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)

Scott C. Goebel, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:

August 31

Date of reporting period:

May 31, 2008

Item 1. Schedule of Investments

Quarterly Holdings Report
for
Fidelity ® Intermediate Bond Fund

May 31, 2008

1.804838.104

IBF-QTLY-0708

Investments May 31, 2008 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 7.6%

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 0.3%

Household Durables - 0.0%

Newell Rubbermaid, Inc. 6.25% 4/15/18

$ 2,455

$ 2,448

Media - 0.3%

Time Warner Cable, Inc. 5.85% 5/1/17

6,815

6,538

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

8,635

8,516

Viacom, Inc. 6.125% 10/5/17

4,875

4,782

19,836

TOTAL CONSUMER DISCRETIONARY

22,284

CONSUMER STAPLES - 0.8%

Beverages - 0.1%

Diageo Capital PLC 5.75% 10/23/17

9,197

9,166

Food & Staples Retailing - 0.2%

CVS Caremark Corp. 6.302% 6/1/37 (i)

13,010

11,319

Food Products - 0.2%

General Mills, Inc. 5.2% 3/17/15

5,455

5,409

Kraft Foods, Inc.:

6% 2/11/13

7,335

7,439

6.125% 2/1/18

5,621

5,498

18,346

Tobacco - 0.3%

Philip Morris International, Inc.:

4.875% 5/16/13

5,847

5,785

5.65% 5/16/18

5,539

5,419

Reynolds American, Inc. 7.25% 6/15/37

8,210

8,019

19,223

TOTAL CONSUMER STAPLES

58,054

ENERGY - 0.8%

Energy Equipment & Services - 0.1%

Weatherford International Ltd. 5.15% 3/15/13

8,565

8,489

Oil, Gas & Consumable Fuels - 0.7%

Anadarko Petroleum Corp. 6.45% 9/15/36

2,885

2,873

Energy Transfer Partners LP 6.7% 7/1/18

3,710

3,759

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

10,031

10,056

Nexen, Inc. 6.4% 5/15/37

5,370

5,167

NGPL PipeCo LLC 6.514% 12/15/12 (c)

4,590

4,691

Petro-Canada 6.05% 5/15/18

2,975

2,923

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Talisman Energy, Inc. yankee 6.25% 2/1/38

$ 3,365

$ 3,135

TEPPCO Partners LP 6.65% 4/15/18

3,744

3,795

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

6,073

5,861

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

2,725

2,759

Valero Energy Corp. 6.625% 6/15/37

3,965

3,666

48,685

TOTAL ENERGY

57,174

FINANCIALS - 3.7%

Capital Markets - 0.5%

BlackRock, Inc. 6.25% 9/15/17

9,180

9,247

Goldman Sachs Group, Inc. 6.75% 10/1/37

6,905

6,479

Lehman Brothers Holdings, Inc. 6.875% 5/2/18

5,190

5,037

Merrill Lynch & Co., Inc.:

6.15% 4/25/13

2,461

2,418

6.875% 4/25/18

2,209

2,165

UBS AG Stamford Branch 5.75% 4/25/18

9,500

9,254

34,600

Commercial Banks - 0.7%

American Express Bank FSB 5.5% 4/16/13

12,012

11,864

Credit Suisse First Boston 6% 2/15/18

9,130

8,900

HBOS PLC 6.75% 5/21/18 (c)

6,655

6,492

Standard Chartered Bank 6.4% 9/26/17 (c)

9,660

9,561

Wells Fargo & Co. 5.625% 12/11/17

11,268

11,250

48,067

Consumer Finance - 1.1%

American General Finance Corp. 6.9% 12/15/17

5,500

5,217

General Electric Capital Corp.:

4.8% 5/1/13

43,000

42,754

5.625% 9/15/17

6,040

5,985

6.375% 11/15/67 (i)

9,000

8,861

SLM Corp.:

3.06% 7/27/09 (i)

2,783

2,614

3.08% 7/26/10 (i)

10,585

9,500

4% 1/15/09

2,520

2,481

4.5% 7/26/10

5,455

5,024

82,436

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Diversified Financial Services - 0.2%

GlaxoSmithKline Capital, Inc. 5.65% 5/15/18

$ 4,607

$ 4,555

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

7,703

8,021

ZFS Finance USA Trust V 6.5% 5/9/67 (c)(i)

4,410

3,884

16,460

Insurance - 0.4%

American International Group, Inc. 5.85% 1/16/18

11,255

10,858

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

5,305

5,230

Pennsylvania Mutual Life Insurance Co. 6.65% 6/15/34 (c)

11,200

10,116

The Chubb Corp. 5.75% 5/15/18

2,760

2,708

28,912

Real Estate Investment Trusts - 0.3%

Duke Realty LP:

5.4% 8/15/14

3,225

2,951

5.875% 8/15/12

615

597

5.95% 2/15/17

590

552

6.25% 5/15/13

5,455

5,393

6.5% 1/15/18

4,625

4,433

Liberty Property LP 6.625% 10/1/17

3,425

3,202

UDR, Inc. 5.5% 4/1/14

7,495

6,910

24,038

Real Estate Management & Development - 0.1%

ERP Operating LP:

5.375% 8/1/16

1,729

1,595

5.5% 10/1/12

2,500

2,462

5.75% 6/15/17

4,950

4,674

8,731

Thrifts & Mortgage Finance - 0.4%

Bank of America Corp.:

4.9% 5/1/13

10,300

10,163

5.65% 5/1/18

10,200

9,885

Credit Suisse First Boston (New York Branch) 5% 5/15/13

4,884

4,795

24,843

TOTAL FINANCIALS

268,087

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

HEALTH CARE - 0.1%

Pharmaceuticals - 0.1%

AstraZeneca PLC:

5.9% 9/15/17

$ 4,800

$ 4,911

6.45% 9/15/37

3,700

3,775

8,686

INDUSTRIALS - 0.8%

Aerospace & Defense - 0.2%

Bombardier, Inc. 6.3% 5/1/14 (c)

12,815

12,559

Airlines - 0.4%

American Airlines, Inc. pass-thru trust certificates 7.324% 4/15/11

2,000

1,850

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

13,050

12,659

United Air Lines, Inc. pass-thru trust certificates:

7.032% 4/1/12

2,821

2,793

7.186% 10/1/12

7,000

6,895

24,197

Industrial Conglomerates - 0.2%

General Electric Co. 5.25% 12/6/17

16,925

16,553

Road & Rail - 0.0%

CSX Corp. 6.25% 4/1/15

1,950

1,940

TOTAL INDUSTRIALS

55,249

TELECOMMUNICATION SERVICES - 0.2%

Diversified Telecommunication Services - 0.2%

Telecom Italia Capital SA 6.999% 6/4/18

7,504

7,527

Verizon Communications, Inc. 6.1% 4/15/18

5,000

5,097

12,624

Wireless Telecommunication Services - 0.0%

Sprint Nextel Corp. 6% 12/1/16

1,425

1,176

TOTAL TELECOMMUNICATION SERVICES

13,800

UTILITIES - 0.9%

Electric Utilities - 0.6%

Commonwealth Edison Co.:

5.4% 12/15/11

4,609

4,625

5.8% 3/15/18

8,295

8,115

Duke Energy Carolinas LLC 5.25% 1/15/18

4,230

4,168

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

EDP Finance BV 6% 2/2/18 (c)

$ 7,009

$ 7,015

Enel Finance International SA 6.25% 9/15/17 (c)

3,626

3,703

Nevada Power Co. 6.5% 5/15/18

20,260

20,463

48,089

Independent Power Producers & Energy Traders - 0.2%

PPL Energy Supply LLC 6.5% 5/1/18

5,485

5,368

TXU Corp. 5.55% 11/15/14

8,680

7,031

12,399

Multi-Utilities - 0.1%

CMS Energy Corp. 6.55% 7/17/17

9,075

8,745

TOTAL UTILITIES

69,233

TOTAL NONCONVERTIBLE BONDS

(Cost $562,573)

552,567

U.S. Government and Government Agency Obligations - 21.2%

U.S. Government Agency Obligations - 5.5%

Fannie Mae:

5% 2/16/12 (b)

67,735

70,421

5.125% 4/15/11

16,545

17,284

Freddie Mac:

3.5% 5/29/13 (b)

28,675

27,915

4.75% 3/5/12 (b)(e)

80,000

82,473

5% 1/30/14 (e)

23,200

24,042

5.25% 7/18/11 (b)(e)

167,319

174,463

U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.66% 8/1/15

2,770

2,784

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

399,382

U.S. Treasury Inflation Protected Obligations - 7.2%

U.S. Treasury Inflation-Indexed Notes:

2% 1/15/14 (e)

287,901

301,365

2% 7/15/14

169,872

177,918

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value (000s)

U.S. Treasury Inflation Protected Obligations - continued

U.S. Treasury Inflation-Indexed Notes: - continued

2.375% 4/15/11

$ 22,418

$ 23,563

2.625% 7/15/17

25,646

28,081

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

530,927

U.S. Treasury Obligations - 8.5%

U.S. Treasury Notes:

2.125% 1/31/10

80,100

79,549

2.5% 3/31/13

12,455

11,959

2.75% 2/28/13 (b)

107,634

104,565

3.375% 11/30/12 (b)

45,144

45,200

3.5% 5/31/13 (d)

105,363

105,791

3.625% 12/31/12 (b)

131,634

133,218

4.25% 9/30/12 (b)

52,760

54,796

4.25% 11/15/13 (e)

800

830

4.875% 6/30/12 (b)(e)

79,967

84,859

TOTAL U.S. TREASURY OBLIGATIONS

620,767

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,526,406)

1,551,076

U.S. Government Agency - Mortgage Securities - 11.5%

Fannie Mae - 7.2%

3.697% 10/1/33 (i)

715

722

3.742% 10/1/33 (i)

623

622

3.75% 1/1/34 (i)

591

597

3.782% 6/1/34 (i)

3,524

3,508

3.839% 10/1/33 (i)

15,110

15,331

3.978% 10/1/18 (i)

400

404

4% 7/1/18

11,080

10,510

4.011% 5/1/33 (i)

174

175

4.013% 4/1/33 (i)

1,423

1,430

4.166% 1/1/35 (i)

1,449

1,453

4.233% 1/1/34 (i)

1,727

1,744

4.25% 2/1/35 (i)

731

734

4.259% 10/1/33 (i)

276

279

4.29% 3/1/33 (i)

331

332

4.301% 3/1/33 (i)

356

357

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

4.31% 5/1/35 (i)

$ 484

$ 487

4.333% 1/1/35 (i)

797

801

4.366% 2/1/34 (i)

1,352

1,365

4.388% 2/1/35 (i)

1,310

1,316

4.411% 12/1/33 (i)

29,094

29,266

4.42% 8/1/33 (i)

979

977

4.423% 8/1/34 (i)

1,942

1,961

4.429% 3/1/35 (i)

1,136

1,143

4.481% 3/1/35 (i)

2,496

2,512

4.494% 1/1/35 (i)

731

729

4.499% 2/1/35 (i)

9,517

9,600

4.5% 4/1/20

3,446

3,387

4.502% 3/1/35 (i)

2,356

2,372

4.529% 7/1/35 (i)

2,261

2,280

4.536% 5/1/35 (i)

1,769

1,772

4.558% 11/1/34 (i)

2,044

2,055

4.564% 2/1/35 (i)

7,465

7,518

4.573% 7/1/35 (i)

2,405

2,399

4.584% 9/1/34 (i)

1,813

1,823

4.595% 1/1/35 (i)

3,588

3,612

4.598% 10/1/35 (i)

227

229

4.601% 2/1/35 (i)

1,953

1,967

4.632% 4/1/33 (i)

88

88

4.638% 4/1/35 (i)

243

244

4.664% 11/1/34 (i)

2,407

2,423

4.694% 10/1/34 (i)

2,440

2,454

4.697% 12/1/34 (i)

1,547

1,558

4.708% 7/1/34 (i)

1,955

1,978

4.769% 6/1/33 (i)

215

217

4.771% 12/1/34 (i)

652

656

4.797% 11/1/34 (i)

1,905

1,920

4.804% 6/1/35 (i)

2,735

2,763

4.852% 10/1/34 (i)

7,923

7,985

4.886% 10/1/35 (i)

1,607

1,619

4.943% 8/1/34 (i)

6,115

6,199

5% 12/1/17 to 8/1/18

46,416

46,592

5.025% 7/1/34 (i)

330

334

5.054% 9/1/34 (i)

5,278

5,343

5.055% 8/1/34 (i)

458

458

5.065% 5/1/35 (i)

472

476

5.068% 5/1/35 (i)

3,589

3,609

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

5.088% 9/1/34 (i)

$ 681

$ 689

5.114% 1/1/36 (i)

4,661

4,730

5.131% 5/1/35 (i)

2,452

2,483

5.135% 3/1/35 (i)

305

308

5.148% 5/1/35 (i)

7,236

7,328

5.163% 8/1/33 (i)

813

815

5.171% 7/1/34 (i)

16,566

16,755

5.197% 5/1/35 (i)

8,173

8,282

5.201% 4/1/36 (i)

7,644

7,722

5.234% 11/1/36 (i)

2,627

2,675

5.24% 6/1/35 (i)

2,542

2,566

5.275% 3/1/35 (i)

461

465

5.302% 7/1/35 (i)

265

267

5.303% 12/1/34 (i)

885

894

5.324% 2/1/36 (i)

918

930

5.443% 3/1/35 (i)

3,924

3,940

5.465% 2/1/36 (i)

12,702

12,919

5.5% 4/1/14 to 6/1/36

79,294

80,658

5.524% 11/1/36 (i)

4,840

4,929

5.566% 9/1/36 (i)

4,317

4,406

5.585% 3/1/35 (i)

163

164

5.591% 1/1/36 (i)

3,777

3,846

5.611% 7/1/37 (i)

2,059

2,099

5.648% 9/1/35 (i)

3,467

3,529

5.788% 2/1/36 (i)

1,932

1,972

5.802% 1/1/36 (i)

2,482

2,530

5.822% 7/1/46 (i)

22,413

22,925

5.824% 3/1/36 (i)

7,903

8,075

5.978% 2/1/35 (i)

163

166

6.027% 4/1/36 (i)

1,576

1,611

6.044% 1/1/35 (i)

604

611

6.05% 3/1/33 (i)

300

303

6.236% 2/1/35 (i)

431

435

6.239% 6/1/36 (i)

771

787

6.244% 2/1/35 (i)

2,530

2,537

6.277% 2/1/33 (i)

638

639

6.304% 2/1/35 (i)

172

172

6.309% 4/1/36 (i)

1,524

1,564

6.5% 4/1/13 to 3/1/35

87,461

91,013

6.549% 9/1/36 (i)

9,647

9,933

7% 7/1/25 to 2/1/32

88

93

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

7.5% 8/1/13 to 8/1/29

$ 1,095

$ 1,155

12.5% 4/1/15 to 8/1/15

21

24

TOTAL FANNIE MAE

524,629

Freddie Mac - 2.1%

4.166% 1/1/34 (i)

7,045

7,102

4.298% 12/1/34 (i)

958

960

4.332% 3/1/35 (i)

1,588

1,592

4.367% 2/1/35 (i)

1,991

1,996

4.394% 6/1/35 (i)

1,093

1,103

4.414% 2/1/34 (i)

746

743

4.414% 3/1/35 (i)

1,072

1,075

4.43% 3/1/35 (i)

1,015

1,018

4.541% 2/1/35 (i)

1,860

1,869

4.765% 10/1/34 (i)

2,872

2,888

4.816% 9/1/34 (i)

1,320

1,327

5% 3/1/19

42,412

42,543

5.023% 4/1/35 (i)

3,899

3,925

5.134% 4/1/35 (i)

4,705

4,754

5.278% 3/1/36 (i)

1,553

1,567

5.386% 3/1/35 (i)

674

679

5.406% 11/1/35 (i)

2,064

2,093

5.525% 1/1/36 (i)

5,777

5,862

5.583% 2/1/35 (i)

1,356

1,366

5.756% 10/1/35 (i)

1,364

1,387

5.842% 1/1/35 (i)

437

442

5.846% 6/1/36 (i)

1,852

1,887

6.02% 7/1/37 (i)

9,353

9,533

6.033% 6/1/36 (i)

1,736

1,772

6.091% 4/1/36 (i)

2,853

2,913

6.105% 6/1/36 (i)

1,703

1,740

6.426% 10/1/36 (i)

9,734

9,986

6.502% 3/1/33 (i)

195

198

6.682% 10/1/36 (i)

9,479

9,747

6.71% 8/1/36 (i)

1,770

1,821

6.717% 1/1/37 (i)

13,108

13,485

6.853% 10/1/36 (i)

12,656

13,007

7% 9/1/08 to 7/1/13

455

467

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

7.5% 4/1/09 to 1/1/33

$ 959

$ 1,003

8.5% 6/1/13

2

3

TOTAL FREDDIE MAC

153,853

Government National Mortgage Association - 2.2%

3.75% 1/20/34 (i)

3,970

3,904

5.25% 7/20/34 (i)

1,225

1,231

5.5% 6/1/38 (d)

25,000

24,993

5.5% 7/1/38 (d)

36,000

35,872

5.5% 7/1/38 (d)

84,000

83,702

7% 1/15/28 to 11/15/32

11,105

11,761

7.5% 3/15/28

10

10

8% 7/15/17 to 8/15/30

3,020

3,204

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

164,677

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $837,098)

843,159

Asset-Backed Securities - 0.5%

Advanta Business Card Master Trust Series 2007-D1 Class D, 3.8788% 1/22/13 (c)(i)

7,290

3,741

Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 3.1425% 2/25/35 (i)

3,010

2,385

Capital Auto Receivables Asset Trust:

Series 2006-SN1A:

Class B, 5.5% 4/20/10 (c)

1,230

1,229

Class C, 5.77% 5/20/10 (c)

1,180

1,170

Class D, 6.15% 4/20/11 (c)

2,145

2,098

Series 2007-SN1:

Class B, 5.52% 3/15/11

220

216

Class C, 5.73% 3/15/11

125

124

Carrington Mortgage Loan Trust Series 2006-NC3
Class M10, 4.3925% 8/25/36 (c)(i)

1,080

65

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

3,665

3,186

Ford Credit Auto Owner Trust:

Series 2006-B Class D, 7.26% 2/15/13 (c)

4,280

3,614

Series 2006-C Class D, 6.89% 5/15/13 (c)

2,945

2,403

Series 2007-A Class D, 7.05% 12/15/13 (c)

1,610

1,300

Asset-Backed Securities - continued

Principal Amount (000s)

Value (000s)

GS Auto Loan Trust Series 2006-1 Class D, 6.25% 1/15/14 (c)

$ 3,910

$ 3,781

GSAMP Trust Series 2004-AR1 Class B4, 5% 6/25/34 (c)(i)

744

223

Merna Reinsurance Ltd. Series 2007-1 Class B, 4.4463% 6/30/12 (c)(i)

8,830

8,381

Structured Asset Securities Corp. Series 2006-BC1
Class B1, 4.8925% 3/25/36 (c)(i)

3,500

121

Terwin Mortgage Trust Series 2003-4HE Class A1, 2.8225% 9/25/34 (i)

246

181

Wachovia Auto Loan Owner Trust Series 2006-2A
Class E, 7.05% 5/20/14 (c)

4,820

3,253

WaMu Asset-Backed Certificates Series 2006-HE5
Class B1, 4.8925% 10/25/36 (c)(i)

4,156

262

TOTAL ASSET-BACKED SECURITIES

(Cost $53,429)

37,733

Collateralized Mortgage Obligations - 2.8%

Private Sponsor - 0.3%

Chase Mortgage Finance Trust Series 2007-A1 Class 1A5, 4.3547% 2/25/37 (i)

2,010

1,977

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 4.6228% 11/25/34 (i)

3,406

3,310

JPMorgan Mortgage Trust Series 2007-A1 Class 3A2, 5.0065% 7/25/35 (i)

3,615

3,544

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.8348% 10/25/35 (i)

6,181

6,090

RESI Finance LP/RESI Finance DE Corp. floater
Series 2003-CB1:

Class B4, 4.24% 6/10/35 (c)(i)

3,410

2,782

Class B5, 4.84% 6/10/35 (c)(i)

2,329

1,872

Class B6, 5.34% 6/10/35 (c)(i)

1,380

1,087

Structured Asset Securities Corp. floater Series 2006-BC5 Class B, 4.8925% 12/25/36 (c)(i)

3,280

196

Wells Fargo Mortgage Backed Securities Trust:

Series 2005-AR12 Class 2A6, 4.336% 7/25/35 (i)

1,030

977

Series 2005-AR3 Class 2A1, 4.2062% 3/25/35 (i)

1,948

1,885

TOTAL PRIVATE SPONSOR

23,720

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value (000s)

U.S. Government Agency - 2.5%

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

Series 2001-68 Class QZ, 5.5% 12/25/16

$ 6,436

$ 6,503

Series 2002-9 Class PC, 6% 3/25/17

1,046

1,068

Series 2003-84 Class GC, 4.5% 5/25/15

7,965

7,979

Series 2005-67 Class HD, 5.5% 12/25/30

14,745

14,974

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

13,178

13,493

sequential payer:

Series 2002-56 Class MC, 5.5% 9/25/17

3,631

3,678

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

630

624

Series 2004-45 Class AV, 4.5% 10/25/22

3,239

3,241

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

2,781

2,727

Series 2004-91 Class AH, 4.5% 5/25/29

5,781

5,676

Series 2005-41 Class LA, 5.5% 5/25/35

10,909

10,941

Freddie Mac:

planned amortization class Series 2104 Class PG, 6% 12/15/28

6,134

6,268

sequential payer Series 2516 Class AH, 5% 1/15/16

1,584

1,592

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 2356 Class GD, 6% 9/15/16

3,797

3,895

Series 2363 Class PF, 6% 9/15/16

5,314

5,450

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

4,479

4,593

Series 2543 Class QT, 5.5% 4/15/22

10,607

10,696

Series 2702 Class WB, 5% 4/15/17

12,107

12,183

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

5,585

5,675

Series 3049 Class DB, 5.5% 6/15/31

12,936

13,133

Series 3117 Class PC, 5% 6/15/31

24,000

23,986

sequential payer:

Series 2528 Class HN, 5% 11/15/17

8,075

8,015

Series 2777 Class AB, 4.5% 6/15/29

13,273

12,999

Series 2809 Class UA, 4% 12/15/14

2,323

2,325

TOTAL U.S. GOVERNMENT AGENCY

181,714

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $207,526)

205,434

Commercial Mortgage Securities - 0.9%

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust Series 2003-T12 Class X2, 0.6721% 8/13/39 (c)(i)(k)

$ 80,754

$ 1,156

Citigroup Commercial Mortgage Trust Series 2007-C6 Class A1, 5.622% 12/10/49 (i)

12,183

12,246

Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2006-CD3 Class A3, 5.607% 10/15/48

15,000

14,848

Credit Suisse Commercial Mortgage Trust:

sequential payer Series 2007-C2 Class A1, 5.269% 1/15/49

2,735

2,737

Series 2007-C5 Class A4, 5.695% 9/15/40 (i)

250

244

Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C1 Class ASP, 0.8374% 1/15/37 (c)(i)(k)

67,590

1,525

DLJ Commercial Mortgage Corp. sequential payer Series 1999-CG1 Class A1B, 6.46% 3/10/32

17,894

18,058

Ginnie Mae guaranteed Multi-family REMIC pass-thru securities sequential payer Series 2002-35 Class C, 5.8726% 10/16/23 (i)

276

280

Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-47 Class C, 4.227% 10/16/27

10,745

10,694

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.8333% 12/10/41 (i)(k)

57,655

869

LB-UBS Commercial Mortgage Trust sequential payer:

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

1,733

1,743

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

2,167

2,176

Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-9 Class A4, 5.7% 9/12/49

500

493

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $67,765)

67,069

Foreign Government and Government Agency Obligations - 0.2%

Manitoba Province yankee 5.5% 10/1/08
(Cost $14,739)

15,000

15,122

Fixed-Income Funds - 55.6%

Shares

Fidelity 1-3 Year Duration Securitized Bond Central Fund (j)

4,569,335

393,008

Fidelity 2-5 Year Duration Securitized Bond Central Fund (j)

7,373,096

679,505

Fidelity Corporate Bond 1-10 Year Central Fund (j)

23,121,016

2,255,224

Fidelity Corporate Bond 1-5 Year Central Fund (j)

971,224

95,685

Fixed-Income Funds - continued

Shares

Value (000s)

Fidelity Specialized High Income Central Fund (j)

1,586,749

$ 152,249

Fidelity Ultra-Short Central Fund (j)

5,985,939

494,798

TOTAL FIXED-INCOME FUNDS

(Cost $4,358,227)

4,070,469

Cash Equivalents - 12.1%

Maturity Amount (000s)

Investments in repurchase agreements in a joint trading account at:

2.33%, dated 5/30/08 due 6/2/08 (Collateralized by U.S. Government Obligations) #

$ 245,930

245,882

2.35%, dated 5/30/08 due 6/2/08 (Collateralized by U.S. Government Obligations) # (a)

639,795

639,670

TOTAL CASH EQUIVALENTS

(Cost $885,552)

885,552

TOTAL INVESTMENT PORTFOLIO - 112.4%

(Cost $8,513,315)

8,228,181

NET OTHER ASSETS - (12.4)%

(907,918)

NET ASSETS - 100%

$ 7,320,263

Swap Agreements

Expiration Date

Notional Amount (000s)

Credit Default Swaps

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

Oct. 2034

$ 1,753

(1,115)

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

Oct. 2034

774

(425)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 6.3950% 8/25/34

Sept. 2034

$ 610

$ (335)

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

August 2034

897

(430)

Receive from Citibank upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 1/15/15, and pay quarterly notional amount multiplied by .90%

Dec. 2012

4,800

159

Receive from Deutsche Bank upon credit event of Hartford Financial Services Group, Inc., par value of the notional amount of Hartford Financial Services Group, Inc. 4.75% 3/1/14, and pay quarterly notional amount multiplied by 1.67%

March 2013

1,100

(48)

Receive from Goldman Sachs upon credit event of Lowe's Companies, Inc., par value of the notional amount of Lowe's Companies, Inc. 8.25% 6/1/10, and pay quarterly notional amount multiplied by 1.07%

March 2013

2,600

(66)

Receive from Lehman Brothers, Inc. upon credit event of Hartford Financial Services Group, Inc., par value of the notional amount of Hartford Financial Services Group, Inc. 4.75% 3/1/14, and pay quarterly notional amount multiplied by 1.67%

March 2013

1,100

(48)

Receive from Lehman Brothers, Inc. upon credit event of Lowe's Companies, Inc., par value of the notional amount of Lowe's Companies, Inc. 8.25% 6/1/10, and pay quarterly notional amount miltiplied by 1.03%

March 2013

2,600

(61)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive from Morgan Stanley, Inc. upon credit event of H.J. Heinz Co., par value of the notional amount of H.J. Heinz Co. 6% 3/15/08, and pay quarterly notional amount multiplied by .65%

March 2013

$ 4,000

$ (57)

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

Sept. 2037

17,700

(15,399)

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

Sept. 2037

800

(696)

Receive monthly notional amount multiplied by .56% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M6, 6.785% 11/25/34

Dec. 2034

3,386

(1,418)

Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon credit 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

2,900

(1,512)

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

August 2034

601

(225)

Receive monthly notional amount multiplied by .85% and pay Deutsche Bank upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M6, 6.105% 5/25/35

June 2035

2,900

(1,705)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly notional amount multiplied by .85% and pay UBS upon credit 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

$ 2,086

$ (808)

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

Oct. 2034

2,086

(615)

Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon credit 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

1,910

(1,225)

Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon credit 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

2,086

(1,336)

Receive monthly notional amount multiplied by 2% and pay Goldman Sachs upon credit event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-7 Class M9, 7.14% 8/25/36

Sept. 2036

4,900

(4,492)

Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34

Dec. 2034

1,365

(763)

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit 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

184

(157)

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 credit 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

$ 423

$ (203)

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit 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

129

(109)

Receive monthly notional amount multiplied by 3% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2005-R4 Class M9, 7.07% 7/25/35

August 2035

3,300

(2,063)

Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit 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

2,086

(1,240)

Receive monthly notional amount multiplied by 5.55% and pay Deutsche Bank upon credit event of Carrington Mortgage Loan Trust, par value of the notional amount of Carrington Mortgage Loan Trust Series 2006-FRE1 Class M10, 7.74% 7/25/36

August 2036

3,300

(2,787)

Receive monthly notional amount multiplied by 6.25% and pay Deutsche Bank upon credit event of Residential Asset Mortgage Products, Inc., par value of the notional amount of Residential Asset Mortgage Products, Inc. Series 2006-RS5, 7.17% 9/25/36

Oct. 2036

3,300

(2,852)

Receive quarterly a fixed rate of .4% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each credit event of one of the issues of Dow Jones CDX N.A. Investment Grade 4 Index, par value of the proportional notional amount (g)

June 2010

55,000

(858)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive quarterly a fixed rate of .5% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each credit event of one of the issues of Dow Jones CDX N.A. Investment Grade 3 Index, par value of the proportional notional amount (f)

March 2010

$ 34,720

$ (355)

Receive quarterly notional amount multiplied by .72% and pay Bank of America upon credit event of Alleghany Energy Supply Co. LLC, par value of the notional amount of Alleghany Energy Supply Co. LLC 8.25% 4/15/12

June 2012

7,200

(128)

Receive quarterly notional amount multiplied by .78% and pay Deutsche Bank upon credit event of Allegheny Energy Supply Co. LLC, par value of the notional amount of Allegheny Energy Supply Co. LLC 8.25% 4/15/12

June 2012

7,270

(112)

TOTAL CREDIT DEFAULT SWAPS

179,866

(43,484)

Interest Rate Swaps

Receive quarterly a fixed rate equal to 4.039% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Feb. 2010

100,000

1,252

Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

March 2010

35,000

742

Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

March 2015

35,000

827

Receive semi-annually a fixed rate equal to 3.475% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

Jan. 2013

100,000

(2,003)

Receive semi-annually a fixed rate equal to 4.449% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

May 2018

69,309

(1,335)

Receive semi-annually a fixed rate equal to 4.795% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Dec. 2011

30,000

1,334

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps - continued

Receive semi-annually a fixed rate equal to 4.9375% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

March 2012

$ 75,000

$ 2,817

Receive semi-annually a fixed rate equal to 5.022% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Nov. 2011

40,000

1,455

Receive semi-annually a fixed rate equal to 5.2605% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank

Dec. 2099

150,000

8,412

Receive semi-annually a fixed rate equal to 5.3315% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

April 2011

100,000

4,638

Received semi-annually a fixed rate equal to 3.567% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

May 2011

197,820

(1,202)

TOTAL INTEREST RATE SWAPS

932,129

16,937

$ 1,111,995

$ (26,547)

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 end of the period, the value of these securities amounted to $ 122,613,000 or 1.7% 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 $24,385,000.

(f) Dow Jones CDX N.A. Investment Grade 3 is a tradable index of credit default swaps on investment grade debt of U.S. companies.

(g) Dow Jones CDX N.A. Investment Grade 4 is a tradable index of credit default swaps on investment grade debt of U.S. companies.

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

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

(j) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request

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

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$245,882,000 due 6/02/08 at 2.33%

BNP Paribas Securities Corp.

$ 35,212

Banc of America Securities LLC

31,657

Bank of America, NA

87,348

Barclays Capital, Inc.

8,636

Greenwich Capital Markets, Inc.

5,459

ING Financial Markets LLC

19,812

J.P. Morgan Securities, Inc.

10,918

Societe Generale, New York Branch

45,202

WestLB AG

1,638

$ 245,882

$639,670,000 due 6/02/08 at 2.35%

Barclays Capital, Inc.

$ 637,192

Credit Suisse Securities (USA) LLC

2,478

$ 639,670

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 17,272

Fidelity 2-5 Year Duration Securitized Bond Central Fund

29,884

Fidelity Corporate Bond 1-10 Year Central Fund

88,438

Fidelity Corporate Bond 1-5 Year Central Fund

4,144

Fidelity Specialized High Income Central Fund

7,304

Fidelity Ultra-Short Central Fund

30,784

Total

$ 177,826

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

Fund
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value, end of period

% ownership, end of period

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 587,522

$ 17,273

$ 164,407

$ 393,008

19.7%

Fidelity 2-5 Year Duration Securitized Bond Central Fund

790,617

54,925

126,611

679,505

19.0%

Fidelity Corporate Bond 1-10 Year Central Fund

2,020,805

492,488

228,839

2,255,224

29.3%

Fidelity Corporate Bond 1-5 Year Central Fund

133,817

4,144

41,953

95,685

14.2%

Fidelity Specialized High Income Central Fund

131,393

22,335

-

152,249

37.7%

Fidelity Ultra-Short Central Fund

1,158,936

46,717

597,048

494,798

10.3%

Total

$ 4,823,090

$ 637,882

$ 1,158,858

$ 4,070,469

Income Tax Information

At May 31, 2008, the aggregate cost of investment securities for income tax purposes was $8,512,454,000. Net unrealized depreciation aggregated $284,273,000, of which $50,519,000 related to appreciated investment securities and $334,792,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. 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 available dealer supplied prices. Certain of the Fund's securities may be valued by a single source or dealer. 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. Factors used in the determination of fair value may include current market trading activity, interest rates, credit quality and default rates. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices at disposition may differ.

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

Credit Risk

The Fund may have direct or indirect exposure to structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report
for
Fidelity ® Investment Grade Bond

May 31, 2008

1.804978.104

IGB-QTLY-0708

Investments May 31, 2008 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 26.8%

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 2.2%

Automobiles - 0.3%

Ford Motor Co. 7.45% 7/16/31

$ 40,245

$ 27,870

Household Durables - 0.1%

Fortune Brands, Inc. 5.875% 1/15/36

2,745

2,255

Newell Rubbermaid, Inc.:

5.5% 4/15/13

6,993

6,933

6.25% 4/15/18

3,425

3,416

12,604

Media - 1.8%

AOL Time Warner, Inc. 6.75% 4/15/11

22,380

22,959

Comcast Corp.:

4.95% 6/15/16

15,874

14,884

5.9% 3/15/16

14,300

14,240

COX Communications, Inc. 6.45% 12/1/36 (b)

21,256

20,454

Gannett Co., Inc. 2.8381% 5/26/09 (e)

15,990

15,573

Liberty Media Corp.:

5.7% 5/15/13

8,500

7,778

8.25% 2/1/30

19,105

17,169

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

6,015

6,462

News America, Inc.:

6.15% 3/1/37

6,365

5,882

6.2% 12/15/34

4,570

4,261

Time Warner Cable, Inc. 5.85% 5/1/17

28,639

27,473

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

9,840

9,705

Viacom, Inc.:

6.125% 10/5/17

9,190

9,015

6.75% 10/5/37

8,475

8,103

183,958

TOTAL CONSUMER DISCRETIONARY

224,432

CONSUMER STAPLES - 1.5%

Beverages - 0.2%

Diageo Capital PLC:

5.2% 1/30/13

5,710

5,736

5.75% 10/23/17

7,686

7,660

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

11,020

10,355

23,751

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Food & Staples Retailing - 0.2%

CVS Caremark Corp. 6.302% 6/1/37 (e)

$ 14,340

$ 12,476

Wal-Mart Stores, Inc. 6.2% 4/15/38

11,535

11,334

23,810

Food Products - 0.5%

General Mills, Inc. 5.2% 3/17/15

10,480

10,392

Kellogg Co. 6.6% 4/1/11

5,672

5,965

Kraft Foods, Inc.:

4.125% 11/12/09

6,360

6,372

6% 2/11/13

9,770

9,908

6.25% 6/1/12

6,081

6,232

6.875% 2/1/38

9,031

8,779

47,648

Tobacco - 0.6%

Philip Morris International, Inc.:

5.65% 5/16/18

12,502

12,232

6.375% 5/16/38

12,770

12,413

Reynolds American, Inc.:

6.75% 6/15/17

15,115

15,017

7.25% 6/15/37

22,265

21,746

61,408

TOTAL CONSUMER STAPLES

156,617

ENERGY - 3.1%

Energy Equipment & Services - 0.3%

BJ Services Co. 6% 6/1/18

14,255

14,233

DCP Midstream LLC 6.75% 9/15/37 (b)

7,295

6,906

Transocean, Inc. 6% 3/15/18

5,000

5,048

Weatherford International Ltd. 6% 3/15/18

5,650

5,654

31,841

Oil, Gas & Consumable Fuels - 2.8%

Anadarko Finance Co. 6.75% 5/1/11

7,335

7,656

Anadarko Petroleum Corp.:

5.95% 9/15/16

6,661

6,712

6.45% 9/15/36

9,885

9,846

Canadian Natural Resources Ltd.:

5.7% 5/15/17

7,170

7,073

5.9% 2/1/18

2,830

2,828

ConocoPhillips 4.4% 5/15/13

50,000

49,343

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Duke Energy Field Services 7.875% 8/16/10

$ 7,580

$ 8,018

EnCana Corp. 4.75% 10/15/13

2,269

2,211

Energy Transfer Partners LP:

6% 7/1/13

9,295

9,351

6.7% 7/1/18

7,880

7,984

Kinder Morgan Energy Partners LP 6.75% 3/15/11

4,315

4,461

Nakilat, Inc. 6.067% 12/31/33 (b)

23,610

20,443

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

5,985

5,362

Nexen, Inc.:

5.875% 3/10/35

10,560

9,509

6.4% 5/15/37

7,730

7,438

Pemex Project Funding Master Trust 3.6756% 12/3/12 (b)(e)

11,870

11,656

Petro-Canada:

6.05% 5/15/18

4,170

4,098

6.8% 5/15/38

10,305

10,077

Suncor Energy, Inc. 6.5% 6/15/38

10,690

10,352

Talisman Energy, Inc. yankee 6.25% 2/1/38

18,970

17,674

TEPPCO Partners LP:

6.65% 4/15/18

11,620

11,777

7.55% 4/15/38

10,010

10,373

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

22,035

21,267

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

4,050

4,101

Valero Energy Corp. 6.625% 6/15/37

5,740

5,308

XTO Energy, Inc.:

5.9% 8/1/12

6,352

6,483

6.25% 8/1/17

9,995

10,189

281,590

TOTAL ENERGY

313,431

FINANCIALS - 11.1%

Capital Markets - 2.5%

Bear Stearns Companies, Inc. 6.95% 8/10/12

21,590

22,536

BlackRock, Inc. 6.25% 9/15/17

30,000

30,220

Deutsche Bank AG London 6% 9/1/17

6,678

6,774

Goldman Sachs Group, Inc. 6.75% 10/1/37

8,975

8,421

Janus Capital Group, Inc. 5.875% 9/15/11

2,605

2,558

JPMorgan Chase Capital XVII 5.85% 8/1/35

3,865

3,208

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

JPMorgan Chase Capital XX 6.55% 9/29/36

$ 96,700

$ 83,973

Lazard Group LLC:

6.85% 6/15/17

5,200

4,727

7.125% 5/15/15

16,430

15,318

Lehman Brothers Holdings, Inc.:

6.2% 9/26/14

12,662

12,221

6.875% 5/2/18

11,295

10,961

Merrill Lynch & Co., Inc. 6.875% 4/25/18

9,721

9,529

Morgan Stanley:

3.01% 1/9/14 (e)

40,435

37,015

4.75% 4/1/14

9,200

8,481

255,942

Commercial Banks - 1.8%

Bank of America NA 6% 10/15/36

8,150

7,685

Bank One Corp. 5.25% 1/30/13

13,775

13,675

BB&T Capital Trust IV 6.82% 6/12/77 (e)

1,220

1,065

Credit Suisse (Guernsey) Ltd. 5.86%

13,520

11,430

Credit Suisse First Boston 6% 2/15/18

17,850

17,401

Export-Import Bank of Korea 5.25% 2/10/14 (b)

7,225

7,033

HBOS PLC 6.75% 5/21/18 (b)

12,189

11,890

HSBC Holdings PLC:

6.5% 5/2/36

11,470

10,918

6.5% 9/15/37

5,010

4,700

KeyCorp Capital Trust VII 5.7% 6/15/35

16,490

12,039

Korea Development Bank 5.75% 9/10/13

14,578

14,700

Standard Chartered Bank 6.4% 9/26/17 (b)

26,980

26,703

SunTrust Bank 7.25% 3/15/18

3,750

3,856

Wachovia Bank NA 5.85% 2/1/37

19,011

16,075

Wachovia Corp. 4.875% 2/15/14

1,791

1,699

Wells Fargo Bank NA:

4.75% 2/9/15

12,250

11,683

5.95% 8/26/36

11,449

10,857

183,409

Consumer Finance - 0.7%

American Express Co. 8.15% 3/19/38

5,900

6,732

SLM Corp.:

3% 3/15/11 (e)

1,130

995

3.08% 7/26/10 (e)

64,500

57,889

3.15% 10/25/11 (e)

3,925

3,306

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Consumer Finance - continued

SLM Corp.: - continued

3.22% 1/27/14 (e)

$ 2,240

$ 1,830

4.5% 7/26/10

2,325

2,141

5% 10/1/13

830

700

73,593

Diversified Financial Services - 0.9%

Deutsche Bank AG London 5.375% 10/12/12

6,162

6,277

GlaxoSmithKline Capital, Inc. 6.375% 5/15/38

10,173

10,045

JPMorgan Chase & Co.:

4.875% 3/15/14

10,460

10,113

5.75% 1/2/13

2,935

3,006

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

15,505

15,703

Prime Property Funding, Inc.:

5.125% 6/1/15 (b)

13,035

11,290

5.5% 1/15/14 (b)

8,820

8,170

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

11,415

11,886

ZFS Finance USA Trust II 6.45% 12/15/65 (b)(e)

7,500

6,659

ZFS Finance USA Trust V 6.5% 5/9/67 (b)(e)

13,680

12,047

95,196

Insurance - 1.5%

American International Group, Inc. 8.175% 5/15/58 (b)(e)

8,485

8,140

Assurant, Inc. 5.625% 2/15/14

8,540

8,045

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

13,335

12,612

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

22,081

19,744

Liberty Mutual Group, Inc.:

6.7% 8/15/16 (b)

15,840

15,545

10.75% 6/15/88 (b)(e)

8,540

8,455

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

2,370

2,192

Metropolitan Life Global Funding I:

5.125% 11/9/11 (b)

7,540

7,607

5.125% 4/10/13 (b)

11,934

11,755

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

7,315

7,424

New York Life Global Funding 4.65% 5/9/13 (b)

9,715

9,587

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

10,050

9,909

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

18,775

18,652

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

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

$ 10,405

$ 9,258

The Chubb Corp. 6.5% 5/15/38

4,535

4,458

153,383

Real Estate Investment Trusts - 3.0%

AMB Property LP:

5.9% 8/15/13

9,635

9,419

6.3% 6/1/13

9,785

9,766

Brandywine Operating Partnership LP:

5.625% 12/15/10

19,900

19,339

5.75% 4/1/12

6,050

5,693

Camden Property Trust 5.875% 11/30/12

6,435

6,149

Colonial Properties Trust:

4.75% 2/1/10

19,607

18,887

4.8% 4/1/11

2,650

2,507

5.5% 10/1/15

12,730

10,972

6.875% 8/15/12

5,000

4,853

Colonial Realty LP 6.05% 9/1/16

9,420

8,199

Developers Diversified Realty Corp.:

4.625% 8/1/10

975

942

5% 5/3/10

6,840

6,619

5.25% 4/15/11

8,195

7,847

5.375% 10/15/12

5,485

5,097

Duke Realty LP:

5.4% 8/15/14

10,700

9,789

5.5% 3/1/16

10,700

9,682

5.625% 8/15/11

4,860

4,714

5.875% 8/15/12

1,205

1,170

5.95% 2/15/17

2,540

2,376

6.25% 5/15/13

5,180

5,121

6.5% 1/15/18

8,800

8,435

Equity One, Inc.:

6% 9/15/17

6,860

5,954

6.25% 1/15/17

4,535

4,037

Federal Realty Investment Trust:

5.4% 12/1/13

4,880

4,611

6% 7/15/12

3,355

3,314

6.2% 1/15/17

2,580

2,452

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

4,130

3,639

HRPT Properties Trust:

5.75% 11/1/15

2,925

2,694

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

HRPT Properties Trust: - continued

6.65% 1/15/18

$ 6,500

$ 6,106

Liberty Property LP:

5.5% 12/15/16

6,665

5,898

6.375% 8/15/12

4,617

4,524

6.625% 10/1/17

6,640

6,208

Mack-Cali Realty LP:

5.05% 4/15/10

6,290

6,206

7.25% 3/15/09

4,110

4,165

7.75% 2/15/11

1,080

1,120

Reckson Operating Partnership LP:

5.15% 1/15/11

2,790

2,632

6% 3/31/16

2,600

2,188

Simon Property Group LP:

4.6% 6/15/10

8,400

8,285

5.1% 6/15/15

15,660

14,164

5.375% 6/1/11

3,565

3,526

5.45% 3/15/13

8,720

8,544

5.75% 5/1/12

4,015

4,026

7.75% 1/20/11

2,250

2,345

Tanger Properties LP 6.15% 11/15/15

17,300

15,868

UDR, Inc. 5.5% 4/1/14

10,720

9,883

United Dominion Realty Trust, Inc. 5.25% 1/15/15

3,645

3,267

Washington (REIT) 5.95% 6/15/11

10,660

10,215

303,447

Real Estate Management & Development - 0.4%

ERP Operating LP:

5.375% 8/1/16

2,405

2,219

5.5% 10/1/12

9,240

9,098

5.75% 6/15/17

11,250

10,623

Post Apartment Homes LP 6.3% 6/1/13

11,550

11,009

Regency Centers LP 6.75% 1/15/12

12,435

12,479

45,428

Thrifts & Mortgage Finance - 0.3%

Capmark Financial Group, Inc. 6.3% 5/10/17

5,570

4,087

Credit Suisse First Boston (New York Branch) 5% 5/15/13

9,731

9,554

Washington Mutual Bank 5.55% 6/16/10

5,000

4,725

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Washington Mutual, Inc.:

3.2% 9/17/12 (e)

$ 10,415

$ 9,047

4.625% 4/1/14

8,680

7,118

34,531

TOTAL FINANCIALS

1,144,929

HEALTH CARE - 0.3%

Pharmaceuticals - 0.3%

AstraZeneca PLC:

5.9% 9/15/17

16,795

17,182

6.45% 9/15/37

16,771

17,110

34,292

INDUSTRIALS - 1.7%

Aerospace & Defense - 0.2%

Bombardier, Inc. 6.3% 5/1/14 (b)

18,035

17,674

Airlines - 1.3%

American Airlines, Inc. pass-thru trust certificates:

7.324% 4/15/11

13,531

12,516

7.858% 4/1/13

26,059

25,570

Continental Airlines, Inc. pass-thru trust certificates 6.545% 8/2/20

4,121

3,990

Delta Air Lines, Inc. pass-thru trust certificates:

6.821% 8/10/22

14,597

13,229

7.57% 11/18/10

21,770

21,117

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

6,914

6,568

8.36% 7/20/20

21,289

21,342

United Air Lines, Inc. pass-thru trust certificates:

Class 1A, 6.636% 7/2/22

8,634

7,425

6.071% 9/1/14

2,013

2,020

6.602% 9/1/13

3,575

3,539

7.032% 4/1/12

3,090

3,059

7.186% 10/1/12

7,667

7,552

7.811% 4/1/11

4,909

5,646

133,573

Commercial Services & Supplies - 0.1%

R.R. Donnelley & Sons Co. 5.5% 5/15/15

12,745

12,027

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Road & Rail - 0.0%

Canadian National Railway Co. 5.85% 11/15/17

$ 4,690

$ 4,725

Canadian Pacific Railway Co. 5.95% 5/15/37

990

835

5,560

Transportation Infrastructure - 0.1%

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

6,338

5,782

TOTAL INDUSTRIALS

174,616

INFORMATION TECHNOLOGY - 0.4%

Electronic Equipment & Instruments - 0.1%

Tyco Electronics Group SA:

6.55% 10/1/17

8,770

8,893

7.125% 10/1/37

4,405

4,436

13,329

Semiconductors & Semiconductor Equipment - 0.3%

Chartered Semiconductor Manufacturing Ltd.:

5.75% 8/3/10

9,825

9,583

6.375% 8/3/15

10,650

10,438

National Semiconductor Corp. 6.15% 6/15/12

7,260

7,232

27,253

TOTAL INFORMATION TECHNOLOGY

40,582

MATERIALS - 0.2%

Chemicals - 0.2%

Agrium, Inc. 7.125% 5/23/36

8,975

8,844

Dow Chemical Co. 5.7% 5/15/18

5,895

5,798

14,642

Metals & Mining - 0.0%

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

3,460

3,670

TOTAL MATERIALS

18,312

TELECOMMUNICATION SERVICES - 2.4%

Diversified Telecommunication Services - 1.7%

AT&T, Inc.:

6.3% 1/15/38

10,189

9,784

6.8% 5/15/36

17,617

17,889

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

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

$ 12,752

$ 14,066

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

11,230

11,030

Embarq Corp. 7.082% 6/1/16

17,205

16,731

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

7,455

7,473

Sprint Capital Corp.:

6.875% 11/15/28

9,870

7,896

7.625% 1/30/11

7,295

7,058

Telecom Italia Capital SA:

4.95% 9/30/14

11,250

10,358

5.25% 10/1/15

12,725

11,741

7.2% 7/18/36

2,550

2,447

Telefonica Emisiones SAU:

6.221% 7/3/17

11,230

11,443

7.045% 6/20/36

5,850

6,144

Verizon Communications, Inc.:

5.25% 4/15/13

12,085

12,186

6.1% 4/15/18

14,720

15,006

6.4% 2/15/38

10,172

9,937

6.9% 4/15/38

4,170

4,333

175,522

Wireless Telecommunication Services - 0.7%

Sprint Nextel Corp. 6% 12/1/16

29,701

24,503

Vodafone Group PLC:

5% 12/16/13

7,380

7,205

5.625% 2/27/17

35,292

34,782

66,490

TOTAL TELECOMMUNICATION SERVICES

242,012

UTILITIES - 3.9%

Electric Utilities - 2.0%

AmerenUE 6.4% 6/15/17

18,252

18,442

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

11,490

11,354

Commonwealth Edison Co.:

5.4% 12/15/11

18,283

18,345

5.8% 3/15/18

11,545

11,294

Duke Energy Carolinas LLC 6% 1/15/38

9,739

9,479

EDP Finance BV 6% 2/2/18 (b)

25,358

25,379

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Enel Finance International SA:

6.25% 9/15/17 (b)

$ 12,675

$ 12,944

6.8% 9/15/37 (b)

13,880

14,061

Exelon Corp. 4.9% 6/15/15

27,100

25,121

Illinois Power Co. 6.125% 11/15/17

5,060

4,877

Nevada Power Co. 6.5% 5/15/18

26,280

26,543

Pacific Gas & Electric Co.:

4.8% 3/1/14

2,670

2,618

5.8% 3/1/37

7,180

6,645

Pennsylvania Electric Co. 6.05% 9/1/17

10,455

10,133

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

15,620

13,422

210,657

Gas Utilities - 0.1%

Southern Natural Gas Co. 5.9% 4/1/17 (b)

6,145

5,901

Independent Power Producers & Energy Traders - 0.6%

Duke Capital LLC 5.668% 8/15/14

13,400

13,108

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

23,798

22,907

PPL Energy Supply LLC:

6.2% 5/15/16

11,895

11,606

6.5% 5/1/18

11,365

11,124

TXU Corp. 5.55% 11/15/14

7,555

6,120

64,865

Multi-Utilities - 1.2%

CMS Energy Corp. 6.55% 7/17/17

13,140

12,662

Dominion Resources, Inc. 7.5% 6/30/66 (e)

12,110

11,280

MidAmerican Energy Holdings, Co. 6.5% 9/15/37

11,895

11,976

National Grid PLC 6.3% 8/1/16

26,485

26,655

NiSource Finance Corp.:

3.2081% 11/23/09 (e)

9,874

9,595

5.4% 7/15/14

2,960

2,748

5.45% 9/15/20

10,810

9,395

6.4% 3/15/18

21,180

20,392

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

20,065

17,448

122,151

TOTAL UTILITIES

403,574

TOTAL NONCONVERTIBLE BONDS

(Cost $2,871,081)

2,752,797

U.S. Government and Government Agency Obligations - 8.2%

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 0.5%

Freddie Mac 4.5% 7/15/13 (i)

$ 50,000

$ 50,838

U.S. Treasury Inflation Protected Obligations - 6.6%

U.S. Treasury Inflation-Indexed Notes:

2% 1/15/14 (i)

149,424

156,419

2.375% 1/15/17 (i)

309,789

332,519

2.375% 1/15/27 (i)

121,736

126,457

2.625% 7/15/17

52,235

57,195

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

672,590

U.S. Treasury Obligations - 1.1%

U.S. Treasury Bonds 4.375% 2/15/38

17,057

16,164

U.S. Treasury Notes 3.5% 2/15/18 (a)

104,611

99,961

TOTAL U.S. TREASURY OBLIGATIONS

116,125

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $812,005)

839,553

U.S. Government Agency - Mortgage Securities - 20.4%

Fannie Mae - 16.3%

3.98% 9/1/33 (e)

10,556

10,557

4.5% 4/1/20 to 4/1/23

23,690

23,132

4.708% 7/1/34 (e)

16,373

16,567

4.748% 1/1/35 (e)

12,016

12,117

4.768% 9/1/35 (e)

11,437

11,549

4.925% 3/1/35 (e)

15,680

15,835

5% 4/1/18 to 3/1/34

120,105

116,966

5% 6/1/38 (c)

34,000

32,831

5% 6/1/38 (c)

79,000

76,284

5% 6/1/38 (c)

168,000

162,224

5% 6/1/38 (c)

188,000

181,536

5.168% 4/1/36 (e)

21,725

22,041

5.5% 2/1/35 to 9/1/36 (i)

123,298

123,012

5.5% 6/1/38 (c)

188,000

186,599

5.5% 6/1/38 (c)

20,000

19,851

5.5% 6/1/38 (c)

200,000

198,510

5.5% 6/1/38 (c)

100,000

99,255

5.5% 6/1/38 (c)

148,000

146,897

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

5.611% 7/1/37 (e)

$ 3,016

$ 3,075

5.822% 7/1/46 (e)

32,192

32,927

6% 3/1/16 to 7/1/22

1,701

1,749

6% 6/1/38 (c)

9,000

9,128

6.027% 4/1/36 (e)

2,260

2,311

6.164% 4/1/36 (e)

5,891

6,033

6.239% 6/1/36 (e)

896

915

6.309% 4/1/36 (e)

2,187

2,244

6.5% 8/1/23 to 5/1/38

155,990

161,060

TOTAL FANNIE MAE

1,675,205

Freddie Mac - 1.1%

4.3% 2/1/35 (e)

5,306

5,318

4.425% 8/1/35 (e)

21,817

21,769

4.473% 10/1/34 (e)

11,797

11,839

4.55% 4/1/35 (e)

24,452

24,577

4.623% 4/1/35 (e)

8,451

8,503

4.765% 7/1/35 (e)

8,803

8,863

5.005% 1/1/36 (e)

6,803

6,860

5.756% 10/1/35 (e)

1,585

1,612

5.846% 6/1/36 (e)

2,662

2,713

6.02% 7/1/37 (e)

13,457

13,715

6.033% 6/1/36 (e)

2,498

2,548

6.091% 4/1/36 (e)

4,102

4,188

6.105% 6/1/36 (e)

2,447

2,499

TOTAL FREDDIE MAC

115,004

Government National Mortgage Association - 3.0%

5.5% 6/1/38 (c)

20,000

19,959

5.5% 6/1/38 (c)

13,000

12,974

5.5% 6/1/38 (c)

20,000

19,959

5.5% 6/1/38 (c)

4,000

3,999

5.5% 6/1/38 (c)

7,000

6,998

5.5% 6/1/38 (c)

14,000

13,996

5.5% 6/1/38 (c)

14,000

13,996

5.5% 6/1/38 (c)

27,000

26,945

5.5% 6/1/38 (c)

10,000

9,997

5.5% 6/19/38 (c)

10,000

9,997

5.5% 6/19/38 (c)

41,000

40,917

5.5% 6/19/38 (c)

79,000

78,840

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Government National Mortgage Association - continued

5.5% 6/19/38 (c)

$ 11,000

$ 10,997

5.5% 7/1/38 (c)

8,000

7,972

5.5% 7/1/38 (c)

19,000

18,933

5.5% 7/1/38 (c)

8,000

7,974

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

304,453

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $2,109,955)

2,094,662

Asset-Backed Securities - 1.4%

Advanta Business Card Master Trust Series 2007-D1 Class D, 3.8788% 1/22/13 (b)(e)

10,400

5,337

Airspeed Ltd. Series 2007-1A Class C1, 5.0144% 6/15/32 (b)(e)

11,536

9,114

AmeriCredit Prime Automobile Receivables Trust Series 2007-1 Class E, 6.96% 3/31/16 (b)

5,880

4,295

Capital Auto Receivables Asset Trust:

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

4,195

4,228

Series 2006-SN1A Class D, 6.15% 4/20/11 (b)

2,730

2,671

Carrington Mortgage Loan Trust Series 2006-NC3 Class M10, 4.3925% 8/25/36 (b)(e)

1,449

88

Countrywide Home Loan Trust Series 2006-13N Class N, 7% 8/25/37 (b)

2,385

119

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

5,545

4,820

Ford Credit Auto Owner Trust:

Series 2006-B Class D, 7.26% 2/15/13 (b)

5,810

4,905

Series 2006-C Class D, 6.89% 5/15/13 (b)

4,115

3,358

Series 2007-A Class D, 7.05% 12/15/13 (b)

2,335

1,885

GS Auto Loan Trust Series 2006-1 Class D, 6.25% 1/15/14 (b)

5,318

5,143

GSAMP Trust Series 2004-AR1 Class B4, 5% 6/25/34 (b)(e)

1,074

322

Merna Reinsurance Ltd. Series 2007-1 Class B, 4.4463% 6/30/12 (b)(e)

17,200

16,325

Securitized Asset Backed Receivables LLC Trust Series 2007-BR1 Class A2A, 2.5025% 2/25/37 (e)

3,724

3,422

Structured Asset Securities Corp. Series 2006-BC1 Class B1, 4.8925% 3/25/36 (b)(e)

4,513

155

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 2.4825% 6/25/37 (e)

3,415

3,055

Asset-Backed Securities - continued

Principal Amount (000s)

Value (000s)

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 2.9644% 3/15/11 (b)(e)

$ 15,495

$ 15,380

Wachovia Auto Loan Owner Trust Series 2006-2A:

Class A4, 5.23% 3/20/12 (b)

50,000

49,974

Class E, 7.05% 5/20/14 (b)

6,660

4,495

WaMu Asset-Backed Certificates Series 2006-HE5 Class B2, 4.8925% 10/25/36 (b)(e)

6,417

356

TOTAL ASSET-BACKED SECURITIES

(Cost $166,195)

139,447

Collateralized Mortgage Obligations - 3.8%

Private Sponsor - 1.6%

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6985% 4/10/49 (e)

1,775

1,359

Class C, 5.6985% 4/10/49 (e)

4,735

3,512

Class D, 5.6985% 4/10/49 (e)

2,370

1,658

Banc of America Mortgage Securities, Inc.:

Series 2003-J Class 2A2, 4.4% 11/25/33 (e)

4,183

4,071

Series 2004-A Class 2A1, 3.5442% 2/25/34 (e)

2,617

2,522

Series 2004-D Class 2A1, 3.6168% 5/25/34 (e)

1,341

1,306

Series 2005-H:

Class 1A1, 4.9195% 9/25/35 (e)

1,374

1,305

Class 2A2, 4.8052% 9/25/35 (e)

1,562

1,452

Bayview Commercial Asset Trust Series 2006-3A Class IO, 1.1688% 10/25/36 (e)(f)

74,466

6,553

Chase Mortgage Finance Trust:

Series 2007-A1:

Class 1A5, 4.3547% 2/25/37 (e)

2,646

2,603

Class 5A1, 4.1696% 2/25/37 (e)

7,312

7,116

Series 2007-A2:

Class 2A1, 4.2369% 7/25/37 (e)

3,920

3,803

Class 3A1, 4.5607% 7/25/37 (e)

7,361

7,238

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 4.6228% 11/25/34 (e)

3,889

3,779

JPMorgan Mortgage Trust Series 2007-A1 Class 3A2, 5.0065% 7/25/35 (e)

4,126

4,045

Merrill Lynch Floating Trust floater Series 2006-1 Class TM, 3.2159% 6/15/22 (b)(e)

8,932

7,592

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.8348% 10/25/35 (e)

7,223

7,117

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B Class B6, 5.44% 7/10/35 (b)(e)

$ 4,166

$ 3,347

Series 2003-CB1:

Class B4, 4.24% 6/10/35 (b)(e)

3,964

3,233

Class B5, 4.84% 6/10/35 (b)(e)

2,705

2,174

Class B6, 5.34% 6/10/35 (b)(e)

1,606

1,264

Structured Asset Securities Corp. floater Series 2006-BC5 Class B, 4.8925% 12/25/36 (b)(e)

4,593

275

WaMu Mortgage pass-thru certificates:

Series 2004-AR7 Class A6, 3.9414% 7/25/34 (e)

2,108

2,084

Series 2005-AR14 Class 1A1, 5.0557% 12/25/35 (e)

14,814

14,605

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 3.9885% 12/25/34 (e)

13,222

12,999

Series 2004-V Class 1A2, 3.8333% 10/25/34 (e)

6,333

5,843

Series 2005-AR12 Class 2A6, 4.336% 7/25/35 (e)

5,792

5,495

Series 2005-AR3 Class 2A1, 4.2062% 3/25/35 (e)

2,263

2,190

Series 2006-AR8 Class 3A1, 5.2379% 4/25/36 (e)

50,821

49,919

TOTAL PRIVATE SPONSOR

170,459

U.S. Government Agency - 2.2%

Freddie Mac Multi-class participation certificates guaranteed planned amortization class:

Series 2630 Class KS, 4% 1/15/17 (i)

22,130

21,826

Series 3079 Class MB, 5% 10/15/28

30,807

30,904

Series 3082 Class PG, 5% 10/15/29

50,300

50,365

Series 3118 Class QB, 5% 2/15/29

33,731

33,743

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

86,689

87,395

TOTAL U.S. GOVERNMENT AGENCY

224,233

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $405,301)

394,692

Commercial Mortgage Securities - 1.4%

Bayview Commercial Asset Trust floater:

Series 2007-2A:

Class A1, 2.6625% 7/25/37 (b)(e)

2,282

1,712

Class A2, 2.7125% 7/25/37 (b)(e)

2,138

1,518

Class B1, 3.9925% 7/25/37 (b)(e)

632

297

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2007-2A:

Class B2, 4.6425% 7/25/37 (b)(e)

$ 550

$ 247

Class B3, 5.7425% 7/25/37 (b)(e)

617

277

Class M1, 2.7625% 7/25/37 (b)(e)

717

445

Class M2, 2.8025% 7/25/37 (b)(e)

363

214

Class M3, 2.8825% 7/25/37 (b)(e)

368

199

Class M4, 3.0425% 7/25/37 (b)(e)

787

457

Class M5, 3.1425% 7/25/37 (b)(e)

694

382

Class M6, 3.3925% 7/25/37 (b)(e)

885

460

Series 2007-3:

Class B1, 3.3425% 7/25/37 (b)(e)

583

334

Class B2, 3.9925% 7/25/37 (b)(e)

1,526

839

Class B3, 6.3925% 7/25/37 (b)(e)

780

437

Class M1, 2.7025% 7/25/37 (b)(e)

506

345

Class M2, 2.7325% 7/25/37 (b)(e)

540

355

Class M3, 2.7625% 7/25/37 (b)(e)

883

553

Class M4, 2.8925% 7/25/37 (b)(e)

1,393

836

Class M5, 2.9925% 7/25/37 (b)(e)

694

426

Class M6, 3.1925% 7/25/37 (b)(e)

527

309

Bear Stearns Commercial Mortgage Securities Trust Series 2007-T28 Class A1, 5.422% 9/11/42

5,709

5,710

Chase Commercial Mortgage Securities Corp. Series 2000-3 Class G 6.887% 10/15/32 (b)

9,742

8,510

Citigroup Commercial Mortgage Trust:

Series 2007-C6 Class A4, 5.8886% 12/10/49 (e)

15,000

14,717

Series 2007-FL3A Class A2, 2.6544% 4/15/22 (b)(e)

8,398

7,558

Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C1 Class ASP, 0.8374% 1/15/37 (b)(e)(f)

136,665

3,083

Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-47 Class C, 4.227% 10/16/27

7,770

7,733

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.8333% 12/10/41 (e)(f)

14,127

213

GS Mortgage Securities Corp. II floater Series 2007-EOP:

Class D, 3.0938% 3/1/20 (b)(e)

9,955

8,960

Class H, 3.3738% 3/1/20 (b)(e)

960

848

Class J, 3.5738% 3/1/20 (b)(e)

1,375

1,217

JPMorgan Chase Commercial Mortgage Securities Trust sequential payer Series 2006-LDP9 Class A2, 5.134% 5/15/47 (e)

18,365

17,329

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9345% 7/15/44 (e)

18,248

18,199

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Merrill Lynch-CFC Commercial Mortgage Trust Series 2007-7 Class B, 5.75% 6/25/50

$ 2,790

$ 2,080

Morgan Stanley Capital I Trust sequential payer Series 2007-HQ11 Class A31, 5.439% 2/20/44 (e)

17,270

16,829

Wachovia Bank Commercial Mortgage Trust:

sequential payer Series 2007-C31:

Class A1, 5.14% 4/15/47

3,897

3,894

Class A4, 5.509% 4/15/47

5,752

5,535

Series 2007-C31 Class C, 5.8818% 4/15/47 (e)

8,950

6,605

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $154,239)

139,662

Municipal Securities - 0.5%

California Gen. Oblig. 5% 9/1/35

27,300

27,316

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

5,000

5,589

Connecticut Gen. Oblig. Series B, 5% 5/1/15

4,550

4,992

Minnesota Gen. Oblig. 5% 6/1/15

4,550

5,023

Montgomery County Gen. Oblig. (Consolidated Pub. Impt. Proj.) Series A, 5% 5/1/13

3,645

3,958

North Carolina Gen. Oblig. Series A, 5.5% 3/1/13

6,800

7,543

TOTAL MUNICIPAL SECURITIES

(Cost $56,339)

54,421

Foreign Government and Government Agency Obligations - 0.1%

Israeli State 4.625% 6/15/13
(Cost $6,668)

6,725

6,772

Supranational Obligations - 0.0%

Corporacion Andina de Fomento:

5.2% 5/21/13

1,575

1,554

6.875% 3/15/12

1,630

1,717

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $3,182)

3,271

Fixed-Income Funds - 48.3%

Shares

Value (000s)

Fidelity 1-3 Year Duration Securitized Bond Central Fund (h)

3,766,671

$ 323,971

Fidelity 2-5 Year Duration Securitized Bond Central Fund (h)

8,941,911

824,087

Fidelity Corporate Bond 1-5 Year Central Fund (h)

4,588,912

452,100

Fidelity Mortgage Backed Securities Central Fund (h)

22,624,379

2,229,633

Fidelity Specialized High Income Central Fund (h)

2,072,487

198,855

Fidelity Ultra-Short Central Fund (h)

11,251,473

930,047

TOTAL FIXED-INCOME FUNDS

(Cost $5,320,533)

4,958,693

Preferred Securities - 0.1%

Principal Amount (000s)

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

MUFG Capital Finance 1 Ltd. 6.346% (e)

(Cost $15,235)

15,235

13,879

Cash Equivalents - 5.1%

Maturity Amount (000s)

Investments in repurchase agreements in a joint trading account at:

2.33%, dated 5/30/08 due 6/2/08 (Collateralized by U.S. Government Obligations) #

426,882

426,799

2.35%, dated 5/30/08 due 6/2/08 (Collateralized by U.S. Government Obligations) # (g)

102,460

102,440

TOTAL CASH EQUIVALENTS

(Cost $529,239)

529,239

TOTAL INVESTMENT PORTFOLIO - 116.1%

(Cost $12,449,972)

11,927,088

NET OTHER ASSETS - (16.1)%

(1,655,780)

NET ASSETS - 100%

$ 10,271,308

Swap Agreements

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

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

Oct. 2034

$ 2,497

(1,588)

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

Oct. 2034

1,077

(591)

Receive monthly notional amount multiplied by 3.3% and pay Morgan Stanley, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.395% 11/25/34

Dec. 2034

1,431

(783)

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 6.395% 8/25/34

Sept. 2034

868

(477)

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

August 2034

1,278

(612)

Receive from Bank of America upon credit event of Gannett Co., Inc., par value of the notional amount of Gannett Co., Inc. 6.375% 4/1/12, and pay quarterly notional amount multiplied by .2%

June 2009

7,095

47

Receive from Barclays Bank upon credit event of CVS Caremark Corp., par value of the notional amount of CVS Caremark Corp. 4.875% 9/15/14, and pay quarterly notional amount multiplied by .56%

March 2013

16,900

3

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive from Barclays Bank upon credit event of Ryder Systems, Inc., par value of the notional amount of Ryder Systems, Inc. 6.95% 12/1/25, and pay quarterly notional amount multiplied by .91%

June 2013

$ 13,600

$ (66)

Receive from Citibank upon credit event of Bristol-Myers Squibb Co., par value of the notional amount of Bristol-Myers Squibb Co. 5.25% 8/15/13, and pay quarterly notional amount multiplied by .32%

Sept. 2017

3,800

1

Receive from Citibank upon credit event of Capital One Financial Corp., par value of the notional amount of Capital One Financial Corp. 6.25% 11/1/13, and pay quarterly notional amount multiplied by 2.35%

June 2013

6,300

34

Receive from Citibank upon credit event of Capital One Financial Corp., par value of the notional amount of Capital One Financial Corp. 6.25% 11/15/13, and pay quarterly notional amount multiplied by 2.15%

June 2013

4,200

55

Receive from Citibank upon credit event of Caterpillar Financial Services Corp., par value of the notional amount of Caterpillar Financial Services Corp. 5.5% 3/15/16, and pay quarterly notional amount multiplied by .65%

March 2013

10,200

(78)

Receive from Citibank upon credit event of John Deere Capital Corp., par value of the notional amount of John Deere Capital Corp. 6% 2/15/09, and pay quarterly notional amount multiplied by .642%

March 2013

16,900

(172)

Receive from Citibank upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 1/15/15 and pay quarterly notional amount multiplied by 1.38%

March 2013

13,400

178

Receive from Citibank upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 1/15/15, and pay quarterly notional amount multiplied by .90%

Dec. 2012

6,900

229

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive from Citibank upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 1/15/15, and pay quarterly notional amount multiplied by 1.43%

March 2013

$ 6,700

$ 75

Receive from Credit Suisse First Boston upon credit event of Capital One Financial Corp., par value of the notional amount of Capital One Financial Corp. 6.25% 11/15/13, and pay quarterly notional amount multiplied by 2.3%

June 2013

4,200

29

Receive from Credit Suisse First Boston upon credit event of Citigroup, Inc., par value of the notional amount of Citigroup, Inc. 6.5% 1/18/11, and pay quarterly notional amount mutliplied by .96%

June 2013

13,600

106

Receive from Credit Suisse First Boston upon credit event of Citigroup, Inc., par value of the notional amount of Citigroup, Inc. 6.5% 1/18/11, and pay quarterly notional multiplied by 1.37%

June 2013

10,200

(119)

Receive from Credit Suisse First Boston upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 11/15/15, and pay quarterly notional amount multiplied by 1.5%

March 2013

10,100

82

Receive from Deutsche Bank upon credit event of Aetna, Inc., par value of the notional amount of Aetna, Inc. 6.625% 6/15/36, and pay quarterly notional amount multiplied by .33%

Sept. 2017

17,250

246

Receive from Deutsche Bank upon credit event of AMBAC Assurance Corp., par value of the notional amount of AMBAC Assurance Corp. 5.90% 2/22/21, and pay quarterly notional amount multiplied by 4.15%

March 2013

16,800

2,760

Receive from Deutsche Bank upon credit event of Chartered Semiconductor Manufacturing Ltd., par value of the notional amount of Chartered Semiconductor Manufacturing Ltd. 6.375% 8/3/15 and pay quarterly notional amount multiplied by 1.14%

Sept. 2013

10,650

436

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive from Deutsche Bank upon credit event of Citigroup, Inc., par value of the notional amount of Citigroup, Inc. 6.5% 1/18/11, and pay quarterly notional amount multiplied by 1.32%

June 2013

$ 13,600

$ (128)

Receive from Deutsche Bank upon credit event of Citigroup, Inc., par value of the notional amount of Citigroup, Inc. 6.5% 1/18/11, and pay quarterly notional amount multiplied by 1.43%

June 2013

10,200

(150)

Receive from Deutsche Bank upon credit event of Gannett Co., Inc., par value of the notional amount of Gannett Co., Inc. 6.375% 4/1/12, and pay quarterly notional amount multiplied by .24%

June 2009

8,895

55

Receive from Deutsche Bank upon credit event of Household Finance Corp., par value of the notional amount of Household Finance Corp. 7% 5/15/12, and pay quarterly notional amount multiplied by .35%

Dec. 2012

20,000

835

Receive from Deutsche Bank upon credit event of Southwest Airlines Co., par value of the notional amount of Southwest Airlines Co. 5.25% 10/1/14, and pay quarterly notional amount multiplied by 1.4%

June 2013

13,600

77

Receive from Deutsche Bank upon credit event of Washington Mutual, Inc., par value of the notional amount of Washington Mutual, Inc. 5.25% 9/15/17, and pay quarterly notional amount multiplied by 1.19%

Sept. 2012

9,800

713

Receive from Goldman Sachs upon credit event of AMBAC Assurance Corp., par value of the notional amount of AMBAC Assurance Corp. 9.375% 8/1/11, and pay quarterly notional amount multiplied by 3.8%

March 2013

6,700

1,154

Receive from Goldman Sachs upon credit event of CSX Corp., par value of notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.18%

March 2013

5,586

(71)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.18%

March 2013

$ 5,586

$ (71)

Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.19%

March 2018

4,929

(37)

Receive from Goldman Sachs upon credit event of Dow Chemical Co., par value of the notional amount of Dow Chemical Co. 6% 10/1/12, and pay quarterly notional amount multiplied by .55%

Sept. 2017

13,700

35

Receive from Goldman Sachs upon credit event of Johnson & Johnson, par value of the notional amount of Johnson & Johnson 3.8% 5/15/13, and pay quarterly notional amount multiplied by .33%

March 2013

16,800

(131)

Receive from Goldman Sachs upon credit event of Lowe's Companies, Inc., par value of the notional amount of Lowe's Companies, Inc. 8.25% 6/1/10, and pay quarterly notional amount multiplied by 1.07%

March 2013

5,100

(128)

Receive from Lehman Brothers, Inc. upon credit event of Capital One Financial Corp., par value of the notional amount of Capital One Financial Corp. 6.25% 11/15/13, and pay quarterly notional amount multiplied by 2.27%

June 2013

4,200

35

Receive from Lehman Brothers, Inc. upon credit event of Lowe's Companies, Inc., par value of the notional amount of Lowe's Companies, Inc. 8.25% 6/1/10, and pay quarterly notional amount miltiplied by 1.03%

March 2013

5,100

(119)

Receive from Merrill Lynch, Inc. upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15 and pay quarterly notional amount multiplied by 1.68%

Sept. 2013

7,660

(214)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive from Merrill Lynch, Inc. upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15, and pay quarterly notional amount multiplied by 2.12%

Sept. 2013

$ 5,085

$ (251)

Receive from Morgan Stanley, Inc. upon credit event of Caterpillar Financial Services Corp., par value of Caterpillar Financial Services Corp. 4.625% 6/1/15, and pay quarterly notional amount multiplied by .65%

March 2013

6,800

(52)

Receive from Morgan Stanley, Inc. upon credit event of H.J. Heinz Co., par value of the notional amount of H.J. Heinz Co. 6% 3/15/08, and pay quarterly notional amount multiplied by .65%

March 2013

5,600

(79)

Receive from Morgan Stanley, Inc. upon credit event of iStar Financial, Inc., par value of iStar Financial, Inc. 6% 12/15/10, and pay quarterly notional amount multiplied by 4.4%

March 2013

13,500

(77)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay JPMorgan Chase, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-01 Index, par value of the proportional notional amount (d)

Sept. 2037

18,700

(12,504)

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

Sept. 2037

9,200

(6,123)

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

August 2037

25,000

(17,052)

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

Sept. 2037

5,600

(3,714)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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

Sept. 2037

$ 8,400

$ (5,664)

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

Sept. 2037

22,000

(14,888)

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

August 2037

10,200

(6,454)

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

Sept. 2037

16,700

(11,223)

Receive monthly notional amount multiplied by .55% and pay Deutsche Bank upon credit 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

Sept. 2034

9,300

(6,970)

Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon credit 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

(1,669)

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

August 2034

856

(321)

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 credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M6, 6.105% 5/25/35

June 2035

$ 3,200

$ (1,882)

Receive monthly notional amount multiplied by .85% and pay UBS upon credit 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

(1,151)

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

Oct. 2034

2,971

(875)

Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon credit 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

(1,751)

Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon credit 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

(1,903)

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit 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

262

(224)

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit 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

375

(181)

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 credit 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

$ 114

$ (96)

Receive monthly notional amount multiplied by 2.7% and pay Morgan Stanley, Inc. upon credit 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

(7,337)

Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon credit 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

2,208

(1,523)

Receive monthly notional amount multiplied by 3% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2005-R4 Class M9, 7.07% 7/25/35

August 2035

4,750

(2,970)

Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit 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

(1,766)

Receive monthly notional amount multiplied by 5.55% and pay Deutsche Bank upon credit event of Carrington Mortgage Loan Trust, par value of the notional amount of Carrington Mortgage Loan Trust Series 2006-FRE1 Class M10, 7.74% 7/25/36

August 2036

4,750

(4,011)

Receive monthly notional amount multiplied by 6.25% and pay Deutsche Bank upon credit event of Residential Asset Mortgage Products, Inc., par value of the notional amount of Residential Asset Mortgage Products, Inc. Series 2006-RS5, 7.17% 9/25/36

Oct. 2036

4,750

(4,105)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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

June 2008

$ 61,000

$ 38

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

Sept. 2010

11,200

(5)

Receive quarterly notional amount multiplied by .72% and pay Bank of America upon credit event of Alleghany Energy Supply Co. LLC, par value of the notional amount of Alleghany Energy Supply Co. LLC 8.25% 4/15/12

June 2012

10,500

(186)

Receive quarterly notional amount multiplied by .78% and pay Deutsche Bank upon credit event of Allegheny Energy Supply Co. LLC, par value of the notional amount of Allegheny Energy Supply Co. LLC 8.25% 4/15/12

June 2012

10,505

(162)

Receive quarterly notional amount multiplied by 4% and pay Morgan Stanley, Inc. upon credit event of Developers Diversified Realty Corp., par value of the notional amount of Developers Diversified Realty Corp. 5.375% 10/15/12

March 2013

13,500

1,248

$ 659,716

$ (114,233)

Legend

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $600,789,000 or 5.8% of net assets.

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

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

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

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

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

(h) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. A unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request.

(i) Security or a portion of security has been segregated as collateral for open swaps agreements. At the period end, the value of securities pledged amounted to $133,567,000.

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$426,799,000 due 6/02/08 at 2.33%

BNP Paribas Securities Corp.

$ 61,120

Banc of America Securities LLC

54,951

Bank of America, NA

151,615

Barclays Capital, Inc.

14,991

Greenwich Capital Markets, Inc.

9,476

ING Financial Markets LLC

34,390

J.P. Morgan Securities, Inc.

18,952

Societe Generale, New York Branch

78,461

WestLB AG

2,843

$ 426,799

$102,440,000 due 6/02/08 at 2.35%

Barclays Capital, Inc.

$ 102,043

Credit Suisse Securities (USA) LLC

397

$ 102,440

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 17,892

Fidelity 2-5 Year Duration Securitized Bond Central Fund

38,674

Fidelity Corporate Bond 1-5 Year Central Fund

19,593

Fidelity Mortgage Backed Securities Central Fund

89,588

Fidelity Specialized High Income Central Fund

9,111

Fidelity Ultra-Short Central Fund

51,628

Total

$ 226,486

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

Fund
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 684,797

$ 17,892

$ 333,205

$ 323,971

18.2%

Fidelity 2-5 Year Duration Securitized Bond Central Fund

1,079,607

38,674

244,261

824,087

23.1%

Fidelity Corporate Bond 1-5 Year Central Fund

633,792

19,593

199,771

452,100

69.1%

Fidelity Mortgage Backed Securities Central Fund

2,282,321

89,588

150,150

2,229,633

23.5%

Fidelity Specialized High Income Central Fund

153,954

46,943

-

198,855

47.5%

Fidelity Ultra-Short Central Fund

2,327,141

317,546

1,522,394

930,047

19.4%

Total

$ 7,161,612

$ 530,236

$ 2,449,781

$ 4,958,693

Income Tax Information

At May 31, 2008, the aggregate cost of investment securities for income tax purposes was $12,445,259,000. Net unrealized depreciation aggregated $518,171,000, of which $59,553,000 related to appreciated investment securities and $577,724,000 related to depreciated investment securities.0

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices. Certain of the Fund's securities may be valued by a single source or dealer. Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at dispostion may differ.

When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in the determination of fair value may include current trading activity, interest rates, credit quality and default rates. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities.

Credit Risk

The Fund may have direct or indirect exposure to structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report
for
Fidelity ® Advisor Investment Grade Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

May 31, 2008

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

1.804863.104

AIGB-QTLY-0708

Investments May 31, 2008 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 26.8%

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 2.2%

Automobiles - 0.3%

Ford Motor Co. 7.45% 7/16/31

$ 40,245

$ 27,870

Household Durables - 0.1%

Fortune Brands, Inc. 5.875% 1/15/36

2,745

2,255

Newell Rubbermaid, Inc.:

5.5% 4/15/13

6,993

6,933

6.25% 4/15/18

3,425

3,416

12,604

Media - 1.8%

AOL Time Warner, Inc. 6.75% 4/15/11

22,380

22,959

Comcast Corp.:

4.95% 6/15/16

15,874

14,884

5.9% 3/15/16

14,300

14,240

COX Communications, Inc. 6.45% 12/1/36 (b)

21,256

20,454

Gannett Co., Inc. 2.8381% 5/26/09 (e)

15,990

15,573

Liberty Media Corp.:

5.7% 5/15/13

8,500

7,778

8.25% 2/1/30

19,105

17,169

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

6,015

6,462

News America, Inc.:

6.15% 3/1/37

6,365

5,882

6.2% 12/15/34

4,570

4,261

Time Warner Cable, Inc. 5.85% 5/1/17

28,639

27,473

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

9,840

9,705

Viacom, Inc.:

6.125% 10/5/17

9,190

9,015

6.75% 10/5/37

8,475

8,103

183,958

TOTAL CONSUMER DISCRETIONARY

224,432

CONSUMER STAPLES - 1.5%

Beverages - 0.2%

Diageo Capital PLC:

5.2% 1/30/13

5,710

5,736

5.75% 10/23/17

7,686

7,660

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

11,020

10,355

23,751

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Food & Staples Retailing - 0.2%

CVS Caremark Corp. 6.302% 6/1/37 (e)

$ 14,340

$ 12,476

Wal-Mart Stores, Inc. 6.2% 4/15/38

11,535

11,334

23,810

Food Products - 0.5%

General Mills, Inc. 5.2% 3/17/15

10,480

10,392

Kellogg Co. 6.6% 4/1/11

5,672

5,965

Kraft Foods, Inc.:

4.125% 11/12/09

6,360

6,372

6% 2/11/13

9,770

9,908

6.25% 6/1/12

6,081

6,232

6.875% 2/1/38

9,031

8,779

47,648

Tobacco - 0.6%

Philip Morris International, Inc.:

5.65% 5/16/18

12,502

12,232

6.375% 5/16/38

12,770

12,413

Reynolds American, Inc.:

6.75% 6/15/17

15,115

15,017

7.25% 6/15/37

22,265

21,746

61,408

TOTAL CONSUMER STAPLES

156,617

ENERGY - 3.1%

Energy Equipment & Services - 0.3%

BJ Services Co. 6% 6/1/18

14,255

14,233

DCP Midstream LLC 6.75% 9/15/37 (b)

7,295

6,906

Transocean, Inc. 6% 3/15/18

5,000

5,048

Weatherford International Ltd. 6% 3/15/18

5,650

5,654

31,841

Oil, Gas & Consumable Fuels - 2.8%

Anadarko Finance Co. 6.75% 5/1/11

7,335

7,656

Anadarko Petroleum Corp.:

5.95% 9/15/16

6,661

6,712

6.45% 9/15/36

9,885

9,846

Canadian Natural Resources Ltd.:

5.7% 5/15/17

7,170

7,073

5.9% 2/1/18

2,830

2,828

ConocoPhillips 4.4% 5/15/13

50,000

49,343

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Duke Energy Field Services 7.875% 8/16/10

$ 7,580

$ 8,018

EnCana Corp. 4.75% 10/15/13

2,269

2,211

Energy Transfer Partners LP:

6% 7/1/13

9,295

9,351

6.7% 7/1/18

7,880

7,984

Kinder Morgan Energy Partners LP 6.75% 3/15/11

4,315

4,461

Nakilat, Inc. 6.067% 12/31/33 (b)

23,610

20,443

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

5,985

5,362

Nexen, Inc.:

5.875% 3/10/35

10,560

9,509

6.4% 5/15/37

7,730

7,438

Pemex Project Funding Master Trust 3.6756% 12/3/12 (b)(e)

11,870

11,656

Petro-Canada:

6.05% 5/15/18

4,170

4,098

6.8% 5/15/38

10,305

10,077

Suncor Energy, Inc. 6.5% 6/15/38

10,690

10,352

Talisman Energy, Inc. yankee 6.25% 2/1/38

18,970

17,674

TEPPCO Partners LP:

6.65% 4/15/18

11,620

11,777

7.55% 4/15/38

10,010

10,373

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

22,035

21,267

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

4,050

4,101

Valero Energy Corp. 6.625% 6/15/37

5,740

5,308

XTO Energy, Inc.:

5.9% 8/1/12

6,352

6,483

6.25% 8/1/17

9,995

10,189

281,590

TOTAL ENERGY

313,431

FINANCIALS - 11.1%

Capital Markets - 2.5%

Bear Stearns Companies, Inc. 6.95% 8/10/12

21,590

22,536

BlackRock, Inc. 6.25% 9/15/17

30,000

30,220

Deutsche Bank AG London 6% 9/1/17

6,678

6,774

Goldman Sachs Group, Inc. 6.75% 10/1/37

8,975

8,421

Janus Capital Group, Inc. 5.875% 9/15/11

2,605

2,558

JPMorgan Chase Capital XVII 5.85% 8/1/35

3,865

3,208

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

JPMorgan Chase Capital XX 6.55% 9/29/36

$ 96,700

$ 83,973

Lazard Group LLC:

6.85% 6/15/17

5,200

4,727

7.125% 5/15/15

16,430

15,318

Lehman Brothers Holdings, Inc.:

6.2% 9/26/14

12,662

12,221

6.875% 5/2/18

11,295

10,961

Merrill Lynch & Co., Inc. 6.875% 4/25/18

9,721

9,529

Morgan Stanley:

3.01% 1/9/14 (e)

40,435

37,015

4.75% 4/1/14

9,200

8,481

255,942

Commercial Banks - 1.8%

Bank of America NA 6% 10/15/36

8,150

7,685

Bank One Corp. 5.25% 1/30/13

13,775

13,675

BB&T Capital Trust IV 6.82% 6/12/77 (e)

1,220

1,065

Credit Suisse (Guernsey) Ltd. 5.86%

13,520

11,430

Credit Suisse First Boston 6% 2/15/18

17,850

17,401

Export-Import Bank of Korea 5.25% 2/10/14 (b)

7,225

7,033

HBOS PLC 6.75% 5/21/18 (b)

12,189

11,890

HSBC Holdings PLC:

6.5% 5/2/36

11,470

10,918

6.5% 9/15/37

5,010

4,700

KeyCorp Capital Trust VII 5.7% 6/15/35

16,490

12,039

Korea Development Bank 5.75% 9/10/13

14,578

14,700

Standard Chartered Bank 6.4% 9/26/17 (b)

26,980

26,703

SunTrust Bank 7.25% 3/15/18

3,750

3,856

Wachovia Bank NA 5.85% 2/1/37

19,011

16,075

Wachovia Corp. 4.875% 2/15/14

1,791

1,699

Wells Fargo Bank NA:

4.75% 2/9/15

12,250

11,683

5.95% 8/26/36

11,449

10,857

183,409

Consumer Finance - 0.7%

American Express Co. 8.15% 3/19/38

5,900

6,732

SLM Corp.:

3% 3/15/11 (e)

1,130

995

3.08% 7/26/10 (e)

64,500

57,889

3.15% 10/25/11 (e)

3,925

3,306

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Consumer Finance - continued

SLM Corp.: - continued

3.22% 1/27/14 (e)

$ 2,240

$ 1,830

4.5% 7/26/10

2,325

2,141

5% 10/1/13

830

700

73,593

Diversified Financial Services - 0.9%

Deutsche Bank AG London 5.375% 10/12/12

6,162

6,277

GlaxoSmithKline Capital, Inc. 6.375% 5/15/38

10,173

10,045

JPMorgan Chase & Co.:

4.875% 3/15/14

10,460

10,113

5.75% 1/2/13

2,935

3,006

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

15,505

15,703

Prime Property Funding, Inc.:

5.125% 6/1/15 (b)

13,035

11,290

5.5% 1/15/14 (b)

8,820

8,170

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

11,415

11,886

ZFS Finance USA Trust II 6.45% 12/15/65 (b)(e)

7,500

6,659

ZFS Finance USA Trust V 6.5% 5/9/67 (b)(e)

13,680

12,047

95,196

Insurance - 1.5%

American International Group, Inc. 8.175% 5/15/58 (b)(e)

8,485

8,140

Assurant, Inc. 5.625% 2/15/14

8,540

8,045

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

13,335

12,612

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

22,081

19,744

Liberty Mutual Group, Inc.:

6.7% 8/15/16 (b)

15,840

15,545

10.75% 6/15/88 (b)(e)

8,540

8,455

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

2,370

2,192

Metropolitan Life Global Funding I:

5.125% 11/9/11 (b)

7,540

7,607

5.125% 4/10/13 (b)

11,934

11,755

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

7,315

7,424

New York Life Global Funding 4.65% 5/9/13 (b)

9,715

9,587

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

10,050

9,909

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

18,775

18,652

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

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

$ 10,405

$ 9,258

The Chubb Corp. 6.5% 5/15/38

4,535

4,458

153,383

Real Estate Investment Trusts - 3.0%

AMB Property LP:

5.9% 8/15/13

9,635

9,419

6.3% 6/1/13

9,785

9,766

Brandywine Operating Partnership LP:

5.625% 12/15/10

19,900

19,339

5.75% 4/1/12

6,050

5,693

Camden Property Trust 5.875% 11/30/12

6,435

6,149

Colonial Properties Trust:

4.75% 2/1/10

19,607

18,887

4.8% 4/1/11

2,650

2,507

5.5% 10/1/15

12,730

10,972

6.875% 8/15/12

5,000

4,853

Colonial Realty LP 6.05% 9/1/16

9,420

8,199

Developers Diversified Realty Corp.:

4.625% 8/1/10

975

942

5% 5/3/10

6,840

6,619

5.25% 4/15/11

8,195

7,847

5.375% 10/15/12

5,485

5,097

Duke Realty LP:

5.4% 8/15/14

10,700

9,789

5.5% 3/1/16

10,700

9,682

5.625% 8/15/11

4,860

4,714

5.875% 8/15/12

1,205

1,170

5.95% 2/15/17

2,540

2,376

6.25% 5/15/13

5,180

5,121

6.5% 1/15/18

8,800

8,435

Equity One, Inc.:

6% 9/15/17

6,860

5,954

6.25% 1/15/17

4,535

4,037

Federal Realty Investment Trust:

5.4% 12/1/13

4,880

4,611

6% 7/15/12

3,355

3,314

6.2% 1/15/17

2,580

2,452

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

4,130

3,639

HRPT Properties Trust:

5.75% 11/1/15

2,925

2,694

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

HRPT Properties Trust: - continued

6.65% 1/15/18

$ 6,500

$ 6,106

Liberty Property LP:

5.5% 12/15/16

6,665

5,898

6.375% 8/15/12

4,617

4,524

6.625% 10/1/17

6,640

6,208

Mack-Cali Realty LP:

5.05% 4/15/10

6,290

6,206

7.25% 3/15/09

4,110

4,165

7.75% 2/15/11

1,080

1,120

Reckson Operating Partnership LP:

5.15% 1/15/11

2,790

2,632

6% 3/31/16

2,600

2,188

Simon Property Group LP:

4.6% 6/15/10

8,400

8,285

5.1% 6/15/15

15,660

14,164

5.375% 6/1/11

3,565

3,526

5.45% 3/15/13

8,720

8,544

5.75% 5/1/12

4,015

4,026

7.75% 1/20/11

2,250

2,345

Tanger Properties LP 6.15% 11/15/15

17,300

15,868

UDR, Inc. 5.5% 4/1/14

10,720

9,883

United Dominion Realty Trust, Inc. 5.25% 1/15/15

3,645

3,267

Washington (REIT) 5.95% 6/15/11

10,660

10,215

303,447

Real Estate Management & Development - 0.4%

ERP Operating LP:

5.375% 8/1/16

2,405

2,219

5.5% 10/1/12

9,240

9,098

5.75% 6/15/17

11,250

10,623

Post Apartment Homes LP 6.3% 6/1/13

11,550

11,009

Regency Centers LP 6.75% 1/15/12

12,435

12,479

45,428

Thrifts & Mortgage Finance - 0.3%

Capmark Financial Group, Inc. 6.3% 5/10/17

5,570

4,087

Credit Suisse First Boston (New York Branch) 5% 5/15/13

9,731

9,554

Washington Mutual Bank 5.55% 6/16/10

5,000

4,725

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Washington Mutual, Inc.:

3.2% 9/17/12 (e)

$ 10,415

$ 9,047

4.625% 4/1/14

8,680

7,118

34,531

TOTAL FINANCIALS

1,144,929

HEALTH CARE - 0.3%

Pharmaceuticals - 0.3%

AstraZeneca PLC:

5.9% 9/15/17

16,795

17,182

6.45% 9/15/37

16,771

17,110

34,292

INDUSTRIALS - 1.7%

Aerospace & Defense - 0.2%

Bombardier, Inc. 6.3% 5/1/14 (b)

18,035

17,674

Airlines - 1.3%

American Airlines, Inc. pass-thru trust certificates:

7.324% 4/15/11

13,531

12,516

7.858% 4/1/13

26,059

25,570

Continental Airlines, Inc. pass-thru trust certificates 6.545% 8/2/20

4,121

3,990

Delta Air Lines, Inc. pass-thru trust certificates:

6.821% 8/10/22

14,597

13,229

7.57% 11/18/10

21,770

21,117

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

6,914

6,568

8.36% 7/20/20

21,289

21,342

United Air Lines, Inc. pass-thru trust certificates:

Class 1A, 6.636% 7/2/22

8,634

7,425

6.071% 9/1/14

2,013

2,020

6.602% 9/1/13

3,575

3,539

7.032% 4/1/12

3,090

3,059

7.186% 10/1/12

7,667

7,552

7.811% 4/1/11

4,909

5,646

133,573

Commercial Services & Supplies - 0.1%

R.R. Donnelley & Sons Co. 5.5% 5/15/15

12,745

12,027

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Road & Rail - 0.0%

Canadian National Railway Co. 5.85% 11/15/17

$ 4,690

$ 4,725

Canadian Pacific Railway Co. 5.95% 5/15/37

990

835

5,560

Transportation Infrastructure - 0.1%

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

6,338

5,782

TOTAL INDUSTRIALS

174,616

INFORMATION TECHNOLOGY - 0.4%

Electronic Equipment & Instruments - 0.1%

Tyco Electronics Group SA:

6.55% 10/1/17

8,770

8,893

7.125% 10/1/37

4,405

4,436

13,329

Semiconductors & Semiconductor Equipment - 0.3%

Chartered Semiconductor Manufacturing Ltd.:

5.75% 8/3/10

9,825

9,583

6.375% 8/3/15

10,650

10,438

National Semiconductor Corp. 6.15% 6/15/12

7,260

7,232

27,253

TOTAL INFORMATION TECHNOLOGY

40,582

MATERIALS - 0.2%

Chemicals - 0.2%

Agrium, Inc. 7.125% 5/23/36

8,975

8,844

Dow Chemical Co. 5.7% 5/15/18

5,895

5,798

14,642

Metals & Mining - 0.0%

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

3,460

3,670

TOTAL MATERIALS

18,312

TELECOMMUNICATION SERVICES - 2.4%

Diversified Telecommunication Services - 1.7%

AT&T, Inc.:

6.3% 1/15/38

10,189

9,784

6.8% 5/15/36

17,617

17,889

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

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

$ 12,752

$ 14,066

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

11,230

11,030

Embarq Corp. 7.082% 6/1/16

17,205

16,731

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

7,455

7,473

Sprint Capital Corp.:

6.875% 11/15/28

9,870

7,896

7.625% 1/30/11

7,295

7,058

Telecom Italia Capital SA:

4.95% 9/30/14

11,250

10,358

5.25% 10/1/15

12,725

11,741

7.2% 7/18/36

2,550

2,447

Telefonica Emisiones SAU:

6.221% 7/3/17

11,230

11,443

7.045% 6/20/36

5,850

6,144

Verizon Communications, Inc.:

5.25% 4/15/13

12,085

12,186

6.1% 4/15/18

14,720

15,006

6.4% 2/15/38

10,172

9,937

6.9% 4/15/38

4,170

4,333

175,522

Wireless Telecommunication Services - 0.7%

Sprint Nextel Corp. 6% 12/1/16

29,701

24,503

Vodafone Group PLC:

5% 12/16/13

7,380

7,205

5.625% 2/27/17

35,292

34,782

66,490

TOTAL TELECOMMUNICATION SERVICES

242,012

UTILITIES - 3.9%

Electric Utilities - 2.0%

AmerenUE 6.4% 6/15/17

18,252

18,442

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

11,490

11,354

Commonwealth Edison Co.:

5.4% 12/15/11

18,283

18,345

5.8% 3/15/18

11,545

11,294

Duke Energy Carolinas LLC 6% 1/15/38

9,739

9,479

EDP Finance BV 6% 2/2/18 (b)

25,358

25,379

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Enel Finance International SA:

6.25% 9/15/17 (b)

$ 12,675

$ 12,944

6.8% 9/15/37 (b)

13,880

14,061

Exelon Corp. 4.9% 6/15/15

27,100

25,121

Illinois Power Co. 6.125% 11/15/17

5,060

4,877

Nevada Power Co. 6.5% 5/15/18

26,280

26,543

Pacific Gas & Electric Co.:

4.8% 3/1/14

2,670

2,618

5.8% 3/1/37

7,180

6,645

Pennsylvania Electric Co. 6.05% 9/1/17

10,455

10,133

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

15,620

13,422

210,657

Gas Utilities - 0.1%

Southern Natural Gas Co. 5.9% 4/1/17 (b)

6,145

5,901

Independent Power Producers & Energy Traders - 0.6%

Duke Capital LLC 5.668% 8/15/14

13,400

13,108

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

23,798

22,907

PPL Energy Supply LLC:

6.2% 5/15/16

11,895

11,606

6.5% 5/1/18

11,365

11,124

TXU Corp. 5.55% 11/15/14

7,555

6,120

64,865

Multi-Utilities - 1.2%

CMS Energy Corp. 6.55% 7/17/17

13,140

12,662

Dominion Resources, Inc. 7.5% 6/30/66 (e)

12,110

11,280

MidAmerican Energy Holdings, Co. 6.5% 9/15/37

11,895

11,976

National Grid PLC 6.3% 8/1/16

26,485

26,655

NiSource Finance Corp.:

3.2081% 11/23/09 (e)

9,874

9,595

5.4% 7/15/14

2,960

2,748

5.45% 9/15/20

10,810

9,395

6.4% 3/15/18

21,180

20,392

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

20,065

17,448

122,151

TOTAL UTILITIES

403,574

TOTAL NONCONVERTIBLE BONDS

(Cost $2,871,081)

2,752,797

U.S. Government and Government Agency Obligations - 8.2%

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 0.5%

Freddie Mac 4.5% 7/15/13 (i)

$ 50,000

$ 50,838

U.S. Treasury Inflation Protected Obligations - 6.6%

U.S. Treasury Inflation-Indexed Notes:

2% 1/15/14 (i)

149,424

156,419

2.375% 1/15/17 (i)

309,789

332,519

2.375% 1/15/27 (i)

121,736

126,457

2.625% 7/15/17

52,235

57,195

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

672,590

U.S. Treasury Obligations - 1.1%

U.S. Treasury Bonds 4.375% 2/15/38

17,057

16,164

U.S. Treasury Notes 3.5% 2/15/18 (a)

104,611

99,961

TOTAL U.S. TREASURY OBLIGATIONS

116,125

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $812,005)

839,553

U.S. Government Agency - Mortgage Securities - 20.4%

Fannie Mae - 16.3%

3.98% 9/1/33 (e)

10,556

10,557

4.5% 4/1/20 to 4/1/23

23,690

23,132

4.708% 7/1/34 (e)

16,373

16,567

4.748% 1/1/35 (e)

12,016

12,117

4.768% 9/1/35 (e)

11,437

11,549

4.925% 3/1/35 (e)

15,680

15,835

5% 4/1/18 to 3/1/34

120,105

116,966

5% 6/1/38 (c)

34,000

32,831

5% 6/1/38 (c)

79,000

76,284

5% 6/1/38 (c)

168,000

162,224

5% 6/1/38 (c)

188,000

181,536

5.168% 4/1/36 (e)

21,725

22,041

5.5% 2/1/35 to 9/1/36 (i)

123,298

123,012

5.5% 6/1/38 (c)

188,000

186,599

5.5% 6/1/38 (c)

20,000

19,851

5.5% 6/1/38 (c)

200,000

198,510

5.5% 6/1/38 (c)

100,000

99,255

5.5% 6/1/38 (c)

148,000

146,897

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

5.611% 7/1/37 (e)

$ 3,016

$ 3,075

5.822% 7/1/46 (e)

32,192

32,927

6% 3/1/16 to 7/1/22

1,701

1,749

6% 6/1/38 (c)

9,000

9,128

6.027% 4/1/36 (e)

2,260

2,311

6.164% 4/1/36 (e)

5,891

6,033

6.239% 6/1/36 (e)

896

915

6.309% 4/1/36 (e)

2,187

2,244

6.5% 8/1/23 to 5/1/38

155,990

161,060

TOTAL FANNIE MAE

1,675,205

Freddie Mac - 1.1%

4.3% 2/1/35 (e)

5,306

5,318

4.425% 8/1/35 (e)

21,817

21,769

4.473% 10/1/34 (e)

11,797

11,839

4.55% 4/1/35 (e)

24,452

24,577

4.623% 4/1/35 (e)

8,451

8,503

4.765% 7/1/35 (e)

8,803

8,863

5.005% 1/1/36 (e)

6,803

6,860

5.756% 10/1/35 (e)

1,585

1,612

5.846% 6/1/36 (e)

2,662

2,713

6.02% 7/1/37 (e)

13,457

13,715

6.033% 6/1/36 (e)

2,498

2,548

6.091% 4/1/36 (e)

4,102

4,188

6.105% 6/1/36 (e)

2,447

2,499

TOTAL FREDDIE MAC

115,004

Government National Mortgage Association - 3.0%

5.5% 6/1/38 (c)

20,000

19,959

5.5% 6/1/38 (c)

13,000

12,974

5.5% 6/1/38 (c)

20,000

19,959

5.5% 6/1/38 (c)

4,000

3,999

5.5% 6/1/38 (c)

7,000

6,998

5.5% 6/1/38 (c)

14,000

13,996

5.5% 6/1/38 (c)

14,000

13,996

5.5% 6/1/38 (c)

27,000

26,945

5.5% 6/1/38 (c)

10,000

9,997

5.5% 6/19/38 (c)

10,000

9,997

5.5% 6/19/38 (c)

41,000

40,917

5.5% 6/19/38 (c)

79,000

78,840

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Government National Mortgage Association - continued

5.5% 6/19/38 (c)

$ 11,000

$ 10,997

5.5% 7/1/38 (c)

8,000

7,972

5.5% 7/1/38 (c)

19,000

18,933

5.5% 7/1/38 (c)

8,000

7,974

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

304,453

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $2,109,955)

2,094,662

Asset-Backed Securities - 1.4%

Advanta Business Card Master Trust Series 2007-D1 Class D, 3.8788% 1/22/13 (b)(e)

10,400

5,337

Airspeed Ltd. Series 2007-1A Class C1, 5.0144% 6/15/32 (b)(e)

11,536

9,114

AmeriCredit Prime Automobile Receivables Trust Series 2007-1 Class E, 6.96% 3/31/16 (b)

5,880

4,295

Capital Auto Receivables Asset Trust:

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

4,195

4,228

Series 2006-SN1A Class D, 6.15% 4/20/11 (b)

2,730

2,671

Carrington Mortgage Loan Trust Series 2006-NC3 Class M10, 4.3925% 8/25/36 (b)(e)

1,449

88

Countrywide Home Loan Trust Series 2006-13N Class N, 7% 8/25/37 (b)

2,385

119

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

5,545

4,820

Ford Credit Auto Owner Trust:

Series 2006-B Class D, 7.26% 2/15/13 (b)

5,810

4,905

Series 2006-C Class D, 6.89% 5/15/13 (b)

4,115

3,358

Series 2007-A Class D, 7.05% 12/15/13 (b)

2,335

1,885

GS Auto Loan Trust Series 2006-1 Class D, 6.25% 1/15/14 (b)

5,318

5,143

GSAMP Trust Series 2004-AR1 Class B4, 5% 6/25/34 (b)(e)

1,074

322

Merna Reinsurance Ltd. Series 2007-1 Class B, 4.4463% 6/30/12 (b)(e)

17,200

16,325

Securitized Asset Backed Receivables LLC Trust Series 2007-BR1 Class A2A, 2.5025% 2/25/37 (e)

3,724

3,422

Structured Asset Securities Corp. Series 2006-BC1 Class B1, 4.8925% 3/25/36 (b)(e)

4,513

155

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 2.4825% 6/25/37 (e)

3,415

3,055

Asset-Backed Securities - continued

Principal Amount (000s)

Value (000s)

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 2.9644% 3/15/11 (b)(e)

$ 15,495

$ 15,380

Wachovia Auto Loan Owner Trust Series 2006-2A:

Class A4, 5.23% 3/20/12 (b)

50,000

49,974

Class E, 7.05% 5/20/14 (b)

6,660

4,495

WaMu Asset-Backed Certificates Series 2006-HE5 Class B2, 4.8925% 10/25/36 (b)(e)

6,417

356

TOTAL ASSET-BACKED SECURITIES

(Cost $166,195)

139,447

Collateralized Mortgage Obligations - 3.8%

Private Sponsor - 1.6%

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6985% 4/10/49 (e)

1,775

1,359

Class C, 5.6985% 4/10/49 (e)

4,735

3,512

Class D, 5.6985% 4/10/49 (e)

2,370

1,658

Banc of America Mortgage Securities, Inc.:

Series 2003-J Class 2A2, 4.4% 11/25/33 (e)

4,183

4,071

Series 2004-A Class 2A1, 3.5442% 2/25/34 (e)

2,617

2,522

Series 2004-D Class 2A1, 3.6168% 5/25/34 (e)

1,341

1,306

Series 2005-H:

Class 1A1, 4.9195% 9/25/35 (e)

1,374

1,305

Class 2A2, 4.8052% 9/25/35 (e)

1,562

1,452

Bayview Commercial Asset Trust Series 2006-3A Class IO, 1.1688% 10/25/36 (e)(f)

74,466

6,553

Chase Mortgage Finance Trust:

Series 2007-A1:

Class 1A5, 4.3547% 2/25/37 (e)

2,646

2,603

Class 5A1, 4.1696% 2/25/37 (e)

7,312

7,116

Series 2007-A2:

Class 2A1, 4.2369% 7/25/37 (e)

3,920

3,803

Class 3A1, 4.5607% 7/25/37 (e)

7,361

7,238

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 4.6228% 11/25/34 (e)

3,889

3,779

JPMorgan Mortgage Trust Series 2007-A1 Class 3A2, 5.0065% 7/25/35 (e)

4,126

4,045

Merrill Lynch Floating Trust floater Series 2006-1 Class TM, 3.2159% 6/15/22 (b)(e)

8,932

7,592

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.8348% 10/25/35 (e)

7,223

7,117

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B Class B6, 5.44% 7/10/35 (b)(e)

$ 4,166

$ 3,347

Series 2003-CB1:

Class B4, 4.24% 6/10/35 (b)(e)

3,964

3,233

Class B5, 4.84% 6/10/35 (b)(e)

2,705

2,174

Class B6, 5.34% 6/10/35 (b)(e)

1,606

1,264

Structured Asset Securities Corp. floater Series 2006-BC5 Class B, 4.8925% 12/25/36 (b)(e)

4,593

275

WaMu Mortgage pass-thru certificates:

Series 2004-AR7 Class A6, 3.9414% 7/25/34 (e)

2,108

2,084

Series 2005-AR14 Class 1A1, 5.0557% 12/25/35 (e)

14,814

14,605

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 3.9885% 12/25/34 (e)

13,222

12,999

Series 2004-V Class 1A2, 3.8333% 10/25/34 (e)

6,333

5,843

Series 2005-AR12 Class 2A6, 4.336% 7/25/35 (e)

5,792

5,495

Series 2005-AR3 Class 2A1, 4.2062% 3/25/35 (e)

2,263

2,190

Series 2006-AR8 Class 3A1, 5.2379% 4/25/36 (e)

50,821

49,919

TOTAL PRIVATE SPONSOR

170,459

U.S. Government Agency - 2.2%

Freddie Mac Multi-class participation certificates guaranteed planned amortization class:

Series 2630 Class KS, 4% 1/15/17 (i)

22,130

21,826

Series 3079 Class MB, 5% 10/15/28

30,807

30,904

Series 3082 Class PG, 5% 10/15/29

50,300

50,365

Series 3118 Class QB, 5% 2/15/29

33,731

33,743

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

86,689

87,395

TOTAL U.S. GOVERNMENT AGENCY

224,233

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $405,301)

394,692

Commercial Mortgage Securities - 1.4%

Bayview Commercial Asset Trust floater:

Series 2007-2A:

Class A1, 2.6625% 7/25/37 (b)(e)

2,282

1,712

Class A2, 2.7125% 7/25/37 (b)(e)

2,138

1,518

Class B1, 3.9925% 7/25/37 (b)(e)

632

297

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2007-2A:

Class B2, 4.6425% 7/25/37 (b)(e)

$ 550

$ 247

Class B3, 5.7425% 7/25/37 (b)(e)

617

277

Class M1, 2.7625% 7/25/37 (b)(e)

717

445

Class M2, 2.8025% 7/25/37 (b)(e)

363

214

Class M3, 2.8825% 7/25/37 (b)(e)

368

199

Class M4, 3.0425% 7/25/37 (b)(e)

787

457

Class M5, 3.1425% 7/25/37 (b)(e)

694

382

Class M6, 3.3925% 7/25/37 (b)(e)

885

460

Series 2007-3:

Class B1, 3.3425% 7/25/37 (b)(e)

583

334

Class B2, 3.9925% 7/25/37 (b)(e)

1,526

839

Class B3, 6.3925% 7/25/37 (b)(e)

780

437

Class M1, 2.7025% 7/25/37 (b)(e)

506

345

Class M2, 2.7325% 7/25/37 (b)(e)

540

355

Class M3, 2.7625% 7/25/37 (b)(e)

883

553

Class M4, 2.8925% 7/25/37 (b)(e)

1,393

836

Class M5, 2.9925% 7/25/37 (b)(e)

694

426

Class M6, 3.1925% 7/25/37 (b)(e)

527

309

Bear Stearns Commercial Mortgage Securities Trust Series 2007-T28 Class A1, 5.422% 9/11/42

5,709

5,710

Chase Commercial Mortgage Securities Corp. Series 2000-3 Class G 6.887% 10/15/32 (b)

9,742

8,510

Citigroup Commercial Mortgage Trust:

Series 2007-C6 Class A4, 5.8886% 12/10/49 (e)

15,000

14,717

Series 2007-FL3A Class A2, 2.6544% 4/15/22 (b)(e)

8,398

7,558

Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C1 Class ASP, 0.8374% 1/15/37 (b)(e)(f)

136,665

3,083

Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-47 Class C, 4.227% 10/16/27

7,770

7,733

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.8333% 12/10/41 (e)(f)

14,127

213

GS Mortgage Securities Corp. II floater Series 2007-EOP:

Class D, 3.0938% 3/1/20 (b)(e)

9,955

8,960

Class H, 3.3738% 3/1/20 (b)(e)

960

848

Class J, 3.5738% 3/1/20 (b)(e)

1,375

1,217

JPMorgan Chase Commercial Mortgage Securities Trust sequential payer Series 2006-LDP9 Class A2, 5.134% 5/15/47 (e)

18,365

17,329

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9345% 7/15/44 (e)

18,248

18,199

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Merrill Lynch-CFC Commercial Mortgage Trust Series 2007-7 Class B, 5.75% 6/25/50

$ 2,790

$ 2,080

Morgan Stanley Capital I Trust sequential payer Series 2007-HQ11 Class A31, 5.439% 2/20/44 (e)

17,270

16,829

Wachovia Bank Commercial Mortgage Trust:

sequential payer Series 2007-C31:

Class A1, 5.14% 4/15/47

3,897

3,894

Class A4, 5.509% 4/15/47

5,752

5,535

Series 2007-C31 Class C, 5.8818% 4/15/47 (e)

8,950

6,605

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $154,239)

139,662

Municipal Securities - 0.5%

California Gen. Oblig. 5% 9/1/35

27,300

27,316

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

5,000

5,589

Connecticut Gen. Oblig. Series B, 5% 5/1/15

4,550

4,992

Minnesota Gen. Oblig. 5% 6/1/15

4,550

5,023

Montgomery County Gen. Oblig. (Consolidated Pub. Impt. Proj.) Series A, 5% 5/1/13

3,645

3,958

North Carolina Gen. Oblig. Series A, 5.5% 3/1/13

6,800

7,543

TOTAL MUNICIPAL SECURITIES

(Cost $56,339)

54,421

Foreign Government and Government Agency Obligations - 0.1%

Israeli State 4.625% 6/15/13
(Cost $6,668)

6,725

6,772

Supranational Obligations - 0.0%

Corporacion Andina de Fomento:

5.2% 5/21/13

1,575

1,554

6.875% 3/15/12

1,630

1,717

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $3,182)

3,271

Fixed-Income Funds - 48.3%

Shares

Value (000s)

Fidelity 1-3 Year Duration Securitized Bond Central Fund (h)

3,766,671

$ 323,971

Fidelity 2-5 Year Duration Securitized Bond Central Fund (h)

8,941,911

824,087

Fidelity Corporate Bond 1-5 Year Central Fund (h)

4,588,912

452,100

Fidelity Mortgage Backed Securities Central Fund (h)

22,624,379

2,229,633

Fidelity Specialized High Income Central Fund (h)

2,072,487

198,855

Fidelity Ultra-Short Central Fund (h)

11,251,473

930,047

TOTAL FIXED-INCOME FUNDS

(Cost $5,320,533)

4,958,693

Preferred Securities - 0.1%

Principal Amount (000s)

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

MUFG Capital Finance 1 Ltd. 6.346% (e)

(Cost $15,235)

15,235

13,879

Cash Equivalents - 5.1%

Maturity Amount (000s)

Investments in repurchase agreements in a joint trading account at:

2.33%, dated 5/30/08 due 6/2/08 (Collateralized by U.S. Government Obligations) #

426,882

426,799

2.35%, dated 5/30/08 due 6/2/08 (Collateralized by U.S. Government Obligations) # (g)

102,460

102,440

TOTAL CASH EQUIVALENTS

(Cost $529,239)

529,239

TOTAL INVESTMENT PORTFOLIO - 116.1%

(Cost $12,449,972)

11,927,088

NET OTHER ASSETS - (16.1)%

(1,655,780)

NET ASSETS - 100%

$ 10,271,308

Swap Agreements

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

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

Oct. 2034

$ 2,497

(1,588)

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

Oct. 2034

1,077

(591)

Receive monthly notional amount multiplied by 3.3% and pay Morgan Stanley, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.395% 11/25/34

Dec. 2034

1,431

(783)

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 6.395% 8/25/34

Sept. 2034

868

(477)

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

August 2034

1,278

(612)

Receive from Bank of America upon credit event of Gannett Co., Inc., par value of the notional amount of Gannett Co., Inc. 6.375% 4/1/12, and pay quarterly notional amount multiplied by .2%

June 2009

7,095

47

Receive from Barclays Bank upon credit event of CVS Caremark Corp., par value of the notional amount of CVS Caremark Corp. 4.875% 9/15/14, and pay quarterly notional amount multiplied by .56%

March 2013

16,900

3

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive from Barclays Bank upon credit event of Ryder Systems, Inc., par value of the notional amount of Ryder Systems, Inc. 6.95% 12/1/25, and pay quarterly notional amount multiplied by .91%

June 2013

$ 13,600

$ (66)

Receive from Citibank upon credit event of Bristol-Myers Squibb Co., par value of the notional amount of Bristol-Myers Squibb Co. 5.25% 8/15/13, and pay quarterly notional amount multiplied by .32%

Sept. 2017

3,800

1

Receive from Citibank upon credit event of Capital One Financial Corp., par value of the notional amount of Capital One Financial Corp. 6.25% 11/1/13, and pay quarterly notional amount multiplied by 2.35%

June 2013

6,300

34

Receive from Citibank upon credit event of Capital One Financial Corp., par value of the notional amount of Capital One Financial Corp. 6.25% 11/15/13, and pay quarterly notional amount multiplied by 2.15%

June 2013

4,200

55

Receive from Citibank upon credit event of Caterpillar Financial Services Corp., par value of the notional amount of Caterpillar Financial Services Corp. 5.5% 3/15/16, and pay quarterly notional amount multiplied by .65%

March 2013

10,200

(78)

Receive from Citibank upon credit event of John Deere Capital Corp., par value of the notional amount of John Deere Capital Corp. 6% 2/15/09, and pay quarterly notional amount multiplied by .642%

March 2013

16,900

(172)

Receive from Citibank upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 1/15/15 and pay quarterly notional amount multiplied by 1.38%

March 2013

13,400

178

Receive from Citibank upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 1/15/15, and pay quarterly notional amount multiplied by .90%

Dec. 2012

6,900

229

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive from Citibank upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 1/15/15, and pay quarterly notional amount multiplied by 1.43%

March 2013

$ 6,700

$ 75

Receive from Credit Suisse First Boston upon credit event of Capital One Financial Corp., par value of the notional amount of Capital One Financial Corp. 6.25% 11/15/13, and pay quarterly notional amount multiplied by 2.3%

June 2013

4,200

29

Receive from Credit Suisse First Boston upon credit event of Citigroup, Inc., par value of the notional amount of Citigroup, Inc. 6.5% 1/18/11, and pay quarterly notional amount mutliplied by .96%

June 2013

13,600

106

Receive from Credit Suisse First Boston upon credit event of Citigroup, Inc., par value of the notional amount of Citigroup, Inc. 6.5% 1/18/11, and pay quarterly notional multiplied by 1.37%

June 2013

10,200

(119)

Receive from Credit Suisse First Boston upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 11/15/15, and pay quarterly notional amount multiplied by 1.5%

March 2013

10,100

82

Receive from Deutsche Bank upon credit event of Aetna, Inc., par value of the notional amount of Aetna, Inc. 6.625% 6/15/36, and pay quarterly notional amount multiplied by .33%

Sept. 2017

17,250

246

Receive from Deutsche Bank upon credit event of AMBAC Assurance Corp., par value of the notional amount of AMBAC Assurance Corp. 5.90% 2/22/21, and pay quarterly notional amount multiplied by 4.15%

March 2013

16,800

2,760

Receive from Deutsche Bank upon credit event of Chartered Semiconductor Manufacturing Ltd., par value of the notional amount of Chartered Semiconductor Manufacturing Ltd. 6.375% 8/3/15 and pay quarterly notional amount multiplied by 1.14%

Sept. 2013

10,650

436

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive from Deutsche Bank upon credit event of Citigroup, Inc., par value of the notional amount of Citigroup, Inc. 6.5% 1/18/11, and pay quarterly notional amount multiplied by 1.32%

June 2013

$ 13,600

$ (128)

Receive from Deutsche Bank upon credit event of Citigroup, Inc., par value of the notional amount of Citigroup, Inc. 6.5% 1/18/11, and pay quarterly notional amount multiplied by 1.43%

June 2013

10,200

(150)

Receive from Deutsche Bank upon credit event of Gannett Co., Inc., par value of the notional amount of Gannett Co., Inc. 6.375% 4/1/12, and pay quarterly notional amount multiplied by .24%

June 2009

8,895

55

Receive from Deutsche Bank upon credit event of Household Finance Corp., par value of the notional amount of Household Finance Corp. 7% 5/15/12, and pay quarterly notional amount multiplied by .35%

Dec. 2012

20,000

835

Receive from Deutsche Bank upon credit event of Southwest Airlines Co., par value of the notional amount of Southwest Airlines Co. 5.25% 10/1/14, and pay quarterly notional amount multiplied by 1.4%

June 2013

13,600

77

Receive from Deutsche Bank upon credit event of Washington Mutual, Inc., par value of the notional amount of Washington Mutual, Inc. 5.25% 9/15/17, and pay quarterly notional amount multiplied by 1.19%

Sept. 2012

9,800

713

Receive from Goldman Sachs upon credit event of AMBAC Assurance Corp., par value of the notional amount of AMBAC Assurance Corp. 9.375% 8/1/11, and pay quarterly notional amount multiplied by 3.8%

March 2013

6,700

1,154

Receive from Goldman Sachs upon credit event of CSX Corp., par value of notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.18%

March 2013

5,586

(71)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.18%

March 2013

$ 5,586

$ (71)

Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.19%

March 2018

4,929

(37)

Receive from Goldman Sachs upon credit event of Dow Chemical Co., par value of the notional amount of Dow Chemical Co. 6% 10/1/12, and pay quarterly notional amount multiplied by .55%

Sept. 2017

13,700

35

Receive from Goldman Sachs upon credit event of Johnson & Johnson, par value of the notional amount of Johnson & Johnson 3.8% 5/15/13, and pay quarterly notional amount multiplied by .33%

March 2013

16,800

(131)

Receive from Goldman Sachs upon credit event of Lowe's Companies, Inc., par value of the notional amount of Lowe's Companies, Inc. 8.25% 6/1/10, and pay quarterly notional amount multiplied by 1.07%

March 2013

5,100

(128)

Receive from Lehman Brothers, Inc. upon credit event of Capital One Financial Corp., par value of the notional amount of Capital One Financial Corp. 6.25% 11/15/13, and pay quarterly notional amount multiplied by 2.27%

June 2013

4,200

35

Receive from Lehman Brothers, Inc. upon credit event of Lowe's Companies, Inc., par value of the notional amount of Lowe's Companies, Inc. 8.25% 6/1/10, and pay quarterly notional amount miltiplied by 1.03%

March 2013

5,100

(119)

Receive from Merrill Lynch, Inc. upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15 and pay quarterly notional amount multiplied by 1.68%

Sept. 2013

7,660

(214)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive from Merrill Lynch, Inc. upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15, and pay quarterly notional amount multiplied by 2.12%

Sept. 2013

$ 5,085

$ (251)

Receive from Morgan Stanley, Inc. upon credit event of Caterpillar Financial Services Corp., par value of Caterpillar Financial Services Corp. 4.625% 6/1/15, and pay quarterly notional amount multiplied by .65%

March 2013

6,800

(52)

Receive from Morgan Stanley, Inc. upon credit event of H.J. Heinz Co., par value of the notional amount of H.J. Heinz Co. 6% 3/15/08, and pay quarterly notional amount multiplied by .65%

March 2013

5,600

(79)

Receive from Morgan Stanley, Inc. upon credit event of iStar Financial, Inc., par value of iStar Financial, Inc. 6% 12/15/10, and pay quarterly notional amount multiplied by 4.4%

March 2013

13,500

(77)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay JPMorgan Chase, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-01 Index, par value of the proportional notional amount (d)

Sept. 2037

18,700

(12,504)

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

Sept. 2037

9,200

(6,123)

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

August 2037

25,000

(17,052)

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

Sept. 2037

5,600

(3,714)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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

Sept. 2037

$ 8,400

$ (5,664)

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

Sept. 2037

22,000

(14,888)

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

August 2037

10,200

(6,454)

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

Sept. 2037

16,700

(11,223)

Receive monthly notional amount multiplied by .55% and pay Deutsche Bank upon credit 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

Sept. 2034

9,300

(6,970)

Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon credit 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

(1,669)

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

August 2034

856

(321)

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 credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M6, 6.105% 5/25/35

June 2035

$ 3,200

$ (1,882)

Receive monthly notional amount multiplied by .85% and pay UBS upon credit 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

(1,151)

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

Oct. 2034

2,971

(875)

Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon credit 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

(1,751)

Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon credit 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

(1,903)

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit 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

262

(224)

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit 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

375

(181)

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 credit 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

$ 114

$ (96)

Receive monthly notional amount multiplied by 2.7% and pay Morgan Stanley, Inc. upon credit 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

(7,337)

Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon credit 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

2,208

(1,523)

Receive monthly notional amount multiplied by 3% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2005-R4 Class M9, 7.07% 7/25/35

August 2035

4,750

(2,970)

Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit 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

(1,766)

Receive monthly notional amount multiplied by 5.55% and pay Deutsche Bank upon credit event of Carrington Mortgage Loan Trust, par value of the notional amount of Carrington Mortgage Loan Trust Series 2006-FRE1 Class M10, 7.74% 7/25/36

August 2036

4,750

(4,011)

Receive monthly notional amount multiplied by 6.25% and pay Deutsche Bank upon credit event of Residential Asset Mortgage Products, Inc., par value of the notional amount of Residential Asset Mortgage Products, Inc. Series 2006-RS5, 7.17% 9/25/36

Oct. 2036

4,750

(4,105)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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

June 2008

$ 61,000

$ 38

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

Sept. 2010

11,200

(5)

Receive quarterly notional amount multiplied by .72% and pay Bank of America upon credit event of Alleghany Energy Supply Co. LLC, par value of the notional amount of Alleghany Energy Supply Co. LLC 8.25% 4/15/12

June 2012

10,500

(186)

Receive quarterly notional amount multiplied by .78% and pay Deutsche Bank upon credit event of Allegheny Energy Supply Co. LLC, par value of the notional amount of Allegheny Energy Supply Co. LLC 8.25% 4/15/12

June 2012

10,505

(162)

Receive quarterly notional amount multiplied by 4% and pay Morgan Stanley, Inc. upon credit event of Developers Diversified Realty Corp., par value of the notional amount of Developers Diversified Realty Corp. 5.375% 10/15/12

March 2013

13,500

1,248

$ 659,716

$ (114,233)

Legend

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $600,789,000 or 5.8% of net assets.

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

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

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

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

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

(h) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. A unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request.

(i) Security or a portion of security has been segregated as collateral for open swaps agreements. At the period end, the value of securities pledged amounted to $133,567,000.

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$426,799,000 due 6/02/08 at 2.33%

BNP Paribas Securities Corp.

$ 61,120

Banc of America Securities LLC

54,951

Bank of America, NA

151,615

Barclays Capital, Inc.

14,991

Greenwich Capital Markets, Inc.

9,476

ING Financial Markets LLC

34,390

J.P. Morgan Securities, Inc.

18,952

Societe Generale, New York Branch

78,461

WestLB AG

2,843

$ 426,799

$102,440,000 due 6/02/08 at 2.35%

Barclays Capital, Inc.

$ 102,043

Credit Suisse Securities (USA) LLC

397

$ 102,440

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 17,892

Fidelity 2-5 Year Duration Securitized Bond Central Fund

38,674

Fidelity Corporate Bond 1-5 Year Central Fund

19,593

Fidelity Mortgage Backed Securities Central Fund

89,588

Fidelity Specialized High Income Central Fund

9,111

Fidelity Ultra-Short Central Fund

51,628

Total

$ 226,486

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

Fund
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 684,797

$ 17,892

$ 333,205

$ 323,971

18.2%

Fidelity 2-5 Year Duration Securitized Bond Central Fund

1,079,607

38,674

244,261

824,087

23.1%

Fidelity Corporate Bond 1-5 Year Central Fund

633,792

19,593

199,771

452,100

69.1%

Fidelity Mortgage Backed Securities Central Fund

2,282,321

89,588

150,150

2,229,633

23.5%

Fidelity Specialized High Income Central Fund

153,954

46,943

-

198,855

47.5%

Fidelity Ultra-Short Central Fund

2,327,141

317,546

1,522,394

930,047

19.4%

Total

$ 7,161,612

$ 530,236

$ 2,449,781

$ 4,958,693

Income Tax Information

At May 31, 2008, the aggregate cost of investment securities for income tax purposes was $12,445,259,000. Net unrealized depreciation aggregated $518,171,000, of which $59,553,000 related to appreciated investment securities and $577,724,000 related to depreciated investment securities.0

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices. Certain of the Fund's securities may be valued by a single source or dealer. Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at dispostion may differ.

When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in the determination of fair value may include current trading activity, interest rates, credit quality and default rates. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities.

Credit Risk

The Fund may have direct or indirect exposure to structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.

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 LLC or an affiliate.

Quarterly Report

Quarterly Holdings Report
for
Fidelity ® Short-Term Bond Fund

May 31, 2008

1.804842.104

STP-QTLY-0708

Investments May 31, 2008 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 17.2%

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 2.3%

Auto Components - 0.6%

DaimlerChrysler NA Holding Corp.:

3.2975% 3/13/09 (g)

$ 11,200

$ 11,153

5.75% 8/10/09

29,260

29,675

40,828

Household Durables - 0.3%

Whirlpool Corp. 6.125% 6/15/11

20,500

20,818

Media - 1.4%

AOL Time Warner, Inc. 6.75% 4/15/11

10,000

10,259

Continental Cablevision, Inc. 9% 9/1/08

30,400

30,620

COX Communications, Inc.:

3.875% 10/1/08

14,785

14,760

6.4% 8/1/08

3,170

3,182

Liberty Media Corp.:

7.75% 7/15/09

3,900

3,959

7.875% 7/15/09

5,000

5,083

Time Warner Entertainment Co. LP 7.25% 9/1/08

12,764

12,823

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

10,110

9,971

Viacom, Inc. 5.75% 4/30/11

4,045

4,064

94,721

TOTAL CONSUMER DISCRETIONARY

156,367

CONSUMER STAPLES - 0.6%

Food Products - 0.6%

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

13,190

13,334

Kraft Foods, Inc.:

4% 10/1/08

7,770

7,770

4.125% 11/12/09

3,220

3,226

5.625% 8/11/10

14,495

14,709

39,039

ENERGY - 1.2%

Oil, Gas & Consumable Fuels - 1.2%

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

7,435

7,442

Delek & Avner-Yam Tethys Ltd. 5.326% 8/1/13 (c)

11,093

11,164

Duke Capital LLC:

4.37% 3/1/09

9,565

9,553

7.5% 10/1/09

13,390

13,725

Enterprise Products Operating LP 4.625% 10/15/09

11,730

11,718

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Kinder Morgan Energy Partners LP 6.3% 2/1/09

$ 8,455

$ 8,562

Pemex Project Funding Master Trust:

6.125% 8/15/08

551

552

9.125% 10/13/10

10,000

11,125

Petroleum Export Ltd.:

4.623% 6/15/10 (c)

2,888

2,881

4.633% 6/15/10 (c)

1,735

1,731

78,453

FINANCIALS - 6.5%

Capital Markets - 2.0%

American Capital Strategies Ltd. 6.85% 8/1/12

13,960

13,086

Bear Stearns Companies, Inc.:

3.25% 3/25/09

8,450

8,336

5.85% 7/19/10

26,335

26,680

Credit Suisse USA, Inc. 2.7775% 6/5/09 (g)

15,555

15,452

Goldman Sachs Group, Inc.:

5.45% 11/1/12

3,015

3,032

6.875% 1/15/11

2,115

2,218

Janus Capital Group, Inc. 5.875% 9/15/11

4,828

4,740

Lehman Brothers Holdings E-Capital Trust I 3.4988% 8/19/65 (g)

6,380

5,288

Lehman Brothers Holdings, Inc.:

4.25% 1/27/10

16,165

15,815

5.625% 1/24/13

3,995

3,801

Morgan Stanley:

4% 1/15/10

5,275

5,203

5.05% 1/21/11

18,700

18,273

6.75% 4/15/11

13,270

13,573

135,497

Commercial Banks - 1.3%

Bank of America NA 3.3156% 5/12/10 (g)

12,250

12,220

Bank One Corp. 7.875% 8/1/10

6,883

7,341

Chase Manhattan Corp. 7.875% 6/15/10

10,588

11,160

HSBC Holdings PLC 7.5% 7/15/09

6,165

6,351

Korea Development Bank:

3.875% 3/2/09

12,600

12,536

4.75% 7/20/09

5,500

5,532

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

National Australia Bank Ltd. 8.6% 5/19/10

$ 6,800

$ 7,268

Wells Fargo & Co. 3.98% 10/29/10

27,960

27,712

90,120

Consumer Finance - 0.6%

Household Finance Corp.:

4.125% 11/16/09

2,225

2,214

4.75% 5/15/09

8,978

9,025

MBNA Capital I 8.278% 12/1/26

4,885

4,853

Nelnet, Inc.:

5.125% 6/1/10

2,885

2,619

7.4% 9/29/36 (g)

15,075

9,750

Nissan Motor Acceptance Corp. 4.625% 3/8/10 (c)

10,620

10,603

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

4,059

4,197

43,261

Diversified Financial Services - 1.0%

Bank of America Corp.:

7.4% 1/15/11

485

511

7.8% 2/15/10

2,910

3,062

Deutsche Bank AG London 5% 10/12/10

24,295

24,705

Iberbond 2004 PLC 4.826% 12/24/17 (k)

9,611

7,689

ICB OJSC 6.2% 9/29/15 (Issued by Or-ICB for ICB OJSC) (g)

1,425

1,371

ILFC E-Capital Trust I 5.9% 12/21/65 (c)(g)

8,150

6,917

International Lease Finance Corp.:

5.625% 9/15/10

11,500

11,452

5.75% 6/15/11

8,435

8,331

64,038

Insurance - 0.2%

Genworth Financial, Inc. 5.231% 5/16/09

10,160

10,191

Real Estate Investment Trusts - 1.3%

Arden Realty LP 8.5% 11/15/10

7,855

8,533

Brandywine Operating Partnership LP:

4.5% 11/1/09

13,390

12,982

5.625% 12/15/10

13,110

12,740

Camden Property Trust 4.375% 1/15/10

5,440

5,306

Colonial Properties Trust 4.75% 2/1/10

5,185

4,995

Developers Diversified Realty Corp.:

3.875% 1/30/09

13,995

13,819

5% 5/3/10

4,910

4,752

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

Duke Realty LP:

5.25% 1/15/10

$ 3,215

$ 3,189

5.625% 8/15/11

4,580

4,442

6.95% 3/15/11

3,815

3,885

Federal Realty Investment Trust 8.75% 12/1/09

3,785

3,981

Mack-Cali Realty LP 7.25% 3/15/09

2,580

2,615

Simon Property Group LP 4.6% 6/15/10

8,660

8,542

89,781

Thrifts & Mortgage Finance - 0.1%

Independence Community Bank Corp.:

3.5% 6/20/13 (g)

4,540

3,640

3.75% 4/1/14 (g)

4,000

3,193

6,833

TOTAL FINANCIALS

439,721

HEALTH CARE - 0.3%

Health Care Providers & Services - 0.3%

UnitedHealth Group, Inc.:

3.75% 2/10/09

11,900

11,795

4.125% 8/15/09

3,525

3,503

5.125% 11/15/10

8,357

8,289

23,587

INDUSTRIALS - 1.7%

Aerospace & Defense - 0.2%

BAE Systems Holdings, Inc. 4.75% 8/15/10 (c)

14,430

14,608

Air Freight & Logistics - 0.3%

FedEx Corp. 5.5% 8/15/09

18,575

18,734

Airlines - 0.6%

America West Airlines pass thru certificates 7.33% 7/2/08

2,165

2,165

American Airlines, Inc. pass-thru trust certificates:

6.855% 10/15/10

589

586

6.978% 10/1/12

244

241

Continental Airlines, Inc. pass-thru trust certificates:

6.32% 11/1/08

15,400

15,285

7.056% 3/15/11

4,110

4,059

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

8,415

8,163

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Airlines - continued

United Air Lines, Inc. pass-thru trust certificates:

6.071% 9/1/14

$ 1,809

$ 1,816

6.201% 3/1/10

1,500

1,470

6.602% 9/1/13

3,700

3,663

7.186% 10/1/12

4,484

4,417

41,865

Commercial Services & Supplies - 0.3%

R.R. Donnelley & Sons Co.:

3.75% 4/1/09

6,060

5,998

5.625% 1/15/12

16,805

16,585

22,583

Industrial Conglomerates - 0.3%

Covidien International Finance SA 5.15% 10/15/10 (c)

14,600

14,741

Hutchison Whampoa International (03/33) Ltd. 5.45% 11/24/10 (c)

5,030

5,110

19,851

TOTAL INDUSTRIALS

117,641

MATERIALS - 0.2%

Containers & Packaging - 0.1%

Sealed Air Corp. 6.95% 5/15/09 (c)

4,365

4,452

Paper & Forest Products - 0.1%

International Paper Co. 4.25% 1/15/09

6,130

6,112

TOTAL MATERIALS

10,564

TELECOMMUNICATION SERVICES - 2.7%

Diversified Telecommunication Services - 2.1%

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

7,715

7,834

BellSouth Corp. 4.2% 9/15/09

7,115

7,131

British Telecommunications PLC 8.625% 12/15/10

5,605

6,074

Deutsche Telekom International Finance BV 5.375% 3/23/11

20,000

20,139

Telecom Italia Capital SA:

4% 11/15/08

16,130

16,076

4% 1/15/10

15,080

14,857

Telefonica Emisiones SAU 5.984% 6/20/11

21,000

21,250

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telefonos de Mexico SA de CV:

4.5% 11/19/08

$ 17,815

$ 17,823

4.75% 1/27/10

10,110

10,160

Verizon Global Funding Corp. 7.25% 12/1/10

11,370

12,166

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

7,775

8,027

141,537

Wireless Telecommunication Services - 0.6%

America Movil SAB de CV 4.125% 3/1/09

17,610

17,612

Vodafone Group PLC:

5.5% 6/15/11

20,000

20,164

7.75% 2/15/10

4,810

5,037

42,813

TOTAL TELECOMMUNICATION SERVICES

184,350

UTILITIES - 1.7%

Electric Utilities - 0.8%

Commonwealth Edison Co. 5.4% 12/15/11

5,225

5,243

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

12,000

12,478

Exelon Corp. 4.45% 6/15/10

14,150

14,039

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

4,570

4,489

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

9,628

10,151

Virginia Electric & Power Co. 4.1% 12/15/38

7,250

7,237

53,637

Independent Power Producers & Energy Traders - 0.4%

Constellation Energy Group, Inc. 6.125% 9/1/09

21,680

22,031

PSEG Power LLC 3.75% 4/1/09

7,625

7,612

29,643

Multi-Utilities - 0.5%

Dominion Resources, Inc. 6.3% 9/30/66 (g)

8,805

8,098

DTE Energy Co. 7.05% 6/1/11

8,462

8,819

KeySpan Corp. 7.625% 11/15/10

4,040

4,324

NiSource Finance Corp. 7.875% 11/15/10

3,925

4,081

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Multi-Utilities - continued

NSTAR 8% 2/15/10

$ 3,625

$ 3,854

Sempra Energy 4.75% 5/15/09

4,475

4,495

33,671

TOTAL UTILITIES

116,951

TOTAL NONCONVERTIBLE BONDS

(Cost $1,176,138)

1,166,673

U.S. Government and Government Agency Obligations - 31.4%

U.S. Government Agency Obligations - 15.3%

Fannie Mae:

2.5% 4/9/10

128,000

126,600

4% 9/2/08 (f)

73,170

73,458

4.75% 3/12/10 (b)(e)

346,221

356,196

Freddie Mac:

4.875% 2/9/10 (b)(f)

133,725

137,568

5% 6/11/09 (b)

176,611

180,579

5.125% 4/18/11 (b)(f)

156,000

162,557

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

1,036,958

U.S. Treasury Obligations - 16.1%

U.S. Treasury Notes:

1.75% 3/31/10 (b)

50,000

49,246

2.125% 1/31/10 (b)(f)

125,000

124,141

2.125% 4/30/10 (d)

142,749

141,414

2.625% 5/31/10

122,700

122,662

4.625% 8/31/11

31,297

32,769

4.75% 3/31/11 (b)(f)

102,294

107,481

4.875% 8/15/09 (b)

72,171

74,314

4.875% 4/30/11 (b)

256,090

270,235

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

4.875% 5/31/11

$ 126,585

$ 133,577

4.875% 7/31/11

31,930

33,674

TOTAL U.S. TREASURY OBLIGATIONS

1,089,513

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,115,347)

2,126,471

U.S. Government Agency - Mortgage Securities - 10.8%

Fannie Mae - 8.0%

3.697% 10/1/33 (g)

489

493

3.742% 10/1/33 (g)

412

412

3.75% 1/1/34 (g)

411

415

3.811% 10/1/33 (g)

6,696

6,743

3.839% 10/1/33 (g)

10,835

10,993

3.876% 6/1/33 (g)

1,618

1,609

3.886% 6/1/33 (g)

324

325

3.978% 10/1/18 (g)

321

324

4.011% 5/1/33 (g)

114

114

4.166% 1/1/35 (g)

1,182

1,185

4.25% 1/1/34 (g)

583

589

4.25% 2/1/34 (g)

512

517

4.25% 2/1/35 (g)

502

504

4.259% 10/1/33 (g)

223

225

4.279% 1/1/34 (g)

3,467

3,505

4.281% 11/1/34 (g)

4,488

4,502

4.288% 1/1/34 (g)

583

588

4.29% 3/1/33 (g)

224

225

4.293% 2/1/35 (g)

4,618

4,635

4.301% 3/1/33 (g)

283

284

4.31% 5/1/35 (g)

335

337

4.333% 1/1/35 (g)

657

660

4.339% 3/1/35 (g)

2,396

2,407

4.366% 2/1/34 (g)

1,106

1,117

4.385% 7/1/33 (g)

3,856

3,879

4.388% 2/1/35 (g)

1,067

1,073

4.39% 2/1/35 (g)

5,200

5,225

4.407% 10/1/34 (g)

2,844

2,856

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

4.42% 8/1/33 (g)

$ 659

$ 657

4.429% 3/1/35 (g)

774

778

4.468% 7/1/35 (g)

1,003

1,011

4.494% 1/1/35 (g)

491

490

4.5% 12/1/18

25,584

25,147

4.524% 8/1/35 (g)

907

907

4.529% 7/1/35 (g)

1,516

1,529

4.558% 11/1/34 (g)

270

272

4.56% 5/1/35 (g)

11,810

11,900

4.564% 2/1/35 (g)

2,293

2,309

4.576% 6/1/33 (g)

1,366

1,377

4.594% 2/1/35 (g)

1,958

1,951

4.598% 10/1/35 (g)

181

183

4.601% 2/1/35 (g)

255

257

4.631% 9/1/35 (g)

3,447

3,484

4.632% 4/1/33 (g)

72

72

4.638% 4/1/35 (g)

160

161

4.656% 6/1/35 (g)

1,290

1,297

4.694% 10/1/34 (g)

3,007

3,025

4.697% 12/1/34 (g)

202

204

4.7% 8/1/35 (g)

4,150

4,197

4.732% 7/1/35 (g)

3,377

3,403

4.75% 5/1/35 (g)

1,692

1,703

4.752% 3/1/35 (g)

2,330

2,348

4.763% 10/1/35 (g)

3,522

3,556

4.765% 9/1/34 (g)

8,488

8,547

4.769% 6/1/33 (g)

176

177

4.771% 12/1/34 (g)

517

521

4.775% 1/1/35 (g)

4,437

4,473

4.782% 1/1/35 (g)

2,986

3,010

4.783% 10/1/35 (g)

1,890

1,927

4.785% 3/1/35 (g)

2,966

2,990

4.787% 8/1/35 (g)

1,945

1,965

4.789% 2/1/35 (g)

2,055

2,073

4.796% 9/1/34 (g)

1,712

1,724

4.796% 9/1/34 (g)

1,198

1,206

4.797% 11/1/34 (g)

1,387

1,398

4.802% 10/1/35 (g)

1,331

1,340

4.832% 1/1/35 (g)

9,848

9,929

4.853% 9/1/34 (g)

146

148

4.864% 8/1/34 (g)

1,446

1,461

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

4.885% 7/1/35 (g)

$ 7,899

$ 7,981

4.886% 10/1/35 (g)

1,425

1,436

4.89% 7/1/34 (g)

2,412

2,445

4.897% 2/1/35 (g)

4,992

5,036

4.911% 10/1/34 (g)

2,975

2,978

4.943% 8/1/34 (g)

5,140

5,211

4.964% 11/1/35 (g)

35,199

35,884

4.996% 9/1/34 (g)

6,584

6,642

5% 3/1/18 to 10/1/18

9,872

9,909

5.015% 6/1/35 (g)

3,089

3,095

5.025% 7/1/34 (g)

229

231

5.052% 7/1/35 (g)

9,084

9,196

5.055% 8/1/34 (g)

313

314

5.065% 5/1/35 (g)

315

318

5.083% 1/1/34 (g)

308

308

5.088% 9/1/34 (g)

551

558

5.114% 1/1/36 (g)

3,591

3,644

5.131% 5/1/35 (g)

1,773

1,794

5.135% 3/1/35 (g)

223

226

5.148% 9/1/36 (g)

16,194

16,415

5.154% 9/1/35 (g)

20,655

20,936

5.155% 9/1/35 (g)

12,144

12,309

5.163% 8/1/33 (g)

556

558

5.24% 6/1/35 (g)

1,694

1,710

5.275% 3/1/35 (g)

307

310

5.282% 2/1/36 (g)

18,737

19,008

5.296% 2/1/36 (g)

2,577

2,619

5.297% 2/1/36 (g)

7,249

7,369

5.302% 7/1/35 (g)

181

183

5.303% 12/1/34 (g)

621

627

5.324% 2/1/36 (g)

821

831

5.395% 11/1/35 (g)

3,308

3,359

5.464% 4/1/36 (g)

26,258

26,710

5.497% 5/1/36 (g)

3,278

3,330

5.5% 3/1/13 to 1/1/20

41,495

42,218

5.524% 11/1/36 (g)

4,321

4,400

5.554% 5/1/36 (g)

9,499

9,686

5.585% 3/1/35 (g)

113

114

5.674% 5/1/36 (g)

1,733

1,761

5.764% 1/1/36 (g)

4,417

4,503

5.798% 3/1/36 (g)

2,179

2,224

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

5.934% 4/1/36 (g)

$ 4,141

$ 4,236

5.978% 2/1/35 (g)

114

116

6.044% 1/1/35 (g)

423

428

6.05% 3/1/33 (g)

243

246

6.05% 4/1/36 (g)

1,316

1,347

6.062% 9/1/36 (g)

3,316

3,400

6.152% 4/1/36 (g)

2,811

2,877

6.236% 2/1/35 (g)

285

287

6.239% 6/1/36 (g)

674

688

6.244% 2/1/35 (g)

1,720

1,725

6.277% 2/1/33 (g)

451

452

6.304% 2/1/35 (g)

116

116

6.5% 11/1/11 to 3/1/35

30,456

31,650

6.549% 9/1/36 (g)

8,629

8,885

6.667% 9/1/36 (g)

30,239

31,140

7% 2/1/09 to 5/1/32

3,479

3,631

7.5% 6/1/12 to 11/1/31

200

208

11.5% 11/1/15

81

86

TOTAL FANNIE MAE

540,752

Freddie Mac - 2.7%

4.166% 1/1/34 (g)

5,917

5,965

4.298% 12/1/34 (g)

656

657

4.367% 2/1/35 (g)

769

771

4.394% 6/1/35 (g)

717

724

4.414% 2/1/34 (g)

514

512

4.414% 3/1/35 (g)

742

744

4.424% 4/1/35 (g)

5,399

5,420

4.43% 3/1/35 (g)

698

700

4.541% 2/1/35 (g)

1,279

1,285

4.618% 2/1/35 (g)

806

811

4.745% 4/1/35 (g)

6,274

6,325

4.896% 4/1/35 (g)

6,960

6,991

4.915% 11/1/35 (g)

2,973

3,003

4.921% 9/1/35 (g)

3,679

3,715

5.023% 4/1/35 (g)

2,603

2,620

5.131% 8/1/36 (g)

2,799

2,827

5.161% 1/1/36 (g)

2,875

2,906

5.295% 6/1/35 (g)

1,976

1,998

5.356% 12/1/35 (g)

26,210

26,579

5.386% 3/1/35 (g)

450

452

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

5.391% 6/1/37 (g)

$ 4,803

$ 4,865

5.539% 1/1/36 (g)

6,502

6,596

5.576% 5/1/36 (g)

9,135

9,292

5.583% 2/1/35 (g)

934

941

5.586% 12/1/35 (g)

4,504

4,551

5.727% 7/1/37 (g)

3,110

3,158

5.746% 1/1/37 (g)

5,552

5,656

5.756% 10/1/35 (g)

1,201

1,222

5.832% 1/1/36 (g)

9,445

9,616

5.832% 1/1/36 (g)

2,573

2,615

5.842% 1/1/35 (g)

306

309

6.098% 6/1/36 (g)

2,701

2,758

6.157% 6/1/35 (g)

1,429

1,452

6.366% 8/1/34 (g)

2,151

2,170

6.502% 3/1/33 (g)

133

135

6.717% 9/1/36 (g)

6,785

6,976

6.735% 9/1/36 (g)

30,724

31,631

7.5% 7/1/34

12,810

13,552

8.5% 5/1/27 to 7/1/28

394

426

12% 11/1/19

30

34

TOTAL FREDDIE MAC

182,960

Government National Mortgage Association - 0.1%

5.25% 7/20/34 (g)

817

821

7% 11/15/27 to 8/15/32

4,369

4,632

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

5,453

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $719,434)

729,165

Asset-Backed Securities - 13.8%

Accredited Mortgage Loan Trust:

Series 2003-3 Class A1, 4.46% 1/25/34

2,875

2,193

Series 2004-4 Class A2D, 2.7425% 1/25/35 (g)

592

468

ACE Securities Corp. Home Equity Loan Trust:

Series 2003-HE1 Class M1, 3.3675% 11/25/33 (g)

1,852

1,373

Series 2004-OP1 Class M1, 2.9125% 4/25/34 (g)

808

555

Series 2006-OP1 Class M1, 2.6725% 4/25/36 (g)

8,000

2,570

Asset-Backed Securities - continued

Principal Amount (000s)

Value (000s)

Advanta Business Card Master Trust Series 2007-B2 Class B2, 5.5% 6/20/13

$ 14,855

$ 12,610

American Express Credit Account Master Trust Series 2004-C Class C, 3.0144% 2/15/12 (c)(g)

582

566

AmeriCredit Automobile Receivables Trust:

Series 2004-1 Class D, 5.07% 7/6/10

4,704

4,683

Series 2004-CA Class A4, 3.61% 5/6/11

1,289

1,273

Series 2005-1 Class D, 5.04% 5/6/11

9,500

9,331

Series 2005-CF Class A4, 4.63% 6/6/12

11,130

11,058

Series 2005-DA Class A4, 5.02% 11/6/12

15,975

14,796

Series 2006-1 Class D, 5.49% 4/6/12

4,635

3,742

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

18,205

17,514

Series 2007-DF Class A3A, 5.49% 7/6/12

13,095

13,019

AmeriCredit Prime Automobile Receivables Trust Series 2007-2M Class A3, 5.22% 4/8/10

6,295

6,117

Ameriquest Mortgage Securities, Inc.:

Series 2004-R10 Class M1, 3.0925% 11/25/34 (g)

5,485

3,964

Series 2004-R11 Class M1, 3.0525% 11/25/34 (g)

8,015

6,767

Series 2006-M3 Class M7, 3.2425% 10/25/36 (g)

3,684

155

Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 2.7225% 6/25/32 (g)

528

443

Argent Securities, Inc.:

Series 2003-W7:

Class A2, 2.7825% 3/1/34 (g)

345

265

Class M1, 3.0825% 3/1/34 (g)

11,700

8,846

Series 2003-W9 Class M1, 3.0825% 3/25/34 (g)

7,036

4,747

Series 2004-W11 Class M2, 3.0925% 11/25/34 (g)

3,030

2,137

Series 2004-W5 Class M1, 2.9925% 4/25/34 (g)

3,990

3,005

Series 2006-M1 Class M7, 3.3925% 7/25/36 (g)

4,400

225

Arran Funding Ltd. Series 2005-A Class C, 2.8344% 12/15/10 (g)

14,290

13,731

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE3 Class M2, 3.5125% 6/25/34 (g)

3,218

2,132

Series 2005-HE2 Class M1, 2.8425% 3/25/35 (g)

5,807

4,678

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.0575% 2/28/44 (g)

1,960

1,499

Bear Stearns Asset Backed Securities I Trust:

Series 2004-HE8 Class M1, 3.0425% 9/25/34 (g)

3,630

2,352

Series 2007-AQ1 Class A1, 2.5025% 11/25/36 (g)

5,462

4,836

Series 2007-HE3 Class 1A1, 2.5125% 4/25/37 (g)

4,124

3,855

BMW Vehicle Owner Trust Series 2005-A Class B, 4.42% 4/25/11

3,965

3,949

Asset-Backed Securities - continued

Principal Amount (000s)

Value (000s)

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

$ 12,530

$ 12,629

Capital Auto Receivables Asset Trust:

Series 2005-1 Class B, 2.8894% 6/15/10 (g)

4,675

4,652

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

2,055

2,075

Series 2006-SN1A:

Class B, 5.5% 4/20/10 (c)

1,030

1,030

Class C, 5.77% 5/20/10 (c)

990

981

Class D, 6.15% 4/20/11 (c)

1,680

1,643

Series 2007-1 Class B, 5.15% 9/17/12

5,755

5,421

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

3,985

3,723

Capital One Auto Finance Trust Series 2005-BSS:

Class B, 4.32% 5/15/10

1,706

1,708

Class D, 4.8% 9/15/12

4,585

4,574

Capital One Master Trust Series 2001-6 Class C, 6.7% 6/15/11 (c)

13,900

13,845

Capital One Multi-Asset Execution Trust Series 2007-B5 Class B5, 5.4% 5/15/13

17,910

17,468

Capital One Prime Auto Receivables Trust:

Series 2005-1 Class B, 4.58% 8/15/12

7,118

6,833

Series 2007-1 Class B1, 5.76% 12/15/13

5,590

5,300

Carmax Auto Owner Trust Series 2006-2 Class C, 5.53% 3/15/13

5,185

4,241

Caterpillar Financial Asset Trust Series 2006-A:

Class A3, 5.57% 5/25/10

6,642

6,695

Class B, 5.71% 6/25/12

13,600

13,596

Chase Auto Owner Trust Series 2006-B Class B, 5.24% 4/15/14

6,036

6,011

Chase Credit Card Master Trust Series 2003-6 Class B, 2.8644% 2/15/11 (g)

9,850

9,824

Chase Issuance Trust:

Series 2004-C3 Class C3, 2.9844% 6/15/12 (g)

13,025

12,567

Series 2006-C3 Class C3, 2.7444% 6/15/11 (g)

12,500

12,225

Series 2007-A15 Class A, 4.96% 9/17/12

33,270

33,763

CIT Equipment Collateral Trust:

Series 2006-VT1:

Class A3, 5.13% 12/21/08

4,103

4,120

Class B, 5.23% 2/20/13

1,066

1,068

Class D, 5.48% 2/20/13

1,185

1,173

Series 2006-VT2 Class A3, 5.07% 2/20/10

22,850

22,932

Citibank Credit Card Issuance Trust:

Series 2007-B2 Class B2, 5% 4/2/12

23,445

23,136

Series 2007-B6 Class B6, 5.03% 11/8/12

17,265

16,994

Asset-Backed Securities - continued

Principal Amount (000s)

Value (000s)

Citigroup Mortgage Loan Trust Series 2003-HE4 Class A, 2.8025% 12/25/33 (c)(g)

$ 3,256

$ 2,783

CNH Equipment Trust:

Series 2005-B Class B, 4.57% 7/16/12

3,195

2,937

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

12,650

12,715

College Loan Corp. Trust I Series 2006-1 Class AIO, 10% 7/25/08 (i)

24,670

528

Countrywide Home Loans, Inc.:

Series 2004-2 Class 3A4, 2.6425% 7/25/34 (g)

419

304

Series 2004-3 Class 3A4, 2.6425% 8/25/34 (g)

1,695

1,312

Series 2004-4 Class A, 2.7625% 8/25/34 (g)

281

181

Series 2005-1 Class M1, 2.8125% 8/25/35 (g)

2,755

2,359

CPS Auto Receivables Trust:

Series 2006-B Class A3, 5.73% 6/15/16 (c)

4,208

4,159

Series 2007-C Class A3, 5.45% 5/15/12 (c)

4,755

4,505

Credit Suisse First Boston Mortgage Securities Corp. Series 2005-FIX1 Class A2, 4.31% 5/25/35

2,979

2,871

Credit-Based Asset Servicing and Securitization Mortgage Loan Certificates Series 2006-SC1 Class A, 2.6625% 5/25/36 (c)(g)

6,401

4,917

Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A Class C, 5.074% 6/15/35 (c)

3,662

3,519

Discover Card Master Trust I Series 2003-4 Class B1, 2.8444% 5/16/11 (g)

11,240

11,069

Diversified REIT Trust Series 2000-1A:

Class A2, 6.971% 3/8/10 (c)

994

984

Class E, 6.971% 3/8/10 (c)

4,135

4,061

Drive Auto Receivables Trust:

Series 2005-3 Class A3, 4.99% 10/15/10 (c)

1,931

1,929

Series 2006-1 Class A3, 5.49% 4/15/11 (c)

3,053

3,058

Series 2006-2 Class A3, 5.33% 4/15/14 (c)

12,295

11,759

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5:

Class AB1, 2.9437% 5/28/35 (g)

634

459

Class AB3, 3.0967% 5/28/35 (g)

247

165

Fieldstone Mortgage Investment Corp. Series 2006-2 Class M1, 2.7025% 7/25/36 (g)

6,145

965

First Franklin Mortgage Loan Trust Series 2006-FF5 Class 2A2, 2.5025% 4/25/36 (g)

2,765

2,617

First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (c)

1,878

1,867

Ford Credit Auto Owner Trust:

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

2,230

2,230

Asset-Backed Securities - continued

Principal Amount (000s)

Value (000s)

Ford Credit Auto Owner Trust: - continued

Series 2006-B Class C, 5.68% 6/15/12

$ 9,900

$ 8,785

Series 2006-C Class C, 5.47% 9/15/12

6,400

5,629

Series 2007-A:

Class B, 5.6% 10/15/12

2,575

2,448

Class C, 5.8% 2/15/13

4,100

3,508

Fosse Master Issuer PLC Series 2007-1A Class C2, 3.2838% 10/18/54 (c)(g)

4,100

3,359

Franklin Auto Trust Series 2007-1:

Class A4, 5.03% 2/16/15

7,985

7,661

Class C, 5.43% 2/16/15

9,790

6,476

Fremont Home Loan Trust:

Series 2004-1:

Class M1, 3.0675% 2/25/34 (g)

468

343

Class M2, 2.8925% 2/25/34 (g)

800

606

Series 2004-D:

Class M4, 3.3425% 11/25/34 (g)

897

759

Class M5, 3.3925% 11/25/34 (g)

280

215

Series 2006-3 Class 2A1, 2.4625% 2/25/37 (g)

225

221

Series 2006-A Class M1, 2.6925% 5/25/36 (g)

10,000

2,047

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

4,543

3,875

GE Business Loan Trust Series 2005-2 Class IO, 0.5242% 9/15/17 (c)(i)

354,228

1,797

GE Capital Credit Card Master Note Trust:

Series 2007-1 Class B, 4.95% 3/15/13

16,195

15,375

Series 2007-3 Class B, 5.49% 6/15/13

17,655

16,425

Greenpoint Credit LLC Series 2001-1 Class 1A, 2.8188% 4/20/32 (g)

1,372

1,371

GSAMP Trust:

Series 2003-HE2 Class M1, 3.0425% 8/25/33 (g)

1,756

1,484

Series 2004-HE1 Class M1, 2.9425% 5/25/34 (g)

1,880

1,273

Series 2006-NC2 Class M4, 2.7425% 6/25/36 (g)

9,945

627

GSR Mortgage Loan Trust Series 2005-MTR1 Class A1, 2.5325% 10/25/35 (g)

2,453

2,336

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 3.4725% 5/25/30 (c)(g)

3,725

2,719

Series 2006-3:

Class B, 2.7925% 9/25/46 (c)(g)

3,350

2,379

Class C, 2.9425% 9/25/46 (c)(g)

8,400

4,620

Home Equity Asset Trust:

Series 2002-2 Class A4, 3.1525% 6/25/32 (g)

33

21

Series 2003-3 Class A4, 3.3125% 2/25/33 (g)

2

1

Series 2003-5 Class A2, 3.0925% 12/25/33 (g)

183

145

Asset-Backed Securities - continued

Principal Amount (000s)

Value (000s)

Home Equity Asset Trust: - continued

Series 2003-7 Class A2, 2.7725% 3/25/34 (g)

$ 19

$ 13

Series 2003-8 Class M1, 3.4725% 4/25/34 (g)

2,854

2,099

Series 2004-1 Class M2, 3.5925% 6/25/34 (g)

2,288

1,955

Series 2004-3 Class M2, 3.5925% 8/25/34 (g)

2,220

1,624

Series 2006-8 Class 2A1, 2.4425% 3/25/37 (g)

318

298

Household Automotive Trust Series 2004-1 Class A4, 3.93% 7/18/11

2,126

2,113

HSBC Automotive Trust Series 2006-2 Class A4, 5.67% 6/17/13

16,500

16,560

HSBC Home Equity Loan Trust:

Series 2005-2:

Class M1, 2.9388% 1/20/35 (g)

808

666

Class M2, 2.9688% 1/20/35 (g)

605

435

Series 2005-3 Class A1, 2.7388% 1/20/35 (g)

5,113

4,155

Hyundai Auto Receivables Trust:

Series 2005-A:

Class B, 4.2% 2/15/12

2,752

2,754

Class C, 4.22% 2/15/12

213

211

Series 2006-1:

Class B, 5.29% 11/15/12

543

548

Class C, 5.34% 11/15/12

704

701

Series 2006-B Class C, 5.25% 5/15/13

3,225

3,178

Series 2007-A Class A3A, 5.04% 1/17/12

10,610

10,678

JPMorgan Auto Receivables Trust Series 2006-A:

Class B, 5.36% 12/15/14 (c)

1,532

1,487

Class C, 5.61% 12/15/14 (c)

5,773

5,696

Lancer Funding Ltd. Series 2006-1A Class A3, 4.4275% 4/6/46 (c)(g)

1,359

41

Long Beach Mortgage Loan Trust:

Series 2005-WL1 Class M2, 2.9425% 6/25/35 (g)

5,717

4,481

Series 2006-6 Class 2A3, 2.5425% 7/25/36 (g)

10,340

6,349

Marriott Vacation Club Owner Trust:

Series 2005-2 Class A, 5.25% 10/20/27 (c)

2,592

2,361

Series 2006-1A:

Class B, 5.827% 4/20/28 (c)

728

677

Class C, 6.125% 4/20/28 (c)

728

647

Merna Reinsurance Ltd. Series 2007-1 Class B, 4.4463% 6/30/12 (c)(g)

8,525

8,091

Merrill Lynch Mortgage Investors Trust Series 2003-OPT1 Class M1, 3.0425% 7/25/34 (g)

6,063

5,208

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 2.7325% 8/25/34 (g)

329

213

Asset-Backed Securities - continued

Principal Amount (000s)

Value (000s)

Morgan Stanley ABS Capital I Trust: - continued

Series 2006-HE6 Class A2A, 2.4325% 9/25/36 (g)

$ 7,601

$ 7,234

Series 2006-NC4 Class A2D, 2.6325% 6/25/36 (g)

7,135

4,930

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 3.8925% 1/25/32 (g)

177

176

Series 2002-AM3 Class A3, 3.3725% 2/25/33 (g)

470

349

Series 2002-NC1 Class M1, 3.5925% 2/25/32 (c)(g)

2,378

1,781

Series 2003-NC1 Class M1, 3.9675% 11/25/32 (g)

2,096

1,510

Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 2.4925% 4/25/37 (g)

515

484

Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 2.4425% 11/25/36 (g)

949

919

National Collegiate Student Loan Trust:

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

13,850

1,843

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

7,415

2,047

Series 2005-2 Class AIO, 7.73% 3/25/12 (i)

4,760

616

Series 2005-3W Class AIO1, 4.8% 7/25/12 (i)

15,875

1,522

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

3,500

364

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

3,700

591

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

26,140

5,679

Series 2006-4 Class AIO, 6.35% 2/27/12 (i)

4,670

939

Navistar Financial Corp. Owner Trust Series 2005-A Class A4, 4.43% 1/15/14

4,445

4,394

New Century Home Equity Loan Trust Series 2005-A Class A2, 4.461% 8/25/35 (g)

1,202

1,187

Newcastle CDO VIII Series 2006-8A Class 4, 2.9925% 11/1/52 (c)(g)

5,300

2,385

Nissan Auto Receivables Owner Trust:

Series 2005-A Class A4, 3.82% 7/15/10

2,665

2,663

Series 2007-B Class A3, 5.03% 5/16/11

8,670

8,748

Nomura Home Equity Loan Trust Series 2006-AF1 Class A1, 6.032% 10/25/36

1,362

1,318

Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 4.74% 10/30/45

6,550

6,593

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M2, 3.0725% 9/25/34 (g)

1,545

1,351

Class M3, 3.6425% 9/25/34 (g)

2,950

2,185

Series 2004-WCW2 Class M3, 2.9425% 7/25/35 (g)

2,190

1,794

Series 2004-WHQ2 Class A3E, 2.8125% 2/25/35 (g)

695

546

Series 2004-WWF1:

Class M2, 3.0725% 2/25/35 (g)

8,715

6,125

Asset-Backed Securities - continued

Principal Amount (000s)

Value (000s)

Park Place Securities, Inc.: - continued

Class M3, 3.1325% 2/25/35 (g)

$ 1,075

$ 722

Class M4, 3.4925% 1/25/35 (g)

7,490

4,735

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:

Class M4, 2.7525% 9/25/36 (g)

8,037

380

Class M5, 2.7825% 9/25/36 (g)

4,005

166

People's Choice Home Loan Securities Trust Series 2005-1 Class M4, 3.2925% 1/25/35 (g)

1,650

965

Pinnacle Capital Asset Trust Series 2006-A:

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

2,374

2,377

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

3,300

3,298

Providian Master Note Trust Series 2006-B1A Class B1, 5.35% 3/15/13 (c)

10,210

9,830

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

7,525

6,908

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

1,151

1,047

Santander Drive Auto Receivables Trust Series 2007-1 Class A3, 5.05% 9/15/11

16,825

16,562

Securitized Asset Backed Receivables LLC Trust Series 2004-NC1 Class M1, 2.9125% 2/25/34 (g)

2,889

2,228

Sierra Timeshare Receivables Fund LLC Series 2006-1A Class A1, 5.84% 5/20/18 (c)

3,203

3,053

SLM Private Credit Student Loan Trust:

Series 2004 B Class A2, 3% 6/15/21 (g)

8,200

7,582

Series 2004-A:

Class B, 3.38% 6/15/33 (g)

2,100

1,645

Class C, 3.75% 6/15/33 (g)

4,915

3,932

Series 2004-B Class C, 3.67% 9/15/33 (g)

8,600

6,412

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 2.9644% 3/15/11 (c)(g)

11,595

11,509

Superior Wholesale Inventory Financing Trust XII Series 2005-A12 Class C, 3.7144% 6/15/10 (g)

5,350

5,347

Swift Master Auto Receivables Trust Series 2007-2 Class A, 3.1644% 10/15/12 (g)

7,700

7,380

Terwin Mortgage Trust Series 2003-4HE Class A1, 2.8225% 9/25/34 (g)

367

270

Textron Financial Floorplan Master Note Trust Series 2006-1A Class A, 2.62% 4/13/11 (c)(g)

10,000

9,844

Volkswagen Auto Lease Trust Series 2006-A Class A3, 5.5% 9/21/09

3,899

3,921

Wachovia Auto Loan Owner Trust:

Series 2006-1 Class D, 5.42% 4/21/14 (c)

18,700

13,393

Asset-Backed Securities - continued

Principal Amount (000s)

Value (000s)

Wachovia Auto Loan Owner Trust: - continued

Series 2006-2A:

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

$ 20,367

$ 20,294

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

11,725

9,011

Series 2007-1 Class D, 5.65% 2/20/13

14,015

10,242

WaMu Master Note Trust Series 2007-A4A Class A4, 5.2% 10/15/14 (c)

7,425

7,109

WFS Financial Owner Trust:

Series 2004-4 Class D, 3.58% 5/17/12

97

97

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

435

434

Series 2005-3 Class C, 4.54% 5/17/13

3,240

2,953

Whinstone Capital Management Ltd. Series 1A Class B3, 3.82% 10/25/44 (c)(g)

4,381

3,067

World Omni Auto Receivables Trust Series 2007-B Class A3A, 5.28% 1/17/12

5,070

5,108

TOTAL ASSET-BACKED SECURITIES

(Cost $1,077,548)

935,772

Collateralized Mortgage Obligations - 9.8%

Private Sponsor - 5.5%

Banc of America Mortgage Securities, Inc.:

Series 2003-I Class 2A6, 4.1396% 10/25/33 (g)

29,245

28,626

Series 2003-J Class 2A2, 4.4% 11/25/33 (g)

3,408

3,317

Series 2004-A:

Class 2A1, 3.5442% 2/25/34 (g)

2,137

2,059

Class 2A2, 4.0952% 2/25/34 (g)

9,207

9,061

Series 2004-D Class 2A1, 3.6168% 5/25/34 (g)

1,097

1,069

Series 2004-J Class 2A1, 4.76% 11/25/34 (g)

3,759

3,605

Series 2005-H:

Class 1A1, 4.9195% 9/25/35 (g)

1,122

1,065

Class 2A2, 4.8052% 9/25/35 (g)

1,278

1,188

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 2.6725% 1/25/35 (g)

1,141

776

Series 2005-2 Class 1A1, 2.6425% 3/25/35 (g)

2,613

1,872

Series 2005-5 Class 1A1, 2.6125% 7/25/35 (g)

2,374

1,664

Chase Mortgage Finance Trust:

Series 2007-A1:

Class 1A5, 4.3547% 2/25/37 (g)

1,834

1,804

Class 5A1, 4.1696% 2/25/37 (g)

5,971

5,811

Series 2007-A2:

Class 2A1, 4.2369% 7/25/37 (g)

4,137

4,013

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Chase Mortgage Finance Trust: - continued

Class 3A1, 4.5607% 7/25/37 (g)

$ 24,135

$ 23,733

Citigroup Mortgage Loan Trust Series 2004-UST1:

Class A3, 4.3131% 8/25/34 (g)

15,260

14,717

Class A4, 4.4058% 8/25/34 (g)

10,057

9,839

Countrywide Alternative Loan Trust Series 2006-OC5N Class N, 7.25% 7/25/37 (c)

2,020

55

Countrywide Home Loans, Inc. sequential payer Series 2002-25 Class 2A1, 5.5% 11/27/17

2,088

2,086

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:

Series 2004-1 Class 9A2, 2.7925% 1/25/34 (g)

432

383

Series 2004-2 Class 7A3, 2.7925% 2/25/35 (g)

1,051

911

Series 2004-4 Class 5A2, 2.7925% 3/25/35 (g)

334

270

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2004-AR4 Class 5A2, 3.1325% 5/25/34 (g)

224

213

Series 2004-AR5 Class 11A2, 3.1325% 6/25/34 (g)

265

254

Series 2004-AR8 Class 8A2, 2.7725% 9/25/34 (g)

317

289

Series 2007-AR7 Class 2A1, 4.6228% 11/25/34 (g)

3,567

3,467

Granite Master Issuer PLC floater:

Series 2006-2:

Class C1, 3.2875% 12/20/54 (g)

11,475

6,505

Class M2, 3.0475% 12/20/54 (g)

3,000

2,180

Series 2006-3:

Class C2, 3.3175% 12/20/54 (g)

5,855

3,036

Class M1, 2.9975% 12/20/54 (g)

9,190

8,537

Series 2006-4:

Class B1, 2.6319% 12/20/54 (g)

11,180

10,040

Class C1, 2.9219% 12/20/54 (g)

6,835

5,904

Class M1, 2.7119% 12/20/54 (g)

2,945

2,639

Granite Mortgages PLC floater Series 2003-3 Class 1C, 4.2675% 1/20/44 (g)

2,632

2,366

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8359% 4/25/35 (g)

3,820

3,753

Holmes Financing No. 8 PLC floater Series 8 Class 4A2, 2.8531% 7/15/40 (g)

16,255

16,100

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 2.8425% 10/25/34 (g)

2,413

2,148

Impac CMB Trust floater Series 2004-9:

Class M2, 3.3675% 1/25/35 (g)

614

306

Class M3, 3.4425% 1/25/35 (g)

455

224

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Impac CMB Trust floater Series 2004-9: - continued

Class M4, 3.9675% 1/25/35 (g)

$ 232

$ 118

JPMorgan Mortgage Trust:

Series 2006-A2 Class 5A1, 3.7532% 11/25/33 (g)

18,102

17,796

Series 2006-A3 Class 6A1, 3.7653% 8/25/34 (g)

5,907

5,792

Series 2007-A1:

Class 1A1, 4.2015% 7/25/35 (g)

1,495

1,468

Class 3A2, 5.0065% 7/25/35 (g)

15,724

15,415

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 2.7825% 9/26/45 (c)(g)

1,391

695

MASTR Adjustable Rate Mortgages Trust floater Series 2005-1 Class 1A1, 2.6625% 3/25/35 (g)

402

292

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

937

905

MASTR Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2431% 8/25/17 (g)

2,617

2,631

Merrill Lynch Mortgage Investors Trust floater:

Series 2003-A Class 2A1, 2.7825% 3/25/28 (g)

2,180

1,986

Series 2003-F Class A2, 5.7613% 10/25/28 (g)

2,451

2,284

Series 2004-B Class A2, 5.125% 6/25/29 (g)

1,258

1,219

Series 2004-C Class A2, 5.155% 7/25/29 (g)

1,985

1,882

Series 2004-D Class A2, 2.8575% 9/25/29 (g)

1,674

1,501

Series 2005-B Class A2, 5.085% 7/25/30 (g)

1,138

1,039

MortgageIT Trust floater Series 2004-2:

Class A1, 2.7625% 12/25/34 (g)

2,097

1,942

Class A2, 2.8425% 12/25/34 (g)

2,838

2,665

Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 3.1131% 7/17/42 (g)

19,995

18,064

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.8348% 10/25/35 (g)

5,472

5,392

Residential Asset Mortgage Products, Inc.:

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

2,056

1,981

Series 2005-AR5 Class 1A1, 4.7895% 9/19/35 (g)

1,748

1,742

ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 2.4925% 2/25/36 (c)(g)

1,621

1,580

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (c)

1,549

1,338

Sasco Net Interest Margin Trust Series 2006-BC1A Class A, 6.25% 3/27/36 (c)

1,466

7

SBA CMBS Trust Series 2005-1A:

Class D, 6.219% 11/15/35 (c)

5,280

5,003

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

SBA CMBS Trust Series 2005-1A: - continued

Class E, 6.706% 11/15/35 (c)

$ 1,410

$ 1,336

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 4.1413% 9/20/33 (g)

791

730

Series 2004-3 Class A, 4.0613% 5/20/34 (g)

1,706

1,617

Series 2004-4 Class A, 4.0713% 5/20/34 (g)

1,570

1,408

Series 2004-5 Class A3, 2.6625% 6/20/34 (g)

1,584

1,495

Series 2004-6 Class A3A, 5.1225% 6/20/35 (g)

1,021

913

Series 2004-8 Class A2, 3.35% 9/20/34 (g)

1,611

1,483

Series 2005-1 Class A2, 4.0613% 2/20/35 (g)

1,457

1,135

Structured Adjustable Rate Mortgage Loan Trust floater Series 2005-10 Class A1, 2.5925% 6/25/35 (g)

952

832

WaMu Mortgage pass-thru certificates:

floater Series 2006-AR7 Class C1B1, 2.4525% 7/25/46 (g)

1,065

1,013

Series 2003-AR10 Class A7, 4.0541% 10/25/33 (g)

4,870

4,476

Series 2004-AR7 Class A6, 3.9414% 7/25/34 (g)

1,715

1,696

Wells Fargo Mortgage Backed Securities Trust:

Series 2003-14 Class 1A1, 4.75% 12/25/18

4,909

4,701

Series 2004-EE Class 2A2, 3.9885% 12/25/34 (g)

6,573

6,462

Series 2004-V Class 1A2, 3.8333% 10/25/34 (g)

4,149

3,828

Series 2005-AR10 Class 2A2, 4.1103% 6/25/35 (g)

20,132

19,373

Series 2005-AR12 Class 2A6, 4.336% 7/25/35 (g)

913

866

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

14,759

14,184

Series 2005-AR3 Class 2A1, 4.2062% 3/25/35 (g)

1,730

1,673

Series 2005-AR4 Class 2A2, 4.5236% 4/25/35 (g)

24,676

24,169

TOTAL PRIVATE SPONSOR

374,012

U.S. Government Agency - 4.3%

Fannie Mae planned amortization class:

Series 1993-187 Class L, 6.5% 7/25/23

3,638

3,726

Series 2006-53 Class WB, 6% 12/25/31

7,925

8,135

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

19,805

20,018

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

Series 2003-113 Class PJ, 3.5% 2/25/13

2,365

2,363

Series 2003-122 Class TU, 4% 5/25/16

3,410

3,409

Series 2005-67 Class HD, 5.5% 12/25/30

11,138

11,311

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

17,340

17,754

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

25,636

26,257

Series 2006-54 Class PE, 6% 2/25/33

8,293

8,454

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Fannie Mae subordinate REMIC pass-thru certificates: - continued

sequential payer:

Series 2001-40 Class Z, 6% 8/25/31

$ 4,202

$ 4,287

Series 2002-56 Class MC, 5.5% 9/25/17

2,875

2,913

Series 2003-123 Class AB, 4% 10/25/16

7,490

7,426

Series 2003-76 Class BA, 4.5% 3/25/18

11,653

11,450

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

466

462

Series 2004-45 Class AV, 4.5% 10/25/22

2,344

2,345

Series 2004-91 Class AH, 4.5% 5/25/29

4,356

4,277

Freddie Mac sequential payer:

Series 2114 Class ZM, 6% 1/15/29

1,928

1,958

Series 2508 Class UL, 5% 12/15/16

3,324

3,346

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 2382 Class MB, 6% 11/15/16

6,069

6,227

Series 2394 Class KD, 6% 12/15/16

3,502

3,607

Series 2417 Class EH, 6% 2/15/17

1,969

2,019

Series 2535 Class PC, 6% 9/15/32

6,226

6,349

Series 2617 Class TH, 4.5% 5/15/15

9,142

9,170

Series 2640 Class QG, 2% 4/15/22

69

69

Series 2656 Class BW, 4.5% 4/15/28

9,330

9,352

Series 2690 Class PD, 5% 2/15/27

12,140

12,229

Series 2702 Class AB, 4.5% 7/15/27

22,260

22,287

Series 2755 Class LC, 4% 6/15/27

9,078

9,023

Series 2901 Class UM, 4.5% 1/15/30

16,378

16,212

sequential payer:

Series 2523 Class JB, 5% 6/15/15

726

726

Series 2609 Class UJ, 6% 2/15/17

4,319

4,434

Series 2635 Class DG, 4.5% 1/15/18

13,341

13,071

Series 2780 Class A, 4% 12/15/14

11,489

11,407

Series 2786 Class GA, 4% 8/15/17

5,492

5,444

Series 2809 Class UA, 4% 12/15/14

1,677

1,678

Series 2970 Class YA, 5% 9/15/18

5,144

5,174

Series 3077 Class GA, 4.5% 8/15/19

8,717

8,578

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

Ginnie Mae guaranteed REMIC pass-thru securities planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31

$ 476

$ 480

TOTAL U.S. GOVERNMENT AGENCY

287,427

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $684,681)

661,439

Commercial Mortgage Securities - 6.6%

280 Park Avenue Trust floater Series 2001-280 Class X1, 0.9929% 2/3/11 (c)(g)(i)

81,628

1,973

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5971% 2/14/43 (g)(i)

28,418

1,217

Banc of America Commercial Mortgage Trust:

sequential payer:

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

3,188

3,199

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

5,216

5,235

Series 2007-3 Class A1, 5.659% 6/10/49 (g)

7,205

7,234

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

109,853

2,610

Series 2006-6 Class XP, 0.6027% 10/10/45 (g)(i)

175,032

3,058

Banc of America Commercial Mortgage, Inc.:

Series 2002-2 Class XP, 2.009% 7/11/43 (c)(g)(i)

34,383

896

Series 2004-6 Class XP, 0.6875% 12/10/42 (g)(i)

47,879

599

Series 2005-4 Class XP, 0.3298% 7/10/45 (g)(i)

61,403

422

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class A, 2.9725% 12/25/33 (c)(g)

5,301

4,795

Series 2004-1:

Class A, 2.7525% 4/25/34 (c)(g)

2,453

2,144

Class B, 4.2925% 4/25/34 (c)(g)

255

153

Class M1, 2.9525% 4/25/34 (c)(g)

223

182

Class M2, 3.5925% 4/25/34 (c)(g)

191

144

Series 2004-2:

Class A, 2.8225% 8/25/34 (c)(g)

2,240

1,971

Class M1, 2.9725% 8/25/34 (c)(g)

723

600

Series 2004-3:

Class A1, 2.7625% 1/25/35 (c)(g)

2,639

2,243

Class A2, 2.8125% 1/25/35 (c)(g)

371

319

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-4A:

Class A2, 2.7825% 1/25/36 (c)(g)

$ 4,731

$ 3,719

Class B1, 3.7925% 1/25/36 (c)(g)

358

186

Class M1, 2.8425% 1/25/36 (c)(g)

1,505

1,138

Class M2, 2.8625% 1/25/36 (c)(g)

502

365

Class M3, 2.8925% 1/25/36 (c)(g)

645

451

Class M4, 3.0025% 1/25/36 (c)(g)

358

238

Class M5, 3.0425% 1/25/36 (c)(g)

358

229

Class M6, 3.0925% 1/25/36 (c)(g)

358

215

Series 2006-1:

Class A2, 2.7525% 4/25/36 (c)(g)

1,832

1,528

Class M1, 2.7725% 4/25/36 (c)(g)

558

396

Class M2, 2.7925% 4/25/36 (c)(g)

591

411

Class M3, 2.8125% 4/25/36 (c)(g)

507

342

Class M4, 2.9125% 4/25/36 (c)(g)

288

182

Class M5, 2.9525% 4/25/36 (c)(g)

277

173

Class M6, 3.0325% 4/25/36 (c)(g)

613

356

Series 2006-2A:

Class A2, 2.6725% 7/25/36 (c)(g)

1,457

1,224

Class B1, 3.2625% 7/25/36 (c)(g)

525

297

Class B3, 5.0925% 7/25/36 (c)(g)

875

476

Class M1, 2.7025% 7/25/36 (c)(g)

1,528

1,083

Class M2, 2.7225% 7/25/36 (c)(g)

1,075

742

Class M3, 2.7425% 7/25/36 (c)(g)

845

565

Class M4, 2.8125% 7/25/36 (c)(g)

566

372

Class M5, 2.8625% 7/25/36 (c)(g)

698

446

Class M6, 2.9325% 7/25/36 (c)(g)

1,106

677

Series 2007-1:

Class A2, 2.6625% 3/25/37 (c)(g)

2,444

2,032

Class B1, 3.0625% 3/25/37 (c)(g)

782

352

Class B2, 3.5425% 3/25/37 (c)(g)

563

253

Class B3, 5.7425% 3/25/37 (c)(g)

1,615

727

Class M1, 2.6625% 3/25/37 (c)(g)

657

483

Class M2, 2.6825% 3/25/37 (c)(g)

494

348

Class M3, 2.7125% 3/27/37 (c)(g)

438

297

Class M4, 2.7625% 3/25/37 (c)(g)

331

198

Class M5, 2.8125% 3/25/37 (c)(g)

550

302

Class M6, 2.8925% 3/25/37 (c)(g)

769

384

Series 2007-3:

Class B1, 3.3425% 7/25/37 (c)(g)

544

311

Class B2, 3.9925% 7/25/37 (c)(g)

1,419

780

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-3:

Class B3, 6.3925% 7/25/37 (c)(g)

$ 724

$ 406

Class M1, 2.7025% 7/25/37 (c)(g)

467

319

Class M2, 2.7325% 7/25/37 (c)(g)

502

330

Class M3, 2.7625% 7/25/37 (c)(g)

823

515

Class M4, 2.8925% 7/25/37 (c)(g)

1,290

774

Class M5, 2.9925% 7/25/37 (c)(g)

647

397

Class M6, 3.1925% 7/25/37 (c)(g)

493

289

Series 2007-4A:

Class A2, 2.9425% 9/25/37 (c)(g)

5,327

4,612

Class B1, 4.9425% 9/25/37 (c)(g)

723

325

Class B2, 5.8425% 9/25/37 (c)(g)

2,721

1,224

Class M1, 3.3425% 9/25/37 (c)(g)

671

469

Class M2, 3.4425% 9/25/37 (c)(g)

671

436

Class M4, 3.9925% 9/25/37 (c)(g)

1,782

1,069

Class M5, 4.1425% 9/25/37 (c)(g)

1,782

980

Class M6, 4.3425% 9/25/37 (c)(g)

1,782

944

Series 2004-1 Class IO, 1.25% 4/25/34 (c)(i)

27,041

649

Series 2006-2A Class IO, 0.8495% 7/25/36 (c)(i)

64,581

5,334

Bear Stearns Commercial Mortgage Securities Trust:

sequential payer:

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

2,375

2,408

Series 2006-PW12 Class A2, 5.688% 9/11/38

6,640

6,733

Series 2007-PW17 Class A1, 5.282% 6/11/50

8,891

8,856

Series 2002-TOP8 Class X2, 2.2886% 8/15/38 (c)(g)(i)

39,125

1,631

Series 2003-PWR2 Class X2, 0.628% 5/11/39 (c)(g)(i)

80,101

1,026

Series 2004-PWR6 Class X2, 0.8077% 11/11/41 (c)(g)(i)

27,386

578

Series 2005-PWR9 Class X2, 0.5513% 9/11/42 (c)(g)(i)

176,180

2,421

Series 2006-PW13 Class A1, 5.294% 9/11/41

11,236

11,284

Series 2007-T28 Class A1, 5.422% 9/11/42

3,847

3,848

CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 1.0419% 5/15/35 (c)(g)(i)

160,500

6,881

Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A1, 6.1731% 2/12/16 (c)(g)

3,815

3,863

Citigroup Commercial Mortgage Trust:

sequential payer Series 2005-EMG Class A2, 4.2211% 9/20/51 (c)

3,715

3,692

Series 2004-C2 Class XP, 0.9181% 10/15/41 (c)(g)(i)

33,843

814

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer:

Series 2006-CD2 Class A1, 5.302% 1/15/46

$ 6,710

$ 6,734

Series 2007-CD4 Class A1, 4.977% 12/11/49

7,489

7,462

Series 2006-CD3 Class X3, 0.6258% 10/15/48 (g)(i)

324,470

6,075

Cobalt CMBS Commercial Mortgage Trust sequential payer Series 2007-C2 Class A1, 5.064% 9/15/11 (g)

3,963

3,947

COMM pass-thru certificates:

floater Series 2007-FL14 Class F, 3.0144% 6/15/22 (c)(g)

2,685

1,975

Series 2004-LBN2 Class X2, 1.0307% 3/10/39 (c)(g)(i)

12,314

221

Series 2005-LP5 Class XP, 0.5322% 5/10/43 (g)(i)

59,391

535

Commercial Mortgage Acceptance Corp. Series 1998-C2 Class B, 6.3326% 9/15/30 (g)

10,014

9,999

Commercial Mortgage Asset Trust sequential payer Series 1999-C1 Class A3, 6.64% 1/17/32

2,360

2,391

Credit Suisse Commercial Mortgage Trust Series 2006-C5 Class ASP, 0.8687% 12/15/39 (g)(i)

248,919

6,921

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

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

5,131

5,033

Series 2004-C1 Class A2, 3.516% 1/15/37

8,243

8,219

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

4,590

4,791

Series 1999-C1 Class E, 8.2265% 9/15/41 (g)

6,370

6,569

Series 2001-CK6 Class AX, 0.645% 9/15/18 (i)

114,486

2,613

Series 2003-C3 Class ASP, 1.818% 5/15/38 (c)(g)(i)

93,063

2,575

Series 2004-C1 Class ASP, 0.8374% 1/15/37 (c)(g)(i)

53,730

1,212

Series 2005-C1 Class ASP, 0.5142% 2/15/38 (c)(g)(i)

303,319

3,096

Series 2005-C2 Class ASP, 0.7397% 4/15/37 (c)(g)(i)

54,126

925

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

6,696

6,987

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class D, 6.484% 3/15/33

6,920

7,107

GE Capital Commercial Mortgage Corp.:

sequential payer Series 2004-C3 Class A2, 4.433% 7/10/39

8,525

8,515

Series 2001-1 Class X1, 0.6646% 5/15/33 (c)(g)(i)

73,949

1,900

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

GE Capital Mall Finance Corp. Series 1998-1A Class B2, 7.4977% 9/13/28 (c)(g)

$ 9,550

$ 9,561

Global Signal Trust III Series 2006-1:

Class B, 5.588% 2/15/36

3,040

2,953

Class C, 5.707% 2/15/36

3,755

3,600

GMAC Commercial Mortgage Securities, Inc.:

sequential payer Series 2003-C2 Class A1, 4.576% 5/10/40

9,059

8,922

Series 2004-C3 Class X2, 0.8333% 12/10/41 (g)(i)

43,150

650

Series 2006-C1 Class XP, 0.3041% 11/10/45 (g)(i)

89,509

569

Greenwich Capital Commercial Funding Corp.:

Series 2003-C2 Class XP, 1.1229% 1/5/36 (c)(g)(i)

76,521

1,486

Series 2005-GG3 Class XP, 0.9668% 8/10/42 (c)(g)(i)

200,255

3,584

GS Mortgage Securities Corp. II floater Series 2007-EOP:

Class C, 3.0438% 3/1/20 (c)(g)

3,810

3,429

Class D, 3.0938% 3/1/20 (c)(g)

1,140

1,026

Class E, 3.1638% 3/1/20 (c)(g)

1,905

1,715

Class F, 3.2038% 3/1/20 (c)(g)

950

846

Class G, 3.2438% 3/1/20 (c)(g)

470

416

Class H, 3.3738% 3/1/20 (c)(g)

785

694

Class J, 3.5738% 3/1/20 (c)(g)

1,125

996

Hilton Hotel Pool Trust:

sequential payer Series 2000-HLTA Class A1, 7.055% 10/3/15 (c)

1,589

1,654

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

4,870

5,256

Host Marriott Pool Trust sequential payer Series 1999-HMTA:

Class A, 6.98% 8/3/15 (c)

677

690

Class B, 7.3% 8/3/15 (c)

1,980

2,045

JPMorgan Chase Commercial Mortgage Securities Corp.:

sequential payer Series 2001-C1 Class A2, 5.464% 10/12/35

4,072

4,101

Series 2002-C3 Class X2, 1.1412% 7/12/35 (c)(g)(i)

29,432

439

Series 2003-CB7 Class X2, 0.8929% 1/12/38 (c)(g)(i)

13,368

216

Series 2003-LN1 Class X2, 0.776% 10/15/37 (c)(g)(i)

98,037

1,294

Series 2004-C1 Class X2, 1.146% 1/15/38 (c)(g)(i)

15,376

325

Series 2004-CB8 Class X2, 1.267% 1/12/39 (c)(g)(i)

19,388

471

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

JPMorgan Chase Commercial Mortgage Securities Trust sequential payer Series 2006-LDP9 Class A1, 5.17% 5/15/47 (g)

$ 5,927

$ 5,942

LB Commercial Conduit Mortgage Trust sequential payer:

Series 1998-C4 Class A1B, 6.21% 10/15/35

6,583

6,602

Series 1999-C1 Class A2, 6.78% 6/15/31

8,997

9,120

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2006-C6 Class A1, 5.23% 9/15/39

3,889

3,911

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

1,822

1,832

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

2,539

2,549

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

2,260

2,269

Series 2002-C4 Class XCP, 1.6141% 10/15/35 (c)(g)(i)

61,549

1,052

Series 2002-C7 Class XCP, 1.185% 1/15/36 (c)(g)(i)

44,207

628

Series 2003-C1 Class XCP, 1.4711% 12/15/36 (c)(g)(i)

20,147

437

Series 2004-C2 Class XCP, 1.2241% 3/1/36 (c)(g)(i)

43,882

857

Series 2004-C6 Class XCP, 0.8434% 8/15/36 (c)(g)(i)

56,225

719

Series 2006-C1 Class XCP, 0.5142% 2/15/41 (g)(i)

239,417

3,125

Series 2006-C6 Class XCP, 0.826% 9/15/39 (g)(i)

148,642

3,776

Series 2007-C1 Class XCP, 0.6532% 2/15/40 (g)(i)

57,789

1,235

Series 2007-C2 Class XCP, 0.7106% 2/17/40 (g)(i)

262,816

4,904

LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (c)

5,530

5,240

Merrill Lynch Mortgage Trust:

Series 2002-MW1 Class XP, 1.7724% 7/12/34 (c)(g)(i)

20,714

325

Series 2005-MCP1 Class XP, 0.7305% 6/12/43 (g)(i)

53,452

1,067

Series 2005-MKB2 Class XP, 0.4202% 9/12/42 (g)(i)

25,538

208

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2007-6 Class A1, 5.175% 3/12/51

2,680

2,678

Series 2007-8 Class A1, 4.622% 8/12/49

3,966

3,910

Series 2006-4 Class XP, 0.8374% 12/12/49 (g)(i)

115,747

3,084

Morgan Stanley Capital I Trust:

sequential payer:

Series 2003-IQ5 Class X2, 0.9873% 4/15/38 (c)(g)(i)

29,754

678

Series 2006-HQ8 Class A1, 5.124% 3/12/44

1,560

1,565

Series 2006-T23 Class A1, 5.682% 8/12/41

2,628

2,661

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

4,277

4,287

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

4,267

4,241

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

sequential payer:

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

$ 9,038

$ 9,046

Series 2003-IQ6 Class X2, 0.7144% 12/15/41 (c)(g)(i)

59,866

1,021

Series 2005-HQ5 Class X2, 0.4697% 1/14/42 (g)(i)

53,586

452

Series 2005-IQ9 Class X2, 1.17% 7/15/56 (c)(g)(i)

54,962

1,607

Series 2005-TOP17 Class X2, 0.758% 12/13/41 (g)(i)

38,469

788

Morgan Stanley Dean Witter Capital I Trust:

Series 2003-HQ2 Class X2, 1.5203% 3/12/35 (c)(g)(i)

51,868

1,674

Series 2003-TOP9 Class X2, 1.598% 11/13/36 (c)(g)(i)

36,496

1,118

NationsLink Funding Corp. Series 1999-1 Class C, 6.571% 1/20/31

4,150

4,184

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 2.8725% 3/24/18 (c)(g)

2,361

2,219

Wachovia Bank Commercial Mortgage Trust:

sequential payer:

Series 2003-C7 Class A1, 4.241% 10/15/35 (c)

16,667

16,505

Series 2007-C30 Class A1, 5.031% 12/15/43

4,117

4,115

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

2,784

2,782

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

5,999

5,022

Series 2005-C20 Class A3SF, 2.8463% 7/15/42 (g)

7,715

7,378

Series 2006-C23 Class X, 0.2412% 1/15/45 (c)(g)(i)

1,119,710

5,753

Series 2006-C24 Class XP, 0.2457% 3/15/45 (c)(g)(i)

194,342

987

Series 2007-C30 Class XP, 0.6235% 12/15/43 (c)(g)(i)

280,051

5,591

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $481,294)

446,263

Municipal Securities - 0.7%

Georgia Gen. Oblig.:

Series 2000 D, 5.75% 10/1/13 (Pre-Refunded to 10/1/10 @ 100) (j)

2,000

2,155

Series D, 5% 7/1/10

7,765

8,187

Illinois Gen. Oblig. First Series, 5.25% 8/1/12 (Pre-Refunded to 8/1/11 @ 100) (j)

1,680

1,810

Maryland Gen. Oblig. (State & Local Facilities Ln. Prog.) First Series 2005 B, 5.25% 2/15/11

5,000

5,340

Municipal Securities - continued

Principal Amount (000s)

Value (000s)

New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2000, 5.5% 6/15/33 (Pre-Refunded to 6/15/10 @ 101) (j)

$ 7,000

$ 7,516

New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.:

Series 2000 A, 6% 4/1/30 (Pre-Refunded to 4/1/10 @ 100) (j)

2,800

2,984

Series A, 5.25% 4/1/26 (Pre-Refunded to 10/1/10 @ 100) (j)

10,000

10,676

Utah Gen. Oblig. Series A, 5% 7/1/10

5,545

5,842

TOTAL MUNICIPAL SECURITIES

(Cost $43,391)

44,510

Foreign Government and Government Agency Obligations - 0.2%

United Mexican States 4.625% 10/8/08
(Cost $11,720)

11,755

11,808

Fixed-Income Funds - 9.3%

Shares

Fidelity 1-3 Year Duration Securitized Bond Central Fund (h)

934,119

80,344

Fidelity Corporate Bond 1-5 Year Central Fund (h)

886,323

87,320

Fidelity Ultra-Short Central Fund (h)

5,637,054

465,959

TOTAL FIXED-INCOME FUNDS

(Cost $743,247)

633,623

Cash Equivalents - 23.0%

Maturity Amount (000s)

Value (000s)

Investments in repurchase agreements in a joint trading account at:

2.33%, dated 5/30/08 due 6/2/08 (Collateralized by U.S. Government Obligations) #

$ 207,730

$ 207,690

2.35%, dated 5/30/08 due 6/2/08 (Collateralized by U.S. Government Obligations) # (a)

1,350,381

1,350,117

TOTAL CASH EQUIVALENTS

(Cost $1,557,807)

1,557,807

TOTAL INVESTMENT PORTFOLIO - 122.8%

(Cost $8,610,607)

8,313,531

NET OTHER ASSETS - (22.8)%

(1,541,132)

NET ASSETS - 100%

$ 6,772,399

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Eurodollar Contracts

1,220 Eurodollar 90 Day Index Contracts

June 2008

$ 1,211,757

$ 5,463

1,097 Eurodollar 90 Day Index Contracts

Sept. 2008

1,089,211

3,757

1,097 Eurodollar 90 Day Index Contracts

Dec. 2008

1,088,471

2,829

780 Eurodollar 90 Day Index Contracts

March 2009

773,516

744

217 Eurodollar 90 Day Index Contracts

June 2009

215,061

(58)

219 Eurodollar 90 Day Index Contracts

Sept. 2009

216,919

(108)

TOTAL EURODOLLAR CONTRACTS

$ 12,627

Futures Contracts - continued

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Sold

Eurodollar Contracts

73 Eurodollar 90 Day Index Contracts

Dec. 2009

$ 72,265

$ (256)

72 Eurodollar 90 Day Index Contracts

March 2010

71,247

(226)

365 Eurodollar 90 Day Index Contracts

June 2010

361,040

31

363 Eurodollar 90 Day Index Contracts

Sept. 2010

358,939

77

362 Eurodollar 90 Day Index Contracts

Dec. 2010

357,828

115

315 Eurodollar 90 Day Index Contracts

March 2011

311,307

219

TOTAL EURODOLLAR CONTRACTS

$ (40)

$ 12,587

Swap Agreements

Notional Amount (000s)

Value (000s)

Credit Default Swaps

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

Oct. 2034

$ 1,229

$ (782)

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

Oct. 2034

538

(295)

Receive monthly notional amount multiplied by 3.3% and pay Morgan Stanley, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.3950% 11/25/34

Dec. 2034

$ 696

$ (381)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 6.3950% 8/25/34

Sept. 2034

427

(235)

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

August 2034

629

(301)

Receive monthly notional amount multiplied by .56% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M6, 6.785% 11/25/34

Dec. 2034

2,963

(1,241)

Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon credit 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

2,400

(1,252)

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

August 2034

421

(158)

Receive monthly notional amount multiplied by .85% and pay Deutsche Bank upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M6, 6.105% 5/25/35

June 2035

2,400

(1,411)

Receive monthly notional amount multiplied by .85% and pay UBS upon credit 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

$ 1,462

$ (566)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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

Oct. 2034

1,462

(431)

Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon credit 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

1,330

(853)

Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon credit 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

1,462

(936)

Receive monthly notional amount multiplied by 1.85% and pay Citibank upon credit event of Carrington Mortgage Loan Trust, par value of the notional amount of Carrington Mortgage Loan Trust Series 2006-NC2 Class M9, 7.02% 6/25/36

July 2036

4,500

(4,313)

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit 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

129

(110)

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit 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

402

(193)

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit 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

$ 122

$ (103)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon credit 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

1,072

(739)

Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit 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

1,462

(869)

Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon credit event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27

March 2009

4,600

5

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

Sept. 2008

10,265

(49)

Receive quarterly notional amount multiplied by .5% and pay Deutsche Bank upon credit event of Fannie Mae, par value of the notional amount of Fannie Mae 5.25% 8/1/12

Sept. 2012

5,500

(115)

Receive quarterly notional amount multiplied by .54% and pay to Morgan Stanley, Inc. upon credit event of Fannie Mae, par value of the notional amount of Fannie Mae 5.25% 8/1/12

Sept. 2012

5,450

(105)

Receive quarterly notional amount multiplied by .78% and pay Goldman Sachs upon credit event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13

Dec. 2008

10,000

(69)

TOTAL CREDIT DEFAULT SWAPS

$ 60,921

$ (15,502)

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 end of the period, the value of these securities amounted to $502,450,000 or 7.4% 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 was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $4,218,000.

(f) 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 $14,601,000.

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

(h) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request.

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

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

(k) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $7,689,000 or 0.1% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Iberbond 2004 PLC 4.826% 12/24/17

11/30/05

$ 9,323

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

Repurchase Agreement / Counterparty

Value
(Amounts in
thousands)

$207,690,000 due 6/02/08 at 2.33%

BNP Paribas Securities Corp.

$ 29,742

Banc of America Securities LLC

26,740

Bank of America, NA

73,780

Barclays Capital, Inc.

7,295

Greenwich Capital Markets, Inc.

4,611

ING Financial Markets LLC

16,735

J.P. Morgan Securities, Inc.

9,222

Societe Generale, New York Branch

38,182

WestLB AG

1,383

$ 207,690

$1,350,117,000 due 6/02/08 at 2.35%

Barclays Capital, Inc.

$ 1,344,887

Credit Suisse Securities (USA) LLC

5,230

$ 1,350,117

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 2,979

Fidelity Corporate Bond 1-5 Year Central Fund

4,046

Fidelity Ultra-Short Central Fund

19,797

Total

$ 26,822

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

Fund
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value, end of period

% ownership, end of period

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 86,027

$ 2,979

$ -

$ 80,344

4.5%

Fidelity Corporate Bond 1-5 Year Central Fund

113,209

4,046

30,018

87,320

13.4%

Fidelity Ultra-Short Central Fund

637,253

1,546

96,200

465,959

9.7%

Total

$ 836,489

$ 8,571

$ 126,218

$ 633,623

Income Tax Information

At May 31, 2008, the aggregate cost of investment securities for income tax purposes was $8,603,643,000. Net unrealized depreciation aggregated $290,112,000, of which $57,142,000 related to appreciated investment securities and $347,254,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. 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 available dealer supplied prices. Certain of the Fund's securities may be valued by a single source dealer. Swaps are marked-to-market daily based on dealer-supplied valuations. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

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. Factors used in the determination of fair value may include current market trading activity, interest rates, credit quality and default rates. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricingmay differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.

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

Credit Risk

The Fund may have direct or indirect exposure to structured securities of issuers that hold mortgage securities, including securities backed by suprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report
for
Fidelity ® U.S. Bond Index

May 31, 2008

1.816026.103

UBI-QTLY-0708

Investments May 31, 2008 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 10.6%

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 0.8%

Diversified Consumer Services - 0.1%

President and Fellows of Harvard College 5.625% 10/1/38

$ 7,700

$ 7,412

Hotels, Restaurants & Leisure - 0.1%

McDonald's Corp. 6.3% 3/1/38

7,045

6,951

Household Durables - 0.1%

Fortune Brands, Inc. 5.875% 1/15/36

6,806

5,591

Newell Rubbermaid, Inc. 6.25% 4/15/18

2,960

2,952

8,543

Media - 0.5%

AOL Time Warner, Inc. 7.625% 4/15/31

3,250

3,371

Comcast Corp. 6.45% 3/15/37

10,770

10,299

COX Communications, Inc. 6.45% 12/1/36 (c)

2,735

2,632

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

3,160

3,395

News America, Inc.:

6.15% 3/1/37

3,955

3,655

6.2% 12/15/34

6,115

5,702

Time Warner Cable, Inc. 5.85% 5/1/17

5,801

5,565

Time Warner, Inc. 6.5% 11/15/36

7,160

6,535

Viacom, Inc.:

6.125% 10/5/17

5,420

5,317

6.75% 10/5/37

1,865

1,783

48,254

TOTAL CONSUMER DISCRETIONARY

71,160

CONSUMER STAPLES - 1.3%

Beverages - 0.1%

Diageo Capital PLC 5.75% 10/23/17

8,827

8,797

Food & Staples Retailing - 0.3%

CVS Caremark Corp.:

6.036% 12/10/28 (c)

5,511

4,991

6.302% 6/1/37 (e)

12,815

11,149

Wal-Mart Stores, Inc. 6.5% 8/15/37

8,275

8,460

24,600

Food Products - 0.6%

Cargill, Inc. 6.625% 9/15/37 (c)

22,855

22,010

General Mills, Inc. 5.2% 3/17/15

7,875

7,809

Kraft Foods, Inc.:

6% 2/11/13

7,895

8,007

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Food Products - continued

Kraft Foods, Inc.: - continued

6.125% 2/1/18

$ 5,497

$ 5,377

6.875% 2/1/38

11,063

10,754

53,957

Tobacco - 0.3%

Philip Morris International, Inc.:

4.875% 5/16/13

7,165

7,089

5.65% 5/16/18

6,789

6,642

6.375% 5/16/38

11,480

11,159

Reynolds American, Inc. 7.25% 6/15/37

7,220

7,052

31,942

TOTAL CONSUMER STAPLES

119,296

ENERGY - 1.0%

Energy Equipment & Services - 0.0%

Weatherford International Ltd. 7% 3/15/38

5,580

5,794

Oil, Gas & Consumable Fuels - 1.0%

Anadarko Petroleum Corp. 6.45% 9/15/36

2,675

2,664

Duke Capital LLC 6.75% 2/15/32

2,765

2,625

Duke Energy Field Services 6.45% 11/3/36 (c)

7,000

6,378

Energy Transfer Partners LP 6.7% 7/1/18

4,475

4,534

Nakilat, Inc. 6.067% 12/31/33 (c)

7,770

6,728

Nexen, Inc.:

5.875% 3/10/35

3,710

3,341

6.4% 5/15/37

12,035

11,580

NGPL PipeCo LLC 6.514% 12/15/12 (c)

4,570

4,670

Pemex Project Funding Master Trust 3.6756% 12/3/12 (c)(e)

2,040

2,003

Petro-Canada:

6.05% 5/15/18

3,650

3,587

6.8% 5/15/38

5,300

5,182

Plains All American Pipeline LP:

6.125% 1/15/17

1,795

1,759

6.65% 1/15/37

2,795

2,600

Ras Laffan Liquid Natural Gas Co. Ltd. III 6.332% 9/30/27 (c)

5,465

4,969

Talisman Energy, Inc. yankee 6.25% 2/1/38

3,065

2,856

TEPPCO Partners LP:

6.65% 4/15/18

4,513

4,574

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

TEPPCO Partners LP: - continued

7.55% 4/15/38

$ 8,655

$ 8,968

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

5,636

5,440

Valero Energy Corp. 6.625% 6/15/37

3,620

3,347

87,805

TOTAL ENERGY

93,599

FINANCIALS - 3.6%

Capital Markets - 1.0%

BlackRock, Inc. 6.25% 9/15/17

8,560

8,623

Goldman Sachs Group, Inc.:

5.625% 1/15/17

7,000

6,655

6.75% 10/1/37

24,510

22,998

JPMorgan Chase Capital XX 6.55% 9/29/36

14,550

12,635

Lehman Brothers Holdings, Inc.:

6.75% 12/28/17

4,080

3,849

6.875% 5/2/18

6,385

6,196

Merrill Lynch & Co., Inc.:

6.15% 4/25/13

3,036

2,982

6.875% 4/25/18

2,723

2,669

Morgan Stanley 4.75% 4/1/14

3,500

3,227

UBS AG Stamford Branch:

5.75% 4/25/18

10,000

9,741

5.875% 12/20/17

7,260

7,221

86,796

Commercial Banks - 0.8%

Bank of America NA:

5.3% 3/15/17

3,500

3,335

6% 10/15/36

2,419

2,281

BB&T Capital Trust IV 6.82% 6/12/77 (e)

3,510

3,064

Credit Suisse First Boston 6% 2/15/18

12,935

12,610

HBOS PLC 6.75% 5/21/18 (c)

10,660

10,399

HSBC Holdings PLC 6.5% 9/15/37

10,000

9,381

Standard Chartered Bank 6.4% 9/26/17 (c)

9,710

9,610

Wachovia Bank NA 6.6% 1/15/38

10,000

9,245

Wells Fargo & Co. 5.625% 12/11/17

10,972

10,954

70,879

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Consumer Finance - 0.7%

American Express Co. 8.15% 3/19/38

$ 8,500

$ 9,699

American General Finance Corp. 6.9% 12/15/17

5,465

5,184

General Electric Capital Corp.:

5.625% 9/15/17

5,645

5,594

5.625% 5/1/18

15,000

14,818

6.375% 11/15/67 (e)

9,000

8,861

SLM Corp.:

3.06% 7/27/09 (e)

2,472

2,321

3.08% 7/26/10 (e)

9,378

8,417

4% 1/15/09

2,350

2,314

4.5% 7/26/10

5,430

5,001

62,209

Diversified Financial Services - 0.2%

Bank of America Corp. 5.75% 12/1/17

4,835

4,748

GlaxoSmithKline Capital, Inc.:

5.65% 5/15/18

5,680

5,616

6.375% 5/15/38

7,218

7,127

ZFS Finance USA Trust V 6.5% 5/9/67 (c)(e)

4,235

3,730

21,221

Insurance - 0.3%

American International Group, Inc. 5.85% 1/16/18

11,005

10,617

The Chubb Corp.:

5.75% 5/15/18

4,175

4,096

6.5% 5/15/38

3,510

3,451

The Travelers Companies, Inc. 6.25% 6/15/37

8,350

7,841

26,005

Real Estate Investment Trusts - 0.4%

AvalonBay Communities, Inc.:

5.5% 1/15/12

5,345

5,268

6.125% 11/1/12

8,625

8,633

Duke Realty LP:

5.4% 8/15/14

4,625

4,231

5.875% 8/15/12

925

898

5.95% 2/15/17

630

589

6.25% 5/15/13

6,720

6,643

6.5% 1/15/18

4,915

4,711

Liberty Property LP 6.625% 10/1/17

3,730

3,487

UDR, Inc. 5.5% 4/1/14

6,340

5,845

40,305

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - 0.1%

ERP Operating LP:

5.375% 8/1/16

$ 2,050

$ 1,891

5.5% 10/1/12

2,965

2,920

5.75% 6/15/17

5,750

5,429

10,240

Thrifts & Mortgage Finance - 0.1%

Credit Suisse First Boston (New York Branch) 5% 5/15/13

6,056

5,946

TOTAL FINANCIALS

323,601

HEALTH CARE - 0.2%

Pharmaceuticals - 0.2%

AstraZeneca PLC:

5.9% 9/15/17

4,505

4,609

6.45% 9/15/37

3,250

3,316

Bristol-Myers Squibb Co. 6.125% 5/1/38

13,000

12,475

20,400

INDUSTRIALS - 0.6%

Aerospace & Defense - 0.1%

Bombardier, Inc.:

6.3% 5/1/14 (c)

7,655

7,502

7.45% 5/1/34 (c)

1,860

1,804

9,306

Air Freight & Logistics - 0.2%

United Parcel Service, Inc. 6.2% 1/15/38

11,655

11,717

Airlines - 0.1%

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

7,745

7,513

Industrial Conglomerates - 0.2%

Covidien International Finance SA 6.55% 10/15/37 (c)

4,250

4,251

General Electric Co. 5.25% 12/6/17

16,450

16,088

20,339

Road & Rail - 0.0%

CSX Corp. 6.25% 4/1/15

2,295

2,283

TOTAL INDUSTRIALS

51,158

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Instruments - 0.0%

Tyco Electronics Group SA 7.125% 10/1/37

$ 2,475

$ 2,492

MATERIALS - 0.1%

Metals & Mining - 0.1%

United States Steel Corp. 6.65% 6/1/37

5,515

4,876

Vale Overseas Ltd. 6.25% 1/23/17

7,095

7,147

12,023

TELECOMMUNICATION SERVICES - 1.4%

Diversified Telecommunication Services - 1.2%

AT&T, Inc.:

6.3% 1/15/38

838

805

6.8% 5/15/36

10,959

11,128

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

3,540

3,905

British Telecommunications PLC 9.125% 12/15/30

4,515

5,596

SBC Communications, Inc.:

6.15% 9/15/34

7,545

7,126

6.45% 6/15/34

9,520

9,198

Sprint Capital Corp. 6.875% 11/15/28

20,117

16,094

Telecom Italia Capital SA 7.2% 7/18/36

9,310

8,934

Telefonica Emisiones SAU 7.045% 6/20/36

2,951

3,099

Verizon Communications, Inc.:

6.1% 4/15/18

5,430

5,535

6.25% 4/1/37

3,121

3,001

6.4% 2/15/38

7,002

6,840

6.9% 4/15/38

6,025

6,261

Verizon Global Funding Corp.:

5.85% 9/15/35

3,190

2,927

7.75% 12/1/30

14,735

16,341

106,790

Wireless Telecommunication Services - 0.2%

America Movil SAB de CV 6.125% 11/15/37

8,365

7,747

Vodafone Group PLC 6.15% 2/27/37

8,370

7,869

15,616

TOTAL TELECOMMUNICATION SERVICES

122,406

UTILITIES - 1.6%

Electric Utilities - 1.2%

Carolina Power & Light Co. 6.3% 4/1/38

6,916

6,918

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Commonwealth Edison Co.:

5.4% 12/15/11

$ 4,692

$ 4,708

5.8% 3/15/18

9,945

9,729

Duke Energy Carolinas LLC:

5.25% 1/15/18

4,355

4,291

6.05% 4/15/38

7,503

7,353

EDP Finance BV 6% 2/2/18 (c)

6,620

6,626

Enel Finance International SA:

6.25% 9/15/17 (c)

3,380

3,452

6.8% 9/15/37 (c)

11,967

12,123

Illinois Power Co. 6.125% 11/15/17

2,955

2,848

Northern States Power Co. 5.25% 3/1/18

10,500

10,368

Pepco Holdings, Inc.:

6.125% 6/1/17

7,000

6,825

7.45% 8/15/32

8,330

8,617

Potomac Electric Power Co. 6.5% 11/15/37

7,536

7,441

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

3,750

3,222

Southern California Edison Co. 5.95% 2/1/38

5,000

4,879

Tampa Electric Co.:

6.15% 5/15/37

6,260

5,677

6.55% 5/15/36

5,500

5,265

110,342

Independent Power Producers & Energy Traders - 0.1%

PPL Energy Supply LLC 6.5% 5/1/18

6,485

6,347

Multi-Utilities - 0.3%

MidAmerican Energy Holdings, Co.:

5.75% 4/1/18 (c)

3,750

3,737

6.5% 9/15/37

7,605

7,657

NiSource Finance Corp.:

5.45% 9/15/20

4,830

4,198

6.8% 1/15/19

10,000

9,815

25,407

TOTAL UTILITIES

142,096

TOTAL NONCONVERTIBLE BONDS

(Cost $983,360)

958,231

U.S. Government and Government Agency Obligations - 30.5%

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 10.9%

Fannie Mae:

3.625% 2/12/13 (b)

$ 55,295

$ 54,320

5% 10/15/11

100,000

103,693

5% 2/16/12 (b)

99,195

103,128

5.375% 6/12/17 (b)

58,472

61,730

Freddie Mac:

3.5% 5/29/13 (b)

96,255

93,703

4% 6/12/13

20,038

19,915

4.75% 3/5/12 (b)

150,000

154,636

5.25% 7/18/11 (b)

295,417

308,031

5.5% 8/23/17

42,900

45,737

5.75% 1/15/12 (b)

25,000

26,600

Tennessee Valley Authority 5.375% 4/1/56

5,395

5,383

U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A, 5.96% 8/1/09

3,600

3,617

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

980,493

U.S. Treasury Obligations - 19.6%

U.S. Treasury Bonds:

6.25% 5/15/30 (b)

134,261

162,340

8% 11/15/21

79,717

107,213

U.S. Treasury Notes:

2.5% 3/31/13

25,703

24,679

2.625% 5/31/10

190,800

190,740

2.75% 2/28/13 (b)

224,075

217,685

3.125% 11/30/09 (b)

352,875

356,101

3.5% 5/31/13 (d)

152,599

152,986

4.75% 5/15/14 (b)

151,102

161,018

4.75% 8/15/17 (b)

299,160

314,819

5.125% 6/30/11

82,020

87,082

TOTAL U.S. TREASURY OBLIGATIONS

1,774,663

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,769,661)

2,755,156

U.S. Government Agency - Mortgage Securities - 17.4%

Principal Amount (000s)

Value (000s)

Fannie Mae - 16.3%

4.5% 4/1/20 to 4/1/23

$ 53,883

$ 52,561

5% 12/1/17 to 3/1/38

450,237

439,112

5.5% 1/1/33 to 2/1/38

549,737

547,157

6% 8/1/22 to 10/1/37

261,623

267,061

6% 6/1/38 (d)

100,000

101,424

6.5% 12/1/34 to 3/1/38

67,000

69,290

11.5% 8/1/14

3

3

TOTAL FANNIE MAE

1,476,608

Freddie Mac - 1.0%

6% 4/1/32 to 11/1/37

46,982

47,834

6% 6/1/38 (d)

44,000

44,671

11.75% 9/1/13

9

10

TOTAL FREDDIE MAC

92,515

Government National Mortgage Association - 0.1%

6% 11/15/34

9,329

9,553

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,583,478)

1,578,676

Asset-Backed Securities - 0.1%

ACE Securities Corp. Home Equity Loan Trust Series 2005-SD1 Class A1, 2.7925% 11/25/50 (e)

300

236

Capital Auto Receivables Asset Trust Series 2006-SN1A:

Class B, 5.5% 4/20/10 (c)

995

995

Class C, 5.77% 5/20/10 (c)

955

947

Class D, 6.15% 4/20/11 (c)

1,620

1,585

Onyx Acceptance Owner Trust Series 2005-B Class A4, 4.34% 5/15/12

4,220

3,957

TOTAL ASSET-BACKED SECURITIES

(Cost $8,089)

7,720

Collateralized Mortgage Obligations - 0.2%

Principal Amount (000s)

Value (000s)

Private Sponsor - 0.1%

Chase Mortgage Finance Trust Series 2007-A1 Class 1A5, 4.3547% 2/25/37 (e)

$ 2,119

$ 2,084

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 4.6228% 11/25/34 (e)

2,727

2,650

JPMorgan Mortgage Trust Series 2007-A1 Class 3A2, 5.0065% 7/25/35 (e)

2,893

2,836

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.8348% 10/25/35 (e)

4,656

4,588

Wells Fargo Mortgage Backed Securities Trust:

Series 2005-AR12 Class 2A6, 4.336% 7/25/35 (e)

761

722

Series 2005-AR3 Class 2A1, 4.2062% 3/25/35 (e)

1,439

1,392

TOTAL PRIVATE SPONSOR

14,272

U.S. Government Agency - 0.1%

Fannie Mae subordinate REMIC pass-thru certificates planned amortization class:

Series 2001-68 Class QZ, 5.5% 12/25/16

5,900

5,962

Series 2002-9 Class PC, 6% 3/25/17

960

980

TOTAL U.S. GOVERNMENT AGENCY

6,942

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $21,250)

21,214

Commercial Mortgage Securities - 1.3%

Banc of America Commercial Mortgage, Inc. sequential payer Series 2007-1 Class A2, 5.381% 1/15/49

3,810

3,773

Citigroup Commercial Mortgage Trust:

sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49

9,390

9,174

Series 2007-C6 Class A1, 5.622% 12/10/49 (e)

12,509

12,574

Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4 Class A2A, 5.237% 12/11/49

5,000

4,954

Credit Suisse Commercial Mortgage Trust sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (e)

9,580

9,516

Credit Suisse First Boston Mortgage Securities Corp.:

Series 1998-C1 Class C, 6.78% 5/17/40

9,200

9,251

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Credit Suisse First Boston Mortgage Securities Corp.: - continued

Series 2004-C1 Class ASP, 0.8374% 1/15/37 (c)(e)(g)

$ 47,922

$ 1,081

GS Mortgage Securities Trust sequential payer Series 2007-GG10 Class A4, 5.9933% 8/10/45 (e)

5,000

4,935

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2 Class A2, 2.6444% 11/15/18 (c)(e)

5,000

4,500

Series 2005-LDP3 Class A3, 4.959% 8/15/42

10,105

9,882

LB Commercial Conduit Mortgage Trust sequential payer Series 1999-C1 Class A2, 6.78% 6/15/31

4,413

4,473

LB-UBS Commercial Mortgage Trust sequential payer:

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

1,665

1,674

Series 2007-C1 Class A3, 5.398% 2/15/40

5,000

4,850

Series 2007-C6 Class A2, 5.845% 7/15/40

5,000

5,009

Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2006-4 Class A2, 5.112% 12/12/49 (e)

995

987

Morgan Stanley Capital I Trust:

sequential payer:

Series 2007-IQ13 Class A4, 5.364% 3/15/44

5,000

4,772

Series 2007-T25 Class A2, 5.507% 11/12/49

1,445

1,419

Series 2007-HQ12 Class A2, 5.8113% 4/12/49 (e)

12,215

12,171

Wachovia Bank Commercial Mortgage Trust:

sequential payer Series 2007-C32 Class A2, 5.9235% 6/15/49 (e)

8,100

8,085

Series 2006-C23 Class A5, 5.416% 1/15/45 (e)

7,395

7,255

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $119,361)

120,335

Fixed-Income Funds - 36.7%

Shares

Fidelity 2-5 Year Duration Securitized Bond Central Fund (f)

5,150,386

474,660

Fidelity Corporate Bond 1-10 Year Central Fund (f)

10,380,464

1,012,510

Fidelity Mortgage Backed Securities Central Fund (f)

18,570,417

1,830,115

TOTAL FIXED-INCOME FUNDS

(Cost $3,413,665)

3,317,285

Cash Equivalents - 26.4%

Maturity Amount (000s)

Value (000s)

Investments in repurchase agreements in a joint trading account at:

2.33%, dated 5/30/08 due 6/2/08 (Collateralized by U.S. Government Obligations) #

$ 535,570

$ 535,466

2.35%, dated 5/30/08 due 6/2/08 (Collateralized by U.S. Government Obligations) # (a)

1,857,238

1,856,874

TOTAL CASH EQUIVALENTS

(Cost $2,392,340)

2,392,340

TOTAL INVESTMENT PORTFOLIO - 123.2%

(Cost $11,291,204)

11,150,957

NET OTHER ASSETS - (23.2)%

(2,103,280)

NET ASSETS - 100%

$ 9,047,677

Swap Agreements

Expiration Date

Notional Amount (000s)

Credit Default Swaps

Receive from Citibank upon credit event of Bristol-Myers Squibb Co., par value of the notional amount of Bristol-Myers Squibb Co. 5.25% 8/15/13, and pay quarterly notional amount multiplied by .32%

Sept. 2017

$ 2,300

1

Receive from Credit Suisse First Boston upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 1/15/15, and pay quarterly notional amount multiplied by 1.5%

March 2013

5,000

41

Receive from Goldman Sachs upon credit event of CSX Corp., par value of notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.18%

March 2013

3,740

(47)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.18%

March 2013

$ 3,740

$ (47)

Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.19%

March 2018

3,300

(24)

TOTAL CREDIT DEFAULT SWAPS

18,080

(76)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 5.556% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

June 2012

25,000

1,896

$ 43,080

$ 1,820

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 end of the period, the value of these securities amounted to $132,163,000 or 1.5% of net assets.

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

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

(f) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request.

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

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$535,466,000 due 6/02/08 at 2.33%

BNP Paribas Securities Corp.

$ 76,682

Banc of America Securities LLC

68,942

Bank of America, NA

190,218

Barclays Capital, Inc.

18,807

Greenwich Capital Markets, Inc.

11,889

ING Financial Markets LLC

43,146

J.P. Morgan Securities, Inc.

23,777

Societe Generale, New York Branch

98,438

WestLB AG

3,567

$ 535,466

$1,856,874,000 due 6/02/08 at 2.35%

Barclays Capital, Inc.

$ 1,849,681

Credit Suisse Securities (USA) LLC

7,193

$ 1,856,874

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 3,647

Fidelity 2-5 Year Duration Securitized Bond Central Fund

18,592

Fidelity Corporate Bond 1-10 Year Central Fund

43,275

Fidelity Mortgage Backed Securities Central Fund

64,724

Fidelity Ultra-Short Central Fund

17,928

Total

$ 148,166

Income Tax Information

At May 31, 2008, the aggregate cost of investment securities for income tax purposes was $11,291,020,000. Net unrealized depreciation aggregated $140,063,000, of which $38,726,000 related to appreciated investment securities and $178,789,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. 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 available 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 net asset value (NAV) calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.

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

Quarterly Report

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

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

Quarterly Report

Item 2. Controls and Procedures

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

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

Item 3. Exhibits

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

SIGNATURES

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

Fidelity Fixed-Income Trust

By:

/s/ John R. Hebble

John R. Hebble

President and Treasurer

Date:

July 30, 2008

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/ John R. Hebble

John R. Hebble

President and Treasurer

Date:

July 30, 2008

By:

/s/Joseph B. Hollis

Joseph B. Hollis

Chief Financial Officer

Date:

July 30, 2008