N-CSRS 1 main.htm

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-2105

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:

February 28, 2009

Item 1. Reports to Stockholders

Fidelity®
Intermediate Bond
Fund

Semiannual Report

February 28, 2009

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

Report of Independent Registered Public Accounting Firm

<Click Here>

 

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual Report

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

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

Semiannual Report

Shareholder Expense Example - continued

 

Annualized Expense Ratio

Beginning
Account Value
September 1, 2008

Ending
Account Value
February 28, 2009

Expenses Paid
During Period*
September 1, 2008
to February 28, 2009

Actual

.46%

$ 1,000.00

$ 949.90

$ 2.22

Hypothetical (5% return per year before expenses)

 

$ 1,000.00

$ 1,022.51

$ 2.31

* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report

Investment Changes (Unaudited)

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

Quality Diversification (% of fund's net assets)

As of February 28, 2009

As of August 31, 2008

fid32

U.S. Government
and U.S. Government Agency Obligations 37.1%

 

fid34

U.S. Government
and U.S. Government Agency Obligations 38.3%

 

fid36

AAA 10.5%

 

fid38

AAA 13.4%

 

fid40

AA 5.9%

 

fid42

AA 8.2%

 

fid44

A 15.0%

 

fid46

A 11.3%

 

fid48

BBB 23.5%

 

fid50

BBB 21.3%

 

fid52

BB and Below 4.3%

 

fid54

BB and Below 4.3%

 

fid56

Not Rated 0.4%

 

fid58

Not Rated 0.3%

 

fid60

Short-Term
Investments and
Net Other Assets 3.3%

 

fid62

Short-Term
Investments and
Net Other Assets 2.9%

 


fid64

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

Weighted Average Maturity as of February 28, 2009

 

 

6 months ago

Years

4.3

4.1

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

Duration as of February 28, 2009

 

 

6 months ago

Years

3.4

3.9

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

Asset Allocation (% of fund's net assets)

As of February 28, 2009*

As of August 31, 2008**

fid32

Corporate Bonds 45.9%

 

fid34

Corporate Bonds 41.0%

 

fid36

U.S. Government
and U.S. Government Agency Obligations 37.1%

 

fid38

U.S. Government
and U.S. Government Agency Obligations 38.3%

 

fid40

Asset-Backed
Securities 3.5%

 

fid42

Asset-Backed
Securities 4.9%

 

fid48

CMOs and Other Mortgage Related Securities 9.8%

 

fid50

CMOs and Other Mortgage Related Securities 12.2%

 

fid56

Other Investments 0.4%

 

fid58

Other Investments 0.7%

 

fid60

Short-Term
Investments and
Net Other Assets 3.3%

 

fid62

Short-Term
Investments and
Net Other Assets 2.9%

 

* Foreign investments

9.4%

 

** Foreign investments

10.2%

 

* Futures and Swaps

16.3%

 

** Futures and Swaps

18.7%

 


fid78

A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investments in underlying non-money market Fidelity Central Funds, is available at fidelity.com.

Semiannual Report

Investments February 28, 2009

Showing Percentage of Net Assets

Nonconvertible Bonds - 34.2%

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 2.8%

Auto Components - 0.2%

DaimlerChrysler NA Holding Corp.:

5.75% 9/8/11

$ 9,807

$ 9,233

5.875% 3/15/11

3,641

3,466

 

12,699

Hotels, Restaurants & Leisure - 0.1%

McDonald's Corp. 5.35% 3/1/18

4,100

4,227

Household Durables - 0.1%

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

7,431

7,324

Media - 1.6%

AOL Time Warner, Inc.:

6.75% 4/15/11

3,299

3,348

6.875% 5/1/12

4,279

4,313

Comcast Cable Communications, Inc. 6.75% 1/30/11

895

927

Comcast Corp.:

4.95% 6/15/16

3,294

2,944

5.5% 3/15/11

669

679

5.7% 5/15/18

5,202

4,807

5.85% 1/15/10

107

108

COX Communications, Inc.:

4.625% 1/15/10

3,753

3,721

4.625% 6/1/13

7,831

7,080

News America, Inc.:

4.75% 3/15/10

428

418

5.3% 12/15/14

1,536

1,447

6.9% 3/1/19 (d)

25,130

23,793

Time Warner Cable, Inc.:

5.4% 7/2/12

4,284

4,122

5.85% 5/1/17

6,815

6,163

6.2% 7/1/13

4,073

3,944

6.75% 7/1/18

11,057

10,483

8.75% 2/14/19

5,863

6,258

Time Warner, Inc. 5.875% 11/15/16

10,725

10,050

Viacom, Inc. 6.125% 10/5/17

4,875

4,012

 

98,617

Multiline Retail - 0.1%

Macy's Retail Holdings, Inc. 7.875% 7/15/15

4,113

2,950

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Specialty Retail - 0.7%

Home Depot, Inc. 2.0463% 12/16/09 (j)

$ 7,497

$ 7,280

Staples, Inc. 9.75% 1/15/14

32,326

33,915

 

41,195

TOTAL CONSUMER DISCRETIONARY

167,012

CONSUMER STAPLES - 2.2%

Beverages - 0.4%

Anheuser-Busch Companies, Inc. 6.45% 9/1/37

129

110

Diageo Capital PLC:

5.2% 1/30/13

1,819

1,851

5.75% 10/23/17

12,485

12,437

FBG Finance Ltd. 5.125% 6/15/15 (d)

5,146

4,371

PepsiCo, Inc. 7.9% 11/1/18

5,970

7,174

 

25,943

Food & Staples Retailing - 0.3%

CVS Caremark Corp.:

2.5025% 6/1/10 (j)

4,025

3,902

6.036% 12/10/28 (d)

4,024

3,071

6.302% 6/1/37 (j)

21,312

13,107

 

20,080

Food Products - 0.5%

Cargill, Inc. 6% 11/27/17 (d)

1,239

1,156

General Mills, Inc.:

5.2% 3/17/15

5,317

5,340

5.65% 2/15/19

2,780

2,778

Kraft Foods, Inc.:

5.625% 11/1/11

6,416

6,705

6% 2/11/13

7,335

7,646

6.125% 2/1/18

5,621

5,585

6.75% 2/19/14

946

1,010

 

30,220

Personal Products - 0.1%

Avon Products, Inc. 4.8% 3/1/13

3,137

3,060

Tobacco - 0.9%

Altria Group, Inc. 9.7% 11/10/18

28,495

29,834

Philip Morris International, Inc.:

4.875% 5/16/13

8,983

9,079

5.65% 5/16/18

5,539

5,376

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Tobacco - continued

Reynolds American, Inc.:

6.75% 6/15/17

$ 5,129

$ 4,332

7.25% 6/15/37

8,210

5,976

 

54,597

TOTAL CONSUMER STAPLES

133,900

ENERGY - 3.6%

Energy Equipment & Services - 0.5%

DCP Midstream LLC 9.75% 3/15/19 (d)

5,169

5,011

Noble Drilling Corp. 5.875% 6/1/13

1,900

1,844

Transocean Ltd. 5.25% 3/15/13

6,075

6,017

Weatherford International Ltd.:

4.95% 10/15/13

3,053

2,601

5.15% 3/15/13

12,556

11,106

9.625% 3/1/19

1,116

1,140

 

27,719

Oil, Gas & Consumable Fuels - 3.1%

Anadarko Petroleum Corp. 6.45% 9/15/36

2,885

2,203

BW Group Ltd. 6.625% 6/28/17 (d)

5,183

2,721

Canadian Natural Resources Ltd.:

5.15% 2/1/13

7,885

7,539

5.7% 5/15/17

2,032

1,794

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

7,225

7,184

ConocoPhillips:

4.75% 2/1/14

1,849

1,870

5.75% 2/1/19

12,713

12,440

Devon Energy Corp. 5.625% 1/15/14

4,108

4,140

Duke Capital LLC 6.25% 2/15/13

1,753

1,738

Duke Energy Field Services:

5.375% 10/15/15 (d)

2,142

1,757

6.875% 2/1/11

4,055

4,047

7.875% 8/16/10

1,818

1,840

El Paso Natural Gas Co. 5.95% 4/15/17

1,639

1,402

Empresa Nacional de Petroleo 6.75% 11/15/12 (d)

2,970

2,981

Enbridge Energy Partners LP:

5.875% 12/15/16

3,166

2,715

6.5% 4/15/18

4,158

3,627

9.875% 3/1/19

5,134

5,329

EnCana Holdings Finance Corp. 5.8% 5/1/14

5,063

4,914

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Enterprise Products Operating LP:

4.625% 10/15/09

$ 3,412

$ 3,395

5.6% 10/15/14

3,427

3,182

5.65% 4/1/13

1,221

1,168

Gazstream SA 5.625% 7/22/13 (d)

8,938

8,000

Gulf South Pipeline Co. LP 5.75% 8/15/12 (d)

6,771

6,150

Lukoil International Finance BV 6.656% 6/7/22 (d)

2,142

1,457

Nakilat, Inc. 6.067% 12/31/33 (d)

2,628

1,716

Nexen, Inc.:

5.05% 11/20/13

6,740

6,122

5.2% 3/10/15

1,593

1,367

6.4% 5/15/37

5,370

3,790

NGPL PipeCo LLC 6.514% 12/15/12 (d)

10,835

10,475

Pemex Project Funding Master Trust 3.2963% 6/15/10 (d)(j)

2,183

2,107

Petro-Canada:

6.05% 5/15/18

2,975

2,452

6.8% 5/15/38

355

261

Petroleos Mexicanos 8% 5/3/19 (d)

1,729

1,699

Plains All American Pipeline LP 7.75% 10/15/12

4,133

4,162

Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (d)

5,236

5,394

Ras Laffan Liquid Natural Gas Co. Ltd. III 5.832% 9/30/16 (d)

2,354

2,058

Rockies Express Pipeline LLC 6.25% 7/15/13 (d)

4,768

4,640

Source Gas LLC 5.9% 4/1/17 (d)

6,212

4,657

Suncor Energy, Inc. 6.1% 6/1/18

8,473

6,983

TEPPCO Partners LP:

5.9% 4/15/13

5,677

5,127

6.65% 4/15/18

3,744

3,157

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

8,894

8,308

TransCanada PipeLines Ltd. 6.35% 5/15/67 (j)

4,155

2,514

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

2,725

2,613

Valero Energy Corp. 6.625% 6/15/37

3,965

3,027

XTO Energy, Inc.:

5% 1/31/15

3,066

2,846

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

XTO Energy, Inc.: - continued

5.65% 4/1/16

$ 2,103

$ 1,974

5.9% 8/1/12

7,804

7,735

 

188,777

TOTAL ENERGY

216,496

FINANCIALS - 15.5%

Capital Markets - 3.5%

Bear Stearns Companies, Inc.:

1.2625% 10/22/10 (j)

4,101

3,946

1.346% 8/21/09 (j)

2,051

2,019

1.3525% 7/16/09 (j)

1,008

996

2.4556% 9/9/09 (j)

2,228

2,192

3.25% 3/25/09

1,203

1,203

4.245% 1/7/10

2,133

2,091

4.5% 10/28/10

3,213

3,188

5.3% 10/30/15

2,051

1,892

5.85% 7/19/10

6,606

6,663

6.95% 8/10/12

2,367

2,450

BlackRock, Inc. 6.25% 9/15/17

14,564

13,849

Goldman Sachs Group, Inc.:

5.25% 10/15/13

10,348

9,573

5.45% 11/1/12

6,606

6,368

5.95% 1/18/18

6,992

6,250

6.15% 4/1/18

3,453

3,138

6.6% 1/15/12

2,999

3,008

6.75% 10/1/37

6,905

4,910

6.875% 1/15/11

478

485

7.5% 2/15/19

15,081

14,937

Janus Capital Group, Inc.:

6.125% 9/15/11

4,205

2,943

6.5% 6/15/12

7,313

4,938

Lazard Group LLC:

6.85% 6/15/17

6,731

5,030

7.125% 5/15/15

2,413

1,832

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

20,603

18,393

6.15% 4/25/13

4,400

3,870

6.4% 8/28/17

1,700

1,338

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Merrill Lynch & Co., Inc.: - continued

6.875% 4/25/18

$ 5,663

$ 4,712

Morgan Stanley:

1.6475% 1/9/12 (j)

7,571

6,222

1.6975% 1/9/14 (j)

8,767

5,876

4.75% 4/1/14

1,392

1,167

5.05% 1/21/11

5,337

5,263

5.25% 11/2/12

428

403

5.45% 1/9/17

1,618

1,396

5.95% 12/28/17

3,764

3,322

6.6% 4/1/12

10,025

9,954

6.625% 4/1/18

11,098

10,248

6.75% 4/15/11

1,465

1,471

Northern Trust Corp. 5.5% 8/15/13

1,879

1,944

Scotland International Finance No. 2 BV 7.7% 8/15/10 (d)

1,714

1,719

The Bank of New York, Inc. 4.95% 11/1/12

6,773

6,812

UBS AG Stamford Branch:

5.75% 4/25/18

16,695

14,597

5.875% 12/20/17

5,235

4,638

 

207,246

Commercial Banks - 3.1%

American Express Bank FSB:

5.5% 4/16/13

19,183

18,155

6% 9/13/17

1,088

964

ANZ National International Ltd. 6.2% 7/19/13 (d)

1,926

1,863

Bank One Corp.:

5.25% 1/30/13

1,630

1,583

7.875% 8/1/10

1,211

1,250

BB&T Corp. 6.5% 8/1/11

2,178

2,221

Chase Manhattan Corp. 7.875% 6/15/10

2,721

2,785

Credit Suisse First Boston 6% 2/15/18

13,937

12,644

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

10,598

10,232

DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (d)(j)

8,827

6,973

Export-Import Bank of Korea:

5.125% 2/14/11

5,118

4,947

5.25% 2/10/14 (d)

990

889

5.5% 10/17/12

3,954

3,743

Fifth Third Bancorp:

4.5% 6/1/18

216

135

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Fifth Third Bancorp: - continued

8.25% 3/1/38

$ 3,679

$ 2,666

HBOS PLC 6.75% 5/21/18 (d)

4,768

3,828

HSBC Holdings PLC 1.6125% 10/6/16 (j)

817

655

JPMorgan Chase Bank 6% 10/1/17

3,672

3,474

KeyBank NA:

5.8% 7/1/14

1,962

1,748

7% 2/1/11

1,970

1,947

Korea Development Bank:

3.875% 3/2/09

6,272

6,272

4.625% 9/16/10

3,213

3,127

4.75% 7/20/09

1,643

1,635

Manufacturers & Traders Trust Co. 2.935% 4/1/13 (d)(j)

515

431

National City Bank, Cleveland:

4.15% 8/1/09

12,715

12,624

4.5% 3/15/10

5,159

5,126

PNC Funding Corp.:

1.3144% 1/31/12 (j)

10,486

8,341

7.5% 11/1/09

3,551

3,538

Rabobank Capital Funding Trust II 5.26% (d)(j)

997

429

Regions Bank 7.5% 5/15/18

268

234

Santander Issuances SA Unipersonal:

1.885% 6/20/16 (d)(j)

2,495

1,879

5.805% 6/20/16 (d)(j)

7,370

5,159

Sovereign Bank 2.88% 8/1/13 (j)

1,170

872

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

16,126

12,898

UniCredit Luxembourg Finance SA 5.584% 1/13/17 (d)(j)

5,141

2,313

Union Planters Corp. 7.75% 3/1/11

1,051

1,021

UnionBanCal Corp. 5.25% 12/16/13

1,161

1,083

Wachovia Bank NA 4.875% 2/1/15

2,468

2,202

Wachovia Corp.:

1.2244% 10/15/11 (j)

7,040

6,246

1.255% 4/23/12 (j)

951

820

2.2525% 12/1/09 (j)

1,904

1,881

5.625% 10/15/16

5,958

5,299

5.75% 6/15/17

5,141

4,823

Wells Fargo & Co.:

4.2% 1/15/10

4,618

4,612

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Wells Fargo & Co.: - continued

5.625% 12/11/17

$ 11,268

$ 10,695

Wells Fargo Bank NA, San Francisco 6.45% 2/1/11

1,017

1,028

 

187,290

Consumer Finance - 2.0%

American Express Credit Corp. 5.875% 5/2/13

1,022

939

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

5,500

2,187

Capital One Financial Corp. 2.4694% 9/10/09 (j)

5,744

5,531

Discover Financial Services:

2.6288% 6/11/10 (j)

7,050

6,247

6.45% 6/12/17

4,004

3,029

General Electric Capital Corp.:

4.8% 5/1/13

43,000

40,502

5.625% 9/15/17

8,516

7,422

6.375% 11/15/67 (j)

9,000

5,218

Household Finance Corp.:

6.375% 10/15/11

3,260

3,175

7% 5/15/12

820

815

HSBC Finance Corp.:

5.25% 1/14/11

2,293

2,250

5.25% 1/15/14

1,847

1,727

MBNA America Bank NA 7.125% 11/15/12 (d)

1,216

1,166

MBNA Corp. 7.5% 3/15/12

2,819

2,602

Nelnet, Inc. 7.4% 9/29/36 (j)

4,712

707

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

7,441

6,991

ORIX Corp. 5.48% 11/22/11

675

467

SLM Corp.:

1.2994% 7/27/09 (j)

2,783

2,591

1.3194% 7/26/10 (j)

13,789

11,362

1.3894% 10/25/11 (j)

9,107

6,381

2.1963% 3/15/11 (j)

196

149

4.5% 7/26/10

10,778

8,521

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

722

615

 

120,594

Diversified Financial Services - 2.3%

Bank of America Corp. 7.4% 1/15/11

15,182

14,095

BTM Curacao Holding NV 1.8975% 12/19/16 (d)(j)

2,165

1,673

CIT Group, Inc.:

1.3866% 6/8/09 (j)

2,054

1,964

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Diversified Financial Services - continued

CIT Group, Inc.: - continued

4.75% 12/15/10

$ 1,440

$ 1,093

5.4% 2/13/12

4,304

3,249

Citigroup, Inc.:

1.3356% 5/18/11 (j)

4,927

4,122

5.3% 10/17/12

17,536

15,555

5.5% 4/11/13

20,461

18,528

6.125% 5/15/18

2,468

2,128

6.5% 1/18/11

2,292

2,162

6.5% 8/19/13

10,786

10,056

CME Group, Inc. 5.75% 2/15/14

887

893

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

9,747

10,035

ILFC E-Capital Trust I 5.9% 12/21/65 (d)(j)

5,252

1,050

International Lease Finance Corp.:

5.4% 2/15/12

5,021

3,239

5.65% 6/1/14

11,255

6,582

6.375% 3/25/13

2,635

1,528

6.625% 11/15/13

4,769

2,718

JPMorgan Chase & Co.:

4.891% 9/1/15 (j)

4,783

3,841

5.6% 6/1/11

5,425

5,531

5.75% 1/2/13

3,886

3,838

6.75% 2/1/11

659

673

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

491

456

Prime Property Funding, Inc.:

5.125% 6/1/15 (d)

1,911

1,261

5.5% 1/15/14 (d)

1,218

834

5.7% 4/15/17 (d)

2,973

1,903

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

7,703

7,289

TransCapitalInvest Ltd. 5.67% 3/5/14 (d)

5,676

4,172

ZFS Finance USA Trust I 6.15% 12/15/65 (d)(j)

4,072

1,792

ZFS Finance USA Trust II 6.45% 12/15/65 (d)(j)

8,779

3,573

ZFS Finance USA Trust IV 5.875% 5/9/32 (d)(j)

4,384

1,689

ZFS Finance USA Trust V 6.5% 5/9/67 (d)(j)

4,410

1,742

 

139,264

Insurance - 1.3%

Assurant, Inc.:

5.625% 2/15/14

3,351

2,767

6.75% 2/15/34

3,447

2,152

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

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

$ 979

$ 756

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

2,613

1,620

Jackson National Life Global Funding 5.375% 5/8/13 (d)

1,319

1,205

Liberty Mutual Group, Inc. 6.5% 3/15/35 (d)

1,042

633

MetLife, Inc.:

5% 6/15/15

2,039

1,893

6.125% 12/1/11

1,735

1,738

7.717% 2/15/19

8,426

8,130

Metropolitan Life Global Funding I:

4.625% 8/19/10 (d)

5,783

5,632

5.125% 4/10/13 (d)

980

936

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

2,896

2,922

Monumental Global Funding III 5.5% 4/22/13 (d)

3,860

3,402

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

11,239

10,963

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

11,200

9,329

Prudential Financial, Inc.:

5.15% 1/15/13

3,798

3,398

5.4% 6/13/35

792

468

5.5% 3/15/16

745

623

5.7% 12/14/36

673

411

8.875% 6/15/68 (j)

5,209

2,969

QBE Insurance Group Ltd. 5.647% 7/1/23 (d)(j)

5,859

2,754

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

9,082

7,158

The Chubb Corp. 5.75% 5/15/18

2,760

2,654

The St. Paul Travelers Companies, Inc. 8.125% 4/15/10

2,190

2,225

 

76,738

Real Estate Investment Trusts - 2.3%

AMB Property LP 5.9% 8/15/13

4,523

3,135

Arden Realty LP 5.2% 9/1/11

2,348

2,365

AvalonBay Communities, Inc.:

4.95% 3/15/13

643

569

5.5% 1/15/12

4,196

3,910

6.625% 9/15/11

1,434

1,384

Brandywine Operating Partnership LP:

4.5% 11/1/09

5,411

5,215

5.625% 12/15/10

7,150

6,316

5.7% 5/1/17

3,604

1,799

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

Brandywine Operating Partnership LP: - continued

5.75% 4/1/12

$ 3,718

$ 2,045

BRE Properties, Inc.:

4.875% 5/15/10

4,528

4,261

5.75% 9/1/09

1,071

1,066

Camden Property Trust:

4.375% 1/15/10

2,592

2,333

5.375% 12/15/13

1,150

943

5.875% 11/30/12

5,186

4,460

Colonial Properties Trust 4.75% 2/1/10

9,908

9,474

CPG Partners LP 6% 1/15/13

1,783

1,585

Developers Diversified Realty Corp.:

4.625% 8/1/10

5,281

3,727

5% 5/3/10

3,928

2,750

5.25% 4/15/11

4,264

2,099

5.375% 10/15/12

2,253

1,079

Duke Realty LP:

4.625% 5/15/13

1,099

739

5.25% 1/15/10

795

758

5.4% 8/15/14

4,193

2,860

5.625% 8/15/11

5,184

4,417

5.875% 8/15/12

815

624

5.95% 2/15/17

590

365

6.25% 5/15/13

10,650

7,988

6.5% 1/15/18

4,625

2,862

Equity One, Inc.:

6% 9/15/17

1,496

987

6.25% 1/15/17

865

588

Equity Residential 5.125% 3/15/16

5,000

4,048

Federal Realty Investment Trust:

5.4% 12/1/13

724

551

6% 7/15/12

5,141

4,230

6.2% 1/15/17

1,087

826

Hospitality Properties Trust 5.625% 3/15/17

2,103

1,171

HRPT Properties Trust:

5.75% 11/1/15

1,559

1,029

6.25% 6/15/17

2,160

1,335

6.65% 1/15/18

1,083

689

Liberty Property LP:

5.125% 3/2/15

1,487

1,080

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

Liberty Property LP: - continued

5.5% 12/15/16

$ 2,606

$ 1,797

6.625% 10/1/17

4,025

2,908

Mack-Cali Realty LP:

5.05% 4/15/10

1,421

1,336

7.25% 3/15/09

5,112

5,103

7.75% 2/15/11

1,710

1,607

Reckson Operating Partnership LP 5.15% 1/15/11

414

331

Simon Property Group LP:

4.6% 6/15/10

1,921

1,840

4.875% 8/15/10

1,182

1,132

5% 3/1/12

636

547

5.375% 6/1/11

1,088

1,014

5.6% 9/1/11

4,764

4,429

5.75% 5/1/12

2,220

1,931

7.75% 1/20/11

1,439

1,376

Tanger Properties LP 6.15% 11/15/15

43

32

UDR, Inc. 5.5% 4/1/14

7,495

5,941

Washington (REIT) 5.95% 6/15/11

6,375

5,554

 

134,540

Real Estate Management & Development - 0.3%

ERP Operating LP:

5.375% 8/1/16

1,729

1,399

5.5% 10/1/12

3,275

2,984

5.75% 6/15/17

4,950

4,023

Post Apartment Homes LP:

5.45% 6/1/12

2,375

1,995

6.3% 6/1/13

4,202

3,446

Regency Centers LP:

4.95% 4/15/14

1,071

783

5.25% 8/1/15

3,739

2,594

5.875% 6/15/17

1,851

1,285

 

18,509

Thrifts & Mortgage Finance - 0.7%

Bank of America Corp.:

4.9% 5/1/13

6,098

5,372

5.65% 5/1/18

10,200

8,637

Countrywide Financial Corp.:

1.6863% 3/24/09 (j)

4,045

4,035

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Countrywide Financial Corp.: - continued

4.5% 6/15/10

$ 840

$ 816

5.8% 6/7/12

5,112

4,685

Countrywide Home Loans, Inc.:

4.125% 9/15/09

6,744

6,682

6.25% 4/15/09

1,065

1,067

Independence Community Bank Corp.:

3.585% 6/20/13 (j)

2,133

1,536

3.75% 4/1/14 (j)

7,393

4,953

4.9% 9/23/10

2,973

2,780

World Savings Bank FSB 4.125% 12/15/09

910

905

 

41,468

TOTAL FINANCIALS

925,649

HEALTH CARE - 0.7%

Biotechnology - 0.1%

Amgen, Inc. 5.85% 6/1/17

5,181

5,289

Health Care Providers & Services - 0.1%

Coventry Health Care, Inc.:

5.95% 3/15/17

3,063

2,002

6.3% 8/15/14

6,342

4,617

 

6,619

Pharmaceuticals - 0.5%

AstraZeneca PLC:

5.9% 9/15/17

4,800

5,058

6.45% 9/15/37

3,700

3,908

Bristol-Myers Squibb Co. 5.45% 5/1/18

5,140

5,244

Novartis Capital Corp. 4.125% 2/10/14

5,137

5,185

Roche Holdings, Inc. 5% 3/1/14 (d)

10,417

10,535

Teva Pharmaceutical Finance LLC 5.55% 2/1/16

1,679

1,651

 

31,581

TOTAL HEALTH CARE

43,489

INDUSTRIALS - 1.8%

Aerospace & Defense - 0.2%

BAE Systems Holdings, Inc.:

4.75% 8/15/10 (d)

4,628

4,617

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Aerospace & Defense - continued

BAE Systems Holdings, Inc.: - continued

6.4% 12/15/11 (d)

$ 1,434

$ 1,484

Bombardier, Inc. 6.3% 5/1/14 (d)

12,815

8,586

 

14,687

Airlines - 1.0%

American Airlines, Inc. pass-thru trust certificates:

6.855% 10/15/10

131

129

6.978% 10/1/12

724

669

7.024% 4/15/11

4,960

4,811

7.324% 4/15/11

2,000

1,900

7.858% 4/1/13

9,523

8,237

Continental Airlines, Inc.:

6.648% 9/15/17

5,658

4,470

6.795% 2/2/20

180

131

6.82% 5/1/18

388

295

6.9% 7/2/19

1,523

1,226

7.056% 3/15/11

3,083

2,991

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

6.821% 8/10/22

662

480

7.57% 11/18/10

18,968

17,356

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

3,976

2,863

8.36% 7/20/20

2,708

2,085

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

Class 1A, 6.636% 1/2/24

992

710

6.071% 9/1/14

635

616

6.201% 3/1/10

405

383

6.602% 9/1/13

1,147

1,084

7.032% 4/1/12

2,048

1,961

7.186% 10/1/12

5,086

4,870

 

57,267

Building Products - 0.1%

Masco Corp. 2.3988% 3/12/10 (j)

3,819

3,426

Industrial Conglomerates - 0.5%

Covidien International Finance SA:

5.15% 10/15/10

4,431

4,537

5.45% 10/15/12

1,084

1,109

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Industrial Conglomerates - continued

Covidien International Finance SA: - continued

6% 10/15/17

$ 5,134

$ 5,170

General Electric Co. 5.25% 12/6/17

20,623

18,981

 

29,797

Machinery - 0.0%

Atlas Copco AB 5.6% 5/22/17 (d)

1,071

1,019

Road & Rail - 0.0%

CSX Corp. 6.25% 4/1/15

1,950

1,815

TOTAL INDUSTRIALS

108,011

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.1%

Cisco Systems, Inc.:

4.95% 2/15/19

6,157

5,950

5.9% 2/15/39

985

917

 

6,867

Electronic Equipment & Components - 0.2%

Tyco Electronics Group SA:

5.95% 1/15/14

5,171

4,474

6% 10/1/12

6,795

5,989

6.55% 10/1/17

4,136

3,118

 

13,581

Office Electronics - 0.1%

Xerox Corp. 5.5% 5/15/12

2,807

2,602

Semiconductors & Semiconductor Equipment - 0.1%

Chartered Semiconductor Manufacturing Ltd. 5.75% 8/3/10

3,502

2,914

National Semiconductor Corp.:

2.2463% 6/15/10 (j)

2,217

1,926

6.15% 6/15/12

2,600

2,039

 

6,879

TOTAL INFORMATION TECHNOLOGY

29,929

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

MATERIALS - 0.7%

Chemicals - 0.0%

E.I. du Pont de Nemours & Co. 5% 1/15/13

$ 827

$ 845

Lubrizol Corp. 8.875% 2/1/19

1,626

1,667

 

2,512

Construction Materials - 0.0%

CRH America, Inc. 6% 9/30/16

3,213

2,294

Containers & Packaging - 0.1%

Pactiv Corp.:

5.875% 7/15/12

3,003

2,792

6.4% 1/15/18

3,065

2,499

Sealed Air Corp. 6.95% 5/15/09 (d)

1,138

1,143

 

6,434

Metals & Mining - 0.5%

BHP Billiton Financial USA Ltd. 5.125% 3/29/12

3,463

3,541

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

3,509

3,613

Rio Tinto Finance Ltd.:

5.875% 7/15/13

5,721

5,200

6.5% 7/15/18

9,565

8,451

United States Steel Corp. 5.65% 6/1/13

2,600

2,127

Vale Overseas Ltd. 6.25% 1/23/17

4,070

3,917

 

26,849

Paper & Forest Products - 0.1%

International Paper Co.:

5.85% 10/30/12

260

232

7.4% 6/15/14

4,538

3,650

 

3,882

TOTAL MATERIALS

41,971

TELECOMMUNICATION SERVICES - 2.4%

Diversified Telecommunication Services - 1.9%

AT&T Broadband Corp. 8.375% 3/15/13

4,531

4,833

AT&T, Inc.:

5.8% 2/15/19

15,405

14,960

6.7% 11/15/13

2,057

2,176

British Telecommunications PLC 8.625% 12/15/10

4,763

4,963

Deutsche Telekom International Financial BV:

5.25% 7/22/13

4,291

4,305

6.75% 8/20/18

6,362

6,508

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

SBC Communications, Inc.:

5.1% 9/15/14

$ 3,802

$ 3,770

5.875% 2/1/12

4,791

4,951

5.875% 8/15/12

1,714

1,778

Sprint Capital Corp. 7.625% 1/30/11

2,945

2,555

Telecom Italia Capital SA:

4% 1/15/10

8,571

8,422

4.95% 9/30/14

5,623

4,844

5.25% 10/1/15

4,585

3,868

6.999% 6/4/18

10,646

9,607

Telefonica Emisiones SAU:

1.555% 2/4/13 (j)

4,213

3,620

6.421% 6/20/16

2,036

2,069

Telefonos de Mexico SA de CV 4.75% 1/27/10

10,872

10,981

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

5,000

4,950

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

4,805

5,074

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

1,562

1,606

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

4,651

4,752

 

110,592

Wireless Telecommunication Services - 0.5%

America Movil SAB de CV:

4.125% 3/1/09

2,130

2,130

5.625% 11/15/17

3,170

2,947

Sprint Nextel Corp. 6% 12/1/16

1,839

1,195

Verizon Wireless Capital LLC:

5.55% 2/1/14 (d)

4,161

4,137

8.5% 11/15/18 (d)

6,169

6,944

Vodafone Group PLC:

5% 12/16/13

4,025

4,036

5.5% 6/15/11

4,839

4,907

7.75% 2/15/10

3,239

3,366

 

29,662

TOTAL TELECOMMUNICATION SERVICES

140,254

UTILITIES - 4.0%

Electric Utilities - 2.3%

AmerenUE 6.4% 6/15/17

5,236

5,107

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Cleveland Electric Illuminating Co.:

5.65% 12/15/13

$ 7,209

$ 6,864

8.875% 11/15/18

2,073

2,290

Commonwealth Edison Co.:

5.4% 12/15/11

7,663

7,793

5.8% 3/15/18

8,295

7,879

Duke Energy Carolinas LLC:

5.25% 1/15/18

4,230

4,268

7% 11/15/18

1,097

1,253

EDP Finance BV:

5.375% 11/2/12 (d)

3,494

3,436

6% 2/2/18 (d)

13,435

12,476

Enel Finance International SA:

5.7% 1/15/13 (d)

1,462

1,448

6.25% 9/15/17 (d)

3,626

3,189

Exelon Corp.:

4.9% 6/15/15

5,609

4,814

6.75% 5/1/11

1,165

1,165

FirstEnergy Corp. 6.45% 11/15/11

3,458

3,454

FPL Group Capital, Inc. 7.875% 12/15/15

2,711

3,064

Illinois Power Co. 6.125% 11/15/17

723

680

Jersey Central Power & Light Co. 7.35% 2/1/19

3,090

3,102

Nevada Power Co.:

6.5% 5/15/18

20,260

19,129

6.5% 8/1/18

2,752

2,596

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

4,787

4,785

Oncor Electric Delivery Co. LLC 5.95% 9/1/13 (d)

6,340

6,221

PacifiCorp 6% 1/15/39

2,111

2,086

Pennsylvania Electric Co. 6.05% 9/1/17

1,340

1,228

Pepco Holdings, Inc.:

4% 5/15/10

3,910

3,821

6.125% 6/1/17

1,051

931

6.45% 8/15/12

6,538

6,383

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

10,448

6,269

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

5,933

6,094

Sierra Pacific Power Co. 5.45% 9/1/13

2,734

2,646

West Penn Power Co. 5.95% 12/15/17 (d)

550

486

Wisconsin Electric Power Co. 6.25% 12/1/15

5,279

5,608

 

140,565

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Gas Utilities - 0.1%

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

$ 774

$ 660

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

5,434

5,620

 

6,280

Independent Power Producers & Energy Traders - 0.7%

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

11,296

10,997

Duke Capital LLC 5.668% 8/15/14

3,603

3,326

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

2,678

2,474

PPL Energy Supply LLC:

6.3% 7/15/13

13,000

12,908

6.5% 5/1/18

5,485

4,751

TXU Corp. 5.55% 11/15/14

8,680

4,340

 

38,796

Multi-Utilities - 0.9%

CenterPoint Energy, Inc. 5.95% 2/1/17

3,134

2,556

CMS Energy Corp. 6.55% 7/17/17

9,075

8,008

Dominion Resources, Inc.:

4.75% 12/15/10

6,891

6,933

6.3% 9/30/66 (j)

6,996

4,128

7.5% 6/30/66 (j)

8,922

5,799

DTE Energy Co. 7.05% 6/1/11

1,724

1,740

KeySpan Corp. 7.625% 11/15/10

866

903

MidAmerican Energy Holdings, Co. 5.875% 10/1/12

5,119

5,275

National Grid PLC 6.3% 8/1/16

2,589

2,472

NiSource Finance Corp.:

5.25% 9/15/17

1,478

1,089

5.4% 7/15/14

2,361

1,854

5.45% 9/15/20

497

340

6.4% 3/15/18

2,712

2,129

7.875% 11/15/10

1,791

1,754

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

10,818

6,599

WPS Resources Corp. 6.11% 12/1/66 (j)

1,547

820

 

52,399

TOTAL UTILITIES

238,040

TOTAL NONCONVERTIBLE BONDS

(Cost $2,132,993)

2,044,751

U.S. Government and Government Agency Obligations - 20.6%

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 6.8%

Fannie Mae:

2.75% 2/5/14

$ 23,000

$ 22,992

5% 2/16/12 (c)

67,735

73,641

Federal Home Loan Bank 3.625% 5/29/13

6,090

6,350

Freddie Mac:

2.125% 3/23/12 (c)

80,000

79,935

5% 1/30/14 (f)

23,200

25,505

5.25% 7/18/11 (c)

167,319

181,336

5.75% 1/15/12

16,545

18,291

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

1,630

1,639

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

409,689

U.S. Treasury Inflation Protected Obligations - 8.1%

U.S. Treasury Inflation-Indexed Notes:

2% 1/15/14 (f)

283,634

282,396

2% 7/15/14

167,355

166,685

2.625% 7/15/17

31,948

32,643

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

481,724

U.S. Treasury Obligations - 5.7%

U.S. Treasury Notes:

1.875% 2/28/14

8,247

8,190

2.875% 6/30/10 (f)

62,735

64,433

3.375% 6/30/13

195,030

208,149

3.75% 11/15/18

33,091

35,064

4.125% 8/31/12

24,697

26,817

TOTAL U.S. TREASURY OBLIGATIONS

342,653

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,199,911)

1,234,066

U.S. Government Agency - Mortgage Securities - 12.1%

 

Fannie Mae - 7.5%

3.782% 6/1/34 (j)

2,935

2,943

3.915% 7/1/35 (j)

2,238

2,247

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

4% 7/1/18

$ 9,386

$ 9,495

4.287% 3/1/33 (j)

288

293

4.303% 3/1/33 (j)

304

309

4.318% 7/1/35 (j)

1,955

1,975

4.331% 2/1/35 (j)

2,175

2,190

4.34% 1/1/35 (j)

714

725

4.386% 2/1/35 (j)

1,165

1,185

4.389% 12/1/33 (j)

23,775

24,068

4.411% 4/1/33 (j)

1,143

1,144

4.423% 5/1/35 (j)

418

424

4.432% 3/1/35 (j)

1,047

1,064

4.435% 6/1/35 (j)

2,458

2,493

4.456% 7/1/35 (j)

1,734

1,726

4.481% 3/1/35 (j)

2,203

2,231

4.5% 4/1/20

3,035

3,120

4.54% 5/1/35 (j)

1,478

1,498

4.543% 11/1/34 (j)

1,825

1,841

4.547% 3/1/35 (j)

3,429

3,446

4.548% 10/1/33 (j)

465

470

4.55% 10/1/35 (j)

16,038

16,247

4.583% 8/1/34 (j)

1,611

1,634

4.6% 10/1/33 (j)

524

526

4.603% 7/1/35 (j)

248

250

4.616% 9/1/35 (j)

11,663

11,890

4.623% 2/1/33 (j)

523

526

4.649% 10/1/35 (j)

1,330

1,342

4.651% 10/1/33 (j)

206

207

4.667% 7/1/35 (j)

1,031

1,051

4.686% 10/1/34 (j)

2,189

2,207

4.69% 12/1/34 (j)

1,395

1,412

4.742% 12/1/34 (j)

564

570

4.747% 4/1/35 (j)

228

231

4.765% 8/1/33 (j)

585

591

4.765% 2/1/34 (j)

171

174

4.784% 7/1/34 (j)

13,086

13,270

4.792% 1/1/35 (j)

416

422

4.798% 4/1/36 (j)

6,244

6,267

4.806% 11/1/34 (j)

1,684

1,705

4.81% 2/1/36 (j)

738

749

4.855% 10/1/34 (j)

7,455

7,547

4.891% 10/1/35 (j)

208

212

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

4.946% 7/1/34 (j)

$ 253

$ 255

4.987% 7/1/35 (j)

15,960

16,236

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

40,172

41,607

5.046% 3/1/35 (j)

100

101

5.06% 9/1/34 (j)

4,469

4,519

5.087% 10/1/33 (j)

10,051

10,218

5.089% 9/1/34 (j)

575

581

5.141% 5/1/35 (j)

413

421

5.16% 10/1/18 (j)

259

262

5.185% 3/1/35 (j)

304

310

5.192% 5/1/35 (j)

7,399

7,567

5.193% 6/1/35 (j)

2,293

2,313

5.198% 3/1/35 (j)

374

376

5.264% 11/1/36 (j)

2,347

2,405

5.31% 12/1/34 (j)

760

769

5.408% 1/1/36 (j)

3,067

3,110

5.456% 2/1/36 (j)

11,387

11,768

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

69,015

71,938

5.51% 11/1/36 (j)

3,928

4,003

5.551% 9/1/36 (j)

4,011

4,107

5.564% 1/1/36 (j)

3,441

3,557

5.593% 7/1/37 (j)

1,840

1,899

5.607% 1/1/34 (j)

1,196

1,214

5.648% 9/1/35 (j)

2,911

3,034

5.78% 2/1/36 (j)

1,871

1,939

5.798% 1/1/36 (j)

2,306

2,399

5.821% 7/1/46 (j)

21,263

22,095

5.822% 3/1/36 (j)

7,305

7,577

5.995% 3/1/33 (j)

206

209

6.013% 4/1/36 (j)

1,425

1,481

6.192% 2/1/35 (j)

356

362

6.243% 6/1/36 (j)

684

695

6.328% 4/1/36 (j)

1,406

1,463

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

78,368

82,710

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

77

82

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

917

974

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

18

20

TOTAL FANNIE MAE

448,493

Freddie Mac - 1.8%

3.456% 2/1/34 (j)

565

565

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

3.883% 1/1/35 (j)

$ 373

$ 376

4.275% 6/1/35 (j)

914

927

4.315% 12/1/34 (j)

792

804

4.322% 3/1/35 (j)

1,312

1,333

4.361% 2/1/35 (j)

1,772

1,796

4.407% 3/1/35 (j)

977

991

4.471% 3/1/35 (j)

857

870

4.522% 2/1/35 (j)

1,624

1,651

4.767% 10/1/34 (j)

2,220

2,252

4.814% 9/1/34 (j)

1,071

1,091

4.905% 3/1/36 (j)

1,402

1,418

5% 3/1/19

37,063

38,396

5% 3/12/39 (e)

5,000

5,079

5% 3/12/39 (e)

6,000

6,095

5.142% 4/1/35 (j)

4,231

4,326

5.288% 3/1/35 (j)

589

592

5.294% 1/1/34 (j)

4,841

4,923

5.389% 11/1/35 (j)

1,996

2,056

5.521% 1/1/36 (j)

4,812

4,957

5.526% 2/1/35 (j)

1,057

1,063

5.694% 10/1/35 (j)

1,228

1,280

5.86% 6/1/36 (j)

1,608

1,667

5.977% 6/1/36 (j)

1,462

1,517

6.095% 3/1/33 (j)

132

134

6.101% 6/1/36 (j)

1,568

1,631

6.594% 1/1/37 (j)

9,237

9,638

6.702% 8/1/36 (j)

1,343

1,399

6.837% 10/1/36 (j)

11,684

12,191

7% 5/1/09 to 7/1/13

252

256

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

739

773

8.5% 6/1/13

2

2

TOTAL FREDDIE MAC

112,049

Government National Mortgage Association - 2.8%

3.75% 1/20/34 (j)

3,583

3,562

4.25% 7/20/34 (j)

913

916

5.5% 3/18/39 (e)

31,000

31,840

5.5% 3/18/39 (e)

31,000

31,840

5.5% 3/18/39 (e)

36,000

36,975

5.5% 3/18/39 (e)

47,000

48,273

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

9,944

10,569

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Government National Mortgage Association - continued

7.5% 3/15/28

$ 9

$ 10

8% 7/15/17 to 5/15/22

2,643

2,792

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

166,777

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $714,133)

727,319

Asset-Backed Securities - 2.0%

 

Accredited Mortgage Loan Trust:

Series 2004-4 Class A2D, 0.8238% 1/25/35 (j)

72

26

Series 2005-1 Class M1, 0.9438% 4/25/35 (j)

1,333

786

ACE Securities Corp. Series 2006-NC2:

Class M7, 1.2238% 7/25/36 (j)

597

5

Class M8, 1.3238% 7/25/36 (j)

296

2

Class M9, 2.1738% 7/25/36 (j)

195

1

ACE Securities Corp. Home Equity Loan Trust:

Series 2003-HS1:

Class M1, 1.5988% 6/25/33 (j)

0*

0*

Class M2, 3.0988% 6/25/33 (j)

89

62

Series 2004-HE1 Class M1, 0.9738% 2/25/34 (j)

212

188

Series 2004-OP1 Class M1, 0.9938% 4/25/34 (j)

445

194

Series 2005-HE2 Class M2, 0.9238% 4/25/35 (j)

188

154

Series 2005-SD1 Class A1, 0.8738% 11/25/50 (j)

25

22

Series 2006-HE2:

Class M3, 0.8138% 5/25/36 (j)

259

8

Class M4, 0.8738% 5/25/36 (j)

219

5

Class M5, 0.9138% 5/25/36 (j)

318

5

Series 2006-OP1:

Class M4, 0.8438% 4/25/36 (j)

122

5

Class M5, 0.8638% 4/25/36 (j)

116

4

Advanta Business Card Master Trust:

Series 2006-A7 Class A7, 0.49% 10/20/12 (j)

4,070

3,256

Series 2006-C1 Class C1, 0.95% 10/20/14 (j)

851

60

Series 2007-A4 Class A4, 0.5% 4/22/13 (j)

8,819

6,526

Series 2007-B1 Class B, 0.72% 12/22/14 (j)

1,801

270

Series 2007-D1 Class D, 1.87% 1/22/13 (d)(j)

7,290

510

ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (d)(j)

699

690

American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (d)(j)

177

161

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10

$ 404

$ 401

Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class M7, 1.3238% 10/25/36 (j)

128

0*

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.1738% 12/25/33 (j)

116

73

Series 2004-R10 Class M1, 1.1738% 11/25/34 (j)

485

216

Series 2004-R11 Class M1, 1.1338% 11/25/34 (j)

417

205

Series 2004-R2:

Class M1, 0.9038% 4/25/34 (j)

184

140

Class M3, 1.0238% 4/25/34 (j)

120

46

Series 2005-R1 Class M1, 0.9238% 3/25/35 (j)

674

393

Series 2005-R10 Class A2B, 0.6938% 12/25/35 (j)

611

419

Series 2005-R2 Class M1, 0.9238% 4/25/35 (j)

1,476

850

Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (j)

129

65

Argent Securities, Inc.:

Series 2006-M1 Class M7, 1.4738% 7/25/36 (j)

541

1

Series 2006-M2 Class M7, 1.3738% 9/25/36 (j)

495

0*

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.7794% 3/1/34 (j)

34

7

Series 2004-W11 Class M2, 1.1738% 11/25/34 (j)

401

149

Series 2004-W5 Class M1, 1.0738% 4/25/34 (j)

486

286

Series 2004-W7:

Class M1, 1.0238% 5/25/34 (j)

425

134

Class M2, 1.0738% 5/25/34 (j)

371

201

Series 2006-W4 Class A2C, 0.6338% 5/25/36 (j)

1,110

391

Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.2538% 10/25/36 (j)

932

12

Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.8938% 12/25/34 (j)

1,025

497

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE3 Class M1, 1.7063% 6/15/33 (j)

174

78

Series 2003-HE6 Class M1, 1.1238% 11/25/33 (j)

384

200

Series 2004-HE2 Class M1, 1.0238% 4/25/34 (j)

1,908

827

Series 2004-HE3:

Class M1, 1.0138% 6/25/34 (j)

169

67

Class M2, 1.5938% 6/25/34 (j)

297

186

Series 2004-HE6 Class A2, 0.8338% 6/25/34 (j)

298

115

Series 2006-HE6:

Class M7, 1.2738% 11/25/36 (j)

295

4

Class M9, 2.6238% 11/25/36 (j)

787

4

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (b)(d)(j)

$ 2,434

$ 0*

Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (j)

2,455

2,207

Bayview Financial Acquisition Trust Series 2004-C Class A1, 1.0388% 5/28/44 (j)

235

144

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (j)

460

286

Bear Stearns Asset Backed Securities I Trust:

Series 2005-3 Class A1, 0.9238% 9/25/35 (j)

78

57

Series 2005-FR1 Class M1, 0.9738% 6/25/35 (j)

692

315

Series 2005-HE2:

Class M1, 0.9738% 2/25/35 (j)

1,091

362

Class M2, 1.2238% 2/25/35 (j)

3,010

1,397

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (j)

1,643

1,469

C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (j)

353

304

Capital Auto Receivables Asset Trust:

Series 2005-1 Class B, 0.83% 6/15/10 (j)

451

444

Series 2007-SN1:

Class B, 5.52% 3/15/11

220

143

Class C, 5.73% 3/15/11

125

88

Capital One Auto Finance Trust Series 2006-C Class A3B, 0.465% 7/15/11 (j)

273

254

Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.745% 4/15/13 (d)(j)

2,079

1,497

Capital Trust Ltd. Series 2004-1:

Class A2, 0.92% 7/20/39 (d)(j)

327

82

Class B, 1.22% 7/20/39 (d)(j)

189

26

Class C, 1.57% 7/20/39 (d)(j)

243

22

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (j)

816

39

Series 2006-NC2 Class M7, 1.3238% 6/25/36 (j)

304

6

Series 2006-NC3 Class M10, 2.4738% 8/25/36 (d)(j)

1,080

13

Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (j)

133

4

Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (j)

1,289

312

Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (d)(j)

195

141

Chase Issuance Trust Series 2004-3 Class C, 0.9313% 6/15/12 (j)

379

342

CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14

244

122

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Citigroup Mortgage Loan Trust:

Series 2003-HE4 Class A, 0.8838% 12/25/33 (d)(j)

$ 273

$ 185

Series 2006-AMC1 Class M7, 0.82% 9/25/36 (j)

541

6

Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (j)

547

21

CNH Wholesale Master Note Trust Series 2006-1A:

Class A, 0.515% 7/15/12 (d)(j)

936

921

Class B, 0.735% 7/15/12 (d)(j)

936

882

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

236

0*

Countrywide Home Loans, Inc.:

Series 2002-6 Class AV1, 1.3338% 5/25/33 (j)

37

20

Series 2004-3:

Class 3A4, 0.7238% 8/25/34 (j)

137

73

Class M1, 0.9738% 6/25/34 (j)

473

311

Class M4, 1.4438% 4/25/34 (j)

114

54

Series 2004-4:

Class A, 0.8438% 8/25/34 (j)

30

14

Class M2, 1.0038% 6/25/34 (j)

420

278

Series 2005-1:

Class M1, 0.8938% 8/25/35 (j)

367

264

Class MV2, 0.9138% 7/25/35 (j)

1,011

705

Series 2005-3 Class MV1, 0.8938% 8/25/35 (j)

1,773

1,545

Series 2005-AB1 Class A2, 0.6838% 8/25/35 (j)

339

280

CPS Auto Receivables Trust Series 2004-D Class A2, 3.86% 12/15/11 (d)

109

99

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

3,665

2,380

Discover Card Master Trust I:

Series 2006-1 Class B1, 0.605% 8/16/11 (j)

1,521

1,509

Series 2006-2 Class B1, 0.575% 1/17/12 (j)

2,079

1,864

Series 2007-1 Class B, 0.555% 8/15/12 (j)

2,079

1,625

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8983% 5/28/35 (j)

28

15

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.6488% 8/25/34 (j)

208

52

Series 2006-3 Class 2A3, 0.6338% 11/25/36 (j)

3,219

907

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.2988% 3/25/34 (j)

16

9

Series 2006-FF12 Class A2, 0.5138% 9/25/36 (j)

349

320

First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (d)

126

124

Ford Credit Auto Owner Trust:

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

4,280

2,140

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ford Credit Auto Owner Trust: - continued

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

$ 2,945

$ 1,465

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

1,610

805

Ford Credit Floorplan Master Owner Trust:

Series 2006-3 Class B, 0.905% 6/15/11 (j)

1,448

1,013

Series 2006-4 Class B, 1.005% 6/15/13 (j)

553

279

Fremont Home Loan Trust:

Series 2004-1:

Class M1, 1.1488% 2/25/34 (j)

52

15

Class M2, 1.2238% 2/25/34 (j)

88

56

Series 2004-A Class M1, 1.2988% 1/25/34 (j)

859

459

Series 2005-A:

Class M1, 0.9038% 1/25/35 (j)

75

69

Class M2, 0.9338% 1/25/35 (j)

1,255

459

Class M3, 0.9638% 1/25/35 (j)

678

290

Class M4, 1.1538% 1/25/35 (j)

260

127

Series 2006-A:

Class M4, 0.8738% 5/25/36 (j)

647

9

Class M5, 0.9738% 5/25/36 (j)

346

4

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (d)(j)

1,684

1,135

GE Business Loan Trust Series 2003-1 Class A, 0.8913% 4/15/31 (d)(j)

257

159

GE Capital Credit Card Master Note Trust:

Series 2006-1:

Class B, 0.5713% 9/17/12 (j)

636

445

Class C, 0.7013% 9/17/12 (j)

495

322

Series 2007-1 Class C, 0.7313% 3/15/13 (j)

3,394

2,240

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

2,412

965

GSAMP Trust:

Series 2002-HE Class M1, 2.345% 11/20/32 (j)

445

217

Series 2003-FM1 Class M1, 1.7% 3/20/33 (j)

857

519

Series 2004-AR1:

Class B4, 5% 6/25/34 (d)(j)

744

63

Class M1, 1.1238% 6/25/34 (j)

1,568

596

Series 2004-FM1 Class M1, 1.4488% 11/25/33 (j)

291

156

Series 2004-FM2 Class M1, 1.2238% 1/25/34 (j)

750

432

Series 2004-HE1 Class M1, 1.0238% 5/25/34 (j)

411

133

Series 2007-HE1 Class M1, 0.7238% 3/25/47 (j)

651

31

GSR Mortgage Loan Trust:

Series 2004-OPT Class A1, 0.8138% 11/25/34 (j)

11

5

Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (j)

254

234

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

GSR Mortgage Loan Trust: - continued

Series 2006-FM1 Class M3, 0.8238% 4/25/36 (j)

$ 308

$ 4

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.5538% 5/25/30 (d)(j)

472

212

Series 2006-3:

Class B, 0.8738% 9/25/46 (d)(j)

468

75

Class C, 1.0238% 9/25/46 (d)(j)

1,092

131

Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (d)(j)

2,519

1,285

Home Equity Asset Trust:

Series 2002-3 Class A5, 1.3538% 2/25/33 (j)

0*

0*

Series 2003-3 Class M1, 1.7638% 8/25/33 (j)

715

326

Series 2003-4 Class M1, 1.6738% 10/25/33 (j)

212

94

Series 2003-5:

Class A2, 1.1738% 12/25/33 (j)

24

7

Class M1, 1.5238% 12/25/33 (j)

245

147

Series 2003-7 Class A2, 1.2338% 3/25/34 (j)

1

0*

Series 2003-8 Class M1, 1.5538% 4/25/34 (j)

372

173

Series 2004-3 Class M2, 2.1738% 8/25/34 (j)

243

148

Series 2004-7 Class A3, 0.8638% 1/25/35 (j)

0*

0*

Series 2005-1 Class M1, 0.9038% 5/25/35 (j)

933

833

Series 2005-3 Class M1, 0.8838% 8/25/35 (j)

638

570

Series 2005-5 Class 2A2, 0.7238% 11/25/35 (j)

285

252

Series 2006-1 Class 2A3, 0.6988% 4/25/36 (j)

2,610

1,802

Series 2006-7 Class M4, 0.8538% 1/25/37 (j)

820

4

Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (j)

202

123

HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (j)

1,609

1,429

HSBC Home Equity Loan Trust:

Series 2005-2:

Class M1, 0.8194% 1/20/35 (j)

552

292

Class M2, 0.8494% 1/20/35 (j)

414

203

Series 2005-3 Class A1, 0.6194% 1/20/35 (j)

291

155

Series 2006-2:

Class M1, 0.74% 3/20/36 (j)

455

238

Class M2, 0.76% 3/20/36 (j)

753

370

Series 2006-3 Class A1V, 0.55% 3/20/36 (j)

497

474

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (j)

885

266

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.6038% 11/25/36 (j)

889

378

Class MV1, 0.7038% 11/25/36 (j)

722

73

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Keycorp Student Loan Trust:

Series 1999-A Class A2, 4.0988% 12/27/09 (j)

$ 793

$ 616

Series 2006-A Class 2A1, 1.4963% 9/27/21 (j)

538

524

Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (d)(j)

192

2

Long Beach Mortgage Loan Trust:

Series 2003-2 Class M1, 1.7038% 6/25/33 (j)

1,518

683

Series 2004-2:

Class M1, 1.0038% 6/25/34 (j)

444

235

Class M2, 1.5538% 6/25/34 (j)

316

241

Series 2006-9 Class M4, 0.8438% 11/25/36 (j)

260

0*

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.7338% 10/25/36 (j)

321

12

Series 2006-NC2 Class M7, 1.2238% 9/25/36 (j)

151

0*

Series 2007-HE1 Class M1, 0.7738% 5/25/37 (j)

561

24

Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (d)(j)

8,830

8,082

Merrill Lynch Mortgage Investors Trust:

Series 2003-HE1 Class M1, 1.1738% 7/25/34 (j)

426

274

Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (j)

117

81

Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (j)

1,860

1,319

Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (j)

1,214

559

Morgan Stanley ABS Capital I Trust:

Series 2002-HE3 Class M1, 2.1238% 12/27/32 (j)

31

18

Series 2003-NC7 Class M1, 1.5238% 6/25/33 (j)

377

213

Series 2003-NC8 Class M1, 1.5238% 9/25/33 (j)

291

168

Series 2004-HE6 Class A2, 0.8138% 8/25/34 (j)

41

7

Series 2004-NC2 Class M1, 1.2988% 12/25/33 (j)

737

354

Series 2005-HE1 Class M2, 0.9438% 12/25/34 (j)

349

168

Series 2005-HE2 Class M1, 0.8738% 1/25/35 (j)

316

108

Series 2005-NC1 Class M1, 0.9138% 1/25/35 (j)

286

97

Series 2005-NC2 Class B1, 1.6438% 3/25/35 (j)

365

176

Series 2006-HE3 Class B1, 1.3738% 4/25/36 (j)

162

0*

Series 2006-NC4:

Class M4, 0.8238% 6/25/36 (j)

243

3

Class M6, 0.9238% 6/25/36 (j)

122

1

Series 2007-HE2 Class A2A, 0.5138% 1/25/37 (j)

81

65

Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (j)

79

53

Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (j)

43

34

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 1.9738% 1/25/32 (j)

19

5

Series 2002-AM3 Class A3, 1.4538% 2/25/33 (j)

73

60

Series 2002-HE2 Class M1, 1.9738% 8/25/32 (j)

465

262

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Dean Witter Capital I Trust: - continued

Series 2002-NC1 Class M1, 1.6738% 2/25/32 (d)(j)

$ 397

$ 228

Series 2002-NC3:

Class A3, 1.1538% 8/25/32 (j)

25

4

Class M1, 1.5538% 8/25/32 (j)

45

21

Series 2003-NC1 Class M1, 2.0488% 11/25/32 (j)

292

143

Morgan Stanley Home Equity Loans Trust:

Series 2006-3 Class M5, 0.8838% 4/25/36 (j)

243

3

Series 2007-2 Class A1, 0.5738% 4/25/37 (j)

58

44

National Collegiate Student Loan Trust:

Series 2006-3 Class A1, 0.5038% 9/25/19 (j)

899

844

Series 2006-4 Class A1, 0.5038% 3/25/25 (j)

732

653

New Century Home Equity Loan Trust:

Series 2003-6 Class M1, 1.5538% 1/25/34 (j)

836

467

Series 2005-4 Class M2, 0.9838% 9/25/35 (j)

1,020

152

Series 2005-D Class M2, 0.9438% 2/25/36 (j)

213

14

Nomura Home Equity Loan Trust:

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

189

165

Series 2006-FM2 Class M7, 1.2738% 7/25/36 (j)

695

4

Series 2006-HE2 Class A2, 0.5938% 3/25/36 (j)

595

539

Ocala Funding LLC:

Series 2005-1A Class A, 1.97% 3/20/10 (d)(j)

405

142

Series 2006-1A Class A, 1.87% 3/20/11 (d)(j)

841

336

Option One Mortgage Loan Trust Series 2004-3 Class M3, 1.1238% 11/25/34 (j)

246

155

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M2, 1.1538% 9/25/34 (j)

199

114

Class M3, 1.7238% 9/25/34 (j)

381

85

Class M4, 1.9238% 9/25/34 (j)

489

52

Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (j)

286

48

Series 2004-WHQ2 Class M1, 1.0638% 2/25/35 (j)

832

608

Series 2004-WWF1:

Class M2, 1.1538% 2/25/35 (j)

1,150

675

Class M3, 1.2138% 2/25/35 (j)

143

57

Series 2005-WCH1:

Class M2, 0.9938% 1/25/35 (j)

552

315

Class M3, 1.0338% 1/25/35 (j)

342

135

Class M4, 1.3038% 1/25/35 (j)

1,055

163

Series 2005-WHQ2:

Class M7, 1.7238% 5/25/35 (j)

1,251

49

Class M9, 2.3538% 5/25/35 (j)

423

12

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:

Class M4, 0.8338% 9/25/36 (j)

$ 1,219

$ 8

Class M5, 0.8638% 9/25/36 (j)

608

3

Providian Master Note Trust Series 2006-C1A Class C1, 1.005% 3/16/15 (d)(j)

2,598

1,117

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (j)

4

1

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (j)

1,351

643

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (d)(j)

768

576

SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.9463% 6/15/33 (j)

910

409

Sovereign Dealer Floor Plan Master LLC Series 2006-1:

Class B, 0.635% 8/15/11 (d)(j)

1,237

1,051

Class C, 0.835% 8/15/11 (d)(j)

564

423

Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (j)

168

109

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (j)

65

26

Structured Asset Securities Corp.:

Series 2004-GEL1 Class A, 0.8338% 2/25/34 (j)

98

43

Series 2006-BC3 Class M7, 1.2738% 10/25/36 (j)

2

0*

Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (d)(j)

936

272

Superior Wholesale Inventory Financing Trust:

Series 2004-A10:

Class A, 0.5613% 9/15/11 (j)

3,761

3,027

Class B, 0.7413% 9/15/11 (j)

2,812

1,125

Series 2007-AE1:

Class A, 0.555% 1/15/12 (j)

700

490

Class B, 0.755% 1/15/12 (j)

609

243

Class C, 1.055% 1/15/12 (j)

756

227

Swift Master Auto Receivables Trust Series 2007-1 Class A, 0.555% 6/15/12 (j)

2,055

1,480

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 0.9038% 9/25/34 (j)

266

55

Series 2003-6HE Class A1, 0.9438% 11/25/33 (j)

26

9

Turquoise Card Backed Securities PLC:

Series 2006-1A Class C, 0.785% 5/16/11 (d)(j)

2,024

1,924

Series 2006-2:

Class B, 0.605% 10/17/11 (j)

2,449

2,143

Class C, 0.805% 10/17/11 (j)

2,301

1,860

Series 2007-1 Class C, 0.8313% 6/15/12 (j)

2,624

1,688

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 4,820

$ 1,398

WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (d)

635

0*

WaMu Asset-Backed Certificates Series 2006-HE3:

Class M4, 0.8538% 10/25/36 (j)

431

8

Class M7, 1.2738% 10/25/36 (j)

312

3

WaMu Master Note Trust:

Series 2006-A3A Class A3, 0.485% 9/16/13 (d)(j)

3,928

3,741

Series 2006-C2A Class C2, 0.955% 8/15/15 (d)(j)

5,006

2,175

Series 2006-C3A Class C3A, 0.835% 10/15/13 (d)(j)

3,504

2,827

Series 2007-A4A Class A4, 5.2% 10/15/14 (d)

2,910

2,604

Series 2007-C1 Class C1, 0.855% 5/15/14 (d)(j)

3,049

1,794

Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (d)(m)

5

0*

WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12

13

13

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (d)(j)

1,280

154

TOTAL ASSET-BACKED SECURITIES

(Cost $148,335)

122,692

Collateralized Mortgage Obligations - 3.4%

 

Private Sponsor - 1.1%

Arkle Master Issuer PLC floater:

Series 2006-1A Class 3C, 1.6275% 2/17/52 (d)(j)

479

359

Series 2006-2A:

Class 2B, 1.3575% 2/17/52 (d)(j)

1,685

1,573

Class 2M, 1.4375% 2/17/52 (d)(j)

1,146

1,029

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (d)(j)

1,075

456

Banc of America Mortgage Securities, Inc.:

Series 2003-K Class 1A1, 5.2035% 12/25/33 (j)

48

39

Series 2004-B Class 1A1, 6.433% 3/25/34 (j)

54

41

Series 2004-C Class 1A1, 5.971% 4/25/34 (j)

95

75

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 0.7538% 1/25/35 (j)

2,200

1,087

Series 2005-2 Class 1A1, 0.7238% 3/25/35 (j)

408

226

Series 2005-5 Class 1A1, 0.6938% 7/25/35 (j)

519

263

Chase Mortgage Finance Trust Series 2007-A1 Class 1A5, 4.9685% 2/25/37 (j)

1,465

1,099

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (j)

$ 74

$ 70

Countrywide Home Loans, Inc. Series 2003-46 Class 4A1, 4.698% 1/19/34 (j)

15,405

11,962

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:

Series 2004-1 Class 9A2, 0.8738% 1/25/34 (j)

41

21

Series 2004-2 Class 7A3, 0.8738% 2/25/35 (j)

90

42

Series 2004-4 Class 5A2, 0.8738% 3/25/35 (j)

20

8

Series 2005-1 Class 5A2, 0.8038% 5/25/35 (j)

332

158

Series 2005-10:

Class 5A1, 0.7338% 1/25/36 (j)

526

251

Class 5A2, 0.7938% 1/25/36 (j)

237

95

Series 2005-2:

Class 6A2, 0.7538% 6/25/35 (j)

83

37

Class 6M2, 0.9538% 6/25/35 (j)

1,055

258

Series 2005-3 Class 8A2, 0.7138% 7/25/35 (j)

392

199

Series 2005-4 Class 7A2, 0.7038% 8/25/35 (j)

124

61

Series 2005-8 Class 7A2, 0.7538% 11/25/35 (j)

309

175

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (j)

11

7

Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (j)

23

12

Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (j)

113

57

Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (j)

34

16

Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (j)

21

13

Series 2007-AR7 Class 2A1, 4.6052% 11/25/34 (j)

2,730

1,922

Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (j)

2,456

1,276

DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (j)

508

413

First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (j)

41

26

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 1.3025% 10/18/54 (d)(j)

2,044

1,568

Class C2, 1.6125% 10/18/54 (d)(j)

685

343

Class M2, 1.3925% 10/18/54 (d)(j)

1,175

759

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (d)(j)

1,753

820

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (d)(j)

2,227

964

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 1.07% 12/20/54 (d)(j)

$ 4,298

$ 301

Series 2006-2 Class C1, 0.94% 12/20/54 (j)

3,828

383

Series 2006-3 Class C2, 0.97% 12/20/54 (j)

804

50

Series 2006-4:

Class B1, 0.56% 12/20/54 (j)

2,150

430

Class C1, 0.85% 12/20/54 (j)

1,315

92

Class M1, 0.64% 12/20/54 (j)

566

85

Series 2007-1:

Class 1C1, 0.77% 12/20/54 (j)

1,328

133

Class 1M1, 0.62% 12/20/54 (j)

864

130

Class 2C1, 0.9% 12/20/54 (j)

606

61

Class 2M1, 0.72% 12/20/54 (j)

1,109

178

Series 2007-2 Class 2C1, 0.8913% 12/17/54 (j)

1,537

154

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (j)

308

77

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (j)

305

136

Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (d)(j)

436

305

Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 0.6038% 4/25/37 (j)

1,398

797

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (j)

112

64

Impac CMB Trust floater:

Series 2004-11 Class 2A2, 1.2138% 3/25/35 (j)

188

111

Series 2005-1:

Class M4, 1.2238% 4/25/35 (j)

22

4

Class M5, 1.2438% 4/25/35 (j)

22

3

Class M6, 1.2938% 4/25/35 (j)

35

5

Series 2005-3 Class A1, 0.7138% 8/25/35 (j)

444

225

Series 2005-4 Class 1B1, 1.6894% 5/25/35 (j)

139

5

Series 2005-6 Class 1M3, 1.0838% 10/25/35 (j)

120

10

JPMorgan Mortgage Trust:

Series 2004-A5 Class 2A1, 4.6116% 12/25/34 (j)

2,115

1,721

Series 2006-A2 Class 5A1, 5.1373% 11/25/33 (j)

3,139

2,693

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (d)(j)

355

181

MASTR Adjustable Rate Mortgages Trust:

floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (j)

53

33

Series 2007-3 Class 22A2, 0.6838% 5/25/47 (j)

1,020

493

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (j)

$ 1,284

$ 539

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.625% 6/15/22 (d)(j)

149

82

Class C, 0.645% 6/15/22 (d)(j)

911

455

Class D, 0.655% 6/15/22 (d)(j)

350

158

Class E, 0.665% 6/15/22 (d)(j)

560

224

Class F, 0.695% 6/15/22 (d)(j)

1,010

354

Class G, 0.765% 6/15/22 (d)(j)

210

63

Class H, 0.785% 6/15/22 (d)(j)

421

105

Class J, 0.825% 6/15/22 (d)(j)

491

98

Merrill Lynch Mortgage Investors Trust floater:

Series 2003-A Class 2A1, 0.8638% 3/25/28 (j)

159

92

Series 2003-B Class A1, 0.8138% 4/25/28 (j)

169

99

Series 2003-D Class A, 0.7838% 8/25/28 (j)

144

92

Series 2003-E Class A2, 2.0813% 10/25/28 (j)

239

143

Series 2003-F Class A2, 3.805% 10/25/28 (j)

192

115

Series 2004-A Class A2, 3.715% 4/25/29 (j)

221

137

Series 2004-B Class A2, 2.8388% 6/25/29 (j)

169

100

Series 2004-C Class A2, 2.15% 7/25/29 (j)

195

116

Series 2004-D Class A2, 3.4625% 9/25/29 (j)

166

98

Series 2004-E:

Class A2B, 3.825% 11/25/29 (j)

393

251

Class A2D, 4.015% 11/25/29 (j)

57

33

Series 2004-G Class A2, 3.48% 11/25/29 (j)

190

114

Series 2005-A Class A2, 3.3525% 2/25/30 (j)

183

110

Series 2005-B Class A2, 2.7988% 7/25/30 (j)

560

349

Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (j)

1,165

5

MortgageIT Trust floater:

Series 2004-2:

Class A1, 0.8438% 12/25/34 (j)

202

132

Class A2, 0.9238% 12/25/34 (j)

273

190

Series 2005-2 Class 1A1, 0.7338% 5/25/35 (j)

231

152

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (j)

2,329

1,139

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (j)

1,748

82

Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (j)

1,467

994

Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.4944% 7/17/42 (j)

373

276

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (j)

$ 5,081

$ 4,051

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B Class B5, 2.7988% 7/10/35 (d)(j)

975

474

Series 2003-CB1:

Class B3, 1.8988% 6/10/35 (d)(j)

752

402

Class B4, 2.0988% 6/10/35 (d)(j)

2,429

1,252

Class B5, 2.6988% 6/10/35 (d)(j)

1,659

826

Class B6, 3.1988% 6/10/35 (d)(j)

983

482

Series 2004-A:

Class B4, 1.6488% 2/10/36 (d)(j)

573

199

Class B5, 2.1488% 2/10/36 (d)(j)

382

123

Series 2004-B:

Class B4, 1.5488% 2/10/36 (d)(j)

249

69

Class B5, 1.9988% 2/10/36 (d)(j)

193

48

Class B6, 2.4488% 2/10/36 (d)(j)

67

14

Series 2004-C:

Class B4, 1.3988% 9/10/36 (d)(j)

320

94

Class B5, 1.7988% 9/10/36 (d)(j)

358

96

Class B6, 2.1988% 9/10/36 (d)(j)

79

17

Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (j)

1,235

952

Residential Asset Mortgage Products, Inc.:

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

175

155

Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (j)

179

131

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (d)(j)

196

147

ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (d)(j)

44

43

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 3.7963% 9/20/33 (j)

321

196

Series 2004-1 Class A, 1.8888% 2/20/34 (j)

115

73

Series 2004-10 Class A4, 4.5188% 11/20/34 (j)

166

103

Series 2004-12 Class 1A2, 2.1538% 1/20/35 (j)

501

308

Series 2004-3 Class A, 3.885% 5/20/34 (j)

157

96

Series 2004-4 Class A, 4.4388% 5/20/34 (j)

601

374

Series 2004-5 Class A3, 2.9113% 6/20/34 (j)

236

144

Series 2004-6:

Class A3A, 2.1613% 6/20/35 (j)

181

116

Class A3B, 2.3038% 7/20/34 (j)

35

21

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Sequoia Mortgage Trust floater: - continued

Series 2004-7:

Class A3A, 1.9138% 8/20/34 (j)

$ 182

$ 109

Class A3B, 2.1388% 7/20/34 (j)

22

13

Series 2004-8 Class A2, 2.15% 9/20/34 (j)

453

293

Series 2005-1 Class A2, 1.8388% 2/20/35 (j)

304

188

Series 2005-2 Class A2, 2.03% 3/20/35 (j)

379

228

Series 2005-3 Class A1, 0.67% 5/20/35 (j)

184

99

Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (j)

376

5

Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (d)(j)

67

29

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (j)

2,341

1,193

WaMu Mortgage pass-thru certificates floater:

Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (j)

108

104

Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (j)

44

42

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-H Class A1, 4.5322% 6/25/34 (j)

2,849

2,318

Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (j)

1,733

1,352

Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (j)

893

682

Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (j)

2,750

2,117

TOTAL PRIVATE SPONSOR

63,315

U.S. Government Agency - 2.3%

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

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

5,827

6,067

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

882

925

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

6,384

6,486

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

14,745

15,276

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

11,821

12,304

sequential payer:

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

3,036

3,152

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

537

546

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

946

944

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

2,423

2,481

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

10,619

10,962

Freddie Mac:

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

5,496

5,701

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac: - continued

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

$ 803

$ 811

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

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

3,120

3,277

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

4,382

4,577

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

3,778

3,968

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

10,607

10,937

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

9,725

10,031

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

5,585

5,802

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

12,936

13,375

sequential payer:

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

8,075

8,432

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

11,725

12,001

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

1,387

1,397

TOTAL U.S. GOVERNMENT AGENCY

139,452

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $205,961)

202,767

Commercial Mortgage Securities - 1.2%

 

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class F, 0.9313% 3/15/22 (d)(j)

440

198

Class G, 0.9913% 3/15/22 (d)(j)

285

108

Series 2006-BIX1:

Class F, 0.765% 10/15/19 (d)(j)

1,133

510

Class G, 0.785% 10/15/19 (d)(j)

772

270

Bayview Commercial Asset Trust floater:

Series 2003-2 Class M1, 1.3238% 12/25/33 (d)(j)

75

43

Series 2004-1:

Class A, 0.8338% 4/25/34 (d)(j)

984

738

Class B, 2.3738% 4/25/34 (d)(j)

109

41

Class M1, 1.0338% 4/25/34 (d)(j)

89

55

Class M2, 1.6738% 4/25/34 (d)(j)

80

42

Series 2004-2:

Class A, 0.9038% 8/25/34 (d)(j)

743

594

Class M1, 1.0538% 8/25/34 (d)(j)

169

106

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2004-3:

Class A1, 0.8438% 1/25/35 (d)(j)

$ 1,498

$ 1,086

Class A2, 0.8938% 1/25/35 (d)(j)

216

151

Class M1, 0.9738% 1/25/35 (d)(j)

259

168

Class M2, 1.4738% 1/25/35 (d)(j)

168

92

Series 2005-2A:

Class A1, 0.7838% 8/25/35 (d)(j)

1,097

768

Class M1, 0.9038% 8/25/35 (d)(j)

81

33

Class M2, 0.9538% 8/25/35 (d)(j)

134

54

Class M3, 0.9738% 8/25/35 (d)(j)

74

26

Class M4, 1.0838% 8/25/35 (d)(j)

68

20

Series 2005-3A:

Class A1, 0.7938% 11/25/35 (d)(j)

598

389

Class A2, 0.8738% 11/25/35 (d)(j)

388

252

Class M1, 0.9138% 11/25/35 (d)(j)

71

27

Class M2, 0.9638% 11/25/35 (d)(j)

90

34

Class M3, 0.9838% 11/25/35 (d)(j)

80

28

Class M4, 1.0738% 11/25/35 (d)(j)

100

35

Series 2005-4A:

Class A2, 0.8638% 1/25/36 (d)(j)

1,405

808

Class B1, 1.8738% 1/25/36 (d)(j)

121

43

Class M1, 0.9238% 1/25/36 (d)(j)

453

261

Class M2, 0.9438% 1/25/36 (d)(j)

136

75

Class M3, 0.9738% 1/25/36 (d)(j)

199

99

Class M4, 1.0838% 1/25/36 (d)(j)

110

52

Class M5, 1.1238% 1/25/36 (d)(j)

110

49

Class M6, 1.1738% 1/25/36 (d)(j)

117

49

Series 2006-1:

Class A2, 0.8338% 4/25/36 (d)(j)

219

144

Class M1, 0.8538% 4/25/36 (d)(j)

78

39

Class M2, 0.8738% 4/25/36 (d)(j)

83

37

Class M3, 0.8938% 4/25/36 (d)(j)

71

30

Class M4, 0.9938% 4/25/36 (d)(j)

40

22

Class M5, 1.0338% 4/25/36 (d)(j)

39

15

Class M6, 1.1138% 4/25/36 (d)(j)

78

40

Series 2006-2A:

Class A1, 0.7038% 7/25/36 (d)(j)

2,146

1,716

Class A2, 0.7538% 7/25/36 (d)(j)

194

155

Class B1, 1.3438% 7/25/36 (d)(j)

73

15

Class B3, 3.1738% 7/25/36 (d)(j)

110

22

Class M1, 0.7838% 7/25/36 (d)(j)

203

102

Class M2, 0.8038% 7/25/36 (d)(j)

143

69

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2006-2A:

Class M3, 0.8238% 7/25/36 (d)(j)

$ 119

$ 54

Class M4, 0.8938% 7/25/36 (d)(j)

80

32

Class M5, 0.9438% 7/25/36 (d)(j)

99

35

Class M6, 1.0138% 7/25/36 (d)(j)

147

52

Series 2006-3A:

Class B1, 1.2738% 10/25/36 (d)(j)

126

39

Class B2, 1.8238% 10/25/36 (d)(j)

91

27

Class B3, 3.0738% 10/25/36 (d)(j)

147

33

Class M4, 0.9038% 10/25/36 (d)(j)

139

60

Class M5, 0.9538% 10/25/36 (d)(j)

166

66

Class M6, 1.0338% 10/25/36 (d)(j)

325

122

Series 2006-4A:

Class A1, 0.7038% 12/25/36 (d)(j)

599

407

Class A2, 0.7438% 12/25/36 (d)(j)

2,699

1,873

Class B1, 1.1738% 12/25/36 (d)(j)

94

19

Class B2, 1.7238% 12/25/36 (d)(j)

98

45

Class B3, 2.9238% 12/25/36 (d)(j)

164

72

Class M1, 0.7638% 12/25/36 (d)(j)

195

125

Class M2, 0.7838% 12/25/36 (d)(j)

131

83

Class M3, 0.8138% 12/25/36 (d)(j)

133

56

Class M4, 0.8738% 12/25/36 (d)(j)

159

64

Class M5, 0.9138% 12/25/36 (d)(j)

146

58

Class M6, 0.9938% 12/25/36 (d)(j)

131

73

Series 2007-1:

Class A2, 0.7438% 3/25/37 (d)(j)

508

292

Class B1, 1.1438% 3/25/37 (d)(j)

166

58

Class B2, 1.6238% 3/25/37 (d)(j)

120

38

Class B3, 3.8238% 3/25/37 (d)(j)

323

95

Class M1, 0.7438% 3/25/37 (d)(j)

145

78

Class M2, 0.7638% 3/25/37 (d)(j)

108

56

Class M3, 0.7938% 3/25/37 (d)(j)

97

48

Class M4, 0.8438% 3/25/37 (d)(j)

80

39

Class M5, 0.8938% 3/25/37 (d)(j)

121

54

Class M6, 0.9738% 3/25/37 (d)(j)

169

68

Series 2007-2A:

Class A1, 0.7438% 7/25/37 (d)(j)

450

272

Class A2, 0.7938% 7/25/37 (d)(j)

421

260

Class B1, 2.0738% 7/25/37 (d)(j)

132

42

Class B2, 2.7238% 7/25/37 (d)(j)

114

35

Class B3, 3.8238% 7/25/37 (d)(j)

129

39

Class M1, 0.8438% 7/25/37 (d)(j)

150

81

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2007-2A:

Class M2, 0.8838% 7/25/37 (d)(j)

$ 84

$ 44

Class M3, 0.9638% 7/25/37 (d)(j)

85

42

Class M4, 1.1238% 7/25/37 (d)(j)

164

69

Class M5, 1.2238% 7/25/37 (d)(j)

145

57

Class M6, 1.4738% 7/25/37 (d)(j)

184

68

Series 2007-3:

Class A2, 0.7638% 7/25/37 (d)(j)

746

554

Class B1, 1.4238% 7/25/37 (d)(j)

121

58

Class B2, 2.0738% 7/25/37 (d)(j)

298

142

Class B3, 4.4738% 7/25/37 (d)(j)

162

74

Class M1, 0.7838% 7/25/37 (d)(j)

108

62

Class M2, 0.8138% 7/25/37 (d)(j)

115

64

Class M3, 0.8438% 7/25/37 (d)(j)

177

94

Class M4, 0.9738% 7/25/37 (d)(j)

279

146

Class M5, 1.0738% 7/25/37 (d)(j)

148

76

Class M6, 1.2738% 7/25/37 (d)(j)

113

57

Series 2007-4A:

Class B1, 3.0238% 9/25/37 (d)(j)

165

52

Class B2, 3.9238% 9/25/37 (d)(j)

586

171

Class M1, 1.4238% 9/25/37 (d)(j)

158

79

Class M2, 1.5238% 9/25/37 (d)(j)

158

71

Class M4, 2.0738% 9/25/37 (d)(j)

394

158

Class M5, 2.2238% 9/25/37 (d)(j)

394

148

Class M6, 2.4238% 9/25/37 (d)(j)

395

138

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.9013% 3/15/19 (d)(j)

576

329

Class H, 1.1113% 3/15/19 (d)(j)

387

174

Class J, 1.3113% 3/15/19 (d)(j)

291

116

Series 2007-BBA8:

Class D, 0.705% 3/15/22 (d)(j)

298

185

Class E, 0.755% 3/15/22 (d)(j)

1,550

909

Class F, 0.805% 3/15/22 (d)(j)

950

532

Class G, 0.855% 3/15/22 (d)(j)

244

133

Class H, 1.005% 3/15/22 (d)(j)

298

134

Class J, 1.155% 3/15/22 (d)(j)

298

119

Series 2003-T12 Class X2, 0.5161% 8/13/39 (d)(j)(l)

80,754

867

C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (d)(j)

783

340

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class G, 0.785% 11/15/36 (d)(j)

$ 318

$ 98

Class H, 0.825% 11/15/36 (d)(j)

254

76

Series 2007-C6 Class A1, 5.622% 12/10/49 (j)

11,736

10,040

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

15,000

10,682

COMM pass-thru certificates floater:

Series 2005-F10A:

Class D, 0.765% 4/15/17 (d)(j)

679

321

Class E, 0.825% 4/15/17 (d)(j)

216

101

Class F, 0.865% 4/15/17 (d)(j)

123

54

Class G, 1.005% 4/15/17 (d)(j)

123

53

Class H, 1.075% 4/15/17 (d)(j)

123

50

Class J, 1.305% 4/15/17 (d)(j)

94

42

Series 2005-FL11:

Class F, 0.9113% 11/15/17 (d)(j)

278

93

Class G, 0.9613% 11/15/17 (d)(j)

193

60

Credit Suisse Commercial Mortgage Trust:

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

2,352

2,293

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

250

143

Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C1 Class ASP, 0.9364% 1/15/37 (d)(j)(l)

67,590

1,121

Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:

Class C:

0.6313% 2/15/22 (d)(j)

1,333

400

0.7313% 2/15/22 (d)(j)

476

119

Class F, 0.7813% 2/15/22 (d)(j)

952

210

Ginnie Mae guaranteed Multi-family REMIC pass-thru securities sequential payer Series 2002-35 Class C, 5.8718% 10/16/23 (j)

164

166

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

8,931

8,973

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.6604% 12/10/41 (j)(l)

51,700

614

Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.9139% 7/10/38 (j)

7,200

5,014

GS Mortgage Securities Corp. II floater Series 2006-FL8A Class F, 0.885% 6/6/20 (d)(j)

597

340

JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2006-FLA2:

Class D, 0.6913% 11/15/18 (d)(j)

165

78

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2006-FLA2: - continued

Class E, 0.7413% 11/15/18 (d)(j)

$ 234

$ 105

Class F, 0.7913% 11/15/18 (d)(j)

351

154

Class G, 0.8213% 11/15/18 (d)(j)

305

128

Class H, 0.9613% 11/15/18 (d)(j)

234

94

LB-UBS Commercial Mortgage Trust sequential payer:

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

1,549

1,511

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

1,964

1,916

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:

Class F, 0.795% 9/15/21 (d)(j)

817

336

Class G, 0.815% 9/15/21 (d)(j)

1,615

591

Class H, 0.855% 9/15/21 (d)(j)

417

144

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

500

292

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.662% 7/15/19 (d)(j)

588

59

Series 2007-XCLA Class A1, 0.662% 7/17/17 (d)(j)

1,960

1,078

Series 2007-XLCA Class B, 0.9613% 7/17/17 (d)(j)

1,115

100

Series 2007-XLFA:

Class D, 0.652% 10/15/20 (d)(j)

477

119

Class E, 0.712% 10/15/20 (d)(j)

597

119

Class F, 0.762% 10/15/20 (d)(j)

358

64

Class G, 0.802% 10/15/20 (d)(j)

443

66

Class H, 0.892% 10/15/20 (d)(j)

279

28

Class J, 1.042% 10/15/20 (d)(j)

318

25

Class MHRO, 1.152% 10/15/20 (d)(j)

129

14

Class MJPM, 1.462% 10/15/20 (d)(j)

44

4

Class MSTR, 1.162% 10/15/20 (d)(j)

80

11

Class NHRO, 1.352% 10/15/20 (d)(j)

189

17

Class NSTR, 1.312% 10/15/20 (d)(j)

74

8

Series 2007-XLC1:

Class C, 1.0613% 7/17/17 (d)(j)

1,522

122

Class D, 1.1613% 7/17/17 (d)(j)

716

50

Class E, 1.2613% 7/17/17 (d)(j)

582

35

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (d)(j)

126

103

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust floater:

Series 2005-WL5A Class K, 1.655% 1/15/18 (d)(j)

$ 913

$ 502

Series 2006-WL7A:

Class E, 0.735% 9/15/21 (d)(j)

996

409

Class F, 0.795% 8/11/18 (d)(j)

1,343

403

Class G, 0.815% 8/11/18 (d)(j)

1,272

318

Class J, 0.9331% 8/11/18 (d)(j)

283

102

Class X1A, 0.0239% 9/15/21 (d)(j)(l)

2,025

0*

Series 2007-WHL8:

Class AP1, 1.155% 6/15/20 (d)(j)

67

17

Class AP2, 1.255% 6/15/20 (d)(j)

109

22

Class F, 0.935% 6/15/20 (d)(j)

2,124

680

Class LXR2, 1.255% 6/15/20 (d)(j)

1,448

217

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $81,672)

72,026

Foreign Government and Government Agency Obligations - 0.1%

 

Chilean Republic 7.125% 1/11/12
(Cost $5,868)

5,337

5,824

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento:

5.2% 5/21/13

424

373

6.875% 3/15/12

690

661

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $1,039)

1,034

Bank Notes - 0.1%

 

National City Bank, Cleveland 2.3025% 3/1/13 (j)
(Cost $6,213)

8,714

6,797

Fixed-Income Funds - 23.1%

Shares

 

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

2,531,371

179,550

Fidelity Commercial Mortgage-Backed Securities Central Fund (k)

6,574,915

447,094

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

6,467,920

573,899

Fixed-Income Funds - continued

Shares

Value (000s)

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

565,339

$ 52,006

Fidelity Specialized High Income Central Fund (k)

1,688,897

131,261

TOTAL FIXED-INCOME FUNDS

(Cost $1,783,444)

1,383,810

Preferred Securities - 0.1%

Principal Amount (000s)

 

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

ING Groep NV 5.775% (j)

$ 1,844

582

MUFG Capital Finance 1 Ltd. 6.346% (j)

8,112

5,078

TOTAL PREFERRED SECURITIES

(Cost $6,014)

5,660

Cash Equivalents - 8.8%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at:

0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) #

226,848

226,843

0.28%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) # (a)

297,544

297,537

TOTAL CASH EQUIVALENTS

(Cost $524,380)

524,380

TOTAL INVESTMENT PORTFOLIO - 105.7%

(Cost $6,809,963)

6,331,126

NET OTHER ASSETS - (5.7)%

(343,417)

NET ASSETS - 100%

$ 5,987,709

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

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 (Rating-Ba2) (g)

Nov. 2034

$ 2,086

$ (1,932)

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 (Rating-B1) (g)

Oct. 2034

688

(370)

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 (Rating-Baa3) (g)

May 2033

2,086

(1,753)

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 (Rating-C) (g)

Oct. 2036

1,580

(1,525)

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 (Rating-C) (g)

Dec. 2034

1,282

(1,210)

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, 9.01% 8/25/34 (Rating-C) (g)

Sept. 2034

610

(560)

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 (Rating-Baa3) (i)

June 2010

53,680

(3,408)

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 (Rating-Baa3) (i)

March 2010

$ 33,880

$ (1,569)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (h)

Sept. 2037

800

(772)

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 (Rating-Baa3) (g)

Feb. 2035

2,900

(2,735)

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 (Rating-Baa2) (g)

August 2034

504

(296)

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 (Rating-Caa2) (g)

June 2035

2,900

(2,750)

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 (Rating-A3) (g)

Oct. 2034

624

(370)

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 (Rating-Baa3) (g)

April 2032

184

(149)

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 (Rating-Baa3) (g)

March 2034

$ 107

$ (7)

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 (Rating-Ba2) (g)

Feb. 2034

4

(4)

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 (Rating-Ca) (g)

August 2035

3,300

(3,099)

TOTAL CREDIT DEFAULT SWAPS

$ 107,215

$ (22,509)

Interest Rate Swaps

Receive quarterly a fixed rate equal to 4.04% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

Feb. 2010

100,000

2,655

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

1,233

Receive 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

9,621

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

7,271

Receive semi-annually a fixed rate equal to 4.80% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

Dec. 2011

30,000

2,453

Receive semi-annually a fixed rate equal to 4.94% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

March 2012

75,000

7,613

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps - continued

Receive semi-annually a fixed rate equal to 5.02% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

Nov. 2011

$ 40,000

$ 3,791

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

August 2011

150,000

12,488

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

9,357

TOTAL INTEREST RATE SWAPS

$ 797,129

$ 56,482

 

$ 904,344

$ 33,973

Legend

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

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

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

(d) 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 $382,460,000 or 6.4% of net assets.

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

(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 $11,488,000.

(g) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

(h) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

(i) Represents a tradable index of credit default swaps on investment grade debt of U.S. companies. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

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

(k) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

(l) 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.

(m) Non-income producing

* Amount represents less than $1,000

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$226,843,000 due 3/02/09 at 0.26%

Goldman, Sachs & Co.

$ 88,945

UBS Securities LLC

137,898

 

$ 226,843

$297,537,000 due 3/02/09 at 0.28%

J.P. Morgan Securities, Inc.

$ 297,537

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

$ 4,855

Fidelity Commercial Mortgage-Backed Securities Central Fund

16,857

Fidelity Corporate Bond 1-10 Year Central Fund

59,289

Fidelity Corporate Bond 1-5 Year Central Fund

1,894

Fidelity Specialized High Income Central Fund

5,556

Fidelity Ultra-Short Central Fund

3,052

Total

$ 91,503

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

$ 332,311

$ 4,855

$ 121,294

$ 179,550

22.1%

Fidelity Commercial Mortgage-Backed Securities Central Fund

663,536

16,857

86,679

447,094

19.2%

Fidelity Corporate Bond 1-10 Year Central Fund

2,208,849

59,544

1,542,068*

573,899

23.5%

Fidelity Corporate Bond 1-5 Year Central Fund

96,179

1,894

40,269

52,006

14.6%

Fidelity Specialized High Income Central Fund

149,427

5,556

-

131,261

34.0%

Fidelity Ultra-Short Central Fund

429,103

-

361,164*

-

0.0%

Total

$ 3,879,405

$ 88,706

$ 2,151,474

$ 1,383,810

* Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financials Statements.

Other Information

The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities

$ 6,331,126

$ 1,383,810

$ 4,923,441

$ 23,875

Other Financial Instruments*

$ 33,973

$ -

$ 46,720

$ (12,747)

* Other financial instruments include Swap Agreements.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

(Amounts in thousands)

Investments in Securities

Other Financial Instruments

Beginning Balance

$ 967

$ (19,465)

Total Realized Gain (Loss)

172

-*

Total Unrealized Gain (Loss)

4,216

7,878

Cost of Purchases

27,273

-

Proceeds of Sales

(549)

-

Amortization/Accretion

(8,386)

-

Transfer in/out of Level 3

182

(1,160)

Ending Balance

$ 23,875

$ (12,747)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(1,476,000).

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At August 31, 2008, the fund had a capital loss carryforward of approximately $67,065,000 of which $54,135,000 and $12,930,000 will expire on August 31, 2014 and 2016, respectively.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amount)

February 28, 2009

 

 

 

Assets

Investment in securities, at value (including securities loaned of $291,424 and repurchase agreements of $524,380) - See accompanying schedule:

Unaffiliated issuers (cost $5,026,519)

$ 4,947,316

 

Fidelity Central Funds (cost $1,783,444)

1,383,810

 

Total Investments (cost $6,809,963)

 

$ 6,331,126

Cash

3,186

Receivable for investments sold

54,927

Receivable for swap agreements

74

Receivable for fund shares sold

7,954

Interest receivable

42,940

Distributions receivable from Fidelity Central Funds

12,219

Unrealized appreciation on swap agreements

56,482

Other receivables

79

Total assets

6,508,987

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 20,674

Delayed delivery

159,847

Payable for swap agreements

6,519

Payable for fund shares redeemed

11,432

Distributions payable

370

Unrealized depreciation on swap agreements

22,509

Accrued management fee

1,619

Other affiliated payables

656

Other payables and accrued expenses

115

Collateral on securities loaned, at value

297,537

Total liabilities

521,278

 

 

 

Net Assets

$ 5,987,709

Net Assets consist of:

 

Paid in capital

$ 6,912,355

Distributions in excess of net investment income

(12,847)

Accumulated undistributed net realized gain (loss) on investments

(457,292)

Net unrealized appreciation (depreciation) on investments

(454,507)

Net Assets, for 659,075 shares outstanding

$ 5,987,709

Net Asset Value, offering price and redemption price per share ($5,987,709 ÷ 659,075 shares)

$ 9.09

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

Semiannual Report

Statement of Operations

 Amounts in thousands

Six months ended February 28, 2009

 

 

 

Investment Income

 

 

Interest

 

$ 40,163

Income from Fidelity Central Funds

 

91,503

Total income

 

131,666

 

 

 

Expenses

Management fee

$ 9,927

Transfer agent fees

3,103

Fund wide operations fee

921

Independent trustees' compensation

12

Miscellaneous

51

Total expenses before reductions

14,014

Expense reductions

(37)

13,977

Net investment income

117,689

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

16,937

Fidelity Central Funds

(368,977)

 

Swap agreements

(6,317)

 

Total net realized gain (loss)

 

(358,357)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(147,903)

Swap agreements

39,841

Total change in net unrealized appreciation (depreciation)

 

(108,062)

Net gain (loss)

(466,419)

Net increase (decrease) in net assets resulting from operations

$ (348,730)

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended February 28,
2009

Year ended
August 31,
2008

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income

$ 117,689

$ 367,227

Net realized gain (loss)

(358,357)

(7,274)

Change in net unrealized appreciation (depreciation)

(108,062)

(184,404)

Net increase (decrease) in net assets resulting from operations

(348,730)

175,549

Distributions to shareholders from net investment income

(157,187)

(363,567)

Distributions to shareholders from net realized gain

(19,796)

-

Total distributions

(176,983)

(363,567)

Share transactions
Proceeds from sales of shares

567,631

1,192,534

Reinvestment of distributions

174,280

357,893

Cost of shares redeemed

(1,114,211)

(2,776,563)

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

(372,300)

(1,226,136)

Total increase (decrease) in net assets

(898,013)

(1,414,154)

 

 

 

Net Assets

Beginning of period

6,885,722

8,299,876

End of period (including distributions in excess of net investment income of $12,847 and undistributed net investment income of $26,651, respectively)

$ 5,987,709

$ 6,885,722

Other Information

Shares

Sold

61,253

118,070

Issued in reinvestment of distributions

19,102

35,520

Redeemed

(120,463)

(274,858)

Net increase (decrease)

(40,108)

(121,268)

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

Semiannual Report

Financial Highlights

 

Six months ended
February 28,
Years ended August 31,
 
2009
2008
2007
2006G
2006J
2005J
2004J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 9.85

$ 10.12

$ 10.24

$ 10.14

$ 10.43

$ 10.54

$ 10.87

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income D

  .175

  .483

  .501

  .169

  .436

  .366

  .374

Net realized and unrealized gain (loss)

  (.670)

  (.278)

  (.134)

  .081

  (.295)

  (.009)

  (.123)

Total from investment operations

  (.495)

  .205

  .367

  .250

  .141

  .357

  .251

Distributions from net investment income

  (.235)

  (.475)

  (.475)

  (.150)

  (.421)

  (.362)

  (.381)

Distributions from net realized gain

  (.030)

  -

  (.012)

  -

  (.010)

  (.105)

  (.200)

Total distributions

  (.265)

  (.475)

  (.487)

  (.150)

  (.431)

  (.467)

  (.581)

Net asset value, end of period

$ 9.09

$ 9.85

$ 10.12

$ 10.24

$ 10.14

$ 10.43

$ 10.54

Total Return B, C

  (5.01)%

  2.03%

  3.63%

  2.48%

  1.36%

  3.47%

  2.33%

Ratios to Average Net Assets E, H

 

 

 

 

 

 

 

Expenses before reductions

  .46% A

  .45%

  .45%

  .45%A

  .46%

  .62%

  .61%

Expenses net of fee waivers, if any

  .46%A

  .45%

  .45%

  .45%A

  .46%

  .62%

  .61%

Expenses net of all reductions

  .45%A

  .44%

  .44%

  .44%A

  .46%

  .61%

  .61%

Net investment income

  3.83%A

  4.79%

  4.89%

  4.96%A

  4.22%

  3.50%

  3.48%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 5,988

$ 6,886

$ 8,300

$ 7,567

$ 7,658

$ 7,272

$ 6,846

Portfolio turnover rate F

  97%A

  80%

  94%I

  71%A

  44%

  74%

  120%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the four month period ended August 31. The Fund changed its fiscal year end from April 30 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. I Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. J For the period ended April 30.

Semiannual Report

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

Notes to Financial Statements

For the period ended February 28, 2009

(Amounts in thousands except ratios)

1. Organization.

Fidelity Intermediate Bond Fund (the Fund) is a fund of Fidelity Fixed-Income Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity 1-3 Year Duration Securitized Bond Central Fund

Fidelity Investment Money Management, Inc. (FIMM)

Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Commercial Mortgage-Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed securities and repurchase agreements for those securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Corporate Bond 1-5 Year Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.

Repurchase Agreements

Restricted Securities

Swap Agreements

Semiannual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity Corporate Bond 1-10 Year Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.

Delayed Delivery & When Issued Securities

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Specialized High Income Central Fund

Fidelity Management & Research Company, Inc. (FMRC)

Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities.

Loans & Direct Debt Instruments

Repurchase Agreements

Restricted Securities

 

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

3. Significant Accounting Policies.

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

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Semiannual Report

3. Significant Accounting Policies - continued

Security Valuation - continued

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 dealer supplied prices. Swaps are marked-to-market daily based on valuations from independent pricing services or 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 disposition 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 determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. 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 (NAV) calculation under these procedures may differ from published prices for the same securities.

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1

Quoted prices in active markets for identical securities.

Level 2

Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3

Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Semiannual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Security Valuation - continued

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income, even though principal is not received until maturity. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Semiannual Report

3. Significant Accounting Policies - continued

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to swap agreements, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards, and losses deferred due to wash sales and excise tax regulations.

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

Semiannual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Unrealized appreciation

$ 72,354

Unrealized depreciation

(547,497)

Net unrealized appreciation (depreciation)

$ (475,143)

Cost for federal income tax purposes

$ 6,806,269

New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.

4. Operating Policies.

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

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the

Semiannual Report

4. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities - continued

amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so

Semiannual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Swap Agreements - continued

when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.

The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $107,215 representing 1.8% of net assets.

The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

Semiannual Report

5. Purchases and Sales of Investments.

Purchases and sales of securities(including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $1,768,251 and $2,238,702, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee of .10% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.

Other Affiliated Transactions. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro-rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $215,919 in return for its 3,453 shares of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.

On February 20, 2009, the Fund redeemed in-kind 17,133 shares of Fidelity Corporate Bond 1-10 Year Central Fund, a Fidelity Central Fund in which the Fund invests, valued at $1,542,068 by receiving cash and securities of equal value, including accrued interest. This is considered taxable to the Fund for federal income tax purposes.

Semiannual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $19 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $526.

9. Expense Reductions.

Through arrangements with the Fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee and transfer agent expenses by $9 and $28 respectively.

Semiannual Report

10. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

At the end of the period, Fidelity Freedom 2020 Fund were the owners of record of approximately 10% of the total outstanding shares of the Fund. The Fidelity Freedom Funds were the owners of record, in the aggregate, of approximately 36% of the outstanding shares of the Fund. Subsequent to period end, the Fidelity Freedom Funds sold all their shares of the Fund.

Effective after the close of business on April 17, 2009, the Fidelity Commercial Mortgage-Backed Securities Central Fund ("CMBS"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Directors in March 2009. Under the plan, the Fund received in-kind its pro-rata portion of CMBS' net assets.

In March 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro-rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.

11. Credit Risk.

The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

Semiannual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Fixed-Income Trust and Shareholders of Fidelity Intermediate Bond Fund:

We have audited the accompanying statement of assets and liabilities of Fidelity Intermediate Bond Fund (the Fund), a fund of Fidelity Fixed-Income Trust, including the schedule of investments, as of February 28, 2009, and the related statement of operations for the six months then ended, the statements of changes in net assets for the six months ended February 28, 2009 and for the year ended August 31, 2008, and the financial highlights for the periods presented. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2009, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Intermediate Bond Fund as of February 28, 2009, the results of its operations for the six months then ended, the changes in its net assets for the six months ended February 28, 2009 and for the year ended August 31, 2008, and the financial highlights for the periods presented, in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

DELOITTE & TOUCHE LLP

Boston, Massachusetts

May 8, 2009

Semiannual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)

Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555

Press

fid80For mutual fund and brokerage trading.

fid82For quotes.*

fid84For account balances and holdings.

fid86To review orders and mutual
fund activity.

fid88To change your PIN.

fid90fid92To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)

Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.

Semiannual Report

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Covington, KY 41015

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Merrimack, NH 03054-0500

Semiannual Report

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fid94 Automated line for quickest service 

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fid97

Fidelity®
Investment Grade Bond
Fund

Semiannual Report

February 28, 2009

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized Expense Ratio

Beginning
Account Value
September 1, 2008

Ending
Account Value
February 28, 2009

Expenses Paid
During Period*
September 1, 2008
to February 28, 2009

Class A

.80%

 

 

 

Actual

 

$ 1,000.00

$ 939.00

$ 3.85

HypotheticalA

 

$ 1,000.00

$ 1,020.83

$ 4.01

Class T

.83%

 

 

 

Actual

 

$ 1,000.00

$ 938.90

$ 3.99

HypotheticalA

 

$ 1,000.00

$ 1,020.68

$ 4.16

Class B

1.52%

 

 

 

Actual

 

$ 1,000.00

$ 937.10

$ 7.30

HypotheticalA

 

$ 1,000.00

$ 1,017.26

$ 7.60

Class C

1.59%

 

 

 

Actual

 

$ 1,000.00

$ 935.40

$ 7.63

HypotheticalA

 

$ 1,000.00

$ 1,016.91

$ 7.95

Investment Grade Bond

.46%

 

 

 

Actual

 

$ 1,000.00

$ 942.10

$ 2.22

HypotheticalA

 

$ 1,000.00

$ 1,022.51

$ 2.31

Institutional Class

.52%

 

 

 

Actual

 

$ 1,000.00

$ 940.40

$ 2.50

HypotheticalA

 

$ 1,000.00

$ 1,022.22

$ 2.61

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report

Investment Changes (Unaudited)

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

Quality Diversification (% of fund's net assets)

As of February 28, 2009

As of August 31, 2008

fid98

U.S. Government and
U.S. Government
Agency Obligations 64.2%

 

fid98

U.S. Government and
U.S. Government
Agency Obligations 58.4%

 

fid101

AAA 10.8%

 

fid101

AAA 13.4%

 

fid104

AA 3.2%

 

fid104

AA 5.7%

 

fid107

A 8.8%

 

fid107

A 9.8%

 

fid110

BBB 17.8%

 

fid110

BBB 20.0%

 

fid113

BB and Below 5.1%

 

fid113

BB and Below 4.3%

 

fid116

Not Rated 0.3%

 

fid116

Not Rated 0.4%

 

fid119

Short-Term
Investments and
Net Other Assets† (10.2)%

 

fid119

Short-Term
Investments and
Net Other Assets† (12.0)%

 


fid122

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades.

Weighted Average Maturity as of February 28, 2009

 

 

6 months ago

Years

6.1

6.2

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

Duration as of February 28, 2009

 

 

6 months ago

Years

3.8

4.7

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

Asset Allocation (% of fund's net assets)

As of February 28, 2009 *

As of August 31, 2008 **

fid98

Corporate Bonds 30.7%

 

fid98

Corporate Bonds 33.6%

 

fid101

U.S. Government and
U.S. Government
Agency Obligations 64.2%

 

fid101

U.S. Government and
U.S. Government
Agency Obligations 58.4%

 

fid104

Asset-Backed
Securities 4.5%

 

fid104

Asset-Backed
Securities 5.8%

 

fid107

CMOs and Other Mortgage Related Securities 10.6%

 

fid107

CMOs and Other Mortgage Related Securities 13.3%

 

fid110

Municipal Bonds 0.0%

 

fid110

Municipal Bonds 0.6%

 

fid113

Other Investments 0.2%

 

fid113

Other Investments 0.3%

 

fid119

Short-Term
Investments and
Net Other Assets† (10.2)%

 

fid119

Short-Term
Investments and
Net Other Assets† (12.0)%

 

fid138

* Foreign investments

6.4%

 

** Foreign investments

10.5%

 

* Futures and Swaps

1.4%

 

** Futures and Swaps

0.5%

 

†Short-term Investments and Net Other Assets are not included in the pie chart.

A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any 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.

Semiannual Report

Investments February 28, 2009 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 25.9%

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 2.1%

Automobiles - 0.1%

Ford Motor Co. 7.45% 7/16/31

$ 40,245

$ 7,546

Household Durables - 0.0%

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

2,745

1,895

Media - 1.7%

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

22,380

22,712

Comcast Corp.:

4.95% 6/15/16

15,874

14,188

5.9% 3/15/16

9,300

8,767

COX Communications, Inc.:

6.25% 6/1/18 (b)

2,536

2,228

6.45% 12/1/36 (b)

14,215

11,402

6.95% 6/1/38 (b)

7,041

5,901

Liberty Media Corp.:

5.7% 5/15/13

8,500

6,428

8.25% 2/1/30

19,105

11,123

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

6,015

5,224

News America, Inc.:

6.15% 3/1/37

6,365

4,953

6.2% 12/15/34

4,570

3,473

6.9% 3/1/19 (b)

7,150

6,770

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

35,779

32,356

Viacom, Inc.:

6.125% 10/5/17

9,190

7,563

6.75% 10/5/37

8,475

6,140

 

149,228

Specialty Retail - 0.3%

Staples, Inc. 9.75% 1/15/14

20,510

21,518

TOTAL CONSUMER DISCRETIONARY

180,187

CONSUMER STAPLES - 1.4%

Beverages - 0.3%

Anheuser-Busch InBev Worldwide, Inc. 8.2% 1/15/39 (b)

10,900

10,568

Diageo Capital PLC 5.2% 1/30/13

3,020

3,074

FBG Finance Ltd. 5.125% 6/15/15 (b)

11,020

9,360

 

23,002

Food & Staples Retailing - 0.1%

CVS Caremark Corp. 6.302% 6/1/37 (h)

14,340

8,819

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Food Products - 0.3%

Kraft Foods, Inc.:

4.125% 11/12/09

$ 6,360

$ 6,433

6% 2/11/13

3,380

3,523

6.25% 6/1/12

6,081

6,433

6.875% 2/1/38

9,031

8,957

 

25,346

Tobacco - 0.7%

Altria Group, Inc.:

9.25% 8/6/19

11,164

11,379

9.7% 11/10/18

11,828

12,384

Philip Morris International, Inc. 6.375% 5/16/38

12,770

12,561

Reynolds American, Inc.:

6.75% 6/15/17

15,115

12,766

7.25% 6/15/37

22,265

16,207

 

65,297

TOTAL CONSUMER STAPLES

122,464

ENERGY - 3.8%

Energy Equipment & Services - 0.5%

BJ Services Co. 6% 6/1/18

14,255

13,122

DCP Midstream LLC:

6.75% 9/15/37 (b)

7,295

5,341

9.75% 3/15/19 (b)

8,334

8,080

Transocean Ltd.:

6% 3/15/18

5,000

4,719

6.8% 3/15/38

4,060

3,710

Weatherford International Ltd.:

6% 3/15/18

5,650

4,687

9.625% 3/1/19

7,000

7,150

 

46,809

Oil, Gas & Consumable Fuels - 3.3%

Anadarko Finance Co. 6.75% 5/1/11

7,335

7,437

Anadarko Petroleum Corp.:

5.95% 9/15/16

6,661

5,929

6.45% 9/15/36

9,885

7,549

Canadian Natural Resources Ltd.:

5.7% 5/15/17

7,170

6,332

5.9% 2/1/18

2,830

2,499

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Chevron Corp. 3.95% 3/3/14

$ 24,991

$ 25,134

ConocoPhillips:

4.4% 5/15/13

50,000

49,959

5.75% 2/1/19

11,897

11,642

6.5% 2/1/39

7,891

7,648

Duke Energy Field Services 7.875% 8/16/10

7,580

7,671

EnCana Corp. 4.75% 10/15/13

2,269

2,135

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

4,315

4,415

Nakilat, Inc. 6.067% 12/31/33 (b)

12,415

8,105

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

5,985

3,805

Nexen, Inc.:

5.875% 3/10/35

10,560

7,198

6.4% 5/15/37

7,730

5,455

Pemex Project Funding Master Trust 2.82% 12/3/12 (b)(h)

11,870

10,149

Petro-Canada:

6.05% 5/15/18

4,170

3,437

6.8% 5/15/38

10,305

7,589

Petroleos Mexicanos 8% 5/3/19 (b)

6,517

6,403

Suncor Energy, Inc.:

6.1% 6/1/18

12,820

10,565

6.5% 6/15/38

2,565

1,754

6.85% 6/1/39

11,275

8,203

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

11,230

7,670

TEPPCO Partners LP:

6.65% 4/15/18

11,620

9,797

7.55% 4/15/38

10,010

7,783

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

22,035

20,583

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

4,050

3,884

Valero Energy Corp. 6.625% 6/15/37

5,740

4,383

XTO Energy, Inc.:

5.9% 8/1/12

6,352

6,296

6.25% 8/1/17

9,995

9,684

6.75% 8/1/37

5,265

4,696

 

285,789

TOTAL ENERGY

332,598

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - 10.6%

Capital Markets - 2.4%

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

$ 21,590

$ 22,347

BlackRock, Inc. 6.25% 9/15/17

12,840

12,210

Goldman Sachs Group, Inc.:

5.45% 11/1/12

4,880

4,704

5.95% 1/18/18

10,230

9,144

6.15% 4/1/18

9,490

8,623

7.5% 2/15/19

14,350

14,213

Janus Capital Group, Inc. 6.125% 9/15/11

2,605

1,823

JPMorgan Chase Capital XVII 5.85% 8/1/35

3,865

2,579

JPMorgan Chase Capital XX 6.55% 9/29/36

96,700

68,394

Lazard Group LLC:

6.85% 6/15/17

5,200

3,886

7.125% 5/15/15

16,430

12,472

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

23,797

19,800

Morgan Stanley 1.6975% 1/9/14 (h)

40,435

27,099

 

207,294

Commercial Banks - 1.7%

Bank of America NA 6% 10/15/36

8,150

5,604

Bank One Corp. 5.25% 1/30/13

13,775

13,381

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

1,220

589

Credit Suisse (Guernsey) Ltd. 5.86%

13,520

4,415

Credit Suisse First Boston 6% 2/15/18

17,850

16,194

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

9,731

9,395

DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (b)(h)

1,564

1,235

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

7,225

6,486

Fifth Third Bancorp:

4.5% 6/1/18

3,545

2,223

8.25% 3/1/38

2,904

2,104

HBOS PLC 6.75% 5/21/18 (b)

6,489

5,209

HSBC Holdings PLC:

1.6125% 10/6/16 (h)

1,537

1,233

6.5% 5/2/36

11,470

10,146

6.5% 9/15/37

5,010

4,361

KeyCorp Capital Trust VII 5.7% 6/15/35

16,490

9,070

Korea Development Bank 5.75% 9/10/13

6,838

6,268

Manufacturers & Traders Trust Co. 2.935% 4/1/13 (b)(h)

969

811

Regions Bank 6.45% 6/26/37

3,200

2,086

Santander Issuances SA Unipersonal 1.885% 6/20/16 (b)(h)

4,691

3,532

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Sovereign Bank 2.88% 8/1/13 (h)

$ 2,199

$ 1,640

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

23,680

18,940

Wachovia Bank NA 5.85% 2/1/37

19,011

15,126

Wachovia Corp. 4.875% 2/15/14

1,791

1,601

Wells Fargo Bank NA 5.95% 8/26/36

11,449

9,487

 

151,136

Consumer Finance - 0.7%

SLM Corp.:

1.3194% 7/26/10 (h)

64,500

53,147

1.3894% 10/25/11 (h)

3,925

2,750

1.4594% 1/27/14 (h)

2,240

1,155

2.1963% 3/15/11 (h)

1,130

858

4.5% 7/26/10

2,325

1,838

5% 10/1/13

830

507

 

60,255

Diversified Financial Services - 1.2%

Bank of America Corp. 5.75% 12/1/17

16,395

13,834

BTM Curacao Holding NV 1.8975% 12/19/16 (b)(h)

2,541

1,963

Citigroup, Inc.:

5.3% 10/17/12

8,650

7,673

5.5% 4/11/13

13,702

12,407

6.125% 5/15/18

20,068

17,306

CME Group, Inc. 5.75% 2/15/14

5,028

5,060

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

10,173

10,694

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

3,296

3,062

Prime Property Funding, Inc.:

5.125% 6/1/15 (b)

13,035

8,603

5.5% 1/15/14 (b)

8,820

6,036

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

11,415

10,802

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

7,500

3,053

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

13,680

5,404

 

105,897

Insurance - 1.3%

Assurant, Inc. 5.625% 2/15/14

8,540

7,051

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

13,335

10,297

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

22,081

13,690

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

Liberty Mutual Group, Inc.:

6.7% 8/15/16 (b)

$ 15,840

$ 12,467

10.75% 6/15/88 (b)(h)

8,540

4,526

Lincoln National Corp. 7% 5/17/66 (h)

2,370

874

Metropolitan Life Global Funding I:

5.125% 11/9/11 (b)

7,540

7,358

5.125% 4/10/13 (b)

11,934

11,401

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

7,315

7,380

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

9,715

9,538

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

10,050

9,803

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

18,775

8,824

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

10,405

8,201

The Chubb Corp. 6.5% 5/15/38

4,535

4,217

 

115,627

Real Estate Investment Trusts - 2.8%

AMB Property LP:

5.9% 8/15/13

9,635

6,678

6.3% 6/1/13

9,785

6,899

Brandywine Operating Partnership LP:

5.625% 12/15/10

19,900

17,578

5.75% 4/1/12

6,713

3,692

Camden Property Trust 5.875% 11/30/12

6,435

5,534

Colonial Properties Trust:

4.75% 2/1/10

20,412

19,517

4.8% 4/1/11

2,650

2,283

5.5% 10/1/15

12,730

7,920

6.875% 8/15/12

5,000

3,976

Colonial Realty LP 6.05% 9/1/16

9,420

6,029

Developers Diversified Realty Corp.:

4.625% 8/1/10

975

688

5% 5/3/10

6,840

4,788

5.25% 4/15/11

8,195

4,033

5.375% 10/15/12

5,485

2,627

Duke Realty LP:

5.4% 8/15/14

10,700

7,299

5.5% 3/1/16

10,700

6,680

5.625% 8/15/11

4,860

4,141

5.875% 8/15/12

1,205

923

5.95% 2/15/17

2,540

1,570

6.25% 5/15/13

5,180

3,885

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

Duke Realty LP: - continued

6.5% 1/15/18

$ 8,800

$ 5,446

Equity One, Inc.:

6% 9/15/17

6,860

4,524

6.25% 1/15/17

4,535

3,084

Federal Realty Investment Trust:

5.4% 12/1/13

4,880

3,714

6% 7/15/12

3,355

2,760

6.2% 1/15/17

2,580

1,961

HRPT Properties Trust:

5.75% 11/1/15

2,925

1,931

6.65% 1/15/18

6,500

4,137

Liberty Property LP:

5.5% 12/15/16

6,665

4,596

6.375% 8/15/12

4,617

3,786

6.625% 10/1/17

6,640

4,797

Mack-Cali Realty LP:

5.05% 4/15/10

9,145

8,596

7.25% 3/15/09

4,110

4,103

7.75% 2/15/11

1,080

1,015

Reckson Operating Partnership LP:

5.15% 1/15/11

2,790

2,232

6% 3/31/16

2,600

1,540

Simon Property Group LP:

4.6% 6/15/10

8,400

8,047

5.1% 6/15/15

15,660

12,706

5.375% 6/1/11

3,565

3,321

5.45% 3/15/13

8,720

7,520

5.75% 5/1/12

4,015

3,493

7.75% 1/20/11

2,250

2,151

Tanger Properties LP 6.15% 11/15/15

17,300

12,769

UDR, Inc. 5.5% 4/1/14

10,720

8,498

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

3,645

2,816

Washington (REIT) 5.95% 6/15/11

10,660

9,287

 

245,570

Real Estate Management & Development - 0.5%

ERP Operating LP:

5.375% 8/1/16

2,405

1,946

5.5% 10/1/12

9,240

8,418

5.75% 6/15/17

11,250

9,144

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

ERP Operating LP: - continued

6.625% 3/15/12

$ 2,360

$ 2,266

Post Apartment Homes LP 6.3% 6/1/13

11,550

9,471

Regency Centers LP 6.75% 1/15/12

12,435

10,616

 

41,861

Thrifts & Mortgage Finance - 0.0%

Capmark Financial Group, Inc. 6.8% 5/10/17

3,809

766

Independence Community Bank Corp. 3.585% 6/20/13 (h)

2,790

2,008

 

2,774

TOTAL FINANCIALS

930,414

INDUSTRIALS - 1.4%

Airlines - 1.3%

American Airlines, Inc. pass-thru trust certificates:

7.324% 4/15/11

13,531

12,854

7.858% 4/1/13

26,059

22,541

Continental Airlines, Inc. 6.545% 8/2/20

3,981

3,483

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

6.821% 8/10/22

13,618

9,873

7.57% 11/18/10

21,770

19,920

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

6,895

4,965

8.36% 7/20/20

21,289

16,393

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

Class 1A, 6.636% 1/2/24

8,263

5,908

6.071% 9/1/14

1,161

1,126

6.602% 9/1/13

2,068

1,954

7.032% 4/1/12

2,243

2,148

7.186% 10/1/12

5,570

5,333

7.811% 4/1/11

4,909

5,057

 

111,555

Building Products - 0.0%

Masco Corp. 2.3988% 3/12/10 (h)

3,591

3,221

Road & Rail - 0.0%

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

990

670

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Transportation Infrastructure - 0.1%

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

$ 6,338

$ 4,690

TOTAL INDUSTRIALS

120,136

INFORMATION TECHNOLOGY - 0.6%

Communications Equipment - 0.1%

Cisco Systems, Inc. 4.95% 2/15/19

12,106

11,700

Electronic Equipment & Components - 0.2%

Tyco Electronics Group SA:

5.95% 1/15/14

9,971

8,628

6.55% 10/1/17

8,770

6,612

7.125% 10/1/37

4,405

2,874

 

18,114

Semiconductors & Semiconductor Equipment - 0.3%

Chartered Semiconductor Manufacturing Ltd.:

5.75% 8/3/10

9,825

8,176

6.375% 8/3/15

10,650

6,365

National Semiconductor Corp.:

2.2463% 6/15/10 (h)

4,168

3,621

6.15% 6/15/12

7,260

5,693

 

23,855

TOTAL INFORMATION TECHNOLOGY

53,669

MATERIALS - 0.6%

Chemicals - 0.1%

Agrium, Inc. 7.125% 5/23/36

8,975

7,855

Metals & Mining - 0.5%

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

3,460

3,562

Rio Tinto Finance Ltd.:

5.875% 7/15/13

12,154

11,048

6.5% 7/15/18

20,204

17,850

7.125% 7/15/28

17,840

14,649

 

47,109

TOTAL MATERIALS

54,964

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - 1.5%

Diversified Telecommunication Services - 1.3%

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

$ 17,617

$ 17,013

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

12,752

12,803

Deutsche Telekom International Financial BV:

5.25% 7/22/13

6,995

7,017

5.875% 8/20/13

10,485

10,673

6.75% 8/20/18

5,870

6,004

Sprint Capital Corp.:

6.875% 11/15/28

9,870

5,453

7.625% 1/30/11

7,295

6,328

Telecom Italia Capital SA:

4.95% 9/30/14

11,250

9,691

5.25% 10/1/15

5,117

4,316

Telefonica Emisiones SAU:

5.855% 2/4/13

2,732

2,801

6.221% 7/3/17

11,230

11,285

Verizon Communications, Inc.:

5.25% 4/15/13

7,395

7,508

6.1% 4/15/18

9,830

9,733

 

110,625

Wireless Telecommunication Services - 0.2%

Sprint Nextel Corp. 6% 12/1/16

21,361

13,885

Vodafone Group PLC 5.625% 2/27/17

2,952

2,866

 

16,751

TOTAL TELECOMMUNICATION SERVICES

127,376

UTILITIES - 3.9%

Electric Utilities - 2.1%

AmerenUE 6.4% 6/15/17

10,662

10,399

Baltimore Gas & Electric Co. 6.125% 7/1/13

8,010

7,684

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

11,490

10,941

Commonwealth Edison Co.:

5.4% 12/15/11

18,283

18,593

5.8% 3/15/18

11,545

10,967

Duke Energy Carolinas LLC 6% 1/15/38

9,739

9,989

EDP Finance BV 6% 2/2/18 (b)

25,358

23,548

Exelon Corp. 4.9% 6/15/15

27,100

23,261

Florida Power Corp. 5.65% 6/15/18

5,665

5,811

Nevada Power Co. 6.5% 5/15/18

16,280

15,372

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

17,030

17,023

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Pacific Gas & Electric Co.:

4.8% 3/1/14

$ 2,670

$ 2,725

5.8% 3/1/37

7,180

6,916

Pennsylvania Electric Co. 6.05% 9/1/17

10,455

9,581

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

15,620

9,372

 

182,182

Gas Utilities - 0.0%

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

6,145

5,243

Independent Power Producers & Energy Traders - 0.7%

Duke Capital LLC 5.668% 8/15/14

13,400

12,368

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

23,798

21,983

PPL Energy Supply LLC:

6.2% 5/15/16

11,895

10,943

6.5% 5/1/18

11,365

9,844

TXU Corp. 5.55% 11/15/14

7,555

3,778

 

58,916

Multi-Utilities - 1.1%

CMS Energy Corp. 6.55% 7/17/17

13,140

11,595

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

12,110

7,872

National Grid PLC 6.3% 8/1/16

26,485

25,289

NiSource Finance Corp.:

1.8206% 11/23/09 (h)

9,874

9,451

5.4% 7/15/14

2,960

2,324

5.45% 9/15/20

10,810

7,402

6.4% 3/15/18

21,180

16,628

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

20,065

12,240

 

92,801

TOTAL UTILITIES

339,142

TOTAL NONCONVERTIBLE BONDS

(Cost $2,722,494)

2,260,950

U.S. Government and Government Agency Obligations - 16.8%

 

U.S. Government Agency Obligations - 3.5%

Fannie Mae:

2.75% 2/5/14

100,000

99,965

3.625% 2/12/13

47,560

49,960

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - continued

Fannie Mae: - continued

5% 2/13/17

$ 30,000

$ 33,150

5.375% 6/12/17

25,000

28,172

Freddie Mac:

2.125% 3/23/12

50,700

50,659

4.125% 12/21/12

45,060

48,213

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

310,119

U.S. Treasury Inflation Protected Obligations - 7.2%

U.S. Treasury Inflation-Indexed Notes:

2% 4/15/12

10,162

10,224

2% 1/15/14 (e)

123,650

123,116

2% 1/15/14

23,560

23,459

2.375% 1/15/17 (e)

305,200

303,932

2.375% 1/15/27 (e)

117,691

114,121

2.375% 1/15/27

2,242

2,174

2.625% 7/15/17

51,462

52,580

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

629,606

U.S. Treasury Obligations - 6.1%

U.S. Treasury Bonds 4.5% 5/15/38 (e)

90,400

102,632

U.S. Treasury Notes:

2.75% 10/31/13

168,800

175,156

4% 8/15/18

234,900

253,453

TOTAL U.S. TREASURY OBLIGATIONS

531,241

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,467,860)

1,470,966

U.S. Government Agency - Mortgage Securities - 20.2%

 

Fannie Mae - 15.8%

3.991% 9/1/33 (h)

8,394

8,517

4.5% 4/1/23

249

254

4.616% 9/1/35 (h)

11,435

11,658

5% 4/1/18 to 6/1/38

348,814

356,167

5.176% 4/1/36 (h)

19,216

19,796

5.5% 12/1/30 to 12/1/38 (d)

717,212

736,430

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

5.5% 3/1/39 (c)

$ 98,000

$ 100,394

5.5% 3/12/39 (c)

32,000

32,782

5.5% 3/12/39 (c)

25,000

25,611

5.5% 3/12/39 (c)

35,000

35,855

5.593% 7/1/37 (h)

2,696

2,782

5.821% 7/1/46 (h)

30,540

31,734

6% 3/1/16 to 11/1/38 (d)

4,308

4,474

6% 3/12/39 (c)(d)

2,000

2,066

6.013% 4/1/36 (h)

2,044

2,125

6.118% 4/1/36 (h)

5,032

5,235

6.243% 6/1/36 (h)

795

808

6.328% 4/1/36 (h)

2,017

2,099

TOTAL FANNIE MAE

1,378,787

Freddie Mac - 0.9%

4.289% 8/1/35 (h)

18,128

18,309

4.478% 10/1/34 (h)

9,951

10,105

4.556% 4/1/35 (h)

20,770

21,181

4.635% 4/1/35 (h)

6,515

6,617

4.767% 7/1/35 (h)

7,559

7,695

4.984% 1/1/36 (h)

5,886

5,996

5.694% 10/1/35 (h)

1,427

1,487

5.86% 6/1/36 (h)

2,312

2,397

5.977% 6/1/36 (h)

2,103

2,182

6% 11/1/33 to 9/1/35

5,806

6,043

6.101% 6/1/36 (h)

2,252

2,343

TOTAL FREDDIE MAC

84,355

Government National Mortgage Association - 3.5%

5.5% 12/20/28 to 12/20/38 (c)

298,391

306,844

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,718,427)

1,769,986

Asset-Backed Securities - 3.5%

 

Accredited Mortgage Loan Trust:

Series 2004-4 Class A2D, 0.8238% 1/25/35 (h)

136

48

Series 2005-1 Class M1, 0.9438% 4/25/35 (h)

2,507

1,479

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

ACE Securities Corp. Series 2006-NC2:

Class M7, 1.2238% 7/25/36 (h)

$ 1,122

$ 9

Class M8, 1.3238% 7/25/36 (h)

556

3

Class M9, 2.1738% 7/25/36 (h)

367

1

ACE Securities Corp. Home Equity Loan Trust:

Series 2003-HS1:

Class M1, 1.5988% 6/25/33 (h)

0*

0*

Class M2, 3.0988% 6/25/33 (h)

167

116

Series 2004-HE1 Class M1, 0.9738% 2/25/34 (h)

399

354

Series 2004-OP1 Class M1, 0.9938% 4/25/34 (h)

836

364

Series 2005-HE2 Class M2, 0.9238% 4/25/35 (h)

353

289

Series 2005-SD1 Class A1, 0.8738% 11/25/50 (h)

46

42

Series 2006-HE2:

Class M3, 0.8138% 5/25/36 (h)

487

15

Class M4, 0.8738% 5/25/36 (h)

412

9

Class M5, 0.9138% 5/25/36 (h)

599

9

Series 2006-OP1:

Class M4, 0.8438% 4/25/36 (h)

229

9

Class M5, 0.8638% 4/25/36 (h)

217

7

Advanta Business Card Master Trust:

Series 2006-C1 Class C1, 0.95% 10/20/14 (h)

1,600

112

Series 2007-A4 Class A4, 0.5% 4/22/13 (h)

5,864

4,339

Series 2007-B1 Class B, 0.72% 12/22/14 (h)

3,386

508

Series 2007-D1 Class D, 1.87% 1/22/13 (b)(h)

10,400

728

Airspeed Ltd. Series 2007-1A Class C1, 2.955% 6/15/32 (b)(h)

11,165

3,686

ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (b)(h)

1,314

1,296

American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (b)(h)

334

303

AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10

760

755

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

5,448

2,724

Ameriquest Mortgage Securities, Inc. Series 2006-M3:

Class A2A, 0.5238% 10/25/36 (h)

189

183

Class M7, 1.3238% 10/25/36 (h)

965

1

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.1738% 12/25/33 (h)

218

138

Series 2004-R10 Class M1, 1.1738% 11/25/34 (h)

912

406

Series 2004-R11 Class M1, 1.1338% 11/25/34 (h)

785

385

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ameriquest Mortgage Securities, Inc. pass-thru certificates: - continued

Series 2004-R2:

Class M1, 0.9038% 4/25/34 (h)

$ 345

$ 263

Class M3, 1.0238% 4/25/34 (h)

226

86

Series 2005-R1 Class M1, 0.9238% 3/25/35 (h)

1,267

738

Series 2005-R10 Class A2B, 0.6938% 12/25/35 (h)

1,149

788

Series 2005-R2 Class M1, 0.9238% 4/25/35 (h)

2,776

1,598

Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (h)

243

122

Argent Securities, Inc.:

Series 2006-M1 Class M7, 1.4738% 7/25/36 (h)

292

1

Series 2006-M2 Class M7, 1.3738% 9/25/36 (h)

930

1

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.7794% 3/1/34 (h)

64

13

Series 2004-W11 Class M2, 1.1738% 11/25/34 (h)

754

280

Series 2004-W5 Class M1, 1.0738% 4/25/34 (h)

913

537

Series 2004-W7:

Class M1, 1.0238% 5/25/34 (h)

799

252

Class M2, 1.0738% 5/25/34 (h)

698

377

Series 2006-W4 Class A2C, 0.6338% 5/25/36 (h)

2,086

734

Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.2538% 10/25/36 (h)

1,751

22

Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.8938% 12/25/34 (h)

1,928

934

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE3 Class M1, 1.7063% 6/15/33 (h)

328

146

Series 2003-HE6 Class M1, 1.1238% 11/25/33 (h)

721

375

Series 2004-HE2 Class M1, 1.0238% 4/25/34 (h)

3,588

1,555

Series 2004-HE3 Class M1, 1.0138% 6/25/34 (h)

318

126

Series 2004-HE6 Class A2, 0.8338% 6/25/34 (h)

560

216

Series 2006-HE6:

Class M7, 1.2738% 11/25/36 (h)

554

7

Class M9, 2.6238% 11/25/36 (h)

1,479

8

Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (a)(b)(h)

4,576

0*

Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (h)

4,616

4,150

Bayview Financial Acquisition Trust Series 2004-C Class A1, 1.0388% 5/28/44 (h)

436

265

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (h)

865

538

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Asset Backed Securities I Trust:

Series 2005-3 Class A1, 0.9238% 9/25/35 (h)

$ 147

$ 107

Series 2005-FR1 Class M1, 0.9738% 6/25/35 (h)

1,302

591

Series 2005-HE2 Class M1, 0.9738% 2/25/35 (h)

2,052

680

Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (h)

678

519

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (h)

3,088

2,761

C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (h)

1,033

889

Capital Auto Receivables Asset Trust:

Series 2005-1 Class B, 0.83% 6/15/10 (h)

847

835

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

4,195

2,937

Capital One Auto Finance Trust Series 2006-C Class A3B, 0.465% 7/15/11 (h)

513

477

Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.745% 4/15/13 (b)(h)

3,909

2,814

Capital Trust Ltd. Series 2004-1:

Class A2, 0.92% 7/20/39 (b)(h)

615

154

Class B, 1.22% 7/20/39 (b)(h)

355

50

Class C, 1.57% 7/20/39 (b)(h)

456

41

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (h)

1,534

74

Series 2006-NC2 Class M7, 1.3238% 6/25/36 (h)

572

11

Series 2006-NC3 Class M10, 2.4738% 8/25/36 (b)(h)

1,449

18

Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (h)

251

7

Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (h)

2,423

587

Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (b)(h)

367

266

Chase Issuance Trust Series 2004-3 Class C, 0.9313% 6/15/12 (h)

713

643

CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14

459

229

Citigroup Mortgage Loan Trust:

Series 2003-HE4 Class A, 0.8838% 12/25/33 (b)(h)

513

348

Series 2006-AMC1 Class M7, 0.82% 9/25/36 (h)

1,017

12

Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (h)

1,029

40

CNH Wholesale Master Note Trust Series 2006-1A:

Class A, 0.515% 7/15/12 (b)(h)

1,759

1,732

Class B, 0.735% 7/15/12 (b)(h)

1,759

1,659

Countrywide Asset-Backed Certificates Trust Series 2007-BC2 Class 2A1, 0.5638% 6/25/37 (h)

656

558

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

2,825

0*

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Countrywide Home Loans, Inc.:

Series 2002-6 Class AV1, 1.3338% 5/25/33 (h)

$ 70

$ 38

Series 2004-3:

Class 3A4, 0.7238% 8/25/34 (h)

257

138

Class M1, 0.9738% 6/25/34 (h)

889

585

Class M4, 1.4438% 4/25/34 (h)

215

102

Series 2004-4:

Class A, 0.8438% 8/25/34 (h)

56

27

Class M2, 1.0038% 6/25/34 (h)

790

523

Series 2005-1:

Class M1, 0.8938% 8/25/35 (h)

689

497

Class MV2, 0.9138% 7/25/35 (h)

1,901

1,326

Series 2005-3 Class MV1, 0.8938% 8/25/35 (h)

3,333

2,905

Series 2005-AB1 Class A2, 0.6838% 8/25/35 (h)

638

527

CPS Auto Receivables Trust Series 2004-D Class A2, 3.86% 12/15/11 (b)

205

187

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

5,545

3,601

Discover Card Master Trust I:

Series 2006-1 Class B1, 0.605% 8/16/11 (h)

2,860

2,836

Series 2006-2 Class B1, 0.575% 1/17/12 (h)

3,909

3,504

Series 2007-1 Class B, 0.555% 8/15/12 (h)

3,909

3,055

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8983% 5/28/35 (h)

52

27

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.6488% 8/25/34 (h)

391

97

Series 2006-3 Class 2A3, 0.6338% 11/25/36 (h)

6,052

1,706

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.2988% 3/25/34 (h)

31

16

Series 2005-FF9 Class A3, 0.7538% 10/25/35 (h)

8,919

6,881

Series 2006-FF12 Class A2, 0.5138% 9/25/36 (h)

656

601

First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (b)

236

234

Ford Credit Auto Owner Trust:

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

5,810

2,905

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

4,115

2,047

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

2,335

1,168

Ford Credit Floorplan Master Owner Trust:

Series 2006-3 Class B, 0.905% 6/15/11 (h)

2,722

1,905

Series 2006-4 Class B, 1.005% 6/15/13 (h)

1,039

524

Fremont Home Loan Trust:

Series 2004-1:

Class M1, 1.1488% 2/25/34 (h)

97

28

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Fremont Home Loan Trust: - continued

Class M2, 1.2238% 2/25/34 (h)

$ 166

$ 106

Series 2004-A Class M1, 1.2988% 1/25/34 (h)

1,615

862

Series 2005-A:

Class M1, 0.9038% 1/25/35 (h)

140

129

Class M2, 0.9338% 1/25/35 (h)

2,360

863

Class M3, 0.9638% 1/25/35 (h)

1,275

545

Class M4, 1.1538% 1/25/35 (h)

489

239

Series 2006-A:

Class M4, 0.8738% 5/25/36 (h)

1,216

17

Class M5, 0.9738% 5/25/36 (h)

651

8

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (b)(h)

3,167

2,133

GE Business Loan Trust Series 2003-1 Class A, 0.8913% 4/15/31 (b)(h)

483

299

GE Capital Credit Card Master Note Trust:

Series 2006-1:

Class B, 0.5713% 9/17/12 (h)

1,196

837

Class C, 0.7013% 9/17/12 (h)

930

605

Series 2007-1 Class C, 0.7313% 3/15/13 (h)

6,381

4,211

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

3,280

1,312

GSAMP Trust:

Series 2002-HE Class M1, 2.345% 11/20/32 (h)

837

408

Series 2003-FM1 Class M1, 1.7% 3/20/33 (h)

1,611

976

Series 2004-AR1:

Class B4, 5% 6/25/34 (b)(h)

1,074

90

Class M1, 1.1238% 6/25/34 (h)

2,949

1,121

Series 2004-FM1 Class M1, 1.4488% 11/25/33 (h)

548

293

Series 2004-FM2 Class M1, 1.2238% 1/25/34 (h)

1,410

811

Series 2004-HE1 Class M1, 1.0238% 5/25/34 (h)

772

251

Series 2007-HE1 Class M1, 0.7238% 3/25/47 (h)

1,223

58

GSR Mortgage Loan Trust:

Series 2004-OPT Class A1, 0.8138% 11/25/34 (h)

21

10

Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (h)

477

440

Series 2006-FM1 Class M3, 0.8238% 4/25/36 (h)

580

7

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.5538% 5/25/30 (b)(h)

887

399

Series 2006-3:

Class B, 0.8738% 9/25/46 (b)(h)

880

141

Class C, 1.0238% 9/25/46 (b)(h)

2,052

246

Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (b)(h)

4,736

2,415

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Home Equity Asset Trust:

Series 2002-3 Class A5, 1.3538% 2/25/33 (h)

$ 1

$ 0*

Series 2003-3 Class M1, 1.7638% 8/25/33 (h)

1,344

613

Series 2003-4 Class M1, 1.6738% 10/25/33 (h)

398

176

Series 2003-5:

Class A2, 1.1738% 12/25/33 (h)

44

13

Class M1, 1.5238% 12/25/33 (h)

460

277

Series 2003-7 Class A2, 1.2338% 3/25/34 (h)

2

0*

Series 2003-8 Class M1, 1.5538% 4/25/34 (h)

700

325

Series 2004-3 Class M2, 2.1738% 8/25/34 (h)

456

277

Series 2004-7 Class A3, 0.8638% 1/25/35 (h)

1

0*

Series 2005-1 Class M1, 0.9038% 5/25/35 (h)

1,753

1,567

Series 2005-3 Class M1, 0.8838% 8/25/35 (h)

1,199

1,071

Series 2005-5 Class 2A2, 0.7238% 11/25/35 (h)

537

474

Series 2006-1 Class 2A3, 0.6988% 4/25/36 (h)

4,907

3,388

Series 2006-7 Class M4, 0.8538% 1/25/37 (h)

1,542

7

Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (h)

380

231

HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (h)

3,025

2,686

HSBC Home Equity Loan Trust:

Series 2005-2:

Class M1, 0.8194% 1/20/35 (h)

1,039

550

Class M2, 0.8494% 1/20/35 (h)

779

382

Series 2005-3 Class A1, 0.6194% 1/20/35 (h)

546

292

Series 2006-2:

Class M1, 0.74% 3/20/36 (h)

856

448

Class M2, 0.76% 3/20/36 (h)

1,416

695

Series 2006-3 Class A1V, 0.55% 3/20/36 (h)

935

892

Series 2007-2 Class A3V, 0.69% 7/21/36 (h)

755

334

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (h)

1,664

500

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.6038% 11/25/36 (h)

1,671

710

Class MV1, 0.7038% 11/25/36 (h)

1,357

138

Keycorp Student Loan Trust:

Series 1999-A Class A2, 4.0988% 12/27/09 (h)

1,491

1,158

Series 2006-A Class 2A1, 1.4963% 9/27/21 (h)

1,012

986

Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (b)(h)

361

4

Long Beach Mortgage Loan Trust:

Series 2003-2 Class M1, 1.7038% 6/25/33 (h)

2,853

1,284

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Long Beach Mortgage Loan Trust: - continued

Series 2004-2:

Class M1, 1.0038% 6/25/34 (h)

$ 836

$ 441

Class M2, 1.5538% 6/25/34 (h)

594

453

Series 2006-9 Class M4, 0.8438% 11/25/36 (h)

488

1

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.7338% 10/25/36 (h)

604

22

Series 2006-NC2 Class M7, 1.2238% 9/25/36 (h)

284

0*

Series 2007-HE1 Class M1, 0.7738% 5/25/37 (h)

1,055

44

Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (b)(h)

17,200

15,743

Merrill Lynch Mortgage Investors Trust:

Series 2003-HE1 Class M1, 1.1738% 7/25/34 (h)

801

514

Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (h)

220

153

Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (h)

3,497

2,479

Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (h)

2,282

1,051

Morgan Stanley ABS Capital I Trust:

Series 2002-HE3 Class M1, 2.1238% 12/27/32 (h)

59

34

Series 2003-NC7 Class M1, 1.5238% 6/25/33 (h)

708

401

Series 2003-NC8 Class M1, 1.5238% 9/25/33 (h)

547

317

Series 2004-HE6 Class A2, 0.8138% 8/25/34 (h)

77

13

Series 2004-NC2 Class M1, 1.2988% 12/25/33 (h)

1,385

666

Series 2005-HE1 Class M2, 0.9438% 12/25/34 (h)

656

316

Series 2005-HE2 Class M1, 0.8738% 1/25/35 (h)

593

202

Series 2005-NC1 Class M1, 0.9138% 1/25/35 (h)

537

183

Series 2005-NC2 Class B1, 1.6438% 3/25/35 (h)

686

331

Series 2006-HE3 Class B1, 1.3738% 4/25/36 (h)

305

1

Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (h)

712

673

Series 2006-NC4:

Class M4, 0.8238% 6/25/36 (h)

458

5

Class M6, 0.9238% 6/25/36 (h)

229

1

Series 2007-HE2 Class A2A, 0.5138% 1/25/37 (h)

152

123

Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (h)

148

99

Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (h)

80

64

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 1.9738% 1/25/32 (h)

35

10

Series 2002-AM3 Class A3, 1.4538% 2/25/33 (h)

138

113

Series 2002-HE2 Class M1, 1.9738% 8/25/32 (h)

874

492

Series 2002-NC1 Class M1, 1.6738% 2/25/32 (b)(h)

746

428

Series 2002-NC3:

Class A3, 1.1538% 8/25/32 (h)

46

8

Class M1, 1.5538% 8/25/32 (h)

85

39

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Dean Witter Capital I Trust: - continued

Series 2003-NC1 Class M1, 2.0488% 11/25/32 (h)

$ 548

$ 270

Morgan Stanley Home Equity Loans Trust:

Series 2006-3 Class M5, 0.8838% 4/25/36 (h)

458

6

Series 2007-2 Class A1, 0.5738% 4/25/37 (h)

1,169

888

National Collegiate Student Loan Trust:

Series 2006-3 Class A1, 0.5038% 9/25/19 (h)

1,690

1,587

Series 2006-4 Class A1, 0.5038% 3/25/25 (h)

1,377

1,228

New Century Home Equity Loan Trust:

Series 2003-6 Class M1, 1.5538% 1/25/34 (h)

1,572

879

Series 2005-4 Class M2, 0.9838% 9/25/35 (h)

1,918

286

Series 2005-D Class M2, 0.9438% 2/25/36 (h)

400

27

Nomura Home Equity Loan Trust:

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

355

310

Series 2006-FM2 Class M7, 1.2738% 7/25/36 (h)

1,306

7

Series 2006-HE2 Class A2, 0.5938% 3/25/36 (h)

1,119

1,013

Ocala Funding LLC:

Series 2005-1A Class A, 1.97% 3/20/10 (b)(h)

761

267

Series 2006-1A Class A, 1.87% 3/20/11 (b)(h)

1,581

632

Option One Mortgage Loan Trust:

Series 2004-3 Class M3, 1.1238% 11/25/34 (h)

462

291

Series 2007-5 Class 2A1, 0.5638% 5/25/37 (h)

253

225

Series 2007-6 Class 2A1, 0.5338% 7/25/37 (h)

351

315

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M2, 1.1538% 9/25/34 (h)

374

215

Class M3, 1.7238% 9/25/34 (h)

716

161

Class M4, 1.9238% 9/25/34 (h)

919

97

Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (h)

539

89

Series 2004-WHQ2 Class M1, 1.0638% 2/25/35 (h)

1,564

1,144

Series 2004-WWF1:

Class M2, 1.1538% 2/25/35 (h)

2,162

1,269

Class M3, 1.2138% 2/25/35 (h)

268

108

Series 2005-WCH1:

Class M2, 0.9938% 1/25/35 (h)

1,037

592

Class M3, 1.0338% 1/25/35 (h)

643

254

Class M4, 1.3038% 1/25/35 (h)

1,984

306

Series 2005-WHQ2:

Class M7, 1.7238% 5/25/35 (h)

2,441

95

Class M9, 2.3538% 5/25/35 (h)

795

23

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:

Class 1A1, 0.5438% 9/25/36 (h)

$ 562

$ 537

Class M4, 0.8338% 9/25/36 (h)

2,293

14

Class M5, 0.8638% 9/25/36 (h)

1,143

5

Providian Master Note Trust Series 2006-C1A Class C1, 1.005% 3/16/15 (b)(h)

4,884

2,100

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.5438% 2/25/37 (h)

510

449

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (h)

7

1

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (h)

2,541

1,208

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (b)(h)

1,444

1,083

SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.9463% 6/15/33 (h)

1,711

770

Sovereign Dealer Floor Plan Master LLC Series 2006-1:

Class B, 0.635% 8/15/11 (b)(h)

2,325

1,976

Class C, 0.835% 8/15/11 (b)(h)

1,060

795

Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (h)

315

205

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (h)

123

49

Structured Asset Securities Corp.:

Series 2004-GEL1 Class A, 0.8338% 2/25/34 (h)

185

82

Series 2006-BC3 Class M7, 1.2738% 10/25/36 (h)

4

0*

Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (b)(h)

1,759

511

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.5638% 6/25/37 (h)

4,877

3,695

Superior Wholesale Inventory Financing Trust:

Series 2004-A10:

Class A, 0.5613% 9/15/11 (h)

12,170

9,797

Class B, 0.7413% 9/15/11 (h)

5,287

2,115

Series 2007-AE1:

Class A, 0.555% 1/15/12 (h)

1,315

921

Class B, 0.755% 1/15/12 (h)

1,144

458

Class C, 1.055% 1/15/12 (h)

1,422

427

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 0.9113% 3/15/11 (b)(h)

15,495

13,946

Swift Master Auto Receivables Trust Series 2007-1 Class A, 0.555% 6/15/12 (h)

3,863

2,782

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 0.9038% 9/25/34 (h)

$ 39

$ 8

Series 2003-6HE Class A1, 0.9438% 11/25/33 (h)

49

16

Turquoise Card Backed Securities PLC:

Series 2006-1A Class C, 0.785% 5/16/11 (b)(h)

3,805

3,618

Series 2006-2:

Class B, 0.605% 10/17/11 (h)

4,604

4,029

Class C, 0.805% 10/17/11 (h)

4,326

3,496

Series 2007-1 Class C, 0.8313% 6/15/12 (h)

4,932

3,174

Wachovia Auto Loan Owner Trust Series 2006-2A:

Class A4, 5.23% 3/20/12 (b)

50,000

49,097

Class E, 7.05% 5/20/14 (b)

6,660

1,931

WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (b)

1,193

0*

WaMu Asset-Backed Certificates Series 2006-HE3:

Class M4, 0.8538% 10/25/36 (h)

810

15

Class M7, 1.2738% 10/25/36 (h)

587

7

WaMu Master Note Trust:

Series 2006-A3A Class A3, 0.485% 9/16/13 (b)(h)

7,385

7,034

Series 2006-C2A Class C2, 0.955% 8/15/15 (b)(h)

9,412

4,089

Series 2006-C3A Class C3A, 0.835% 10/15/13 (b)(h)

6,587

5,316

Series 2007-A4A Class A4, 5.2% 10/15/14 (b)

4,370

3,911

Series 2007-C1 Class C1, 0.855% 5/15/14 (b)(h)

5,732

3,373

Wells Fargo Home Equity Trust:

Series 2004-3 Class A, 4.5% 11/27/34 (b)(k)

10

0*

Series 2006-2 Class A2, 0.5738% 7/25/36 (h)

1,442

1,303

Series 2007-2 Class A1, 0.5638% 4/25/37 (h)

929

766

WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12

24

24

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (b)(h)

2,406

289

TOTAL ASSET-BACKED SECURITIES

(Cost $353,383)

302,215

Collateralized Mortgage Obligations - 3.6%

 

Private Sponsor - 2.4%

Arkle Master Issuer PLC floater:

Series 2006-1A Class 3C, 1.6275% 2/17/52 (b)(h)

900

675

Series 2006-2A:

Class 2B, 1.3575% 2/17/52 (b)(h)

3,168

2,956

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Arkle Master Issuer PLC floater: - continued

Series 2006-2A:

Class 2M, 1.4375% 2/17/52 (b)(h)

$ 2,154

$ 1,935

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (b)(h)

2,022

858

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6985% 4/10/49 (h)

1,775

266

Class C, 5.6985% 4/10/49 (h)

4,735

663

Class D, 5.6985% 4/10/49 (h)

2,370

308

Banc of America Mortgage Securities, Inc.:

Series 2003-H Class 2A3, 5.2046% 9/25/33 (h)

706

561

Series 2003-J Class 2A2, 5.2918% 11/25/33 (h)

3,248

2,636

Series 2003-K Class 1A1, 5.2035% 12/25/33 (h)

91

74

Series 2003-L Class 2A1, 5.3147% 1/25/34 (h)

1,152

895

Series 2004-1 Class 2A2, 4.6723% 10/25/34 (h)

1,731

1,347

Series 2004-A:

Class 2A1, 5.1951% 2/25/34 (h)

2,192

1,787

Class 2A2, 5.1951% 2/25/34 (h)

1,709

1,393

Series 2004-B:

Class 1A1, 6.433% 3/25/34 (h)

101

77

Class 2A2, 4.0864% 3/25/34 (h)

630

470

Series 2004-C Class 1A1, 5.971% 4/25/34 (h)

179

141

Series 2004-D Class 2A1, 3.6163% 5/25/34 (h)

1,295

998

Series 2004-F Class 2A6, 4.1429% 7/25/34 (h)

931

910

Series 2004-J Class 2A1, 4.7597% 11/25/34 (h)

778

606

Series 2004-L Class 2A1, 4.3695% 1/25/35 (h)

934

713

Series 2005-H:

Class 1A1, 5.3329% 9/25/35 (h)

1,276

919

Class 2A2, 4.8028% 9/25/35 (h)

1,433

462

Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (b)(h)(j)

69,412

5,796

Bear Stearns Adjustable Rate Mortgage Trust Series 2003-6 Class 1A2, 4.9867% 8/25/33 (h)

1,947

1,327

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 0.7538% 1/25/35 (h)

4,136

2,043

Series 2005-2 Class 1A1, 0.7238% 3/25/35 (h)

767

425

Series 2005-5 Class 1A1, 0.6938% 7/25/35 (h)

975

494

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 4.9685% 2/25/37 (h)

2,999

2,249

Series 2007-A2 Class 2A1, 5.1795% 7/25/37 (h)

3,593

2,907

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Citigroup Mortgage Loan Trust Series 2004-UST1:

Class A3, 4.9419% 8/25/34 (h)

$ 2,420

$ 1,959

Class A4, 4.399% 8/25/34 (h)

2,229

1,783

Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (h)

139

132

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:

Series 2004-1 Class 9A2, 0.8738% 1/25/34 (h)

78

39

Series 2004-2 Class 7A3, 0.8738% 2/25/35 (h)

170

80

Series 2004-4 Class 5A2, 0.8738% 3/25/35 (h)

37

16

Series 2005-1 Class 5A2, 0.8038% 5/25/35 (h)

623

297

Series 2005-10:

Class 5A1, 0.7338% 1/25/36 (h)

989

472

Class 5A2, 0.7938% 1/25/36 (h)

445

178

Series 2005-2:

Class 6A2, 0.7538% 6/25/35 (h)

155

69

Class 6M2, 0.9538% 6/25/35 (h)

1,983

484

Series 2005-3 Class 8A2, 0.7138% 7/25/35 (h)

736

374

Series 2005-4 Class 7A2, 0.7038% 8/25/35 (h)

233

115

Series 2005-8 Class 7A2, 0.7538% 11/25/35 (h)

581

329

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (h)

22

13

Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (h)

44

23

Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (h)

212

106

Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (h)

64

29

Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (h)

40

24

Series 2007-AR7 Class 2A1, 4.6052% 11/25/34 (h)

3,117

2,195

Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (h)

4,618

2,399

DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (h)

955

777

First Horizon Mortgage pass-thru Trust:

floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (h)

77

48

Series 2004-AR5 Class 2A1, 5.1001% 10/25/34 (h)

3,212

2,473

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 1.3025% 10/18/54 (b)(h)

3,843

2,948

Class C2, 1.6125% 10/18/54 (b)(h)

1,288

644

Class M2, 1.3925% 10/18/54 (b)(h)

2,209

1,427

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (b)(h)

$ 3,297

$ 1,541

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (b)(h)

4,187

1,813

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 1.07% 12/20/54 (b)(h)

8,080

566

Series 2006-2 Class C1, 0.94% 12/20/54 (h)

7,196

720

Series 2006-3 Class C2, 0.97% 12/20/54 (h)

1,511

93

Series 2006-4:

Class B1, 0.56% 12/20/54 (h)

4,042

808

Class C1, 0.85% 12/20/54 (h)

2,472

173

Class M1, 0.64% 12/20/54 (h)

1,064

160

Series 2007-1:

Class 1C1, 0.77% 12/20/54 (h)

2,497

250

Class 1M1, 0.62% 12/20/54 (h)

1,624

244

Class 2C1, 0.9% 12/20/54 (h)

1,140

114

Class 2M1, 0.72% 12/20/54 (h)

2,086

334

Series 2007-2 Class 2C1, 0.8913% 12/17/54 (h)

2,890

289

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (h)

579

145

GSR Mortgage Loan Trust:

Series 2004-11 Class 1A1, 4.9133% 9/25/34 (h)

418

279

Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (h)

823

566

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (h)

572

257

Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (b)(h)

819

573

Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 0.6038% 4/25/37 (h)

2,629

1,498

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (h)

210

119

Impac CMB Trust floater:

Series 2004-11 Class 2A2, 1.2138% 3/25/35 (h)

353

209

Series 2005-1:

Class M4, 1.2238% 4/25/35 (h)

42

7

Class M5, 1.2438% 4/25/35 (h)

42

5

Class M6, 1.2938% 4/25/35 (h)

67

10

Series 2005-3 Class A1, 0.7138% 8/25/35 (h)

835

424

Series 2005-4 Class 1B1, 1.6894% 5/25/35 (h)

261

9

Series 2005-6 Class 1M3, 1.0838% 10/25/35 (h)

226

18

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.9482% 8/25/36 (h)

$ 2,768

$ 1,651

Series 2004-A1 Class 2A1, 4.4964% 2/25/34 (h)

1,899

1,561

Series 2004-A3 Class 4A1, 4.2896% 7/25/34 (h)

5,063

4,171

Series 2006-A2 Class 5A1, 5.1373% 11/25/33 (h)

3,696

3,172

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (b)(h)

667

341

MASTR Adjustable Rate Mortgages Trust:

floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (h)

100

62

Series 2007-3 Class 22A2, 0.6838% 5/25/47 (h)

1,918

927

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (h)

2,414

1,014

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.625% 6/15/22 (b)(h)

280

154

Class C, 0.645% 6/15/22 (b)(h)

1,712

856

Class D, 0.655% 6/15/22 (b)(h)

659

296

Class E, 0.665% 6/15/22 (b)(h)

1,054

421

Class F, 0.695% 6/15/22 (b)(h)

1,900

665

Class G, 0.765% 6/15/22 (b)(h)

395

118

Class H, 0.785% 6/15/22 (b)(h)

791

198

Class J, 0.825% 6/15/22 (b)(h)

923

185

Class TM, 0.955% 6/15/22 (b)(h)

8,932

5,493

Merrill Lynch Mortgage Investors Trust:

floater:

Series 2003-A Class 2A1, 0.8638% 3/25/28 (h)

299

174

Series 2003-B Class A1, 0.8138% 4/25/28 (h)

318

186

Series 2003-D Class A, 0.7838% 8/25/28 (h)

270

173

Series 2003-E Class A2, 2.0813% 10/25/28 (h)

450

269

Series 2003-F Class A2, 3.805% 10/25/28 (h)

361

217

Series 2004-A Class A2, 3.715% 4/25/29 (h)

416

257

Series 2004-B Class A2, 2.8388% 6/25/29 (h)

317

188

Series 2004-C Class A2, 2.15% 7/25/29 (h)

367

218

Series 2004-D Class A2, 3.4625% 9/25/29 (h)

312

185

Series 2004-E:

Class A2B, 3.825% 11/25/29 (h)

738

471

Class A2D, 4.015% 11/25/29 (h)

107

63

Series 2004-G Class A2, 3.48% 11/25/29 (h)

357

215

Series 2005-A Class A2, 3.3525% 2/25/30 (h)

345

208

Series 2005-B Class A2, 2.7988% 7/25/30 (h)

1,054

657

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Merrill Lynch Mortgage Investors Trust: - continued

floater:

Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (h)

$ 2,191

$ 10

Series 2004-A4 Class A1, 4.2286% 8/25/34 (h)

3,380

2,585

Series 2005-A2:

Class A2, 4.4861% 2/25/35 (h)

2,095

1,648

Class A7, 4.4861% 2/25/35 (h)

3,021

1,954

Series 2006-A6 Class A4, 5.3897% 10/25/33 (h)

2,724

2,220

MortgageIT Trust floater:

Series 2004-2:

Class A1, 0.8438% 12/25/34 (h)

380

247

Class A2, 0.9238% 12/25/34 (h)

514

357

Series 2005-2 Class 1A1, 0.7338% 5/25/35 (h)

433

287

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (h)

4,378

2,142

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (h)

3,286

155

Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (h)

2,759

1,868

Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.4944% 7/17/42 (h)

702

519

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (h)

7,220

5,756

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B:

Class B5, 2.7988% 7/10/35 (b)(h)

1,834

892

Class B6, 3.2988% 7/10/35 (b)(h)

3,657

1,620

Series 2003-CB1:

Class B3, 1.8988% 6/10/35 (b)(h)

1,414

756

Class B4, 2.0988% 6/10/35 (b)(h)

2,823

1,455

Class B5, 2.6988% 6/10/35 (b)(h)

1,927

960

Class B6, 3.1988% 6/10/35 (b)(h)

1,143

561

Series 2004-A:

Class B4, 1.6488% 2/10/36 (b)(h)

1,078

373

Class B5, 2.1488% 2/10/36 (b)(h)

718

230

Series 2004-B:

Class B4, 1.5488% 2/10/36 (b)(h)

467

129

Class B5, 1.9988% 2/10/36 (b)(h)

362

90

Class B6, 2.4488% 2/10/36 (b)(h)

126

26

Series 2004-C:

Class B4, 1.3988% 9/10/36 (b)(h)

601

176

Class B5, 1.7988% 9/10/36 (b)(h)

674

181

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

RESI Finance LP/RESI Finance DE Corp. floater: - continued

Series 2004-C:

Class B6, 2.1988% 9/10/36 (b)(h)

$ 149

$ 33

Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (h)

2,323

1,791

Residential Asset Mortgage Products, Inc.:

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

329

291

Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (h)

336

247

Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.272% 7/25/34 (h)

1,832

1,488

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (b)(h)

369

277

ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (b)(h)

83

81

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 3.7963% 9/20/33 (h)

604

368

Series 2004-1 Class A, 1.8888% 2/20/34 (h)

216

138

Series 2004-10 Class A4, 4.5188% 11/20/34 (h)

312

193

Series 2004-12 Class 1A2, 2.1538% 1/20/35 (h)

942

579

Series 2004-3 Class A, 3.885% 5/20/34 (h)

296

181

Series 2004-4 Class A, 4.4388% 5/20/34 (h)

1,130

703

Series 2004-5 Class A3, 2.9113% 6/20/34 (h)

443

271

Series 2004-6:

Class A3A, 2.1613% 6/20/35 (h)

340

218

Class A3B, 2.3038% 7/20/34 (h)

65

40

Series 2004-7:

Class A3A, 1.9138% 8/20/34 (h)

343

205

Class A3B, 2.1388% 7/20/34 (h)

42

25

Series 2004-8 Class A2, 2.15% 9/20/34 (h)

851

551

Series 2005-1 Class A2, 1.8388% 2/20/35 (h)

571

354

Series 2005-2 Class A2, 2.03% 3/20/35 (h)

713

429

Series 2005-3 Class A1, 0.67% 5/20/35 (h)

346

186

Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (h)

707

9

Structured Asset Securities Corp.:

floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (b)(h)

127

54

Series 2003-15A Class 4A, 5.4533% 4/25/33 (h)

1,674

1,357

Series 2003-20 Class 1A1, 5.5% 7/25/33

1,086

931

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (h)

$ 4,401

$ 2,244

WaMu Mortgage pass-thru certificates:

floater:

Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (h)

204

195

Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (h)

83

80

Series 2003-AR10 Class A7, 4.669% 10/25/33 (h)

8,193

5,144

Series 2003-AR8 Class A, 4.2743% 8/25/33 (h)

1,679

1,352

Series 2004-AR7 Class A6, 3.9389% 7/25/34 (h)

2,555

2,530

Series 2005-AR14 Class 1A1, 5.0454% 12/25/35 (h)

12,190

9,863

Series 2005-AR3 Class A2, 4.6384% 3/25/35 (h)

4,820

3,878

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 4.1875% 12/25/34 (h)

12,381

9,863

Series 2004-V Class 1A2, 4.0139% 10/25/34 (h)

5,278

4,217

Series 2004-W:

Class A1, 4.5429% 11/25/34 (h)

1,600

1,277

Class A9, 4.5429% 11/25/34 (h)

3,709

2,333

Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (h)

1,346

1,050

Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (h)

6,141

4,691

Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (h)

3,871

2,979

Series 2006-AR8 Class 3A1, 5.2374% 4/25/36 (h)

44,967

32,164

TOTAL PRIVATE SPONSOR

214,371

U.S. Government Agency - 1.2%

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

Series 2630 Class KS, 4% 1/15/17

22,130

22,448

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

78,537

81,460

TOTAL U.S. GOVERNMENT AGENCY

103,908

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $357,111)

318,279

Commercial Mortgage Securities - 2.2%

 

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class F, 0.9313% 3/15/22 (b)(h)

828

373

Class G, 0.9913% 3/15/22 (b)(h)

537

204

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Large Loan, Inc. floater: - continued

Series 2006-BIX1:

Class F, 0.765% 10/15/19 (b)(h)

$ 2,131

$ 959

Class G, 0.785% 10/15/19 (b)(h)

1,451

508

Bayview Commercial Asset Trust floater:

Series 2003-2 Class M1, 1.3238% 12/25/33 (b)(h)

142

81

Series 2004-1:

Class A, 0.8338% 4/25/34 (b)(h)

1,849

1,387

Class B, 2.3738% 4/25/34 (b)(h)

206

77

Class M1, 1.0338% 4/25/34 (b)(h)

167

104

Class M2, 1.6738% 4/25/34 (b)(h)

150

79

Series 2004-2:

Class A, 0.9038% 8/25/34 (b)(h)

1,396

1,117

Class M1, 1.0538% 8/25/34 (b)(h)

318

198

Series 2004-3:

Class A1, 0.8438% 1/25/35 (b)(h)

2,816

2,042

Class A2, 0.8938% 1/25/35 (b)(h)

405

284

Class M1, 0.9738% 1/25/35 (b)(h)

487

317

Class M2, 1.4738% 1/25/35 (b)(h)

315

173

Series 2005-2A:

Class A1, 0.7838% 8/25/35 (b)(h)

2,062

1,443

Class M1, 0.9038% 8/25/35 (b)(h)

153

61

Class M2, 0.9538% 8/25/35 (b)(h)

252

101

Class M3, 0.9738% 8/25/35 (b)(h)

140

49

Class M4, 1.0838% 8/25/35 (b)(h)

128

38

Series 2005-3A:

Class A1, 0.7938% 11/25/35 (b)(h)

1,124

730

Class A2, 0.8738% 11/25/35 (b)(h)

729

474

Class M1, 0.9138% 11/25/35 (b)(h)

133

51

Class M2, 0.9638% 11/25/35 (b)(h)

169

64

Class M3, 0.9838% 11/25/35 (b)(h)

151

53

Class M4, 1.0738% 11/25/35 (b)(h)

188

66

Series 2005-4A:

Class A2, 0.8638% 1/25/36 (b)(h)

2,642

1,519

Class B1, 1.8738% 1/25/36 (b)(h)

228

80

Class M1, 0.9238% 1/25/36 (b)(h)

852

490

Class M2, 0.9438% 1/25/36 (b)(h)

256

141

Class M3, 0.9738% 1/25/36 (b)(h)

373

187

Class M4, 1.0838% 1/25/36 (b)(h)

207

98

Class M5, 1.1238% 1/25/36 (b)(h)

207

93

Class M6, 1.1738% 1/25/36 (b)(h)

219

92

Series 2006-1:

Class A2, 0.8338% 4/25/36 (b)(h)

411

270

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2006-1:

Class M1, 0.8538% 4/25/36 (b)(h)

$ 147

$ 74

Class M2, 0.8738% 4/25/36 (b)(h)

155

70

Class M3, 0.8938% 4/25/36 (b)(h)

134

56

Class M4, 0.9938% 4/25/36 (b)(h)

76

41

Class M5, 1.0338% 4/25/36 (b)(h)

74

28

Class M6, 1.1138% 4/25/36 (b)(h)

147

76

Series 2006-2A:

Class A1, 0.7038% 7/25/36 (b)(h)

4,034

3,227

Class A2, 0.7538% 7/25/36 (b)(h)

364

291

Class B1, 1.3438% 7/25/36 (b)(h)

136

27

Class B3, 3.1738% 7/25/36 (b)(h)

206

41

Class M1, 0.7838% 7/25/36 (b)(h)

382

191

Class M2, 0.8038% 7/25/36 (b)(h)

270

129

Class M3, 0.8238% 7/25/36 (b)(h)

224

101

Class M4, 0.8938% 7/25/36 (b)(h)

151

60

Class M5, 0.9438% 7/25/36 (b)(h)

186

65

Class M6, 1.0138% 7/25/36 (b)(h)

277

97

Series 2006-3A:

Class B1, 1.2738% 10/25/36 (b)(h)

236

73

Class B2, 1.8238% 10/25/36 (b)(h)

170

50

Class B3, 3.0738% 10/25/36 (b)(h)

277

62

Class M4, 0.9038% 10/25/36 (b)(h)

261

114

Class M5, 0.9538% 10/25/36 (b)(h)

312

125

Class M6, 1.0338% 10/25/36 (b)(h)

612

229

Series 2006-4A:

Class A1, 0.7038% 12/25/36 (b)(h)

1,126

766

Class A2, 0.7438% 12/25/36 (b)(h)

5,074

3,521

Class B1, 1.1738% 12/25/36 (b)(h)

177

35

Class B2, 1.7238% 12/25/36 (b)(h)

183

84

Class B3, 2.9238% 12/25/36 (b)(h)

308

136

Class M1, 0.7638% 12/25/36 (b)(h)

367

235

Class M2, 0.7838% 12/25/36 (b)(h)

247

155

Class M3, 0.8138% 12/25/36 (b)(h)

250

105

Class M4, 0.8738% 12/25/36 (b)(h)

299

120

Class M5, 0.9138% 12/25/36 (b)(h)

274

110

Class M6, 0.9938% 12/25/36 (b)(h)

247

137

Series 2007-1:

Class A2, 0.7438% 3/25/37 (b)(h)

954

549

Class B1, 1.1438% 3/25/37 (b)(h)

312

109

Class B2, 1.6238% 3/25/37 (b)(h)

225

72

Class B3, 3.8238% 3/25/37 (b)(h)

608

178

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2007-1:

Class M1, 0.7438% 3/25/37 (b)(h)

$ 272

$ 148

Class M2, 0.7638% 3/25/37 (b)(h)

204

106

Class M3, 0.7938% 3/25/37 (b)(h)

182

91

Class M4, 0.8438% 3/25/37 (b)(h)

151

73

Class M5, 0.8938% 3/25/37 (b)(h)

227

102

Class M6, 0.9738% 3/25/37 (b)(h)

317

127

Series 2007-2A:

Class A1, 0.7438% 7/25/37 (b)(h)

3,020

1,827

Class A2, 0.7938% 7/25/37 (b)(h)

2,829

1,747

Class B1, 2.0738% 7/25/37 (b)(h)

850

270

Class B2, 2.7238% 7/25/37 (b)(h)

739

229

Class B3, 3.8238% 7/25/37 (b)(h)

830

249

Class M1, 0.8438% 7/25/37 (b)(h)

966

524

Class M2, 0.8838% 7/25/37 (b)(h)

505

261

Class M3, 0.9638% 7/25/37 (b)(h)

511

252

Class M4, 1.1238% 7/25/37 (b)(h)

1,059

442

Class M5, 1.2238% 7/25/37 (b)(h)

934

367

Class M6, 1.4738% 7/25/37 (b)(h)

1,190

437

Series 2007-3:

Class A2, 0.7638% 7/25/37 (b)(h)

1,403

1,042

Class B1, 1.4238% 7/25/37 (b)(h)

752

358

Class B2, 2.0738% 7/25/37 (b)(h)

1,939

923

Class B3, 4.4738% 7/25/37 (b)(h)

1,012

465

Class M1, 0.7838% 7/25/37 (b)(h)

657

382

Class M2, 0.8138% 7/25/37 (b)(h)

702

394

Class M3, 0.8438% 7/25/37 (b)(h)

1,128

595

Class M4, 0.9738% 7/25/37 (b)(h)

1,778

930

Class M5, 1.0738% 7/25/37 (b)(h)

903

464

Class M6, 1.2738% 7/25/37 (b)(h)

686

348

Series 2007-4A:

Class B1, 3.0238% 9/25/37 (b)(h)

310

98

Class B2, 3.9238% 9/25/37 (b)(h)

1,101

322

Class M1, 1.4238% 9/25/37 (b)(h)

297

148

Class M2, 1.5238% 9/25/37 (b)(h)

297

133

Class M4, 2.0738% 9/25/37 (b)(h)

741

296

Class M5, 2.2238% 9/25/37 (b)(h)

741

278

Class M6, 2.4238% 9/25/37 (b)(h)

742

260

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.9013% 3/15/19 (b)(h)

1,083

618

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

floater:

Series 2006-BBA7:

Class H, 1.1113% 3/15/19 (b)(h)

$ 728

$ 328

Class J, 1.3113% 3/15/19 (b)(h)

547

219

Series 2007-BBA8:

Class D, 0.705% 3/15/22 (b)(h)

561

348

Class E, 0.755% 3/15/22 (b)(h)

2,913

1,708

Class F, 0.805% 3/15/22 (b)(h)

1,786

1,001

Class G, 0.855% 3/15/22 (b)(h)

459

250

Class H, 1.005% 3/15/22 (b)(h)

561

252

Class J, 1.155% 3/15/22 (b)(h)

561

224

sequential payer Series 2007 PW17 Class A4, 5.694% 6/11/50

23,863

15,555

C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (b)(h)

1,472

639

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

9,742

4,806

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class G, 0.785% 11/15/36 (b)(h)

597

185

Class H, 0.825% 11/15/36 (b)(h)

478

143

Series 2007-FL3A Class A2, 0.595% 4/15/22 (b)(h)

8,398

3,779

COMM pass-thru certificates floater:

Series 2005-F10A:

Class D, 0.765% 4/15/17 (b)(h)

1,277

604

Class E, 0.825% 4/15/17 (b)(h)

407

190

Class F, 0.865% 4/15/17 (b)(h)

231

102

Class G, 1.005% 4/15/17 (b)(h)

231

100

Class H, 1.075% 4/15/17 (b)(h)

231

94

Class J, 1.305% 4/15/17 (b)(h)

177

80

Series 2005-FL11:

Class F, 0.9113% 11/15/17 (b)(h)

523

175

Class G, 0.9613% 11/15/17 (b)(h)

362

113

Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C1 Class ASP, 0.9364% 1/15/37 (b)(h)(j)

136,665

2,267

Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:

Class C:

0.6313% 2/15/22 (b)(h)

2,507

752

0.7313% 2/15/22 (b)(h)

895

224

Class F, 0.7813% 2/15/22 (b)(h)

1,790

394

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 6,458

$ 6,489

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.6604% 12/10/41 (h)(j)

12,668

151

Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.9139% 7/10/38 (h)

18,000

12,535

GS Mortgage Securities Corp. II floater:

Series 2006-FL8A Class F, 0.885% 6/6/20 (b)(h)

1,122

640

Series 2007-EOP:

Class D, 0.815% 3/6/20 (b)(h)

9,955

6,371

Class H, 1.095% 3/6/20 (b)(h)

960

576

Class J, 1.295% 3/6/20 (b)(h)

1,375

784

GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 (h)

17,870

11,765

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class D, 0.6913% 11/15/18 (b)(h)

310

146

Class E, 0.7413% 11/15/18 (b)(h)

440

198

Class F, 0.7913% 11/15/18 (b)(h)

660

290

Class G, 0.8213% 11/15/18 (b)(h)

573

241

Class H, 0.9613% 11/15/18 (b)(h)

440

176

sequential payer Series 2007-CB20 Class A4, 5.794% 2/12/51

11,600

6,822

LB-UBS Commercial Mortgage Trust sequential payer Series 2007-C1 Class A4, 5.424% 2/15/40

11,080

6,771

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:

Class F, 0.795% 9/15/21 (b)(h)

1,537

632

Class G, 0.815% 9/15/21 (b)(h)

3,036

1,111

Class H, 0.855% 9/15/21 (b)(h)

783

271

Merrill Lynch-CFC Commercial Mortgage Trust Series 2007-7 Class B, 5.75% 6/12/50

2,790

757

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.662% 7/15/19 (b)(h)

1,106

111

Series 2007-XCLA Class A1, 0.662% 7/17/17 (b)(h)

3,684

2,026

Series 2007-XLCA Class B, 0.9613% 7/17/17 (b)(h)

2,097

189

Series 2007-XLFA:

Class D, 0.652% 10/15/20 (b)(h)

897

224

Class E, 0.712% 10/15/20 (b)(h)

1,122

224

Class F, 0.762% 10/15/20 (b)(h)

673

121

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

floater:

Series 2007-XLFA:

Class G, 0.802% 10/15/20 (b)(h)

$ 832

$ 125

Class H, 0.892% 10/15/20 (b)(h)

524

52

Class J, 1.042% 10/15/20 (b)(h)

598

48

Class MHRO, 1.152% 10/15/20 (b)(h)

243

27

Class MJPM, 1.462% 10/15/20 (b)(h)

82

7

Class MSTR, 1.162% 10/15/20 (b)(h)

150

21

Class NHRO, 1.352% 10/15/20 (b)(h)

355

32

Class NSTR, 1.312% 10/15/20 (b)(h)

140

15

sequential payer:

Series 2006-HQ10 Class A4, 5.328% 11/12/41

7,620

5,059

Series 2007-HQ11 Class A31, 5.439% 2/20/44 (h)

17,270

11,215

Series 2007-IQ16 Class A4, 5.809% 12/12/49

23,610

14,588

Series 2007-T27 Class A4, 5.804% 6/11/42

8,517

5,296

Series 2007-XLC1:

Class C, 1.0613% 7/17/17 (b)(h)

2,862

229

Class D, 1.1613% 7/17/17 (b)(h)

1,347

94

Class E, 1.2613% 7/17/17 (b)(h)

1,094

66

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (b)(h)

236

194

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.655% 1/15/18 (b)(h)

1,716

944

Series 2006-WL7A:

Class E, 0.735% 9/15/21 (b)(h)

1,873

768

Class F, 0.795% 8/11/18 (b)(h)

2,525

757

Class G, 0.815% 8/11/18 (b)(h)

2,392

598

Class J, 0.9331% 8/11/18 (b)(h)

532

191

Class X1A, 0.0239% 9/15/21 (b)(h)(j)

3,806

0*

Series 2007-WHL8:

Class AP1, 1.155% 6/15/20 (b)(h)

126

31

Class AP2, 1.255% 6/15/20 (b)(h)

206

41

Class F, 0.935% 6/15/20 (b)(h)

3,993

1,278

Class LXR2, 1.255% 6/15/20 (b)(h)

2,722

408

sequential payer Series 2007-C32 Class A3, 5.7407% 6/15/49 (h)

29,290

15,297

Series 2007-C31 Class C, 5.6924% 4/15/47 (h)

8,950

1,074

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $248,855)

193,456

Supranational Obligations - 0.0%

 

Principal Amount (000s)

Value (000s)

Corporacion Andina de Fomento:

5.2% 5/21/13

$ 875

$ 770

6.875% 3/15/12

880

843

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $1,743)

1,613

Fixed-Income Funds - 29.9%

Shares

 

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

2,086,859

148,021

Fidelity Commercial Mortgage-Backed Securities Central Fund (i)

7,974,388

542,258

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

2,670,805

245,687

Fidelity Mortgage Backed Securities Central Fund (i)

14,810,519

1,480,608

Fidelity Specialized High Income Central Fund (i)

2,535,452

197,055

TOTAL FIXED-INCOME FUNDS

(Cost $2,995,168)

2,613,629

Preferred Securities - 0.1%

Principal Amount (000s)

 

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

MUFG Capital Finance 1 Ltd. 6.346% (h)

(Cost $12,535)

$ 12,535

7,846

Cash Equivalents - 0.7%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) #
(Cost $59,251)

$ 59,252

59,251

TOTAL INVESTMENT PORTFOLIO - 102.9%

(Cost $9,936,827)

8,998,191

NET OTHER ASSETS - (2.9)%

(255,061)

NET ASSETS - 100%

$ 8,743,130

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

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 (Rating-Ba2) (f)

Nov. 2034

$ 2,971

$ (2,752)

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 (Rating-B1) (f)

Oct. 2034

957

(514)

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 (Rating-Baa3) (f)

May 2033

2,971

(2,496)

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 (Rating-C) (f)

Oct. 2036

2,274

(2,195)

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, 9.01% 8/25/34 (Rating-C) (f)

Sept. 2034

868

(798)

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

233

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

June 2013

13,600

1,342

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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

$ 2,997

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

291

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

9,200

(8,878)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

25,000

(24,125)

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 ABX AA 07-01 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

18,700

(18,046)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

5,600

(5,404)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

10,200

(9,843)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

16,700

(16,116)

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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 (Rating-Ba1) (f)

Oct. 2034

$ 9,300

$ (8,312)

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 (Rating-Baa3) (f)

Feb. 2035

3,200

(3,018)

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 (Rating-Baa2) (f)

August 2034

717

(422)

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 (Rating-Caa2) (f)

June 2035

3,200

(3,034)

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 (Rating-A3) (f)

Oct. 2034

889

(527)

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 (Rating-Baa3) (f)

April 2032

262

(213)

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 (Rating-Baa3) (f)

March 2034

95

(6)

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 (Rating-Ba2) (f)

Feb. 2034

$ 4

$ (3)

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 (Rating-Ca) (f)

August 2035

4,750

(4,460)

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 (Rating-A3) (f)

Sept. 2010

11,200

(375)

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 (Rating-Baa2) (f)

March 2013

13,500

(5,659)

TOTAL CREDIT DEFAULT SWAPS

182,798

(112,333)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 4.4248% and pay quarterly a floating rate based on 3-month LIBOR with Barclays Bank

Oct. 2018

100,000

10,728

 

$ 282,798

$ (101,605)

Legend

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

(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 $569,081,000 or 6.5% of net assets.

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

(d) A portion of the security is subject to a forward commitment to sell.

(e) Security or a portion of the security has been segregated as collateral for swap agreements. At the period end, the value of securities pledged amounted to$144,388,000, of which $104,161 is segregated at the custodian for terminated contracts with Lehman Brothers Special Financing, Inc.

(f) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

(g) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

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

(i) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited 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 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.

(j) 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.

(k) Non-income producing.

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$59,251,000 due 3/02/09 at 0.26%

Goldman, Sachs & Co.

$ 23,232

UBS Securities LLC

36,019

 

$ 59,251

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

$ 4,002

Fidelity Commercial Mortgage-Backed Securities Central Fund

20,444

Fidelity Corporate Bond 1-5 Year Central Fund

8,948

Fidelity Mortgage Backed Securities Central Fund

49,230

Fidelity Specialized High Income Central Fund

7,568

Fidelity Ultra-Short Central Fund

5,737

Total

$ 95,929

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

$ 273,953

$ 4,002

$ 99,991

$ 148,021

18.2%

Fidelity Commercial Mortgage-Backed Securities Central Fund

804,720

20,444

105,088

542,258

23.2%

Fidelity Corporate Bond 1-5 Year Central Fund

454,435

8,948

190,295

245,687

69.1%

Fidelity Mortgage Backed Securities Central Fund

1,998,004

49,233

600,266

1,480,608

20.2%

Fidelity Specialized High Income Central Fund

195,170

32,861

-

197,055

51.0%

Fidelity Ultra-Short Central Fund

806,565

-

678,853*

-

0.0%

Total

$ 4,532,847

$ 115,488

$ 1,674,493

$ 2,613,629

*Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financial Statements.

Other Information

The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities

$ 8,998,191

$ 2,613,629

$ 6,327,387

$ 57,175

Other Financial Instruments*

$ (101,239)

$ -

$ (4,326)

$ (96,913)

*Other financial instruments include Forward Commitments, and Swap Agreements.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

(Amounts in thousands)

Investments in Securities

Other Financial Instruments

Beginning Balance

$ 714

$ (38,155)

Total Realized Gain (Loss)

629

-*

Total Unrealized Gain (Loss)

4,094

19,571

Cost of Purchases

59,042

-

Proceeds of Sales

(2,826)

-

Amortization/Accretion

(11,310)

-

Transfer in/out of Level 3

6,832

(78,329)

Ending Balance

$ 57,175

$ (96,913)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(25,184,000).

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At August 31, 2008, the fund had a capital loss carryforward of approximately $123,382,000 of which $107,051,000 and $16,331,000 will expire on August 31, 2014 and 2016, respectively.

The fund intends to elect to defer to its fiscal year ending August 31, 2009 approximately $92,508,000 of losses recognized during the period November 1, 2007 to August 31, 2008.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

February 28, 2009 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including repurchase agreements of $59,251) - See accompanying schedule:

Unaffiliated issuers (cost $6,941,659)

$ 6,384,562

 

Fidelity Central Funds (cost $2,995,168)

2,613,629

 

Total Investments (cost $9,936,827)

 

$ 8,998,191

Commitment to sell securities on a delayed delivery basis

(209,067)

Receivable for securities sold on a delayed delivery basis

209,433

366

Receivable for investments sold, regular delivery

137,473

Receivable for swap agreements

148

Receivable for fund shares sold

10,300

Interest receivable

55,790

Distributions receivable from Fidelity Central Funds

13,532

Unrealized appreciation on swaps agreements

15,591

Other receivables

69

Total assets

9,231,460

 

 

 

Liabilities

Payable to custodian bank

$ 23

Payable for investments purchased
Regular delivery

118,543

Delayed delivery

197,787

Payable for swap agreements

32,536

Payable for fund shares redeemed

17,414

Distributions payable

1,193

Unrealized depreciation on swap agreements

117,196

Accrued management fee

2,362

Distribution fees payable

56

Other affiliated payables

969

Other payables and accrued expenses

251

Total liabilities

488,330

 

 

 

Net Assets

$ 8,743,130

Net Assets consist of:

 

Paid in capital

$ 10,399,036

Distributions in excess of net investment income

(23,566)

Accumulated undistributed net realized gain (loss) on investments

(607,454)

Net unrealized appreciation (depreciation) on investments

(1,024,886)

Net Assets

$ 8,743,130

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

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

 Amounts in thousands (except per-share amounts)

February 28, 2009 (Unaudited)

 

 

 

Calculation of Maximum Offering Price

 Class A:
Net Asset Value and redemption price per share ($118,496 ÷ 18,805 shares)

$ 6.30

 

 

 

Maximum offering price per share (100/96.00 of $6.30)

$ 6.56

Class T:
Net Asset Value and redemption price per share ($43,967 ÷ 6,974 shares)

$ 6.30

 

 

 

Maximum offering price per share (100/96.00 of $6.30)

$ 6.56

Class B:
Net Asset Value and offering price per share ($9,777 ÷ 1,550 shares)A

$ 6.31

 

 

 

Class C:
Net Asset Value and offering price per share ($18,940 ÷ 3,002 shares)A

$ 6.31

 

 

 

Investment Grade Bond:
Net Asset Value, offering price and redemption price per share ($8,528,345 ÷ 1,352,616 shares)

$ 6.31

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($23,605 ÷ 3,740 shares)

$ 6.31

A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

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

Semiannual Report

Statement of Operations

 Amounts in thousands

Six months ended February 28, 2009 (Unaudited)

 

 

 

Investment Income

 

 

Dividends

 

$ 486

Interest

 

117,621

Income from Fidelity Central Funds

 

95,929

Total income

 

214,036

 

 

 

Expenses

Management fee

$ 14,362

Transfer agent fees

4,579

Distribution fees

284

Fund wide operations fee

1,333

Independent trustees' compensation

17

Miscellaneous

209

Total expenses before reductions

20,784

Expense reductions

(38)

20,746

Net investment income

193,290

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

(44,864)

Fidelity Central Funds

(369,587)

 

Swap agreements

(31,097)

 

Total net realized gain (loss)

 

(445,548)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(361,689)

Swap agreements

33,130

Delayed delivery commitments

2,681

 

Total change in net unrealized appreciation (depreciation)

 

(325,878)

Net gain (loss)

(771,426)

Net increase (decrease) in net assets resulting from operations

$ (578,136)

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended February 28, 2009 (Unaudited)

Year ended
August 31,
2008

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income

$ 193,290

$ 545,862

Net realized gain (loss)

(445,548)

(26,541)

Change in net unrealized appreciation (depreciation)

(325,878)

(414,694)

Net increase (decrease) in net assets resulting from operations

(578,136)

104,627

Distributions to shareholders from net investment income

(250,069)

(516,873)

Distributions to shareholders from net realized gain

-

(11,157)

Total distributions

(250,069)

(528,030)

Share transactions - net increase (decrease)

(431,495)

(1,526,467)

Total increase (decrease) in net assets

(1,259,700)

(1,949,870)

 

 

 

Net Assets

Beginning of period

10,002,830

11,952,700

End of period (including distributions in excess of net investment income of $23,566 and undistributed net investment income of $33,213, respectively)

$ 8,743,130

$ 10,002,830

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

Semiannual Report

Financial Highlights - Class A

 

Six months ended
February 28, 2009
Years ended August 31,
 
 
(Unaudited)
2008
2007
2006 L
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.89

$ 7.18

$ 7.35

$ 7.24

$ 7.50

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income E

  .127

  .331

  .353

  .118

  .298

  .237

  .224

Net realized and unrealized gain (loss)

  (.547)

  (.303)

  (.161)

  .092

  (.206)

  .131

  (.095)

Total from investment operations

  (.420)

  .028

  .192

  .210

  .092

  .368

  .129

Distributions from net investment income

  (.170)

  (.311)

  (.352)

  (.100)

  (.282)

  (.238)

  (.229)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.170)

  (.318)

  (.362)

  (.100)

  (.352)

  (.338)

  (.359)

Net asset value, end of period

$ 6.30

$ 6.89

$ 7.18

$ 7.35

$ 7.24

$ 7.50

$ 7.47

Total Return B, C, D

  (6.10)%

  .36%

  2.61%

  2.92%

  1.23%

  5.03%

  1.68%

Ratios to Average Net Assets F, H

 

 

 

 

 

 

 

Expenses before reductions

  .80% A

  .80%

  .75%

  .71% A

  .71%

  .83%

  .83%

Expenses net of fee waivers, if any

  .80% A

  .80%

  .75%

  .71% A

  .71%

  .83%

  .83%

Expenses net of all reductions

  .80% A

  .80%

  .74%

  .71% A

  .71%

  .83%

  .83%

Net investment income

  4.01% A

  4.67%

  4.83%

  4.86% A

  4.04%

  3.17%

  2.96%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 118

$ 79

$ 79

$ 46

$ 37

$ 31

$ 22

Portfolio turnover rate G

  129% A, I

  231%

  181% K

  206%A,I

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate does not include the assets acquired in the merger. J For the period ended April 30. K Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. L For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Class T

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 L
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.89

$ 7.18

$ 7.35

$ 7.24

$ 7.51

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income E

  .128

  .332

  .350

  .116

  .290

  .230

  .214

Net realized and unrealized gain (loss)

  (.549)

  (.303)

  (.163)

  .091

  (.216)

  .141

  (.094)

Total from investment operations

  (.421)

  .029

  .187

  .207

  .074

  .371

  .120

Distributions from net investment income

  (.169)

  (.312)

  (.347)

  (.097)

  (.274)

  (.231)

  (.220)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.169)

  (.319)

  (.357)

  (.097)

  (.344)

  (.331)

  (.350)

Net asset value, end of period

$ 6.30

$ 6.89

$ 7.18

$ 7.35

$ 7.24

$ 7.51

$ 7.47

Total Return B, C, D

  (6.11)%

  .36%

  2.54%

  2.89%

  .98%

  5.07%

  1.56%

Ratios to Average Net Assets F, H

 

 

 

 

 

 

 

Expenses before reductions

  .83% A

  .80%

  .80%

  .82% A

  .83%

  .93%

  .96%

Expenses net of fee waivers, if any

  .83% A

  .80%

  .80%

  .82% A

  .83%

  .93%

  .95%

Expenses net of all reductions

  .83% A

  .79%

  .79%

  .81% A

  .83%

  .93%

  .95%

Net investment income

  3.99% A

  4.67%

  4.77%

  4.76% A

  3.92%

  3.07%

  2.84%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 44

$ 53

$ 68

$ 59

$ 57

$ 48

$ 30

Portfolio turnover rate G

  129% A, I

  231%

  181% K

  206% A,I

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate does not include the assets acquired in the merger. J For the period ended April 30. K Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. L For the fourth month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Class B

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 L
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.89

$ 7.19

$ 7.36

$ 7.24

$ 7.51

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income E

  .105

  .281

  .299

  .099

  .239

  .180

  .166

Net realized and unrealized gain (loss)

  (.538)

  (.313)

  (.164)

  .102

  (.216)

  .140

  (.095)

Total from investment operations

  (.433)

  (.032)

  .135

  .201

  .023

  .320

  .071

Distributions from net investment income

  (.147)

  (.261)

  (.295)

  (.081)

  (.223)

  (.180)

  (.171)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.147)

  (.268)

  (.305)

  (.081)

  (.293)

  (.280)

  (.301)

Net asset value, end of period

$ 6.31

$ 6.89

$ 7.19

$ 7.36

$ 7.24

$ 7.51

$ 7.47

Total Return B, C, D

  (6.29)%

  (.49)%

  1.83%

  2.79%

  .28%

  4.37%

  .90%

Ratios to Average Net Assets F, H

 

 

 

 

 

 

 

Expenses before reductions

  1.52% A

  1.50%

  1.50%

  1.50% A

  1.51%

  1.64%

  1.63%

Expenses net of fee waivers, if any

  1.52% A

  1.50%

  1.50%

  1.50% A

  1.51%

  1.60%

  1.60%

Expenses net of all reductions

  1.52% A

  1.50%

  1.50%

  1.50% A

  1.51%

  1.59%

  1.60%

Net investment income

  3.29% A

  3.96%

  4.07%

  4.07% A

  3.24%

  2.40%

  2.19%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 10

$ 9

$ 10

$ 9

$ 9

$ 9

$ 9

Portfolio turnover rate G

  129% A, I

  231%

  181% K

  206% A,I

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate does not include the assets acquired in the merger. J For the period ended April 30. K Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. L For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Class C

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 L
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.90

$ 7.19

$ 7.36

$ 7.24

$ 7.51

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income E

  .103

  .278

  .294

  .097

  .233

  .176

  .161

Net realized and unrealized gain (loss)

  (.549)

  (.304)

  (.163)

  .102

  (.216)

  .140

  (.095)

Total from investment operations

  (.446)

  (.026)

  .131

  .199

  .017

  .316

  .066

Distributions from net investment income

  (.144)

  (.257)

  (.291)

  (.079)

  (.217)

  (.176)

  (.166)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.144)

  (.264)

  (.301)

  (.079)

  (.287)

  (.276)

  (.296)

Net asset value, end of period

$ 6.31

$ 6.90

$ 7.19

$ 7.36

$ 7.24

$ 7.51

$ 7.47

Total Return B, C, D

  (6.46)%

  (.40)%

  1.77%

  2.76%

  .20%

  4.30%

  .84%

Ratios to Average Net Assets F, H

 

 

 

 

 

 

 

Expenses before reductions

  1.59% A

  1.55%

  1.55%

  1.58% A

  1.60%

  1.67%

  1.66%

Expenses net of fee waivers, if any

  1.59% A

  1.55%

  1.55%

  1.58% A

  1.60%

  1.66%

  1.66%

Expenses net of all reductions

  1.59% A

  1.55%

  1.55%

  1.58% A

  1.60%

  1.66%

  1.66%

Net investment income

  3.22% A

  3.91%

  4.02%

  3.99% A

  3.15%

  2.34%

  2.13%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 19

$ 14

$ 17

$ 10

$ 9

$ 7

$ 7

Portfolio turnover rate G

  129% A, I

  231%

  181% K

  206% A,I

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate does not include the assets acquired in the merger. J For the period ended April 30. K Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. L For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Investment Grade Bond

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 K
2006 I
2005 I
2004 I

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.89

$ 7.19

$ 7.35

$ 7.24

$ 7.50

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income D

  .139

  .356

  .376

  .124

  .317

  .254

  .240

Net realized and unrealized gain (loss)

  (.539)

  (.313)

  (.153)

  .092

  (.206)

  .130

  (.095)

Total from investment operations

  (.400)

  .043

  .223

  .216

  .111

  .384

  .145

Distributions from net investment income

  (.180)

  (.336)

  (.373)

  (.106)

  (.301)

  (.254)

  (.245)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.180)

  (.343)

  (.383)

  (.106)

  (.371)

  (.354)

  (.375)

Net asset value, end of period

$ 6.31

$ 6.89

$ 7.19

$ 7.35

$ 7.24

$ 7.50

$ 7.47

Total Return B, C

  (5.79)%

  .57%

  3.05%

  3.01%

  1.48%

  5.26%

  1.89%

Ratios to Average Net Assets E, G

 

 

 

 

 

 

 

Expenses before reductions

  .46% A

  .45%

  .45%

  .45% A

  .46%

  .61%

  .63%

Expenses net of fee waivers, if any

  .46% A

  .45%

  .45%

  .45% A

  .46%

  .61%

  .63%

Expenses net of all reductions

  .46% A

  .44%

  .44%

  .45% A

  .46%

  .61%

  .63%

Net investment income

  4.35% A

  5.02%

  5.13%

  5.12% A

  4.29%

  3.39%

  3.16%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 8,528

$ 9,814

$ 11,739

$ 10,141

$ 8,018

$ 6,721

$ 5,735

Portfolio turnover rate F

  129% A, H

  231%

  181% J

  206% A,H

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H The portfolio turnover rate does not include the assets acquired in the merger. I For the period ended April 30. J Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. K For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Institutional Class

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 K
2006 I
2005 I
2004 I

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.90

$ 7.19

$ 7.36

$ 7.25

$ 7.51

$ 7.48

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income D

  .138

  .353

  .374

  .124

  .313

  .254

  .233

Net realized and unrealized gain (loss)

  (.550)

  (.303)

  (.163)

  .091

  (.205)

  .129

  (.078)

Total from investment operations

  (.412)

  .050

  .211

  .215

  .108

  .383

  .155

Distributions from net investment income

  (.178)

  (.333)

  (.371)

  (.105)

  (.298)

  (.253)

  (.245)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.178)

  (.340)

  (.381)

  (.105)

  (.368)

  (.353)

  (.375)

Net asset value, end of period

$ 6.31

$ 6.90

$ 7.19

$ 7.36

$ 7.25

$ 7.51

$ 7.48

Total Return B, C

  (5.96)%

  .66%

  2.88%

  2.99%

  1.44%

  5.24%

  2.04%

Ratios to Average Net Assets E, G

 

 

 

 

 

 

 

Expenses before reductions

  .52% A

  .50%

  .48%

  .49% A

  .50%

  .59%

  .64%

Expenses net of fee waivers, if any

  .52% A

  .50%

  .48%

  .49% A

  .50%

  .59%

  .64%

Expenses net of all reductions

  .52% A

  .49%

  .47%

  .49% A

  .50%

  .59%

  .64%

Net investment income

  4.29% A

  4.97%

  5.10%

  5.07% A

  4.25%

  3.40%

  3.15%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 23,605

$ 33,808

$ 41,276

$ 29,386

$ 25,776

$ 16,084

$ 2,840

Portfolio turnover rate F

  129% A, H

  231%

  181% J

  206% A,H

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H The portfolio turnover rate does not include the assets acquired in the merger. I For the period ended April 30. J Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. K For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Notes to Financial Statements

For the period ended February 28, 2009 (Unaudited)

(Amounts in thousands except ratios)

1. Organization.

Fidelity Investment Grade Bond Fund (the Fund) is a fund of Fidelity Fixed-Income Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C, Investment Grade Bond, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity 1-3 Year Duration Securitized Bond Central Fund

Fidelity Investment Money Management, Inc. (FIMM)

Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

Semiannual Report

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity Commercial Mortgage-Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed securities and repurchase agreements for those securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Corporate Bond 1-5 Year Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Mortgage Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.

Delayed Delivery & When Issued Securities

Futures

Repurchase Agreements

Swap Agreements

Fidelity Specialized High Income Central Fund

Fidelity Management & Research Company, Inc. (FMRC)

Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities.

Loans & Direct Debt Instruments

Repurchase Agreements

Restricted Securities

 

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies.

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

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 dealer supplied prices. Swaps are marked-to-market daily based on valuations from independent pricing services or 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 disposition 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 determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. 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 (NAV) calculation under these procedures may differ from published prices for the same securities.

Semiannual Report

3. Significant Accounting Policies - continued

Security Valuation - continued

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1

Quoted prices in active markets for identical securities.

Level 2

Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3

Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, swap agreements, market discount, partnerships (including allocations from Fidelity Central Funds, deferred trustees compensation, capital loss carryforwards, and losses deferred due to wash sales and excise tax regulations.

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

Unrealized appreciation

$ 99,592

Unrealized depreciation

(1,030,108)

Net unrealized appreciation (depreciation)

$ (930,516)

Cost for federal income tax purposes

$ 9,928,707

New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.

4. Operating Policies.

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to

Semiannual Report

4. Operating Policies - continued

Swap Agreements - continued

exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.

The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $142,558,000 representing 1.6% of net assets.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Swap Agreements - continued

The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $975,635 and $2,316,570, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.

In addition, under the expense contract, FMR pays all class-level expenses for Investment Grade Bond, so that the total expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees do not exceed .45% of the Class' average net assets. This agreement does not apply to any of the other classes and any change or modification that would increase expenses can only be made with shareholder approval.

FMR pays a portion of the management fees received from the Fund to the Fidelity Central Funds' investment advisers, who are also affiliates, for managing the assets of the Fidelity Central Funds.

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:

 

Distribution
Fee

Service
Fee

Paid to
FDC

Retained
by FDC

Class A

0%

.25%

$ 116

$ 8

Class T

0%

.25%

57

2

Class B

.65%

.25%

40

29

Class C

.75%

.25%

71

11

 

 

 

$ 284

$ 50

Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C,.75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

For the period, sales charge amounts retained by FDC were as follows:

 

Retained
by FDC

Class A

$ 6

Class T

3

Class B*

11

Class C*

1

 

$ 21

* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Investment Grade Bond. FIIOC receives an asset-based fee of .10% of Investment Grade Bond's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, each class paid the following transfer agent fees:

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

6. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

 

Amount

% of
Average
Net Assets*

Class A

$ 86

.19

Class T

49

.22

Class B

11

.25

Class C

15

.22

Investment Grade Bond

4,396

.10

Institutional Class

22

.17

 

$ 4,579

 

* Annualized

Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.

Other Affiliated Transactions. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $405,891 in return for its 6,492 of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $28 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

Semiannual Report

8. Expense Reductions.

Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $1. During the period, credits reduced each class' transfer agent expense as noted in the table below.

 

Transfer Agent
expense reduction

Investment Grade Bond

$ 37

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
February 28,
2009

Year ended
August 31,
2008

From net investment income

 

 

Class A

$ 2,495

$ 3,742

Class T

1,196

2,716

Class B

201

358

Class C

315

556

Investment Grade Bond

245,137

507,696

Institutional Class

725

1,805

Total

$ 250,069

$ 516,873

From net realized gain

 

 

Class A

$ -

$ 82

Class T

-

64

Class B

-

9

Class C

-

15

Investment Grade Bond

-

10,947

Institutional Class

-

40

Total

$ -

$ 11,157

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

10. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

Six months ended
February 28,
2009

Year ended
August 31,
2008

Six months ended
February 28,
2009

Year ended
August 31,
2008

Class A

 

 

 

 

Shares sold

5,251

6,217

$ 33,666

$ 44,378

Issued in exchange for shares of Capital One Total Return Bond Fund

5,452

-

33,750

-

Reinvestment of distributions

306

515

1,943

3,652

Shares redeemed

(3,734)

(6,144)

(24,124)

(43,427)

Net increase (decrease)

7,275

588

$ 45,235

$ 4,603

Class T

 

 

 

 

Shares sold

1,283

3,480

$ 8,252

$ 24,742

Reinvestment of distributions

181

382

1,152

2,711

Shares redeemed

(2,158)

(5,613)

(14,006)

(39,832)

Net increase (decrease)

(694)

(1,751)

$ (4,602)

$ (12,379)

Class B

 

 

 

 

Shares sold

487

446

$ 3,137

$ 3,206

Reinvestment of distributions

25

39

157

280

Shares redeemed

(281)

(537)

(1,811)

(3,818)

Net increase (decrease)

231

(52)

$ 1,483

$ (332)

Class C

 

 

 

 

Shares sold

1,391

846

$ 8,894

$ 6,043

Reinvestment of distributions

37

53

236

379

Shares redeemed

(424)

(1,238)

(2,735)

(8,831)

Net increase (decrease)

1,004

(339)

$ 6,395

$ (2,409)

Investment Grade Bond

 

 

 

 

Shares sold

184,785

235,999

$ 1,186,619

$ 1,676,819

Reinvestment of distributions

37,468

71,069

238,478

504,629

Shares redeemed

(293,639)

(516,730)

(1,897,724)

(3,691,519)

Net increase (decrease)

(71,386)

(209,662)

$ (472,627)

$ (1,510,071)

Institutional Class

 

 

 

 

Shares sold

801

2,395

$ 5,170

$ 16,310

Reinvestment of distributions

97

212

616

1,503

Shares redeemed

(2,059)

(3,445)

(13,165)

(23,692)

Net increase (decrease)

(1,161)

(838)

$ (7,379)

$ (5,879)

11. Other.

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

Semiannual Report

11. Other - continued

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

At the end of the period, Fidelity Freedom 2010 Fund and Fidelity Freedom 2020 Fund were the owners of record of approximately 10% and 12%, respectively, of the total outstanding shares of the Fund. The Fidelity Freedom Funds were the owners of record, in the aggregate, of approximately 42% of the total outstanding shares of the Fund.

Subsequent to period end, the Fidelity Freedom Funds sold all their shares of the Fund.

Effective after the close of business on April 17, 2009, the Fidelity Commercial Mortgage-Backed Securities Central Fund ("CMBS"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Directors in March 2009. Under the plan, the Fund received in-kind its pro rata portion of CMBS' net assets.

In March 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.

12. Credit Risk.

The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

13. Merger Information.

On November 21, 2008, the Fund acquired all of the assets and assumed all of the liabilities (other than any deferred, accrued or prepaid expenses) of Capital One Total Return Bond Fund pursuant to an agreement and plan of reorganization approved by the Board of Trustees on June 19, 2008. The acquisition was accomplished by an exchange of 5,452 shares of Class A of the Fund for 3,655 shares then outstanding (value at $9.23 per share) of Capital One Total Return Bond Fund. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders. The Capital One Total Return Bond Fund's net assets were combined with the Fund's net assets of $8,459,080 for total net assets after the acquisition of $8,492,830.

Semiannual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)

Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555

Press

fid140For mutual fund and brokerage trading.

fid142For quotes.*

fid144For account balances and holdings.

fid146To review orders and mutual
fund activity.

fid148To change your PIN.

fid150fid152To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)

Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.

Semiannual Report

To Visit Fidelity

For directions and hours, 
please call 1-800-544-9797.

Arizona

7001 West Ray Road
Chandler, AZ

15445 N. Scottsdale Road
Scottsdale, AZ

California

815 East Birch Street
Brea, CA

1411 Chapin Avenue
Burlingame, CA

851 East Hamilton Avenue
Campbell, CA

19200 Von Karman Avenue
Irvine, CA

601 Larkspur Landing Circle
Larkspur, CA

2000 Avenue of the Stars
Los Angeles, CA

27101 Puerta Real
Mission Viejo, CA

73-575 El Paseo
Palm Desert, CA

251 University Avenue
Palo Alto, CA

123 South Lake Avenue
Pasadena, CA

16656 Bernardo Ctr. Drive
Rancho Bernardo, CA

1220 Roseville Parkway
Roseville, CA

1740 Arden Way
Sacramento, CA

7676 Hazard Center Drive
San Diego, CA

11943 El Camino Real
San Diego, CA

8 Montgomery Street
San Francisco, CA

3793 State Street
Santa Barbara, CA

1200 Wilshire Boulevard
Santa Monica, CA

398 West El Camino Real
Sunnyvale, CA

111 South Westlake Blvd
Thousand Oaks, CA

21701 Hawthorne Boulevard
Torrance, CA

2001 North Main Street
Walnut Creek, CA

6326 Canoga Avenue
Woodland Hills, CA

Colorado

281 East Flatiron Circle
Broomfield, CO

1625 Broadway
Denver, CO

9185 Westview Road
Lone Tree, CO

Connecticut

48 West Putnam Avenue
Greenwich, CT

265 Church Street
New Haven, CT

300 Atlantic Street
Stamford, CT

29 South Main Street
West Hartford, CT

Delaware

400 Delaware Avenue
Wilmington, DE

Florida

175 East Altamonte Drive
Altamonte Springs, FL

4400 N. Federal Highway
Boca Raton, FL

121 Alhambra Plaza
Coral Gables, FL

2948 N. Federal Highway
Ft. Lauderdale, FL

4671 Town Center Parkway
Jacksonville, FL

8880 Tamiami Trail, North
Naples, FL

230 Royal Palm Way
Palm Beach, FL

3501 PGA Boulevard
Palm Beach Gardens, FL

3550 Tamiami Trail, South
Sarasota, FL

1502 N. Westshore Blvd.
Tampa, FL

2465 State Road 7
Wellington, FL

Georgia

3445 Peachtree Road, N.E.
Atlanta, GA

1000 Abernathy Road
Atlanta, GA

Illinois

One North LaSalle Street
Chicago, IL

401 North Michigan Avenue
Chicago, IL

One Skokie Valley Road
Highland Park, IL

1415 West 22nd Street
Oak Brook, IL

15105 S LaGrange Road
Orland Park, IL

1572 East Golf Road
Schaumburg, IL

Indiana

4729 East 82nd Street
Indianapolis, IN

8480 Keystone Crossing
Indianapolis, IN

Kansas

5400 College Boulevard
Overland Park, KS

Maine

Three Canal Plaza
Portland, ME

Maryland

7315 Wisconsin Avenue
Bethesda, MD

610 York Road
Towson, MD

Massachusetts

801 Boylston Street
Boston, MA

155 Congress Street
Boston, MA

300 Granite Street
Braintree, MA

44 Mall Road
Burlington, MA

238 Main Street
Cambridge, MA

200 Endicott Street
Danvers, MA

Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC

Semiannual Report

405 Cochituate Road
Framingham, MA

551 Boston Turnpike
Shrewsbury, MA

Michigan

500 E. Eisenhower Pkwy.
Ann Arbor, MI

280 Old N. Woodward Ave.
Birmingham, MI

30200 Northwestern Hwy.
Farmington Hills, MI

43420 Grand River Avenue
Novi, MI

Minnesota

7740 France Avenue South
Edina, MN

8342 3rd Street North
Oakdale, MN

Missouri

1524 South Lindbergh Blvd.
St. Louis, MO

Nevada

2225 Village Walk Drive
Henderson, NV

New Jersey

501 Route 73 South
Marlton, NJ

150 Essex Street
Millburn, NJ

35 Morris Street
Morristown, NJ

396 Route 17, North
Paramus, NJ

3518 Route 1 North
Princeton, NJ

530 Broad Street
Shrewsbury, NJ

New Mexico

2261 Q Street NE
Albuquerque, NM

New York

1130 Franklin Avenue
Garden City, NY

37 West Jericho Turnpike
Huntington Station, NY

1271 Avenue of the Americas
New York, NY

980 Madison Avenue
New York, NY

61 Broadway
New York, NY

350 Park Avenue
New York, NY

200 Fifth Avenue
New York, NY

733 Third Avenue
New York, NY

11 Penn Plaza
New York, NY

2070 Broadway
New York, NY

1075 Northern Blvd.
Roslyn, NY

799 Central Park Avenue
Scarsdale, NY

North Carolina

4611 Sharon Road
Charlotte, NC

7011 Fayetteville Road
Durham, NC

Ohio

3805 Edwards Road
Cincinnati, OH

1324 Polaris Parkway
Columbus, OH

1800 Crocker Road
Westlake, OH

28699 Chagrin Boulevard
Woodmere Village, OH

Oregon

7493 SW Bridgeport Road
Tigard, OR

Pennsylvania

600 West DeKalb Pike
King of Prussia, PA

1735 Market Street
Philadelphia, PA

12001 Perry Highway
Wexford, PA

Rhode Island

10 Memorial Boulevard
Providence, RI

Tennessee

3018 Peoples Street
Johnson City, TN

7628 West Farmington Blvd.
Germantown, TN

2035 Mallory Lane
Franklin, TN

Texas

10000 Research Boulevard
Austin, TX

4001 Northwest Parkway
Dallas, TX

12532 Memorial Drive
Houston, TX

2701 Drexel Drive
Houston, TX

6560 Fannin Street
Houston, TX

1701 Lake Robbins Drive
The Woodlands, TX

6500 N. MacArthur Blvd.
Irving, TX

6005 West Park Boulevard
Plano, TX

14100 San Pedro
San Antonio, TX

1576 East Southlake Blvd.
Southlake, TX

Utah

279 West South Temple
Salt Lake City, UT

Virginia

1861 International Drive
McLean, VA

Washington

10500 NE 8th Street
Bellevue, WA

1518 6th Avenue
Seattle, WA

Washington, DC

1900 K Street, N.W.
Washington, DC

Wisconsin

16020 West Bluemound Road
Brookfield, WI

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

Fidelity Research & Analysis Company

Fidelity Investments Money
Management, Inc.

FIL Investment Advisors

FIL Investment Advisors
(U.K.) Ltd.

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Japan) Inc.

Fidelity Management & Research
(Hong Kong) Limited

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

Exchanges/Redemptions
and Account Assistance 1-800-544-6666

Product Information 1-800-544-6666

Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)

TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)

Fidelity Automated Service
Telephone (FAST®) fid154 1-800-544-5555

fid154 Automated line for quickest service 

IGB-USAN-0409
1.784858.105

fid157

(Fidelity Investment logo)(registered trademark)
Fidelity Advisor
Investment Grade Bond
Fund - Class A, Class T, Class B
and Class C

Semiannual Report

February 28, 2009

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

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized Expense Ratio

Beginning
Account Value
September 1, 2008

Ending
Account Value
February 28, 2009

Expenses Paid
During Period*
September 1, 2008
to February 28, 2009

Class A

.80%

 

 

 

Actual

 

$ 1,000.00

$ 939.00

$ 3.85

HypotheticalA

 

$ 1,000.00

$ 1,020.83

$ 4.01

Class T

.83%

 

 

 

Actual

 

$ 1,000.00

$ 938.90

$ 3.99

HypotheticalA

 

$ 1,000.00

$ 1,020.68

$ 4.16

Class B

1.52%

 

 

 

Actual

 

$ 1,000.00

$ 937.10

$ 7.30

HypotheticalA

 

$ 1,000.00

$ 1,017.26

$ 7.60

Class C

1.59%

 

 

 

Actual

 

$ 1,000.00

$ 935.40

$ 7.63

HypotheticalA

 

$ 1,000.00

$ 1,016.91

$ 7.95

Investment Grade Bond

.46%

 

 

 

Actual

 

$ 1,000.00

$ 942.10

$ 2.22

HypotheticalA

 

$ 1,000.00

$ 1,022.51

$ 2.31

Institutional Class

.52%

 

 

 

Actual

 

$ 1,000.00

$ 940.40

$ 2.50

HypotheticalA

 

$ 1,000.00

$ 1,022.22

$ 2.61

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report

Investment Changes (Unaudited)

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

Quality Diversification (% of fund's net assets)

As of February 28, 2009

As of August 31, 2008

fid98

U.S. Government and
U.S. Government
Agency Obligations 64.2%

 

fid98

U.S. Government and
U.S. Government
Agency Obligations 58.4%

 

fid101

AAA 10.8%

 

fid101

AAA 13.4%

 

fid104

AA 3.2%

 

fid104

AA 5.7%

 

fid107

A 8.8%

 

fid107

A 9.8%

 

fid110

BBB 17.8%

 

fid110

BBB 20.0%

 

fid113

BB and Below 5.1%

 

fid113

BB and Below 4.3%

 

fid116

Not Rated 0.3%

 

fid116

Not Rated 0.4%

 

fid119

Short-Term
Investments and
Net Other Assets† (10.2)%

 

fid119

Short-Term
Investments and
Net Other Assets† (12.0)%

 


fid181

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades.

Weighted Average Maturity as of February 28, 2009

 

 

6 months ago

Years

6.1

6.2

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

Duration as of February 28, 2009

 

 

6 months ago

Years

3.8

4.7

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

Asset Allocation (% of fund's net assets)

As of February 28, 2009 *

As of August 31, 2008 **

fid98

Corporate Bonds 30.7%

 

fid98

Corporate Bonds 33.6%

 

fid101

U.S. Government and
U.S. Government
Agency Obligations 64.2%

 

fid101

U.S. Government and
U.S. Government
Agency Obligations 58.4%

 

fid104

Asset-Backed
Securities 4.5%

 

fid104

Asset-Backed
Securities 5.8%

 

fid107

CMOs and Other Mortgage Related Securities 10.6%

 

fid107

CMOs and Other Mortgage Related Securities 13.3%

 

fid110

Municipal Bonds 0.0%

 

fid110

Municipal Bonds 0.6%

 

fid113

Other Investments 0.2%

 

fid113

Other Investments 0.3%

 

fid119

Short-Term
Investments and
Net Other Assets† (10.2)%

 

fid119

Short-Term
Investments and
Net Other Assets† (12.0)%

 

fid197

* Foreign investments

6.4%

 

** Foreign investments

10.5%

 

* Futures and Swaps

1.4%

 

** Futures and Swaps

0.5%

 

†Short-term Investments and Net Other Assets are not included in the pie chart.

A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any 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.

Semiannual Report

Investments February 28, 2009 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 25.9%

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 2.1%

Automobiles - 0.1%

Ford Motor Co. 7.45% 7/16/31

$ 40,245

$ 7,546

Household Durables - 0.0%

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

2,745

1,895

Media - 1.7%

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

22,380

22,712

Comcast Corp.:

4.95% 6/15/16

15,874

14,188

5.9% 3/15/16

9,300

8,767

COX Communications, Inc.:

6.25% 6/1/18 (b)

2,536

2,228

6.45% 12/1/36 (b)

14,215

11,402

6.95% 6/1/38 (b)

7,041

5,901

Liberty Media Corp.:

5.7% 5/15/13

8,500

6,428

8.25% 2/1/30

19,105

11,123

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

6,015

5,224

News America, Inc.:

6.15% 3/1/37

6,365

4,953

6.2% 12/15/34

4,570

3,473

6.9% 3/1/19 (b)

7,150

6,770

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

35,779

32,356

Viacom, Inc.:

6.125% 10/5/17

9,190

7,563

6.75% 10/5/37

8,475

6,140

 

149,228

Specialty Retail - 0.3%

Staples, Inc. 9.75% 1/15/14

20,510

21,518

TOTAL CONSUMER DISCRETIONARY

180,187

CONSUMER STAPLES - 1.4%

Beverages - 0.3%

Anheuser-Busch InBev Worldwide, Inc. 8.2% 1/15/39 (b)

10,900

10,568

Diageo Capital PLC 5.2% 1/30/13

3,020

3,074

FBG Finance Ltd. 5.125% 6/15/15 (b)

11,020

9,360

 

23,002

Food & Staples Retailing - 0.1%

CVS Caremark Corp. 6.302% 6/1/37 (h)

14,340

8,819

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Food Products - 0.3%

Kraft Foods, Inc.:

4.125% 11/12/09

$ 6,360

$ 6,433

6% 2/11/13

3,380

3,523

6.25% 6/1/12

6,081

6,433

6.875% 2/1/38

9,031

8,957

 

25,346

Tobacco - 0.7%

Altria Group, Inc.:

9.25% 8/6/19

11,164

11,379

9.7% 11/10/18

11,828

12,384

Philip Morris International, Inc. 6.375% 5/16/38

12,770

12,561

Reynolds American, Inc.:

6.75% 6/15/17

15,115

12,766

7.25% 6/15/37

22,265

16,207

 

65,297

TOTAL CONSUMER STAPLES

122,464

ENERGY - 3.8%

Energy Equipment & Services - 0.5%

BJ Services Co. 6% 6/1/18

14,255

13,122

DCP Midstream LLC:

6.75% 9/15/37 (b)

7,295

5,341

9.75% 3/15/19 (b)

8,334

8,080

Transocean Ltd.:

6% 3/15/18

5,000

4,719

6.8% 3/15/38

4,060

3,710

Weatherford International Ltd.:

6% 3/15/18

5,650

4,687

9.625% 3/1/19

7,000

7,150

 

46,809

Oil, Gas & Consumable Fuels - 3.3%

Anadarko Finance Co. 6.75% 5/1/11

7,335

7,437

Anadarko Petroleum Corp.:

5.95% 9/15/16

6,661

5,929

6.45% 9/15/36

9,885

7,549

Canadian Natural Resources Ltd.:

5.7% 5/15/17

7,170

6,332

5.9% 2/1/18

2,830

2,499

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Chevron Corp. 3.95% 3/3/14

$ 24,991

$ 25,134

ConocoPhillips:

4.4% 5/15/13

50,000

49,959

5.75% 2/1/19

11,897

11,642

6.5% 2/1/39

7,891

7,648

Duke Energy Field Services 7.875% 8/16/10

7,580

7,671

EnCana Corp. 4.75% 10/15/13

2,269

2,135

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

4,315

4,415

Nakilat, Inc. 6.067% 12/31/33 (b)

12,415

8,105

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

5,985

3,805

Nexen, Inc.:

5.875% 3/10/35

10,560

7,198

6.4% 5/15/37

7,730

5,455

Pemex Project Funding Master Trust 2.82% 12/3/12 (b)(h)

11,870

10,149

Petro-Canada:

6.05% 5/15/18

4,170

3,437

6.8% 5/15/38

10,305

7,589

Petroleos Mexicanos 8% 5/3/19 (b)

6,517

6,403

Suncor Energy, Inc.:

6.1% 6/1/18

12,820

10,565

6.5% 6/15/38

2,565

1,754

6.85% 6/1/39

11,275

8,203

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

11,230

7,670

TEPPCO Partners LP:

6.65% 4/15/18

11,620

9,797

7.55% 4/15/38

10,010

7,783

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

22,035

20,583

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

4,050

3,884

Valero Energy Corp. 6.625% 6/15/37

5,740

4,383

XTO Energy, Inc.:

5.9% 8/1/12

6,352

6,296

6.25% 8/1/17

9,995

9,684

6.75% 8/1/37

5,265

4,696

 

285,789

TOTAL ENERGY

332,598

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - 10.6%

Capital Markets - 2.4%

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

$ 21,590

$ 22,347

BlackRock, Inc. 6.25% 9/15/17

12,840

12,210

Goldman Sachs Group, Inc.:

5.45% 11/1/12

4,880

4,704

5.95% 1/18/18

10,230

9,144

6.15% 4/1/18

9,490

8,623

7.5% 2/15/19

14,350

14,213

Janus Capital Group, Inc. 6.125% 9/15/11

2,605

1,823

JPMorgan Chase Capital XVII 5.85% 8/1/35

3,865

2,579

JPMorgan Chase Capital XX 6.55% 9/29/36

96,700

68,394

Lazard Group LLC:

6.85% 6/15/17

5,200

3,886

7.125% 5/15/15

16,430

12,472

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

23,797

19,800

Morgan Stanley 1.6975% 1/9/14 (h)

40,435

27,099

 

207,294

Commercial Banks - 1.7%

Bank of America NA 6% 10/15/36

8,150

5,604

Bank One Corp. 5.25% 1/30/13

13,775

13,381

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

1,220

589

Credit Suisse (Guernsey) Ltd. 5.86%

13,520

4,415

Credit Suisse First Boston 6% 2/15/18

17,850

16,194

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

9,731

9,395

DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (b)(h)

1,564

1,235

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

7,225

6,486

Fifth Third Bancorp:

4.5% 6/1/18

3,545

2,223

8.25% 3/1/38

2,904

2,104

HBOS PLC 6.75% 5/21/18 (b)

6,489

5,209

HSBC Holdings PLC:

1.6125% 10/6/16 (h)

1,537

1,233

6.5% 5/2/36

11,470

10,146

6.5% 9/15/37

5,010

4,361

KeyCorp Capital Trust VII 5.7% 6/15/35

16,490

9,070

Korea Development Bank 5.75% 9/10/13

6,838

6,268

Manufacturers & Traders Trust Co. 2.935% 4/1/13 (b)(h)

969

811

Regions Bank 6.45% 6/26/37

3,200

2,086

Santander Issuances SA Unipersonal 1.885% 6/20/16 (b)(h)

4,691

3,532

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Sovereign Bank 2.88% 8/1/13 (h)

$ 2,199

$ 1,640

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

23,680

18,940

Wachovia Bank NA 5.85% 2/1/37

19,011

15,126

Wachovia Corp. 4.875% 2/15/14

1,791

1,601

Wells Fargo Bank NA 5.95% 8/26/36

11,449

9,487

 

151,136

Consumer Finance - 0.7%

SLM Corp.:

1.3194% 7/26/10 (h)

64,500

53,147

1.3894% 10/25/11 (h)

3,925

2,750

1.4594% 1/27/14 (h)

2,240

1,155

2.1963% 3/15/11 (h)

1,130

858

4.5% 7/26/10

2,325

1,838

5% 10/1/13

830

507

 

60,255

Diversified Financial Services - 1.2%

Bank of America Corp. 5.75% 12/1/17

16,395

13,834

BTM Curacao Holding NV 1.8975% 12/19/16 (b)(h)

2,541

1,963

Citigroup, Inc.:

5.3% 10/17/12

8,650

7,673

5.5% 4/11/13

13,702

12,407

6.125% 5/15/18

20,068

17,306

CME Group, Inc. 5.75% 2/15/14

5,028

5,060

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

10,173

10,694

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

3,296

3,062

Prime Property Funding, Inc.:

5.125% 6/1/15 (b)

13,035

8,603

5.5% 1/15/14 (b)

8,820

6,036

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

11,415

10,802

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

7,500

3,053

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

13,680

5,404

 

105,897

Insurance - 1.3%

Assurant, Inc. 5.625% 2/15/14

8,540

7,051

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

13,335

10,297

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

22,081

13,690

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

Liberty Mutual Group, Inc.:

6.7% 8/15/16 (b)

$ 15,840

$ 12,467

10.75% 6/15/88 (b)(h)

8,540

4,526

Lincoln National Corp. 7% 5/17/66 (h)

2,370

874

Metropolitan Life Global Funding I:

5.125% 11/9/11 (b)

7,540

7,358

5.125% 4/10/13 (b)

11,934

11,401

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

7,315

7,380

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

9,715

9,538

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

10,050

9,803

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

18,775

8,824

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

10,405

8,201

The Chubb Corp. 6.5% 5/15/38

4,535

4,217

 

115,627

Real Estate Investment Trusts - 2.8%

AMB Property LP:

5.9% 8/15/13

9,635

6,678

6.3% 6/1/13

9,785

6,899

Brandywine Operating Partnership LP:

5.625% 12/15/10

19,900

17,578

5.75% 4/1/12

6,713

3,692

Camden Property Trust 5.875% 11/30/12

6,435

5,534

Colonial Properties Trust:

4.75% 2/1/10

20,412

19,517

4.8% 4/1/11

2,650

2,283

5.5% 10/1/15

12,730

7,920

6.875% 8/15/12

5,000

3,976

Colonial Realty LP 6.05% 9/1/16

9,420

6,029

Developers Diversified Realty Corp.:

4.625% 8/1/10

975

688

5% 5/3/10

6,840

4,788

5.25% 4/15/11

8,195

4,033

5.375% 10/15/12

5,485

2,627

Duke Realty LP:

5.4% 8/15/14

10,700

7,299

5.5% 3/1/16

10,700

6,680

5.625% 8/15/11

4,860

4,141

5.875% 8/15/12

1,205

923

5.95% 2/15/17

2,540

1,570

6.25% 5/15/13

5,180

3,885

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

Duke Realty LP: - continued

6.5% 1/15/18

$ 8,800

$ 5,446

Equity One, Inc.:

6% 9/15/17

6,860

4,524

6.25% 1/15/17

4,535

3,084

Federal Realty Investment Trust:

5.4% 12/1/13

4,880

3,714

6% 7/15/12

3,355

2,760

6.2% 1/15/17

2,580

1,961

HRPT Properties Trust:

5.75% 11/1/15

2,925

1,931

6.65% 1/15/18

6,500

4,137

Liberty Property LP:

5.5% 12/15/16

6,665

4,596

6.375% 8/15/12

4,617

3,786

6.625% 10/1/17

6,640

4,797

Mack-Cali Realty LP:

5.05% 4/15/10

9,145

8,596

7.25% 3/15/09

4,110

4,103

7.75% 2/15/11

1,080

1,015

Reckson Operating Partnership LP:

5.15% 1/15/11

2,790

2,232

6% 3/31/16

2,600

1,540

Simon Property Group LP:

4.6% 6/15/10

8,400

8,047

5.1% 6/15/15

15,660

12,706

5.375% 6/1/11

3,565

3,321

5.45% 3/15/13

8,720

7,520

5.75% 5/1/12

4,015

3,493

7.75% 1/20/11

2,250

2,151

Tanger Properties LP 6.15% 11/15/15

17,300

12,769

UDR, Inc. 5.5% 4/1/14

10,720

8,498

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

3,645

2,816

Washington (REIT) 5.95% 6/15/11

10,660

9,287

 

245,570

Real Estate Management & Development - 0.5%

ERP Operating LP:

5.375% 8/1/16

2,405

1,946

5.5% 10/1/12

9,240

8,418

5.75% 6/15/17

11,250

9,144

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

ERP Operating LP: - continued

6.625% 3/15/12

$ 2,360

$ 2,266

Post Apartment Homes LP 6.3% 6/1/13

11,550

9,471

Regency Centers LP 6.75% 1/15/12

12,435

10,616

 

41,861

Thrifts & Mortgage Finance - 0.0%

Capmark Financial Group, Inc. 6.8% 5/10/17

3,809

766

Independence Community Bank Corp. 3.585% 6/20/13 (h)

2,790

2,008

 

2,774

TOTAL FINANCIALS

930,414

INDUSTRIALS - 1.4%

Airlines - 1.3%

American Airlines, Inc. pass-thru trust certificates:

7.324% 4/15/11

13,531

12,854

7.858% 4/1/13

26,059

22,541

Continental Airlines, Inc. 6.545% 8/2/20

3,981

3,483

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

6.821% 8/10/22

13,618

9,873

7.57% 11/18/10

21,770

19,920

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

6,895

4,965

8.36% 7/20/20

21,289

16,393

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

Class 1A, 6.636% 1/2/24

8,263

5,908

6.071% 9/1/14

1,161

1,126

6.602% 9/1/13

2,068

1,954

7.032% 4/1/12

2,243

2,148

7.186% 10/1/12

5,570

5,333

7.811% 4/1/11

4,909

5,057

 

111,555

Building Products - 0.0%

Masco Corp. 2.3988% 3/12/10 (h)

3,591

3,221

Road & Rail - 0.0%

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

990

670

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Transportation Infrastructure - 0.1%

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

$ 6,338

$ 4,690

TOTAL INDUSTRIALS

120,136

INFORMATION TECHNOLOGY - 0.6%

Communications Equipment - 0.1%

Cisco Systems, Inc. 4.95% 2/15/19

12,106

11,700

Electronic Equipment & Components - 0.2%

Tyco Electronics Group SA:

5.95% 1/15/14

9,971

8,628

6.55% 10/1/17

8,770

6,612

7.125% 10/1/37

4,405

2,874

 

18,114

Semiconductors & Semiconductor Equipment - 0.3%

Chartered Semiconductor Manufacturing Ltd.:

5.75% 8/3/10

9,825

8,176

6.375% 8/3/15

10,650

6,365

National Semiconductor Corp.:

2.2463% 6/15/10 (h)

4,168

3,621

6.15% 6/15/12

7,260

5,693

 

23,855

TOTAL INFORMATION TECHNOLOGY

53,669

MATERIALS - 0.6%

Chemicals - 0.1%

Agrium, Inc. 7.125% 5/23/36

8,975

7,855

Metals & Mining - 0.5%

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

3,460

3,562

Rio Tinto Finance Ltd.:

5.875% 7/15/13

12,154

11,048

6.5% 7/15/18

20,204

17,850

7.125% 7/15/28

17,840

14,649

 

47,109

TOTAL MATERIALS

54,964

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - 1.5%

Diversified Telecommunication Services - 1.3%

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

$ 17,617

$ 17,013

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

12,752

12,803

Deutsche Telekom International Financial BV:

5.25% 7/22/13

6,995

7,017

5.875% 8/20/13

10,485

10,673

6.75% 8/20/18

5,870

6,004

Sprint Capital Corp.:

6.875% 11/15/28

9,870

5,453

7.625% 1/30/11

7,295

6,328

Telecom Italia Capital SA:

4.95% 9/30/14

11,250

9,691

5.25% 10/1/15

5,117

4,316

Telefonica Emisiones SAU:

5.855% 2/4/13

2,732

2,801

6.221% 7/3/17

11,230

11,285

Verizon Communications, Inc.:

5.25% 4/15/13

7,395

7,508

6.1% 4/15/18

9,830

9,733

 

110,625

Wireless Telecommunication Services - 0.2%

Sprint Nextel Corp. 6% 12/1/16

21,361

13,885

Vodafone Group PLC 5.625% 2/27/17

2,952

2,866

 

16,751

TOTAL TELECOMMUNICATION SERVICES

127,376

UTILITIES - 3.9%

Electric Utilities - 2.1%

AmerenUE 6.4% 6/15/17

10,662

10,399

Baltimore Gas & Electric Co. 6.125% 7/1/13

8,010

7,684

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

11,490

10,941

Commonwealth Edison Co.:

5.4% 12/15/11

18,283

18,593

5.8% 3/15/18

11,545

10,967

Duke Energy Carolinas LLC 6% 1/15/38

9,739

9,989

EDP Finance BV 6% 2/2/18 (b)

25,358

23,548

Exelon Corp. 4.9% 6/15/15

27,100

23,261

Florida Power Corp. 5.65% 6/15/18

5,665

5,811

Nevada Power Co. 6.5% 5/15/18

16,280

15,372

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

17,030

17,023

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Pacific Gas & Electric Co.:

4.8% 3/1/14

$ 2,670

$ 2,725

5.8% 3/1/37

7,180

6,916

Pennsylvania Electric Co. 6.05% 9/1/17

10,455

9,581

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

15,620

9,372

 

182,182

Gas Utilities - 0.0%

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

6,145

5,243

Independent Power Producers & Energy Traders - 0.7%

Duke Capital LLC 5.668% 8/15/14

13,400

12,368

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

23,798

21,983

PPL Energy Supply LLC:

6.2% 5/15/16

11,895

10,943

6.5% 5/1/18

11,365

9,844

TXU Corp. 5.55% 11/15/14

7,555

3,778

 

58,916

Multi-Utilities - 1.1%

CMS Energy Corp. 6.55% 7/17/17

13,140

11,595

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

12,110

7,872

National Grid PLC 6.3% 8/1/16

26,485

25,289

NiSource Finance Corp.:

1.8206% 11/23/09 (h)

9,874

9,451

5.4% 7/15/14

2,960

2,324

5.45% 9/15/20

10,810

7,402

6.4% 3/15/18

21,180

16,628

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

20,065

12,240

 

92,801

TOTAL UTILITIES

339,142

TOTAL NONCONVERTIBLE BONDS

(Cost $2,722,494)

2,260,950

U.S. Government and Government Agency Obligations - 16.8%

 

U.S. Government Agency Obligations - 3.5%

Fannie Mae:

2.75% 2/5/14

100,000

99,965

3.625% 2/12/13

47,560

49,960

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - continued

Fannie Mae: - continued

5% 2/13/17

$ 30,000

$ 33,150

5.375% 6/12/17

25,000

28,172

Freddie Mac:

2.125% 3/23/12

50,700

50,659

4.125% 12/21/12

45,060

48,213

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

310,119

U.S. Treasury Inflation Protected Obligations - 7.2%

U.S. Treasury Inflation-Indexed Notes:

2% 4/15/12

10,162

10,224

2% 1/15/14 (e)

123,650

123,116

2% 1/15/14

23,560

23,459

2.375% 1/15/17 (e)

305,200

303,932

2.375% 1/15/27 (e)

117,691

114,121

2.375% 1/15/27

2,242

2,174

2.625% 7/15/17

51,462

52,580

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

629,606

U.S. Treasury Obligations - 6.1%

U.S. Treasury Bonds 4.5% 5/15/38 (e)

90,400

102,632

U.S. Treasury Notes:

2.75% 10/31/13

168,800

175,156

4% 8/15/18

234,900

253,453

TOTAL U.S. TREASURY OBLIGATIONS

531,241

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,467,860)

1,470,966

U.S. Government Agency - Mortgage Securities - 20.2%

 

Fannie Mae - 15.8%

3.991% 9/1/33 (h)

8,394

8,517

4.5% 4/1/23

249

254

4.616% 9/1/35 (h)

11,435

11,658

5% 4/1/18 to 6/1/38

348,814

356,167

5.176% 4/1/36 (h)

19,216

19,796

5.5% 12/1/30 to 12/1/38 (d)

717,212

736,430

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

5.5% 3/1/39 (c)

$ 98,000

$ 100,394

5.5% 3/12/39 (c)

32,000

32,782

5.5% 3/12/39 (c)

25,000

25,611

5.5% 3/12/39 (c)

35,000

35,855

5.593% 7/1/37 (h)

2,696

2,782

5.821% 7/1/46 (h)

30,540

31,734

6% 3/1/16 to 11/1/38 (d)

4,308

4,474

6% 3/12/39 (c)(d)

2,000

2,066

6.013% 4/1/36 (h)

2,044

2,125

6.118% 4/1/36 (h)

5,032

5,235

6.243% 6/1/36 (h)

795

808

6.328% 4/1/36 (h)

2,017

2,099

TOTAL FANNIE MAE

1,378,787

Freddie Mac - 0.9%

4.289% 8/1/35 (h)

18,128

18,309

4.478% 10/1/34 (h)

9,951

10,105

4.556% 4/1/35 (h)

20,770

21,181

4.635% 4/1/35 (h)

6,515

6,617

4.767% 7/1/35 (h)

7,559

7,695

4.984% 1/1/36 (h)

5,886

5,996

5.694% 10/1/35 (h)

1,427

1,487

5.86% 6/1/36 (h)

2,312

2,397

5.977% 6/1/36 (h)

2,103

2,182

6% 11/1/33 to 9/1/35

5,806

6,043

6.101% 6/1/36 (h)

2,252

2,343

TOTAL FREDDIE MAC

84,355

Government National Mortgage Association - 3.5%

5.5% 12/20/28 to 12/20/38 (c)

298,391

306,844

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,718,427)

1,769,986

Asset-Backed Securities - 3.5%

 

Accredited Mortgage Loan Trust:

Series 2004-4 Class A2D, 0.8238% 1/25/35 (h)

136

48

Series 2005-1 Class M1, 0.9438% 4/25/35 (h)

2,507

1,479

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

ACE Securities Corp. Series 2006-NC2:

Class M7, 1.2238% 7/25/36 (h)

$ 1,122

$ 9

Class M8, 1.3238% 7/25/36 (h)

556

3

Class M9, 2.1738% 7/25/36 (h)

367

1

ACE Securities Corp. Home Equity Loan Trust:

Series 2003-HS1:

Class M1, 1.5988% 6/25/33 (h)

0*

0*

Class M2, 3.0988% 6/25/33 (h)

167

116

Series 2004-HE1 Class M1, 0.9738% 2/25/34 (h)

399

354

Series 2004-OP1 Class M1, 0.9938% 4/25/34 (h)

836

364

Series 2005-HE2 Class M2, 0.9238% 4/25/35 (h)

353

289

Series 2005-SD1 Class A1, 0.8738% 11/25/50 (h)

46

42

Series 2006-HE2:

Class M3, 0.8138% 5/25/36 (h)

487

15

Class M4, 0.8738% 5/25/36 (h)

412

9

Class M5, 0.9138% 5/25/36 (h)

599

9

Series 2006-OP1:

Class M4, 0.8438% 4/25/36 (h)

229

9

Class M5, 0.8638% 4/25/36 (h)

217

7

Advanta Business Card Master Trust:

Series 2006-C1 Class C1, 0.95% 10/20/14 (h)

1,600

112

Series 2007-A4 Class A4, 0.5% 4/22/13 (h)

5,864

4,339

Series 2007-B1 Class B, 0.72% 12/22/14 (h)

3,386

508

Series 2007-D1 Class D, 1.87% 1/22/13 (b)(h)

10,400

728

Airspeed Ltd. Series 2007-1A Class C1, 2.955% 6/15/32 (b)(h)

11,165

3,686

ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (b)(h)

1,314

1,296

American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (b)(h)

334

303

AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10

760

755

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

5,448

2,724

Ameriquest Mortgage Securities, Inc. Series 2006-M3:

Class A2A, 0.5238% 10/25/36 (h)

189

183

Class M7, 1.3238% 10/25/36 (h)

965

1

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.1738% 12/25/33 (h)

218

138

Series 2004-R10 Class M1, 1.1738% 11/25/34 (h)

912

406

Series 2004-R11 Class M1, 1.1338% 11/25/34 (h)

785

385

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ameriquest Mortgage Securities, Inc. pass-thru certificates: - continued

Series 2004-R2:

Class M1, 0.9038% 4/25/34 (h)

$ 345

$ 263

Class M3, 1.0238% 4/25/34 (h)

226

86

Series 2005-R1 Class M1, 0.9238% 3/25/35 (h)

1,267

738

Series 2005-R10 Class A2B, 0.6938% 12/25/35 (h)

1,149

788

Series 2005-R2 Class M1, 0.9238% 4/25/35 (h)

2,776

1,598

Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (h)

243

122

Argent Securities, Inc.:

Series 2006-M1 Class M7, 1.4738% 7/25/36 (h)

292

1

Series 2006-M2 Class M7, 1.3738% 9/25/36 (h)

930

1

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.7794% 3/1/34 (h)

64

13

Series 2004-W11 Class M2, 1.1738% 11/25/34 (h)

754

280

Series 2004-W5 Class M1, 1.0738% 4/25/34 (h)

913

537

Series 2004-W7:

Class M1, 1.0238% 5/25/34 (h)

799

252

Class M2, 1.0738% 5/25/34 (h)

698

377

Series 2006-W4 Class A2C, 0.6338% 5/25/36 (h)

2,086

734

Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.2538% 10/25/36 (h)

1,751

22

Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.8938% 12/25/34 (h)

1,928

934

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE3 Class M1, 1.7063% 6/15/33 (h)

328

146

Series 2003-HE6 Class M1, 1.1238% 11/25/33 (h)

721

375

Series 2004-HE2 Class M1, 1.0238% 4/25/34 (h)

3,588

1,555

Series 2004-HE3 Class M1, 1.0138% 6/25/34 (h)

318

126

Series 2004-HE6 Class A2, 0.8338% 6/25/34 (h)

560

216

Series 2006-HE6:

Class M7, 1.2738% 11/25/36 (h)

554

7

Class M9, 2.6238% 11/25/36 (h)

1,479

8

Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (a)(b)(h)

4,576

0*

Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (h)

4,616

4,150

Bayview Financial Acquisition Trust Series 2004-C Class A1, 1.0388% 5/28/44 (h)

436

265

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (h)

865

538

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Asset Backed Securities I Trust:

Series 2005-3 Class A1, 0.9238% 9/25/35 (h)

$ 147

$ 107

Series 2005-FR1 Class M1, 0.9738% 6/25/35 (h)

1,302

591

Series 2005-HE2 Class M1, 0.9738% 2/25/35 (h)

2,052

680

Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (h)

678

519

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (h)

3,088

2,761

C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (h)

1,033

889

Capital Auto Receivables Asset Trust:

Series 2005-1 Class B, 0.83% 6/15/10 (h)

847

835

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

4,195

2,937

Capital One Auto Finance Trust Series 2006-C Class A3B, 0.465% 7/15/11 (h)

513

477

Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.745% 4/15/13 (b)(h)

3,909

2,814

Capital Trust Ltd. Series 2004-1:

Class A2, 0.92% 7/20/39 (b)(h)

615

154

Class B, 1.22% 7/20/39 (b)(h)

355

50

Class C, 1.57% 7/20/39 (b)(h)

456

41

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (h)

1,534

74

Series 2006-NC2 Class M7, 1.3238% 6/25/36 (h)

572

11

Series 2006-NC3 Class M10, 2.4738% 8/25/36 (b)(h)

1,449

18

Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (h)

251

7

Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (h)

2,423

587

Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (b)(h)

367

266

Chase Issuance Trust Series 2004-3 Class C, 0.9313% 6/15/12 (h)

713

643

CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14

459

229

Citigroup Mortgage Loan Trust:

Series 2003-HE4 Class A, 0.8838% 12/25/33 (b)(h)

513

348

Series 2006-AMC1 Class M7, 0.82% 9/25/36 (h)

1,017

12

Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (h)

1,029

40

CNH Wholesale Master Note Trust Series 2006-1A:

Class A, 0.515% 7/15/12 (b)(h)

1,759

1,732

Class B, 0.735% 7/15/12 (b)(h)

1,759

1,659

Countrywide Asset-Backed Certificates Trust Series 2007-BC2 Class 2A1, 0.5638% 6/25/37 (h)

656

558

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

2,825

0*

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Countrywide Home Loans, Inc.:

Series 2002-6 Class AV1, 1.3338% 5/25/33 (h)

$ 70

$ 38

Series 2004-3:

Class 3A4, 0.7238% 8/25/34 (h)

257

138

Class M1, 0.9738% 6/25/34 (h)

889

585

Class M4, 1.4438% 4/25/34 (h)

215

102

Series 2004-4:

Class A, 0.8438% 8/25/34 (h)

56

27

Class M2, 1.0038% 6/25/34 (h)

790

523

Series 2005-1:

Class M1, 0.8938% 8/25/35 (h)

689

497

Class MV2, 0.9138% 7/25/35 (h)

1,901

1,326

Series 2005-3 Class MV1, 0.8938% 8/25/35 (h)

3,333

2,905

Series 2005-AB1 Class A2, 0.6838% 8/25/35 (h)

638

527

CPS Auto Receivables Trust Series 2004-D Class A2, 3.86% 12/15/11 (b)

205

187

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

5,545

3,601

Discover Card Master Trust I:

Series 2006-1 Class B1, 0.605% 8/16/11 (h)

2,860

2,836

Series 2006-2 Class B1, 0.575% 1/17/12 (h)

3,909

3,504

Series 2007-1 Class B, 0.555% 8/15/12 (h)

3,909

3,055

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8983% 5/28/35 (h)

52

27

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.6488% 8/25/34 (h)

391

97

Series 2006-3 Class 2A3, 0.6338% 11/25/36 (h)

6,052

1,706

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.2988% 3/25/34 (h)

31

16

Series 2005-FF9 Class A3, 0.7538% 10/25/35 (h)

8,919

6,881

Series 2006-FF12 Class A2, 0.5138% 9/25/36 (h)

656

601

First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (b)

236

234

Ford Credit Auto Owner Trust:

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

5,810

2,905

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

4,115

2,047

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

2,335

1,168

Ford Credit Floorplan Master Owner Trust:

Series 2006-3 Class B, 0.905% 6/15/11 (h)

2,722

1,905

Series 2006-4 Class B, 1.005% 6/15/13 (h)

1,039

524

Fremont Home Loan Trust:

Series 2004-1:

Class M1, 1.1488% 2/25/34 (h)

97

28

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Fremont Home Loan Trust: - continued

Class M2, 1.2238% 2/25/34 (h)

$ 166

$ 106

Series 2004-A Class M1, 1.2988% 1/25/34 (h)

1,615

862

Series 2005-A:

Class M1, 0.9038% 1/25/35 (h)

140

129

Class M2, 0.9338% 1/25/35 (h)

2,360

863

Class M3, 0.9638% 1/25/35 (h)

1,275

545

Class M4, 1.1538% 1/25/35 (h)

489

239

Series 2006-A:

Class M4, 0.8738% 5/25/36 (h)

1,216

17

Class M5, 0.9738% 5/25/36 (h)

651

8

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (b)(h)

3,167

2,133

GE Business Loan Trust Series 2003-1 Class A, 0.8913% 4/15/31 (b)(h)

483

299

GE Capital Credit Card Master Note Trust:

Series 2006-1:

Class B, 0.5713% 9/17/12 (h)

1,196

837

Class C, 0.7013% 9/17/12 (h)

930

605

Series 2007-1 Class C, 0.7313% 3/15/13 (h)

6,381

4,211

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

3,280

1,312

GSAMP Trust:

Series 2002-HE Class M1, 2.345% 11/20/32 (h)

837

408

Series 2003-FM1 Class M1, 1.7% 3/20/33 (h)

1,611

976

Series 2004-AR1:

Class B4, 5% 6/25/34 (b)(h)

1,074

90

Class M1, 1.1238% 6/25/34 (h)

2,949

1,121

Series 2004-FM1 Class M1, 1.4488% 11/25/33 (h)

548

293

Series 2004-FM2 Class M1, 1.2238% 1/25/34 (h)

1,410

811

Series 2004-HE1 Class M1, 1.0238% 5/25/34 (h)

772

251

Series 2007-HE1 Class M1, 0.7238% 3/25/47 (h)

1,223

58

GSR Mortgage Loan Trust:

Series 2004-OPT Class A1, 0.8138% 11/25/34 (h)

21

10

Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (h)

477

440

Series 2006-FM1 Class M3, 0.8238% 4/25/36 (h)

580

7

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.5538% 5/25/30 (b)(h)

887

399

Series 2006-3:

Class B, 0.8738% 9/25/46 (b)(h)

880

141

Class C, 1.0238% 9/25/46 (b)(h)

2,052

246

Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (b)(h)

4,736

2,415

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Home Equity Asset Trust:

Series 2002-3 Class A5, 1.3538% 2/25/33 (h)

$ 1

$ 0*

Series 2003-3 Class M1, 1.7638% 8/25/33 (h)

1,344

613

Series 2003-4 Class M1, 1.6738% 10/25/33 (h)

398

176

Series 2003-5:

Class A2, 1.1738% 12/25/33 (h)

44

13

Class M1, 1.5238% 12/25/33 (h)

460

277

Series 2003-7 Class A2, 1.2338% 3/25/34 (h)

2

0*

Series 2003-8 Class M1, 1.5538% 4/25/34 (h)

700

325

Series 2004-3 Class M2, 2.1738% 8/25/34 (h)

456

277

Series 2004-7 Class A3, 0.8638% 1/25/35 (h)

1

0*

Series 2005-1 Class M1, 0.9038% 5/25/35 (h)

1,753

1,567

Series 2005-3 Class M1, 0.8838% 8/25/35 (h)

1,199

1,071

Series 2005-5 Class 2A2, 0.7238% 11/25/35 (h)

537

474

Series 2006-1 Class 2A3, 0.6988% 4/25/36 (h)

4,907

3,388

Series 2006-7 Class M4, 0.8538% 1/25/37 (h)

1,542

7

Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (h)

380

231

HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (h)

3,025

2,686

HSBC Home Equity Loan Trust:

Series 2005-2:

Class M1, 0.8194% 1/20/35 (h)

1,039

550

Class M2, 0.8494% 1/20/35 (h)

779

382

Series 2005-3 Class A1, 0.6194% 1/20/35 (h)

546

292

Series 2006-2:

Class M1, 0.74% 3/20/36 (h)

856

448

Class M2, 0.76% 3/20/36 (h)

1,416

695

Series 2006-3 Class A1V, 0.55% 3/20/36 (h)

935

892

Series 2007-2 Class A3V, 0.69% 7/21/36 (h)

755

334

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (h)

1,664

500

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.6038% 11/25/36 (h)

1,671

710

Class MV1, 0.7038% 11/25/36 (h)

1,357

138

Keycorp Student Loan Trust:

Series 1999-A Class A2, 4.0988% 12/27/09 (h)

1,491

1,158

Series 2006-A Class 2A1, 1.4963% 9/27/21 (h)

1,012

986

Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (b)(h)

361

4

Long Beach Mortgage Loan Trust:

Series 2003-2 Class M1, 1.7038% 6/25/33 (h)

2,853

1,284

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Long Beach Mortgage Loan Trust: - continued

Series 2004-2:

Class M1, 1.0038% 6/25/34 (h)

$ 836

$ 441

Class M2, 1.5538% 6/25/34 (h)

594

453

Series 2006-9 Class M4, 0.8438% 11/25/36 (h)

488

1

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.7338% 10/25/36 (h)

604

22

Series 2006-NC2 Class M7, 1.2238% 9/25/36 (h)

284

0*

Series 2007-HE1 Class M1, 0.7738% 5/25/37 (h)

1,055

44

Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (b)(h)

17,200

15,743

Merrill Lynch Mortgage Investors Trust:

Series 2003-HE1 Class M1, 1.1738% 7/25/34 (h)

801

514

Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (h)

220

153

Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (h)

3,497

2,479

Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (h)

2,282

1,051

Morgan Stanley ABS Capital I Trust:

Series 2002-HE3 Class M1, 2.1238% 12/27/32 (h)

59

34

Series 2003-NC7 Class M1, 1.5238% 6/25/33 (h)

708

401

Series 2003-NC8 Class M1, 1.5238% 9/25/33 (h)

547

317

Series 2004-HE6 Class A2, 0.8138% 8/25/34 (h)

77

13

Series 2004-NC2 Class M1, 1.2988% 12/25/33 (h)

1,385

666

Series 2005-HE1 Class M2, 0.9438% 12/25/34 (h)

656

316

Series 2005-HE2 Class M1, 0.8738% 1/25/35 (h)

593

202

Series 2005-NC1 Class M1, 0.9138% 1/25/35 (h)

537

183

Series 2005-NC2 Class B1, 1.6438% 3/25/35 (h)

686

331

Series 2006-HE3 Class B1, 1.3738% 4/25/36 (h)

305

1

Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (h)

712

673

Series 2006-NC4:

Class M4, 0.8238% 6/25/36 (h)

458

5

Class M6, 0.9238% 6/25/36 (h)

229

1

Series 2007-HE2 Class A2A, 0.5138% 1/25/37 (h)

152

123

Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (h)

148

99

Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (h)

80

64

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 1.9738% 1/25/32 (h)

35

10

Series 2002-AM3 Class A3, 1.4538% 2/25/33 (h)

138

113

Series 2002-HE2 Class M1, 1.9738% 8/25/32 (h)

874

492

Series 2002-NC1 Class M1, 1.6738% 2/25/32 (b)(h)

746

428

Series 2002-NC3:

Class A3, 1.1538% 8/25/32 (h)

46

8

Class M1, 1.5538% 8/25/32 (h)

85

39

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Dean Witter Capital I Trust: - continued

Series 2003-NC1 Class M1, 2.0488% 11/25/32 (h)

$ 548

$ 270

Morgan Stanley Home Equity Loans Trust:

Series 2006-3 Class M5, 0.8838% 4/25/36 (h)

458

6

Series 2007-2 Class A1, 0.5738% 4/25/37 (h)

1,169

888

National Collegiate Student Loan Trust:

Series 2006-3 Class A1, 0.5038% 9/25/19 (h)

1,690

1,587

Series 2006-4 Class A1, 0.5038% 3/25/25 (h)

1,377

1,228

New Century Home Equity Loan Trust:

Series 2003-6 Class M1, 1.5538% 1/25/34 (h)

1,572

879

Series 2005-4 Class M2, 0.9838% 9/25/35 (h)

1,918

286

Series 2005-D Class M2, 0.9438% 2/25/36 (h)

400

27

Nomura Home Equity Loan Trust:

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

355

310

Series 2006-FM2 Class M7, 1.2738% 7/25/36 (h)

1,306

7

Series 2006-HE2 Class A2, 0.5938% 3/25/36 (h)

1,119

1,013

Ocala Funding LLC:

Series 2005-1A Class A, 1.97% 3/20/10 (b)(h)

761

267

Series 2006-1A Class A, 1.87% 3/20/11 (b)(h)

1,581

632

Option One Mortgage Loan Trust:

Series 2004-3 Class M3, 1.1238% 11/25/34 (h)

462

291

Series 2007-5 Class 2A1, 0.5638% 5/25/37 (h)

253

225

Series 2007-6 Class 2A1, 0.5338% 7/25/37 (h)

351

315

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M2, 1.1538% 9/25/34 (h)

374

215

Class M3, 1.7238% 9/25/34 (h)

716

161

Class M4, 1.9238% 9/25/34 (h)

919

97

Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (h)

539

89

Series 2004-WHQ2 Class M1, 1.0638% 2/25/35 (h)

1,564

1,144

Series 2004-WWF1:

Class M2, 1.1538% 2/25/35 (h)

2,162

1,269

Class M3, 1.2138% 2/25/35 (h)

268

108

Series 2005-WCH1:

Class M2, 0.9938% 1/25/35 (h)

1,037

592

Class M3, 1.0338% 1/25/35 (h)

643

254

Class M4, 1.3038% 1/25/35 (h)

1,984

306

Series 2005-WHQ2:

Class M7, 1.7238% 5/25/35 (h)

2,441

95

Class M9, 2.3538% 5/25/35 (h)

795

23

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:

Class 1A1, 0.5438% 9/25/36 (h)

$ 562

$ 537

Class M4, 0.8338% 9/25/36 (h)

2,293

14

Class M5, 0.8638% 9/25/36 (h)

1,143

5

Providian Master Note Trust Series 2006-C1A Class C1, 1.005% 3/16/15 (b)(h)

4,884

2,100

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.5438% 2/25/37 (h)

510

449

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (h)

7

1

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (h)

2,541

1,208

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (b)(h)

1,444

1,083

SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.9463% 6/15/33 (h)

1,711

770

Sovereign Dealer Floor Plan Master LLC Series 2006-1:

Class B, 0.635% 8/15/11 (b)(h)

2,325

1,976

Class C, 0.835% 8/15/11 (b)(h)

1,060

795

Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (h)

315

205

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (h)

123

49

Structured Asset Securities Corp.:

Series 2004-GEL1 Class A, 0.8338% 2/25/34 (h)

185

82

Series 2006-BC3 Class M7, 1.2738% 10/25/36 (h)

4

0*

Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (b)(h)

1,759

511

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.5638% 6/25/37 (h)

4,877

3,695

Superior Wholesale Inventory Financing Trust:

Series 2004-A10:

Class A, 0.5613% 9/15/11 (h)

12,170

9,797

Class B, 0.7413% 9/15/11 (h)

5,287

2,115

Series 2007-AE1:

Class A, 0.555% 1/15/12 (h)

1,315

921

Class B, 0.755% 1/15/12 (h)

1,144

458

Class C, 1.055% 1/15/12 (h)

1,422

427

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 0.9113% 3/15/11 (b)(h)

15,495

13,946

Swift Master Auto Receivables Trust Series 2007-1 Class A, 0.555% 6/15/12 (h)

3,863

2,782

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 0.9038% 9/25/34 (h)

$ 39

$ 8

Series 2003-6HE Class A1, 0.9438% 11/25/33 (h)

49

16

Turquoise Card Backed Securities PLC:

Series 2006-1A Class C, 0.785% 5/16/11 (b)(h)

3,805

3,618

Series 2006-2:

Class B, 0.605% 10/17/11 (h)

4,604

4,029

Class C, 0.805% 10/17/11 (h)

4,326

3,496

Series 2007-1 Class C, 0.8313% 6/15/12 (h)

4,932

3,174

Wachovia Auto Loan Owner Trust Series 2006-2A:

Class A4, 5.23% 3/20/12 (b)

50,000

49,097

Class E, 7.05% 5/20/14 (b)

6,660

1,931

WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (b)

1,193

0*

WaMu Asset-Backed Certificates Series 2006-HE3:

Class M4, 0.8538% 10/25/36 (h)

810

15

Class M7, 1.2738% 10/25/36 (h)

587

7

WaMu Master Note Trust:

Series 2006-A3A Class A3, 0.485% 9/16/13 (b)(h)

7,385

7,034

Series 2006-C2A Class C2, 0.955% 8/15/15 (b)(h)

9,412

4,089

Series 2006-C3A Class C3A, 0.835% 10/15/13 (b)(h)

6,587

5,316

Series 2007-A4A Class A4, 5.2% 10/15/14 (b)

4,370

3,911

Series 2007-C1 Class C1, 0.855% 5/15/14 (b)(h)

5,732

3,373

Wells Fargo Home Equity Trust:

Series 2004-3 Class A, 4.5% 11/27/34 (b)(k)

10

0*

Series 2006-2 Class A2, 0.5738% 7/25/36 (h)

1,442

1,303

Series 2007-2 Class A1, 0.5638% 4/25/37 (h)

929

766

WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12

24

24

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (b)(h)

2,406

289

TOTAL ASSET-BACKED SECURITIES

(Cost $353,383)

302,215

Collateralized Mortgage Obligations - 3.6%

 

Private Sponsor - 2.4%

Arkle Master Issuer PLC floater:

Series 2006-1A Class 3C, 1.6275% 2/17/52 (b)(h)

900

675

Series 2006-2A:

Class 2B, 1.3575% 2/17/52 (b)(h)

3,168

2,956

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Arkle Master Issuer PLC floater: - continued

Series 2006-2A:

Class 2M, 1.4375% 2/17/52 (b)(h)

$ 2,154

$ 1,935

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (b)(h)

2,022

858

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6985% 4/10/49 (h)

1,775

266

Class C, 5.6985% 4/10/49 (h)

4,735

663

Class D, 5.6985% 4/10/49 (h)

2,370

308

Banc of America Mortgage Securities, Inc.:

Series 2003-H Class 2A3, 5.2046% 9/25/33 (h)

706

561

Series 2003-J Class 2A2, 5.2918% 11/25/33 (h)

3,248

2,636

Series 2003-K Class 1A1, 5.2035% 12/25/33 (h)

91

74

Series 2003-L Class 2A1, 5.3147% 1/25/34 (h)

1,152

895

Series 2004-1 Class 2A2, 4.6723% 10/25/34 (h)

1,731

1,347

Series 2004-A:

Class 2A1, 5.1951% 2/25/34 (h)

2,192

1,787

Class 2A2, 5.1951% 2/25/34 (h)

1,709

1,393

Series 2004-B:

Class 1A1, 6.433% 3/25/34 (h)

101

77

Class 2A2, 4.0864% 3/25/34 (h)

630

470

Series 2004-C Class 1A1, 5.971% 4/25/34 (h)

179

141

Series 2004-D Class 2A1, 3.6163% 5/25/34 (h)

1,295

998

Series 2004-F Class 2A6, 4.1429% 7/25/34 (h)

931

910

Series 2004-J Class 2A1, 4.7597% 11/25/34 (h)

778

606

Series 2004-L Class 2A1, 4.3695% 1/25/35 (h)

934

713

Series 2005-H:

Class 1A1, 5.3329% 9/25/35 (h)

1,276

919

Class 2A2, 4.8028% 9/25/35 (h)

1,433

462

Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (b)(h)(j)

69,412

5,796

Bear Stearns Adjustable Rate Mortgage Trust Series 2003-6 Class 1A2, 4.9867% 8/25/33 (h)

1,947

1,327

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 0.7538% 1/25/35 (h)

4,136

2,043

Series 2005-2 Class 1A1, 0.7238% 3/25/35 (h)

767

425

Series 2005-5 Class 1A1, 0.6938% 7/25/35 (h)

975

494

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 4.9685% 2/25/37 (h)

2,999

2,249

Series 2007-A2 Class 2A1, 5.1795% 7/25/37 (h)

3,593

2,907

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Citigroup Mortgage Loan Trust Series 2004-UST1:

Class A3, 4.9419% 8/25/34 (h)

$ 2,420

$ 1,959

Class A4, 4.399% 8/25/34 (h)

2,229

1,783

Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (h)

139

132

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:

Series 2004-1 Class 9A2, 0.8738% 1/25/34 (h)

78

39

Series 2004-2 Class 7A3, 0.8738% 2/25/35 (h)

170

80

Series 2004-4 Class 5A2, 0.8738% 3/25/35 (h)

37

16

Series 2005-1 Class 5A2, 0.8038% 5/25/35 (h)

623

297

Series 2005-10:

Class 5A1, 0.7338% 1/25/36 (h)

989

472

Class 5A2, 0.7938% 1/25/36 (h)

445

178

Series 2005-2:

Class 6A2, 0.7538% 6/25/35 (h)

155

69

Class 6M2, 0.9538% 6/25/35 (h)

1,983

484

Series 2005-3 Class 8A2, 0.7138% 7/25/35 (h)

736

374

Series 2005-4 Class 7A2, 0.7038% 8/25/35 (h)

233

115

Series 2005-8 Class 7A2, 0.7538% 11/25/35 (h)

581

329

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (h)

22

13

Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (h)

44

23

Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (h)

212

106

Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (h)

64

29

Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (h)

40

24

Series 2007-AR7 Class 2A1, 4.6052% 11/25/34 (h)

3,117

2,195

Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (h)

4,618

2,399

DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (h)

955

777

First Horizon Mortgage pass-thru Trust:

floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (h)

77

48

Series 2004-AR5 Class 2A1, 5.1001% 10/25/34 (h)

3,212

2,473

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 1.3025% 10/18/54 (b)(h)

3,843

2,948

Class C2, 1.6125% 10/18/54 (b)(h)

1,288

644

Class M2, 1.3925% 10/18/54 (b)(h)

2,209

1,427

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (b)(h)

$ 3,297

$ 1,541

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (b)(h)

4,187

1,813

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 1.07% 12/20/54 (b)(h)

8,080

566

Series 2006-2 Class C1, 0.94% 12/20/54 (h)

7,196

720

Series 2006-3 Class C2, 0.97% 12/20/54 (h)

1,511

93

Series 2006-4:

Class B1, 0.56% 12/20/54 (h)

4,042

808

Class C1, 0.85% 12/20/54 (h)

2,472

173

Class M1, 0.64% 12/20/54 (h)

1,064

160

Series 2007-1:

Class 1C1, 0.77% 12/20/54 (h)

2,497

250

Class 1M1, 0.62% 12/20/54 (h)

1,624

244

Class 2C1, 0.9% 12/20/54 (h)

1,140

114

Class 2M1, 0.72% 12/20/54 (h)

2,086

334

Series 2007-2 Class 2C1, 0.8913% 12/17/54 (h)

2,890

289

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (h)

579

145

GSR Mortgage Loan Trust:

Series 2004-11 Class 1A1, 4.9133% 9/25/34 (h)

418

279

Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (h)

823

566

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (h)

572

257

Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (b)(h)

819

573

Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 0.6038% 4/25/37 (h)

2,629

1,498

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (h)

210

119

Impac CMB Trust floater:

Series 2004-11 Class 2A2, 1.2138% 3/25/35 (h)

353

209

Series 2005-1:

Class M4, 1.2238% 4/25/35 (h)

42

7

Class M5, 1.2438% 4/25/35 (h)

42

5

Class M6, 1.2938% 4/25/35 (h)

67

10

Series 2005-3 Class A1, 0.7138% 8/25/35 (h)

835

424

Series 2005-4 Class 1B1, 1.6894% 5/25/35 (h)

261

9

Series 2005-6 Class 1M3, 1.0838% 10/25/35 (h)

226

18

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.9482% 8/25/36 (h)

$ 2,768

$ 1,651

Series 2004-A1 Class 2A1, 4.4964% 2/25/34 (h)

1,899

1,561

Series 2004-A3 Class 4A1, 4.2896% 7/25/34 (h)

5,063

4,171

Series 2006-A2 Class 5A1, 5.1373% 11/25/33 (h)

3,696

3,172

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (b)(h)

667

341

MASTR Adjustable Rate Mortgages Trust:

floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (h)

100

62

Series 2007-3 Class 22A2, 0.6838% 5/25/47 (h)

1,918

927

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (h)

2,414

1,014

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.625% 6/15/22 (b)(h)

280

154

Class C, 0.645% 6/15/22 (b)(h)

1,712

856

Class D, 0.655% 6/15/22 (b)(h)

659

296

Class E, 0.665% 6/15/22 (b)(h)

1,054

421

Class F, 0.695% 6/15/22 (b)(h)

1,900

665

Class G, 0.765% 6/15/22 (b)(h)

395

118

Class H, 0.785% 6/15/22 (b)(h)

791

198

Class J, 0.825% 6/15/22 (b)(h)

923

185

Class TM, 0.955% 6/15/22 (b)(h)

8,932

5,493

Merrill Lynch Mortgage Investors Trust:

floater:

Series 2003-A Class 2A1, 0.8638% 3/25/28 (h)

299

174

Series 2003-B Class A1, 0.8138% 4/25/28 (h)

318

186

Series 2003-D Class A, 0.7838% 8/25/28 (h)

270

173

Series 2003-E Class A2, 2.0813% 10/25/28 (h)

450

269

Series 2003-F Class A2, 3.805% 10/25/28 (h)

361

217

Series 2004-A Class A2, 3.715% 4/25/29 (h)

416

257

Series 2004-B Class A2, 2.8388% 6/25/29 (h)

317

188

Series 2004-C Class A2, 2.15% 7/25/29 (h)

367

218

Series 2004-D Class A2, 3.4625% 9/25/29 (h)

312

185

Series 2004-E:

Class A2B, 3.825% 11/25/29 (h)

738

471

Class A2D, 4.015% 11/25/29 (h)

107

63

Series 2004-G Class A2, 3.48% 11/25/29 (h)

357

215

Series 2005-A Class A2, 3.3525% 2/25/30 (h)

345

208

Series 2005-B Class A2, 2.7988% 7/25/30 (h)

1,054

657

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Merrill Lynch Mortgage Investors Trust: - continued

floater:

Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (h)

$ 2,191

$ 10

Series 2004-A4 Class A1, 4.2286% 8/25/34 (h)

3,380

2,585

Series 2005-A2:

Class A2, 4.4861% 2/25/35 (h)

2,095

1,648

Class A7, 4.4861% 2/25/35 (h)

3,021

1,954

Series 2006-A6 Class A4, 5.3897% 10/25/33 (h)

2,724

2,220

MortgageIT Trust floater:

Series 2004-2:

Class A1, 0.8438% 12/25/34 (h)

380

247

Class A2, 0.9238% 12/25/34 (h)

514

357

Series 2005-2 Class 1A1, 0.7338% 5/25/35 (h)

433

287

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (h)

4,378

2,142

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (h)

3,286

155

Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (h)

2,759

1,868

Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.4944% 7/17/42 (h)

702

519

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (h)

7,220

5,756

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B:

Class B5, 2.7988% 7/10/35 (b)(h)

1,834

892

Class B6, 3.2988% 7/10/35 (b)(h)

3,657

1,620

Series 2003-CB1:

Class B3, 1.8988% 6/10/35 (b)(h)

1,414

756

Class B4, 2.0988% 6/10/35 (b)(h)

2,823

1,455

Class B5, 2.6988% 6/10/35 (b)(h)

1,927

960

Class B6, 3.1988% 6/10/35 (b)(h)

1,143

561

Series 2004-A:

Class B4, 1.6488% 2/10/36 (b)(h)

1,078

373

Class B5, 2.1488% 2/10/36 (b)(h)

718

230

Series 2004-B:

Class B4, 1.5488% 2/10/36 (b)(h)

467

129

Class B5, 1.9988% 2/10/36 (b)(h)

362

90

Class B6, 2.4488% 2/10/36 (b)(h)

126

26

Series 2004-C:

Class B4, 1.3988% 9/10/36 (b)(h)

601

176

Class B5, 1.7988% 9/10/36 (b)(h)

674

181

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

RESI Finance LP/RESI Finance DE Corp. floater: - continued

Series 2004-C:

Class B6, 2.1988% 9/10/36 (b)(h)

$ 149

$ 33

Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (h)

2,323

1,791

Residential Asset Mortgage Products, Inc.:

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

329

291

Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (h)

336

247

Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.272% 7/25/34 (h)

1,832

1,488

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (b)(h)

369

277

ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (b)(h)

83

81

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 3.7963% 9/20/33 (h)

604

368

Series 2004-1 Class A, 1.8888% 2/20/34 (h)

216

138

Series 2004-10 Class A4, 4.5188% 11/20/34 (h)

312

193

Series 2004-12 Class 1A2, 2.1538% 1/20/35 (h)

942

579

Series 2004-3 Class A, 3.885% 5/20/34 (h)

296

181

Series 2004-4 Class A, 4.4388% 5/20/34 (h)

1,130

703

Series 2004-5 Class A3, 2.9113% 6/20/34 (h)

443

271

Series 2004-6:

Class A3A, 2.1613% 6/20/35 (h)

340

218

Class A3B, 2.3038% 7/20/34 (h)

65

40

Series 2004-7:

Class A3A, 1.9138% 8/20/34 (h)

343

205

Class A3B, 2.1388% 7/20/34 (h)

42

25

Series 2004-8 Class A2, 2.15% 9/20/34 (h)

851

551

Series 2005-1 Class A2, 1.8388% 2/20/35 (h)

571

354

Series 2005-2 Class A2, 2.03% 3/20/35 (h)

713

429

Series 2005-3 Class A1, 0.67% 5/20/35 (h)

346

186

Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (h)

707

9

Structured Asset Securities Corp.:

floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (b)(h)

127

54

Series 2003-15A Class 4A, 5.4533% 4/25/33 (h)

1,674

1,357

Series 2003-20 Class 1A1, 5.5% 7/25/33

1,086

931

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (h)

$ 4,401

$ 2,244

WaMu Mortgage pass-thru certificates:

floater:

Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (h)

204

195

Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (h)

83

80

Series 2003-AR10 Class A7, 4.669% 10/25/33 (h)

8,193

5,144

Series 2003-AR8 Class A, 4.2743% 8/25/33 (h)

1,679

1,352

Series 2004-AR7 Class A6, 3.9389% 7/25/34 (h)

2,555

2,530

Series 2005-AR14 Class 1A1, 5.0454% 12/25/35 (h)

12,190

9,863

Series 2005-AR3 Class A2, 4.6384% 3/25/35 (h)

4,820

3,878

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 4.1875% 12/25/34 (h)

12,381

9,863

Series 2004-V Class 1A2, 4.0139% 10/25/34 (h)

5,278

4,217

Series 2004-W:

Class A1, 4.5429% 11/25/34 (h)

1,600

1,277

Class A9, 4.5429% 11/25/34 (h)

3,709

2,333

Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (h)

1,346

1,050

Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (h)

6,141

4,691

Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (h)

3,871

2,979

Series 2006-AR8 Class 3A1, 5.2374% 4/25/36 (h)

44,967

32,164

TOTAL PRIVATE SPONSOR

214,371

U.S. Government Agency - 1.2%

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

Series 2630 Class KS, 4% 1/15/17

22,130

22,448

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

78,537

81,460

TOTAL U.S. GOVERNMENT AGENCY

103,908

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $357,111)

318,279

Commercial Mortgage Securities - 2.2%

 

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class F, 0.9313% 3/15/22 (b)(h)

828

373

Class G, 0.9913% 3/15/22 (b)(h)

537

204

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Large Loan, Inc. floater: - continued

Series 2006-BIX1:

Class F, 0.765% 10/15/19 (b)(h)

$ 2,131

$ 959

Class G, 0.785% 10/15/19 (b)(h)

1,451

508

Bayview Commercial Asset Trust floater:

Series 2003-2 Class M1, 1.3238% 12/25/33 (b)(h)

142

81

Series 2004-1:

Class A, 0.8338% 4/25/34 (b)(h)

1,849

1,387

Class B, 2.3738% 4/25/34 (b)(h)

206

77

Class M1, 1.0338% 4/25/34 (b)(h)

167

104

Class M2, 1.6738% 4/25/34 (b)(h)

150

79

Series 2004-2:

Class A, 0.9038% 8/25/34 (b)(h)

1,396

1,117

Class M1, 1.0538% 8/25/34 (b)(h)

318

198

Series 2004-3:

Class A1, 0.8438% 1/25/35 (b)(h)

2,816

2,042

Class A2, 0.8938% 1/25/35 (b)(h)

405

284

Class M1, 0.9738% 1/25/35 (b)(h)

487

317

Class M2, 1.4738% 1/25/35 (b)(h)

315

173

Series 2005-2A:

Class A1, 0.7838% 8/25/35 (b)(h)

2,062

1,443

Class M1, 0.9038% 8/25/35 (b)(h)

153

61

Class M2, 0.9538% 8/25/35 (b)(h)

252

101

Class M3, 0.9738% 8/25/35 (b)(h)

140

49

Class M4, 1.0838% 8/25/35 (b)(h)

128

38

Series 2005-3A:

Class A1, 0.7938% 11/25/35 (b)(h)

1,124

730

Class A2, 0.8738% 11/25/35 (b)(h)

729

474

Class M1, 0.9138% 11/25/35 (b)(h)

133

51

Class M2, 0.9638% 11/25/35 (b)(h)

169

64

Class M3, 0.9838% 11/25/35 (b)(h)

151

53

Class M4, 1.0738% 11/25/35 (b)(h)

188

66

Series 2005-4A:

Class A2, 0.8638% 1/25/36 (b)(h)

2,642

1,519

Class B1, 1.8738% 1/25/36 (b)(h)

228

80

Class M1, 0.9238% 1/25/36 (b)(h)

852

490

Class M2, 0.9438% 1/25/36 (b)(h)

256

141

Class M3, 0.9738% 1/25/36 (b)(h)

373

187

Class M4, 1.0838% 1/25/36 (b)(h)

207

98

Class M5, 1.1238% 1/25/36 (b)(h)

207

93

Class M6, 1.1738% 1/25/36 (b)(h)

219

92

Series 2006-1:

Class A2, 0.8338% 4/25/36 (b)(h)

411

270

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2006-1:

Class M1, 0.8538% 4/25/36 (b)(h)

$ 147

$ 74

Class M2, 0.8738% 4/25/36 (b)(h)

155

70

Class M3, 0.8938% 4/25/36 (b)(h)

134

56

Class M4, 0.9938% 4/25/36 (b)(h)

76

41

Class M5, 1.0338% 4/25/36 (b)(h)

74

28

Class M6, 1.1138% 4/25/36 (b)(h)

147

76

Series 2006-2A:

Class A1, 0.7038% 7/25/36 (b)(h)

4,034

3,227

Class A2, 0.7538% 7/25/36 (b)(h)

364

291

Class B1, 1.3438% 7/25/36 (b)(h)

136

27

Class B3, 3.1738% 7/25/36 (b)(h)

206

41

Class M1, 0.7838% 7/25/36 (b)(h)

382

191

Class M2, 0.8038% 7/25/36 (b)(h)

270

129

Class M3, 0.8238% 7/25/36 (b)(h)

224

101

Class M4, 0.8938% 7/25/36 (b)(h)

151

60

Class M5, 0.9438% 7/25/36 (b)(h)

186

65

Class M6, 1.0138% 7/25/36 (b)(h)

277

97

Series 2006-3A:

Class B1, 1.2738% 10/25/36 (b)(h)

236

73

Class B2, 1.8238% 10/25/36 (b)(h)

170

50

Class B3, 3.0738% 10/25/36 (b)(h)

277

62

Class M4, 0.9038% 10/25/36 (b)(h)

261

114

Class M5, 0.9538% 10/25/36 (b)(h)

312

125

Class M6, 1.0338% 10/25/36 (b)(h)

612

229

Series 2006-4A:

Class A1, 0.7038% 12/25/36 (b)(h)

1,126

766

Class A2, 0.7438% 12/25/36 (b)(h)

5,074

3,521

Class B1, 1.1738% 12/25/36 (b)(h)

177

35

Class B2, 1.7238% 12/25/36 (b)(h)

183

84

Class B3, 2.9238% 12/25/36 (b)(h)

308

136

Class M1, 0.7638% 12/25/36 (b)(h)

367

235

Class M2, 0.7838% 12/25/36 (b)(h)

247

155

Class M3, 0.8138% 12/25/36 (b)(h)

250

105

Class M4, 0.8738% 12/25/36 (b)(h)

299

120

Class M5, 0.9138% 12/25/36 (b)(h)

274

110

Class M6, 0.9938% 12/25/36 (b)(h)

247

137

Series 2007-1:

Class A2, 0.7438% 3/25/37 (b)(h)

954

549

Class B1, 1.1438% 3/25/37 (b)(h)

312

109

Class B2, 1.6238% 3/25/37 (b)(h)

225

72

Class B3, 3.8238% 3/25/37 (b)(h)

608

178

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2007-1:

Class M1, 0.7438% 3/25/37 (b)(h)

$ 272

$ 148

Class M2, 0.7638% 3/25/37 (b)(h)

204

106

Class M3, 0.7938% 3/25/37 (b)(h)

182

91

Class M4, 0.8438% 3/25/37 (b)(h)

151

73

Class M5, 0.8938% 3/25/37 (b)(h)

227

102

Class M6, 0.9738% 3/25/37 (b)(h)

317

127

Series 2007-2A:

Class A1, 0.7438% 7/25/37 (b)(h)

3,020

1,827

Class A2, 0.7938% 7/25/37 (b)(h)

2,829

1,747

Class B1, 2.0738% 7/25/37 (b)(h)

850

270

Class B2, 2.7238% 7/25/37 (b)(h)

739

229

Class B3, 3.8238% 7/25/37 (b)(h)

830

249

Class M1, 0.8438% 7/25/37 (b)(h)

966

524

Class M2, 0.8838% 7/25/37 (b)(h)

505

261

Class M3, 0.9638% 7/25/37 (b)(h)

511

252

Class M4, 1.1238% 7/25/37 (b)(h)

1,059

442

Class M5, 1.2238% 7/25/37 (b)(h)

934

367

Class M6, 1.4738% 7/25/37 (b)(h)

1,190

437

Series 2007-3:

Class A2, 0.7638% 7/25/37 (b)(h)

1,403

1,042

Class B1, 1.4238% 7/25/37 (b)(h)

752

358

Class B2, 2.0738% 7/25/37 (b)(h)

1,939

923

Class B3, 4.4738% 7/25/37 (b)(h)

1,012

465

Class M1, 0.7838% 7/25/37 (b)(h)

657

382

Class M2, 0.8138% 7/25/37 (b)(h)

702

394

Class M3, 0.8438% 7/25/37 (b)(h)

1,128

595

Class M4, 0.9738% 7/25/37 (b)(h)

1,778

930

Class M5, 1.0738% 7/25/37 (b)(h)

903

464

Class M6, 1.2738% 7/25/37 (b)(h)

686

348

Series 2007-4A:

Class B1, 3.0238% 9/25/37 (b)(h)

310

98

Class B2, 3.9238% 9/25/37 (b)(h)

1,101

322

Class M1, 1.4238% 9/25/37 (b)(h)

297

148

Class M2, 1.5238% 9/25/37 (b)(h)

297

133

Class M4, 2.0738% 9/25/37 (b)(h)

741

296

Class M5, 2.2238% 9/25/37 (b)(h)

741

278

Class M6, 2.4238% 9/25/37 (b)(h)

742

260

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.9013% 3/15/19 (b)(h)

1,083

618

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

floater:

Series 2006-BBA7:

Class H, 1.1113% 3/15/19 (b)(h)

$ 728

$ 328

Class J, 1.3113% 3/15/19 (b)(h)

547

219

Series 2007-BBA8:

Class D, 0.705% 3/15/22 (b)(h)

561

348

Class E, 0.755% 3/15/22 (b)(h)

2,913

1,708

Class F, 0.805% 3/15/22 (b)(h)

1,786

1,001

Class G, 0.855% 3/15/22 (b)(h)

459

250

Class H, 1.005% 3/15/22 (b)(h)

561

252

Class J, 1.155% 3/15/22 (b)(h)

561

224

sequential payer Series 2007 PW17 Class A4, 5.694% 6/11/50

23,863

15,555

C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (b)(h)

1,472

639

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

9,742

4,806

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class G, 0.785% 11/15/36 (b)(h)

597

185

Class H, 0.825% 11/15/36 (b)(h)

478

143

Series 2007-FL3A Class A2, 0.595% 4/15/22 (b)(h)

8,398

3,779

COMM pass-thru certificates floater:

Series 2005-F10A:

Class D, 0.765% 4/15/17 (b)(h)

1,277

604

Class E, 0.825% 4/15/17 (b)(h)

407

190

Class F, 0.865% 4/15/17 (b)(h)

231

102

Class G, 1.005% 4/15/17 (b)(h)

231

100

Class H, 1.075% 4/15/17 (b)(h)

231

94

Class J, 1.305% 4/15/17 (b)(h)

177

80

Series 2005-FL11:

Class F, 0.9113% 11/15/17 (b)(h)

523

175

Class G, 0.9613% 11/15/17 (b)(h)

362

113

Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C1 Class ASP, 0.9364% 1/15/37 (b)(h)(j)

136,665

2,267

Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:

Class C:

0.6313% 2/15/22 (b)(h)

2,507

752

0.7313% 2/15/22 (b)(h)

895

224

Class F, 0.7813% 2/15/22 (b)(h)

1,790

394

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 6,458

$ 6,489

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.6604% 12/10/41 (h)(j)

12,668

151

Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.9139% 7/10/38 (h)

18,000

12,535

GS Mortgage Securities Corp. II floater:

Series 2006-FL8A Class F, 0.885% 6/6/20 (b)(h)

1,122

640

Series 2007-EOP:

Class D, 0.815% 3/6/20 (b)(h)

9,955

6,371

Class H, 1.095% 3/6/20 (b)(h)

960

576

Class J, 1.295% 3/6/20 (b)(h)

1,375

784

GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 (h)

17,870

11,765

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class D, 0.6913% 11/15/18 (b)(h)

310

146

Class E, 0.7413% 11/15/18 (b)(h)

440

198

Class F, 0.7913% 11/15/18 (b)(h)

660

290

Class G, 0.8213% 11/15/18 (b)(h)

573

241

Class H, 0.9613% 11/15/18 (b)(h)

440

176

sequential payer Series 2007-CB20 Class A4, 5.794% 2/12/51

11,600

6,822

LB-UBS Commercial Mortgage Trust sequential payer Series 2007-C1 Class A4, 5.424% 2/15/40

11,080

6,771

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:

Class F, 0.795% 9/15/21 (b)(h)

1,537

632

Class G, 0.815% 9/15/21 (b)(h)

3,036

1,111

Class H, 0.855% 9/15/21 (b)(h)

783

271

Merrill Lynch-CFC Commercial Mortgage Trust Series 2007-7 Class B, 5.75% 6/12/50

2,790

757

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.662% 7/15/19 (b)(h)

1,106

111

Series 2007-XCLA Class A1, 0.662% 7/17/17 (b)(h)

3,684

2,026

Series 2007-XLCA Class B, 0.9613% 7/17/17 (b)(h)

2,097

189

Series 2007-XLFA:

Class D, 0.652% 10/15/20 (b)(h)

897

224

Class E, 0.712% 10/15/20 (b)(h)

1,122

224

Class F, 0.762% 10/15/20 (b)(h)

673

121

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

floater:

Series 2007-XLFA:

Class G, 0.802% 10/15/20 (b)(h)

$ 832

$ 125

Class H, 0.892% 10/15/20 (b)(h)

524

52

Class J, 1.042% 10/15/20 (b)(h)

598

48

Class MHRO, 1.152% 10/15/20 (b)(h)

243

27

Class MJPM, 1.462% 10/15/20 (b)(h)

82

7

Class MSTR, 1.162% 10/15/20 (b)(h)

150

21

Class NHRO, 1.352% 10/15/20 (b)(h)

355

32

Class NSTR, 1.312% 10/15/20 (b)(h)

140

15

sequential payer:

Series 2006-HQ10 Class A4, 5.328% 11/12/41

7,620

5,059

Series 2007-HQ11 Class A31, 5.439% 2/20/44 (h)

17,270

11,215

Series 2007-IQ16 Class A4, 5.809% 12/12/49

23,610

14,588

Series 2007-T27 Class A4, 5.804% 6/11/42

8,517

5,296

Series 2007-XLC1:

Class C, 1.0613% 7/17/17 (b)(h)

2,862

229

Class D, 1.1613% 7/17/17 (b)(h)

1,347

94

Class E, 1.2613% 7/17/17 (b)(h)

1,094

66

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (b)(h)

236

194

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.655% 1/15/18 (b)(h)

1,716

944

Series 2006-WL7A:

Class E, 0.735% 9/15/21 (b)(h)

1,873

768

Class F, 0.795% 8/11/18 (b)(h)

2,525

757

Class G, 0.815% 8/11/18 (b)(h)

2,392

598

Class J, 0.9331% 8/11/18 (b)(h)

532

191

Class X1A, 0.0239% 9/15/21 (b)(h)(j)

3,806

0*

Series 2007-WHL8:

Class AP1, 1.155% 6/15/20 (b)(h)

126

31

Class AP2, 1.255% 6/15/20 (b)(h)

206

41

Class F, 0.935% 6/15/20 (b)(h)

3,993

1,278

Class LXR2, 1.255% 6/15/20 (b)(h)

2,722

408

sequential payer Series 2007-C32 Class A3, 5.7407% 6/15/49 (h)

29,290

15,297

Series 2007-C31 Class C, 5.6924% 4/15/47 (h)

8,950

1,074

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $248,855)

193,456

Supranational Obligations - 0.0%

 

Principal Amount (000s)

Value (000s)

Corporacion Andina de Fomento:

5.2% 5/21/13

$ 875

$ 770

6.875% 3/15/12

880

843

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $1,743)

1,613

Fixed-Income Funds - 29.9%

Shares

 

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

2,086,859

148,021

Fidelity Commercial Mortgage-Backed Securities Central Fund (i)

7,974,388

542,258

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

2,670,805

245,687

Fidelity Mortgage Backed Securities Central Fund (i)

14,810,519

1,480,608

Fidelity Specialized High Income Central Fund (i)

2,535,452

197,055

TOTAL FIXED-INCOME FUNDS

(Cost $2,995,168)

2,613,629

Preferred Securities - 0.1%

Principal Amount (000s)

 

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

MUFG Capital Finance 1 Ltd. 6.346% (h)

(Cost $12,535)

$ 12,535

7,846

Cash Equivalents - 0.7%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) #
(Cost $59,251)

$ 59,252

59,251

TOTAL INVESTMENT PORTFOLIO - 102.9%

(Cost $9,936,827)

8,998,191

NET OTHER ASSETS - (2.9)%

(255,061)

NET ASSETS - 100%

$ 8,743,130

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

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 (Rating-Ba2) (f)

Nov. 2034

$ 2,971

$ (2,752)

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 (Rating-B1) (f)

Oct. 2034

957

(514)

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 (Rating-Baa3) (f)

May 2033

2,971

(2,496)

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 (Rating-C) (f)

Oct. 2036

2,274

(2,195)

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, 9.01% 8/25/34 (Rating-C) (f)

Sept. 2034

868

(798)

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

233

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

June 2013

13,600

1,342

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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

$ 2,997

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

291

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

9,200

(8,878)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

25,000

(24,125)

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 ABX AA 07-01 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

18,700

(18,046)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

5,600

(5,404)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

10,200

(9,843)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

16,700

(16,116)

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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 (Rating-Ba1) (f)

Oct. 2034

$ 9,300

$ (8,312)

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 (Rating-Baa3) (f)

Feb. 2035

3,200

(3,018)

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 (Rating-Baa2) (f)

August 2034

717

(422)

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 (Rating-Caa2) (f)

June 2035

3,200

(3,034)

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 (Rating-A3) (f)

Oct. 2034

889

(527)

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 (Rating-Baa3) (f)

April 2032

262

(213)

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 (Rating-Baa3) (f)

March 2034

95

(6)

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 (Rating-Ba2) (f)

Feb. 2034

$ 4

$ (3)

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 (Rating-Ca) (f)

August 2035

4,750

(4,460)

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 (Rating-A3) (f)

Sept. 2010

11,200

(375)

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 (Rating-Baa2) (f)

March 2013

13,500

(5,659)

TOTAL CREDIT DEFAULT SWAPS

182,798

(112,333)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 4.4248% and pay quarterly a floating rate based on 3-month LIBOR with Barclays Bank

Oct. 2018

100,000

10,728

 

$ 282,798

$ (101,605)

Legend

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

(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 $569,081,000 or 6.5% of net assets.

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

(d) A portion of the security is subject to a forward commitment to sell.

(e) Security or a portion of the security has been segregated as collateral for swap agreements. At the period end, the value of securities pledged amounted to$144,388,000, of which $104,161 is segregated at the custodian for terminated contracts with Lehman Brothers Special Financing, Inc.

(f) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

(g) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

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

(i) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited 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 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.

(j) 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.

(k) Non-income producing.

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$59,251,000 due 3/02/09 at 0.26%

Goldman, Sachs & Co.

$ 23,232

UBS Securities LLC

36,019

 

$ 59,251

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

$ 4,002

Fidelity Commercial Mortgage-Backed Securities Central Fund

20,444

Fidelity Corporate Bond 1-5 Year Central Fund

8,948

Fidelity Mortgage Backed Securities Central Fund

49,230

Fidelity Specialized High Income Central Fund

7,568

Fidelity Ultra-Short Central Fund

5,737

Total

$ 95,929

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

$ 273,953

$ 4,002

$ 99,991

$ 148,021

18.2%

Fidelity Commercial Mortgage-Backed Securities Central Fund

804,720

20,444

105,088

542,258

23.2%

Fidelity Corporate Bond 1-5 Year Central Fund

454,435

8,948

190,295

245,687

69.1%

Fidelity Mortgage Backed Securities Central Fund

1,998,004

49,233

600,266

1,480,608

20.2%

Fidelity Specialized High Income Central Fund

195,170

32,861

-

197,055

51.0%

Fidelity Ultra-Short Central Fund

806,565

-

678,853*

-

0.0%

Total

$ 4,532,847

$ 115,488

$ 1,674,493

$ 2,613,629

*Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financial Statements.

Other Information

The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities

$ 8,998,191

$ 2,613,629

$ 6,327,387

$ 57,175

Other Financial Instruments*

$ (101,239)

$ -

$ (4,326)

$ (96,913)

*Other financial instruments include Forward Commitments, and Swap Agreements.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

(Amounts in thousands)

Investments in Securities

Other Financial Instruments

Beginning Balance

$ 714

$ (38,155)

Total Realized Gain (Loss)

629

-*

Total Unrealized Gain (Loss)

4,094

19,571

Cost of Purchases

59,042

-

Proceeds of Sales

(2,826)

-

Amortization/Accretion

(11,310)

-

Transfer in/out of Level 3

6,832

(78,329)

Ending Balance

$ 57,175

$ (96,913)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(25,184,000).

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At August 31, 2008, the fund had a capital loss carryforward of approximately $123,382,000 of which $107,051,000 and $16,331,000 will expire on August 31, 2014 and 2016, respectively.

The fund intends to elect to defer to its fiscal year ending August 31, 2009 approximately $92,508,000 of losses recognized during the period November 1, 2007 to August 31, 2008.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

February 28, 2009 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including repurchase agreements of $59,251) - See accompanying schedule:

Unaffiliated issuers (cost $6,941,659)

$ 6,384,562

 

Fidelity Central Funds (cost $2,995,168)

2,613,629

 

Total Investments (cost $9,936,827)

 

$ 8,998,191

Commitment to sell securities on a delayed delivery basis

(209,067)

Receivable for securities sold on a delayed delivery basis

209,433

366

Receivable for investments sold, regular delivery

137,473

Receivable for swap agreements

148

Receivable for fund shares sold

10,300

Interest receivable

55,790

Distributions receivable from Fidelity Central Funds

13,532

Unrealized appreciation on swaps agreements

15,591

Other receivables

69

Total assets

9,231,460

 

 

 

Liabilities

Payable to custodian bank

$ 23

Payable for investments purchased
Regular delivery

118,543

Delayed delivery

197,787

Payable for swap agreements

32,536

Payable for fund shares redeemed

17,414

Distributions payable

1,193

Unrealized depreciation on swap agreements

117,196

Accrued management fee

2,362

Distribution fees payable

56

Other affiliated payables

969

Other payables and accrued expenses

251

Total liabilities

488,330

 

 

 

Net Assets

$ 8,743,130

Net Assets consist of:

 

Paid in capital

$ 10,399,036

Distributions in excess of net investment income

(23,566)

Accumulated undistributed net realized gain (loss) on investments

(607,454)

Net unrealized appreciation (depreciation) on investments

(1,024,886)

Net Assets

$ 8,743,130

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

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

 Amounts in thousands (except per-share amounts)

February 28, 2009 (Unaudited)

 

 

 

Calculation of Maximum Offering Price

 Class A:
Net Asset Value and redemption price per share ($118,496 ÷ 18,805 shares)

$ 6.30

 

 

 

Maximum offering price per share (100/96.00 of $6.30)

$ 6.56

Class T:
Net Asset Value and redemption price per share ($43,967 ÷ 6,974 shares)

$ 6.30

 

 

 

Maximum offering price per share (100/96.00 of $6.30)

$ 6.56

Class B:
Net Asset Value and offering price per share ($9,777 ÷ 1,550 shares)A

$ 6.31

 

 

 

Class C:
Net Asset Value and offering price per share ($18,940 ÷ 3,002 shares)A

$ 6.31

 

 

 

Investment Grade Bond:
Net Asset Value, offering price and redemption price per share ($8,528,345 ÷ 1,352,616 shares)

$ 6.31

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($23,605 ÷ 3,740 shares)

$ 6.31

A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

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

Semiannual Report

Statement of Operations

 Amounts in thousands

Six months ended February 28, 2009 (Unaudited)

 

 

 

Investment Income

 

 

Dividends

 

$ 486

Interest

 

117,621

Income from Fidelity Central Funds

 

95,929

Total income

 

214,036

 

 

 

Expenses

Management fee

$ 14,362

Transfer agent fees

4,579

Distribution fees

284

Fund wide operations fee

1,333

Independent trustees' compensation

17

Miscellaneous

209

Total expenses before reductions

20,784

Expense reductions

(38)

20,746

Net investment income

193,290

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

(44,864)

Fidelity Central Funds

(369,587)

 

Swap agreements

(31,097)

 

Total net realized gain (loss)

 

(445,548)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(361,689)

Swap agreements

33,130

Delayed delivery commitments

2,681

 

Total change in net unrealized appreciation (depreciation)

 

(325,878)

Net gain (loss)

(771,426)

Net increase (decrease) in net assets resulting from operations

$ (578,136)

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended February 28, 2009 (Unaudited)

Year ended
August 31,
2008

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income

$ 193,290

$ 545,862

Net realized gain (loss)

(445,548)

(26,541)

Change in net unrealized appreciation (depreciation)

(325,878)

(414,694)

Net increase (decrease) in net assets resulting from operations

(578,136)

104,627

Distributions to shareholders from net investment income

(250,069)

(516,873)

Distributions to shareholders from net realized gain

-

(11,157)

Total distributions

(250,069)

(528,030)

Share transactions - net increase (decrease)

(431,495)

(1,526,467)

Total increase (decrease) in net assets

(1,259,700)

(1,949,870)

 

 

 

Net Assets

Beginning of period

10,002,830

11,952,700

End of period (including distributions in excess of net investment income of $23,566 and undistributed net investment income of $33,213, respectively)

$ 8,743,130

$ 10,002,830

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

Semiannual Report

Financial Highlights - Class A

 

Six months ended
February 28, 2009
Years ended August 31,
 
 
(Unaudited)
2008
2007
2006 L
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.89

$ 7.18

$ 7.35

$ 7.24

$ 7.50

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income E

  .127

  .331

  .353

  .118

  .298

  .237

  .224

Net realized and unrealized gain (loss)

  (.547)

  (.303)

  (.161)

  .092

  (.206)

  .131

  (.095)

Total from investment operations

  (.420)

  .028

  .192

  .210

  .092

  .368

  .129

Distributions from net investment income

  (.170)

  (.311)

  (.352)

  (.100)

  (.282)

  (.238)

  (.229)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.170)

  (.318)

  (.362)

  (.100)

  (.352)

  (.338)

  (.359)

Net asset value, end of period

$ 6.30

$ 6.89

$ 7.18

$ 7.35

$ 7.24

$ 7.50

$ 7.47

Total Return B, C, D

  (6.10)%

  .36%

  2.61%

  2.92%

  1.23%

  5.03%

  1.68%

Ratios to Average Net Assets F, H

 

 

 

 

 

 

 

Expenses before reductions

  .80% A

  .80%

  .75%

  .71% A

  .71%

  .83%

  .83%

Expenses net of fee waivers, if any

  .80% A

  .80%

  .75%

  .71% A

  .71%

  .83%

  .83%

Expenses net of all reductions

  .80% A

  .80%

  .74%

  .71% A

  .71%

  .83%

  .83%

Net investment income

  4.01% A

  4.67%

  4.83%

  4.86% A

  4.04%

  3.17%

  2.96%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 118

$ 79

$ 79

$ 46

$ 37

$ 31

$ 22

Portfolio turnover rate G

  129% A, I

  231%

  181% K

  206%A,I

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate does not include the assets acquired in the merger. J For the period ended April 30. K Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. L For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Class T

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 L
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.89

$ 7.18

$ 7.35

$ 7.24

$ 7.51

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income E

  .128

  .332

  .350

  .116

  .290

  .230

  .214

Net realized and unrealized gain (loss)

  (.549)

  (.303)

  (.163)

  .091

  (.216)

  .141

  (.094)

Total from investment operations

  (.421)

  .029

  .187

  .207

  .074

  .371

  .120

Distributions from net investment income

  (.169)

  (.312)

  (.347)

  (.097)

  (.274)

  (.231)

  (.220)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.169)

  (.319)

  (.357)

  (.097)

  (.344)

  (.331)

  (.350)

Net asset value, end of period

$ 6.30

$ 6.89

$ 7.18

$ 7.35

$ 7.24

$ 7.51

$ 7.47

Total Return B, C, D

  (6.11)%

  .36%

  2.54%

  2.89%

  .98%

  5.07%

  1.56%

Ratios to Average Net Assets F, H

 

 

 

 

 

 

 

Expenses before reductions

  .83% A

  .80%

  .80%

  .82% A

  .83%

  .93%

  .96%

Expenses net of fee waivers, if any

  .83% A

  .80%

  .80%

  .82% A

  .83%

  .93%

  .95%

Expenses net of all reductions

  .83% A

  .79%

  .79%

  .81% A

  .83%

  .93%

  .95%

Net investment income

  3.99% A

  4.67%

  4.77%

  4.76% A

  3.92%

  3.07%

  2.84%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 44

$ 53

$ 68

$ 59

$ 57

$ 48

$ 30

Portfolio turnover rate G

  129% A, I

  231%

  181% K

  206% A,I

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate does not include the assets acquired in the merger. J For the period ended April 30. K Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. L For the fourth month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Class B

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 L
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.89

$ 7.19

$ 7.36

$ 7.24

$ 7.51

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income E

  .105

  .281

  .299

  .099

  .239

  .180

  .166

Net realized and unrealized gain (loss)

  (.538)

  (.313)

  (.164)

  .102

  (.216)

  .140

  (.095)

Total from investment operations

  (.433)

  (.032)

  .135

  .201

  .023

  .320

  .071

Distributions from net investment income

  (.147)

  (.261)

  (.295)

  (.081)

  (.223)

  (.180)

  (.171)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.147)

  (.268)

  (.305)

  (.081)

  (.293)

  (.280)

  (.301)

Net asset value, end of period

$ 6.31

$ 6.89

$ 7.19

$ 7.36

$ 7.24

$ 7.51

$ 7.47

Total Return B, C, D

  (6.29)%

  (.49)%

  1.83%

  2.79%

  .28%

  4.37%

  .90%

Ratios to Average Net Assets F, H

 

 

 

 

 

 

 

Expenses before reductions

  1.52% A

  1.50%

  1.50%

  1.50% A

  1.51%

  1.64%

  1.63%

Expenses net of fee waivers, if any

  1.52% A

  1.50%

  1.50%

  1.50% A

  1.51%

  1.60%

  1.60%

Expenses net of all reductions

  1.52% A

  1.50%

  1.50%

  1.50% A

  1.51%

  1.59%

  1.60%

Net investment income

  3.29% A

  3.96%

  4.07%

  4.07% A

  3.24%

  2.40%

  2.19%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 10

$ 9

$ 10

$ 9

$ 9

$ 9

$ 9

Portfolio turnover rate G

  129% A, I

  231%

  181% K

  206% A,I

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate does not include the assets acquired in the merger. J For the period ended April 30. K Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. L For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Class C

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 L
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.90

$ 7.19

$ 7.36

$ 7.24

$ 7.51

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income E

  .103

  .278

  .294

  .097

  .233

  .176

  .161

Net realized and unrealized gain (loss)

  (.549)

  (.304)

  (.163)

  .102

  (.216)

  .140

  (.095)

Total from investment operations

  (.446)

  (.026)

  .131

  .199

  .017

  .316

  .066

Distributions from net investment income

  (.144)

  (.257)

  (.291)

  (.079)

  (.217)

  (.176)

  (.166)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.144)

  (.264)

  (.301)

  (.079)

  (.287)

  (.276)

  (.296)

Net asset value, end of period

$ 6.31

$ 6.90

$ 7.19

$ 7.36

$ 7.24

$ 7.51

$ 7.47

Total Return B, C, D

  (6.46)%

  (.40)%

  1.77%

  2.76%

  .20%

  4.30%

  .84%

Ratios to Average Net Assets F, H

 

 

 

 

 

 

 

Expenses before reductions

  1.59% A

  1.55%

  1.55%

  1.58% A

  1.60%

  1.67%

  1.66%

Expenses net of fee waivers, if any

  1.59% A

  1.55%

  1.55%

  1.58% A

  1.60%

  1.66%

  1.66%

Expenses net of all reductions

  1.59% A

  1.55%

  1.55%

  1.58% A

  1.60%

  1.66%

  1.66%

Net investment income

  3.22% A

  3.91%

  4.02%

  3.99% A

  3.15%

  2.34%

  2.13%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 19

$ 14

$ 17

$ 10

$ 9

$ 7

$ 7

Portfolio turnover rate G

  129% A, I

  231%

  181% K

  206% A,I

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate does not include the assets acquired in the merger. J For the period ended April 30. K Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. L For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Investment Grade Bond

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 K
2006 I
2005 I
2004 I

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.89

$ 7.19

$ 7.35

$ 7.24

$ 7.50

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income D

  .139

  .356

  .376

  .124

  .317

  .254

  .240

Net realized and unrealized gain (loss)

  (.539)

  (.313)

  (.153)

  .092

  (.206)

  .130

  (.095)

Total from investment operations

  (.400)

  .043

  .223

  .216

  .111

  .384

  .145

Distributions from net investment income

  (.180)

  (.336)

  (.373)

  (.106)

  (.301)

  (.254)

  (.245)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.180)

  (.343)

  (.383)

  (.106)

  (.371)

  (.354)

  (.375)

Net asset value, end of period

$ 6.31

$ 6.89

$ 7.19

$ 7.35

$ 7.24

$ 7.50

$ 7.47

Total Return B, C

  (5.79)%

  .57%

  3.05%

  3.01%

  1.48%

  5.26%

  1.89%

Ratios to Average Net Assets E, G

 

 

 

 

 

 

 

Expenses before reductions

  .46% A

  .45%

  .45%

  .45% A

  .46%

  .61%

  .63%

Expenses net of fee waivers, if any

  .46% A

  .45%

  .45%

  .45% A

  .46%

  .61%

  .63%

Expenses net of all reductions

  .46% A

  .44%

  .44%

  .45% A

  .46%

  .61%

  .63%

Net investment income

  4.35% A

  5.02%

  5.13%

  5.12% A

  4.29%

  3.39%

  3.16%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 8,528

$ 9,814

$ 11,739

$ 10,141

$ 8,018

$ 6,721

$ 5,735

Portfolio turnover rate F

  129% A, H

  231%

  181% J

  206% A,H

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H The portfolio turnover rate does not include the assets acquired in the merger. I For the period ended April 30. J Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. K For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Institutional Class

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 K
2006 I
2005 I
2004 I

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.90

$ 7.19

$ 7.36

$ 7.25

$ 7.51

$ 7.48

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income D

  .138

  .353

  .374

  .124

  .313

  .254

  .233

Net realized and unrealized gain (loss)

  (.550)

  (.303)

  (.163)

  .091

  (.205)

  .129

  (.078)

Total from investment operations

  (.412)

  .050

  .211

  .215

  .108

  .383

  .155

Distributions from net investment income

  (.178)

  (.333)

  (.371)

  (.105)

  (.298)

  (.253)

  (.245)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.178)

  (.340)

  (.381)

  (.105)

  (.368)

  (.353)

  (.375)

Net asset value, end of period

$ 6.31

$ 6.90

$ 7.19

$ 7.36

$ 7.25

$ 7.51

$ 7.48

Total Return B, C

  (5.96)%

  .66%

  2.88%

  2.99%

  1.44%

  5.24%

  2.04%

Ratios to Average Net Assets E, G

 

 

 

 

 

 

 

Expenses before reductions

  .52% A

  .50%

  .48%

  .49% A

  .50%

  .59%

  .64%

Expenses net of fee waivers, if any

  .52% A

  .50%

  .48%

  .49% A

  .50%

  .59%

  .64%

Expenses net of all reductions

  .52% A

  .49%

  .47%

  .49% A

  .50%

  .59%

  .64%

Net investment income

  4.29% A

  4.97%

  5.10%

  5.07% A

  4.25%

  3.40%

  3.15%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 23,605

$ 33,808

$ 41,276

$ 29,386

$ 25,776

$ 16,084

$ 2,840

Portfolio turnover rate F

  129% A, H

  231%

  181% J

  206% A,H

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H The portfolio turnover rate does not include the assets acquired in the merger. I For the period ended April 30. J Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. K For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Notes to Financial Statements

For the period ended February 28, 2009 (Unaudited)

(Amounts in thousands except ratios)

1. Organization.

Fidelity Investment Grade Bond Fund (the Fund) is a fund of Fidelity Fixed-Income Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C, Investment Grade Bond, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity 1-3 Year Duration Securitized Bond Central Fund

Fidelity Investment Money Management, Inc. (FIMM)

Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

Semiannual Report

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity Commercial Mortgage-Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed securities and repurchase agreements for those securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Corporate Bond 1-5 Year Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Mortgage Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.

Delayed Delivery & When Issued Securities

Futures

Repurchase Agreements

Swap Agreements

Fidelity Specialized High Income Central Fund

Fidelity Management & Research Company, Inc. (FMRC)

Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities.

Loans & Direct Debt Instruments

Repurchase Agreements

Restricted Securities

 

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies.

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

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 dealer supplied prices. Swaps are marked-to-market daily based on valuations from independent pricing services or 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 disposition 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 determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. 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 (NAV) calculation under these procedures may differ from published prices for the same securities.

Semiannual Report

3. Significant Accounting Policies - continued

Security Valuation - continued

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1

Quoted prices in active markets for identical securities.

Level 2

Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3

Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, swap agreements, market discount, partnerships (including allocations from Fidelity Central Funds, deferred trustees compensation, capital loss carryforwards, and losses deferred due to wash sales and excise tax regulations.

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

Unrealized appreciation

$ 99,592

Unrealized depreciation

(1,030,108)

Net unrealized appreciation (depreciation)

$ (930,516)

Cost for federal income tax purposes

$ 9,928,707

New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.

4. Operating Policies.

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to

Semiannual Report

4. Operating Policies - continued

Swap Agreements - continued

exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.

The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $142,558,000 representing 1.6% of net assets.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Swap Agreements - continued

The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $975,635 and $2,316,570, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.

In addition, under the expense contract, FMR pays all class-level expenses for Investment Grade Bond, so that the total expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees do not exceed .45% of the Class' average net assets. This agreement does not apply to any of the other classes and any change or modification that would increase expenses can only be made with shareholder approval.

FMR pays a portion of the management fees received from the Fund to the Fidelity Central Funds' investment advisers, who are also affiliates, for managing the assets of the Fidelity Central Funds.

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:

 

Distribution
Fee

Service
Fee

Paid to
FDC

Retained
by FDC

Class A

0%

.25%

$ 116

$ 8

Class T

0%

.25%

57

2

Class B

.65%

.25%

40

29

Class C

.75%

.25%

71

11

 

 

 

$ 284

$ 50

Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C,.75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

For the period, sales charge amounts retained by FDC were as follows:

 

Retained
by FDC

Class A

$ 6

Class T

3

Class B*

11

Class C*

1

 

$ 21

* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Investment Grade Bond. FIIOC receives an asset-based fee of .10% of Investment Grade Bond's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, each class paid the following transfer agent fees:

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

6. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

 

Amount

% of
Average
Net Assets*

Class A

$ 86

.19

Class T

49

.22

Class B

11

.25

Class C

15

.22

Investment Grade Bond

4,396

.10

Institutional Class

22

.17

 

$ 4,579

 

* Annualized

Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.

Other Affiliated Transactions. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $405,891 in return for its 6,492 of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $28 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

Semiannual Report

8. Expense Reductions.

Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $1. During the period, credits reduced each class' transfer agent expense as noted in the table below.

 

Transfer Agent
expense reduction

Investment Grade Bond

$ 37

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
February 28,
2009

Year ended
August 31,
2008

From net investment income

 

 

Class A

$ 2,495

$ 3,742

Class T

1,196

2,716

Class B

201

358

Class C

315

556

Investment Grade Bond

245,137

507,696

Institutional Class

725

1,805

Total

$ 250,069

$ 516,873

From net realized gain

 

 

Class A

$ -

$ 82

Class T

-

64

Class B

-

9

Class C

-

15

Investment Grade Bond

-

10,947

Institutional Class

-

40

Total

$ -

$ 11,157

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

10. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

Six months ended
February 28,
2009

Year ended
August 31,
2008

Six months ended
February 28,
2009

Year ended
August 31,
2008

Class A

 

 

 

 

Shares sold

5,251

6,217

$ 33,666

$ 44,378

Issued in exchange for shares of Capital One Total Return Bond Fund

5,452

-

33,750

-

Reinvestment of distributions

306

515

1,943

3,652

Shares redeemed

(3,734)

(6,144)

(24,124)

(43,427)

Net increase (decrease)

7,275

588

$ 45,235

$ 4,603

Class T

 

 

 

 

Shares sold

1,283

3,480

$ 8,252

$ 24,742

Reinvestment of distributions

181

382

1,152

2,711

Shares redeemed

(2,158)

(5,613)

(14,006)

(39,832)

Net increase (decrease)

(694)

(1,751)

$ (4,602)

$ (12,379)

Class B

 

 

 

 

Shares sold

487

446

$ 3,137

$ 3,206

Reinvestment of distributions

25

39

157

280

Shares redeemed

(281)

(537)

(1,811)

(3,818)

Net increase (decrease)

231

(52)

$ 1,483

$ (332)

Class C

 

 

 

 

Shares sold

1,391

846

$ 8,894

$ 6,043

Reinvestment of distributions

37

53

236

379

Shares redeemed

(424)

(1,238)

(2,735)

(8,831)

Net increase (decrease)

1,004

(339)

$ 6,395

$ (2,409)

Investment Grade Bond

 

 

 

 

Shares sold

184,785

235,999

$ 1,186,619

$ 1,676,819

Reinvestment of distributions

37,468

71,069

238,478

504,629

Shares redeemed

(293,639)

(516,730)

(1,897,724)

(3,691,519)

Net increase (decrease)

(71,386)

(209,662)

$ (472,627)

$ (1,510,071)

Institutional Class

 

 

 

 

Shares sold

801

2,395

$ 5,170

$ 16,310

Reinvestment of distributions

97

212

616

1,503

Shares redeemed

(2,059)

(3,445)

(13,165)

(23,692)

Net increase (decrease)

(1,161)

(838)

$ (7,379)

$ (5,879)

11. Other.

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

Semiannual Report

11. Other - continued

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

At the end of the period, Fidelity Freedom 2010 Fund and Fidelity Freedom 2020 Fund were the owners of record of approximately 10% and 12%, respectively, of the total outstanding shares of the Fund. The Fidelity Freedom Funds were the owners of record, in the aggregate, of approximately 42% of the total outstanding shares of the Fund.

Subsequent to period end, the Fidelity Freedom Funds sold all their shares of the Fund.

Effective after the close of business on April 17, 2009, the Fidelity Commercial Mortgage-Backed Securities Central Fund ("CMBS"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Directors in March 2009. Under the plan, the Fund received in-kind its pro rata portion of CMBS' net assets.

In March 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.

12. Credit Risk.

The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

13. Merger Information.

On November 21, 2008, the Fund acquired all of the assets and assumed all of the liabilities (other than any deferred, accrued or prepaid expenses) of Capital One Total Return Bond Fund pursuant to an agreement and plan of reorganization approved by the Board of Trustees on June 19, 2008. The acquisition was accomplished by an exchange of 5,452 shares of Class A of the Fund for 3,655 shares then outstanding (value at $9.23 per share) of Capital One Total Return Bond Fund. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders. The Capital One Total Return Bond Fund's net assets were combined with the Fund's net assets of $8,459,080 for total net assets after the acquisition of $8,492,830.

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

Fidelity Research & Analysis Company

Fidelity Investments Money
Management, Inc.

FIL Investment Advisors

FIL Investment Advisors
(U.K.) Ltd.

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Japan) Inc.

Fidelity Management & Research
(Hong Kong) Limited

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY 

AIGB-USAN-0409
1.784859.105

fid199

(Fidelity Investment logo)(registered trademark)
Fidelity Advisor
Investment Grade Bond
Fund - Institutional Class

Semiannual Report

February 28, 2009

Institutional Class is a
class of Fidelity® Investment
Grade Bond Fund

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized Expense Ratio

Beginning
Account Value
September 1, 2008

Ending
Account Value
February 28, 2009

Expenses Paid
During Period*
September 1, 2008
to February 28, 2009

Class A

.80%

 

 

 

Actual

 

$ 1,000.00

$ 939.00

$ 3.85

HypotheticalA

 

$ 1,000.00

$ 1,020.83

$ 4.01

Class T

.83%

 

 

 

Actual

 

$ 1,000.00

$ 938.90

$ 3.99

HypotheticalA

 

$ 1,000.00

$ 1,020.68

$ 4.16

Class B

1.52%

 

 

 

Actual

 

$ 1,000.00

$ 937.10

$ 7.30

HypotheticalA

 

$ 1,000.00

$ 1,017.26

$ 7.60

Class C

1.59%

 

 

 

Actual

 

$ 1,000.00

$ 935.40

$ 7.63

HypotheticalA

 

$ 1,000.00

$ 1,016.91

$ 7.95

Investment Grade Bond

.46%

 

 

 

Actual

 

$ 1,000.00

$ 942.10

$ 2.22

HypotheticalA

 

$ 1,000.00

$ 1,022.51

$ 2.31

Institutional Class

.52%

 

 

 

Actual

 

$ 1,000.00

$ 940.40

$ 2.50

HypotheticalA

 

$ 1,000.00

$ 1,022.22

$ 2.61

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report

Investment Changes (Unaudited)

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

Quality Diversification (% of fund's net assets)

As of February 28, 2009

As of August 31, 2008

fid98

U.S. Government and
U.S. Government
Agency Obligations 64.2%

 

fid98

U.S. Government and
U.S. Government
Agency Obligations 58.4%

 

fid101

AAA 10.8%

 

fid101

AAA 13.4%

 

fid104

AA 3.2%

 

fid104

AA 5.7%

 

fid107

A 8.8%

 

fid107

A 9.8%

 

fid110

BBB 17.8%

 

fid110

BBB 20.0%

 

fid113

BB and Below 5.1%

 

fid113

BB and Below 4.3%

 

fid116

Not Rated 0.3%

 

fid116

Not Rated 0.4%

 

fid119

Short-Term
Investments and
Net Other Assets† (10.2)%

 

fid119

Short-Term
Investments and
Net Other Assets† (12.0)%

 


fid223

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades.

Weighted Average Maturity as of February 28, 2009

 

 

6 months ago

Years

6.1

6.2

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

Duration as of February 28, 2009

 

 

6 months ago

Years

3.8

4.7

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

Asset Allocation (% of fund's net assets)

As of February 28, 2009 *

As of August 31, 2008 **

fid98

Corporate Bonds 30.7%

 

fid98

Corporate Bonds 33.6%

 

fid101

U.S. Government and
U.S. Government
Agency Obligations 64.2%

 

fid101

U.S. Government and
U.S. Government
Agency Obligations 58.4%

 

fid104

Asset-Backed
Securities 4.5%

 

fid104

Asset-Backed
Securities 5.8%

 

fid107

CMOs and Other Mortgage Related Securities 10.6%

 

fid107

CMOs and Other Mortgage Related Securities 13.3%

 

fid110

Municipal Bonds 0.0%

 

fid110

Municipal Bonds 0.6%

 

fid113

Other Investments 0.2%

 

fid113

Other Investments 0.3%

 

fid119

Short-Term
Investments and
Net Other Assets† (10.2)%

 

fid119

Short-Term
Investments and
Net Other Assets† (12.0)%

 

fid239

* Foreign investments

6.4%

 

** Foreign investments

10.5%

 

* Futures and Swaps

1.4%

 

** Futures and Swaps

0.5%

 

†Short-term Investments and Net Other Assets are not included in the pie chart.

A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any 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.

Semiannual Report

Investments February 28, 2009 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 25.9%

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 2.1%

Automobiles - 0.1%

Ford Motor Co. 7.45% 7/16/31

$ 40,245

$ 7,546

Household Durables - 0.0%

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

2,745

1,895

Media - 1.7%

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

22,380

22,712

Comcast Corp.:

4.95% 6/15/16

15,874

14,188

5.9% 3/15/16

9,300

8,767

COX Communications, Inc.:

6.25% 6/1/18 (b)

2,536

2,228

6.45% 12/1/36 (b)

14,215

11,402

6.95% 6/1/38 (b)

7,041

5,901

Liberty Media Corp.:

5.7% 5/15/13

8,500

6,428

8.25% 2/1/30

19,105

11,123

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

6,015

5,224

News America, Inc.:

6.15% 3/1/37

6,365

4,953

6.2% 12/15/34

4,570

3,473

6.9% 3/1/19 (b)

7,150

6,770

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

35,779

32,356

Viacom, Inc.:

6.125% 10/5/17

9,190

7,563

6.75% 10/5/37

8,475

6,140

 

149,228

Specialty Retail - 0.3%

Staples, Inc. 9.75% 1/15/14

20,510

21,518

TOTAL CONSUMER DISCRETIONARY

180,187

CONSUMER STAPLES - 1.4%

Beverages - 0.3%

Anheuser-Busch InBev Worldwide, Inc. 8.2% 1/15/39 (b)

10,900

10,568

Diageo Capital PLC 5.2% 1/30/13

3,020

3,074

FBG Finance Ltd. 5.125% 6/15/15 (b)

11,020

9,360

 

23,002

Food & Staples Retailing - 0.1%

CVS Caremark Corp. 6.302% 6/1/37 (h)

14,340

8,819

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Food Products - 0.3%

Kraft Foods, Inc.:

4.125% 11/12/09

$ 6,360

$ 6,433

6% 2/11/13

3,380

3,523

6.25% 6/1/12

6,081

6,433

6.875% 2/1/38

9,031

8,957

 

25,346

Tobacco - 0.7%

Altria Group, Inc.:

9.25% 8/6/19

11,164

11,379

9.7% 11/10/18

11,828

12,384

Philip Morris International, Inc. 6.375% 5/16/38

12,770

12,561

Reynolds American, Inc.:

6.75% 6/15/17

15,115

12,766

7.25% 6/15/37

22,265

16,207

 

65,297

TOTAL CONSUMER STAPLES

122,464

ENERGY - 3.8%

Energy Equipment & Services - 0.5%

BJ Services Co. 6% 6/1/18

14,255

13,122

DCP Midstream LLC:

6.75% 9/15/37 (b)

7,295

5,341

9.75% 3/15/19 (b)

8,334

8,080

Transocean Ltd.:

6% 3/15/18

5,000

4,719

6.8% 3/15/38

4,060

3,710

Weatherford International Ltd.:

6% 3/15/18

5,650

4,687

9.625% 3/1/19

7,000

7,150

 

46,809

Oil, Gas & Consumable Fuels - 3.3%

Anadarko Finance Co. 6.75% 5/1/11

7,335

7,437

Anadarko Petroleum Corp.:

5.95% 9/15/16

6,661

5,929

6.45% 9/15/36

9,885

7,549

Canadian Natural Resources Ltd.:

5.7% 5/15/17

7,170

6,332

5.9% 2/1/18

2,830

2,499

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Chevron Corp. 3.95% 3/3/14

$ 24,991

$ 25,134

ConocoPhillips:

4.4% 5/15/13

50,000

49,959

5.75% 2/1/19

11,897

11,642

6.5% 2/1/39

7,891

7,648

Duke Energy Field Services 7.875% 8/16/10

7,580

7,671

EnCana Corp. 4.75% 10/15/13

2,269

2,135

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

4,315

4,415

Nakilat, Inc. 6.067% 12/31/33 (b)

12,415

8,105

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

5,985

3,805

Nexen, Inc.:

5.875% 3/10/35

10,560

7,198

6.4% 5/15/37

7,730

5,455

Pemex Project Funding Master Trust 2.82% 12/3/12 (b)(h)

11,870

10,149

Petro-Canada:

6.05% 5/15/18

4,170

3,437

6.8% 5/15/38

10,305

7,589

Petroleos Mexicanos 8% 5/3/19 (b)

6,517

6,403

Suncor Energy, Inc.:

6.1% 6/1/18

12,820

10,565

6.5% 6/15/38

2,565

1,754

6.85% 6/1/39

11,275

8,203

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

11,230

7,670

TEPPCO Partners LP:

6.65% 4/15/18

11,620

9,797

7.55% 4/15/38

10,010

7,783

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

22,035

20,583

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

4,050

3,884

Valero Energy Corp. 6.625% 6/15/37

5,740

4,383

XTO Energy, Inc.:

5.9% 8/1/12

6,352

6,296

6.25% 8/1/17

9,995

9,684

6.75% 8/1/37

5,265

4,696

 

285,789

TOTAL ENERGY

332,598

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - 10.6%

Capital Markets - 2.4%

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

$ 21,590

$ 22,347

BlackRock, Inc. 6.25% 9/15/17

12,840

12,210

Goldman Sachs Group, Inc.:

5.45% 11/1/12

4,880

4,704

5.95% 1/18/18

10,230

9,144

6.15% 4/1/18

9,490

8,623

7.5% 2/15/19

14,350

14,213

Janus Capital Group, Inc. 6.125% 9/15/11

2,605

1,823

JPMorgan Chase Capital XVII 5.85% 8/1/35

3,865

2,579

JPMorgan Chase Capital XX 6.55% 9/29/36

96,700

68,394

Lazard Group LLC:

6.85% 6/15/17

5,200

3,886

7.125% 5/15/15

16,430

12,472

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

23,797

19,800

Morgan Stanley 1.6975% 1/9/14 (h)

40,435

27,099

 

207,294

Commercial Banks - 1.7%

Bank of America NA 6% 10/15/36

8,150

5,604

Bank One Corp. 5.25% 1/30/13

13,775

13,381

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

1,220

589

Credit Suisse (Guernsey) Ltd. 5.86%

13,520

4,415

Credit Suisse First Boston 6% 2/15/18

17,850

16,194

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

9,731

9,395

DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (b)(h)

1,564

1,235

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

7,225

6,486

Fifth Third Bancorp:

4.5% 6/1/18

3,545

2,223

8.25% 3/1/38

2,904

2,104

HBOS PLC 6.75% 5/21/18 (b)

6,489

5,209

HSBC Holdings PLC:

1.6125% 10/6/16 (h)

1,537

1,233

6.5% 5/2/36

11,470

10,146

6.5% 9/15/37

5,010

4,361

KeyCorp Capital Trust VII 5.7% 6/15/35

16,490

9,070

Korea Development Bank 5.75% 9/10/13

6,838

6,268

Manufacturers & Traders Trust Co. 2.935% 4/1/13 (b)(h)

969

811

Regions Bank 6.45% 6/26/37

3,200

2,086

Santander Issuances SA Unipersonal 1.885% 6/20/16 (b)(h)

4,691

3,532

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Sovereign Bank 2.88% 8/1/13 (h)

$ 2,199

$ 1,640

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

23,680

18,940

Wachovia Bank NA 5.85% 2/1/37

19,011

15,126

Wachovia Corp. 4.875% 2/15/14

1,791

1,601

Wells Fargo Bank NA 5.95% 8/26/36

11,449

9,487

 

151,136

Consumer Finance - 0.7%

SLM Corp.:

1.3194% 7/26/10 (h)

64,500

53,147

1.3894% 10/25/11 (h)

3,925

2,750

1.4594% 1/27/14 (h)

2,240

1,155

2.1963% 3/15/11 (h)

1,130

858

4.5% 7/26/10

2,325

1,838

5% 10/1/13

830

507

 

60,255

Diversified Financial Services - 1.2%

Bank of America Corp. 5.75% 12/1/17

16,395

13,834

BTM Curacao Holding NV 1.8975% 12/19/16 (b)(h)

2,541

1,963

Citigroup, Inc.:

5.3% 10/17/12

8,650

7,673

5.5% 4/11/13

13,702

12,407

6.125% 5/15/18

20,068

17,306

CME Group, Inc. 5.75% 2/15/14

5,028

5,060

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

10,173

10,694

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

3,296

3,062

Prime Property Funding, Inc.:

5.125% 6/1/15 (b)

13,035

8,603

5.5% 1/15/14 (b)

8,820

6,036

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

11,415

10,802

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

7,500

3,053

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

13,680

5,404

 

105,897

Insurance - 1.3%

Assurant, Inc. 5.625% 2/15/14

8,540

7,051

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

13,335

10,297

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

22,081

13,690

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

Liberty Mutual Group, Inc.:

6.7% 8/15/16 (b)

$ 15,840

$ 12,467

10.75% 6/15/88 (b)(h)

8,540

4,526

Lincoln National Corp. 7% 5/17/66 (h)

2,370

874

Metropolitan Life Global Funding I:

5.125% 11/9/11 (b)

7,540

7,358

5.125% 4/10/13 (b)

11,934

11,401

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

7,315

7,380

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

9,715

9,538

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

10,050

9,803

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

18,775

8,824

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

10,405

8,201

The Chubb Corp. 6.5% 5/15/38

4,535

4,217

 

115,627

Real Estate Investment Trusts - 2.8%

AMB Property LP:

5.9% 8/15/13

9,635

6,678

6.3% 6/1/13

9,785

6,899

Brandywine Operating Partnership LP:

5.625% 12/15/10

19,900

17,578

5.75% 4/1/12

6,713

3,692

Camden Property Trust 5.875% 11/30/12

6,435

5,534

Colonial Properties Trust:

4.75% 2/1/10

20,412

19,517

4.8% 4/1/11

2,650

2,283

5.5% 10/1/15

12,730

7,920

6.875% 8/15/12

5,000

3,976

Colonial Realty LP 6.05% 9/1/16

9,420

6,029

Developers Diversified Realty Corp.:

4.625% 8/1/10

975

688

5% 5/3/10

6,840

4,788

5.25% 4/15/11

8,195

4,033

5.375% 10/15/12

5,485

2,627

Duke Realty LP:

5.4% 8/15/14

10,700

7,299

5.5% 3/1/16

10,700

6,680

5.625% 8/15/11

4,860

4,141

5.875% 8/15/12

1,205

923

5.95% 2/15/17

2,540

1,570

6.25% 5/15/13

5,180

3,885

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

Duke Realty LP: - continued

6.5% 1/15/18

$ 8,800

$ 5,446

Equity One, Inc.:

6% 9/15/17

6,860

4,524

6.25% 1/15/17

4,535

3,084

Federal Realty Investment Trust:

5.4% 12/1/13

4,880

3,714

6% 7/15/12

3,355

2,760

6.2% 1/15/17

2,580

1,961

HRPT Properties Trust:

5.75% 11/1/15

2,925

1,931

6.65% 1/15/18

6,500

4,137

Liberty Property LP:

5.5% 12/15/16

6,665

4,596

6.375% 8/15/12

4,617

3,786

6.625% 10/1/17

6,640

4,797

Mack-Cali Realty LP:

5.05% 4/15/10

9,145

8,596

7.25% 3/15/09

4,110

4,103

7.75% 2/15/11

1,080

1,015

Reckson Operating Partnership LP:

5.15% 1/15/11

2,790

2,232

6% 3/31/16

2,600

1,540

Simon Property Group LP:

4.6% 6/15/10

8,400

8,047

5.1% 6/15/15

15,660

12,706

5.375% 6/1/11

3,565

3,321

5.45% 3/15/13

8,720

7,520

5.75% 5/1/12

4,015

3,493

7.75% 1/20/11

2,250

2,151

Tanger Properties LP 6.15% 11/15/15

17,300

12,769

UDR, Inc. 5.5% 4/1/14

10,720

8,498

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

3,645

2,816

Washington (REIT) 5.95% 6/15/11

10,660

9,287

 

245,570

Real Estate Management & Development - 0.5%

ERP Operating LP:

5.375% 8/1/16

2,405

1,946

5.5% 10/1/12

9,240

8,418

5.75% 6/15/17

11,250

9,144

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

ERP Operating LP: - continued

6.625% 3/15/12

$ 2,360

$ 2,266

Post Apartment Homes LP 6.3% 6/1/13

11,550

9,471

Regency Centers LP 6.75% 1/15/12

12,435

10,616

 

41,861

Thrifts & Mortgage Finance - 0.0%

Capmark Financial Group, Inc. 6.8% 5/10/17

3,809

766

Independence Community Bank Corp. 3.585% 6/20/13 (h)

2,790

2,008

 

2,774

TOTAL FINANCIALS

930,414

INDUSTRIALS - 1.4%

Airlines - 1.3%

American Airlines, Inc. pass-thru trust certificates:

7.324% 4/15/11

13,531

12,854

7.858% 4/1/13

26,059

22,541

Continental Airlines, Inc. 6.545% 8/2/20

3,981

3,483

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

6.821% 8/10/22

13,618

9,873

7.57% 11/18/10

21,770

19,920

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

6,895

4,965

8.36% 7/20/20

21,289

16,393

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

Class 1A, 6.636% 1/2/24

8,263

5,908

6.071% 9/1/14

1,161

1,126

6.602% 9/1/13

2,068

1,954

7.032% 4/1/12

2,243

2,148

7.186% 10/1/12

5,570

5,333

7.811% 4/1/11

4,909

5,057

 

111,555

Building Products - 0.0%

Masco Corp. 2.3988% 3/12/10 (h)

3,591

3,221

Road & Rail - 0.0%

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

990

670

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Transportation Infrastructure - 0.1%

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

$ 6,338

$ 4,690

TOTAL INDUSTRIALS

120,136

INFORMATION TECHNOLOGY - 0.6%

Communications Equipment - 0.1%

Cisco Systems, Inc. 4.95% 2/15/19

12,106

11,700

Electronic Equipment & Components - 0.2%

Tyco Electronics Group SA:

5.95% 1/15/14

9,971

8,628

6.55% 10/1/17

8,770

6,612

7.125% 10/1/37

4,405

2,874

 

18,114

Semiconductors & Semiconductor Equipment - 0.3%

Chartered Semiconductor Manufacturing Ltd.:

5.75% 8/3/10

9,825

8,176

6.375% 8/3/15

10,650

6,365

National Semiconductor Corp.:

2.2463% 6/15/10 (h)

4,168

3,621

6.15% 6/15/12

7,260

5,693

 

23,855

TOTAL INFORMATION TECHNOLOGY

53,669

MATERIALS - 0.6%

Chemicals - 0.1%

Agrium, Inc. 7.125% 5/23/36

8,975

7,855

Metals & Mining - 0.5%

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

3,460

3,562

Rio Tinto Finance Ltd.:

5.875% 7/15/13

12,154

11,048

6.5% 7/15/18

20,204

17,850

7.125% 7/15/28

17,840

14,649

 

47,109

TOTAL MATERIALS

54,964

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - 1.5%

Diversified Telecommunication Services - 1.3%

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

$ 17,617

$ 17,013

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

12,752

12,803

Deutsche Telekom International Financial BV:

5.25% 7/22/13

6,995

7,017

5.875% 8/20/13

10,485

10,673

6.75% 8/20/18

5,870

6,004

Sprint Capital Corp.:

6.875% 11/15/28

9,870

5,453

7.625% 1/30/11

7,295

6,328

Telecom Italia Capital SA:

4.95% 9/30/14

11,250

9,691

5.25% 10/1/15

5,117

4,316

Telefonica Emisiones SAU:

5.855% 2/4/13

2,732

2,801

6.221% 7/3/17

11,230

11,285

Verizon Communications, Inc.:

5.25% 4/15/13

7,395

7,508

6.1% 4/15/18

9,830

9,733

 

110,625

Wireless Telecommunication Services - 0.2%

Sprint Nextel Corp. 6% 12/1/16

21,361

13,885

Vodafone Group PLC 5.625% 2/27/17

2,952

2,866

 

16,751

TOTAL TELECOMMUNICATION SERVICES

127,376

UTILITIES - 3.9%

Electric Utilities - 2.1%

AmerenUE 6.4% 6/15/17

10,662

10,399

Baltimore Gas & Electric Co. 6.125% 7/1/13

8,010

7,684

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

11,490

10,941

Commonwealth Edison Co.:

5.4% 12/15/11

18,283

18,593

5.8% 3/15/18

11,545

10,967

Duke Energy Carolinas LLC 6% 1/15/38

9,739

9,989

EDP Finance BV 6% 2/2/18 (b)

25,358

23,548

Exelon Corp. 4.9% 6/15/15

27,100

23,261

Florida Power Corp. 5.65% 6/15/18

5,665

5,811

Nevada Power Co. 6.5% 5/15/18

16,280

15,372

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

17,030

17,023

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Pacific Gas & Electric Co.:

4.8% 3/1/14

$ 2,670

$ 2,725

5.8% 3/1/37

7,180

6,916

Pennsylvania Electric Co. 6.05% 9/1/17

10,455

9,581

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

15,620

9,372

 

182,182

Gas Utilities - 0.0%

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

6,145

5,243

Independent Power Producers & Energy Traders - 0.7%

Duke Capital LLC 5.668% 8/15/14

13,400

12,368

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

23,798

21,983

PPL Energy Supply LLC:

6.2% 5/15/16

11,895

10,943

6.5% 5/1/18

11,365

9,844

TXU Corp. 5.55% 11/15/14

7,555

3,778

 

58,916

Multi-Utilities - 1.1%

CMS Energy Corp. 6.55% 7/17/17

13,140

11,595

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

12,110

7,872

National Grid PLC 6.3% 8/1/16

26,485

25,289

NiSource Finance Corp.:

1.8206% 11/23/09 (h)

9,874

9,451

5.4% 7/15/14

2,960

2,324

5.45% 9/15/20

10,810

7,402

6.4% 3/15/18

21,180

16,628

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

20,065

12,240

 

92,801

TOTAL UTILITIES

339,142

TOTAL NONCONVERTIBLE BONDS

(Cost $2,722,494)

2,260,950

U.S. Government and Government Agency Obligations - 16.8%

 

U.S. Government Agency Obligations - 3.5%

Fannie Mae:

2.75% 2/5/14

100,000

99,965

3.625% 2/12/13

47,560

49,960

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - continued

Fannie Mae: - continued

5% 2/13/17

$ 30,000

$ 33,150

5.375% 6/12/17

25,000

28,172

Freddie Mac:

2.125% 3/23/12

50,700

50,659

4.125% 12/21/12

45,060

48,213

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

310,119

U.S. Treasury Inflation Protected Obligations - 7.2%

U.S. Treasury Inflation-Indexed Notes:

2% 4/15/12

10,162

10,224

2% 1/15/14 (e)

123,650

123,116

2% 1/15/14

23,560

23,459

2.375% 1/15/17 (e)

305,200

303,932

2.375% 1/15/27 (e)

117,691

114,121

2.375% 1/15/27

2,242

2,174

2.625% 7/15/17

51,462

52,580

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

629,606

U.S. Treasury Obligations - 6.1%

U.S. Treasury Bonds 4.5% 5/15/38 (e)

90,400

102,632

U.S. Treasury Notes:

2.75% 10/31/13

168,800

175,156

4% 8/15/18

234,900

253,453

TOTAL U.S. TREASURY OBLIGATIONS

531,241

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,467,860)

1,470,966

U.S. Government Agency - Mortgage Securities - 20.2%

 

Fannie Mae - 15.8%

3.991% 9/1/33 (h)

8,394

8,517

4.5% 4/1/23

249

254

4.616% 9/1/35 (h)

11,435

11,658

5% 4/1/18 to 6/1/38

348,814

356,167

5.176% 4/1/36 (h)

19,216

19,796

5.5% 12/1/30 to 12/1/38 (d)

717,212

736,430

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

5.5% 3/1/39 (c)

$ 98,000

$ 100,394

5.5% 3/12/39 (c)

32,000

32,782

5.5% 3/12/39 (c)

25,000

25,611

5.5% 3/12/39 (c)

35,000

35,855

5.593% 7/1/37 (h)

2,696

2,782

5.821% 7/1/46 (h)

30,540

31,734

6% 3/1/16 to 11/1/38 (d)

4,308

4,474

6% 3/12/39 (c)(d)

2,000

2,066

6.013% 4/1/36 (h)

2,044

2,125

6.118% 4/1/36 (h)

5,032

5,235

6.243% 6/1/36 (h)

795

808

6.328% 4/1/36 (h)

2,017

2,099

TOTAL FANNIE MAE

1,378,787

Freddie Mac - 0.9%

4.289% 8/1/35 (h)

18,128

18,309

4.478% 10/1/34 (h)

9,951

10,105

4.556% 4/1/35 (h)

20,770

21,181

4.635% 4/1/35 (h)

6,515

6,617

4.767% 7/1/35 (h)

7,559

7,695

4.984% 1/1/36 (h)

5,886

5,996

5.694% 10/1/35 (h)

1,427

1,487

5.86% 6/1/36 (h)

2,312

2,397

5.977% 6/1/36 (h)

2,103

2,182

6% 11/1/33 to 9/1/35

5,806

6,043

6.101% 6/1/36 (h)

2,252

2,343

TOTAL FREDDIE MAC

84,355

Government National Mortgage Association - 3.5%

5.5% 12/20/28 to 12/20/38 (c)

298,391

306,844

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,718,427)

1,769,986

Asset-Backed Securities - 3.5%

 

Accredited Mortgage Loan Trust:

Series 2004-4 Class A2D, 0.8238% 1/25/35 (h)

136

48

Series 2005-1 Class M1, 0.9438% 4/25/35 (h)

2,507

1,479

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

ACE Securities Corp. Series 2006-NC2:

Class M7, 1.2238% 7/25/36 (h)

$ 1,122

$ 9

Class M8, 1.3238% 7/25/36 (h)

556

3

Class M9, 2.1738% 7/25/36 (h)

367

1

ACE Securities Corp. Home Equity Loan Trust:

Series 2003-HS1:

Class M1, 1.5988% 6/25/33 (h)

0*

0*

Class M2, 3.0988% 6/25/33 (h)

167

116

Series 2004-HE1 Class M1, 0.9738% 2/25/34 (h)

399

354

Series 2004-OP1 Class M1, 0.9938% 4/25/34 (h)

836

364

Series 2005-HE2 Class M2, 0.9238% 4/25/35 (h)

353

289

Series 2005-SD1 Class A1, 0.8738% 11/25/50 (h)

46

42

Series 2006-HE2:

Class M3, 0.8138% 5/25/36 (h)

487

15

Class M4, 0.8738% 5/25/36 (h)

412

9

Class M5, 0.9138% 5/25/36 (h)

599

9

Series 2006-OP1:

Class M4, 0.8438% 4/25/36 (h)

229

9

Class M5, 0.8638% 4/25/36 (h)

217

7

Advanta Business Card Master Trust:

Series 2006-C1 Class C1, 0.95% 10/20/14 (h)

1,600

112

Series 2007-A4 Class A4, 0.5% 4/22/13 (h)

5,864

4,339

Series 2007-B1 Class B, 0.72% 12/22/14 (h)

3,386

508

Series 2007-D1 Class D, 1.87% 1/22/13 (b)(h)

10,400

728

Airspeed Ltd. Series 2007-1A Class C1, 2.955% 6/15/32 (b)(h)

11,165

3,686

ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (b)(h)

1,314

1,296

American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (b)(h)

334

303

AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10

760

755

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

5,448

2,724

Ameriquest Mortgage Securities, Inc. Series 2006-M3:

Class A2A, 0.5238% 10/25/36 (h)

189

183

Class M7, 1.3238% 10/25/36 (h)

965

1

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.1738% 12/25/33 (h)

218

138

Series 2004-R10 Class M1, 1.1738% 11/25/34 (h)

912

406

Series 2004-R11 Class M1, 1.1338% 11/25/34 (h)

785

385

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ameriquest Mortgage Securities, Inc. pass-thru certificates: - continued

Series 2004-R2:

Class M1, 0.9038% 4/25/34 (h)

$ 345

$ 263

Class M3, 1.0238% 4/25/34 (h)

226

86

Series 2005-R1 Class M1, 0.9238% 3/25/35 (h)

1,267

738

Series 2005-R10 Class A2B, 0.6938% 12/25/35 (h)

1,149

788

Series 2005-R2 Class M1, 0.9238% 4/25/35 (h)

2,776

1,598

Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (h)

243

122

Argent Securities, Inc.:

Series 2006-M1 Class M7, 1.4738% 7/25/36 (h)

292

1

Series 2006-M2 Class M7, 1.3738% 9/25/36 (h)

930

1

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.7794% 3/1/34 (h)

64

13

Series 2004-W11 Class M2, 1.1738% 11/25/34 (h)

754

280

Series 2004-W5 Class M1, 1.0738% 4/25/34 (h)

913

537

Series 2004-W7:

Class M1, 1.0238% 5/25/34 (h)

799

252

Class M2, 1.0738% 5/25/34 (h)

698

377

Series 2006-W4 Class A2C, 0.6338% 5/25/36 (h)

2,086

734

Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.2538% 10/25/36 (h)

1,751

22

Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.8938% 12/25/34 (h)

1,928

934

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE3 Class M1, 1.7063% 6/15/33 (h)

328

146

Series 2003-HE6 Class M1, 1.1238% 11/25/33 (h)

721

375

Series 2004-HE2 Class M1, 1.0238% 4/25/34 (h)

3,588

1,555

Series 2004-HE3 Class M1, 1.0138% 6/25/34 (h)

318

126

Series 2004-HE6 Class A2, 0.8338% 6/25/34 (h)

560

216

Series 2006-HE6:

Class M7, 1.2738% 11/25/36 (h)

554

7

Class M9, 2.6238% 11/25/36 (h)

1,479

8

Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (a)(b)(h)

4,576

0*

Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (h)

4,616

4,150

Bayview Financial Acquisition Trust Series 2004-C Class A1, 1.0388% 5/28/44 (h)

436

265

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (h)

865

538

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Asset Backed Securities I Trust:

Series 2005-3 Class A1, 0.9238% 9/25/35 (h)

$ 147

$ 107

Series 2005-FR1 Class M1, 0.9738% 6/25/35 (h)

1,302

591

Series 2005-HE2 Class M1, 0.9738% 2/25/35 (h)

2,052

680

Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (h)

678

519

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (h)

3,088

2,761

C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (h)

1,033

889

Capital Auto Receivables Asset Trust:

Series 2005-1 Class B, 0.83% 6/15/10 (h)

847

835

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

4,195

2,937

Capital One Auto Finance Trust Series 2006-C Class A3B, 0.465% 7/15/11 (h)

513

477

Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.745% 4/15/13 (b)(h)

3,909

2,814

Capital Trust Ltd. Series 2004-1:

Class A2, 0.92% 7/20/39 (b)(h)

615

154

Class B, 1.22% 7/20/39 (b)(h)

355

50

Class C, 1.57% 7/20/39 (b)(h)

456

41

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (h)

1,534

74

Series 2006-NC2 Class M7, 1.3238% 6/25/36 (h)

572

11

Series 2006-NC3 Class M10, 2.4738% 8/25/36 (b)(h)

1,449

18

Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (h)

251

7

Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (h)

2,423

587

Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (b)(h)

367

266

Chase Issuance Trust Series 2004-3 Class C, 0.9313% 6/15/12 (h)

713

643

CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14

459

229

Citigroup Mortgage Loan Trust:

Series 2003-HE4 Class A, 0.8838% 12/25/33 (b)(h)

513

348

Series 2006-AMC1 Class M7, 0.82% 9/25/36 (h)

1,017

12

Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (h)

1,029

40

CNH Wholesale Master Note Trust Series 2006-1A:

Class A, 0.515% 7/15/12 (b)(h)

1,759

1,732

Class B, 0.735% 7/15/12 (b)(h)

1,759

1,659

Countrywide Asset-Backed Certificates Trust Series 2007-BC2 Class 2A1, 0.5638% 6/25/37 (h)

656

558

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

2,825

0*

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Countrywide Home Loans, Inc.:

Series 2002-6 Class AV1, 1.3338% 5/25/33 (h)

$ 70

$ 38

Series 2004-3:

Class 3A4, 0.7238% 8/25/34 (h)

257

138

Class M1, 0.9738% 6/25/34 (h)

889

585

Class M4, 1.4438% 4/25/34 (h)

215

102

Series 2004-4:

Class A, 0.8438% 8/25/34 (h)

56

27

Class M2, 1.0038% 6/25/34 (h)

790

523

Series 2005-1:

Class M1, 0.8938% 8/25/35 (h)

689

497

Class MV2, 0.9138% 7/25/35 (h)

1,901

1,326

Series 2005-3 Class MV1, 0.8938% 8/25/35 (h)

3,333

2,905

Series 2005-AB1 Class A2, 0.6838% 8/25/35 (h)

638

527

CPS Auto Receivables Trust Series 2004-D Class A2, 3.86% 12/15/11 (b)

205

187

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

5,545

3,601

Discover Card Master Trust I:

Series 2006-1 Class B1, 0.605% 8/16/11 (h)

2,860

2,836

Series 2006-2 Class B1, 0.575% 1/17/12 (h)

3,909

3,504

Series 2007-1 Class B, 0.555% 8/15/12 (h)

3,909

3,055

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8983% 5/28/35 (h)

52

27

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.6488% 8/25/34 (h)

391

97

Series 2006-3 Class 2A3, 0.6338% 11/25/36 (h)

6,052

1,706

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.2988% 3/25/34 (h)

31

16

Series 2005-FF9 Class A3, 0.7538% 10/25/35 (h)

8,919

6,881

Series 2006-FF12 Class A2, 0.5138% 9/25/36 (h)

656

601

First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (b)

236

234

Ford Credit Auto Owner Trust:

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

5,810

2,905

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

4,115

2,047

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

2,335

1,168

Ford Credit Floorplan Master Owner Trust:

Series 2006-3 Class B, 0.905% 6/15/11 (h)

2,722

1,905

Series 2006-4 Class B, 1.005% 6/15/13 (h)

1,039

524

Fremont Home Loan Trust:

Series 2004-1:

Class M1, 1.1488% 2/25/34 (h)

97

28

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Fremont Home Loan Trust: - continued

Class M2, 1.2238% 2/25/34 (h)

$ 166

$ 106

Series 2004-A Class M1, 1.2988% 1/25/34 (h)

1,615

862

Series 2005-A:

Class M1, 0.9038% 1/25/35 (h)

140

129

Class M2, 0.9338% 1/25/35 (h)

2,360

863

Class M3, 0.9638% 1/25/35 (h)

1,275

545

Class M4, 1.1538% 1/25/35 (h)

489

239

Series 2006-A:

Class M4, 0.8738% 5/25/36 (h)

1,216

17

Class M5, 0.9738% 5/25/36 (h)

651

8

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (b)(h)

3,167

2,133

GE Business Loan Trust Series 2003-1 Class A, 0.8913% 4/15/31 (b)(h)

483

299

GE Capital Credit Card Master Note Trust:

Series 2006-1:

Class B, 0.5713% 9/17/12 (h)

1,196

837

Class C, 0.7013% 9/17/12 (h)

930

605

Series 2007-1 Class C, 0.7313% 3/15/13 (h)

6,381

4,211

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

3,280

1,312

GSAMP Trust:

Series 2002-HE Class M1, 2.345% 11/20/32 (h)

837

408

Series 2003-FM1 Class M1, 1.7% 3/20/33 (h)

1,611

976

Series 2004-AR1:

Class B4, 5% 6/25/34 (b)(h)

1,074

90

Class M1, 1.1238% 6/25/34 (h)

2,949

1,121

Series 2004-FM1 Class M1, 1.4488% 11/25/33 (h)

548

293

Series 2004-FM2 Class M1, 1.2238% 1/25/34 (h)

1,410

811

Series 2004-HE1 Class M1, 1.0238% 5/25/34 (h)

772

251

Series 2007-HE1 Class M1, 0.7238% 3/25/47 (h)

1,223

58

GSR Mortgage Loan Trust:

Series 2004-OPT Class A1, 0.8138% 11/25/34 (h)

21

10

Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (h)

477

440

Series 2006-FM1 Class M3, 0.8238% 4/25/36 (h)

580

7

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.5538% 5/25/30 (b)(h)

887

399

Series 2006-3:

Class B, 0.8738% 9/25/46 (b)(h)

880

141

Class C, 1.0238% 9/25/46 (b)(h)

2,052

246

Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (b)(h)

4,736

2,415

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Home Equity Asset Trust:

Series 2002-3 Class A5, 1.3538% 2/25/33 (h)

$ 1

$ 0*

Series 2003-3 Class M1, 1.7638% 8/25/33 (h)

1,344

613

Series 2003-4 Class M1, 1.6738% 10/25/33 (h)

398

176

Series 2003-5:

Class A2, 1.1738% 12/25/33 (h)

44

13

Class M1, 1.5238% 12/25/33 (h)

460

277

Series 2003-7 Class A2, 1.2338% 3/25/34 (h)

2

0*

Series 2003-8 Class M1, 1.5538% 4/25/34 (h)

700

325

Series 2004-3 Class M2, 2.1738% 8/25/34 (h)

456

277

Series 2004-7 Class A3, 0.8638% 1/25/35 (h)

1

0*

Series 2005-1 Class M1, 0.9038% 5/25/35 (h)

1,753

1,567

Series 2005-3 Class M1, 0.8838% 8/25/35 (h)

1,199

1,071

Series 2005-5 Class 2A2, 0.7238% 11/25/35 (h)

537

474

Series 2006-1 Class 2A3, 0.6988% 4/25/36 (h)

4,907

3,388

Series 2006-7 Class M4, 0.8538% 1/25/37 (h)

1,542

7

Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (h)

380

231

HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (h)

3,025

2,686

HSBC Home Equity Loan Trust:

Series 2005-2:

Class M1, 0.8194% 1/20/35 (h)

1,039

550

Class M2, 0.8494% 1/20/35 (h)

779

382

Series 2005-3 Class A1, 0.6194% 1/20/35 (h)

546

292

Series 2006-2:

Class M1, 0.74% 3/20/36 (h)

856

448

Class M2, 0.76% 3/20/36 (h)

1,416

695

Series 2006-3 Class A1V, 0.55% 3/20/36 (h)

935

892

Series 2007-2 Class A3V, 0.69% 7/21/36 (h)

755

334

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (h)

1,664

500

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.6038% 11/25/36 (h)

1,671

710

Class MV1, 0.7038% 11/25/36 (h)

1,357

138

Keycorp Student Loan Trust:

Series 1999-A Class A2, 4.0988% 12/27/09 (h)

1,491

1,158

Series 2006-A Class 2A1, 1.4963% 9/27/21 (h)

1,012

986

Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (b)(h)

361

4

Long Beach Mortgage Loan Trust:

Series 2003-2 Class M1, 1.7038% 6/25/33 (h)

2,853

1,284

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Long Beach Mortgage Loan Trust: - continued

Series 2004-2:

Class M1, 1.0038% 6/25/34 (h)

$ 836

$ 441

Class M2, 1.5538% 6/25/34 (h)

594

453

Series 2006-9 Class M4, 0.8438% 11/25/36 (h)

488

1

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.7338% 10/25/36 (h)

604

22

Series 2006-NC2 Class M7, 1.2238% 9/25/36 (h)

284

0*

Series 2007-HE1 Class M1, 0.7738% 5/25/37 (h)

1,055

44

Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (b)(h)

17,200

15,743

Merrill Lynch Mortgage Investors Trust:

Series 2003-HE1 Class M1, 1.1738% 7/25/34 (h)

801

514

Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (h)

220

153

Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (h)

3,497

2,479

Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (h)

2,282

1,051

Morgan Stanley ABS Capital I Trust:

Series 2002-HE3 Class M1, 2.1238% 12/27/32 (h)

59

34

Series 2003-NC7 Class M1, 1.5238% 6/25/33 (h)

708

401

Series 2003-NC8 Class M1, 1.5238% 9/25/33 (h)

547

317

Series 2004-HE6 Class A2, 0.8138% 8/25/34 (h)

77

13

Series 2004-NC2 Class M1, 1.2988% 12/25/33 (h)

1,385

666

Series 2005-HE1 Class M2, 0.9438% 12/25/34 (h)

656

316

Series 2005-HE2 Class M1, 0.8738% 1/25/35 (h)

593

202

Series 2005-NC1 Class M1, 0.9138% 1/25/35 (h)

537

183

Series 2005-NC2 Class B1, 1.6438% 3/25/35 (h)

686

331

Series 2006-HE3 Class B1, 1.3738% 4/25/36 (h)

305

1

Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (h)

712

673

Series 2006-NC4:

Class M4, 0.8238% 6/25/36 (h)

458

5

Class M6, 0.9238% 6/25/36 (h)

229

1

Series 2007-HE2 Class A2A, 0.5138% 1/25/37 (h)

152

123

Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (h)

148

99

Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (h)

80

64

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 1.9738% 1/25/32 (h)

35

10

Series 2002-AM3 Class A3, 1.4538% 2/25/33 (h)

138

113

Series 2002-HE2 Class M1, 1.9738% 8/25/32 (h)

874

492

Series 2002-NC1 Class M1, 1.6738% 2/25/32 (b)(h)

746

428

Series 2002-NC3:

Class A3, 1.1538% 8/25/32 (h)

46

8

Class M1, 1.5538% 8/25/32 (h)

85

39

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Dean Witter Capital I Trust: - continued

Series 2003-NC1 Class M1, 2.0488% 11/25/32 (h)

$ 548

$ 270

Morgan Stanley Home Equity Loans Trust:

Series 2006-3 Class M5, 0.8838% 4/25/36 (h)

458

6

Series 2007-2 Class A1, 0.5738% 4/25/37 (h)

1,169

888

National Collegiate Student Loan Trust:

Series 2006-3 Class A1, 0.5038% 9/25/19 (h)

1,690

1,587

Series 2006-4 Class A1, 0.5038% 3/25/25 (h)

1,377

1,228

New Century Home Equity Loan Trust:

Series 2003-6 Class M1, 1.5538% 1/25/34 (h)

1,572

879

Series 2005-4 Class M2, 0.9838% 9/25/35 (h)

1,918

286

Series 2005-D Class M2, 0.9438% 2/25/36 (h)

400

27

Nomura Home Equity Loan Trust:

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

355

310

Series 2006-FM2 Class M7, 1.2738% 7/25/36 (h)

1,306

7

Series 2006-HE2 Class A2, 0.5938% 3/25/36 (h)

1,119

1,013

Ocala Funding LLC:

Series 2005-1A Class A, 1.97% 3/20/10 (b)(h)

761

267

Series 2006-1A Class A, 1.87% 3/20/11 (b)(h)

1,581

632

Option One Mortgage Loan Trust:

Series 2004-3 Class M3, 1.1238% 11/25/34 (h)

462

291

Series 2007-5 Class 2A1, 0.5638% 5/25/37 (h)

253

225

Series 2007-6 Class 2A1, 0.5338% 7/25/37 (h)

351

315

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M2, 1.1538% 9/25/34 (h)

374

215

Class M3, 1.7238% 9/25/34 (h)

716

161

Class M4, 1.9238% 9/25/34 (h)

919

97

Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (h)

539

89

Series 2004-WHQ2 Class M1, 1.0638% 2/25/35 (h)

1,564

1,144

Series 2004-WWF1:

Class M2, 1.1538% 2/25/35 (h)

2,162

1,269

Class M3, 1.2138% 2/25/35 (h)

268

108

Series 2005-WCH1:

Class M2, 0.9938% 1/25/35 (h)

1,037

592

Class M3, 1.0338% 1/25/35 (h)

643

254

Class M4, 1.3038% 1/25/35 (h)

1,984

306

Series 2005-WHQ2:

Class M7, 1.7238% 5/25/35 (h)

2,441

95

Class M9, 2.3538% 5/25/35 (h)

795

23

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:

Class 1A1, 0.5438% 9/25/36 (h)

$ 562

$ 537

Class M4, 0.8338% 9/25/36 (h)

2,293

14

Class M5, 0.8638% 9/25/36 (h)

1,143

5

Providian Master Note Trust Series 2006-C1A Class C1, 1.005% 3/16/15 (b)(h)

4,884

2,100

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.5438% 2/25/37 (h)

510

449

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (h)

7

1

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (h)

2,541

1,208

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (b)(h)

1,444

1,083

SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.9463% 6/15/33 (h)

1,711

770

Sovereign Dealer Floor Plan Master LLC Series 2006-1:

Class B, 0.635% 8/15/11 (b)(h)

2,325

1,976

Class C, 0.835% 8/15/11 (b)(h)

1,060

795

Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (h)

315

205

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (h)

123

49

Structured Asset Securities Corp.:

Series 2004-GEL1 Class A, 0.8338% 2/25/34 (h)

185

82

Series 2006-BC3 Class M7, 1.2738% 10/25/36 (h)

4

0*

Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (b)(h)

1,759

511

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.5638% 6/25/37 (h)

4,877

3,695

Superior Wholesale Inventory Financing Trust:

Series 2004-A10:

Class A, 0.5613% 9/15/11 (h)

12,170

9,797

Class B, 0.7413% 9/15/11 (h)

5,287

2,115

Series 2007-AE1:

Class A, 0.555% 1/15/12 (h)

1,315

921

Class B, 0.755% 1/15/12 (h)

1,144

458

Class C, 1.055% 1/15/12 (h)

1,422

427

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 0.9113% 3/15/11 (b)(h)

15,495

13,946

Swift Master Auto Receivables Trust Series 2007-1 Class A, 0.555% 6/15/12 (h)

3,863

2,782

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 0.9038% 9/25/34 (h)

$ 39

$ 8

Series 2003-6HE Class A1, 0.9438% 11/25/33 (h)

49

16

Turquoise Card Backed Securities PLC:

Series 2006-1A Class C, 0.785% 5/16/11 (b)(h)

3,805

3,618

Series 2006-2:

Class B, 0.605% 10/17/11 (h)

4,604

4,029

Class C, 0.805% 10/17/11 (h)

4,326

3,496

Series 2007-1 Class C, 0.8313% 6/15/12 (h)

4,932

3,174

Wachovia Auto Loan Owner Trust Series 2006-2A:

Class A4, 5.23% 3/20/12 (b)

50,000

49,097

Class E, 7.05% 5/20/14 (b)

6,660

1,931

WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (b)

1,193

0*

WaMu Asset-Backed Certificates Series 2006-HE3:

Class M4, 0.8538% 10/25/36 (h)

810

15

Class M7, 1.2738% 10/25/36 (h)

587

7

WaMu Master Note Trust:

Series 2006-A3A Class A3, 0.485% 9/16/13 (b)(h)

7,385

7,034

Series 2006-C2A Class C2, 0.955% 8/15/15 (b)(h)

9,412

4,089

Series 2006-C3A Class C3A, 0.835% 10/15/13 (b)(h)

6,587

5,316

Series 2007-A4A Class A4, 5.2% 10/15/14 (b)

4,370

3,911

Series 2007-C1 Class C1, 0.855% 5/15/14 (b)(h)

5,732

3,373

Wells Fargo Home Equity Trust:

Series 2004-3 Class A, 4.5% 11/27/34 (b)(k)

10

0*

Series 2006-2 Class A2, 0.5738% 7/25/36 (h)

1,442

1,303

Series 2007-2 Class A1, 0.5638% 4/25/37 (h)

929

766

WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12

24

24

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (b)(h)

2,406

289

TOTAL ASSET-BACKED SECURITIES

(Cost $353,383)

302,215

Collateralized Mortgage Obligations - 3.6%

 

Private Sponsor - 2.4%

Arkle Master Issuer PLC floater:

Series 2006-1A Class 3C, 1.6275% 2/17/52 (b)(h)

900

675

Series 2006-2A:

Class 2B, 1.3575% 2/17/52 (b)(h)

3,168

2,956

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Arkle Master Issuer PLC floater: - continued

Series 2006-2A:

Class 2M, 1.4375% 2/17/52 (b)(h)

$ 2,154

$ 1,935

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (b)(h)

2,022

858

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6985% 4/10/49 (h)

1,775

266

Class C, 5.6985% 4/10/49 (h)

4,735

663

Class D, 5.6985% 4/10/49 (h)

2,370

308

Banc of America Mortgage Securities, Inc.:

Series 2003-H Class 2A3, 5.2046% 9/25/33 (h)

706

561

Series 2003-J Class 2A2, 5.2918% 11/25/33 (h)

3,248

2,636

Series 2003-K Class 1A1, 5.2035% 12/25/33 (h)

91

74

Series 2003-L Class 2A1, 5.3147% 1/25/34 (h)

1,152

895

Series 2004-1 Class 2A2, 4.6723% 10/25/34 (h)

1,731

1,347

Series 2004-A:

Class 2A1, 5.1951% 2/25/34 (h)

2,192

1,787

Class 2A2, 5.1951% 2/25/34 (h)

1,709

1,393

Series 2004-B:

Class 1A1, 6.433% 3/25/34 (h)

101

77

Class 2A2, 4.0864% 3/25/34 (h)

630

470

Series 2004-C Class 1A1, 5.971% 4/25/34 (h)

179

141

Series 2004-D Class 2A1, 3.6163% 5/25/34 (h)

1,295

998

Series 2004-F Class 2A6, 4.1429% 7/25/34 (h)

931

910

Series 2004-J Class 2A1, 4.7597% 11/25/34 (h)

778

606

Series 2004-L Class 2A1, 4.3695% 1/25/35 (h)

934

713

Series 2005-H:

Class 1A1, 5.3329% 9/25/35 (h)

1,276

919

Class 2A2, 4.8028% 9/25/35 (h)

1,433

462

Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (b)(h)(j)

69,412

5,796

Bear Stearns Adjustable Rate Mortgage Trust Series 2003-6 Class 1A2, 4.9867% 8/25/33 (h)

1,947

1,327

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 0.7538% 1/25/35 (h)

4,136

2,043

Series 2005-2 Class 1A1, 0.7238% 3/25/35 (h)

767

425

Series 2005-5 Class 1A1, 0.6938% 7/25/35 (h)

975

494

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 4.9685% 2/25/37 (h)

2,999

2,249

Series 2007-A2 Class 2A1, 5.1795% 7/25/37 (h)

3,593

2,907

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Citigroup Mortgage Loan Trust Series 2004-UST1:

Class A3, 4.9419% 8/25/34 (h)

$ 2,420

$ 1,959

Class A4, 4.399% 8/25/34 (h)

2,229

1,783

Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (h)

139

132

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:

Series 2004-1 Class 9A2, 0.8738% 1/25/34 (h)

78

39

Series 2004-2 Class 7A3, 0.8738% 2/25/35 (h)

170

80

Series 2004-4 Class 5A2, 0.8738% 3/25/35 (h)

37

16

Series 2005-1 Class 5A2, 0.8038% 5/25/35 (h)

623

297

Series 2005-10:

Class 5A1, 0.7338% 1/25/36 (h)

989

472

Class 5A2, 0.7938% 1/25/36 (h)

445

178

Series 2005-2:

Class 6A2, 0.7538% 6/25/35 (h)

155

69

Class 6M2, 0.9538% 6/25/35 (h)

1,983

484

Series 2005-3 Class 8A2, 0.7138% 7/25/35 (h)

736

374

Series 2005-4 Class 7A2, 0.7038% 8/25/35 (h)

233

115

Series 2005-8 Class 7A2, 0.7538% 11/25/35 (h)

581

329

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (h)

22

13

Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (h)

44

23

Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (h)

212

106

Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (h)

64

29

Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (h)

40

24

Series 2007-AR7 Class 2A1, 4.6052% 11/25/34 (h)

3,117

2,195

Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (h)

4,618

2,399

DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (h)

955

777

First Horizon Mortgage pass-thru Trust:

floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (h)

77

48

Series 2004-AR5 Class 2A1, 5.1001% 10/25/34 (h)

3,212

2,473

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 1.3025% 10/18/54 (b)(h)

3,843

2,948

Class C2, 1.6125% 10/18/54 (b)(h)

1,288

644

Class M2, 1.3925% 10/18/54 (b)(h)

2,209

1,427

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (b)(h)

$ 3,297

$ 1,541

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (b)(h)

4,187

1,813

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 1.07% 12/20/54 (b)(h)

8,080

566

Series 2006-2 Class C1, 0.94% 12/20/54 (h)

7,196

720

Series 2006-3 Class C2, 0.97% 12/20/54 (h)

1,511

93

Series 2006-4:

Class B1, 0.56% 12/20/54 (h)

4,042

808

Class C1, 0.85% 12/20/54 (h)

2,472

173

Class M1, 0.64% 12/20/54 (h)

1,064

160

Series 2007-1:

Class 1C1, 0.77% 12/20/54 (h)

2,497

250

Class 1M1, 0.62% 12/20/54 (h)

1,624

244

Class 2C1, 0.9% 12/20/54 (h)

1,140

114

Class 2M1, 0.72% 12/20/54 (h)

2,086

334

Series 2007-2 Class 2C1, 0.8913% 12/17/54 (h)

2,890

289

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (h)

579

145

GSR Mortgage Loan Trust:

Series 2004-11 Class 1A1, 4.9133% 9/25/34 (h)

418

279

Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (h)

823

566

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (h)

572

257

Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (b)(h)

819

573

Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 0.6038% 4/25/37 (h)

2,629

1,498

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (h)

210

119

Impac CMB Trust floater:

Series 2004-11 Class 2A2, 1.2138% 3/25/35 (h)

353

209

Series 2005-1:

Class M4, 1.2238% 4/25/35 (h)

42

7

Class M5, 1.2438% 4/25/35 (h)

42

5

Class M6, 1.2938% 4/25/35 (h)

67

10

Series 2005-3 Class A1, 0.7138% 8/25/35 (h)

835

424

Series 2005-4 Class 1B1, 1.6894% 5/25/35 (h)

261

9

Series 2005-6 Class 1M3, 1.0838% 10/25/35 (h)

226

18

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.9482% 8/25/36 (h)

$ 2,768

$ 1,651

Series 2004-A1 Class 2A1, 4.4964% 2/25/34 (h)

1,899

1,561

Series 2004-A3 Class 4A1, 4.2896% 7/25/34 (h)

5,063

4,171

Series 2006-A2 Class 5A1, 5.1373% 11/25/33 (h)

3,696

3,172

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (b)(h)

667

341

MASTR Adjustable Rate Mortgages Trust:

floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (h)

100

62

Series 2007-3 Class 22A2, 0.6838% 5/25/47 (h)

1,918

927

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (h)

2,414

1,014

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.625% 6/15/22 (b)(h)

280

154

Class C, 0.645% 6/15/22 (b)(h)

1,712

856

Class D, 0.655% 6/15/22 (b)(h)

659

296

Class E, 0.665% 6/15/22 (b)(h)

1,054

421

Class F, 0.695% 6/15/22 (b)(h)

1,900

665

Class G, 0.765% 6/15/22 (b)(h)

395

118

Class H, 0.785% 6/15/22 (b)(h)

791

198

Class J, 0.825% 6/15/22 (b)(h)

923

185

Class TM, 0.955% 6/15/22 (b)(h)

8,932

5,493

Merrill Lynch Mortgage Investors Trust:

floater:

Series 2003-A Class 2A1, 0.8638% 3/25/28 (h)

299

174

Series 2003-B Class A1, 0.8138% 4/25/28 (h)

318

186

Series 2003-D Class A, 0.7838% 8/25/28 (h)

270

173

Series 2003-E Class A2, 2.0813% 10/25/28 (h)

450

269

Series 2003-F Class A2, 3.805% 10/25/28 (h)

361

217

Series 2004-A Class A2, 3.715% 4/25/29 (h)

416

257

Series 2004-B Class A2, 2.8388% 6/25/29 (h)

317

188

Series 2004-C Class A2, 2.15% 7/25/29 (h)

367

218

Series 2004-D Class A2, 3.4625% 9/25/29 (h)

312

185

Series 2004-E:

Class A2B, 3.825% 11/25/29 (h)

738

471

Class A2D, 4.015% 11/25/29 (h)

107

63

Series 2004-G Class A2, 3.48% 11/25/29 (h)

357

215

Series 2005-A Class A2, 3.3525% 2/25/30 (h)

345

208

Series 2005-B Class A2, 2.7988% 7/25/30 (h)

1,054

657

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Merrill Lynch Mortgage Investors Trust: - continued

floater:

Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (h)

$ 2,191

$ 10

Series 2004-A4 Class A1, 4.2286% 8/25/34 (h)

3,380

2,585

Series 2005-A2:

Class A2, 4.4861% 2/25/35 (h)

2,095

1,648

Class A7, 4.4861% 2/25/35 (h)

3,021

1,954

Series 2006-A6 Class A4, 5.3897% 10/25/33 (h)

2,724

2,220

MortgageIT Trust floater:

Series 2004-2:

Class A1, 0.8438% 12/25/34 (h)

380

247

Class A2, 0.9238% 12/25/34 (h)

514

357

Series 2005-2 Class 1A1, 0.7338% 5/25/35 (h)

433

287

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (h)

4,378

2,142

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (h)

3,286

155

Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (h)

2,759

1,868

Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.4944% 7/17/42 (h)

702

519

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (h)

7,220

5,756

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B:

Class B5, 2.7988% 7/10/35 (b)(h)

1,834

892

Class B6, 3.2988% 7/10/35 (b)(h)

3,657

1,620

Series 2003-CB1:

Class B3, 1.8988% 6/10/35 (b)(h)

1,414

756

Class B4, 2.0988% 6/10/35 (b)(h)

2,823

1,455

Class B5, 2.6988% 6/10/35 (b)(h)

1,927

960

Class B6, 3.1988% 6/10/35 (b)(h)

1,143

561

Series 2004-A:

Class B4, 1.6488% 2/10/36 (b)(h)

1,078

373

Class B5, 2.1488% 2/10/36 (b)(h)

718

230

Series 2004-B:

Class B4, 1.5488% 2/10/36 (b)(h)

467

129

Class B5, 1.9988% 2/10/36 (b)(h)

362

90

Class B6, 2.4488% 2/10/36 (b)(h)

126

26

Series 2004-C:

Class B4, 1.3988% 9/10/36 (b)(h)

601

176

Class B5, 1.7988% 9/10/36 (b)(h)

674

181

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

RESI Finance LP/RESI Finance DE Corp. floater: - continued

Series 2004-C:

Class B6, 2.1988% 9/10/36 (b)(h)

$ 149

$ 33

Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (h)

2,323

1,791

Residential Asset Mortgage Products, Inc.:

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

329

291

Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (h)

336

247

Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.272% 7/25/34 (h)

1,832

1,488

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (b)(h)

369

277

ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (b)(h)

83

81

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 3.7963% 9/20/33 (h)

604

368

Series 2004-1 Class A, 1.8888% 2/20/34 (h)

216

138

Series 2004-10 Class A4, 4.5188% 11/20/34 (h)

312

193

Series 2004-12 Class 1A2, 2.1538% 1/20/35 (h)

942

579

Series 2004-3 Class A, 3.885% 5/20/34 (h)

296

181

Series 2004-4 Class A, 4.4388% 5/20/34 (h)

1,130

703

Series 2004-5 Class A3, 2.9113% 6/20/34 (h)

443

271

Series 2004-6:

Class A3A, 2.1613% 6/20/35 (h)

340

218

Class A3B, 2.3038% 7/20/34 (h)

65

40

Series 2004-7:

Class A3A, 1.9138% 8/20/34 (h)

343

205

Class A3B, 2.1388% 7/20/34 (h)

42

25

Series 2004-8 Class A2, 2.15% 9/20/34 (h)

851

551

Series 2005-1 Class A2, 1.8388% 2/20/35 (h)

571

354

Series 2005-2 Class A2, 2.03% 3/20/35 (h)

713

429

Series 2005-3 Class A1, 0.67% 5/20/35 (h)

346

186

Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (h)

707

9

Structured Asset Securities Corp.:

floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (b)(h)

127

54

Series 2003-15A Class 4A, 5.4533% 4/25/33 (h)

1,674

1,357

Series 2003-20 Class 1A1, 5.5% 7/25/33

1,086

931

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (h)

$ 4,401

$ 2,244

WaMu Mortgage pass-thru certificates:

floater:

Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (h)

204

195

Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (h)

83

80

Series 2003-AR10 Class A7, 4.669% 10/25/33 (h)

8,193

5,144

Series 2003-AR8 Class A, 4.2743% 8/25/33 (h)

1,679

1,352

Series 2004-AR7 Class A6, 3.9389% 7/25/34 (h)

2,555

2,530

Series 2005-AR14 Class 1A1, 5.0454% 12/25/35 (h)

12,190

9,863

Series 2005-AR3 Class A2, 4.6384% 3/25/35 (h)

4,820

3,878

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 4.1875% 12/25/34 (h)

12,381

9,863

Series 2004-V Class 1A2, 4.0139% 10/25/34 (h)

5,278

4,217

Series 2004-W:

Class A1, 4.5429% 11/25/34 (h)

1,600

1,277

Class A9, 4.5429% 11/25/34 (h)

3,709

2,333

Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (h)

1,346

1,050

Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (h)

6,141

4,691

Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (h)

3,871

2,979

Series 2006-AR8 Class 3A1, 5.2374% 4/25/36 (h)

44,967

32,164

TOTAL PRIVATE SPONSOR

214,371

U.S. Government Agency - 1.2%

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

Series 2630 Class KS, 4% 1/15/17

22,130

22,448

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

78,537

81,460

TOTAL U.S. GOVERNMENT AGENCY

103,908

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $357,111)

318,279

Commercial Mortgage Securities - 2.2%

 

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class F, 0.9313% 3/15/22 (b)(h)

828

373

Class G, 0.9913% 3/15/22 (b)(h)

537

204

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Large Loan, Inc. floater: - continued

Series 2006-BIX1:

Class F, 0.765% 10/15/19 (b)(h)

$ 2,131

$ 959

Class G, 0.785% 10/15/19 (b)(h)

1,451

508

Bayview Commercial Asset Trust floater:

Series 2003-2 Class M1, 1.3238% 12/25/33 (b)(h)

142

81

Series 2004-1:

Class A, 0.8338% 4/25/34 (b)(h)

1,849

1,387

Class B, 2.3738% 4/25/34 (b)(h)

206

77

Class M1, 1.0338% 4/25/34 (b)(h)

167

104

Class M2, 1.6738% 4/25/34 (b)(h)

150

79

Series 2004-2:

Class A, 0.9038% 8/25/34 (b)(h)

1,396

1,117

Class M1, 1.0538% 8/25/34 (b)(h)

318

198

Series 2004-3:

Class A1, 0.8438% 1/25/35 (b)(h)

2,816

2,042

Class A2, 0.8938% 1/25/35 (b)(h)

405

284

Class M1, 0.9738% 1/25/35 (b)(h)

487

317

Class M2, 1.4738% 1/25/35 (b)(h)

315

173

Series 2005-2A:

Class A1, 0.7838% 8/25/35 (b)(h)

2,062

1,443

Class M1, 0.9038% 8/25/35 (b)(h)

153

61

Class M2, 0.9538% 8/25/35 (b)(h)

252

101

Class M3, 0.9738% 8/25/35 (b)(h)

140

49

Class M4, 1.0838% 8/25/35 (b)(h)

128

38

Series 2005-3A:

Class A1, 0.7938% 11/25/35 (b)(h)

1,124

730

Class A2, 0.8738% 11/25/35 (b)(h)

729

474

Class M1, 0.9138% 11/25/35 (b)(h)

133

51

Class M2, 0.9638% 11/25/35 (b)(h)

169

64

Class M3, 0.9838% 11/25/35 (b)(h)

151

53

Class M4, 1.0738% 11/25/35 (b)(h)

188

66

Series 2005-4A:

Class A2, 0.8638% 1/25/36 (b)(h)

2,642

1,519

Class B1, 1.8738% 1/25/36 (b)(h)

228

80

Class M1, 0.9238% 1/25/36 (b)(h)

852

490

Class M2, 0.9438% 1/25/36 (b)(h)

256

141

Class M3, 0.9738% 1/25/36 (b)(h)

373

187

Class M4, 1.0838% 1/25/36 (b)(h)

207

98

Class M5, 1.1238% 1/25/36 (b)(h)

207

93

Class M6, 1.1738% 1/25/36 (b)(h)

219

92

Series 2006-1:

Class A2, 0.8338% 4/25/36 (b)(h)

411

270

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2006-1:

Class M1, 0.8538% 4/25/36 (b)(h)

$ 147

$ 74

Class M2, 0.8738% 4/25/36 (b)(h)

155

70

Class M3, 0.8938% 4/25/36 (b)(h)

134

56

Class M4, 0.9938% 4/25/36 (b)(h)

76

41

Class M5, 1.0338% 4/25/36 (b)(h)

74

28

Class M6, 1.1138% 4/25/36 (b)(h)

147

76

Series 2006-2A:

Class A1, 0.7038% 7/25/36 (b)(h)

4,034

3,227

Class A2, 0.7538% 7/25/36 (b)(h)

364

291

Class B1, 1.3438% 7/25/36 (b)(h)

136

27

Class B3, 3.1738% 7/25/36 (b)(h)

206

41

Class M1, 0.7838% 7/25/36 (b)(h)

382

191

Class M2, 0.8038% 7/25/36 (b)(h)

270

129

Class M3, 0.8238% 7/25/36 (b)(h)

224

101

Class M4, 0.8938% 7/25/36 (b)(h)

151

60

Class M5, 0.9438% 7/25/36 (b)(h)

186

65

Class M6, 1.0138% 7/25/36 (b)(h)

277

97

Series 2006-3A:

Class B1, 1.2738% 10/25/36 (b)(h)

236

73

Class B2, 1.8238% 10/25/36 (b)(h)

170

50

Class B3, 3.0738% 10/25/36 (b)(h)

277

62

Class M4, 0.9038% 10/25/36 (b)(h)

261

114

Class M5, 0.9538% 10/25/36 (b)(h)

312

125

Class M6, 1.0338% 10/25/36 (b)(h)

612

229

Series 2006-4A:

Class A1, 0.7038% 12/25/36 (b)(h)

1,126

766

Class A2, 0.7438% 12/25/36 (b)(h)

5,074

3,521

Class B1, 1.1738% 12/25/36 (b)(h)

177

35

Class B2, 1.7238% 12/25/36 (b)(h)

183

84

Class B3, 2.9238% 12/25/36 (b)(h)

308

136

Class M1, 0.7638% 12/25/36 (b)(h)

367

235

Class M2, 0.7838% 12/25/36 (b)(h)

247

155

Class M3, 0.8138% 12/25/36 (b)(h)

250

105

Class M4, 0.8738% 12/25/36 (b)(h)

299

120

Class M5, 0.9138% 12/25/36 (b)(h)

274

110

Class M6, 0.9938% 12/25/36 (b)(h)

247

137

Series 2007-1:

Class A2, 0.7438% 3/25/37 (b)(h)

954

549

Class B1, 1.1438% 3/25/37 (b)(h)

312

109

Class B2, 1.6238% 3/25/37 (b)(h)

225

72

Class B3, 3.8238% 3/25/37 (b)(h)

608

178

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2007-1:

Class M1, 0.7438% 3/25/37 (b)(h)

$ 272

$ 148

Class M2, 0.7638% 3/25/37 (b)(h)

204

106

Class M3, 0.7938% 3/25/37 (b)(h)

182

91

Class M4, 0.8438% 3/25/37 (b)(h)

151

73

Class M5, 0.8938% 3/25/37 (b)(h)

227

102

Class M6, 0.9738% 3/25/37 (b)(h)

317

127

Series 2007-2A:

Class A1, 0.7438% 7/25/37 (b)(h)

3,020

1,827

Class A2, 0.7938% 7/25/37 (b)(h)

2,829

1,747

Class B1, 2.0738% 7/25/37 (b)(h)

850

270

Class B2, 2.7238% 7/25/37 (b)(h)

739

229

Class B3, 3.8238% 7/25/37 (b)(h)

830

249

Class M1, 0.8438% 7/25/37 (b)(h)

966

524

Class M2, 0.8838% 7/25/37 (b)(h)

505

261

Class M3, 0.9638% 7/25/37 (b)(h)

511

252

Class M4, 1.1238% 7/25/37 (b)(h)

1,059

442

Class M5, 1.2238% 7/25/37 (b)(h)

934

367

Class M6, 1.4738% 7/25/37 (b)(h)

1,190

437

Series 2007-3:

Class A2, 0.7638% 7/25/37 (b)(h)

1,403

1,042

Class B1, 1.4238% 7/25/37 (b)(h)

752

358

Class B2, 2.0738% 7/25/37 (b)(h)

1,939

923

Class B3, 4.4738% 7/25/37 (b)(h)

1,012

465

Class M1, 0.7838% 7/25/37 (b)(h)

657

382

Class M2, 0.8138% 7/25/37 (b)(h)

702

394

Class M3, 0.8438% 7/25/37 (b)(h)

1,128

595

Class M4, 0.9738% 7/25/37 (b)(h)

1,778

930

Class M5, 1.0738% 7/25/37 (b)(h)

903

464

Class M6, 1.2738% 7/25/37 (b)(h)

686

348

Series 2007-4A:

Class B1, 3.0238% 9/25/37 (b)(h)

310

98

Class B2, 3.9238% 9/25/37 (b)(h)

1,101

322

Class M1, 1.4238% 9/25/37 (b)(h)

297

148

Class M2, 1.5238% 9/25/37 (b)(h)

297

133

Class M4, 2.0738% 9/25/37 (b)(h)

741

296

Class M5, 2.2238% 9/25/37 (b)(h)

741

278

Class M6, 2.4238% 9/25/37 (b)(h)

742

260

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.9013% 3/15/19 (b)(h)

1,083

618

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

floater:

Series 2006-BBA7:

Class H, 1.1113% 3/15/19 (b)(h)

$ 728

$ 328

Class J, 1.3113% 3/15/19 (b)(h)

547

219

Series 2007-BBA8:

Class D, 0.705% 3/15/22 (b)(h)

561

348

Class E, 0.755% 3/15/22 (b)(h)

2,913

1,708

Class F, 0.805% 3/15/22 (b)(h)

1,786

1,001

Class G, 0.855% 3/15/22 (b)(h)

459

250

Class H, 1.005% 3/15/22 (b)(h)

561

252

Class J, 1.155% 3/15/22 (b)(h)

561

224

sequential payer Series 2007 PW17 Class A4, 5.694% 6/11/50

23,863

15,555

C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (b)(h)

1,472

639

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

9,742

4,806

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class G, 0.785% 11/15/36 (b)(h)

597

185

Class H, 0.825% 11/15/36 (b)(h)

478

143

Series 2007-FL3A Class A2, 0.595% 4/15/22 (b)(h)

8,398

3,779

COMM pass-thru certificates floater:

Series 2005-F10A:

Class D, 0.765% 4/15/17 (b)(h)

1,277

604

Class E, 0.825% 4/15/17 (b)(h)

407

190

Class F, 0.865% 4/15/17 (b)(h)

231

102

Class G, 1.005% 4/15/17 (b)(h)

231

100

Class H, 1.075% 4/15/17 (b)(h)

231

94

Class J, 1.305% 4/15/17 (b)(h)

177

80

Series 2005-FL11:

Class F, 0.9113% 11/15/17 (b)(h)

523

175

Class G, 0.9613% 11/15/17 (b)(h)

362

113

Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C1 Class ASP, 0.9364% 1/15/37 (b)(h)(j)

136,665

2,267

Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:

Class C:

0.6313% 2/15/22 (b)(h)

2,507

752

0.7313% 2/15/22 (b)(h)

895

224

Class F, 0.7813% 2/15/22 (b)(h)

1,790

394

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 6,458

$ 6,489

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.6604% 12/10/41 (h)(j)

12,668

151

Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.9139% 7/10/38 (h)

18,000

12,535

GS Mortgage Securities Corp. II floater:

Series 2006-FL8A Class F, 0.885% 6/6/20 (b)(h)

1,122

640

Series 2007-EOP:

Class D, 0.815% 3/6/20 (b)(h)

9,955

6,371

Class H, 1.095% 3/6/20 (b)(h)

960

576

Class J, 1.295% 3/6/20 (b)(h)

1,375

784

GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 (h)

17,870

11,765

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class D, 0.6913% 11/15/18 (b)(h)

310

146

Class E, 0.7413% 11/15/18 (b)(h)

440

198

Class F, 0.7913% 11/15/18 (b)(h)

660

290

Class G, 0.8213% 11/15/18 (b)(h)

573

241

Class H, 0.9613% 11/15/18 (b)(h)

440

176

sequential payer Series 2007-CB20 Class A4, 5.794% 2/12/51

11,600

6,822

LB-UBS Commercial Mortgage Trust sequential payer Series 2007-C1 Class A4, 5.424% 2/15/40

11,080

6,771

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:

Class F, 0.795% 9/15/21 (b)(h)

1,537

632

Class G, 0.815% 9/15/21 (b)(h)

3,036

1,111

Class H, 0.855% 9/15/21 (b)(h)

783

271

Merrill Lynch-CFC Commercial Mortgage Trust Series 2007-7 Class B, 5.75% 6/12/50

2,790

757

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.662% 7/15/19 (b)(h)

1,106

111

Series 2007-XCLA Class A1, 0.662% 7/17/17 (b)(h)

3,684

2,026

Series 2007-XLCA Class B, 0.9613% 7/17/17 (b)(h)

2,097

189

Series 2007-XLFA:

Class D, 0.652% 10/15/20 (b)(h)

897

224

Class E, 0.712% 10/15/20 (b)(h)

1,122

224

Class F, 0.762% 10/15/20 (b)(h)

673

121

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

floater:

Series 2007-XLFA:

Class G, 0.802% 10/15/20 (b)(h)

$ 832

$ 125

Class H, 0.892% 10/15/20 (b)(h)

524

52

Class J, 1.042% 10/15/20 (b)(h)

598

48

Class MHRO, 1.152% 10/15/20 (b)(h)

243

27

Class MJPM, 1.462% 10/15/20 (b)(h)

82

7

Class MSTR, 1.162% 10/15/20 (b)(h)

150

21

Class NHRO, 1.352% 10/15/20 (b)(h)

355

32

Class NSTR, 1.312% 10/15/20 (b)(h)

140

15

sequential payer:

Series 2006-HQ10 Class A4, 5.328% 11/12/41

7,620

5,059

Series 2007-HQ11 Class A31, 5.439% 2/20/44 (h)

17,270

11,215

Series 2007-IQ16 Class A4, 5.809% 12/12/49

23,610

14,588

Series 2007-T27 Class A4, 5.804% 6/11/42

8,517

5,296

Series 2007-XLC1:

Class C, 1.0613% 7/17/17 (b)(h)

2,862

229

Class D, 1.1613% 7/17/17 (b)(h)

1,347

94

Class E, 1.2613% 7/17/17 (b)(h)

1,094

66

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (b)(h)

236

194

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.655% 1/15/18 (b)(h)

1,716

944

Series 2006-WL7A:

Class E, 0.735% 9/15/21 (b)(h)

1,873

768

Class F, 0.795% 8/11/18 (b)(h)

2,525

757

Class G, 0.815% 8/11/18 (b)(h)

2,392

598

Class J, 0.9331% 8/11/18 (b)(h)

532

191

Class X1A, 0.0239% 9/15/21 (b)(h)(j)

3,806

0*

Series 2007-WHL8:

Class AP1, 1.155% 6/15/20 (b)(h)

126

31

Class AP2, 1.255% 6/15/20 (b)(h)

206

41

Class F, 0.935% 6/15/20 (b)(h)

3,993

1,278

Class LXR2, 1.255% 6/15/20 (b)(h)

2,722

408

sequential payer Series 2007-C32 Class A3, 5.7407% 6/15/49 (h)

29,290

15,297

Series 2007-C31 Class C, 5.6924% 4/15/47 (h)

8,950

1,074

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $248,855)

193,456

Supranational Obligations - 0.0%

 

Principal Amount (000s)

Value (000s)

Corporacion Andina de Fomento:

5.2% 5/21/13

$ 875

$ 770

6.875% 3/15/12

880

843

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $1,743)

1,613

Fixed-Income Funds - 29.9%

Shares

 

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

2,086,859

148,021

Fidelity Commercial Mortgage-Backed Securities Central Fund (i)

7,974,388

542,258

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

2,670,805

245,687

Fidelity Mortgage Backed Securities Central Fund (i)

14,810,519

1,480,608

Fidelity Specialized High Income Central Fund (i)

2,535,452

197,055

TOTAL FIXED-INCOME FUNDS

(Cost $2,995,168)

2,613,629

Preferred Securities - 0.1%

Principal Amount (000s)

 

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

MUFG Capital Finance 1 Ltd. 6.346% (h)

(Cost $12,535)

$ 12,535

7,846

Cash Equivalents - 0.7%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) #
(Cost $59,251)

$ 59,252

59,251

TOTAL INVESTMENT PORTFOLIO - 102.9%

(Cost $9,936,827)

8,998,191

NET OTHER ASSETS - (2.9)%

(255,061)

NET ASSETS - 100%

$ 8,743,130

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

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 (Rating-Ba2) (f)

Nov. 2034

$ 2,971

$ (2,752)

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 (Rating-B1) (f)

Oct. 2034

957

(514)

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 (Rating-Baa3) (f)

May 2033

2,971

(2,496)

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 (Rating-C) (f)

Oct. 2036

2,274

(2,195)

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, 9.01% 8/25/34 (Rating-C) (f)

Sept. 2034

868

(798)

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

233

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

June 2013

13,600

1,342

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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

$ 2,997

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

291

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

9,200

(8,878)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

25,000

(24,125)

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 ABX AA 07-01 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

18,700

(18,046)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

5,600

(5,404)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

10,200

(9,843)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (g)

Sept. 2037

16,700

(16,116)

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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 (Rating-Ba1) (f)

Oct. 2034

$ 9,300

$ (8,312)

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 (Rating-Baa3) (f)

Feb. 2035

3,200

(3,018)

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 (Rating-Baa2) (f)

August 2034

717

(422)

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 (Rating-Caa2) (f)

June 2035

3,200

(3,034)

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 (Rating-A3) (f)

Oct. 2034

889

(527)

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 (Rating-Baa3) (f)

April 2032

262

(213)

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 (Rating-Baa3) (f)

March 2034

95

(6)

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 (Rating-Ba2) (f)

Feb. 2034

$ 4

$ (3)

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 (Rating-Ca) (f)

August 2035

4,750

(4,460)

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 (Rating-A3) (f)

Sept. 2010

11,200

(375)

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 (Rating-Baa2) (f)

March 2013

13,500

(5,659)

TOTAL CREDIT DEFAULT SWAPS

182,798

(112,333)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 4.4248% and pay quarterly a floating rate based on 3-month LIBOR with Barclays Bank

Oct. 2018

100,000

10,728

 

$ 282,798

$ (101,605)

Legend

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

(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 $569,081,000 or 6.5% of net assets.

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

(d) A portion of the security is subject to a forward commitment to sell.

(e) Security or a portion of the security has been segregated as collateral for swap agreements. At the period end, the value of securities pledged amounted to$144,388,000, of which $104,161 is segregated at the custodian for terminated contracts with Lehman Brothers Special Financing, Inc.

(f) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

(g) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

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

(i) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited 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 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.

(j) 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.

(k) Non-income producing.

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$59,251,000 due 3/02/09 at 0.26%

Goldman, Sachs & Co.

$ 23,232

UBS Securities LLC

36,019

 

$ 59,251

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

$ 4,002

Fidelity Commercial Mortgage-Backed Securities Central Fund

20,444

Fidelity Corporate Bond 1-5 Year Central Fund

8,948

Fidelity Mortgage Backed Securities Central Fund

49,230

Fidelity Specialized High Income Central Fund

7,568

Fidelity Ultra-Short Central Fund

5,737

Total

$ 95,929

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

$ 273,953

$ 4,002

$ 99,991

$ 148,021

18.2%

Fidelity Commercial Mortgage-Backed Securities Central Fund

804,720

20,444

105,088

542,258

23.2%

Fidelity Corporate Bond 1-5 Year Central Fund

454,435

8,948

190,295

245,687

69.1%

Fidelity Mortgage Backed Securities Central Fund

1,998,004

49,233

600,266

1,480,608

20.2%

Fidelity Specialized High Income Central Fund

195,170

32,861

-

197,055

51.0%

Fidelity Ultra-Short Central Fund

806,565

-

678,853*

-

0.0%

Total

$ 4,532,847

$ 115,488

$ 1,674,493

$ 2,613,629

*Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financial Statements.

Other Information

The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities

$ 8,998,191

$ 2,613,629

$ 6,327,387

$ 57,175

Other Financial Instruments*

$ (101,239)

$ -

$ (4,326)

$ (96,913)

*Other financial instruments include Forward Commitments, and Swap Agreements.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

(Amounts in thousands)

Investments in Securities

Other Financial Instruments

Beginning Balance

$ 714

$ (38,155)

Total Realized Gain (Loss)

629

-*

Total Unrealized Gain (Loss)

4,094

19,571

Cost of Purchases

59,042

-

Proceeds of Sales

(2,826)

-

Amortization/Accretion

(11,310)

-

Transfer in/out of Level 3

6,832

(78,329)

Ending Balance

$ 57,175

$ (96,913)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(25,184,000).

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At August 31, 2008, the fund had a capital loss carryforward of approximately $123,382,000 of which $107,051,000 and $16,331,000 will expire on August 31, 2014 and 2016, respectively.

The fund intends to elect to defer to its fiscal year ending August 31, 2009 approximately $92,508,000 of losses recognized during the period November 1, 2007 to August 31, 2008.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

February 28, 2009 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including repurchase agreements of $59,251) - See accompanying schedule:

Unaffiliated issuers (cost $6,941,659)

$ 6,384,562

 

Fidelity Central Funds (cost $2,995,168)

2,613,629

 

Total Investments (cost $9,936,827)

 

$ 8,998,191

Commitment to sell securities on a delayed delivery basis

(209,067)

Receivable for securities sold on a delayed delivery basis

209,433

366

Receivable for investments sold, regular delivery

137,473

Receivable for swap agreements

148

Receivable for fund shares sold

10,300

Interest receivable

55,790

Distributions receivable from Fidelity Central Funds

13,532

Unrealized appreciation on swaps agreements

15,591

Other receivables

69

Total assets

9,231,460

 

 

 

Liabilities

Payable to custodian bank

$ 23

Payable for investments purchased
Regular delivery

118,543

Delayed delivery

197,787

Payable for swap agreements

32,536

Payable for fund shares redeemed

17,414

Distributions payable

1,193

Unrealized depreciation on swap agreements

117,196

Accrued management fee

2,362

Distribution fees payable

56

Other affiliated payables

969

Other payables and accrued expenses

251

Total liabilities

488,330

 

 

 

Net Assets

$ 8,743,130

Net Assets consist of:

 

Paid in capital

$ 10,399,036

Distributions in excess of net investment income

(23,566)

Accumulated undistributed net realized gain (loss) on investments

(607,454)

Net unrealized appreciation (depreciation) on investments

(1,024,886)

Net Assets

$ 8,743,130

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

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

 Amounts in thousands (except per-share amounts)

February 28, 2009 (Unaudited)

 

 

 

Calculation of Maximum Offering Price

 Class A:
Net Asset Value and redemption price per share ($118,496 ÷ 18,805 shares)

$ 6.30

 

 

 

Maximum offering price per share (100/96.00 of $6.30)

$ 6.56

Class T:
Net Asset Value and redemption price per share ($43,967 ÷ 6,974 shares)

$ 6.30

 

 

 

Maximum offering price per share (100/96.00 of $6.30)

$ 6.56

Class B:
Net Asset Value and offering price per share ($9,777 ÷ 1,550 shares)A

$ 6.31

 

 

 

Class C:
Net Asset Value and offering price per share ($18,940 ÷ 3,002 shares)A

$ 6.31

 

 

 

Investment Grade Bond:
Net Asset Value, offering price and redemption price per share ($8,528,345 ÷ 1,352,616 shares)

$ 6.31

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($23,605 ÷ 3,740 shares)

$ 6.31

A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

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

Semiannual Report

Statement of Operations

 Amounts in thousands

Six months ended February 28, 2009 (Unaudited)

 

 

 

Investment Income

 

 

Dividends

 

$ 486

Interest

 

117,621

Income from Fidelity Central Funds

 

95,929

Total income

 

214,036

 

 

 

Expenses

Management fee

$ 14,362

Transfer agent fees

4,579

Distribution fees

284

Fund wide operations fee

1,333

Independent trustees' compensation

17

Miscellaneous

209

Total expenses before reductions

20,784

Expense reductions

(38)

20,746

Net investment income

193,290

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

(44,864)

Fidelity Central Funds

(369,587)

 

Swap agreements

(31,097)

 

Total net realized gain (loss)

 

(445,548)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(361,689)

Swap agreements

33,130

Delayed delivery commitments

2,681

 

Total change in net unrealized appreciation (depreciation)

 

(325,878)

Net gain (loss)

(771,426)

Net increase (decrease) in net assets resulting from operations

$ (578,136)

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended February 28, 2009 (Unaudited)

Year ended
August 31,
2008

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income

$ 193,290

$ 545,862

Net realized gain (loss)

(445,548)

(26,541)

Change in net unrealized appreciation (depreciation)

(325,878)

(414,694)

Net increase (decrease) in net assets resulting from operations

(578,136)

104,627

Distributions to shareholders from net investment income

(250,069)

(516,873)

Distributions to shareholders from net realized gain

-

(11,157)

Total distributions

(250,069)

(528,030)

Share transactions - net increase (decrease)

(431,495)

(1,526,467)

Total increase (decrease) in net assets

(1,259,700)

(1,949,870)

 

 

 

Net Assets

Beginning of period

10,002,830

11,952,700

End of period (including distributions in excess of net investment income of $23,566 and undistributed net investment income of $33,213, respectively)

$ 8,743,130

$ 10,002,830

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

Semiannual Report

Financial Highlights - Class A

 

Six months ended
February 28, 2009
Years ended August 31,
 
 
(Unaudited)
2008
2007
2006 L
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.89

$ 7.18

$ 7.35

$ 7.24

$ 7.50

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income E

  .127

  .331

  .353

  .118

  .298

  .237

  .224

Net realized and unrealized gain (loss)

  (.547)

  (.303)

  (.161)

  .092

  (.206)

  .131

  (.095)

Total from investment operations

  (.420)

  .028

  .192

  .210

  .092

  .368

  .129

Distributions from net investment income

  (.170)

  (.311)

  (.352)

  (.100)

  (.282)

  (.238)

  (.229)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.170)

  (.318)

  (.362)

  (.100)

  (.352)

  (.338)

  (.359)

Net asset value, end of period

$ 6.30

$ 6.89

$ 7.18

$ 7.35

$ 7.24

$ 7.50

$ 7.47

Total Return B, C, D

  (6.10)%

  .36%

  2.61%

  2.92%

  1.23%

  5.03%

  1.68%

Ratios to Average Net Assets F, H

 

 

 

 

 

 

 

Expenses before reductions

  .80% A

  .80%

  .75%

  .71% A

  .71%

  .83%

  .83%

Expenses net of fee waivers, if any

  .80% A

  .80%

  .75%

  .71% A

  .71%

  .83%

  .83%

Expenses net of all reductions

  .80% A

  .80%

  .74%

  .71% A

  .71%

  .83%

  .83%

Net investment income

  4.01% A

  4.67%

  4.83%

  4.86% A

  4.04%

  3.17%

  2.96%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 118

$ 79

$ 79

$ 46

$ 37

$ 31

$ 22

Portfolio turnover rate G

  129% A, I

  231%

  181% K

  206%A,I

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate does not include the assets acquired in the merger. J For the period ended April 30. K Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. L For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Class T

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 L
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.89

$ 7.18

$ 7.35

$ 7.24

$ 7.51

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income E

  .128

  .332

  .350

  .116

  .290

  .230

  .214

Net realized and unrealized gain (loss)

  (.549)

  (.303)

  (.163)

  .091

  (.216)

  .141

  (.094)

Total from investment operations

  (.421)

  .029

  .187

  .207

  .074

  .371

  .120

Distributions from net investment income

  (.169)

  (.312)

  (.347)

  (.097)

  (.274)

  (.231)

  (.220)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.169)

  (.319)

  (.357)

  (.097)

  (.344)

  (.331)

  (.350)

Net asset value, end of period

$ 6.30

$ 6.89

$ 7.18

$ 7.35

$ 7.24

$ 7.51

$ 7.47

Total Return B, C, D

  (6.11)%

  .36%

  2.54%

  2.89%

  .98%

  5.07%

  1.56%

Ratios to Average Net Assets F, H

 

 

 

 

 

 

 

Expenses before reductions

  .83% A

  .80%

  .80%

  .82% A

  .83%

  .93%

  .96%

Expenses net of fee waivers, if any

  .83% A

  .80%

  .80%

  .82% A

  .83%

  .93%

  .95%

Expenses net of all reductions

  .83% A

  .79%

  .79%

  .81% A

  .83%

  .93%

  .95%

Net investment income

  3.99% A

  4.67%

  4.77%

  4.76% A

  3.92%

  3.07%

  2.84%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 44

$ 53

$ 68

$ 59

$ 57

$ 48

$ 30

Portfolio turnover rate G

  129% A, I

  231%

  181% K

  206% A,I

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate does not include the assets acquired in the merger. J For the period ended April 30. K Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. L For the fourth month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Class B

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 L
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.89

$ 7.19

$ 7.36

$ 7.24

$ 7.51

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income E

  .105

  .281

  .299

  .099

  .239

  .180

  .166

Net realized and unrealized gain (loss)

  (.538)

  (.313)

  (.164)

  .102

  (.216)

  .140

  (.095)

Total from investment operations

  (.433)

  (.032)

  .135

  .201

  .023

  .320

  .071

Distributions from net investment income

  (.147)

  (.261)

  (.295)

  (.081)

  (.223)

  (.180)

  (.171)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.147)

  (.268)

  (.305)

  (.081)

  (.293)

  (.280)

  (.301)

Net asset value, end of period

$ 6.31

$ 6.89

$ 7.19

$ 7.36

$ 7.24

$ 7.51

$ 7.47

Total Return B, C, D

  (6.29)%

  (.49)%

  1.83%

  2.79%

  .28%

  4.37%

  .90%

Ratios to Average Net Assets F, H

 

 

 

 

 

 

 

Expenses before reductions

  1.52% A

  1.50%

  1.50%

  1.50% A

  1.51%

  1.64%

  1.63%

Expenses net of fee waivers, if any

  1.52% A

  1.50%

  1.50%

  1.50% A

  1.51%

  1.60%

  1.60%

Expenses net of all reductions

  1.52% A

  1.50%

  1.50%

  1.50% A

  1.51%

  1.59%

  1.60%

Net investment income

  3.29% A

  3.96%

  4.07%

  4.07% A

  3.24%

  2.40%

  2.19%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 10

$ 9

$ 10

$ 9

$ 9

$ 9

$ 9

Portfolio turnover rate G

  129% A, I

  231%

  181% K

  206% A,I

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate does not include the assets acquired in the merger. J For the period ended April 30. K Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. L For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Class C

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 L
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.90

$ 7.19

$ 7.36

$ 7.24

$ 7.51

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income E

  .103

  .278

  .294

  .097

  .233

  .176

  .161

Net realized and unrealized gain (loss)

  (.549)

  (.304)

  (.163)

  .102

  (.216)

  .140

  (.095)

Total from investment operations

  (.446)

  (.026)

  .131

  .199

  .017

  .316

  .066

Distributions from net investment income

  (.144)

  (.257)

  (.291)

  (.079)

  (.217)

  (.176)

  (.166)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.144)

  (.264)

  (.301)

  (.079)

  (.287)

  (.276)

  (.296)

Net asset value, end of period

$ 6.31

$ 6.90

$ 7.19

$ 7.36

$ 7.24

$ 7.51

$ 7.47

Total Return B, C, D

  (6.46)%

  (.40)%

  1.77%

  2.76%

  .20%

  4.30%

  .84%

Ratios to Average Net Assets F, H

 

 

 

 

 

 

 

Expenses before reductions

  1.59% A

  1.55%

  1.55%

  1.58% A

  1.60%

  1.67%

  1.66%

Expenses net of fee waivers, if any

  1.59% A

  1.55%

  1.55%

  1.58% A

  1.60%

  1.66%

  1.66%

Expenses net of all reductions

  1.59% A

  1.55%

  1.55%

  1.58% A

  1.60%

  1.66%

  1.66%

Net investment income

  3.22% A

  3.91%

  4.02%

  3.99% A

  3.15%

  2.34%

  2.13%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 19

$ 14

$ 17

$ 10

$ 9

$ 7

$ 7

Portfolio turnover rate G

  129% A, I

  231%

  181% K

  206% A,I

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate does not include the assets acquired in the merger. J For the period ended April 30. K Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. L For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Investment Grade Bond

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 K
2006 I
2005 I
2004 I

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.89

$ 7.19

$ 7.35

$ 7.24

$ 7.50

$ 7.47

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income D

  .139

  .356

  .376

  .124

  .317

  .254

  .240

Net realized and unrealized gain (loss)

  (.539)

  (.313)

  (.153)

  .092

  (.206)

  .130

  (.095)

Total from investment operations

  (.400)

  .043

  .223

  .216

  .111

  .384

  .145

Distributions from net investment income

  (.180)

  (.336)

  (.373)

  (.106)

  (.301)

  (.254)

  (.245)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.180)

  (.343)

  (.383)

  (.106)

  (.371)

  (.354)

  (.375)

Net asset value, end of period

$ 6.31

$ 6.89

$ 7.19

$ 7.35

$ 7.24

$ 7.50

$ 7.47

Total Return B, C

  (5.79)%

  .57%

  3.05%

  3.01%

  1.48%

  5.26%

  1.89%

Ratios to Average Net Assets E, G

 

 

 

 

 

 

 

Expenses before reductions

  .46% A

  .45%

  .45%

  .45% A

  .46%

  .61%

  .63%

Expenses net of fee waivers, if any

  .46% A

  .45%

  .45%

  .45% A

  .46%

  .61%

  .63%

Expenses net of all reductions

  .46% A

  .44%

  .44%

  .45% A

  .46%

  .61%

  .63%

Net investment income

  4.35% A

  5.02%

  5.13%

  5.12% A

  4.29%

  3.39%

  3.16%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 8,528

$ 9,814

$ 11,739

$ 10,141

$ 8,018

$ 6,721

$ 5,735

Portfolio turnover rate F

  129% A, H

  231%

  181% J

  206% A,H

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H The portfolio turnover rate does not include the assets acquired in the merger. I For the period ended April 30. J Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. K For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Financial Highlights - Institutional Class

 

Six months ended
February 28, 2009
Years ended August 31,
 
  
(Unaudited)
2008
2007
2006 K
2006 I
2005 I
2004 I

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 6.90

$ 7.19

$ 7.36

$ 7.25

$ 7.51

$ 7.48

$ 7.70

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income D

  .138

  .353

  .374

  .124

  .313

  .254

  .233

Net realized and unrealized gain (loss)

  (.550)

  (.303)

  (.163)

  .091

  (.205)

  .129

  (.078)

Total from investment operations

  (.412)

  .050

  .211

  .215

  .108

  .383

  .155

Distributions from net investment income

  (.178)

  (.333)

  (.371)

  (.105)

  (.298)

  (.253)

  (.245)

Distributions from net realized gain

  -

  (.007)

  (.010)

  -

  (.070)

  (.100)

  (.130)

Total distributions

  (.178)

  (.340)

  (.381)

  (.105)

  (.368)

  (.353)

  (.375)

Net asset value, end of period

$ 6.31

$ 6.90

$ 7.19

$ 7.36

$ 7.25

$ 7.51

$ 7.48

Total Return B, C

  (5.96)%

  .66%

  2.88%

  2.99%

  1.44%

  5.24%

  2.04%

Ratios to Average Net Assets E, G

 

 

 

 

 

 

 

Expenses before reductions

  .52% A

  .50%

  .48%

  .49% A

  .50%

  .59%

  .64%

Expenses net of fee waivers, if any

  .52% A

  .50%

  .48%

  .49% A

  .50%

  .59%

  .64%

Expenses net of all reductions

  .52% A

  .49%

  .47%

  .49% A

  .50%

  .59%

  .64%

Net investment income

  4.29% A

  4.97%

  5.10%

  5.07% A

  4.25%

  3.40%

  3.15%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 23,605

$ 33,808

$ 41,276

$ 29,386

$ 25,776

$ 16,084

$ 2,840

Portfolio turnover rate F

  129% A, H

  231%

  181% J

  206% A,H

  145%

  227%

  238%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H The portfolio turnover rate does not include the assets acquired in the merger. I For the period ended April 30. J Portfolio turnover rate excludes securities received or delivered through non-taxable in-kind activity. K For the four month period ended August 31. The Fund changed its fiscal year from April 30 to August 31, effective August 31, 2006.

Semiannual Report

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

Notes to Financial Statements

For the period ended February 28, 2009 (Unaudited)

(Amounts in thousands except ratios)

1. Organization.

Fidelity Investment Grade Bond Fund (the Fund) is a fund of Fidelity Fixed-Income Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C, Investment Grade Bond, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity 1-3 Year Duration Securitized Bond Central Fund

Fidelity Investment Money Management, Inc. (FIMM)

Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

Semiannual Report

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity Commercial Mortgage-Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed securities and repurchase agreements for those securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Corporate Bond 1-5 Year Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Mortgage Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.

Delayed Delivery & When Issued Securities

Futures

Repurchase Agreements

Swap Agreements

Fidelity Specialized High Income Central Fund

Fidelity Management & Research Company, Inc. (FMRC)

Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities.

Loans & Direct Debt Instruments

Repurchase Agreements

Restricted Securities

 

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies.

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

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 dealer supplied prices. Swaps are marked-to-market daily based on valuations from independent pricing services or 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 disposition 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 determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. 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 (NAV) calculation under these procedures may differ from published prices for the same securities.

Semiannual Report

3. Significant Accounting Policies - continued

Security Valuation - continued

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1

Quoted prices in active markets for identical securities.

Level 2

Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3

Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, swap agreements, market discount, partnerships (including allocations from Fidelity Central Funds, deferred trustees compensation, capital loss carryforwards, and losses deferred due to wash sales and excise tax regulations.

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

Unrealized appreciation

$ 99,592

Unrealized depreciation

(1,030,108)

Net unrealized appreciation (depreciation)

$ (930,516)

Cost for federal income tax purposes

$ 9,928,707

New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.

4. Operating Policies.

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to

Semiannual Report

4. Operating Policies - continued

Swap Agreements - continued

exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.

The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $142,558,000 representing 1.6% of net assets.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Swap Agreements - continued

The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $975,635 and $2,316,570, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.

In addition, under the expense contract, FMR pays all class-level expenses for Investment Grade Bond, so that the total expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees do not exceed .45% of the Class' average net assets. This agreement does not apply to any of the other classes and any change or modification that would increase expenses can only be made with shareholder approval.

FMR pays a portion of the management fees received from the Fund to the Fidelity Central Funds' investment advisers, who are also affiliates, for managing the assets of the Fidelity Central Funds.

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:

 

Distribution
Fee

Service
Fee

Paid to
FDC

Retained
by FDC

Class A

0%

.25%

$ 116

$ 8

Class T

0%

.25%

57

2

Class B

.65%

.25%

40

29

Class C

.75%

.25%

71

11

 

 

 

$ 284

$ 50

Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C,.75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

For the period, sales charge amounts retained by FDC were as follows:

 

Retained
by FDC

Class A

$ 6

Class T

3

Class B*

11

Class C*

1

 

$ 21

* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Investment Grade Bond. FIIOC receives an asset-based fee of .10% of Investment Grade Bond's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, each class paid the following transfer agent fees:

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

6. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

 

Amount

% of
Average
Net Assets*

Class A

$ 86

.19

Class T

49

.22

Class B

11

.25

Class C

15

.22

Investment Grade Bond

4,396

.10

Institutional Class

22

.17

 

$ 4,579

 

* Annualized

Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.

Other Affiliated Transactions. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $405,891 in return for its 6,492 of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $28 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

Semiannual Report

8. Expense Reductions.

Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $1. During the period, credits reduced each class' transfer agent expense as noted in the table below.

 

Transfer Agent
expense reduction

Investment Grade Bond

$ 37

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
February 28,
2009

Year ended
August 31,
2008

From net investment income

 

 

Class A

$ 2,495

$ 3,742

Class T

1,196

2,716

Class B

201

358

Class C

315

556

Investment Grade Bond

245,137

507,696

Institutional Class

725

1,805

Total

$ 250,069

$ 516,873

From net realized gain

 

 

Class A

$ -

$ 82

Class T

-

64

Class B

-

9

Class C

-

15

Investment Grade Bond

-

10,947

Institutional Class

-

40

Total

$ -

$ 11,157

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

10. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

Six months ended
February 28,
2009

Year ended
August 31,
2008

Six months ended
February 28,
2009

Year ended
August 31,
2008

Class A

 

 

 

 

Shares sold

5,251

6,217

$ 33,666

$ 44,378

Issued in exchange for shares of Capital One Total Return Bond Fund

5,452

-

33,750

-

Reinvestment of distributions

306

515

1,943

3,652

Shares redeemed

(3,734)

(6,144)

(24,124)

(43,427)

Net increase (decrease)

7,275

588

$ 45,235

$ 4,603

Class T

 

 

 

 

Shares sold

1,283

3,480

$ 8,252

$ 24,742

Reinvestment of distributions

181

382

1,152

2,711

Shares redeemed

(2,158)

(5,613)

(14,006)

(39,832)

Net increase (decrease)

(694)

(1,751)

$ (4,602)

$ (12,379)

Class B

 

 

 

 

Shares sold

487

446

$ 3,137

$ 3,206

Reinvestment of distributions

25

39

157

280

Shares redeemed

(281)

(537)

(1,811)

(3,818)

Net increase (decrease)

231

(52)

$ 1,483

$ (332)

Class C

 

 

 

 

Shares sold

1,391

846

$ 8,894

$ 6,043

Reinvestment of distributions

37

53

236

379

Shares redeemed

(424)

(1,238)

(2,735)

(8,831)

Net increase (decrease)

1,004

(339)

$ 6,395

$ (2,409)

Investment Grade Bond

 

 

 

 

Shares sold

184,785

235,999

$ 1,186,619

$ 1,676,819

Reinvestment of distributions

37,468

71,069

238,478

504,629

Shares redeemed

(293,639)

(516,730)

(1,897,724)

(3,691,519)

Net increase (decrease)

(71,386)

(209,662)

$ (472,627)

$ (1,510,071)

Institutional Class

 

 

 

 

Shares sold

801

2,395

$ 5,170

$ 16,310

Reinvestment of distributions

97

212

616

1,503

Shares redeemed

(2,059)

(3,445)

(13,165)

(23,692)

Net increase (decrease)

(1,161)

(838)

$ (7,379)

$ (5,879)

11. Other.

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

Semiannual Report

11. Other - continued

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

At the end of the period, Fidelity Freedom 2010 Fund and Fidelity Freedom 2020 Fund were the owners of record of approximately 10% and 12%, respectively, of the total outstanding shares of the Fund. The Fidelity Freedom Funds were the owners of record, in the aggregate, of approximately 42% of the total outstanding shares of the Fund.

Subsequent to period end, the Fidelity Freedom Funds sold all their shares of the Fund.

Effective after the close of business on April 17, 2009, the Fidelity Commercial Mortgage-Backed Securities Central Fund ("CMBS"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Directors in March 2009. Under the plan, the Fund received in-kind its pro rata portion of CMBS' net assets.

In March 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.

12. Credit Risk.

The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

13. Merger Information.

On November 21, 2008, the Fund acquired all of the assets and assumed all of the liabilities (other than any deferred, accrued or prepaid expenses) of Capital One Total Return Bond Fund pursuant to an agreement and plan of reorganization approved by the Board of Trustees on June 19, 2008. The acquisition was accomplished by an exchange of 5,452 shares of Class A of the Fund for 3,655 shares then outstanding (value at $9.23 per share) of Capital One Total Return Bond Fund. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders. The Capital One Total Return Bond Fund's net assets were combined with the Fund's net assets of $8,459,080 for total net assets after the acquisition of $8,492,830.

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

Fidelity Research & Analysis Company

Fidelity Investments Money
Management, Inc.

FIL Investment Advisors

FIL Investment Advisors
(U.K.) Ltd.

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Japan) Inc.

Fidelity Management & Research
(Hong Kong) Limited

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY 

AIGBI-USAN-0409
1.784860.105

fid199

Fidelity®
Series Investment Grade Bond
Fund

Semiannual Report

February 28, 2009

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Summary

<Click Here>

A summary of the fund's holdings.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

<Click Here>

Notes to the Financial Statements.

Board Approval of Investment Advisory Contracts and Management Fees

<Click Here>

 

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual Report

Shareholder Expense Example

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

The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 8, 2008 to February 28, 2009). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (September 1, 2008 to February 28, 2009).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

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

 

Annualized Expense Ratio

Beginning
Account Value

Ending
Account Value
February 28, 2009

Expenses Paid
During Period 

Actual

.45%

$ 1,000.00

$ 1,053.10

$ 1.82A

Hypothetical (5% return per year before expenses)

 

$ 1,000.00

$ 1,022.56

$ 2.26B

A Actual expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 144/365 (to reflect the period October 8, 2008 to February 28, 2009).

B Hypothetical expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Semiannual Report

Investment Summary (Unaudited)

Quality Diversification (% of fund's net assets)

As of February 28, 2009

fid249

U.S. Government and
U.S. Government Agency Obligations 76.1%

 

fid251

AAA 7.3%

 

fid253

AA 1.3%

 

fid255

A 5.6%

 

fid257

BBB 9.0%

 

fid259

Not Rated 0.2%

 

fid261

Short-Term Investments and
Net Other Assets 0.5%

 

fid263

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades.

Weighted Average Maturity as of February 28, 2009

 

 

Years

6.0

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

Duration as of February 28, 2009

 

 

Years

3.8

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

Asset Allocation (% of fund's net assets)

As of February 28, 2009 *

fid249

Corporate Bonds 16.8%

 

fid253

U.S. Government and
U.S. Government Agency Obligations 76.1%

 

fid257

Asset-Backed Securities 2.8%

 

fid268

CMOs and Other
Mortgage Related Securities 3.8%

 

fid261

Short-Term Investments and
Net Other Assets 0.5%

 

* Foreign investments

1.8%

 


fid271

Semiannual Report

Investments February 28, 2009 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 16.8%

 

Principal Amount

Value

CONSUMER DISCRETIONARY - 3.0%

Diversified Consumer Services - 0.5%

President and Fellows of Harvard College 6.5% 1/15/39 (a)

$ 4,062,000

$ 4,519,016

Trustees of Princeton Univ 5.7% 3/1/39

8,900,000

8,699,928

 

13,218,944

Household Durables - 0.2%

Fortune Brands, Inc.:

5.375% 1/15/16

6,000,000

5,214,018

5.875% 1/15/36

2,000,000

1,380,990

 

6,595,008

Media - 2.1%

Comcast Corp. 6.45% 3/15/37

18,770,000

16,117,273

COX Communications, Inc. 6.25% 6/1/18 (a)

6,500,000

5,711,739

News America, Inc.:

6.15% 3/1/37

3,000,000

2,334,402

6.2% 12/15/34

6,115,000

4,646,733

6.9% 3/1/19 (a)

2,500,000

2,366,995

Time Warner Cable, Inc. 6.75% 7/1/18

18,000,000

17,065,332

Time Warner, Inc. 6.5% 11/15/36

8,223,000

7,036,364

 

55,278,838

Specialty Retail - 0.2%

Staples, Inc. 9.75% 1/15/14

4,846,000

5,084,258

TOTAL CONSUMER DISCRETIONARY

80,177,048

CONSUMER STAPLES - 1.0%

Beverages - 0.3%

Anheuser-Busch InBev Worldwide, Inc. 8.2% 1/15/39 (a)

2,000,000

1,939,114

Bottling Group LLC 6.95% 3/15/14

2,000,000

2,272,074

FBG Finance Ltd. 5.125% 6/15/15 (a)

3,000,000

2,548,095

PepsiCo, Inc. 7.9% 11/1/18

1,100,000

1,321,890

 

8,081,173

Food Products - 0.3%

Cargill, Inc. 6% 11/27/17 (a)

1,675,000

1,562,591

General Mills, Inc. 5.65% 2/15/19

3,070,000

3,067,433

Kraft Foods, Inc.:

6.25% 6/1/12

3,425,000

3,623,403

6.75% 2/19/14

881,000

940,381

 

9,193,808

Nonconvertible Bonds - continued

 

Principal Amount

Value

CONSUMER STAPLES - continued

Tobacco - 0.4%

Altria Group, Inc.:

9.7% 11/10/18

$ 1,100,000

$ 1,151,698

9.95% 11/10/38

5,667,000

5,660,035

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

3,803,000

2,768,257

 

9,579,990

TOTAL CONSUMER STAPLES

26,854,971

ENERGY - 1.0%

Energy Equipment & Services - 0.3%

DCP Midstream LLC 9.75% 3/15/19 (a)

2,447,000

2,372,293

Weatherford International Ltd. 9.625% 3/1/19

5,344,000

5,458,832

 

7,831,125

Oil, Gas & Consumable Fuels - 0.7%

ConocoPhillips:

5.75% 2/1/19

2,974,000

2,910,226

6.5% 2/1/39

1,938,000

1,878,358

Devon Energy Corp. 6.3% 1/15/19

3,000,000

2,937,249

Duke Energy Field Services 6.45% 11/3/36 (a)

4,000,000

2,818,012

Petroleos Mexicanos 8% 5/3/19 (a)

4,530,000

4,450,725

Plains All American Pipeline LP 6.125% 1/15/17

5,000,000

4,258,155

 

19,252,725

TOTAL ENERGY

27,083,850

FINANCIALS - 6.5%

Capital Markets - 1.0%

BlackRock, Inc. 6.25% 9/15/17

3,000,000

2,852,811

Goldman Sachs Group, Inc. 7.5% 2/15/19

9,943,000

9,847,985

Merrill Lynch & Co., Inc. 5.45% 2/5/13

13,819,000

12,336,829

Morgan Stanley 6.625% 4/1/18

3,000,000

2,770,203

 

27,807,828

Commercial Banks - 1.0%

Credit Suisse First Boston 6% 2/15/18

10,170,000

9,226,448

Fifth Third Bancorp 8.25% 3/1/38

5,000,000

3,623,305

Wachovia Corp.:

5.625% 10/15/16

10,000,000

8,893,600

5.75% 2/1/18

4,000,000

3,738,608

 

25,481,961

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Consumer Finance - 1.0%

American Express Co. 6.15% 8/28/17

$ 5,000,000

$ 4,459,565

Discover Financial Services 6.45% 6/12/17

2,263,000

1,712,030

General Electric Capital Corp.:

5.625% 5/1/18

10,000,000

8,566,510

5.875% 1/14/38

3,000,000

2,132,718

6.375% 11/15/67 (d)

7,000,000

4,058,285

SLM Corp.:

1.3894% 10/25/11 (d)

5,000,000

3,503,260

5.375% 1/15/13

2,851,000

1,854,710

 

26,287,078

Diversified Financial Services - 1.8%

BP Capital Markets PLC 5.25% 11/7/13

1,942,000

2,063,499

CIT Group, Inc.:

4.75% 12/15/10

1,388,000

1,053,913

5.4% 2/13/12

2,168,000

1,636,526

Citigroup, Inc.:

5.5% 4/11/13

12,405,000

11,232,839

6.5% 8/19/13

6,511,000

6,070,186

CME Group, Inc. 5.75% 2/15/14

1,371,000

1,379,854

International Lease Finance Corp. 6.375% 3/25/13

7,000,000

4,060,000

JPMorgan Chase & Co.:

4.75% 5/1/13

10,000,000

9,690,800

6% 1/15/18

10,000,000

9,666,150

 

46,853,767

Insurance - 0.2%

MetLife, Inc. 7.717% 2/15/19

3,830,000

3,695,506

Prudential Financial, Inc.:

5.4% 6/13/35

718,000

424,690

5.5% 3/15/16

676,000

564,892

5.7% 12/14/36

605,000

369,533

 

5,054,621

Real Estate Investment Trusts - 1.0%

AvalonBay Communities, Inc.:

5.5% 1/15/12

5,345,000

4,980,214

6.625% 9/15/11

756,000

729,393

Brandywine Operating Partnership LP:

5.7% 5/1/17

789,000

393,736

5.75% 4/1/12

98,000

53,900

Colonial Properties Trust 5.5% 10/1/15

535,000

332,871

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Equity Residential 5.125% 3/15/16

$ 7,000,000

$ 5,667,410

Federal Realty Investment Trust 5.4% 12/1/13

1,000,000

760,975

Liberty Property LP 6.625% 10/1/17

6,585,000

4,757,090

Simon Property Group LP 5.75% 5/1/12

3,000,000

2,610,000

UDR, Inc. 5.5% 4/1/14

6,340,000

5,025,769

 

25,311,358

Real Estate Management & Development - 0.2%

ERP Operating LP:

5.375% 8/1/16

2,050,000

1,659,001

5.75% 6/15/17

5,750,000

4,673,410

 

6,332,411

Thrifts & Mortgage Finance - 0.3%

Bank of America Corp. 5.65% 5/1/18

5,000,000

4,233,995

Countrywide Financial Corp. 5.8% 6/7/12

3,000,000

2,749,269

 

6,983,264

TOTAL FINANCIALS

170,112,288

INDUSTRIALS - 0.3%

Aerospace & Defense - 0.1%

United Technologies Corp. 6.125% 2/1/19

2,251,000

2,388,545

Road & Rail - 0.2%

Norfolk Southern Corp. 5.75% 1/15/16 (a)

5,000,000

4,856,525

TOTAL INDUSTRIALS

7,245,070

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.2%

Cisco Systems, Inc. 5.9% 2/15/39

6,141,000

5,718,346

Electronic Equipment & Components - 0.3%

Tyco Electronics Group SA 7.125% 10/1/37

10,000,000

6,524,920

TOTAL INFORMATION TECHNOLOGY

12,243,266

MATERIALS - 0.1%

Chemicals - 0.1%

Lubrizol Corp. 8.875% 2/1/19

2,610,000

2,675,983

Nonconvertible Bonds - continued

 

Principal Amount

Value

TELECOMMUNICATION SERVICES - 2.2%

Diversified Telecommunication Services - 1.3%

AT&T, Inc. 6.3% 1/15/38

$ 5,000,000

$ 4,491,660

Telecom Italia Capital SA:

5.25% 10/1/15

3,000,000

2,530,662

7.2% 7/18/36

8,320,000

6,744,142

Verizon Communications, Inc.:

6.1% 4/15/18

14,430,000

14,287,028

6.4% 2/15/38

7,002,000

6,569,605

 

34,623,097

Wireless Telecommunication Services - 0.9%

Verizon Wireless Capital LLC 5.55% 2/1/14 (a)

10,000,000

9,941,880

Vodafone Group PLC:

5.625% 2/27/17

6,000,000

5,824,506

6.15% 2/27/37

8,370,000

7,727,201

 

23,493,587

TOTAL TELECOMMUNICATION SERVICES

58,116,684

UTILITIES - 2.2%

Electric Utilities - 1.2%

Cleveland Electric Illuminating Co. 8.875% 11/15/18

1,000,000

1,104,766

Duke Energy Carolinas LLC 7% 11/15/18

1,540,000

1,758,591

Exelon Corp. 4.9% 6/15/15

5,000,000

4,291,655

Florida Power Corp. 6.4% 6/15/38

2,697,000

2,835,030

FPL Group Capital, Inc. 7.875% 12/15/15

1,025,000

1,158,447

Jersey Central Power & Light Co. 7.35% 2/1/19

4,960,000

4,979,215

PacifiCorp 6% 1/15/39

7,500,000

7,412,055

Potomac Electric Power Co. 7.9% 12/15/38

3,000,000

3,403,788

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

1,000,000

600,000

Public Service Co. of Colorado 6.25% 9/1/37

3,400,000

3,546,336

 

31,089,883

Independent Power Producers & Energy Traders - 0.4%

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

10,000,000

9,734,910

Multi-Utilities - 0.6%

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

246,000

159,900

Nonconvertible Bonds - continued

 

Principal Amount

Value

UTILITIES - continued

Multi-Utilities - continued

MidAmerican Energy Holdings, Co. 5.75% 4/1/18

$ 8,650,000

$ 8,593,498

NiSource Finance Corp. 6.8% 1/15/19

10,000,000

7,841,830

 

16,595,228

TOTAL UTILITIES

57,420,021

TOTAL NONCONVERTIBLE BONDS

(Cost $446,005,614)

441,929,181

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

 

U.S. Government Agency Obligations - 1.2%

Fannie Mae 2.75% 2/5/14

15,000,000

14,994,705

Freddie Mac 4.875% 6/13/18

15,000,000

16,386,342

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

31,381,047

U.S. Treasury Inflation Protected Obligations - 6.9%

U.S. Treasury Inflation-Indexed Notes:

0.625% 4/15/13

79,599,200

77,451,320

1.375% 7/15/18

58,516,200

54,769,452

2.125% 1/15/19

48,977,000

49,408,555

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

181,629,327

U.S. Treasury Obligations - 13.1%

U.S. Treasury Bonds:

4.5% 5/15/38

25,000,000

28,382,800

5% 5/15/37

10,000,000

12,029,690

U.S. Treasury Notes:

3.125% 9/30/13

125,000,000

131,709,000

4% 8/15/18

160,000,000

172,637,440

TOTAL U.S. TREASURY OBLIGATIONS

344,758,930

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $556,850,706)

557,769,304

U.S. Government Agency - Mortgage Securities - 54.9%

 

Principal Amount

Value

Fannie Mae - 47.7%

4% 1/1/24 to 3/1/24

$ 5,000,002

$ 5,010,969

4.5% 3/17/24 (b)

40,000,000

40,717,568

4.5% 10/1/33 to 3/1/39 (c)

520,001,317

522,211,118

5% 2/1/19 to 1/1/39

216,724,371

221,807,987

5% 3/12/39 (b)

53,000,000

53,918,962

5% 3/12/39 (b)(c)

40,000,000

40,693,556

5.5% 10/1/28 to 8/1/38

135,103,424

138,665,149

6% 3/17/24 (b)

10,000,000

10,445,501

6% 4/1/35 to 9/1/38

79,185,659

82,215,076

6% 3/12/39 (b)(c)

25,000,000

25,824,913

6% 4/13/39 (b)

25,000,000

25,765,340

6.5% 3/12/39 (b)

60,000,000

62,729,262

6.5% 3/12/39 (b)

17,000,000

17,773,291

6.5% 3/12/39 (b)

8,000,000

8,363,902

TOTAL FANNIE MAE

1,256,142,594

Freddie Mac - 3.5%

4.5% 12/1/35

9,912,533

9,948,750

5% 4/1/38

1,902,024

1,936,861

5.5% 3/12/39 (b)

8,000,000

8,193,570

5.5% 3/12/39 (b)

9,000,000

9,217,766

5.5% 3/12/39 (b)(c)

8,000,000

8,193,570

5.5% 3/12/39 (b)

20,000,000

20,483,924

5.5% 4/13/39 (b)

8,000,000

8,171,875

6% 11/1/33 to 9/1/35

24,190,334

25,180,242

TOTAL FREDDIE MAC

91,326,558

Government National Mortgage Association - 3.7%

5.5% 6/15/36

32,094,948

33,060,835

5.5% 3/18/39 (b)

29,000,000

29,785,517

5.5% 3/18/39 (b)

9,000,000

9,243,781

5.5% 3/18/39 (b)

5,000,000

5,135,434

6% 12/15/38

9,964,908

10,319,794

6% 3/18/39 (b)

10,000,000

10,336,215

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

97,881,576

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,440,481,873)

1,445,350,728

Asset-Backed Securities - 2.8%

 

Principal Amount

Value

Advanta Business Card Master Trust:

Series 2005-A2 Class A2, 0.6% 5/20/13 (d)

$ 7,000,000

$ 5,250,000

Series 2006-A6 Class A6, 0.5% 9/20/13 (d)

470,000

339,705

Series 2006-A7 Class A7, 0.49% 10/20/12 (d)

520,000

416,000

Series 2007-A1 Class A, 0.52% 1/20/15 (d)

340,000

252,987

Capital One Multi-Asset Execution Trust:

Series 2007-A6 Class A6, 0.525% 5/15/13 (d)

1,660,000

1,575,071

Series 2008-A5 Class A5, 4.85% 2/18/14

5,000,000

4,903,230

Series 2008-A6 Class A6, 1.555% 3/17/14 (d)

13,801,000

13,166,981

Chase Issuance Trust:

2005-A7 Class A7, 4.55% 3/15/13

7,000,000

7,047,033

Series 2005-A10 Class A10, 4.65% 12/17/12

5,000,000

5,031,023

Citibank Credit Card Issuance Trust Series 2006-A4 Class A4, 5.45% 5/10/13

26,000,000

26,276,497

MBNA Credit Card Master Note Trust Series 2005-A3 Class A3, 4.1% 10/15/12

10,000,000

9,903,242

WaMu Master Note Trust Series 2007-A2 Class A2, 0.485% 5/15/14 (a)(d)

1,290,000

1,102,959

TOTAL ASSET-BACKED SECURITIES

(Cost $73,686,978)

75,264,728

Collateralized Mortgage Obligations - 0.6%

 

Private Sponsor - 0.6%

Countrywide Home Loans, Inc. Series 2003-46 Class 4A1, 4.698% 1/19/34 (d)

1,952,420

1,516,112

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 4.6052% 11/25/34 (d)

3,404,823

2,397,124

JPMorgan Mortgage Trust Series 2007-A1 Class 1A1, 4.1959% 7/25/35 (d)

4,915,880

4,045,134

Wells Fargo Mortgage Backed Securities Trust:

Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (d)

218,755

170,631

Series 2005-AR12 Class 2A5, 4.313% 7/25/35 (d)

11,270,000

7,356,251

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $15,836,050)

15,485,252

Commercial Mortgage Securities - 3.2%

 

Principal Amount

Value

Bear Stearns Commercial Mortgage Securities Trust sequential payer Series 2007-PW16 Class A4, 5.7121% 6/11/40 (d)

$ 1,470,000

$ 974,656

Citigroup Commercial Mortgage Trust Series 2007-C6 Class A4, 5.7% 12/10/49 (d)

540,000

324,208

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2006-C4 Class A3, 5.467% 9/15/39

2,500,000

1,416,973

Series 2007-C3 Class A4, 5.723% 6/15/39 (d)

880,000

451,897

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

2,300,000

1,311,887

GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 2/10/17

2,500,000

1,430,788

Greenwich Capital Commercial Funding Corp.:

sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39

11,100,000

6,953,921

Series 2006-GG7 Class A4, 5.9139% 7/10/38 (d)

2,990,000

2,082,129

GS Mortgage Securities Corp. II Series 2006-GG6 Class A3, 5.5536% 4/10/38 (d)

20,000,000

14,636,283

GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 (d)

17,860,000

11,758,656

JPMorgan Chase Commercial Mortgage Securities Trust sequential payer:

Series 2006-LDP8 Class A4, 5.399% 5/15/45

1,620,000

1,065,451

Series 2007-CB19 Class A4, 5.7465% 2/12/49 (d)

10,000,000

5,990,281

Series 2007-CB20 Class A4, 5.794% 2/12/51

12,500,000

7,351,443

Series 2007-LD11 Class A4, 5.8187% 6/15/49 (d)

3,075,000

1,816,343

Series 2007-LDPX Class A3, 5.412% 1/15/49

5,190,000

3,110,470

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2006-C7 Class A3, 5.347% 11/15/38

1,880,000

1,210,480

Series 2007-C1 Class A4, 5.424% 2/15/40

9,135,000

5,582,096

Series 2007-C6 Class A4, 5.858% 7/15/40 (d)

1,750,000

1,032,409

Merrill Lynch Mortgage Trust Series 2007-C1 Class A3, 5.8288% 6/12/50 (d)

7,212,000

4,412,294

Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-6 Class A4, 5.485% 3/12/51 (d)

6,000,000

3,020,305

Wachovia Bank Commercial Mortgage Trust sequential payer:

Series 2007-C31 Class A4, 5.509% 4/15/47

2,500,000

1,209,974

Series 2007-C32 Class A3, 5.7407% 6/15/49 (d)

13,360,000

6,977,542

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33:

Class A4, 5.9024% 2/15/51 (d)

$ 1,500,000

$ 757,996

Class A5, 5.9024% 2/15/51 (d)

1,670,000

857,014

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $101,214,772)

85,735,496

Cash Equivalents - 15.3%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at 0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) #
(Cost $402,822,000)

$ 402,830,688

402,822,000

TOTAL INVESTMENT PORTFOLIO - 114.8%

(Cost $3,036,897,993)

3,024,356,689

NET OTHER ASSETS - (14.8)%

(390,853,865)

NET ASSETS - 100%

$ 2,633,502,824

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $44,189,944 or 1.7% of net assets.

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

(c) A portion of the security is subject to a forward commitment to sell.

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

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

Repurchase Agreement / Counterparty

Value

$402,822,000 due 3/02/09 at 0.26%

Goldman, Sachs & Co.

$ 157,946,525

UBS Securities LLC

244,875,475

 

$ 402,822,000

Other Information

The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities

$ 3,024,356,689

$ -

$ 3,024,356,689

$ -

Other Financial Instruments*

$ 2,850,905

$ -

$ 2,850,905

$ -

*Other financial instruments include Forward Commitments.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 

February 28, 2009 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including repurchase agreements of $402,822,000) - See accompanying schedule:

Unaffiliated issuers (cost $3,036,897,993)

 

$ 3,024,356,689

Commitment to sell securities on a delayed delivery basis

$ (596,083,353)

Receivable for securities sold on a delayed delivery basis

598,934,258

2,850,905

Receivable for investments sold, regular delivery

26,303,363

Cash

505,933

Receivable for fund shares sold

26,643,339

Interest receivable

15,807,038

Receivable from investment adviser for expense reductions

259,175

Total assets

3,096,726,442

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 67,815,975

Delayed delivery

394,362,263

Distributions payable

975

Accrued management fee

738,505

Other affiliated payables

305,900

Total liabilities

463,223,618

 

 

 

Net Assets

$ 2,633,502,824

Net Assets consist of:

 

Paid in capital

$ 2,627,478,707

Undistributed net investment income

797,551

Accumulated undistributed net realized gain (loss) on investments

14,916,965

Net unrealized appreciation (depreciation) on investments

(9,690,399)

Net Assets, for 252,738,253 shares outstanding

$ 2,633,502,824

Net Asset Value, offering price and redemption price per share ($2,633,502,824 ÷ 252,738,253 shares)

$ 10.42

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

Semiannual Report

Financial Statements - continued

Statement of Operations

 

For the period October 8, 2008
(commencement of operations) to
February 28, 2009 (Unaudited)

 

 

 

Investment Income

 

 

Interest

 

$ 21,750,085

 

 

 

Expenses

Management fee

$ 2,231,847

Transfer agent fees

1,068,851

Independent trustees' compensation

1,558

Miscellaneous

2,094

Total expenses before reductions

3,304,350

Expense reductions

(493,427)

2,810,923

Net investment income

18,939,162

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

 

16,205,545

Change in net unrealized appreciation (depreciation) on:

Investment securities

(12,541,304)

Delayed delivery commitments

2,850,905

 

Total change in net unrealized appreciation (depreciation)

 

(9,690,399)

Net gain (loss)

6,515,146

Net increase (decrease) in net assets resulting from operations

$ 25,454,308

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

Semiannual Report

Statement of Changes in Net Assets

 

For the period
October 8, 2008 (commencement of operations) to
February 28, 2009
(Unaudited)

Increase (Decrease) in Net Assets

 

Operations

 

Net investment income

$ 18,939,162

Net realized gain (loss)

16,205,545

Change in net unrealized appreciation (depreciation)

(9,690,399)

Net increase (decrease) in net assets resulting from operations

25,454,308

Distributions to shareholders from net investment income

(18,141,611)

Distributions to shareholders from net realized gain

(1,288,580)

Total distributions

(19,430,191)

Affiliated share transactions
Proceeds from sales of shares

3,092,891,233

Reinvestment of distributions

19,429,217

Cost of shares redeemed

(484,841,743)

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

2,627,478,707

Total increase (decrease) in net assets

2,633,502,824

 

 

Net Assets

Beginning of period

-

End of period (including undistributed net investment income of
$797,551

$ 2,633,502,824

Other Information

Shares

Sold

297,513,817

Issued in reinvestment of distributions

1,852,640

Redeemed

(46,628,204)

Net increase (decrease)

252,738,253

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

Semiannual Report

Financial Highlights

 

Period ended
February 28, 2009 E
 
(Unaudited)

Selected Per-Share Data

 

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss) D

  .123

Net realized and unrealized gain (loss)

  .408

Total from investment operations

  .531

Distributions from net investment income

  (.101)

Distributions from net realized gain

  (.010)

Total distributions

  (.111)

Net asset value, end of period

$ 10.42

Total Return B, C

  5.31%

Ratios to Average Net Assets F

 

Expenses before reductions

  .53% A

Expenses net of fee waivers, if any

  .45% A

Expenses net of all reductions

  .45% A

Net investment income (loss)

  3.03% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 2,633,503

Portfolio turnover rate

  533% A

A Annualized

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

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

D Calculated based on average shares outstanding during the period.

E For the period October 8, 2008 (commencement of operations) to February 28, 2009.

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

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

Semiannual Report

Notes to Financial Statements

For the period ended February 28, 2009 (Unaudited)

1. Organization.

Fidelity Series Investment Grade Bond Fund (the Fund) is a fund of Fidelity Fixed-Income Trust (the trust) and is authorized to issue an unlimited number of shares. Shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as an investment manager. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Significant Accounting Policies.

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

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 dealer supplied prices. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition 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 determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. 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 (NAV) calculation under these procedures may differ from published prices for the same securities.

The Fund is subject to the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157). SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily

Semiannual Report

2. Significant Accounting Policies - continued

Security Valuation - continued

available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1

Quoted prices in active markets for identical securities.

Level 2

Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3

Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

The aggregate value by input level, as of February 28, 2009, for the Fund's investments is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements in connection with the tax positions expected to be taken in the initial filing of the Fund's federal tax return. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.

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

Unrealized appreciation

$ 39,086,830

Unrealized depreciation

(49,875,174)

Net unrealized appreciation (depreciation)

$ (10,788,344)

Cost for federal income tax purposes

$ 3,035,145,033

3. Operating Policies.

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

Semiannual Report

3. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $661,796,743 and $26,743,830, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .35% of the Fund's average net assets. FMR pays all other expenses, except the compensation of the independent Trustees and certain exceptions such as transfer agent fees and interest expense, including commitment fees. The management fee paid to FMR by the Fund is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

5. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .17% of average net assets.

Committed Line of Credit. The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $2,094 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

6. Expense Reductions.

FMR contractually agreed to waive expenses of the Fund to the extent annual operating expenses exceeded .45% of average net assets. Some expenses, for example interest expense, are excluded from this waiver. During the period this waiver reduced the Fund's expenses by $491,550.

In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's management fee. During the period, these credits reduced the Fund's management fee by $1,877.

7. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

At the end of the period, FMR or its affiliates were the owners of record of all of the outstanding shares of the Fund.

Semiannual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Series Investment Grade Bond Fund

On September 18, 2008, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective and discipline.

Resources Dedicated to Investment Management and Support Services. The Board considered the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers. In addition, the Board considered the trading resources that are an integrated part of the fixed-income portfolio management investment process.

Administrative Services. The Board considered the nature, extent, quality and cost of advisory, administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund. The Board also considered the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians.

The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles.

Investment Performance. Fidelity Series Investment Grade Bond Fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. Once the fund has been in operation for at least one calendar year, the Board will review the fund's absolute and relative investment performance measured against a broad-based securities market index.

Semiannual Report

Based on its review, the Board concluded that the nature, extent, and quality of the services provided to the fund will benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund's proposed management fee and the projected total operating expenses of the fund in reviewing the Advisory Contracts. The Board noted that the fund's proposed management fee is lower than the median fee rate of funds with similar Lipper investment objective categories and comparable management fee characteristics. The Board also considered that the projected total operating expenses are comparable to those of similar funds that Fidelity offers to shareholders.

Based on its review, the Board concluded that the fund's management fee and the projected total expenses of the fund were fair and reasonable in light of the services that the fund and its shareholders will receive and the other factors considered.

Costs of the Services and Profitability. The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its future renewal of the fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders.

Economies of Scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions.

Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be approved.

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

Fidelity Investments Money Management, Inc.

Fidelity Management & Research (U.K.) Inc.

Fidelity Research & Analysis Company

Fidelity Management & Research (Hong Kong) Limited

Fidelity Management & Research (Japan) Inc.

FIL Investment Advisors

FIL Investment Advisors (U.K.) Ltd.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

The Bank of New York Mellon

New York, NY 

LIG-SANN-0409
1.873110.100

fid157

Fidelity®
Short-Term Bond
Fund

Semiannual Report

February 28, 2009

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual Report

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

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

Semiannual Report

Shareholder Expense Example - continued

 

Annualized Expense Ratio

Beginning
Account Value
September 1, 2008

Ending
Account Value
February 28, 2009

Expenses Paid
During Period*
September 1, 2008
to February 28, 2009

Actual

.45%

$ 1,000.00

$ 972.00

$ 2.20

Hypothetical (5% return per year before expenses)

 

$ 1,000.00

$ 1,022.56

$ 2.26

* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report

Investment Changes (Unaudited)

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

Quality Diversification (% of fund's net assets)

As of February 28, 2009

As of August 31, 2008

fid98

U.S. Government and
U.S. Government
Agency Obligations† 62.2%

 

fid249

U.S. Government and
U.S. Government
Agency Obligations 49.6%

 

fid104

AAA 10.1%

 

fid253

AAA 13.5%

 

fid284

AA 5.6%

 

fid286

AA 5.2%

 

fid288

A 7.9%

 

fid290

A 9.7%

 

fid110

BBB 10.9%

 

fid257

BBB 16.0%

 

fid294

BB and Below 1.5%

 

fid296

BB and Below 0.6%

 

fid298

Not Rated 0.4%

 

fid300

Not Rated 0.4%

 

fid302

Short-Term Investments
and Net Other Assets 1.4%

 

fid261

Short-Term Investments
and Net Other Assets 5.0%

 


fid305

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

Weighted Average Maturity as of February 28, 2009

 

 

6 months ago

Years

2.1

1.9

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

Duration as of February 28, 2009

 

 

6 months ago

Years

1.6

1.6

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

Asset Allocation (% of fund's net assets)

As of February 28, 2009*

As of August 31, 2008**

fid98

Corporate Bonds 16.7%

 

fid249

Corporate Bonds 19.2%

 

fid104

U.S. Government and
U.S. Government
Agency Obligations† 62.2%

 

fid253

U.S. Government and
U.S. Government
Agency Obligations 49.6%

 

fid284

Asset-Backed
Securities 11.0%

 

fid286

Asset-Backed
Securities 14.2%

 

fid110

CMOs and Other Mortgage Related Securities 8.6%

 

fid257

CMOs and Other Mortgage Related Securities 11.7%

 

fid294

Municipal Bonds 0.1%

 

fid296

Municipal Bonds 0.1%

 

fid298

Other Investments 0.0%

 

fid300

Other Investments 0.2%

 

fid302

Short-Term Investments
and Net Other Assets 1.4%

 

fid261

Short-Term Investments
and Net Other Assets 5.0%

 

* Foreign investments

5.0%

 

** Foreign investments

7.8%

 

* Futures and Swaps

9.8%

 

** Futures and Swaps

17.3%

 

† Includes FDIC Guaranteed Corporate Securities

fid321

A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com.

Semiannual Report

Investments February 28, 2009 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 15.8%

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 1.4%

Auto Components - 0.8%

DaimlerChrysler NA Holding Corp.:

2.4263% 3/13/09 (k)

$ 11,200

$ 11,199

5.75% 8/10/09

29,260

29,059

 

40,258

Media - 0.6%

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

10,000

10,148

Comcast Cable Communications, Inc. 6.75% 1/30/11

12,965

13,434

Time Warner Cable, Inc. 5.4% 7/2/12

6,060

5,830

Viacom, Inc. 5.75% 4/30/11

4,045

3,922

 

33,334

TOTAL CONSUMER DISCRETIONARY

73,592

CONSUMER STAPLES - 0.3%

Food Products - 0.3%

Kraft Foods, Inc.:

4.125% 11/12/09

1,380

1,396

5.625% 8/11/10

14,495

14,892

 

16,288

ENERGY - 1.1%

Oil, Gas & Consumable Fuels - 1.1%

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

7,435

7,392

Chevron Corp. 3.45% 3/3/12

13,989

14,024

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

9,324

8,722

Duke Capital LLC:

4.37% 3/1/09

9,565

9,565

7.5% 10/1/09

6,050

6,164

Enterprise Products Operating LP 4.625% 10/15/09

11,730

11,673

Petroleum Export Ltd.:

4.623% 6/15/10 (e)

1,925

1,782

4.633% 6/15/10 (e)

1,157

1,071

 

60,393

FINANCIALS - 5.8%

Capital Markets - 1.2%

Bear Stearns Companies, Inc.:

3.25% 3/25/09

8,450

8,450

5.85% 7/19/10

21,335

21,518

Credit Suisse USA, Inc. 0.5275% 6/5/09 (k)

15,555

15,434

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Janus Capital Group, Inc. 6.125% 9/15/11

$ 4,828

$ 3,379

Morgan Stanley:

5.05% 1/21/11

6,808

6,714

6.75% 4/15/11

8,280

8,314

 

63,809

Commercial Banks - 1.9%

American Express Bank FSB 0.5369% 4/26/10 (k)

6,977

6,508

Bank of America NA 1.8219% 5/12/10 (k)

12,250

11,968

Bank One Corp. 7.875% 8/1/10

4,708

4,858

Chase Manhattan Corp. 7.875% 6/15/10

10,588

10,837

DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (e)(k)

783

619

HSBC Holdings PLC:

1.6125% 10/6/16 (k)

770

617

7.5% 7/15/09

6,165

6,193

Korea Development Bank:

3.875% 3/2/09

7,300

7,300

4.75% 7/20/09

5,500

5,474

Manufacturers & Traders Trust Co. 2.935% 4/1/13 (e)(k)

485

406

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

6,800

7,015

Santander Issuances SA Unipersonal 1.885% 6/20/16 (e)(k)

2,350

1,769

Sovereign Bank 2.88% 8/1/13 (k)

1,101

821

US Bancorp 4.5% 7/29/10

6,090

6,152

Wachovia Corp. 1.2244% 10/15/11 (k)

6,946

6,163

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

27,960

27,204

 

103,904

Consumer Finance - 0.7%

Capital One Financial Corp. 2.4694% 9/10/09 (k)

6,977

6,718

Household Finance Corp.:

4.125% 11/16/09

2,225

2,207

4.75% 5/15/09

8,978

8,990

MBNA Capital I 8.278% 12/1/26

4,885

2,687

Nelnet, Inc.:

5.125% 6/1/10

2,885

1,749

7.4% 9/29/36 (k)

15,075

2,261

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

10,620

9,978

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

3,542

3,015

 

37,605

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Diversified Financial Services - 0.6%

Bank of America Corp.:

4.375% 12/1/10

$ 3,724

$ 3,468

7.4% 1/15/11

485

450

7.8% 2/15/10

2,593

2,463

BTM Curacao Holding NV 1.8975% 12/19/16 (e)(k)

1,273

983

Citigroup Funding, Inc. 0.4731% 4/23/09 (k)

5,575

5,507

Citigroup, Inc. 1.3356% 5/18/11 (k)

5,200

4,351

Iberbond 2004 PLC 4.826% 12/24/17 (n)

8,692

7,041

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

1,425

774

JPMorgan Chase & Co. 4.891% 9/1/15 (k)

13,105

10,525

 

35,562

Insurance - 0.2%

Metropolitan Life Global Funding I 2.2163% 6/25/10 (e)(k)

11,430

10,857

Real Estate Investment Trusts - 1.0%

Arden Realty LP 8.5% 11/15/10

7,855

7,962

Brandywine Operating Partnership LP 5.625% 12/15/10

13,110

11,581

Colonial Properties Trust 4.75% 2/1/10

4,715

4,508

Developers Diversified Realty Corp. 5% 5/3/10

4,910

3,437

Duke Realty LP:

5.25% 1/15/10

3,215

3,065

5.625% 8/15/11

4,580

3,902

6.95% 3/15/11

3,815

3,376

Federal Realty Investment Trust 8.75% 12/1/09

3,785

3,762

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

2,580

2,575

Simon Property Group LP 4.6% 6/15/10

8,660

8,296

 

52,464

Thrifts & Mortgage Finance - 0.2%

Countrywide Home Loans, Inc. 4.125% 9/15/09

2,317

2,296

Independence Community Bank Corp.:

3.585% 6/20/13 (k)

5,937

4,275

3.75% 4/1/14 (k)

4,000

2,680

 

9,251

TOTAL FINANCIALS

313,452

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

HEALTH CARE - 0.3%

Health Care Providers & Services - 0.2%

UnitedHealth Group, Inc.:

4.125% 8/15/09

$ 3,525

$ 3,526

5.125% 11/15/10

8,357

8,237

 

11,763

Pharmaceuticals - 0.1%

Roche Holdings, Inc. 4.5% 3/1/12 (e)

7,200

7,318

TOTAL HEALTH CARE

19,081

INDUSTRIALS - 1.8%

Aerospace & Defense - 0.3%

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

14,430

14,396

Air Freight & Logistics - 0.3%

FedEx Corp. 5.5% 8/15/09

18,575

18,739

Airlines - 0.4%

American Airlines, Inc. pass-thru trust certificates:

6.855% 10/15/10

425

418

6.978% 10/1/12

179

166

Continental Airlines, Inc. 7.056% 3/15/11

4,110

3,987

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

8,415

7,700

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

6.071% 9/1/14

1,044

1,012

6.201% 3/1/10

866

818

6.602% 9/1/13

2,140

2,022

7.186% 10/1/12

3,258

3,119

 

19,242

Building Products - 0.0%

Masco Corp. 2.3988% 3/12/10 (k)

1,798

1,613

Commercial Services & Supplies - 0.4%

R.R. Donnelley & Sons Co.:

3.75% 4/1/09

6,060

6,039

5.625% 1/15/12

16,805

14,817

 

20,856

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Industrial Conglomerates - 0.4%

Covidien International Finance SA 5.15% 10/15/10

$ 14,600

$ 14,949

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

5,030

5,159

 

20,108

TOTAL INDUSTRIALS

94,954

INFORMATION TECHNOLOGY - 0.2%

Computers & Peripherals - 0.2%

Hewlett-Packard Co. 4.25% 2/24/12

8,100

8,200

Semiconductors & Semiconductor Equipment - 0.0%

National Semiconductor Corp. 2.2463% 6/15/10 (k)

2,088

1,814

TOTAL INFORMATION TECHNOLOGY

10,014

TELECOMMUNICATION SERVICES - 2.6%

Diversified Telecommunication Services - 2.1%

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

7,715

7,761

BellSouth Corp. 4.2% 9/15/09

7,115

7,198

British Telecommunications PLC 8.625% 12/15/10

5,605

5,841

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

20,000

20,430

SBC Communications, Inc. 5.875% 2/1/12

2,154

2,226

Telecom Italia Capital SA 4% 1/15/10

15,080

14,818

Telefonica Emisiones SAU 5.984% 6/20/11

21,000

21,722

Telefonos de Mexico SA de CV 4.75% 1/27/10

9,510

9,605

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

11,370

12,007

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

7,775

7,995

 

109,603

Wireless Telecommunication Services - 0.5%

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

17,610

17,610

Verizon Wireless Capital LLC 5.25% 2/1/12 (e)

5,544

5,465

Vodafone Group PLC 7.75% 2/15/10

4,810

4,999

 

28,074

TOTAL TELECOMMUNICATION SERVICES

137,677

UTILITIES - 2.3%

Electric Utilities - 1.1%

Commonwealth Edison Co. 5.4% 12/15/11

5,225

5,314

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Entergy Corp. 7.75% 12/15/09 (e)

$ 12,000

$ 11,502

Exelon Corp. 4.45% 6/15/10

14,150

14,013

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

4,570

4,466

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

9,628

9,890

Southern Co. 1.9513% 8/20/10 (k)

12,070

11,762

 

56,947

Independent Power Producers & Energy Traders - 0.5%

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

21,680

21,694

PSEG Power LLC 3.75% 4/1/09

7,625

7,626

 

29,320

Multi-Utilities - 0.7%

Dominion Resources, Inc.:

2.9213% 6/17/10 (k)

8,180

7,933

6.3% 9/30/66 (k)

8,805

5,195

DTE Energy Co. 7.05% 6/1/11

8,462

8,541

KeySpan Corp. 7.625% 11/15/10

4,040

4,211

NiSource Finance Corp. 7.875% 11/15/10

3,925

3,844

NSTAR 8% 2/15/10

3,625

3,767

Sempra Energy 4.75% 5/15/09

4,475

4,475

 

37,966

TOTAL UTILITIES

124,233

TOTAL NONCONVERTIBLE BONDS

(Cost $889,600)

849,684

U.S. Government and Government Agency Obligations - 49.1%

 

U.S. Government Agency Obligations - 17.7%

Fannie Mae:

1.75% 3/23/11

121,595

121,774

2% 1/9/12

98,740

99,181

2.75% 4/11/11

64,530

66,123

2.75% 2/5/14

15,000

14,995

3% 7/12/10 (d)

175,000

178,668

3.25% 8/12/10 (d)

87,021

89,199

3.625% 8/15/11

30,000

31,499

Freddie Mac:

1.5% 1/7/11 (h)

193,306

193,134

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - continued

Freddie Mac: - continued

2.125% 3/23/12 (d)

$ 54,176

$ 54,132

2.75% 4/11/11

100,000

102,421

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

951,126

U.S. Treasury Obligations - 30.2%

U.S. Treasury Notes:

0.875% 1/31/11 (d)(g)

603,746

602,441

0.875% 2/28/11 (g)

101,356

101,025

1.125% 12/15/11 (i)

269,733

268,321

1.25% 11/30/10 (i)

195,657

196,575

1.75% 11/15/11 (i)

35,943

36,370

4.625% 8/31/11

72,927

79,080

4.875% 5/31/11

273,585

296,391

4.875% 7/31/11

45,554

49,586

TOTAL U.S. TREASURY OBLIGATIONS

1,629,789

Other Government Related - 1.2%

Bank of America Corp. 1.4744% 4/30/12 (FDIC Guaranteed) (f)(k)

5,500

5,525

Goldman Sachs Group, Inc.:

1.4913% 11/9/11 (FDIC Guaranteed) (f)(k)

22,120

22,090

1.625% 7/15/11 (FDIC Guaranteed) (f)

9,220

9,174

JPMorgan Chase & Co. 1.65% 2/23/11 (FDIC Guaranteed) (f)

17,840

17,845

Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (f)

9,500

9,794

TOTAL OTHER GOVERNMENT RELATED

64,428

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,629,895)

2,645,343

U.S. Government Agency - Mortgage Securities - 8.6%

 

Fannie Mae - 7.3%

4.082% 6/1/35 (k)

992

998

4.175% 5/1/35 (k)

5,283

5,305

4.263% 7/1/35 (k)

886

894

4.287% 3/1/33 (k)

195

198

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

4.291% 5/1/33 (k)

$ 88

$ 89

4.303% 3/1/33 (k)

241

245

4.318% 7/1/35 (k)

1,311

1,324

4.331% 2/1/35 (k)

1,479

1,489

4.34% 1/1/35 (k)

588

597

4.345% 3/1/35 (k)

2,009

2,039

4.376% 2/1/35 (k)

4,643

4,716

4.38% 7/1/33 (k)

3,412

3,471

4.405% 8/1/35 (k)

744

750

4.423% 5/1/35 (k)

289

294

4.43% 6/1/35 (k)

2,710

2,739

4.432% 3/1/35 (k)

713

725

4.455% 2/1/35 (k)

5,581

5,660

4.456% 7/1/35 (k)

3,903

3,884

4.487% 10/1/33 (k)

4,617

4,619

4.5% 12/1/18

22,537

23,176

4.543% 11/1/34 (k)

241

243

4.548% 10/1/33 (k)

308

311

4.55% 10/1/35 (k)

22,228

22,517

4.552% 5/1/35 (k)

10,304

10,499

4.562% 6/1/33 (k)

1,178

1,203

4.594% 7/1/35 (k)

2,092

2,131

4.6% 10/1/33 (k)

359

359

4.603% 7/1/35 (k)

170

171

4.623% 2/1/33 (k)

370

372

4.649% 10/1/35 (k)

1,179

1,190

4.651% 10/1/33 (k)

166

167

4.667% 7/1/35 (k)

1,550

1,579

4.686% 10/1/34 (k)

2,698

2,720

4.688% 7/1/35 (k)

2,980

3,039

4.69% 12/1/34 (k)

182

185

4.701% 11/1/35 (k)

3,581

3,665

4.739% 8/1/35 (k)

3,271

3,320

4.742% 12/1/34 (k)

447

452

4.747% 4/1/35 (k)

150

152

4.765% 8/1/33 (k)

401

405

4.765% 2/1/34 (k)

139

142

4.784% 8/1/35 (k)

1,637

1,675

4.785% 2/1/36 (k)

9,549

9,775

4.792% 1/1/35 (k)

292

296

4.806% 11/1/34 (k)

1,226

1,242

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

4.81% 2/1/36 (k)

$ 660

$ 670

4.871% 9/1/34 (k)

117

119

4.893% 2/1/36 (k)

22,532

23,037

4.919% 7/1/35 (k)

6,927

7,081

4.935% 7/1/34 (k)

1,919

1,954

4.946% 7/1/34 (k)

175

177

4.98% 5/1/35 (k)

1,455

1,465

4.987% 7/1/35 (k)

31,525

32,070

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

8,622

8,930

5.003% 9/1/34 (k)

6,030

6,108

5.042% 3/1/37 (k)

2,959

3,011

5.046% 3/1/35 (k)

69

70

5.053% 7/1/35 (k)

8,269

8,465

5.087% 10/1/33 (k)

7,207

7,327

5.089% 9/1/34 (k)

466

471

5.125% 5/1/36 (k)

2,972

3,036

5.141% 5/1/35 (k)

276

282

5.142% 9/1/36 (k)

14,345

14,783

5.156% 9/1/35 (k)

19,213

19,715

5.157% 9/1/35 (k)

11,127

11,418

5.16% 10/1/18 (k)

208

210

5.185% 3/1/35 (k)

223

227

5.193% 6/1/35 (k)

1,529

1,542

5.198% 3/1/35 (k)

249

250

5.241% 5/1/36 (k)

1,486

1,518

5.31% 12/1/34 (k)

533

539

5.331% 10/1/35 (k)

1,582

1,627

5.379% 11/1/35 (k)

3,041

3,135

5.467% 4/1/36 (k)

23,412

24,215

5.496% 2/1/35 (k)

78

79

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

35,355

36,865

5.51% 11/1/36 (k)

3,507

3,573

5.557% 5/1/36 (k)

8,580

8,914

5.995% 3/1/33 (k)

168

170

6.192% 2/1/35 (k)

236

240

6.243% 6/1/36 (k)

598

608

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

25,321

26,645

7% 10/1/12 to 5/1/32

2,859

3,015

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

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

$ 151

$ 156

11.5% 11/1/15

48

50

TOTAL FANNIE MAE

394,789

Freddie Mac - 1.2%

3.456% 2/1/34 (k)

390

389

3.883% 1/1/35 (k)

261

263

4.275% 6/1/35 (k)

600

609

4.315% 12/1/34 (k)

542

550

4.361% 2/1/35 (k)

684

694

4.407% 3/1/35 (k)

676

686

4.422% 4/1/35 (k)

4,606

4,674

4.471% 3/1/35 (k)

589

598

4.522% 2/1/35 (k)

1,117

1,135

4.62% 2/1/35 (k)

673

682

4.705% 12/1/35 (k)

3,682

3,699

4.745% 4/1/35 (k)

5,458

5,556

4.84% 11/1/35 (k)

2,537

2,577

4.921% 9/1/35 (k)

3,452

3,536

4.976% 4/1/35 (k)

6,128

6,190

5.117% 1/1/36 (k)

2,433

2,474

5.282% 8/1/36 (k)

2,265

2,329

5.288% 3/1/35 (k)

393

395

5.294% 1/1/34 (k)

4,066

4,135

5.294% 6/1/35 (k)

1,698

1,738

5.333% 8/1/34 (k)

1,367

1,386

5.353% 6/1/37 (k)

4,138

4,248

5.526% 2/1/35 (k)

728

732

5.54% 1/1/36 (k)

6,130

6,309

5.576% 5/1/36 (k)

8,347

8,639

5.694% 10/1/35 (k)

1,081

1,127

6.095% 3/1/33 (k)

90

91

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

362

389

12% 11/1/19

25

28

TOTAL FREDDIE MAC

65,858

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Government National Mortgage Association - 0.1%

4.25% 7/20/34 (k)

$ 609

$ 611

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

3,888

4,136

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

4,747

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $455,365)

465,394

Asset-Backed Securities - 10.7%

 

Accredited Mortgage Loan Trust:

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

2,665

1,507

Series 2004-4 Class A2D, 0.8238% 1/25/35 (k)

660

235

Series 2005-1 Class M1, 0.9438% 4/25/35 (k)

1,256

741

ACE Securities Corp. Series 2006-NC2:

Class M7, 1.2238% 7/25/36 (k)

562

4

Class M8, 1.3238% 7/25/36 (k)

278

1

Class M9, 2.1738% 7/25/36 (k)

184

1

ACE Securities Corp. Home Equity Loan Trust:

Series 2003-HE1 Class M1, 1.4488% 11/25/33 (k)

1,852

965

Series 2003-HS1:

Class M1, 1.5988% 6/25/33 (k)

0*

0*

Class M2, 3.0988% 6/25/33 (k)

84

58

Series 2004-HE1 Class M1, 0.9738% 2/25/34 (k)

200

177

Series 2004-OP1 Class M1, 0.9938% 4/25/34 (k)

1,226

534

Series 2005-HE2 Class M2, 0.9238% 4/25/35 (k)

177

145

Series 2005-SD1 Class A1, 0.8738% 11/25/50 (k)

23

21

Series 2006-HE2:

Class M3, 0.8138% 5/25/36 (k)

244

8

Class M4, 0.8738% 5/25/36 (k)

206

4

Class M5, 0.9138% 5/25/36 (k)

300

5

Series 2006-OP1:

Class M1, 0.7538% 4/25/36 (k)

8,000

588

Class M4, 0.8438% 4/25/36 (k)

115

5

Class M5, 0.8638% 4/25/36 (k)

109

4

Advanta Business Card Master Trust:

Series 2006-C1 Class C1, 0.95% 10/20/14 (k)

801

56

Series 2007-A4 Class A4, 0.5% 4/22/13 (k)

2,937

2,173

Series 2007-B1 Class B, 0.72% 12/22/14 (k)

1,696

254

ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (e)(k)

658

649

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (e)(k)

$ 749

$ 680

AmeriCredit Automobile Receivables Trust:

Series 2005-1:

Class C, 4.73% 7/6/10

381

378

Class D, 5.04% 5/6/11

9,500

9,056

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

7,915

6,952

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

4,635

3,396

AmeriCredit Prime Automobile Receivables Trust Series 2007-2M Class A3, 5.22% 4/8/10

6,295

5,567

Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class M7, 1.3238% 10/25/36 (k)

940

1

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.1738% 12/25/33 (k)

109

69

Series 2004-R10 Class M1, 1.1738% 11/25/34 (k)

5,942

2,647

Series 2004-R11 Class M1, 1.1338% 11/25/34 (k)

7,657

3,758

Series 2004-R2:

Class M1, 0.9038% 4/25/34 (k)

173

132

Class M3, 1.0238% 4/25/34 (k)

113

43

Series 2005-R1 Class M1, 0.9238% 3/25/35 (k)

634

370

Series 2005-R10 Class A2B, 0.6938% 12/25/35 (k)

575

395

Series 2005-R2 Class M1, 0.9238% 4/25/35 (k)

1,390

800

Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (k)

635

318

Argent Securities, Inc.:

Series 2006-M1 Class M7, 1.4738% 7/25/36 (k)

4,003

11

Series 2006-M2 Class M7, 1.3738% 9/25/36 (k)

466

0*

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7:

Class A2, 0.7794% 3/1/34 (k)

378

76

Class M1, 1.0794% 3/1/34 (k)

11,700

6,053

Series 2003-W9 Class M1, 1.1638% 3/25/34 (k)

7,036

3,057

Series 2004-W11 Class M2, 1.1738% 11/25/34 (k)

3,408

1,264

Series 2004-W5 Class M1, 1.0738% 4/25/34 (k)

4,447

2,618

Series 2004-W7:

Class M1, 1.0238% 5/25/34 (k)

400

126

Class M2, 1.0738% 5/25/34 (k)

350

189

Series 2006-W4 Class A2C, 0.6338% 5/25/36 (k)

1,045

368

Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.2538% 10/25/36 (k)

877

11

Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.8938% 12/25/34 (k)

966

468

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE3 Class M1, 1.7063% 6/15/33 (k)

$ 164

$ 73

Series 2003-HE6 Class M1, 1.1238% 11/25/33 (k)

361

188

Series 2004-HE2 Class M1, 1.0238% 4/25/34 (k)

1,797

779

Series 2004-HE3:

Class M1, 1.0138% 6/25/34 (k)

159

63

Class M2, 1.5938% 6/25/34 (k)

2,816

1,763

Series 2004-HE6 Class A2, 0.8338% 6/25/34 (k)

281

108

Series 2006-HE6:

Class M7, 1.2738% 11/25/36 (k)

277

3

Class M9, 2.6238% 11/25/36 (k)

741

4

Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (b)(e)(k)

2,292

0*

Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (k)

2,312

2,079

Bayview Financial Acquisition Trust Series 2004-C Class A1, 1.0388% 5/28/44 (k)

219

133

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (k)

2,173

1,351

Bear Stearns Asset Backed Securities I Trust:

Series 2004-HE8 Class M1, 1.1238% 9/25/34 (k)

3,630

616

Series 2005-3 Class A1, 0.9238% 9/25/35 (k)

73

54

Series 2005-FR1 Class M1, 0.9738% 6/25/35 (k)

652

296

Series 2005-HE2 Class M1, 0.9738% 2/25/35 (k)

1,028

340

Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (k)

2,883

2,206

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

12,530

11,778

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (k)

1,547

1,383

C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (k)

333

286

Capital Auto Receivables Asset Trust:

Series 2005-1 Class B, 0.83% 6/15/10 (k)

3,507

3,454

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

2,055

2,024

Series 2007-1 Class B, 5.15% 9/17/12

5,755

4,112

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

3,985

1,993

Capital One Auto Finance Trust:

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

4,585

4,410

Series 2006-C Class A3B, 0.465% 7/15/11 (k)

257

239

Capital One Multi-Asset Execution Trust:

Series 2007-A6 Class A6, 0.525% 5/15/13 (k)

4,516

4,285

Series 2007-B5 Class B5, 5.4% 5/15/13

17,910

14,619

Series 2007-C3 Class C3, 0.745% 4/15/13 (e)(k)

1,958

1,409

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Capital One Prime Auto Receivables Trust:

Series 2005-1 Class B, 4.58% 8/15/12

$ 7,118

$ 6,237

Series 2007-1 Class B1, 5.76% 12/15/13

5,590

4,506

Capital Trust Ltd. Series 2004-1:

Class A2, 0.92% 7/20/39 (e)(k)

308

77

Class B, 1.22% 7/20/39 (e)(k)

178

25

Class C, 1.57% 7/20/39 (e)(k)

229

21

Carmax Auto Owner Trust Series 2006-2 Class C, 5.53% 3/15/13

5,185

4,235

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (k)

768

37

Series 2006-NC2 Class M7, 1.3238% 6/25/36 (k)

287

6

Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (k)

125

3

Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (k)

1,214

294

Caterpillar Financial Asset Trust Series 2006-A Class B, 5.71% 6/25/12

13,600

11,917

Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (e)(k)

184

133

Chase Auto Owner Trust Series 2006-B Class B, 5.24% 4/15/14

3,865

3,690

Chase Issuance Trust:

Series 2004-3 Class C, 0.9313% 6/15/12 (k)

13,382

12,063

Series 2006-3 Class C, 0.6913% 6/15/11 (k)

12,500

12,145

CIT Equipment Collateral Trust:

Series 2006-VT1:

Class B, 5.23% 2/20/13

479

472

Class D, 5.48% 2/20/13

533

483

Series 2006-VT2:

Class A3, 5.07% 2/20/10

5,162

5,157

Class D, 5.46% 4/20/14

230

115

Citibank Credit Card Issuance Trust:

Series 2007-B2 Class B2, 5% 4/2/12

23,445

20,756

Series 2007-B6 Class B6, 5% 11/8/12

17,265

14,330

Citigroup Mortgage Loan Trust:

Series 2003-HE4 Class A, 0.8838% 12/25/33 (e)(k)

2,949

2,002

Series 2006-AMC1 Class M7, 0.82% 9/25/36 (k)

509

6

Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (k)

515

20

CNH Equipment Trust:

Series 2005-B Class B, 4.57% 7/16/12

3,195

2,734

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

4,062

4,053

CNH Wholesale Master Note Trust Series 2006-1A:

Class A, 0.515% 7/15/12 (e)(k)

881

868

Class B, 0.735% 7/15/12 (e)(k)

881

831

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 222

$ 0*

Countrywide Home Loans, Inc.:

Series 2002-6 Class AV1, 1.3338% 5/25/33 (k)

35

19

Series 2004-2 Class 3A4, 0.7238% 7/25/34 (k)

419

79

Series 2004-3:

Class 3A4, 0.7238% 8/25/34 (k)

1,761

942

Class M1, 0.9738% 6/25/34 (k)

445

293

Class M4, 1.4438% 4/25/34 (k)

108

51

Series 2004-4:

Class A, 0.8438% 8/25/34 (k)

262

124

Class M2, 1.0038% 6/25/34 (k)

396

262

Series 2005-1:

Class M1, 0.8938% 8/25/35 (k)

3,100

2,235

Class MV2, 0.9138% 7/25/35 (k)

952

664

Series 2005-3 Class MV1, 0.8938% 8/25/35 (k)

1,669

1,455

Series 2005-AB1 Class A2, 0.6838% 8/25/35 (k)

320

264

CPS Auto Receivables Trust:

Series 2004-D Class A2, 3.86% 12/15/11 (e)

103

94

Series 2007-C Class A3, 5.45% 5/15/12 (e)

4,755

4,184

Credit Suisse First Boston Mortgage Securities Corp. Series 2005-FIX1 Class A2, 4.31% 5/25/35

2,220

2,013

Discover Card Master Trust I:

Series 2006-1 Class B1, 0.605% 8/16/11 (k)

1,432

1,421

Series 2006-2 Class B1, 0.575% 1/17/12 (k)

1,958

1,755

Series 2007-1 Class B, 0.555% 8/15/12 (k)

1,958

1,530

Diversified REIT Trust Series 2000-1A:

Class A2, 6.971% 3/8/10 (e)

507

329

Class E, 6.971% 3/8/10 (e)

4,135

1,241

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5:

Class AB1, 0.7453% 5/28/35 (k)

634

349

Class AB3, 0.8983% 5/28/35 (k)

273

143

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.6488% 8/25/34 (k)

196

49

Series 2006-2 Class M1, 0.7838% 7/25/36 (k)

6,145

139

Series 2006-3 Class 2A3, 0.6338% 11/25/36 (k)

3,031

854

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.2988% 3/25/34 (k)

15

8

Series 2006-FF12 Class A2, 0.5138% 9/25/36 (k)

329

301

Series 2006-FF5 Class 2A2, 0.5838% 4/25/36 (k)

1,531

1,399

First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (e)

682

675

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ford Credit Auto Owner Trust:

Series 2006-B Class C, 5.68% 6/15/12

$ 9,900

$ 6,435

Series 2006-C Class C, 5.47% 9/15/12

6,400

4,358

Series 2007-A:

Class B, 5.6% 10/15/12

2,575

1,803

Class C, 5.8% 2/15/13

4,100

2,570

Ford Credit Floorplan Master Owner Trust:

Series 2006-3 Class B, 0.905% 6/15/11 (k)

1,363

954

Series 2006-4 Class B, 1.005% 6/15/13 (k)

520

262

Fosse Master Issuer PLC Series 2007-1A Class C2, 1.6925% 10/18/54 (e)(k)

4,100

2,974

Franklin Auto Trust Series 2007-1:

Class A4, 5.03% 2/16/15

7,985

7,200

Class C, 5.43% 2/16/15

9,790

6,717

Fremont Home Loan Trust:

Series 2004-1:

Class M1, 1.1488% 2/25/34 (k)

516

147

Class M2, 1.2238% 2/25/34 (k)

883

565

Series 2004-A Class M1, 1.2988% 1/25/34 (k)

809

432

Series 2004-D:

Class M4, 1.4238% 11/25/34 (k)

410

68

Class M5, 1.4738% 11/25/34 (k)

262

20

Series 2005-A:

Class M1, 0.9038% 1/25/35 (k)

70

65

Class M2, 0.9338% 1/25/35 (k)

1,182

432

Class M3, 0.9638% 1/25/35 (k)

639

273

Class M4, 1.1538% 1/25/35 (k)

245

120

Series 2006-3 Class 2A1, 0.5438% 2/25/37 (k)

51

49

Series 2006-A:

Class M1, 0.7738% 5/25/36 (k)

10,000

359

Class M4, 0.8738% 5/25/36 (k)

609

8

Class M5, 0.9738% 5/25/36 (k)

326

4

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (e)(k)

1,586

1,069

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

4,100

3,693

GE Business Loan Trust:

Series 2003-1 Class A, 0.8913% 4/15/31 (e)(k)

242

150

Series 2005-2 Class IO, 0.5242% 9/15/17 (e)(m)

253,249

687

GE Capital Credit Card Master Note Trust:

Series 2006-1:

Class B, 0.5713% 9/17/12 (k)

599

419

Class C, 0.7013% 9/17/12 (k)

466

303

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

GE Capital Credit Card Master Note Trust: - continued

Series 2007-1:

Class B, 4.95% 3/15/13

$ 16,195

$ 11,337

Class C, 0.7313% 3/15/13 (k)

3,196

2,109

Series 2007-3 Class B, 5.49% 6/15/13

17,655

12,359

Greenpoint Credit LLC Series 2001-1 Class 1A, 0.81% 4/20/32 (k)

910

894

GSAMP Trust:

Series 2002-HE Class M1, 2.345% 11/20/32 (k)

419

204

Series 2003-FM1 Class M1, 1.7% 3/20/33 (k)

807

489

Series 2003-HE2 Class M1, 1.1238% 8/25/33 (k)

1,162

830

Series 2004-AR1 Class M1, 1.1238% 6/25/34 (k)

1,477

561

Series 2004-FM1 Class M1, 1.4488% 11/25/33 (k)

274

147

Series 2004-FM2 Class M1, 1.2238% 1/25/34 (k)

706

406

Series 2004-HE1 Class M1, 1.0238% 5/25/34 (k)

2,267

736

Series 2006-NC2 Class M4, 0.8238% 6/25/36 (k)

9,945

153

Series 2007-HE1 Class M1, 0.7238% 3/25/47 (k)

613

29

GSR Mortgage Loan Trust:

Series 2004-OPT Class A1, 0.8138% 11/25/34 (k)

11

5

Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (k)

1,455

1,344

Series 2006-FM1 Class M3, 0.8238% 4/25/36 (k)

290

4

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.5538% 5/25/30 (e)(k)

4,169

1,876

Series 2006-3:

Class B, 0.8738% 9/25/46 (e)(k)

3,791

607

Class C, 1.0238% 9/25/46 (e)(k)

9,428

1,131

Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (e)(k)

2,372

1,210

Home Equity Asset Trust:

Series 2002-2 Class A4, 1.2338% 6/25/32 (k)

33

9

Series 2002-3 Class A5, 1.3538% 2/25/33 (k)

0*

0*

Series 2003-3:

Class A4, 1.3938% 2/25/33 (k)

2

1

Class M1, 1.7638% 8/25/33 (k)

673

307

Series 2003-4 Class M1, 1.6738% 10/25/33 (k)

199

88

Series 2003-5:

Class A2, 1.1738% 12/25/33 (k)

205

60

Class M1, 1.5238% 12/25/33 (k)

231

139

Series 2003-7 Class A2, 1.2338% 3/25/34 (k)

20

4

Series 2003-8 Class M1, 1.5538% 4/25/34 (k)

3,204

1,486

Series 2004-1 Class M2, 2.1738% 6/25/34 (k)

1,582

1,029

Series 2004-3 Class M2, 2.1738% 8/25/34 (k)

2,043

1,242

Series 2004-7 Class A3, 0.8638% 1/25/35 (k)

0*

0*

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Home Equity Asset Trust: - continued

Series 2005-1 Class M1, 0.9038% 5/25/35 (k)

$ 878

$ 785

Series 2005-3 Class M1, 0.8838% 8/25/35 (k)

600

537

Series 2005-5 Class 2A2, 0.7238% 11/25/35 (k)

269

237

Series 2006-1 Class 2A3, 0.6988% 4/25/36 (k)

2,458

1,697

Series 2006-7 Class M4, 0.8538% 1/25/37 (k)

772

4

Series 2006-8 Class 2A1, 0.5238% 3/25/37 (k)

181

157

Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (k)

190

116

HSBC Automotive Trust Series 2006-2 Class A4, 5.67% 6/17/13

16,500

15,830

HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (k)

1,515

1,345

HSBC Home Equity Loan Trust:

Series 2005-2:

Class M1, 0.8194% 1/20/35 (k)

1,263

668

Class M2, 0.8494% 1/20/35 (k)

947

464

Series 2005-3 Class A1, 0.6194% 1/20/35 (k)

4,825

2,582

Series 2006-2:

Class M1, 0.74% 3/20/36 (k)

429

224

Class M2, 0.76% 3/20/36 (k)

709

348

Series 2006-3 Class A1V, 0.55% 3/20/36 (k)

468

447

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (k)

834

250

Hyundai Auto Receivables Trust:

Series 2005-A:

Class B, 4.2% 2/15/12

1,571

1,522

Class C, 4.22% 2/15/12

122

122

Series 2006-1:

Class B, 5.29% 11/15/12

351

349

Class C, 5.34% 11/15/12

455

453

Series 2006-B Class C, 5.25% 5/15/13

3,038

2,773

Series 2007-A Class A3A, 5.04% 1/17/12

9,896

9,907

JPMorgan Auto Receivables Trust Series 2006-A:

Class B, 5.36% 12/15/14 (e)

1,154

1,107

Class C, 5.61% 12/15/14 (e)

4,157

4,064

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.6038% 11/25/36 (k)

837

356

Class MV1, 0.7038% 11/25/36 (k)

680

69

Keycorp Student Loan Trust:

Series 1999-A Class A2, 4.0988% 12/27/09 (k)

747

580

Series 2006-A Class 2A1, 1.4963% 9/27/21 (k)

507

494

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (e)(k)

$ 1,598

$ 16

Long Beach Mortgage Loan Trust:

Series 2003-2 Class M1, 1.7038% 6/25/33 (k)

1,429

643

Series 2004-2:

Class M1, 1.0038% 6/25/34 (k)

419

221

Class M2, 1.5538% 6/25/34 (k)

298

227

Series 2005-WL1 Class M2, 1.0238% 6/25/35 (k)

5,717

3,219

Series 2006-6 Class 2A3, 0.6238% 7/25/36 (k)

10,340

3,173

Series 2006-9 Class M4, 0.8438% 11/25/36 (k)

244

0*

Marriott Vacation Club Owner Trust:

Series 2005-2 Class A, 5.25% 10/20/27 (e)

2,155

1,756

Series 2006-1A:

Class B, 5.827% 4/20/28 (e)

603

461

Class C, 6.125% 4/20/28 (e)

603

435

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.7338% 10/25/36 (k)

303

11

Series 2006-NC2 Class M7, 1.2238% 9/25/36 (k)

142

0*

Series 2007-HE1 Class M1, 0.7738% 5/25/37 (k)

528

22

Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (e)(k)

8,525

7,803

Merrill Lynch Mortgage Investors Trust:

Series 2003-HE1 Class M1, 1.1738% 7/25/34 (k)

401

258

Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (k)

4,765

3,318

Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (k)

1,751

1,242

Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (k)

1,143

526

Morgan Stanley ABS Capital I Trust:

Series 2002-HE3 Class M1, 2.1238% 12/27/32 (k)

29

17

Series 2003-NC7 Class M1, 1.5238% 6/25/33 (k)

355

201

Series 2003-NC8 Class M1, 1.5238% 9/25/33 (k)

274

159

Series 2004-HE6 Class A2, 0.8138% 8/25/34 (k)

367

64

Series 2004-NC2 Class M1, 1.2988% 12/25/33 (k)

694

334

Series 2005-HE1 Class M2, 0.9438% 12/25/34 (k)

328

158

Series 2005-HE2 Class M1, 0.8738% 1/25/35 (k)

297

101

Series 2005-NC1 Class M1, 0.9138% 1/25/35 (k)

269

92

Series 2005-NC2 Class B1, 1.6438% 3/25/35 (k)

344

166

Series 2006-HE3 Class B1, 1.3738% 4/25/36 (k)

153

0*

Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (k)

2,751

2,600

Series 2006-NC4:

Class A2D, 0.7138% 6/25/36 (k)

7,135

1,992

Class M4, 0.8238% 6/25/36 (k)

229

2

Class M6, 0.9238% 6/25/36 (k)

115

1

Series 2007-HE2 Class A2A, 0.5138% 1/25/37 (k)

76

62

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley ABS Capital I Trust: - continued

Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (k)

$ 74

$ 50

Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (k)

40

32

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 1.9738% 1/25/32 (k)

69

19

Series 2002-AM3 Class A3, 1.4538% 2/25/33 (k)

540

441

Series 2002-HE2 Class M1, 1.9738% 8/25/32 (k)

438

247

Series 2002-NC1 Class M1, 1.6738% 2/25/32 (e)(k)

2,527

1,450

Series 2002-NC3:

Class A3, 1.1538% 8/25/32 (k)

23

4

Class M1, 1.5538% 8/25/32 (k)

42

19

Series 2003-NC1 Class M1, 2.0488% 11/25/32 (k)

2,127

1,046

Morgan Stanley Home Equity Loans Trust:

Series 2006-3 Class M5, 0.8838% 4/25/36 (k)

229

3

Series 2007-2 Class A1, 0.5738% 4/25/37 (k)

427

324

Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 0.5238% 11/25/36 (k)

435

401

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

7,900

711

National Collegiate Student Loan Trust:

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

7,044

1,324

Series 2005-2 Class AIO, 7.73% 3/25/12 (m)

4,760

344

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

3,500

198

Series 2006-1 Class AIO, 5.5% 4/25/11 (m)

13,850

970

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

3,700

370

Series 2006-3:

Class A1, 0.5038% 9/25/19 (k)

846

795

Class AIO, 7.1% 1/25/12 (m)

26,140

3,817

Series 2006-4:

Class A1, 0.5038% 3/25/25 (k)

690

615

Class AIO, 6.35% 2/27/12 (m)

4,670

633

Navistar Financial Corp. Owner Trust Series 2005-A Class A4, 4.43% 1/15/14

3,863

3,734

New Century Home Equity Loan Trust:

Series 2003-6 Class M1, 1.5538% 1/25/34 (k)

787

440

Series 2005-4 Class M2, 0.9838% 9/25/35 (k)

961

143

Series 2005-D Class M2, 0.9438% 2/25/36 (k)

200

14

Newcastle CDO VIII Series 2006-8A Class 4, 0.9894% 11/1/52 (e)(k)

5,300

636

Nomura Home Equity Loan Trust:

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

1,007

877

Series 2006-FM2 Class M7, 1.2738% 7/25/36 (k)

654

4

Series 2006-HE2 Class A2, 0.5938% 3/25/36 (k)

560

507

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.9338% 10/30/45 (k)

$ 6,029

$ 4,732

Ocala Funding LLC:

Series 2005-1A Class A, 1.97% 3/20/10 (e)(k)

381

133

Series 2006-1A Class A, 1.87% 3/20/11 (e)(k)

792

317

Option One Mortgage Loan Trust Series 2004-3 Class M3, 1.1238% 11/25/34 (k)

232

146

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M2, 1.1538% 9/25/34 (k)

1,732

994

Class M3, 1.7238% 9/25/34 (k)

3,309

741

Class M4, 1.9238% 9/25/34 (k)

460

49

Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (k)

2,460

408

Series 2004-WHQ2:

Class A3E, 0.8938% 2/25/35 (k)

695

539

Class M1, 1.0638% 2/25/35 (k)

783

573

Series 2004-WWF1:

Class M2, 1.1538% 2/25/35 (k)

9,798

5,752

Class M3, 1.2138% 2/25/35 (k)

1,209

487

Class M4, 1.5738% 1/25/35 (k)

7,490

1,082

Series 2005-WCH1:

Class M2, 0.9938% 1/25/35 (k)

519

297

Class M3, 1.0338% 1/25/35 (k)

322

127

Class M4, 1.3038% 1/25/35 (k)

994

153

Series 2005-WHQ2:

Class M7, 1.7238% 5/25/35 (k)

1,178

46

Class M9, 2.3538% 5/25/35 (k)

398

11

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:

Class M4, 0.8338% 9/25/36 (k)

9,185

57

Class M5, 0.8638% 9/25/36 (k)

4,577

20

People's Choice Home Loan Securities Trust Series 2005-1 Class M4, 1.3738% 1/25/35 (k)

1,650

331

Providian Master Note Trust:

Series 2006-B1A Class B1, 5.35% 3/15/13 (e)

10,210

9,700

Series 2006-C1A Class C1, 1.005% 3/16/15 (e)(k)

2,446

1,052

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

7,525

4,515

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

1,047

942

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (k)

3

1

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Santander Drive Auto Receivables Trust Series 2007-1 Class A3, 5.05% 9/15/11

$ 5,741

$ 5,618

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (k)

1,273

605

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (e)(k)

723

542

Sierra Timeshare Receivables Fund LLC Series 2006-1A Class A1, 5.84% 5/20/18 (e)

2,567

1,899

SLM Private Credit Student Loan Trust:

Series 2004 B Class A2, 2.1963% 6/15/21 (k)

8,200

5,245

Series 2004-A:

Class B, 2.5763% 6/15/33 (k)

2,100

1,030

Class C, 2.9463% 6/15/33 (k)

5,772

2,597

Series 2004-B Class C, 2.8663% 9/15/33 (k)

8,600

2,150

Sovereign Dealer Floor Plan Master LLC Series 2006-1:

Class B, 0.635% 8/15/11 (e)(k)

1,165

990

Class C, 0.835% 8/15/11 (e)(k)

531

398

Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (k)

158

103

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (k)

61

25

Structured Asset Securities Corp.:

Series 2004-GEL1 Class A, 0.8338% 2/25/34 (k)

92

41

Series 2006-BC3 Class M7, 1.2738% 10/25/36 (k)

2

0*

Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (e)(k)

881

256

Superior Wholesale Inventory Financing Trust:

Series 2004-A10:

Class A, 0.5613% 9/15/11 (k)

3,541

2,851

Class B, 0.7413% 9/15/11 (k)

2,648

1,059

Series 2007-AE1:

Class A, 0.555% 1/15/12 (k)

659

461

Class B, 0.755% 1/15/12 (k)

573

229

Class C, 1.055% 1/15/12 (k)

712

214

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 0.9113% 3/15/11 (e)(k)

11,595

10,436

Swift Master Auto Receivables Trust:

Series 2007-1 Class A, 0.555% 6/15/12 (k)

1,935

1,393

Series 2007-2 Class A, 1.105% 10/15/12 (k)

7,700

5,005

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 0.9038% 9/25/34 (k)

386

80

Series 2003-6HE Class A1, 0.9438% 11/25/33 (k)

25

8

Textron Financial Floorplan Master Note Trust Series 2006-1A Class A, 0.5225% 4/13/11 (e)(k)

10,000

9,946

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Turquoise Card Backed Securities PLC:

Series 2006-1A Class C, 0.785% 5/16/11 (e)(k)

$ 1,906

$ 1,812

Series 2006-2:

Class B, 0.605% 10/17/11 (k)

2,306

2,018

Class C, 0.805% 10/17/11 (k)

2,167

1,751

Series 2007-1 Class C, 0.8313% 6/15/12 (k)

2,471

1,590

Wachovia Auto Loan Owner Trust:

Series 2006-1 Class D, 5.42% 4/21/14 (e)

18,700

14,332

Series 2006-2A:

Class A3, 5.23% 8/22/11 (e)

8,116

8,077

Class D, 5.54% 12/20/12 (e)

11,725

5,980

Series 2007-1 Class D, 5.65% 2/20/13

14,015

6,026

WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (e)

598

0*

WaMu Asset-Backed Certificates Series 2006-HE3:

Class M4, 0.8538% 10/25/36 (k)

406

7

Class M7, 1.2738% 10/25/36 (k)

294

3

WaMu Master Note Trust:

Series 2006-A3A Class A3, 0.485% 9/16/13 (e)(k)

3,699

3,523

Series 2006-C2A Class C2, 0.955% 8/15/15 (e)(k)

4,714

2,048

Series 2006-C3A Class C3A, 0.835% 10/15/13 (e)(k)

3,299

2,663

Series 2007-A4A Class A4, 5.2% 10/15/14 (e)

7,425

6,645

Series 2007-C1 Class C1, 0.855% 5/15/14 (e)(k)

2,871

1,689

Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (e)(o)

5

0*

WFS Financial Owner Trust:

Series 2005-1 Class C, 3.82% 8/17/12

12

12

Series 2005-3 Class C, 4.54% 5/17/13

3,240

2,971

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (e)(k)

5,586

670

TOTAL ASSET-BACKED SECURITIES

(Cost $827,339)

575,144

Collateralized Mortgage Obligations - 7.0%

 

Private Sponsor - 2.6%

Arkle Master Issuer PLC floater:

Series 2006-1A Class 3C, 1.6275% 2/17/52 (e)(k)

451

338

Series 2006-2A:

Class 2B, 1.3575% 2/17/52 (e)(k)

1,587

1,481

Class 2M, 1.4375% 2/17/52 (e)(k)

1,079

969

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (e)(k)

$ 1,013

$ 430

Banc of America Mortgage Securities, Inc.:

Series 2003-K Class 1A1, 5.2035% 12/25/33 (k)

45

37

Series 2004-A Class 2A2, 5.1951% 2/25/34 (k)

6,340

5,169

Series 2004-B Class 1A1, 6.433% 3/25/34 (k)

51

39

Series 2004-C Class 1A1, 5.971% 4/25/34 (k)

90

71

Series 2004-J Class 2A1, 4.7597% 11/25/34 (k)

3,302

2,570

Series 2005-H:

Class 1A1, 5.3329% 9/25/35 (k)

855

616

Class 2A2, 4.8028% 9/25/35 (k)

1,172

378

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 0.7538% 1/25/35 (k)

3,028

1,496

Series 2005-2 Class 1A1, 0.7238% 3/25/35 (k)

2,600

1,443

Series 2005-5 Class 1A1, 0.6938% 7/25/35 (k)

2,484

1,258

Chase Mortgage Finance Trust Series 2007-A2 Class 2A1, 5.1795% 7/25/37 (k)

77

62

Citigroup Mortgage Loan Trust Series 2004-UST1:

Class A3, 4.9419% 8/25/34 (k)

224

181

Class A4, 4.399% 8/25/34 (k)

10

8

Countrywide Alternative Loan Trust:

planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (k)

69

66

Series 2006-OC5N Class N, 7.25% 7/25/37 (e)

2,020

0*

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:

Series 2004-1 Class 9A2, 0.8738% 1/25/34 (k)

328

163

Series 2004-2 Class 7A3, 0.8738% 2/25/35 (k)

886

415

Series 2004-4 Class 5A2, 0.8738% 3/25/35 (k)

201

84

Series 2005-1 Class 5A2, 0.8038% 5/25/35 (k)

312

149

Series 2005-10:

Class 5A1, 0.7338% 1/25/36 (k)

495

237

Class 5A2, 0.7938% 1/25/36 (k)

223

89

Series 2005-2:

Class 6A2, 0.7538% 6/25/35 (k)

78

34

Class 6M2, 0.9538% 6/25/35 (k)

993

243

Series 2005-3 Class 8A2, 0.7138% 7/25/35 (k)

369

187

Series 2005-4 Class 7A2, 0.7038% 8/25/35 (k)

117

58

Series 2005-8 Class 7A2, 0.7538% 11/25/35 (k)

291

165

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (k)

121

71

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Credit Suisse First Boston Mortgage Securities Corp. floater: - continued

Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (k)

$ 214

$ 110

Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (k)

106

53

Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (k)

32

15

Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (k)

208

124

Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (k)

2,313

1,202

DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (k)

478

389

First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (k)

38

24

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 1.3025% 10/18/54 (e)(k)

1,925

1,477

Class C2, 1.6125% 10/18/54 (e)(k)

645

323

Class M2, 1.3925% 10/18/54 (e)(k)

1,106

715

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (e)(k)

1,651

772

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (e)(k)

2,097

908

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 1.07% 12/20/54 (e)(k)

4,047

283

Series 2006-2:

Class C1, 0.94% 12/20/54 (k)

15,079

1,508

Class M2, 0.7% 12/20/54 (k)

3,000

390

Series 2006-3 Class C2, 0.97% 12/20/54 (k)

6,612

407

Series 2006-4:

Class B1, 0.56% 12/20/54 (k)

13,205

2,641

Class C1, 0.85% 12/20/54 (k)

8,073

565

Class M1, 0.64% 12/20/54 (k)

3,478

522

Series 2007-1:

Class 1C1, 0.77% 12/20/54 (k)

1,251

125

Class 1M1, 0.62% 12/20/54 (k)

814

122

Class 2C1, 0.9% 12/20/54 (k)

571

57

Class 2M1, 0.72% 12/20/54 (k)

1,045

167

Series 2007-2 Class 2C1, 0.8913% 12/17/54 (k)

1,448

145

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (k)

2,644

661

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (k)

3,398

2,337

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (k)

287

129

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (e)(k)

$ 410

$ 287

Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 0.6038% 4/25/37 (k)

1,317

750

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (k)

2,297

1,304

Impac CMB Trust floater:

Series 2004-11 Class 2A2, 1.2138% 3/25/35 (k)

177

104

Series 2004-9:

Class M2, 1.4488% 1/25/35 (k)

539

240

Class M3, 1.5238% 1/25/35 (k)

399

165

Class M4, 2.0488% 1/25/35 (k)

204

78

Series 2005-1:

Class M4, 1.2238% 4/25/35 (k)

21

3

Class M5, 1.2438% 4/25/35 (k)

21

3

Class M6, 1.2938% 4/25/35 (k)

33

5

Series 2005-3 Class A1, 0.7138% 8/25/35 (k)

418

212

Series 2005-4 Class 1B1, 1.6894% 5/25/35 (k)

131

4

Series 2005-6 Class 1M3, 1.0838% 10/25/35 (k)

113

9

JPMorgan Mortgage Trust:

Series 2006-A2 Class 5A1, 5.1373% 11/25/33 (k)

343

294

Series 2007-A1 Class 1A1, 4.1959% 7/25/35 (k)

17

14

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (e)(k)

1,496

764

MASTR Adjustable Rate Mortgages Trust:

floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (k)

365

226

Series 2007-3 Class 22A2, 0.6838% 5/25/47 (k)

960

464

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

883

641

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (k)

1,209

508

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.625% 6/15/22 (e)(k)

140

77

Class C, 0.645% 6/15/22 (e)(k)

858

429

Class D, 0.655% 6/15/22 (e)(k)

330

148

Class E, 0.665% 6/15/22 (e)(k)

528

211

Class F, 0.695% 6/15/22 (e)(k)

952

333

Class G, 0.765% 6/15/22 (e)(k)

198

59

Class H, 0.785% 6/15/22 (e)(k)

396

99

Class J, 0.825% 6/15/22 (e)(k)

462

92

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Merrill Lynch Mortgage Investors Trust floater:

Series 2003-A Class 2A1, 0.8638% 3/25/28 (k)

$ 2,105

$ 1,225

Series 2003-B Class A1, 0.8138% 4/25/28 (k)

159

93

Series 2003-D Class A, 0.7838% 8/25/28 (k)

135

87

Series 2003-E Class A2, 2.0813% 10/25/28 (k)

225

135

Series 2003-F Class A2, 3.805% 10/25/28 (k)

2,086

1,250

Series 2004-A Class A2, 3.715% 4/25/29 (k)

208

129

Series 2004-B Class A2, 2.8388% 6/25/29 (k)

1,178

697

Series 2004-C Class A2, 2.15% 7/25/29 (k)

1,911

1,134

Series 2004-D Class A2, 3.4625% 9/25/29 (k)

1,584

938

Series 2004-E:

Class A2B, 3.825% 11/25/29 (k)

370

236

Class A2D, 4.015% 11/25/29 (k)

54

31

Series 2004-G Class A2, 3.48% 11/25/29 (k)

179

108

Series 2005-A Class A2, 3.3525% 2/25/30 (k)

173

104

Series 2005-B Class A2, 2.7988% 7/25/30 (k)

1,576

982

Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (k)

1,097

5

MortgageIT Trust floater:

Series 2004-2:

Class A1, 0.8438% 12/25/34 (k)

2,043

1,331

Class A2, 0.9238% 12/25/34 (k)

2,764

1,921

Series 2005-2 Class 1A1, 0.7338% 5/25/35 (k)

217

144

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (k)

2,193

1,073

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (k)

1,646

78

Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (k)

1,382

936

Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.4944% 7/17/42 (k)

4,397

3,253

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (k)

4,498

3,586

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B Class B5, 2.7988% 7/10/35 (e)(k)

918

447

Series 2003-CB1 Class B3, 1.8988% 6/10/35 (e)(k)

708

379

Series 2004-A:

Class B4, 1.6488% 2/10/36 (e)(k)

540

187

Class B5, 2.1488% 2/10/36 (e)(k)

360

115

Series 2004-B:

Class B4, 1.5488% 2/10/36 (e)(k)

234

65

Class B5, 1.9988% 2/10/36 (e)(k)

181

45

Class B6, 2.4488% 2/10/36 (e)(k)

63

13

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

RESI Finance LP/RESI Finance DE Corp. floater: - continued

Series 2004-C:

Class B4, 1.3988% 9/10/36 (e)(k)

$ 301

$ 88

Class B5, 1.7988% 9/10/36 (e)(k)

338

91

Class B6, 2.1988% 9/10/36 (e)(k)

75

16

Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (k)

1,163

897

Residential Asset Mortgage Products, Inc.:

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

1,923

1,699

Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (k)

1,475

1,082

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (e)(k)

185

139

ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (e)(k)

380

370

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (e)

1,213

922

Sasco Net Interest Margin Trust Series 2006-BC1A Class A, 6.25% 3/27/36 (e)

1,466

0*

SBA CMBS Trust Series 2005-1A:

Class D, 6.219% 11/15/35 (e)

5,280

4,594

Class E, 6.706% 11/15/35 (e)

1,410

1,191

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 3.7963% 9/20/33 (k)

1,004

612

Series 2004-1 Class A, 1.8888% 2/20/34 (k)

108

69

Series 2004-10 Class A4, 4.5188% 11/20/34 (k)

156

97

Series 2004-12 Class 1A2, 2.1538% 1/20/35 (k)

472

290

Series 2004-3 Class A, 3.885% 5/20/34 (k)

1,658

1,012

Series 2004-4 Class A, 4.4388% 5/20/34 (k)

1,940

1,207

Series 2004-5 Class A3, 2.9113% 6/20/34 (k)

1,686

1,031

Series 2004-6:

Class A3A, 2.1613% 6/20/35 (k)

1,120

718

Class A3B, 2.3038% 7/20/34 (k)

33

20

Series 2004-7:

Class A3A, 1.9138% 8/20/34 (k)

172

103

Class A3B, 2.1388% 7/20/34 (k)

21

12

Series 2004-8 Class A2, 2.15% 9/20/34 (k)

1,878

1,216

Series 2005-1 Class A2, 1.8388% 2/20/35 (k)

1,570

973

Series 2005-2 Class A2, 2.03% 3/20/35 (k)

357

215

Series 2005-3 Class A1, 0.67% 5/20/35 (k)

173

93

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (k)

$ 354

$ 5

Structured Adjustable Rate Mortgage Loan Trust floater Series 2005-10 Class A1, 0.6738% 6/25/35 (k)

731

497

Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (e)(k)

63

27

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (k)

2,204

1,124

Wachovia Bank Commercial Mortgage Trust Series 2004-C14 Class PP, 5.3117% 8/15/41 (e)(k)

5,922

3,705

WaMu Mortgage pass-thru certificates:

floater:

Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (k)

102

98

Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (k)

374

361

Series 2003-AR10 Class A7, 4.669% 10/25/33 (k)

4,404

2,765

Series 2004-AR7 Class A6, 3.9389% 7/25/34 (k)

1,715

1,698

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 4.1875% 12/25/34 (k)

5,298

4,220

Series 2004-V Class 1A2, 4.0139% 10/25/34 (k)

3,458

2,763

Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (k)

17,166

13,389

Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (k)

792

605

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

12,803

9,851

Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (k)

1,371

1,055

Series 2005-AR4 Class 2A2, 4.5395% 4/25/35 (k)

21,343

17,034

TOTAL PRIVATE SPONSOR

140,882

U.S. Government Agency - 4.4%

Fannie Mae planned amortization class:

Series 1993-187 Class L, 6.5% 7/25/23

2,974

3,049

Series 2006-53 Class WB, 6% 12/25/31

7,925

8,245

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

16,039

16,508

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

Series 2003-122 Class TU, 4% 5/25/16

297

297

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

11,138

11,539

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

15,554

16,189

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

20,668

21,284

Series 2006-54 Class PE, 6% 2/25/33

7,085

7,335

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

$ 3,814

$ 3,966

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

2,405

2,497

Series 2003-123 Class AB, 4% 10/25/16

6,011

6,100

Series 2003-76 Class BA, 4.5% 3/25/18

10,091

10,334

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

398

404

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

685

683

Freddie Mac sequential payer:

Series 2114 Class ZM, 6% 1/15/29

1,741

1,814

Series 2508 Class UL, 5% 12/15/16

2,566

2,648

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 2382 Class MB, 6% 11/15/16

5,043

5,277

Series 2394 Class KD, 6% 12/15/16

2,881

3,028

Series 2417 Class EH, 6% 2/15/17

1,617

1,699

Series 2535 Class PC, 6% 9/15/32

5,578

5,769

Series 2617 Class TH, 4.5% 5/15/15

5,830

5,900

Series 2656 Class BW, 4.5% 4/15/28

7,156

7,233

Series 2690 Class PD, 5% 2/15/27

10,267

10,525

Series 2702 Class AB, 4.5% 7/15/27

17,987

18,443

Series 2755 Class LC, 4% 6/15/27

9,078

9,238

Series 2901 Class UM, 4.5% 1/15/30

14,033

14,296

sequential payer:

Series 2609 Class UJ, 6% 2/15/17

3,562

3,740

Series 2635 Class DG, 4.5% 1/15/18

11,543

11,836

Series 2780 Class A, 4% 12/15/14

9,687

9,758

Series 2786 Class GA, 4% 8/15/17

4,715

4,797

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

1,001

1,008

Series 2970 Class YA, 5% 9/15/18

4,173

4,300

Series 3077 Class GA, 4.5% 8/15/19

7,411

7,611

Ginnie Mae guaranteed REMIC pass-thru securities planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31

166

166

TOTAL U.S. GOVERNMENT AGENCY

237,516

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $450,528)

378,398

Commercial Mortgage Securities - 5.8%

 

Principal Amount (000s)

Value (000s)

280 Park Avenue Trust floater Series 2001-280 Class X1, 0.9867% 2/3/11 (e)(k)(m)

$ 80,590

$ 1,537

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5863% 2/14/43 (k)(m)

23,317

826

Banc of America Commercial Mortgage Trust:

sequential payer:

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

2,837

2,764

Series 2007-3 Class A1, 5.6583% 6/10/49 (k)

6,923

5,516

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

106,523

2,086

Series 2006-6 Class XP, 0.4316% 10/10/45 (k)(m)

169,846

2,461

Banc of America Commercial Mortgage, Inc.:

Series 2002-2 Class XP, 1.794% 7/11/43 (e)(k)(m)

31,168

481

Series 2004-6 Class XP, 0.4529% 12/10/42 (k)(m)

40,781

439

Series 2005-4 Class XP, 0.1697% 7/10/45 (k)(m)

59,367

334

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class F, 0.9313% 3/15/22 (e)(k)

415

187

Class G, 0.9913% 3/15/22 (e)(k)

269

102

Series 2006-BIX1:

Class F, 0.765% 10/15/19 (e)(k)

1,067

480

Class G, 0.785% 10/15/19 (e)(k)

727

254

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.3238% 12/25/33 (e)(k)

71

41

Series 2004-1:

Class A, 0.8338% 4/25/34 (e)(k)

3,114

2,336

Class B, 2.3738% 4/25/34 (e)(k)

330

124

Class M1, 1.0338% 4/25/34 (e)(k)

282

176

Class M2, 1.6738% 4/25/34 (e)(k)

246

129

Series 2004-2:

Class A, 0.9038% 8/25/34 (e)(k)

2,260

1,808

Class M1, 1.0538% 8/25/34 (e)(k)

783

490

Series 2004-3:

Class A1, 0.8438% 1/25/35 (e)(k)

3,757

2,724

Class A2, 0.8938% 1/25/35 (e)(k)

533

373

Class M1, 0.9738% 1/25/35 (e)(k)

244

159

Class M2, 1.4738% 1/25/35 (e)(k)

158

87

Series 2005-2A:

Class A1, 0.7838% 8/25/35 (e)(k)

1,033

723

Class M1, 0.9038% 8/25/35 (e)(k)

77

31

Class M2, 0.9538% 8/25/35 (e)(k)

126

51

Class M3, 0.9738% 8/25/35 (e)(k)

70

24

Class M4, 1.0838% 8/25/35 (e)(k)

64

19

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-3A:

Class A1, 0.7938% 11/25/35 (e)(k)

$ 563

$ 366

Class A2, 0.8738% 11/25/35 (e)(k)

365

237

Class M1, 0.9138% 11/25/35 (e)(k)

67

25

Class M2, 0.9638% 11/25/35 (e)(k)

85

32

Class M3, 0.9838% 11/25/35 (e)(k)

76

26

Class M4, 1.0738% 11/25/35 (e)(k)

94

33

Series 2005-4A:

Class A2, 0.8638% 1/25/36 (e)(k)

5,435

3,125

Class B1, 1.8738% 1/25/36 (e)(k)

426

149

Class M1, 0.9238% 1/25/36 (e)(k)

1,735

998

Class M2, 0.9438% 1/25/36 (e)(k)

564

310

Class M3, 0.9738% 1/25/36 (e)(k)

748

374

Class M4, 1.0838% 1/25/36 (e)(k)

415

197

Class M5, 1.1238% 1/25/36 (e)(k)

415

187

Class M6, 1.1738% 1/25/36 (e)(k)

421

177

Series 2006-1:

Class A2, 0.8338% 4/25/36 (e)(k)

1,835

1,207

Class M1, 0.8538% 4/25/36 (e)(k)

570

285

Class M2, 0.8738% 4/25/36 (e)(k)

604

272

Class M3, 0.8938% 4/25/36 (e)(k)

518

218

Class M4, 0.9938% 4/25/36 (e)(k)

294

160

Class M5, 1.0338% 4/25/36 (e)(k)

283

108

Class M6, 1.1138% 4/25/36 (e)(k)

619

320

Series 2006-2A:

Class A1, 0.7038% 7/25/36 (e)(k)

2,020

1,616

Class A2, 0.7538% 7/25/36 (e)(k)

1,497

1,197

Class B1, 1.3438% 7/25/36 (e)(k)

542

108

Class B3, 3.1738% 7/25/36 (e)(k)

893

179

Class M1, 0.7838% 7/25/36 (e)(k)

1,570

785

Class M2, 0.8038% 7/25/36 (e)(k)

1,106

531

Class M3, 0.8238% 7/25/36 (e)(k)

875

394

Class M4, 0.8938% 7/25/36 (e)(k)

586

235

Class M5, 0.9438% 7/25/36 (e)(k)

723

253

Class M6, 1.0138% 7/25/36 (e)(k)

1,136

398

Series 2006-3A:

Class B1, 1.2738% 10/25/36 (e)(k)

118

37

Class B2, 1.8238% 10/25/36 (e)(k)

85

25

Class B3, 3.0738% 10/25/36 (e)(k)

139

31

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-3A:

Class M4, 0.9038% 10/25/36 (e)(k)

$ 131

$ 57

Class M5, 0.9538% 10/25/36 (e)(k)

156

63

Class M6, 1.0338% 10/25/36 (e)(k)

306

115

Series 2006-4A:

Class A1, 0.7038% 12/25/36 (e)(k)

564

384

Class A2, 0.7438% 12/25/36 (e)(k)

2,542

1,763

Class B1, 1.1738% 12/25/36 (e)(k)

89

18

Class B2, 1.7238% 12/25/36 (e)(k)

92

42

Class B3, 2.9238% 12/25/36 (e)(k)

154

68

Class M1, 0.7638% 12/25/36 (e)(k)

184

118

Class M2, 0.7838% 12/25/36 (e)(k)

124

78

Class M3, 0.8138% 12/25/36 (e)(k)

125

53

Class M4, 0.8738% 12/25/36 (e)(k)

150

60

Class M5, 0.9138% 12/25/36 (e)(k)

137

55

Class M6, 0.9938% 12/25/36 (e)(k)

124

69

Series 2007-1:

Class A2, 0.7438% 3/25/37 (e)(k)

2,755

1,584

Class B1, 1.1438% 3/25/37 (e)(k)

884

310

Class B2, 1.6238% 3/25/37 (e)(k)

637

202

Class B3, 3.8238% 3/25/37 (e)(k)

1,809

529

Class M1, 0.7438% 3/25/37 (e)(k)

748

406

Class M2, 0.7638% 3/25/37 (e)(k)

562

291

Class M3, 0.7938% 3/25/37 (e)(k)

499

250

Class M4, 0.8438% 3/25/37 (e)(k)

384

184

Class M5, 0.8938% 3/25/37 (e)(k)

626

282

Class M6, 0.9738% 3/25/37 (e)(k)

875

350

Series 2007-2A:

Class A1, 0.7438% 7/25/37 (e)(k)

424

256

Class A2, 0.7938% 7/25/37 (e)(k)

397

245

Class B1, 2.0738% 7/25/37 (e)(k)

124

39

Class B2, 2.7238% 7/25/37 (e)(k)

108

33

Class B3, 3.8238% 7/25/37 (e)(k)

121

36

Class M1, 0.8438% 7/25/37 (e)(k)

141

77

Class M2, 0.8838% 7/25/37 (e)(k)

79

41

Class M3, 0.9638% 7/25/37 (e)(k)

80

40

Class M4, 1.1238% 7/25/37 (e)(k)

155

65

Class M5, 1.2238% 7/25/37 (e)(k)

137

54

Class M6, 1.4738% 7/25/37 (e)(k)

174

64

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-3:

Class A2, 0.7638% 7/25/37 (e)(k)

$ 703

$ 522

Class B1, 1.4238% 7/25/37 (e)(k)

604

288

Class B2, 2.0738% 7/25/37 (e)(k)

1,563

744

Class B3, 4.4738% 7/25/37 (e)(k)

810

372

Class M1, 0.7838% 7/25/37 (e)(k)

522

303

Class M2, 0.8138% 7/25/37 (e)(k)

559

314

Class M3, 0.8438% 7/25/37 (e)(k)

908

479

Class M4, 0.9738% 7/25/37 (e)(k)

1,424

745

Class M5, 1.0738% 7/25/37 (e)(k)

722

371

Class M6, 1.2738% 7/25/37 (e)(k)

550

279

Series 2007-4A:

Class A2, 1.0238% 9/25/37 (e)(k)

5,053

3,537

Class B1, 3.0238% 9/25/37 (e)(k)

841

267

Class B2, 3.9238% 9/25/37 (e)(k)

3,133

916

Class M1, 1.4238% 9/25/37 (e)(k)

785

392

Class M2, 1.5238% 9/25/37 (e)(k)

785

353

Class M4, 2.0738% 9/25/37 (e)(k)

2,061

825

Class M5, 2.2238% 9/25/37 (e)(k)

2,061

773

Class M6, 2.4238% 9/25/37 (e)(k)

2,062

722

Series 2004-1 Class IO, 1.25% 4/25/34 (e)(m)

24,069

265

Series 2006-2A Class IO, 1.7976% 7/25/36 (c)(e)(m)

59,842

3,591

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.9013% 3/15/19 (e)(k)

542

309

Class H, 1.1113% 3/15/19 (e)(k)

365

164

Class J, 1.3113% 3/15/19 (e)(k)

274

110

Series 2007-BBA8:

Class D, 0.705% 3/15/22 (e)(k)

281

175

Class E, 0.755% 3/15/22 (e)(k)

1,459

856

Class F, 0.805% 3/15/22 (e)(k)

895

501

Class G, 0.855% 3/15/22 (e)(k)

230

125

Class H, 1.005% 3/15/22 (e)(k)

281

126

Class J, 1.155% 3/15/22 (e)(k)

281

112

sequential payer:

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

2,375

2,385

Series 2006-PW12 Class A2, 5.688% 9/11/38

6,640

5,656

Series 2007-PW17 Class A1, 5.282% 6/11/50

8,122

7,769

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

Series 2002-TOP8 Class X2, 2.0827% 8/15/38 (e)(k)(m)

$ 35,994

$ 1,097

Series 2003-PWR2 Class X2, 0.4666% 5/11/39 (e)(k)(m)

73,485

769

Series 2004-PWR6 Class X2, 0.6189% 11/11/41 (e)(k)(m)

24,558

463

Series 2005-PWR9 Class X2, 0.3886% 9/11/42 (e)(k)(m)

163,436

1,926

Series 2006-PW13 Class A1, 5.294% 9/11/41

9,544

9,284

Series 2007-T28 Class A1, 5.422% 9/11/42

3,587

3,437

C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (e)(k)

6,795

2,951

CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 0.908% 5/15/35 (e)(k)(m)

147,699

5,832

Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A1, 6.1731% 2/12/16 (e)(k)

2,291

2,276

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class G, 0.785% 11/15/36 (e)(k)

299

93

Class H, 0.825% 11/15/36 (e)(k)

239

72

sequential payer Series 2005-EMG Class A2, 4.2211% 9/20/51 (e)

2,130

2,060

Series 2004-C2 Class XP, 0.8937% 10/15/41 (e)(k)(m)

31,818

611

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2006-CD2 Class A1, 5.302% 1/15/46

5,357

5,271

Series 2006-CD3 Class X3, 0.4227% 10/15/48 (k)(m)

314,168

4,951

Cobalt CMBS Commercial Mortgage Trust sequential payer Series 2007-C2 Class A1, 5.064% 9/15/11 (k)

3,641

3,509

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class D, 0.765% 4/15/17 (e)(k)

640

303

Class E, 0.825% 4/15/17 (e)(k)

204

95

Class F, 0.865% 4/15/17 (e)(k)

116

51

Class G, 1.005% 4/15/17 (e)(k)

116

50

Class H, 1.075% 4/15/17 (e)(k)

116

47

Class J, 1.305% 4/15/17 (e)(k)

89

40

Series 2005-FL11:

Class F, 0.9113% 11/15/17 (e)(k)

262

87

Class G, 0.9613% 11/15/17 (e)(k)

181

57

Series 2004-LBN2 Class X2, 0.8624% 3/10/39 (e)(k)(m)

10,410

155

Series 2005-LP5 Class XP, 0.3666% 5/10/43 (k)(m)

56,639

373

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Commercial Mortgage Asset Trust sequential payer Series 1999-C1 Class A3, 6.64% 1/17/32

$ 759

$ 758

Credit Suisse Commercial Mortgage Trust Series 2006-C5 Class ASP, 0.6637% 12/15/39 (k)(m)

238,132

5,623

Credit Suisse First Boston Mortgage Securities Corp.:

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

4,476

4,185

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

4,213

4,208

Series 1999-C1 Class E, 8.0405% 9/15/41 (k)

6,370

6,077

Series 2001-CK6 Class AX, 0.645% 9/15/18 (m)

111,564

2,256

Series 2003-C3 Class ASP, 1.6988% 5/15/38 (e)(k)(m)

85,569

1,558

Series 2004-C1 Class ASP, 0.9364% 1/15/37 (e)(k)(m)

53,730

891

Series 2005-C1 Class ASP, 0.3423% 2/15/38 (e)(k)(m)

303,319

2,291

Series 2005-C2 Class ASP, 0.5505% 4/15/37 (e)(k)(m)

52,625

710

Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:

Class C:

0.6313% 2/15/22 (e)(k)

1,256

377

0.7313% 2/15/22 (e)(k)

448

112

Class F, 0.7813% 2/15/22 (e)(k)

897

197

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

6,249

6,266

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class D, 6.484% 3/15/33

6,920

5,574

GE Capital Commercial Mortgage Corp.:

sequential payer Series 2004-C3 Class A2, 4.433% 7/10/39

7,149

7,039

Series 2001-1 Class X1, 1.0537% 5/15/33 (e)(k)(m)

73,058

1,371

GMAC Commercial Mortgage Securities, Inc.:

sequential payer Series 2003-C2 Class A1, 4.576% 5/10/40

8,463

7,648

Series 2004-C3 Class X2, 0.6604% 12/10/41 (k)(m)

38,693

460

Series 2006-C1 Class XP, 0.1363% 11/10/45 (k)(m)

83,481

453

Greenwich Capital Commercial Funding Corp.:

Series 2003-C2 Class XP, 0.9758% 1/5/36 (e)(k)(m)

70,858

977

Series 2005-GG3 Class XP, 0.7646% 8/10/42 (e)(k)(m)

149,792

2,568

GS Mortgage Securities Corp. II floater:

Series 2006-FL8A Class F, 0.885% 6/6/20 (e)(k)

562

320

Series 2007-EOP:

Class C, 0.765% 3/6/20 (e)(k)

3,810

2,438

Class D, 0.815% 3/6/20 (e)(k)

1,140

730

Class E, 0.885% 3/6/20 (e)(k)

1,905

1,200

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

GS Mortgage Securities Corp. II floater: - continued

Series 2007-EOP:

Class F, 0.925% 3/6/20 (e)(k)

$ 950

$ 580

Class G, 0.965% 3/6/20 (e)(k)

470

282

Class H, 1.095% 3/6/20 (e)(k)

785

471

Class J, 1.295% 3/6/20 (e)(k)

1,125

641

Hilton Hotel Pool Trust:

sequential payer Series 2000-HLTA Class A1, 7.055% 10/3/15 (e)

1,200

1,244

Series 2000-HLTA Class D, 7.555% 10/3/15 (e)

4,870

5,205

Host Marriott Pool Trust sequential payer Series 1999-HMTA:

Class A, 6.98% 8/3/15 (e)

278

281

Class B, 7.3% 8/3/15 (e)

1,980

2,017

JPMorgan Chase Commercial Mortgage Securities Corp.:

sequential payer Series 2001-C1 Class A2, 5.464% 10/12/35

1,977

1,951

Series 2002-C3 Class X2, 1.1342% 7/12/35 (e)(k)(m)

25,963

216

Series 2003-CB7 Class X2, 0.7683% 1/12/38 (e)(k)(m)

12,184

146

Series 2003-LN1 Class X2, 0.6341% 10/15/37 (e)(k)(m)

88,391

862

Series 2004-C1 Class X2, 0.9723% 1/15/38 (e)(k)(m)

13,796

222

Series 2004-CB8 Class X2, 1.1064% 1/12/39 (e)(k)(m)

19,388

322

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class D, 0.6913% 11/15/18 (e)(k)

155

73

Class E, 0.7413% 11/15/18 (e)(k)

220

99

Class F, 0.7913% 11/15/18 (e)(k)

330

145

Class G, 0.8213% 11/15/18 (e)(k)

287

121

Class H, 0.9613% 11/15/18 (e)(k)

220

88

sequential payer:

Series 2006-LDP9 Class A1, 5.17% 5/15/47 (k)

5,079

4,942

Series 2008-C2 Class A1, 5.017% 2/12/51

2,281

2,163

LB Commercial Conduit Mortgage Trust sequential payer Series 1999-C1 Class A2, 6.78% 6/15/31

4,493

4,480

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2006-C6 Class A1, 5.23% 9/15/39

3,557

3,476

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

1,629

1,589

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

2,158

2,110

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

2,048

1,998

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB-UBS Commercial Mortgage Trust: - continued

Series 2002-C4 Class XCP, 1.3959% 10/15/35 (e)(k)(m)

$ 56,318

$ 448

Series 2002-C7 Class XCP, 0.9632% 1/15/36 (e)(k)(m)

39,014

316

Series 2003-C1 Class XCP, 1.2936% 12/15/36 (e)(k)(m)

20,147

250

Series 2004-C2 Class XCP, 0.8376% 3/15/36 (e)(k)(m)

30,515

597

Series 2004-C6 Class XCP, 0.6492% 8/15/36 (e)(k)(m)

37,752

470

Series 2006-C1 Class XCP, 0.308% 2/15/41 (k)(m)

226,217

2,450

Series 2006-C6 Class XCP, 0.6633% 9/15/39 (k)(m)

140,280

3,030

Series 2007-C1 Class XCP, 0.4751% 2/15/40 (k)(m)

55,096

878

Series 2007-C2 Class XCP, 0.5002% 2/15/40 (k)(m)

262,816

4,743

LB-UBS Westfield Trust Series 2001-WM, 6.754%
7/14/16 (e)

5,530

4,989

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:

Class F, 0.795% 9/15/21 (e)(k)

770

316

Class G, 0.815% 9/15/21 (e)(k)

1,521

556

Class H, 0.855% 9/15/21 (e)(k)

392

136

Merrill Lynch Mortgage Trust:

Series 2002-MW1 Class XP, 1.5454% 7/12/34 (e)(k)(m)

18,853

107

Series 2005-MCP1 Class XP, 0.5561% 6/12/43 (k)(m)

49,691

865

Series 2005-MKB2 Class XP, 0.2538% 9/12/42 (k)(m)

24,610

156

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2007-6 Class A1, 5.175% 3/12/51

2,268

2,210

Series 2007-8 Class A1, 4.622% 8/12/49

3,531

3,367

Series 2006-4 Class XP, 0.6219% 12/12/49 (k)(m)

109,473

2,502

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.662% 7/15/19 (e)(k)

554

55

Series 2007-XCLA Class A1, 0.662% 7/17/17 (e)(k)

1,845

1,015

Series 2007-XLCA Class B, 0.9613% 7/17/17 (e)(k)

1,050

95

Series 2007-XLFA:

Class D, 0.652% 10/15/20 (e)(k)

449

112

Class E, 0.712% 10/15/20 (e)(k)

562

112

Class F, 0.762% 10/15/20 (e)(k)

337

61

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

floater:

Series 2007-XLFA:

Class G, 0.802% 10/15/20 (e)(k)

$ 417

$ 63

Class H, 0.892% 10/15/20 (e)(k)

262

26

Class J, 1.042% 10/15/20 (e)(k)

300

24

Class MHRO, 1.152% 10/15/20 (e)(k)

122

13

Class MJPM, 1.462% 10/15/20 (e)(k)

41

4

Class MSTR, 1.162% 10/15/20 (e)(k)

75

11

Class NHRO, 1.352% 10/15/20 (e)(k)

178

16

Class NSTR, 1.312% 10/15/20 (e)(k)

70

8

sequential payer:

Series 2003-IQ5 Class X2, 0.9046% 4/15/38 (e)(k)(m)

28,158

504

Series 2006-HQ8 Class A1, 5.124% 3/12/44

1,030

1,019

Series 2006-T23 Class A1, 5.682% 8/12/41

2,276

2,203

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

3,739

3,630

Series 2003-IQ6 Class X2, 0.5824% 12/15/41 (e)(k)(m)

55,055

786

Series 2005-HQ5 Class X2, 0.2375% 1/14/42 (k)(m)

53,586

342

Series 2005-IQ9 Class X2, 1.0444% 7/15/56 (e)(k)(m)

50,951

1,229

Series 2005-TOP17 Class X2, 0.5794% 12/13/41 (k)(m)

35,484

633

Series 2007-XLC1:

Class C, 1.0613% 7/17/17 (e)(k)

1,434

115

Class D, 1.1613% 7/17/17 (e)(k)

675

47

Class E, 1.2613% 7/17/17 (e)(k)

548

33

Morgan Stanley Dean Witter Capital I Trust:

Series 2003-HQ2 Class X2, 1.327%
3/12/35 (e)(k)(m)

51,868

1,204

Series 2003-TOP9 Class X2, 1.4362%
11/13/36 (e)(k)(m)

29,681

747

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (e)(k)

1,332

1,092

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.655% 1/15/18 (e)(k)

859

473

Series 2006-WL7A:

Class E, 0.735% 9/15/21 (e)(k)

938

385

Class F, 0.795% 8/11/18 (e)(k)

1,264

379

Class G, 0.815% 8/11/18 (e)(k)

1,198

299

Class J, 0.9331% 8/11/18 (e)(k)

266

96

Class X1A, 0.0239% 9/15/21 (e)(k)(m)

1,906

0*

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

floater:

Series 2007-WHL8:

Class AP1, 1.155% 6/15/20 (e)(k)

$ 63

$ 16

Class AP2, 1.255% 6/15/20 (e)(k)

103

21

Class F, 0.935% 6/15/20 (e)(k)

2,000

640

Class LXR2, 1.255% 6/15/20 (e)(k)

1,364

205

sequential payer:

Series 2003-C7 Class A1, 4.241% 10/15/35 (e)

11,674

11,038

Series 2007-C30 Class A1, 5.031% 12/15/43

3,615

3,516

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

2,403

2,337

Series 2005-C20 Class A3SF, 0.4588% 7/15/42 (k)

7,208

6,433

Series 2006-C23 Class X, 0.0807% 1/15/45 (e)(k)(m)

1,086,185

4,719

Series 2006-C24 Class XP, 0.0768% 3/15/45 (e)(k)(m)

191,424

808

Series 2007-C30 Class XP, 0.4336% 12/15/43 (e)(k)(m)

274,287

4,494

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $370,180)

311,299

Municipal Securities - 0.1%

 

Maryland Gen. Oblig. (State & Local Facilities Ln. Prog.)
First Series 2005 B, 5.25% 2/15/11
(Cost $5,280)

5,000

5,388

Commercial Paper - 0.8%

 

Bank of Nova Scotia yankee 0.76% 5/12/09

9,000

8,982

Lloyds TSB Bank PLC yankee 1.15% 5/11/09

16,000

15,968

Rabobank USA Financial Corp. yankee 0.9% 8/10/09

18,000

17,947

TOTAL COMMERCIAL PAPER

(Cost $42,876)

42,897

Fixed-Income Funds - 1.6%

Shares

 

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

517,734

36,723

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

516,741

47,535

TOTAL FIXED-INCOME FUNDS

(Cost $103,164)

84,258

Cash Equivalents - 19.6%

Maturity Amount (000s)

Value (000s)

Investments in repurchase agreements in a joint trading account at:

0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) #

$ 124,025

$ 124,022

0.28%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) # (a)

935,684

935,662

TOTAL CASH EQUIVALENTS

(Cost $1,059,684)

1,059,684

TOTAL INVESTMENT PORTFOLIO - 119.1%

(Cost $6,833,911)

6,417,489

NET OTHER ASSETS - (19.1)%

(1,027,110)

NET ASSETS - 100%

$ 5,390,379

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Eurodollar Contracts

519 Eurodollar 90 Day Index Contracts

March 2009

$ 517,329

$ 2,762

379 Eurodollar 90 Day Index Contracts

June 2009

377,764

1,169

381 Eurodollar 90 Day Index Contracts

Sept. 2009

379,690

1,213

326 Eurodollar 90 Day Index Contracts

Dec. 2009

324,741

(25)

326 Eurodollar 90 Day Index Contracts

March 2010

324,639

(9)

326 Eurodollar 90 Day Index Contracts

June 2010

324,464

10

TOTAL EURODOLLAR CONTRACTS

 

$ 5,120

 

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

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 (Rating-Ba2) (j)

Nov. 2034

$ 1,462

$ (1,354)

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 (Rating-B1) (j)

Oct. 2034

479

(257)

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 (Rating-Baa3) (j)

May 2033

1,462

(1,228)

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, 9.01% 8/25/34 (Rating-C) (j)

Sept. 2034

427

(393)

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 (Rating-Baa3) (j)

Feb. 2035

2,400

(2,263)

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 (Rating-Baa2) (j)

August 2034

353

(208)

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 (Rating-Caa2) (j)

June 2035

2,400

(2,275)

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 (Rating-A3) (j)

Oct. 2034

$ 437

$ (259)

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 (Rating-Baa3) (j)

April 2032

129

(105)

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 (Rating-Baa3) (j)

March 2034

101

(7)

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 (Rating-Ba2) (j)

Feb. 2034

4

(4)

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 (Rating-Baa2) (j)

March 2009

4,600

(2)

 

$ 14,254

$ (8,355)

Legend

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

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

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

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

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $388,753,000 or 7.2% of net assets.

(f) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $64,428,000 or 1.2% of net assets.

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

(h) 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 $2,773,000.

(i) 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 $7,429,000.

(j) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

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

(l) 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.

(m) 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.

(n) 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 $7,041,000 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

$ 8,432

(o) Non-income producing.

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$124,022,000 due 3/02/09 at 0.26%

Goldman, Sachs & Co.

$ 48,629

UBS Securities LLC

75,393

 

$ 124,022

$935,662,000 due 3/02/09 at 0.28%

J.P. Morgan Securities, Inc.

$ 935,662

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

$ 993

Fidelity Corporate Bond 1-5 Year Central Fund

1,730

Fidelity Ultra-Short Central Fund

2,874

Total

$ 5,597

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

$ 67,969

$ 993

$ 24,810

$ 36,723

4.5%

Fidelity Corporate Bond 1-5 Year Central Fund

87,771

1,730

36,676

47,535

13.4%

Fidelity Ultra-Short Central Fund

404,096

-

340,103*

-

0.0%

Total

$ 559,836

$ 2,723

$ 401,589

$ 84,258

* Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financial Statements.

Other Information

The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities

$ 6,417,489

$ 84,258

$ 6,220,693

$ 112,538

Other Financial Instruments*

$ (3,235)

$ 5,120

$ (3,701)

$ (4,654)

* Other financial instruments include Futures Contracts and Swap Agreements.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

(Amounts in thousands)

Investments in Securities

Other Financial Instruments

Beginning Balance

$ 24,336

$ (12,767)

Total Realized Gain (Loss)

160

-*

Total Unrealized Gain (Loss)

(50,327)

8,416

Cost of Purchases

27,057

-

Proceeds of Sales

(6,387)

-

Amortization/Accretion

(2,047)

-

Transfer in/out of Level 3

119,746

(303)

Ending Balance

$ 112,538

$ (4,654)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(9,162,000).

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At August 31, 2008, the fund had a capital loss carryforward of approximately $59,494,000 of which $22,435,000, $14,473,000, $2,521,000 and $20,065,000 will expire on August 31, 2013, 2014, 2015 and 2016, respectively.

The fund intends to elect to defer to its fiscal year ending August 31, 2009 approximately $134,833,000 of losses recognized during the period November 1, 2007 to August 31, 2008.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amount)

February 28, 2009 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $916,515 and repurchase agreements of $1,059,684) - See accompanying schedule:

Unaffiliated issuers (cost $6,730,747)

$ 6,333,231

 

Fidelity Central Funds (cost $103,164)

84,258

 

Total Investments (cost $6,833,911)

 

$ 6,417,489

Cash

336

Receivable for investments sold

107,778

Receivable for swap agreements

28

Receivable for fund shares sold

5,006

Interest receivable

30,685

Distributions receivable from Fidelity Central Funds

311

Receivable for daily variation on futures contracts

50

Other receivables

52

Total assets

6,561,735

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 14,342

Delayed delivery

202,189

Payable for swap agreements

2,165

Payable for fund shares redeemed

5,987

Distributions payable

559

Unrealized depreciation on swap agreements

8,355

Accrued management fee

1,447

Other affiliated payables

586

Other payables and accrued expenses

63

Collateral on securities loaned, at value

935,663

Total liabilities

1,171,356

 

 

 

Net Assets

$ 5,390,379

Net Assets consist of:

 

Paid in capital

$ 6,186,879

Undistributed net investment income

4,667

Accumulated undistributed net realized gain (loss) on investments

(381,510)

Net unrealized appreciation (depreciation) on investments

(419,657)

Net Assets, for 679,152 shares outstanding

$ 5,390,379

Net Asset Value, offering price and redemption price per share ($5,390,379 ÷ 679,152 shares)

$ 7.94

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

Semiannual Report

Statement of Operations

 Amounts in thousands

Six months ended February 28, 2009 (Unaudited)

 

 

 

Investment Income

 

 

Interest

 

$ 106,344

Income from Fidelity Central Funds

 

5,597

Total income

 

111,941

 

 

 

Expenses

Management fee

$ 9,286

Transfer agent fees

2,903

Fund wide operations fee

862

Independent trustees' compensation

11

Miscellaneous

20

Total expenses before reductions

13,082

Expense reductions

(41)

13,041

Net investment income

98,900

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

(18,002)

Fidelity Central Funds

(160,512)

 

Futures contracts

10,189

Swap agreements

(11,455)

 

Total net realized gain (loss)

 

(179,780)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(99,551)

Futures contracts

(3,792)

Swap agreements

8,774

Total change in net unrealized appreciation (depreciation)

 

(94,569)

Net gain (loss)

(274,349)

Net increase (decrease) in net assets resulting from operations

$ (175,449)

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended
February 28, 2009
(Unaudited)

Year ended
August 31,
2008

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income

$ 98,900

$ 309,683

Net realized gain (loss)

(179,780)

(156,867)

Change in net unrealized appreciation (depreciation)

(94,569)

(132,329)

Net increase (decrease) in net assets resulting from operations

(175,449)

20,487

Distributions to shareholders from net investment income

(99,634)

(306,499)

Share transactions
Proceeds from sales of shares

478,898

1,437,934

Reinvestment of distributions

94,875

290,157

Cost of shares redeemed

(1,602,796)

(2,088,864)

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

(1,029,023)

(360,773)

Total increase (decrease) in net assets

(1,304,106)

(646,785)

 

 

 

Net Assets

Beginning of period

6,694,485

7,341,270

End of period (including undistributed net investment income of $4,667 and undistributed net investment income of $5,401, respectively)

$ 5,390,379

$ 6,694,485

Other Information

Shares

Sold

59,230

168,510

Issued in reinvestment of distributions

11,803

34,126

Redeemed

(197,544)

(244,923)

Net increase (decrease)

(126,511)

(42,287)

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

Semiannual Report

Financial Highlights

 

Six months ended February 28, 2009
Years ended August 31,
 
 
(Unaudited)
2008
2007
2006 G
2006 J
2005 J
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 8.31

$ 8.66

$ 8.86

$ 8.82

$ 8.92

$ 8.99

$ 9.04

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income D

  .138

  .376

  .421

  .133

  .344

  .243

  .236

Net realized and unrealized gain (loss)

  (.370)

  (.355)

  (.208)

  .037

  (.107)

  (.067)

  (.057)

Total from investment operations

  (.232)

  .021

  .213

  .170

  .237

  .176

  .179

Distributions from net investment income

  (.138)

  (.371)

  (.413)

  (.130)

  (.337)

  (.246)

  (.229)

Net asset value, end of period

$ 7.94

$ 8.31

$ 8.66

$ 8.86

$ 8.82

$ 8.92

$ 8.99

Total Return B, C

  (2.80)%

  .23%

  2.41%

  1.95%

  2.70%

  1.98%

  1.99%

Ratios to Average Net Assets E, H

 

 

 

 

 

 

 

Expenses before reductions

  .45% A

  .45%

  .45%

  .45% A

  .46%

  .56%

  .57%

Expenses net of fee waivers, if any

  .45% A

  .45%

  .45%

  .45% A

  .46%

  .56%

  .57%

Expenses net of all reductions

  .45% A

  .45%

  .45%

  .44% A

  .46%

  .56%

  .57%

Net investment income

  3.43% A

  4.42%

  4.77%

  4.48% A

  3.88%

  2.71%

  2.61%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 5,390

$ 6,694

$ 7,341

$ 6,345

$ 5,865

$ 4,879

$ 5,513

Portfolio turnover rate F

  200% A

  71%

  82% I

  55% A

  62%

  93%

  100%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the four month period ended August 31. The Fund changed its fiscal year end from April 30 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. I Portfolio turnover rate excludes securities received or delivered in-kind. J For the period ended April 30.

Semiannual Report

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

Notes to Financial Statements

For the period ended February 28, 2009 (Unaudited)

(Amounts in thousands except ratios)

1. Organization.

Fidelity Short-Term Bond Fund (the Fund) is a fund of Fidelity Fixed-Income Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity 1-3 Year Duration Securitized Bond Central Fund

Fidelity Investment Money Management, Inc. (FIMM)

Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Corporate Bond 1-5 Year Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.

Repurchase Agreements

Restricted Securities

Swap Agreements

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

2. Investments in Fidelity Central Funds - continued

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.

3. Significant Accounting Policies.

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

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 dealer supplied prices. Certain of the Fund's securities are valued at period end by a single source or dealer. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on valuations from independent pricing services or 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 disposition 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 determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. 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 (NAV) calculation under these procedures may differ from published prices for the same securities.

Semiannual Report

3. Significant Accounting Policies - continued

Security Valuation - continued

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1

Quoted prices in active markets for identical securities.

Level 2

Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3

Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, swap agreements, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards, expiring capital loss carryforwards and losses deferred due to excise tax regulations.

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

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

Unrealized appreciation

$ 50,142

Unrealized depreciation

(461,792)

Net unrealized appreciation (depreciation)

$ (411,650)

Cost for federal income tax purposes

$ 6,829,139

New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.

4. Operating Policies.

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

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities - continued

Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

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

Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Assets and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes,

Semiannual Report

4. Operating Policies - continued

Swap Agreements - continued

adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.

The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Swap Agreements - continued

occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $14,254 representing .26% of net assets.

The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $327,247 and $1,149,149, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee of .10% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

Fundwide Operations Fee - continued

equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.

Other Affiliated Transaction. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro-rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $203,372 in return for its 3,253 shares of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $18 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

8. Security Lending - continued

Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $868.

9. Expense Reductions.

Through arrangements with the Fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by and transfer agent expenses by $29 and $12, respectively.

10. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

At the end of the period, the Fidelity Freedom Funds were the owners of record, in aggregate of approximately 29% of the total outstanding shares of the fund.

In March 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro-rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.

11. Credit Risk.

The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

Semiannual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)

Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555

Press

fid140For mutual fund and brokerage trading.

fid142For quotes.*

fid144For account balances and holdings.

fid146To review orders and mutual
fund activity.

fid148To change your PIN.

fid150fid152To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)

Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.

Semiannual Report

To Visit Fidelity

For directions and hours, 
please call 1-800-544-9797.

Arizona

7001 West Ray Road
Chandler, AZ

15445 N. Scottsdale Road
Scottsdale, AZ

California

815 East Birch Street
Brea, CA

1411 Chapin Avenue
Burlingame, CA

851 East Hamilton Avenue
Campbell, CA

19200 Von Karman Avenue
Irvine, CA

601 Larkspur Landing Circle
Larkspur, CA

2000 Avenue of the Stars
Los Angeles, CA

27101 Puerta Real
Mission Viejo, CA

73-575 El Paseo
Palm Desert, CA

251 University Avenue
Palo Alto, CA

123 South Lake Avenue
Pasadena, CA

16656 Bernardo Ctr. Drive
Rancho Bernardo, CA

1220 Roseville Parkway
Roseville, CA

1740 Arden Way
Sacramento, CA

7676 Hazard Center Drive
San Diego, CA

11943 El Camino Real
San Diego, CA

8 Montgomery Street
San Francisco, CA

3793 State Street
Santa Barbara, CA

1200 Wilshire Boulevard
Santa Monica, CA

398 West El Camino Real
Sunnyvale, CA

111 South Westlake Blvd
Thousand Oaks, CA

21701 Hawthorne Boulevard
Torrance, CA

2001 North Main Street
Walnut Creek, CA

6326 Canoga Avenue
Woodland Hills, CA

Colorado

281 East Flatiron Circle
Broomfield, CO

1625 Broadway
Denver, CO

9185 Westview Road
Lone Tree, CO

Connecticut

48 West Putnam Avenue
Greenwich, CT

265 Church Street
New Haven, CT

300 Atlantic Street
Stamford, CT

29 South Main Street
West Hartford, CT

Delaware

400 Delaware Avenue
Wilmington, DE

Florida

175 East Altamonte Drive
Altamonte Springs, FL

4400 N. Federal Highway
Boca Raton, FL

121 Alhambra Plaza
Coral Gables, FL

2948 N. Federal Highway
Ft. Lauderdale, FL

4671 Town Center Parkway
Jacksonville, FL

8880 Tamiami Trail, North
Naples, FL

230 Royal Palm Way
Palm Beach, FL

3501 PGA Boulevard
Palm Beach Gardens, FL

3550 Tamiami Trail, South
Sarasota, FL

1502 N. Westshore Blvd.
Tampa, FL

2465 State Road 7
Wellington, FL

Georgia

3445 Peachtree Road, N.E.
Atlanta, GA

1000 Abernathy Road
Atlanta, GA

Illinois

One North LaSalle Street
Chicago, IL

401 North Michigan Avenue
Chicago, IL

One Skokie Valley Road
Highland Park, IL

1415 West 22nd Street
Oak Brook, IL

15105 S LaGrange Road
Orland Park, IL

1572 East Golf Road
Schaumburg, IL

Indiana

4729 East 82nd Street
Indianapolis, IN

8480 Keystone Crossing
Indianapolis, IN

Kansas

5400 College Boulevard
Overland Park, KS

Maine

Three Canal Plaza
Portland, ME

Maryland

7315 Wisconsin Avenue
Bethesda, MD

610 York Road
Towson, MD

Massachusetts

801 Boylston Street
Boston, MA

155 Congress Street
Boston, MA

300 Granite Street
Braintree, MA

44 Mall Road
Burlington, MA

238 Main Street
Cambridge, MA

200 Endicott Street
Danvers, MA

Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC

Semiannual Report

405 Cochituate Road
Framingham, MA

551 Boston Turnpike
Shrewsbury, MA

Michigan

500 E. Eisenhower Pkwy.
Ann Arbor, MI

280 Old N. Woodward Ave.
Birmingham, MI

30200 Northwestern Hwy.
Farmington Hills, MI

43420 Grand River Avenue
Novi, MI

Minnesota

7740 France Avenue South
Edina, MN

8342 3rd Street North
Oakdale, MN

Missouri

1524 South Lindbergh Blvd.
St. Louis, MO

Nevada

2225 Village Walk Drive
Henderson, NV

New Jersey

501 Route 73 South
Marlton, NJ

150 Essex Street
Millburn, NJ

35 Morris Street
Morristown, NJ

396 Route 17, North
Paramus, NJ

3518 Route 1 North
Princeton, NJ

530 Broad Street
Shrewsbury, NJ

New Mexico

2261 Q Street NE
Albuquerque, NM

New York

1130 Franklin Avenue
Garden City, NY

37 West Jericho Turnpike
Huntington Station, NY

1271 Avenue of the Americas
New York, NY

980 Madison Avenue
New York, NY

61 Broadway
New York, NY

350 Park Avenue
New York, NY

200 Fifth Avenue
New York, NY

733 Third Avenue
New York, NY

11 Penn Plaza
New York, NY

2070 Broadway
New York, NY

1075 Northern Blvd.
Roslyn, NY

799 Central Park Avenue
Scarsdale, NY

North Carolina

4611 Sharon Road
Charlotte, NC

7011 Fayetteville Road
Durham, NC

Ohio

3805 Edwards Road
Cincinnati, OH

1324 Polaris Parkway
Columbus, OH

1800 Crocker Road
Westlake, OH

28699 Chagrin Boulevard
Woodmere Village, OH

Oregon

7493 SW Bridgeport Road
Tigard, OR

Pennsylvania

600 West DeKalb Pike
King of Prussia, PA

1735 Market Street
Philadelphia, PA

12001 Perry Highway
Wexford, PA

Rhode Island

10 Memorial Boulevard
Providence, RI

Tennessee

3018 Peoples Street
Johnson City, TN

7628 West Farmington Blvd.
Germantown, TN

2035 Mallory Lane
Franklin, TN

Texas

10000 Research Boulevard
Austin, TX

4001 Northwest Parkway
Dallas, TX

12532 Memorial Drive
Houston, TX

2701 Drexel Drive
Houston, TX

6560 Fannin Street
Houston, TX

1701 Lake Robbins Drive
The Woodlands, TX

6500 N. MacArthur Blvd.
Irving, TX

6005 West Park Boulevard
Plano, TX

14100 San Pedro
San Antonio, TX

1576 East Southlake Blvd.
Southlake, TX

Utah

279 West South Temple
Salt Lake City, UT

Virginia

1861 International Drive
McLean, VA

Washington

10500 NE 8th Street
Bellevue, WA

1518 6th Avenue
Seattle, WA

Washington, DC

1900 K Street, N.W.
Washington, DC

Wisconsin

16020 West Bluemound Road
Brookfield, WI

Semiannual Report

Investment Adviser

Fidelity Management & Research Company Boston, MA

Investment Sub-Advisers

Fidelity Research & Analysis Company

Fidelity Investments Money
Management, Inc.

FIL Investment Advisors

FIL Investment Advisors
(U.K.) Ltd.

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

The Bank of New York

New York, NY

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

Exchanges/Redemptions
and Account Assistance 1-800-544-6666

Product Information 1-800-544-6666

Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)

TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)

Fidelity Automated Service
Telephone (FAST®) fid154 1-800-544-5555

fid154 Automated line for quickest service 

STP-USAN-0409
1.784864.105

fid157

Fidelity®
U.S. Bond Index
Fund

Semiannual Report

February 28, 2009

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

If additional copies of financial reports, prospectuses or historical account information are needed, or for more information on any Fidelity fund including charges and expenses, please call the appropriate number listed below or the number provided to your institutional or employer-sponsored retirement plan. Read the prospectus carefully before you invest or send money.
Retirement Plan Level Accounts
Corporate Clients 1-800-962-1375
"Not For Profit" Clients 1-800-343-0860
Financial and Other Institutions
Nationwide 1-800-221-5207
Other Investors 1-800-544-6666

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual Report

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

Semiannual Report

Shareholder Expense Example - continued

 

Annualized Expense Ratio

Beginning
Account Value
September 1, 2008

Ending
Account Value
February 28, 2009

Expenses Paid
During Period*
September 1, 2008
to February 28, 2009

Actual

.32%

$ 1,000.00

$ 1,015.10

$ 1.60

Hypothetical (5% return per year before expenses)

 

$ 1,000.00

$ 1,023.21

$ 1.61

* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report

Investment Changes (Unaudited)

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

Quality Diversification (% of fund's net assets)

As of February 28, 2009

As of August 31, 2008

fid98

U.S. Government and
U.S. Government
Agency Obligations 86.6%

 

fid249

U.S. Government and
U.S. Government
Agency Obligations 77.2%

 

fid104

AAA 5.2%

 

fid253

AAA 7.1%

 

fid343

AA 2.2%

 

fid286

AA 3.5%

 

fid288

A 6.2%

 

fid290

A 5.9%

 

fid110

BBB 8.3%

 

fid257

BBB 9.7%

 

fid294

BB and Below 0.5%

 

fid296

BB and Below 0.4%

 

fid298

Not Rated 0.2%

 

fid300

Not Rated 0.1%

 

fid119

Short-Term
Investments and
Net Other Assets† (9.2)%

 

fid355

Short-Term
Investments and
Net Other Assets† (3.9)%

 


fid357

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

Weighted Average Maturity as of February 28, 2009

 

 

6 months ago

Years

5.2

5.4

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

Duration as of February 28, 2009

 

 

6 months ago

Years

3.7

4.7

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

Asset Allocation (% of fund's net assets)

As of February 28, 2009*

As of August 31, 2008**

fid98

Corporate Bonds 17.7%

 

fid249

Corporate Bonds 19.6%

 

fid104

U.S. Government and
U.S. Government
Agency Obligations 86.6%

 

fid253

U.S. Government and
U.S. Government
Agency Obligations 77.2%

 

fid284

Asset-Backed
Securities 0.7%

 

fid286

Asset-Backed
Securities 0.8%

 

fid110

CMOs and Other Mortgage Related
Securities 4.2%

 

fid257

CMOs and Other Mortgage Related
Securities 6.2%

 

fid298

Other Investments 0.0%

 

fid300

Other Investments 0.1%

 

fid119

Short-Term
Investments and
Net Other Assets† (9.2)%

 

fid355

Short-Term
Investments and
Net Other Assets† (3.9)%

 

* Foreign investments

3.5%

 

** Foreign investments

4.7%

 

* Futures and swaps

0.0%

 

** Futures and swaps

0.7%

 

fid371

† Short-Term Investments and Net Other Assets are not included in the pie chart.

A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com.

Semiannual Report

Investments February 28, 2009 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 17.7%

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 1.5%

Auto Components - 0.1%

DaimlerChrysler NA Holding Corp.:

5.75% 9/8/11

$ 5,542

$ 5,218

5.875% 3/15/11

2,058

1,959

 

7,177

Diversified Consumer Services - 0.1%

President and Fellows of Harvard College 5.625% 10/1/38

7,700

7,661

Hotels, Restaurants & Leisure - 0.1%

McDonald's Corp.:

5.35% 3/1/18

2,317

2,389

6.3% 3/1/38

7,045

7,255

 

9,644

Household Durables - 0.2%

Fortune Brands, Inc.:

5.125% 1/15/11

4,199

4,138

5.875% 1/15/36

14,806

10,223

 

14,361

Media - 0.8%

AOL Time Warner, Inc.:

6.75% 4/15/11

1,864

1,892

6.875% 5/1/12

2,418

2,437

7.625% 4/15/31

3,250

3,049

Comcast Cable Communications, Inc. 6.75% 1/30/11

506

524

Comcast Corp.:

4.95% 6/15/16

1,862

1,664

5.5% 3/15/11

378

384

5.7% 5/15/18

2,940

2,717

5.85% 1/15/10

61

62

COX Communications, Inc.:

4.625% 1/15/10

2,121

2,103

4.625% 6/1/13

4,425

4,001

6.45% 12/1/36 (c)

1,829

1,467

6.95% 6/1/38 (c)

906

759

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

3,160

2,744

News America, Inc.:

4.75% 3/15/10

242

236

5.3% 12/15/14

868

817

6.15% 3/1/37

3,955

3,078

6.9% 3/1/19 (c)

2,899

2,745

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Time Warner Cable, Inc.:

5.4% 7/2/12

$ 2,421

$ 2,329

5.85% 5/1/17

5,801

5,246

6.2% 7/1/13

2,302

2,229

6.75% 7/1/18

1,162

1,102

7.3% 7/1/38

8,000

7,298

8.75% 2/14/19

3,313

3,536

Time Warner, Inc.:

5.875% 11/15/16

6,061

5,679

6.5% 11/15/36

7,160

6,127

Viacom, Inc.:

6.125% 10/5/17

5,420

4,461

6.75% 10/5/37

1,865

1,351

 

70,037

Multiline Retail - 0.0%

Macy's Retail Holdings, Inc. 7.875% 7/15/15

2,324

1,667

Specialty Retail - 0.2%

Home Depot, Inc. 2.0463% 12/16/09 (f)

4,237

4,114

Staples, Inc. 9.75% 1/15/14

17,926

18,807

 

22,921

TOTAL CONSUMER DISCRETIONARY

133,468

CONSUMER STAPLES - 1.6%

Beverages - 0.3%

Anheuser-Busch Companies, Inc. 6.45% 9/1/37

73

62

Diageo Capital PLC:

5.2% 1/30/13

1,028

1,046

5.75% 10/23/17

10,685

10,644

FBG Finance Ltd. 5.125% 6/15/15 (c)

2,908

2,470

PepsiCo, Inc. 7.9% 11/1/18

11,180

13,435

 

27,657

Food & Staples Retailing - 0.3%

CVS Caremark Corp.:

2.5025% 6/1/10 (f)

2,275

2,205

6.036% 12/10/28 (c)

7,680

5,862

6.302% 6/1/37 (f)

17,507

10,767

Wal-Mart Stores, Inc. 6.5% 8/15/37

8,275

8,860

 

27,694

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Food Products - 0.5%

Cargill, Inc.:

6% 11/27/17 (c)

$ 700

$ 653

6.625% 9/15/37 (c)

7,855

6,861

General Mills, Inc. 5.65% 2/15/19

13,501

13,490

Kraft Foods, Inc.:

5.625% 11/1/11

3,626

3,789

6% 2/11/13

7,895

8,230

6.125% 2/1/18

5,497

5,461

6.75% 2/19/14

535

571

6.875% 2/1/38

11,063

10,973

 

50,028

Personal Products - 0.0%

Avon Products, Inc. 4.8% 3/1/13

1,773

1,730

Tobacco - 0.5%

Altria Group, Inc. 9.7% 11/10/18

6,065

6,350

Philip Morris International, Inc.:

4.875% 5/16/13

8,937

9,033

5.65% 5/16/18

6,789

6,590

6.375% 5/16/38

11,480

11,292

Reynolds American, Inc.:

6.75% 6/15/17

2,899

2,448

7.25% 6/15/37

7,220

5,256

 

40,969

TOTAL CONSUMER STAPLES

148,078

ENERGY - 2.1%

Energy Equipment & Services - 0.1%

DCP Midstream LLC 9.75% 3/15/19 (c)

833

808

Noble Drilling Corp. 5.875% 6/1/13

1,074

1,042

Transocean Ltd. 5.25% 3/15/13

3,433

3,400

Weatherford International Ltd.:

4.95% 10/15/13

1,726

1,471

5.15% 3/15/13

2,255

1,995

7% 3/15/38

5,580

3,973

 

12,689

Oil, Gas & Consumable Fuels - 2.0%

Anadarko Petroleum Corp. 6.45% 9/15/36

2,675

2,043

BW Group Ltd. 6.625% 6/28/17 (c)

2,929

1,538

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Canadian Natural Resources Ltd.:

5.15% 2/1/13

$ 4,456

$ 4,260

5.7% 5/15/17

1,148

1,014

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

4,083

4,060

ConocoPhillips:

4.75% 2/1/14

1,045

1,057

5.75% 2/1/19

2,902

2,840

6.5% 2/1/39

7,529

7,297

Devon Energy Corp. 5.625% 1/15/14

2,321

2,339

Duke Capital LLC:

6.25% 2/15/13

991

982

6.75% 2/15/32

2,765

2,159

Duke Energy Field Services:

5.375% 10/15/15 (c)

1,211

993

6.45% 11/3/36 (c)

7,000

4,932

6.875% 2/1/11

2,291

2,286

7.875% 8/16/10

1,028

1,040

El Paso Natural Gas Co. 5.95% 4/15/17

926

792

Empresa Nacional de Petroleo 6.75% 11/15/12 (c)

1,678

1,684

Enbridge Energy Partners LP:

5.875% 12/15/16

1,789

1,534

6.5% 4/15/18

2,350

2,050

9.875% 3/1/19

2,902

3,012

EnCana Holdings Finance Corp. 5.8% 5/1/14

2,861

2,777

Enterprise Products Operating LP:

4.625% 10/15/09

1,928

1,919

5.6% 10/15/14

1,937

1,799

5.65% 4/1/13

690

660

Gazstream SA 5.625% 7/22/13 (c)

1,088

974

Gulf South Pipeline Co. LP 5.75% 8/15/12 (c)

3,826

3,475

Lukoil International Finance BV 6.656% 6/7/22 (c)

1,211

823

Nakilat, Inc. 6.067% 12/31/33 (c)

9,255

6,042

Nexen, Inc.:

5.05% 11/20/13

3,809

3,460

5.2% 3/10/15

900

772

5.875% 3/10/35

3,710

2,529

6.4% 5/15/37

12,035

8,493

NGPL PipeCo LLC 6.514% 12/15/12 (c)

8,099

7,830

Pemex Project Funding Master Trust:

2.82% 12/3/12 (c)(f)

2,040

1,744

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Pemex Project Funding Master Trust: - continued

3.2963% 6/15/10 (c)(f)

$ 1,233

$ 1,190

Petro-Canada:

6.05% 5/15/18

3,650

3,009

6.8% 5/15/38

8,445

6,219

Petroleos Mexicanos 8% 5/3/19 (c)

10,719

10,531

Plains All American Pipeline LP:

6.125% 1/15/17

1,795

1,529

6.65% 1/15/37

2,795

2,042

7.75% 10/15/12

2,336

2,352

Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (c)

2,959

3,048

Ras Laffan Liquid Natural Gas Co. Ltd. III:

5.832% 9/30/16 (c)

1,330

1,163

6.332% 9/30/27 (c)

5,465

4,271

Rockies Express Pipeline LLC 6.25% 7/15/13 (c)

2,694

2,622

Source Gas LLC 5.9% 4/1/17 (c)

3,510

2,631

Suncor Energy, Inc.:

6.1% 6/1/18

11,244

9,266

6.85% 6/1/39

9,935

7,228

TEPPCO Partners LP:

5.9% 4/15/13

3,208

2,897

6.65% 4/15/18

4,513

3,805

7.55% 4/15/38

8,655

6,729

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

7,230

6,754

TransCanada PipeLines Ltd. 6.35% 5/15/67 (f)

2,348

1,421

Valero Energy Corp. 6.625% 6/15/37

3,620

2,764

XTO Energy, Inc.:

5% 1/31/15

1,733

1,609

5.65% 4/1/16

1,189

1,116

5.9% 8/1/12

4,410

4,371

 

179,776

TOTAL ENERGY

192,465

FINANCIALS - 6.9%

Capital Markets - 1.8%

Bear Stearns Companies, Inc.:

1.2625% 10/22/10 (f)

2,318

2,230

1.346% 8/21/09 (f)

1,159

1,141

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Bear Stearns Companies, Inc.: - continued

1.3525% 7/16/09 (f)

$ 570

$ 563

2.4556% 9/9/09 (f)

1,259

1,239

3.25% 3/25/09

680

680

4.245% 1/7/10

1,206

1,182

4.5% 10/28/10

1,816

1,802

5.3% 10/30/15

1,159

1,069

5.85% 7/19/10

3,733

3,765

6.95% 8/10/12

1,338

1,385

BlackRock, Inc. 6.25% 9/15/17

11,603

11,034

Goldman Sachs Group, Inc.:

5.25% 10/15/13

5,848

5,410

5.45% 11/1/12

3,733

3,598

5.625% 1/15/17

7,000

5,614

5.95% 1/18/18

3,951

3,532

6.15% 4/1/18

1,951

1,773

6.6% 1/15/12

1,695

1,700

6.75% 10/1/37

24,510

17,427

6.875% 1/15/11

270

274

7.5% 2/15/19

1,741

1,724

Janus Capital Group, Inc.:

6.125% 9/15/11

2,377

1,664

6.5% 6/15/12

4,133

2,791

JPMorgan Chase Capital XX 6.55% 9/29/36

14,550

10,291

Lazard Group LLC:

6.85% 6/15/17

3,804

2,843

7.125% 5/15/15

1,364

1,035

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

10,924

9,752

6.15% 4/25/13

4,132

3,634

6.4% 8/28/17

3,140

2,470

6.875% 4/25/18

4,925

4,098

Morgan Stanley:

1.6475% 1/9/12 (f)

1,114

915

1.6975% 1/9/14 (f)

4,955

3,321

4.75% 4/1/14

4,287

3,595

5.05% 1/21/11

3,016

2,974

5.25% 11/2/12

242

228

5.45% 1/9/17

236

204

5.95% 12/28/17

5,745

5,070

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley: - continued

6.6% 4/1/12

$ 5,666

$ 5,626

6.625% 4/1/18

5,055

4,668

6.75% 4/15/11

828

831

Northern Trust Corp. 5.5% 8/15/13

2,607

2,697

Scotland International Finance No. 2 BV 7.7% 8/15/10 (c)

968

971

The Bank of New York, Inc. 4.95% 11/1/12

3,828

3,850

UBS AG Stamford Branch:

5.75% 4/25/18

14,066

12,299

5.875% 12/20/17

10,218

9,053

 

162,022

Commercial Banks - 1.5%

American Express Bank FSB:

5.5% 4/16/13

4,052

3,835

6% 9/13/17

615

545

ANZ National International Ltd. 6.2% 7/19/13 (c)

1,088

1,052

Bank of America NA:

5.3% 3/15/17

3,500

2,583

6% 10/15/36

2,419

1,663

Bank One Corp.:

5.25% 1/30/13

921

895

7.875% 8/1/10

685

707

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

3,510

1,695

BB&T Corp. 6.5% 8/1/11

1,231

1,255

Chase Manhattan Corp. 7.875% 6/15/10

1,538

1,574

Credit Suisse First Boston 6% 2/15/18

15,651

14,199

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

9,285

8,964

DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (c)(f)

4,518

3,569

Export-Import Bank of Korea:

5.125% 2/14/11

2,892

2,795

5.25% 2/10/14 (c)

559

502

5.5% 10/17/12

2,235

2,116

Fifth Third Bancorp:

4.5% 6/1/18

122

77

8.25% 3/1/38

2,079

1,507

HBOS PLC 6.75% 5/21/18 (c)

6,346

5,094

HSBC Holdings PLC 6.5% 9/15/37

10,000

8,704

JPMorgan Chase Bank 6% 10/1/17

2,075

1,963

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

KeyBank NA:

5.8% 7/1/14

$ 1,109

$ 988

7% 2/1/11

1,113

1,100

Korea Development Bank:

3.875% 3/2/09

3,544

3,544

4.625% 9/16/10

1,816

1,767

4.75% 7/20/09

928

924

National City Bank, Cleveland:

4.15% 8/1/09

1,889

1,876

4.5% 3/15/10

2,915

2,896

PNC Funding Corp.:

1.3144% 1/31/12 (f)

5,926

4,714

7.5% 11/1/09

2,007

2,000

Rabobank Capital Funding Trust II 5.26% (c)(f)

563

242

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

4,165

2,916

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

12,842

10,271

UniCredit Luxembourg Finance SA 5.584% 1/13/17 (c)(f)

2,905

1,307

Union Planters Corp. 7.75% 3/1/11

594

577

UnionBanCal Corp. 5.25% 12/16/13

656

612

Wachovia Bank NA:

4.875% 2/1/15

1,394

1,244

6.6% 1/15/38

10,000

8,807

Wachovia Corp.:

1.2244% 10/15/11 (f)

3,978

3,529

1.255% 4/23/12 (f)

537

463

2.2525% 12/1/09 (f)

1,076

1,063

5.625% 10/15/16

3,367

2,994

5.75% 6/15/17

2,905

2,725

Wells Fargo & Co.:

4.2% 1/15/10

2,610

2,607

5.625% 12/11/17

10,972

10,414

Wells Fargo Bank NA, San Francisco 6.45% 2/1/11

575

581

 

135,455

Consumer Finance - 0.8%

American Express Co. 8.15% 3/19/38

8,500

8,188

American Express Credit Corp. 5.875% 5/2/13

577

530

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

5,465

2,173

Capital One Financial Corp. 2.4694% 9/10/09 (f)

3,246

3,125

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Consumer Finance - continued

Discover Financial Services:

2.6288% 6/11/10 (f)

$ 3,984

$ 3,530

6.45% 6/12/17

2,263

1,712

General Electric Capital Corp.:

5.625% 9/15/17

7,044

6,139

5.625% 5/1/18

15,000

12,850

6.375% 11/15/67 (f)

9,000

5,218

Household Finance Corp.:

6.375% 10/15/11

1,842

1,794

7% 5/15/12

464

461

HSBC Finance Corp.:

5.25% 1/14/11

1,296

1,272

5.25% 1/15/14

1,044

976

MBNA America Bank NA 7.125% 11/15/12 (c)

687

659

MBNA Corp. 7.5% 3/15/12

1,593

1,470

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

4,205

3,951

ORIX Corp. 5.48% 11/22/11

381

264

SLM Corp.:

1.2994% 7/27/09 (f)

2,472

2,301

1.3194% 7/26/10 (f)

11,189

9,219

1.3894% 10/25/11 (f)

2,321

1,626

2.1963% 3/15/11 (f)

111

84

4.5% 7/26/10

8,438

6,671

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

408

348

 

74,561

Diversified Financial Services - 1.1%

Bank of America Corp.:

5.75% 12/1/17

4,835

4,080

7.4% 1/15/11

8,580

7,966

BTM Curacao Holding NV 1.8975% 12/19/16 (c)(f)

460

355

CIT Group, Inc.:

1.3866% 6/8/09 (f)

1,161

1,110

4.75% 12/15/10

814

618

5.4% 2/13/12

2,432

1,836

Citigroup, Inc.:

1.3356% 5/18/11 (f)

2,784

2,329

5.3% 10/17/12

15,244

13,522

5.5% 4/11/13

13,899

12,586

6.125% 5/15/18

3,731

3,217

6.5% 1/18/11

1,295

1,221

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Diversified Financial Services - continued

Citigroup, Inc.: - continued

6.5% 8/19/13

$ 6,095

$ 5,682

CME Group, Inc. 5.75% 2/15/14

501

504

GlaxoSmithKline Capital, Inc.:

5.65% 5/15/18

8,585

8,839

6.375% 5/15/38

7,218

7,588

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

2,968

594

International Lease Finance Corp.:

5.4% 2/15/12

2,837

1,830

5.65% 6/1/14

11,005

6,436

6.375% 3/25/13

1,489

864

6.625% 11/15/13

2,695

1,536

JPMorgan Chase & Co.:

4.891% 9/1/15 (f)

2,703

2,171

5.6% 6/1/11

3,066

3,126

5.75% 1/2/13

2,196

2,169

6.75% 2/1/11

372

380

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

277

257

Prime Property Funding, Inc.:

5.125% 6/1/15 (c)

1,080

713

5.5% 1/15/14 (c)

688

471

5.7% 4/15/17 (c)

1,680

1,076

TransCapitalInvest Ltd. 5.67% 3/5/14 (c)

3,208

2,358

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

2,301

1,012

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

4,961

2,019

ZFS Finance USA Trust IV 5.875% 5/9/32 (c)(f)

2,477

954

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

4,235

1,673

 

101,092

Insurance - 0.6%

Assurant, Inc.:

5.625% 2/15/14

1,894

1,564

6.75% 2/15/34

1,948

1,216

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

553

427

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

1,477

916

Jackson National Life Global Funding 5.375% 5/8/13 (c)

746

682

Liberty Mutual Group, Inc. 6.5% 3/15/35 (c)

589

358

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

MetLife, Inc.:

5% 6/15/15

$ 1,153

$ 1,070

6.125% 12/1/11

981

983

7.717% 2/15/19

14,148

13,651

Metropolitan Life Global Funding I:

4.625% 8/19/10 (c)

3,268

3,183

5.125% 4/10/13 (c)

554

529

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

1,637

1,652

Monumental Global Funding III 5.5% 4/22/13 (c)

2,181

1,922

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

3,354

3,272

Prudential Financial, Inc.:

5.15% 1/15/13

2,146

1,920

5.4% 6/13/35

447

264

5.5% 3/15/16

421

352

5.7% 12/14/36

380

232

8.875% 6/15/68 (f)

2,944

1,678

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

3,311

1,556

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

5,133

4,046

The Chubb Corp.:

5.75% 5/15/18

4,175

4,015

6.5% 5/15/38

3,510

3,264

The St. Paul Travelers Companies, Inc. 8.125% 4/15/10

1,238

1,258

The Travelers Companies, Inc. 6.25% 6/15/37

8,350

7,620

 

57,630

Real Estate Investment Trusts - 0.9%

AMB Property LP 5.9% 8/15/13

2,556

1,772

Arden Realty LP 5.2% 9/1/11

1,327

1,337

AvalonBay Communities, Inc.:

4.95% 3/15/13

363

321

5.5% 1/15/12

2,371

2,209

6.125% 11/1/12

8,625

8,070

6.625% 9/15/11

810

781

Brandywine Operating Partnership LP:

4.5% 11/1/09

3,058

2,947

5.625% 12/15/10

4,041

3,570

5.75% 4/1/12

2,528

1,390

BRE Properties, Inc.:

4.875% 5/15/10

2,559

2,408

5.75% 9/1/09

605

602

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

Camden Property Trust:

4.375% 1/15/10

$ 1,465

$ 1,319

5.375% 12/15/13

650

533

5.875% 11/30/12

2,931

2,521

Colonial Properties Trust 4.75% 2/1/10

5,599

5,354

CPG Partners LP 6% 1/15/13

1,008

896

Developers Diversified Realty Corp.:

4.625% 8/1/10

2,984

2,106

5% 5/3/10

2,220

1,554

5.25% 4/15/11

2,410

1,186

5.375% 10/15/12

1,273

610

Duke Realty LP:

4.625% 5/15/13

621

418

5.25% 1/15/10

449

428

5.4% 8/15/14

5,172

3,528

5.625% 8/15/11

2,929

2,496

5.875% 8/15/12

1,038

795

5.95% 2/15/17

630

389

6.25% 5/15/13

6,720

5,040

6.5% 1/15/18

4,915

3,041

Equity One, Inc.:

6% 9/15/17

846

558

6.25% 1/15/17

489

333

Federal Realty Investment Trust:

5.4% 12/1/13

409

311

6% 7/15/12

2,905

2,390

6.2% 1/15/17

614

467

Hospitality Properties Trust 5.625% 3/15/17

1,189

662

HRPT Properties Trust:

5.75% 11/1/15

881

581

6.25% 6/15/17

1,221

754

6.65% 1/15/18

612

389

Liberty Property LP:

5.125% 3/2/15

840

610

5.5% 12/15/16

7,698

5,309

Mack-Cali Realty LP:

5.05% 4/15/10

803

755

7.25% 3/15/09

2,889

2,884

7.75% 2/15/11

967

909

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

Simon Property Group LP:

4.6% 6/15/10

$ 1,086

$ 1,040

4.875% 8/15/10

668

640

5% 3/1/12

360

310

5.375% 6/1/11

615

573

5.6% 9/1/11

2,692

2,503

5.75% 5/1/12

1,255

1,092

7.75% 1/20/11

813

777

Tanger Properties LP 6.15% 11/15/15

24

18

Washington (REIT) 5.95% 6/15/11

3,602

3,138

 

84,624

Real Estate Management & Development - 0.1%

ERP Operating LP 5.5% 10/1/12

3,403

3,100

Post Apartment Homes LP:

5.45% 6/1/12

1,342

1,127

6.3% 6/1/13

2,374

1,947

Regency Centers LP:

4.95% 4/15/14

605

442

5.25% 8/1/15

2,113

1,466

5.875% 6/15/17

1,046

726

 

8,808

Thrifts & Mortgage Finance - 0.1%

Countrywide Financial Corp.:

1.6863% 3/24/09 (f)

2,286

2,281

4.5% 6/15/10

475

461

5.8% 6/7/12

2,889

2,648

Countrywide Home Loans, Inc.:

4.125% 9/15/09

3,811

3,776

6.25% 4/15/09

602

603

Independence Community Bank Corp.:

3.585% 6/20/13 (f)

367

264

3.75% 4/1/14 (f)

4,178

2,799

4.9% 9/23/10

1,680

1,571

World Savings Bank FSB 4.125% 12/15/09

514

511

 

14,914

TOTAL FINANCIALS

639,106

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

HEALTH CARE - 0.4%

Biotechnology - 0.0%

Amgen, Inc. 5.85% 6/1/17

$ 2,928

$ 2,989

Health Care Providers & Services - 0.1%

Coventry Health Care, Inc.:

5.95% 3/15/17

1,731

1,132

6.3% 8/15/14

3,584

2,609

 

3,741

Pharmaceuticals - 0.3%

AstraZeneca PLC:

5.9% 9/15/17

4,505

4,748

6.45% 9/15/37

3,250

3,432

Bristol-Myers Squibb Co. 5.45% 5/1/18

2,905

2,964

Novartis Capital Corp. 4.125% 2/10/14

12,903

13,023

Roche Holdings, Inc. 5% 3/1/14 (c)

5,887

5,954

Teva Pharmaceutical Finance LLC 5.55% 2/1/16

949

933

 

31,054

TOTAL HEALTH CARE

37,784

INDUSTRIALS - 0.9%

Aerospace & Defense - 0.2%

BAE Systems Holdings, Inc.:

4.75% 8/15/10 (c)

2,615

2,609

6.4% 12/15/11 (c)

810

839

Bombardier, Inc.:

6.3% 5/1/14 (c)

7,655

5,129

7.45% 5/1/34 (c)

1,860

1,088

United Technologies Corp. 6.125% 2/1/19

4,000

4,244

 

13,909

Airlines - 0.3%

American Airlines, Inc. pass-thru trust certificates:

6.855% 10/15/10

74

73

6.978% 10/1/12

409

378

7.024% 4/15/11

2,803

2,719

7.858% 4/1/13

5,382

4,655

Continental Airlines, Inc.:

6.648% 9/15/17

3,197

2,526

6.82% 5/1/18

219

167

6.9% 7/2/19

861

693

7.056% 3/15/11

1,742

1,690

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Airlines - continued

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

6.821% 8/10/22

$ 374

$ 271

7.57% 11/18/10

11,089

10,146

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

2,247

1,618

8.36% 7/20/20

1,530

1,178

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

Class 1A, 6.636% 1/2/24

560

401

6.071% 9/1/14

359

348

6.201% 3/1/10

229

216

6.602% 9/1/13

649

613

 

27,692

Building Products - 0.0%

Masco Corp. 2.3988% 3/12/10 (f)

1,079

968

Industrial Conglomerates - 0.3%

Covidien International Finance SA:

5.15% 10/15/10

2,504

2,564

5.45% 10/15/12

613

627

6% 10/15/17

2,902

2,923

6.55% 10/15/37

4,250

4,225

General Electric Co. 5.25% 12/6/17

18,540

17,064

 

27,403

Machinery - 0.0%

Atlas Copco AB 5.6% 5/22/17 (c)

605

575

Road & Rail - 0.1%

CSX Corp. 6.25% 4/1/15

2,295

2,136

Norfolk Southern Corp. 5.75% 1/15/16 (c)

10,000

9,713

 

11,849

TOTAL INDUSTRIALS

82,396

INFORMATION TECHNOLOGY - 0.3%

Communications Equipment - 0.2%

Cisco Systems, Inc.:

4.95% 2/15/19

3,479

3,362

5.9% 2/15/39

12,416

11,561

 

14,923

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - 0.1%

Tyco Electronics Group SA:

5.95% 1/15/14

$ 2,922

$ 2,528

6% 10/1/12

3,840

3,385

6.55% 10/1/17

2,338

1,763

7.125% 10/1/37

2,475

1,615

 

9,291

Office Electronics - 0.0%

Xerox Corp. 5.5% 5/15/12

1,586

1,470

Semiconductors & Semiconductor Equipment - 0.0%

National Semiconductor Corp. 6.15% 6/15/12

1,470

1,153

TOTAL INFORMATION TECHNOLOGY

26,837

MATERIALS - 0.5%

Chemicals - 0.0%

E.I. du Pont de Nemours & Co. 5% 1/15/13

467

477

Lubrizol Corp. 8.875% 2/1/19

919

942

 

1,419

Construction Materials - 0.0%

CRH America, Inc. 6% 9/30/16

1,816

1,296

Containers & Packaging - 0.1%

Pactiv Corp.:

5.875% 7/15/12

1,697

1,578

6.4% 1/15/18

1,732

1,412

Sealed Air Corp. 6.95% 5/15/09 (c)

643

646

 

3,636

Metals & Mining - 0.4%

BHP Billiton Financial USA Ltd. 5.125% 3/29/12

1,957

2,001

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

1,983

2,042

Rio Tinto Finance Ltd.:

5.875% 7/15/13

3,233

2,939

6.5% 7/15/18

9,079

8,021

7.125% 7/15/28

8,480

6,963

United States Steel Corp.:

5.65% 6/1/13

1,470

1,203

6.65% 6/1/37

5,515

3,646

Vale Overseas Ltd. 6.25% 1/23/17

9,395

9,042

 

35,857

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

MATERIALS - continued

Paper & Forest Products - 0.0%

International Paper Co.:

5.85% 10/30/12

$ 147

$ 131

7.4% 6/15/14

2,565

2,063

 

2,194

TOTAL MATERIALS

44,402

TELECOMMUNICATION SERVICES - 1.4%

Diversified Telecommunication Services - 1.2%

AT&T Broadband Corp. 8.375% 3/15/13

2,560

2,731

AT&T, Inc.:

5.8% 2/15/19

8,706

8,454

6.3% 1/15/38

838

753

6.7% 11/15/13

1,162

1,229

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

3,540

3,554

British Telecommunications PLC:

8.625% 12/15/10

2,692

2,805

9.125% 12/15/30

4,515

4,306

Deutsche Telekom International Financial BV:

5.25% 7/22/13

2,425

2,433

6.75% 8/20/18

3,595

3,677

SBC Communications, Inc.:

5.1% 9/15/14

2,149

2,131

5.875% 2/1/12

2,707

2,797

5.875% 8/15/12

968

1,004

6.15% 9/15/34

5,270

4,681

6.45% 6/15/34

11,795

10,828

Sprint Capital Corp. 6.875% 11/15/28

20,117

11,115

Telecom Italia Capital SA:

4% 1/15/10

4,844

4,760

4.95% 9/30/14

3,178

2,738

5.25% 10/1/15

4,571

3,856

6.999% 6/4/18

1,776

1,603

Telefonica Emisiones SAU:

1.555% 2/4/13 (f)

2,381

2,046

6.421% 6/20/16

1,151

1,169

7.045% 6/20/36

2,951

3,008

Telefonos de Mexico SA de CV 4.75% 1/27/10

6,144

6,205

Verizon Communications, Inc.:

6.25% 4/1/37

3,121

2,872

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Verizon Communications, Inc.: - continued

6.9% 4/15/38

$ 6,025

$ 5,991

Verizon Global Funding Corp.:

5.85% 9/15/35

3,190

2,804

7.25% 12/1/10

2,715

2,867

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

882

907

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

2,628

2,685

 

106,009

Wireless Telecommunication Services - 0.2%

America Movil SAB de CV:

4.125% 3/1/09

1,204

1,204

5.625% 11/15/17

1,792

1,666

6.125% 11/15/37

8,365

6,587

Verizon Wireless Capital LLC:

5.55% 2/1/14 (c)

2,352

2,338

8.5% 11/15/18 (c)

3,486

3,924

Vodafone Group PLC:

5% 12/16/13

2,275

2,281

5.5% 6/15/11

2,735

2,774

7.75% 2/15/10

1,830

1,902

 

22,676

TOTAL TELECOMMUNICATION SERVICES

128,685

UTILITIES - 2.1%

Electric Utilities - 1.5%

AmerenUE 6.4% 6/15/17

2,959

2,886

Cleveland Electric Illuminating Co.:

5.65% 12/15/13

4,074

3,879

8.875% 11/15/18

9,172

10,133

Commonwealth Edison Co.:

5.4% 12/15/11

6,418

6,527

5.8% 3/15/18

9,945

9,447

Duke Energy Carolinas LLC:

5.25% 1/15/18

4,355

4,394

7% 11/15/18

620

708

EDP Finance BV:

5.375% 11/2/12 (c)

1,975

1,942

6% 2/2/18 (c)

10,252

9,520

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Enel Finance International SA:

5.7% 1/15/13 (c)

$ 826

$ 818

6.25% 9/15/17 (c)

3,380

2,973

Exelon Corp.:

4.9% 6/15/15

3,170

2,721

6.75% 5/1/11

659

659

FirstEnergy Corp. 6.45% 11/15/11

1,954

1,952

FPL Group Capital, Inc. 7.875% 12/15/15

1,532

1,731

Illinois Power Co. 6.125% 11/15/17

3,364

3,165

Jersey Central Power & Light Co. 7.35% 2/1/19

1,746

1,753

Nevada Power Co. 6.5% 8/1/18

1,555

1,467

Northern States Power Co. 5.25% 3/1/18

10,500

10,580

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

2,705

2,704

Oncor Electric Delivery Co. LLC 5.95% 9/1/13 (c)

3,583

3,516

PacifiCorp 6% 1/15/39

6,193

6,120

Pennsylvania Electric Co. 6.05% 9/1/17

757

694

Pepco Holdings, Inc.:

4% 5/15/10

2,210

2,160

6.125% 6/1/17

4,094

3,627

6.45% 8/15/12

3,695

3,608

7.45% 8/15/32

8,330

7,269

Potomac Electric Power Co. 6.5% 11/15/37

5,536

5,371

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

9,654

5,792

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

3,353

3,444

Sierra Pacific Power Co. 5.45% 9/1/13

1,545

1,495

Tampa Electric Co.:

6.15% 5/15/37

6,260

5,283

6.55% 5/15/36

5,500

4,905

West Penn Power Co. 5.95% 12/15/17 (c)

311

275

Wisconsin Electric Power Co. 6.25% 12/1/15

2,983

3,169

 

136,687

Gas Utilities - 0.0%

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

438

374

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

3,071

3,176

 

3,550

Independent Power Producers & Energy Traders - 0.2%

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

6,384

6,215

Duke Capital LLC 5.668% 8/15/14

2,036

1,879

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Independent Power Producers & Energy Traders - continued

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

$ 1,513

$ 1,398

PPL Energy Supply LLC 6.5% 5/1/18

6,485

5,617

 

15,109

Multi-Utilities - 0.4%

CenterPoint Energy, Inc. 5.95% 2/1/17

1,771

1,444

Dominion Resources, Inc.:

4.75% 12/15/10

3,894

3,918

6.3% 9/30/66 (f)

3,953

2,332

7.5% 6/30/66 (f)

5,042

3,277

DTE Energy Co. 7.05% 6/1/11

974

983

KeySpan Corp. 7.625% 11/15/10

490

511

MidAmerican Energy Holdings, Co.:

5.75% 4/1/18

3,750

3,726

5.875% 10/1/12

2,893

2,981

6.5% 9/15/37

7,605

7,333

National Grid PLC 6.3% 8/1/16

1,463

1,397

NiSource Finance Corp.:

5.25% 9/15/17

835

615

5.4% 7/15/14

1,334

1,047

5.45% 9/15/20

5,111

3,500

6.4% 3/15/18

1,532

1,203

7.875% 11/15/10

1,012

991

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

6,114

3,730

WPS Resources Corp. 6.11% 12/1/66 (f)

874

463

 

39,451

TOTAL UTILITIES

194,797

TOTAL NONCONVERTIBLE BONDS

(Cost $1,759,607)

1,628,018

U.S. Government and Government Agency Obligations - 37.9%

 

U.S. Government Agency Obligations - 11.8%

Fannie Mae:

2% 1/9/12

75,000

75,335

2.75% 2/5/14

76,000

75,973

3.625% 2/12/13

55,295

58,085

5% 10/15/11 (b)

100,000

108,243

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - continued

Fannie Mae: - continued

5% 2/16/12 (b)

$ 99,195

$ 107,844

Federal Home Loan Bank 3.625% 5/29/13

20,575

21,453

Freddie Mac:

2.125% 3/23/12 (b)

150,000

149,878

4% 6/12/13

20,038

20,969

4.875% 6/13/18 (b)

98,230

107,309

5.25% 7/18/11 (b)

295,417

320,165

5.75% 1/15/12

25,000

27,638

Tennessee Valley Authority 5.375% 4/1/56

5,395

5,852

U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A, 5.96% 8/1/09

850

869

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

1,079,613

U.S. Treasury Obligations - 26.1%

U.S. Treasury Bonds:

3.5% 2/15/39

66,660

64,004

4.5% 5/15/38

25,000

28,383

6.25% 5/15/30

107,000

141,508

8% 11/15/21

79,717

112,824

8.875% 8/15/17

44,250

62,313

8.875% 2/15/19

25,000

36,215

U.S. Treasury Notes:

0.875% 1/31/11 (b)

278,250

277,652

1.125% 1/15/12

100,000

99,281

1.375% 2/15/12

233,640

233,402

1.5% 12/31/13

47,590

46,605

1.75% 1/31/14

93,130

92,104

2.75% 2/15/19

277,750

270,806

2.875% 6/30/10

182,807

187,756

3.375% 6/30/13

414,570

442,456

3.75% 11/15/18

18,701

19,816

4.75% 8/15/17

175,210

198,644

5.125% 6/30/11

82,020

89,492

TOTAL U.S. TREASURY OBLIGATIONS

2,403,261

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $3,377,918)

3,482,874

U.S. Government Agency - Mortgage Securities - 20.7%

 

Principal Amount (000s)

Value (000s)

Fannie Mae - 17.8%

4.5% 5/1/18 to 12/1/23

$ 120,014

$ 122,800

5% 12/1/17 to 2/1/38

365,620

374,397

5% 3/1/39 (d)

20,000

20,347

5.5% 10/1/28 to 12/1/38

582,796

599,201

6% 8/1/22 to 7/1/37

358,652

372,870

6% 3/12/39 (d)(e)

32,000

33,056

6.5% 12/1/34 to 5/1/38

75,720

79,363

6.5% 3/12/39 (d)

36,500

38,160

11.5% 8/1/14

2

2

TOTAL FANNIE MAE

1,640,196

Freddie Mac - 1.3%

5% 4/1/38 to 6/1/38

31,459

32,035

6% 4/1/32 to 2/1/36

84,409

87,886

11.75% 9/1/13

8

9

TOTAL FREDDIE MAC

119,930

Government National Mortgage Association - 1.6%

5% 3/18/39 (d)

30,000

30,600

6% 11/15/34 to 12/15/38

75,171

77,901

6% 3/18/39 (d)

33,000

34,110

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

142,611

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,859,232)

1,902,737

Asset-Backed Securities - 0.5%

 

ACE Securities Corp. Home Equity Loan Trust Series 2005-SD1 Class A1, 0.8738% 11/25/50 (f)

187

170

Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class A2A, 0.5238% 10/25/36 (f)

199

193

Bear Stearns Asset Backed Securities I Trust Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (f)

706

540

C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (f)

388

334

Chase Issuance Trust Series 2005-A10 Class A10, 4.65% 12/17/12

10,000

10,062

Citibank Credit Card Issuance Trust Series 2006-A4 Class A4, 5.45% 5/10/13

10,000

10,106

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Countrywide Asset-Backed Certificates Trust Series 2007-BC2 Class 2A1, 0.5638% 6/25/37 (f)

$ 685

$ 583

First Franklin Mortgage Loan Trust Series 2005-FF9 Class A3, 0.7538% 10/25/35 (f)

9,289

7,166

HSBC Home Equity Loan Trust Series 2007-2 Class A3V, 0.69% 7/21/36 (f)

790

349

Morgan Stanley ABS Capital I Trust Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (f)

742

701

Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.5738% 4/25/37 (f)

1,118

849

Onyx Acceptance Owner Trust Series 2005-B Class A4, 4.34% 5/15/12

3,206

2,899

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.5638% 5/25/37 (f)

266

237

Series 2007-6 Class 2A1, 0.5338% 7/25/37 (f)

368

330

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1 Class 1A1, 0.5438% 9/25/36 (f)

585

559

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.5438% 2/25/37 (f)

538

474

Structured Asset Securities Corp. Series 2007-BC4 Class A3, 0.6394% 11/25/37 (f)

4,126

3,372

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.5638% 6/25/37 (f)

2,176

1,649

Wells Fargo Home Equity Trust:

Series 2006-2 Class A2, 0.5738% 7/25/36 (f)

1,504

1,359

Series 2007-2 Class A1, 0.5638% 4/25/37 (f)

968

798

TOTAL ASSET-BACKED SECURITIES

(Cost $41,785)

42,730

Collateralized Mortgage Obligations - 0.3%

 

Private Sponsor - 0.3%

Banc of America Mortgage Securities, Inc.:

Series 2004-A Class 2A2, 5.1951% 2/25/34 (f)

1,772

1,444

Series 2004-J Class 2A1, 4.7597% 11/25/34 (f)

755

587

Series 2004-L Class 2A1, 4.3695% 1/25/35 (f)

875

668

Series 2005-H Class 1A1, 5.3329% 9/25/35 (f)

214

154

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 5.1001% 10/25/34 (f)

3,115

2,398

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (f)

770

530

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.9482% 8/25/36 (f)

$ 2,592

$ 1,546

Series 2006-A2 Class 5A1, 5.1373% 11/25/33 (f)

3,817

3,275

Merrill Lynch Mortgage Investors Trust Series 2005-A2 Class A7, 4.4861% 2/25/35 (f)

2,928

1,894

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (f)

5,070

4,042

WaMu Mortgage pass-thru certificates:

Series 2003-AR10 Class A7, 4.669% 10/25/33 (f)

8,528

5,354

Series 2004-AR7 Class A6, 3.9389% 7/25/34 (f)

434

430

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 4.1875% 12/25/34 (f)

1,781

1,419

Series 2004-W:

Class A1, 4.5429% 11/25/34 (f)

1,665

1,329

Class A9, 4.5429% 11/25/34 (f)

3,473

2,184

Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (f)

1,397

1,089

Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (f)

1,817

1,389

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $30,787)

29,732

Commercial Mortgage Securities - 1.0%

 

Banc of America Commercial Mortgage, Inc. sequential payer Series 2007-1 Class A2, 5.381% 1/15/49

3,810

2,954

Bear Stearns Commercial Mortgage Securities Trust sequential payer Series 2007-PW16 Class A4, 5.7121% 6/11/40 (f)

15,870

10,522

Citigroup Commercial Mortgage Trust:

sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49

9,390

6,263

Series 2007-C6 Class A4, 5.7% 12/10/49 (f)

5,750

3,452

Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4 Class A2A, 5.237% 12/11/49

5,000

4,008

Credit Suisse Commercial Mortgage Trust sequential payer:

Series 2006-C4 Class A3, 5.467% 9/15/39

5,000

2,834

Series 2007-C2 Class A2, 5.448% 1/15/49 (f)

9,580

7,125

Series 2007-C3 Class A4, 5.723% 6/15/39 (f)

9,450

4,853

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C1 Class ASP, 0.9364% 1/15/37 (c)(f)(h)

$ 47,922

$ 795

GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 2/10/17

5,000

2,862

Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.9139% 7/10/38 (f)

10,980

7,646

GS Mortgage Securities Trust sequential payer Series 2007-GG10 Class A4, 5.7992% 8/10/45 (f)

5,000

2,892

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2 Class A2, 0.5913% 11/15/18 (c)(f)

5,000

3,000

sequential payer Series 2007-CB19 Class A4, 5.7465% 2/12/49 (f)

12,610

7,554

LB-UBS Commercial Mortgage Trust sequential payer:

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

1,488

1,452

Series 2007-C1 Class A3, 5.398% 2/15/40

5,000

3,118

Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2006-4 Class A2, 5.112% 12/12/49 (f)

995

800

Morgan Stanley Capital I Trust sequential payer:

Series 2007-IQ13 Class A4, 5.364% 3/15/44

5,000

3,106

Series 2007-T25 Class A2, 5.507% 11/12/49

1,445

962

Wachovia Bank Commercial Mortgage Trust:

sequential payer:

Series 2007-C31 Class A4, 5.509% 4/15/47

5,000

2,420

Series 2007-C32:

Class A2, 5.7357% 6/15/49 (f)

8,100

5,818

Class A3, 5.7407% 6/15/49 (f)

5,000

2,611

Series 2006-C23 Class A5, 5.416% 1/15/45 (f)

7,395

4,947

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $124,059)

91,994

Foreign Government and Government Agency Obligations - 0.0%

 

Chilean Republic 7.125% 1/11/12
(Cost $3,316)

3,016

3,291

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento:

5.2% 5/21/13

240

211

6.875% 3/15/12

390

373

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $588)

584

Bank Notes - 0.0%

 

Principal Amount (000s)

Value (000s)

National City Bank, Cleveland 2.3025% 3/1/13 (f)
(Cost $770)

$ 968

$ 755

Fixed-Income Funds - 21.9%

Shares

 

Fidelity Commercial Mortgage-Backed Securities Central Fund (g)

4,351,005

295,868

Fidelity Mortgage Backed Securities Central Fund (g)

17,145,752

1,714,061

TOTAL FIXED-INCOME FUNDS

(Cost $2,160,286)

2,009,929

Preferred Securities - 0.0%

Principal Amount (000s)

 

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

ING Groep NV 5.775% (f)

$ 1,042

329

MUFG Capital Finance 1 Ltd. 6.346% (f)

4,584

2,869

TOTAL PREFERRED SECURITIES

(Cost $3,398)

3,198

Cash Equivalents - 12.3%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at:

0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) #

$ 136,326

136,323

0.28%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) # (a)

993,787

993,764

TOTAL CASH EQUIVALENTS

(Cost $1,130,087)

1,130,087

TOTAL INVESTMENT PORTFOLIO - 112.3%

(Cost $10,491,833)

10,325,929

NET OTHER ASSETS - (12.3)%

(1,132,407)

NET ASSETS - 100%

$ 9,193,522

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 $206,480,000 or 2.2% of net assets.

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

(e) A portion of the security is subject to a forward commitment to sell.

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

(g) 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.

(h) 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)

$136,323,000 due 3/02/09 at 0.26%

Goldman, Sachs & Co.

$ 53,452

UBS Securities LLC

82,871

 

$ 136,323

$993,764,000 due 3/02/09 at 0.28%

J.P. Morgan Securities, Inc.

$ 993,764

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 Commercial Mortgage-Backed Securities Central Fund

$ 11,154

Fidelity Corporate Bond 1-10 Year Central Fund

24,694

Fidelity Mortgage Backed Securities Central Fund

46,596

Total

$ 82,444

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 Commercial Mortgage-Backed Securities Central Fund

$ 439,008

$ 11,154

$ 57,284

$ 295,868

12.7%

Fidelity Corporate Bond 1-10 Year Central Fund

954,065

21,684

911,082*

-

0.0%

Fidelity Mortgage Backed Securities Central Fund

1,695,961

46,597

59,922

1,714,061

23.4%

Total

$ 3,089,034

$ 79,435

$ 1,028,288

$ 2,009,929

* Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to
Financial Statements.

Other Information

The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities

$ 10,325,929

$ 2,009,929

$ 8,305,664

$ 10,336

Other Financial Instruments*

$ (133)

$ -

$ (133)

$ -

* Other financial instruments include Forward Commitments.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

(Amounts in thousands)

Investments in Securities

Beginning Balance

$ -

Total Realized Gain (Loss)

318

Total Unrealized Gain (Loss)

(1,155)

Cost of Purchases

7,996

Proceeds of Sales

(1,343)

Amortization/Accretion

35

Transfer in/out of Level 3

4,485

Ending Balance

$ 10,336

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At August 31, 2008, the fund had a capital loss carryforward of approximately $65,897,000 of which $10,950,000, $39,864,000, $1,806,000 and $13,277,000 will expire on August 31, 2013, 2014, 2015 and 2016, respectively.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amount)

February 28, 2009 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $970,372 and repurchase agreements of $1,130,087) - See accompanying schedule:

Unaffiliated issuers (cost $8,331,547)

$ 8,316,000

 

Fidelity Central Funds (cost $2,160,286)

2,009,929

 

Total Investments (cost $10,491,833)

 

$ 10,325,929

Commitment to sell securities on a delayed delivery basis

(128,765)

Receivable for securities sold on a delayed delivery basis

128,632

(133)

Receivable for investments sold, regular delivery

183,640

Cash

802

Receivable for fund shares sold

17,317

Interest receivable

53,044

Distributions receivable from Fidelity Central Funds

12,529

Prepaid expenses

75

Receivable from investment adviser for expense reductions

1,495

Other receivables

10

Total assets

10,594,708

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 199,494

Delayed delivery

156,309

Payable for fund shares redeemed

47,034

Distributions payable

807

Accrued management fee

2,471

Other affiliated payables

1,220

Other payables and accrued expenses

87

Collateral on securities loaned, at value

993,764

Total liabilities

1,401,186

 

 

 

Net Assets

$ 9,193,522

Net Assets consist of:

 

Paid in capital

$ 9,463,547

Undistributed net investment income

2,151

Accumulated undistributed net realized gain (loss) on investments

(106,139)

Net unrealized appreciation (depreciation) on investments

(166,037)

Net Assets, for 864,294 shares outstanding

$ 9,193,522

Net Asset Value, offering price and redemption price per share ($9,193,522 ÷ 864,294 shares)

$ 10.64

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

Semiannual Report

Financial Statements - continued

Statement of Operations

 Amounts in thousands

Six months ended February 28, 2009 (Unaudited)

 

 

 

Investment Income

 

 

Interest

 

$ 136,540

Income from Fidelity Central Funds

 

82,444

Total income

 

218,984

 

 

 

Expenses

Management fee

$ 14,459

Transfer agent fees

6,644

Accounting and security lending fees

534

Custodian fees and expenses

52

Independent trustees' compensation

17

Registration fees

133

Audit

58

Legal

14

Miscellaneous

60

Total expenses before reductions

21,971

Expense reductions

(7,674)

14,297

Net investment income

204,687

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

33,999

Fidelity Central Funds

(110,474)

 

Swap agreements

3,380

 

Total net realized gain (loss)

 

(73,095)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(7,937)

Swap agreements

(1,845)

Delayed delivery commitments

(149)

 

Total change in net unrealized appreciation (depreciation)

 

(9,931)

Net gain (loss)

(83,026)

Net increase (decrease) in net assets resulting from operations

$ 121,661

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

Semiannual Report

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended
February 28, 2009
(Unaudited)

Year ended
August 31,
2008

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income

$ 204,687

$ 397,577

Net realized gain (loss)

(73,095)

31,565

Change in net unrealized appreciation (depreciation)

(9,931)

(67,613)

Net increase (decrease) in net assets resulting from operations

121,661

361,529

Distributions to shareholders from net investment income

(210,710)

(409,643)

Share transactions
Proceeds from sales of shares

2,232,384

3,982,046

Reinvestment of distributions

205,610

399,552

Cost of shares redeemed

(2,109,450)

(3,066,074)

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

328,544

1,315,524

Total increase (decrease) in net assets

239,495

1,267,410

 

 

 

Net Assets

Beginning of period

8,954,027

7,686,617

End of period (including undistributed net investment income of $2,151 and undistributed net investment income of $8,174, respectively)

$ 9,193,522

$ 8,954,027

Other Information

Shares

Sold

210,151

366,236

Issued in reinvestment of distributions

19,441

36,812

Redeemed

(199,524)

(283,011)

Net increase (decrease)

30,068

120,037

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

Semiannual Report

Financial Highlights

 

Six months ended February 28, 2009
Years ended August 31,
 
(Unaudited)
2008
2007
2006 G
2006 K
2005 K
2004 J

Selected Per-Share Data

 

 

 

 

 

 

 

Net asset value, beginning of period

$ 10.73

$ 10.76

$ 10.82

$ 10.87

$ 11.08

$ 11.33

$ 11.36

Income from Investment Operations

 

 

 

 

 

 

 

Net investment income D

  .241

  .503

  .537

  .266

  .473

  .415

  .413

Net realized and unrealized gain (loss)

  (.083)

  (.012)

  (.078)

  (.067)

  (.183)

  (.145)

  .153

Total from investment operations

  .158

  .491

  .459

  .199

  .290

  .270

  .566

Distributions from net investment income

  (.248)

  (.521)

  (.519)

  (.249)

  (.460)

  (.420)

  (.416)

Distributions from net realized gain

  -

  -

  -

  -

  (.040)

  (.100)

  (.180)

Total distributions

  (.248)

  (.521)

  (.519)

  (.249)

  (.500)

  (.520)

  (.596)

Net asset value, end of period

$ 10.64

$ 10.73

$ 10.76

$ 10.82

$ 10.87

$ 11.08

$ 11.33

Total Return B, C

  1.51%

  4.61%

  4.31%

  1.89%

  2.67%

  2.46%

  5.14%

Ratios to Average Net Assets E, H

 

 

 

 

 

 

 

Expenses before reductions

  .49% A

  .48%

  .49%

  .50% A

  .51%

  .53%

  .49%

Expenses net of fee waivers, if any

  .32% A

  .32%

  .32%

  .32% A

  .32%

  .32%

  .32%

Expenses net of all reductions

  .32% A

  .32%

  .31%

  .31% A

  .31%

  .32%

  .32%

Net investment income

  4.57% A

  4.64%

  4.96%

  4.94% A

  4.31%

  3.73%

  3.65%

Supplemental Data

 

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 9,194

$ 8,954

$ 7,687

$ 6,129

$ 5,784

$ 5,382

$ 4,878

Portfolio turnover rate F

  117% A

  151%

  174% I

  82% A

  108%

  160%

  217%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the six month period ended August 31. The Fund changed its fiscal year end from February 28 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. I Portfolio turnover rate excludes securities received or delivered in-kind. J For the year ended February 29. K For the period ended February 28.

Semiannual Report

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

Notes to Financial Statements

For the period ended February 28, 2009 (Unaudited)

(Amounts in thousands except ratios)

1. Organization.

Fidelity U.S. Bond Index Fund (the Fund) is a fund of Fidelity Fixed-Income Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity Commercial Mortgage-Backed Securities Central Fund

Fidelity Investment Money Management, Inc. (FIMM)

Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed securities and repurchase agreements for those securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Corporate Bond 1-10 Year Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.

Delayed Delivery & When Issued Securities

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Mortgage Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.

Delayed Delivery & When Issued Securities

Futures

Repurchase Agreements

Swap Agreements

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

2. Investments in Fidelity Central Funds - continued

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.

3. Significant Accounting Policies.

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

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 dealer supplied prices. 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.

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 determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. 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 (NAV) calculation under these procedures may differ from published prices for the same securities.

Semiannual Report

3. Significant Accounting Policies - continued

Security Valuation - continued

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1

Quoted prices in active markets for identical securities.

Level 2

Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3

Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to swap agreements, prior period premium and discount on debt securities, market discount, partnerships(including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Unrealized appreciation

$ 174,908

Unrealized depreciation

(339,315)

Net unrealized appreciation (depreciation)

$ (164,407)

Cost for federal income tax purposes

$ 10,490,336

Semiannual Report

3. Significant Accounting Policies - continued

New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.

4. Operating Policies.

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

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Restricted Securities - continued

these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade

Semiannual Report

4. Operating Policies - continued

Swap Agreements - continued

or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $1,195,275 and $1,280,953, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .32% of the Fund's average net assets.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .15% of average net assets.

Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.

Other Affiliated Transaction. On February 20, 2009, the Fund redeemed in-kind 9,681 shares of Fidelity Corporate Bond 1-10 Year Central Fund, a Fidelity Central Fund in which the Fund invests, valued at $871,385 by receiving cash and securities of equal value, including accrued interest. This is considered taxable to the Fund for federal income tax purposes.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $28 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $1,054.

9. Expense Reductions.

FMR contractually agreed to waive expenses of the Fund to the extent annual operating expenses exceeded .32% of average net assets. This waiver will remain in place indefinitely and cannot be changed without approval of the Fund's Board of Trustees. Some expenses, for example interest expense, including commitment fees, are excluded from this waiver. During the period this waiver reduced the Fund's expenses by $7,613.

In addition, through arrangements with the Fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody and transfer agent expenses by $28 and $33, respectively.

Semiannual Report

10. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

Effective after the close of business on April 17, 2009, the Fidelity Commercial Mortgage-Backed Securities Central Fund ("CMBS"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Directors in March 2009. Under the plan, the Fund received in-kind its pro-rata portion of CMBS' net assets.

Semiannual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)

Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555

Press

fid140For mutual fund and brokerage trading.

fid142For quotes.*

fid144For account balances and holdings.

fid146To review orders and mutual
fund activity.

fid148To change your PIN.

fid150fid152To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)

Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.

Semiannual Report

To Visit Fidelity

For directions and hours, 
please call 1-800-544-9797.

Arizona

7001 West Ray Road
Chandler, AZ

15445 N. Scottsdale Road
Scottsdale, AZ

California

815 East Birch Street
Brea, CA

1411 Chapin Avenue
Burlingame, CA

851 East Hamilton Avenue
Campbell, CA

19200 Von Karman Avenue
Irvine, CA

601 Larkspur Landing Circle
Larkspur, CA

2000 Avenue of the Stars
Los Angeles, CA

27101 Puerta Real
Mission Viejo, CA

73-575 El Paseo
Palm Desert, CA

251 University Avenue
Palo Alto, CA

123 South Lake Avenue
Pasadena, CA

16656 Bernardo Ctr. Drive
Rancho Bernardo, CA

1220 Roseville Parkway
Roseville, CA

1740 Arden Way
Sacramento, CA

7676 Hazard Center Drive
San Diego, CA

11943 El Camino Real
San Diego, CA

8 Montgomery Street
San Francisco, CA

3793 State Street
Santa Barbara, CA

1200 Wilshire Boulevard
Santa Monica, CA

398 West El Camino Real
Sunnyvale, CA

111 South Westlake Blvd
Thousand Oaks, CA

21701 Hawthorne Boulevard
Torrance, CA

2001 North Main Street
Walnut Creek, CA

6326 Canoga Avenue
Woodland Hills, CA

Colorado

281 East Flatiron Circle
Broomfield, CO

1625 Broadway
Denver, CO

9185 Westview Road
Lone Tree, CO

Connecticut

48 West Putnam Avenue
Greenwich, CT

265 Church Street
New Haven, CT

300 Atlantic Street
Stamford, CT

29 South Main Street
West Hartford, CT

Delaware

400 Delaware Avenue
Wilmington, DE

Florida

175 East Altamonte Drive
Altamonte Springs, FL

4400 N. Federal Highway
Boca Raton, FL

121 Alhambra Plaza
Coral Gables, FL

2948 N. Federal Highway
Ft. Lauderdale, FL

4671 Town Center Parkway
Jacksonville, FL

8880 Tamiami Trail, North
Naples, FL

230 Royal Palm Way
Palm Beach, FL

3501 PGA Boulevard
Palm Beach Gardens, FL

3550 Tamiami Trail, South
Sarasota, FL

1502 N. Westshore Blvd.
Tampa, FL

2465 State Road 7
Wellington, FL

Georgia

3445 Peachtree Road, N.E.
Atlanta, GA

1000 Abernathy Road
Atlanta, GA

Illinois

One North LaSalle Street
Chicago, IL

401 North Michigan Avenue
Chicago, IL

One Skokie Valley Road
Highland Park, IL

1415 West 22nd Street
Oak Brook, IL

15105 S LaGrange Road
Orland Park, IL

1572 East Golf Road
Schaumburg, IL

Indiana

4729 East 82nd Street
Indianapolis, IN

8480 Keystone Crossing
Indianapolis, IN

Kansas

5400 College Boulevard
Overland Park, KS

Maine

Three Canal Plaza
Portland, ME

Maryland

7315 Wisconsin Avenue
Bethesda, MD

610 York Road
Towson, MD

Massachusetts

801 Boylston Street
Boston, MA

155 Congress Street
Boston, MA

300 Granite Street
Braintree, MA

44 Mall Road
Burlington, MA

238 Main Street
Cambridge, MA

200 Endicott Street
Danvers, MA

Semiannual Report

405 Cochituate Road
Framingham, MA

551 Boston Turnpike
Shrewsbury, MA

Michigan

500 E. Eisenhower Pkwy.
Ann Arbor, MI

280 Old N. Woodward Ave.
Birmingham, MI

30200 Northwestern Hwy.
Farmington Hills, MI

43420 Grand River Avenue
Novi, MI

Minnesota

7740 France Avenue South
Edina, MN

8342 3rd Street North
Oakdale, MN

Missouri

1524 South Lindbergh Blvd.
St. Louis, MO

Nevada

2225 Village Walk Drive
Henderson, NV

New Jersey

501 Route 73 South
Marlton, NJ

150 Essex Street
Millburn, NJ

35 Morris Street
Morristown, NJ

396 Route 17, North
Paramus, NJ

3518 Route 1 North
Princeton, NJ

530 Broad Street
Shrewsbury, NJ

New Mexico

2261 Q Street NE
Albuquerque, NM

New York

1130 Franklin Avenue
Garden City, NY

37 West Jericho Turnpike
Huntington Station, NY

1271 Avenue of the Americas
New York, NY

980 Madison Avenue
New York, NY

61 Broadway
New York, NY

350 Park Avenue
New York, NY

200 Fifth Avenue
New York, NY

733 Third Avenue
New York, NY

11 Penn Plaza
New York, NY

2070 Broadway
New York, NY

1075 Northern Blvd.
Roslyn, NY

799 Central Park Avenue
Scarsdale, NY

North Carolina

4611 Sharon Road
Charlotte, NC

7011 Fayetteville Road
Durham, NC

Ohio

3805 Edwards Road
Cincinnati, OH

1324 Polaris Parkway
Columbus, OH

1800 Crocker Road
Westlake, OH

28699 Chagrin Boulevard
Woodmere Village, OH

Oregon

7493 SW Bridgeport Road
Tigard, OR

Pennsylvania

600 West DeKalb Pike
King of Prussia, PA

1735 Market Street
Philadelphia, PA

12001 Perry Highway
Wexford, PA

Rhode Island

10 Memorial Boulevard
Providence, RI

Tennessee

3018 Peoples Street
Johnson City, TN

7628 West Farmington Blvd.
Germantown, TN

2035 Mallory Lane
Franklin, TN

Texas

10000 Research Boulevard
Austin, TX

4001 Northwest Parkway
Dallas, TX

12532 Memorial Drive
Houston, TX

2701 Drexel Drive
Houston, TX

6560 Fannin Street
Houston, TX

1701 Lake Robbins Drive
The Woodlands, TX

6500 N. MacArthur Blvd.
Irving, TX

6005 West Park Boulevard
Plano, TX

14100 San Pedro
San Antonio, TX

1576 East Southlake Blvd.
Southlake, TX

Utah

279 West South Temple
Salt Lake City, UT

Virginia

1861 International Drive
McLean, VA

Washington

10500 NE 8th Street
Bellevue, WA

1518 6th Avenue
Seattle, WA

Washington, DC

1900 K Street, N.W.
Washington, DC

Wisconsin

16020 West Bluemound Road
Brookfield, WI

Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC

Semiannual Report

To Write Fidelity

We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.

(letter_graphic)

Making Changes
To Your Account

(such as changing name, address, bank, etc.)

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002

(letter_graphic)

For Non-Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

(letter_graphic)

For Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

Fidelity Investments
Money Management, Inc.

FIL Investment Advisors

FIL Investment Advisors
(U.K.) Ltd.

Fidelity Research & Analysis Company

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA 

Fidelity Service Company, Inc.

Boston, MA 

Custodian

The Bank of New York Mellon

New York, NY 

UBI-USAN-0409
1.790948.105

fid380

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Investments

(a) Not applicable.

(b) Not applicable

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Fixed-Income Trust's Board of Trustees.

Item 11. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 12. Exhibits

(a)

(1)

Not applicable.

(a)

(2)

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

(a)

(3)

Not applicable.

(b)

 

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

SIGNATURES

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

Fidelity Fixed-Income Trust

By:

/s/ John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

May 11, 2009

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:

May 11, 2009

By:

/s/ Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

May 11, 2009