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, 2006

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® New Markets Income Fund

September 30, 2006

1.808781.102

NMI-QTLY-1106

Investments September 30, 2006 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 16.8%

Principal
Amount (h)

Value

Argentina - 0.5%

Telecom Personal SA 9.25% 12/22/10 (e)

$ 9,420,000

$ 9,679,050

Bahamas (Nassau) - 0.4%

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

8,302,000

9,173,710

Brazil - 0.9%

Globo Communicacoes e Partcipacoes LTDA 9.375% 12/31/49

15,115,000

15,130,115

Globo Communicacoes e Participacoes SA 7.375% 10/20/11 (Reg. S) (d)

2,802,014

2,802,574

TOTAL BRAZIL

17,932,689

Cayman Islands - 0.3%

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

5,130,000

5,873,850

Germany - 3.0%

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

8,920,000

9,499,800

Dresdner Bank AG 10.375% 8/17/09 (e)

7,105,000

7,708,925

Gazstream SA 5.625% 7/22/13 (e)

37,215,301

36,936,186

Kyivstar GSM 7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (e)

7,530,000

7,651,986

TOTAL GERMANY

61,796,897

Indonesia - 0.0%

APP International Finance (Mauritius) Ltd.:

0% 7/5/01 (c)(e)

4,420,000

110,500

0% 7/5/01 (Reg. S) (c)

1,335,000

33,375

TOTAL INDONESIA

143,875

Ireland - 0.2%

Red Arrow International Leasing 8.375% 6/30/12

RUB

111,274,683

4,288,582

Korea (South) - 0.4%

Hanarotelecom, Inc. 7% 2/1/12 (e)

9,570,000

9,426,450

Luxembourg - 2.1%

Millicom International Cellular SA 10% 12/1/13

8,935,000

9,605,125

Mobile Telesystems Finance SA:

(Reg. S) 8.375% 10/14/10

5,520,000

5,720,376

8% 1/28/12

5,070,000

5,139,966

8.375% 10/14/10 (e)

4,110,000

4,259,193

Norilsk Nickel Finance Luxembourg SA 7.125% 9/30/09

6,535,000

6,616,688

Nonconvertible Bonds - continued

Principal
Amount (h)

Value

Luxembourg - continued

RSHB Capital SA 7.175% 5/16/13 (e)

$ 2,190,000

$ 2,277,600

UBS Luxembourg SA 8.25% 5/23/16

9,860,000

9,983,250

TOTAL LUXEMBOURG

43,602,198

Malaysia - 2.6%

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

13,315,000

16,028,597

Petronas Capital Ltd.:

7% 5/22/12

22,500,000

24,241,500

7.875% 5/22/22 (Reg. S)

10,625,000

12,821,188

TOTAL MALAYSIA

53,091,285

Netherlands - 0.5%

PT Indosat International Finance Co. BV 7.125% 6/22/12 (e)

10,015,000

10,027,519

Russia - 1.2%

Mobile Telesystems Finance SA 9.75% 1/30/08 (Reg. S)

14,110,000

14,646,180

OAO Gazprom 9.625% 3/1/13

8,400,000

9,933,000

TOTAL RUSSIA

24,579,180

Tunisia - 0.2%

Banque Centrale de Tunisie 7.375% 4/25/12

4,380,000

4,757,775

United Kingdom - 0.4%

Credit Suisse First Boston International 8% 11/6/15 (e)

7,550,000

7,569,630

United States of America - 3.6%

Pemex Project Funding Master Trust:

5.9906% 12/3/12 (e)(f)

4,985,000

4,970,045

7.375% 12/15/14

12,720,000

13,750,320

7.75% 9/28/49

26,220,000

26,678,850

7.875% 2/1/09 (f)

9,390,000

9,831,330

8.625% 2/1/22

16,160,000

19,529,360

TOTAL UNITED STATES OF AMERICA

74,759,905

Venezuela - 0.5%

Petrozuata Finance, Inc.:

7.63% 4/1/09 (e)

4,047,297

4,016,942

8.22% 4/1/17 (e)

6,055,000

5,903,625

TOTAL VENEZUELA

9,920,567

TOTAL NONCONVERTIBLE BONDS

(Cost $347,515,960)

346,623,162

Government Obligations - 74.6%

Principal
Amount (h)

Value

Argentina - 2.3%

Argentine Republic:

discount (with partial capitalization through 12/31/13) 8.28% 12/31/33

$ 17,583,559

$ 16,924,175

5.589% 8/3/12 (f)

34,102,500

31,492,952

TOTAL ARGENTINA

48,417,127

Belize - 0.1%

Belize Government 9.75% 6/12/15

2,760,000

2,083,800

Brazil - 13.7%

Brazilian Federative Republic:

7.125% 1/20/37

9,855,000

10,066,883

7.875% 3/7/15

8,980,000

9,855,550

8% 1/15/18

23,470,000

25,758,325

8.25% 1/20/34

28,215,000

32,334,390

8.75% 2/4/25

27,410,000

32,617,900

8.875% 10/14/19

12,625,000

15,023,750

8.875% 4/15/24

14,130,000

16,977,195

10% 8/7/11

8,605,000

10,106,573

10.5% 7/14/14

10,600,000

13,313,600

11% 1/11/12

8,000,000

9,800,000

11% 8/17/40

27,965,000

36,410,430

12% 4/15/10

5,420,000

6,512,130

12.25% 3/6/30

14,540,000

23,409,400

12.5% 1/5/16

BRL

20,555,000

9,477,033

12.75% 1/15/20

13,455,000

20,451,600

14.5% 10/15/09

8,690,000

10,892,915

TOTAL BRAZIL

283,007,674

Colombia - 2.1%

Colombian Republic:

7.2163% 11/16/15 (f)

4,020,000

4,110,450

8.125% 5/21/24

2,480,000

2,728,000

8.25% 12/22/14

3,590,000

3,963,360

10% 1/23/12

6,595,000

7,683,175

10.375% 1/28/33

3,600,000

4,896,000

10.75% 1/15/13

8,030,000

9,796,600

11.75% 2/25/20

7,401,000

10,379,903

TOTAL COLOMBIA

43,557,488

Government Obligations - continued

Principal
Amount (h)

Value

Dominican Republic - 1.4%

Dominican Republic:

9.04% 1/23/18 (e)

$ 8,131,748

$ 9,046,570

9.5% 9/27/11

18,751,229

20,129,444

TOTAL DOMINICAN REPUBLIC

29,176,014

Ecuador - 1.2%

Ecuador Republic:

9.375% 12/15/15 (e)

3,780,000

3,670,380

10% 8/15/30 (Reg. S)

16,265,000

15,077,655

12% 11/15/12 (e)

826,200

824,135

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

5,000,040

4,987,540

TOTAL ECUADOR

24,559,710

El Salvador - 0.6%

El Salvador Republic:

7.65% 6/15/35

6,750,000

7,246,125

8.5% 7/25/11 (Reg. S)

4,410,000

4,884,075

TOTAL EL SALVADOR

12,130,200

Indonesia - 1.8%

Indonesian Republic:

6.75% 3/10/14

4,765,000

4,860,300

7.5% 1/15/16 (e)

18,830,000

20,101,025

8.5% 10/12/35 (e)

10,860,000

12,733,350

TOTAL INDONESIA

37,694,675

Iraq - 0.7%

Republic of Iraq 5.8% 1/15/28 (e)

21,795,000

14,275,725

Ivory Coast - 0.4%

Ivory Coast:

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

13,779,750

3,307,140

FLIRB 2.5% 3/29/18 (Reg. S) (c)(f)

23,300,000

5,592,000

TOTAL IVORY COAST

8,899,140

Lebanon - 2.1%

Lebanon, Republic of:

8.5669% 11/30/09 (e)(f)

10,940,000

11,049,400

8.5669% 11/30/09 (f)

7,275,000

7,347,750

10.125% 8/6/08

5,380,000

5,575,025

Government Obligations - continued

Principal
Amount (h)

Value

Lebanon - continued

Lebanon, Republic of: - continued

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

$ 8,460,000

$ 8,967,600

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

9,120,000

10,784,400

TOTAL LEBANON

43,724,175

Mexico - 8.5%

United Mexican States:

5.625% 1/15/17

24,886,000

24,612,254

5.875% 1/15/14

13,485,000

13,788,413

6.625% 3/3/15

9,673,000

10,301,745

6.75% 9/27/34

11,935,000

12,651,100

7.5% 4/8/33

14,610,000

16,852,635

8.125% 12/30/19

17,900,000

21,488,950

8.3% 8/15/31

27,195,000

33,925,763

11.375% 9/15/16

9,575,000

13,740,125

11.5% 5/15/26

17,480,000

27,600,920

TOTAL MEXICO

174,961,905

Nigeria - 0.3%

Central Bank of Nigeria:

promissory note 5.092% 1/5/10

6,665,324

6,425,881

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

4,000

700,000

TOTAL NIGERIA

7,125,881

Pakistan - 0.4%

Islamic Republic of Pakistan:

6.75% 2/19/09

3,405,000

3,396,488

7.125% 3/31/16 (e)

4,080,000

4,018,800

TOTAL PAKISTAN

7,415,288

Panama - 0.7%

Panamanian Republic:

7.125% 1/29/26

5,370,000

5,625,075

8.875% 9/30/27

7,220,000

8,916,700

TOTAL PANAMA

14,541,775

Peru - 2.3%

Peruvian Republic:

7.35% 7/21/25

11,160,000

11,896,560

9.125% 2/21/12

8,435,000

9,679,163

Government Obligations - continued

Principal
Amount (h)

Value

Peru - continued

Peruvian Republic: - continued

9.875% 2/6/15

$ 9,925,000

$ 12,282,188

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

14,181,600

13,968,876

TOTAL PERU

47,826,787

Philippines - 9.0%

Philippine Republic:

7.75% 1/14/31

5,540,000

5,775,450

8.375% 2/15/11

17,885,000

19,294,338

8.875% 3/17/15

18,555,000

21,152,700

9% 2/15/13

45,785,000

51,508,125

9.375% 1/18/17

12,390,000

14,620,200

9.5% 2/2/30

24,310,000

29,962,075

9.875% 1/15/19

20,625,000

25,420,313

10.625% 3/16/25

14,015,000

18,674,988

TOTAL PHILIPPINES

186,408,189

Qatar - 0.5%

State of Qatar 9.75% 6/15/30 (Reg. S)

6,745,000

9,974,169

Russia - 10.1%

Russian Federation:

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

126,297,500

140,821,702

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

23,437,000

33,690,688

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

18,397,000

33,022,615

TOTAL RUSSIA

207,535,005

Serbia & Montenegro - 0.3%

Republic of Serbia 3.75% 11/1/24 (d)(e)

7,545,000

6,700,715

Turkey - 7.0%

Turkish Republic:

6.875% 3/17/36

10,165,000

9,250,150

8% 2/14/34

18,685,000

19,292,263

9.5% 1/15/14

13,950,000

15,850,688

11% 1/14/13

25,930,000

31,148,413

11.5% 1/23/12

11,560,000

13,900,900

11.75% 6/15/10

21,910,000

25,667,565

11.875% 1/15/30

19,635,000

28,937,081

TOTAL TURKEY

144,047,060

Ukraine - 1.7%

City of Kiev 8.75% 8/8/08

8,315,000

8,595,216

Government Obligations - continued

Principal
Amount (h)

Value

Ukraine - continued

Ukraine Government:

6.875% 3/4/11 (Reg. S)

$ 3,855,000

$ 3,903,188

8.9025% 8/5/09 (f)

20,505,000

21,710,694

TOTAL UKRAINE

34,209,098

United States of America - 0.9%

U.S. Treasury Bonds 4.5% 2/15/36

18,730,000

17,947,142

Uruguay - 1.3%

Uruguay Republic:

7.25% 2/15/11

3,830,000

3,935,325

7.5% 3/15/15

6,785,000

7,056,400

7.625% 3/21/36

3,735,000

3,725,663

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

8,310,000

8,600,850

9.25% 5/17/17

3,315,000

3,861,975

TOTAL URUGUAY

27,180,213

Venezuela - 4.8%

Venezuelan Republic:

oil recovery rights 4/15/20 (a)(g)

168,700

6,157,550

6.5106% 4/20/11 (f)

18,365,000

18,181,350

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

6,245,000

6,245,000

7.65% 4/21/25

9,445,000

9,870,025

8.5% 10/8/14

17,235,000

19,087,763

9.375% 1/13/34

5,800,000

7,163,000

10.75% 9/19/13

10,220,000

12,509,280

13.625% 8/15/18

12,818,000

19,034,730

TOTAL VENEZUELA

98,248,698

Vietnam - 0.4%

Vietnamese Socialist Republic 6.875% 1/15/16 (e)

7,970,000

8,308,725

TOTAL GOVERNMENT OBLIGATIONS

(Cost $1,458,506,773)

1,539,956,378

Common Stocks - 0.1%

Shares

Bermuda - 0.1%

APP China Group Ltd. (a)
(Cost $2,054,053)

42,508

1,700,320

Sovereign Loan Participations - 0.2%

Principal
Amount (h)

Value

Morocco - 0.2%

Moroccan Kingdom loan participation - JP Morgan 6.3644% 1/2/09 (f)
(Cost $3,703,954)

$ 3,723,214

$ 3,718,560

Money Market Funds - 6.9%

Shares

Fidelity Cash Central Fund, 5.36% (b)
(Cost $143,165,974)

143,165,974

143,165,974

Purchased Options - 0.0%

Expiration
Date/Strike Price

Underlying Face Amount

Argentina - 0.0%

Lehman Brothers Holdings, Inc. Call Option on $42,490,000 notional amount of Argentine Republic par 1.33% 12/31/38

July 2007/
$44.50

$ 18,483,150

849,800

Venezuela - 0.0%

Lehman Brothers Holdings, Inc. Call Option on $44,080,000 notional amount of Venezuelan Republic 9.25% 9/15/27

October 2006/
$122.50

53,909,840

335,008

TOTAL PURCHASED OPTIONS

(Cost $1,576,078)

1,184,808

TOTAL INVESTMENT PORTFOLIO - 98.6%

(Cost $1,956,522,792)

2,036,349,202

NET OTHER ASSETS - 1.4%

28,204,288

NET ASSETS - 100%

$ 2,064,553,490

Security Type Abbreviation

FLIRB - Front Loaded Interest
Reduction Bonds

Currency Abbreviations

BRL

-

Brazilian real

RUB

-

Russian ruble

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 unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

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

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

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $225,813,836 or 10.9% 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) Principal amount is stated in United States dollars unless otherwise noted.

Affiliated Central Funds

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

Fund

Income earned

Fidelity Cash Central Fund

$ 2,258,900

Income Tax Information

At September 30, 2006, the aggregate cost of investment securities for income tax purposes was $1,955,989,808. Net unrealized appreciation aggregated $80,359,394, of which $89,696,293 related to appreciated investment securities and $9,336,899 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price. Options traded over-the-counter are valued using dealer-supplied valuations. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

Quarterly Report

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

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, 2006

1.808788.102

FSN-QTLY-1106

Investments September 30, 2006 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 35.6%

Principal Amount
(000s) (c)

Value
(000s)

Convertible Bonds - 0.0%

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

ON Semiconductor Corp. 0% 4/15/24

$ 620

$ 547

Nonconvertible Bonds - 35.6%

CONSUMER DISCRETIONARY - 7.7%

Auto Components - 0.6%

Affinia Group, Inc. 9% 11/30/14

6,965

6,495

Delco Remy International, Inc.:

9.375% 4/15/12

830

359

11% 5/1/09

980

461

Stoneridge, Inc. 11.5% 5/1/12

635

613

Tenneco, Inc. 8.625% 11/15/14

5,350

5,270

TRW Automotive Acquisition Corp.:

9.375% 2/15/13

3,376

3,600

11% 2/15/13

2,439

2,665

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

610

603

Visteon Corp. 7% 3/10/14

4,790

4,287

24,353

Automobiles - 0.2%

Fiat Finance & Trade Ltd. 5.625% 11/15/11

EUR

1,100

1,403

General Motors Corp. 8.375% 7/15/33

6,850

5,942

7,345

Diversified Consumer Services - 0.1%

Affinion Group, Inc. 11.5% 10/15/15

2,695

2,749

Hotels, Restaurants & Leisure - 1.7%

Carrols Corp. 9% 1/15/13

4,090

4,151

Festival Fun Parks LLC 10.875% 4/15/14

1,710

1,663

Gaylord Entertainment Co.:

6.75% 11/15/14

8,725

8,289

8% 11/15/13

2,055

2,081

ITT Corp. 7.375% 11/15/15

2,850

2,893

Landry's Seafood Restaurants, Inc. 7.5% 12/15/14

3,065

2,935

Mandalay Resort Group:

6.375% 12/15/11

1,780

1,740

6.5% 7/31/09

2,865

2,869

MGM Mirage, Inc.:

6% 10/1/09

1,360

1,343

6.625% 7/15/15

4,030

3,869

6.75% 9/1/12

1,685

1,660

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

MGM Mirage, Inc.: - continued

6.75% 4/1/13

$ 2,110

$ 2,070

6.875% 4/1/16

2,110

2,039

8.5% 9/15/10

275

293

Mohegan Tribal Gaming Authority 6.875% 2/15/15

3,040

2,964

Scientific Games Corp. 6.25% 12/15/12

880

847

Starwood Hotels & Resorts Worldwide, Inc.:

7.375% 5/1/07

1,925

1,954

7.875% 5/1/12

1,480

1,560

Station Casinos, Inc. 6% 4/1/12

2,740

2,644

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

5,231

4,289

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

3,280

3,534

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

6,165

6,034

Virgin River Casino Corp./RBG LLC/B&BB, Inc.:

0% 1/15/13 (d)

1,435

990

9% 1/15/12

770

793

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

720

763

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

1,300

1,333

65,600

Household Durables - 0.3%

D.R. Horton, Inc. 7.875% 8/15/11

200

213

Fortune Brands, Inc. 4% 1/30/13

EUR

1,100

1,343

K. Hovnanian Enterprises, Inc.:

6.25% 1/15/15

1,490

1,322

7.75% 5/15/13

1,475

1,357

Meritage Homes Corp. 6.25% 3/15/15

2,590

2,202

Technical Olympic USA, Inc.:

7.5% 1/15/15

2,925

2,252

10.375% 7/1/12

1,575

1,339

Urbi, Desarrollos Urbanos, SA de CV 8.5% 4/19/16 (f)

2,550

2,658

12,686

Leisure Equipment & Products - 0.0%

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

950

936

Media - 4.1%

AMC Entertainment, Inc. 11% 2/1/16

2,570

2,808

CanWest Media, Inc. 8% 9/15/12

1,130

1,090

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Charter Communications Holdings I LLC 11.75% 5/15/14

$ 1,400

$ 994

Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15

3,374

3,070

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

10.25% 9/15/10

3,650

3,723

10.25% 9/15/10

3,770

3,841

CSC Holdings, Inc.:

7.25% 4/15/12 (f)(h)

5,610

5,554

7.625% 4/1/11

3,575

3,655

7.625% 7/15/18

23,385

23,940

7.875% 2/15/18

14,855

15,412

EchoStar DBS Corp.:

6.625% 10/1/14

10,955

10,449

7% 10/1/13 (f)(g)

3,460

3,399

Globo Communicacoes e Partcipacoes LTDA 9.375%

8,350

8,358

Globo Communicacoes e Participacoes SA (Reg. S) 7.375% 10/20/11 (e)

8,338

8,340

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

2,480

1,476

Houghton Mifflin Co.:

0% 10/15/13 (d)

4,190

3,656

8.25% 2/1/11

2,845

2,902

9.875% 2/1/13

9,435

9,907

iesy Repository GmbH 10.375% 2/15/15 (f)

3,210

3,001

Liberty Media Corp.:

5.7% 5/15/13

7,015

6,603

8.5% 7/15/29

7,010

7,125

PanAmSat Corp.:

6.375% 1/15/08

920

915

9% 8/15/14

2,980

3,077

9% 6/15/16 (f)

2,050

2,117

Rainbow National LLC & RNS Co. Corp.:

8.75% 9/1/12 (f)

4,230

4,494

10.375% 9/1/14 (f)

10,205

11,404

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

2,000

2,010

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Vertis, Inc.:

10.875% 6/15/09

$ 2,530

$ 2,543

13.5% 12/7/09 (f)

505

460

156,323

Multiline Retail - 0.3%

Marks & Spencer Group PLC 5.125% 11/7/06

EUR

2,000

2,540

Neiman Marcus Group, Inc.:

9% 10/15/15

2,960

3,138

10.375% 10/15/15

4,585

4,940

10,618

Specialty Retail - 0.1%

AutoNation, Inc.:

7% 4/15/14 (f)

1,300

1,294

7.5069% 4/15/13 (f)(h)

940

954

Burlington Coat Factory Warehouse Corp. 11.125% 4/15/14 (f)

2,070

1,998

4,246

Textiles, Apparel & Luxury Goods - 0.3%

Levi Strauss & Co.:

8.875% 4/1/16

7,010

6,992

9.75% 1/15/15

5,185

5,379

12,371

TOTAL CONSUMER DISCRETIONARY

297,227

CONSUMER STAPLES - 0.5%

Food Products - 0.4%

Dean Foods Co.:

6.625% 5/15/09

40

40

6.9% 10/15/17

1,050

1,016

Gruma SA de CV 7.75%

2,450

2,468

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

520

463

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

610

622

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

1,005

1,045

NPI Merger Corp.:

9.23% 10/15/13 (f)(h)

665

684

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

NPI Merger Corp.: - continued

10.75% 4/15/14 (f)

$ 755

$ 808

Reddy Ice Holdings, Inc. 0% 11/1/12 (d)

4,290

3,561

Swift & Co.:

10.125% 10/1/09

850

867

12.5% 1/1/10

1,325

1,345

Tate & Lyle International Finance PLC 5.75% 10/6/06

EUR

1,075

1,364

14,283

Household Products - 0.0%

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

320

333

Personal Products - 0.0%

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

700

684

Tobacco - 0.1%

BAT Holdings BV 4.375% 9/15/14

EUR

2,000

2,516

Gallaher Group PLC 4.5% 4/2/14 (g)

EUR

550

699

3,215

TOTAL CONSUMER STAPLES

18,515

ENERGY - 4.2%

Energy Equipment & Services - 0.6%

CHC Helicopter Corp. 7.375% 5/1/14

2,915

2,733

Hanover Compressor Co.:

7.5% 4/15/13

500

498

8.625% 12/15/10

720

749

9% 6/1/14

2,720

2,883

Ocean Rig Norway AS 8.375% 7/1/13 (f)

1,330

1,420

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

7,990

9,618

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

5,070

5,602

23,503

Oil, Gas & Consumable Fuels - 3.6%

ANR Pipeline, Inc. 7.375% 2/15/24

2,700

2,801

Atlas Pipeline Partners LP 8.125% 12/15/15

1,210

1,231

Chaparral Energy, Inc. 8.5% 12/1/15

2,600

2,581

Chesapeake Energy Corp.:

6.5% 8/15/17

5,265

4,936

6.875% 11/15/20

6,675

6,308

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Chesapeake Energy Corp.: - continued

7% 8/15/14

$ 1,135

$ 1,119

7.5% 6/15/14

1,115

1,121

7.625% 7/15/13

4,080

4,162

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

5,000

5,100

Energy Partners Ltd. 8.75% 8/1/10

5,155

5,297

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

880

860

Forest Oil Corp. 8% 12/15/11

190

197

Gaz Capital SA Luxembourg 7.8% 9/27/10

EUR

1,800

2,536

Harvest Operations Corp. 7.875% 10/15/11

1,540

1,413

Houston Exploration Co. 7% 6/15/13

680

666

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

1,490

548

Massey Energy Co. 6.875% 12/15/13

5,935

5,386

MOL Hungarian Oil and Gas NyRt 3.875% 10/5/15

EUR

1,000

1,147

Northwest Pipeline Corp.:

6.625% 12/1/07

305

307

8.125% 3/1/10

530

550

Pan American Energy LLC 7.75% 2/9/12 (f)

1,375

1,382

Pemex Project Funding Master Trust:

5.5% 2/24/25 (f)

EUR

750

935

7.75%

13,560

13,797

8.625% 2/1/22

5,270

6,369

Petrobras Energia SA 9.375% 10/30/13

1,135

1,251

Petrohawk Energy Corp. 9.125% 7/15/13 (f)

5,460

5,501

Petrozuata Finance, Inc.:

7.63% 4/1/09 (f)

3,500

3,473

8.22% 4/1/17 (f)

4,100

3,998

Pogo Producing Co. 7.875% 5/1/13 (f)

2,395

2,443

Range Resources Corp. 7.375% 7/15/13

2,945

2,945

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

5,525

5,318

Southern Star Central Corp. 6.75% 3/1/16

1,460

1,443

Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 (f)

1,320

1,317

Tennessee Gas Pipeline Co.:

7% 10/15/28

1,275

1,267

7.5% 4/1/17

4,605

4,851

7.625% 4/1/37

1,550

1,629

8.375% 6/15/32

1,570

1,802

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Transcontinental Gas Pipe Line Corp.:

7% 8/15/11

$ 300

$ 308

8.875% 7/15/12

1,400

1,556

Venoco, Inc. 8.75% 12/15/11

1,980

1,926

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

1,065

1,122

Williams Co., Inc. Credit Linked Certificate Trust III 6.75% 4/15/09 (f)

2,680

2,693

Williams Companies, Inc.:

7.5% 1/15/31

3,220

3,180

7.625% 7/15/19

8,340

8,684

7.75% 6/15/31

335

336

7.875% 9/1/21

2,720

2,839

8.75% 3/15/32

1,790

1,960

YPF SA:

10% 11/2/28

3,845

4,518

yankee 9.125% 2/24/09

1,195

1,258

138,367

TOTAL ENERGY

161,870

FINANCIALS - 5.9%

Capital Markets - 0.1%

E*TRADE Financial Corp. 7.375% 9/15/13

1,530

1,568

Mizuho Capital Investment Europe 1 Ltd. 5.02% (h)

EUR

750

952

2,520

Commercial Banks - 2.2%

Australia & New Zealand Banking Group Ltd. 4.4671% 12/29/06 (h)

CAD

1,500

1,342

Banca Popolare di Lodi Investment Trust 6.742% (h)

EUR

1,250

1,747

Banco Nacional de Desenvolvimento Economico e Social 5.727% 6/16/08 (h)

6,815

6,704

Bank of Tokyo-Mitsubishi Ltd. 3.5% 12/16/15 (h)

EUR

1,250

1,544

BIE Bank & Trust Ltd. 16.8% 3/13/07

BRL

4,010

1,863

Commonwealth Bank of Australia 4.4714% 11/28/06 (h)

CAD

1,500

1,342

Dresdner Bank AG 10.375% 8/17/09 (f)

6,684

7,252

European Investment Bank 4% 10/15/37

EUR

5,190

6,516

HBOS Treasury Services PLC 4.5571% 1/19/10 (h)

CAD

1,500

1,345

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Kyivstar GSM 7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (f)

$ 3,625

$ 3,684

Oesterreichische Kontrollbank 3.875% 9/15/16

EUR

23,700

30,039

Rabobank Nederland 4.4186% 2/23/07 (h)

CAD

2,000

1,789

Russian Standard Finance SA 6.825% 9/16/09

EUR

850

1,081

Shinsei Bank Ltd. 3.75% 2/23/16 (h)

EUR

1,200

1,483

Standard Chartered Bank 3.625% 2/3/17 (e)

EUR

530

654

Sumitomo Mitsui Banking Corp. (Reg. S) 4.375% (h)

EUR

2,000

2,458

TuranAlem Finance BV 6.25% 9/27/11

EUR

1,750

2,221

UBS Luxembourg SA 8% 2/11/10

4,305

4,408

Vimpel Communications 10% 6/16/09 (Issued by UBS Luxembourg SA for Vimpel Communications)

5,460

5,856

83,328

Consumer Finance - 1.7%

ACE Cash Express, Inc. 10.25% 10/1/14 (f)(g)

1,290

1,306

Ford Credit Europe PLC:

4.376% 9/30/09 (h)

EUR

1,750

2,116

5% 7/16/07

EUR

250

316

Ford Motor Credit Co.:

6.625% 6/16/08

7,615

7,500

9.875% 8/10/11

6,800

7,037

General Motors Acceptance Corp.:

6% 10/16/06

EUR

2,000

2,537

6.75% 12/1/14

10,360

10,166

6.875% 9/15/11

5,620

5,606

6.875% 8/28/12

6,705

6,637

8% 11/1/31

21,110

22,166

65,387

Diversified Financial Services - 0.7%

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

CAD

15,000

13,656

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

1,390

1,393

Citigroup, Inc. 4.25% 2/25/30 (h)

EUR

1,500

1,799

Dali Capital PLC 8% 9/3/09

RUB

23,600

884

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

2,753

2,891

MUFG Capital Finance 2 Ltd. 4.85% (h)

EUR

1,250

1,559

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

MUFG Capital Finance 3 Ltd. 2.68% (h)

JPY

$ 150,000

$ 1,268

Red Arrow International Leasing 8.375% 6/30/12

RUB

66,765

2,573

26,023

Insurance - 0.2%

Amlin PLC 6.5% 12/19/26 (h)

GBP

850

1,556

Brit Insurance Holdings PLC 6.625% 12/9/30 (h)

GBP

525

959

Eureko BV 5.125% (h)

EUR

1,500

1,926

Fukoku Mutual Life Insurance Co. 4.5% 9/28/25 (h)

EUR

2,000

2,437

Wuerttembergische Lebens AG 5.375% 6/1/26 (h)

EUR

800

977

7,855

Real Estate Investment Trusts - 0.4%

BF Saul REIT 7.5% 3/1/14

4,460

4,482

Rouse Co. LP/TRC, Inc. 6.75% 5/1/13 (f)

6,150

6,142

Senior Housing Properties Trust:

7.875% 4/15/15

1,544

1,586

8.625% 1/15/12

3,610

3,872

16,082

Real Estate Management & Development - 0.3%

American Real Estate Partners/American Real Estate Finance Corp.:

7.125% 2/15/13

5,970

5,895

8.125% 6/1/12

4,495

4,596

WT Finance (Aust) Pty Ltd./Westfield Europe Finance PLC/WEA Finance 3.625% 6/27/12

EUR

1,200

1,468

11,959

Thrifts & Mortgage Finance - 0.3%

Residential Capital Corp.:

6.375% 6/30/10

7,020

7,103

6.375% 5/17/13

GBP

500

944

6.875% 6/30/15

4,995

5,189

13,236

TOTAL FINANCIALS

226,390

HEALTH CARE - 0.8%

Health Care Providers & Services - 0.6%

AmeriPath, Inc. 10.5% 4/1/13

4,205

4,457

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

CRC Health Group, Inc. 10.75% 2/1/16

$ 1,840

$ 1,914

LifeCare Holdings, Inc. 9.25% 8/15/13

2,515

1,786

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

373

407

Rural/Metro Corp. 9.875% 3/15/15

1,860

1,920

Skilled Healthcare Group, Inc. 11% 1/15/14 (f)

2,490

2,664

Team Finance LLC/Health Finance Corp. 11.25% 12/1/13

3,130

3,208

U.S. Oncology, Inc. 9% 8/15/12

1,660

1,716

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

1,345

968

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

5,150

4,996

24,036

Pharmaceuticals - 0.2%

Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11

2,105

2,052

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

2,435

2,356

VWR International, Inc.:

6.875% 4/15/12

170

169

8% 4/15/14

480

484

5,061

TOTAL HEALTH CARE

29,097

INDUSTRIALS - 2.3%

Aerospace & Defense - 0.1%

Orbimage Holdings, Inc. 15.14% 7/1/12 (h)

2,250

2,498

Airlines - 0.5%

Continental Airlines, Inc. pass thru trust certificates:

6.748% 9/15/18

147

140

6.9% 7/2/18

949

920

8.312% 10/2/12

1,095

1,079

8.388% 5/1/22

70

67

9.798% 4/1/21

3,370

3,563

Delta Air Lines, Inc.:

7.9% 12/15/09 (b)

15,695

4,512

8.3% 12/15/29 (b)

2,535

735

10% 8/15/08 (b)

710

178

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

1,190

1,191

Northwest Airlines Corp. 10% 2/1/09 (b)

3,385

1,803

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

Northwest Airlines Trust 10.23% 6/21/14

$ 288

$ 285

Northwest Airlines, Inc.:

7.875% 3/15/08 (b)

1,250

678

8.875% 6/1/06 (b)

1,240

665

Northwest Airlines, Inc. pass thru trust certificates:

7.248% 7/2/14 (b)

452

95

8.07% 1/2/15

2,012

1,951

17,862

Building Products - 0.0%

ACIH, Inc. 0% 12/15/12 (d)(f)

315

217

NTK Holdings, Inc. 0% 3/1/14 (d)

585

404

621

Commercial Services & Supplies - 0.3%

ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13

200

196

Allied Security Escrow Corp. 11.375% 7/15/11

2,950

2,935

Allied Waste North America, Inc. 7.125% 5/15/16

5,140

5,024

Browning-Ferris Industries, Inc.:

7.4% 9/15/35

1,530

1,369

9.25% 5/1/21

250

256

FTI Consulting, Inc. 7.75% 10/1/16 (f)

1,270

1,283

Mac-Gray Corp. 7.625% 8/15/15

850

856

R.H. Donnelley Finance Corp. I 10.875% 12/15/12 (f)

530

582

12,501

Construction & Engineering - 0.0%

Blount, Inc. 8.875% 8/1/12

1,590

1,582

Electrical Equipment - 0.2%

General Cable Corp. 9.5% 11/15/10

3,930

4,176

Polypore, Inc. 0% 10/1/12 (d)

1,955

1,408

Sensus Metering Systems, Inc. 8.625% 12/15/13

865

841

6,425

Machinery - 0.3%

Chart Industries, Inc. 9.125% 10/15/15 (f)

1,410

1,481

Cummins, Inc. 7.125% 3/1/28

2,195

2,244

Invensys PLC 9.875% 3/15/11 (f)

188

203

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Machinery - continued

RBS Global, Inc. / Rexnord Corp.:

9.5% 8/1/14 (f)

$ 2,660

$ 2,713

11.75% 8/1/16 (f)

3,230

3,343

9,984

Marine - 0.3%

American Commercial Lines LLC/ACL Finance Corp. 9.5% 2/15/15

723

788

H-Lines Finance Holding Corp. 0% 4/1/13 (d)

1,774

1,561

OMI Corp. 7.625% 12/1/13

4,965

5,015

Ultrapetrol Bahamas Ltd. 9% 11/24/14

2,360

2,124

US Shipping Partners LP 13% 8/15/14 (f)

2,720

2,679

12,167

Road & Rail - 0.4%

Hertz Corp. 8.875% 1/1/14 (f)

3,840

4,003

Kansas City Southern Railway Co.:

7.5% 6/15/09

3,400

3,400

9.5% 10/1/08

1,715

1,792

TFM SA de CV:

9.375% 5/1/12

5,360

5,682

yankee 10.25% 6/15/07

2,451

2,506

17,383

Trading Companies & Distributors - 0.2%

Ahern Rentals, Inc. 9.25% 8/15/13

700

721

Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12 (f)

4,560

4,919

Penhall International Corp. 12% 8/1/14 (f)

2,720

2,849

8,489

TOTAL INDUSTRIALS

89,512

INFORMATION TECHNOLOGY - 3.5%

Communications Equipment - 0.9%

Hughes Network Systems LLC / HNS Finance Corp. 9.5% 4/15/14 (f)

2,770

2,853

L-3 Communications Corp. 6.375% 10/15/15

4,910

4,800

Lucent Technologies, Inc.:

6.45% 3/15/29

11,490

10,226

6.5% 1/15/28

7,400

6,586

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Nortel Networks Corp.:

9.73% 7/15/11 (f)(h)

$ 3,400

$ 3,502

10.125% 7/15/13 (f)

3,370

3,564

10.75% 7/15/16 (f)

3,400

3,642

35,173

Electronic Equipment & Instruments - 0.3%

Altra Industrial Motion, Inc. 9% 12/1/11

1,290

1,316

Celestica, Inc. 7.875% 7/1/11

10,510

10,405

11,721

IT Services - 0.8%

Iron Mountain, Inc.:

6.625% 1/1/16

14,115

13,198

8.25% 7/1/11

620

622

8.625% 4/1/13

1,080

1,104

8.75% 7/15/18

3,390

3,526

SunGard Data Systems, Inc.:

9.125% 8/15/13

6,770

6,990

9.9725% 8/15/13 (h)

3,620

3,747

10.25% 8/15/15

2,410

2,482

31,669

Office Electronics - 0.8%

Xerox Capital Trust I 8% 2/1/27

10,920

11,138

Xerox Corp.:

7.2% 4/1/16

4,495

4,720

7.625% 6/15/13

11,830

12,407

28,265

Semiconductors & Semiconductor Equipment - 0.7%

Amkor Technology, Inc. 9.25% 6/1/16

4,780

4,469

Avago Technologies Finance Ltd.:

10.9% 6/1/13 (f)(h)

4,690

4,913

11.875% 12/1/15 (f)

2,315

2,552

Freescale Semiconductor, Inc. 7.125% 7/15/14

7,415

7,934

New ASAT Finance Ltd. 9.25% 2/1/11

2,855

2,141

Viasystems, Inc. 10.5% 1/15/11

5,785

5,727

27,736

TOTAL INFORMATION TECHNOLOGY

134,564

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

MATERIALS - 3.1%

Chemicals - 0.8%

BCP Crystal U.S. Holdings Corp. 9.625% 6/15/14

$ 7,185

$ 7,832

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

Series A, 0% 10/1/14 (d)

1,735

1,401

Series B, 0% 10/1/14 (d)

11,500

9,229

Huntsman LLC 11.625% 10/15/10

641

710

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

8,570

7,413

Lyondell Chemical Co. 11.125% 7/15/12

1,330

1,446

Phibro Animal Health Corp. 10% 8/1/13 (f)

2,500

2,563

30,594

Construction Materials - 0.0%

Texas Industries, Inc. 7.25% 7/15/13

820

820

Containers & Packaging - 0.5%

AEP Industries, Inc. 7.875% 3/15/13

920

920

BWAY Corp. 10% 10/15/10

2,380

2,499

Constar International, Inc. 11% 12/1/12

2,635

2,319

Crown Cork & Seal, Inc.:

7.5% 12/15/96

4,010

3,168

8% 4/15/23

4,615

4,407

Owens-Brockway Glass Container, Inc.:

6.75% 12/1/14

2,995

2,815

7.75% 5/15/11

470

483

8.25% 5/15/13

1,755

1,799

Tekni-Plex, Inc. 10.875% 8/15/12 (f)

1,300

1,443

19,853

Metals & Mining - 1.6%

AK Steel Corp. 7.75% 6/15/12

2,985

2,910

Compass Minerals International, Inc.:

0% 12/15/12 (d)

1,460

1,416

0% 6/1/13 (d)

3,710

3,460

Corporacion Nacional del Cobre (Codelco) 5.625% 9/21/35 (f)

1,485

1,411

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

4,435

5,078

CSN Islands X Corp. 9.5% (Reg. S)

5,393

5,582

Edgen Acquisition Corp. 9.875% 2/1/11

1,890

1,871

Evraz Securities SA 10.875% 8/3/09

7,700

8,416

FMG Finance Pty Ltd.:

9.405% 9/1/11 (f)(h)

2,720

2,570

10% 9/1/13 (f)

3,400

3,213

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

FMG Finance Pty Ltd.: - continued

10.625% 9/1/16 (f)

$ 3,400

$ 3,256

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

5,185

5,146

10.125% 2/1/10

1,380

1,468

Gerdau SA 8.875% (f)

3,190

3,302

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

6,710

6,435

Ispat Inland ULC 9.75% 4/1/14

1,385

1,555

RathGibson, Inc. 11.25% 2/15/14 (f)

2,510

2,598

Steel Dynamics, Inc.:

9.5% 3/15/09

65

67

9.5% 3/15/09

3,030

3,136

62,890

Paper & Forest Products - 0.2%

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

2,405

2,008

NewPage Corp. 11.7388% 5/1/12 (h)

2,460

2,669

P.H. Glatfelter Co. 7.125% 5/1/16 (f)

510

507

5,184

TOTAL MATERIALS

119,341

TELECOMMUNICATION SERVICES - 6.0%

Diversified Telecommunication Services - 4.2%

AT&T Corp. 7.75% 11/21/06 (h)

EUR

1,250

1,588

Citizens Communications Co. 9% 8/15/31

3,570

3,820

Embarq Corp.:

7.082% 6/1/16

1,029

1,050

7.995% 6/1/36

8,050

8,524

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

3,635

4,000

Eschelon Operating Co. 8.375% 3/15/10

2,560

2,470

Intelsat Ltd.:

7.625% 4/15/12

2,514

2,200

9.25% 6/15/16 (f)

2,050

2,160

11.25% 6/15/16 (f)

11,015

11,690

Level 3 Financing, Inc.:

11.8% 3/15/11 (h)

2,900

3,045

12.25% 3/15/13

9,160

10,213

Mobifon Holdings BV 12.5% 7/31/10

9,600

10,668

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (f)

$ 4,920

$ 5,166

NTL Cable PLC 8.75% 4/15/14

6,045

6,234

PT Indosat International Finance Co. BV 7.125% 6/22/12 (f)

1,400

1,402

Qwest Capital Funding, Inc.:

7.625% 8/3/21

340

330

7.75% 2/15/31

340

328

Qwest Corp.:

7.5% 10/1/14 (f)

680

700

7.875% 9/1/11

3,970

4,169

8.64% 6/15/13 (h)

6,790

7,265

8.875% 3/15/12

17,575

19,179

Telecom Egypt SAE:

9.7% 2/4/10 (h)

EGP

5,038

846

10.95% 2/4/10

EGP

5,038

876

Telefonica de Argentina SA 9.125% 11/7/10

5,045

5,322

Telenet Group Holding NV 0% 6/15/14 (d)(f)

11,178

9,837

U.S. West Capital Funding, Inc.:

6.5% 11/15/18

260

235

6.875% 7/15/28

1,710

1,530

U.S. West Communications:

6.875% 9/15/33

13,560

12,475

7.125% 11/15/43

325

297

7.2% 11/10/26

4,530

4,304

7.25% 9/15/25

2,495

2,433

7.25% 10/15/35

1,780

1,678

7.5% 6/15/23

2,840

2,776

8.875% 6/1/31

3,020

3,152

Wind Acquisition Finance SA 10.75% 12/1/15 (f)

6,800

7,506

Windstream Corp. 8.625% 8/1/16 (f)

3,730

3,991

163,459

Wireless Telecommunication Services - 1.8%

American Tower Corp. 7.125% 10/15/12

6,245

6,386

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

9,865

10,506

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

3,220

3,164

Digicel Ltd. 9.25% 9/1/12 (f)

2,370

2,465

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Inmarsat Finance PLC 7.625% 6/30/12

$ 568

$ 585

Intelsat Subsidiary Holding Co. Ltd. 10.4844% 1/15/12 (h)

6,840

6,926

Millicom International Cellular SA 10% 12/1/13

9,000

9,675

Mobile Telesystems Finance SA 8.375% 10/14/10 (f)

9,160

9,493

Nextel Communications, Inc.:

5.95% 3/15/14

1,730

1,687

7.375% 8/1/15

6,715

6,928

Rogers Communications, Inc. 8.515% 12/15/10 (h)

2,300

2,355

Telecom Personal SA 9.25% 12/22/10 (f)

5,365

5,513

UbiquiTel Operating Co. 9.875% 3/1/11

2,225

2,414

68,097

TOTAL TELECOMMUNICATION SERVICES

231,556

UTILITIES - 1.6%

Electric Utilities - 0.6%

AES Gener SA 7.5% 3/25/14

4,920

5,086

Chivor SA E.S.P. 9.75% 12/30/14 (f)

3,845

4,230

Edison Mission Energy:

7.5% 6/15/13 (f)

6,630

6,696

7.75% 6/15/16 (f)

3,410

3,453

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

1,700

1,700

21,165

Gas Utilities - 0.8%

Dynegy Holdings, Inc. 8.375% 5/1/16

2,920

2,971

Southern Natural Gas Co.:

7.35% 2/15/31

9,120

9,462

8% 3/1/32

7,365

8,194

Transportadora de Gas del Sur SA:

(Reg. S) 6.5% 12/15/10 (e)

6,778

6,711

7.5% 12/15/13 (e)

2,765

2,813

30,151

Independent Power Producers & Energy Traders - 0.2%

Enron Corp.:

6.4% 7/15/06 (b)

865

318

6.625% 11/15/05 (b)

3,510

1,290

Corporate Bonds - continued

Principal Amount
(000s) (c)

Value
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Independent Power Producers & Energy Traders - continued

Enron Corp.: - continued

6.725% 11/17/08 (b)(h)

$ 1,090

$ 401

6.75% 8/1/09 (b)

880

323

6.875% 10/15/07 (b)

2,120

779

6.95% 7/15/28 (b)

1,920

706

7.125% 5/15/07 (b)

375

138

7.375% 5/15/19 (b)

2,200

809

7.875% 6/15/03 (b)

375

138

8.375% 5/23/05 (b)

3,980

1,453

9.125% 4/1/03 (b)

80

29

9.875% 6/15/03 (b)

345

127

Tenaska Alabama Partners LP 7% 6/30/21 (f)

1,529

1,495

8,006

Multi-Utilities - 0.0%

TECO Energy, Inc. 6.75% 5/1/15

1,380

1,390

Utilicorp United, Inc. 9.95% 2/1/11 (h)

50

55

1,445

TOTAL UTILITIES

60,767

TOTAL NONCONVERTIBLE BONDS

1,368,839

TOTAL CORPORATE BONDS

(Cost $1,334,848)

1,369,386

U.S. Government and Government Agency Obligations - 25.9%

U.S. Government Agency Obligations - 10.0%

Fannie Mae:

3.25% 1/15/08

24,085

23,551

4.25% 5/15/09

35,311

34,747

4.5% 10/15/08

903

895

4.625% 10/15/13

347

340

4.75% 12/15/10

102,735

102,129

4.875% 4/15/09

34,350

34,306

5% 9/15/08

730

730

5.125% 1/2/14

3,100

3,091

6.25% 2/1/11

80

84

U.S. Government and Government Agency Obligations - continued

Principal Amount
(000s) (c)

Value
(000s)

U.S. Government Agency Obligations - continued

Fannie Mae: - continued

6.375% 6/15/09

$ 17,070

$ 17,689

Federal Home Loan Bank:

4.5% 10/14/08

575

570

5% 9/18/09

12,415

12,448

5.8% 9/2/08

550

557

Freddie Mac:

4% 8/17/07

758

750

4.125% 10/18/10

63,000

61,225

4.25% 7/15/09

18,625

18,288

4.875% 2/17/09

23,434

23,401

4.875% 11/15/13

9,220

9,172

5.25% 7/18/11

26,085

26,451

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

7,750

8,067

Private Export Funding Corp.:

secured 5.685% 5/15/12

1,765

1,826

4.974% 8/15/13

2,110

2,117

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

2,154

2,151

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

384,585

U.S. Treasury Inflation Protected Obligations - 3.2%

U.S. Treasury Inflation-Indexed Notes:

0.875% 4/15/10

37,056

35,119

1.875% 7/15/13

25,426

24,760

2% 1/15/14

23,346

22,895

2.375% 4/15/11

41,006

41,047

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

123,821

U.S. Treasury Obligations - 12.7%

U.S. Treasury Bonds 6.125% 8/15/29

84,100

99,139

U.S. Treasury Notes:

3.375% 9/15/09

48,146

46,517

3.75% 5/15/08

74,521

73,360

4.25% 8/15/14

69,650

67,960

4.25% 8/15/15

44,000

42,802

4.5% 2/15/09

66,000

65,765

4.5% 11/15/15

40,200

39,811

U.S. Government and Government Agency Obligations - continued

Principal Amount
(000s) (c)

Value
(000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

4.75% 5/15/14

$ 1,000

$ 1,008

4.875% 5/31/11

37,000

37,425

5.125% 5/15/16

13,000

13,485

TOTAL U.S. TREASURY OBLIGATIONS

487,272

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $997,516)

995,678

U.S. Government Agency - Mortgage Securities - 1.8%

Fannie Mae - 1.7%

4% 12/1/18

165

156

4.605% 7/1/34 (h)

4,683

4,664

4.767% 11/1/33 (h)

3,615

3,594

4.785% 6/1/35 (h)

1,760

1,742

4.889% 7/1/34 (h)

1,642

1,634

4.893% 11/1/35 (h)

2,518

2,509

4.961% 8/1/34 (h)

1,284

1,279

4.994% 11/1/35 (h)

7,951

7,904

5% 2/1/18 to 2/1/35

5,022

4,934

5.033% 5/1/35 (h)

3,220

3,206

5.108% 5/1/35 (h)

390

389

5.5% 5/1/08 to 11/1/35

29,447

29,475

5.91% 1/1/36 (h)

471

475

6.5% 3/1/35

1,773

1,814

TOTAL FANNIE MAE

63,775

Freddie Mac - 0.1%

4.704% 9/1/35 (h)

5,496

5,456

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $69,757)

69,231

Asset-Backed Securities - 0.3%

Principal Amount
(000s) (c)

Value
(000s)

Affinity PLC Series 2002-A CLass C, 6.37% 5/15/09 (h)

GBP

$ 770

$ 1,449

Driver One GmbH Series 1 Class B, 3.402% 5/21/10 (h)

EUR

396

502

GELDI Series 2005-TS Class 1A, 3.202% 12/10/12 (h)

EUR

4,000

5,081

GLS Ltd. Series 2006-1 Class C, 3.63% 7/15/14 (h)

EUR

400

507

Greene King Finance PLC Series A1, 5.415% 6/15/31 (h)

GBP

1,000

1,872

Lambda Finance BV Series 2005-1X Class C1, 5.59% 11/15/29 (h)

GBP

500

941

Punch Taverns Finance PLC 5.0103% 4/15/09 (h)

GBP

284

531

Sedna Finance Corp.:

3.992% 12/23/14 (h)

EUR

500

634

4.071% 3/15/16 (h)

EUR

1,150

1,463

Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27

GBP

70

138

TOTAL ASSET-BACKED SECURITIES

(Cost $12,574)

13,118

Collateralized Mortgage Obligations - 0.8%

Private Sponsor - 0.2%

EPIC PLC Series BROD Class D, 3.5822% 1/22/16 (h)

EUR

375

475

Granite Mortgages PLC 3.474% 1/20/43 (h)

EUR

600

763

Holmes Financing No. 8 PLC floater Series 3 Class C, 3.94% 7/15/40 (h)

EUR

500

638

Interstar Millennium Trust Series 2004-4E Class A1, 3.415% 11/14/36 (h)

EUR

422

537

Lansdowne Mortgage Securities No. 1 PLC:

Series M1, 3.551% 6/15/45 (h)

EUR

800

1,012

Series M2 Class 3M, 3.741% 6/15/45 (h)

EUR

400

507

Permanent Financing No. 1 PLC 5.1% 6/10/09 (h)

EUR

344

440

RMAC PLC Series 2005-NS4X Class M2A, 5.5213% 12/12/43 (h)

GBP

1,600

2,995

TOTAL PRIVATE SPONSOR

7,367

U.S. Government Agency - 0.6%

Fannie Mae planned amortization class:

Series 2003-24 CLass PB, 4.5% 12/25/12

1,833

1,818

Series 2006-64 Class PA, 5.5% 2/25/30

6,784

6,803

Collateralized Mortgage Obligations - continued

Principal Amount
(000s) (c)

Value
(000s)

U.S. Government Agency - continued

Fannie Mae guaranteed REMIC pass thru certificates planned amortization class:

Series 2006-4 Class PB, 6% 9/25/35

$ 6,125

$ 6,230

Series 2006-49 Class CA, 6% 2/25/31

4,738

4,794

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

1,800

1,741

TOTAL U.S. GOVERNMENT AGENCY

21,386

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $28,491)

28,753

Commercial Mortgage Securities - 0.4%

Broadgate PLC 5.5525% 10/5/25 (h)

GBP

970

1,814

Canary Wharf Finance II PLC Series C1, 5.34% 4/22/30 (h)

GBP

1,500

2,781

German Residential Asset Note Distributor PLC 3.857% 7/20/16 (h)

EUR

850

1,084

Opera Finance (CMH) PLC Class B, 3.39% 1/15/15 (h)

EUR

1,100

1,394

Opera Finance PLC 5.0269% 7/31/13 (h)

GBP

1,500

2,813

Real Estate Capital Foundation Ltd. Series 3 Class A, 5.7069% 7/15/16 (h)

GBP

2,000

3,728

Trafford Centre Finance Ltd. 5.5634% 4/28/35 (h)

GBP

602

1,124

White Tower PLC Series 2006-1 Class D, 5.59% 10/23/13 (h)

GBP

1,000

1,872

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $16,401)

16,610

Foreign Government and Government Agency Obligations - 20.4%

Arab Republic 8.0203% 2/27/07

EGP

7,450

1,250

Argentine Republic:

discount (with partial capitalization through 12/31/13) 8.28% 12/31/33

7,409

7,131

5.589% 8/3/12 (h)

15,383

14,205

7% 3/28/11

8,285

7,980

11.7096% 3/5/08 (h)

ARS

7,503

2,421

Austrian Republic 5% 12/20/24 (f)

CAD

2,000

1,898

Banco Central del Uruguay:

value recovery A rights 1/2/21 (a)(j)

1,250,000

0

Foreign Government and Government Agency Obligations - continued

Principal Amount
(000s) (c)

Value
(000s)

Banco Central del Uruguay: - continued

value recovery B rights 1/2/21 (a)(j)

$ 1,250,000

$ 0

Belgian Kingdom 5% 9/28/12

EUR

5,000

6,796

Brazilian Federative Republic:

6% 9/15/13

2,567

2,559

7.375% 2/3/15

EUR

600

862

8% 1/15/18

8,394

9,212

8.25% 1/20/34

2,580

2,957

8.75% 2/4/25

4,874

5,800

10.5% 7/14/14

2,590

3,253

11% 8/17/40

21,910

28,527

12.25% 3/6/30

7,390

11,898

12.75% 1/15/20

4,250

6,460

Canadian Government:

4.5% 9/1/07

CAD

30,500

27,388

5.25% 6/1/12

CAD

28,800

27,493

5.5% 6/1/09

CAD

9,150

8,513

5.75% 6/1/29

CAD

6,600

7,319

Central Bank of Nigeria:

Brady 6.25% 11/15/20

4,000

3,990

promissory note 5.092% 1/5/10

2,121

2,044

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

2,750

481

City of Kiev 8.75% 8/8/08

2,025

2,093

Danish Kingdom 3.125% 10/15/10

EUR

2,350

2,919

Dominican Republic:

Brady 6.2725% 8/30/09 (h)

1,819

1,815

6.1875% 8/30/24 (h)

11,318

11,092

9.5% 9/27/11

5,105

5,480

Ecuador Republic:

9.375% 12/15/15 (f)

1,840

1,787

10% 8/15/30 (Reg. S)

10,570

9,798

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

3,148

3,140

euro par 5% 2/28/25

1,450

1,077

Finnish Government 3.875% 9/15/17

EUR

51,100

65,519

French Government:

3.25% 4/25/16

EUR

22,270

27,182

4% 4/25/55

EUR

500

648

German Federal Republic:

3.25% 6/13/08

EUR

25,150

31,701

4% 1/4/37

EUR

10,920

14,097

5% 7/4/12

EUR

8,200

11,116

Foreign Government and Government Agency Obligations - continued

Principal Amount
(000s) (c)

Value
(000s)

Indonesian Republic:

6.75% 3/10/14

$ 2,645

$ 2,698

7.25% 4/20/15 (f)

875

919

7.25% 4/20/15

1,705

1,790

Islamic Republic of Pakistan 7.125% 3/31/16 (f)

1,250

1,231

Japan Government:

Real Return Bond:

1.03% 7/20/20 (h)

JPY

900,000

7,219

1.22% 11/20/20 (h)

JPY

1,325,000

10,891

Inflation-Indexed 0.5% 6/10/15

JPY

3,312,800

26,508

0.3464% 10/23/06

JPY

500,000

4,231

0.9% 12/22/08

JPY

1,230,000

10,463

1.4% 3/21/11

JPY

175,000

1,504

1.5% 3/20/14

JPY

570,000

4,849

1.8% 3/20/16

JPY

1,272,000

10,930

2.4% 12/20/34

JPY

1,100,000

9,272

Lebanon, Republic of:

8.5669% 11/30/09 (f)(h)

2,760

2,788

8.5669% 11/30/09 (h)

7,215

7,287

Pakistan International Sukuk Co. Ltd. 7.76% 1/27/10 (h)

4,075

4,167

Peruvian Republic:

3% 3/7/27 (e)

1,425

1,049

6.25% 3/7/27 (h)

1,380

1,352

7.35% 7/21/25

2,420

2,580

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

8,713

8,583

Philippine Republic:

5.3203% 12/1/09 (h)

643

635

8.25% 1/15/14

5,080

5,537

8.375% 2/15/11

4,461

4,813

8.875% 3/17/15

4,635

5,284

9% 2/15/13

6,694

7,531

9.875% 1/15/19

6,750

8,319

10.625% 3/16/25

4,110

5,477

Republic of Iraq 5.8% 1/15/28 (f)

3,400

2,227

Russian Federation:

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

1,587

1,769

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

33,213

37,032

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

5,215

9,361

State of Qatar 9.75% 6/15/30 (Reg. S)

5,625

8,318

Turkish Republic:

0% 4/9/08

TRY

11,600

5,647

11% 1/14/13

4,695

5,640

Foreign Government and Government Agency Obligations - continued

Principal Amount
(000s) (c)

Value
(000s)

Turkish Republic: - continued

11.75% 6/15/10

$ 11,856

$ 13,889

11.875% 1/15/30

9,345

13,772

Ukraine Government:

6.875% 3/4/11 (Reg. S)

5,310

5,376

8.9025% 8/5/09 (h)

10,255

10,858

United Kingdom, Great Britain & Northern Ireland:

4.25% 3/7/11

GBP

6,000

11,022

4.25% 6/7/32

GBP

850

1,614

4.25% 3/7/36

GBP

9,150

17,578

4.75% 6/7/10

GBP

450

842

4.75% 9/7/15

GBP

2,635

5,002

5% 3/7/25

GBP

2,170

4,403

8% 6/7/21

GBP

3,200

8,249

United Kingdom, Great Britain & Northern Ireland 9%, 7/12/11

GBP

8,000

17,685

United Mexican States:

7.5% 4/8/33

7,380

8,513

8.3% 8/15/31

11,035

13,766

9% 12/20/12

MXN

28,395

2,689

11.5% 5/15/26

3,475

5,487

Uruguay Republic:

5% 9/14/18

UYU

35,851

1,556

7.5% 3/15/15

1,270

1,321

8% 11/18/22

1,210

1,277

Venezuelan Republic:

oil recovery rights 4/15/20 (a)(j)

1,250

46

5.375% 8/7/10

2,705

2,625

6% 12/9/20

1,965

1,769

6.5106% 4/20/11 (h)

5,605

5,549

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

2,110

2,110

7.65% 4/21/25

3,000

3,135

9.25% 9/15/27

2,135

2,611

10.75% 9/19/13

5,030

6,157

13.625% 8/15/18

5,425

8,056

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

1,644

1,369

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $735,646)

786,128

Common Stocks - 0.9%

Shares

Value
(000s)

CONSUMER DISCRETIONARY - 0.9%

Auto Components - 0.1%

Intermet Corp. (a)(k)

156,879

$ 1,799

Diversified Consumer Services - 0.2%

Coinmach Service Corp. unit

435,000

7,804

Hotels, Restaurants & Leisure - 0.1%

Centerplate, Inc. unit

244,160

3,990

Media - 0.5%

NTL, Inc.

799,811

20,339

TOTAL CONSUMER DISCRETIONARY

33,932

TELECOMMUNICATION SERVICES - 0.0%

Wireless Telecommunication Services - 0.0%

DigitalGlobe, Inc. (a)(f)

98

0

UTILITIES - 0.0%

Electric Utilities - 0.0%

Portland General Electric Co.

17,295

422

TOTAL COMMON STOCKS

(Cost $22,391)

34,354

Preferred Stocks - 0.1%

Convertible Preferred Stocks - 0.0%

MATERIALS - 0.0%

Chemicals - 0.0%

Celanese Corp. 4.25%

9,300

254

Nonconvertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Media - 0.1%

Spanish Broadcasting System, Inc. Class B, 10.75%

2,403

2,667

Specialty Retail - 0.0%

GNC Corp. Series A, 12.00%

1,740

1,914

TOTAL CONSUMER DISCRETIONARY

4,581

Preferred Stocks - continued

Shares

Value
(000s)

Nonconvertible Preferred Stocks - continued

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

PTV, Inc. Series A, 10.00%

122

$ 0

TOTAL NONCONVERTIBLE PREFERRED STOCKS

4,581

TOTAL PREFERRED STOCKS

(Cost $4,418)

4,835

Floating Rate Loans - 3.3%

Principal Amount
(000s) (c)

CONSUMER DISCRETIONARY - 1.1%

Auto Components - 0.2%

Dana Corp. term loan 7.65% 4/13/08 (h)

$ 330

329

Goodyear Tire & Rubber Co.:

Tranche 2, term loan 7.9544% 4/30/10 (h)

2,470

2,492

Tranche 3, term loan 8.7044% 3/1/11 (h)

3,620

3,656

Lear Corp. term loan 7.8779% 4/25/12 (h)

2,270

2,225

8,702

Automobiles - 0.1%

AM General LLC:

LOC 10.25% 9/30/12 (h)

119

119

term loan B 10.25% 9/30/13 (h)

3,561

3,579

3,698

Diversified Consumer Services - 0.0%

Coinmach Corp. Tranche B1, term loan 7.9007% 12/19/12 (h)

199

201

Hotels, Restaurants & Leisure - 0.1%

Hilton Head Communications LP Tranche B, term loan 9.5% 3/31/08 (h)

3,000

2,895

Media - 0.3%

Charter Communications Operating LLC Tranche B, term loan 8.125% 4/28/13 (h)

5,725

5,754

CSC Holdings, Inc. Tranche B, term loan 7.1832% 3/29/13 (h)

6,005

5,975

Floating Rate Loans - continued

Principal Amount
(000s) (c)

Value
(000s)

CONSUMER DISCRETIONARY - continued

Media - continued

UPC Broadband Holding BV:

Tranche J2, term loan 7.64% 3/31/13 (h)

$ 760

$ 759

Tranche K2, term loan 7.64% 12/31/13 (h)

760

759

13,247

Multiline Retail - 0.1%

Neiman Marcus Group, Inc. term loan 7.8906% 4/6/13 (h)

2,820

2,841

Specialty Retail - 0.1%

Toys 'R' US, Inc. term loan 8.33% 12/9/08 (h)

6,200

6,192

Textiles, Apparel & Luxury Goods - 0.2%

Hanesbrands, Inc.:

term loan 9.125% 3/5/14 (h)

1,480

1,515

term loan B1 7.625% 9/5/13 (h)

4,770

4,800

6,315

TOTAL CONSUMER DISCRETIONARY

44,091

CONSUMER STAPLES - 0.0%

Beverages - 0.0%

Constellation Brands, Inc. Tranche B, term loan 6.9438% 6/5/13 (h)

1,050

1,054

ENERGY - 0.2%

Oil, Gas & Consumable Fuels - 0.2%

Coffeyville Resources LLC Tranche 2, term loan 12.125% 7/8/13 (h)

2,630

2,709

Helix Energy Solutions Group, Inc. term loan 7.4918% 7/1/13 (h)

170

170

Targa Resources, Inc./Targa Resources Finance Corp.:

Credit-Linked Deposit 7.4919% 10/31/12 (h)

570

574

term loan:

7.616% 10/31/07 (h)

1,745

1,745

7.6442% 10/31/12 (h)

2,351

2,369

7,567

FINANCIALS - 0.5%

Diversified Financial Services - 0.4%

MGM Holdings II, Inc. Tranche B, term loan 8.6168% 4/8/12 (h)

3,244

3,203

Floating Rate Loans - continued

Principal Amount
(000s) (c)

Value
(000s)

FINANCIALS - continued

Diversified Financial Services - continued

Olympus Cable Holdings LLC Tranche B, term loan 10.25% 9/30/10 (h)

$ 5,325

$ 5,192

The NASDAQ Stock Market, Inc.:

Tranche B, term loan 6.9725% 4/18/12 (h)

4,153

4,153

Tranche C, term loan 7.0646% 4/18/12 (h)

2,407

2,407

14,955

Real Estate Investment Trusts - 0.1%

Capital Automotive (REIT) Tranche B, term loan 7.08% 12/16/10 (h)

3,751

3,760

Newkirk Master LP Tranche B, term loan 7.08% 8/11/08 (h)

168

168

3,928

TOTAL FINANCIALS

18,883

INDUSTRIALS - 0.3%

Aerospace & Defense - 0.0%

Wesco Aircraft Hardware Corp.:

Tranche 1LN, term loan 7.58% 9/29/13 (h)

150

151

Tranche 2LN, term loan 11.125% 3/28/14 (h)

60

61

212

Airlines - 0.2%

Delta Air Lines, Inc.:

Tranche B, term loan 10.0225% 3/16/08 (h)

290

297

Tranche C, term loan 12.7725% 3/16/08 (h)

4,275

4,393

UAL Corp.:

Tranche B, term loan 9.25% 2/1/12 (h)

3,143

3,186

Tranche DD, term loan 9.125% 2/1/12 (h)

449

455

US Airways Group, Inc. term loan 8.8669% 3/31/11 (h)

520

523

8,854

Building Products - 0.0%

Mueller Group, Inc. term loan 7.4368% 10/3/12 (h)

174

174

Commercial Services & Supplies - 0.0%

Allied Waste Industries, Inc.:

term loan 7.21% 1/15/12 (h)

801

798

Tranche A, Credit-Linked Deposit 7.0581% 1/15/12 (h)

318

317

1,115

Floating Rate Loans - continued

Principal Amount
(000s) (c)

Value
(000s)

INDUSTRIALS - continued

Industrial Conglomerates - 0.0%

Walter Industries, Inc. term loan 7.1816% 10/3/12 (h)

$ 146

$ 146

Machinery - 0.0%

Chart Industries, Inc. Tranche B, term loan 7.5625% 10/17/12 (h)

87

87

Road & Rail - 0.1%

Hertz Corp.:

Credit-Linked Deposit 7.64% 12/21/12 (h)

144

145

Tranche B, term loan 7.6704% 12/21/12 (h)

1,151

1,158

Laidlaw International, Inc. Class B, term loan 7.1169% 7/31/13 (h)

618

622

1,925

TOTAL INDUSTRIALS

12,513

INFORMATION TECHNOLOGY - 0.1%

IT Services - 0.1%

Affiliated Computer Services, Inc. Tranche B2, term loan 7.395% 3/20/13 (h)

3,292

3,300

MATERIALS - 0.6%

Chemicals - 0.1%

Lyondell Chemical Co. term loan 7.11% 8/13/13 (h)

4,520

4,531

Solutia, Inc. Tranche B, term loan 8.96% 3/31/07 (h)

200

201

4,732

Paper & Forest Products - 0.5%

Georgia-Pacific Corp.:

Tranche 2, term loan 8.39% 12/23/13 (h)

6,150

6,212

Tranche B1, term loan 7.3903% 12/23/12 (h)

11,374

11,395

17,607

TOTAL MATERIALS

22,339

TELECOMMUNICATION SERVICES - 0.4%

Diversified Telecommunication Services - 0.3%

Wind Telecomunicazioni Spa:

Tranche 2, term loan 11.62% 3/21/15 (h)

3,490

3,665

Tranche B, term loan 8.1684% 9/21/13 (h)

1,745

1,754

Floating Rate Loans - continued

Principal Amount
(000s) (c)

Value
(000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Wind Telecomunicazioni Spa: - continued

Tranche C, term loan 8.6684% 9/21/14 (h)

$ 1,745

$ 1,754

Windstream Corp. Class B, term loan 7.26% 7/17/13 (h)

4,070

4,085

11,258

Wireless Telecommunication Services - 0.1%

Crown Castle Operating Co. Tranche B, term loan 7.65% 6/1/14 (h)

2,060

2,060

Leap Wireless International, Inc. Tranche B, term loan 8.1169% 6/16/13 (h)

579

584

2,644

TOTAL TELECOMMUNICATION SERVICES

13,902

UTILITIES - 0.1%

Independent Power Producers & Energy Traders - 0.1%

NRG Energy, Inc.:

Credit-Linked Deposit 7.3669% 2/1/13 (h)

733

737

term loan 7.3669% 2/1/13 (h)

3,201

3,217

3,954

TOTAL FLOATING RATE LOANS

(Cost $126,407)

127,603

Sovereign Loan Participations - 0.2%

Indonesian Republic loan participation:

- Barclays Bank 6.25% 3/28/13 (h)

280

271

- Citibank 6.25% 3/28/13 (h)

1,418

1,375

- Credit Suisse First Boston 6.25% 3/28/13 (h)

1,813

1,759

- Deutsche Bank:

1.311% 3/28/13 (h)

JPY

107,698

861

6.25% 3/28/13 (h)

1,288

1,250

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $5,133)

5,516

Commercial Paper - 0.3%

Lake Constance Funding Ltd. 3.19% 10/20/06
(Cost $9,575)

EUR

7,500

9,494

Fixed-Income Funds - 3.0%

Shares

Value
(000s)

Fidelity Floating Rate Central Investment Portfolio (i)
(Cost $114,001)

1,137,165

$ 114,080

Cash Equivalents - 6.4%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Government Obligations) in a joint trading account at 5.4%, dated 9/29/06 due 10/2/06

$ 244,086

243,976

Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations) in a joint trading account at 5.08%, dated 9/29/06 due 10/2/06

3,316

3,315

TOTAL CASH EQUIVALENTS

(Cost $247,291)

247,291

TOTAL INVESTMENT PORTFOLIO - 99.4%

(Cost $3,724,449)

3,822,077

NET OTHER ASSETS - 0.6%

24,965

NET ASSETS - 100%

$ 3,847,042

Currency Abbreviations

ARS

-

Argentine peso

BRL

-

Brazilian real

CAD

-

Canadian dollar

EGP

-

Egyptian pound

EUR

-

European Monetary Unit

GBP

-

British pound

JPY

-

Japanese yen

MXN

-

Mexican peso

RUB

-

Russian ruble

TRY

-

New Turkish Lira

UYU

-

Uruguay peso

Legend

(a) Non-income producing

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

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

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

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

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $243,453,000 or 6.3% of net assets.

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

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

(i) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each Fidelity Central Fund, as of the Investing Fund's report date, is available upon request or at fidelity.com. The reports are located just after the Investing Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, each Fidelity Central Fund's financial statements are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.

(j) Quantity represents share amount.

(k) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,799,000 or 0.0% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Cost
(000s)

Intermet Corp.

1/7/05 - 1/13/05

$ 2,971

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 5,993

Fidelity Floating Rate Central Investment Portfolio

4,646

Total

$ 10,639

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

Fund
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value, end of period

% ownership, end of period

Fidelity Floating Rate Central Investment Portfolio

$ 86,840

$ 27,193

$ -

$ 114,080

7.4%

Income Tax Information

At September 30, 2006, the aggregate cost of investment securities for income tax purposes was $3,718,162,000. Net unrealized appreciation aggregated $103,915,000, of which $131,531,000 related to appreciated investment securities and $27,616,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity® Intermediate
Municipal Income Fund

September 30, 2006

1.807735.101

LIM-QTLY-1106

Investments September 30, 2006 (Unaudited)

Showing Percentage of Net Assets

Municipal Bonds - 98.7%

Principal Amount (000s)

Value
(000s)

Alabama - 0.9%

Birmingham Baptist Med. Ctrs. Spl. Care Facilities Fing. Auth. Rev. (Baptist Health Sys., Inc. Proj.) Series A, 5% 11/15/09

$ 1,200

$ 1,231

Health Care Auth. for Baptist Health Series 2006 D, 5% 11/15/10

1,295

1,346

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

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

1,700

1,725

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

3,055

3,150

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

3,865

4,067

Jefferson County Ltd. Oblig. School Warrants Series A:

5.25% 1/1/15

2,000

2,161

5.5% 1/1/22

1,100

1,192

Jefferson County Swr. Rev. Series A:

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

2,920

3,039

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

1,645

1,750

19,661

Alaska - 0.2%

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

2,935

3,134

Arizona - 0.3%

Arizona School Facilities Board Ctfs. of Prtn. Series C, 5% 9/1/09 (FSA Insured)

1,100

1,144

Tucson Wtr. Rev. Series A, 5% 7/1/11 (FGIC Insured)

1,500

1,585

Univ. of Arizona Univ. Revs. Series 2005 A, 5% 6/1/16 (AMBAC Insured)

1,585

1,725

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

1,100

1,155

5,609

California - 14.0%

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

1,400

1,556

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

5.25% 12/1/16 (FGIC Insured)

5,000

5,466

5.25% 12/1/18 (FGIC Insured)

5,000

5,438

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

5.25% 5/1/12 (MBIA Insured)

4,000

4,339

5.5% 5/1/15 (AMBAC Insured)

2,600

2,860

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

California - continued

California Econ. Recovery:

Series 2004 A:

5.25% 7/1/12

$ 1,210

$ 1,313

5.25% 7/1/13

7,000

7,660

Series A:

5% 7/1/15

15,200

16,466

5% 7/1/15 (MBIA Insured)

6,100

6,629

5.25% 1/1/11

700

746

5.25% 7/1/13 (MBIA Insured)

10,300

11,309

5.25% 7/1/14

15,400

16,993

5.25% 7/1/14 (FGIC Insured)

9,700

10,738

California Gen. Oblig.:

4.5% 2/1/09

2,800

2,861

5% 2/1/11

2,650

2,796

5% 3/1/15

3,000

3,255

5.25% 2/1/11

4,000

4,260

5.25% 3/1/12

2,210

2,381

5.25% 2/1/15

5,000

5,460

5.25% 2/1/16

8,500

9,277

5.25% 4/1/27

1,000

1,072

5.25% 2/1/28

3,400

3,618

5.25% 11/1/29

1,200

1,277

5.25% 2/1/33

6,100

6,418

5.25% 12/1/33

6,755

7,192

5.25% 4/1/34

6,600

7,020

5.5% 3/1/11

8,500

9,149

5.5% 4/1/13 (AMBAC Insured)

1,000

1,109

5.5% 4/1/30

10,515

11,520

5.5% 4/1/30 (Pre-Refunded to 4/1/14 @ 100) (e)

1,285

1,443

5.5% 11/1/33

21,355

23,243

5.625% 5/1/20

225

241

5.625% 5/1/20 (Pre-Refunded to 5/1/10 @ 101) (e)

775

836

5.75% 10/1/10

2,200

2,378

California Health Facilities Fing. Auth. Rev. (Catholic Healthcare West Proj.) Series I, 4.95%, tender 7/1/14 (c)

3,000

3,149

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

19,346

9,981

California Pub. Works Board Lease Rev.:

(Coalinga State Hosp. Proj.) Series 2004 A, 5.5% 6/1/16

5,600

6,200

Series 2005 A, 5.25% 6/1/30

4,300

4,573

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

California - continued

California Pub. Works Board Lease Rev.: - continued

Series 2005 K, 5% 11/1/16

$ 7,195

$ 7,783

California Statewide Cmntys. Dev. Auth. Rev.:

(Kaiser Fund Hosp./Health Place, Inc. Proj.) Series 2002 C, 3.85%, tender 6/1/12 (c)

1,300

1,297

(Kaiser Permanente Health Sys. Proj.):

Series 2001 A, 2.55%, tender 1/4/07 (c)

1,600

1,596

Series 2004 G, 2.3%, tender 5/1/07 (c)

4,000

3,970

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

2,290

2,508

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

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

1,900

1,945

0% 1/15/27 (a)

1,000

905

5% 1/15/16 (MBIA Insured)

1,000

1,055

5.75% 1/15/40

1,600

1,664

Golden State Tobacco Securitization Corp.:

Series 2003 A1, 6.75% 6/1/39

2,000

2,257

Series 2003 B:

5.75% 6/1/22 (Pre-Refunded to 6/1/08 @ 100) (e)

3,600

3,730

5.75% 6/1/23 (Pre-Refunded to 6/1/08 @ 100) (e)

1,300

1,347

Series B, 5.5% 6/1/43 (Pre-Refunded to 6/1/13
@ 100) (e)

3,000

3,331

Los Angeles Cmnty. Redev. Agcy. Lease Rev. (Vermont Manchester Social Services Proj.) 5% 9/1/18 (AMBAC Insured)

1,425

1,538

Los Angeles Dept. Arpt. Rev. Series A, 5.25% 5/15/19 (FGIC Insured)

2,500

2,683

Los Angeles Reg'l. Arpt. Impt. Rev.:

(LAX Fuel Corp. Proj.):

5% 1/1/10 (FSA Insured) (d)

1,660

1,712

5% 1/1/11 (FSA Insured) (d)

1,740

1,811

5% 1/1/12 (FSA Insured) (d)

1,835

1,921

5% 1/1/08 (FSA Insured) (d)

1,510

1,535

Los Angeles Unified School District:

Series A, 5.375% 7/1/17 (MBIA Insured)

3,190

3,512

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

4,000

4,320

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

2,680

3,034

North City West School Facilities Fing. Auth. Spl. Tax:

Series C, 5% 9/1/09 (AMBAC Insured)

1,180

1,231

Subseries C, 5% 9/1/12 (AMBAC Insured)

2,140

2,304

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

California - continued

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

$ 2,000

$ 2,186

San Diego County Ctfs. of Prtn.:

5% 10/1/08

1,470

1,507

5.25% 10/1/10

1,620

1,712

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

1,340

1,420

San Joaquin Hills Trans. Corridor Agcy. Toll Road Rev. Series A, 0% 1/15/12 (MBIA Insured)

3,620

2,974

291,010

Colorado - 1.3%

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

5,000

4,000

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

2,575

2,809

Colorado Ctfs. of Prtn. (UCDHSC Fitzsimons Academic Proj.) Series B, 5% 11/1/17 (MBIA Insured)

1,000

1,079

Colorado Health Facilities Auth. Rev.:

(Longmont Hosp. Proj.) Series B, 5.25% 12/1/16 (Radian Asset Assurance Ltd. Insured)

1,990

2,180

Series 2001, 6.625% 11/15/26 (Pre-Refunded to 11/15/11 @ 101) (e)

2,550

2,927

Dawson Ridge Metropolitan District #1 Series 1992 A, 0% 10/1/17 (Escrowed to Maturity) (e)

3,475

2,182

Denver City & County Arpt. Rev. Series D, 0% 11/15/06 (d)

4,500

4,479

Douglas and Elbert Counties School District #RE1:

5.75% 12/15/20 (FGIC Insured)

1,000

1,134

5.75% 12/15/22 (FGIC Insured)

1,000

1,130

E-470 Pub. Hwy. Auth. Rev.:

Series 2000 A, 5.75% 9/1/29 (MBIA Insured)

3,200

3,490

Series B, 0% 9/1/15 (MBIA Insured)

1,400

971

26,381

District Of Columbia - 0.9%

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

2,121

District of Columbia Gen. Oblig.:

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

2,260

2,388

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

District Of Columbia - continued

District of Columbia Gen. Oblig.: - continued

Series A:

5.25% 6/1/10 (FSA Insured)

$ 1,000

$ 1,055

5.25% 6/1/10 (MBIA Insured)

1,980

2,051

Series B, 0% 6/1/12 (MBIA Insured)

3,400

2,702

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

1,300

1,386

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

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

3,475

3,615

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

2,780

2,889

18,207

Florida - 4.1%

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

720

746

Broward County School Board Ctfs. of Prtn. 5.25% 7/1/20 (MBIA Insured)

1,000

1,074

Clay County School Board Ctfs. of Prtn. Series B, 5% 7/1/16 (MBIA Insured)

1,385

1,492

Flagler County School Board Ctfs. Series A, 5% 8/1/16 (FSA Insured)

2,105

2,267

Florida Correctional Privatization Communications Ctfs. of Prtn. Series A, 5% 8/1/15 (AMBAC Insured)

2,690

2,892

Florida Dept. of Trans. Rev. Series 2005 A, 5% 7/1/16

3,465

3,732

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

Series A, 4% 11/15/06

1,000

1,000

Series B, 5% 11/15/17

1,200

1,266

3.95%, tender 9/1/12 (c)

7,550

7,522

5%, tender 11/16/09 (c)

5,000

5,164

5.25% 11/15/11

3,735

3,858

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

18,000

17,979

Lee County Solid Waste Sys. Rev. 5.25% 10/1/09 (MBIA Insured) (d)

1,000

1,040

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

1,495

1,619

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

1,400

1,474

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Florida - continued

Orange County School Board Ctfs. of Prtn. Series A:

0% 8/1/13 (MBIA Insured)

$ 2,365

$ 1,804

5.375% 8/1/22 (Pre-Refunded to 8/1/07 @ 101) (e)

4,530

4,642

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

3,535

3,802

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

2,000

2,122

Reedy Creek Impt. District Utils. Rev. Series 2, 5.25% 10/1/12 (MBIA Insured)

15,125

16,459

Saint Lucie County School Board Ctfs. of Prtn. 5% 7/1/17 (FSA Insured)

1,410

1,510

Seminole County School Board Ctfs. of Prtn. Series A, 5% 7/1/12 (MBIA Insured)

1,020

1,091

Volusia County School Board Ctfs. of Prtn. (School Board of Volusia County Master Lease Prog.) 5% 8/1/08 (FSA Insured)

1,700

1,740

86,295

Georgia - 1.3%

Atlanta Arpt. Rev.:

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

1,620

1,685

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

4,000

4,287

Series F, 5.25% 1/1/13 (FSA Insured) (d)

1,200

1,288

Augusta Wtr. & Swr. Rev. 5.25% 10/1/39 (FSA Insured)

3,570

3,857

Coweta County Dev. Auth. Rev. (Newman Wtr. Swr. & Lt. Common Proj.) 5.75% 1/1/16 (Pre-Refunded to 1/1/10 @ 101) (e)

1,440

1,549

Fulton DeKalb Hosp. Auth. Hosp. Rev.:

5% 1/1/07 (FSA Insured)

1,000

1,003

5% 1/1/10 (FSA Insured)

3,370

3,517

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

2,880

3,122

Georgia Muni. Elec. Auth. Pwr. Rev.:

Series 1992 B, 8.25% 1/1/11 (MBIA Insured)

4,025

4,737

Series 2005 V:

6.6% 1/1/18 (e)

35

42

6.6% 1/1/18 (MBIA Insured)

1,550

1,842

Savannah Econ. Dev. Auth. Rev. (Southern Care Corp. Proj.) Series C, 0% 12/1/21 (Escrowed to Maturity) (e)

1,645

845

27,774

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Hawaii - 0.2%

Hawaii Arpt. Sys. Rev. Series 2000 B, 8% 7/1/10 (FGIC Insured) (d)

$ 3,700

$ 4,230

Illinois - 9.5%

Chicago Board of Ed.:

(Westinghouse High School Proj.) Series C:

5.25% 12/1/15 (MBIA Insured)

2,150

2,380

5.5% 12/1/23 (MBIA Insured)

1,000

1,115

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

1,150

792

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

1,000

659

Chicago Gen. Oblig.:

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

4,100

2,800

Series 2004 A, 5.25% 1/1/29 (FSA Insured)

1,100

1,174

Series A:

5.25% 1/1/22 (MBIA Insured)

1,000

1,071

5.25% 1/1/33 (MBIA Insured)

2,930

3,075

5.25% 1/1/33 (Pre-Refunded to 1/1/11 @ 101) (e)

70

75

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

1,305

1,425

5.25% 1/1/11 (FSA Insured)

2,070

2,201

Chicago Midway Arpt. Rev.:

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

1,250

1,271

Series B:

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

2,000

2,030

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

2,740

2,781

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

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

10,000

10,589

Series A:

5% 1/1/12 (MBIA Insured)

1,100

1,168

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

1,350

1,419

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

8,815

9,042

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

4,400

4,561

Chicago Park District Series A:

5.25% 1/1/21 (FGIC Insured)

1,765

1,900

5.5% 1/1/18 (FGIC Insured)

370

394

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

2,200

2,391

Chicago Spl. Trans. Rev.:

Series 2001, 5.5% 1/1/17 (Escrowed to Maturity) (e)

1,000

1,071

5.5% 1/1/12 (Escrowed to Maturity) (e)

1,470

1,589

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

0% 12/1/13 (Escrowed to Maturity) (e)

2,500

1,900

0% 12/1/18 (Escrowed to Maturity) (e)

3,900

2,370

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Illinois - continued

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

$ 3,275

$ 2,796

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

4,275

3,506

DuPage County Forest Preserve District Rev.:

0% 11/1/09

4,000

3,565

0% 11/1/17

2,700

1,695

Granite City Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 3.85%, tender 5/1/08 (c)(d)

2,200

2,179

Grundy, Kendall & Will County Cmnty. High School District #111 Gen. Oblig. 5.5% 5/1/13 (FGIC Insured)

1,000

1,104

Hodgkins Tax Increment Rev. 5% 1/1/12

1,095

1,139

Illinois Dedicated Tax Rev. Series B, 0% 12/15/18 (AMBAC Insured)

1,800

1,071

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

1,505

1,676

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

2,500

2,511

Illinois Edl. Facilities Auth. Revs.:

(Northwestern Univ. Proj.) 5% 12/1/38

2,600

2,700

(Univ. of Chicago Proj.):

Series 2004 B1, 3.45%, tender 7/1/08 (c)

5,600

5,582

Series A, 5.25% 7/1/41 (Pre-Refunded to 7/1/11 @ 101) (e)

2,490

2,687

Series B:

3.1%, tender 7/1/07 (c)(e)

5

5

3.1%, tender 7/1/07 (c)

3,595

3,582

Illinois Fin. Auth. Gas Supply Rev. (Peoples Gas Lt. and Coke Co. Proj.) Series A, 4.3%, tender 6/1/16 (AMBAC Insured) (c)

1,400

1,434

Illinois Fin. Auth. Rev. (DePaul Univ. Proj.):

5% 10/1/09

1,000

1,035

5% 10/1/10

1,235

1,290

5% 10/1/18 (XL Cap. Assurance, Inc. Insured)

2,815

2,995

Illinois Gen. Oblig.:

First Series:

5.25% 12/1/17 (FSA Insured)

1,000

1,083

5.375% 7/1/15 (MBIA Insured)

1,300

1,414

5.5% 8/1/10

1,400

1,494

5.5% 4/1/16 (FSA Insured)

1,000

1,094

5.5% 2/1/18 (FGIC Insured)

1,000

1,086

5.5% 8/1/19 (MBIA Insured)

1,250

1,362

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Illinois - continued

Illinois Gen. Oblig.: - continued

5.5% 4/1/17 (MBIA Insured)

$ 2,600

$ 2,749

5.6% 4/1/21 (MBIA Insured)

2,800

2,963

Illinois Health Facilities Auth. Rev.:

(Condell Med. Ctr. Proj.):

5% 5/15/09

1,040

1,060

7% 5/15/22

5,000

5,472

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

2,600

2,767

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

2,755

3,114

Illinois Sales Tax Rev.:

Series W, 5% 6/15/13

3,430

3,467

6% 6/15/20

1,600

1,724

Illinois Toll Hwy. Auth. Toll Hwy. Rev. Series 2006 A2, 5% 1/1/31 (FSA Insured)

7,600

8,013

Kane & DeKalb Counties Cmnty. Unit School District #302 5.8% 2/1/22 (FGIC Insured)

1,500

1,681

Kane County School District #129, Aurora West Side Series A, 5.75% 2/1/15 (Pre-Refunded to 2/1/12
@ 100) (e)

2,580

2,848

Kane, McHenry, Cook & DeKalb Counties Cmnty. Unit School District #300, Carpentersville 0% 12/1/18 (AMBAC Insured)

4,555

2,715

Lake County Cmnty. High School District #117, Antioch Series B, 0% 12/1/20 (FGIC Insured)

5,300

2,874

Lake County Cmnty. Unit School District #60 Waukegan:

Series C:

0% 12/1/13 (FSA Insured)

5,590

4,204

0% 12/1/14 (FSA Insured)

5,180

3,732

0% 12/1/15 (FSA Insured)

3,810

2,625

Series D:

0% 12/1/09 (FSA Insured)

3,480

3,092

0% 12/1/10 (FSA Insured)

3,380

2,886

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

2,370

2,694

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

(McCormick Place Expansion Proj.):

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

7,100

7,784

Series A:

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

7,780

6,531

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Illinois - continued

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

(McCormick Place Expansion Proj.):

Series A:

0% 6/15/16 (FGIC Insured)

$ 2,050

$ 1,378

0% 6/15/17 (FGIC Insured)

3,240

2,075

0% 6/15/20 (FGIC Insured)

1,400

774

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

4,135

3,039

Univ. of Illinois Auxiliary Facilities Sys. Rev. (UIC South Campus Dev. Proj.) 5.75% 1/15/19 (Pre-Refunded to 1/15/10 @ 100) (e)

1,000

1,068

Univ. of Illinois Ctfs. of Prtn. (Util. Infrastructure Proj.) 5% 8/15/11 (AMBAC Insured)

1,300

1,376

Will County Cmnty. Unit School District #365, Valley View 0% 11/1/17 (FSA Insured)

1,300

818

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

1,000

720

197,571

Indiana - 4.9%

Anderson School Bldg. Corp.:

5% 7/15/17 (AMBAC Insured)

1,150

1,243

5.5% 7/15/22 (Pre-Refunded to 7/15/14 @ 100) (e)

2,210

2,483

5.5% 7/15/23 (Pre-Refunded to 7/15/14 @ 100) (e)

1,000

1,124

Avon 2000 Cmnty. School Bldg. Corp. 5% 1/15/18 (FSA Insured)

1,475

1,589

Brownsburg 1999 School Bldg. Corp. Series B, 5% 1/15/15 (FSA Insured)

1,805

1,959

Carmel High School Bldg. Corp.:

5% 7/10/13 (FSA Insured)

1,145

1,233

5% 1/10/14 (FSA Insured)

1,180

1,273

5% 7/10/14 (FSA Insured)

1,215

1,316

5% 7/10/16 (FSA Insured)

1,180

1,267

Clark-Pleasant 2004 School Bldg. Corp. 5.25% 7/15/21 (FSA Insured)

1,405

1,520

Columbus Repair and Renovation School Bldg. Corp.:

5% 7/15/16 (MBIA Insured)

1,640

1,781

5% 7/15/17 (MBIA Insured)

1,720

1,859

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

6,850

4,230

East Allen Woodlan School Bldg. Corp.:

5% 1/15/11 (MBIA Insured)

1,030

1,086

5% 1/15/12 (MBIA Insured)

1,295

1,378

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Indiana - continued

Franklin Township Independent School Bldg. Corp., Marion County 5% 7/15/15 (MBIA Insured)

$ 1,700

$ 1,852

GCS School Bldg. Corp. One:

5% 7/15/16 (FSA Insured)

1,170

1,261

5.5% 7/15/12 (FSA Insured)

1,280

1,402

Goshen Multi-School Bldg. Corp. 5% 1/15/13 (MBIA Insured)

1,755

1,882

Hamilton Heights School Bldg. Corp.:

5.25% 7/15/15 (FSA Insured)

1,010

1,115

5.25% 7/15/16 (FSA Insured)

2,095

2,325

Hobart Bldg. Corp. 6.5% 1/15/29 (FGIC Insured)

7,680

9,535

Indiana Dev. Fin. Auth. Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 4.7%, tender 10/1/15 (c)(d)

1,250

1,272

Indiana Trans. Fin. Auth. Hwy.:

Series 1993 A:

0% 12/1/17 (AMBAC Insured)

1,470

921

0% 6/1/18 (AMBAC Insured)

1,740

1,063

Series A, 0% 6/1/17 (AMBAC Insured)

3,000

1,924

Indianapolis Local Pub. Impt. Bond Bank (Indianapolis Arpt. Auth. Proj.):

Series 2006 F, 5.25% 1/1/13 (AMBAC Insured) (d)

1,110

1,192

Series I:

5% 1/1/09 (MBIA Insured) (d)

1,600

1,641

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

3,545

3,700

Indianapolis Resource Recovery Rev. (Ogden Martin Sys., Inc. Proj.) 6.75% 12/1/07 (AMBAC Insured)

3,000

3,087

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

5,000

5,437

Ivy Tech State College Series I, 5% 7/1/10 (AMBAC Insured)

1,640

1,721

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

1,090

1,193

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

2,210

2,340

Mooresville School Bldg. Corp. 5% 7/15/16 (XL Cap. Assurance, Inc. Insured)

1,050

1,124

Perry Township Multi-School Bldg. Corp. 5.25% 1/10/14 (FSA Insured)

2,075

2,257

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

9,000

9,625

Portage Township Multi-School Bldg. Corp.:

5.25% 7/15/19 (MBIA Insured)

1,530

1,669

5.25% 7/15/27 (MBIA Insured)

1,310

1,411

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Indiana - continued

Rockport Poll. Cont. Rev.:

(AEP Generating Co. Proj.) Series 1995 A, 4.15%, tender 7/15/11 (AMBAC Insured) (c)

$ 2,000

$ 2,041

4.9%, tender 6/1/07 (c)

5,005

5,027

South Harrison School Bldg. Corp. Series A, 5.5% 7/15/20 (FSA Insured)

2,550

2,846

Southmont School Bldg. Corp.:

5% 1/15/14 (FGIC Insured)

1,690

1,812

5% 7/15/17 (FGIC Insured)

2,000

2,121

Wawasee Cmnty. School Corp. New Elementary and Remodeling Bldg. Corp. 5% 7/15/15 (FSA Insured)

1,455

1,585

Westfield Washington Multi-School Bldg. Corp. Series A, 5% 1/15/12 (FSA Insured)

1,005

1,070

102,792

Iowa - 0.2%

Tobacco Settlement Auth. Tobacco Settlement Rev. 5.3% 6/1/25 (Pre-Refunded to 6/1/11 @ 101) (e)

3,000

3,194

Kansas - 0.5%

Burlington Envir. Impt. Rev. (Kansas City Pwr. & Lt. Co. Proj.) Series A, 4.75%, tender 10/1/07 (c)

2,800

2,828

Kansas Dev. Fin. Auth. Rev.:

(Sisters of Charity of Leavenworth Health Svcs. Corp. Proj.):

5.25% 12/1/10 (MBIA Insured)

2,230

2,307

5.25% 12/1/11 (MBIA Insured)

1,805

1,867

Series II, 5.5% 11/1/19

1,000

1,097

5.5% 11/1/20

1,000

1,098

Topeka Combined Util. Impt. Rev. Series 2005 A, 6% 8/1/23 (XL Cap. Assurance, Inc. Insured)

1,430

1,668

10,865

Kentucky - 0.2%

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

1,645

1,707

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

2,250

2,433

4,140

Louisiana - 0.8%

Caddo Parish School District Series A:

5.25% 3/1/15 (FSA Insured)

1,070

1,180

5.25% 3/1/16 (FSA Insured)

1,290

1,430

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Louisiana - continued

East Baton Rouge Parish Pub. Impt. Sales Tax Rev. Series B, 5% 2/1/12 (AMBAC Insured)

$ 1,000

$ 1,063

Ernest N. Morial-New Orleans Exhibit Hall Auth. Spl. Tax Series A, 5.25% 7/15/11 (AMBAC Insured)

2,700

2,876

Louisiana Offshore Term. Auth. Deepwater Port Rev. (LOOP LLC Proj.) Series 2003 D, 4%, tender 9/1/08 (c)

3,300

3,316

Louisiana State Citizens Property Ins. Corp. Assessment Rev. Series B, 5.25% 6/1/14 (AMBAC Insured)

5,000

5,471

New Orleans Gen. Oblig. 0% 9/1/13 (AMBAC Insured)

1,400

1,050

16,386

Maine - 0.1%

Maine Tpk. Auth. Tpk. Rev. Series 2000, 5.75% 7/1/28 (Pre-Refunded to 7/1/10 @ 101) (e)

2,710

2,942

Maryland - 0.2%

Univ. of Maryland Sys. Auxiliary Facility & Tuition Rev. Series A, 5.125% 4/1/23

3,000

3,179

Massachusetts - 2.7%

Massachusetts Bay Trans. Auth. Series A, 5.75% 7/1/18

260

279

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

6.375% 8/1/14

1,315

1,435

6.375% 8/1/15

2,460

2,684

6.375% 8/1/16

2,570

2,804

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

3,000

3,203

Massachusetts Fed. Hwy. Series 2000 A:

5.75% 6/15/11

4,000

4,321

5.75% 6/15/13

3,000

3,228

Massachusetts Gen. Oblig.:

Series 2001 A, 5.5% 1/1/11

4,000

4,291

Series 2005 C, 5.25% 9/1/23

6,300

6,880

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

2,000

2,168

Series D:

5% 10/1/23 (Pre-Refunded to 10/1/13 @ 100) (e)

1,800

1,941

5.25% 10/1/20 (Pre-Refunded to 10/1/13
@ 100) (e)

5,900

6,451

Massachusetts Port Auth. Spl. Facilities Rev. (Delta Air Lines, Inc. Proj.) Series A:

5.5% 1/1/12 (AMBAC Insured) (d)

1,000

1,058

5.5% 1/1/14 (AMBAC Insured) (d)

1,000

1,058

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Massachusetts - continued

Massachusetts Port Auth. Spl. Facilities Rev. (Delta Air Lines, Inc. Proj.) Series A: - continued

5.5% 1/1/17 (AMBAC Insured) (d)

$ 4,040

$ 4,253

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

4,550

4,806

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

25

26

Springfield Gen. Oblig. 5% 8/1/17 (MBIA Insured)

5,640

6,095

56,981

Michigan - 3.1%

Clarkston Cmnty. Schools 5.375% 5/1/22 (Pre-Refunded to 5/1/13 @ 100) (e)

1,000

1,102

Detroit City School District Series A, 5.5% 5/1/11 (FSA Insured)

3,355

3,623

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

5% 9/30/11 (MBIA Insured)

2,000

2,128

5% 9/30/12 (MBIA Insured)

1,500

1,611

Detroit Gen. Oblig.:

Series A, 5% 4/1/08 (FSA Insured)

6,600

6,731

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

2,305

2,463

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

10,000

10,297

Detroit Wtr. Supply Sys. Rev. 5.25% 7/1/14 (MBIA Insured)

2,600

2,860

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

1,450

1,547

Livonia Pub. School District Series II, 0% 5/1/21 (FGIC Insured) (Pre-Refunded to 5/1/07 @ 39.31) (e)

7,800

3,005

Michigan Ctfs. of Prtn. 5.75% 6/1/17 (Pre-Refunded to 6/1/10 @ 100) (e)

1,000

1,075

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

8,915

9,136

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

(Crittenton Hosp. Proj.) Series A:

5.5% 3/1/16

1,000

1,073

5.5% 3/1/17

1,885

2,023

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

8,000

8,189

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

1,195

1,217

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

1,915

2,057

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Michigan - continued

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

$ 1,500

$ 1,584

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

1,025

1,114

Troy School District 5% 5/1/12 (MBIA Insured)

1,075

1,150

63,985

Minnesota - 0.6%

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

5.25% 12/1/09

1,250

1,298

5.625% 12/1/22

575

620

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

2,445

2,552

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

5,910

6,135

Saint Paul Port Auth. Lease Rev. (HealthEast Midway Campus Proj.) Series 2003 A, 5.25% 5/1/15

1,500

1,525

12,130

Mississippi - 0.4%

Harrison County School District 5% 3/1/16 (AMBAC Insured)

1,660

1,793

Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 4.4%, tender 3/1/11 (c)(d)

1,275

1,280

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

3,800

3,968

Mississippi Hosp. Eq. & Facilities Auth. (South Central Reg'l. Med. Ctr. Proj.) 5% 12/1/11

1,305

1,360

8,401

Missouri - 1.1%

Bi-State Dev. Agcy. Rev. 3.95%, tender 10/1/09, LOC JPMorgan Chase Bank (c)

8,400

8,459

Fenton Tax Increment Rev. (Gravois Bluffs Redev. Proj.) 5% 4/1/13

1,000

1,049

Mehlville School District #R-9, Saint Louis County Ctfs. of Prtn.:

(Missouri Cap. Impt. Projs.) Series 2002, 5.5% 9/1/17 (Pre-Refunded to 9/1/12 @ 100) (e)

1,000

1,101

5% 9/1/16 (FSA Insured)

2,030

2,186

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Missouri - continued

Missouri Dev. Fin. Board Infrastructure Facilities Rev. (City of Branson-Branson Landing Proj.) Series 2005 A, 6% 6/1/20

$ 1,000

$ 1,158

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

2,479

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

2,370

2,563

Saint Louis Muni. Fin. Corp. Leasehold Rev.:

(Civil Courts Bldg. Proj.) Series 2003 A, 5% 8/1/10 (FSA Insured)

2,010

2,111

(Convention Ctr. Proj.) 5.25% 7/15/13 (AMBAC Insured)

1,880

2,052

23,158

Montana - 0.2%

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

4,200

4,310

Nevada - 1.0%

Clark County Arpt. Rev. Series C:

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

1,500

1,600

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

1,100

1,172

Clark County Gen. Oblig. Series 2000, 5.5% 7/1/30 (Pre-Refunded to 7/1/10 @ 100) (e)

1,500

1,602

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

5,735

5,793

Clark County School District:

Series C, 5.375% 6/15/15 (Pre-Refunded to 6/15/12 @ 100) (e)

1,000

1,091

Series F, 5.375% 6/15/11 (FSA Insured)

4,700

5,049

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

2,300

2,480

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

4,140

2,759

21,546

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

New Hampshire - 0.2%

Manchester School Facilities Rev. 5.5% 6/1/20
(Pre-Refunded to 6/1/13 @ 100) (e)

$ 1,150

$ 1,277

New Hampshire Bus. Fin. Auth. Poll. Cont. Rev. (United Illumination Co.) Series A, 3.65%, tender 2/1/10 (AMBAC Insured) (c)(d)

2,400

2,369

3,646

New Jersey - 2.7%

Camden County Impt. Auth. Rev. (Cooper Health Sys. Obligated Group Proj.) Series B, 5.25% 2/15/10

1,925

1,988

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

1,200

1,258

New Jersey Econ. Dev. Auth. Rev.:

Series 2005 O:

5.125% 3/1/28

2,000

2,130

5.25% 3/1/15

3,000

3,295

5.25% 3/1/23

1,500

1,622

5.25% 3/1/26

4,700

5,064

5.25% 3/1/21 (MBIA Insured)

1,200

1,307

5.25% 3/1/25

4,200

4,528

New Jersey Tpk. Auth. Tpk. Rev. Series A, 5% 1/1/25 (FSA Insured)

2,610

2,776

New Jersey Trans. Trust Fund Auth. Series B, 5.25% 12/15/16 (MBIA Insured)

5,000

5,566

Tobacco Settlement Fing. Corp.:

4.375% 6/1/19

4,825

4,822

5.75% 6/1/32

4,755

4,999

6.125% 6/1/24

6,400

6,927

6.375% 6/1/32

2,755

3,021

6.75% 6/1/39

3,735

4,182

Union County Impt. Auth. (Juvenile Detention Ctr. Facility Proj.) 5.5% 5/1/28 (FGIC Insured)

2,000

2,217

55,702

New Mexico - 0.4%

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

1,400

1,429

Farmington Poll. Cont. Rev. Series B, 3.55%, tender 4/1/10 (FGIC Insured) (c)

2,410

2,393

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

New Mexico - continued

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

$ 2,000

$ 2,048

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

2,075

2,103

7,973

New York - 12.6%

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

Series 2003:

5.75% 5/1/16 (FSA Insured)

4,740

5,279

5.75% 5/1/22 (FSA Insured)

2,240

2,448

Series 2004:

5.75% 5/1/17 (FSA Insured)

2,895

3,288

5.75% 5/1/25 (FSA Insured)

1,715

1,926

5.75% 5/1/19 (FSA Insured)

5,590

6,337

5.75% 5/1/22 (FSA Insured)

8,525

9,616

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

5% 6/1/10

2,600

2,717

5% 6/1/11

1,075

1,134

Metropolitan Trans. Auth. Rev.:

Series 2005 C:

5% 11/15/16

1,000

1,090

5.25% 11/15/14

1,000

1,099

Series F, 5.25% 11/15/27 (MBIA Insured)

1,400

1,506

Metropolitan Trans. Auth. Svc. Contract Rev.:

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

2,495

2,497

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

1,600

1,745

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

1,000

1,093

New York City Gen. Oblig.:

Series 1997 H, 6% 8/1/12 (FGIC Insured)

1,700

1,909

Series 2000 A, 6.5% 5/15/11

365

402

Series 2002 C, 5.5% 8/1/13

2,000

2,191

Series 2003 I, 5.75% 3/1/16 (Pre-Refunded to 3/1/13 @ 100) (e)

2,100

2,360

Series 2005 G, 5% 8/1/14

6,500

7,001

Series 2005 J, 5% 3/1/12

3,020

3,211

Series 2005 K, 5% 8/1/11

6,000

6,344

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

600

650

Series C, 5.75% 3/15/27 (Pre-Refunded to 3/15/12 @ 100) (e)

390

432

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

1,000

1,073

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

New York - continued

New York City Gen. Oblig.: - continued

Series J:

5.5% 6/1/19

$ 2,900

$ 3,166

5.875% 2/15/19

10

10

Subseries 2005 F1, 5.25% 9/1/14

3,600

3,941

New York City Indl. Dev. Agcy. Spl. Facilities Rev. (Terminal One Group Assoc. Proj.) 5% 1/1/07 (d)

1,810

1,815

New York Counties Tobacco Trust I Series B, 6.5% 6/1/35 (Pre-Refunded to 6/1/10 @ 101) (e)

6,925

7,683

New York State Dorm. Auth. Revs.:

(City Univ. Sys. Consolidation Proj.):

Series A:

5.75% 7/1/13

3,400

3,696

5.75% 7/1/13 (AMBAC Insured)

1,100

1,199

Series C, 7.5% 7/1/10

4,210

4,532

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

1,200

1,247

(Mental Health Svcs. Proj.) Series D, 5% 2/15/12 (FGIC Insured)

9,000

9,596

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

320

321

(State Univ. Edl. Facilities Proj.) Series A, 5.25% 5/15/15 (MBIA Insured)

5,500

6,045

Series 2003 A, 5% 3/15/09

3,000

3,102

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

4.875% 6/15/18

1,100

1,130

4.875% 6/15/20

2,200

2,258

5% 6/15/15

775

800

New York State Thruway Auth. Gen. Rev. Series 2005 G, 5.25% 1/1/27 (FSA Insured)

5,000

5,457

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

765

832

New York State Urban Dev. Corp. Rev. (Correctional Cap. Facilities Proj.) Series A, 5.25% 1/1/14 (FSA Insured)

1,685

1,818

New York Transitional Fin. Auth. Rev.:

Series A:

5.5% 11/1/26 (b)

4,490

4,861

5.75% 2/15/16

30

32

6% 11/1/28 (b)

40,925

45,204

Series B, 5.25% 2/1/29 (b)

3,800

4,033

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

New York - continued

Tobacco Settlement Fing. Corp.:

Series 2003 C1, 5.5% 6/1/19

$ 4,100

$ 4,469

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

3,745

3,881

Series A1:

5% 6/1/11

1,540

1,541

5.25% 6/1/21 (AMBAC Insured)

2,200

2,365

5.25% 6/1/22 (AMBAC Insured)

3,450

3,704

5.5% 6/1/14

3,200

3,351

5.5% 6/1/15

9,900

10,501

5.5% 6/1/16

16,800

17,819

5.5% 6/1/17

1,900

2,040

Series C1:

5.5% 6/1/14

3,900

4,084

5.5% 6/1/15

4,100

4,349

5.5% 6/1/16

1,600

1,721

5.5% 6/1/17

3,900

4,187

5.5% 6/1/18

5,165

5,592

5.5% 6/1/20

800

870

Triborough Bridge & Tunnel Auth. Revs. Series 2005 A, 5.125% 1/1/22

2,000

2,117

TSASC, Inc. Rev. Series 1, 5.5% 7/15/24 (Pre-Refunded to 7/15/12 @ 100) (e)

7,875

8,480

261,197

New York & New Jersey - 0.6%

Port Auth. of New York & New Jersey:

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

7,220

7,427

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

1,215

1,250

Port Auth. of New York & New Jersey Spl. Oblig. Rev. (JFK Int'l. Air Term. Spl. Proj.) Series 6, 6.25% 12/1/13 (MBIA Insured) (d)

4,100

4,705

13,382

North Carolina - 1.1%

Dare County Ctfs. of Prtn.:

5.25% 6/1/16 (AMBAC Insured)

1,580

1,722

5.25% 6/1/20 (AMBAC Insured)

1,520

1,643

North Carolina Ctfs. of Prtn. (Repair and Renovation Proj.) Series B, 5.25% 6/1/17

1,400

1,528

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

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

900

938

Series A:

5.5% 1/1/11

1,590

1,686

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

North Carolina - continued

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

Series A:

5.75% 1/1/26

$ 1,000

$ 1,057

Series B, 6.125% 1/1/09

2,220

2,324

Series C:

5.25% 1/1/10

2,630

2,735

5.5% 1/1/07

1,000

1,004

Series D:

5.375% 1/1/10

3,360

3,506

6% 1/1/09

2,430

2,487

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

2,500

2,664

23,294

North Dakota - 0.3%

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

3,685

4,022

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

1,140

1,153

5,175

Ohio - 0.5%

Franklin County Hosp. Rev. 5.5% 5/1/21 (Pre-Refunded to 5/1/11 @ 101) (e)

2,000

2,179

Indian Hill Exempt Village School District Hamilton County 5.5% 12/1/16 (Pre-Refunded to 12/1/11 @ 100) (e)

1,060

1,156

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

2,600

2,811

Ohio Air Quality Dev. Auth. Rev. Series 2002 A, 4.2%, tender 1/2/07 (c)

1,000

1,000

Ohio Gen. Oblig. Series 2003 D, 2.45%, tender 9/14/07 (c)

1,350

1,333

Olentangy Local School District:

5.5% 12/1/15 (FSA Insured)

25

27

5.5% 12/1/15 (Pre-Refunded to 6/1/12 @ 100) (e)

975

1,070

Richland County Hosp. Facilities (MedCentral Health Sys. Proj.) Series B:

6.375% 11/15/22

500

545

6.375% 11/15/22 (Pre-Refunded to 11/15/10 @ 101) (e)

1,000

1,114

11,235

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Oklahoma - 1.1%

Cherokee County Econ. Dev. Auth. Series A, 0% 11/1/11 (Escrowed to Maturity) (e)

$ 1,000

$ 822

Durant Cmnty. Facilities Auth. Sales Tax Rev. 5.5% 11/1/19 (XL Cap. Assurance, Inc. Insured)

1,050

1,160

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

3,350

3,721

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

3,035

3,143

Oklahoma City Pub. Property Auth. Hotel Tax Rev.:

5.5% 10/1/19 (FGIC Insured)

2,165

2,422

5.5% 10/1/20 (FGIC Insured)

1,550

1,729

Tulsa County Indl. Auth. Cap. Impts. Rev. Series 2006 D, 5.25% 1/1/11 (FSA Insured)

5,465

5,812

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

4,000

4,276

23,085

Oregon - 0.2%

Oregon Dept. Administrative Svcs. Ctfs. of Prtn. Series B, 5% 5/1/09 (FSA Insured)

720

746

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

5.75% 8/1/14 (Pre-Refunded to 8/1/10 @ 100) (e)

1,520

1,636

5.75% 8/1/17 (Pre-Refunded to 8/1/10 @ 100) (e)

1,950

2,099

4,481

Pennsylvania - 2.5%

Allegheny County Arpt. Rev. (Pittsburgh Int'l. Arpt. Proj.) Series A1:

5.75% 1/1/07 (MBIA Insured) (d)

2,000

2,010

5.75% 1/1/12 (MBIA Insured) (d)

1,210

1,309

Allegheny County Hosp. Dev. Auth. Rev. (UPMC Health Sys. Proj.) Series 1999 B, 4.55% 12/15/10 (AMBAC Insured)

1,330

1,359

Annville-Cleona School District 5.5% 3/1/23 (FSA Insured)

1,300

1,447

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

1,400

1,505

Central Dauphin School District Gen. Oblig. 7% 2/1/27 (Pre-Refunded to 2/1/16 @ 100) (e)

1,000

1,255

Clarion County Indl. Dev. Auth. Wtr. Facilities Rev. (Pennsylvania-American Wtr. Co. Proj.) 3.6%, tender 12/1/09 (AMBAC Insured) (c)(d)

5,665

5,575

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

1,165

1,216

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Pennsylvania - continued

Easton Area School District Series 2005, 7.5% 4/1/21 (FSA Insured) (f)

$ 2,000

$ 2,567

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

3,930

4,746

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

(Amtrak Proj.) Series 2001 A:

6.125% 11/1/21 (d)

1,300

1,401

6.5% 11/1/16 (d)

1,100

1,205

(Shippingport Proj.) Series A, 4.35%, tender 6/1/10 (c)(d)

2,300

2,308

Pennsylvania Higher Edl. Facilities Auth. Rev.:

(Univ. of Pennsylvania Health Systems Proj.) Series A, 5% 8/15/16 (AMBAC Insured)

1,400

1,519

(UPMC Health Sys. Proj.) Series 2001 A, 6% 1/15/22

4,000

4,383

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

2,500

2,738

Philadelphia Gas Works Rev. (1998 Gen. Ordinance Proj.) 4th Series, 5.25% 8/1/16 (FSA Insured)

2,355

2,550

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

1,000

1,065

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

3,360

3,601

Philadelphia School District Series B, 5% 4/1/11 (AMBAC Insured)

2,100

2,217

Pittsburgh Gen. Oblig. Series B, 5.25% 9/1/15 (FSA Insured)

3,000

3,314

Pittsburgh School District Series A, 5% 9/1/09 (MBIA Insured)

1,670

1,726

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

1,345

1,466

52,482

Puerto Rico - 0.4%

Puerto Rico Govt. Dev. Bank 5% 12/1/10

6,000

6,260

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

1,000

1,002

7,262

Rhode Island - 0.1%

Rhode Island Health & Edl. Bldg. Corp. Rev. (Lifespan Corp. Proj.) Series A, 5% 5/15/14 (FSA Insured)

2,000

2,150

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

South Carolina - 1.4%

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

$ 1,765

$ 1,850

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

2,310

2,502

Greenville County Pub. Facilities Corp. Ctfs. of Prtn. (Courthouse and Detention Proj.) 5% 4/1/11 (AMBAC Insured)

1,565

1,656

Greenville County School District Installment Purp. Rev. 5% 12/1/10

1,700

1,782

Lexington One School Facilities Corp. Rev. (Lexington County School District No. 1 Proj.) 5% 12/1/10

680

713

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

6,322

South Carolina Pub. Svc. Auth. Rev.:

(Santee Cooper Proj.) Series 2005 B, 5% 1/1/18 (MBIA Insured)

1,800

1,949

Series 2005 B, 5% 1/1/10 (MBIA Insured)

3,000

3,130

Series A:

5.5% 1/1/14 (FGIC Insured)

1,300

1,449

5.5% 1/1/16 (FGIC Insured)

2,705

3,058

Univ. of South Carolina Higher Ed. Facilities Rev. Series A:

5% 6/1/16 (MBIA Insured)

2,040

2,224

5% 6/1/17 (MBIA Insured)

2,035

2,211

28,846

South Dakota - 0.3%

Minnehaha County Gen. Oblig.:

5.625% 12/1/16 (Pre-Refunded to 12/1/10 @ 100) (e)

2,000

2,149

5.625% 12/1/17 (Pre-Refunded to 12/1/10 @ 100) (e)

2,115

2,270

5.625% 12/1/18 (Pre-Refunded to 12/1/10 @ 100) (e)

2,350

2,518

6,937

Tennessee - 1.3%

Clarksville Natural Gas Acquisition Corp. Gas Rev.:

5% 12/15/10

5,000

5,232

5% 12/15/11

3,285

3,468

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:

5.25% 1/1/15 (MBIA Insured)

$ 1,240

$ 1,359

6.25% 1/1/13 (MBIA Insured)

1,700

1,930

7.25% 1/1/10 (MBIA Insured)

8,000

8,854

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

5% 9/1/10 (MBIA Insured)

1,755

1,844

5% 9/1/11 (MBIA Insured)

1,835

1,940

5% 9/1/13 (MBIA Insured)

2,010

2,154

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

1,100

1,141

27,922

Texas - 15.0%

Abilene Independent School District 5% 2/15/17

1,090

1,173

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

1,015

1,107

Austin Cmnty. College District 5.5% 8/1/34

1,900

2,096

Austin Independent School District 5.25% 8/1/11

3,515

3,768

Austin Util. Sys. Rev.:

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

5,200

4,450

0% 11/15/12 (AMBAC Insured)

5,645

4,447

0% 5/15/17 (FGIC Insured)

1,900

1,224

Austin Wtr. & Wastewtr. Sys. Rev. 5% 11/15/10 (MBIA Insured)

1,735

1,828

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

5.375% 5/1/15 (FSA Insured)

175

189

5.375% 5/1/15 (Pre-Refunded to 5/1/12 @ 100) (e)

1,190

1,295

5.375% 5/1/16 (FSA Insured)

185

200

5.375% 5/1/16 (Pre-Refunded to 5/1/12 @ 100) (e)

1,240

1,349

5.375% 5/1/17 (FSA Insured)

195

210

5.375% 5/1/17 (Pre-Refunded to 5/1/12 @ 100) (e)

1,295

1,409

Birdville Independent School District:

0% 2/15/12

4,150

3,363

5% 2/15/10

1,200

1,254

Boerne Independent School District 5.25% 2/1/35

1,300

1,382

Bryan Wtrwks. & Swr. Sys. Rev. 5.5% 7/1/11 (FSA Insured)

1,500

1,620

Cedar Hill Independent School District 0% 8/15/07

1,270

1,230

Clint Independent School District 5.5% 8/15/18

1,000

1,093

Corpus Christi Gen. Oblig. 5% 3/1/10 (AMBAC Insured)

1,565

1,636

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

Corpus Christi Util. Sys. Rev. 5.25% 7/15/16 (FSA Insured)

$ 3,000

$ 3,337

Cypress-Fairbanks Independent School District:

Series A, 0% 2/15/16

3,640

2,471

5.75% 2/15/17 (Pre-Refunded to 2/15/12
@ 100) (e)

1,500

1,654

Dallas County Gen. Oblig. Series A, 0% 8/15/07

3,605

3,496

Dallas Independent School District Series 2005, 5.25% 8/15/11

2,000

2,145

Del Valle Independent School District:

5% 2/1/15

2,015

2,168

5% 2/1/16

2,195

2,353

5.5% 2/1/10

1,275

1,351

5.5% 2/1/11

1,350

1,451

Denton County Gen. Oblig. 5% 7/15/14 (FSA Insured)

3,570

3,835

El Paso Independent School District 5% 8/15/15

2,160

2,353

Fort Worth Independent School District 5% 2/15/12

1,500

1,598

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

2,000

2,110

Gainesville Independent School District 5.25% 2/15/36

1,000

1,077

Garland Independent School District:

Series A, 5% 2/15/10

1,000

1,045

5.5% 2/15/12

2,180

2,312

Garland Wtr. & Swr. Rev. 5.25% 3/1/20 (AMBAC Insured)

1,170

1,259

Harlandale Independent School District:

5.5% 8/15/35

15

16

5.5% 8/15/35 (Pre-Refunded to 8/15/10 @ 100) (e)

1,385

1,481

Harris County Gen. Oblig.:

(Toll Road Proj.) 0% 10/1/14 (MBIA Insured)

8,530

6,182

Series A, 5.25% 8/15/35 (FSA Insured)

4,600

4,837

0% 10/1/16 (MBIA Insured)

6,180

4,096

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

5.625% 2/15/14 (Pre-Refunded to 8/15/11
@ 100) (e)

2,500

2,719

5.625% 2/15/15 (Pre-Refunded to 8/15/11
@ 100) (e)

2,680

2,915

Houston Area Wtr. Corp. Contract Rev. (Northeast Wtr. Purification Proj.):

5.5% 3/1/15 (FGIC Insured)

1,000

1,090

5.5% 3/1/18 (FGIC Insured)

1,140

1,236

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

$ 3,337

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

3,900

4,132

Houston Gen. Oblig. Series A, 5.25% 3/1/13

250

260

Houston Independent School District:

Series A, 0% 8/15/11

13,740

11,376

0% 8/15/10 (AMBAC Insured)

2,200

1,901

0% 8/15/15

2,000

1,388

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

0% 12/1/10 (AMBAC Insured)

2,600

2,221

0% 12/1/11 (AMBAC Insured)

8,250

6,770

Humble Independent School District:

0% 2/15/10

2,320

2,043

0% 2/15/16

1,250

852

0% 2/15/17

1,400

912

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

2,550

2,517

Keller Independent School District:

Series 1996 A, 0% 8/15/17

1,020

646

Series A, 0% 8/15/12

1,590

1,262

Klein Independent School District Series A:

5% 8/1/13

1,455

1,568

5% 8/1/14

5,110

5,539

La Joya Independent School District 5.75% 2/15/17 (Pre-Refunded to 2/15/10 @ 100) (e)

2,200

2,351

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

305

312

Laredo Gen. Oblig. 5.125% 8/15/11 (FGIC Insured)

2,225

2,316

Lewisville Independent School District 0% 8/15/08

5,000

4,688

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

615

566

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

2,405

2,592

Lubbock Health Facilities Dev. Corp. Rev. (Carillon, Inc. Proj.) Series A, 6.5% 7/1/29 (Pre-Refunded to 7/1/09 @ 102) (e)

5,475

5,992

Mansfield Independent School District:

5.5% 2/15/13

230

247

5.5% 2/15/13 (Pre-Refunded to 2/15/11 @ 100) (e)

1,345

1,448

5.5% 2/15/14

330

354

5.5% 2/15/14 (Pre-Refunded to 2/15/11 @ 100) (e)

1,950

2,099

5.5% 2/15/15

2,270

2,469

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

Mansfield Independent School District: - continued

5.5% 2/15/16

$ 3,450

$ 3,752

5.5% 2/15/18

145

155

5.5% 2/15/18 (Pre-Refunded to 2/15/11 @ 100) (e)

855

920

5.5% 2/15/19

2,530

2,714

McLennan County Jr. College District 5% 8/15/17 (FSA Insured)

1,235

1,324

Mesquite Independent School District:

3.65%, tender 12/1/08 (Liquidity Facility JPMorgan Chase Bank) (c)

2,700

2,700

5.375% 8/15/11

430

443

Midway Independent School District 0% 8/15/19

1,400

804

Montgomery County Gen. Oblig. Series A:

5.625% 3/1/19 (FSA Insured)

520

568

5.625% 3/1/19 (Pre-Refunded to 3/1/12 @ 100) (e)

3,480

3,820

Mount Pleasant Independent School District 5.5% 2/15/17 (Pre-Refunded to 8/15/11 @ 100) (e)

1,010

1,095

Navasota Independent School District:

5.25% 8/15/34 (FGIC Insured)

1,000

1,073

5.5% 8/15/26 (FGIC Insured)

1,225

1,355

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

1,135

1,217

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

2,520

2,854

Northside Independent School District:

Series A, 5.25% 2/15/17

2,975

3,194

5.5% 2/15/13

1,090

1,171

5.5% 2/15/13 (Pre-Refunded to 2/15/11 @ 100) (e)

1,220

1,313

5.5% 2/15/16 (Pre-Refunded to 2/15/11 @ 100) (e)

530

571

Pearland Independent School District Series A, 5.875% 2/15/19 (Pre-Refunded to 2/15/11 @ 100) (e)

1,000

1,091

Pflugerville Independent School District:

5.75% 8/15/14 (Pre-Refunded to 8/15/10 @ 100) (e)

1,000

1,078

5.75% 8/15/17 (Pre-Refunded to 8/15/10
@ 100) (e)

500

539

Red River Ed. Fin. Corp. Ed. Rev. (Hockaday School Proj.) 5.75% 5/15/19 (Pre-Refunded to 5/15/10
@ 100) (e)

1,210

1,299

Rockwall Independent School District:

5.375% 2/15/17

20

22

5.375% 2/15/17 (Pre-Refunded to 2/15/12
@ 100) (e)

1,025

1,112

5.375% 2/15/18

25

27

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

Rockwall Independent School District: - continued

5.375% 2/15/18 (Pre-Refunded to 2/15/12
@ 100) (e)

$ 1,345

$ 1,459

5.625% 2/15/11

3,865

4,177

Round Rock Independent School District:

Series 2001 A:

5.5% 8/1/13 (Pre-Refunded to 8/1/11 @ 100) (e)

1,940

2,103

5.5% 8/1/15 (Pre-Refunded to 8/1/11 @ 100) (e)

1,510

1,637

5.375% 8/1/15 (Pre-Refunded to 8/1/12 @ 100) (e)

1,000

1,091

5.375% 8/1/17 (Pre-Refunded to 8/1/12 @ 100) (e)

1,050

1,146

San Antonio Elec. & Gas Sys. Rev.:

3.55%, tender 12/1/07 (c)

7,300

7,296

5.375% 2/1/17

3,495

3,767

5.375% 2/1/17 (Pre-Refunded to 2/1/12 @ 100) (e)

2,505

2,710

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

1,410

1,492

San Antonio Muni. Drainage Util. Sys. Rev.:

5.25% 2/1/13 (MBIA Insured)

1,740

1,892

5.25% 2/1/14 (MBIA Insured)

1,835

2,012

San Antonio Wtr. Sys. Rev. 5.875% 5/15/17
(Pre-Refunded to 11/15/09 @ 100) (e)

1,000

1,068

San Marcos Consolidated Independent School District:

5% 8/1/16

1,190

1,281

5.25% 8/1/21

3,650

3,972

5.625% 8/1/26

1,000

1,121

Snyder Independent School District 5.25% 2/15/26 (AMBAC Insured)

1,350

1,462

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

2,905

3,189

Spring Branch Independent School District:

Series 2001, 5.375% 2/1/14

2,700

2,890

5.375% 2/1/18

1,400

1,497

Spring Independent School District 0% 2/15/07

5,900

5,823

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

1,250

1,287

Texas Gen. Oblig. (College Student Ln. Prog.):

5.25% 8/1/09 (d)

6,885

7,146

5.375% 8/1/10 (d)

1,900

2,001

Texas Muni. Pwr. Agcy. Rev. 0% 9/1/16 (MBIA Insured)

2,200

1,460

Texas Pub. Fin. Auth. Rev.:

(Bldg. and Procurement Commission Proj.) Series A, 5% 2/1/10 (AMBAC Insured)

1,000

1,044

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

Texas Pub. Fin. Auth. Rev.: - continued

(Stephen F. Austin State Univ. Proj.) 5% 10/15/14 (MBIA Insured)

$ 1,300

$ 1,409

Texas State Univ. Sys. Fing. Rev.:

5% 3/15/12 (FSA Insured)

2,000

2,131

5% 3/15/16 (FSA Insured)

4,565

4,920

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

10,110

11,076

Texas Wtr. Dev. Board Rev.:

Series A, 5.5% 7/15/21

1,700

1,782

Series B, 5.625% 7/15/21

2,010

2,130

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

4,345

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

4,080

4,168

Waxahachie Independent School District:

0% 8/15/14

1,460

1,060

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

4,780

2,134

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

3,860

1,610

White Settlement Independent School District 5.75% 8/15/34

1,250

1,373

Williamson County Gen. Oblig.:

5.5% 2/15/19 (FSA Insured)

35

38

5.5% 2/15/19 (Pre-Refunded to 2/15/12 @ 100) (e)

1,400

1,527

Ysleta Independent School District 0% 8/15/11

1,100

911

311,916

Utah - 0.4%

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

370

383

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

5,000

5,407

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

2,740

2,875

8,665

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Vermont - 0.2%

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

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

$ 2,800

$ 3,060

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

1,200

1,297

4,357

Virginia - 0.4%

Amelia County Indl. Dev. Auth. Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 4.05%, tender 4/1/08 (c)(d)

1,700

1,689

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

2,750

2,846

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

5.75% 5/1/07 (d)

1,380

1,388

5.85% 5/1/08 (d)

1,370

1,387

7,310

Washington - 7.4%

Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A:

0% 6/1/17 (MBIA Insured)

2,800

1,781

0% 6/1/24 (MBIA Insured)

1,525

687

0% 6/1/29 (MBIA Insured)

5,600

1,981

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

1,000

1,063

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

1,300

1,414

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

Series B:

5.25% 1/1/10 (FSA Insured)

1,630

1,713

5.25% 1/1/11 (FSA Insured)

1,715

1,823

5% 1/1/09 (MBIA Insured)

1,265

1,304

5% 1/1/10 (MBIA Insured)

2,000

2,087

Clark County School District #114, Evergreen 5.375% 12/1/14 (FSA Insured)

2,000

2,175

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

3,000

1,703

Cowlitz County Gen. Oblig. 5.5% 11/1/11
(Pre-Refunded to 11/1/09 @ 100) (e)

460

486

Energy Northwest Elec. Rev. (#1 Proj.):

Series 2006 A, 5% 7/1/13

5,000

5,369

Series B, 6% 7/1/17 (MBIA Insured)

4,000

4,454

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Washington - continued

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

$ 2,000

$ 2,183

Grant County Pub. Util. District #2 Wanapum Hydro Elec. Rev.:

Second Series B, 5.25% 1/1/14 (MBIA Insured) (d)

1,235

1,294

Series B, 5.25% 1/1/16 (FGIC Insured) (d)

1,000

1,075

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

1,000

1,066

King County Swr. Rev. Series B:

5.5% 1/1/15 (FSA Insured)

7,245

7,855

5.5% 1/1/17 (FSA Insured)

2,565

2,775

5.5% 1/1/18 (FSA Insured)

3,010

3,252

Port of Seattle Rev.:

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

6,225

6,375

Series B:

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

3,185

3,231

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

3,750

3,879

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

4.5% 12/1/07 (FGIC Insured)

1,705

1,722

4.5% 12/1/09 (FGIC Insured)

855

876

Snohomish County School District #4, Lake Stevens 5.125% 12/1/17 (FGIC Insured)

2,000

2,185

Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev.:

5.75% 12/1/18 (MBIA Insured)

1,000

1,115

5.75% 12/1/20 (MBIA Insured)

1,000

1,113

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

0% 12/1/11 (FGIC Insured)

6,415

5,275

0% 12/1/12 (FGIC Insured)

6,830

5,387

Washington Gen. Oblig.:

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

2,025

1,614

Series 2001 C, 5.25% 1/1/16

3,000

3,194

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

2,200

2,333

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

3,440

1,988

Washington Health Care Facilities Auth. Rev.:

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

3,065

3,309

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

3,000

3,131

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Washington - continued

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

$ 9,500

$ 9,787

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

3,500

3,647

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

Series B:

0% 7/1/07

15,130

14,734

0% 7/1/10

16,000

13,842

0% 7/1/10

2,250

1,947

0% 7/1/12 (MBIA Insured)

4,000

3,174

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

7,040

7,493

Whatcom County School District #501 Gen. Oblig.:

5% 6/1/14 (FSA Insured)

2,245

2,430

5% 12/1/14 (FSA Insured)

3,245

3,521

154,842

West Virginia - 0.0%

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

1,100

715

Wisconsin - 0.9%

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

2,200

2,354

Evansville Cmnty. School District 5% 4/1/16 (FSA Insured)

1,460

1,591

Fond Du Lac School District 5.75% 4/1/12
(Pre-Refunded to 4/1/10 @ 100) (e)

1,000

1,072

Menasha Joint School District:

5.5% 3/1/19 (e)

970

1,060

5.5% 3/1/19 (FSA Insured)

60

65

Wisconsin Gen. Oblig.:

Series 1, 5% 5/1/11 (MBIA Insured)

2,500

2,651

Series D, 5.4% 5/1/20 (Pre-Refunded to 5/1/11
@ 100) (e)

1,000

1,073

Wisconsin Health & Edl. Facilities Auth. Rev.:

(Marshfield Clinic Proj.) Series 2006 A, 5% 2/15/14

850

887

(Wheaton Franciscan Svcs., Inc. Proj.):

Series A, 5.5% 8/15/14

1,775

1,907

5.75% 8/15/12

1,760

1,930

6% 8/15/14

1,000

1,107

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Wisconsin - continued

Wisconsin Health & Edl. Facilities Auth. Rev.: - continued

(Wheaton Franciscan Svcs., Inc. Proj.):

6% 8/15/16

$ 1,000

$ 1,104

6.25% 8/15/22

1,600

1,781

18,582

TOTAL INVESTMENT PORTFOLIO - 98.7%

(Cost $2,013,824)

2,055,037

NET OTHER ASSETS - 1.3%

27,118

NET ASSETS - 100%

$ 2,082,155

Swap Agreements

Expiration Date

Notional Amount (000s)

Value
(000s)

Interest Rate Swaps

Receive quarterly a fixed rate equal to 3.779% and pay quarterly a floating rate based on the BMA Municipal Swap Index

May 2010

$ 23,000

$ 203

Receive quarterly a fixed rate equal to 3.859% and pay quarterly a floating rate based on the BMA Municipal Swap Index

May 2010

23,000

252

Receive quarterly a floating rate based on BMA Municipal Swap Index and pay quarterly a fixed rate equal to 4.391% to Citibank

May 2027

5,000

(231)

Receive quarterly a floating rate based on BMA Municipal Swap Index and pay quarterly a fixed rate equal to 4.498% with Merrill Lynch, Inc.

May 2027

5,000

(295)

$ 56,000

$ (71)

Legend

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

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

(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.

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

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Municipal Cash Central Fund

$ 71

Income Tax Information

At September 30, 2006, the aggregate cost of investment securities for income tax purposes was $2,013,442,000. Net unrealized appreciation aggregated $41,595,000, of which $45,890,000 related to appreciated investment securities and $4,295,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Swaps are marked-to-market daily based on dealer-supplied valuations. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Advisor Intermediate
Municipal Income Fund
Class A
Class T
Class B
Class C
Institutional Class

September 30, 2006

1.832282.100

ALIM-QTLY-1106

Investments September 30, 2006 (Unaudited)

Showing Percentage of Net Assets

Municipal Bonds - 98.7%

Principal Amount (000s)

Value
(000s)

Alabama - 0.9%

Birmingham Baptist Med. Ctrs. Spl. Care Facilities Fing. Auth. Rev. (Baptist Health Sys., Inc. Proj.) Series A, 5% 11/15/09

$ 1,200

$ 1,231

Health Care Auth. for Baptist Health Series 2006 D, 5% 11/15/10

1,295

1,346

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

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

1,700

1,725

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

3,055

3,150

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

3,865

4,067

Jefferson County Ltd. Oblig. School Warrants Series A:

5.25% 1/1/15

2,000

2,161

5.5% 1/1/22

1,100

1,192

Jefferson County Swr. Rev. Series A:

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

2,920

3,039

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

1,645

1,750

19,661

Alaska - 0.2%

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

2,935

3,134

Arizona - 0.3%

Arizona School Facilities Board Ctfs. of Prtn. Series C, 5% 9/1/09 (FSA Insured)

1,100

1,144

Tucson Wtr. Rev. Series A, 5% 7/1/11 (FGIC Insured)

1,500

1,585

Univ. of Arizona Univ. Revs. Series 2005 A, 5% 6/1/16 (AMBAC Insured)

1,585

1,725

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

1,100

1,155

5,609

California - 14.0%

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

1,400

1,556

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

5.25% 12/1/16 (FGIC Insured)

5,000

5,466

5.25% 12/1/18 (FGIC Insured)

5,000

5,438

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

5.25% 5/1/12 (MBIA Insured)

4,000

4,339

5.5% 5/1/15 (AMBAC Insured)

2,600

2,860

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

California - continued

California Econ. Recovery:

Series 2004 A:

5.25% 7/1/12

$ 1,210

$ 1,313

5.25% 7/1/13

7,000

7,660

Series A:

5% 7/1/15

15,200

16,466

5% 7/1/15 (MBIA Insured)

6,100

6,629

5.25% 1/1/11

700

746

5.25% 7/1/13 (MBIA Insured)

10,300

11,309

5.25% 7/1/14

15,400

16,993

5.25% 7/1/14 (FGIC Insured)

9,700

10,738

California Gen. Oblig.:

4.5% 2/1/09

2,800

2,861

5% 2/1/11

2,650

2,796

5% 3/1/15

3,000

3,255

5.25% 2/1/11

4,000

4,260

5.25% 3/1/12

2,210

2,381

5.25% 2/1/15

5,000

5,460

5.25% 2/1/16

8,500

9,277

5.25% 4/1/27

1,000

1,072

5.25% 2/1/28

3,400

3,618

5.25% 11/1/29

1,200

1,277

5.25% 2/1/33

6,100

6,418

5.25% 12/1/33

6,755

7,192

5.25% 4/1/34

6,600

7,020

5.5% 3/1/11

8,500

9,149

5.5% 4/1/13 (AMBAC Insured)

1,000

1,109

5.5% 4/1/30

10,515

11,520

5.5% 4/1/30 (Pre-Refunded to 4/1/14 @ 100) (e)

1,285

1,443

5.5% 11/1/33

21,355

23,243

5.625% 5/1/20

225

241

5.625% 5/1/20 (Pre-Refunded to 5/1/10 @ 101) (e)

775

836

5.75% 10/1/10

2,200

2,378

California Health Facilities Fing. Auth. Rev. (Catholic Healthcare West Proj.) Series I, 4.95%, tender 7/1/14 (c)

3,000

3,149

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

19,346

9,981

California Pub. Works Board Lease Rev.:

(Coalinga State Hosp. Proj.) Series 2004 A, 5.5% 6/1/16

5,600

6,200

Series 2005 A, 5.25% 6/1/30

4,300

4,573

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

California - continued

California Pub. Works Board Lease Rev.: - continued

Series 2005 K, 5% 11/1/16

$ 7,195

$ 7,783

California Statewide Cmntys. Dev. Auth. Rev.:

(Kaiser Fund Hosp./Health Place, Inc. Proj.) Series 2002 C, 3.85%, tender 6/1/12 (c)

1,300

1,297

(Kaiser Permanente Health Sys. Proj.):

Series 2001 A, 2.55%, tender 1/4/07 (c)

1,600

1,596

Series 2004 G, 2.3%, tender 5/1/07 (c)

4,000

3,970

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

2,290

2,508

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

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

1,900

1,945

0% 1/15/27 (a)

1,000

905

5% 1/15/16 (MBIA Insured)

1,000

1,055

5.75% 1/15/40

1,600

1,664

Golden State Tobacco Securitization Corp.:

Series 2003 A1, 6.75% 6/1/39

2,000

2,257

Series 2003 B:

5.75% 6/1/22 (Pre-Refunded to 6/1/08 @ 100) (e)

3,600

3,730

5.75% 6/1/23 (Pre-Refunded to 6/1/08 @ 100) (e)

1,300

1,347

Series B, 5.5% 6/1/43 (Pre-Refunded to 6/1/13
@ 100) (e)

3,000

3,331

Los Angeles Cmnty. Redev. Agcy. Lease Rev. (Vermont Manchester Social Services Proj.) 5% 9/1/18 (AMBAC Insured)

1,425

1,538

Los Angeles Dept. Arpt. Rev. Series A, 5.25% 5/15/19 (FGIC Insured)

2,500

2,683

Los Angeles Reg'l. Arpt. Impt. Rev.:

(LAX Fuel Corp. Proj.):

5% 1/1/10 (FSA Insured) (d)

1,660

1,712

5% 1/1/11 (FSA Insured) (d)

1,740

1,811

5% 1/1/12 (FSA Insured) (d)

1,835

1,921

5% 1/1/08 (FSA Insured) (d)

1,510

1,535

Los Angeles Unified School District:

Series A, 5.375% 7/1/17 (MBIA Insured)

3,190

3,512

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

4,000

4,320

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

2,680

3,034

North City West School Facilities Fing. Auth. Spl. Tax:

Series C, 5% 9/1/09 (AMBAC Insured)

1,180

1,231

Subseries C, 5% 9/1/12 (AMBAC Insured)

2,140

2,304

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

California - continued

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

$ 2,000

$ 2,186

San Diego County Ctfs. of Prtn.:

5% 10/1/08

1,470

1,507

5.25% 10/1/10

1,620

1,712

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

1,340

1,420

San Joaquin Hills Trans. Corridor Agcy. Toll Road Rev. Series A, 0% 1/15/12 (MBIA Insured)

3,620

2,974

291,010

Colorado - 1.3%

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

5,000

4,000

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

2,575

2,809

Colorado Ctfs. of Prtn. (UCDHSC Fitzsimons Academic Proj.) Series B, 5% 11/1/17 (MBIA Insured)

1,000

1,079

Colorado Health Facilities Auth. Rev.:

(Longmont Hosp. Proj.) Series B, 5.25% 12/1/16 (Radian Asset Assurance Ltd. Insured)

1,990

2,180

Series 2001, 6.625% 11/15/26 (Pre-Refunded to 11/15/11 @ 101) (e)

2,550

2,927

Dawson Ridge Metropolitan District #1 Series 1992 A, 0% 10/1/17 (Escrowed to Maturity) (e)

3,475

2,182

Denver City & County Arpt. Rev. Series D, 0% 11/15/06 (d)

4,500

4,479

Douglas and Elbert Counties School District #RE1:

5.75% 12/15/20 (FGIC Insured)

1,000

1,134

5.75% 12/15/22 (FGIC Insured)

1,000

1,130

E-470 Pub. Hwy. Auth. Rev.:

Series 2000 A, 5.75% 9/1/29 (MBIA Insured)

3,200

3,490

Series B, 0% 9/1/15 (MBIA Insured)

1,400

971

26,381

District Of Columbia - 0.9%

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

2,121

District of Columbia Gen. Oblig.:

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

2,260

2,388

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

District Of Columbia - continued

District of Columbia Gen. Oblig.: - continued

Series A:

5.25% 6/1/10 (FSA Insured)

$ 1,000

$ 1,055

5.25% 6/1/10 (MBIA Insured)

1,980

2,051

Series B, 0% 6/1/12 (MBIA Insured)

3,400

2,702

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

1,300

1,386

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

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

3,475

3,615

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

2,780

2,889

18,207

Florida - 4.1%

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

720

746

Broward County School Board Ctfs. of Prtn. 5.25% 7/1/20 (MBIA Insured)

1,000

1,074

Clay County School Board Ctfs. of Prtn. Series B, 5% 7/1/16 (MBIA Insured)

1,385

1,492

Flagler County School Board Ctfs. Series A, 5% 8/1/16 (FSA Insured)

2,105

2,267

Florida Correctional Privatization Communications Ctfs. of Prtn. Series A, 5% 8/1/15 (AMBAC Insured)

2,690

2,892

Florida Dept. of Trans. Rev. Series 2005 A, 5% 7/1/16

3,465

3,732

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

Series A, 4% 11/15/06

1,000

1,000

Series B, 5% 11/15/17

1,200

1,266

3.95%, tender 9/1/12 (c)

7,550

7,522

5%, tender 11/16/09 (c)

5,000

5,164

5.25% 11/15/11

3,735

3,858

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

18,000

17,979

Lee County Solid Waste Sys. Rev. 5.25% 10/1/09 (MBIA Insured) (d)

1,000

1,040

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

1,495

1,619

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

1,400

1,474

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Florida - continued

Orange County School Board Ctfs. of Prtn. Series A:

0% 8/1/13 (MBIA Insured)

$ 2,365

$ 1,804

5.375% 8/1/22 (Pre-Refunded to 8/1/07 @ 101) (e)

4,530

4,642

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

3,535

3,802

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

2,000

2,122

Reedy Creek Impt. District Utils. Rev. Series 2, 5.25% 10/1/12 (MBIA Insured)

15,125

16,459

Saint Lucie County School Board Ctfs. of Prtn. 5% 7/1/17 (FSA Insured)

1,410

1,510

Seminole County School Board Ctfs. of Prtn. Series A, 5% 7/1/12 (MBIA Insured)

1,020

1,091

Volusia County School Board Ctfs. of Prtn. (School Board of Volusia County Master Lease Prog.) 5% 8/1/08 (FSA Insured)

1,700

1,740

86,295

Georgia - 1.3%

Atlanta Arpt. Rev.:

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

1,620

1,685

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

4,000

4,287

Series F, 5.25% 1/1/13 (FSA Insured) (d)

1,200

1,288

Augusta Wtr. & Swr. Rev. 5.25% 10/1/39 (FSA Insured)

3,570

3,857

Coweta County Dev. Auth. Rev. (Newman Wtr. Swr. & Lt. Common Proj.) 5.75% 1/1/16 (Pre-Refunded to 1/1/10 @ 101) (e)

1,440

1,549

Fulton DeKalb Hosp. Auth. Hosp. Rev.:

5% 1/1/07 (FSA Insured)

1,000

1,003

5% 1/1/10 (FSA Insured)

3,370

3,517

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

2,880

3,122

Georgia Muni. Elec. Auth. Pwr. Rev.:

Series 1992 B, 8.25% 1/1/11 (MBIA Insured)

4,025

4,737

Series 2005 V:

6.6% 1/1/18 (e)

35

42

6.6% 1/1/18 (MBIA Insured)

1,550

1,842

Savannah Econ. Dev. Auth. Rev. (Southern Care Corp. Proj.) Series C, 0% 12/1/21 (Escrowed to Maturity) (e)

1,645

845

27,774

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Hawaii - 0.2%

Hawaii Arpt. Sys. Rev. Series 2000 B, 8% 7/1/10 (FGIC Insured) (d)

$ 3,700

$ 4,230

Illinois - 9.5%

Chicago Board of Ed.:

(Westinghouse High School Proj.) Series C:

5.25% 12/1/15 (MBIA Insured)

2,150

2,380

5.5% 12/1/23 (MBIA Insured)

1,000

1,115

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

1,150

792

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

1,000

659

Chicago Gen. Oblig.:

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

4,100

2,800

Series 2004 A, 5.25% 1/1/29 (FSA Insured)

1,100

1,174

Series A:

5.25% 1/1/22 (MBIA Insured)

1,000

1,071

5.25% 1/1/33 (MBIA Insured)

2,930

3,075

5.25% 1/1/33 (Pre-Refunded to 1/1/11 @ 101) (e)

70

75

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

1,305

1,425

5.25% 1/1/11 (FSA Insured)

2,070

2,201

Chicago Midway Arpt. Rev.:

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

1,250

1,271

Series B:

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

2,000

2,030

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

2,740

2,781

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

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

10,000

10,589

Series A:

5% 1/1/12 (MBIA Insured)

1,100

1,168

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

1,350

1,419

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

8,815

9,042

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

4,400

4,561

Chicago Park District Series A:

5.25% 1/1/21 (FGIC Insured)

1,765

1,900

5.5% 1/1/18 (FGIC Insured)

370

394

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

2,200

2,391

Chicago Spl. Trans. Rev.:

Series 2001, 5.5% 1/1/17 (Escrowed to Maturity) (e)

1,000

1,071

5.5% 1/1/12 (Escrowed to Maturity) (e)

1,470

1,589

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

0% 12/1/13 (Escrowed to Maturity) (e)

2,500

1,900

0% 12/1/18 (Escrowed to Maturity) (e)

3,900

2,370

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Illinois - continued

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

$ 3,275

$ 2,796

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

4,275

3,506

DuPage County Forest Preserve District Rev.:

0% 11/1/09

4,000

3,565

0% 11/1/17

2,700

1,695

Granite City Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 3.85%, tender 5/1/08 (c)(d)

2,200

2,179

Grundy, Kendall & Will County Cmnty. High School District #111 Gen. Oblig. 5.5% 5/1/13 (FGIC Insured)

1,000

1,104

Hodgkins Tax Increment Rev. 5% 1/1/12

1,095

1,139

Illinois Dedicated Tax Rev. Series B, 0% 12/15/18 (AMBAC Insured)

1,800

1,071

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

1,505

1,676

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

2,500

2,511

Illinois Edl. Facilities Auth. Revs.:

(Northwestern Univ. Proj.) 5% 12/1/38

2,600

2,700

(Univ. of Chicago Proj.):

Series 2004 B1, 3.45%, tender 7/1/08 (c)

5,600

5,582

Series A, 5.25% 7/1/41 (Pre-Refunded to 7/1/11 @ 101) (e)

2,490

2,687

Series B:

3.1%, tender 7/1/07 (c)(e)

5

5

3.1%, tender 7/1/07 (c)

3,595

3,582

Illinois Fin. Auth. Gas Supply Rev. (Peoples Gas Lt. and Coke Co. Proj.) Series A, 4.3%, tender 6/1/16 (AMBAC Insured) (c)

1,400

1,434

Illinois Fin. Auth. Rev. (DePaul Univ. Proj.):

5% 10/1/09

1,000

1,035

5% 10/1/10

1,235

1,290

5% 10/1/18 (XL Cap. Assurance, Inc. Insured)

2,815

2,995

Illinois Gen. Oblig.:

First Series:

5.25% 12/1/17 (FSA Insured)

1,000

1,083

5.375% 7/1/15 (MBIA Insured)

1,300

1,414

5.5% 8/1/10

1,400

1,494

5.5% 4/1/16 (FSA Insured)

1,000

1,094

5.5% 2/1/18 (FGIC Insured)

1,000

1,086

5.5% 8/1/19 (MBIA Insured)

1,250

1,362

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Illinois - continued

Illinois Gen. Oblig.: - continued

5.5% 4/1/17 (MBIA Insured)

$ 2,600

$ 2,749

5.6% 4/1/21 (MBIA Insured)

2,800

2,963

Illinois Health Facilities Auth. Rev.:

(Condell Med. Ctr. Proj.):

5% 5/15/09

1,040

1,060

7% 5/15/22

5,000

5,472

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

2,600

2,767

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

2,755

3,114

Illinois Sales Tax Rev.:

Series W, 5% 6/15/13

3,430

3,467

6% 6/15/20

1,600

1,724

Illinois Toll Hwy. Auth. Toll Hwy. Rev. Series 2006 A2, 5% 1/1/31 (FSA Insured)

7,600

8,013

Kane & DeKalb Counties Cmnty. Unit School District #302 5.8% 2/1/22 (FGIC Insured)

1,500

1,681

Kane County School District #129, Aurora West Side Series A, 5.75% 2/1/15 (Pre-Refunded to 2/1/12
@ 100) (e)

2,580

2,848

Kane, McHenry, Cook & DeKalb Counties Cmnty. Unit School District #300, Carpentersville 0% 12/1/18 (AMBAC Insured)

4,555

2,715

Lake County Cmnty. High School District #117, Antioch Series B, 0% 12/1/20 (FGIC Insured)

5,300

2,874

Lake County Cmnty. Unit School District #60 Waukegan:

Series C:

0% 12/1/13 (FSA Insured)

5,590

4,204

0% 12/1/14 (FSA Insured)

5,180

3,732

0% 12/1/15 (FSA Insured)

3,810

2,625

Series D:

0% 12/1/09 (FSA Insured)

3,480

3,092

0% 12/1/10 (FSA Insured)

3,380

2,886

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

2,370

2,694

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

(McCormick Place Expansion Proj.):

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

7,100

7,784

Series A:

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

7,780

6,531

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Illinois - continued

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

(McCormick Place Expansion Proj.):

Series A:

0% 6/15/16 (FGIC Insured)

$ 2,050

$ 1,378

0% 6/15/17 (FGIC Insured)

3,240

2,075

0% 6/15/20 (FGIC Insured)

1,400

774

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

4,135

3,039

Univ. of Illinois Auxiliary Facilities Sys. Rev. (UIC South Campus Dev. Proj.) 5.75% 1/15/19 (Pre-Refunded to 1/15/10 @ 100) (e)

1,000

1,068

Univ. of Illinois Ctfs. of Prtn. (Util. Infrastructure Proj.) 5% 8/15/11 (AMBAC Insured)

1,300

1,376

Will County Cmnty. Unit School District #365, Valley View 0% 11/1/17 (FSA Insured)

1,300

818

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

1,000

720

197,571

Indiana - 4.9%

Anderson School Bldg. Corp.:

5% 7/15/17 (AMBAC Insured)

1,150

1,243

5.5% 7/15/22 (Pre-Refunded to 7/15/14 @ 100) (e)

2,210

2,483

5.5% 7/15/23 (Pre-Refunded to 7/15/14 @ 100) (e)

1,000

1,124

Avon 2000 Cmnty. School Bldg. Corp. 5% 1/15/18 (FSA Insured)

1,475

1,589

Brownsburg 1999 School Bldg. Corp. Series B, 5% 1/15/15 (FSA Insured)

1,805

1,959

Carmel High School Bldg. Corp.:

5% 7/10/13 (FSA Insured)

1,145

1,233

5% 1/10/14 (FSA Insured)

1,180

1,273

5% 7/10/14 (FSA Insured)

1,215

1,316

5% 7/10/16 (FSA Insured)

1,180

1,267

Clark-Pleasant 2004 School Bldg. Corp. 5.25% 7/15/21 (FSA Insured)

1,405

1,520

Columbus Repair and Renovation School Bldg. Corp.:

5% 7/15/16 (MBIA Insured)

1,640

1,781

5% 7/15/17 (MBIA Insured)

1,720

1,859

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

6,850

4,230

East Allen Woodlan School Bldg. Corp.:

5% 1/15/11 (MBIA Insured)

1,030

1,086

5% 1/15/12 (MBIA Insured)

1,295

1,378

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Indiana - continued

Franklin Township Independent School Bldg. Corp., Marion County 5% 7/15/15 (MBIA Insured)

$ 1,700

$ 1,852

GCS School Bldg. Corp. One:

5% 7/15/16 (FSA Insured)

1,170

1,261

5.5% 7/15/12 (FSA Insured)

1,280

1,402

Goshen Multi-School Bldg. Corp. 5% 1/15/13 (MBIA Insured)

1,755

1,882

Hamilton Heights School Bldg. Corp.:

5.25% 7/15/15 (FSA Insured)

1,010

1,115

5.25% 7/15/16 (FSA Insured)

2,095

2,325

Hobart Bldg. Corp. 6.5% 1/15/29 (FGIC Insured)

7,680

9,535

Indiana Dev. Fin. Auth. Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 4.7%, tender 10/1/15 (c)(d)

1,250

1,272

Indiana Trans. Fin. Auth. Hwy.:

Series 1993 A:

0% 12/1/17 (AMBAC Insured)

1,470

921

0% 6/1/18 (AMBAC Insured)

1,740

1,063

Series A, 0% 6/1/17 (AMBAC Insured)

3,000

1,924

Indianapolis Local Pub. Impt. Bond Bank (Indianapolis Arpt. Auth. Proj.):

Series 2006 F, 5.25% 1/1/13 (AMBAC Insured) (d)

1,110

1,192

Series I:

5% 1/1/09 (MBIA Insured) (d)

1,600

1,641

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

3,545

3,700

Indianapolis Resource Recovery Rev. (Ogden Martin Sys., Inc. Proj.) 6.75% 12/1/07 (AMBAC Insured)

3,000

3,087

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

5,000

5,437

Ivy Tech State College Series I, 5% 7/1/10 (AMBAC Insured)

1,640

1,721

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

1,090

1,193

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

2,210

2,340

Mooresville School Bldg. Corp. 5% 7/15/16 (XL Cap. Assurance, Inc. Insured)

1,050

1,124

Perry Township Multi-School Bldg. Corp. 5.25% 1/10/14 (FSA Insured)

2,075

2,257

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

9,000

9,625

Portage Township Multi-School Bldg. Corp.:

5.25% 7/15/19 (MBIA Insured)

1,530

1,669

5.25% 7/15/27 (MBIA Insured)

1,310

1,411

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Indiana - continued

Rockport Poll. Cont. Rev.:

(AEP Generating Co. Proj.) Series 1995 A, 4.15%, tender 7/15/11 (AMBAC Insured) (c)

$ 2,000

$ 2,041

4.9%, tender 6/1/07 (c)

5,005

5,027

South Harrison School Bldg. Corp. Series A, 5.5% 7/15/20 (FSA Insured)

2,550

2,846

Southmont School Bldg. Corp.:

5% 1/15/14 (FGIC Insured)

1,690

1,812

5% 7/15/17 (FGIC Insured)

2,000

2,121

Wawasee Cmnty. School Corp. New Elementary and Remodeling Bldg. Corp. 5% 7/15/15 (FSA Insured)

1,455

1,585

Westfield Washington Multi-School Bldg. Corp. Series A, 5% 1/15/12 (FSA Insured)

1,005

1,070

102,792

Iowa - 0.2%

Tobacco Settlement Auth. Tobacco Settlement Rev. 5.3% 6/1/25 (Pre-Refunded to 6/1/11 @ 101) (e)

3,000

3,194

Kansas - 0.5%

Burlington Envir. Impt. Rev. (Kansas City Pwr. & Lt. Co. Proj.) Series A, 4.75%, tender 10/1/07 (c)

2,800

2,828

Kansas Dev. Fin. Auth. Rev.:

(Sisters of Charity of Leavenworth Health Svcs. Corp. Proj.):

5.25% 12/1/10 (MBIA Insured)

2,230

2,307

5.25% 12/1/11 (MBIA Insured)

1,805

1,867

Series II, 5.5% 11/1/19

1,000

1,097

5.5% 11/1/20

1,000

1,098

Topeka Combined Util. Impt. Rev. Series 2005 A, 6% 8/1/23 (XL Cap. Assurance, Inc. Insured)

1,430

1,668

10,865

Kentucky - 0.2%

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

1,645

1,707

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

2,250

2,433

4,140

Louisiana - 0.8%

Caddo Parish School District Series A:

5.25% 3/1/15 (FSA Insured)

1,070

1,180

5.25% 3/1/16 (FSA Insured)

1,290

1,430

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Louisiana - continued

East Baton Rouge Parish Pub. Impt. Sales Tax Rev. Series B, 5% 2/1/12 (AMBAC Insured)

$ 1,000

$ 1,063

Ernest N. Morial-New Orleans Exhibit Hall Auth. Spl. Tax Series A, 5.25% 7/15/11 (AMBAC Insured)

2,700

2,876

Louisiana Offshore Term. Auth. Deepwater Port Rev. (LOOP LLC Proj.) Series 2003 D, 4%, tender 9/1/08 (c)

3,300

3,316

Louisiana State Citizens Property Ins. Corp. Assessment Rev. Series B, 5.25% 6/1/14 (AMBAC Insured)

5,000

5,471

New Orleans Gen. Oblig. 0% 9/1/13 (AMBAC Insured)

1,400

1,050

16,386

Maine - 0.1%

Maine Tpk. Auth. Tpk. Rev. Series 2000, 5.75% 7/1/28 (Pre-Refunded to 7/1/10 @ 101) (e)

2,710

2,942

Maryland - 0.2%

Univ. of Maryland Sys. Auxiliary Facility & Tuition Rev. Series A, 5.125% 4/1/23

3,000

3,179

Massachusetts - 2.7%

Massachusetts Bay Trans. Auth. Series A, 5.75% 7/1/18

260

279

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

6.375% 8/1/14

1,315

1,435

6.375% 8/1/15

2,460

2,684

6.375% 8/1/16

2,570

2,804

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

3,000

3,203

Massachusetts Fed. Hwy. Series 2000 A:

5.75% 6/15/11

4,000

4,321

5.75% 6/15/13

3,000

3,228

Massachusetts Gen. Oblig.:

Series 2001 A, 5.5% 1/1/11

4,000

4,291

Series 2005 C, 5.25% 9/1/23

6,300

6,880

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

2,000

2,168

Series D:

5% 10/1/23 (Pre-Refunded to 10/1/13 @ 100) (e)

1,800

1,941

5.25% 10/1/20 (Pre-Refunded to 10/1/13
@ 100) (e)

5,900

6,451

Massachusetts Port Auth. Spl. Facilities Rev. (Delta Air Lines, Inc. Proj.) Series A:

5.5% 1/1/12 (AMBAC Insured) (d)

1,000

1,058

5.5% 1/1/14 (AMBAC Insured) (d)

1,000

1,058

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Massachusetts - continued

Massachusetts Port Auth. Spl. Facilities Rev. (Delta Air Lines, Inc. Proj.) Series A: - continued

5.5% 1/1/17 (AMBAC Insured) (d)

$ 4,040

$ 4,253

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

4,550

4,806

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

25

26

Springfield Gen. Oblig. 5% 8/1/17 (MBIA Insured)

5,640

6,095

56,981

Michigan - 3.1%

Clarkston Cmnty. Schools 5.375% 5/1/22 (Pre-Refunded to 5/1/13 @ 100) (e)

1,000

1,102

Detroit City School District Series A, 5.5% 5/1/11 (FSA Insured)

3,355

3,623

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

5% 9/30/11 (MBIA Insured)

2,000

2,128

5% 9/30/12 (MBIA Insured)

1,500

1,611

Detroit Gen. Oblig.:

Series A, 5% 4/1/08 (FSA Insured)

6,600

6,731

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

2,305

2,463

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

10,000

10,297

Detroit Wtr. Supply Sys. Rev. 5.25% 7/1/14 (MBIA Insured)

2,600

2,860

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

1,450

1,547

Livonia Pub. School District Series II, 0% 5/1/21 (FGIC Insured) (Pre-Refunded to 5/1/07 @ 39.31) (e)

7,800

3,005

Michigan Ctfs. of Prtn. 5.75% 6/1/17 (Pre-Refunded to 6/1/10 @ 100) (e)

1,000

1,075

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

8,915

9,136

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

(Crittenton Hosp. Proj.) Series A:

5.5% 3/1/16

1,000

1,073

5.5% 3/1/17

1,885

2,023

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

8,000

8,189

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

1,195

1,217

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

1,915

2,057

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Michigan - continued

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

$ 1,500

$ 1,584

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

1,025

1,114

Troy School District 5% 5/1/12 (MBIA Insured)

1,075

1,150

63,985

Minnesota - 0.6%

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

5.25% 12/1/09

1,250

1,298

5.625% 12/1/22

575

620

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

2,445

2,552

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

5,910

6,135

Saint Paul Port Auth. Lease Rev. (HealthEast Midway Campus Proj.) Series 2003 A, 5.25% 5/1/15

1,500

1,525

12,130

Mississippi - 0.4%

Harrison County School District 5% 3/1/16 (AMBAC Insured)

1,660

1,793

Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 4.4%, tender 3/1/11 (c)(d)

1,275

1,280

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

3,800

3,968

Mississippi Hosp. Eq. & Facilities Auth. (South Central Reg'l. Med. Ctr. Proj.) 5% 12/1/11

1,305

1,360

8,401

Missouri - 1.1%

Bi-State Dev. Agcy. Rev. 3.95%, tender 10/1/09, LOC JPMorgan Chase Bank (c)

8,400

8,459

Fenton Tax Increment Rev. (Gravois Bluffs Redev. Proj.) 5% 4/1/13

1,000

1,049

Mehlville School District #R-9, Saint Louis County Ctfs. of Prtn.:

(Missouri Cap. Impt. Projs.) Series 2002, 5.5% 9/1/17 (Pre-Refunded to 9/1/12 @ 100) (e)

1,000

1,101

5% 9/1/16 (FSA Insured)

2,030

2,186

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Missouri - continued

Missouri Dev. Fin. Board Infrastructure Facilities Rev. (City of Branson-Branson Landing Proj.) Series 2005 A, 6% 6/1/20

$ 1,000

$ 1,158

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

2,479

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

2,370

2,563

Saint Louis Muni. Fin. Corp. Leasehold Rev.:

(Civil Courts Bldg. Proj.) Series 2003 A, 5% 8/1/10 (FSA Insured)

2,010

2,111

(Convention Ctr. Proj.) 5.25% 7/15/13 (AMBAC Insured)

1,880

2,052

23,158

Montana - 0.2%

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

4,200

4,310

Nevada - 1.0%

Clark County Arpt. Rev. Series C:

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

1,500

1,600

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

1,100

1,172

Clark County Gen. Oblig. Series 2000, 5.5% 7/1/30 (Pre-Refunded to 7/1/10 @ 100) (e)

1,500

1,602

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

5,735

5,793

Clark County School District:

Series C, 5.375% 6/15/15 (Pre-Refunded to 6/15/12 @ 100) (e)

1,000

1,091

Series F, 5.375% 6/15/11 (FSA Insured)

4,700

5,049

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

2,300

2,480

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

4,140

2,759

21,546

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

New Hampshire - 0.2%

Manchester School Facilities Rev. 5.5% 6/1/20
(Pre-Refunded to 6/1/13 @ 100) (e)

$ 1,150

$ 1,277

New Hampshire Bus. Fin. Auth. Poll. Cont. Rev. (United Illumination Co.) Series A, 3.65%, tender 2/1/10 (AMBAC Insured) (c)(d)

2,400

2,369

3,646

New Jersey - 2.7%

Camden County Impt. Auth. Rev. (Cooper Health Sys. Obligated Group Proj.) Series B, 5.25% 2/15/10

1,925

1,988

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

1,200

1,258

New Jersey Econ. Dev. Auth. Rev.:

Series 2005 O:

5.125% 3/1/28

2,000

2,130

5.25% 3/1/15

3,000

3,295

5.25% 3/1/23

1,500

1,622

5.25% 3/1/26

4,700

5,064

5.25% 3/1/21 (MBIA Insured)

1,200

1,307

5.25% 3/1/25

4,200

4,528

New Jersey Tpk. Auth. Tpk. Rev. Series A, 5% 1/1/25 (FSA Insured)

2,610

2,776

New Jersey Trans. Trust Fund Auth. Series B, 5.25% 12/15/16 (MBIA Insured)

5,000

5,566

Tobacco Settlement Fing. Corp.:

4.375% 6/1/19

4,825

4,822

5.75% 6/1/32

4,755

4,999

6.125% 6/1/24

6,400

6,927

6.375% 6/1/32

2,755

3,021

6.75% 6/1/39

3,735

4,182

Union County Impt. Auth. (Juvenile Detention Ctr. Facility Proj.) 5.5% 5/1/28 (FGIC Insured)

2,000

2,217

55,702

New Mexico - 0.4%

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

1,400

1,429

Farmington Poll. Cont. Rev. Series B, 3.55%, tender 4/1/10 (FGIC Insured) (c)

2,410

2,393

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

New Mexico - continued

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

$ 2,000

$ 2,048

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

2,075

2,103

7,973

New York - 12.6%

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

Series 2003:

5.75% 5/1/16 (FSA Insured)

4,740

5,279

5.75% 5/1/22 (FSA Insured)

2,240

2,448

Series 2004:

5.75% 5/1/17 (FSA Insured)

2,895

3,288

5.75% 5/1/25 (FSA Insured)

1,715

1,926

5.75% 5/1/19 (FSA Insured)

5,590

6,337

5.75% 5/1/22 (FSA Insured)

8,525

9,616

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

5% 6/1/10

2,600

2,717

5% 6/1/11

1,075

1,134

Metropolitan Trans. Auth. Rev.:

Series 2005 C:

5% 11/15/16

1,000

1,090

5.25% 11/15/14

1,000

1,099

Series F, 5.25% 11/15/27 (MBIA Insured)

1,400

1,506

Metropolitan Trans. Auth. Svc. Contract Rev.:

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

2,495

2,497

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

1,600

1,745

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

1,000

1,093

New York City Gen. Oblig.:

Series 1997 H, 6% 8/1/12 (FGIC Insured)

1,700

1,909

Series 2000 A, 6.5% 5/15/11

365

402

Series 2002 C, 5.5% 8/1/13

2,000

2,191

Series 2003 I, 5.75% 3/1/16 (Pre-Refunded to 3/1/13 @ 100) (e)

2,100

2,360

Series 2005 G, 5% 8/1/14

6,500

7,001

Series 2005 J, 5% 3/1/12

3,020

3,211

Series 2005 K, 5% 8/1/11

6,000

6,344

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

600

650

Series C, 5.75% 3/15/27 (Pre-Refunded to 3/15/12 @ 100) (e)

390

432

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

1,000

1,073

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

New York - continued

New York City Gen. Oblig.: - continued

Series J:

5.5% 6/1/19

$ 2,900

$ 3,166

5.875% 2/15/19

10

10

Subseries 2005 F1, 5.25% 9/1/14

3,600

3,941

New York City Indl. Dev. Agcy. Spl. Facilities Rev. (Terminal One Group Assoc. Proj.) 5% 1/1/07 (d)

1,810

1,815

New York Counties Tobacco Trust I Series B, 6.5% 6/1/35 (Pre-Refunded to 6/1/10 @ 101) (e)

6,925

7,683

New York State Dorm. Auth. Revs.:

(City Univ. Sys. Consolidation Proj.):

Series A:

5.75% 7/1/13

3,400

3,696

5.75% 7/1/13 (AMBAC Insured)

1,100

1,199

Series C, 7.5% 7/1/10

4,210

4,532

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

1,200

1,247

(Mental Health Svcs. Proj.) Series D, 5% 2/15/12 (FGIC Insured)

9,000

9,596

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

320

321

(State Univ. Edl. Facilities Proj.) Series A, 5.25% 5/15/15 (MBIA Insured)

5,500

6,045

Series 2003 A, 5% 3/15/09

3,000

3,102

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

4.875% 6/15/18

1,100

1,130

4.875% 6/15/20

2,200

2,258

5% 6/15/15

775

800

New York State Thruway Auth. Gen. Rev. Series 2005 G, 5.25% 1/1/27 (FSA Insured)

5,000

5,457

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

765

832

New York State Urban Dev. Corp. Rev. (Correctional Cap. Facilities Proj.) Series A, 5.25% 1/1/14 (FSA Insured)

1,685

1,818

New York Transitional Fin. Auth. Rev.:

Series A:

5.5% 11/1/26 (b)

4,490

4,861

5.75% 2/15/16

30

32

6% 11/1/28 (b)

40,925

45,204

Series B, 5.25% 2/1/29 (b)

3,800

4,033

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

New York - continued

Tobacco Settlement Fing. Corp.:

Series 2003 C1, 5.5% 6/1/19

$ 4,100

$ 4,469

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

3,745

3,881

Series A1:

5% 6/1/11

1,540

1,541

5.25% 6/1/21 (AMBAC Insured)

2,200

2,365

5.25% 6/1/22 (AMBAC Insured)

3,450

3,704

5.5% 6/1/14

3,200

3,351

5.5% 6/1/15

9,900

10,501

5.5% 6/1/16

16,800

17,819

5.5% 6/1/17

1,900

2,040

Series C1:

5.5% 6/1/14

3,900

4,084

5.5% 6/1/15

4,100

4,349

5.5% 6/1/16

1,600

1,721

5.5% 6/1/17

3,900

4,187

5.5% 6/1/18

5,165

5,592

5.5% 6/1/20

800

870

Triborough Bridge & Tunnel Auth. Revs. Series 2005 A, 5.125% 1/1/22

2,000

2,117

TSASC, Inc. Rev. Series 1, 5.5% 7/15/24 (Pre-Refunded to 7/15/12 @ 100) (e)

7,875

8,480

261,197

New York & New Jersey - 0.6%

Port Auth. of New York & New Jersey:

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

7,220

7,427

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

1,215

1,250

Port Auth. of New York & New Jersey Spl. Oblig. Rev. (JFK Int'l. Air Term. Spl. Proj.) Series 6, 6.25% 12/1/13 (MBIA Insured) (d)

4,100

4,705

13,382

North Carolina - 1.1%

Dare County Ctfs. of Prtn.:

5.25% 6/1/16 (AMBAC Insured)

1,580

1,722

5.25% 6/1/20 (AMBAC Insured)

1,520

1,643

North Carolina Ctfs. of Prtn. (Repair and Renovation Proj.) Series B, 5.25% 6/1/17

1,400

1,528

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

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

900

938

Series A:

5.5% 1/1/11

1,590

1,686

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

North Carolina - continued

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

Series A:

5.75% 1/1/26

$ 1,000

$ 1,057

Series B, 6.125% 1/1/09

2,220

2,324

Series C:

5.25% 1/1/10

2,630

2,735

5.5% 1/1/07

1,000

1,004

Series D:

5.375% 1/1/10

3,360

3,506

6% 1/1/09

2,430

2,487

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

2,500

2,664

23,294

North Dakota - 0.3%

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

3,685

4,022

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

1,140

1,153

5,175

Ohio - 0.5%

Franklin County Hosp. Rev. 5.5% 5/1/21 (Pre-Refunded to 5/1/11 @ 101) (e)

2,000

2,179

Indian Hill Exempt Village School District Hamilton County 5.5% 12/1/16 (Pre-Refunded to 12/1/11 @ 100) (e)

1,060

1,156

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

2,600

2,811

Ohio Air Quality Dev. Auth. Rev. Series 2002 A, 4.2%, tender 1/2/07 (c)

1,000

1,000

Ohio Gen. Oblig. Series 2003 D, 2.45%, tender 9/14/07 (c)

1,350

1,333

Olentangy Local School District:

5.5% 12/1/15 (FSA Insured)

25

27

5.5% 12/1/15 (Pre-Refunded to 6/1/12 @ 100) (e)

975

1,070

Richland County Hosp. Facilities (MedCentral Health Sys. Proj.) Series B:

6.375% 11/15/22

500

545

6.375% 11/15/22 (Pre-Refunded to 11/15/10 @ 101) (e)

1,000

1,114

11,235

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Oklahoma - 1.1%

Cherokee County Econ. Dev. Auth. Series A, 0% 11/1/11 (Escrowed to Maturity) (e)

$ 1,000

$ 822

Durant Cmnty. Facilities Auth. Sales Tax Rev. 5.5% 11/1/19 (XL Cap. Assurance, Inc. Insured)

1,050

1,160

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

3,350

3,721

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

3,035

3,143

Oklahoma City Pub. Property Auth. Hotel Tax Rev.:

5.5% 10/1/19 (FGIC Insured)

2,165

2,422

5.5% 10/1/20 (FGIC Insured)

1,550

1,729

Tulsa County Indl. Auth. Cap. Impts. Rev. Series 2006 D, 5.25% 1/1/11 (FSA Insured)

5,465

5,812

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

4,000

4,276

23,085

Oregon - 0.2%

Oregon Dept. Administrative Svcs. Ctfs. of Prtn. Series B, 5% 5/1/09 (FSA Insured)

720

746

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

5.75% 8/1/14 (Pre-Refunded to 8/1/10 @ 100) (e)

1,520

1,636

5.75% 8/1/17 (Pre-Refunded to 8/1/10 @ 100) (e)

1,950

2,099

4,481

Pennsylvania - 2.5%

Allegheny County Arpt. Rev. (Pittsburgh Int'l. Arpt. Proj.) Series A1:

5.75% 1/1/07 (MBIA Insured) (d)

2,000

2,010

5.75% 1/1/12 (MBIA Insured) (d)

1,210

1,309

Allegheny County Hosp. Dev. Auth. Rev. (UPMC Health Sys. Proj.) Series 1999 B, 4.55% 12/15/10 (AMBAC Insured)

1,330

1,359

Annville-Cleona School District 5.5% 3/1/23 (FSA Insured)

1,300

1,447

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

1,400

1,505

Central Dauphin School District Gen. Oblig. 7% 2/1/27 (Pre-Refunded to 2/1/16 @ 100) (e)

1,000

1,255

Clarion County Indl. Dev. Auth. Wtr. Facilities Rev. (Pennsylvania-American Wtr. Co. Proj.) 3.6%, tender 12/1/09 (AMBAC Insured) (c)(d)

5,665

5,575

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

1,165

1,216

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Pennsylvania - continued

Easton Area School District Series 2005, 7.5% 4/1/21 (FSA Insured) (f)

$ 2,000

$ 2,567

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

3,930

4,746

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

(Amtrak Proj.) Series 2001 A:

6.125% 11/1/21 (d)

1,300

1,401

6.5% 11/1/16 (d)

1,100

1,205

(Shippingport Proj.) Series A, 4.35%, tender 6/1/10 (c)(d)

2,300

2,308

Pennsylvania Higher Edl. Facilities Auth. Rev.:

(Univ. of Pennsylvania Health Systems Proj.) Series A, 5% 8/15/16 (AMBAC Insured)

1,400

1,519

(UPMC Health Sys. Proj.) Series 2001 A, 6% 1/15/22

4,000

4,383

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

2,500

2,738

Philadelphia Gas Works Rev. (1998 Gen. Ordinance Proj.) 4th Series, 5.25% 8/1/16 (FSA Insured)

2,355

2,550

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

1,000

1,065

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

3,360

3,601

Philadelphia School District Series B, 5% 4/1/11 (AMBAC Insured)

2,100

2,217

Pittsburgh Gen. Oblig. Series B, 5.25% 9/1/15 (FSA Insured)

3,000

3,314

Pittsburgh School District Series A, 5% 9/1/09 (MBIA Insured)

1,670

1,726

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

1,345

1,466

52,482

Puerto Rico - 0.4%

Puerto Rico Govt. Dev. Bank 5% 12/1/10

6,000

6,260

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

1,000

1,002

7,262

Rhode Island - 0.1%

Rhode Island Health & Edl. Bldg. Corp. Rev. (Lifespan Corp. Proj.) Series A, 5% 5/15/14 (FSA Insured)

2,000

2,150

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

South Carolina - 1.4%

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

$ 1,765

$ 1,850

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

2,310

2,502

Greenville County Pub. Facilities Corp. Ctfs. of Prtn. (Courthouse and Detention Proj.) 5% 4/1/11 (AMBAC Insured)

1,565

1,656

Greenville County School District Installment Purp. Rev. 5% 12/1/10

1,700

1,782

Lexington One School Facilities Corp. Rev. (Lexington County School District No. 1 Proj.) 5% 12/1/10

680

713

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

6,322

South Carolina Pub. Svc. Auth. Rev.:

(Santee Cooper Proj.) Series 2005 B, 5% 1/1/18 (MBIA Insured)

1,800

1,949

Series 2005 B, 5% 1/1/10 (MBIA Insured)

3,000

3,130

Series A:

5.5% 1/1/14 (FGIC Insured)

1,300

1,449

5.5% 1/1/16 (FGIC Insured)

2,705

3,058

Univ. of South Carolina Higher Ed. Facilities Rev. Series A:

5% 6/1/16 (MBIA Insured)

2,040

2,224

5% 6/1/17 (MBIA Insured)

2,035

2,211

28,846

South Dakota - 0.3%

Minnehaha County Gen. Oblig.:

5.625% 12/1/16 (Pre-Refunded to 12/1/10 @ 100) (e)

2,000

2,149

5.625% 12/1/17 (Pre-Refunded to 12/1/10 @ 100) (e)

2,115

2,270

5.625% 12/1/18 (Pre-Refunded to 12/1/10 @ 100) (e)

2,350

2,518

6,937

Tennessee - 1.3%

Clarksville Natural Gas Acquisition Corp. Gas Rev.:

5% 12/15/10

5,000

5,232

5% 12/15/11

3,285

3,468

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:

5.25% 1/1/15 (MBIA Insured)

$ 1,240

$ 1,359

6.25% 1/1/13 (MBIA Insured)

1,700

1,930

7.25% 1/1/10 (MBIA Insured)

8,000

8,854

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

5% 9/1/10 (MBIA Insured)

1,755

1,844

5% 9/1/11 (MBIA Insured)

1,835

1,940

5% 9/1/13 (MBIA Insured)

2,010

2,154

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

1,100

1,141

27,922

Texas - 15.0%

Abilene Independent School District 5% 2/15/17

1,090

1,173

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

1,015

1,107

Austin Cmnty. College District 5.5% 8/1/34

1,900

2,096

Austin Independent School District 5.25% 8/1/11

3,515

3,768

Austin Util. Sys. Rev.:

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

5,200

4,450

0% 11/15/12 (AMBAC Insured)

5,645

4,447

0% 5/15/17 (FGIC Insured)

1,900

1,224

Austin Wtr. & Wastewtr. Sys. Rev. 5% 11/15/10 (MBIA Insured)

1,735

1,828

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

5.375% 5/1/15 (FSA Insured)

175

189

5.375% 5/1/15 (Pre-Refunded to 5/1/12 @ 100) (e)

1,190

1,295

5.375% 5/1/16 (FSA Insured)

185

200

5.375% 5/1/16 (Pre-Refunded to 5/1/12 @ 100) (e)

1,240

1,349

5.375% 5/1/17 (FSA Insured)

195

210

5.375% 5/1/17 (Pre-Refunded to 5/1/12 @ 100) (e)

1,295

1,409

Birdville Independent School District:

0% 2/15/12

4,150

3,363

5% 2/15/10

1,200

1,254

Boerne Independent School District 5.25% 2/1/35

1,300

1,382

Bryan Wtrwks. & Swr. Sys. Rev. 5.5% 7/1/11 (FSA Insured)

1,500

1,620

Cedar Hill Independent School District 0% 8/15/07

1,270

1,230

Clint Independent School District 5.5% 8/15/18

1,000

1,093

Corpus Christi Gen. Oblig. 5% 3/1/10 (AMBAC Insured)

1,565

1,636

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

Corpus Christi Util. Sys. Rev. 5.25% 7/15/16 (FSA Insured)

$ 3,000

$ 3,337

Cypress-Fairbanks Independent School District:

Series A, 0% 2/15/16

3,640

2,471

5.75% 2/15/17 (Pre-Refunded to 2/15/12
@ 100) (e)

1,500

1,654

Dallas County Gen. Oblig. Series A, 0% 8/15/07

3,605

3,496

Dallas Independent School District Series 2005, 5.25% 8/15/11

2,000

2,145

Del Valle Independent School District:

5% 2/1/15

2,015

2,168

5% 2/1/16

2,195

2,353

5.5% 2/1/10

1,275

1,351

5.5% 2/1/11

1,350

1,451

Denton County Gen. Oblig. 5% 7/15/14 (FSA Insured)

3,570

3,835

El Paso Independent School District 5% 8/15/15

2,160

2,353

Fort Worth Independent School District 5% 2/15/12

1,500

1,598

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

2,000

2,110

Gainesville Independent School District 5.25% 2/15/36

1,000

1,077

Garland Independent School District:

Series A, 5% 2/15/10

1,000

1,045

5.5% 2/15/12

2,180

2,312

Garland Wtr. & Swr. Rev. 5.25% 3/1/20 (AMBAC Insured)

1,170

1,259

Harlandale Independent School District:

5.5% 8/15/35

15

16

5.5% 8/15/35 (Pre-Refunded to 8/15/10 @ 100) (e)

1,385

1,481

Harris County Gen. Oblig.:

(Toll Road Proj.) 0% 10/1/14 (MBIA Insured)

8,530

6,182

Series A, 5.25% 8/15/35 (FSA Insured)

4,600

4,837

0% 10/1/16 (MBIA Insured)

6,180

4,096

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

5.625% 2/15/14 (Pre-Refunded to 8/15/11
@ 100) (e)

2,500

2,719

5.625% 2/15/15 (Pre-Refunded to 8/15/11
@ 100) (e)

2,680

2,915

Houston Area Wtr. Corp. Contract Rev. (Northeast Wtr. Purification Proj.):

5.5% 3/1/15 (FGIC Insured)

1,000

1,090

5.5% 3/1/18 (FGIC Insured)

1,140

1,236

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

$ 3,337

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

3,900

4,132

Houston Gen. Oblig. Series A, 5.25% 3/1/13

250

260

Houston Independent School District:

Series A, 0% 8/15/11

13,740

11,376

0% 8/15/10 (AMBAC Insured)

2,200

1,901

0% 8/15/15

2,000

1,388

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

0% 12/1/10 (AMBAC Insured)

2,600

2,221

0% 12/1/11 (AMBAC Insured)

8,250

6,770

Humble Independent School District:

0% 2/15/10

2,320

2,043

0% 2/15/16

1,250

852

0% 2/15/17

1,400

912

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

2,550

2,517

Keller Independent School District:

Series 1996 A, 0% 8/15/17

1,020

646

Series A, 0% 8/15/12

1,590

1,262

Klein Independent School District Series A:

5% 8/1/13

1,455

1,568

5% 8/1/14

5,110

5,539

La Joya Independent School District 5.75% 2/15/17 (Pre-Refunded to 2/15/10 @ 100) (e)

2,200

2,351

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

305

312

Laredo Gen. Oblig. 5.125% 8/15/11 (FGIC Insured)

2,225

2,316

Lewisville Independent School District 0% 8/15/08

5,000

4,688

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

615

566

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

2,405

2,592

Lubbock Health Facilities Dev. Corp. Rev. (Carillon, Inc. Proj.) Series A, 6.5% 7/1/29 (Pre-Refunded to 7/1/09 @ 102) (e)

5,475

5,992

Mansfield Independent School District:

5.5% 2/15/13

230

247

5.5% 2/15/13 (Pre-Refunded to 2/15/11 @ 100) (e)

1,345

1,448

5.5% 2/15/14

330

354

5.5% 2/15/14 (Pre-Refunded to 2/15/11 @ 100) (e)

1,950

2,099

5.5% 2/15/15

2,270

2,469

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

Mansfield Independent School District: - continued

5.5% 2/15/16

$ 3,450

$ 3,752

5.5% 2/15/18

145

155

5.5% 2/15/18 (Pre-Refunded to 2/15/11 @ 100) (e)

855

920

5.5% 2/15/19

2,530

2,714

McLennan County Jr. College District 5% 8/15/17 (FSA Insured)

1,235

1,324

Mesquite Independent School District:

3.65%, tender 12/1/08 (Liquidity Facility JPMorgan Chase Bank) (c)

2,700

2,700

5.375% 8/15/11

430

443

Midway Independent School District 0% 8/15/19

1,400

804

Montgomery County Gen. Oblig. Series A:

5.625% 3/1/19 (FSA Insured)

520

568

5.625% 3/1/19 (Pre-Refunded to 3/1/12 @ 100) (e)

3,480

3,820

Mount Pleasant Independent School District 5.5% 2/15/17 (Pre-Refunded to 8/15/11 @ 100) (e)

1,010

1,095

Navasota Independent School District:

5.25% 8/15/34 (FGIC Insured)

1,000

1,073

5.5% 8/15/26 (FGIC Insured)

1,225

1,355

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

1,135

1,217

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

2,520

2,854

Northside Independent School District:

Series A, 5.25% 2/15/17

2,975

3,194

5.5% 2/15/13

1,090

1,171

5.5% 2/15/13 (Pre-Refunded to 2/15/11 @ 100) (e)

1,220

1,313

5.5% 2/15/16 (Pre-Refunded to 2/15/11 @ 100) (e)

530

571

Pearland Independent School District Series A, 5.875% 2/15/19 (Pre-Refunded to 2/15/11 @ 100) (e)

1,000

1,091

Pflugerville Independent School District:

5.75% 8/15/14 (Pre-Refunded to 8/15/10 @ 100) (e)

1,000

1,078

5.75% 8/15/17 (Pre-Refunded to 8/15/10
@ 100) (e)

500

539

Red River Ed. Fin. Corp. Ed. Rev. (Hockaday School Proj.) 5.75% 5/15/19 (Pre-Refunded to 5/15/10
@ 100) (e)

1,210

1,299

Rockwall Independent School District:

5.375% 2/15/17

20

22

5.375% 2/15/17 (Pre-Refunded to 2/15/12
@ 100) (e)

1,025

1,112

5.375% 2/15/18

25

27

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

Rockwall Independent School District: - continued

5.375% 2/15/18 (Pre-Refunded to 2/15/12
@ 100) (e)

$ 1,345

$ 1,459

5.625% 2/15/11

3,865

4,177

Round Rock Independent School District:

Series 2001 A:

5.5% 8/1/13 (Pre-Refunded to 8/1/11 @ 100) (e)

1,940

2,103

5.5% 8/1/15 (Pre-Refunded to 8/1/11 @ 100) (e)

1,510

1,637

5.375% 8/1/15 (Pre-Refunded to 8/1/12 @ 100) (e)

1,000

1,091

5.375% 8/1/17 (Pre-Refunded to 8/1/12 @ 100) (e)

1,050

1,146

San Antonio Elec. & Gas Sys. Rev.:

3.55%, tender 12/1/07 (c)

7,300

7,296

5.375% 2/1/17

3,495

3,767

5.375% 2/1/17 (Pre-Refunded to 2/1/12 @ 100) (e)

2,505

2,710

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

1,410

1,492

San Antonio Muni. Drainage Util. Sys. Rev.:

5.25% 2/1/13 (MBIA Insured)

1,740

1,892

5.25% 2/1/14 (MBIA Insured)

1,835

2,012

San Antonio Wtr. Sys. Rev. 5.875% 5/15/17
(Pre-Refunded to 11/15/09 @ 100) (e)

1,000

1,068

San Marcos Consolidated Independent School District:

5% 8/1/16

1,190

1,281

5.25% 8/1/21

3,650

3,972

5.625% 8/1/26

1,000

1,121

Snyder Independent School District 5.25% 2/15/26 (AMBAC Insured)

1,350

1,462

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

2,905

3,189

Spring Branch Independent School District:

Series 2001, 5.375% 2/1/14

2,700

2,890

5.375% 2/1/18

1,400

1,497

Spring Independent School District 0% 2/15/07

5,900

5,823

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

1,250

1,287

Texas Gen. Oblig. (College Student Ln. Prog.):

5.25% 8/1/09 (d)

6,885

7,146

5.375% 8/1/10 (d)

1,900

2,001

Texas Muni. Pwr. Agcy. Rev. 0% 9/1/16 (MBIA Insured)

2,200

1,460

Texas Pub. Fin. Auth. Rev.:

(Bldg. and Procurement Commission Proj.) Series A, 5% 2/1/10 (AMBAC Insured)

1,000

1,044

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Texas - continued

Texas Pub. Fin. Auth. Rev.: - continued

(Stephen F. Austin State Univ. Proj.) 5% 10/15/14 (MBIA Insured)

$ 1,300

$ 1,409

Texas State Univ. Sys. Fing. Rev.:

5% 3/15/12 (FSA Insured)

2,000

2,131

5% 3/15/16 (FSA Insured)

4,565

4,920

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

10,110

11,076

Texas Wtr. Dev. Board Rev.:

Series A, 5.5% 7/15/21

1,700

1,782

Series B, 5.625% 7/15/21

2,010

2,130

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

4,345

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

4,080

4,168

Waxahachie Independent School District:

0% 8/15/14

1,460

1,060

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

4,780

2,134

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

3,860

1,610

White Settlement Independent School District 5.75% 8/15/34

1,250

1,373

Williamson County Gen. Oblig.:

5.5% 2/15/19 (FSA Insured)

35

38

5.5% 2/15/19 (Pre-Refunded to 2/15/12 @ 100) (e)

1,400

1,527

Ysleta Independent School District 0% 8/15/11

1,100

911

311,916

Utah - 0.4%

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

370

383

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

5,000

5,407

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

2,740

2,875

8,665

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Vermont - 0.2%

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

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

$ 2,800

$ 3,060

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

1,200

1,297

4,357

Virginia - 0.4%

Amelia County Indl. Dev. Auth. Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 4.05%, tender 4/1/08 (c)(d)

1,700

1,689

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

2,750

2,846

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

5.75% 5/1/07 (d)

1,380

1,388

5.85% 5/1/08 (d)

1,370

1,387

7,310

Washington - 7.4%

Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A:

0% 6/1/17 (MBIA Insured)

2,800

1,781

0% 6/1/24 (MBIA Insured)

1,525

687

0% 6/1/29 (MBIA Insured)

5,600

1,981

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

1,000

1,063

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

1,300

1,414

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

Series B:

5.25% 1/1/10 (FSA Insured)

1,630

1,713

5.25% 1/1/11 (FSA Insured)

1,715

1,823

5% 1/1/09 (MBIA Insured)

1,265

1,304

5% 1/1/10 (MBIA Insured)

2,000

2,087

Clark County School District #114, Evergreen 5.375% 12/1/14 (FSA Insured)

2,000

2,175

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

3,000

1,703

Cowlitz County Gen. Oblig. 5.5% 11/1/11
(Pre-Refunded to 11/1/09 @ 100) (e)

460

486

Energy Northwest Elec. Rev. (#1 Proj.):

Series 2006 A, 5% 7/1/13

5,000

5,369

Series B, 6% 7/1/17 (MBIA Insured)

4,000

4,454

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Washington - continued

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

$ 2,000

$ 2,183

Grant County Pub. Util. District #2 Wanapum Hydro Elec. Rev.:

Second Series B, 5.25% 1/1/14 (MBIA Insured) (d)

1,235

1,294

Series B, 5.25% 1/1/16 (FGIC Insured) (d)

1,000

1,075

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

1,000

1,066

King County Swr. Rev. Series B:

5.5% 1/1/15 (FSA Insured)

7,245

7,855

5.5% 1/1/17 (FSA Insured)

2,565

2,775

5.5% 1/1/18 (FSA Insured)

3,010

3,252

Port of Seattle Rev.:

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

6,225

6,375

Series B:

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

3,185

3,231

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

3,750

3,879

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

4.5% 12/1/07 (FGIC Insured)

1,705

1,722

4.5% 12/1/09 (FGIC Insured)

855

876

Snohomish County School District #4, Lake Stevens 5.125% 12/1/17 (FGIC Insured)

2,000

2,185

Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev.:

5.75% 12/1/18 (MBIA Insured)

1,000

1,115

5.75% 12/1/20 (MBIA Insured)

1,000

1,113

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

0% 12/1/11 (FGIC Insured)

6,415

5,275

0% 12/1/12 (FGIC Insured)

6,830

5,387

Washington Gen. Oblig.:

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

2,025

1,614

Series 2001 C, 5.25% 1/1/16

3,000

3,194

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

2,200

2,333

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

3,440

1,988

Washington Health Care Facilities Auth. Rev.:

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

3,065

3,309

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

3,000

3,131

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Washington - continued

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

$ 9,500

$ 9,787

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

3,500

3,647

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

Series B:

0% 7/1/07

15,130

14,734

0% 7/1/10

16,000

13,842

0% 7/1/10

2,250

1,947

0% 7/1/12 (MBIA Insured)

4,000

3,174

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

7,040

7,493

Whatcom County School District #501 Gen. Oblig.:

5% 6/1/14 (FSA Insured)

2,245

2,430

5% 12/1/14 (FSA Insured)

3,245

3,521

154,842

West Virginia - 0.0%

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

1,100

715

Wisconsin - 0.9%

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

2,200

2,354

Evansville Cmnty. School District 5% 4/1/16 (FSA Insured)

1,460

1,591

Fond Du Lac School District 5.75% 4/1/12
(Pre-Refunded to 4/1/10 @ 100) (e)

1,000

1,072

Menasha Joint School District:

5.5% 3/1/19 (e)

970

1,060

5.5% 3/1/19 (FSA Insured)

60

65

Wisconsin Gen. Oblig.:

Series 1, 5% 5/1/11 (MBIA Insured)

2,500

2,651

Series D, 5.4% 5/1/20 (Pre-Refunded to 5/1/11
@ 100) (e)

1,000

1,073

Wisconsin Health & Edl. Facilities Auth. Rev.:

(Marshfield Clinic Proj.) Series 2006 A, 5% 2/15/14

850

887

(Wheaton Franciscan Svcs., Inc. Proj.):

Series A, 5.5% 8/15/14

1,775

1,907

5.75% 8/15/12

1,760

1,930

6% 8/15/14

1,000

1,107

Municipal Bonds - continued

Principal Amount (000s)

Value
(000s)

Wisconsin - continued

Wisconsin Health & Edl. Facilities Auth. Rev.: - continued

(Wheaton Franciscan Svcs., Inc. Proj.):

6% 8/15/16

$ 1,000

$ 1,104

6.25% 8/15/22

1,600

1,781

18,582

TOTAL INVESTMENT PORTFOLIO - 98.7%

(Cost $2,013,824)

2,055,037

NET OTHER ASSETS - 1.3%

27,118

NET ASSETS - 100%

$ 2,082,155

Swap Agreements

Expiration Date

Notional Amount (000s)

Value
(000s)

Interest Rate Swaps

Receive quarterly a fixed rate equal to 3.779% and pay quarterly a floating rate based on the BMA Municipal Swap Index

May 2010

$ 23,000

$ 203

Receive quarterly a fixed rate equal to 3.859% and pay quarterly a floating rate based on the BMA Municipal Swap Index

May 2010

23,000

252

Receive quarterly a floating rate based on BMA Municipal Swap Index and pay quarterly a fixed rate equal to 4.391% to Citibank

May 2027

5,000

(231)

Receive quarterly a floating rate based on BMA Municipal Swap Index and pay quarterly a fixed rate equal to 4.498% with Merrill Lynch, Inc.

May 2027

5,000

(295)

$ 56,000

$ (71)

Legend

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

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

(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.

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

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Municipal Cash Central Fund

$ 71

Income Tax Information

At September 30, 2006, the aggregate cost of investment securities for income tax purposes was $2,013,442,000. Net unrealized appreciation aggregated $41,595,000, of which $45,890,000 related to appreciated investment securities and $4,295,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Swaps are marked-to-market daily based on dealer-supplied valuations. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

Quarterly Report

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

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

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity 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 27, 2006

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 27, 2006

By:

/s/Joseph B. Hollis

Joseph B. Hollis

Chief Financial Officer

Date:

November 27, 2006