GBP

500

1,043

R.H. Donnelley Finance Corp. I:

8.875% 12/15/10 (g)

340

386

10.875% 12/15/12 (g)

530

644

Refco Finance Holdings LLC/Refco Finance, Inc. 9% 8/1/12 (g)

4,100

4,346

Sealed Air Finance euro 5.625% 7/19/06

EUR

750

956

TRW Automotive Acquisition Corp.:

9.375% 2/15/13

3,036

3,446

11% 2/15/13

1,909

2,272

Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10

7,400

8,621

Volkswagen International Finance NV 0.1513% 2/9/06 (h)

JPY

300,000

2,719

WH Holdings Ltd./WH Capital Corp. 9.5% 4/1/11

830

896

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

Williams Companies, Inc. Credit Linked Certificate Trust 6.75% 4/15/09 (g)

$ 3,575

$ 3,745

Xerox Capital Trust I 8% 2/1/27

2,800

2,737

149,219

Real Estate - 0.9%

American Real Estate Partners/American Real Estate Finance Corp. 8.125% 6/1/12 (g)

3,370

3,547

BF Saul REIT 7.5% 3/1/14

4,460

4,527

Crescent Real Estate Equities LP/Crescent Finance Co. 9.25% 4/15/09

3,745

3,951

La Quinta Properties, Inc.:

7% 8/15/12 (g)

1,590

1,681

8.875% 3/15/11

2,660

2,983

Senior Housing Properties Trust:

7.875% 4/15/15

2,420

2,626

8.625% 1/15/12

3,610

4,016

23,331

Thrifts & Mortgage Finance - 0.5%

Granite Mortgages PLC:

2.485% 1/20/43 (h)

EUR

600

748

5.11% 3/20/44 (h)

GBP

1,000

1,811

Holmes Financing #8 PLC 4.9788% 7/15/40 (h)

GBP

1,000

1,810

Opera Finance PLC 5.1772% 7/31/13 (h)

GBP

1,500

2,719

Permanent Financing #1 PLC 5.1% 6/10/09 (h)

EUR

344

450

Southern Pacific Securities Series 2004 2, 5.1487% 6/10/25 (h)

GBP

2,500

4,530

12,068

TOTAL FINANCIALS

231,829

HEALTH CARE - 2.4%

Biotechnology - 0.0%

Polypore, Inc. 8.75% 5/15/12 (g)

770

803

Health Care Equipment & Supplies - 0.1%

Fisher Scientific International, Inc. 8.125% 5/1/12

1,785

1,990

Health Care Providers & Services - 2.1%

AmeriPath, Inc. 10.5% 4/1/13

4,205

4,289

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

AmerisourceBergen Corp.:

7.25% 11/15/12

$ 1,690

$ 1,825

8.125% 9/1/08

635

703

Beverly Enterprises, Inc. 7.875% 6/15/14 (g)

5,415

5,781

Concentra Operating Corp. 9.125% 6/1/12 (g)

705

772

Genesis HealthCare Corp. 8% 10/15/13

500

543

HCA, Inc. 6.75% 7/15/13

4,500

4,765

Mariner Health Care, Inc. 8.25% 12/15/13 (g)

1,280

1,363

National Nephrology Associates, Inc. 9% 11/1/11 (g)

700

809

PacifiCare Health Systems, Inc. 10.75% 6/1/09

1,037

1,190

Psychiatric Solutions, Inc. 10.625% 6/15/13

550

623

Service Corp. International (SCI) 6.75% 4/1/16 (g)

4,200

4,200

Tenet Healthcare Corp. 9.875% 7/1/14 (g)

4,095

4,249

Triad Hospitals, Inc. 7% 11/15/13

5,765

5,823

U.S. Oncology, Inc.:

9% 8/15/12 (g)

1,660

1,702

10.75% 8/15/14 (g)

6,685

6,886

Vanguard Health Holding Co. I 0% 10/1/15 (e)(g)

5,890

3,357

Vanguard Health Holding Co. II LLC 9% 10/1/14 (g)

8,540

8,551

57,431

Pharmaceuticals - 0.2%

Leiner Health Products, Inc. 11% 6/1/12 (g)

2,435

2,587

VWR International, Inc.:

6.875% 4/15/12 (g)

920

955

8% 4/15/14 (g)

920

966

4,508

TOTAL HEALTH CARE

64,732

INDUSTRIALS - 2.9%

Aerospace & Defense - 0.2%

Alliant Techsystems, Inc. 8.5% 5/15/11

1,825

1,989

BE Aerospace, Inc.:

8.5% 10/1/10

280

304

8.875% 5/1/11

1,655

1,676

Transdigm, Inc. 8.375% 7/15/11

900

959

Vought Aircraft Industries, Inc. 8% 7/15/11

905

871

5,799

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - 0.6%

American Airlines, Inc. pass thru trust certificates:

7.377% 5/23/19

$ 5,122

$ 2,919

7.379% 5/23/16

1,504

857

Continental Airlines, Inc. pass thru trust certificates:

6.541% 9/15/09

168

132

6.748% 9/15/18

163

124

6.795% 2/2/20

196

156

6.8% 7/2/07

102

80

6.9% 7/2/18

1,096

844

8.312% 10/2/12

1,531

1,103

8.321% 11/1/06

630

586

8.388% 5/1/22

83

62

Delta Air Lines, Inc. 7.9% 12/15/09

245

71

Delta Air Lines, Inc. pass thru trust certificates:

7.57% 11/18/10

1,190

1,069

7.711% 9/18/11

1,225

637

7.779% 11/18/05

245

93

7.92% 5/18/12

4,195

2,098

10.06% 1/2/16

160

72

Northwest Airlines Corp. 10% 2/1/09

2,020

1,414

Northwest Airlines, Inc. 9.875% 3/15/07

175

131

Northwest Airlines, Inc. pass thru trust certificates:

7.248% 7/2/14

229

158

7.691% 4/1/17

571

440

7.95% 9/1/16

1,379

1,075

8.07% 1/2/15

2,086

1,356

8.304% 9/1/10

241

183

NWA Trust 10.23% 6/21/14

333

289

15,949

Building Products - 0.2%

ERICO International Corp. 8.875% 3/1/12

370

376

Jacuzzi Brands, Inc. 9.625% 7/1/10

5,640

6,232

6,608

Commercial Services & Supplies - 0.4%

Allied Security Escrow Corp. 11.375% 7/15/11 (g)

1,630

1,720

Allied Waste North America, Inc. 6.5% 11/15/10

2,670

2,630

Browning-Ferris Industries, Inc.:

7.4% 9/15/35

220

198

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Browning-Ferris Industries, Inc.: - continued

9.25% 5/1/21

$ 250

$ 270

JohnsonDiversey, Inc. 9.625% 5/15/12

680

765

Worldspan LP 9.625% 6/15/11

4,140

3,757

9,340

Construction & Engineering - 0.2%

Blount, Inc. 8.875% 8/1/12

1,590

1,685

Fluor Corp. 6.95% 3/1/07

1,750

1,838

Great Lakes Dredge & Dock Corp. 7.75% 12/15/13

790

681

4,204

Electrical Equipment - 0.2%

General Cable Corp. 9.5% 11/15/10

3,930

4,362

Machinery - 0.1%

Cummins, Inc.:

7.125% 3/1/28

2,195

2,195

9.5% 12/1/10 (h)

290

334

Navistar International Corp. 7.5% 6/15/11

860

918

3,447

Marine - 0.2%

OMI Corp. 7.625% 12/1/13

6,465

6,691

Road & Rail - 0.8%

Grupo TMM SA de CV 10.5% 8/1/07 (g)

2,803

2,522

Kansas City Southern Railway Co.:

7.5% 6/15/09

3,265

3,330

9.5% 10/1/08

270

298

TFM SA de CV yankee:

10.25% 6/15/07

2,181

2,241

11.75% 6/15/09

12,628

12,691

21,082

TOTAL INDUSTRIALS

77,482

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - 2.6%

Communications Equipment - 0.4%

Lucent Technologies, Inc.:

6.45% 3/15/29

$ 13,295

$ 10,702

6.5% 1/15/28

270

220

10,922

Electronic Equipment & Instruments - 0.3%

Celestica, Inc. 7.875% 7/1/11

8,140

8,486

IT Services - 0.3%

Iron Mountain, Inc.:

6.625% 1/1/16

4,645

4,506

8.25% 7/1/11

620

646

8.625% 4/1/13

1,080

1,177

6,329

Office Electronics - 1.0%

Xerox Corp.:

6.875% 8/15/11

4,180

4,368

7.125% 6/15/10

2,970

3,148

7.625% 6/15/13

17,830

19,256

26,772

Semiconductors & Semiconductor Equipment - 0.6%

AMI Semiconductor, Inc. 10.75% 2/1/13

889

1,031

Freescale Semiconductor, Inc. 7.125% 7/15/14 (g)

6,190

6,438

ON Semiconductor Corp./Semiconductor Components Industries LLC 12% 3/15/10

940

1,083

Semiconductor Note Participation Trust 0% 8/4/11 (g)

740

1,014

Viasystems, Inc. 10.5% 1/15/11

5,785

5,525

15,091

TOTAL INFORMATION TECHNOLOGY

67,600

MATERIALS - 5.5%

Chemicals - 1.8%

America Rock Salt Co. LLC 9.5% 3/15/14 (g)

3,405

3,524

BOC Group PLC 2.235% 7/19/05 (h)

EUR

1,500

1,866

Braskem SA 12.5% 11/5/08

895

998

Compass Minerals Group, Inc. 10% 8/15/11

1,260

1,399

Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11

1,330

1,510

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

Georgia Gulf Corp. 7.125% 12/15/13

$ 920

$ 948

Huntsman ICI Chemicals LLC 10.125% 7/1/09

4,115

4,321

Huntsman ICI Holdings LLC 0% 12/31/09

3,465

1,836

Huntsman International LLC 9.875% 3/1/09

675

737

Huntsman LLC:

8.8% 7/15/11 (g)(h)

830

876

11.625% 10/15/10

980

1,137

Innophos, Inc. 8.875% 8/15/14 (g)

680

723

JohnsonDiversey Holdings, Inc. 0% 5/15/13 (e)

7,220

5,957

Lyondell Chemical Co.:

9.5% 12/15/08

1,655

1,798

9.625% 5/1/07

380

410

9.875% 5/1/07

210

221

11.125% 7/15/12

2,780

3,225

Millennium America, Inc.:

9.25% 6/15/08

2,310

2,527

9.25% 6/15/08 (g)

1,350

1,477

Phibro Animal Health Corp. 13% 12/1/07 unit (g)

1,850

2,017

Pliant Corp. 0% 6/15/09 (e)

4,385

3,705

Resolution Performance Products LLC/RPP Capital Corp. 9.5% 4/15/10

755

770

Solutia, Inc.:

6.72% 10/15/37 (c)

235

155

7.375% 10/15/27 (c)

7,380

4,871

47,008

Containers & Packaging - 1.0%

BWAY Corp. 10% 10/15/10

2,380

2,570

Crown Cork & Seal, Inc.:

7.375% 12/15/26

3,000

2,633

8% 4/15/23

4,690

4,385

Crown European Holdings SA:

9.5% 3/1/11

3,150

3,512

10.875% 3/1/13

1,005

1,171

Jefferson Smurfit Corp. U.S. 7.5% 6/1/13

2,000

2,110

Owens-Brockway Glass Container, Inc.:

7.75% 5/15/11

910

969

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Containers & Packaging - continued

Owens-Brockway Glass Container, Inc.: - continued

8.25% 5/15/13

$ 3,550

$ 3,781

8.875% 2/15/09

4,595

4,986

26,117

Metals & Mining - 1.7%

Century Aluminum Co. 7.5% 8/15/14 (g)

1,000

1,050

Compass Minerals International, Inc.:

0% 12/15/12 (e)

1,460

1,226

0% 6/1/13 (e)

3,710

2,931

CSN Islands VIII Corp. 9.75% 12/16/13 (g)

10,465

10,491

Foundation Pennsylvania Coal Co. 7.25% 8/1/14 (g)

1,670

1,779

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

5,685

5,450

10.125% 2/1/10

3,595

4,062

International Steel Group, Inc. 6.5% 4/15/14 (g)

6,710

6,710

Luscar Coal Ltd. 9.75% 10/15/11

1,400

1,589

Massey Energy Co. 6.625% 11/15/10

1,655

1,729

Oregon Steel Mills, Inc. 10% 7/15/09

3,395

3,709

Peabody Energy Corp. 6.875% 3/15/13

1,910

2,048

Steel Dynamics, Inc. 9.5% 3/15/09

3,095

3,420

46,194

Paper & Forest Products - 1.0%

Ainsworth Lumber Co. Ltd. 6.75% 3/15/14

2,250

2,149

Georgia-Pacific Corp.:

7.375% 12/1/25

3,670

3,904

8% 1/15/24

6,005

6,793

8.875% 5/15/31

1,420

1,704

9.375% 2/1/13

3,715

4,365

Millar Western Forest Products Ltd. 7.75% 11/15/13

2,405

2,525

Norske Skog Canada Ltd. 8.625% 6/15/11

1,420

1,537

Stone Container Corp.:

8.375% 7/1/12

1,760

1,954

9.75% 2/1/11

1,790

1,987

26,918

TOTAL MATERIALS

146,237

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - 7.2%

Diversified Telecommunication Services - 3.7%

Empresa Brasileira de Telecomm SA 11% 12/15/08

$ 6,685

$ 7,404

Eschelon Operating Co. 8.375% 3/15/10

2,015

1,612

MCI, Inc.:

6.688% 5/1/09

138

133

7.735% 5/1/14

1,635

1,541

Mobifon Holdings BV 12.5% 7/31/10

9,600

11,280

NTL Cable PLC 8.75% 4/15/14 (g)

14,255

15,395

Qwest Corp. 9.125% 3/15/12 (g)

22,205

24,426

Qwest Services Corp. 14.5% 12/15/14 (g)(h)

1,925

2,329

Telefonica de Argentina SA 9.125% 11/7/10

2,670

2,703

Telenet Group Holding NV 0% 6/15/14 (e)(g)

15,660

11,510

U.S. West Communications:

6.875% 9/15/33

8,020

6,657

7.125% 11/15/43

325

275

7.2% 11/10/26

3,595

3,137

7.25% 9/15/25

1,560

1,404

7.25% 10/15/35

1,780

1,526

7.5% 6/15/23

2,840

2,592

8.875% 6/1/31

3,020

2,982

96,906

Wireless Telecommunication Services - 3.5%

American Cellular Corp. 10% 8/1/11

305

249

Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13

8,245

8,719

Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 (g)

2,760

2,629

Crown Castle International Corp.:

Series B, 7.5% 12/1/13

5,865

6,144

7.5% 12/1/13

2,260

2,367

9.375% 8/1/11

2,940

3,381

DirecTV Holdings LLC/DirecTV Financing, Inc. 8.375% 3/15/13

1,605

1,834

Globe Telecom, Inc. 9.75% 4/15/12

1,750

1,938

Kyivstar GSM 10.375% 8/17/09 (g)

3,045

3,251

Millicom International Cellular SA 10% 12/1/13 (g)

10,580

10,580

Nextel Communications, Inc.:

5.95% 3/15/14

1,730

1,691

6.875% 10/31/13

6,310

6,539

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Nextel Communications, Inc.: - continued

7.375% 8/1/15

$ 23,405

$ 25,102

Rogers Wireless, Inc.:

6.375% 3/1/14

4,195

3,838

9.625% 5/1/11

2,955

3,287

Telemig Cellular SA/Amazonia Cellular SA 8.75% 1/20/09 (g)

2,810

2,796

UbiquiTel Operating Co.:

9.875% 3/1/11

505

528

9.875% 3/1/11 (g)

1,720

1,797

Western Wireless Corp. 9.25% 7/15/13

7,125

7,268

93,938

TOTAL TELECOMMUNICATION SERVICES

190,844

UTILITIES - 3.1%

Electric Utilities - 0.2%

Illinois Power Co.:

7.5% 6/15/09

95

108

11.5% 12/15/10

3,455

4,094

Nevada Power Co. 10.875% 10/15/09

130

151

Sierra Pacific Power Co. 6.25% 4/15/12 (g)

920

938

5,291

Gas Utilities - 1.7%

ANR Pipeline, Inc.:

7.375% 2/15/24

2,915

2,919

8.875% 3/15/10

570

639

9.625% 11/1/21

6,005

7,146

Northwest Pipeline Corp.:

6.625% 12/1/07

305

324

8.125% 3/1/10

530

591

Southern Natural Gas Co.:

7.35% 2/15/31

9,120

8,938

8% 3/1/32

7,365

7,586

8.875% 3/15/10

670

751

Tennessee Gas Pipeline Co.:

7% 10/15/28

1,275

1,208

7.5% 4/1/17

6,425

6,682

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Gas Utilities - continued

Tennessee Gas Pipeline Co.: - continued

7.625% 4/1/37

$ 1,550

$ 1,542

8.375% 6/15/32

1,570

1,680

Transcontinental Gas Pipe Line Corp.:

6.125% 1/15/05

1,410

1,417

6.25% 1/15/08

1,140

1,197

7% 8/15/11

300

329

8.875% 7/15/12

1,400

1,694

44,643

Multi-Utilities & Unregulated Power - 1.2%

AES Corp.:

7.75% 3/1/14

2,770

2,836

8.75% 5/15/13 (g)

2,640

2,963

8.875% 2/15/11

878

973

9% 5/15/15 (g)

1,980

2,237

Calpine Corp.:

8.5% 7/15/10 (g)

2,285

1,742

8.75% 7/15/13 (g)

12,540

9,436

9.875% 12/1/11 (g)

650

507

CMS Energy Corp.:

7.5% 1/15/09

470

492

8.5% 4/15/11

840

917

9.875% 10/15/07

3,190

3,529

Enron Corp.:

6.4% 7/15/06 (c)

865

225

6.625% 11/15/05 (c)

3,510

913

6.725% 11/15/37 (c)

1,090

289

6.75% 8/1/09 (c)

880

229

6.875% 10/15/07 (c)

2,120

551

6.95% 7/15/28 (c)

1,920

509

7.125% 5/15/07 (c)

375

98

7.375% 5/15/19 (c)

2,200

567

7.875% 6/15/49 (c)

375

98

8.375% 5/23/05 (c)

3,980

1,015

9.125% 4/1/49 (c)

80

21

Corporate Bonds - continued

Principal Amount (000s) (d)

Value
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities & Unregulated Power - continued

Enron Corp.: - continued

9.875% 6/15/49 (c)

$ 345

$ 90

Sierra Pacific Resources 8.625% 3/15/14 (g)

3,000

3,240

33,477

TOTAL UTILITIES

83,411

TOTAL NONCONVERTIBLE BONDS

1,269,255

TOTAL CORPORATE BONDS

(Cost $1,225,372)

1,272,091

U.S. Government and Government Agency Obligations - 20.0%

U.S. Government Agency Obligations - 5.9%

Fannie Mae:

3.25% 1/15/08

26,250

26,203

5.125% 1/2/14

10,000

10,187

6% 5/15/11

12,775

14,107

6.25% 2/1/11

80

88

Federal Home Loan Bank:

3% 8/15/05

45,000

45,268

5.8% 9/2/08

960

1,039

Freddie Mac:

1.5% 8/15/05

300

298

2.875% 12/15/06

1,820

1,818

3.625% 9/15/08

25,005

25,133

4.375% 2/4/10

4,900

4,903

4.5% 1/15/14

12,320

12,259

Private Export Funding Corp. secured 5.685% 5/15/12

3,235

3,509

Small Business Administration guaranteed development participation certificates Series 2003 P10B, 5.136% 8/10/13

2,912

2,980

State of Israel (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23

7,750

8,008

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

155,800

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s) (d)

Value
(000s)

U.S. Treasury Inflation Protected Obligations - 4.7%

U.S. Treasury Inflation-Indexed Bonds 3.625% 4/15/28

$ 26,174

$ 33,210

U.S. Treasury Inflation-Indexed Notes:

1.875% 7/15/13

80,388

81,744

2% 1/15/14

9,431

9,657

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

124,611

U.S. Treasury Obligations - 9.4%

U.S. Treasury Bonds:

6.125% 8/15/29

16,500

19,230

9% 11/15/18

3,000

4,366

11.25% 2/15/15

3,870

6,158

U.S. Treasury Notes:

1.625% 2/28/06

500

495

2.375% 8/31/06

30,000

29,889

2.5% 5/31/06

31,500

31,514

3.125% 5/15/07

25,000

25,211

3.25% 1/15/09

50,700

50,724

4.25% 8/15/13

2,000

2,030

4.25% 11/15/13

27,000

27,348

4.75% 5/15/14

12,170

12,775

5% 2/15/11

14,200

15,267

5% 8/15/11

1,000

1,075

5.625% 5/15/08

3,847

4,183

5.75% 8/15/10

18,000

20,066

TOTAL U.S. TREASURY OBLIGATIONS

250,331

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $525,789)

530,742

U.S. Government Agency - Mortgage Securities - 1.5%

Fannie Mae - 1.5%

4% 8/1/18 to 8/1/19

15,449

15,082

5% 2/1/18 to 7/1/34

15,771

15,801

5.5% 10/1/16 to 3/1/18

7,517

7,786

6.5% 1/1/29 to 8/1/31

674

708

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $39,366)

39,377

Collateralized Mortgage Obligations - 0.2%

Principal Amount (000s) (d)

Value
(000s)

Private Sponsor - 0.1%

Holmes Financing #8 PLC floater Series 3 Class C, 2.965% 7/15/40 (h)

EUR

$ 500

$ 623

Interstar Millennium Trust Series 2004-4E Class A1, 2.3296% 11/14/36 (h)

EUR

650

809

TOTAL PRIVATE SPONSOR

1,432

U.S. Government Agency - 0.1%

Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2001-53 Class OH, 6.5% 6/25/30

612

614

Freddie Mac planned amortization class Series 2351 Class PX, 6.5% 7/15/30

412

416

Freddie Mac Multi-class participation certificates guaranteed planned amortization class Series 2770 Class UD, 4.5% 5/15/17

1,800

1,773

TOTAL U.S. GOVERNMENT AGENCY

2,803

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $4,274)

4,235

Foreign Government and Government Agency Obligations - 22.1%

Argentine Republic 1.98% 8/3/12 (h)

5,180

3,828

Banco Central del Uruguay:

Brady:

par A 6.75% 2/19/21

1,250

1,163

par B 6.75% 3/21/21

250

233

value recovery A rights 1/2/21 (i)

1,250,000

0

value recovery B rights 1/2/21 (i)

1,250,000

0

Belgian Kingdom 5% 9/28/12

EUR

5,000

6,697

Bogota Distrito Capital:

9.5% 12/12/06 (g)

480

518

9.5% 12/12/06 (Reg. S)

4,289

4,632

Brazilian Federative Republic:

Brady:

capitalization bond 8% 4/15/14

37,312

36,916

debt conversion bond 2.125% 4/15/12 (h)

2,795

2,593

par Z-L 6% 4/15/24

2,610

2,333

11% 8/17/40

11,140

12,499

12% 4/15/10

2,120

2,532

12.25% 3/6/30

3,035

3,756

Foreign Government and Government Agency
Obligations - continued

Principal Amount (000s) (d)

Value
(000s)

Brazilian Federative Republic: - continued

12.75% 1/15/20

$ 2,505

$ 3,181

Canadian Government:

4.5% 9/1/07

CAD

30,000

24,409

5.25% 6/1/12

CAD

1,300

1,083

5.5% 6/1/09

CAD

9,150

7,719

5.75% 6/1/29

CAD

20,100

17,380

Central Bank of Nigeria:

Brady 6.25% 11/15/20

1,750

1,645

promissory note 5.092% 1/5/10

2,164

2,044

warrants 11/15/20 (a)(i)

3,250

1

City of Kiev 8.75% 8/8/08

6,840

7,182

Colombian Republic:

10.75% 1/15/13

4,570

5,240

11.75% 2/25/20

2,770

3,393

Dominican Republic:

Brady 2.75% 8/30/09 (h)

5,360

3,993

2.4381% 8/30/24 (h)

1,730

1,254

9.5% 9/27/06 (Reg. S)

605

514

Ecuador Republic:

8% 8/15/30 (Reg. S) (f)

3,215

2,620

12% 11/15/12 (Reg. S)

5,820

5,747

euro par 4.75% 2/28/25 (f)

575

361

Finnish Government 5.375% 7/4/13

EUR

2,500

3,441

German Federal Republic:

4.25% 1/4/14

EUR

6,700

8,520

4.5% 7/4/09

EUR

49,300

64,610

4.75% 7/4/34

EUR

13,000

16,454

5% 2/17/06

EUR

3,210

4,130

5% 1/4/12

EUR

19,500

26,208

5% 7/4/12

EUR

5,540

7,436

5.25% 1/4/11

EUR

10,200

13,871

Hellenic Republic 3.25% 6/21/07

EUR

700

878

Italian Republic 5.25% 11/1/29

EUR

6,500

8,646

Ivory Coast Brady FLIRB A 2% 3/29/18 (c)(f)

FRF

14,425

451

Japan Government:

0.2% 7/20/06

JPY

1,380,000

12,566

1.5% 3/20/14

JPY

2,925,000

26,842

2.4% 6/20/24

JPY

190,000

1,825

Lebanese Republic:

10.125% 8/6/08

1,560

1,741

10.25% 10/6/09 (Reg. S)

705

804

Foreign Government and Government Agency
Obligations - continued

Principal Amount (000s) (d)

Value
(000s)

Panamanian Republic:

9.625% 2/8/11

$ 845

$ 968

10.75% 5/15/20

2,535

3,042

Peruvian Republic:

3% 3/7/27 (f)

1,425

876

9.125% 2/21/12

3,955

4,420

Philippine Republic:

Brady principal collateralized interest reduction bond 6.5% 12/1/17

5,030

4,955

8.375% 2/15/11

7,081

7,187

9% 2/15/13

1,785

1,843

9.875% 1/15/19

3,760

3,878

Russian Federation:

5% 3/31/30 (f)(g)

1,587

1,527

5% 3/31/30 (Reg. S) (f)

32,258

31,048

euro 10% 6/26/07

6,860

7,752

South African Republic:

8.5% 6/23/17

1,915

2,322

9.125% 5/19/09

1,690

2,003

13% 8/31/10

ZAR

5,075

935

Spanish Kingdom 4.8% 10/31/06

EUR

4,800

6,227

Turkish Republic:

0% 8/24/05

TRL

4,993,930,000

2,717

0% 12/7/05

TRL

2,144,770,000

1,093

7.25% 3/15/15

1,800

1,769

10.5% 1/13/08

1,995

2,269

11% 1/14/13

4,295

5,267

11.75% 6/15/10

5,661

7,027

25% 11/16/05

TRL

4,538,188,000

3,041

Ukraine Cabinet of Ministers 7.65% 6/11/13 (g)

1,180

1,180

Ukraine Government:

6.875% 3/4/11 (g)

1,140

1,121

7.65% 6/11/13 (Reg. S)

340

340

United Kingdom, Great Britain & Northern Ireland:

4.5% 3/7/07

GBP

200

361

4.75% 9/7/15

GBP

800

1,438

6% 12/7/28

GBP

7,200

15,517

6.25% 11/25/10

GBP

6,040

11,790

8% 6/7/21

GBP

5,670

14,035

Foreign Government and Government Agency
Obligations - continued

Principal Amount (000s) (d)

Value
(000s)

United Mexican States:

7.5% 4/8/33

$ 9,850

$ 10,357

8.125% 12/30/19

3,935

4,510

8.375% 1/14/11

5,055

5,927

11.5% 5/15/26

6,860

10,256

Uruguay Republic:

7.25% 2/15/11

3,585

3,370

10.5% 10/20/06

UYU

83,300

3,426

17.75% 2/4/06

UYU

52,800

1,933

Venezuelan Republic:

Discount A, 2.1325% 3/31/20 (h)

4,815

4,309

oil recovery rights 4/15/20 (i)

1,250

0

2.4006% 3/31/20 (h)

312

279

5.375% 8/7/10

1,960

1,766

8.5% 10/8/14

2,345

2,292

9.25% 9/15/27

1,615

1,592

10.75% 9/19/13

8,130

9,114

13.625% 8/15/18

1,850

2,368

euro Brady:

par W-A 6.75% 3/31/20

4,580

4,454

par W-B 6.75% 3/31/20

6,485

6,307

Vietnamese Socialist Republic Brady par 3.75% 3/12/28 (f)

3,184

2,253

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $544,326)

586,350

Common Stocks - 1.1%

Shares

CONSUMER DISCRETIONARY - 0.7%

Hotels, Restaurants & Leisure - 0.2%

Volume Services America Holdings, Inc. Income Deposit Security

244,160

3,589

Media - 0.5%

NTL, Inc. (a)

223,164

13,852

Multiline Retail - 0.0%

Barneys, Inc. warrants 4/1/08 (a)

1,600

98

TOTAL CONSUMER DISCRETIONARY

17,539

Common Stocks - continued

Shares

Value
(000s)

CONSUMER STAPLES - 0.0%

Personal Products - 0.0%

Revlon, Inc. Class A (a)

378,832

$ 955

TELECOMMUNICATION SERVICES - 0.4%

Diversified Telecommunication Services - 0.4%

Telewest Global, Inc. (a)

841,398

9,777

Wireless Telecommunication Services - 0.0%

DigitalGlobe, Inc. (g)

98

0

TOTAL TELECOMMUNICATION SERVICES

9,777

TOTAL COMMON STOCKS

(Cost $19,832)

28,271

Nonconvertible Preferred Stocks - 0.2%

CONSUMER DISCRETIONARY - 0.2%

Media - 0.1%

Spanish Broadcasting System, Inc. Class B, 10.75% (a)

2,161

2,399

Specialty Retail - 0.1%

General Nutrition Centers Holding Co. 12.00% (g)

1,740

1,853

TOTAL CONSUMER DISCRETIONARY

4,252

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

PTV, Inc. Series A, 10.00%

126

1

TOTAL NONCONVERTIBLE PREFERRED STOCKS

(Cost $3,924)

4,253

Floating Rate Loans - 1.0%

Principal Amount (000s) (d)

CONSUMER DISCRETIONARY - 0.4%

Automobiles - 0.2%

AM General LLC:

Tranche B1, term loan 8.25% 11/1/11 (h)

$ 3,450

3,428

Tranche C2, term loan 12.75% 5/2/12 (h)

1,700

1,726

5,154

Floating Rate Loans - continued

Principal Amount (000s) (d)

Value
(000s)

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - 0.1%

Hilton Head Communications LP Tranche B term loan 6% 3/31/08 (h)

$ 3,000

$ 2,914

Textiles Apparel & Luxury Goods - 0.1%

Levi Strauss & Co. Tranche B term loan 10% 9/29/09

1,390

1,522

TOTAL CONSUMER DISCRETIONARY

9,590

FINANCIALS - 0.4%

Consumer Finance - 0.1%

Metris Companies, Inc. term loan 11.15% 5/6/07 (h)

3,950

4,138

Diversified Financial Services - 0.3%

Olympus Cable Holdings LLC Tranche B term loan 6.75% 9/30/10 (h)

7,825

7,688

TOTAL FINANCIALS

11,826

UTILITIES - 0.2%

Electric Utilities - 0.2%

Astoria Energy LLC term loan:

6.9906% 4/15/12 (h)

2,600

2,639

10.725% 4/15/12 (h)

2,240

2,302

4,941

TOTAL FLOATING RATE LOANS

(Cost $24,765)

26,357

Sovereign Loan Participations - 0.2%

Indonesian Republic loan participation:

- Barclays Bank 2.875% 3/28/13 (h)

334

295

- Credit Suisse First Boston 2.875% 3/28/13 (h)

2,217

1,962

- Deutsche Bank:

2.5625% 3/21/05 (h)

710

699

2.875% 3/28/13 (h)

1,537

1,360

2.875% 3/28/13 (h)

JPY

122,040

932

- Salomon Brothers 2.5625% 3/21/05 (h)

675

665

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $5,709)

5,913

Certificates of Deposit - 0.1%

Principal Amount (000s) (d)

Value
(000s)

HBOS PLC 2.03% 10/11/04
(Cost $2,458)

EUR

$ 2,000

$ 2,487

Money Market Funds - 4.8%

Shares

Fidelity Cash Central Fund, 1.74% (b)
(Cost $127,098)

127,098,314

127,098

TOTAL INVESTMENT PORTFOLIO - 99.2%

(Cost $2,522,913)

2,627,174

NET OTHER ASSETS - 0.8%

21,053

NET ASSETS - 100%

$ 2,648,227

Security Type Abbreviations

FLIRB - Front Loaded Interest Reduction Bonds

Currency Abbreviations

CAD

-

Canadian dollar

EUR

-

European Monetary Unit

FRF

-

French franc

GBP

-

British pound

JPY

-

Japanese yen

TRL

-

Turkish lira

UYU

-

Uruguay peso

ZAR

-

South African rand

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request.

(c) Non-income producing - issuer filed for bankruptcy or is in default of interest payments.

(d) Principal amount is stated in United States dollars unless otherwise noted.

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

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

(g) 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 period end, the value of these securities amounted to $319,889,000 or 12.1% of net assets.

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

(i) Quantity represents share amount.

Income Tax Information

At September 30, 2004, the aggregate cost of investment securities for income tax purposes was $2,519,955,000. Net unrealized appreciation aggregated $107,219,000, of which $126,467,000 related to appreciated investment securities and $19,248,000 related to depreciated investment securities.

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Spartan® Intermediate
Municipal Income Fund

September 30, 2004

1.807735.100

SIM-QTLY-1104

Investments September 30, 2004 (Unaudited)

Showing Percentage of Net Assets

Municipal Bonds - 100.3%

Principal Amount (000s)

Value
(000s)

Alabama - 1.2%

Alabama Pub. School & College Auth. Rev. Series 1999 C, 5.625% 7/1/13

$ 4,200

$ 4,725

Birmingham Gen. Oblig. Series 2002 A, 5.25% 4/1/07 (FSA Insured)

2,415

2,603

Huntsville Solid Waste Disp. Auth. & Resource Recovery Rev.:

5.25% 10/1/07 (MBIA Insured) (d)

1,700

1,822

5.25% 10/1/08 (MBIA Insured) (d)

3,055

3,304

5.75% 10/1/09 (MBIA Insured) (d)

3,865

4,274

Jefferson County Swr. Rev. Series A:

5% 2/1/33 (Pre-Refunded to 2/1/09 @ 101) (e)

2,460

2,719

5% 2/1/41 (Pre-Refunded to 2/1/11 @ 101) (e)

1,580

1,759

21,206

Alaska - 0.2%

Alaska Student Ln. Corp. Student Ln. Rev. Series A, 5.8% 7/1/12 (AMBAC Insured) (d)

2,935

3,236

Arizona - 0.1%

Arizona School Facilities Board State School Impt. Rev. 5.25% 7/1/20

1,000

1,093

Yuma Muni. Property Corp. Rev. 5% 7/1/12 (AMBAC Insured)

1,100

1,193

2,286

California - 11.7%

Alameda Corridor Trans. Auth. Rev. Series 1999 A, 0% 10/1/34 (MBIA Insured)

9,095

1,760

Cabrillo Cmnty. College District 5.25% 8/1/15 (MBIA Insured)

1,400

1,585

California Dept. of Wtr. Resources Central Valley Proj. Wtr. Sys. Rev. Series Y:

5.25% 12/1/16 (FGIC Insured)

5,000

5,555

5.25% 12/1/18 (FGIC Insured)

5,000

5,501

California Dept. of Wtr. Resources Pwr. Supply Rev.:

Series 2002 A:

5.5% 5/1/07

3,500

3,780

5.75% 5/1/17

1,800

2,028

Series A:

5.25% 5/1/07 (MBIA Insured)

3,400

3,672

5.25% 5/1/09 (MBIA Insured)

5,400

5,994

5.25% 5/1/10 (MBIA Insured)

1,100

1,225

5.5% 5/1/15 (AMBAC Insured)

2,600

2,943

6% 5/1/15

5,700

6,595

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

California - continued

California Econ. Recovery:

Series 2004 A:

5% 7/1/16

$ 4,100

$ 4,392

5.25% 7/1/12

3,000

3,371

Series A:

5.25% 7/1/13 (MBIA Insured)

2,000

2,267

5.25% 7/1/14 (FGIC Insured)

1,300

1,477

Series B, 5%, tender 7/1/07 (c)

8,000

8,594

California Gen. Oblig.:

4.5% 2/1/09

2,800

2,983

5% 12/1/11 (MBIA Insured)

8,000

8,914

5% 2/1/25

4,000

4,089

5.25% 2/1/10 (FSA Insured)

7,100

7,893

5.25% 2/1/11

4,000

4,441

5.25% 2/1/15

5,000

5,533

5.25% 2/1/16

8,500

9,339

5.5% 3/1/11

8,500

9,571

5.5% 4/1/13 (AMBAC Insured)

1,000

1,142

5.5% 4/1/30

1,500

1,600

5.75% 10/1/10

2,200

2,501

5.75% 10/1/10 (MBIA Insured)

3,000

3,447

California Hsg. Fin. Agcy. Home Mtg. Rev. Series 1983 A, 0% 2/1/15 (MBIA Insured)

19,346

8,442

California Poll. Cont. Fing. Auth. Ctfs. of Prtn. (Pacific Gas & Elec. Co. Proj.) Series 2004 B, 3.3%, tender 6/1/07 (FGIC Insured) (c)(d)

8,000

8,185

California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) Series A, 5%, tender 5/1/13 (c)(d)

3,000

3,055

California Pub. Works Board Lease Rev. (Coalinga State Hosp. Proj.) Series 2004 A, 5.5% 6/1/16

5,075

5,738

California Statewide Cmntys. Dev. Auth. Rev. (Kaiser Permanente Health Sys. Proj.) Series 2004 G, 2.3%, tender 5/1/07 (c)

4,000

3,989

Commerce Refuse To Energy Auth. Rev. 5.5% 7/1/12 (MBIA Insured) (b)

2,290

2,505

Foothill-De Anza Cmnty. College District 6% 8/1/30 (Pre-Refunded to 8/1/10 @ 101) (e)

2,000

2,357

Foothill/Eastern Trans. Corridor Agcy. Toll Road Rev.:

Series A, 5% 1/1/35 (MBIA Insured)

1,900

1,914

0% 1/15/27 (a)

1,000

776

5% 1/15/16 (MBIA Insured)

1,000

1,068

5.75% 1/15/40

1,600

1,609

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

California - continued

Golden State Tobacco Securitization Corp.:

Series 2003 A1, 6.75% 6/1/39

$ 2,000

$ 1,930

Series 2003 B:

5% 6/1/08

1,300

1,393

5.75% 6/1/22

3,600

3,735

5.75% 6/1/23

1,300

1,343

Long Beach Hbr. Rev. Series A, 5.5% 5/15/07 (FGIC Insured) (d)

2,450

2,642

Los Angeles Unified School District:

Series A:

5.375% 7/1/17 (MBIA Insured)

6,800

7,651

5.375% 7/1/18 (MBIA Insured)

2,100

2,356

Series F, 5% 7/1/15 (FSA Insured)

4,000

4,405

Modesto Irrigation District Elec. Rev. Series A, 9.625% 1/1/11 (Escrowed to Maturity) (e)

3,455

4,251

Orange County Local Trans. Auth. Sales Tax Rev. 6.2% 2/14/11 (AMBAC Insured)

2,000

2,306

Sacramento Pwr. Auth. Cogeneration Proj. Rev. 6.5% 7/1/08

2,000

2,167

San Diego County Ctfs. of Prtn.:

5% 10/1/06

1,135

1,201

5% 10/1/08

1,470

1,601

5.25% 10/1/10

1,620

1,788

San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. Second Series 28A 5% 5/1/13 (MBIA Insured) (d)

1,340

1,434

San Joaquin Hills Trans. Corridor Agcy. Toll Road Rev. Series A:

0% 1/15/12 (MBIA Insured)

3,620

2,730

5.25% 1/15/30 (MBIA Insured)

1,400

1,436

Santa Maria Redev. Agcy. Lease Rev. 4% 6/1/07 (AMBAC Insured)

1,755

1,848

208,047

Colorado - 1.8%

Adams County Bldg. Auth. Rev. Series B, 0% 8/15/12 (Escrowed to Maturity) (e)

5,000

3,763

Adams County School District #172 5.5% 2/1/16 (FGIC Insured)

2,575

2,898

Arapahoe County Cap. Impt. Trust Fund Hwy. Rev. Series C, 0% 8/31/08 (Pre-Refunded to 8/31/05 @ 82.9449) (e)

6,650

5,432

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Colorado - continued

Colorado Health Facilities Auth. Rev. Series 2001, 6.625% 11/15/26

$ 2,550

$ 2,813

Denver City & County Arpt. Rev.:

Series A:

0% 11/15/04 (d)

2,070

2,065

0% 11/15/05 (MBIA Insured) (d)

2,250

2,202

Series D:

0% 11/15/05 (MBIA Insured) (d)

2,055

2,011

0% 11/15/06 (d)

4,500

4,214

Douglas and Elbert Counties School District #RE1 5.75% 12/15/20 (FGIC Insured)

1,000

1,159

E-470 Pub. Hwy. Auth. Rev. Series 2000 A, 5.75% 9/1/29 (MBIA Insured)

3,200

3,556

Larimer County School District #R1, Poudre 5.75% 12/15/17 (Pre-Refunded to 12/15/13 @ 100) (e)

1,365

1,610

31,723

Connecticut - 0.3%

Connecticut Gen. Oblig. Series D, 5.375% 11/15/18

4,000

4,443

District Of Columbia - 2.1%

District of Columbia Ctfs. of Prtn. (District's Pub. Safety and Emergency Preparedness Communications Ctr. and Related Technology Proj.) Series 2003, 5.5% 1/1/16 (AMBAC Insured)

1,930

2,192

District of Columbia Gen. Oblig.:

Series 1998 A:

5.25% 6/1/10 (MBIA Insured)

3,000

3,262

5.25% 6/1/11 (MBIA Insured)

3,905

4,229

Series 2001 B, 5.5% 6/1/13 (FSA Insured)

5,260

5,837

Series C, 5.75% 12/1/05 (AMBAC Insured)

1,895

1,927

District of Columbia Rev.:

(George Washington Univ. Proj.) Series A, 5.75% 9/15/20 (MBIA Insured)

1,300

1,462

(Medstar Univ. Hosp. Proj.) Series D, 6.875%, tender 2/16/07 (c)(e)

11,000

12,243

Metropolitan Washington Arpts. Auth. Gen. Arpt. Rev. Series 1998 B:

5.25% 10/1/09 (MBIA Insured) (d)

3,475

3,776

5.25% 10/1/10 (MBIA Insured) (d)

2,780

3,003

37,931

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Florida - 3.8%

Alachua County Health Facilities Auth. Health Facilities Rev. (Avmed/Santa Fe Health Care Sys. Proj.) 6% 11/15/09 (Escrowed to Maturity) (e)

$ 1,025

$ 1,114

Brevard County Util. Rev.:

5% 3/1/07 (FGIC Insured)

2,500

2,670

5.25% 3/1/08 (FGIC Insured)

2,000

2,187

Broward County School District Series A, 5% 2/15/06

5,000

5,213

Florida Board of Ed. Lottery Rev. Series B, 6% 7/1/15 (FGIC Insured)

1,245

1,439

Highlands County Health Facilities Auth. Rev. (Adventist Health Sys./Sunbelt Obligated Group Proj.):

3.35%, tender 9/1/05 (c)

14,200

14,379

5.25% 11/15/11

3,735

3,981

Hillsborough County Indl. Dev. Auth. Poll. Cont. Rev. (Tampa Elec. Co. Proj.) 4%, tender 8/1/07 (c)

18,000

18,412

Lee County Hosp. Board of Directors Hosp. Rev. (Lee Memorial Health Sys. Proj.) 6% 4/1/06 (MBIA Insured)

2,640

2,799

Miami Gen. Oblig. (Homeland Defense/Neighborhood Cap. Impt. Projs.) Series 2002, 5.5% 1/1/16 (MBIA Insured)

1,495

1,667

Miami-Dade County Cap. Asset Acquisition Fixed Rate Spl. Oblig. Series 2002 A, 5% 4/1/07 (AMBAC Insured)

1,245

1,333

Miami-Dade County School Board Ctfs. of Prtn. 5%, tender 5/1/11 (MBIA Insured) (c)

1,400

1,532

Miami-Dade County School District Series 1995, 5% 8/1/05 (MBIA Insured)

2,210

2,271

Orange County School Board Ctfs. of Prtn. Series A, 0% 8/1/13 (MBIA Insured)

2,365

1,678

Palm Beach County School Board Ctfs. of Prtn. Series D, 5.25% 8/1/14 (FSA Insured)

3,500

3,881

Pasco County Solid Waste Disp. & Resource Recovery Sys. Rev. 6% 4/1/10 (AMBAC Insured) (d)

2,000

2,221

66,777

Georgia - 1.4%

Athens-Clarke County Unified Govt. Wtr. & Swr. Rev. 4% 1/1/05

850

855

Atlanta Arpt. Rev.:

Series 2000 B, 5.625% 1/1/09 (FGIC Insured) (d)

1,620

1,781

Series A, 5.375% 1/1/12 (FSA Insured) (d)

4,000

4,420

College Park Bus. & Indl. Dev. Auth. Civic Ctr. Proj. Rev. Series 2000, 5.75% 9/1/20 (AMBAC Insured)

1,500

1,701

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Georgia - continued

Columbus Wtr. & Swr. Rev. 5.25% 5/1/07 (FSA Insured)

$ 1,425

$ 1,541

Coweta County Dev. Auth. Rev. (Newman Wtr. Swr. & Lt. Common Proj.) 5.75% 1/1/16 (AMBAC Insured)

1,440

1,624

Fulton DeKalb Hosp. Auth. Hosp. Rev.:

5% 1/1/07 (FSA Insured)

1,000

1,065

5% 1/1/10 (FSA Insured)

3,370

3,687

Georgia Gen. Oblig. Series 1993 A, 7.45% 1/1/09

2,880

3,432

Georgia Muni. Elec. Auth. Pwr. Rev. 6.6% 1/1/18 (MBIA Insured)

1,585

1,975

Gwinnett County School District 5% 2/1/07

1,200

1,282

Henry County Wtr. & Swr. Auth. Rev. 5% 2/1/11 (MBIA Insured)

1,245

1,355

24,718

Hawaii - 0.6%

Hawaii Arpts. Sys. Rev.:

Series 2000 B, 8% 7/1/10 (FGIC Insured) (d)

3,700

4,556

Series 2001, 5.5% 7/1/06 (FGIC Insured) (d)

1,000

1,058

Hawaii Gen. Oblig.:

Series CN, 5.25% 3/1/12 (FGIC Insured)

2,880

3,124

Series CY, 5.25% 2/1/10 (FSA Insured)

1,275

1,417

10,155

Illinois - 11.0%

Chicago Board of Ed.:

Series 1997 A, 0% 12/1/15 (AMBAC Insured)

1,150

716

Series A, 0% 12/1/16 (FGIC Insured)

1,000

586

Chicago Gen. Oblig.:

(City Colleges Proj.) 0% 1/1/16 (FGIC Insured)

4,100

2,501

(Neighborhoods Alive 21 Prog.) Series 2000 A, 6% 1/1/28 (FGIC Insured)

2,100

2,347

Series A, 5.25% 1/1/22 (MBIA Insured)

1,000

1,078

Series A2, 6% 1/1/11 (AMBAC Insured)

1,205

1,394

Series C, 4% 1/1/09 (MBIA Insured)

3,500

3,688

5.25% 1/1/11 (FSA Insured)

2,070

2,307

Chicago Midway Arpt. Rev.:

Series 2001 B, 5% 1/1/08 (FSA Insured)

1,250

1,345

Series A, 5.5% 1/1/29 (MBIA Insured)

4,000

4,169

Series B:

6% 1/1/09 (MBIA Insured) (d)

2,000

2,162

6.125% 1/1/12 (MBIA Insured) (d)

2,740

2,969

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Illinois - continued

Chicago O'Hare Int'l. Arpt. Rev.:

Series 1999, 5.5% 1/1/11 (AMBAC Insured) (d)

$ 10,000

$ 10,950

Series A:

5.5% 1/1/10 (AMBAC Insured) (d)

1,350

1,479

6.25% 1/1/08 (AMBAC Insured) (d)

9,820

10,721

5.5% 1/1/09 (AMBAC Insured) (d)

4,400

4,811

Chicago Park District:

Series 2001 A, 5.5% 1/1/18 (FGIC Insured)

2,400

2,651

Series A, 5.25% 1/1/21 (FGIC Insured)

1,765

1,919

Series C, 5% 1/1/10 (AMBAC Insured)

1,000

1,097

Chicago Sales Tax Rev. 5.5% 1/1/12 (FGIC Insured)

2,200

2,502

Chicago Skyway Toll Bridge Rev. Series 1996, 5.5% 1/1/23 (MBIA Insured)

1,505

1,634

Chicago Spl. Trans. Rev. Series 2001, 5.5% 1/1/17 (AMBAC Insured)

1,000

1,109

Chicago Transit Auth. Cap. Grant Receipts Rev. Series A, 4.25% 6/1/08 (AMBAC Insured)

3,545

3,686

Cook County Cmnty. Consolidated School District #21, Wheeling:

0% 12/1/13 (FSA Insured)

2,500

1,723

0% 12/1/18 (FSA Insured)

3,900

2,016

Cook County Cmnty. Unit School District #401 Elmwood Park 0% 12/1/10 (FSA Insured)

3,275

2,614

Cook County High School District #201 J. Sterling Mortan Tpk. 0% 12/1/11 (FGIC Insured)

4,275

3,253

DuPage County Forest Preserve District Rev. 0% 11/1/09

4,000

3,378

Granite City Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 5%, tender 5/1/05 (c)(d)

7,000

7,086

Illinois Dev. Fin. Auth. Rev. (DePaul Univ. Proj.) Series 2004 C, 5.625% 10/1/15

1,505

1,687

Illinois Dev. Fin. Auth. Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) Series 2000, 5.85% 2/1/07 (d)

2,500

2,652

Illinois Edl. Facilities Auth. Revs. (Univ. of Chicago Proj.) Series 2004 B1, 3.45%, tender 7/1/08 (c)

4,300

4,385

Illinois Fin. Auth. Solid Waste Rev. (Republic Services, Inc. Proj.) 3.65%, tender 5/1/07 (c)(d)

5,900

5,939

Illinois Gen. Oblig.:

First Series:

5.25% 12/1/17 (FSA Insured)

1,000

1,097

5.375% 7/1/15 (MBIA Insured)

1,300

1,451

5.5% 8/1/10

1,400

1,578

5.5% 2/1/18 (FGIC Insured)

1,000

1,112

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Illinois - continued

Illinois Gen. Oblig.: - continued

First Series:

5.5% 8/1/19 (MBIA Insured)

$ 1,250

$ 1,395

Series A, 5% 10/1/09

1,400

1,539

5.25% 6/1/09

1,200

1,328

5.5% 4/1/17 (MBIA Insured)

2,600

2,856

5.6% 4/1/21 (MBIA Insured)

2,800

3,066

Illinois Health Facilities Auth. Rev.:

(Condell Med. Ctr. Proj.):

5% 5/15/09

1,040

1,082

7% 5/15/22

5,000

5,554

(Decatur Memorial Hosp. Proj.) Series 2001, 5.6% 10/1/16

2,600

2,776

(Riverside Health Sys. Proj.) 6.8% 11/15/20 (Pre-Refunded to 11/15/10 @ 101) (e)

2,755

3,357

Illinois Sales Tax Rev.:

Series W, 5% 6/15/13

3,430

3,603

6% 6/15/20

1,600

1,822

Kane & DuPage Counties Cmnty. Unit School District #303, Saint Charles Series A, 5.5% 1/1/14 (FSA Insured)

3,700

4,175

Kane County School District #129, Aurora West Side Series A:

5.75% 2/1/15 (FGIC Insured)

2,580

2,943

5.75% 2/1/16 (FGIC Insured)

2,165

2,459

Kane, Cook & DuPage Counties School District #46 Elgin 6.375% 1/1/18 (FSA Insured)

1,000

1,174

Kane, McHenry, Cook & DeKalb Counties Cmnty. Unit School District #300, Carpentersville:

0% 12/1/18 (AMBAC Insured)

4,535

2,377

5.5% 12/1/16 (MBIA Insured)

2,500

2,797

Lake County Cmnty. Consolidated School District #50, Woodland Series 2000 A, 6% 12/1/20 (FGIC Insured)

3,000

3,352

Lake County Cmnty. Unit School District #60 Waukegan:

Series C:

0% 12/1/13 (FSA Insured)

5,590

3,852

0% 12/1/14 (FSA Insured)

5,180

3,383

0% 12/1/15 (FSA Insured)

3,810

2,360

Series D:

0% 12/1/09 (FSA Insured)

3,480

2,929

0% 12/1/10 (FSA Insured)

3,380

2,698

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Illinois - continued

Lake County Warren Township High School District #121, Gurnee Series C, 5.75% 3/1/20 (AMBAC Insured)

$ 2,370

$ 2,748

Metropolitan Pier & Exposition Auth. Dedicated State Tax Rev.:

(McCormick Place Expansion Proj.):

Series 2002 A, 5.75% 6/15/41 (MBIA Insured)

7,100

7,830

Series A:

0% 6/15/11 (Escrowed to Maturity) (e)

7,780

6,147

0% 6/15/16 (FGIC Insured)

2,050

1,235

0% 6/15/17 (FGIC Insured)

3,240

1,847

0% 6/15/31 (MBIA Insured)

4,900

1,185

Series 2002 A, 0% 6/15/14 (FGIC Insured)

3,895

2,606

Univ. of Illinois Auxiliary Facilities Sys. Rev. (UIC South Campus Dev. Proj.) 5.75% 1/15/19 (FGIC Insured)

1,000

1,112

Will County Forest Preservation District Series B, 0% 12/1/14 (FGIC Insured)

1,000

650

196,029

Indiana - 3.1%

Anderson Ind. School Bldg. Corp.:

5.5% 7/15/22 (FSA Insured) (b)

2,210

2,452

5.5% 7/15/23 (FSA Insured) (b)

1,000

1,101

Crown Point Multi-School Bldg. Corp. (Crown Point Cmnty. School Corp. Proj.) 0% 1/15/18 (MBIA Insured)

6,850

3,707

Indiana Bond Bank Rev. Series B, 5% 2/1/11 (MBIA Insured)

1,595

1,762

Indiana Dev. Fin. Auth. Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 2.7%, tender 10/1/04 (b)(c)(d)

2,000

2,000

Indiana Office Bldg. Commission Facilities Rev. (New Castle Correctional Facility Proj.) Series 2002 A, 5.25% 7/1/09 (FGIC Insured)

2,210

2,449

Indiana Trans. Fin. Auth. Hwy. Series 1993 A:

0% 12/1/17 (AMBAC Insured)

1,470

816

0% 6/1/18 (AMBAC Insured)

1,700

911

Indianapolis Resource Recovery Rev. (Ogden Martin Sys., Inc. Proj.):

6.75% 12/1/05 (AMBAC Insured)

8,185

8,582

6.75% 12/1/07 (AMBAC Insured)

3,000

3,353

Indianapolis Thermal Energy Sys. Series 2001 A, 5.5% 10/1/16 (MBIA Insured)

5,000

5,605

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Indiana - continued

Lawrenceburg School Bldg. Corp. 5.5% 7/15/17 (FGIC Insured)

$ 1,090

$ 1,227

Michigan City School Bldg. Corp. 5% 1/1/12 (MBIA Insured)

2,210

2,422

Petersburg Poll. Cont. Rev. 5.75% 8/1/21

9,000

9,315

Rockport Poll. Cont. Rev. 4.9%, tender 6/1/07 (c)

5,000

5,216

Southmont School Bldg. Corp.:

5% 1/15/14 (FGIC Insured)

1,690

1,844

5% 7/15/17 (FGIC Insured)

2,000

2,158

54,920

Iowa - 0.1%

Tobacco Settlement Auth. Tobacco Settlement Rev. 5.3% 6/1/25

3,000

2,515

Kansas - 1.0%

Burlington Envir. Impt. Rev. (Kansas City Pwr. & Lt. Co. Proj.):

Series A, 4.75%, tender 10/1/07 (c)

2,800

2,928

Series C, 2.38%, tender 9/1/05 (c)

4,000

3,995

Kansas Dev. Fin. Auth. Pub. Wtr. Supply Revolving Ln. Fund Rev.:

(Sisters of Charity Leavenworth Health Svc. Co. Proj.):

5.25% 12/1/10 (MBIA Insured)

2,230

2,443

5.25% 12/1/11 (MBIA Insured)

1,805

1,970

(Wtr. Poll. Revolving Fund Prog.):

Series II, 5.5% 11/1/19

1,000

1,127

5.5% 11/1/20

1,000

1,120

Series 2000 2, 5.75% 4/1/15 (AMBAC Insured)

1,715

1,943

La Cygne Envir. Impt. Rev. (Kansas City Pwr. & Lt. Co. Proj.) Series 1994, 2.25%, tender 9/1/05 (c)

2,500

2,497

18,023

Kentucky - 0.3%

Kenton County Arpt. Board Arpt. Rev. Series B, 5% 3/1/10 (MBIA Insured) (d)

1,645

1,771

Kentucky Property & Bldgs. Commission Revs. (#74 Proj.) 5.375% 2/1/11 (FSA Insured)

1,455

1,639

Louisville & Jefferson County Reg'l. Arpt. Auth. Arpt. Sys. Rev. Series C, 5.5% 7/1/12 (FSA Insured) (d)

2,250

2,503

5,913

Louisiana - 0.8%

New Orleans Gen. Oblig. 0% 9/1/05 (AMBAC Insured)

13,500

13,284

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Maine - 0.2%

Maine Tpk. Auth. Tpk. Rev. Series 2000, 5.75% 7/1/28 (FGIC Insured)

$ 3,310

$ 3,651

Massachusetts - 3.6%

Massachusetts Bay Trans. Auth.:

Series A:

5.75% 7/1/18

260

294

5.75% 7/1/18 (Pre-Refunded to 7/1/10 @ 100) (e)

2,740

3,141

Series C, 5% 3/1/24

3,605

3,685

Massachusetts Dev. Fin. Agcy. Rev. (Massachusetts Biomedical Research Corp. Proj.):

6.375% 8/1/14

1,315

1,501

6.375% 8/1/15

2,460

2,785

6.375% 8/1/16

2,570

2,920

Massachusetts Dev. Fin. Agcy. Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 5.5%, tender 5/1/14 (c)(d)

3,000

3,209

Massachusetts Ed. Ln. Auth. Ed. Ln. Rev. Series B Issue E, 6% 1/1/12 (AMBAC Insured) (d)

1,660

1,692

Massachusetts Fed. Hwy. Series 2000 A, 5.75% 6/15/11

4,000

4,552

Massachusetts Gen. Oblig.:

Series 2001 A, 5.5% 1/1/11

4,000

4,514

Series 2002 B, 5% 2/1/06

10,000

10,409

Series C, 5.25% 11/1/30 (Pre-Refunded to 11/1/12 @ 100) (e)

2,000

2,247

Massachusetts Indl. Fin. Agcy. Rev. (Massachusetts Biomedical Research Corp. Proj.) Series A2, 0% 8/1/07

5,800

5,383

Massachusetts Port Auth. Spl. Facilities Rev. (Delta Air Lines, Inc. Proj.) Series A, 5.5% 1/1/17 (AMBAC Insured) (d)

4,040

4,267

Massachusetts Spl. Oblig. Dedicated Tax Rev. 5.75% 1/1/32 (FGIC Insured)

5,500

6,167

Massachusetts Tpk. Auth. Western Tpk. Rev. Series A, 5.55% 1/1/17 (MBIA Insured)

7,470

7,508

Massachusetts Wtr. Poll. Abatement Trust Wtr. Poll. Abatement Rev. (MWRA Ln. Prog.) Series A, 5.25% 8/1/13

25

27

64,301

Michigan - 3.4%

Clarkston Cmnty. Schools 5.375% 5/1/22

1,000

1,105

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Michigan - continued

Detroit Convention Facilities Rev. (Cobo Hall Expansion Proj.):

5% 9/30/11 (MBIA Insured)

$ 2,000

$ 2,221

5% 9/30/12 (MBIA Insured)

1,500

1,667

Detroit Gen. Oblig.:

Series A:

5% 4/1/06 (FSA Insured) (b)

2,100

2,169

5% 4/1/08 (FSA Insured) (b)

6,600

7,102

Series B1, 5% 4/1/13 (AMBAC Insured)

2,305

2,551

Detroit Swr. Disp. Rev. Series 2001 D1, 5.5%, tender 7/1/08 (MBIA Insured) (c)

10,000

11,012

Detroit Wtr. Supply Sys. Rev. Series 2001 A, 5.25% 7/1/33 (FGIC Insured)

190

197

Ferndale Gen. Oblig. 5% 4/1/16 (FGIC Insured)

1,450

1,578

Michigan Ctfs. of Prtn. 5.75% 6/1/17 (AMBAC Insured)

1,000

1,126

Michigan Higher Ed. Student Ln. Auth. Rev. Series XII W, 4.875% 9/1/10 (AMBAC Insured) (d)

8,915

9,445

Michigan Hosp. Fin. Auth. Hosp. Rev.:

(Ascension Health Cr. Group Proj.) Series A, 6.125% 11/15/26 (Pre-Refunded to 11/15/09 @ 101) (e)

800

935

(Crittenton Hosp. Proj.) Series A:

5.5% 3/1/16

1,000

1,062

5.5% 3/1/17

1,885

2,001

(McLaren Health Care Corp. Proj.) Series A, 5% 6/1/19

8,000

8,119

(Mercy Health Svcs. Proj.) Series Q, 6% 8/15/09 (Escrowed to Maturity) (e)

1,195

1,290

(Oakwood Obligated Group Proj.) 5.5% 11/1/11

1,915

2,109

Michigan Muni. Bond Auth. Rev. Series G, 6.3% 11/1/05 (AMBAC Insured)

370

379

Michigan Pub. Pwr. Agcy. Rev. (Belle River Proj.) Series A, 5.25% 1/1/09 (MBIA Insured)

1,000

1,104

Michigan Strategic Fund Ltd. Oblig. Rev. (Detroit Edison Co. Proj.) Series A, 5.55% 9/1/29 (MBIA Insured) (d)

1,500

1,574

Southfield Pub. Schools Series A, 5.25% 5/1/16 (Liquidity Facility Sumitomo Bank Lease Fin., Inc. (SBLF))

1,025

1,144

59,890

Minnesota - 0.9%

Mankato Independent School District #77 Series A, 4% 2/1/07 (FSA Insured)

1,465

1,531

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Minnesota - continued

Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Health Partners Oblig. Group Proj.):

5.25% 12/1/09

$ 1,250

$ 1,333

5.625% 12/1/22

575

595

Osseo Independent School District #279 Series B, 5% 2/1/13

2,445

2,652

Ramsey County Gen. Oblig. Series B, 5% 2/1/06

2,065

2,153

Rochester Health Care Facilities Rev. (Mayo Foundation Proj.) Series A, 5.5% 11/15/27

5,910

6,201

Waconia Independent School District #110 Series A:

5% 2/1/05 (FSA Insured)

535

541

5% 2/1/07 (FSA Insured)

750

801

15,807

Mississippi - 0.2%

Mississippi Higher Ed. Student Ln. Series 2000 B3, 5.45% 3/1/10 (d)

3,800

4,109

Missouri - 0.8%

Kansas City School District Bldg. Corp. Rev.:

(School District Elementary School Proj.) Series 2003 B, 5% 2/1/12 (FGIC Insured)

2,900

3,219

Series A, 5% 2/1/08 (FGIC Insured)

1,905

2,063

Mehlville School District #R-9, Saint Louis County Ctfs. of Prtn. (Missouri Cap. Impt. Projs.) Series 2002, 5.5% 9/1/17 (FSA Insured)

1,000

1,114

Missouri Envir. Impt. & Energy Resources Auth. Wtr. Poll. Cont. & Drinking Wtr. Rev. (State Revolving Fund Prog.) Series 2003 A, 5.125% 1/1/20

2,315

2,505

Missouri Highways & Trans. Commission State Road Rev. Series 2001 A, 5.625% 2/1/13

2,370

2,685

Saint Louis Muni. Fin. Corp. Leasehold Rev. (Civil Courts Bldg. Proj.) Series 2003 A, 5% 8/1/10 (FSA Insured)

2,010

2,215

13,801

Montana - 0.2%

Forsyth Poll. Cont. Rev. (Portland Gen. Elec. Co. Projs.) Series A, 5.2%, tender 5/1/09 (c)

2,900

3,069

Nebraska - 0.2%

Lancaster County School District #1 (Lincoln Pub. Schools Proj.) 4% 1/15/07

1,975

2,055

Nebraska Pub. Pwr. District Rev. Series 2003 A, 5% 1/1/10 (AMBAC Insured)

1,435

1,580

3,635

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Nevada - 1.4%

Clark County Arpt. Rev. Series C:

5.375% 7/1/18 (AMBAC Insured) (d)

$ 1,500

$ 1,620

5.375% 7/1/20 (AMBAC Insured) (d)

1,100

1,172

Clark County Gen. Oblig. Series 2000, 5.5% 7/1/30 (MBIA Insured)

1,500

1,588

Clark County Las Vegas-McCarran Int'l. Arpt. Passenger Facility Charge Rev. Series 2002 A, 5% 7/1/07 (MBIA Insured) (d)

5,735

6,101

Clark County School District:

Series 2000 A:

5.75% 6/15/17 (Pre-Refunded to 6/15/10 @ 100) (e)

1,600

1,837

5.75% 6/15/20 (Pre-Refunded to 6/15/10 @ 100) (e)

2,800

3,214

Series F, 5.5% 6/15/16 (FSA Insured)

1,400

1,563

5.75% 6/15/10 (Pre-Refunded to 6/15/06 @ 101) (e)

2,100

2,260

Las Vegas Valley Wtr. District Series B, 5.25% 6/1/17 (MBIA Insured)

2,300

2,537

Washoe County Gen. Oblig. Series 2000 B, 0% 7/1/16 (FSA Insured)

4,140

2,484

24,376

New Hampshire - 0.3%

Manchester School Facilities Rev.:

5.5% 6/1/20 (MBIA Insured)

1,150

1,286

5.5% 6/1/28 (MBIA Insured)

1,000

1,076

New Hampshire Health & Ed. Facilities Auth. Rev. (Univ. Sys. of New Hampshire Proj.) 5.25% 7/1/07 (AMBAC Insured)

1,880

2,031

New Hampshire Higher Edl. & Health Facilities Auth. Rev. (Frisbie Memorial Hosp. Proj.) 5.7% 10/1/04

925

925

5,318

New Jersey - 1.9%

Elizabeth Gen. Oblig. 5.25% 8/15/09 (MBIA Insured) (b)

1,200

1,296

New Jersey Health Care Facilities Fing. Auth. Rev. (Atlantic City Med. Ctr. Proj.) 5.25% 7/1/05

2,250

2,298

New Jersey Tpk. Auth. Tpk. Rev. Series A, 5.625% 1/1/15 (MBIA Insured)

520

577

New Jersey Trans. Trust Fund Auth.:

Series 2003 C, 5.5% 6/15/18

2,330

2,616

Series 2005 A, 5% 12/15/07 (MBIA Insured) (b)

4,000

4,248

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

New Jersey - continued

New Jersey Trans. Trust Fund Auth.: - continued

Series A, 5.25% 12/15/08 (MBIA Insured) (b)

$ 5,000

$ 5,412

Series C:

5.5% 6/15/19

2,200

2,460

5.5% 6/15/23

10,000

10,964

Tobacco Settlement Fing. Corp. 5.75% 6/1/32

5,145

4,732

34,603

New Mexico - 0.4%

Albuquerque Arpt. Rev. 6.5% 7/1/07 (AMBAC Insured) (d)

1,400

1,545

Farmington Poll. Cont. Rev. (Tucson Gas & Elec. Co. Proj.) Series A, 6.1% 1/1/08 (MBIA Insured)

1,085

1,089

New Mexico Edl. Assistance Foundation Sr. Series A3, 4.95% 3/1/09 (d)

2,000

2,134

New Mexico Edl. Assistance Foundation Student Ln. Rev. Sr. Series IV A1, 7.05% 3/1/10 (d)

2,075

2,150

6,918

New York - 5.6%

Erie County Indl. Dev. Agcy. School Facility Rev. (Buffalo City School District Proj.):

5.75% 5/1/16 (FSA Insured)

4,740

5,461

5.75% 5/1/22 (FSA Insured)

2,240

2,524

Long Island Pwr. Auth. Elec. Sys. Rev. Series B:

5% 6/1/10

2,600

2,813

5% 6/1/11

1,075

1,165

Metropolitan Trans. Auth. Svc. Contract Rev.:

Series 2002 B, 5% 1/1/07

3,090

3,283

Series 7, 5.625% 7/1/16 (Escrowed to Maturity) (e)

2,495

2,534

Series A, 5.5% 1/1/20 (MBIA Insured)

1,600

1,787

Series B, 5.5% 7/1/19 (MBIA Insured)

1,000

1,120

Series O, 5.75% 7/1/13 (Escrowed to Maturity) (e)

1,700

1,952

Metropolitan Trans. Auth. Transit Facilities Rev. Series C, 4.75% 7/1/16 (Pre-Refunded to 1/1/12 @ 100) (e)

305

336

Nassau County Gen. Oblig. Series Z:

5% 9/1/11 (FGIC Insured)

850

925

5% 9/1/13 (FGIC Insured)

1,880

2,036

Nassau County Interim Fin. Auth. Series 2000 A, 5.75% 11/15/11 (MBIA Insured)

1,000

1,144

New York City Gen. Oblig.:

Series 2000 A, 6.5% 5/15/11

2,400

2,799

Series 2003 B, 7.5% 2/1/05

195

196

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

New York - continued

New York City Gen. Oblig.: - continued

Series A, 5.25% 11/1/14 (MBIA Insured)

$ 600

$ 667

Series C, 5.75% 3/15/27 (FSA Insured)

1,500

1,658

Series E, 6% 8/1/11

60

65

Series G, 5.25% 8/1/14 (AMBAC Insured)

1,000

1,102

Series H, 5.75% 3/15/11 (FGIC Insured)

1,605

1,835

Series J:

5.875% 2/15/19

845

894

5.875% 2/15/19 (Pre-Refunded to 2/15/06 @ 101.5) (e)

3,155

3,376

New York State Dorm. Auth. Revs.:

(City Univ. Sys. Consolidation Proj.) Series C, 7.5% 7/1/10

2,500

2,869

(Long Island Jewish Med. Ctr. Proj.) 5.25% 7/1/11 (MBIA Insured)

1,400

1,535

(New York & Presbyterian Hosp. Proj.) 4.4% 8/1/13 (AMBAC Insured)

855

879

Series 2003 A, 5% 3/15/09

3,000

3,279

New York State Envir. Facilities Corp. Clean Wtr. & Drinking Wtr. Rev. Series F:

4.875% 6/15/18

1,100

1,150

4.875% 6/15/20

2,200

2,287

5% 6/15/15

775

824

New York State Thruway Auth. State Personal Income Tax Rev. Series A, 5.5% 3/15/17

1,020

1,141

New York State Thruway Auth. Svc. Contract Rev. 5.5% 4/1/16

765

850

New York State Urban Dev. Corp. Rev. (Correctional Facilities-Svc. Contract Proj.) Series B, 4.75% 1/1/28 (Pre-Refunded to 1/1/09 @ 101) (e)

2,500

2,749

New York Thruway Auth. Second Gen. Hwy. & Bridge Trust Fund Series A, 5.25% 4/1/22 (MBIA Insured)

1,000

1,079

New York Transitional Fin. Auth. Rev. Series A, 5.75% 2/15/16

1,000

1,126

Tobacco Settlement Fing. Corp.:

Series 2004 B1, 5% 6/1/09 (FGIC Insured)

3,745

4,103

Series A1:

5% 6/1/11

12,750

13,357

5.25% 6/1/21 (AMBAC Insured)

2,200

2,357

5.25% 6/1/22 (AMBAC Insured)

3,450

3,675

5.5% 6/1/15

8,000

8,731

Series C1:

5.5% 6/1/14

2,700

2,944

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

New York - continued

Tobacco Settlement Fing. Corp.: - continued

Series C1:

5.5% 6/1/20

$ 800

$ 877

Triborough Bridge & Tunnel Auth. Revs. Series Y, 6% 1/1/12 (Escrowed to Maturity) (e)

3,000

3,465

98,949

New York & New Jersey - 0.5%

Port Auth. of New York & New Jersey:

120th Series, 5.75% 10/15/13 (MBIA Insured) (d)

7,620

8,343

124th Series, 5% 8/1/13 (FGIC Insured) (d)

1,215

1,281

9,624

North Carolina - 2.5%

Dare County Ctfs. of Prtn.:

5.25% 6/1/14 (AMBAC Insured)

1,610

1,824

5.25% 6/1/16 (AMBAC Insured)

1,580

1,760

5.25% 6/1/20 (AMBAC Insured)

1,520

1,649

North Carolina Ctfs. of Prtn. (Repair and Renovation Proj.):

Series 2004 B, 4% 6/1/06

1,200

1,242

Series B, 5.25% 6/1/17

1,400

1,554

North Carolina Eastern Muni. Pwr. Agcy. Pwr. Sys. Rev.:

Series 1993 B, 7% 1/1/08 (MBIA Insured)

2,000

2,282

Series A:

5.5% 1/1/11

1,545

1,691

5.75% 1/1/26

1,000

1,042

Series B:

5.875% 1/1/21 (MBIA Insured)

5,800

6,349

6% 1/1/06

5,250

5,470

6.125% 1/1/09

2,120

2,344

Series C:

5.25% 1/1/10

2,630

2,833

5.5% 1/1/07

500

531

5.5% 1/1/07 (MBIA Insured)

2,340

2,515

Series D:

5.375% 1/1/10

3,300

3,575

6% 1/1/09

4,050

4,361

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

North Carolina - continued

North Carolina Infrastructure Fin. Corp. Ctfs. of Prtn. (North Carolina Correctional Facilities Proj.) Series A, 5% 2/1/17

$ 2,500

$ 2,708

North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev. Series 1992, 7.25% 1/1/07

1,300

1,429

45,159

North Dakota - 0.3%

Fargo Health Sys. Rev. Series A, 5.625% 6/1/15 (AMBAC Insured)

3,685

4,186

North Dakota Bldg. Auth. Lease Rev. Series A, 5.25% 6/1/07 (FGIC Insured)

1,140

1,229

5,415

Ohio - 1.1%

Bowling Green Univ. Gen. Receipts 5.75% 6/1/13 (FGIC Insured)

1,125

1,282

Franklin County Hosp. Rev. 5.5% 5/1/21 (AMBAC Insured)

2,000

2,194

Indian Hill Exempt Village School District Hamilton County 5.5% 12/1/16

1,060

1,199

Lake County Hosp. Impt. Facilities Rev. (Lake Hosp. Sys., Inc. Proj.) 6.875% 8/15/11 (Escrowed to Maturity) (e)

3,400

3,881

Ohio Air Quality Dev. Auth. Rev. (Pennsylvania Pwr. Co. Proj.) 3.375%, tender 7/1/05 (c)

2,200

2,200

Ohio Wtr. Dev. Auth. Poll. Cont. Facilities Rev. (Toledo Edison Co. Proj.) Series B, 4.5%, tender 9/1/05 (c)

6,000

6,072

Olentangy Local School District 5.5% 12/1/15 (FSA Insured)

1,000

1,131

Richland County Hosp. Facilities (MedCentral Health Sys. Proj.) Series B, 6.375% 11/15/22

1,500

1,590

19,549

Oklahoma - 0.6%

Grand River Dam Auth. Rev. 6.25% 6/1/11 (AMBAC Insured)

2,350

2,789

Midwest City Muni. Auth. Cap. Impt. Rev. 5.5% 6/1/10 (Escrowed to Maturity) (e)

3,700

4,069

Tulsa Indl. Auth. Rev. (Univ. of Tulsa Proj.) Series 2000 A, 5.75% 10/1/25 (MBIA Insured)

4,000

4,398

11,256

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Oregon - 0.7%

Clackamas County School District #62C, Oregon City Series 2004, 5% 6/15/18 (FSA Insured)

$ 1,800

$ 1,943

Jackson County School District #9, Eagle Point 5.625% 6/15/16

2,040

2,314

Multnomah County Gen. Oblig. Series 2000 A, 5.5% 4/1/20 (Pre-Refunded to 4/1/10 @ 100) (e)

1,000

1,134

Portland Gen. Oblig. Series 2004 B, 4% 6/1/06

1,300

1,346

Portland Swr. Sys. Rev. Series 2000 A, 5.75% 8/1/18 (FGIC Insured)

1,000

1,133

Tri-County Metropolitan Trans. District Rev. Series A:

5.75% 8/1/14

1,520

1,727

5.75% 8/1/17

1,950

2,206

11,803

Pennsylvania - 2.6%

Allegheny County Arpt. Rev. (Pittsburgh Int'l. Arpt. Proj.) Series A1, 5.75% 1/1/07 (MBIA Insured) (d)

2,000

2,128

Allegheny County Hosp. Dev. Auth. Rev.:

(Health Ctr.-UPMC Health Sys. Proj.) Series B, 5.25% 7/1/06 (MBIA Insured)

3,085

3,257

(UPMC Health Sys. Proj.) Series 1999 B, 4.55% 12/15/10 (AMBAC Insured)

1,330

1,419

Canon McMillan School District Series 2001 B, 5.75% 12/1/33 (FGIC Insured)

1,400

1,545

Delaware County Auth. Hosp. Rev. (Crozer-Chester Med. Ctr. Proj.) 5.75% 12/15/13

1,165

1,226

Montgomery County Higher Ed. & Health Auth. Hosp. Rev. (Abington Memorial Hosp. Proj.) Series A, 6% 6/1/22 (AMBAC Insured)

3,930

4,713

Pennsylvania Econ. Dev. Fing. Auth. Exempt Facilities Rev.:

(Amtrak Proj.) Series 2001 A:

6.125% 11/1/21 (d)

1,300

1,353

6.5% 11/1/16 (d)

1,100

1,189

(Shippingport Proj.) Series A, 5%, tender 6/1/05 (c)(d)

7,800

7,855

Pennsylvania Higher Edl. Facilities Auth. Rev. (UPMC Health Sys. Proj.) Series 2001 A, 6% 1/15/22

4,000

4,268

Pennsylvania Tpk. Commission Tpk. Rev. Series S, 5.625% 6/1/12 (FGIC Insured)

2,500

2,873

Philadelphia Gen. Oblig. Series 2003 A, 5% 2/15/12 (XL Cap. Assurance, Inc. Insured)

1,000

1,107

Philadelphia Muni. Auth. Rev. Series B, 5.25% 11/15/11 (FSA Insured)

3,360

3,768

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Pennsylvania - continued

Philadelphia School District Series 2000 A, 5.75% 2/1/13 (Pre-Refunded to 2/1/11 @ 100) (e)

$ 2,650

$ 3,050

Quaker Valley School District 5.5% 4/1/23 (FSA Insured)

1,035

1,142

Tredyffrin-Easttown School District 5.5% 2/15/14

1,595

1,778

West Allegheny School District Series B, 5.25% 2/1/13 (FGIC Insured)

1,345

1,520

Wyoming Valley San. Auth. Swr. Rev. 5% 11/15/08 (MBIA Insured)

2,060

2,255

46,446

Puerto Rico - 0.1%

Puerto Rico Pub. Bldgs Auth. Rev. Series K, 4%, tender 7/1/07 (MBIA Insured) (c)

2,500

2,619

South Carolina - 1.2%

Charleston County Hosp. Facilities (Care Alliance Health Services Proj.) Series A, 5.25% 8/15/11

1,765

1,922

Columbia Gen. Oblig. Ctfs. Prtn. (Tourism Dev. Fee Pledge Proj.) Series 2003, 5.25% 6/1/18 (AMBAC Insured)

2,310

2,527

South Carolina Ed. Assistance Auth. Rev. (Guaranteed Student Ln. Prog.) Series B, 5.7% 9/1/05 (d)

2,000

2,051

South Carolina Jobs Econ. Dev. Auth. Econ. Dev. Rev. (Waste Mgmt., Inc. Proj.) 4.1%, tender 11/1/04 (c)(d)

3,000

3,003

South Carolina Jobs Econ. Dev. Auth. Hosp. Facilities Rev. (Palmetto Health Alliance Proj.) Series A, 7.125% 12/15/15 (Pre-Refunded to 12/15/10 @ 102) (e)

5,500

6,738

South Carolina Pub. Svc. Auth. Rev. Series A:

5.5% 1/1/14 (FGIC Insured) (b)

1,300

1,435

5.5% 1/1/16 (FGIC Insured) (b)

2,705

2,989

20,665

South Dakota - 0.4%

Minnehaha County Gen. Oblig.:

5.625% 12/1/16

2,000

2,240

5.625% 12/1/17

2,115

2,367

5.625% 12/1/18

2,350

2,625

7,232

Tennessee - 1.4%

Knox County Health Edl. & Hsg. Facilities Board Hosp. Facilities Rev. (Fort Sanders Alliance Proj.) Series C:

5.25% 1/1/15 (MBIA Insured)

1,200

1,344

6.25% 1/1/13 (MBIA Insured)

1,700

2,020

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Tennessee - continued

Knox County Health Edl. & Hsg. Facilities Board Hosp. Facilities Rev. (Fort Sanders Alliance Proj.) Series C: - continued

7.25% 1/1/10 (MBIA Insured)

$ 8,000

$ 9,592

Memphis-Shelby County Arpt. Auth. Arpt. Rev. Series A:

5% 9/1/10 (MBIA Insured)

1,755

1,939

5% 9/1/11 (MBIA Insured)

1,835

2,029

5% 9/1/13 (MBIA Insured)

2,010

2,228

5.25% 9/1/15 (MBIA Insured)

1,205

1,366

Metropolitan Govt. Nashville & Davidson County Health & Edl. Facilities Board Rev. (Ascension Health Cr. Group Proj.) Series A:

5.875% 11/15/28 (Pre-Refunded to 11/15/09 @ 101) (e)

1,200

1,382

6% 11/15/30 (Pre-Refunded to 11/15/09 @ 101) (e)

1,600

1,853

Shelby County Health Edl. & Hsg. Facility Board Hosp. Rev. (Methodist Health Care Proj.) 5.5% 4/1/09 (MBIA Insured)

1,100

1,214

24,967

Texas - 19.8%

Alvin Independent School District Series A, 5.25% 2/15/17

1,015

1,120

Arlington Independent School District 0% 2/15/07

1,570

1,484

Austin Cmnty. College District 5% 8/1/18 (AMBAC Insured)

1,000

1,073

Austin Independent School District 5.7% 8/1/11

1,070

1,138

Austin Util. Sys. Rev.:

Series A, 0% 11/15/10 (MBIA Insured)

5,200

4,202

0% 11/15/12 (AMBAC Insured)

2,000

1,461

Bexar Metropolitan Wtr. District Wtrwks. Sys. Rev.:

5.375% 5/1/15 (FSA Insured)

1,365

1,526

5.375% 5/1/16 (FSA Insured)

1,425

1,585

5.375% 5/1/17 (FSA Insured)

1,490

1,647

Birdville Independent School District:

0% 2/15/12

4,150

3,125

5% 2/15/10

1,200

1,320

Brazos River Auth. Poll. Cont. Rev. (Texas Utils. Elec. Co. Proj.) Series 1995 B, 5.05%, tender 6/19/06 (c)(d)

8,180

8,388

Brazosport Independent School District (School House Proj.) 5.4% 2/15/13

1,290

1,349

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

Cedar Hill Independent School District:

0% 8/15/05

$ 2,830

$ 2,786

0% 8/15/07

1,465

1,373

Clint Independent School District 5.5% 8/15/18

1,000

1,110

Corpus Christi Gen. Oblig. 5% 3/1/09 (AMBAC Insured) (b)

1,505

1,633

Cypress-Fairbanks Independent School District:

Series A, 0% 2/15/16

3,640

2,215

5.75% 2/15/17

1,500

1,697

Dallas County Gen. Oblig. Series A:

0% 8/15/05

7,125

7,014

0% 8/15/06

3,500

3,367

0% 8/15/07

3,605

3,358

Del Valle Independent School District:

5.5% 2/1/10

1,275

1,433

5.5% 2/1/11

1,350

1,530

Denton County Lewisville Independent School District Series 2004, 5% 8/15/20

1,000

1,051

El Paso Wtr. & Swr. Rev. 5% 3/1/11 (AMBAC Insured)

3,100

3,426

Fort Worth Wtr. & Swr. Rev. Series A, 5% 2/15/11 (FSA Insured)

2,000

2,209

Frisco Gen. Oblig. Series 2003 A, 5% 2/15/11 (FSA Insured)

4,060

4,490

Garland Independent School District:

Series A:

4% 2/15/17

3,505

3,508

5% 2/15/10

1,000

1,100

5.5% 2/15/12

2,180

2,422

Harlandale Independent School District 5.5% 8/15/35

1,400

1,484

Harris County Gen. Oblig.:

(Toll Road Proj.):

Series A, 0% 8/15/18 (Pre-Refunded to 8/15/09 @ 53.836) (e)

7,500

3,500

0% 8/1/06

13,000

12,512

0% 10/1/14 (MBIA Insured)

8,530

5,643

0% 10/1/16 (MBIA Insured)

6,180

3,681

Harris County Health Facilities Dev. Corp. Rev. (Saint Luke's Episcopal Hosp. Proj.) Series 2001 A:

5.625% 2/15/14

2,500

2,721

5.625% 2/15/15

2,680

2,899

Houston Area Wtr. Corp. Contract Rev. (Northeast Wtr. Purification Proj.) 5.5% 3/1/18 (FGIC Insured)

1,140

1,264

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

Houston Arpt. Sys. Rev.:

(Automated People Mover Proj.) Series A, 5.375% 7/15/11 (FSA Insured) (d)

$ 3,300

$ 3,507

Series B, 5.5% 7/1/30 (FSA Insured)

3,900

4,127

Houston Gen. Oblig. Series A:

5.25% 3/1/13

250

272

5.25% 3/1/13 (Pre-Refunded to 3/1/09 @ 100) (e)

1,000

1,113

Houston Independent School District:

Series A, 0% 8/15/11

13,740

10,653

0% 8/15/10 (AMBAC Insured)

2,200

1,797

0% 8/15/15

2,000

1,257

Houston Wtr. & Swr. Sys. Rev. Series C:

0% 12/1/10 (AMBAC Insured)

2,600

2,097

0% 12/1/11 (AMBAC Insured)

8,250

6,332

Humble Independent School District:

0% 2/15/10

2,320

1,929

8% 2/15/05

820

838

Katy Independent School District Series A, 0% 2/15/07

2,550

2,410

Keller Independent School District Series A, 0% 8/15/12

1,590

1,171

La Joya Independent School District 5.75% 2/15/17

2,200

2,468

Lamar Consolidated Independent School District 5.25% 2/15/14

3,750

4,036

Laredo Gen. Oblig.:

5.125% 8/15/11 (FGIC Insured)

2,225

2,421

5.25% 2/15/13 (FGIC Insured)

1,335

1,393

Leander Independent School District:

7.5% 8/15/05

600

629

7.5% 8/15/07

800

916

Lewisville Independent School District 0% 8/15/08

5,000

4,383

Lower Colorado River Auth. Rev. 0% 1/1/09 (Escrowed to Maturity) (e)

615

545

Lower Colorado River Auth. Transmission Contract Rev. (LCRA Transmission Services Corp. Proj.) Series C, 5.25% 5/15/21 (AMBAC Insured)

2,405

2,595

Mansfield Independent School District:

5.5% 2/15/13

1,575

1,767

5.5% 2/15/14

2,280

2,549

5.5% 2/15/15

2,270

2,545

5.5% 2/15/16

3,450

3,854

5.5% 2/15/18

1,000

1,106

5.5% 2/15/19

2,530

2,790

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

Mesquite Independent School District:

Series A, 5% 8/15/06

$ 1,000

$ 1,056

5.375% 8/15/11

1,500

1,644

Midlothian Independent School District 0% 2/15/06 (Escrowed to Maturity) (e)

1,665

1,622

Midway Independent School District 0% 8/15/19

1,400

700

Montgomery County Gen. Oblig. Series A, 5.625% 3/1/19 (FSA Insured)

4,000

4,454

Mount Pleasant Independent School District 5.5% 2/15/17

1,010

1,122

New Braunfels Independent School District 5.5% 2/1/15

1,135

1,263

North Central Health Facilities Dev. Corp. Rev. Series 1997 B, 5.75% 2/15/15 (MBIA Insured)

2,520

2,932

Northside Independent School District:

Series A, 5.25% 2/15/17

2,975

3,246

5.5% 2/15/13

2,310

2,592

5.5% 2/15/16

1,000

1,110

Pearland Independent School District Series A, 5.875% 2/15/19

1,000

1,136

Pflugerville Independent School District:

5.75% 8/15/14

1,000

1,132

5.75% 8/15/17

500

564

5.75% 8/15/19

2,000

2,253

Plano Independent School District 5.5% 2/15/13 (Pre-Refunded to 2/15/06 @ 100) (e)

1,810

1,901

Red River Ed. Fin. Corp. Ed. Rev. (Hockaday School Proj.) 5.75% 5/15/19

1,210

1,343

Rio Grande City Consolidated Independent School District:

5.875% 8/15/20

2,605

2,956

5.875% 8/15/22

2,925

3,308

Rockwall Independent School District:

5.375% 2/15/17

1,045

1,148

5.375% 2/15/18

1,370

1,497

5.625% 2/15/11

3,865

4,412

Round Rock Independent School District:

Series 2001 A:

5.5% 8/1/13

1,940

2,193

5.5% 8/1/15

1,510

1,692

0% 2/15/07

7,645

7,226

5.375% 8/1/15

1,000

1,119

5.375% 8/1/17

1,050

1,160

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

San Antonio Elec. & Gas Systems Rev.:

Series B, 0% 2/1/06 (Escrowed to Maturity) (e)

$ 17,500

$ 17,059

5.25% 2/1/07

2,600

2,786

5.375% 2/1/17

6,000

6,652

5.75% 2/1/11 (Escrowed to Maturity) (e)

1,410

1,623

San Benito Consolidated Independent School District 6% 2/15/25

2,300

2,592

Southwest Higher Ed. Auth. Rev. (Southern Methodist Univ. Proj.) 5.5% 10/1/12 (AMBAC Insured)

2,905

3,329

Spring Branch Independent School District:

Series 2001, 5.375% 2/1/14

2,700

2,999

5.375% 2/1/18

1,400

1,526

Spring Independent School District:

0% 2/15/07

5,900

5,577

5% 2/15/13

1,515

1,678

Tarrant County Health Facilities Dev. Corp. Hosp. Rev. 5.375% 11/15/20

1,250

1,290

Texas Gen. Oblig.:

(College Student Ln. Prog.):

5.25% 8/1/09 (d)

6,885

7,551

5.375% 8/1/10 (d)

1,900

2,101

5% 8/1/09 (d)

5,000

5,191

Texas Tpk. Auth. Central Tpk. Sys. Rev. 5.75% 8/15/38 (AMBAC Insured)

10,110

11,123

Texas Tpk. Auth. Dallas North Tollway Rev.:

5.25% 1/1/23 (FGIC Insured)

7,000

7,272

6.5% 1/1/07 (FGIC Insured)

5,090

5,558

Texas Wtr. Dev. Board Rev. Series A, 5.5% 7/15/21

1,700

1,840

Travis County Health Facilities Dev. Corp. Rev. (Ascension Health Cr. Prog.) Series A, 6.25% 11/15/19 (Pre-Refunded to 11/15/09 @ 101) (e)

4,000

4,711

Trinity River Auth. Reg'l. Wastewtr. Sys. Rev.:

5% 8/1/07 (MBIA Insured)

2,500

2,686

5.25% 8/1/09 (MBIA Insured)

3,060

3,398

Tyler Health Facilities Dev. Corp. Hosp. Rev. (Mother Frances Hosp. Reg'l. Health Care Ctr. Proj.) 5.25% 7/1/10

4,080

4,302

Waxahachie Independent School District:

0% 8/15/14

1,460

966

0% 8/15/20 (Pre-Refunded to 8/15/10 @ 51.59) (e)

4,780

2,040

0% 8/15/21 (Pre-Refunded to 8/15/10 @ 48.18) (e)

3,860

1,539

Webb County Gen. Oblig. 5% 2/15/09 (FGIC Insured)

1,230

1,345

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

Williamson County Gen. Oblig.:

5.5% 2/15/19 (FSA Insured)

$ 1,400

$ 1,539

5.5% 2/15/19 (FSA Insured)

3,300

3,640

Yselta Independent School District 0% 8/15/11

1,100

853

351,891

Utah - 0.7%

Intermountain Pwr. Agcy. Pwr. Supply Rev. Series B, 5.75% 7/1/16 (MBIA Insured)

1,000

1,106

Salt Lake County Hosp. Rev. (IHC Health Svcs., Inc. Proj.) 5.5% 5/15/12 (AMBAC Insured)

5,000

5,654

Salt Lake County Wtr. Conservancy District Rev. Series A, 0% 10/1/06 (AMBAC Insured)

3,500

3,345

Utah Muni. Pwr. Agcy. Elec. Sys. Rev. Series A, 5% 7/1/10 (AMBAC Insured)

2,740

3,026

13,131

Vermont - 0.3%

Vermont Edl. & Health Bldgs. Fing. Agcy. Rev. (Fletcher Allen Health Care, Inc. Proj.):

Series 2000 A, 6.125% 12/1/27 (AMBAC Insured)

2,800

3,155

Series A, 5.75% 12/1/18 (AMBAC Insured)

1,200

1,360

4,515

Virginia - 0.3%

Arlington County Indl. Dev. Auth. Resource Recovery Rev. (Alexandria/Arlington Waste Proj.) Series B, 5.375% 1/1/11 (FSA Insured) (d)

2,750

3,018

Virginia Hsg. Dev. Auth. Multi-family Hsg. Rev. Series I:

5.75% 5/1/07 (d)

1,380

1,441

5.85% 5/1/08 (d)

1,370

1,433

5,892

Washington - 8.4%

Chelan County Pub. Util. District #1 Rev. Series 2005 A, 5.125%, tender 7/1/15 (FGIC Insured) (b)(c)(d)

1,000

1,066

Chelan County School District #246, Wenatchee 5.5% 12/1/19 (FSA Insured)

1,300

1,438

Clark County Pub. Util. District #1 Elec. Rev.:

Series B:

5.25% 1/1/10 (FSA Insured)

1,630

1,810

5.25% 1/1/11 (FSA Insured)

1,715

1,915

5% 1/1/09 (MBIA Insured)

1,265

1,381

5% 1/1/10 (MBIA Insured)

2,000

2,197

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Washington - continued

Clark County School District #37, Vancouver Series C, 0% 12/1/19 (FGIC Insured)

$ 3,000

$ 1,480

Cowlitz County Gen. Oblig. 5.5% 11/1/11 (FSA Insured)

460

516

Energy Northwest Elec. Rev. (#1 Proj.) Series B, 6% 7/1/17 (MBIA Insured)

4,000

4,647

Franklin County Pub. Util. District #1 Elec. Rev. 5.625% 9/1/21 (MBIA Insured)

2,000

2,204

Grant County Pub. Util. District #2 Wanapum Hydro Elec. Rev. Second Series B, 5.25% 1/1/14 (MBIA Insured) (d)

1,235

1,347

King County School District #414, Lake Washington 5.25% 12/1/15 (Pre-Refunded to 12/1/10 @ 100) (e)

1,000

1,128

King County Swr. Rev. Series B:

5.5% 1/1/15 (FSA Insured)

7,245

8,150

5.5% 1/1/17 (FSA Insured)

2,565

2,863

5.5% 1/1/18 (FSA Insured)

3,010

3,331

Port of Seattle Rev.:

Series 2000 B, 5.5% 2/1/08 (MBIA Insured) (d)

6,225

6,742

Series B:

5.25% 9/1/07 (FGIC Insured) (d)

3,185

3,432

5.5% 9/1/08 (FGIC Insured) (d)

3,750

4,106

Series D, 5.75% 11/1/06 (FGIC Insured) (d)

3,660

3,923

Seattle Muni. Lt. & Pwr. Rev. 5.5% 3/1/08 (FSA Insured)

5,475

6,019

Seattle Wtr. Sys. Rev. Series B, 5.75% 7/1/23 (FGIC Insured)

1,000

1,112

Snohomish County Pub. Hosp. District #2 (Stevens Health Care Proj.):

4.5% 12/1/07 (FGIC Insured)

1,705

1,813

4.5% 12/1/09 (FGIC Insured)

855

919

Spokane Pub. Facilities District Hotel & Motel Tax & Sales Use Tax Rev. 5.75% 12/1/18 (MBIA Insured)

1,000

1,163

Tacoma Elec. Sys. Rev. Series A, 5.625% 1/1/21 (FSA Insured)

3,800

4,220

Tumwater School District #33, Thurston County Series 1996 B:

0% 12/1/11 (FGIC Insured)

6,415

4,899

0% 12/1/12 (FGIC Insured)

6,830

4,964

Washington Gen. Oblig.:

(Convention & Trade Ctr. Proj.) Series AT5, 0% 8/1/12 (MBIA Insured)

2,025

1,485

Series 2001 C, 5.25% 1/1/16

3,000

3,286

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Washington - continued

Washington Gen. Oblig.: - continued

Series C, 5.25% 1/1/26 (FSA Insured)

$ 2,200

$ 2,307

Series R 97A, 0% 7/1/19 (MBIA Insured)

3,440

1,730

Washington Health Care Facilities Auth. Rev.:

(Providence Health Systems Proj.) Series 2001 A, 5.5% 10/1/13 (MBIA Insured)

3,065

3,432

(Swedish Health Svcs. Proj.) 5.5% 11/15/12 (AMBAC Insured)

3,000

3,326

Washington Pub. Pwr. Supply Sys. Nuclear Proj. #1 Rev. Series 1997 B, 5.125% 7/1/13 (FSA Insured)

9,500

10,339

Washington Pub. Pwr. Supply Sys. Nuclear Proj. #2 Rev. Series A, 5% 7/1/12 (FSA Insured)

3,500

3,826

Washington Pub. Pwr. Supply Sys. Nuclear Proj. #3 Rev.:

Series B:

0% 7/1/07

15,130

14,066

0% 7/1/10

18,250

14,789

0% 7/1/12 (MBIA Insured)

4,000

2,921

Series C, 7.5% 7/1/08 (MBIA Insured)

7,040

8,250

148,542

West Virginia - 0.0%

Kanawha/Putnam County, Huntington/Charlestown City Series 1984 A, 0% 12/1/16 (Escrowed to Maturity) (e)

1,100

641

Wisconsin - 0.8%

Badger Tobacco Asset Securitization Corp. 6.125% 6/1/27

2,445

2,334

Fond Du Lac School District:

5.75% 4/1/12 (Pre-Refunded to 4/1/10 @ 100) (e)

1,000

1,147

5.75% 4/1/14 (Pre-Refunded to 4/1/10 @ 100) (e)

1,000

1,147

Wisconsin Gen. Oblig.:

Series 2002 F, 5.5% 5/1/15 (FSA Insured)

1,400

1,571

Series D, 5.4% 5/1/20

1,000

1,093

Wisconsin Health & Edl. Facilities Auth. Rev. (Wheaton Franciscan Svcs., Inc. Proj.):

Series A, 5.5% 8/15/14

1,775

1,935

5.75% 8/15/12

1,760

1,964

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Wisconsin - continued

Wisconsin Health & Edl. Facilities Auth. Rev. (Wheaton Franciscan Svcs., Inc. Proj.): - continued

6% 8/15/16

$ 1,000

$ 1,103

6.25% 8/15/22

1,600

1,738

14,032

TOTAL INVESTMENT PORTFOLIO - 100.3%

(Cost $1,705,418)

1,783,012

NET OTHER ASSETS - (0.3)%

(6,127)

NET ASSETS - 100%

$ 1,776,885

Legend

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

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

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

(d) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

(e) Security collateralized by an amount sufficient to pay interest and principal.

Income Tax Information

At September 30, 2004, the aggregate cost of investment securities for income tax purposes was $1,705,109,000. Net unrealized appreciation aggregated $77,903,000, of which $79,770,000 related to appreciated investment securities and $1,867,000 related to depreciated investment securities.

Quarterly Report

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

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

Quarterly Report

Item 2. Controls and Procedures

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

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

Item 3. Exhibits

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

SIGNATURES

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

Fidelity School Street Trust

By:

/s/Christine Reynolds

Christine Reynolds

President and Treasurer

Date:

November 22, 2004

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/Christine Reynolds

Christine Reynolds

President and Treasurer

Date:

November 22, 2004

By:

/s/Timothy F. Hayes

Timothy F. Hayes

Chief Financial Officer

Date:

November 22, 2004