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 811-2105

Fidelity Fixed-Income 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:

April 30

Date of reporting period:

July 31, 2006

This report on Form N-Q relates solely to the Registrant's Fidelity Inflation-Protected Bond Fund and Fidelity Investment Grade Bond Fund series (each, a "Fund" and collectively, the "Funds").

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Inflation-Protected
Bond Fund

July 31, 2006

1.804977.102

IFB-QTLY-0906

Investments July 31, 2006 (Unaudited)

Showing Percentage of Net Assets

U.S. Treasury Inflation Protected Obligations - 79.3%

Principal Amount

Value

U.S. Treasury Inflation-Indexed Bonds:

2% 1/15/26

$ 40,293,950

$ 37,643,500

2.375% 1/15/25

123,556,024

122,532,257

3.625% 4/15/28

170,433,932

206,437,438

3.875% 4/15/29

100,006,732

126,257,880

U.S. Treasury Inflation-Indexed Notes:

0.875% 4/15/10

7,427,743

7,032,566

1.625% 1/15/15 (b)

73,693,630

69,329,725

1.875% 7/15/13

182,719,485

176,666,295

1.875% 7/15/15

31,227,300

29,900,100

2% 1/15/14

342,315,424

332,846,581

2% 1/15/16

105,070,300

101,441,610

2.5% 7/15/16

32,081,920

32,249,984

3% 7/15/12

140,983,964

145,851,740

3.375% 1/15/12

9,920,175

10,433,214

3.625% 1/15/08

18,422,628

18,714,864

3.875% 1/15/09

6,172,800

6,390,250

4.25% 1/15/10

2,575,297

2,737,852

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

(Cost $1,452,030,129)

1,426,465,856

Asset-Backed Securities - 0.3%

Ameriquest Mortgage Securities, Inc. Series 2004-R10 Class M1, 6.085% 11/25/34 (c)

1,375,000

1,383,655

Bear Stearns Asset Backed Securities NIMS Trust Series 2004-HE8N Class A1, 5% 9/25/34 (a)

12,624

12,600

Countrywide Home Loans, Inc. Series 2004-2 Class M1, 5.885% 5/25/34 (c)

690,000

692,676

Home Equity Asset Trust Series 2003-8 Class M1, 6.105% 4/25/34 (c)

1,290,000

1,302,773

New Century Home Equity Loan Trust Series 2003-1 Class M2, 7.435% 2/25/33 (c)

1,395,000

1,397,630

Specialty Underwriting & Residential Finance Series 2003-BC3 Class M2, 6.985% 8/25/34 (c)

580,000

585,135

TOTAL ASSET-BACKED SECURITIES

(Cost $5,377,777)

5,374,469

Commercial Mortgage Securities - 0.2%

Principal Amount

Value

Wachovia Bank Commercial Mortgage Trust:

Series 2004-C14 Class PP, 5.3117% 8/15/41 (a)(c)

$ 2,578,505

$ 2,449,204

Series 2005-WL6A Class X1A, 0.754% 10/15/17 (a)(e)

126,753,792

558,984

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $3,088,504)

3,008,188

Fixed-Income Funds - 20.0%

Shares

Fidelity Ultra-Short Central Fund (d)
(Cost $359,164,890)

3,610,701

359,192,535

Cash Equivalents - 0.5%

Maturity Amount

Investments in repurchase agreements (Collateralized by U.S. Government Obligations) in a joint trading account at 5.3%, dated 7/31/06 due 8/1/06
(Cost $9,048,000)

$ 9,049,331

9,048,000

TOTAL INVESTMENT PORTFOLIO - 100.3%

(Cost $1,828,709,300)

1,803,089,048

NET OTHER ASSETS - (0.3)%

(5,407,398)

NET ASSETS - 100%

$ 1,797,681,650

Swap Agreements

Expiration Date

Notional Amount

Value

Credit Default Swaps

Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class B3, 7.2913% 9/25/34

Oct. 2034

$ 700,000

$ 11,570

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 3.3% and pay Morgan Stanley, Inc. upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.885% 11/25/34

Dec. 2034

$ 645,000

$ 11,139

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.885% 8/25/34

Sept. 2034

569,000

12,676

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7 Class B3, 7.6913% 7/25/34

August 2034

569,000

11,925

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34

Oct. 2034

569,000

13,427

Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34

August 2034

569,000

4,541

Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34

Nov. 2034

569,000

3,751

Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34

Oct. 2034

569,000

4,951

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35

June 2035

$ 520,000

$ 139

Receive monthly notional amount multiplied by 1.65% and pay Goldman Sachs upon default event of Fieldstone Mortgage Investment Corp., par value of the notional amount of Fieldstone Mortgage Investment Corp. Series 2004-2 Class M5, 6.3413% 7/25/34

August 2034

667,000

6,750

Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35

June 2035

569,000

1,059

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32

April 2032

71,706

340

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34

March 2034

666,000

2,802

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34

Feb. 2034

193,292

413

Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33

May 2033

569,000

6,799

TOTAL CREDIT DEFAULT SWAPS

8,014,998

92,282

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Total Return Swaps

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 0.875% 4/15/10 and pay semi-annually a floating rate based on 6-month LIBOR minus 19.5 basis points with Goldman Sachs

April 2010

$ 49,550,000

$ 131,518

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 3.625% 1/15/08 and pay semi-annually a floating rate based on 6-month LIBOR minus 21 basis points with Deutsche Bank

Jan. 2008

11,650,000

(164,081)

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 3.625% 1/15/08 and pay semi-annually a floating rate based on 6-month LIBOR minus 21.25 basis points with Goldman Sachs

Jan. 2008

19,000,000

(295,760)

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 3.625% 1/15/08 and pay semi-annually a floating rate based on 6-month LIBOR minus 21.5 basis points with Goldman Sachs

Jan. 2008

44,750,000

322,642

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 3.875% 1/15/09 and pay semi-annually a floating rate based on 6-month LIBOR minus 20 basis points with Goldman Sachs

Jan. 2009

20,000,000

(509,189)

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 3.875% 1/15/09 and pay semi-annually a floating rate based on 6-month LIBOR minus 20.375 basis points with Goldman Sachs

Jan. 2009

100,000,000

(2,452,396)

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 4.25% 1/15/10 and pay semi-annually a floating rate based on 6-month LIBOR minus 19 basis points with Goldman Sachs

Jan. 2010

44,860,000

160,052

TOTAL TOTAL RETURN SWAPS

289,810,000

(2,807,214)

$ 297,824,998

$ (2,714,932)

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $3,020,788 or 0.2% of net assets.

(b) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $3,940,323.

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

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

(e) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the fund from the affiliated Central funds is as follows:

Fund

Income earned

Fidelity Ultra-Short Central Fund

$ 4,894,316

Income Tax Information

At July 31, 2006, the aggregate cost of investment securities for income tax purposes was $1,832,050,053. Net unrealized depreciation aggregated $28,961,005, of which $14,362,376 related to appreciated investment securities and $43,323,381 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Swaps are marked-to-market daily based on dealer-supplied valuations. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Advisor Inflation-Protected Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

July 31, 2006

Class A, Class T, Class B, Class C and
Institutional Class
are classes of Fidelity®
Inflation-Protected Bond Fund

1.804848.102

AIFB-QTLY-0906

Investments July 31, 2006 (Unaudited)

Showing Percentage of Net Assets

U.S. Treasury Inflation Protected Obligations - 79.3%

Principal Amount

Value

U.S. Treasury Inflation-Indexed Bonds:

2% 1/15/26

$ 40,293,950

$ 37,643,500

2.375% 1/15/25

123,556,024

122,532,257

3.625% 4/15/28

170,433,932

206,437,438

3.875% 4/15/29

100,006,732

126,257,880

U.S. Treasury Inflation-Indexed Notes:

0.875% 4/15/10

7,427,743

7,032,566

1.625% 1/15/15 (b)

73,693,630

69,329,725

1.875% 7/15/13

182,719,485

176,666,295

1.875% 7/15/15

31,227,300

29,900,100

2% 1/15/14

342,315,424

332,846,581

2% 1/15/16

105,070,300

101,441,610

2.5% 7/15/16

32,081,920

32,249,984

3% 7/15/12

140,983,964

145,851,740

3.375% 1/15/12

9,920,175

10,433,214

3.625% 1/15/08

18,422,628

18,714,864

3.875% 1/15/09

6,172,800

6,390,250

4.25% 1/15/10

2,575,297

2,737,852

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

(Cost $1,452,030,129)

1,426,465,856

Asset-Backed Securities - 0.3%

Ameriquest Mortgage Securities, Inc. Series 2004-R10 Class M1, 6.085% 11/25/34 (c)

1,375,000

1,383,655

Bear Stearns Asset Backed Securities NIMS Trust Series 2004-HE8N Class A1, 5% 9/25/34 (a)

12,624

12,600

Countrywide Home Loans, Inc. Series 2004-2 Class M1, 5.885% 5/25/34 (c)

690,000

692,676

Home Equity Asset Trust Series 2003-8 Class M1, 6.105% 4/25/34 (c)

1,290,000

1,302,773

New Century Home Equity Loan Trust Series 2003-1 Class M2, 7.435% 2/25/33 (c)

1,395,000

1,397,630

Specialty Underwriting & Residential Finance Series 2003-BC3 Class M2, 6.985% 8/25/34 (c)

580,000

585,135

TOTAL ASSET-BACKED SECURITIES

(Cost $5,377,777)

5,374,469

Commercial Mortgage Securities - 0.2%

Principal Amount

Value

Wachovia Bank Commercial Mortgage Trust:

Series 2004-C14 Class PP, 5.3117% 8/15/41 (a)(c)

$ 2,578,505

$ 2,449,204

Series 2005-WL6A Class X1A, 0.754% 10/15/17 (a)(e)

126,753,792

558,984

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $3,088,504)

3,008,188

Fixed-Income Funds - 20.0%

Shares

Fidelity Ultra-Short Central Fund (d)
(Cost $359,164,890)

3,610,701

359,192,535

Cash Equivalents - 0.5%

Maturity Amount

Investments in repurchase agreements (Collateralized by U.S. Government Obligations) in a joint trading account at 5.3%, dated 7/31/06 due 8/1/06
(Cost $9,048,000)

$ 9,049,331

9,048,000

TOTAL INVESTMENT PORTFOLIO - 100.3%

(Cost $1,828,709,300)

1,803,089,048

NET OTHER ASSETS - (0.3)%

(5,407,398)

NET ASSETS - 100%

$ 1,797,681,650

Swap Agreements

Expiration Date

Notional Amount

Value

Credit Default Swaps

Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class B3, 7.2913% 9/25/34

Oct. 2034

$ 700,000

$ 11,570

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 3.3% and pay Morgan Stanley, Inc. upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.885% 11/25/34

Dec. 2034

$ 645,000

$ 11,139

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.885% 8/25/34

Sept. 2034

569,000

12,676

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7 Class B3, 7.6913% 7/25/34

August 2034

569,000

11,925

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34

Oct. 2034

569,000

13,427

Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34

August 2034

569,000

4,541

Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34

Nov. 2034

569,000

3,751

Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34

Oct. 2034

569,000

4,951

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35

June 2035

$ 520,000

$ 139

Receive monthly notional amount multiplied by 1.65% and pay Goldman Sachs upon default event of Fieldstone Mortgage Investment Corp., par value of the notional amount of Fieldstone Mortgage Investment Corp. Series 2004-2 Class M5, 6.3413% 7/25/34

August 2034

667,000

6,750

Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35

June 2035

569,000

1,059

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32

April 2032

71,706

340

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34

March 2034

666,000

2,802

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34

Feb. 2034

193,292

413

Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33

May 2033

569,000

6,799

TOTAL CREDIT DEFAULT SWAPS

8,014,998

92,282

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Total Return Swaps

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 0.875% 4/15/10 and pay semi-annually a floating rate based on 6-month LIBOR minus 19.5 basis points with Goldman Sachs

April 2010

$ 49,550,000

$ 131,518

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 3.625% 1/15/08 and pay semi-annually a floating rate based on 6-month LIBOR minus 21 basis points with Deutsche Bank

Jan. 2008

11,650,000

(164,081)

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 3.625% 1/15/08 and pay semi-annually a floating rate based on 6-month LIBOR minus 21.25 basis points with Goldman Sachs

Jan. 2008

19,000,000

(295,760)

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 3.625% 1/15/08 and pay semi-annually a floating rate based on 6-month LIBOR minus 21.5 basis points with Goldman Sachs

Jan. 2008

44,750,000

322,642

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 3.875% 1/15/09 and pay semi-annually a floating rate based on 6-month LIBOR minus 20 basis points with Goldman Sachs

Jan. 2009

20,000,000

(509,189)

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 3.875% 1/15/09 and pay semi-annually a floating rate based on 6-month LIBOR minus 20.375 basis points with Goldman Sachs

Jan. 2009

100,000,000

(2,452,396)

Receive semi-annually a return equal to U.S. Treasury Inflation-Indexed Notes 4.25% 1/15/10 and pay semi-annually a floating rate based on 6-month LIBOR minus 19 basis points with Goldman Sachs

Jan. 2010

44,860,000

160,052

TOTAL TOTAL RETURN SWAPS

289,810,000

(2,807,214)

$ 297,824,998

$ (2,714,932)

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $3,020,788 or 0.2% of net assets.

(b) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $3,940,323.

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

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

(e) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the fund from the affiliated Central funds is as follows:

Fund

Income earned

Fidelity Ultra-Short Central Fund

$ 4,894,316

Income Tax Information

At July 31, 2006, the aggregate cost of investment securities for income tax purposes was $1,832,050,053. Net unrealized depreciation aggregated $28,961,005, of which $14,362,376 related to appreciated investment securities and $43,323,381 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Swaps are marked-to-market daily based on dealer-supplied valuations. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including 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 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.

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Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Investment Grade Bond

July 31, 2006

1.804978.102

IGB-QTLY-0906

Investments July 31, 2006 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 24.6%

Principal Amount (000s)

Value
(000s)

CONSUMER DISCRETIONARY - 2.6%

Automobiles - 0.5%

Ford Motor Co.:

6.375% 2/1/29

$ 11,350

$ 8,172

6.625% 10/1/28

6,365

4,583

7.45% 7/16/31

40,245

29,580

General Motors Corp. 8.375% 7/15/33 (b)

13,140

10,775

53,110

Household Durables - 0.2%

Fortune Brands, Inc. 5.125% 1/15/11

17,520

16,968

Media - 1.9%

Comcast Corp.:

4.95% 6/15/16

23,509

21,299

5.5% 3/15/11

5,890

5,836

5.85% 1/15/10

6,275

6,299

6.45% 3/15/37

17,500

16,606

Cox Communications, Inc.:

4.625% 1/15/10

9,500

9,128

7.125% 10/1/12

17,915

18,655

Liberty Media Corp.:

5.7% 5/15/13

8,500

7,820

8.25% 2/1/30

19,105

18,756

News America Holdings, Inc. 7.75% 12/1/45

8,175

8,725

News America, Inc. 6.2% 12/15/34

11,825

10,827

TCI Communications, Inc. 9.8% 2/1/12

19,400

22,498

Time Warner Entertainment Co. LP:

8.875% 10/1/12

750

846

10.15% 5/1/12

500

587

Time Warner, Inc. 6.625% 5/15/29

22,900

22,102

Univision Communications, Inc. 3.875% 10/15/08

9,840

9,344

Viacom, Inc. 5.75% 4/30/11 (c)

18,040

17,704

197,032

TOTAL CONSUMER DISCRETIONARY

267,110

CONSUMER STAPLES - 0.3%

Beverages - 0.1%

FBG Finance Ltd. 5.125% 6/15/15 (c)

11,020

10,235

Food Products - 0.1%

H.J. Heinz Co. 6.428% 12/1/08 (c)(h)

12,360

12,569

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

CONSUMER STAPLES - continued

Tobacco - 0.1%

Altria Group, Inc. 7% 11/4/13

$ 5,910

$ 6,347

TOTAL CONSUMER STAPLES

29,151

ENERGY - 1.7%

Energy Equipment & Services - 0.1%

Cooper Cameron Corp. 2.65% 4/15/07

9,550

9,351

Oil, Gas & Consumable Fuels - 1.6%

Canadian Oil Sands Ltd. 4.8% 8/10/09 (c)

12,390

12,043

Kerr-McGee Corp. 6.95% 7/1/24

19,000

19,665

Kinder Morgan Energy Partners LP 5.8% 3/15/35

5,405

4,727

Kinder Morgan Finance Co. ULC 5.35% 1/5/11

23,860

22,300

Louis Dreyfus Natural Gas Corp. 6.875% 12/1/07

7,700

7,813

National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (c)

5,985

5,466

Pemex Project Funding Master Trust:

5.75% 12/15/15 (c)

15,330

14,605

5.75% 12/15/15

12,500

11,909

6.625% 6/15/35 (c)

18,536

17,788

6.625% 6/15/35

65

62

7.375% 12/15/14

33,610

35,796

Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 (c)

9,120

8,812

160,986

TOTAL ENERGY

170,337

FINANCIALS - 10.3%

Capital Markets - 1.2%

Bank of New York Co., Inc.:

3.4% 3/15/13 (h)

7,500

7,253

4.25% 9/4/12 (h)

8,565

8,458

Goldman Sachs Group, Inc.:

5.25% 10/15/13

19,220

18,581

6.45% 5/1/36

21,260

20,877

Lazard Group LLC 7.125% 5/15/15

16,430

16,766

Merrill Lynch & Co., Inc. 4.25% 2/8/10

21,840

20,911

Morgan Stanley 6.6% 4/1/12

17,435

18,227

Nuveen Investments, Inc. 5% 9/15/10

11,055

10,714

121,787

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

FINANCIALS - continued

Commercial Banks - 1.6%

Bank One Corp. 5.25% 1/30/13

$ 13,775

$ 13,472

Corporacion Andina de Fomento 5.2% 5/21/13

3,910

3,752

Export-Import Bank of Korea:

4.125% 2/10/09 (c)

4,240

4,093

5.125% 2/14/11

23,860

23,247

5.25% 2/10/14 (c)

7,225

6,956

HSBC Holdings PLC 6.5% 5/2/36

11,470

11,636

KeyCorp Capital Trust VII 5.7% 6/15/35

18,660

16,225

Korea Development Bank:

3.875% 3/2/09

18,270

17,540

4.75% 7/20/09

8,155

7,977

5.75% 9/10/13

14,578

14,477

PNC Funding Corp. 4.2% 3/10/08

2,280

2,232

Santander Issuances SA Unipersonal 5.805% 6/20/16 (c)(h)

9,620

9,635

Wachovia Bank NA 4.875% 2/1/15

20,250

18,956

Wachovia Corp. 4.875% 2/15/14

1,791

1,696

Wells Fargo Bank NA, San Francisco 7.55% 6/21/10

5,100

5,475

157,369

Consumer Finance - 0.9%

General Electric Capital Corp.:

5.5% 4/28/11

36,350

36,365

6.75% 3/15/32

7,635

8,305

Household Finance Corp. 4.125% 11/16/09

20,856

19,992

HSBC Finance Corp. 6.75% 5/15/11

14,395

15,058

MBNA America Bank NA 4.625% 8/3/09

5,000

4,890

84,610

Diversified Financial Services - 1.4%

BAC Capital Trust XI 6.625% 5/23/36

24,475

24,938

Citigroup, Inc. 6% 2/21/12

5,960

6,084

ILFC E-Capital Trust II 6.25% 12/21/65 (c)(h)

4,325

4,171

JPMorgan Chase & Co.:

4.875% 3/15/14

10,460

9,842

4.891% 9/1/15 (h)

5,380

5,222

5.6% 6/1/11

21,015

21,058

5.75% 1/2/13

2,935

2,937

JPMorgan Chase Capital XVII 5.85% 8/1/35

19,490

17,612

Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (c)

15,505

15,339

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

FINANCIALS - continued

Diversified Financial Services - continued

Prime Property Funding, Inc. 5.125% 6/1/15 (c)

$ 13,035

$ 12,084

ZFS Finance USA Trust I 6.15% 12/15/65 (c)(h)

17,990

17,469

ZFS Finance USA Trust II 6.45% 12/15/65 (c)(h)

7,500

7,047

143,803

Insurance - 0.9%

Assurant, Inc. 5.625% 2/15/14

6,095

5,927

Axis Capital Holdings Ltd. 5.75% 12/1/14

21,815

20,788

Lincoln National Corp. 7% 5/17/66 (h)

28,920

29,368

QBE Insurance Group Ltd. 5.647% 7/1/23 (c)(h)

18,775

17,904

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

10,405

10,207

Travelers Property Casualty Corp. 6.375% 3/15/33

6,275

6,045

90,239

Real Estate Investment Trusts - 2.3%

Archstone-Smith Operating Trust:

5.25% 12/1/10

5,185

5,097

5.25% 5/1/15

12,430

11,824

Boston Properties, Inc. 6.25% 1/15/13

7,487

7,638

Brandywine Operating Partnership LP:

5.625% 12/15/10

10,855

10,720

5.75% 4/1/12

9,625

9,527

Camden Property Trust:

5.875% 6/1/07

6,320

6,333

5.875% 11/30/12

6,435

6,423

Colonial Properties Trust:

4.75% 2/1/10

12,060

11,624

5.5% 10/1/15

10,330

9,789

6.875% 8/15/12

5,000

5,213

Developers Diversified Realty Corp.:

4.625% 8/1/10

975

934

5% 5/3/10

6,840

6,673

5.25% 4/15/11

5,400

5,277

5.375% 10/15/12

5,485

5,331

Equity Residential 5.125% 3/15/16

10,765

10,082

Federal Realty Investment Trust:

6% 7/15/12

3,355

3,387

6.2% 1/15/17

2,215

2,232

Healthcare Realty Trust, Inc. 5.125% 4/1/14

4,130

3,849

HRPT Properties Trust 5.75% 11/1/15

2,925

2,827

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

iStar Financial, Inc.:

5.65% 9/15/11

$ 11,340

$ 11,188

5.8% 3/15/11

14,250

14,149

Liberty Property LP 6.375% 8/15/12

4,617

4,750

Mack-Cali Realty LP 5.05% 4/15/10

1,270

1,233

Simon Property Group LP:

4.6% 6/15/10

8,400

8,108

5.1% 6/15/15

16,415

15,354

5.45% 3/15/13

8,720

8,525

5.75% 12/1/15

10,655

10,436

Tanger Properties LP 6.15% 11/15/15

17,300

16,987

United Dominion Realty Trust 5.25% 1/15/15

1,950

1,836

Washington (REIT) 5.95% 6/15/11

10,660

10,722

228,068

Real Estate Management & Development - 0.9%

EOP Operating LP:

4.65% 10/1/10

19,625

18,766

4.75% 3/15/14

14,345

13,201

5.875% 1/15/13

7,592

7,522

6.75% 2/15/12

9,295

9,676

7.5% 4/19/29

5,985

6,407

7.75% 11/15/07

12,245

12,554

Post Apartment Homes LP 6.3% 6/1/13

11,550

11,646

Regency Centers LP 6.75% 1/15/12

12,435

12,996

92,768

Thrifts & Mortgage Finance - 1.1%

Independence Community Bank Corp.:

3.75% 4/1/14 (h)

7,640

7,272

4.9% 9/23/10

33,700

32,587

Residential Capital Corp.:

6.375% 6/30/10

19,180

19,115

6.5% 4/17/13

8,915

8,869

6.875% 6/30/15

10,955

11,110

Washington Mutual, Inc.:

4.625% 4/1/14

18,130

16,504

5.7956% 9/17/12 (h)

19,000

19,022

114,479

TOTAL FINANCIALS

1,033,123

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

INDUSTRIALS - 2.2%

Aerospace & Defense - 0.1%

Bombardier, Inc.:

6.3% 5/1/14 (c)

$ 3,000

$ 2,625

7.45% 5/1/34 (c)

15,035

12,629

15,254

Airlines - 1.5%

American Airlines, Inc. pass thru trust certificates:

6.855% 10/15/10

1,222

1,236

6.978% 10/1/12

3,162

3,233

7.024% 4/15/11

4,465

4,510

7.324% 4/15/11

13,531

13,159

7.858% 4/1/13

26,059

27,362

Continental Airlines, Inc. pass thru trust certificates:

6.32% 11/1/08

7,178

7,188

6.545% 8/2/20

4,416

4,405

6.648% 3/15/19

7,281

7,302

6.795% 2/2/20

2,412

2,291

7.056% 3/15/11

705

723

Delta Air Lines, Inc. pass thru trust certificates:

7.111% 3/18/13

16,260

16,219

7.57% 11/18/10

8,108

8,138

U.S. Airways pass thru trust certificates 6.85% 7/30/19

7,408

7,501

United Airlines pass thru certificates:

6.071% 9/1/14

5,825

5,833

6.201% 3/1/10

3,383

3,357

6.602% 9/1/13

10,243

10,257

7.032% 4/1/12

6,912

7,050

7.186% 10/1/12

17,099

17,227

7.811% 10/1/09

4,909

5,154

152,145

Industrial Conglomerates - 0.1%

Hutchison Whampoa International 03/33 Ltd. 7.45% 11/24/33 (c)

9,550

10,327

Road & Rail - 0.1%

CSX Corp. 6.75% 3/15/11

9,000

9,400

Transportation Infrastructure - 0.4%

BNSF Funding Trust I 6.613% 12/15/55 (h)

38,188

36,347

TOTAL INDUSTRIALS

223,473

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

INFORMATION TECHNOLOGY - 0.4%

Electronic Equipment & Instruments - 0.2%

Avnet, Inc. 6% 9/1/15

$ 14,850

$ 14,112

Semiconductors & Semiconductor Equipment - 0.2%

Chartered Semiconductor Manufacturing Ltd.:

5.75% 8/3/10

9,825

9,671

6.375% 8/3/15

13,495

13,001

22,672

Software - 0.0%

Oracle Corp./Ozark Holding, Inc. 5% 1/15/11

2,500

2,435

TOTAL INFORMATION TECHNOLOGY

39,219

MATERIALS - 0.3%

Chemicals - 0.1%

Agrium, Inc. 7.125% 5/23/36

11,735

11,872

Metals & Mining - 0.1%

Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (c)

3,460

3,555

Paper & Forest Products - 0.1%

International Paper Co. 4.25% 1/15/09

11,580

11,190

TOTAL MATERIALS

26,617

TELECOMMUNICATION SERVICES - 3.0%

Diversified Telecommunication Services - 2.6%

Ameritech Capital Funding Corp. 6.25% 5/18/09

6,440

6,501

AT&T, Inc. 6.8% 5/15/36

5,985

6,022

BellSouth Capital Funding Corp. 7.875% 2/15/30

9,250

10,223

British Telecommunications PLC 8.375% 12/15/10

1,779

1,970

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

11,230

10,640

Embarq Corp.:

7.082% 6/1/16

17,205

17,315

7.995% 6/1/36

12,817

13,148

KT Corp. 5.875% 6/24/14 (c)

7,455

7,379

Sprint Capital Corp.:

6.875% 11/15/28

14,975

15,152

7.625% 1/30/11

11,500

12,274

Telecom Italia Capital SA:

4% 1/15/10

14,810

13,940

4.875% 10/1/10

18,035

17,343

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telecom Italia Capital SA: - continued

4.95% 9/30/14

$ 11,250

$ 10,232

6.375% 11/15/33

19,850

18,391

Telefonica Emisiones SAU 7.045% 6/20/36

45,800

47,043

TELUS Corp. yankee 7.5% 6/1/07

18,550

18,831

Verizon Global Funding Corp.:

5.85% 9/15/35

7,208

6,402

7.75% 12/1/30

15,467

16,888

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

10,520

10,785

260,479

Wireless Telecommunication Services - 0.4%

America Movil SA de CV 6.375% 3/1/35

13,585

12,541

Nextel Communications, Inc. 5.95% 3/15/14

10,170

9,941

Vodafone Group PLC:

5% 12/16/13

7,380

6,895

5.5% 6/15/11

15,385

15,154

44,531

TOTAL TELECOMMUNICATION SERVICES

305,010

UTILITIES - 3.8%

Electric Utilities - 1.6%

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

11,490

11,246

Entergy Corp. 7.75% 12/15/09 (c)

12,500

13,175

Exelon Corp. 4.9% 6/15/15

27,100

24,968

FirstEnergy Corp. 6.45% 11/15/11

5,815

5,977

Nevada Power Co. 6.5% 5/15/18 (c)

24,160

23,699

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

10,150

10,332

Pacific Gas & Electric Co.:

4.2% 3/1/11

2,855

2,695

4.8% 3/1/14

2,670

2,514

Pepco Holdings, Inc. 4% 5/15/10

9,275

8,712

Progress Energy, Inc.:

7% 10/30/31

6,000

6,346

7.1% 3/1/11

12,875

13,604

Public Service Co. of Colorado:

5.5% 4/1/14

7,500

7,389

7.875% 10/1/12

5,630

6,261

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

UTILITIES - continued

Electric Utilities - continued

Southern California Edison Co.:

4.65% 4/1/15

$ 990

$ 910

5% 1/15/14

585

558

Southwestern Public Service Co. 5.125% 11/1/06

5,000

4,993

TXU Energy Co. LLC 7% 3/15/13

10,903

11,227

154,606

Gas Utilities - 0.1%

Consolidated Natural Gas Co. 6.85% 4/15/11

2,735

2,845

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

7,915

8,375

11,220

Independent Power Producers & Energy Traders - 0.8%

Constellation Energy Group, Inc. 7% 4/1/12

8,730

9,161

Duke Capital LLC:

4.331% 11/16/06

3,435

3,420

5.668% 8/15/14

13,400

12,936

Exelon Generation Co. LLC 5.35% 1/15/14

26,963

25,939

PPL Energy Supply LLC 6.2% 5/15/16

11,895

11,938

PSEG Power LLC 7.75% 4/15/11

11,000

11,834

TXU Corp. 5.55% 11/15/14

7,555

6,862

82,090

Multi-Utilities - 1.3%

Dominion Resources, Inc.:

4.75% 12/15/10

13,875

13,341

5.95% 6/15/35

31,910

29,285

7.5% 6/30/66 (h)

12,110

12,185

DTE Energy Co. 7.05% 6/1/11

6,255

6,545

Duke Energy Corp. 5.625% 11/30/12

12,290

12,203

MidAmerican Energy Holdings, Inc. 6.125% 4/1/36 (c)

23,640

22,748

National Grid PLC 6.3% 8/1/16

26,485

26,662

TECO Energy, Inc. 7% 5/1/12

11,415

11,415

134,384

TOTAL UTILITIES

382,300

TOTAL NONCONVERTIBLE BONDS

(Cost $2,524,827)

2,476,340

U.S. Government and Government Agency Obligations - 17.2%

Principal Amount (000s)

Value
(000s)

U.S. Government Agency Obligations - 2.5%

Fannie Mae:

4.375% 7/17/13

$ 24,005

$ 22,620

6.25% 2/1/11 (e)

115,475

119,187

Freddie Mac:

5.25% 11/5/12

8,420

8,221

5.875% 3/21/11

90,065

91,585

Tennessee Valley Authority 5.375% 4/1/56

15,097

14,553

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

256,166

U.S. Treasury Inflation Protected Obligations - 5.3%

U.S. Treasury Inflation-Indexed Notes 2% 1/15/14 (e)

548,694

533,514

U.S. Treasury Obligations - 9.4%

U.S. Treasury Bond - principal STRIPS:

2/15/15

289,357

189,799

5/15/30

108,558

32,495

U.S. Treasury Bonds 8% 11/15/21

61,152

79,287

U.S. Treasury Notes:

4% 4/15/10

47,197

45,748

4.25% 8/15/13

18,280

17,541

4.25% 8/15/14 (d)

199,025

189,838

U.S. Treasury Notes - principal STRIPS:

2/15/10

100,000

84,168

8/15/10

89,775

74,065

2/15/12

241,630

184,900

8/15/12

57,120

42,716

TOTAL U.S. TREASURY OBLIGATIONS

940,557

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,748,577)

1,730,237

U.S. Government Agency - Mortgage Securities - 28.9%

Fannie Mae - 26.1%

3.732% 1/1/35 (h)

528

516

3.746% 12/1/34 (h)

985

963

3.757% 10/1/33 (h)

1,277

1,246

3.77% 12/1/34 (h)

78

77

3.791% 6/1/34 (h)

5,667

5,497

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

3.81% 6/1/33 (h)

$ 270

$ 265

3.839% 11/1/34 (h)

7,082

6,994

3.84% 1/1/35 (h)

3,521

3,446

3.843% 1/1/35 (h)

310

303

3.847% 5/1/34 (h)

31,653

30,761

3.879% 6/1/33 (h)

4,885

4,797

3.897% 10/1/34 (h)

386

380

3.923% 5/1/34 (h)

383

386

3.926% 12/1/34 (h)

327

322

3.94% 11/1/34 (h)

2,338

2,310

3.951% 1/1/35 (h)

410

404

3.952% 12/1/34 (h)

321

317

3.952% 12/1/34 (h)

7,779

7,667

3.957% 5/1/33 (h)

421

414

3.987% 12/1/34 (h)

393

386

3.997% 12/1/34 (h)

215

212

3.997% 1/1/35 (h)

262

259

4% 7/1/18 to 9/1/18

16,663

15,579

4.004% 2/1/35 (h)

1,079

1,063

4.015% 12/1/34 (h)

589

582

4.022% 1/1/35 (h)

2,177

2,147

4.037% 1/1/35 (h)

252

249

4.037% 1/1/35 (h)

151

149

4.039% 2/1/35 (h)

990

976

4.049% 10/1/18 (h)

1,089

1,068

4.065% 1/1/35 (h)

570

561

4.077% 2/1/35 (h)

1,920

1,894

4.082% 4/1/33 (h)

418

413

4.084% 2/1/35 (h)

739

729

4.089% 2/1/35 (h)

698

688

4.092% 11/1/34 (h)

464

459

4.1% 2/1/35 (h)

3,644

3,599

4.106% 1/1/35 (h)

2,181

2,152

4.114% 1/1/35 (h)

601

593

4.116% 2/1/35 (h)

2,422

2,391

4.129% 1/1/35 (h)

3,696

3,650

4.149% 2/1/35 (h)

1,925

1,901

4.161% 1/1/35 (h)

1,076

1,069

4.172% 1/1/35 (h)

2,589

2,517

4.177% 1/1/35 (h)

1,884

1,861

4.179% 11/1/34 (h)

131

129

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

4.202% 1/1/35 (h)

$ 1,134

$ 1,121

4.216% 1/1/34 (h)

5,763

5,663

4.249% 1/1/34 (h)

3,692

3,625

4.25% 2/1/35 (h)

1,315

1,278

4.25% 2/1/35 (h)

699

691

4.274% 8/1/33 (h)

2,452

2,421

4.275% 3/1/35 (h)

1,205

1,189

4.289% 12/1/34 (h)

195

192

4.306% 5/1/35 (h)

1,666

1,647

4.314% 3/1/33 (h)

663

644

4.333% 9/1/34 (h)

1,824

1,819

4.348% 9/1/34 (h)

4,358

4,350

4.355% 1/1/35 (h)

1,360

1,325

4.362% 2/1/34 (h)

2,837

2,791

4.366% 4/1/35 (h)

808

798

4.392% 11/1/34 (h)

11,187

11,118

4.396% 10/1/34 (h)

7,547

7,392

4.396% 2/1/35 (h)

2,003

1,951

4.396% 5/1/35 (h)

3,767

3,726

4.429% 10/1/34 (h)

5,873

5,843

4.431% 1/1/35 (h)

1,552

1,537

4.44% 3/1/35 (h)

1,821

1,775

4.459% 8/1/34 (h)

3,813

3,751

4.473% 5/1/35 (h)

1,320

1,305

4.486% 1/1/35 (h)

1,800

1,786

4.493% 3/1/35 (h)

4,156

4,061

4.498% 8/1/34 (h)

702

704

4.5% 12/1/17 to 4/1/35

342,200

325,414

4.5% 8/1/21 (d)

4,810

4,593

4.516% 3/1/35 (h)

3,925

3,834

4.525% 2/1/35 (h)

16,113

15,890

4.536% 2/1/35 (h)

7,942

7,875

4.545% 2/1/35 (h)

1,225

1,214

4.545% 7/1/35 (h)

4,698

4,647

4.547% 2/1/35 (h)

845

838

4.574% 2/1/35 (h)

3,645

3,571

4.575% 7/1/35 (h)

5,716

5,655

4.586% 2/1/35 (h)

8,974

8,782

4.614% 11/1/34 (h)

3,916

3,849

4.666% 3/1/35 (h)

7,016

6,965

4.669% 11/1/34 (h)

4,429

4,359

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

4.716% 7/1/35 (h)

$ 8,922

$ 8,674

4.726% 7/1/34 (h)

3,624

3,577

4.776% 12/1/34 (h)

3,400

3,346

4.791% 12/1/34 (h)

1,343

1,320

4.796% 8/1/35 (h)

19,592

19,221

4.797% 12/1/32 (h)

1,705

1,699

4.811% 6/1/35 (h)

6,604

6,556

4.876% 10/1/34 (h)

11,706

11,567

5% 12/1/17 to 7/1/36

152,441

144,278

5% 8/1/36 (d)

60,000

56,770

5% 8/1/36 (d)

160,000

151,387

5% 8/1/36 (d)

199,321

188,592

5% 8/1/36 (d)

34,000

32,170

5.082% 9/1/34 (h)

9,388

9,322

5.094% 9/1/34 (h)

1,416

1,406

5.097% 5/1/35 (h)

8,352

8,328

5.174% 5/1/35 (h)

10,515

10,420

5.202% 6/1/35 (h)

5,805

5,797

5.215% 5/1/35 (h)

10,840

10,749

5.24% 3/1/35 (h)

780

775

5.349% 12/1/34 (h)

2,281

2,276

5.5% 1/1/09 to 7/1/36

424,796

414,285

5.5% 8/1/36 (d)

35,000

33,988

5.5% 8/1/36 (d)

273,365

265,462

5.5% 8/1/36 (d)

163,230

158,511

5.5% 8/1/36 (d)

20,645

20,048

5.506% 2/1/36 (h)

18,832

18,787

5.628% 2/1/36 (h)

21,868

21,866

5.927% 1/1/36 (h)

5,079

5,092

6% 4/1/13 to 9/1/32

40,604

40,522

6% 8/1/21 (d)

2,562

2,584

6% 8/1/21 (d)

313

316

6% 8/1/36 (d)

9,075

9,016

6.5% 3/1/07 to 6/1/36

142,018

144,157

6.5% 8/1/36 (d)

163,230

165,117

6.5% 8/1/36 (d)

14,391

14,558

7% 5/1/13 to 10/1/32

32,215

33,175

7.5% 9/1/25 to 8/1/29

4,758

4,950

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

9.5% 4/1/17 to 2/1/25

$ 394

$ 435

12.5% 1/1/15 to 7/1/15

10

11

TOTAL FANNIE MAE

2,617,440

Freddie Mac - 1.5%

4.042% 12/1/34 (h)

1,342

1,319

4.086% 12/1/34 (h)

1,929

1,898

4.133% 1/1/35 (h)

1,735

1,708

4.26% 3/1/35 (h)

1,694

1,669

4.288% 5/1/35 (h)

3,012

2,971

4.3% 12/1/34 (h)

1,933

1,876

4.331% 1/1/35 (h)

4,160

4,103

4.357% 3/1/35 (h)

2,829

2,747

4.383% 2/1/35 (h)

3,572

3,469

4.441% 2/1/34 (h)

1,739

1,706

4.445% 3/1/35 (h)

1,801

1,752

4.457% 6/1/35 (h)

2,528

2,491

4.461% 3/1/35 (h)

2,027

1,971

4.475% 3/1/35 (h)

5,136

4,997

4.5% 5/1/19

4,218

4,024

4.545% 2/1/35 (h)

2,904

2,829

5.004% 4/1/35 (h)

6,687

6,643

5.133% 4/1/35 (h)

6,747

6,658

5.253% 2/1/36 (h)

68,472

67,716

5.5% 3/1/25

10,362

10,152

5.512% 8/1/33 (h)

218

218

6% 5/1/33

16,361

16,349

8.5% 1/1/25 to 9/1/27

632

678

TOTAL FREDDIE MAC

149,944

Government National Mortgage Association - 1.3%

5.5% 4/15/29 to 5/15/34

17,565

17,224

6% 10/15/08 to 10/15/30

8,190

8,242

6.5% 3/15/26 to 2/15/33

4,145

4,239

6.5% 8/1/36 (d)

68,140

69,386

7% 3/15/23 to 12/15/32

30,219

31,274

7.5% 1/15/07 to 8/15/28

1,960

2,047

8% 9/15/24 to 5/15/32

165

175

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Government National Mortgage Association - continued

8.5% 8/15/29 to 1/15/31

$ 88

$ 94

9% 4/15/23

4

4

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

132,685

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $2,916,790)

2,900,069

Asset-Backed Securities - 4.6%

ACE Securities Corp. Series 2004-HE1:

Class M1, 5.885% 2/25/34 (h)

3,275

3,283

Class M2, 6.485% 2/25/34 (h)

3,700

3,729

Aircraft Lease Securitization Ltd. Series 2005-1
Class C1, 9.0869% 9/9/30 (c)(h)

2,724

2,771

AmeriCredit Automobile Receivables Trust Series 2005-1 Class E, 5.82% 6/6/12 (c)

2,742

2,739

Ameriquest Mortgage Securities, Inc. Series 2004-R2:

Class M1, 5.815% 4/25/34 (h)

1,835

1,835

Class M2, 5.865% 4/25/34 (h)

1,425

1,425

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE7 Class A3, 5.7288% 12/15/33 (h)

1,151

1,155

Series 2004-HE2 Class M1, 5.935% 4/25/34 (h)

9,700

9,780

Bank One Issuance Trust:

Series 2002-C1 Class C1, 6.3288% 12/15/09 (h)

11,295

11,353

Series 2004-B2 Class B2, 4.37% 4/15/12

13,800

13,392

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 5.85% 2/28/44 (h)

5,457

5,468

Capital Auto Receivables Asset Trust:

Series 2004-2 Class A2, 3.35% 2/15/08

12,485

12,390

Series 2006-1 Class D, 7.16% 1/15/13 (c)

4,195

4,166

Capital One Multi-Asset Execution Trust Series 2004-6 Class B, 4.15% 7/16/12

11,570

11,146

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

5,813

5,699

Chase Credit Card Owner Trust Series 2004-1 Class B, 5.5688% 5/15/09 (h)

6,220

6,220

Citibank Credit Card Issuance Trust Series 2005-B1
Class B1, 4.4% 9/15/10

6,384

6,243

CNH Equipment Trust Series 2006-A Class A4, 5.27% 9/15/11

34,085

33,968

Asset-Backed Securities - continued

Principal Amount (000s)

Value
(000s)

Countrywide Home Loans, Inc.:

Series 2004-2 Class M1, 5.885% 5/25/34 (h)

$ 11,345

$ 11,389

Series 2004-3 Class M1, 5.885% 6/25/34 (h)

2,175

2,186

Series 2005-3 Class MV1, 5.805% 8/25/35 (h)

12,300

12,338

CPS Auto Receivables Trust Series 2006-A Class A4, 5.33% 11/15/12 (c)

6,560

6,490

Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A:

Class B, 4.878% 6/15/35 (c)

7,921

7,716

Class C, 5.074% 6/15/35 (c)

7,190

7,019

DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (c)

5,545

5,612

Fieldstone Mortgage Investment Corp. Series 2003-1 Class M2, 7.135% 11/25/33 (h)

648

650

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 5.935% 3/25/34 (h)

600

601

Class M4, 6.285% 3/25/34 (h)

450

453

Ford Credit Auto Owner Trust Series 2005-A Class B, 3.88% 1/15/10

5,151

5,001

Fremont Home Loan Trust Series 2005-A:

Class M1, 5.815% 1/25/35 (h)

2,550

2,567

Class M2, 5.845% 1/25/35 (h)

3,650

3,669

Class M3, 5.875% 1/25/35 (h)

1,975

1,989

GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (c)

11,808

11,600

GSAMP Trust:

Series 2004-FM2:

Class M1, 5.885% 1/25/34 (h)

4,994

4,994

Class M2, 6.485% 1/25/34 (h)

2,300

2,300

Class M3, 6.685% 1/25/34 (h)

2,300

2,300

Series 2004-OPT Class A1, 5.725% 11/25/34 (h)

5,700

5,714

Home Equity Asset Trust:

Series 2003-2 Class M1, 6.265% 8/25/33 (h)

3,739

3,747

Series 2003-4 Class M1, 6.185% 10/25/33 (h)

3,495

3,506

HSBC Home Equity Loan Trust Series 2005-2:

Class M1, 5.8381% 1/20/35 (h)

2,900

2,907

Class M2, 5.8681% 1/20/35 (h)

2,177

2,185

Hyundai Auto Receivables Trust Series 2004-1 Class A4, 5.26% 11/15/12

32,795

32,645

Lancer Funding Ltd. Series 2006-1A Class A3, 7.1856% 4/6/46 (c)(h)

2,314

2,320

MBNA Credit Card Master Note Trust:

Series 2001-B2 Class B2, 5.7288% 1/15/09 (h)

33,400

33,397

Series 2003-B2 Class B2, 5.7588% 10/15/10 (h)

2,155

2,166

Asset-Backed Securities - continued

Principal Amount (000s)

Value
(000s)

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 5.885% 7/25/34 (h)

$ 3,150

$ 3,156

Class M2, 5.935% 7/25/34 (h)

575

576

Class M3, 6.335% 7/25/34 (h)

1,175

1,182

Class M4, 6.485% 7/25/34 (h)

785

790

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 6.485% 12/27/32 (h)

2,830

2,855

Series 2003-NC8 Class M1, 6.085% 9/25/33 (h)

3,930

3,944

Series 2004-NC2 Class M1, 5.935% 12/25/33 (h)

4,061

4,086

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 6.885% 1/25/32 (h)

3,906

3,910

Series 2002-NC1 Class M1, 6.585% 2/25/32 (c)(h)

4,363

4,484

Series 2002-NC3 Class M1, 6.105% 8/25/32 (h)

2,308

2,311

National Collegiate Funding LLC Series 2004-GT1
Class IO1, 7.87% 6/25/10 (c)(h)(j)

12,180

3,358

National Collegiate Student Loan Trust:

Series 2004-2 Class AIO, 9.75% 10/25/14 (j)

12,615

5,337

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

6,500

1,359

Nissan Auto Lease Trust Series 2003-A Class A3B, 2.57% 6/15/09

689

688

NovaStar Home Equity Loan Series 2004-1:

Class M1, 5.835% 6/25/34 (h)

2,097

2,107

Class M4, 6.36% 6/25/34 (h)

3,585

3,614

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

6,069

6,010

Ownit Mortgage Loan Asset-Backed Certificates Series 2005-3 Class A2A, 5.505% 6/25/36 (h)

10,776

10,777

Saxon Asset Securities Trust Series 2004-1 Class M1, 5.915% 3/25/35 (h)

6,910

6,921

SLM Private Credit Student Loan Trust Series 2004-A Class C, 6.2794% 6/15/33 (h)

7,301

7,389

Specialty Underwriting & Residential Finance Series 2003-BC4 Class M1, 5.985% 11/25/34 (h)

2,830

2,846

Structured Asset Securities Corp. Series 2006-BC1
Class B1, 7.885% 3/25/36 (c)(h)

4,513

3,951

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 5.8188% 3/15/11 (c)(h)

9,340

9,340

Terwin Mortgage Trust Series 2006-9HGA Class A1, 5.451% 10/25/37 (c)(d)(h)

36,642

36,627

Asset-Backed Securities - continued

Principal Amount (000s)

Value
(000s)

WFS Financial Owner Trust Class 2004-3 Series A3, 3.3% 3/17/09

$ 9,777

$ 9,707

Whinstone Capital Management Ltd. Series 1A Class B3, 6.385% 10/25/44 (c)(h)

12,445

12,445

TOTAL ASSET-BACKED SECURITIES

(Cost $465,707)

463,993

Collateralized Mortgage Obligations - 10.9%

Private Sponsor - 5.7%

Adjustable Rate Mortgage Trust floater Series 2005-1 Class 5A2, 5.715% 5/25/35 (h)

7,255

7,235

Bank of America Mortgage Securities, Inc.:

Series 2003-K:

Class 1A1, 3.373% 12/25/33 (h)

1,581

1,590

Class 2A1, 4.164% 12/25/33 (h)

7,023

6,872

Series 2003-L Class 2A1, 3.9734% 1/25/34 (h)

13,182

12,812

Series 2004-1 Class 2A2, 4.6984% 10/25/34 (h)

11,364

11,146

Series 2004-B:

Class 1A1, 3.4304% 3/25/34 (h)

3,213

3,243

Class 2A2, 4.106% 3/25/34 (h)

4,971

4,829

Series 2004-C Class 1A1, 3.351% 4/25/34 (h)

6,966

7,002

Series 2004-D:

Class 1A1, 3.5315% 5/25/34 (h)

9,366

9,279

Class 2A2, 4.1994% 5/25/34 (h)

13,680

13,314

Series 2004-G Class 2A7, 4.5637% 8/25/34 (h)

10,393

10,170

Series 2004-H Class 2A1, 4.4722% 9/25/34 (h)

10,991

10,731

Series 2004-J:

Class 1A2, 4.2846% 11/25/34 (h)

3,558

3,532

Class 2A1, 4.7795% 11/25/34 (h)

18,861

18,521

Series 2005-E Class 2A7, 4.6123% 6/25/35 (h)

11,900

11,461

Bear Stearns Adjustable Rate Mortgage Trust Series 2005-6 Class 1A1, 5.1058% 8/25/35 (h)

14,423

14,320

Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, 5.665% 1/25/35 (h)

25,716

25,758

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR3 Class 6A2, 5.755% 4/25/34 (h)

1,139

1,140

Series 2004-AR6 Class 9A2, 5.755% 10/25/34 (h)

2,255

2,259

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 5.4981% 10/11/41 (c)(h)

12,935

12,935

Granite Master Issuer PLC floater:

Series 2005-2 Class M1, 5.4294% 12/20/54 (h)

19,250

19,261

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

Private Sponsor - continued

Granite Master Issuer PLC floater: - continued

Series 2006-1A Class C2, 5.7894% 12/20/54 (c)(h)

$ 9,100

$ 9,098

Series 2006-2 Class C1, 5.97% 12/20/54 (h)

22,100

22,104

JPMorgan Mortgage Trust Series 2005-A8 Class 2A3, 4.9596% 11/25/35 (h)

3,370

3,302

Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34

1,733

1,704

Master Asset Securitization Trust Series 2004-9
Class 7A1, 6.3284% 5/25/17 (h)

9,988

9,959

Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.236% 8/25/17 (h)

7,442

7,518

Merrill Lynch Mortgage Investors, Inc. floater:

Series 2004-E Class A2B, 5.4394% 11/25/29 (h)

6,350

6,349

Series 2004-G Class A2, 5.8719% 11/25/29 (h)

4,178

4,182

Series 2005-B Class A2, 5.5475% 7/25/30 (h)

6,476

6,477

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 5.675% 7/25/35 (h)

16,378

16,396

Residential Asset Mortgage Products, Inc. sequential pay:

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

3,563

3,575

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

1,323

1,334

Residential Finance LP/Residential Finance Development Corp. floater:

Series 2003-B:

Class B3, 6.895% 7/10/35 (c)(h)

13,337

13,566

Class B4, 7.095% 7/10/35 (c)(h)

10,121

10,313

Class B5, 7.695% 7/10/35 (c)(h)

9,554

9,816

Class B6, 8.195% 7/10/35 (c)(h)

4,351

4,443

Series 2003-CB1:

Class B3, 6.795% 6/10/35 (c)(h)

4,625

4,706

Class B4, 6.995% 6/10/35 (c)(h)

4,140

4,219

Class B5, 7.595% 6/10/35 (c)(h)

2,826

2,890

Class B6, 8.095% 6/10/35 (c)(h)

1,677

1,703

Series 2004-A:

Class B4, 6.545% 2/10/36 (c)(h)

5,793

5,891

Class B5, 7.045% 2/10/36 (c)(h)

3,862

3,945

Series 2004-B:

Class B4, 6.445% 2/10/36 (c)(h)

2,127

2,168

Class B5, 6.895% 2/10/36 (c)(h)

1,450

1,466

Class B6, 7.345% 2/10/36 (c)(h)

387

390

Series 2004-C:

Class B4, 6.295% 9/10/36 (h)

2,728

2,756

Class B5, 6.695% 9/10/36 (h)

3,020

3,044

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

Private Sponsor - continued

Residential Finance LP/Residential Finance Development Corp. floater: - continued

Series 2004-C:

Class B6, 7.095% 9/10/36 (h)

$ 487

$ 491

Sequoia Mortgage Trust floater:

Series 2004-12 Class 1A2, 5.82% 1/20/35 (h)

11,842

11,872

Series 2004-4 Class A, 5.48% 5/20/34 (h)

9,579

9,577

Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 5.695% 7/25/35 (h)

20,474

20,556

Thornburg Mortgage Securities Trust floater Series 2005-3:

Class A2, 5.625% 10/25/35 (h)

10,327

10,325

Class A4, 5.655% 10/25/35 (h)

18,929

18,897

Wachovia Mortgage Loan Trust LLC Series 2005-B
Class 2A4, 5.1872% 10/20/35 (h)

2,700

2,656

WaMu Mortgage pass thru certificates floater:

Series 2005-AR13 Class A1C1, 5.575% 10/25/45 (h)

21,376

21,378

Series 2005-AR19 Class A1C1, 5.575% 12/25/45 (h)

17,224

17,232

WaMu Mortgage Securities Corp. sequential pay:

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

1,374

1,409

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

2,047

2,073

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-T Class A1, 3.4552% 9/25/34 (h)

10,399

10,482

Series 2005-AR10 Class 2A2, 4.1096% 6/25/35 (h)

23,480

22,983

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

24,624

24,027

Series 2005-AR9 Class 2A1, 4.3622% 5/25/35 (h)

11,094

10,941

Series 2006-AR8 Class 2A6, 5.24% 4/25/36 (h)

19,955

19,697

TOTAL PRIVATE SPONSOR

575,320

U.S. Government Agency - 5.2%

Fannie Mae planned amortization class:

Series 2006-45 Class OP, 6/25/36 (k)

11,388

8,477

Series 2006-53 Class PB, 5.5% 1/25/30

20,373

20,131

Series 2006-64:

Class MB, 5.5% 9/25/33

14,041

13,741

Class PB, 5.5% 9/25/33

33,008

32,304

Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 5.635% 10/25/35 (h)

20,119

20,060

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Fannie Mae guaranteed REMIC pass thru certificates:

planned amortization class:

Series 2003-73 Class GA, 3.5% 5/25/31

$ 7,385

$ 6,829

Series 2003-81 Class MX, 3.5% 3/25/24

14,829

14,484

Series 2006-57 Class PC, 5.5% 10/25/32

14,081

13,783

sequential pay:

Series 2003-112 Class AN, 4% 11/25/18

16,358

14,565

Series 2004-3 Class BA, 4% 7/25/17

1,306

1,249

Series 2004-70 Class GB, 4.5% 1/25/32

5,962

5,515

Series 2004-86 Class KC, 4.5% 5/25/19

5,732

5,496

Series 2004-95 Class AN, 5.5% 1/25/25

4,681

4,683

Freddie Mac planned amortization class:

Series 3033 Class UD, 5.5% 10/15/30

8,345

8,269

Series 3159 Class TC, 5.5% 6/15/32

7,522

7,375

Series 3178:

Class PB, 5.5% 4/15/30

23,374

23,115

Class PC, 5.5% 12/15/32

7,453

7,305

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 1669 Class H, 6.5% 7/15/23

15,730

15,834

Series 2006-15 Class OP, 3/25/36 (k)

12,946

9,065

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

8,296

8,378

Series 2498 Class PD, 5.5% 2/15/16

4,278

4,269

Series 2614 Class TD, 3.5% 5/15/16

47,402

44,703

Series 2649 Class TQ, 3.5% 12/15/21

17,001

16,681

Series 2665 Class PB, 3.5% 6/15/23

2,441

2,380

Series 2689 Class HC, 3.5% 9/15/26

6,612

6,358

Series 2695 Class GC, 4.5% 11/15/18

11,641

11,146

Series 2760 Class EB, 4.5% 9/15/16

28,779

27,677

Series 2773 Class EG, 4.5% 4/15/19

6,187

5,697

Series 2775:

Class OD, 4.5% 10/15/17

20,875

19,789

Class OE, 4.5% 4/15/19

31,083

28,591

Series 2836 Class EG, 5% 12/15/32

40,221

37,835

Series 3018 Class UD, 5.5% 9/15/30

9,555

9,465

Series 3075 Class PB, 5.5% 7/15/30

18,780

18,604

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

Series 3078 Class PB, 5.5% 7/15/29

$ 32,145

$ 31,842

sequential pay Series 2750 Class ZT, 5% 2/15/34

11,174

9,457

TOTAL U.S. GOVERNMENT AGENCY

515,152

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $1,098,842)

1,090,472

Commercial Mortgage Securities - 5.6%

Banc of America Commercial Mortgage, Inc.:

Series 2005-1 Class A3, 4.877% 11/10/42

14,465

14,183

Series 2005-3 Series A3B, 5.09% 7/10/43 (h)

22,475

21,870

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

Class A, 6.2288% 7/14/11 (c)(h)

10,873

10,852

Class B, 6.3288% 7/14/11 (c)(h)

5,432

5,417

Class C, 6.4788% 7/14/11 (c)(h)

10,879

10,841

Class D, 7.1088% 7/14/11 (c)(h)

6,275

6,256

Bayview Commercial Asset Trust floater:

Series 2004-1:

Class A, 5.745% 4/25/34 (c)(h)

7,352

7,370

Class B, 7.285% 4/25/34 (c)(h)

831

839

Class M1, 5.945% 4/25/34 (c)(h)

639

642

Class M2, 6.585% 4/25/34 (c)(h)

639

646

Series 2004-2 Class A, 5.815% 8/25/34 (c)(h)

7,601

7,630

Series 2004-3:

Class A1, 5.755% 1/25/35 (c)(h)

8,990

9,018

Class A2, 5.805% 1/25/35 (c)(h)

1,296

1,298

Class M1, 5.885% 1/25/35 (c)(h)

1,539

1,548

Class M2, 6.385% 1/25/35 (c)(h)

1,012

1,025

Bear Stearns Commercial Mortgage Securities, Inc.:

sequential pay:

Series 2003-PWR2 Class A3, 4.834% 5/11/39

6,850

6,649

Series 2004-ESA Class A3, 4.741% 5/14/16 (c)

4,785

4,714

Series 2004-ESA:

Class B, 4.888% 5/14/16 (c)

7,720

7,615

Class C, 4.937% 5/14/16 (c)

3,395

3,353

Class D, 4.986% 5/14/16 (c)

1,980

1,958

Class E, 5.064% 5/14/16 (c)

6,160

6,110

Class F, 5.182% 5/14/16 (c)

1,480

1,469

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Chase Commercial Mortgage Securities Corp.:

Series 2000-3 Class G 6.887% 10/15/32 (c)

$ 9,742

$ 9,917

Series 2001-245 Class A2, 6.4842% 2/12/16 (c)(h)

5,760

5,955

Commercial Mortgage pass thru certificates:

floater Series 2005-F10A:

Class B, 5.5988% 4/15/17 (c)(h)

10,865

10,866

Class C, 5.6388% 4/15/17 (c)(h)

4,615

4,615

Class D, 5.6788% 4/15/17 (c)(h)

3,750

3,752

Class I, 6.2188% 4/15/17 (c)(h)

520

520

Class MOA3, 5.6688% 3/15/20 (c)(h)

7,035

7,036

sequential pay Series 2006-CN2A Class A2FX, 5.449% 2/5/19 (c)

8,415

8,372

CS First Boston Mortgage Securities Corp.:

floater Series 2005-TFLA:

Class C, 5.6088% 2/15/20 (c)(h)

8,630

8,635

Class E, 5.6988% 2/15/20 (c)(h)

6,025

6,031

Class F, 5.7488% 2/15/20 (c)(h)

2,665

2,667

Class G, 5.8888% 2/15/20 (c)(h)

770

770

Class H, 6.1188% 2/15/20 (c)(h)

1,095

1,096

sequential pay Series 2000-C1 Class A2, 7.545% 4/15/62

6,800

7,212

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

3,840

3,961

Series 1998-C1 Class D, 7.17% 5/17/40

7,455

7,895

Series 1999-C1 Class E, 8.142% 9/15/41 (h)

10,335

11,064

Series 2004-C1 Class ASP, 1.0481% 1/15/37 (c)(h)(j)

186,936

5,455

Series 2006-OMA:

Class H, 5.9985% 5/15/23 (c)(h)

2,825

2,684

Class J, 5.9985% 5/15/23 (c)(h)

4,770

4,492

Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31

5,730

5,907

DLJ Commercial Mortgage Corp. sequential pay Series 2000-CF1 Class A1B, 7.62% 6/10/33

10,000

10,675

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (c)

3,135

3,289

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

2,118

2,134

GE Commercial Mortgage Corp. Series 2004-C1
Class X2, 1.2837% 11/10/38 (h)(j)

102,008

3,569

Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8831% 10/16/23 (h)

1,653

1,672

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Ginnie Mae guaranteed REMIC pass thru securities:

sequential pay:

Series 2003-22 Class B, 3.963% 5/16/32

$ 11,925

$ 11,325

Series 2003-47 Class C, 4.227% 10/16/27

11,116

10,741

Series 2003-59 Class D, 3.654% 10/16/27

18,000

16,626

Series 2003-47 Class XA, 0.1793% 6/16/43 (h)(j)

44,768

2,450

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.885% 12/10/41 (h)(j)

16,722

398

Greenwich Capital Commercial Funding Corp.:

sequential pay Series 2004-GG1 Class A4, 4.755% 6/10/36

4,940

4,831

Series 2006-GG7 Class A3, 6.1101% 7/10/38

14,490

14,763

GS Mortgage Securities Corp. II:

sequential pay:

Series 2001-LIBA Class A2, 6.615% 2/14/16 (c)

15,710

16,439

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

9,075

8,852

Series 1998-GLII Class E, 7.1907% 4/13/31 (h)

1,710

1,748

Series 2006-GG6 Class A2, 5.506% 4/10/38 (h)

22,025

21,998

Hilton Hotel Pool Trust Series 2000-HLTA Class D, 7.555% 10/3/15 (c)

9,690

10,211

Host Marriott Pool Trust sequential pay Series 1999-HMTA Class B, 7.3% 8/3/15 (c)

3,485

3,656

JPMorgan Chase Commercial Mortgage Securities Corp. sequential pay Series 2005-LDP2 Class A2, 4.575% 7/15/42

11,425

11,055

LB-UBS Commercial Mortgage Trust:

sequential pay Series 2005-C3 Class A2, 4.553% 7/15/30

5,345

5,185

Series 2001-C3 Class B, 6.512% 6/15/36

8,035

8,376

Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class C, 4.13% 11/20/37 (c)

11,400

10,040

Merrill Lynch Mortgage Trust sequential pay:

Series 2005-CIP1 Class A2, 4.96% 7/12/38

3,545

3,475

Series 2005-MCP1 Class A2, 4.556% 6/12/43

6,475

6,260

Merrill Lynch-CFC Commercial Mortgage Trust sequential pay Series 2006-1 CLass A3, 5.671% 2/12/39

10,640

10,573

Morgan Stanley Capital I Trust Series 2006-T23:

Class A1, 5.682% 8/12/41

5,765

5,809

Class A3, 5.98% 8/12/41

5,105

5,174

Morgan Stanley Capital I, Inc. Series 2006-HQ8
Class A3, 5.6142% 3/12/16 (h)

15,510

15,365

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

7,175

7,247

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Thirteen Affiliates of General Growth Properties, Inc. sequential pay Series 1 Class A2, 6.602% 11/15/07 (c)

$ 9,000

$ 9,113

Trizechahn Office Properties Trust Series 2001-TZHA Class E3, 7.253% 3/15/13 (c)

5,069

5,174

Wachovia Bank Commercial Mortgage Trust:

sequential pay:

Series 2003-C8 Class A3, 4.445% 11/15/35

17,105

16,440

Series 2006-C24 Class A2, 5.506% 3/15/45

40,465

40,371

Series 2004-C15:

Class 180A, 5.5782% 10/15/41 (c)(h)

6,690

6,461

Class 180B, 5.5782% 10/15/41 (c)(h)

3,000

2,921

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $574,364)

564,621

Municipal Securities - 0.1%

Chicago Board of Ed. Series A, 5.5% 12/1/30 (AMBAC Insured)
(Cost $5,891)

5,000

5,710

Foreign Government and Government Agency Obligations - 0.5%

Israeli State 4.625% 6/15/13

12,555

11,687

United Mexican States:

5.875% 1/15/14

26,380

26,340

6.75% 9/27/34

11,265

11,490

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $49,950)

49,517

Supranational Obligations - 0.1%

Corporacion Andina de Fomento 6.875% 3/15/12
(Cost $6,514)

6,585

6,898

Fixed-Income Funds - 16.5%

Shares

Fidelity Specialized High Income Central Investment Portfolio (i)

1,000,451

97,334

Fidelity Ultra-Short Central Fund (i)

15,681,630

1,560,009

TOTAL FIXED-INCOME FUNDS

(Cost $1,660,912)

1,657,343

Preferred Securities - 0.1%

Principal Amount (000s)

Value
(000s)

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

MUFG Capital Finance 1 Ltd. 6.346% (h)

$ 15,235

$ 14,917

TOTAL PREFERRED SECURITIES

(Cost $15,235)

14,917

Cash Equivalents - 4.4%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Government Obligations) in a joint trading account at:

5.3%, dated 7/31/06 due 8/1/06 (a)

$ 433,502

433,438

5.3%, dated 7/31/06 due 8/1/06

11,210

11,208

TOTAL CASH EQUIVALENTS

(Cost $444,646)

444,646

TOTAL INVESTMENT PORTFOLIO - 113.5%

(Cost $11,512,255)

11,404,763

NET OTHER ASSETS - (13.5)%

(1,356,940)

NET ASSETS - 100% (l)

$ 10,047,823

Swap Agreements

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class B3, 7.2913% 9/25/34

Oct. 2034

$ 3,200

$ 53

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 3.3% and pay to Morgan Stanley, Inc. upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.885% 11/25/34

Dec. 2034

$ 3,380

$ 58

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.885% 8/25/34

Sept. 2034

2,971

66

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7 Class B3, 7.6913% 7/25/34

August 2034

2,971

62

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34

Oct. 2034

2,971

70

Receive monthly notional amount multiplied by .55% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2004-WCW1 Class M4, 6.835% 9/25/34

Oct. 2034

9,300

(7)

Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WCH1 Class M6, 6.365% 1/25/35

Feb. 2035

3,200

0

Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34

August 2034

2,971

24

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly notional amount multiplied by .85% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. 6.105% 5/25/35

June 2034

$ 3,200

$ 4

Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34

Nov. 2034

2,971

20

Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34

Oct. 2034

2,971

26

Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35

June 2035

2,730

1

Receive monthly notional amount multiplied by 1.65% and pay Goldman Sachs upon default event of Fieldstone Mortgage Investment Corp., par value of the notional amount of Fieldstone Mortgage Investment Corp. Series 2004-2 Class M5, 6.3413% 7/25/34

August 2034

2,221

22

Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35

June 2035

2,971

6

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32

April 2032

374

2

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34

March 2034

$ 2,223

$ 9

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34

Feb. 2034

644

1

Receive monthly notional amount multiplied by 2.7% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.41% 5/25/35

June 2035

10,445

(34)

Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon default event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35

March 2035

7,465

67

Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33

May 2033

2,971

35

Receive quarterly notional amount multiplied by .20% and pay Lehman Brothers, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 5 Index, par value of the proportional notional amount (f)

Dec. 2007

149,000

255

Receive quarterly notional amount multiplied by .30% and pay Deutsche Bank upon default event of Entergy Corp., par value of the notional amount of Entergy Corp. 7.75% 12/15/09

March 2008

17,065

23

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive quarterly notional amount multiplied by .30% and pay Goldman Sachs upon default event of Entergy Corp., par value of the notional amount of Entergy Corp. 7.75% 12/15/09

March 2008

$ 12,540

$ 17

Receive quarterly notional amount multiplied by .31% and pay Deutsche Bank upon default of Altria Group, Inc., par value of the notional amount of Altria Group 7% 11/4/13

June 2008

61,000

184

Receive quarterly notional amount multiplied by .34% and pay Goldman Sachs upon default event of Duke Energy Corp. par value of the notional amount of Duke Energy Corp. 6.25% 1/15/12

March 2011

17,600

67

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

Sept. 2010

11,200

38

Receive quarterly notional amount multiplied by .38% and pay Bank of America upon default event of Pacific Gas & Electric Co., par value of the notional amount of Pacific Gas & Electric Co. 4.8% 3/1/14

March 2011

17,600

71

Receive quarterly notional amount multiplied by .40% and pay Lehman Brothers, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 6 Index, par value of the proportional notional amount (g)

June 2011

96,800

14

Receive quarterly notional amount multiplied by .48% and pay Goldman Sachs upon default event of TXU Corp., par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13

Sept. 2008

35,000

169

Receive semi-annually notional amount multiplied by .5% and pay Credit Suisse First Boston upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30

June 2008

22,335

59

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive semi-annually notional amount multiplied by .5% and pay Deutsche Bank upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30

June 2008

$ 14,815

$ 38

Receive semi-annually notional amount multiplied by .53% and pay Credit Suisse First Boston upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30

June 2008

12,150

39

Receive semi-annually notional amount multiplied by .625% and pay Deutsche Bank upon default event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33

May 2011

63,135

306

Receive semi-annually notional amount multiplied by .665% and pay Deutsche Bank upon default event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33

May 2011

20,000

131

Receive semi-annually notional amount multiplied by .735% and pay Deutsche Bank upon default event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33

May 2011

13,100

126

TOTAL CREDIT DEFAULT SWAPS

635,490

2,022

Interest Rate Swaps

Receive quarterly a fixed rate equal to 4.4771% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

August 2010

140,000

(4,711)

Receive quarterly a fixed rate equal to 4.898% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

July 2014

32,550

(1,197)

Receive quarterly a fixed rate equal to 5.13% and pay quarterly a floating rate based on 3-month LIBOR with Citibank

March 2009

280,030

1,837

Receive semi-annually a fixed rate equal to 4.745% and pay quarterly a floating rate based on 3-month LIBOR with UBS

Jan. 2011

70,000

(1,862)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps - continued

Receive semi-annually a fixed rate equal to 4.921% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Dec. 2008

$ 315,000

$ (3,427)

Receive semi-annually a fixed rate equal to 5.2075% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank

March 2011

160,000

678

TOTAL INTEREST RATE SWAPS

997,580

(8,682)

Total Return Swaps

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 25 basis points with Citibank

Oct. 2006

105,000

1,437

Receive quarterly a return equal to Banc of America Securities LLC AAA 10 Yr Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 15 basis points with Bank of America

August 2006

33,000

202

TOTAL TOTAL RETURN SWAPS

138,000

1,639

$ 1,771,070

$ (5,021)

Legend

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

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

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $752,918,000 or 7.5% of net assets.

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

(e) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $12,138,000.

(f) Dow Jones CDX N.A. Investment Grade 5 is a tradable index of credit default swaps on investment grade debt of U.S. companies.

(g) Dow Jones CDX N.A. Investment Grade 6 is a tradable index of credit default swaps on investment grade debt of U.S. companies.

(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 fixed-income central fund, as of the investing fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the fixed-income central fund's financial statements are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.

(j) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool.

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

(l) On July 28, 2006, the fund acquired all of the assets and assumed all of the liabilities of Spartan Investment Grade Bond Fund.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the fund from the affiliated Central funds is as follows:

Fund

Income earned
(Amounts in thousands)

Fidelity Specialized High Income Central Investment Portfolio

$ 1,198

Fidelity Ultra-Short Central Fund

21,256

Total

$ 22,454

Additional information regarding the fund's fiscal year to date purchases and sales, including the ownership percentage, of the following fixed income 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 Specialized High Income Central Investment Portfolio

$ 69,107

$ 29,167*

$ -

$ 97,334

47.6%

Fidelity Ultra-Short Central Fund

1,560,165

-

-

1,560,009

20.3%

Total

$ 1,629,272

$ -

$ -

$ 1,657,343

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

Income Tax Information

At July 31, 2006, the aggregate cost of investment securities for income tax purposes was $11,507,145,000. Net unrealized depreciation aggregated $102,382,000, of which $52,973,000 related to appreciated investment securities and $155,355,000 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. Swaps are marked-to-market daily based on dealer-supplied valuations. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Advisor Investment Grade Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

July 31, 2006

Class A, Class T, Class B, Class C and
Institutional Class
are classes of Fidelity®
Investment Grade Bond Fund

1.804863.102

AIGB-QTLY-0906

Investments July 31, 2006 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 24.6%

Principal Amount (000s)

Value
(000s)

CONSUMER DISCRETIONARY - 2.6%

Automobiles - 0.5%

Ford Motor Co.:

6.375% 2/1/29

$ 11,350

$ 8,172

6.625% 10/1/28

6,365

4,583

7.45% 7/16/31

40,245

29,580

General Motors Corp. 8.375% 7/15/33 (b)

13,140

10,775

53,110

Household Durables - 0.2%

Fortune Brands, Inc. 5.125% 1/15/11

17,520

16,968

Media - 1.9%

Comcast Corp.:

4.95% 6/15/16

23,509

21,299

5.5% 3/15/11

5,890

5,836

5.85% 1/15/10

6,275

6,299

6.45% 3/15/37

17,500

16,606

Cox Communications, Inc.:

4.625% 1/15/10

9,500

9,128

7.125% 10/1/12

17,915

18,655

Liberty Media Corp.:

5.7% 5/15/13

8,500

7,820

8.25% 2/1/30

19,105

18,756

News America Holdings, Inc. 7.75% 12/1/45

8,175

8,725

News America, Inc. 6.2% 12/15/34

11,825

10,827

TCI Communications, Inc. 9.8% 2/1/12

19,400

22,498

Time Warner Entertainment Co. LP:

8.875% 10/1/12

750

846

10.15% 5/1/12

500

587

Time Warner, Inc. 6.625% 5/15/29

22,900

22,102

Univision Communications, Inc. 3.875% 10/15/08

9,840

9,344

Viacom, Inc. 5.75% 4/30/11 (c)

18,040

17,704

197,032

TOTAL CONSUMER DISCRETIONARY

267,110

CONSUMER STAPLES - 0.3%

Beverages - 0.1%

FBG Finance Ltd. 5.125% 6/15/15 (c)

11,020

10,235

Food Products - 0.1%

H.J. Heinz Co. 6.428% 12/1/08 (c)(h)

12,360

12,569

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

CONSUMER STAPLES - continued

Tobacco - 0.1%

Altria Group, Inc. 7% 11/4/13

$ 5,910

$ 6,347

TOTAL CONSUMER STAPLES

29,151

ENERGY - 1.7%

Energy Equipment & Services - 0.1%

Cooper Cameron Corp. 2.65% 4/15/07

9,550

9,351

Oil, Gas & Consumable Fuels - 1.6%

Canadian Oil Sands Ltd. 4.8% 8/10/09 (c)

12,390

12,043

Kerr-McGee Corp. 6.95% 7/1/24

19,000

19,665

Kinder Morgan Energy Partners LP 5.8% 3/15/35

5,405

4,727

Kinder Morgan Finance Co. ULC 5.35% 1/5/11

23,860

22,300

Louis Dreyfus Natural Gas Corp. 6.875% 12/1/07

7,700

7,813

National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (c)

5,985

5,466

Pemex Project Funding Master Trust:

5.75% 12/15/15 (c)

15,330

14,605

5.75% 12/15/15

12,500

11,909

6.625% 6/15/35 (c)

18,536

17,788

6.625% 6/15/35

65

62

7.375% 12/15/14

33,610

35,796

Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 (c)

9,120

8,812

160,986

TOTAL ENERGY

170,337

FINANCIALS - 10.3%

Capital Markets - 1.2%

Bank of New York Co., Inc.:

3.4% 3/15/13 (h)

7,500

7,253

4.25% 9/4/12 (h)

8,565

8,458

Goldman Sachs Group, Inc.:

5.25% 10/15/13

19,220

18,581

6.45% 5/1/36

21,260

20,877

Lazard Group LLC 7.125% 5/15/15

16,430

16,766

Merrill Lynch & Co., Inc. 4.25% 2/8/10

21,840

20,911

Morgan Stanley 6.6% 4/1/12

17,435

18,227

Nuveen Investments, Inc. 5% 9/15/10

11,055

10,714

121,787

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

FINANCIALS - continued

Commercial Banks - 1.6%

Bank One Corp. 5.25% 1/30/13

$ 13,775

$ 13,472

Corporacion Andina de Fomento 5.2% 5/21/13

3,910

3,752

Export-Import Bank of Korea:

4.125% 2/10/09 (c)

4,240

4,093

5.125% 2/14/11

23,860

23,247

5.25% 2/10/14 (c)

7,225

6,956

HSBC Holdings PLC 6.5% 5/2/36

11,470

11,636

KeyCorp Capital Trust VII 5.7% 6/15/35

18,660

16,225

Korea Development Bank:

3.875% 3/2/09

18,270

17,540

4.75% 7/20/09

8,155

7,977

5.75% 9/10/13

14,578

14,477

PNC Funding Corp. 4.2% 3/10/08

2,280

2,232

Santander Issuances SA Unipersonal 5.805% 6/20/16 (c)(h)

9,620

9,635

Wachovia Bank NA 4.875% 2/1/15

20,250

18,956

Wachovia Corp. 4.875% 2/15/14

1,791

1,696

Wells Fargo Bank NA, San Francisco 7.55% 6/21/10

5,100

5,475

157,369

Consumer Finance - 0.9%

General Electric Capital Corp.:

5.5% 4/28/11

36,350

36,365

6.75% 3/15/32

7,635

8,305

Household Finance Corp. 4.125% 11/16/09

20,856

19,992

HSBC Finance Corp. 6.75% 5/15/11

14,395

15,058

MBNA America Bank NA 4.625% 8/3/09

5,000

4,890

84,610

Diversified Financial Services - 1.4%

BAC Capital Trust XI 6.625% 5/23/36

24,475

24,938

Citigroup, Inc. 6% 2/21/12

5,960

6,084

ILFC E-Capital Trust II 6.25% 12/21/65 (c)(h)

4,325

4,171

JPMorgan Chase & Co.:

4.875% 3/15/14

10,460

9,842

4.891% 9/1/15 (h)

5,380

5,222

5.6% 6/1/11

21,015

21,058

5.75% 1/2/13

2,935

2,937

JPMorgan Chase Capital XVII 5.85% 8/1/35

19,490

17,612

Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (c)

15,505

15,339

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

FINANCIALS - continued

Diversified Financial Services - continued

Prime Property Funding, Inc. 5.125% 6/1/15 (c)

$ 13,035

$ 12,084

ZFS Finance USA Trust I 6.15% 12/15/65 (c)(h)

17,990

17,469

ZFS Finance USA Trust II 6.45% 12/15/65 (c)(h)

7,500

7,047

143,803

Insurance - 0.9%

Assurant, Inc. 5.625% 2/15/14

6,095

5,927

Axis Capital Holdings Ltd. 5.75% 12/1/14

21,815

20,788

Lincoln National Corp. 7% 5/17/66 (h)

28,920

29,368

QBE Insurance Group Ltd. 5.647% 7/1/23 (c)(h)

18,775

17,904

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

10,405

10,207

Travelers Property Casualty Corp. 6.375% 3/15/33

6,275

6,045

90,239

Real Estate Investment Trusts - 2.3%

Archstone-Smith Operating Trust:

5.25% 12/1/10

5,185

5,097

5.25% 5/1/15

12,430

11,824

Boston Properties, Inc. 6.25% 1/15/13

7,487

7,638

Brandywine Operating Partnership LP:

5.625% 12/15/10

10,855

10,720

5.75% 4/1/12

9,625

9,527

Camden Property Trust:

5.875% 6/1/07

6,320

6,333

5.875% 11/30/12

6,435

6,423

Colonial Properties Trust:

4.75% 2/1/10

12,060

11,624

5.5% 10/1/15

10,330

9,789

6.875% 8/15/12

5,000

5,213

Developers Diversified Realty Corp.:

4.625% 8/1/10

975

934

5% 5/3/10

6,840

6,673

5.25% 4/15/11

5,400

5,277

5.375% 10/15/12

5,485

5,331

Equity Residential 5.125% 3/15/16

10,765

10,082

Federal Realty Investment Trust:

6% 7/15/12

3,355

3,387

6.2% 1/15/17

2,215

2,232

Healthcare Realty Trust, Inc. 5.125% 4/1/14

4,130

3,849

HRPT Properties Trust 5.75% 11/1/15

2,925

2,827

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

iStar Financial, Inc.:

5.65% 9/15/11

$ 11,340

$ 11,188

5.8% 3/15/11

14,250

14,149

Liberty Property LP 6.375% 8/15/12

4,617

4,750

Mack-Cali Realty LP 5.05% 4/15/10

1,270

1,233

Simon Property Group LP:

4.6% 6/15/10

8,400

8,108

5.1% 6/15/15

16,415

15,354

5.45% 3/15/13

8,720

8,525

5.75% 12/1/15

10,655

10,436

Tanger Properties LP 6.15% 11/15/15

17,300

16,987

United Dominion Realty Trust 5.25% 1/15/15

1,950

1,836

Washington (REIT) 5.95% 6/15/11

10,660

10,722

228,068

Real Estate Management & Development - 0.9%

EOP Operating LP:

4.65% 10/1/10

19,625

18,766

4.75% 3/15/14

14,345

13,201

5.875% 1/15/13

7,592

7,522

6.75% 2/15/12

9,295

9,676

7.5% 4/19/29

5,985

6,407

7.75% 11/15/07

12,245

12,554

Post Apartment Homes LP 6.3% 6/1/13

11,550

11,646

Regency Centers LP 6.75% 1/15/12

12,435

12,996

92,768

Thrifts & Mortgage Finance - 1.1%

Independence Community Bank Corp.:

3.75% 4/1/14 (h)

7,640

7,272

4.9% 9/23/10

33,700

32,587

Residential Capital Corp.:

6.375% 6/30/10

19,180

19,115

6.5% 4/17/13

8,915

8,869

6.875% 6/30/15

10,955

11,110

Washington Mutual, Inc.:

4.625% 4/1/14

18,130

16,504

5.7956% 9/17/12 (h)

19,000

19,022

114,479

TOTAL FINANCIALS

1,033,123

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

INDUSTRIALS - 2.2%

Aerospace & Defense - 0.1%

Bombardier, Inc.:

6.3% 5/1/14 (c)

$ 3,000

$ 2,625

7.45% 5/1/34 (c)

15,035

12,629

15,254

Airlines - 1.5%

American Airlines, Inc. pass thru trust certificates:

6.855% 10/15/10

1,222

1,236

6.978% 10/1/12

3,162

3,233

7.024% 4/15/11

4,465

4,510

7.324% 4/15/11

13,531

13,159

7.858% 4/1/13

26,059

27,362

Continental Airlines, Inc. pass thru trust certificates:

6.32% 11/1/08

7,178

7,188

6.545% 8/2/20

4,416

4,405

6.648% 3/15/19

7,281

7,302

6.795% 2/2/20

2,412

2,291

7.056% 3/15/11

705

723

Delta Air Lines, Inc. pass thru trust certificates:

7.111% 3/18/13

16,260

16,219

7.57% 11/18/10

8,108

8,138

U.S. Airways pass thru trust certificates 6.85% 7/30/19

7,408

7,501

United Airlines pass thru certificates:

6.071% 9/1/14

5,825

5,833

6.201% 3/1/10

3,383

3,357

6.602% 9/1/13

10,243

10,257

7.032% 4/1/12

6,912

7,050

7.186% 10/1/12

17,099

17,227

7.811% 10/1/09

4,909

5,154

152,145

Industrial Conglomerates - 0.1%

Hutchison Whampoa International 03/33 Ltd. 7.45% 11/24/33 (c)

9,550

10,327

Road & Rail - 0.1%

CSX Corp. 6.75% 3/15/11

9,000

9,400

Transportation Infrastructure - 0.4%

BNSF Funding Trust I 6.613% 12/15/55 (h)

38,188

36,347

TOTAL INDUSTRIALS

223,473

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

INFORMATION TECHNOLOGY - 0.4%

Electronic Equipment & Instruments - 0.2%

Avnet, Inc. 6% 9/1/15

$ 14,850

$ 14,112

Semiconductors & Semiconductor Equipment - 0.2%

Chartered Semiconductor Manufacturing Ltd.:

5.75% 8/3/10

9,825

9,671

6.375% 8/3/15

13,495

13,001

22,672

Software - 0.0%

Oracle Corp./Ozark Holding, Inc. 5% 1/15/11

2,500

2,435

TOTAL INFORMATION TECHNOLOGY

39,219

MATERIALS - 0.3%

Chemicals - 0.1%

Agrium, Inc. 7.125% 5/23/36

11,735

11,872

Metals & Mining - 0.1%

Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (c)

3,460

3,555

Paper & Forest Products - 0.1%

International Paper Co. 4.25% 1/15/09

11,580

11,190

TOTAL MATERIALS

26,617

TELECOMMUNICATION SERVICES - 3.0%

Diversified Telecommunication Services - 2.6%

Ameritech Capital Funding Corp. 6.25% 5/18/09

6,440

6,501

AT&T, Inc. 6.8% 5/15/36

5,985

6,022

BellSouth Capital Funding Corp. 7.875% 2/15/30

9,250

10,223

British Telecommunications PLC 8.375% 12/15/10

1,779

1,970

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

11,230

10,640

Embarq Corp.:

7.082% 6/1/16

17,205

17,315

7.995% 6/1/36

12,817

13,148

KT Corp. 5.875% 6/24/14 (c)

7,455

7,379

Sprint Capital Corp.:

6.875% 11/15/28

14,975

15,152

7.625% 1/30/11

11,500

12,274

Telecom Italia Capital SA:

4% 1/15/10

14,810

13,940

4.875% 10/1/10

18,035

17,343

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telecom Italia Capital SA: - continued

4.95% 9/30/14

$ 11,250

$ 10,232

6.375% 11/15/33

19,850

18,391

Telefonica Emisiones SAU 7.045% 6/20/36

45,800

47,043

TELUS Corp. yankee 7.5% 6/1/07

18,550

18,831

Verizon Global Funding Corp.:

5.85% 9/15/35

7,208

6,402

7.75% 12/1/30

15,467

16,888

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

10,520

10,785

260,479

Wireless Telecommunication Services - 0.4%

America Movil SA de CV 6.375% 3/1/35

13,585

12,541

Nextel Communications, Inc. 5.95% 3/15/14

10,170

9,941

Vodafone Group PLC:

5% 12/16/13

7,380

6,895

5.5% 6/15/11

15,385

15,154

44,531

TOTAL TELECOMMUNICATION SERVICES

305,010

UTILITIES - 3.8%

Electric Utilities - 1.6%

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

11,490

11,246

Entergy Corp. 7.75% 12/15/09 (c)

12,500

13,175

Exelon Corp. 4.9% 6/15/15

27,100

24,968

FirstEnergy Corp. 6.45% 11/15/11

5,815

5,977

Nevada Power Co. 6.5% 5/15/18 (c)

24,160

23,699

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

10,150

10,332

Pacific Gas & Electric Co.:

4.2% 3/1/11

2,855

2,695

4.8% 3/1/14

2,670

2,514

Pepco Holdings, Inc. 4% 5/15/10

9,275

8,712

Progress Energy, Inc.:

7% 10/30/31

6,000

6,346

7.1% 3/1/11

12,875

13,604

Public Service Co. of Colorado:

5.5% 4/1/14

7,500

7,389

7.875% 10/1/12

5,630

6,261

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

UTILITIES - continued

Electric Utilities - continued

Southern California Edison Co.:

4.65% 4/1/15

$ 990

$ 910

5% 1/15/14

585

558

Southwestern Public Service Co. 5.125% 11/1/06

5,000

4,993

TXU Energy Co. LLC 7% 3/15/13

10,903

11,227

154,606

Gas Utilities - 0.1%

Consolidated Natural Gas Co. 6.85% 4/15/11

2,735

2,845

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

7,915

8,375

11,220

Independent Power Producers & Energy Traders - 0.8%

Constellation Energy Group, Inc. 7% 4/1/12

8,730

9,161

Duke Capital LLC:

4.331% 11/16/06

3,435

3,420

5.668% 8/15/14

13,400

12,936

Exelon Generation Co. LLC 5.35% 1/15/14

26,963

25,939

PPL Energy Supply LLC 6.2% 5/15/16

11,895

11,938

PSEG Power LLC 7.75% 4/15/11

11,000

11,834

TXU Corp. 5.55% 11/15/14

7,555

6,862

82,090

Multi-Utilities - 1.3%

Dominion Resources, Inc.:

4.75% 12/15/10

13,875

13,341

5.95% 6/15/35

31,910

29,285

7.5% 6/30/66 (h)

12,110

12,185

DTE Energy Co. 7.05% 6/1/11

6,255

6,545

Duke Energy Corp. 5.625% 11/30/12

12,290

12,203

MidAmerican Energy Holdings, Inc. 6.125% 4/1/36 (c)

23,640

22,748

National Grid PLC 6.3% 8/1/16

26,485

26,662

TECO Energy, Inc. 7% 5/1/12

11,415

11,415

134,384

TOTAL UTILITIES

382,300

TOTAL NONCONVERTIBLE BONDS

(Cost $2,524,827)

2,476,340

U.S. Government and Government Agency Obligations - 17.2%

Principal Amount (000s)

Value
(000s)

U.S. Government Agency Obligations - 2.5%

Fannie Mae:

4.375% 7/17/13

$ 24,005

$ 22,620

6.25% 2/1/11 (e)

115,475

119,187

Freddie Mac:

5.25% 11/5/12

8,420

8,221

5.875% 3/21/11

90,065

91,585

Tennessee Valley Authority 5.375% 4/1/56

15,097

14,553

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

256,166

U.S. Treasury Inflation Protected Obligations - 5.3%

U.S. Treasury Inflation-Indexed Notes 2% 1/15/14 (e)

548,694

533,514

U.S. Treasury Obligations - 9.4%

U.S. Treasury Bond - principal STRIPS:

2/15/15

289,357

189,799

5/15/30

108,558

32,495

U.S. Treasury Bonds 8% 11/15/21

61,152

79,287

U.S. Treasury Notes:

4% 4/15/10

47,197

45,748

4.25% 8/15/13

18,280

17,541

4.25% 8/15/14 (d)

199,025

189,838

U.S. Treasury Notes - principal STRIPS:

2/15/10

100,000

84,168

8/15/10

89,775

74,065

2/15/12

241,630

184,900

8/15/12

57,120

42,716

TOTAL U.S. TREASURY OBLIGATIONS

940,557

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,748,577)

1,730,237

U.S. Government Agency - Mortgage Securities - 28.9%

Fannie Mae - 26.1%

3.732% 1/1/35 (h)

528

516

3.746% 12/1/34 (h)

985

963

3.757% 10/1/33 (h)

1,277

1,246

3.77% 12/1/34 (h)

78

77

3.791% 6/1/34 (h)

5,667

5,497

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

3.81% 6/1/33 (h)

$ 270

$ 265

3.839% 11/1/34 (h)

7,082

6,994

3.84% 1/1/35 (h)

3,521

3,446

3.843% 1/1/35 (h)

310

303

3.847% 5/1/34 (h)

31,653

30,761

3.879% 6/1/33 (h)

4,885

4,797

3.897% 10/1/34 (h)

386

380

3.923% 5/1/34 (h)

383

386

3.926% 12/1/34 (h)

327

322

3.94% 11/1/34 (h)

2,338

2,310

3.951% 1/1/35 (h)

410

404

3.952% 12/1/34 (h)

321

317

3.952% 12/1/34 (h)

7,779

7,667

3.957% 5/1/33 (h)

421

414

3.987% 12/1/34 (h)

393

386

3.997% 12/1/34 (h)

215

212

3.997% 1/1/35 (h)

262

259

4% 7/1/18 to 9/1/18

16,663

15,579

4.004% 2/1/35 (h)

1,079

1,063

4.015% 12/1/34 (h)

589

582

4.022% 1/1/35 (h)

2,177

2,147

4.037% 1/1/35 (h)

252

249

4.037% 1/1/35 (h)

151

149

4.039% 2/1/35 (h)

990

976

4.049% 10/1/18 (h)

1,089

1,068

4.065% 1/1/35 (h)

570

561

4.077% 2/1/35 (h)

1,920

1,894

4.082% 4/1/33 (h)

418

413

4.084% 2/1/35 (h)

739

729

4.089% 2/1/35 (h)

698

688

4.092% 11/1/34 (h)

464

459

4.1% 2/1/35 (h)

3,644

3,599

4.106% 1/1/35 (h)

2,181

2,152

4.114% 1/1/35 (h)

601

593

4.116% 2/1/35 (h)

2,422

2,391

4.129% 1/1/35 (h)

3,696

3,650

4.149% 2/1/35 (h)

1,925

1,901

4.161% 1/1/35 (h)

1,076

1,069

4.172% 1/1/35 (h)

2,589

2,517

4.177% 1/1/35 (h)

1,884

1,861

4.179% 11/1/34 (h)

131

129

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

4.202% 1/1/35 (h)

$ 1,134

$ 1,121

4.216% 1/1/34 (h)

5,763

5,663

4.249% 1/1/34 (h)

3,692

3,625

4.25% 2/1/35 (h)

1,315

1,278

4.25% 2/1/35 (h)

699

691

4.274% 8/1/33 (h)

2,452

2,421

4.275% 3/1/35 (h)

1,205

1,189

4.289% 12/1/34 (h)

195

192

4.306% 5/1/35 (h)

1,666

1,647

4.314% 3/1/33 (h)

663

644

4.333% 9/1/34 (h)

1,824

1,819

4.348% 9/1/34 (h)

4,358

4,350

4.355% 1/1/35 (h)

1,360

1,325

4.362% 2/1/34 (h)

2,837

2,791

4.366% 4/1/35 (h)

808

798

4.392% 11/1/34 (h)

11,187

11,118

4.396% 10/1/34 (h)

7,547

7,392

4.396% 2/1/35 (h)

2,003

1,951

4.396% 5/1/35 (h)

3,767

3,726

4.429% 10/1/34 (h)

5,873

5,843

4.431% 1/1/35 (h)

1,552

1,537

4.44% 3/1/35 (h)

1,821

1,775

4.459% 8/1/34 (h)

3,813

3,751

4.473% 5/1/35 (h)

1,320

1,305

4.486% 1/1/35 (h)

1,800

1,786

4.493% 3/1/35 (h)

4,156

4,061

4.498% 8/1/34 (h)

702

704

4.5% 12/1/17 to 4/1/35

342,200

325,414

4.5% 8/1/21 (d)

4,810

4,593

4.516% 3/1/35 (h)

3,925

3,834

4.525% 2/1/35 (h)

16,113

15,890

4.536% 2/1/35 (h)

7,942

7,875

4.545% 2/1/35 (h)

1,225

1,214

4.545% 7/1/35 (h)

4,698

4,647

4.547% 2/1/35 (h)

845

838

4.574% 2/1/35 (h)

3,645

3,571

4.575% 7/1/35 (h)

5,716

5,655

4.586% 2/1/35 (h)

8,974

8,782

4.614% 11/1/34 (h)

3,916

3,849

4.666% 3/1/35 (h)

7,016

6,965

4.669% 11/1/34 (h)

4,429

4,359

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

4.716% 7/1/35 (h)

$ 8,922

$ 8,674

4.726% 7/1/34 (h)

3,624

3,577

4.776% 12/1/34 (h)

3,400

3,346

4.791% 12/1/34 (h)

1,343

1,320

4.796% 8/1/35 (h)

19,592

19,221

4.797% 12/1/32 (h)

1,705

1,699

4.811% 6/1/35 (h)

6,604

6,556

4.876% 10/1/34 (h)

11,706

11,567

5% 12/1/17 to 7/1/36

152,441

144,278

5% 8/1/36 (d)

60,000

56,770

5% 8/1/36 (d)

160,000

151,387

5% 8/1/36 (d)

199,321

188,592

5% 8/1/36 (d)

34,000

32,170

5.082% 9/1/34 (h)

9,388

9,322

5.094% 9/1/34 (h)

1,416

1,406

5.097% 5/1/35 (h)

8,352

8,328

5.174% 5/1/35 (h)

10,515

10,420

5.202% 6/1/35 (h)

5,805

5,797

5.215% 5/1/35 (h)

10,840

10,749

5.24% 3/1/35 (h)

780

775

5.349% 12/1/34 (h)

2,281

2,276

5.5% 1/1/09 to 7/1/36

424,796

414,285

5.5% 8/1/36 (d)

35,000

33,988

5.5% 8/1/36 (d)

273,365

265,462

5.5% 8/1/36 (d)

163,230

158,511

5.5% 8/1/36 (d)

20,645

20,048

5.506% 2/1/36 (h)

18,832

18,787

5.628% 2/1/36 (h)

21,868

21,866

5.927% 1/1/36 (h)

5,079

5,092

6% 4/1/13 to 9/1/32

40,604

40,522

6% 8/1/21 (d)

2,562

2,584

6% 8/1/21 (d)

313

316

6% 8/1/36 (d)

9,075

9,016

6.5% 3/1/07 to 6/1/36

142,018

144,157

6.5% 8/1/36 (d)

163,230

165,117

6.5% 8/1/36 (d)

14,391

14,558

7% 5/1/13 to 10/1/32

32,215

33,175

7.5% 9/1/25 to 8/1/29

4,758

4,950

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

9.5% 4/1/17 to 2/1/25

$ 394

$ 435

12.5% 1/1/15 to 7/1/15

10

11

TOTAL FANNIE MAE

2,617,440

Freddie Mac - 1.5%

4.042% 12/1/34 (h)

1,342

1,319

4.086% 12/1/34 (h)

1,929

1,898

4.133% 1/1/35 (h)

1,735

1,708

4.26% 3/1/35 (h)

1,694

1,669

4.288% 5/1/35 (h)

3,012

2,971

4.3% 12/1/34 (h)

1,933

1,876

4.331% 1/1/35 (h)

4,160

4,103

4.357% 3/1/35 (h)

2,829

2,747

4.383% 2/1/35 (h)

3,572

3,469

4.441% 2/1/34 (h)

1,739

1,706

4.445% 3/1/35 (h)

1,801

1,752

4.457% 6/1/35 (h)

2,528

2,491

4.461% 3/1/35 (h)

2,027

1,971

4.475% 3/1/35 (h)

5,136

4,997

4.5% 5/1/19

4,218

4,024

4.545% 2/1/35 (h)

2,904

2,829

5.004% 4/1/35 (h)

6,687

6,643

5.133% 4/1/35 (h)

6,747

6,658

5.253% 2/1/36 (h)

68,472

67,716

5.5% 3/1/25

10,362

10,152

5.512% 8/1/33 (h)

218

218

6% 5/1/33

16,361

16,349

8.5% 1/1/25 to 9/1/27

632

678

TOTAL FREDDIE MAC

149,944

Government National Mortgage Association - 1.3%

5.5% 4/15/29 to 5/15/34

17,565

17,224

6% 10/15/08 to 10/15/30

8,190

8,242

6.5% 3/15/26 to 2/15/33

4,145

4,239

6.5% 8/1/36 (d)

68,140

69,386

7% 3/15/23 to 12/15/32

30,219

31,274

7.5% 1/15/07 to 8/15/28

1,960

2,047

8% 9/15/24 to 5/15/32

165

175

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Government National Mortgage Association - continued

8.5% 8/15/29 to 1/15/31

$ 88

$ 94

9% 4/15/23

4

4

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

132,685

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $2,916,790)

2,900,069

Asset-Backed Securities - 4.6%

ACE Securities Corp. Series 2004-HE1:

Class M1, 5.885% 2/25/34 (h)

3,275

3,283

Class M2, 6.485% 2/25/34 (h)

3,700

3,729

Aircraft Lease Securitization Ltd. Series 2005-1
Class C1, 9.0869% 9/9/30 (c)(h)

2,724

2,771

AmeriCredit Automobile Receivables Trust Series 2005-1 Class E, 5.82% 6/6/12 (c)

2,742

2,739

Ameriquest Mortgage Securities, Inc. Series 2004-R2:

Class M1, 5.815% 4/25/34 (h)

1,835

1,835

Class M2, 5.865% 4/25/34 (h)

1,425

1,425

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE7 Class A3, 5.7288% 12/15/33 (h)

1,151

1,155

Series 2004-HE2 Class M1, 5.935% 4/25/34 (h)

9,700

9,780

Bank One Issuance Trust:

Series 2002-C1 Class C1, 6.3288% 12/15/09 (h)

11,295

11,353

Series 2004-B2 Class B2, 4.37% 4/15/12

13,800

13,392

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 5.85% 2/28/44 (h)

5,457

5,468

Capital Auto Receivables Asset Trust:

Series 2004-2 Class A2, 3.35% 2/15/08

12,485

12,390

Series 2006-1 Class D, 7.16% 1/15/13 (c)

4,195

4,166

Capital One Multi-Asset Execution Trust Series 2004-6 Class B, 4.15% 7/16/12

11,570

11,146

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

5,813

5,699

Chase Credit Card Owner Trust Series 2004-1 Class B, 5.5688% 5/15/09 (h)

6,220

6,220

Citibank Credit Card Issuance Trust Series 2005-B1
Class B1, 4.4% 9/15/10

6,384

6,243

CNH Equipment Trust Series 2006-A Class A4, 5.27% 9/15/11

34,085

33,968

Asset-Backed Securities - continued

Principal Amount (000s)

Value
(000s)

Countrywide Home Loans, Inc.:

Series 2004-2 Class M1, 5.885% 5/25/34 (h)

$ 11,345

$ 11,389

Series 2004-3 Class M1, 5.885% 6/25/34 (h)

2,175

2,186

Series 2005-3 Class MV1, 5.805% 8/25/35 (h)

12,300

12,338

CPS Auto Receivables Trust Series 2006-A Class A4, 5.33% 11/15/12 (c)

6,560

6,490

Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A:

Class B, 4.878% 6/15/35 (c)

7,921

7,716

Class C, 5.074% 6/15/35 (c)

7,190

7,019

DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (c)

5,545

5,612

Fieldstone Mortgage Investment Corp. Series 2003-1 Class M2, 7.135% 11/25/33 (h)

648

650

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 5.935% 3/25/34 (h)

600

601

Class M4, 6.285% 3/25/34 (h)

450

453

Ford Credit Auto Owner Trust Series 2005-A Class B, 3.88% 1/15/10

5,151

5,001

Fremont Home Loan Trust Series 2005-A:

Class M1, 5.815% 1/25/35 (h)

2,550

2,567

Class M2, 5.845% 1/25/35 (h)

3,650

3,669

Class M3, 5.875% 1/25/35 (h)

1,975

1,989

GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (c)

11,808

11,600

GSAMP Trust:

Series 2004-FM2:

Class M1, 5.885% 1/25/34 (h)

4,994

4,994

Class M2, 6.485% 1/25/34 (h)

2,300

2,300

Class M3, 6.685% 1/25/34 (h)

2,300

2,300

Series 2004-OPT Class A1, 5.725% 11/25/34 (h)

5,700

5,714

Home Equity Asset Trust:

Series 2003-2 Class M1, 6.265% 8/25/33 (h)

3,739

3,747

Series 2003-4 Class M1, 6.185% 10/25/33 (h)

3,495

3,506

HSBC Home Equity Loan Trust Series 2005-2:

Class M1, 5.8381% 1/20/35 (h)

2,900

2,907

Class M2, 5.8681% 1/20/35 (h)

2,177

2,185

Hyundai Auto Receivables Trust Series 2004-1 Class A4, 5.26% 11/15/12

32,795

32,645

Lancer Funding Ltd. Series 2006-1A Class A3, 7.1856% 4/6/46 (c)(h)

2,314

2,320

MBNA Credit Card Master Note Trust:

Series 2001-B2 Class B2, 5.7288% 1/15/09 (h)

33,400

33,397

Series 2003-B2 Class B2, 5.7588% 10/15/10 (h)

2,155

2,166

Asset-Backed Securities - continued

Principal Amount (000s)

Value
(000s)

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 5.885% 7/25/34 (h)

$ 3,150

$ 3,156

Class M2, 5.935% 7/25/34 (h)

575

576

Class M3, 6.335% 7/25/34 (h)

1,175

1,182

Class M4, 6.485% 7/25/34 (h)

785

790

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 6.485% 12/27/32 (h)

2,830

2,855

Series 2003-NC8 Class M1, 6.085% 9/25/33 (h)

3,930

3,944

Series 2004-NC2 Class M1, 5.935% 12/25/33 (h)

4,061

4,086

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 6.885% 1/25/32 (h)

3,906

3,910

Series 2002-NC1 Class M1, 6.585% 2/25/32 (c)(h)

4,363

4,484

Series 2002-NC3 Class M1, 6.105% 8/25/32 (h)

2,308

2,311

National Collegiate Funding LLC Series 2004-GT1
Class IO1, 7.87% 6/25/10 (c)(h)(j)

12,180

3,358

National Collegiate Student Loan Trust:

Series 2004-2 Class AIO, 9.75% 10/25/14 (j)

12,615

5,337

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

6,500

1,359

Nissan Auto Lease Trust Series 2003-A Class A3B, 2.57% 6/15/09

689

688

NovaStar Home Equity Loan Series 2004-1:

Class M1, 5.835% 6/25/34 (h)

2,097

2,107

Class M4, 6.36% 6/25/34 (h)

3,585

3,614

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

6,069

6,010

Ownit Mortgage Loan Asset-Backed Certificates Series 2005-3 Class A2A, 5.505% 6/25/36 (h)

10,776

10,777

Saxon Asset Securities Trust Series 2004-1 Class M1, 5.915% 3/25/35 (h)

6,910

6,921

SLM Private Credit Student Loan Trust Series 2004-A Class C, 6.2794% 6/15/33 (h)

7,301

7,389

Specialty Underwriting & Residential Finance Series 2003-BC4 Class M1, 5.985% 11/25/34 (h)

2,830

2,846

Structured Asset Securities Corp. Series 2006-BC1
Class B1, 7.885% 3/25/36 (c)(h)

4,513

3,951

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 5.8188% 3/15/11 (c)(h)

9,340

9,340

Terwin Mortgage Trust Series 2006-9HGA Class A1, 5.451% 10/25/37 (c)(d)(h)

36,642

36,627

Asset-Backed Securities - continued

Principal Amount (000s)

Value
(000s)

WFS Financial Owner Trust Class 2004-3 Series A3, 3.3% 3/17/09

$ 9,777

$ 9,707

Whinstone Capital Management Ltd. Series 1A Class B3, 6.385% 10/25/44 (c)(h)

12,445

12,445

TOTAL ASSET-BACKED SECURITIES

(Cost $465,707)

463,993

Collateralized Mortgage Obligations - 10.9%

Private Sponsor - 5.7%

Adjustable Rate Mortgage Trust floater Series 2005-1 Class 5A2, 5.715% 5/25/35 (h)

7,255

7,235

Bank of America Mortgage Securities, Inc.:

Series 2003-K:

Class 1A1, 3.373% 12/25/33 (h)

1,581

1,590

Class 2A1, 4.164% 12/25/33 (h)

7,023

6,872

Series 2003-L Class 2A1, 3.9734% 1/25/34 (h)

13,182

12,812

Series 2004-1 Class 2A2, 4.6984% 10/25/34 (h)

11,364

11,146

Series 2004-B:

Class 1A1, 3.4304% 3/25/34 (h)

3,213

3,243

Class 2A2, 4.106% 3/25/34 (h)

4,971

4,829

Series 2004-C Class 1A1, 3.351% 4/25/34 (h)

6,966

7,002

Series 2004-D:

Class 1A1, 3.5315% 5/25/34 (h)

9,366

9,279

Class 2A2, 4.1994% 5/25/34 (h)

13,680

13,314

Series 2004-G Class 2A7, 4.5637% 8/25/34 (h)

10,393

10,170

Series 2004-H Class 2A1, 4.4722% 9/25/34 (h)

10,991

10,731

Series 2004-J:

Class 1A2, 4.2846% 11/25/34 (h)

3,558

3,532

Class 2A1, 4.7795% 11/25/34 (h)

18,861

18,521

Series 2005-E Class 2A7, 4.6123% 6/25/35 (h)

11,900

11,461

Bear Stearns Adjustable Rate Mortgage Trust Series 2005-6 Class 1A1, 5.1058% 8/25/35 (h)

14,423

14,320

Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, 5.665% 1/25/35 (h)

25,716

25,758

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR3 Class 6A2, 5.755% 4/25/34 (h)

1,139

1,140

Series 2004-AR6 Class 9A2, 5.755% 10/25/34 (h)

2,255

2,259

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 5.4981% 10/11/41 (c)(h)

12,935

12,935

Granite Master Issuer PLC floater:

Series 2005-2 Class M1, 5.4294% 12/20/54 (h)

19,250

19,261

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

Private Sponsor - continued

Granite Master Issuer PLC floater: - continued

Series 2006-1A Class C2, 5.7894% 12/20/54 (c)(h)

$ 9,100

$ 9,098

Series 2006-2 Class C1, 5.97% 12/20/54 (h)

22,100

22,104

JPMorgan Mortgage Trust Series 2005-A8 Class 2A3, 4.9596% 11/25/35 (h)

3,370

3,302

Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34

1,733

1,704

Master Asset Securitization Trust Series 2004-9
Class 7A1, 6.3284% 5/25/17 (h)

9,988

9,959

Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.236% 8/25/17 (h)

7,442

7,518

Merrill Lynch Mortgage Investors, Inc. floater:

Series 2004-E Class A2B, 5.4394% 11/25/29 (h)

6,350

6,349

Series 2004-G Class A2, 5.8719% 11/25/29 (h)

4,178

4,182

Series 2005-B Class A2, 5.5475% 7/25/30 (h)

6,476

6,477

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 5.675% 7/25/35 (h)

16,378

16,396

Residential Asset Mortgage Products, Inc. sequential pay:

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

3,563

3,575

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

1,323

1,334

Residential Finance LP/Residential Finance Development Corp. floater:

Series 2003-B:

Class B3, 6.895% 7/10/35 (c)(h)

13,337

13,566

Class B4, 7.095% 7/10/35 (c)(h)

10,121

10,313

Class B5, 7.695% 7/10/35 (c)(h)

9,554

9,816

Class B6, 8.195% 7/10/35 (c)(h)

4,351

4,443

Series 2003-CB1:

Class B3, 6.795% 6/10/35 (c)(h)

4,625

4,706

Class B4, 6.995% 6/10/35 (c)(h)

4,140

4,219

Class B5, 7.595% 6/10/35 (c)(h)

2,826

2,890

Class B6, 8.095% 6/10/35 (c)(h)

1,677

1,703

Series 2004-A:

Class B4, 6.545% 2/10/36 (c)(h)

5,793

5,891

Class B5, 7.045% 2/10/36 (c)(h)

3,862

3,945

Series 2004-B:

Class B4, 6.445% 2/10/36 (c)(h)

2,127

2,168

Class B5, 6.895% 2/10/36 (c)(h)

1,450

1,466

Class B6, 7.345% 2/10/36 (c)(h)

387

390

Series 2004-C:

Class B4, 6.295% 9/10/36 (h)

2,728

2,756

Class B5, 6.695% 9/10/36 (h)

3,020

3,044

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

Private Sponsor - continued

Residential Finance LP/Residential Finance Development Corp. floater: - continued

Series 2004-C:

Class B6, 7.095% 9/10/36 (h)

$ 487

$ 491

Sequoia Mortgage Trust floater:

Series 2004-12 Class 1A2, 5.82% 1/20/35 (h)

11,842

11,872

Series 2004-4 Class A, 5.48% 5/20/34 (h)

9,579

9,577

Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 5.695% 7/25/35 (h)

20,474

20,556

Thornburg Mortgage Securities Trust floater Series 2005-3:

Class A2, 5.625% 10/25/35 (h)

10,327

10,325

Class A4, 5.655% 10/25/35 (h)

18,929

18,897

Wachovia Mortgage Loan Trust LLC Series 2005-B
Class 2A4, 5.1872% 10/20/35 (h)

2,700

2,656

WaMu Mortgage pass thru certificates floater:

Series 2005-AR13 Class A1C1, 5.575% 10/25/45 (h)

21,376

21,378

Series 2005-AR19 Class A1C1, 5.575% 12/25/45 (h)

17,224

17,232

WaMu Mortgage Securities Corp. sequential pay:

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

1,374

1,409

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

2,047

2,073

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-T Class A1, 3.4552% 9/25/34 (h)

10,399

10,482

Series 2005-AR10 Class 2A2, 4.1096% 6/25/35 (h)

23,480

22,983

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

24,624

24,027

Series 2005-AR9 Class 2A1, 4.3622% 5/25/35 (h)

11,094

10,941

Series 2006-AR8 Class 2A6, 5.24% 4/25/36 (h)

19,955

19,697

TOTAL PRIVATE SPONSOR

575,320

U.S. Government Agency - 5.2%

Fannie Mae planned amortization class:

Series 2006-45 Class OP, 6/25/36 (k)

11,388

8,477

Series 2006-53 Class PB, 5.5% 1/25/30

20,373

20,131

Series 2006-64:

Class MB, 5.5% 9/25/33

14,041

13,741

Class PB, 5.5% 9/25/33

33,008

32,304

Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 5.635% 10/25/35 (h)

20,119

20,060

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Fannie Mae guaranteed REMIC pass thru certificates:

planned amortization class:

Series 2003-73 Class GA, 3.5% 5/25/31

$ 7,385

$ 6,829

Series 2003-81 Class MX, 3.5% 3/25/24

14,829

14,484

Series 2006-57 Class PC, 5.5% 10/25/32

14,081

13,783

sequential pay:

Series 2003-112 Class AN, 4% 11/25/18

16,358

14,565

Series 2004-3 Class BA, 4% 7/25/17

1,306

1,249

Series 2004-70 Class GB, 4.5% 1/25/32

5,962

5,515

Series 2004-86 Class KC, 4.5% 5/25/19

5,732

5,496

Series 2004-95 Class AN, 5.5% 1/25/25

4,681

4,683

Freddie Mac planned amortization class:

Series 3033 Class UD, 5.5% 10/15/30

8,345

8,269

Series 3159 Class TC, 5.5% 6/15/32

7,522

7,375

Series 3178:

Class PB, 5.5% 4/15/30

23,374

23,115

Class PC, 5.5% 12/15/32

7,453

7,305

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 1669 Class H, 6.5% 7/15/23

15,730

15,834

Series 2006-15 Class OP, 3/25/36 (k)

12,946

9,065

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

8,296

8,378

Series 2498 Class PD, 5.5% 2/15/16

4,278

4,269

Series 2614 Class TD, 3.5% 5/15/16

47,402

44,703

Series 2649 Class TQ, 3.5% 12/15/21

17,001

16,681

Series 2665 Class PB, 3.5% 6/15/23

2,441

2,380

Series 2689 Class HC, 3.5% 9/15/26

6,612

6,358

Series 2695 Class GC, 4.5% 11/15/18

11,641

11,146

Series 2760 Class EB, 4.5% 9/15/16

28,779

27,677

Series 2773 Class EG, 4.5% 4/15/19

6,187

5,697

Series 2775:

Class OD, 4.5% 10/15/17

20,875

19,789

Class OE, 4.5% 4/15/19

31,083

28,591

Series 2836 Class EG, 5% 12/15/32

40,221

37,835

Series 3018 Class UD, 5.5% 9/15/30

9,555

9,465

Series 3075 Class PB, 5.5% 7/15/30

18,780

18,604

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

Series 3078 Class PB, 5.5% 7/15/29

$ 32,145

$ 31,842

sequential pay Series 2750 Class ZT, 5% 2/15/34

11,174

9,457

TOTAL U.S. GOVERNMENT AGENCY

515,152

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $1,098,842)

1,090,472

Commercial Mortgage Securities - 5.6%

Banc of America Commercial Mortgage, Inc.:

Series 2005-1 Class A3, 4.877% 11/10/42

14,465

14,183

Series 2005-3 Series A3B, 5.09% 7/10/43 (h)

22,475

21,870

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

Class A, 6.2288% 7/14/11 (c)(h)

10,873

10,852

Class B, 6.3288% 7/14/11 (c)(h)

5,432

5,417

Class C, 6.4788% 7/14/11 (c)(h)

10,879

10,841

Class D, 7.1088% 7/14/11 (c)(h)

6,275

6,256

Bayview Commercial Asset Trust floater:

Series 2004-1:

Class A, 5.745% 4/25/34 (c)(h)

7,352

7,370

Class B, 7.285% 4/25/34 (c)(h)

831

839

Class M1, 5.945% 4/25/34 (c)(h)

639

642

Class M2, 6.585% 4/25/34 (c)(h)

639

646

Series 2004-2 Class A, 5.815% 8/25/34 (c)(h)

7,601

7,630

Series 2004-3:

Class A1, 5.755% 1/25/35 (c)(h)

8,990

9,018

Class A2, 5.805% 1/25/35 (c)(h)

1,296

1,298

Class M1, 5.885% 1/25/35 (c)(h)

1,539

1,548

Class M2, 6.385% 1/25/35 (c)(h)

1,012

1,025

Bear Stearns Commercial Mortgage Securities, Inc.:

sequential pay:

Series 2003-PWR2 Class A3, 4.834% 5/11/39

6,850

6,649

Series 2004-ESA Class A3, 4.741% 5/14/16 (c)

4,785

4,714

Series 2004-ESA:

Class B, 4.888% 5/14/16 (c)

7,720

7,615

Class C, 4.937% 5/14/16 (c)

3,395

3,353

Class D, 4.986% 5/14/16 (c)

1,980

1,958

Class E, 5.064% 5/14/16 (c)

6,160

6,110

Class F, 5.182% 5/14/16 (c)

1,480

1,469

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Chase Commercial Mortgage Securities Corp.:

Series 2000-3 Class G 6.887% 10/15/32 (c)

$ 9,742

$ 9,917

Series 2001-245 Class A2, 6.4842% 2/12/16 (c)(h)

5,760

5,955

Commercial Mortgage pass thru certificates:

floater Series 2005-F10A:

Class B, 5.5988% 4/15/17 (c)(h)

10,865

10,866

Class C, 5.6388% 4/15/17 (c)(h)

4,615

4,615

Class D, 5.6788% 4/15/17 (c)(h)

3,750

3,752

Class I, 6.2188% 4/15/17 (c)(h)

520

520

Class MOA3, 5.6688% 3/15/20 (c)(h)

7,035

7,036

sequential pay Series 2006-CN2A Class A2FX, 5.449% 2/5/19 (c)

8,415

8,372

CS First Boston Mortgage Securities Corp.:

floater Series 2005-TFLA:

Class C, 5.6088% 2/15/20 (c)(h)

8,630

8,635

Class E, 5.6988% 2/15/20 (c)(h)

6,025

6,031

Class F, 5.7488% 2/15/20 (c)(h)

2,665

2,667

Class G, 5.8888% 2/15/20 (c)(h)

770

770

Class H, 6.1188% 2/15/20 (c)(h)

1,095

1,096

sequential pay Series 2000-C1 Class A2, 7.545% 4/15/62

6,800

7,212

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

3,840

3,961

Series 1998-C1 Class D, 7.17% 5/17/40

7,455

7,895

Series 1999-C1 Class E, 8.142% 9/15/41 (h)

10,335

11,064

Series 2004-C1 Class ASP, 1.0481% 1/15/37 (c)(h)(j)

186,936

5,455

Series 2006-OMA:

Class H, 5.9985% 5/15/23 (c)(h)

2,825

2,684

Class J, 5.9985% 5/15/23 (c)(h)

4,770

4,492

Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31

5,730

5,907

DLJ Commercial Mortgage Corp. sequential pay Series 2000-CF1 Class A1B, 7.62% 6/10/33

10,000

10,675

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (c)

3,135

3,289

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

2,118

2,134

GE Commercial Mortgage Corp. Series 2004-C1
Class X2, 1.2837% 11/10/38 (h)(j)

102,008

3,569

Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8831% 10/16/23 (h)

1,653

1,672

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Ginnie Mae guaranteed REMIC pass thru securities:

sequential pay:

Series 2003-22 Class B, 3.963% 5/16/32

$ 11,925

$ 11,325

Series 2003-47 Class C, 4.227% 10/16/27

11,116

10,741

Series 2003-59 Class D, 3.654% 10/16/27

18,000

16,626

Series 2003-47 Class XA, 0.1793% 6/16/43 (h)(j)

44,768

2,450

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.885% 12/10/41 (h)(j)

16,722

398

Greenwich Capital Commercial Funding Corp.:

sequential pay Series 2004-GG1 Class A4, 4.755% 6/10/36

4,940

4,831

Series 2006-GG7 Class A3, 6.1101% 7/10/38

14,490

14,763

GS Mortgage Securities Corp. II:

sequential pay:

Series 2001-LIBA Class A2, 6.615% 2/14/16 (c)

15,710

16,439

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

9,075

8,852

Series 1998-GLII Class E, 7.1907% 4/13/31 (h)

1,710

1,748

Series 2006-GG6 Class A2, 5.506% 4/10/38 (h)

22,025

21,998

Hilton Hotel Pool Trust Series 2000-HLTA Class D, 7.555% 10/3/15 (c)

9,690

10,211

Host Marriott Pool Trust sequential pay Series 1999-HMTA Class B, 7.3% 8/3/15 (c)

3,485

3,656

JPMorgan Chase Commercial Mortgage Securities Corp. sequential pay Series 2005-LDP2 Class A2, 4.575% 7/15/42

11,425

11,055

LB-UBS Commercial Mortgage Trust:

sequential pay Series 2005-C3 Class A2, 4.553% 7/15/30

5,345

5,185

Series 2001-C3 Class B, 6.512% 6/15/36

8,035

8,376

Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class C, 4.13% 11/20/37 (c)

11,400

10,040

Merrill Lynch Mortgage Trust sequential pay:

Series 2005-CIP1 Class A2, 4.96% 7/12/38

3,545

3,475

Series 2005-MCP1 Class A2, 4.556% 6/12/43

6,475

6,260

Merrill Lynch-CFC Commercial Mortgage Trust sequential pay Series 2006-1 CLass A3, 5.671% 2/12/39

10,640

10,573

Morgan Stanley Capital I Trust Series 2006-T23:

Class A1, 5.682% 8/12/41

5,765

5,809

Class A3, 5.98% 8/12/41

5,105

5,174

Morgan Stanley Capital I, Inc. Series 2006-HQ8
Class A3, 5.6142% 3/12/16 (h)

15,510

15,365

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

7,175

7,247

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Thirteen Affiliates of General Growth Properties, Inc. sequential pay Series 1 Class A2, 6.602% 11/15/07 (c)

$ 9,000

$ 9,113

Trizechahn Office Properties Trust Series 2001-TZHA Class E3, 7.253% 3/15/13 (c)

5,069

5,174

Wachovia Bank Commercial Mortgage Trust:

sequential pay:

Series 2003-C8 Class A3, 4.445% 11/15/35

17,105

16,440

Series 2006-C24 Class A2, 5.506% 3/15/45

40,465

40,371

Series 2004-C15:

Class 180A, 5.5782% 10/15/41 (c)(h)

6,690

6,461

Class 180B, 5.5782% 10/15/41 (c)(h)

3,000

2,921

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $574,364)

564,621

Municipal Securities - 0.1%

Chicago Board of Ed. Series A, 5.5% 12/1/30 (AMBAC Insured)
(Cost $5,891)

5,000

5,710

Foreign Government and Government Agency Obligations - 0.5%

Israeli State 4.625% 6/15/13

12,555

11,687

United Mexican States:

5.875% 1/15/14

26,380

26,340

6.75% 9/27/34

11,265

11,490

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $49,950)

49,517

Supranational Obligations - 0.1%

Corporacion Andina de Fomento 6.875% 3/15/12
(Cost $6,514)

6,585

6,898

Fixed-Income Funds - 16.5%

Shares

Fidelity Specialized High Income Central Investment Portfolio (i)

1,000,451

97,334

Fidelity Ultra-Short Central Fund (i)

15,681,630

1,560,009

TOTAL FIXED-INCOME FUNDS

(Cost $1,660,912)

1,657,343

Preferred Securities - 0.1%

Principal Amount (000s)

Value
(000s)

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

MUFG Capital Finance 1 Ltd. 6.346% (h)

$ 15,235

$ 14,917

TOTAL PREFERRED SECURITIES

(Cost $15,235)

14,917

Cash Equivalents - 4.4%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Government Obligations) in a joint trading account at:

5.3%, dated 7/31/06 due 8/1/06 (a)

$ 433,502

433,438

5.3%, dated 7/31/06 due 8/1/06

11,210

11,208

TOTAL CASH EQUIVALENTS

(Cost $444,646)

444,646

TOTAL INVESTMENT PORTFOLIO - 113.5%

(Cost $11,512,255)

11,404,763

NET OTHER ASSETS - (13.5)%

(1,356,940)

NET ASSETS - 100% (l)

$ 10,047,823

Swap Agreements

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class B3, 7.2913% 9/25/34

Oct. 2034

$ 3,200

$ 53

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 3.3% and pay to Morgan Stanley, Inc. upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.885% 11/25/34

Dec. 2034

$ 3,380

$ 58

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.885% 8/25/34

Sept. 2034

2,971

66

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7 Class B3, 7.6913% 7/25/34

August 2034

2,971

62

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34

Oct. 2034

2,971

70

Receive monthly notional amount multiplied by .55% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2004-WCW1 Class M4, 6.835% 9/25/34

Oct. 2034

9,300

(7)

Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WCH1 Class M6, 6.365% 1/25/35

Feb. 2035

3,200

0

Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34

August 2034

2,971

24

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly notional amount multiplied by .85% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. 6.105% 5/25/35

June 2034

$ 3,200

$ 4

Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34

Nov. 2034

2,971

20

Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34

Oct. 2034

2,971

26

Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35

June 2035

2,730

1

Receive monthly notional amount multiplied by 1.65% and pay Goldman Sachs upon default event of Fieldstone Mortgage Investment Corp., par value of the notional amount of Fieldstone Mortgage Investment Corp. Series 2004-2 Class M5, 6.3413% 7/25/34

August 2034

2,221

22

Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35

June 2035

2,971

6

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32

April 2032

374

2

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34

March 2034

$ 2,223

$ 9

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34

Feb. 2034

644

1

Receive monthly notional amount multiplied by 2.7% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.41% 5/25/35

June 2035

10,445

(34)

Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon default event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35

March 2035

7,465

67

Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33

May 2033

2,971

35

Receive quarterly notional amount multiplied by .20% and pay Lehman Brothers, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 5 Index, par value of the proportional notional amount (f)

Dec. 2007

149,000

255

Receive quarterly notional amount multiplied by .30% and pay Deutsche Bank upon default event of Entergy Corp., par value of the notional amount of Entergy Corp. 7.75% 12/15/09

March 2008

17,065

23

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive quarterly notional amount multiplied by .30% and pay Goldman Sachs upon default event of Entergy Corp., par value of the notional amount of Entergy Corp. 7.75% 12/15/09

March 2008

$ 12,540

$ 17

Receive quarterly notional amount multiplied by .31% and pay Deutsche Bank upon default of Altria Group, Inc., par value of the notional amount of Altria Group 7% 11/4/13

June 2008

61,000

184

Receive quarterly notional amount multiplied by .34% and pay Goldman Sachs upon default event of Duke Energy Corp. par value of the notional amount of Duke Energy Corp. 6.25% 1/15/12

March 2011

17,600

67

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

Sept. 2010

11,200

38

Receive quarterly notional amount multiplied by .38% and pay Bank of America upon default event of Pacific Gas & Electric Co., par value of the notional amount of Pacific Gas & Electric Co. 4.8% 3/1/14

March 2011

17,600

71

Receive quarterly notional amount multiplied by .40% and pay Lehman Brothers, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 6 Index, par value of the proportional notional amount (g)

June 2011

96,800

14

Receive quarterly notional amount multiplied by .48% and pay Goldman Sachs upon default event of TXU Corp., par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13

Sept. 2008

35,000

169

Receive semi-annually notional amount multiplied by .5% and pay Credit Suisse First Boston upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30

June 2008

22,335

59

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive semi-annually notional amount multiplied by .5% and pay Deutsche Bank upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30

June 2008

$ 14,815

$ 38

Receive semi-annually notional amount multiplied by .53% and pay Credit Suisse First Boston upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30

June 2008

12,150

39

Receive semi-annually notional amount multiplied by .625% and pay Deutsche Bank upon default event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33

May 2011

63,135

306

Receive semi-annually notional amount multiplied by .665% and pay Deutsche Bank upon default event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33

May 2011

20,000

131

Receive semi-annually notional amount multiplied by .735% and pay Deutsche Bank upon default event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33

May 2011

13,100

126

TOTAL CREDIT DEFAULT SWAPS

635,490

2,022

Interest Rate Swaps

Receive quarterly a fixed rate equal to 4.4771% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

August 2010

140,000

(4,711)

Receive quarterly a fixed rate equal to 4.898% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

July 2014

32,550

(1,197)

Receive quarterly a fixed rate equal to 5.13% and pay quarterly a floating rate based on 3-month LIBOR with Citibank

March 2009

280,030

1,837

Receive semi-annually a fixed rate equal to 4.745% and pay quarterly a floating rate based on 3-month LIBOR with UBS

Jan. 2011

70,000

(1,862)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps - continued

Receive semi-annually a fixed rate equal to 4.921% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Dec. 2008

$ 315,000

$ (3,427)

Receive semi-annually a fixed rate equal to 5.2075% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank

March 2011

160,000

678

TOTAL INTEREST RATE SWAPS

997,580

(8,682)

Total Return Swaps

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 25 basis points with Citibank

Oct. 2006

105,000

1,437

Receive quarterly a return equal to Banc of America Securities LLC AAA 10 Yr Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 15 basis points with Bank of America

August 2006

33,000

202

TOTAL TOTAL RETURN SWAPS

138,000

1,639

$ 1,771,070

$ (5,021)

Legend

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

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

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $752,918,000 or 7.5% of net assets.

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

(e) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $12,138,000.

(f) Dow Jones CDX N.A. Investment Grade 5 is a tradable index of credit default swaps on investment grade debt of U.S. companies.

(g) Dow Jones CDX N.A. Investment Grade 6 is a tradable index of credit default swaps on investment grade debt of U.S. companies.

(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 fixed-income central fund, as of the investing fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the fixed-income central fund's financial statements are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.

(j) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool.

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

(l) On July 28, 2006, the fund acquired all of the assets and assumed all of the liabilities of Spartan Investment Grade Bond Fund.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the fund from the affiliated Central funds is as follows:

Fund

Income earned
(Amounts in thousands)

Fidelity Specialized High Income Central Investment Portfolio

$ 1,198

Fidelity Ultra-Short Central Fund

21,256

Total

$ 22,454

Additional information regarding the fund's fiscal year to date purchases and sales, including the ownership percentage, of the following fixed income 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 Specialized High Income Central Investment Portfolio

$ 69,107

$ 29,167*

$ -

$ 97,334

47.6%

Fidelity Ultra-Short Central Fund

1,560,165

-

-

1,560,009

20.3%

Total

$ 1,629,272

$ -

$ -

$ 1,657,343

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

Income Tax Information

At July 31, 2006, the aggregate cost of investment securities for income tax purposes was $11,507,145,000. Net unrealized depreciation aggregated $102,382,000, of which $52,973,000 related to appreciated investment securities and $155,355,000 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. Swaps are marked-to-market daily based on dealer-supplied valuations. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including 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 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 disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) for each Fund provide reasonable assurances that material information relating to such Fund 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 a Fund's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during a Fund's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, a Fund'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 Fixed-Income Trust

By:

/s/Kimberley Monasterio

Kimberley Monasterio

President and Treasurer

Date:

October 9, 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/Kimberley Monasterio

Kimberley Monasterio

President and Treasurer

Date:

October 9, 2006

By:

/s/Joseph B. Hollis

Joseph B. Hollis

Chief Financial Officer

Date:

October 9, 2006