N-CSR 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 811-3221

Fidelity Charles Street Trust
(Exact name of registrant as specified in charter)

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices) (Zip code)

Eric D. Roiter, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:

September 30

Date of reporting period:

September 30, 2004

Item 1. Reports to Stockholders

Fidelity®

Asset Manager: Aggressive®

Annual Report

September 30, 2004

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion

<Click Here>

The manager's review of fund performance, strategy and outlook.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

A summary of the fund's investments.

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 Indedendent Registered Public Accounting Firm

<Click Here>

Trustees and Officers

<Click Here>

Distributions

<Click Here>

Proxy Voting Results

<Click Here>

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at 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 Corp. or an affiliated company.

(Recycle graphic)   This report is printed on recycled paper using soy-based inks.

Annual Report

The 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. The 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 the fund's portfolio holdings, view the fund's most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.

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.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Many of you have read or heard news stories recently that were critical of mutual funds and made allegations that the mutual fund industry has been less than forthright. I find these reports unsettling and not necessarily an accurate picture of the overall industry, and I would like you to know where we at Fidelity stand.

With specific regard to allegations that certain mutual fund companies were violating the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities, I want to say two things:

First, Fidelity does not have agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not to say that someone could not deceive the company through fraudulent acts. But I underscore that we have no so-called "agreements" which would permit this illegal practice.

Second, Fidelity has been on record for years opposing predatory short-term trading which adversely affects other shareholders in a mutual fund. In fact, in the 1980s, we began charging a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. What's more, several years ago we took the industry lead in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. It is reasonable to assume that another structure can be developed that would alter the system to make it much more difficult for predatory traders to operate. This, however, will only be achieved through close cooperation among regulators, legislators and the industry.

Certainly no industry is perfect, and there have been instances of unethical and illegal activity from time to time within the mutual fund industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. Clearly, every system can be improved. We applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings. But we remain concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems.

For more than 57 years, Fidelity Investments has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Many of them were family and friends. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.

Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.

Best regards,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended September 30, 2004

Past 1
year

Past 5
years

Life of
FundA

Fidelity® Asset Manager: Aggressive ®

11.79%

2.12%

2.55%

A From September 24, 1999

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® Asset Manager: Aggressive® on September 24, 1999, when the fund started. The chart shows how the value of your investment would have grown, and also shows how the Standard & Poor's 500SM Index did over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Richard Habermann, Portfolio Manager of Fidelity® Asset Manager: Aggressive®

U.S. equity markets were an up-and-down proposition during the year ending September 30, 2004. The Standard & Poor's 500SM Index registered five consecutive months of gains from October 2003 through February 2004. An improving economy and better corporate profits were key contributors to the broad market rally. But equities mostly trended lower from there, as surging oil prices, Federal Reserve Board interest rate hikes and concerns about job growth pressured stocks. Still, many equity benchmarks posted solid gains for the year overall. The S&P 500® returned 13.87%, the Dow Jones Industrial AverageSM rose 10.96% and the NASDAQ Composite® Index advanced 6.71%. Meanwhile, investment-grade bond performance exceeded expectations, with the Lehman Brothers® Aggregate Bond Index climbing 3.68%. Bonds reeled off five consecutive monthly gains from November 2003 through March 2004 before tumbling in the spring when an increase in employment levels led to unease about the direction of interest rates. However, bonds rose in each of the final four months of the period, despite three rate hikes. Most spread sectors - including corporate and mortgage securities - handily outpaced Treasuries, the most interest-rate-sensitive bond category.

The fund gained 11.79% for the year, while the Fidelity Asset Manager: Aggressive Composite Index and the LipperSM Flexible Portfolio Funds Average rose 12.35% and 10.08%, respectively. It paid to overweight stocks and high-yield bonds, both of which outperformed investment-grade debt in a supportive environment for riskier assets. However, overweighting cash during the first half of the period hurt amid an upturn in bonds - the main reason the fund lagged its index. Good stock picking and some well-timed sector shifts helped the fund's equities edge the S&P 500. We did well in the lagging health care and consumer staples sectors, where some large holdings, namely biotechnology giant Genentech and natural-food chain Whole Foods Market, were standout performers. Owning more of the right names in technology, including cell phone giant Motorola, also helped, though overweighting the sector hurt relative performance. An emphasis on weak media stocks, such as Univision, disappointed, as did some tech stocks that hit the skids, including hard disk drive maker Seagate Technology and semiconductor equipment manufacturer Teradyne. In fixed income, we focused exclusively on strong-performing high-yield bonds, which allowed us to easily outpace the investment-grade component of the composite index. The strategic cash portion of the fund topped its benchmark as well.

The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual 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 (April 1, 2004 to September 30, 2004).

Actual Expenses

The first line of the table below 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.

Hypothetical Example for Comparison Purposes

The second line of the table below 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.

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.

Beginning
Account Value
April 1, 2004

Ending
Account Value
September 30, 2004

Expenses Paid
During Period*
April 1, 2004
to September 30, 2004

Actual

$ 1,000.00

$ 968.00

$ 4.67

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,020.19

$ 4.81

* Expenses are equal to the Fund's annualized expense ratio of .95%; multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

Annual Report

Investment Changes

Top Ten Stocks as of September 30, 2004

% of fund's net assets

% of fund's net assets
6 months ago

Genentech, Inc.

3.6

2.7

Univision Communications, Inc. Class A

2.5

2.2

Seagate Technology

2.4

0.2

Research in Motion Ltd.

2.1

0.0

SBC Communications, Inc.

2.0

1.2

KLA-Tencor Corp.

1.7

0.4

KDDI Corp.

1.7

2.0

Teradyne, Inc.

1.7

1.1

FedEx Corp.

1.6

1.4

Dell, Inc.

1.5

0.8

20.8

Market Sectors as of September 30, 2004

(stocks only)

% of fund's net assets

% of fund's net assets
6 months ago

Information Technology

26.6

18.1

Health Care

14.1

16.0

Consumer Discretionary

12.5

15.9

Financials

8.9

10.0

Materials

5.0

6.2

Telecommunication Services

4.7

3.8

Industrials

4.3

4.5

Energy

3.7

6.7

Consumer Staples

2.4

3.1

Utilities

0.1

0.1

Asset Allocation (% of fund's net assets)

As of September 30, 2004 *

As of March 31, 2004 **

Stock class and
Equity futures 86.4%

Stock class and
Equity futures 87.4%

Bond class 9.4%

Bond class 9.5%

Short-term
class 4.2%

Short-term
class 3.1%

* Foreign
investments

23.0%

** Foreign
investments

19.9%



Asset allocations in the pie charts reflect the categorization of assets as defined in the fund's prospectus in effect as of the time periods indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.

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

Annual Report

Investments September 30, 2004

Showing Percentage of Net Assets

Common Stocks - 82.3%

Shares

Value (Note 1)

CONSUMER DISCRETIONARY - 12.5%

Auto Components - 0.2%

NOK Corp.

25,000

$ 768,007

Hotels, Restaurants & Leisure - 2.2%

McDonald's Corp.

99,300

2,783,379

Royal Caribbean Cruises Ltd.

40,500

1,765,800

Starbucks Corp. (a)

74,100

3,368,586

7,917,765

Household Durables - 1.5%

Beazer Homes USA, Inc.

6,000

641,340

D.R. Horton, Inc.

17,700

586,047

Daito Trust Construction Co.

27,300

1,106,639

George Wimpey PLC

71,800

523,023

Lennar Corp.:

Class A

19,460

926,296

Class B

5,420

237,396

Maytag Corp.

22,400

411,488

Sharp Corp.

50,000

688,934

5,121,163

Internet & Catalog Retail - 0.5%

Amazon.com, Inc. (a)

11,100

453,546

eBay, Inc. (a)

11,500

1,057,310

Senshukai Co. Ltd.

42,000

350,811

1,861,667

Media - 6.9%

British Sky Broadcasting Group PLC (BSkyB) sponsored ADR

24,400

853,024

Cablevision Systems Corp. - NY Group Class A (a)

16,800

340,704

Clear Channel Communications, Inc.

12,300

383,391

Comcast Corp. Class A (special) (a)

4,700

131,224

EchoStar Communications Corp. Class A (a)

43,228

1,345,255

Fox Entertainment Group, Inc. Class A (a)

12,300

341,202

Lamar Advertising Co. Class A (a)

12,400

515,964

Liberty Media Corp. Class A (a)

133,310

1,162,463

Liberty Media International, Inc. Class A (a)

33,845

1,129,137

News Corp. Ltd.:

ADR

28,900

949,943

sponsored ADR

5,312

166,425

Playboy Enterprises, Inc. Class B (non-vtg.) (a)

164,500

1,651,580

Radio One, Inc.:

Class A (a)

24,100

344,389

Class D (non-vtg.) (a)

54,200

771,266

The DIRECTV Group, Inc. (a)

49,699

874,205

Common Stocks - continued

Shares

Value (Note 1)

CONSUMER DISCRETIONARY - continued

Media - continued

Time Warner, Inc. (a)

187,800

$ 3,031,092

Univision Communications, Inc. Class A (a)

274,500

8,676,945

Viacom, Inc. Class B (non-vtg.)

50,700

1,701,492

24,369,701

Multiline Retail - 0.1%

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

30

1,830

Nordstrom, Inc.

10,400

397,696

399,526

Specialty Retail - 0.8%

Home Depot, Inc.

64,900

2,544,080

Yamada Denki Co. Ltd.

9,300

321,200

2,865,280

Textiles Apparel & Luxury Goods - 0.3%

NIKE, Inc. Class B

11,500

906,200

TOTAL CONSUMER DISCRETIONARY

44,209,309

CONSUMER STAPLES - 2.4%

Beverages - 0.3%

Robert Mondavi Corp. Class A (a)

13,300

520,961

The Coca-Cola Co.

12,400

496,620

1,017,581

Food & Staples Retailing - 1.2%

Rite Aid Corp. (a)

39,000

137,280

Whole Foods Market, Inc.

49,000

4,203,710

4,340,990

Food Products - 0.7%

Bunge Ltd.

14,900

595,702

McCormick & Co., Inc. (non-vtg.)

47,200

1,620,848

Tyson Foods, Inc. Class A

7,800

124,956

2,341,506

Personal Products - 0.2%

Avon Products, Inc.

20,400

891,072

TOTAL CONSUMER STAPLES

8,591,149

ENERGY - 3.7%

Energy Equipment & Services - 2.8%

BJ Services Co.

32,100

1,682,361

Common Stocks - continued

Shares

Value (Note 1)

ENERGY - continued

Energy Equipment & Services - continued

ENSCO International, Inc.

91,740

$ 2,997,146

GlobalSantaFe Corp.

12,400

380,060

Grant Prideco, Inc. (a)

4,800

98,352

Nabors Industries Ltd. (a)

5,200

246,220

Noble Corp. (a)

83,200

3,739,840

Pride International, Inc. (a)

25,700

508,603

Transocean, Inc. (a)

8,800

314,864

9,967,446

Oil & Gas - 0.9%

Chesapeake Energy Corp.

12,900

204,207

Cross Timbers Royalty Trust

99

3,285

Teekay Shipping Corp.

22,200

956,598

Total SA sponsored ADR

9,900

1,011,483

Valero Energy Corp.

9,900

794,079

2,969,652

TOTAL ENERGY

12,937,098

FINANCIALS - 8.9%

Capital Markets - 2.4%

3i Group PLC

25,800

259,701

Ameritrade Holding Corp. (a)

60,450

726,005

Apollo Investment Corp.

84,800

1,199,920

Charles Schwab Corp.

96,100

883,159

Daiwa Securities Group, Inc.

41,000

260,105

Goldman Sachs Group, Inc.

24,600

2,293,704

JAFCO Co. Ltd.

8,000

421,722

Merrill Lynch & Co., Inc.

31,700

1,576,124

Morgan Stanley

11,500

566,950

Nomura Holdings, Inc.

24,000

309,840

8,497,230

Commercial Banks - 3.3%

Mitsubishi Tokyo Financial Group, Inc. (MTFG)

394

3,285,960

Mizuho Financial Group, Inc.

722

2,716,728

Sumitomo Mitsui Financial Group, Inc.

372

2,130,061

UFJ Holdings, Inc. (a)

197

864,813

Wells Fargo & Co.

43,900

2,617,757

11,615,319

Common Stocks - continued

Shares

Value (Note 1)

FINANCIALS - continued

Insurance - 1.4%

ACE Ltd.

53,900

$ 2,159,234

Axis Capital Holdings Ltd.

13,100

340,600

Millea Holdings, Inc.

138

1,781,050

Sun Life Financial, Inc.

8,000

242,140

XL Capital Ltd. Class A

5,800

429,142

4,952,166

Real Estate - 1.0%

Alexandria Real Estate Equities, Inc.

11,800

775,496

Apartment Investment & Management Co. Class A

15,300

532,134

Friedman, Billings, Ramsey Group, Inc. Class A

61,400

1,172,740

LNR Property Corp.

5,600

346,696

Mitsubishi Estate Co. Ltd.

16,000

167,235

New York Mortgage Trust, Inc.

68,300

638,605

3,632,906

Thrifts & Mortgage Finance - 0.8%

Countrywide Financial Corp.

9,828

387,125

Fannie Mae

10,100

640,340

Freddie Mac

400

26,096

Golden West Financial Corp., Delaware

11,500

1,275,925

Sovereign Bancorp, Inc.

22,400

488,768

2,818,254

TOTAL FINANCIALS

31,515,875

HEALTH CARE - 14.1%

Biotechnology - 5.6%

Biogen Idec, Inc. (a)

87,100

5,327,907

Genentech, Inc. (a)

242,900

12,732,789

Millennium Pharmaceuticals, Inc. (a)

116,400

1,595,844

19,656,540

Health Care Equipment & Supplies - 4.7%

Biomet, Inc.

41,190

1,930,987

Fisher Scientific International, Inc. (a)

43,460

2,535,022

Guidant Corp.

3,900

257,556

Medtronic, Inc.

35,400

1,837,260

St. Jude Medical, Inc. (a)

44,900

3,379,623

Stryker Corp.

11,600

557,728

Common Stocks - continued

Shares

Value (Note 1)

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Synthes, Inc.

4,883

$ 533,383

Zimmer Holdings, Inc. (a)

68,500

5,414,240

16,445,799

Health Care Providers & Services - 1.2%

HCA, Inc.

10,730

409,350

Health Management Associates, Inc. Class A

9,300

189,999

Tenet Healthcare Corp. (a)

29,300

316,147

UnitedHealth Group, Inc.

47,000

3,465,780

4,381,276

Pharmaceuticals - 2.6%

Barr Pharmaceuticals, Inc. (a)

46,900

1,943,067

Johnson & Johnson

6,800

383,044

Merck & Co., Inc.

29,700

980,100

Merck KGaA

24,412

1,397,717

Pfizer, Inc.

92,600

2,833,560

Roche Holding AG (participation certificate)

14,623

1,515,093

9,052,581

TOTAL HEALTH CARE

49,536,196

INDUSTRIALS - 4.3%

Aerospace & Defense - 0.0%

Rockwell Collins, Inc.

4,900

181,986

Air Freight & Logistics - 2.2%

FedEx Corp.

66,650

5,711,239

Ryder System, Inc.

9,700

456,288

United Parcel Service, Inc. Class B

11,200

850,304

Yamato Transport Co. Ltd.

48,000

661,813

7,679,644

Airlines - 0.1%

JetBlue Airways Corp. (a)

12,450

260,454

Commercial Services & Supplies - 1.7%

Adecco SA sponsored ADR

26,300

325,594

Cintas Corp.

16,300

685,252

Corinthian Colleges, Inc. (a)

13,600

183,328

Hudson Highland Group, Inc. (a)

3,427

100,034

Monster Worldwide, Inc. (a)

35,100

864,864

Robert Half International, Inc.

94,570

2,437,069

Common Stocks - continued

Shares

Value (Note 1)

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Societe Generale de Surveillance Holding SA (SGS) (Reg.)

496

$ 272,889

Waste Management, Inc.

46,100

1,260,374

6,129,404

Machinery - 0.3%

Caterpillar, Inc.

9,870

794,042

THK Co. Ltd.

17,000

286,308

1,080,350

TOTAL INDUSTRIALS

15,331,838

INFORMATION TECHNOLOGY - 26.6%

Communications Equipment - 4.3%

Alcatel SA sponsored ADR (a)

49,700

582,981

Avaya, Inc. (a)

26,000

362,440

Belden CDT, Inc.

27,850

607,130

Cisco Systems, Inc. (a)

121,700

2,202,770

Comverse Technology, Inc. (a)

19,900

374,717

Juniper Networks, Inc. (a)

67,200

1,585,920

Motorola, Inc.

41,800

754,072

Nokia Corp. sponsored ADR

76,500

1,049,580

Research in Motion Ltd. (a)

96,200

7,345,281

SafeNet, Inc. (a)

9,799

258,498

15,123,389

Computers & Peripherals - 6.8%

Dell, Inc. (a)

152,400

5,425,440

Diebold, Inc.

2,500

116,750

EMC Corp. (a)

417,300

4,815,642

Emulex Corp. (a)

149,600

1,723,392

Hutchinson Technology, Inc. (a)

50,100

1,339,173

QLogic Corp. (a)

59,895

1,773,491

Seagate Technology

617,260

8,345,355

Sun Microsystems, Inc. (a)

67,500

272,700

23,811,943

Electronic Equipment & Instruments - 2.1%

Amphenol Corp. Class A (a)

54,100

1,853,466

Celestica, Inc. (sub. vtg.) (a)

6,600

83,955

Flextronics International Ltd. (a)

14,800

196,100

Molex, Inc.

114,656

3,419,042

Nichicon Corp.

59,700

661,434

Common Stocks - continued

Shares

Value (Note 1)

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - continued

Solectron Corp. (a)

65,900

$ 326,205

Tech Data Corp. (a)

4,100

158,055

Vishay Intertechnology, Inc. (a)

59,060

761,874

7,460,131

Internet Software & Services - 2.2%

Homestore, Inc. (a)

157,400

363,594

Yahoo Japan Corp. (a)(e)

650

2,894,797

Yahoo Japan Corp. New (a)(e)

650

2,871,166

Yahoo!, Inc. (a)

53,120

1,801,299

7,930,856

IT Services - 0.6%

Affiliated Computer Services, Inc. Class A (a)

6,600

367,422

Ceridian Corp. (a)

57,600

1,060,416

DST Systems, Inc. (a)

12,900

573,663

Pegasus Solutions, Inc. (a)

12,746

151,932

2,153,433

Semiconductors & Semiconductor Equipment - 8.6%

Agere Systems, Inc. Class B (a)

67,200

68,544

Altera Corp. (a)

263,400

5,154,738

Analog Devices, Inc.

94,600

3,668,588

ASML Holding NV (NY Shares) (a)

18,500

238,095

Intel Corp.

11,220

225,073

Intersil Corp. Class A

36,200

576,666

KLA-Tencor Corp. (a)

147,310

6,110,419

Marvell Technology Group Ltd. (a)

24,900

650,637

Microchip Technology, Inc.

10,400

279,136

Micron Technology, Inc. (a)

35,400

425,862

Novellus Systems, Inc. (a)

8,100

215,379

Samsung Electronics Co. Ltd.

12,490

4,967,796

Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR

25,121

179,364

Teradyne, Inc. (a)

438,070

5,870,138

Texas Instruments, Inc.

49,300

1,049,104

Xilinx, Inc.

20,700

558,900

30,238,439

Software - 2.0%

BEA Systems, Inc. (a)

229,500

1,585,845

BMC Software, Inc. (a)

10,400

164,424

Microsoft Corp.

141,400

3,909,710

Common Stocks - continued

Shares

Value (Note 1)

INFORMATION TECHNOLOGY - continued

Software - continued

Nippon System Development Co. Ltd.

10,100

$ 168,356

Oracle Corp. (a)

103,400

1,166,352

6,994,687

TOTAL INFORMATION TECHNOLOGY

93,712,878

MATERIALS - 5.0%

Chemicals - 1.5%

BOC Group PLC

3,400

54,463

Dow Chemical Co.

70,750

3,196,485

Lyondell Chemical Co.

82,800

1,859,688

Praxair, Inc.

6,000

256,440

5,367,076

Containers & Packaging - 0.3%

Pactiv Corp. (a)

34,900

811,425

Sealed Air Corp. (a)

5,200

241,020

1,052,445

Metals & Mining - 3.2%

Alcan, Inc.

4,352

208,675

Alcoa, Inc.

59,700

2,005,323

Inco Ltd. (a)

44,480

1,741,480

Newmont Mining Corp.

32,100

1,461,513

Nippon Steel Corp.

100,000

238,128

Nucor Corp.

15,800

1,443,646

Peabody Energy Corp.

15,100

898,450

Phelps Dodge Corp.

34,100

3,138,223

11,135,438

TOTAL MATERIALS

17,554,959

TELECOMMUNICATION SERVICES - 4.7%

Diversified Telecommunication Services - 2.2%

Philippine Long Distance Telephone Co. sponsored ADR (a)

14,800

370,592

PT Indosat Tbk sponsored ADR

14,600

350,400

SBC Communications, Inc.

272,400

7,068,780

7,789,772

Wireless Telecommunication Services - 2.5%

KDDI Corp.

1,250

6,078,164

Common Stocks - continued

Shares

Value (Note 1)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Nextel Communications, Inc. Class A (a)

109,100

$ 2,600,944

NTT DoCoMo, Inc.

109

185,258

8,864,366

TOTAL TELECOMMUNICATION SERVICES

16,654,138

UTILITIES - 0.1%

Multi-Utilities & Unregulated Power - 0.1%

Equitable Resources, Inc.

6,200

336,722

TOTAL COMMON STOCKS

(Cost $268,810,822)

290,380,162

Nonconvertible Preferred Stocks - 0.0%

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

Granite Broadcasting Corp. 12.75% pay-in-kind (a)

50

22,750

TOTAL NONCONVERTIBLE PREFERRED STOCKS

(Cost $32,750)

22,750

Nonconvertible Bonds - 9.4%

Principal Amount

CONSUMER DISCRETIONARY - 2.3%

Auto Components - 0.1%

Delco Remy International, Inc. 9.375% 4/15/12

$ 110,000

108,350

Tenneco Automotive, Inc. 10.25% 7/15/13

65,000

74,100

Visteon Corp.:

7% 3/10/14

70,000

66,588

8.25% 8/1/10

100,000

105,500

354,538

Hotels, Restaurants & Leisure - 0.6%

Chumash Casino & Resort Enterprise 9% 7/15/10 (f)(i)

65,000

72,150

Friendly Ice Cream Corp. 8.375% 6/15/12

125,000

119,375

Host Marriott LP 7.125% 11/1/13

120,000

125,700

Mandalay Resort Group:

9.375% 2/15/10

95,000

108,538

10.25% 8/1/07

80,000

90,600

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

MGM MIRAGE:

6% 10/1/09

$ 115,000

$ 116,150

6% 10/1/09 (f)

145,000

146,450

6.75% 9/1/12 (f)

110,000

113,718

6.875% 2/6/08

25,000

27,188

8.5% 9/15/10

105,000

119,438

Mohegan Tribal Gaming Authority 6.375% 7/15/09

135,000

140,063

MTR Gaming Group, Inc. 9.75% 4/1/10

30,000

32,700

NCL Corp. Ltd. 10.625% 7/15/14 (f)

135,000

141,413

Park Place Entertainment Corp. 7.875% 3/15/10

75,000

84,375

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

150,000

159,000

Seneca Gaming Corp. 7.25% 5/1/12 (f)

60,000

61,800

Speedway Motorsports, Inc.:

6.75% 6/1/13

65,000

67,763

6.75% 6/1/13 (f)

130,000

135,525

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

10,000

10,975

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

185,000

93,425

Town Sports International, Inc. 9.625% 4/15/11

75,000

76,313

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

70,000

80,325

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

100,000

105,750

2,228,734

Household Durables - 0.4%

Beazer Homes USA, Inc.:

6.5% 11/15/13

55,000

56,100

8.375% 4/15/12

35,000

38,675

K. Hovnanian Enterprises, Inc.:

6.5% 1/15/14

15,000

15,375

8.875% 4/1/12

115,000

128,800

KB Home:

7.75% 2/1/10

175,000

189,875

8.625% 12/15/08

40,000

45,200

Meritage Homes Corp. 7% 5/1/14

80,000

82,400

Standard Pacific Corp.:

5.125% 4/1/09

60,000

59,700

6.875% 5/15/11

20,000

21,000

Technical Olympic USA, Inc.:

7.5% 3/15/11

60,000

61,500

10.375% 7/1/12

100,000

112,750

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

CONSUMER DISCRETIONARY - continued

Household Durables - continued

WCI Communities, Inc. 7.875% 10/1/13

$ 145,000

$ 153,338

William Lyon Homes, Inc.:

7.5% 2/15/14

70,000

71,400

10.75% 4/1/13

190,000

218,500

1,254,613

Media - 0.8%

AMC Entertainment, Inc.:

8% 3/1/14 (f)

170,000

159,800

9.5% 2/1/11

61,000

62,373

Cablevision Systems Corp.:

5.66% 4/1/09 (f)(h)

240,000

249,600

8% 4/15/12 (f)

230,000

239,200

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

165,000

113,438

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

150,000

165,375

CSC Holdings, Inc. 7.25% 7/15/08

55,000

57,338

EchoStar DBS Corp.:

5.75% 10/1/08

220,000

220,550

6.625% 10/1/14 (f)

100,000

99,130

Granite Broadcasting Corp. 9.75% 12/1/10

25,000

22,875

Gray Television, Inc. 9.25% 12/15/11

175,000

196,438

Houghton Mifflin Co. 9.875% 2/1/13

95,000

99,750

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

265,000

289,513

Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10

25,000

27,375

LBI Media Holdings, Inc. 0% 10/15/13 (d)

150,000

108,000

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

55,000

61,463

PanAmSat Corp. 9% 8/15/14 (f)

240,000

250,200

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

66,000

76,395

Sinclair Broadcast Group, Inc. 8% 3/15/12

145,000

150,438

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

250,000

257,500

2,906,751

Multiline Retail - 0.0%

Barneys, Inc. 9% 4/1/08

130,000

135,525

Specialty Retail - 0.3%

Asbury Automotive Group, Inc. 9% 6/15/12

260,000

272,350

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

30,000

30,975

Nebraska Book Co., Inc. 8.625% 3/15/12

100,000

99,500

Sonic Automotive, Inc. 8.625% 8/15/13

100,000

105,500

United Rentals North America, Inc.:

6.5% 2/15/12

170,000

163,200

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

United Rentals North America, Inc.: - continued

7% 2/15/14

$ 75,000

$ 66,938

7.75% 11/15/13

185,000

172,975

911,438

Textiles Apparel & Luxury Goods - 0.1%

Levi Strauss & Co. 12.25% 12/15/12

180,000

190,800

Samsonite Corp. 8.875% 6/1/11 (f)

70,000

73,150

263,950

TOTAL CONSUMER DISCRETIONARY

8,055,549

CONSUMER STAPLES - 0.4%

Food & Staples Retailing - 0.2%

Jean Coutu Group, Inc.:

7.625% 8/1/12 (f)

40,000

40,700

8.5% 8/1/14 (f)

70,000

69,300

Rite Aid Corp.:

6% 12/15/05 (f)

75,000

75,563

6.875% 8/15/13

85,000

74,163

8.125% 5/1/10

25,000

26,125

9.25% 6/1/13

65,000

66,625

9.5% 2/15/11

80,000

87,600

Stater Brothers Holdings, Inc.:

5.38% 6/15/10 (h)

80,000

81,200

8.125% 6/15/12

90,000

94,050

615,326

Food Products - 0.2%

Del Monte Corp.:

9.25% 5/15/11

15,000

16,575

8.625% 12/15/12

190,000

211,850

Dole Food Co., Inc. 7.25% 6/15/10

45,000

45,788

Smithfield Foods, Inc.:

7.625% 2/15/08

135,000

144,113

7.75% 5/15/13

30,000

32,400

8% 10/15/09

15,000

16,463

Swift & Co. 10.125% 10/1/09

75,000

82,875

United Agriculture Products, Inc. 8.25% 12/15/11 (f)

65,000

69,875

619,939

TOTAL CONSUMER STAPLES

1,235,265

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

ENERGY - 0.6%

Energy Equipment & Services - 0.1%

Hanover Compressor Co.:

0% 3/31/07

$ 100,000

$ 84,000

8.625% 12/15/10

20,000

21,700

9% 6/1/14

60,000

65,850

Parker Drilling Co.:

6.54% 9/1/10 (f)(h)

100,000

100,250

9.625% 10/1/13

50,000

55,250

Pride International, Inc. 7.375% 7/15/14 (f)

15,000

16,519

SESI LLC 8.875% 5/15/11

70,000

75,775

419,344

Oil & Gas - 0.5%

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

170,000

180,200

Chesapeake Energy Corp.:

8.125% 4/1/11

65,000

71,094

9% 8/15/12

35,000

40,031

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

105,000

103,950

Enterprise Products Operating LP:

4.625% 10/15/09 (f)

50,000

50,415

5.6% 10/15/14 (f)

60,000

60,456

General Maritime Corp. 10% 3/15/13

235,000

266,725

Newfield Exploration Co. 6.625% 9/1/14 (f)

110,000

114,400

Overseas Shipholding Group, Inc. 8.25% 3/15/13

145,000

160,225

Range Resources Corp. 7.375% 7/15/13

40,000

42,200

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

230,000

230,000

Teekay Shipping Corp. 8.875% 7/15/11

215,000

245,100

The Coastal Corp.:

6.375% 2/1/09

40,000

38,100

6.5% 6/1/08

145,000

140,650

7.75% 6/15/10

110,000

110,000

1,853,546

TOTAL ENERGY

2,272,890

FINANCIALS - 1.1%

Capital Markets - 0.1%

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

305,000

329,400

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

FINANCIALS - continued

Diversified Financial Services - 0.7%

Ahold Finance USA, Inc.:

6.25% 5/1/09

$ 160,000

$ 167,200

8.25% 7/15/10

20,000

22,400

Cellu Tissue Holdings, Inc. 9.75% 3/15/10 (f)

80,000

81,200

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

185,000

209,975

Hilcorp Energy I LP/Hilcorp Finance Co.
10.5% 9/1/10 (f)

160,000

176,800

Ispat Inland ULC 9.75% 4/1/14

220,000

242,000

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

185,000

126,725

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

50,000

50,250

Leucadia National Corp. 7% 8/15/13

140,000

139,300

Midland Funding Corp. II 11.75% 7/23/05

27,532

29,390

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

50,000

53,565

MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10

10,000

10,950

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

80,000

82,000

Qwest Capital Funding, Inc.:

7% 8/3/09

145,000

133,400

7.25% 2/15/11

235,000

209,150

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

110,000

111,650

Stone Container Finance Co. 7.375% 7/15/14 (f)

50,000

52,500

TRW Automotive Acquisition Corp. 9.375% 2/15/13

20,000

22,700

U.S. West Capital Funding, Inc. 6.375% 7/15/08

40,000

36,900

UAP Holding Corp. 0% 7/15/12 (d)(f)

70,000

53,900

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

165,000

192,225

Western Financial Bank 9.625% 5/15/12

190,000

214,700

2,418,880

Insurance - 0.1%

Crum & Forster Holdings Corp. 10.375% 6/15/13

170,000

179,350

Provident Companies, Inc. 7% 7/15/18

15,000

14,588

UnumProvident Corp.:

6.75% 12/15/28

35,000

31,850

7.375% 6/15/32

35,000

33,863

7.625% 3/1/11

130,000

138,775

398,426

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

FINANCIALS - continued

Real Estate - 0.2%

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

$ 215,000

$ 226,288

La Quinta Properties, Inc. 7% 8/15/12 (f)

130,000

137,475

Omega Healthcare Investors, Inc. 7% 4/1/14 (f)

80,000

81,200

Senior Housing Properties Trust:

7.875% 4/15/15

40,000

43,400

8.625% 1/15/12

70,000

77,875

566,238

TOTAL FINANCIALS

3,712,944

HEALTH CARE - 0.5%

Health Care Equipment & Supplies - 0.1%

Fisher Scientific International, Inc.:

6.75% 8/15/14 (f)

40,000

42,000

8% 9/1/13

80,000

89,400

8.125% 5/1/12

25,000

27,875

PerkinElmer, Inc. 8.875% 1/15/13

70,000

79,100

238,375

Health Care Providers & Services - 0.4%

AmerisourceBergen Corp.:

7.25% 11/15/12

200,000

216,000

8.125% 9/1/08

45,000

49,838

Concentra Operating Corp.:

9.125% 6/1/12 (f)

20,000

21,900

9.5% 8/15/10

130,000

143,650

Genesis HealthCare Corp. 8% 10/15/13

175,000

189,875

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

295,000

314,175

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

62,000

71,145

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

100,000

113,250

Tenet Healthcare Corp.:

6.375% 12/1/11

140,000

124,950

6.5% 6/1/12

30,000

26,700

7.375% 2/1/13

245,000

227,850

1,499,333

Pharmaceuticals - 0.0%

Biovail Corp. yankee 7.875% 4/1/10

145,000

147,900

TOTAL HEALTH CARE

1,885,608

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

INDUSTRIALS - 0.8%

Aerospace & Defense - 0.1%

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

$ 120,000

$ 103,637

Orbital Sciences Corp. 9% 7/15/11

165,000

183,150

Primus International, Inc. 10.5% 4/15/09 (f)

70,000

70,700

357,487

Airlines - 0.2%

American Airlines, Inc. pass thru trust certificates:

6.817% 5/23/11

130,000

113,750

6.977% 11/23/22

7,666

6,669

7.324% 4/15/11

30,000

23,400

7.377% 5/23/19

135,702

77,350

7.379% 5/23/16

98,761

56,294

7.8% 4/1/08

80,000

66,800

8.608% 10/1/12

45,000

38,025

AMR Corp.:

9% 8/1/12

120,000

74,400

10.2% 3/15/20

30,000

17,700

Continental Airlines, Inc.:

7.875% 7/2/18

59,970

56,072

8% 12/15/05

35,000

32,025

Continental Airlines, Inc. pass thru trust certificates:

6.748% 9/15/18

7,744

5,886

6.795% 2/2/20

27,941

22,353

6.9% 7/2/18

52,208

40,200

6.954% 2/2/11

12,383

9,164

7.73% 9/15/12

11,701

8,425

7.82% 4/15/15

25,158

18,869

8.307% 10/2/19

17,988

14,391

8.321% 11/1/06

5,000

4,650

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

85,000

24,650

Delta Air Lines, Inc. pass thru trust certificates:

7.379% 5/18/10

20,017

18,315

7.779% 1/2/12

25,045

8,766

Northwest Airlines Corp. 10% 2/1/09

120,000

84,000

Northwest Airlines, Inc. pass thru trust certificates:

7.068% 7/2/17

20,255

16,204

7.67% 1/2/15

85,052

68,041

906,399

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

INDUSTRIALS - continued

Building Products - 0.1%

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

$ 70,000

$ 77,350

Nortek, Inc. 8.5% 9/1/14 (f)

120,000

125,400

202,750

Commercial Services & Supplies - 0.1%

Allied Waste North America, Inc.:

5.75% 2/15/11

120,000

113,400

6.375% 4/15/11

95,000

93,100

9.25% 9/1/12

95,000

106,163

Browning-Ferris Industries, Inc. 6.375% 1/15/08

25,000

25,625

338,288

Construction & Engineering - 0.0%

Amsted Industries, Inc. 10.25% 10/15/11 (f)

80,000

88,400

Machinery - 0.2%

Dresser, Inc. 9.375% 4/15/11

110,000

120,725

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

325,000

333,938

Navistar International Corp. 7.5% 6/15/11

90,000

96,075

SPX Corp.:

6.25% 6/15/11

10,000

9,750

7.5% 1/1/13

95,000

96,544

657,032

Marine - 0.1%

OMI Corp. 7.625% 12/1/13

225,000

232,875

Road & Rail - 0.0%

Kansas City Southern Railway Co. 7.5% 6/15/09

125,000

127,500

TFM SA de CV yankee:

10.25% 6/15/07

10,000

10,275

11.75% 6/15/09

60,000

60,300

198,075

TOTAL INDUSTRIALS

2,981,306

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.0%

Lucent Technologies, Inc.:

5.5% 11/15/08

145,000

144,275

6.45% 3/15/29

100,000

80,500

224,775

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - 0.1%

Celestica, Inc. 7.875% 7/1/11

$ 160,000

$ 166,800

Flextronics International Ltd. 6.5% 5/15/13

130,000

132,600

299,400

IT Services - 0.1%

Electronic Data Systems Corp. 6% 8/1/13

65,000

65,560

Iron Mountain, Inc. 8.625% 4/1/13

185,000

201,650

267,210

Office Electronics - 0.2%

Xerox Corp.:

6.875% 8/15/11

315,000

329,175

7.125% 6/15/10

80,000

84,800

7.2% 4/1/16

45,000

46,125

7.625% 6/15/13

135,000

145,800

9.75% 1/15/09

45,000

52,425

658,325

Semiconductors & Semiconductor Equipment - 0.1%

Freescale Semiconductor, Inc.:

4.38% 7/15/09 (f)(h)

100,000

103,000

6.875% 7/15/11 (f)

135,000

140,063

7.125% 7/15/14 (f)

40,000

41,600

284,663

TOTAL INFORMATION TECHNOLOGY

1,734,373

MATERIALS - 2.0%

Chemicals - 0.7%

Berry Plastics Corp. 10.75% 7/15/12

95,000

107,350

Borden US Finance Corp./Nova Scotia Finance ULC:

6.43% 7/15/10 (f)(h)

80,000

81,800

9% 7/15/14 (f)

95,000

100,463

Equistar Chemicals LP/Equistar Funding Corp.:

8.75% 2/15/09

35,000

37,713

10.125% 9/1/08

20,000

22,450

10.625% 5/1/11

320,000

363,200

HMP Equity Holdings Corp. 0% 5/15/08

110,000

69,300

Huntsman ICI Chemicals LLC 10.125% 7/1/09

185,000

194,250

Huntsman ICI Holdings LLC 0% 12/31/09

90,000

47,700

Huntsman International LLC 9.875% 3/1/09

90,000

98,325

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

MATERIALS - continued

Chemicals - continued

Huntsman LLC:

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

$ 130,000

$ 137,150

11.5% 7/15/12 (f)

70,000

77,000

Lubrizol Corp.:

4.625% 10/1/09

50,000

50,009

5.5% 10/1/14

50,000

49,658

Lyondell Chemical Co.:

9.5% 12/15/08

185,000

200,956

9.625% 5/1/07

115,000

124,200

9.875% 5/1/07

140,000

147,532

10.875% 5/1/09

170,000

179,988

Millennium America, Inc.:

9.25% 6/15/08

220,000

240,625

9.25% 6/15/08 (f)

30,000

32,813

NOVA Chemicals Corp.:

6.5% 1/15/12

40,000

41,500

7.4% 4/1/09

40,000

43,000

Pliant Corp.:

0% 6/15/09 (d)

35,000

29,575

11.125% 9/1/09

40,000

41,400

2,517,957

Construction Materials - 0.1%

Texas Industries, Inc. 10.25% 6/15/11

175,000

200,813

Containers & Packaging - 0.3%

Anchor Glass Container Corp. 11% 2/15/13

155,000

175,150

BWAY Corp. 10% 10/15/10

110,000

118,800

Crown European Holdings SA:

9.5% 3/1/11

35,000

39,025

10.875% 3/1/13

150,000

174,750

Graphic Packaging International, Inc.:

8.5% 8/15/11

40,000

44,400

9.5% 8/15/13

40,000

45,600

Owens-Brockway Glass Container, Inc.:

8.25% 5/15/13

125,000

133,125

8.875% 2/15/09

200,000

217,000

Owens-Illinois, Inc.:

7.35% 5/15/08

45,000

46,463

7.5% 5/15/10

220,000

226,600

1,220,913

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

MATERIALS - continued

Metals & Mining - 0.4%

AK Steel Corp.:

7.75% 6/15/12

$ 140,000

$ 136,850

7.875% 2/15/09

45,000

44,550

Allegheny Technologies, Inc. 8.375% 12/15/11

245,000

260,925

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

90,000

94,500

Compass Minerals International, Inc.:

0% 12/15/12 (d)

25,000

21,000

0% 6/1/13 (d)

200,000

158,000

CSN Islands VII Corp. 10.75% 9/12/08 (f)

60,000

66,525

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

15,000

15,038

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

80,000

76,700

10.125% 2/1/10

80,000

90,400

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

150,000

150,000

Peabody Energy Corp. 6.875% 3/15/13

100,000

107,250

Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 (f)

105,000

104,475

1,326,213

Paper & Forest Products - 0.5%

Abitibi-Consolidated, Inc.:

5.38% 6/15/11 (h)

130,000

131,138

7.75% 6/15/11

95,000

98,206

Bowater, Inc. 4.88% 3/15/10 (h)

90,000

90,000

Buckeye Technologies, Inc. 8.5% 10/1/13

110,000

118,250

Georgia-Pacific Corp.:

8% 1/15/14

225,000

256,500

8% 1/15/24

35,000

39,594

8.125% 5/15/11

50,000

57,750

9.5% 12/1/11

70,000

87,500

Norske Skog Canada Ltd.:

7.375% 3/1/14

50,000

52,000

8.625% 6/15/11

185,000

200,263

Stone Container Corp. 8.375% 7/1/12

205,000

227,550

Tembec Industries, Inc.:

7.75% 3/15/12

75,000

75,750

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

MATERIALS - continued

Paper & Forest Products - continued

Tembec Industries, Inc.: - continued

8.5% 2/1/11

$ 200,000

$ 210,000

yankee 8.625% 6/30/09

65,000

66,950

1,711,451

TOTAL MATERIALS

6,977,347

TELECOMMUNICATION SERVICES - 0.6%

Diversified Telecommunication Services - 0.4%

Alaska Communications Systems Holdings, Inc.
9.375% 5/15/09

35,000

33,075

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

140,000

155,050

Eschelon Operating Co. 8.375% 3/15/10

35,000

28,000

GCI, Inc. 7.25% 2/15/14

190,000

185,725

NTL Cable PLC:

6.61% 10/15/12 (f)(h)

60,000

61,500

8.75% 4/15/14 (f)

210,000

226,800

Qwest Communications International, Inc.
7.25% 2/15/11 (f)

55,000

52,113

Qwest Corp.:

7.875% 9/1/11 (f)

35,000

36,575

9.125% 3/15/12 (f)

120,000

132,000

Qwest Services Corp.:

14% 12/15/10 (f)(h)

105,000

123,113

14.5% 12/15/14 (f)(h)

150,000

181,500

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

280,000

205,800

U.S. West Communications:

7.2% 11/10/26

20,000

17,450

7.5% 6/15/23

85,000

77,563

1,516,264

Wireless Telecommunication Services - 0.2%

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

105,000

119,963

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

165,000

165,000

Nextel Communications, Inc.:

5.95% 3/15/14

35,000

34,213

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Nextel Communications, Inc.: - continued

6.875% 10/31/13

$ 250,000

$ 259,063

Rogers Wireless, Inc. 9.625% 5/1/11

130,000

144,625

722,864

TOTAL TELECOMMUNICATION SERVICES

2,239,128

UTILITIES - 0.6%

Electric Utilities - 0.1%

AES Gener SA 7.5% 3/25/14 (f)

160,000

160,800

Nevada Power Co. 6.5% 4/15/12 (f)

15,000

15,450

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

55,000

56,100

TECO Energy, Inc.:

7% 5/1/12

115,000

120,319

7.2% 5/1/11

135,000

143,438

496,107

Gas Utilities - 0.1%

Sonat, Inc.:

6.625% 2/1/08

65,000

63,375

6.75% 10/1/07

45,000

44,944

7.625% 7/15/11

50,000

48,813

Tennessee Gas Pipeline Co. 7% 3/15/27

40,000

41,600

198,732

Multi-Utilities & Unregulated Power - 0.4%

AES Corp.:

7.75% 3/1/14

180,000

184,275

8.75% 6/15/08

85,000

91,800

8.75% 5/15/13 (f)

195,000

218,888

8.875% 2/15/11

90,000

99,788

9.375% 9/15/10

52,000

58,565

9.5% 6/1/09

10,000

11,138

CMS Energy Corp.:

7.5% 1/15/09

15,000

15,694

7.75% 8/1/10

20,000

21,175

8.5% 4/15/11

75,000

81,844

8.9% 7/15/08

100,000

108,875

9.875% 10/15/07

30,000

33,188

Nonconvertible Bonds - continued

Principal Amount

Value (Note 1)

UTILITIES - continued

Multi-Utilities & Unregulated Power - continued

NRG Energy, Inc. 8% 12/15/13 (f)

$ 300,000

$ 321,000

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

70,000

75,600

1,321,830

TOTAL UTILITIES

2,016,669

TOTAL NONCONVERTIBLE BONDS

(Cost $32,375,824)

33,111,079

U.S. Treasury Obligations - 0.3%

U.S. Treasury Bills, yield at date of purchase 1.34% to 1.65% 10/14/04 to 12/9/04 (g)
(Cost $898,106)

900,000

898,100

Money Market Funds - 9.5%

Shares

Fidelity Cash Central Fund, 1.74% (b)

28,724,907

28,724,907

Fidelity Securities Lending Cash Central Fund, 1.71% (b)(c)

4,681,303

4,681,303

TOTAL MONEY MARKET FUNDS

(Cost $33,406,210)

33,406,210

TOTAL INVESTMENT PORTFOLIO - 101.5%

(Cost $335,523,712)

357,818,301

NET OTHER ASSETS - (1.5)%

(5,218,157)

NET ASSETS - 100%

$ 352,600,144

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

50 S&P 500 Index Contracts

Dec. 2004

$ 13,936,250

$ (145,925)

The face value of futures purchased as a percentage of net assets - 4.0%

Legend

(a) Non-income producing

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

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

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

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

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $8,016,618 or 2.3% of net assets.

(g) 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 $898,100.

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

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

Other Information

The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited):

AAA,AA,A

0.0%

BBB

0.0%

BB

3.2%

B

5.4%

CCC,CC,C

0.8%

Not Rated

0.0%

Equities

86.3%

Short-Term Investments and Net Other Assets

4.3%

100.0%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Percentages are adjusted for the effect of futures contracts, if applicable.

Distribution of investments by country of issue, as a percentage of total net assets, is as follows:

United States of America

77.0%

Japan

8.4%

Cayman Islands

3.6%

Canada

3.5%

Korea (South)

1.4%

Bermuda

1.2%

Others (individually less than 1%)

4.9%

100.0%

Income Tax Information

At September 30, 2004, the fund had a capital loss carryforward of approximately $167,301,000 of which $116,801,000 and $50,500,000 will expire on September 30, 2010 and 2011, respectively.

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

Annual Report

Financial Statements

Statement of Assets and Liabilities

September 30, 2004

Assets

Investment in securities, at value (including securities loaned of $3,527,909) (cost $335,523,712) - See accompanying schedule

$ 357,818,301

Cash

2,842

Receivable for investments sold

130,960

Receivable for fund shares sold

5,981,431

Dividends receivable

181,200

Interest receivable

706,975

Prepaid expenses

140

Other receivables

29,148

Total assets

364,850,997

Liabilities

Payable for investments purchased

$ 1,360,146

Payable for fund shares redeemed

5,888,912

Accrued management fee

168,070

Payable for daily variation on futures contracts

3,750

Other affiliated payables

93,949

Other payables and accrued expenses

54,723

Collateral on securities loaned, at value

4,681,303

Total liabilities

12,250,853

Net Assets

$ 352,600,144

Net Assets consist of:

Paid in capital

$ 497,013,192

Undistributed net investment income

916,426

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

(167,478,602)

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

22,149,128

Net Assets, for 34,259,677 shares outstanding

$ 352,600,144

Net Asset Value, offering price and redemption price per share ($352,600,144 ÷ 34,259,677 shares)

$ 10.29

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

Annual Report

Financial Statements - continued

Statement of Operations

Year ended September 30, 2004

Investment Income

Dividends

$ 2,167,019

Interest

2,606,589

Security lending

29,506

Total income

4,803,114

Expenses

Management fee

$ 1,936,139

Transfer agent fees

956,181

Accounting and security lending fees

126,398

Non-interested trustees' compensation

1,625

Custodian fees and expenses

41,275

Registration fees

33,543

Audit

36,818

Legal

4,284

Miscellaneous

23,826

Total expenses before reductions

3,160,089

Expense reductions

(88,378)

3,071,711

Net investment income (loss)

1,731,403

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities

47,471,505

Foreign currency transactions

(34,089)

Futures contracts

118,550

Total net realized gain (loss)

47,555,966

Change in net unrealized appreciation (depreciation) on:

Investment securities

(19,212,596)

Assets and liabilities in foreign currencies

(1,502)

Futures contracts

(145,925)

Total change in net unrealized appreciation (depreciation)

(19,360,023)

Net gain (loss)

28,195,943

Net increase (decrease) in net assets resulting from operations

$ 29,927,346

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

Annual Report

Statement of Changes in Net Assets

Year ended
September 30, 2004

Year ended
September 30, 2003

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 1,731,403

$ 1,118,270

Net realized gain (loss)

47,555,966

(21,909,561)

Change in net unrealized appreciation (depreciation)

(19,360,023)

79,635,426

Net increase (decrease) in net assets resulting
from operations

29,927,346

58,844,135

Distributions to shareholders from net investment income

(1,838,362)

(1,488,138)

Share transactions
Proceeds from sales of shares

207,765,550

103,536,414

Reinvestment of distributions

1,804,616

1,457,065

Cost of shares redeemed

(135,413,272)

(62,170,812)

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

74,156,894

42,822,667

Total increase (decrease) in net assets

102,245,878

100,178,664

Net Assets

Beginning of period

250,354,266

150,175,602

End of period (including undistributed net investment income of $916,426 and undistributed net investment income of $868,060, respectively)

$ 352,600,144

$ 250,354,266

Other Information

Shares

Sold

20,328,726

12,700,671

Issued in reinvestment of distributions

180,462

207,559

Redeemed

(13,277,879)

(7,996,252)

Net increase (decrease)

7,231,309

4,911,978

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

Annual Report

Financial Highlights

Years ended September 30,

2004

2003

2002

2001

2000

Selected Per-Share Data

Net asset value, beginning of period

$ 9.26

$ 6.79

$ 9.57

$ 15.32

$ 10.22

Income from Investment Operations

Net investment income (loss) B

.05

.05

.08 D

.20

.19

Net realized and unrealized gain (loss)

1.04

2.49

(2.64) D

(5.22)

4.98

Total from investment operations

1.09

2.54

(2.56)

(5.02)

5.17

Distributions from net investment income

(.06)

(.07)

(.22)

(.13)

(.02)

Distributions from net realized gain

-

-

-

(.60)

(.05)

Total distributions

(.06)

(.07)

(.22)

(.73)

(.07)

Net asset value, end of period

$ 10.29

$ 9.26

$ 6.79

$ 9.57

$ 15.32

Total Return A

11.79%

37.74%

(27.58)%

(33.98)%

50.84%

Ratios to Average Net Assets C

Expenses before expense reductions

.94%

1.03%

.97%

.89%

.96%

Expenses net of voluntary waivers, if any

.94%

1.03%

.97%

.89%

.96%

Expenses net of all reductions

.91%

1.00%

.88%

.85%

.90%

Net investment income (loss)

.52%

.63%

.87% D

1.55%

1.32%

Supplemental Data

Net assets, end of period
(000 omitted)

$ 352,600

$ 250,354

$ 150,176

$ 264,317

$ 565,258

Portfolio turnover rate

86%

131%

240%

255%

338%

A Total returns would have been lower had certain expenses not been reduced during the periods shown.

B Calculated based on average shares outstanding during the period.

C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.

D Effective October 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.

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

Annual Report

Notes to Financial Statements

For the period ended September 30, 2004

1. Significant Accounting Policies.

Fidelity Asset Manager: Aggressive (the fund) is a fund of Fidelity Charles Street 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 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. The following summarizes the significant accounting policies of the fund:

Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.

Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

Annual Report

Notes to Financial Statements - continued

1. Significant Accounting Policies - continued

Foreign Currency - continued

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds in the trust.

Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on the fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions 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, foreign currency transactions, passive foreign investment companies (PFIC), market discount, capital loss carryforwards, and losses deferred due to wash sales and excise tax regulations.

Annual Report

1. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:

Unrealized appreciation

$ 39,325,461

Unrealized depreciation

(17,437,120)

Net unrealized appreciation (depreciation)

21,888,341

Undistributed ordinary income

999,625

Capital loss carryforward

(167,301,060)

Cost for federal income tax purposes

$ 335,929,960

The tax character of distributions paid was as follows:

September 30,
2004

September 30,
2003

Ordinary Income

$ 1,838,362

$ 1,488,138

2. 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. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).

Futures Contracts. The fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase the fund's exposure to the underlying instrument, while selling futures tends to decrease the fund's exposure to the underlying instrument or hedge other fund 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 counter-parties do not perform under the contracts' terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

Annual Report

Notes to Financial Statements - continued

2. Operating Policies - continued

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.

3. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $310,802,352 and $266,925,108, respectively.

4. 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 .30% of the fund's average net assets and a group fee rate that averaged .28% 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 annual management fee rate was .58% of the fund's average net assets.

Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .28% of average net assets.

Accounting and Security Lending Fees. FSC 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.

Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $261,811 for the period.

Annual Report

4. Fees and Other Transactions with Affiliates - continued

Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $11,188 for the period.

5. Committed Line of Credit.

The fund participates with other funds managed by FMR in a $4.2 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. During the period, there were no borrowings on this line of credit.

6. Security Lending.

The fund lends portfolio securities from time to time in order to earn additional income. 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. Cash collateral 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.

7. Expense Reductions.

Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $87,844 for the period. 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 expenses. During the period, these credits reduced the fund's custody expenses by $534.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Charles Street Trust and Shareholders of Fidelity Asset Manager: Aggressive:

We have audited the accompanying statement of assets and liabilities of Fidelity Asset Manager: Aggressive (the Fund), a fund of Fidelity Charles Street Trust, including the portfolio of investments, as of September 30, 2004, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2004, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. 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 Asset Manager: Aggressive as of September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

/s/DELOITTE & TOUCHE LLP

DELOITTE & TOUCHE LLP

Boston, Massachusetts

November 12, 2004

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 299 funds advised by FMR or an affiliate. Mr. McCoy oversees 301 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (74)**

Year of Election or Appointment: 1981

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc.

Abigail P. Johnson (42)**

Year of Election or Appointment: 2001

Senior Vice President of Asset Manager: Aggressive (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds.

Laura B. Cronin (50)

Year of Election or Appointment: 2003

Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002).

Robert L. Reynolds (52)

Year of Election or Appointment: 2003

Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.

Annual Report

Non-Interested Trustees:

Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

J. Michael Cook (62)

Year of Election or Appointment: 2001

Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), The Dow Chemical Company (2000), and Northrop Grumman Corporation (global defense technology, 2003). He is a Member of the Diversity Advisory Council of Marakon (2003) and the Advisory Council of the Public Company Accounting Oversight Board (PCAOB), Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his alma mater.

Ralph F. Cox (72)

Year of Election or Appointment: 1991

Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin.

Robert M. Gates (61)

Year of Election or Appointment: 1997

Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001), and Brinker International (restaurant management, 2003). He also serves as a member of the Advisory Board of VoteHere.net (secure Internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy.

George H. Heilmeier (68)

Year of Election or Appointment: 2004

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001), Teletech Holdings (customer management services, 1998), and HRL Laboratories (private research and development, 2004). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), and Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002).

Donald J. Kirk (71)

Year of Election or Appointment: 1987

Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. (leadership education for arts and culture). Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations).

Marie L. Knowles (57)

Year of Election or Appointment: 2001

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (60)

Year of Election or Appointment: 2000

Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Co-Chairman and a Director of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida (1999). He also is a member of the Council on Foreign Relations.

Marvin L. Mann (71)

Year of Election or Appointment: 1993

Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director's Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.

William O. McCoy (70)

Year of Election or Appointment: 1997

Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998).

William S. Stavropoulos (65)

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman of the Board (2000), CEO (2002), a position he previously held from 1995-2000, Chairman of the Executive Committee (2000), and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Annual Report

Trustees and Officers - continued

Advisory Board Members and Executive Officers:

Correspondence intended for Mr. Dirks, Ms. Small, and Mr. Wolfe may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Dennis J. Dirks (56)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003).

Peter S. Lynch (61)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.

Cornelia M. Small (60)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Ms. Small is a member (2000) and Chairperson (2002) of the Investment Committee, and a member (2002) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1998). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

Kenneth L. Wolfe (65)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003), Bausch & Lomb, Inc., and Revlon Inc. (2004).

Bart A. Grenier (45)

Year of Election or Appointment: 2001

Vice President of Asset Manager: Aggressive. Mr. Grenier also serves as Vice President of certain Equity Funds (2001), a position he previously held from 1999 to 2000, and Vice President of certain High Income Funds (2002). He is Senior Vice President of FMR (1999) and FMR Co., Inc. (2001), and President and Director of Strategic Advisers, Inc. (2002). He also heads Fidelity's Asset Allocation Group (2000), Fidelity's Growth and Income Group (2001), Fidelity's Value Group (2001), and Fidelity's High Income Division (2001). Previously, Mr. Grenier served as President of Fidelity Ventures (2000), Vice President of certain High Income Funds (1997-2000), High Income Division Head (1997-2000), Group Leader of the Income-Growth and Asset Allocation-Income Groups (1996-2000), and Assistant Equity Division Head (1997-2000).

Richard C. Habermann (64)

Year of Election or Appointment: 1999

Vice President of Asset Manager: Aggressive. Mr. Habermann serves as Vice President of other funds advised by FMR. Mr. Habermann also serves as Senior Vice President of FMR and FMR Co., Inc (2001).

Matthew J. Conti (38)

Year of Election or Appointment: 2002

Vice President of Asset Manager: Aggressive. Mr. Conti also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Conti managed a variety of Fidelity funds. Mr. Conti also serves as Vice President of FMR (2003) and FMR Co., Inc. (2003).

Harry W. Lange (52)

Year of Election or Appointment: 2002

Vice President of Asset Manager: Aggressive. Mr. Lange also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Lange managed a variety of Fidelity funds. Mr. Lange also serves as Vice President of FMR (2000) and FMR Co., Inc. (2001).

Jeffrey Moore (38)

Year of Election or Appointment: 2002

Vice President of Asset Manager: Aggressive. Mr. Moore also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Moore served as a fixed-income analyst and portfolio manager.

Eric D. Roiter (55)

Year of Election or Appointment: 1999

Secretary of Asset Manager: Aggressive. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management, Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003).

Stuart Fross (45)

Year of Election or Appointment: 2003

Assistant Secretary of Asset Manager: Aggressive. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR.

Christine Reynolds (46)

Year of Election or Appointment: 2004

President, Treasurer, and Anti-Money Laundering (AML) officer of Asset Manager: Aggressive. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was most recently an audit partner with PwC's investment management practice.

Timothy F. Hayes (53)

Year of Election or Appointment: 2002

Chief Financial Officer of Asset Manager: Aggressive. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998).

Kenneth A. Rathgeber (57)

Year of Election or Appointment: 2004

Chief Compliance Officer of Asset Manager: Aggressive. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

John R. Hebble (46)

Year of Election or Appointment: 2003

Deputy Treasurer of Asset Manager: Aggressive. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003).

Kimberley H. Monasterio (40)

Year of Election or Appointment: 2004

Deputy Treasurer of Asset Manager: Aggressive. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

John H. Costello (58)

Year of Election or Appointment: 1999

Assistant Treasurer of Asset Manager: Aggressive. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.

Francis V. Knox, Jr. (57)

Year of Election or Appointment: 2002

Assistant Treasurer of Asset Manager: Aggressive. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002).

Peter L. Lydecker (50)

Year of Election or Appointment: 2004

Assistant Treasurer of Asset Manager: Aggressive. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Mark Osterheld (49)

Year of Election or Appointment: 2002

Assistant Treasurer of Asset Manager: Aggressive. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.

Kenneth B. Robins (35)

Year of Election or Appointment: 2004

Assistant Treasurer of Asset Manager: Aggressive. Mr. Robins also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Thomas J. Simpson (46)

Year of Election or Appointment: 2000

Assistant Treasurer of Asset Manager: Aggressive. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995).

Annual Report

Distributions

The fund designates 48% of the dividend distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

The fund designates 55% of the dividend distributed during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2005 of amounts for use in preparing 2004 income tax returns.

Annual Report

Proxy Voting Results

A special meeting of the fund's shareholders was held on September 15, 2004. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval.*

# of
Votes

% of
Votes

Affirmative

7,568,144,945.96

76.551

Against

1,665,604,684.78

16.847

Abstain

460,998,830.31

4.663

Broker
Non-Votes

191,690,954.58

1.939

TOTAL

9,886,439,415.63

100.000

PROPOSAL 2

To elect a Board of Trustees.*

# of
Votes

% of
Votes

J. Michael Cook

Affirmative

9,359,102,098.49

94.666

Withheld

527,337,317.14

5.334

TOTAL

9,886,439,415.63

100.000

Ralph F. Cox

Affirmative

9,333,369,952.29

94.406

Withheld

553,069,463.34

5.594

TOTAL

9,886,439,415.63

100.000

Laura B. Cronin

Affirmative

9,355,534,364.24

94.630

Withheld

530,905,051.39

5.370

TOTAL

9,886,439,415.63

100.000

Robert M. Gates

Affirmative

9,352,106,353.30

94.595

Withheld

534,333,062.33

5.405

TOTAL

9,886,439,415.63

100.000

George H. Heilmeier

Affirmative

9,360,572,048.31

94.681

Withheld

525,867,367.32

5.319

TOTAL

9,886,439,415.63

100.000

Abigail P. Johnson

Affirmative

9,327,059,416.89

94.342

Withheld

559,379,998.74

5.658

TOTAL

9,886,439,415.63

100.000

Edward C. Johnson 3d

Affirmative

9,323,731,909.04

94.308

Withheld

562,707,506.59

5.692

TOTAL

9,886,439,415.63

100.000

Donald J. Kirk

Affirmative

9,343,833,406.30

94.512

Withheld

542,606,009.33

5.488

TOTAL

9,886,439,415.63

100.000

Marie L. Knowles

Affirmative

9,362,664,343.97

94.702

Withheld

523,775,071.66

5.298

TOTAL

9,886,439,415.63

100.000

Ned C. Lautenbach

Affirmative

9,368,801,700.35

94.764

Withheld

517,637,715.28

5.236

TOTAL

9,886,439,415.63

100.000

Marvin L. Mann

Affirmative

9,342,116,785.91

94.494

Withheld

544,322,629.72

5.506

TOTAL

9,886,439,415.63

100.000

William O. McCoy

Affirmative

9,348,114,851.10

94.555

Withheld

538,324,564.53

5.445

TOTAL

9,886,439,415.63

100.000

Robert L. Reynolds

Affirmative

9,368,829,274.86

94.764

Withheld

517,610,140.77

5.236

TOTAL

9,886,439,415.63

100.000

William S. Stavropoulos

Affirmative

9,355,225,708.91

94.627

Withheld

531,213,706.72

5.373

TOTAL

9,886,439,415.63

100.000

Dennis J. Dirks**

Affirmative

9,363,252,671.04

94.708

Withheld

523,186,744.59

5.292

TOTAL

9,886,439,415.63

100.000

Cornelia M. Small**

Affirmative

9,357,897,300.73

94.654

Withheld

528,542,114.90

5.346

TOTAL

9,886,439,415.63

100.000

* Denotes trust-wide proposals and voting results.
** Effective 1/1/05

Annual 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

1   For mutual fund and brokerage trading.

2   For quotes.*

3   For account balances and holdings.

4   To review orders and mutual
fund activity.

5   To change your PIN.

*0   To 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.

Annual Report

To Visit Fidelity

For directions and hours,
please call 1-800-544-9797.

Arizona

7001 West Ray Road
Chandler, AZ

7373 N. Scottsdale Road
Scottsdale, AZ

California

815 East Birch Street
Brea, CA

1411 Chapin Avenue
Burlingame, CA

851 East Hamilton Avenue
Campbell, CA

527 North Brand Boulevard
Glendale, CA

19200 Von Karman Avenue
Irvine, CA

601 Larkspur Landing Circle
Larkspur, CA

10100 Santa Monica Blvd.
Los Angeles, CA

27101 Puerta Real
Mission Viejo, CA

73-575 El Paseo
Palm Desert, CA

251 University Avenue
Palo Alto, CA

1760 Challenge Way
Sacramento, CA

7676 Hazard Center Drive
San Diego, CA

8 Montgomery Street
San Francisco, CA

21701 Hawthorne Boulevard
Torrance, CA

2001 North Main Street
Walnut Creek, CA

6300 Canoga Avenue
Woodland Hills, CA

Colorado

1625 Broadway
Denver, CO

9185 East Westview Road
Littleton, 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

222 Delaware Avenue
Wilmington, DE

Florida

4400 N. Federal Highway
Boca Raton, FL

121 Alhambra Plaza
Coral Gables, FL

2948 N. Federal Highway
Ft. Lauderdale, FL

1907 West State Road 434
Longwood, FL

8880 Tamiami Trail, North
Naples, FL

3501 PGA Boulevard
West Palm Beach, FL

8065 Beneva Road
Sarasota, FL

1502 N. Westshore Blvd.
Tampa, FL

Georgia

3445 Peachtree Road, N.E.
Atlanta, GA

1000 Abernathy Road
Atlanta, GA

Illinois

One North LaSalle Street
Chicago, IL

1415 West 22nd Street
Oak Brook, IL

1700 East Golf Road
Schaumburg, IL

3232 Lake Avenue
Wilmette, IL

Indiana

4729 East 82nd Street
Indianapolis, IN

Kansas

5400 College Boulevard
Overland Park, KS

Maine

Three Canal Plaza
Portland, ME

Maryland

7401 Wisconsin Avenue
Bethesda, MD

One W. Pennsylvania Ave.
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Massachusetts

801 Boylston Street
Boston, MA

155 Congress Street
Boston, MA

300 Granite Street
Braintree, MA

44 Mall Road
Burlington, MA

405 Cochituate Road
Framingham, MA

416 Belmont Street
Worcester, MA

Annual Report

Michigan

280 Old N. Woodward Ave.
Birmingham, MI

43420 Grand River Avenue
Novi, MI

29155 Northwestern Hwy.
Southfield, MI

Minnesota

7600 France Avenue South
Edina, MN

Missouri

8885 Ladue Road
Ladue, MO

New Jersey

150 Essex Street
Millburn, NJ

56 South Street
Morristown, NJ

501 Route 17, South
Paramus, NJ

3518 Route 1 North
Princeton, NJ

New York

1055 Franklin Avenue
Garden City, NY

37 West Jericho Turnpike
Huntington Station, NY

1271 Avenue of the Americas
New York, NY

61 Broadway
New York, NY

350 Park Avenue
New York, NY

North Carolina

4611 Sharon Road
Charlotte, NC

Ohio

3805 Edwards Road
Cincinnati, OH

28699 Chagrin Boulevard
Woodmere Village, OH

1324 Polaris Parkway
Columbus, OH

Oregon

16850 SW 72nd Avenue
Tigard, OR

Pennsylvania

600 West DeKalb Pike
King of Prussia, PA

1735 Market Street
Philadelphia, PA

12001 Perry Highway
Wexford, PA

Rhode Island

47 Providence Place
Providence, RI

Tennessee

6150 Poplar Avenue
Memphis, TN

Texas

10000 Research Boulevard
Austin, TX

4017 Northwest Parkway
Dallas, TX

12532 Memorial Drive
Houston, TX

2701 Drexel Drive
Houston, TX

400 East Las Colinas Blvd.
Irving, TX

14100 San Pedro
San Antonio, TX

19740 IH 45 North
Spring, TX

6005 West Park Boulevard
Plano, TX

Utah

215 South State Street
Salt Lake City, UT

Virginia

1861 International Drive
McLean, VA

Washington

411 108th Avenue, N.E.
Bellevue, WA

1518 6th Avenue
Seattle, WA

Washington, DC

1900 K Street, N.W.
Washington, DC

Wisconsin

595 North Barker Road
Brookfield, WI

Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC

Annual Report

To Write Fidelity

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(letter_graphic)Making Changes
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Selling shares

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Fidelity Investments
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General Correspondence

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Annual Report

Annual Report

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AGG-UANN-1104
1.792129.101

Spartan®

Investment Grade Bond

Fund

Annual Report

September 30, 2004

(2_fidelity_logos)(Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion

<Click Here>

The manager's review of fund performance, strategy and outlook.

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>

Trustees and Officers

<Click Here>

Proxy Voting Results

<Click Here>

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at 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 Corp. or an affiliated company.

(Recycle graphic)   This report is printed on recycled paper using soy-based inks.

Annual Report

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.

Commencing with the fiscal quarter ending December 31, 2004, the 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 website at http://www.sec.gov. The 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 the fund's portfolio holdings, view the fund's most recent quarterly holdings report, semiannual report, or annual report on Fidelity's website at http://www.fidelity.com/holdings.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Many of you have read or heard news stories recently that were critical of mutual funds and made allegations that the mutual fund industry has been less than forthright. I find these reports unsettling and not necessarily an accurate picture of the overall industry, and I would like you to know where we at Fidelity stand.

With specific regard to allegations that certain mutual fund companies were violating the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities, I want to say two things:

First, Fidelity does not have agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not to say that someone could not deceive the company through fraudulent acts. But I underscore that we have no so-called "agreements" which would permit this illegal practice.

Second, Fidelity has been on record for years opposing predatory short-term trading which adversely affects other shareholders in a mutual fund. In fact, in the 1980s, we began charging a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. What's more, several years ago we took the industry lead in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. It is reasonable to assume that another structure can be developed that would alter the system to make it much more difficult for predatory traders to operate. This, however, will only be achieved through close cooperation among regulators, legislators and the industry.

Certainly no industry is perfect, and there have been instances of unethical and illegal activity from time to time within the mutual fund industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. Clearly, every system can be improved. We applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings. But we remain concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems.

For more than 57 years, Fidelity Investments has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Many of them were family and friends. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.

Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.

Best regards,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended September 30, 2004

Past 1
year

Past 5
years

Past 10
years

Spartan® Inv. Grade Bond Fund

4.08%

7.55%

7.70%

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Spartan® Investment Grade Bond Fund on September 30, 1994. The chart shows how the value of your investment would have grown, and also shows how the Lehman Brothers® Aggregate Bond Index did over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Kevin Grant, Portfolio Manager of Fidelity® Spartan Investment Grade Bond Fund

A recovering U.S. economy and potentially higher interest rates led many to forecast flat-to-negative returns for investment-grade bonds in 2004. But performance exceeded expectations during the 12 months that ended September 30, 2004. The Lehman Brothers® Aggregate Bond Index - a measure of the overall taxable bond market - reeled off five consecutive monthly gains from November 2003 through March 2004. Bonds tumbled in the spring, though, falling about 3.00% combined in April and May, when an increase in employment levels led to unease about the direction of interest rates. However, bonds rose in each of the final four months of the period, despite three rate hikes by the Federal Reserve Board. The Lehman Brothers Aggregate Bond index rose 3.68% for the 12 months overall. Corporate bonds and mortgage securities fared best, as the Lehman Brothers Credit Bond and Mortgage-Backed Securities indexes rose 4.44% and 4.36%, respectively. Treasuries - the most interest-rate-sensitive bond category - fared less well, but the Lehman Brothers U.S. Treasury Index still posted a 2.55% advance for the year.

For the 12 months ending September 30, 2004, the fund gained 4.08%, compared to 3.68% for the Lehman Brothers Aggregate Bond Index and 3.23% for the LipperSM Intermediate Investment Grade Debt Funds Average. The fund benefited most from its weighting in mortgage securities and also from security selection among corporate bonds with lower-investment-grade ratings. During the year's second quarter, a focus on premium mortgage bonds helped the fund. I was able to buy these bonds when they were very cheap, priced for the worst possible prepayment environment. When the market environment improved, they performed very well and helped the fund. In the third quarter, I sold some of the fund's stake in premium mortgages after the market began pricing these securities more fairly. Instead, I moved assets into lower-coupon mortgages because those had become the cheaper part of the market. As the bond market began to rally, these lower-coupon bonds started to perform very well - another decision that worked to the fund's benefit.

Note to shareholders: Jeffery Moore will become Portfolio Manager of Spartan Investment Grade Bond Fund on December 1, 2004.

The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual 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 (April 1, 2004 to September 30, 2004).

Actual Expenses

The first line of the table below 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.

Hypothetical Example for Comparison Purposes

The second line of the table below 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.

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.

Beginning
Account Value
April 1, 2004

Ending
Account Value
September 30, 2004

Expenses Paid
During Period*
April 1, 2004
to September 30, 2004

Actual

$ 1,000.00

$ 1,009.90

$ 2.51

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,022.47

$ 2.53

* Expenses are equal to the Fund's annualized expense ratio of .50%; multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

Annual Report

Investment Changes

Quality Diversification (% of fund's net assets)

As of September 30, 2004 *

As of March 31, 2004 **

U.S. Government
and U.S. Government
Agency Obligations 51.6%

U.S. Government
and U.S. Government
Agency Obligations 55.6%

AAA 9.6%

AAA 9.2%

AA 3.2%

AA 3.9%

A 16.1%

A 15.1%

BBB 20.8%

BBB 19.6%

BB and Below 0.7%

BB and Below 1.5%

Not Rated 0.9%

Not Rated 1.0%

Short-Term
Investments and
Net Other Assets(dagger) (2.9)%

Short-Term
Investments and
Net Other Assets(dagger) (5.9)%



We have used ratings from Moody's Investors Services®, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Securities rated BB or below were rated investment grade at the time of acquisition.

Average Years to Maturity as of September 30, 2004

6 months ago

Years

5.3

5.9

Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount.

Duration as of September 30, 2004

6 months ago

Years

4.5

4.4

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 September 30, 2004 *

As of March 31, 2004 **

Corporate Bonds 27.8%

Corporate Bonds 30.1%

U.S. Government
and U.S. Government
Agency Obligations 51.6%

U.S. Government
and U.S. Government Agency Obligations 55.6%

Asset-Backed
Securities 12.0%

Asset-Backed
Securities 12.1%

CMOs and
Other Mortgage
Related Securities 9.6%

CMOs and
Other Mortgage
Related Securities 6.7%

Other Investments 1.9%

Other Investments 1.4%

Short-Term
Investments and
Net Other Assets(dagger) (2.9)%

Short-Term
Investments and
Net Other Assets(dagger) (5.9)%



* Foreign investments

11.3%

** Foreign investments

9.0%

* Futures and Swaps

6.6%

** Futures and Swaps

4.1%

(dagger) Short-Term Investments and Net Other Assets are not included in the pie chart.

The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund.

Annual Report

Investments September 30, 2004

Showing Percentage of Net Assets

Nonconvertible Bonds - 27.3%

Principal
Amount (000s)

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - 3.1%

Auto Components - 0.4%

DaimlerChrysler NA Holding Corp.:

4.05% 6/4/08

$ 1,910

$ 1,927

4.75% 1/15/08

8,490

8,744

10,671

Automobiles - 0.2%

General Motors Corp. 7.2% 1/15/11

3,600

3,813

Media - 2.3%

AOL Time Warner, Inc.:

6.875% 5/1/12

3,700

4,128

7.625% 4/15/31

2,180

2,509

7.7% 5/1/32

4,500

5,233

British Sky Broadcasting Group PLC (BSkyB) yankee 8.2% 7/15/09

6,975

8,128

Cox Communications, Inc.:

4.625% 6/1/13

4,800

4,426

7.125% 10/1/12

4,105

4,454

7.75% 11/1/10

6,210

6,921

Liberty Media Corp. 8.25% 2/1/30

3,900

4,329

News America Holdings, Inc. 8% 10/17/16

5,400

6,602

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

4,400

5,610

Time Warner Entertainment Co. LP:

8.875% 10/1/12

750

922

10.15% 5/1/12

500

649

Viacom, Inc. 7.7% 7/30/10

1,730

2,013

55,924

Multiline Retail - 0.1%

The May Department Stores Co. 3.95% 7/15/07 (a)

1,295

1,305

Specialty Retail - 0.1%

Boise Cascade Corp. 7.5% 2/1/08

1,920

2,131

TOTAL CONSUMER DISCRETIONARY

73,844

CONSUMER STAPLES - 0.4%

Tobacco - 0.4%

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

9,235

9,635

ENERGY - 1.4%

Energy Equipment & Services - 0.1%

Cooper Cameron Corp. 2.65% 4/15/07

2,835

2,778

Nonconvertible Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

ENERGY - continued

Oil & Gas - 1.3%

Anadarko Petroleum Corp. 5% 10/1/12

$ 1,500

$ 1,543

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

3,555

3,605

Duke Energy Field Services LLC 7.875% 8/16/10

5,400

6,356

EnCana Corp. 6.5% 8/15/34

1,235

1,320

Enterprise Products Operating LP:

4.625% 10/15/09 (a)(b)

960

968

5.6% 10/15/14 (a)(b)

680

685

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

3,000

3,272

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

5,200

6,122

Williams Companies, Inc.:

7.125% 9/1/11

6,770

7,430

7.5% 1/15/31

910

915

32,216

TOTAL ENERGY

34,994

FINANCIALS - 15.9%

Capital Markets - 1.7%

Amvescap PLC:

5.9% 1/15/07

1,840

1,942

yankee 6.6% 5/15/05

6,765

6,920

Bank of New York Co., Inc.:

3.4% 3/15/13 (c)

2,400

2,350

4.25% 9/4/12 (c)

2,835

2,866

Credit Suisse First Boston (USA), Inc. 4.7% 6/1/09

3,435

3,535

Goldman Sachs Group, Inc.:

5.7% 9/1/12

3,690

3,899

6.6% 1/15/12

8,325

9,297

Morgan Stanley:

4.75% 4/1/14

5,960

5,770

6.6% 4/1/12

4,340

4,840

41,419

Commercial Banks - 1.2%

Export-Import Bank of Korea:

4.125% 2/10/09 (a)

1,320

1,320

5.25% 2/10/14 (a)

4,825

4,889

Korea Development Bank:

3.875% 3/2/09

4,800

4,753

4.75% 7/20/09

2,350

2,404

Nonconvertible Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

FINANCIALS - continued

Commercial Banks - continued

Korea Development Bank: - continued

5.75% 9/10/13

$ 9,313

$ 9,818

Popular North America, Inc. 6.125% 10/15/06

3,325

3,512

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

2,200

2,578

29,274

Consumer Finance - 4.5%

American General Finance Corp.:

2.75% 6/15/08

305

295

4% 3/15/11

5,500

5,374

4.625% 5/15/09

7,300

7,496

Capital One Bank:

4.875% 5/15/08

4,370

4,526

6.5% 6/13/13

4,660

5,096

Ford Motor Credit Co.:

6.5% 1/25/07

8,140

8,622

7.375% 10/28/09

12,470

13,659

General Electric Capital Corp.:

6% 6/15/12

2,500

2,747

6.125% 2/22/11

14,500

15,989

General Motors Acceptance Corp.:

5.625% 5/15/09

655

668

6.125% 2/1/07

655

688

6.875% 9/15/11

8,375

8,786

Household Finance Corp.:

6.375% 10/15/11

9,910

10,923

6.375% 11/27/12

3,370

3,734

6.75% 5/15/11

5,160

5,808

7% 5/15/12

2,045

2,340

MBNA America Bank NA 6.625% 6/15/12

4,320

4,800

MBNA Corp. 7.5% 3/15/12

5,360

6,197

107,748

Diversified Financial Services - 5.8%

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

2,255

2,424

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

1,375

1,661

Cadbury Schweppes U.S. Finance LLC 5.125% 10/1/13 (a)

2,120

2,153

Deutsche Telekom International Finance BV:

5.25% 7/22/13

3,270

3,346

8.25% 6/15/05

2,890

3,002

Nonconvertible Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

FINANCIALS - continued

Diversified Financial Services - continued

Deutsche Telekom International Finance BV: - continued

8.5% 6/15/10

$ 1,315

$ 1,576

8.75% 6/15/30

5,645

7,297

Duke Capital LLC 4.331% 11/16/06

1,395

1,420

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

1,900

2,018

Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (a)

1,260

1,327

Hutchison Whampoa International 03/33 Ltd.:

6.25% 1/24/14 (a)

6,260

6,424

7.45% 11/24/33 (a)

1,800

1,865

International Lease Finance Corp. 4.375% 11/1/09

2,800

2,823

J.P. Morgan Chase & Co. 4.875% 3/15/14

3,990

3,953

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

6,715

6,928

NiSource Finance Corp. 7.875% 11/15/10

3,505

4,142

Pemex Project Funding Master Trust:

6.125% 8/15/08

4,000

4,200

7.375% 12/15/14

14,500

15,805

Petronas Capital Ltd. 7% 5/22/12 (a)

18,165

20,693

Sprint Capital Corp.:

7.625% 1/30/11

3,700

4,275

8.375% 3/15/12

2,520

3,052

Telecom Italia Capital:

4% 11/15/08 (a)

5,700

5,732

4.95% 9/30/14 (a)(b)

3,180

3,107

Tyco International Group SA yankee:

6.375% 10/15/11

2,700

2,986

6.75% 2/15/11

12,825

14,429

Verizon Global Funding Corp.:

7.25% 12/1/10

4,980

5,742

7.375% 9/1/12

6,435

7,515

139,895

Insurance - 0.5%

Aegon NV 4.75% 6/1/13

6,900

6,837

Assurant, Inc. 5.625% 2/15/14

1,830

1,878

Travelers Property Casualty Corp.:

5% 3/15/13

1,710

1,700

6.375% 3/15/33

2,200

2,254

12,669

Nonconvertible Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

FINANCIALS - continued

Real Estate - 1.5%

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

$ 2,522

$ 2,721

Camden Property Trust 5.875% 6/1/07

2,400

2,539

CarrAmerica Realty Corp. 5.25% 11/30/07

2,805

2,936

CenterPoint Properties Trust 5.75% 8/15/09

3,065

3,280

EOP Operating LP:

4.75% 3/15/14

4,800

4,633

7.75% 11/15/07

1,210

1,351

Gables Realty LP:

5.75% 7/15/07

5,500

5,808

6.8% 3/15/05

765

777

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

3,585

3,470

Merry Land & Investment Co., Inc. 7.25% 6/15/05

3,150

3,247

Regency Centers LP 6.75% 1/15/12

5,055

5,618

36,380

Thrifts & Mortgage Finance - 0.7%

Countrywide Home Loans, Inc.:

3.25% 5/21/08

965

949

4% 3/22/11

5,990

5,817

Independence Community Bank Corp. 3.75% 4/1/14 (c)

2,250

2,186

Washington Mutual Bank 6.875% 6/15/11

3,150

3,561

Washington Mutual, Inc. 4.625% 4/1/14

4,575

4,373

16,886

TOTAL FINANCIALS

384,271

INDUSTRIALS - 0.5%

Aerospace & Defense - 0.4%

Bombardier, Inc.:

6.3% 5/1/14 (a)

4,130

3,567

7.45% 5/1/34 (a)

60

50

Raytheon Co.:

5.5% 11/15/12

1,915

2,006

6.15% 11/1/08

4,000

4,352

9,975

Airlines - 0.0%

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

1,460

1,311

Nonconvertible Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

INDUSTRIALS - continued

Commercial Services & Supplies - 0.1%

Boise Cascade Office Products Corp. 7.05% 5/15/05

$ 1,580

$ 1,621

TOTAL INDUSTRIALS

12,907

INFORMATION TECHNOLOGY - 0.3%

Communications Equipment - 0.3%

Motorola, Inc. 8% 11/1/11

6,120

7,356

MATERIALS - 0.6%

Chemicals - 0.1%

Lubrizol Corp.:

5.5% 10/1/14

815

809

6.5% 10/1/34

1,485

1,449

2,258

Containers & Packaging - 0.1%

Sealed Air Corp.:

5.625% 7/15/13 (a)

1,020

1,049

6.875% 7/15/33 (a)

2,140

2,284

3,333

Paper & Forest Products - 0.4%

International Paper Co.:

4.25% 1/15/09

955

958

5.5% 1/15/14

2,410

2,468

Weyerhaeuser Co.:

5.25% 12/15/09

2,405

2,517

7.375% 3/15/32

2,130

2,444

8,387

TOTAL MATERIALS

13,978

TELECOMMUNICATION SERVICES - 2.9%

Diversified Telecommunication Services - 2.4%

BellSouth Corp. 6.55% 6/15/34

11,500

12,105

British Telecommunications PLC:

8.375% 12/15/10

4,545

5,481

8.875% 12/15/30

1,500

1,971

France Telecom SA 8.75% 3/1/11

7,940

9,505

Koninklijke KPN NV yankee 8% 10/1/10

5,580

6,636

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

2,160

2,258

SBC Communications, Inc. 6.45% 6/15/34

2,400

2,467

Nonconvertible Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telefonica Europe BV 7.75% 9/15/10

$ 4,300

$ 5,067

TELUS Corp. yankee 7.5% 6/1/07

10,835

11,881

57,371

Wireless Telecommunication Services - 0.5%

America Movil SA de CV:

4.125% 3/1/09 (a)

2,390

2,330

5.5% 3/1/14 (a)

5,685

5,494

AT&T Wireless Services, Inc.:

7.875% 3/1/11

1,695

2,008

8.75% 3/1/31

795

1,044

Cingular Wireless LLC 7.125% 12/15/31

1,500

1,675

12,551

TOTAL TELECOMMUNICATION SERVICES

69,922

UTILITIES - 2.2%

Electric Utilities - 1.4%

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

2,775

2,871

DTE Energy Co. 7.05% 6/1/11

2,665

3,008

Duke Capital LLC 6.75% 2/15/32

2,070

2,181

FirstEnergy Corp.:

5.5% 11/15/06

2,920

3,039

6.45% 11/15/11

1,190

1,298

Hydro-Quebec yankee 8% 2/1/13

250

311

Illinois Power Co. 7.5% 6/15/09

4,800

5,472

MidAmerican Energy Holdings, Inc.:

4.625% 10/1/07

2,385

2,440

5.875% 10/1/12

1,595

1,684

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

5,720

6,332

Pacific Gas & Electric Co.:

4.2% 3/1/11

845

835

6.05% 3/1/34

4,060

4,132

Southern California Edison Co. 4.65% 4/1/15

290

284

33,887

Gas Utilities - 0.2%

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

1,200

1,353

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

3,435

3,915

5,268

Nonconvertible Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

UTILITIES - continued

Multi-Utilities & Unregulated Power - 0.6%

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

$ 2,805

$ 3,176

Dominion Resources, Inc.:

6.25% 6/30/12

2,450

2,661

8.125% 6/15/10

7,355

8,715

14,552

TOTAL UTILITIES

53,707

TOTAL NONCONVERTIBLE BONDS

(Cost $619,593)

660,614

U.S. Government and Government Agency Obligations - 15.0%

U.S. Government Agency Obligations - 4.9%

Fannie Mae:

4.375% 7/17/13

9,595

9,300

4.625% 10/15/13

35,000

35,205

5.5% 7/18/12

8,000

8,144

6% 5/15/11

5,875

6,488

6.125% 3/15/12

15,969

17,791

6.25% 2/1/11

5,425

5,990

Freddie Mac:

4.5% 1/15/14

14,050

13,981

5.25% 11/5/12

2,810

2,862

5.875% 3/21/11

17,110

18,574

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

118,335

U.S. Treasury Inflation Protected Obligations - 1.0%

U.S. Treasury Inflation-Indexed Bonds 2.375% 1/15/25

12,058

12,562

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

12,301

12,596

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

25,158

U.S. Treasury Obligations - 9.1%

U.S. Treasury Bonds:

6.125% 11/15/27

17,300

20,084

6.125% 8/15/29

23,510

27,399

6.375% 8/15/27

15,080

18,009

8% 11/15/21

16,000

21,993

U.S. Government and Government Agency Obligations - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

U.S. Treasury Obligations - continued

U.S. Treasury Bonds: - continued

9.875% 11/15/15

$ 4,860

$ 7,249

11.25% 2/15/15

1,400

2,228

U.S. Treasury Notes:

2.75% 7/31/06

69,687

69,948

3.125% 5/15/07

35,000

35,295

3.375% 12/15/08

2,200

2,214

4.75% 5/15/14

3,600

3,779

5% 8/15/11

11,140

11,972

TOTAL U.S. TREASURY OBLIGATIONS

220,170

TOTAL U.S. GOVERNMENT AND GOVERNMENT
AGENCY OBLIGATIONS

(Cost $352,837)

363,663

U.S. Government Agency - Mortgage Securities - 32.5%

Fannie Mae - 30.2%

4% 10/1/19 (b)

19,868

19,365

4.5% 10/1/19 (b)

94,710

94,414

4.5% 7/1/33 to 12/1/33

49,899

48,178

5% 10/1/34 (b)

209,000

206,912

5.5% 1/1/09 to 9/1/34

135,700

138,239

5.5% 10/1/34 (b)

59,659

60,479

6% 4/1/13 to 5/1/32

2,621

2,737

6% 10/1/34 (b)

9,080

9,395

6.5% 12/1/25 to 9/1/32

78,102

82,019

6.5% 10/1/34 (b)

34,244

35,913

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

26,444

28,084

7.5% 1/1/26 to 7/1/29

4,042

4,341

9.5% 4/1/17 to 10/1/18

104

117

TOTAL FANNIE MAE

730,193

Freddie Mac - 0.0%

8.5% 5/1/25 to 8/1/27

435

479

Government National Mortgage Association - 2.3%

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

12,188

12,423

6% 10/15/08 to 7/15/29

1,603

1,673

6.5% 10/15/27 to 6/15/28

1,272

1,347

U.S. Government Agency - Mortgage Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Government National Mortgage Association - continued

6.5% 10/1/34 (b)

$ 1,735

$ 1,828

7% 3/15/23 to 1/15/33

27,944

29,813

7% 10/1/34 (b)

7,214

7,686

7.5% 12/15/05 to 10/15/27

1,446

1,563

8% 1/15/30 to 6/15/32

152

165

8.5% 8/15/29 to 8/15/30

193

212

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

56,710

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $782,323)

787,382

Asset-Backed Securities - 7.3%

ACE Securities Corp.:

Series 2003-FM1 Class M2, 3.69% 11/25/32 (c)

1,920

1,953

Series 2004-HE1:

Class M1, 2.34% 2/25/34 (c)

975

975

Class M2, 2.94% 2/25/34 (c)

1,100

1,100

American Express Credit Account Master Trust Series 2004-C Class C, 2.26% 2/15/12 (a)(c)

11,700

11,707

Ameriquest Mortgage Securities, Inc. Series 2004-R2:

Class M1, 2.27% 4/25/34 (c)

545

545

Class M2, 2.32% 4/25/34 (c)

425

425

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE2 Class A2, 1.98% 4/15/33 (c)

2,754

2,757

Series 2003-HE7 Class A3, 1.96% 12/15/33 (c)

4,467

4,474

Bank One Issuance Trust:

Series 2002-C1 Class C1, 2.72% 12/15/09 (c)

3,285

3,326

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

5,500

5,585

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 2.09% 2/28/44 (c)

3,614

3,617

Capital One Multi-Asset Execution Trust:

Series 2002-B1 Class B1, 2.44% 7/15/08 (c)

5,185

5,206

Series 2003-B1 Class B1, 2.93% 2/17/09 (c)

7,130

7,231

Series 2003-B2 Class B2, 3.5% 2/17/09

3,750

3,777

Series 2003-B4 Class B4, 2.56% 7/15/11 (c)

3,395

3,455

CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 3.74% 10/25/33 (c)

1,670

1,720

Chase Credit Card Owner Trust Series 2004-1 Class B, 1.96% 5/15/09 (c)

1,855

1,855

Asset-Backed Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Chase Manhattan Auto Owner Trust Series 2001-A Class CTFS, 5.06% 2/15/08

$ 439

$ 443

Citibank Credit Card Issuance Trust:

Series 2000-C2 Class C2, 2.25% 10/15/07 (c)

7,200

7,218

Series 2002-B1 Class B1, 1.9% 6/25/09 (c)

3,960

3,973

Series 2003-C1 Class C1, 2.24% 4/7/10 (c)

2,375

2,428

Countrywide Home Loans, Inc.:

Series 2004-2 Class M1, 2.34% 5/25/34 (c)

2,300

2,300

Series 2004-3 Class M1, 2.34% 6/25/34 (c)

650

651

Fieldstone Mortgage Investment Corp. Series 2003-1:

Class M1, 2.52% 11/25/33 (c)

700

706

Class M2, 3.59% 11/25/33 (c)

400

409

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 2.39% 3/25/34 (c)

175

175

Class M4, 2.74% 3/25/34 (c)

125

125

Class M6, 3.09% 3/25/34 (c)

175

174

GSAMP Trust Series 2004-FM2:

Class M1, 2.34% 1/25/34 (c)

1,500

1,500

Class M2, 2.94% 1/25/34 (c)

700

700

Class M3, 3.14% 1/25/34 (c)

700

700

Home Equity Asset Trust:

Series 2003-2:

Class A2, 2.22% 8/25/33 (c)

615

617

Class M1, 2.72% 8/25/33 (c)

1,595

1,614

Series 2003-4:

Class M1, 2.64% 10/25/33 (c)

2,125

2,144

Class M2, 3.74% 10/25/33 (c)

2,515

2,560

Home Equity Asset Trust NIMS Trust:

Series 2002-4N Class A, 8% 5/27/33 (a)

146

146

Series 2003-2N Class A, 8% 9/27/33 (a)

403

405

Series 2003-5N Class A, 7.5% 1/27/34 (a)

166

167

Household Home Equity Loan Trust Series 2002-2 Class A, 1.9% 4/20/32 (c)

2,757

2,761

Long Beach Mortgage Loan Trust Series 2003-3 Class M2, 3.69% 7/25/33 (c)

2,545

2,613

MBNA Credit Card Master Note Trust:

Series 2001-B2 Class B2, 2.12% 1/15/09 (c)

24,500

24,586

Series 2003-B2 Class B2, 2.15% 10/15/10 (c)

625

628

Series 2003-B3 Class B3, 2.135% 1/18/11 (c)

3,295

3,304

Series 2003-B5 Class B5, 2.13% 2/15/11 (c)

5,010

5,045

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 2.34% 7/25/34 (c)

925

925

Class M2, 2.39% 7/25/34 (c)

175

175

Asset-Backed Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Meritage Mortgage Loan Trust Series 2004-1: - continued

Class M3, 2.79% 7/25/34 (c)

$ 350

$ 350

Class M4, 2.94% 7/25/34 (c)

235

235

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 2.715% 12/27/32 (c)

885

899

Series 2003-HE1 Class M2, 3.74% 5/25/33 (c)

2,910

2,955

Series 2003-NC8 Class M1, 2.54% 9/25/33 (c)

1,330

1,335

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 2.615% 1/25/32 (c)

2,765

2,805

Series 2002-NC1 Class M1, 2.415% 2/25/32 (a)(c)

1,660

1,675

Series 2002-NC3 Class M1, 2.56% 8/25/32 (c)

723

729

Series 2003-NC2 Class M2, 3.84% 2/25/33 (c)

1,430

1,463

National Collegiate Funding LLC Series 2004-GT1 Class IO1, 7.87% 6/24/10 (a)(e)

3,540

1,392

New Century Home Equity Loan Trust Series 2003-2 Class A2, 2.27% 1/25/33 (c)

2,249

2,253

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

4,800

4,794

NovaStar Home Equity Loan Series 2004-1:

Class M1, 2.29% 6/25/34 (c)

650

651

Class M4, 2.815% 6/25/34 (c)

1,065

1,067

Sears Credit Account Master Trust II:

Series 2000-2 Class A, 6.75% 9/16/09

6,300

6,544

Series 2002-4 Class A, 1.89% 8/18/09 (c)

5,500

5,506

SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.47% 6/15/33 (c)

2,165

2,184

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 2.21% 3/15/11 (a)(c)

4,670

4,674

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

5,300

5,322

TOTAL ASSET-BACKED SECURITIES

(Cost $174,512)

175,733

Collateralized Mortgage Obligations - 5.2%

Private Sponsor - 4.0%

Bank of America Mortgage Securities, Inc.:

Series 2003-K:

Class 1A1, 3.3916% 12/25/33 (c)

1,332

1,333

Class 2A1, 4.213% 12/25/33 (c)

3,580

3,580

Series 2003-L Class 2A1, 4.033% 1/25/34 (c)

6,668

6,632

Collateralized Mortgage Obligations - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Private Sponsor - continued

Bank of America Mortgage Securities, Inc.: - continued

Series 2004-1 Class 2A2, 4.7497% 10/25/34 (c)

$ 5,380

$ 5,434

Series 2004-B:

Class 1A1, 3.447% 3/25/34 (c)

2,410

2,408

Class 2A2, 4.1558% 3/25/34 (c)

2,191

2,189

Series 2004-C Class 1A1, 3.4239% 4/25/34 (c)

4,390

4,379

Series 2004-D:

Class 1A1, 3.5987% 5/25/34 (c)

4,944

4,944

Class 2A2, 4.2267% 5/25/34 (c)

5,522

5,524

Series 2004-G Class 2A7, 4.6636% 8/25/34 (c)

4,810

4,847

Series 2004-H Class 2A1, 4.5448% 9/25/34 (c)

5,403

5,417

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR3 Class 6A2, 2.21% 4/25/34 (c)

1,946

1,949

Series 2004-AR6 Class 9A2, 2.21% 10/25/34 (c)

2,801

2,804

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

828

863

Master Asset Securitization Trust Series 2004-9 Class 7A1, 6.3274% 5/25/17

4,435

4,613

Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2587% 8/25/17 (c)

3,995

4,146

Residential Asset Mortgage Products, Inc. sequential pay:

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

2,645

2,751

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

936

971

Residential Finance LP/Residential Finance Development Corp. floater:

Series 2003-B:

Class B3, 3.1238% 7/10/35 (a)(c)

4,804

4,889

Class B4, 3.3238% 7/10/35 (a)(c)

3,627

3,691

Class B5, 3.9238% 7/10/35 (a)(c)

3,431

3,481

Class B6, 4.4238% 7/10/35 (a)(c)

1,568

1,595

Series 2003-CB1:

Class B3, 3.0238% 6/10/35 (a)(c)

1,650

1,681

Class B4, 3.2238% 6/10/35 (a)(c)

1,479

1,506

Class B5, 3.8238% 6/10/35 (a)(c)

1,009

1,030

Class B6, 4.3238% 6/10/35 (a)(c)

597

610

Series 2004-A Class B5, 3.2738% 2/10/36 (a)(c)

3,973

4,004

Series 2004-B:

Class B4, 2.6738% 2/10/36 (a)(c)

597

597

Class B5, 3.1238% 2/10/36 (a)(c)

398

398

Class B6, 3.5738% 2/10/36 (a)(c)

100

100

Series 2004-C:

Class B4, 2.79% 9/10/36 (c)

800

800

Collateralized Mortgage Obligations - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Private Sponsor - continued

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

Series 2004-C:

Class B5, 3.19% 9/10/36 (c)

$ 900

$ 900

Class B6, 3.59% 9/10/36 (c)

100

100

Washington Mutual Mortgage Securities Corp. sequential pay:

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

857

895

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

1,567

1,622

Wells Fargo Mortgage Backed Securities Trust Series 2004-T Class A1, 3.457% 9/25/34 (c)

5,321

5,310

TOTAL PRIVATE SPONSOR

97,993

U.S. Government Agency - 1.2%

Fannie Mae:

planned amortization class Series 1994-81 Class PJ, 8% 7/25/23

1,897

1,909

sequential pay Series 1999-10 Class MZ, 6.5% 9/17/38

5,917

6,373

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

128

129

Freddie Mac planned amortization class Series 2355 Class CD, 6.5% 6/15/30

193

194

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class Series 1669 Class H, 6.5% 7/15/23

10,000

10,305

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

3,011

2,677

Series 2749 Class MZ, 5% 2/15/24

212

212

Series 2764 Class ZB, 5% 3/15/33

143

143

Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8703% 10/16/23 (c)

745

800

Ginnie Mae guaranteed REMIC pass thru securities sequential pay Series 2003-59 Class D, 3.654% 10/16/27

6,220

5,927

TOTAL U.S. GOVERNMENT AGENCY

28,669

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $125,944)

126,662

Commercial Mortgage Securities - 4.1%

Principal
Amount (000s)

Value (Note 1)
(000s)

Bayview Commercial Asset Trust floater:

Series 2004-1:

Class A, 2.2% 4/25/34 (a)(c)

$ 3,280

$ 3,270

Class B, 3.74% 4/25/34 (a)(c)

386

385

Class M1, 2.4% 4/25/34 (a)(c)

289

289

Class M2, 3.04% 4/25/34 (a)(c)

289

289

Series 2004-2 Class A, 2.27% 8/25/34 (a)(c)

2,914

2,917

Bear Stearns Commercial Mortgage Securities, Inc.:

floater:

Series 2003-BA1A Class A1, 2.0375% 4/14/15 (a)(c)

6,662

6,662

Series 2004-ESA Class A2, 2.0975% 5/14/16 (a)(c)

2,700

2,701

sequential pay Series 2004-ESA Class A3, 4.741% 5/14/16 (a)

1,385

1,421

Series 2004-ESA:

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

2,525

2,585

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

25

26

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

575

589

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

1,785

1,825

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

430

440

Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 6.4842% 2/12/16 (a)(c)

1,950

2,147

COMM floater Series 2002-FL7 Class A2, 1.95% 11/15/14 (a)(c)

2,459

2,459

Commercial Mortgage pass thru certificates floater Series 2004-CNL:

Class B, 2.2581% 9/15/14 (b)(c)

790

790

Class D, 2.4981% 9/15/14 (b)(c)

245

245

Class E, 2.5581% 9/15/14 (b)(c)

330

330

Class F, 2.6581% 9/15/14 (b)(c)

260

260

Class G, 2.8381% 9/15/14 (b)(c)

595

595

Class H, 2.9381% 9/15/14 (b)(c)

630

630

Class J, 3.4581% 9/15/14 (b)(c)

215

215

Class K, 3.8581% 9/15/14 (b)(c)

340

340

Class L, 4.0581% 9/15/14 (b)(c)

275

275

Commercial Resecuritization Trust sequential pay Series 1999-ABC1 Class A, 6.74% 1/27/09 (a)

3,720

3,876

CS First Boston Mortgage Securities Corp.:

sequential pay:

Series 1997-C2 Class A2, 6.52% 1/17/35

982

1,000

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

3,100

3,574

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

1,065

1,190

Commercial Mortgage Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

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

$ 1,530

$ 1,698

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

8,000

9,272

Equitable Life Assurance Society of the United States Series 174:

Class B1, 7.33% 5/15/06 (a)

1,500

1,596

Class C1, 7.52% 5/15/06 (a)

1,000

1,065

Ginnie Mae guaranteed REMIC pass thru securities:

sequential pay:

Series 2002-83 Class B, 4.6951% 12/16/24

2,430

2,479

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

4,210

4,148

Series 2003-36 Class C, 4.254% 2/16/31

3,380

3,359

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

6,085

6,048

Series 2003-47 Class XA, 0.2398% 6/16/43 (c)(e)

18,994

1,006

GS Mortgage Securities Corp. II:

sequential pay:

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

2,475

2,741

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

3,130

3,135

Series 1998-GLII Class E, 7.1905% 4/13/31 (c)

490

520

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

6,400

5,902

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

3,010

3,261

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

7,000

7,538

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

3,260

3,507

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $96,127)

98,600

Foreign Government and Government Agency Obligations - 1.7%

Chilean Republic 7.125% 1/11/12

7,440

8,537

Hong Kong Gov Spl Admin Reg 5.125% 8/1/14 (a)

8,580

8,830

New Brunswick Province yankee 7.625% 2/15/13

500

613

State of Israel 4.625% 6/15/13

975

938

Foreign Government and Government Agency Obligations - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

United Mexican States:

4.625% 10/8/08

$ 13,845

$ 13,983

7.5% 1/14/12

6,400

7,190

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT
AGENCY OBLIGATIONS

(Cost $38,031)

40,091

Supranational Obligations - 0.2%

Corporacion Andina de Fomento 6.875% 3/15/12
(Cost $3,037)

3,070

3,453

Fixed-Income Funds - 12.6%

Shares

Fidelity Ultra-Short Central Fund (d)
(Cost $306,000)

3,068,203

305,348

Cash Equivalents - 12.0%

Maturity
Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 1.89%, dated 9/30/04 due 10/1/04) (f)

$ 287,059

287,044

Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 1.77%, dated 9/30/04 due 10/1/04) (f)

4,123

4,123

TOTAL CASH EQUIVALENTS

(Cost $291,167)

291,167

TOTAL INVESTMENT PORTFOLIO - 117.9%

(Cost $2,789,571)

2,852,713

NET OTHER ASSETS - (17.9)%

(432,127)

NET ASSETS - 100%

$ 2,420,586

Swap Agreements

Expiration
Date

Notional
Amount (000s)

Value (000s)

Credit Default Swap

Receive quarterly notional amount multilpied by .43% and pay Bank of America upon default event of Apache Corp., par value of the notional amount of Apache Corp. 6.25% 4/15/12

Sept. 2014

$ 2,800

$ (4)

Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon default event of Devon Energy Corp., par value of the notional amount of Devon Energy Corp. 7.95% 4/15/32

June 2006

1,700

7

Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon default event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27

March 2009

2,100

3

Receive quarterly notional amount multiplied by .53% and pay Deutsche Bank upon default event of SBC Communications, Inc., par value of the notional amount of SBC Communications, Inc. 6.25% 3/15/11

March 2009

2,700

13

Receive quarterly notional amount multiplied by .53% and pay Lehman Brothers, Inc., upon default event of SBC Communications, Inc., par value of the notional amount of SBC Communications, Inc. 6.25% 3/15/11

March 2009

1,900

8

Receive quarterly notional amount multiplied by .62% and pay Lehman Brothers, Inc. upon default event of Comcast Cable Communications, Inc., par value of the notional amount of Comcast Cable Communications, Inc. 6.75% 1/30/11

June 2009

4,000

7

Receive quarterly notional amount multiplied by .75% and pay Citibank upon default event of News America, Inc., par value of the notional amount of News America, Inc. 4.75% 3/15/10

April 2010

3,000

9

TOTAL CREDIT DEFAULT SWAP

18,200

43

Swap Agreements - continued

Expiration
Date

Notional
Amount (000s)

Value (000s)

Interest Rate Swap

Receive quarterly a fixed rate equal to 2.4198% and pay quarterly a floating rate based on 3-month LIBOR with Merrill Lynch, Inc.

Dec. 2005

$ 25,000

$ (25)

Receive quarterly a fixed rate equal to 2.5664% and pay quarterly a floating rate based on 3-month LIBOR with Merrill Lynch, Inc.

March 2006

5,200

(7)

Receive quarterly a fixed rate equal to 2.8043% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Sept. 2006

20,000

5

Receive quarterly a fixed rate equal to 2.9119% and pay quarterly a floating rate based on 3 Month LIBOR with Bank of America

Oct. 2006

40,000

(12)

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

July 2014

9,660

357

TOTAL INTEREST RATE SWAP

99,860

318

Swap Agreements - continued

Expiration
Date

Notional
Amount (000s)

Value (000s)

Total Return Swap

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ and pay monthly a floating rate based on 1-month LIBOR minus 65 basis points with Lehman Brothers, Inc.

Oct. 2004

$ 5,200

$ 17

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc.

April 2005

5,200

0

Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 55 basis points with Deutsche Bank

Dec. 2004

3,800

6

Receive monthly a return equal to Lehman Brothers Commercial Mortgage-Backed Securities AAA Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 32 basis points with Bank of America

Nov. 2004

4,800

20

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 72 basis points with Bank of America

Jan. 2005

5,200

202

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 70 basis points with Bank of America

Dec. 2004

5,200

22

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America

Nov. 2004

10,400

358

TOTAL RETURN SWAP

39,800

625

$ 157,860

$ 986

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $190,963,000 or 7.9% of net assets.

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

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

(d) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request.

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

(f) Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement/
Counterparty

Value
(000s)

$287,044,000 due 10/1/04
at 1.89%

Banc of America Securities LLC.

$ 47,688

Bank of America, National Association

25,433

Barclays Capital Inc.

6,358

Bear Stearns & Co. Inc.

31,156

Countrywide Securities Corporation

5,723

Goldman, Sachs & Co.

31,792

Repurchase Agreement/
Counterparty

Value
(000s)

Greenwich Capital Markets, Inc.

$ 5,087

J.P. Morgan Securities, Inc.

19,075

Morgan Stanley & Co. Incorporated.

63,584

UBS Securities LLC

28,894

Wachovia Capital Markets, LLC

22,254

$ 287,044

$4,123,000 due 10/1/04
at 1.77%

Barclays Capital Inc.

$ 353

Bear Stearns & Co. Inc.

1,024

BNP Paribas Securities Corp.

1,165

Merrill Lynch Government Securities, Inc.

530

State Street Bank and Trust Company

1,051

$ 4,123

Distribution of investments by country of issue, as a percentage of total net assets, is as follows:

United States of America

88.6%

Cayman Islands

1.7%

Netherlands

1.5%

United Kingdom

1.4%

Mexico

1.2%

Korea (South)

1.1%

Others (individually less than 1%)

4.5%

100.0%

Income Tax Information

The fund hereby designates approximately $26,790,000 as a capital gain dividend for the purpose of the dividend paid deduction.

A total of 11.35% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax (unaudited). The fund will notify shareholders in January 2005 of amounts for use in preparing 2004 income tax returns.

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

Annual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amount)

September 30, 2004

Assets

Investment in securities, at value (including repurchase agreements of $291,167) (cost $2,789,571) - See accompanying schedule

$ 2,852,713

Cash

1

Receivable for investments sold

12,398

Receivable for fund shares sold

2,233

Interest receivable

18,502

Swap agreements, at value

986

Receivable from investment adviser for expense reductions

218

Total assets

2,887,051

Liabilities

Payable for investments purchased
Regular delivery

$ 9,722

Delayed delivery

451,924

Payable for fund shares redeemed

2,998

Distributions payable

522

Accrued management fee

1,203

Other affiliated payables

2

Other payables and accrued expenses

94

Total liabilities

466,465

Net Assets

$ 2,420,586

Net Assets consist of:

Paid in capital

$ 2,323,086

Undistributed net investment income

2,054

Accumulated undistributed net realized gain (loss) on investments

31,318

Net unrealized appreciation (depreciation) on investments

64,128

Net Assets, for 223,831 shares outstanding

$ 2,420,586

Net Asset Value, offering price and redemption price per share ($2,420,586 ÷ 223,831 shares)

$ 10.81

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

Annual Report

Financial Statements - continued

Statement of Operations

Amounts in thousands

Year ended September 30, 2004

Investment Income

Interest

$ 100,976

Security lending

39

Total income

101,015

Expenses

Management fee

$ 14,735

Non-interested trustees' compensation

15

Miscellaneous

2

Total expenses before reductions

14,752

Expense reductions

(2,457)

12,295

Net investment income

88,720

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities

37,340

Swap agreements

1,624

Total net realized gain (loss)

38,964

Change in net unrealized appreciation (depreciation) on:

Investment securities

(33,266)

Swap agreements

807

Delayed delivery commitments

2

Total change in net unrealized appreciation (depreciation)

(32,457)

Net gain (loss)

6,507

Net increase (decrease) in net assets resulting from operations

$ 95,227

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

Annual Report

Statement of Changes in Net Assets

Amounts in thousands

Year ended
September 30,
2004

Year ended
September 30,
2003

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 88,720

$ 101,171

Net realized gain (loss)

38,964

50,945

Change in net unrealized appreciation (depreciation)

(32,457)

29,303

Net increase (decrease) in net assets resulting
from operations

95,227

181,419

Distributions to shareholders from net investment income

(88,196)

(101,979)

Distributions to shareholders from net realized gain

(38,580)

(48,541)

Total distributions

(126,776)

(150,520)

Share transactions
Proceeds from sales of shares

667,255

1,117,122

Reinvestment of distributions

117,541

139,864

Cost of shares redeemed

(1,033,133)

(1,331,197)

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

(248,337)

(74,211)

Total increase (decrease) in net assets

(279,886)

(43,312)

Net Assets

Beginning of period

2,700,472

2,743,784

End of period (including undistributed net investment income of $2,054 and undistributed net investment income of $945, respectively)

$ 2,420,586

$ 2,700,472

Other Information

Shares

Sold

62,110

103,241

Issued in reinvestment of distributions

10,944

12,989

Redeemed

(96,318)

(123,492)

Net increase (decrease)

(23,264)

(7,262)

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

Annual Report

Financial Highlights

Years ended September 30,

2004

2003

2002

2001

2000

Selected Per-Share Data

Net asset value, beginning of period

$ 10.93

$ 10.79

$ 10.62

$ 10.00

$ 10.01

Income from Investment Operations

Net investment incomeB

.387

.402

.521D

.618

.640

Net realized and unrealized gain (loss)

.042

.344

.218D

.634

(.005)

Total from investment operations

.429

.746

.739

1.252

.635

Distributions from net investment income

(.384)

(.406)

(.508)

(.632)

(.645)

Distributions from net realized gain

(.165)

(.200)

(.061)

-

-

Total distributions

(.549)

(.606)

(.569)

(.632)

(.645)

Net asset value, end of period

$ 10.81

$ 10.93

$ 10.79

$ 10.62

$ 10.00

Total ReturnA

4.08%

7.13%

7.23%

12.89%

6.63%

Ratios to Average Net AssetsC

Expenses before expense reductions

.60%

.60%

.60%

.60%

.60%

Expenses net of voluntary waivers, if any

.50%

.50%

.50%

.50%

.50%

Expenses net of all reductions

.50%

.50%

.50%

.50%

.50%

Net investment income

3.61%

3.72%

4.95%D

6.02%

6.50%

Supplemental Data

Net assets, end of period
(in millions)

$ 2,421

$ 2,700

$ 2,744

$ 2,441

$ 1,835

Portfolio turnover rate

188%

274%

271%

223%

122%

A Total returns would have been lower had certain expenses not been reduced during the periods shown.

B Calculated based on average shares outstanding during the period.

C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.

D Effective October 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.

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

Annual Report

Notes to Financial Statements

For the period ended September 30, 2004

(Amounts in thousands except ratios)

1. Significant Accounting Policies.

Spartan Investment Grade Bond Fund (the fund) is a fund of Fidelity Charles Street 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 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. The following summarizes the significant accounting policies of the fund:

Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.

Investment Transactions and Income. Security transactions are accounted for as of trade date. 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.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds in the trust.

Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.

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Notes to Financial Statements - continued

(Amounts in thousands except ratios)

1. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

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. In addition, the fund will treat a portion of the proceeds from shares redeemed as a distribution from realized gain for income tax purposes.

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, financing transactions and losses deferred due to wash sales.

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:

Unrealized appreciation

$ 70,887

Unrealized depreciation

(5,766)

Net unrealized appreciation (depreciation)

65,121

Undistributed ordinary income

19,135

Undistributed long-term capital gain

17,097

Cost for federal income tax purposes

$ 2,787,592

The tax character of distributions paid was as follows:

September 30, 2004

September 30, 2003

Ordinary Income

$ 102,225

$ 138,385

Long-term Capital Gains

24,551

12,135

Total

$ 126,776

$ 150,520

2. 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. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. Collateral is held in

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2. Operating Policies - continued

Repurchase Agreements - continued

segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).

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 may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact the fund.

Total return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, the fund

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Notes to Financial Statements - continued

(Amounts in thousands except ratios)

2. Operating Policies - continued

Swap Agreements - continued

will receive a payment from the counterparty. To the extent it is less, the fund will make a payment to the counterparty. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.

Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The fund may enter into credit default swaps in which the fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the fund's Schedule of Investments under the caption "Swap Agreements."

Financing Transactions. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the

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2. Operating Policies - continued

Financing Transactions - continued

securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the fund's right to repurchase or sell securities may be limited.

3. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $457,910 and $488,610, respectively.

4. 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 .60% of the fund's average net assets. FMR pays all other expenses, except the compensation of the non-interested Trustees and certain exceptions such as interest expense. 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 non-interested Trustees.

Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $5,321 for the period.

5. Committed Line of Credit.

The fund participates with other funds managed by FMR in a $4.2 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 is included in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

6. Security Lending.

The fund lends portfolio securities from time to time in order to earn additional income. 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

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

6. Security Lending - continued

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. Cash collateral is invested in cash equivalents. At period end there were no security loans outstanding.

7. Expense Reductions.

FMR agreed to reimburse the fund to the extent annual operating expenses exceeded .50% of average net assets. Some expenses, for example interest expense, are excluded from this reimbursement. During the period, this reimbursement reduced the fund's expenses by $2,453.

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 expenses. During the period, these credits reduced the fund's expenses by $4.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Charles Street Trust and Shareholders of Spartan Investment Grade Bond Fund:

We have audited the accompanying statement of assets and liabilities of Spartan Investment Grade Bond Fund (the Fund), a fund of Fidelity Charles Street Trust, including the portfolio of investments, as of September 30, 2004, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2004, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. 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 Spartan Investment Grade Bond Fund as of September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

/s/DELOITTE & TOUCHE LLP

DELOITTE & TOUCHE LLP

Boston, Massachusetts

November 12, 2004

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 299 funds advised by FMR or an affiliate. Mr. McCoy oversees 301 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (74)**

Year of Election or Appointment: 1981

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc.

Abigail P. Johnson (42)**

Year of Election or Appointment: 2001

Senior Vice President of Spartan Investment Grade Bond (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds.

Laura B. Cronin (50)

Year of Election or Appointment: 2003

Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002).

Robert L. Reynolds (52)

Year of Election or Appointment: 2003

Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.

Annual Report

Non-Interested Trustees:

Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

J. Michael Cook (62)

Year of Election or Appointment: 2001

Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), The Dow Chemical Company (2000), and Northrop Grumman Corporation (global defense technology, 2003). He is a Member of the Diversity Advisory Council of Marakon (2003) and the Advisory Council of the Public Company Accounting Oversight Board (PCAOB), Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his alma mater.

Ralph F. Cox (72)

Year of Election or Appointment: 1991

Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin.

Robert M. Gates (61)

Year of Election or Appointment: 1997

Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001), and Brinker International (restaurant management, 2003). He also serves as a member of the Advisory Board of VoteHere.net (secure internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy.

George H. Heilmeier (68)

Year of Election or Appointment: 2004

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001), Teletech Holdings (customer management services), and HRL Laboratories (private research and development, 2004). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), and Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002).

Donald J. Kirk (71)

Year of Election or Appointment: 1987

Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. (leadership education for arts and culture). Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations).

Marie L. Knowles (57)

Year of Election or Appointment: 2001

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (60)

Year of Election or Appointment: 2000

Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Co-Chairman and a Director of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida (1999). He also is a member of the Council on Foreign Relations.

Marvin L. Mann (71)

Year of Election or Appointment: 1993

Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director's Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.

William O. McCoy (70)

Year of Election or Appointment: 1997

Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998).

William S. Stavropoulos (65)

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman of the Board (2000), CEO (2002), a position he previously held from 1995-2000, Chairman of the Executive Committee (2000), and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Annual Report

Advisory Board Members and Executive Officers:

Correspondence intended for Mr. Dirks, Ms. Small, and Mr. Wolfe may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Dennis J. Dirks (56)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003).

Peter S. Lynch (61)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.

Cornelia M. Small (60)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Ms. Small is a member (2000) and Chairperson (2002) of the Investment Committee, and a member (2002) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1998). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

Kenneth L. Wolfe (65)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003), Bausch & Lomb, Inc., and Revlon Inc. (2004).

Dwight D. Churchill (50)

Year of Election or Appointment: 1997

Vice President of Spartan Investment Grade Bond. He serves as Head of Fidelity's Fixed-Income Division (2000), Vice President of Fidelity's Money Market Funds (2000), Vice President of Fidelity's Bond Funds (1997), and Senior Vice President of FIMM (2000) and FMR (1997). Mr. Churchill joined Fidelity in 1993 as Vice President and Group Leader of Taxable Fixed-Income Investments.

Charles S. Morrison (43)

Year of Election or Appointment: 2002

Vice President of Spartan Investment Grade Bond. Mr. Morrison also serves as Vice President of Fidelity's Bond Funds (2002), and Vice President of certain Asset Allocation and Balanced Funds (2002). He serves as Vice President (2002) and Bond Group Leader (2002) of Fidelity Investments Fixed Income Division. Mr. Morrison is also Vice President of FIMM (2002) and FMR (2002). Mr. Morrison joined Fidelity in 1987 as a Corporate Bond Analyst in the Fixed Income Research Division.

Kevin E. Grant (44)

Year of Election or Appointment: 1997

Vice President of Spartan Investment Grade Bond. Mr. Grant serves as Vice President of other funds advised by FMR.

Eric D. Roiter (55)

Year of Election or Appointment: 1998

Secretary of Spartan Investment Grade Bond. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management, Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003).

Stuart Fross (45)

Year of Election or Appointment: 2003

Assistant Secretary of Spartan Investment Grade Bond. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR.

Christine Reynolds (46)

Year of Election or Appointment: 2004

President, Treasurer, and Anti-Money Laundering (AML) officer of Spartan Investment Grade Bond. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was most recently an audit partner with PwC's investment management practice.

Timothy F. Hayes (53)

Year of Election or Appointment: 2002

Chief Financial Officer of Spartan Investment Grade Bond. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998).

Kenneth A. Rathgeber (57)

Year of Election or Appointment: 2004

Chief Compliance Officer of Spartan Investment Grade Bond. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

John R. Hebble (46)

Year of Election or Appointment: 2003

Deputy Treasurer of Spartan Investment Grade Bond. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003).

Kimberley H. Monasterio (40)

Year of Election or Appointment: 2004

Deputy Treasurer of Spartan Investment Grade Bond. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

John H. Costello (58)

Year of Election or Appointment: 1992

Assistant Treasurer of Spartan Investment Grade Bond. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.

Francis V. Knox, Jr. (57)

Year of Election or Appointment: 2002

Assistant Treasurer of Spartan Investment Grade Bond. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002).

Peter L. Lydecker (50)

Year of Election or Appointment: 2004

Assistant Treasurer of Spartan Investment Grade Bond. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Mark Osterheld (49)

Year of Election or Appointment: 2002

Assistant Treasurer of Spartan Investment Grade Bond. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.

Kenneth B. Robins (35)

Year of Election or Appointment: 2004

Assistant Treasurer of Spartan Investment Grade Bond. Mr. Robins also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Thomas J. Simpson (46)

Year of Election or Appointment: 1998

Assistant Treasurer of Spartan Investment Grade Bond. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995).

Annual Report

Proxy Voting Results

A special meeting of the fund's shareholders was held on September 15, 2004. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval.*

# of
Votes

% of
Votes

Affirmative

7,568,144,945.96

76.551

Against

1,665,604,684.78

16.847

Abstain

460,998,830.31

4.663

Broker
Non-Votes

191,690,954.58

1.939

TOTAL

9,886,439,415.63

100.000

PROPOSAL 2

To elect a Board of Trustees.*

# of
Votes

% of
Votes

J. Michael Cook

Affirmative

9,359,102,098.49

94.666

Withheld

527,337,317.14

5.334

TOTAL

9,886,439,415.63

100.000

Ralph F. Cox

Affirmative

9,333,369,952.29

94.406

Withheld

553,069,463.34

5.594

TOTAL

9,886,439,415.63

100.000

Laura B. Cronin

Affirmative

9,355,534,364.24

94.630

Withheld

530,905,051.39

5.370

TOTAL

9,886,439,415.63

100.000

Robert M. Gates

Affirmative

9,352,106,353.30

94.595

Withheld

534,333,062.33

5.405

TOTAL

9,886,439,415.63

100.000

George H. Heilmeier

Affirmative

9,360,572,048.31

94.681

Withheld

525,867,367.32

5.319

TOTAL

9,886,439,415.63

100.000

# of
Votes

% of
Votes

Abigail P. Johnson

Affirmative

9,327,059,416.89

94.342

Withheld

559,379,998.74

5.658

TOTAL

9,886,439,415.63

100.000

Edward C. Johnson 3d

Affirmative

9,323,731,909.04

94.308

Withheld

562,707,506.59

5.692

TOTAL

9,886,439,415.63

100.000

Donald J. Kirk

Affirmative

9,343,833,406.30

94.512

Withheld

542,606,009.33

5.488

TOTAL

9,886,439,415.63

100.000

Marie L. Knowles

Affirmative

9,362,664,343.97

94.702

Withheld

523,775,071.66

5.298

TOTAL

9,886,439,415.63

100.000

Ned C. Lautenbach

Affirmative

9,368,801,700.35

94.764

Withheld

517,637,715.28

5.236

TOTAL

9,886,439,415.63

100.000

Marvin L. Mann

Affirmative

9,342,116,785.91

94.494

Withheld

544,322,629.72

5.506

TOTAL

9,886,439,415.63

100.000

William O. McCoy

Affirmative

9,348,114,851.10

94.555

Withheld

538,324,564.53

5.445

TOTAL

9,886,439,415.63

100.000

Robert L. Reynolds

Affirmative

9,368,829,274.86

94.764

Withheld

517,610,140.77

5.236

TOTAL

9,886,439,415.63

100.000

# of
Votes

% of
Votes

William S. Stavropoulos

Affirmative

9,355,225,708.91

94.627

Withheld

531,213,706.72

5.373

TOTAL

9,886,439,415.63

100.000

Dennis J. Dirks**

Affirmative

9,363,252,671.04

94.708

Withheld

523,186,744.59

5.292

TOTAL

9,886,439,415.63

100.000

Cornelia M. Small**

Affirmative

9,357,897,300.73

94.654

Withheld

528,542,114.90

5.346

TOTAL

9,886,439,415.63

100.000

* Denotes trust-wide proposals and voting results.
** Effective 1/1/05

Annual 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

1   For mutual fund and brokerage trading.

2   For quotes.*

3   For account balances and holdings.

4   To review orders and mutual
fund activity.

5   To change your PIN.

*0   To 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.

Annual 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

Annual Report

Investment Adviser

Fidelity Management & Research
Company

Boston, MA

Investment Sub-Advisers

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Far East) Inc.

Fidelity Investments
Money Management, Inc.

Fidelity Investments Japan Limited

Fidelity International
Investment Advisors

Fidelity International
Investment Advisors (U.K.) Limited

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Shareholder
Servicing Agent

Fidelity Service Company, Inc.

Boston, MA

Custodian

JP Morgan Chase Bank

New York, NY

Fidelity's Taxable Bond Funds

Capital & Income

Floating Rate High Income

Ginnie Mae

Government Income

High Income

Inflation-Protected Bond

Intermediate Bond

Intermediate Government Income

Investment Grade Bond

Mortgage Securities

New Markets Income

Short-Term Bond

Spartan® Government Income

Spartan Investment Grade Bond

Strategic Income

Total Bond

Ultra-Short Bond

U.S. Bond Index

Please carefully consider the funds' investment objectives, risks, charges and expenses before investing. For this and other information, call 1-800-544-6666 for a free prospectus. Read it carefully before you invest or send money.

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®) (automated graphic)    1-800-544-5555

(automated graphic)    Automated line for quickest service

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com

SIG-UANN-1104
1.792132.101

Fidelity®

Asset Manager: Growth®

Annual Report

September 30, 2004

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion

<Click Here>

The manager's review of fund performance, strategy and outlook.

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>

Trustees and Officers

<Click Here>

Distributions

<Click Here>

Proxy Voting Results

<Click Here>

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at 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 Corp. or an affiliated company.

(Recycle graphic)   This report is printed on recycled paper using soy-based inks.

Annual Report

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.

Commencing with the fiscal quarter ending December 31, 2004, the 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. The 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 the fund's portfolio holdings, view the fund's most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Many of you have read or heard news stories recently that were critical of mutual funds and made allegations that the mutual fund industry has been less than forthright. I find these reports unsettling and not necessarily an accurate picture of the overall industry, and I would like you to know where we at Fidelity stand.

With specific regard to allegations that certain mutual fund companies were violating the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities, I want to say two things:

First, Fidelity does not have agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not to say that someone could not deceive the company through fraudulent acts. But I underscore that we have no so-called "agreements" which would permit this illegal practice.

Second, Fidelity has been on record for years opposing predatory short-term trading which adversely affects other shareholders in a mutual fund. In fact, in the 1980s, we began charging a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. What's more, several years ago we took the industry lead in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. It is reasonable to assume that another structure can be developed that would alter the system to make it much more difficult for predatory traders to operate. This, however, will only be achieved through close cooperation among regulators, legislators and the industry.

Certainly no industry is perfect, and there have been instances of unethical and illegal activity from time to time within the mutual fund industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. Clearly, every system can be improved. We applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings. But we remain concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems.

For more than 57 years, Fidelity Investments has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Many of them were family and friends. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.

Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.

Best regards,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended September 30, 2004

Past 1
year

Past 5
years

Past 10
years

Fidelity® Asset Manager: Growth ®

6.99%

0.69%

7.75%

$10,000 Over 10 years

Let's say hypothetically that $10,000 was invested in Fidelity® Asset Manager: Growth® on September 30, 1994. The chart shows how the value of your investment would have grown, and also shows how the Standard & Poor's 500 Index did over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Richard Habermann, Portfolio Manager of Fidelity® Asset Manager: Growth®

U.S. equity markets were an up-and-down proposition during the 12 months ending September 30, 2004. The Standard & Poor's 500SM Index registered five consecutive months of gains from October 2003 through February 2004. An improving economy and better corporate profits were key contributors to the broad market rally. But equities mostly trended lower from there, as surging oil prices, Federal Reserve Board interest rate hikes and concerns about job growth pressured stocks. Still, many equity benchmarks posted solid gains for the year overall. The S&P 500® returned 13.87%, the Dow Jones Industrial AverageSM rose 10.96% and the NASDAQ Composite® Index advanced 6.71%. Meanwhile, investment-grade bond performance exceeded expectations, with the Lehman Brothers® Aggregate Bond Index climbing 3.68%. Bonds reeled off five consecutive monthly gains from November 2003 through March 2004 before tumbling in the spring when an increase in employment levels led to unease about the direction of interest rates. However, bonds rose in each of the final four months of the period, despite three rate hikes. Most spread sectors - including corporate and mortgage securities - handily outpaced Treasuries, the most interest-rate-sensitive bond category.

The fund gained 6.99% for the year, while the Fidelity Asset Manager: Growth Composite Index and the LipperSM Flexible Portfolio Funds Average rose 10.68% and 10.08%, respectively. Relative to the index, weak stock selection overall more than offset favorable asset allocation and solid results within the fixed-income subportfolio. In an environment that favored riskier assets, it paid to overweight stocks and high-yield bonds, both of which outperformed investment-grade debt. However, overweighting cash during the first half of the period curbed performance in the face of a strong bond market. The fund's equity investments trailed the S&P 500 by more than five percentage points, largely due to some poor picks in health care, namely drug wholesaler Cardinal Health and big drug makers such as Merck. Also, in media, radio broadcaster Clear Channel Communications hurt a lot. Conversely, underweighting weak technology stocks helped, as did overweighting retailers Home Depot and pharmacy chain CVS, and energy holdings such as driller Transocean. In fixed income, we benefited mainly from focusing on corporate bonds that staged nice rallies, and our high-yield and investment-grade holdings easily beat the Lehman Brothers Aggregate Bond Index. The strategic cash portion of the fund topped its benchmark as well.

The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual 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 (April 1, 2004 to September 30, 2004).

Actual Expenses

The first line of the table below 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.

Hypothetical Example for Comparison Purposes

The second line of the table below 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.

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.

Beginning
Account Value
April 1, 2004

Ending
Account Value
September 30, 2004

Expenses Paid
During Period*
April 1, 2004
to September 30, 2004

Actual

$ 1,000.00

$ 972.40

$ 4.14

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,020.75

$ 4.25

* Expenses are equal to the Fund's annualized expense ratio of .84%; multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

Annual Report

Investment Changes

Top Ten Stocks as of September 30, 2004

% of fund's
net assets

% of fund's net assets
6 months ago

American International Group, Inc.

4.0

4.0

Microsoft Corp.

3.7

3.1

Home Depot, Inc.

3.4

2.9

Pfizer, Inc.

2.9

2.7

SBC Communications, Inc.

2.9

2.2

Fannie Mae

2.7

2.8

Cardinal Health, Inc.

2.5

4.6

Clear Channel Communications, Inc.

2.4

3.4

Wyeth

2.4

1.9

General Electric Co.

2.3

2.2

29.2

Market Sectors as of September 30, 2004

(stocks only)

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

18.7

18.4

Health Care

11.5

14.1

Information Technology

10.1

8.5

Consumer Discretionary

8.1

9.0

Consumer Staples

5.4

6.8

Telecommunication Services

5.3

5.2

Industrials

5.2

4.5

Energy

3.4

4.0

Materials

1.1

0.9

Utilities

0.8

0.8

Asset Allocation (% of fund's net assets)

As of September 30, 2004*

As of March 31, 2004**

Stock class and
Equity Futures 73.9%

Stock class and
Equity Futures 76.1%

Bond class 16.4%

Bond class 17.4%

Short-term class 9.7%

Short-term class 6.5%

* Foreign investments

10.2%

** Foreign investments

10.8%



Asset allocations in the pie charts reflect the categorization of assets as defined in the fund's prospectus in effect as of the time periods indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.

The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund.

Annual Report

Investments September 30, 2004

Showing Percentage of Net Assets

Common Stocks - 69.5%

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - 8.1%

Auto Components - 0.0%

Aisin Seiki Co. Ltd.

50,400

$ 1,246

Automobiles - 0.2%

Fiat Spa (a)(f)

317,400

2,293

Honda Motor Co. Ltd.

48,500

2,363

Toyota Motor Corp.

96,500

3,685

8,341

Hotels, Restaurants & Leisure - 0.4%

Enterprise Inns PLC

115,700

1,195

McDonald's Corp.

315,100

8,832

Rank Group PLC

443,100

2,244

12,271

Household Durables - 0.2%

LG Electronics, Inc.

39,780

2,287

Techtronic Industries Co. Ltd.

2,241,000

4,412

6,699

Media - 3.3%

Clear Channel Communications, Inc.

2,810,149

87,592

McGraw-Hill Companies, Inc.

17,000

1,355

News Corp. Ltd. sponsored ADR

417,500

13,080

NRJ Group

137,500

2,736

SKY Perfect Communications, Inc.

92

108

Taylor Nelson Sofres PLC

658,600

2,649

Time Warner, Inc. (a)

472,182

7,621

Tv Asahi Corp.

2,395

4,680

119,821

Multiline Retail - 0.0%

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

710

43

Specialty Retail - 3.7%

Fast Retailing Co. Ltd.

26,200

1,784

Home Depot, Inc.

3,139,800

123,080

Office Depot, Inc. (a)

60,100

903

Ross Stores, Inc.

14,379

337

Staples, Inc.

124,400

3,710

TJX Companies, Inc.

142,400

3,138

132,952

Textiles Apparel & Luxury Goods - 0.3%

Adidas-Salomon AG

19,900

2,780

Arena Brands Holding Corp. Class B (m)

5,556

58

Common Stocks - continued

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - continued

Textiles Apparel & Luxury Goods - continued

Louis Vuitton Moet Hennessy (LVMH)

35,800

$ 2,393

The Swatch Group AG (Reg.)

132,045

3,643

8,874

TOTAL CONSUMER DISCRETIONARY

290,247

CONSUMER STAPLES - 5.4%

Beverages - 0.7%

PepsiCo, Inc.

237,205

11,540

Pernod-Ricard

40,000

5,318

The Coca-Cola Co.

226,550

9,073

25,931

Food & Staples Retailing - 2.9%

CVS Corp.

1,278,400

53,859

Safeway, Inc. (a)

984,600

19,013

Wal-Mart Stores, Inc.

575,600

30,622

103,494

Food Products - 0.1%

Barry Callebaut AG

7,141

1,348

People's Food Holdings Ltd.

2,133,000

1,469

2,817

Household Products - 0.2%

Kimberly-Clark Corp.

36,500

2,358

Procter & Gamble Co.

80,500

4,357

6,715

Personal Products - 0.7%

Alberto-Culver Co.

542,855

23,603

Estee Lauder Companies, Inc. Class A

39,800

1,664

25,267

Tobacco - 0.8%

Altria Group, Inc.

657,980

30,951

TOTAL CONSUMER STAPLES

195,175

ENERGY - 3.4%

Energy Equipment & Services - 1.9%

Diamond Offshore Drilling, Inc. (f)

553,800

18,270

ENSCO International, Inc.

392,500

12,823

Common Stocks - continued

Shares

Value (Note 1)
(000s)

ENERGY - continued

Energy Equipment & Services - continued

GlobalSantaFe Corp.

560,773

$ 17,188

Nabors Industries Ltd. (a)

56,600

2,680

Transocean, Inc. (a)

525,600

18,806

69,767

Oil & Gas - 1.5%

BP PLC

293,000

2,809

Canadian Natural Resources Ltd.

194,800

7,797

ChevronTexaco Corp.

423,800

22,733

EnCana Corp.

163,500

7,561

ENI Spa

145,500

3,268

Exxon Mobil Corp.

72,680

3,513

Total SA Series B

25,900

5,292

52,973

TOTAL ENERGY

122,740

FINANCIALS - 18.7%

Capital Markets - 2.8%

Bear Stearns Companies, Inc.

25,600

2,462

Collins Stewart Tullett PLC

316,700

2,296

Greenhill & Co., Inc.

100

2

JAFCO Co. Ltd.

41,000

2,161

Julius Baer Holding AG (Bearer)

14,364

3,951

Lehman Brothers Holdings, Inc.

80,300

6,402

Man Group PLC

90,500

1,950

Merrill Lynch & Co., Inc.

434,300

21,593

Morgan Stanley

1,091,300

53,801

UBS AG (Reg.)

96,691

6,800

101,418

Commercial Banks - 3.0%

Banca Intesa Spa

652,000

2,479

Bank of America Corp.

1,497,850

64,902

HSBC Holdings PLC (United Kingdom) (Reg.)

235,200

3,754

Societe Generale Series A

42,500

3,766

SouthTrust Corp.

203,857

8,493

Sumitomo Mitsui Financial Group, Inc.

518

2,966

Synovus Financial Corp.

248,800

6,506

UFJ Holdings, Inc. (a)

892

3,916

Common Stocks - continued

Shares

Value (Note 1)
(000s)

FINANCIALS - continued

Commercial Banks - continued

Wachovia Corp.

211,900

$ 9,949

Wells Fargo & Co.

43,900

2,618

109,349

Consumer Finance - 0.4%

MBNA Corp.

472,800

11,915

SFCG Co. Ltd.

5,620

1,106

13,021

Diversified Financial Services - 2.8%

Citigroup, Inc.

1,521,333

67,121

ING Groep NV (Certificaten Van Aandelen)

111,300

2,814

J.P. Morgan Chase & Co.

771,078

30,635

100,570

Insurance - 6.2%

AFLAC, Inc.

52,200

2,047

AMBAC Financial Group, Inc.

165,100

13,200

American International Group, Inc.

2,100,900

142,836

Hartford Financial Services Group, Inc.

447,000

27,683

MBIA, Inc.

157,400

9,162

MetLife, Inc.

497,000

19,209

PartnerRe Ltd.

60,000

3,281

St. Paul Travelers Companies, Inc.

141,273

4,670

222,088

Thrifts & Mortgage Finance - 3.5%

Fannie Mae

1,503,886

95,346

Greenpoint Financial Corp.

80,600

3,729

MGIC Investment Corp.

221,500

14,741

New York Community Bancorp, Inc.

471,833

9,691

Sovereign Bancorp, Inc.

32,100

700

124,207

TOTAL FINANCIALS

670,653

HEALTH CARE - 11.5%

Biotechnology - 0.4%

Actelion Ltd. (Reg.) (a)

69,574

7,153

CSL Ltd.

232,213

4,800

QIAGEN NV (a)

179,700

2,058

14,011

Common Stocks - continued

Shares

Value (Note 1)
(000s)

HEALTH CARE - continued

Health Care Equipment & Supplies - 0.4%

Baxter International, Inc.

248,000

$ 7,976

Medtronic, Inc.

69,600

3,612

Thermo Electron Corp. (a)

76,000

2,054

13,642

Health Care Providers & Services - 2.6%

Cardinal Health, Inc.

2,040,820

89,327

Henry Schein, Inc. (a)

46,100

2,872

Service Corp. International (SCI) (a)

169,105

1,050

93,249

Pharmaceuticals - 8.1%

Barr Pharmaceuticals, Inc. (a)

37,500

1,554

Johnson & Johnson

793,800

44,715

Merck & Co., Inc.

619,080

20,430

Novartis AG (Reg.)

134,823

6,292

Novo Nordisk AS Series B

58,800

3,223

Pfizer, Inc.

3,445,400

105,429

Recordati Spa

66,314

1,317

Roche Holding AG (participation certificate)

79,670

8,255

Schering-Plough Corp.

690,380

13,159

Shire Pharmaceuticals Group PLC

240,900

2,301

Wyeth

2,273,600

85,033

291,708

TOTAL HEALTH CARE

412,610

INDUSTRIALS - 5.2%

Aerospace & Defense - 0.6%

Lockheed Martin Corp.

135,300

7,547

Northrop Grumman Corp.

80,400

4,288

United Technologies Corp.

111,300

10,393

22,228

Air Freight & Logistics - 0.0%

Ryder System, Inc.

28,700

1,350

Building Products - 0.0%

BPB PLC

200,900

1,558

Commercial Services & Supplies - 0.4%

Adecco SA

30,026

1,495

Aramark Corp. Class B

108,500

2,619

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Capita Group PLC

264,000

$ 1,574

ChoicePoint, Inc. (a)

162,578

6,934

12,622

Electrical Equipment - 0.1%

ABB Ltd. (Switzerland) (Reg.) (a)

422,600

2,586

Furukawa Electric Co. Ltd. (a)

365,000

1,433

4,019

Industrial Conglomerates - 3.4%

General Electric Co.

2,489,740

83,605

Siemens AG (Reg.)

10,400

766

Tyco International Ltd.

1,231,600

37,761

122,132

Machinery - 0.5%

FKI PLC

498,900

1,085

Ingersoll-Rand Co. Ltd. Class A

229,900

15,626

16,711

Road & Rail - 0.2%

CSX Corp.

78,000

2,590

Norfolk Southern Corp.

43,700

1,300

Union Pacific Corp.

41,400

2,426

6,316

TOTAL INDUSTRIALS

186,936

INFORMATION TECHNOLOGY - 10.1%

Communications Equipment - 1.8%

Alcatel SA (RFD) (a)

153,300

1,798

Cisco Systems, Inc. (a)

2,101,400

38,035

Comverse Technology, Inc. (a)

360,700

6,792

Motorola, Inc.

969,000

17,481

64,106

Computers & Peripherals - 1.5%

Dell, Inc. (a)

936,400

33,336

Diebold, Inc.

57,600

2,690

Hewlett-Packard Co.

814,400

15,270

Sun Microsystems, Inc. (a)

450,600

1,820

53,116

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - 0.7%

Flextronics International Ltd. (a)

382,200

$ 5,064

Hon Hai Precision Industries Co. Ltd.

547,000

1,884

Hoya Corp.

18,600

1,953

Jabil Circuit, Inc. (a)

185,100

4,257

Sanmina-SCI Corp. (a)

404,700

2,853

Solectron Corp. (a)

1,388,600

6,874

Yageo Corp. (a)

3,122,000

1,172

24,057

Internet Software & Services - 0.0%

Softbank Corp.

42,000

1,951

IT Services - 0.7%

Affiliated Computer Services, Inc. Class A (a)

178,800

9,954

First Data Corp.

335,400

14,590

24,544

Semiconductors & Semiconductor Equipment - 1.3%

Analog Devices, Inc.

62,100

2,408

ASM International NV (Netherlands) (a)(f)

132,400

1,772

ASML Holding NV (a)

182,500

2,349

ASML Holding NV (NY Shares) (a)

345,500

4,447

Intel Corp.

1,084,440

21,754

KLA-Tencor Corp. (a)

24,000

996

Lam Research Corp. (a)

120,175

2,629

Linear Technology Corp.

34,800

1,261

Novellus Systems, Inc. (a)

26,200

697

Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR

480,204

3,429

Tokyo Electron Ltd.

54,700

2,670

United Microelectronics Corp. sponsored ADR (a)(f)

901,885

3,048

Xilinx, Inc.

23,700

640

48,100

Software - 4.1%

BEA Systems, Inc. (a)

676,800

4,677

Dassault Systemes SA

61,900

2,896

Microsoft Corp.

4,748,308

131,291

Nintendo Co. Ltd.

16,700

2,046

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INFORMATION TECHNOLOGY - continued

Software - continued

Temenos Group AG (a)

54,297

$ 414

VERITAS Software Corp. (a)

342,100

6,089

147,413

TOTAL INFORMATION TECHNOLOGY

363,287

MATERIALS - 1.0%

Chemicals - 0.3%

Dow Chemical Co.

193,500

8,742

Construction Materials - 0.1%

HeidelbergCement AG

56,082

2,612

Metals & Mining - 0.3%

Alcan, Inc.

165,300

7,926

BHP Billiton PLC

197,300

2,079

Rio Tinto PLC (Reg.)

74,300

2,018

12,023

Paper & Forest Products - 0.3%

Aracruz Celulose SA sponsored ADR

190,200

6,299

Bowater, Inc.

46,300

1,768

International Paper Co.

34,900

1,410

Votorantim Celulose e Papel SA sponsored ADR

73,700

2,546

12,023

TOTAL MATERIALS

35,400

TELECOMMUNICATION SERVICES - 5.3%

Diversified Telecommunication Services - 4.7%

BellSouth Corp.

706,700

19,166

Deutsche Telekom AG (Reg.) (a)

284,700

5,313

Qwest Communications International, Inc. (a)

3,919,000

13,050

SBC Communications, Inc.

3,942,700

102,313

Telefonica SA

169,300

2,539

Verizon Communications, Inc.

643,700

25,349

167,730

Wireless Telecommunication Services - 0.6%

KDDI Corp.

508

2,470

Common Stocks - continued

Shares

Value (Note 1)
(000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Nextel Communications, Inc. Class A (a)

414,300

$ 9,877

Vodafone Group PLC

3,780,800

9,116

21,463

TOTAL TELECOMMUNICATION SERVICES

189,193

UTILITIES - 0.8%

Electric Utilities - 0.7%

Entergy Corp.

88,200

5,346

FirstEnergy Corp.

278,000

11,420

PG&E Corp. (a)

276,900

8,418

25,184

Gas Utilities - 0.0%

NiSource, Inc.

62,300

1,309

Multi-Utilities & Unregulated Power - 0.1%

Public Service Enterprise Group, Inc.

32,300

1,376

TOTAL UTILITIES

27,869

TOTAL COMMON STOCKS

(Cost $2,580,876)

2,494,110

Preferred Stocks - 0.1%

Convertible Preferred Stocks - 0.1%

MATERIALS - 0.1%

Paper & Forest Products - 0.1%

International Paper Capital Trust 2.625%

56,000

2,807

Nonconvertible Preferred Stocks - 0.0%

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

Granite Broadcasting Corp. 12.75% pay-in-kind (a)

1,120

510

TOTAL PREFERRED STOCKS

(Cost $3,582)

3,317

Corporate Bonds - 10.9%

Principal
Amount (000s)

Value (Note 1)
(000s)

Convertible Bonds - 0.4%

CONSUMER DISCRETIONARY - 0.1%

Specialty Retail - 0.1%

Gap, Inc. 5.75% 3/15/09 (g)

$ 1,930

$ 2,364

FINANCIALS - 0.3%

Diversified Financial Services - 0.3%

Tyco International Group SA yankee 3.125% 1/15/23

7,880

11,780

INFORMATION TECHNOLOGY - 0.0%

Communications Equipment - 0.0%

CIENA Corp. 3.75% 2/1/08

1,130

956

TOTAL CONVERTIBLE BONDS

15,100

Nonconvertible Bonds - 10.5%

CONSUMER DISCRETIONARY - 2.2%

Auto Components - 0.1%

DaimlerChrysler NA Holding Corp.:

4.75% 1/15/08

945

973

7.2% 9/1/09

250

281

7.75% 1/18/11

135

157

Delco Remy International, Inc. 9.375% 4/15/12

595

586

Stoneridge, Inc. 11.5% 5/1/12

690

783

Tenneco Automotive, Inc.:

10.25% 7/15/13

505

576

11.625% 10/15/09

825

870

Visteon Corp.:

7% 3/10/14

590

561

8.25% 8/1/10

660

696

5,483

Automobiles - 0.0%

Ford Motor Co. 7.45% 7/16/31

825

809

General Motors Corp. 8.25% 7/15/23

965

1,015

1,824

Hotels, Restaurants & Leisure - 0.6%

Chumash Casino & Resort Enterprise 9% 7/15/10 (g)(n)

940

1,043

Friendly Ice Cream Corp. 8.375% 6/15/12

1,105

1,055

Host Marriott LP 7.125% 11/1/13

1,745

1,828

Mandalay Resort Group:

9.375% 2/15/10

170

194

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Mandalay Resort Group: - continued

10.25% 8/1/07

$ 670

$ 759

MGM MIRAGE:

6% 10/1/09 (g)

1,360

1,374

6.75% 9/1/12 (g)

1,000

1,034

6.875% 2/6/08

190

207

Mohegan Tribal Gaming Authority 6.375% 7/15/09

1,095

1,136

MTR Gaming Group, Inc. 9.75% 4/1/10

720

785

NCL Corp. Ltd. 10.625% 7/15/14 (g)

1,215

1,273

Park Place Entertainment Corp. 7.875% 3/15/10

2,420

2,723

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

1,970

2,088

Seneca Gaming Corp. 7.25% 5/1/12 (g)

790

814

Speedway Motorsports, Inc.:

6.75% 6/1/13

600

626

6.75% 6/1/13 (g)

160

167

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

360

395

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

700

354

Town Sports International, Inc. 9.625% 4/15/11

1,210

1,231

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

970

1,113

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

1,350

1,428

21,627

Household Durables - 0.4%

Beazer Homes USA, Inc.:

6.5% 11/15/13

975

995

8.375% 4/15/12

405

448

K. Hovnanian Enterprises, Inc. 8.875% 4/1/12

1,530

1,714

KB Home 7.75% 2/1/10

1,775

1,926

Meritage Homes Corp. 7% 5/1/14

830

855

Standard Pacific Corp.:

5.125% 4/1/09

740

736

6.875% 5/15/11

1,035

1,087

Technical Olympic USA, Inc.:

7.5% 3/15/11

750

769

10.375% 7/1/12

205

231

WCI Communities, Inc. 7.875% 10/1/13

1,060

1,121

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Household Durables - continued

William Lyon Homes, Inc.:

7.5% 2/15/14

$ 890

$ 908

10.75% 4/1/13

1,640

1,886

12,676

Media - 0.7%

AMC Entertainment, Inc.:

8% 3/1/14 (g)

860

808

9.5% 2/1/11

882

902

AOL Time Warner, Inc. 7.625% 4/15/31

535

616

Cablevision Systems Corp.:

5.66% 4/1/09 (g)(j)

2,650

2,756

8% 4/15/12 (g)

1,340

1,394

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

1,205

828

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

900

1,055

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

980

1,080

Cox Communications, Inc. 7.125% 10/1/12

200

217

CSC Holdings, Inc. 7.25% 7/15/08

480

500

EchoStar DBS Corp.:

5.75% 10/1/08

1,555

1,559

6.625% 10/1/14 (g)(h)

940

932

Granite Broadcasting Corp. 9.75% 12/1/10

450

412

Gray Television, Inc. 9.25% 12/15/11

1,000

1,123

Houghton Mifflin Co. 9.875% 2/1/13

640

672

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

1,060

1,158

Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10

230

252

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

1,205

1,347

Liberty Media Corp. 8.25% 2/1/30

400

444

PanAmSat Corp. 9% 8/15/14 (g)

2,515

2,622

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

667

772

Sinclair Broadcast Group, Inc. 8% 3/15/12

1,525

1,582

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

1,985

2,045

25,076

Multiline Retail - 0.0%

Barneys, Inc. 9% 4/1/08

710

740

Specialty Retail - 0.3%

Asbury Automotive Group, Inc. 9% 6/15/12

1,320

1,383

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

325

336

NBC Acquisition Corp. 0% 3/15/13 (e)

1,730

1,211

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Nebraska Book Co., Inc. 8.625% 3/15/12

$ 1,200

$ 1,194

Sonic Automotive, Inc. 8.625% 8/15/13

1,225

1,292

United Rentals North America, Inc.:

6.5% 2/15/12

785

754

7% 2/15/14

150

134

7.75% 11/15/13

3,220

3,011

9,315

Textiles Apparel & Luxury Goods - 0.1%

Levi Strauss & Co. 12.25% 12/15/12

1,555

1,648

Samsonite Corp. 8.875% 6/1/11 (g)

760

794

2,442

TOTAL CONSUMER DISCRETIONARY

79,183

CONSUMER STAPLES - 0.3%

Food & Staples Retailing - 0.1%

Jean Coutu Group, Inc.:

7.625% 8/1/12 (g)

300

305

8.5% 8/1/14 (g)

650

644

Rite Aid Corp.:

6% 12/15/05 (g)

1,475

1,486

6.875% 8/15/13

150

131

8.125% 5/1/10

215

225

9.25% 6/1/13

40

41

9.5% 2/15/11

710

777

Stater Brothers Holdings, Inc.:

5.38% 6/15/10 (j)

890

903

8.125% 6/15/12

590

617

5,129

Food Products - 0.2%

ConAgra Foods, Inc. 6.75% 9/15/11

200

225

Del Monte Corp.:
8.625% 12/15/12

315

351

9.25% 5/15/11

2,115

2,337

Dole Food Co., Inc. 7.25% 6/15/10

1,185

1,206

Smithfield Foods, Inc.:

7.625% 2/15/08

410

438

7.75% 5/15/13

355

383

8% 10/15/09

165

181

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

Swift & Co. 10.125% 10/1/09

$ 750

$ 829

United Agriculture Products, Inc. 8.25% 12/15/11 (g)

610

656

6,606

Tobacco - 0.0%

Philip Morris Companies, Inc. 7.75% 1/15/27

400

423

TOTAL CONSUMER STAPLES

12,158

ENERGY - 0.8%

Energy Equipment & Services - 0.1%

Hanover Compressor Co.:

0% 3/31/07

1,990

1,672

8.625% 12/15/10

340

369

9% 6/1/14

690

757

Parker Drilling Co.:

6.54% 9/1/10 (g)(j)

980

982

9.625% 10/1/13

340

376

Pride International, Inc. 7.375% 7/15/14 (g)

95

105

SESI LLC 8.875% 5/15/11

930

1,007

5,268

Oil & Gas - 0.7%

Amerada Hess Corp.:

6.65% 8/15/11

55

61

7.125% 3/15/33

135

145

7.375% 10/1/09

195

219

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

320

339

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

370

375

Chesapeake Energy Corp. 9% 8/15/12

310

355

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

560

554

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

325

362

Enterprise Products Operating LP:

4% 10/15/07 (g)(h)

270

271

4.625% 10/15/09 (g)(h)

540

544

5.6% 10/15/14 (g)(h)

540

544

General Maritime Corp. 10% 3/15/13

2,635

2,991

Kerr-McGee Corp. 7.875% 9/15/31

525

621

Newfield Exploration Co. 6.625% 9/1/14 (g)

1,010

1,050

Overseas Shipholding Group, Inc. 8.25% 3/15/13

2,220

2,453

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil & Gas - continued

Range Resources Corp. 7.375% 7/15/13

$ 1,085

$ 1,145

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

575

677

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

3,900

3,900

Teekay Shipping Corp. 8.875% 7/15/11

2,660

3,032

The Coastal Corp.:

6.375% 2/1/09

675

643

6.5% 6/1/08

385

373

7.75% 6/15/10

1,545

1,545

7.75% 10/15/35

155

133

9.625% 5/15/12

405

424

Williams Companies, Inc.:

7.125% 9/1/11

740

812

7.5% 1/15/31

370

372

23,940

TOTAL ENERGY

29,208

FINANCIALS - 1.8%

Capital Markets - 0.1%

Bank of New York Co., Inc.:

3.4% 3/15/13 (j)

295

289

4.25% 9/4/12 (j)

290

293

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

2,275

2,457

Goldman Sachs Group, Inc. 5.25% 10/15/13

200

201

Morgan Stanley 4.75% 4/1/14

1,400

1,355

4,595

Commercial Banks - 0.1%

Bank of America Corp.:

7.4% 1/15/11

1,526

1,778

7.8% 2/15/10

1,424

1,673

Export-Import Bank of Korea:

4.125% 2/10/09 (g)

100

100

5.25% 2/10/14 (g)

400

405

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Korea Development Bank:

3.875% 3/2/09

$ 700

$ 693

4.75% 7/20/09

255

261

4,910

Consumer Finance - 0.2%

Capital One Bank:

4.875% 5/15/08

350

363

6.5% 6/13/13

325

355

Ford Motor Credit Co. 7.875% 6/15/10

500

558

General Motors Acceptance Corp. 7.75% 1/19/10

1,570

1,725

Household Finance Corp.:

5.875% 2/1/09

55

59

6.375% 10/15/11

600

661

6.375% 11/27/12

310

343

6.75% 5/15/11

100

113

Household International, Inc. 8.875% 2/15/08

700

755

MBNA Corp. 6.25% 1/17/07

315

334

5,266

Diversified Financial Services - 0.9%

Ahold Finance USA, Inc.:

6.25% 5/1/09

1,110

1,160

8.25% 7/15/10

1,365

1,529

Cellu Tissue Holdings, Inc. 9.75% 3/15/10 (g)

640

650

Deutsche Telekom International Finance BV 8.75% 6/15/30

900

1,163

Financement Quebec 5% 10/25/12

440

456

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

1,650

1,873

Hilcorp Energy I LP/Hilcorp Finance Co. 10.5% 9/1/10 (g)

1,405

1,553

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

300

311

Ispat Inland ULC 9.75% 4/1/14

2,010

2,211

J.P. Morgan Chase & Co. 6.75% 2/1/11

1,300

1,463

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

815

558

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

390

392

Leucadia National Corp. 7% 8/15/13

890

886

Midland Funding Corp. II 11.75% 7/23/05

465

496

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

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

$ 1,050

$ 1,083

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

930

996

MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10

160

175

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

480

492

NiSource Finance Corp. 7.875% 11/15/10

85

100

Petronas Capital Ltd.:

7% 5/22/12 (g)

300

342

7.875% 5/22/22 (g)

600

719

Prime Property Funding II 6.25% 5/15/07 (g)

370

396

Qwest Capital Funding, Inc.:

7% 8/3/09

1,505

1,385

7.25% 2/15/11

1,235

1,099

7.75% 8/15/06

1,465

1,470

Rabobank Capital Funding Trust II 5.26% 12/31/49 (g)(j)

725

731

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

825

837

Sprint Capital Corp. 8.375% 3/15/12

175

212

Stone Container Finance Co. 7.375% 7/15/14 (g)

460

483

Telecom Italia Capital:

4% 11/15/08 (g)

245

246

5.25% 11/15/13 (g)

170

173

TRW Automotive Acquisition Corp. 9.375% 2/15/13

170

193

U.S. West Capital Funding, Inc. 6.375% 7/15/08

2,000

1,845

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

975

1,136

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

875

1,009

Western Financial Bank 9.625% 5/15/12

2,480

2,802

32,625

Insurance - 0.2%

Crum & Forster Holdings Corp. 10.375% 6/15/13

1,630

1,720

Oil Insurance Ltd. 5.15% 8/15/33 (g)(j)

275

280

Principal Life Global Funding I 5.125% 6/28/07 (g)

800

837

Provident Companies, Inc. 7% 7/15/18

125

122

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

235

231

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

UnumProvident Corp.:

6.75% 12/15/28

$ 315

$ 287

7.375% 6/15/32

315

305

7.625% 3/1/11

1,130

1,206

4,988

Real Estate - 0.3%

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

1,775

1,868

CarrAmerica Realty Corp. 5.25% 11/30/07

275

288

CenterPoint Properties Trust:

4.75% 8/1/10

250

253

5.25% 7/15/11

350

357

EOP Operating LP:

6.763% 6/15/07

700

754

7.75% 11/15/07

1,250

1,396

Gables Realty LP 5.75% 7/15/07

200

211

La Quinta Properties, Inc. 7% 8/15/12 (g)

1,010

1,068

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

250

280

Omega Healthcare Investors, Inc. 7% 4/1/14 (g)

980

995

Senior Housing Properties Trust:

7.875% 4/15/15

780

846

8.625% 1/15/12

1,400

1,558

Simon Property Group LP 4.875% 8/15/10 (g)

525

532

10,406

Thrifts & Mortgage Finance - 0.0%

Countrywide Home Loans, Inc. 4% 3/22/11

200

194

Independence Community Bank Corp. 3.75% 4/1/14 (j)

200

194

Washington Mutual, Inc. 4.625% 4/1/14

400

382

770

TOTAL FINANCIALS

63,560

HEALTH CARE - 0.4%

Health Care Equipment & Supplies - 0.1%

Fisher Scientific International, Inc.:

6.75% 8/15/14 (g)

330

347

8% 9/1/13

1,265

1,414

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Fisher Scientific International, Inc.: - continued

8.125% 5/1/12

$ 235

$ 262

PerkinElmer, Inc. 8.875% 1/15/13

2,450

2,769

4,792

Health Care Providers & Services - 0.3%

Concentra Operating Corp.:

9.125% 6/1/12 (g)

215

235

9.5% 8/15/10

550

608

Genesis HealthCare Corp. 8% 10/15/13

570

618

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

1,735

1,848

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

983

1,128

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

800

906

Tenet Healthcare Corp.:

6.375% 12/1/11

2,045

1,825

6.5% 6/1/12

260

231

7.375% 2/1/13

1,500

1,395

8,794

Pharmaceuticals - 0.0%

Biovail Corp. yankee 7.875% 4/1/10

1,455

1,484

TOTAL HEALTH CARE

15,070

INDUSTRIALS - 1.0%

Aerospace & Defense - 0.1%

Bombardier, Inc.:

6.3% 5/1/14 (g)

1,185

1,023

7.45% 5/1/34 (g)

460

387

Orbital Sciences Corp. 9% 7/15/11

745

827

Primus International, Inc. 10.5% 4/15/09 (g)

780

788

3,025

Airlines - 0.3%

American Airlines, Inc. pass thru trust certificates:

6.817% 5/23/11

2,085

1,824

6.977% 11/23/22

142

123

7.324% 4/15/11

375

293

7.377% 5/23/19

1,640

935

7.379% 5/23/16

1,109

632

7.8% 4/1/08

995

831

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

American Airlines, Inc. pass thru trust certificates: - continued

8.608% 10/1/12

$ 260

$ 220

AMR Corp. 9% 8/1/12

1,460

905

Continental Airlines, Inc.:

7.875% 7/2/18

1,329

1,243

8% 12/15/05

5

5

Continental Airlines, Inc. pass thru trust certificates:

6.748% 9/15/18

101

77

6.795% 2/2/20

326

261

6.9% 7/2/18

679

523

6.954% 2/2/11

152

113

7.461% 4/1/13

261

201

7.73% 9/15/12

253

182

7.82% 4/15/15

324

243

8.307% 10/2/19

1,408

1,126

8.321% 11/1/06

550

512

Delta Air Lines, Inc.:

7.9% 12/15/09

655

190

10% 8/15/08

270

86

Delta Air Lines, Inc. pass thru trust certificates:

7.57% 11/18/10

605

543

7.779% 1/2/12

451

158

Northwest Airlines, Inc. pass thru trust certificates:

7.068% 7/2/17

405

324

7.67% 1/2/15

1,178

942

12,492

Building Products - 0.1%

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

985

1,088

Nortek, Inc. 8.5% 9/1/14 (g)

1,140

1,191

2,279

Commercial Services & Supplies - 0.1%

Allied Waste North America, Inc.:

5.75% 2/15/11

310

293

6.375% 4/15/11

985

965

9.25% 9/1/12

420

469

Browning-Ferris Industries, Inc. 6.375% 1/15/08

2,080

2,132

3,859

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Construction & Engineering - 0.0%

Amsted Industries, Inc. 10.25% 10/15/11 (g)

$ 1,700

$ 1,879

Machinery - 0.2%

Dresser, Inc. 9.375% 4/15/11

2,590

2,843

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

3,045

3,129

Navistar International Corp. 7.5% 6/15/11

360

384

SPX Corp.:

6.25% 6/15/11

65

63

7.5% 1/1/13

945

960

7,379

Marine - 0.1%

OMI Corp. 7.625% 12/1/13

1,825

1,889

Road & Rail - 0.1%

Kansas City Southern Railway Co. 7.5% 6/15/09

1,030

1,051

TFM SA de CV yankee:

10.25% 6/15/07

460

473

11.75% 6/15/09

1,655

1,663

3,187

TOTAL INDUSTRIALS

35,989

INFORMATION TECHNOLOGY - 0.6%

Communications Equipment - 0.0%

Lucent Technologies, Inc.:

5.5% 11/15/08

1,005

1,000

6.45% 3/15/29

385

310

1,310

Computers & Peripherals - 0.0%

NCR Corp. 7.125% 6/15/09

765

848

Electronic Equipment & Instruments - 0.1%

Celestica, Inc. 7.875% 7/1/11

1,730

1,804

Flextronics International Ltd. 6.5% 5/15/13

2,030

2,071

3,875

IT Services - 0.1%

Electronic Data Systems Corp. 6% 8/1/13

630

635

Iron Mountain, Inc. 8.625% 4/1/13

720

785

1,420

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Office Electronics - 0.2%

Xerox Corp.:

6.875% 8/15/11

$ 2,715

$ 2,837

7.125% 6/15/10

1,780

1,887

7.2% 4/1/16

315

323

7.625% 6/15/13

615

664

9.75% 1/15/09

390

454

6,165

Semiconductors & Semiconductor Equipment - 0.2%

Freescale Semiconductor, Inc.:

4.38% 7/15/09 (g)(j)

910

937

6.875% 7/15/11 (g)

1,260

1,307

7.125% 7/15/14 (g)

310

322

Micron Technology, Inc. 6.5% 9/30/05 (m)

5,000

4,975

7,541

TOTAL INFORMATION TECHNOLOGY

21,159

MATERIALS - 1.9%

Chemicals - 0.7%

Berry Plastics Corp. 10.75% 7/15/12

1,285

1,452

Borden US Finance Corp./Nova Scotia Finance ULC:

6.43% 7/15/10 (g)(j)

740

757

9% 7/15/14 (g)

895

946

Equistar Chemicals LP/Equistar Funding Corp.:

8.75% 2/15/09

625

673

10.125% 9/1/08

695

780

10.625% 5/1/11

2,350

2,667

HMP Equity Holdings Corp. 0% 5/15/08

1,500

945

Huntsman ICI Chemicals LLC 10.125% 7/1/09

1,505

1,580

Huntsman ICI Holdings LLC 0% 12/31/09

745

395

Huntsman LLC:

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

1,500

1,583

11.5% 7/15/12 (g)

750

825

Lubrizol Corp.:

4.625% 10/1/09

620

620

5.5% 10/1/14

525

521

6.5% 10/1/34

150

146

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

Lyondell Chemical Co.:

9.5% 12/15/08

$ 2,020

$ 2,194

9.625% 5/1/07

1,185

1,280

9.875% 5/1/07

1,580

1,665

10.875% 5/1/09

1,875

1,985

Millennium America, Inc.:

9.25% 6/15/08

1,140

1,247

9.25% 6/15/08 (g)

935

1,023

NOVA Chemicals Corp.:

6.5% 1/15/12

315

327

7.4% 4/1/09

315

339

Pliant Corp.:

0% 6/15/09 (e)

580

490

11.125% 9/1/09

340

352

24,792

Construction Materials - 0.1%

Texas Industries, Inc. 10.25% 6/15/11

2,140

2,456

Containers & Packaging - 0.2%

Anchor Glass Container Corp. 11% 2/15/13

1,250

1,413

BWAY Corp. 10% 10/15/10

665

718

Crown European Holdings SA:

9.5% 3/1/11

145

162

10.875% 3/1/13

1,290

1,503

Graphic Packaging International, Inc. 8.5% 8/15/11

740

821

Owens-Brockway Glass Container, Inc.:

8.25% 5/15/13

795

847

8.875% 2/15/09

910

987

Owens-Illinois, Inc.:

7.35% 5/15/08

1,270

1,311

7.5% 5/15/10

1,390

1,432

Sealed Air Corp. 5.625% 7/15/13 (g)

70

72

9,266

Metals & Mining - 0.4%

AK Steel Corp.:

7.75% 6/15/12

860

841

7.875% 2/15/09

645

639

Allegheny Technologies, Inc. 8.375% 12/15/11

1,335

1,422

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

725

761

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

Compass Minerals International, Inc. 0% 6/1/13 (e)

$ 2,550

$ 2,015

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

175

193

CSN Islands VII Corp. 10.75% 9/12/08 (g)

1,395

1,547

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

525

526

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

365

350

10.125% 2/1/10

1,160

1,311

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

1,485

1,485

Peabody Energy Corp. 6.875% 3/15/13

780

837

Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 (g)

1,370

1,363

13,290

Paper & Forest Products - 0.5%

Abitibi-Consolidated, Inc.:

5.38% 6/15/11 (j)

940

948

7.75% 6/15/11

940

972

Boise Cascade Corp. 7.68% 3/29/06

705

748

Bowater, Inc. 4.88% 3/15/10 (j)

1,110

1,110

Buckeye Technologies, Inc. 8.5% 10/1/13

920

989

Georgia-Pacific Corp.:

8% 1/15/14

1,905

2,172

8% 1/15/24

310

351

8.875% 2/1/10

60

70

9.5% 12/1/11

980

1,225

International Paper Co.:

4.25% 1/15/09

70

70

5.5% 1/15/14

180

184

Norske Skog Canada Ltd.:

7.375% 3/1/14

500

520

8.625% 6/15/11

1,585

1,716

Stone Container Corp. 9.75% 2/1/11

2,725

3,025

Tembec Industries, Inc.:

7.75% 3/15/12

610

616

8.5% 2/1/11

1,085

1,139

yankee 8.625% 6/30/09

725

747

16,602

TOTAL MATERIALS

66,406

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - 0.7%

Diversified Telecommunication Services - 0.5%

Alaska Communications Systems Holdings, Inc. 9.375% 5/15/09

$ 295

$ 279

BellSouth Corp. 6.55% 6/15/34

300

316

British Telecommunications PLC 8.875% 12/15/30

425

558

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

1,870

2,071

Eschelon Operating Co. 8.375% 3/15/10

405

324

France Telecom SA 8.75% 3/1/11

415

497

GCI, Inc. 7.25% 2/15/14

1,510

1,476

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

235

246

NTL Cable PLC:

6.61% 10/15/12 (g)(j)

740

759

8.75% 4/15/14 (g)

1,625

1,755

Qwest Communications International, Inc. 7.25% 2/15/11 (g)

930

881

Qwest Corp.:

7.875% 9/1/11 (g)

325

340

9.125% 3/15/12 (g)

765

842

Qwest Services Corp.:

14% 12/15/10 (g)(j)

975

1,143

14.5% 12/15/14 (g)(j)

577

698

SBC Communications, Inc.:

5.875% 2/1/12

100

107

6.45% 6/15/34

600

617

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

1,895

1,393

TELUS Corp. yankee 8% 6/1/11

940

1,101

U.S. West Communications:

7.2% 11/10/26

210

183

7.5% 6/15/23

935

853

16,439

Wireless Telecommunication Services - 0.2%

America Movil SA de CV:

4.125% 3/1/09 (g)

190

185

5.5% 3/1/14 (g)

175

169

AT&T Wireless Services, Inc. 7.875% 3/1/11

250

296

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

125

143

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

2,345

2,345

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Nextel Communications, Inc.:

5.95% 3/15/14

$ 310

$ 303

6.875% 10/31/13

2,105

2,181

Rogers Wireless, Inc. 9.625% 5/1/11

2,905

3,232

8,854

TOTAL TELECOMMUNICATION SERVICES

25,293

UTILITIES - 0.8%

Electric Utilities - 0.3%

AES Gener SA 7.5% 3/25/14 (g)

1,570

1,578

Duke Capital LLC:

4.37% 3/1/09

190

192

6.25% 2/15/13

500

538

6.75% 2/15/32

605

637

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

400

409

FirstEnergy Corp. 7.375% 11/15/31

775

870

Illinois Power Co. 7.5% 6/15/09

550

627

MidAmerican Energy Holdings, Inc.:

4.625% 10/1/07

275

281

5.875% 10/1/12

400

422

Monongahela Power Co. 5% 10/1/06

265

274

Nevada Power Co. 6.5% 4/15/12 (g)

115

118

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

585

661

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

470

479

TECO Energy, Inc.:

7% 5/1/12

825

863

7.2% 5/1/11

1,355

1,440

9,389

Gas Utilities - 0.1%

Sonat, Inc.:

6.75% 10/1/07

780

779

7.625% 7/15/11

1,905

1,860

Tennessee Gas Pipeline Co. 7% 3/15/27

315

328

2,967

Multi-Utilities & Unregulated Power - 0.4%

AES Corp.:

7.75% 3/1/14

940

962

Corporate Bonds - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities & Unregulated Power - continued

AES Corp.: - continued

8.375% 8/15/07

$ 550

$ 551

8.75% 6/15/08

1,399

1,511

8.875% 2/15/11

1,891

2,097

9.375% 9/15/10

537

605

9.5% 6/1/09

300

334

CMS Energy Corp.:

7.5% 1/15/09

335

350

7.75% 8/1/10

255

270

8.5% 4/15/11

400

437

8.9% 7/15/08

305

332

9.875% 10/15/07

1,295

1,433

Constellation Energy Group, Inc. 6.35% 4/1/07

405

433

Dominion Resources, Inc.:

6.25% 6/30/12

1,145

1,244

8.125% 6/15/10

100

118

NRG Energy, Inc. 8% 12/15/13 (g)

2,820

3,017

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

780

842

14,536

TOTAL UTILITIES

26,892

TOTAL NONCONVERTIBLE BONDS

374,918

TOTAL CORPORATE BONDS

(Cost $370,265)

390,018

U.S. Government and Government Agency Obligations - 2.1%

U.S. Government Agency Obligations - 1.0%

Fannie Mae:

2.15% 4/13/06

3,600

3,576

2.375% 12/15/05

3,000

2,997

2.5% 6/15/06

12,100

12,058

3% 3/2/07

3,500

3,501

3.125% 7/15/06

4,095

4,125

Freddie Mac:

2.7% 3/16/07

2,625

2,607

U.S. Government and Government Agency Obligations - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

U.S. Government Agency Obligations - continued

Freddie Mac: - continued

2.875% 5/15/07

$ 1,500

$ 1,494

5.25% 11/5/12

3,905

3,977

5.875% 3/21/11

2,715

2,947

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

37,282

U.S. Treasury Inflation Protected Obligations - 0.2%

U.S. Treasury Inflation-Indexed Bonds 3.375% 4/15/32

2,348

2,976

U.S. Treasury Inflation-Indexed Notes:

2% 1/15/14

3,383

3,464

4.25% 1/15/10

1,689

1,960

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

8,400

U.S. Treasury Obligations - 0.9%

U.S. Treasury Bills, yield at date of purchase 1.34% to 1.65% 10/14/04 to 12/9/04 (i)

10,000

9,975

U.S. Treasury Bonds:

6.25% 5/15/30

2,500

2,967

7.875% 2/15/21

8,560

11,583

U.S. Treasury Notes:

2.5% 5/31/06

4,000

4,002

6.5% 2/15/10

1,852

2,125

TOTAL U.S. TREASURY OBLIGATIONS

30,652

TOTAL U.S. GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS

(Cost $76,170)

76,334

U.S. Government Agency - Mortgage Securities - 2.0%

Fannie Mae - 1.7%

4% 6/1/18 to 6/1/19

5,798

5,659

4.5% 5/1/19 to 10/1/33

12,358

12,092

5% 3/1/18 to 7/1/34

12,317

12,296

5.5% 7/1/16 to 10/1/34

21,324

21,669

6% 1/1/09 to 1/1/34

3,363

3,510

6.5% 12/1/10 to 11/1/33

3,380

3,556

7% 11/1/07 to 6/1/32

2,607

2,771

U.S. Government Agency - Mortgage Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Fannie Mae - continued

7.5% 5/1/27 to 11/1/31

$ 1,191

$ 1,278

8% 6/1/10

7

7

TOTAL FANNIE MAE

62,838

Freddie Mac - 0.0%

5% 11/1/33

192

191

7.5% 4/1/22 to 4/1/32

486

522

8% 7/1/25 to 4/1/27

124

135

TOTAL FREDDIE MAC

848

Government National Mortgage Association - 0.3%

6% 6/15/08 to 9/15/10

250

263

6.5% 9/15/08 to 9/15/34

7,522

7,958

7% 1/15/28 to 11/15/31

970

1,036

7.5% 10/15/22 to 8/15/28

257

279

8% 5/15/25

36

39

8.5% 10/15/29 to 4/15/30

93

103

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

9,678

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $71,921)

73,364

Asset-Backed Securities - 0.4%

Accredited Mortgage Loan Trust Series 2003-2 Class A1, 4.23% 10/25/33

310

308

ACE Securities Corp. Series 2004-OP1:

Class M1, 2.36% 4/25/34 (j)

160

160

Class M2, 2.89% 4/25/34 (j)

230

230

AmeriCredit Automobile Receivables Trust:

Series 2003-AM Class A4B, 2.1563% 11/6/09 (j)

230

231

Series 2003-BX Class A4B, 1.92% 1/6/10 (j)

150

151

Ameriquest Mortgage Securities, Inc.:

Series 2002-AR1 Class M2, 2.915% 9/25/32 (j)

65

65

Series 2003-3 Class M1, 2.64% 3/25/33 (j)

275

276

Amortizing Residential Collateral Trust:

Series 2002-BC6 Class A2, 2.19% 8/25/32 (j)

217

217

Series 2002-BC7 Class M1, 2.415% 10/25/32 (j)

1,550

1,562

Asset-Backed Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Argent Securities, Inc. Series 2003-W3 Class M2, 3.64% 9/25/33 (j)

$ 375

$ 386

Asset Backed Securities Corp. Home Equity Loan Trust
Series 2003-HE2:

Class A2, 1.98% 4/15/33 (j)

230

230

Class M1, 2.5% 4/15/33 (j)

325

328

Associates Automobile Receivables Trust Series 2000-1
Class B, 7.83% 8/15/07

305

307

Bayview Financial Asset Trust Series 2000-F Class A, 2.14% 9/28/43 (j)

675

677

Capital One Auto Finance Trust Series 2003-A Class A4B, 2.04% 1/15/10 (j)

440

442

Capital One Master Trust Series 2002-3A Class B, 4.55% 2/15/08

1,800

1,814

Capital One Multi-Asset Execution Trust:

Series 2002-B1 Class B1, 2.44% 7/15/08 (j)

600

602

Series 2003-B1 Class B1, 2.93% 2/17/09 (j)

520

527

Series 2003-B2 Class B2, 3.5% 2/17/09

275

277

CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 3.74% 10/25/33 (j)

120

124

Countrywide Home Loans, Inc. Series 2002-6 Class AV1, 2.27% 5/25/33 (j)

427

428

Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class C, 6.667% 6/28/38 (g)

315

325

Fieldstone Mortgage Investment Corp. Series 2004-2
Class M2, 2.99% 7/25/34 (j)

345

345

First USA Secured Note Trust Series 2001-3 Class C, 2.86% 11/19/08 (g)(j)

425

428

Home Equity Asset Trust Series 2003-2:

Class A2, 2.22% 8/25/33 (j)

51

51

Class M1, 2.72% 8/25/33 (j)

130

132

Home Equity Asset Trust NIMS Trust Series 2003-2N Class A, 8% 9/27/33 (g)

29

29

Household Private Label Credit Card Master Note Trust I
Series 2002-3 Class B, 2.85% 9/15/09 (j)

325

328

Long Beach Mortgage Loan Trust Series 2003-3:

Class M1, 2.59% 7/25/33 (j)

355

358

Class M2, 3.69% 7/25/33 (j)

180

185

MBNA Credit Card Master Note Trust:

Series 2001-B1 Class B1, 2.135% 10/15/08 (j)

150

150

Series 2001-B2 Class B2, 2.12% 1/15/09 (j)

150

151

Series 2002-B2 Class B2, 2.14% 10/15/09 (j)

150

151

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 2.715% 12/27/32 (j)

70

71

Asset-Backed Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Morgan Stanley ABS Capital I, Inc.: - continued

Series 2003-HE1 Class M2, 3.74% 5/25/33 (j)

$ 210

$ 213

Series 2003-NC6 Class M2, 3.79% 6/27/33 (j)

585

598

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-AM1 Class M2, 3.015% 2/25/32 (j)

315

318

Series 2002-NC3 Class M1, 2.56% 8/25/32 (j)

55

55

New Century Home Equity Loan Trust Series 2003-2 Class A2, 2.27% 1/25/33 (j)

187

187

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

221

222

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (g)

186

184

Structured Asset Securities Corp. Series 2004-GEL1 Class A, 2.2% 2/25/34 (j)

55

55

TOTAL ASSET-BACKED SECURITIES

(Cost $13,770)

13,878

Collateralized Mortgage Obligations - 0.1%

Private Sponsor - 0.0%

Adjustable Rate Mortgage Trust floater Series 2004-1
Clas 9A2, 2.24% 1/25/34 (j)

335

335

CS First Boston Mortgage Securities Corp. Series 2003-TFLA Class F, 2.2233% 4/15/13 (g)(j)

145

146

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

69

72

Merrill Lynch Mortgage Investors, Inc.:

floater Series 2003-A Class 2A1, 2.23% 3/25/28 (j)

544

546

Series 2003-E Class XA1, 1% 10/25/28 (j)(l)

2,295

34

Series 2003-G Class XA1, 1% 1/25/29 (l)

2,035

31

Series 2003-H Class XA1, 1% 1/25/29 (g)(l)

1,798

28

Residential Asset Mortgage Products, Inc. sequential pay
Series 2003-SL1 Class A31, 7.125% 4/25/31

277

288

Residential Finance LP/Residential Finance Development Corp. floater Series 2003-CB1:

Class B3, 3.0238% 6/10/35 (g)(j)

118

120

Class B4, 3.2238% 6/10/35 (g)(j)

103

105

Class B5, 3.8238% 6/10/35 (g)(j)

69

70

Class B6, 4.3238% 6/10/35 (g)(j)

44

45

Collateralized Mortgage Obligations - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Private Sponsor - continued

Sequoia Mortgage Funding Trust Series 2003-A Class AX1, 0.8% 10/21/08 (g)(l)

$ 7,823

$ 79

Washington Mutual Mortgage Securities Corp. sequential pay Series 2003-MS9 Class 2A1, 7.5% 12/25/33

70

73

TOTAL PRIVATE SPONSOR

1,972

U.S. Government Agency - 0.1%

Fannie Mae planned amortization class:

Series 1999-54 Class PH, 6.5% 11/18/29

800

849

Series 1999-57 Class PH, 6.5% 12/25/29

700

738

Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2002-64 Class PC, 5.5% 12/25/26

270

276

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class Series 2435 Class EL, 6% 9/15/27

3

3

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

252

224

Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8703% 10/16/23 (j)

55

59

TOTAL U.S. GOVERNMENT AGENCY

2,149

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $3,848)

4,121

Commercial Mortgage Securities - 0.5%

Asset Securitization Corp.:

sequential pay Series 1995-MD4 Class A1, 7.1% 8/13/29

168

175

Series 1997-D5 Class PS1, 1.7348% 2/14/43 (j)(l)

3,638

212

Banc of America Large Loan, Inc. floater Series 2003-BBA2:

Class A3, 2.08% 11/15/15 (g)(j)

180

180

Class C, 2.23% 11/15/15 (g)(j)

35

35

Class D, 2.31% 11/15/15 (g)(j)

60

60

Class F, 2.66% 11/15/15 (g)(j)

40

40

Class H, 3.16% 11/15/15 (g)(j)

35

35

Class J, 3.71% 11/15/15 (g)(j)

40

41

Class K, 4.36% 11/15/15 (g)(j)

35

35

Commercial Mortgage Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

Bayview Commercial Asset Trust floater:

Series 2003-1 Class A, 2.42% 8/25/33 (g)(j)

$ 356

$ 359

Series 2004-2 Class A, 2.27% 8/25/34 (g)(j)

317

317

Bear Stearns Commercial Mortgage Securities, Inc.
Series 2004-ESA:

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

170

174

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

65

67

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

195

199

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

45

46

Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 1.0056% 8/1/24 (g)(j)

359

319

CBM Funding Corp. sequential pay Series 1996-1:

Class A3PI, 7.08% 11/1/07

620

657

Class B, 7.48% 2/1/08

770

851

Chase Commercial Mortgage Securities Corp.:

Series 1999-2:

Class E, 7.734% 1/15/32

110

125

Class F, 7.734% 1/15/32

60

67

Series 2001-245 Class A2, 6.4842% 2/12/16 (g)(j)

135

149

COMM floater Series 2002-FL7 Class A2, 1.95% 11/15/14 (g)(j)

204

204

Commercial Mortgage pass thru certificates floater
Series 2004-CNL:

Class D, 2.4981% 9/15/14 (h)(j)

25

25

Class E, 2.5581% 9/15/14 (h)(j)

35

35

Class F, 2.6581% 9/15/14 (h)(j)

25

25

Class G, 2.8381% 9/15/14 (h)(j)

60

60

Class H, 2.9381% 9/15/14 (h)(j)

65

65

Class J, 3.4581% 9/15/14 (h)(j)

20

20

Class K, 3.8581% 9/15/14 (h)(j)

35

35

Class L, 4.0581% 9/15/14 (h)(j)

30

30

CS First Boston Mortgage Securities Corp.:

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

1,380

1,542

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

175

196

Series 2003-C3 Class ASP, 2.0628% 5/15/38 (g)(j)(l)

4,444

329

Series 2004-C1 Class ASP, 1.2148% 1/15/37 (g)(j)(l)

2,945

126

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

1,445

1,603

First Union National Bank-Chase Manhattan Bank
Commercial Mortgage Trust Series 1999-C2 Class C, 6.944% 6/15/31

675

754

Commercial Mortgage Securities - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

FMAC Loan Receivables Trust weighted average coupon
Series 1997-A Class E, 0% 4/15/19 (d)(g)(j)

$ 361

$ 0

Ginnie Mae guaranteed Multi-family pass thru securities sequential pay:

Series 2002-26 Class C, 5.996% 2/16/24 (j)

540

581

Series 2003-87 Class C, 5.3178% 8/16/32 (j)

500

522

Ginnie Mae guaranteed REMIC pass thru securities:

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

480

477

Series 2003-47 Class XA, 0.2398% 6/16/43 (j)(l)

1,500

79

GMAC Commercial Mortgage Securities, Inc. sequential pay Series 1997-C2 Class A3, 6.566% 4/15/29

295

318

Greenwich Capital Commercial Funding Corp.:

Series 2002-C1 Class SWDB, 5.857% 11/11/19 (g)

445

452

Series 2003-C1 Class XP, 2.3678% 7/5/35 (g)(j)(l)

2,249

193

GS Mortgage Securities Corp. II:

sequential pay:

Series 1998-GLII Class A2, 6.562% 4/13/31

470

510

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

220

244

Series 1998-GLII Class E, 7.1905% 4/13/31 (j)

430

456

J.P. Morgan Commercial Mortgage Finance Corp. sequential pay Series 1999-C7 Class A2, 6.507% 10/15/35

520

570

LB Commercial Conduit Mortgage Trust:

Series 1998-C1 Class B, 6.59% 2/18/30

440

480

Series 1999-C1 Class B, 6.93% 6/15/31

95

106

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

360

332

LTC Commercial Mortgage pass thru certificates sequential pay Series 1998-1 Class A, 6.029% 5/28/30 (g)

261

263

Morgan Stanley Capital I, Inc. sequential pay Series 1999-WF1 Class A2, 6.21% 11/15/31

115

124

Morgan Stanley Dean Witter Capital I Trust Series 2003-HQ2 Class X2, 1.626% 3/12/35 (g)(j)(l)

2,686

176

Salomon Brothers Mortgage Securities VII, Inc. sequential pay Series 2000-C3 Class A2, 6.592% 12/18/33

360

402

Thirteen Affiliates of General Growth Properties, Inc. Series 1:

Class D2, 6.992% 11/15/07 (g)

1,410

1,537

Class E2, 7.224% 11/15/07 (g)

840

914

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

350

376

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $17,927)

18,304

Foreign Government and Government Agency Obligations - 0.2%

Principal
Amount (000s)

Value (Note 1)
(000s)

Chilean Republic 7.125% 1/11/12

$ 1,900

$ 2,180

State of Israel 4.625% 6/15/13

355

341

United Mexican States:

6.75% 9/27/34

610

600

7.5% 4/8/33

1,250

1,314

8% 9/24/22

700

789

TOTAL FOREIGN GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS

(Cost $4,869)

5,224

Floating Rate Loans - 0.3%

CONSUMER DISCRETIONARY - 0.2%

Hotels, Restaurants & Leisure - 0.1%

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

1,800

1,748

Wyndham International, Inc. term loan:

6.5% 6/30/06 (j)

2,493

2,474

7.5% 4/1/06 (j)

508

506

4,728

Media - 0.1%

Century Cable Holdings LLC Tranche B term loan 6.75% 12/31/09 (j)

900

887

NTL Investment Holdings Ltd. Tranche B term loan 4.6267% 6/13/12 (j)

400

404

1,291

TOTAL CONSUMER DISCRETIONARY

6,019

UTILITIES - 0.1%

Electric Utilities - 0.1%

Allegheny Energy Supply Co. LLC Tranche C term loan 5.704% 6/8/11 (j)

1,493

1,511

Astoria Energy LLC term loan:

6.9906% 4/15/12 (j)

1,710

1,736

10.725% 4/15/12 (j)

830

853

4,100

Floating Rate Loans - continued

Principal
Amount (000s)

Value (Note 1)
(000s)

UTILITIES - continued

Multi-Utilities & Unregulated Power - 0.0%

Riverside Energy Center LLC:

term loan 6.02% 6/24/11 (j)

$ 1,676

$ 1,684

Credit-Linked Deposit 6.02% 6/24/11 (j)

74

75

1,759

TOTAL UTILITIES

5,859

TOTAL FLOATING RATE LOANS

(Cost $11,400)

11,878

Fixed-Income Funds - 0.2%

Shares

Fidelity Ultra-Short Central Fund (k)
(Cost $5,396)

54,161

5,390

Money Market Funds - 14.6%

Fidelity Cash Central Fund, 1.74% (b)

489,408,341

489,408

Fidelity Money Market Central Fund, 1.74% (b)

8,056,119

8,056

Fidelity Securities Lending Cash Central Fund, 1.71% (b)(c)

25,410,231

25,410

TOTAL MONEY MARKET FUNDS

(Cost $522,874)

522,874

TOTAL INVESTMENT PORTFOLIO - 100.9%

(Cost $3,682,898)

3,618,812

NET OTHER ASSETS - (0.9)%

(30,937)

NET ASSETS - 100%

$ 3,587,875

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value (000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Purchased

Equity Index Contracts

579 S&P 500 Index Contracts

Dec. 2004

$ 161,382

$ (1,690)

The face value of futures purchased as a percentage of net assets - 4.5%

Swap Agreements

Expiration
Date

Notional
Amount (000s)

Value
(000s)

Total Return Swap

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 65 basis points with Lehman Brothers, Inc.

Oct. 2004

$ 1,000

$ 3

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc.

April 2005

1,000

0

Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Deutsche Bank

May 2005

1,000

1

Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Lehman Brothers, Inc.

Nov. 2004

5,000

5

Receive monthly a return equal to Lehman Brothers Commercial Mortgage-Backed Securities AAA Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 32 basis points with Bank of America

Nov. 2004

1,380

6

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 70 basis points with Bank of America

Dec. 2004

700

3

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America

Nov. 2004

1,000

35

$ 11,080

$ 53

Legend

(a) Non-income producing

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

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

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

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

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

(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $91,928,000 or 2.6% of net assets.

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

(i) 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 $9,975,000.

(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 listing of the fund's holdings as of its most recent fiscal year end is available upon request.

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

(m) 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 $5,033,000 or 0.1% of net assets.

Additional information on each holding is as follows:

Security

Acquisition
Date

Acquisition
Cost (000s)

Arena Brands Holding Corp. Class B

6/18/97

$ 224

Micron Technology, Inc. 6.5% 9/30/05

7/15/99 - 9/12/02

$ 4,192

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

Other Information

The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited):

U.S. Government and
U.S. Government Agency Obligations

3.9%

AAA,AA,A

1.0%

BBB

1.3%

BB

3.6%

B

4.9%

CCC,CC,C

1.2%

Not Rated

0.4%

Equities

74.1%

Short-Term Investments and
Net Other Assets

9.6%

100.0%

We have used ratings from Moody's Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ratings. Percentages are adjusted for the effect of futures contracts, if applicable. The percentages are based on the combined long-term debt holdings of the fund and its pro-rata share of the fixed-income central fund.

Distribution of investments by country of issue, as a percentage of total net assets, is as follows:

United States of America

89.8%

Canada

1.2%

United Kingdom

1.2%

Switzerland

1.1%

Others (individually less than 1%)

6.7%

100.0%

Income Tax Information

At September 30, 2004, the fund had a capital loss carryforward of approximately $525,116,000 of which $287,983,000 and $237,133,000 will expire on September 30, 2010 and 2011, respectively.

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

Annual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amount)

September 30, 2004

Assets

Investment in securities, at value (including securities loaned of $24,699) (cost $3,682,898) - See accompanying schedule

$ 3,618,812

Cash

531

Foreign currency held at value (cost $12,265)

12,061

Receivable for investments sold

18,748

Receivable for fund shares sold

2,986

Dividends receivable

2,672

Interest receivable

9,478

Swap agreements, at value

53

Prepaid expenses

2

Other affiliated receivables

22

Other receivables

142

Total assets

3,665,507

Liabilities

Payable for investments purchased
Regular delivery

$ 27,662

Delayed delivery

2,964

Payable for fund shares redeemed

18,718

Accrued management fee

1,750

Payable for daily variation on futures contracts

43

Other affiliated payables

844

Other payables and accrued expenses

241

Collateral on securities loaned, at value

25,410

Total liabilities

77,632

Net Assets

$ 3,587,875

Net Assets consist of:

Paid in capital

$ 4,140,787

Undistributed net investment income

50,838

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

(537,830)

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

(65,920)

Net Assets, for 254,493 shares outstanding

$ 3,587,875

Net Asset Value, offering price and redemption price per share ($3,587,875 ÷ 254,493 shares)

$ 14.10

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

Annual Report

Financial Statements - continued

Statement of Operations

Amounts in thousands

Year ended September 30, 2004

Investment Income

Dividends

$ 42,733

Interest

53,270

Security lending

92

Total income

96,095

Expenses

Management fee

$ 21,315

Transfer agent fees

7,909

Accounting and security lending fees

1,108

Non-interested trustees' compensation

21

Appreciation in deferred trustee compensation account

9

Custodian fees and expenses

145

Registration fees

46

Audit

84

Legal

17

Miscellaneous

205

Total expenses before reductions

30,859

Expense reductions

(420)

30,439

Net investment income (loss)

65,656

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities

149,873

Foreign currency transactions

(121)

Futures contracts

15,851

Swap agreements

346

Total net realized gain (loss)

165,949

Change in net unrealized appreciation (depreciation) on:

Investment securities

11,531

Assets and liabilities in foreign currencies

(198)

Futures contracts

2,898

Swap agreements

58

Total change in net unrealized appreciation (depreciation)

14,289

Net gain (loss)

180,238

Net increase (decrease) in net assets resulting from operations

$ 245,894

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

Annual Report

Statement of Changes in Net Assets

Amounts in thousands

Year ended
September 30,
2004

Year ended
September 30,
2003

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 65,656

$ 84,792

Net realized gain (loss)

165,949

(41,216)

Change in net unrealized appreciation (depreciation)

14,289

629,944

Net increase (decrease) in net assets resulting
from operations

245,894

673,520

Distributions to shareholders from net investment income

(80,434)

(98,119)

Share transactions
Proceeds from sales of shares

437,912

404,289

Reinvestment of distributions

79,098

96,342

Cost of shares redeemed

(615,150)

(677,813)

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

(98,140)

(177,182)

Total increase (decrease) in net assets

67,320

398,219

Net Assets

Beginning of period

3,520,555

3,122,336

End of period (including undistributed net investment income of $50,838 and undistributed net investment income of $66,010, respectively)

$ 3,587,875

$ 3,520,555

Other Information

Shares

Sold

30,708

31,982

Issued in reinvestment of distributions

5,626

7,942

Redeemed

(43,138)

(54,887)

Net increase (decrease)

(6,804)

(14,963)

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

Annual Report

Financial Highlights

Years ended September 30,

2004

2003

2002

2001

2000

Selected Per-Share Data

Net asset value,
beginning of period

$ 13.47

$ 11.30

$ 13.48

$ 20.33

$ 19.05

Income from Investment Operations

Net investment income (loss) B

.25

.32

.37 D

.42

.48

Net realized and unrealized gain (loss)

.69

2.21

(2.13) D

(4.25)

2.35

Total from investment operations

.94

2.53

(1.76)

(3.83)

2.83

Distributions from net investment income

(.31)

(.36)

(.42)

(.46)

(.45)

Distributions from net realized gain

-

-

-

(2.56)

(1.10)

Total distributions

(.31)

(.36)

(.42)

(3.02)

(1.55)

Net asset value,
end of period

$ 14.10

$ 13.47

$ 11.30

$ 13.48

$ 20.33

Total Return A

6.99%

22.74%

(13.71)%

(20.93)%

15.50%

Ratios to Average Net Assets C

Expenses before expense reductions

.83%

.84%

.84%

.81%

.80%

Expenses net of voluntary waivers, if any

.83%

.84%

.84%

.81%

.80%

Expenses net of all reductions

.82%

.83%

.81%

.78%

.77%

Net investment income (loss)

1.77%

2.53%

2.73% D

2.62%

2.46%

Supplemental Data

Net assets, end of period
(in millions)

$ 3,588

$ 3,521

$ 3,122

$ 3,916

$ 5,256

Portfolio turnover rate

67%

72%

101%

143%

197%

A Total returns would have been lower had certain expenses not been reduced during the periods shown.

B Calculated based on average shares outstanding during the period.

C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.

D Effective October 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.

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

Annual Report

Notes to Financial Statements

For the period ended September 30, 2004

(Amounts in thousands except ratios)

1. Significant Accounting Policies.

Fidelity Asset Manager: Growth (the fund) is a fund of Fidelity Charles Street 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 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. The following summarizes the significant accounting policies of the fund:

Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.

Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

1. Significant Accounting Policies - continued

Foreign Currency - continued

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. 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 the funds in the trust.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), non-interested 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 treated as though equivalent dollar amounts had been invested in shares of the fund or are invested in a cross-section of other Fidelity funds, and are marked-to-market. Deferred amounts remain in the fund until distributed in accordance with the Plan.

Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on the fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Annual Report

1. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Distributions 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, foreign currency transactions, prior period premium and discount on debt securities, market discount, non-taxable dividends, financing transactions, capital loss carryforwards and losses deferred due to wash sales.

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:

Unrealized appreciation

$ 225,517

Unrealized depreciation

(303,563)

Net unrealized appreciation (depreciation)

(78,046)

Undistributed ordinary income

50,272

Capital loss carryforward

(525,116)

Cost for federal income tax purposes

$ 3,696,858

The tax character of distributions paid was as follows:

September 30, 2004

September 30, 2003

Ordinary Income

$ 80,434

$ 98,119

2. 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. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

2. 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.

Futures Contracts. The fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase the fund's exposure to the underlying instrument, while selling futures tends to decrease the fund's exposure to the underlying instrument or hedge other fund 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 counter-parties do not perform under the contracts' terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

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.

Loans and Other Direct Debt Instruments. The fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the fund to supply additional cash to the borrower on demand. Loan participations involve a risk of

Annual Report

2. Operating Policies - continued

Loans and Other Direct Debt Instruments - continued

insolvency of the lending bank or other financial intermediary. The fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.

Swap Agreements. The fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact the fund.

Total return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, the fund will receive a payment from the counterparty. To the extent it is less, the fund will make a payment to the counterparty. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.

Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The fund may enter into credit default swaps in which the fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

2. Operating Policies - continued

Swap Agreements - continued

the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the fund's Schedule of Investments under the caption "Swap Agreements."

Financing Transactions. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an

adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the fund's right to repurchase or sell securities may be limited.

3. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $1,829,102 and $2,041,307, respectively.

4. 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 .30% of the fund's average net assets and a group fee rate that averaged .28% 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 annual management fee rate was .58% of the fund's average net assets.

Annual Report

4. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .21% of average net assets.

Accounting and Security Lending Fees. FSC 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.

Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $5,526 for the period.

Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $54 for the period.

5. Committed Line of Credit.

The fund participates with other funds managed by FMR in a $4.2 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. During the period, there were no borrowings on this line of credit.

6. Security Lending.

The fund lends portfolio securities from time to time in order to earn additional income. 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

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

6. Security Lending - continued

other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral 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.

7. Expense Reductions.

Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $387 for the period. 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 $9 and $24, respectively.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Charles Street Trust and Shareholders of Fidelity Asset Manager: Growth:

We have audited the accompanying statement of assets and liabilities of Fidelity Asset Manager: Growth (the Fund), a fund of Fidelity Charles Street Trust, including the portfolio of investments, as of September 30, 2004, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2004, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. 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 Asset Manager: Growth as of September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

/s/DELOITTE & TOUCHE LLP

DELOITTE & TOUCHE LLP

Boston, Massachusetts

November 12, 2004

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 299 funds advised by FMR or an affiliate. Mr. McCoy oversees 301 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (74)**

Year of Election or Appointment: 1981

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc.

Abigail P. Johnson (42)**

Year of Election or Appointment: 2001

Senior Vice President of Asset Manager: Growth (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds.

Laura B. Cronin (50)

Year of Election or Appointment: 2003

Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002).

Robert L. Reynolds (52)

Year of Election or Appointment: 2003

Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.

Annual Report

Non-Interested Trustees:

Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

J. Michael Cook (62)

Year of Election or Appointment: 2001

Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), The Dow Chemical Company (2000), and Northrop Grumman Corporation (global defense technology, 2003). He is a Member of the Diversity Advisory Council of Marakon (2003) and the Advisory Council of the Public Company Accounting Oversight Board (PCAOB), Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his alma mater.

Ralph F. Cox (72)

Year of Election or Appointment: 1991

Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin.

Robert M. Gates (61)

Year of Election or Appointment: 1997

Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001), and Brinker International (restaurant management, 2003). He also serves as a member of the Advisory Board of VoteHere.net (secure internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy.

George H. Heilmeier (68)

Year of Election or Appointment: 2004

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001), Teletech Holdings (customer management services), and HRL Laboratories (private research and development, 2004). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), and Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002).

Donald J. Kirk (71)

Year of Election or Appointment: 1987

Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. (leadership education for arts and culture). Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations).

Marie L. Knowles (57)

Year of Election or Appointment: 2001

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (60)

Year of Election or Appointment: 2000

Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Co-Chairman and a Director of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida (1999). He also is a member of the Council on Foreign Relations.

Marvin L. Mann (71)

Year of Election or Appointment: 1993

Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director's Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.

William O. McCoy (70)

Year of Election or Appointment: 1997

Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998).

William S. Stavropoulos (65)

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman of the Board (2000), CEO (2002), a position he previously held from 1995-2000, Chairman of the Executive Committee (2000), and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Annual Report

Advisory Board Members and Executive Officers:

Correspondence intended for Mr. Dirks, Ms. Small, and Mr. Wolfe may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Dennis J. Dirks (56)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003).

Peter S. Lynch (61)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.

Cornelia M. Small (60)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Ms. Small is a member (2000) and Chairperson (2002) of the Investment Committee, and a member (2002) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1998). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

Kenneth L. Wolfe (65)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003), Bausch & Lomb, Inc., and Revlon Inc. (2004).

Bart A. Grenier (45)

Year of Election or Appointment: 2001

Vice President of Asset Manager: Growth. Mr. Grenier also serves as Vice President of certain Equity Funds (2001), a position he previously held from 1999 to 2000, and Vice President of certain High Income Funds (2002). He is Senior Vice President of FMR (1999) and FMR Co., Inc. (2001), and President and Director of Strategic Advisers, Inc. (2002). He also heads Fidelity's Asset Allocation Group (2000), Fidelity's Growth and Income Group (2001), Fidelity's Value Group (2001), and Fidelity's High Income Division (2001). Previously, Mr. Grenier served as President of Fidelity Ventures (2000), Vice President of certain High Income Funds (1997-2000), High Income Division Head (1997-2000), Group Leader of the Income-Growth and Asset Allocation-Income Groups (1996-2000), and Assistant Equity Division Head (1997-2000).

Charles S. Morrison (43)

Year of Election or Appointment: 2002

Vice President of Asset Manager: Growth. Mr. Morrison also serves as Vice President of Fidelity's Bond Funds (2002), and Vice President of certain Asset Allocation and Balanced Funds (2002). He serves as Vice President (2002) and Bond Group Leader (2002) of Fidelity Investments Fixed Income Division. Mr. Morrison is also Vice President of FIMM (2002) and FMR (2002). Mr. Morrison joined Fidelity in 1987 as a Corporate Bond Analyst in the Fixed Income Research Division.

David L. Murphy (56)

Year of Election or Appointment: 2002

Vice President of Asset Manager: Growth. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002) and Vice President of certain Asset Allocation Funds (2003). He serves as Senior Vice President (2000) and Money Market Group Leader (2002) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of FIMM (2003) and a Vice President of FMR (2000). Previously, Mr. Murphy served as Bond Group Leader (2000-2002) and Vice President of Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002). Mr. Murphy joined Fidelity in 1989 as a portfolio manager in the Bond Group.]

Richard C. Habermann (64)

Year of Election or Appointment: 1996

Vice President of Asset Manager: Growth. Mr. Habermann serves as Vice President of other funds advised by FMR. Mr. Habermann also serves as Senior Vice President of FMR and FMR Co., Inc. (2001).

Jeffrey Moore (38)

Year of Election or Appointment: 2002

Vice President of Asset Manager: Growth. Mr. Moore also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Moore served as a fixed-income analyst and portfolio manager.

Charles A. Mangum (40)

Year of Election or Appointment: 2001

Vice President of Asset Manager: Growth. Mr. Mangum also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Mangum managed a variety of Fidelity funds. Mr. Mangum also serves as Senior Vice President of FMR and FMR Co., Inc. (2001).

Matthew J. Conti (38)

Year of Election or Appointment: 2002

Vice President of Asset Manager: Growth. Mr. Conti also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Conti managed a variety of Fidelity funds. Mr. Conti also serves as Vice President of FMR (2003) and FMR Co., Inc. (2003).

James K. Miller (40)

Year of Election or Appointment: 2004

Vice President of Asset Manager: Growth. Mr. Miller also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Miller managed a variety of Fidelity funds.

Eric D. Roiter (55)

Year of Election or Appointment: 1998

Secretary of Asset Manager: Growth. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management, Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003).

Stuart Fross (45)

Year of Election or Appointment: 2003

Assistant Secretary of Asset Manager: Growth. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR.

Christine Reynolds (46)

Year of Election or Appointment: 2004

President, Treasurer, and Anti-Money Laundering (AML) officer of Asset Manager: Growth. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was most recently an audit partner with PwC's investment management practice.

Timothy F. Hayes (53)

Year of Election or Appointment: 2002

Chief Financial Officer of Asset Manager: Growth. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998).

Kenneth A. Rathgeber (57)

Year of Election or Appointment: 2004

Chief Compliance Officer of Asset Manager: Growth. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

John R. Hebble (46)

Year of Election or Appointment: 2003

Deputy Treasurer of Asset Manager: Growth. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003).

Kimberley H. Monasterio (40)

Year of Election or Appointment: 2004

Deputy Treasurer of Asset Manager: Growth. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

John H. Costello (58)

Year of Election or Appointment: 1991

Assistant Treasurer of Asset Manager: Growth. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.

Francis V. Knox, Jr. (57)

Year of Election or Appointment: 2002

Assistant Treasurer of Asset Manager: Growth. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002).

Peter L. Lydecker (50)

Year of Election or Appointment: 2004

Assistant Treasurer of Asset Manager: Growth. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Mark Osterheld (49)

Year of Election or Appointment: 2002

Assistant Treasurer of Asset Manager: Growth. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.

Kenneth B. Robins (35)

Year of Election or Appointment: 2004

Assistant Treasurer of Asset Manager: Growth. Mr. Robins also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Thomas J. Simpson (46)

Year of Election or Appointment: 2000

Assistant Treasurer of Asset Manager: Growth. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995).

Annual Report

Distributions

The fund designates 48% of the dividends distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

The fund designates 54% of the dividend distributed during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2005 of amounts for use in preparing 2004 income tax returns.

Annual Report

Proxy Voting Results

A special meeting of the fund's shareholders was held on September 15, 2004. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval.*

# of
Votes

% of
Votes

Affirmative

7,568,144,945.96

76.551

Against

1,665,604,684.78

16.847

Abstain

460,998,830.31

4.663

Broker
Non-Votes

191,690,954.58

1.939

TOTAL

9,886,439,415.63

100.000

PROPOSAL 2

To elect a Board of Trustees.*

# of
Votes

% of
Votes

J. Michael Cook

Affirmative

9,359,102,098.49

94.666

Withheld

527,337,317.14

5.334

TOTAL

9,886,439,415.63

100.000

Ralph F. Cox

Affirmative

9,333,369,952.29

94.406

Withheld

553,069,463.34

5.594

TOTAL

9,886,439,415.63

100.000

Laura B. Cronin

Affirmative

9,355,534,364.24

94.630

Withheld

530,905,051.39

5.370

TOTAL

9,886,439,415.63

100.000

Robert M. Gates

Affirmative

9,352,106,353.30

94.595

Withheld

534,333,062.33

5.405

TOTAL

9,886,439,415.63

100.000

George H. Heilmeier

Affirmative

9,360,572,048.31

94.681

Withheld

525,867,367.32

5.319

TOTAL

9,886,439,415.63

100.000

# of
Votes

% of
Votes

Abigail P. Johnson

Affirmative

9,327,059,416.89

94.342

Withheld

559,379,998.74

5.658

TOTAL

9,886,439,415.63

100.000

Edward C. Johnson 3d

Affirmative

9,323,731,909.04

94.308

Withheld

562,707,506.59

5.692

TOTAL

9,886,439,415.63

100.000

Donald J. Kirk

Affirmative

9,343,833,406.30

94.512

Withheld

542,606,009.33

5.488

TOTAL

9,886,439,415.63

100.000

Marie L. Knowles

Affirmative

9,362,664,343.97

94.702

Withheld

523,775,071.66

5.298

TOTAL

9,886,439,415.63

100.000

Ned C. Lautenbach

Affirmative

9,368,801,700.35

94.764

Withheld

517,637,715.28

5.236

TOTAL

9,886,439,415.63

100.000

Marvin L. Mann

Affirmative

9,342,116,785.91

94.494

Withheld

544,322,629.72

5.506

TOTAL

9,886,439,415.63

100.000

William O. McCoy

Affirmative

9,348,114,851.10

94.555

Withheld

538,324,564.53

5.445

TOTAL

9,886,439,415.63

100.000

Robert L. Reynolds

Affirmative

9,368,829,274.86

94.764

Withheld

517,610,140.77

5.236

TOTAL

9,886,439,415.63

100.000

# of
Votes

% of
Votes

William S. Stavropoulos

Affirmative

9,355,225,708.91

94.627

Withheld

531,213,706.72

5.373

TOTAL

9,886,439,415.63

100.000

Dennis J. Dirks**

Affirmative

9,363,252,671.04

94.708

Withheld

523,186,744.59

5.292

TOTAL

9,886,439,415.63

100.000

Cornelia M. Small**

Affirmative

9,357,897,300.73

94.654

Withheld

528,542,114.90

5.346

TOTAL

9,886,439,415.63

100.000

* Denotes trust-wide proposals and voting results.
** Effective 1/1/05

Annual 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

1   For mutual fund and brokerage trading.

2   For quotes.*

3   For account balances and holdings.

4   To review orders and mutual
fund activity.

5   To change your PIN.

*0   To 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.

Annual 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

Annual Report

To Visit Fidelity

For directions and hours,
please call 1-800-544-9797.

Arizona

7001 West Ray Road
Chandler, AZ

7373 N. Scottsdale Road
Scottsdale, AZ

California

815 East Birch Street
Brea, CA

1411 Chapin Avenue
Burlingame, CA

851 East Hamilton Avenue
Campbell, CA

527 North Brand Boulevard
Glendale, CA

19200 Von Karman Avenue
Irvine, CA

601 Larkspur Landing Circle
Larkspur, CA

10100 Santa Monica Blvd.
Los Angeles, CA

27101 Puerta Real
Mission Viejo, CA

73-575 El Paseo
Palm Desert, CA

251 University Avenue
Palo Alto, CA

1760 Challenge Way
Sacramento, CA

7676 Hazard Center Drive
San Diego, CA

8 Montgomery Street
San Francisco, CA

21701 Hawthorne Boulevard
Torrance, CA

2001 North Main Street
Walnut Creek, CA

6300 Canoga Avenue
Woodland Hills, CA

Colorado

1625 Broadway
Denver, CO

9185 East Westview Road
Littleton, 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

222 Delaware Avenue
Wilmington, DE

Florida

4400 N. Federal Highway
Boca Raton, FL

121 Alhambra Plaza
Coral Gables, FL

2948 N. Federal Highway
Ft. Lauderdale, FL

1907 West State Road 434
Longwood, FL

8880 Tamiami Trail, North
Naples, FL

3501 PGA Boulevard
West Palm Beach, FL

8065 Beneva Road
Sarasota, FL

1502 N. Westshore Blvd.
Tampa, FL

Georgia

3445 Peachtree Road, N.E.
Atlanta, GA

1000 Abernathy Road
Atlanta, GA

Illinois

One North LaSalle Street
Chicago, IL

1415 West 22nd Street
Oak Brook, IL

1700 East Golf Road
Schaumburg, IL

3232 Lake Avenue
Wilmette, IL

Indiana

4729 East 82nd Street
Indianapolis, IN

Kansas

5400 College Boulevard
Overland Park, KS

Maine

Three Canal Plaza
Portland, ME

Maryland

7401 Wisconsin Avenue
Bethesda, MD

One W. Pennsylvania Ave.
Towson, MD

Massachusetts

801 Boylston Street
Boston, MA

155 Congress Street
Boston, MA

300 Granite Street
Braintree, MA

44 Mall Road
Burlington, MA

405 Cochituate Road
Framingham, MA

416 Belmont Street
Worcester, MA

Annual Report

Michigan

280 Old N. Woodward Ave.
Birmingham, MI

43420 Grand River Avenue
Novi, MI

29155 Northwestern Hwy.
Southfield, MI

Minnesota

7600 France Avenue South
Edina, MN

Missouri

8885 Ladue Road
Ladue, MO

New Jersey

150 Essex Street
Millburn, NJ

56 South Street
Morristown, NJ

501 Route 17, South
Paramus, NJ

3518 Route 1 North
Princeton, NJ

New York

1055 Franklin Avenue
Garden City, NY

37 West Jericho Turnpike
Huntington Station, NY

1271 Avenue of the Americas
New York, NY

61 Broadway
New York, NY

350 Park Avenue
New York, NY

North Carolina

4611 Sharon Road
Charlotte, NC

Ohio

3805 Edwards Road
Cincinnati, OH

28699 Chagrin Boulevard
Woodmere Village, OH

1324 Polaris Parkway
Columbus, OH

Oregon

16850 SW 72nd Avenue
Tigard, OR

Pennsylvania

600 West DeKalb Pike
King of Prussia, PA

1735 Market Street
Philadelphia, PA

12001 Perry Highway
Wexford, PA

Rhode Island

47 Providence Place
Providence, RI

Tennessee

6150 Poplar Avenue
Memphis, TN

Texas

10000 Research Boulevard
Austin, TX

4017 Northwest Parkway
Dallas, TX

12532 Memorial Drive
Houston, TX

2701 Drexel Drive
Houston, TX

400 East Las Colinas Blvd.
Irving, TX

14100 San Pedro
San Antonio, TX

19740 IH 45 North
Spring, TX

6005 West Park Boulevard
Plano, TX

Utah

215 South State Street
Salt Lake City, UT

Virginia

1861 International Drive
McLean, VA

Washington

411 108th Avenue, N.E.
Bellevue, WA

1518 6th Avenue
Seattle, WA

Washington, DC

1900 K Street, N.W.
Washington, DC

Wisconsin

595 North Barker Road
Brookfield, WI

Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC

Annual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Investments
Money Management, Inc.

Fidelity Management & Research

(U.K.) Inc.

Fidelity Management & Research

(Far East) Inc.

Fidelity Investments Japan Limited

Fidelity International Investment
Advisors

Fidelity International Investment
Advisors (U.K.) Limited

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Shareholder
Servicing Agent

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY

Fidelity's Asset Allocation Funds

Asset ManagerSM 

Asset Manager: Aggressive®

Asset Manager: Growth®

Asset Manager: Income®

Fidelity Freedom Funds® -
Income, 2000, 2005, 2010, 2015, 2020, 2025, 2030, 2035, 2040

Please carefully consider the funds' investment objectives, risks, charges and expenses before investing. For this and other information, call 1-800-544-6666 for a free prospectus. Read it carefully before you invest or send money.

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®) (automated graphic)    1-800-544-5555

(automated graphic)    Automated line for quickest service

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com

AMG-UANN-1104
1.792130.101

Fidelity®

Asset Manager: Income®

Annual Report

September 30, 2004

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion

<Click Here>

The manager's review of fund performance, strategy and outlook.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

A summary of the fund's investments.

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>

Trustees and Officers

<Click Here>

Distributions

<Click Here>

Proxy Voting Results

<Click Here>

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at 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 Corp. or an affiliated company.

(Recycle graphic)   This report is printed on recycled paper using soy-based inks.

Annual Report

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.

Commencing with the fiscal quarter ending December 31, 2004, the 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 website at http://www.sec.gov. The 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 the fund's portfolio holdings, view the fund's most recent quarterly holdings report, semiannual report, or annual report on Fidelity's website at http://www.fidelity.com/holdings.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Many of you have read or heard news stories recently that were critical of mutual funds and made allegations that the mutual fund industry has been less than forthright. I find these reports unsettling and not necessarily an accurate picture of the overall industry, and I would like you to know where we at Fidelity stand.

With specific regard to allegations that certain mutual fund companies were violating the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities, I want to say two things:

First, Fidelity does not have agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not to say that someone could not deceive the company through fraudulent acts. But I underscore that we have no so-called "agreements" which would permit this illegal practice.

Second, Fidelity has been on record for years opposing predatory short-term trading which adversely affects other shareholders in a mutual fund. In fact, in the 1980s, we began charging a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. What's more, several years ago we took the industry lead in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. It is reasonable to assume that another structure can be developed that would alter the system to make it much more difficult for predatory traders to operate. This, however, will only be achieved through close cooperation among regulators, legislators and the industry.

Certainly no industry is perfect, and there have been instances of unethical and illegal activity from time to time within the mutual fund industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. Clearly, every system can be improved. We applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings. But we remain concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems.

For more than 57 years, Fidelity Investments has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Many of them were family and friends. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.

Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.

Best regards,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended September 30, 2004

Past 1
year

Past 5
years

Past 10
years

Fidelity® Asset Manager: Income®

5.80%

4.79%

7.16%

$10,000 Over 10 years

Let's say hypothetically that $10,000 was invested in Fidelity ® Asset Manager: Income® Fund on September 30, 1994. The chart shows how the value of your investment would have grown, and also shows how the Lehman Brothers® Aggregate Bond Index did over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Richard Habermann, Portfolio Manager of Fidelity® Asset Manager: Income®

U.S. equity markets were an up-and-down proposition during the year ending September 30, 2004. The Standard & Poor's 500SM Index registered five consecutive months of gains from October 2003 through February 2004. An improving economy and better corporate profits were key contributors to the broad market rally. But equities mostly trended lower from there, as surging oil prices, Federal Reserve Board interest rate hikes and concerns about job growth pressured stocks. Still, many equity benchmarks posted solid gains for the year overall. The S&P 500® returned 13.87%, the Dow Jones Industrial AverageSM rose 10.96% and the NASDAQ Composite® Index advanced 6.71%. Meanwhile, investment-grade bond performance exceeded expectations, with the Lehman Brothers® Aggregate Bond Index climbing 3.68%. Bonds reeled off five consecutive monthly gains from November 2003 through March 2004 before tumbling in the spring when an increase in employment levels led to unease about the direction of interest rates. However, bonds rose in each of the final four months of the period, despite three rate hikes. Most spread sectors - including corporate and mortgage securities - handily outpaced Treasuries, the most interest-rate-sensitive bond category.

The fund gained 5.80% for the year, versus 4.93% for the Fidelity Asset Manager: Income Composite Index and 9.01% for the LipperSM Income Funds Average. It paid to overweight stocks and high-yield bonds, both of which outperformed investment-grade debt in a supportive environment for riskier assets. Our average peer, however, remained much heavier in equities. Overweighting cash during the first half of the period also curbed performance in a strong bond market. The fund's equity investments trailed the S&P 500 by roughly two percentage points, mainly as a result of overweighting two airline stocks - AMR, the parent of American Airlines, and Continental - that were plagued by spiking fuel prices. We also overstayed our welcome in weak semiconductor stocks such as Agere Systems and Intersil. Conversely, tech equipment holdings such as Ericsson and cellular service providers such as Nextel contributed amid improving demand for wireless communications. Some good picks in health care and energy also helped, led by specialty drug maker Sepracor and oil tanker operator OMI. In fixed income, we benefited mainly from focusing on corporate bonds that staged nice rallies, and our high-yield and investment-grade holdings easily beat the Lehman Brothers Aggregate Bond Index. The strategic cash portion of the fund topped its benchmark as well.

The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual 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 (April 1, 2004 to September 30, 2004).

Actual Expenses

The first line of the table below 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.

Hypothetical Example for Comparison Purposes

The second line of the table below 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.

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.

Beginning
Account Value
April 1, 2004

Ending
Account Value
September 30, 2004

Expenses Paid
During Period*
April 1, 2004
to September 30, 2004

Actual

$ 1,000.00

$ 998.50

$ 3.20

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,021.76

$ 3.24

* Expenses are equal to the Fund's annualized expense ratio of .64%; multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

Annual Report

Investment Changes

Top Five Bond Issuers as of September 30, 2004

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

Fannie Mae

17.8

7.6

U.S. Treasury Obligations

5.3

12.3

Freddie Mac

1.3

1.0

Bank of America Corp.

0.7

0.0

Financement Quebec

0.6

0.0

25.7

Quality Diversification (% of fund's net assets)

As of September 30, 2004*

As of March 31, 2004**

U.S. Government and
U.S. Government
Agency Obligations 25.4%

U.S. Government and
U.S. Government
Agency Obligations 22.2%

AAA,AA,A 7.6%

AAA,AA,A 6.9%

BBB 5.8%

BBB 5.7%

BB and Below 3.2%

BB and Below 3.8%

Not Rated 0.2%

Not Rated 0.0%

Equities 25.3%

Equities 22.9%

Short-Term
Investments and
Net Other Assets 32.5%

Short-Term
Investments and
Net Other Assets 38.5%



We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Percentages are adjusted for the effect of futures contracts, if applicable.

Top Five Stocks as of September 30, 2004

% of fund's
net assets

% of fund's net assets
6 months ago

Exxon Mobil Corp.

0.5

0.0

Microsoft Corp.

0.5

0.0

Nextel Communications, Inc. Class A

0.5

0.0

OMI Corp.

0.5

0.2

Micron Technology, Inc.

0.4

0.0

2.4

Asset Allocation (% of fund's net assets)

As of September 30, 2004*

As of March 31, 2004**

Stock class and
Equity Futures 25.2%

Stock class and
Equity Futures 22.9%

Bond class 43.2%

Bond class 39.7%

Short-term class 31.6%

Short-term class 37.4%

* Foreign investments

8.6%

** Foreign investments

8.7%



Asset allocations in the pie charts reflect the categorization of assets as defined in the fund's prospectus in effect as of the time periods indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.

The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund.

Annual Report

Investments September 30, 2004

Showing Percentage of Net Assets

Common Stocks - 20.3%

Shares

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - 1.8%

Hotels, Restaurants & Leisure - 0.6%

Fairmont Hotels & Resorts, Inc.

50,000

$ 1,371

Four Seasons Hotels, Inc.

30,000

1,923

Hilton Hotels Corp.

130,000

2,449

Starwood Hotels & Resorts Worldwide, Inc. unit

50,000

2,321

8,064

Household Durables - 0.7%

D.R. Horton, Inc.

150,000

4,967

Ryland Group, Inc.

50,000

4,633

9,600

Media - 0.0%

Gemstar-TV Guide International, Inc. (a)

100,000

565

Multiline Retail - 0.0%

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

420

26

Specialty Retail - 0.5%

Dixons Group PLC

1,000,000

3,094

Lowe's Companies, Inc.

56,200

3,054

6,148

TOTAL CONSUMER DISCRETIONARY

24,403

CONSUMER STAPLES - 0.3%

Food & Staples Retailing - 0.1%

Safeway, Inc. (a)

50,000

966

Whole Foods Market, Inc.

10,000

858

1,824

Personal Products - 0.2%

Gillette Co.

50,000

2,087

TOTAL CONSUMER STAPLES

3,911

ENERGY - 2.1%

Energy Equipment & Services - 0.2%

Schlumberger Ltd. (NY Shares)

50,000

3,366

Oil & Gas - 1.9%

ChevronTexaco Corp.

30,000

1,609

ConocoPhillips

25,000

2,071

Exxon Mobil Corp.

150,000

7,250

Frontline Ltd. (NY Shares)

90,000

4,247

Golar LNG Ltd. (Nasdaq) (a)

100,000

1,564

Common Stocks - continued

Shares

Value (Note 1)
(000s)

ENERGY - continued

Oil & Gas - continued

OMI Corp.

400,000

$ 6,408

Ship Finance International Ltd.

6,000

121

Tsakos Energy Navigation Ltd.

70,000

2,461

25,731

TOTAL ENERGY

29,097

FINANCIALS - 0.6%

Capital Markets - 0.2%

Goldman Sachs Group, Inc.

20,000

1,865

Knight Trading Group, Inc. (a)

100,000

923

2,788

Commercial Banks - 0.1%

Silicon Valley Bancshares (a)

35,100

1,305

Consumer Finance - 0.1%

MBNA Corp.

43,900

1,106

Insurance - 0.1%

Scottish Re Group Ltd.

50,000

1,059

Thrifts & Mortgage Finance - 0.1%

W Holding Co., Inc.

116,900

2,221

TOTAL FINANCIALS

8,479

HEALTH CARE - 2.6%

Biotechnology - 1.5%

Celgene Corp. (a)

40,000

2,329

Gilead Sciences, Inc. (a)

150,000

5,607

ImClone Systems, Inc. (a)

20,000

1,057

MedImmune, Inc. (a)

80,000

1,896

Millennium Pharmaceuticals, Inc. (a)

155,400

2,131

Myogen, Inc.

150,000

1,215

ONYX Pharmaceuticals, Inc. (a)

40,000

1,720

OSI Pharmaceuticals, Inc. (a)

15,000

922

Pharmion Corp.

60,000

3,102

Protein Design Labs, Inc. (a)

60,000

1,175

21,154

Health Care Equipment & Supplies - 0.3%

Alcon, Inc.

30,000

2,406

Common Stocks - continued

Shares

Value (Note 1)
(000s)

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Dade Behring Holdings, Inc. (a)

20,000

$ 1,114

Illumina, Inc. (a)

88,400

522

4,042

Health Care Providers & Services - 0.3%

UnitedHealth Group, Inc.

60,000

4,424

Pharmaceuticals - 0.5%

Elan Corp. PLC sponsored ADR (a)

130,000

3,042

Sepracor, Inc. (a)

80,000

3,902

6,944

TOTAL HEALTH CARE

36,564

INDUSTRIALS - 3.2%

Aerospace & Defense - 0.6%

Embraer - Empresa Brasileira de Aeronautica SA sponsored ADR

80,000

2,112

L-3 Communications Holdings, Inc.

50,000

3,350

Rockwell Collins, Inc.

75,000

2,786

8,248

Air Freight & Logistics - 0.5%

CNF, Inc.

27,100

1,111

FedEx Corp.

50,000

4,285

United Parcel Service, Inc. Class B

20,000

1,518

6,914

Airlines - 0.6%

AMR Corp. (a)

605,806

4,441

JetBlue Airways Corp. (a)

100,000

2,092

Northwest Airlines Corp. (a)(e)

300,000

2,463

8,996

Commercial Services & Supplies - 1.0%

Career Education Corp. (a)

130,000

3,696

Labor Ready, Inc. (a)

150,000

2,103

Monster Worldwide, Inc. (a)

220,200

5,426

Robert Half International, Inc.

80,000

2,062

13,287

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INDUSTRIALS - continued

Industrial Conglomerates - 0.3%

3M Co.

15,000

$ 1,200

General Electric Co.

100,000

3,358

4,558

Machinery - 0.2%

Cummins, Inc.

40,300

2,978

TOTAL INDUSTRIALS

44,981

INFORMATION TECHNOLOGY - 6.3%

Communications Equipment - 1.5%

CIENA Corp. (a)

1,000,000

1,980

Juniper Networks, Inc. (a)

150,000

3,540

Powerwave Technologies, Inc. (a)

300,000

1,848

QUALCOMM, Inc.

100,000

3,904

Research in Motion Ltd. (a)

56,800

4,337

Sonus Networks, Inc. (a)

150,000

845

Telefonaktiebolaget LM Ericsson ADR (a)

148,700

4,645

21,099

Computers & Peripherals - 0.7%

Avid Technology, Inc. (a)

20,000

937

M-Systems Flash Disk Pioneers Ltd. (a)

165,700

2,737

Network Appliance, Inc. (a)

100,000

2,300

PalmOne, Inc. (a)

70,000

2,131

SanDisk Corp. (a)

50,000

1,456

9,561

Electronic Equipment & Instruments - 0.1%

Hon Hai Precision Industries Co. Ltd.

459,999

1,584

Internet Software & Services - 0.5%

Akamai Technologies, Inc. (a)

85,700

1,204

Blue Coat Systems, Inc. (a)

136,000

1,958

Google, Inc. Class A

20,000

2,592

Yahoo!, Inc. (a)

50,000

1,696

7,450

Semiconductors & Semiconductor Equipment - 2.4%

Agere Systems, Inc. Class B (a)

1,000,000

1,020

Altera Corp. (a)

60,000

1,174

Applied Materials, Inc. (a)

70,000

1,154

ASML Holding NV (NY Shares) (a)

40,000

515

Credence Systems Corp. (a)

100,000

720

Common Stocks - continued

Shares

Value (Note 1)
(000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Cree, Inc. (a)

80,000

$ 2,442

Intel Corp.

75,000

1,505

Intersil Corp. Class A

144,000

2,294

Lam Research Corp. (a)

40,000

875

Marvell Technology Group Ltd. (a)

120,000

3,136

Mattson Technology, Inc. (a)

150,000

1,154

Micron Technology, Inc. (a)

500,000

6,015

PMC-Sierra, Inc. (a)

200,000

1,762

Silicon Image, Inc. (a)

200,000

2,528

Silicon Laboratories, Inc. (a)

60,000

1,985

Skyworks Solutions, Inc. (a)

200,000

1,900

Trident Microsystems, Inc. (a)

8,200

83

Ultratech, Inc. (a)

100,000

1,567

Volterra Semiconductor Corp. (e)

100,000

1,243

33,072

Software - 1.1%

BEA Systems, Inc. (a)

400,000

2,764

Microsoft Corp.

250,000

6,913

Red Hat, Inc. (a)

50,000

612

THQ, Inc. (a)

100,000

1,946

VERITAS Software Corp. (a)

200,000

3,560

15,795

TOTAL INFORMATION TECHNOLOGY

88,561

MATERIALS - 1.4%

Chemicals - 0.3%

Georgia Gulf Corp.

27,800

1,240

Lyondell Chemical Co.

150,000

3,369

4,609

Containers & Packaging - 0.3%

Smurfit-Stone Container Corp. (a)

175,000

3,390

Metals & Mining - 0.6%

Inco Ltd. (a)

60,000

2,349

Kinross Gold Corp. (a)

200,000

1,358

Massey Energy Co.

50,000

1,447

Peabody Energy Corp.

20,000

1,190

Phelps Dodge Corp.

25,000

2,301

8,645

Common Stocks - continued

Shares

Value (Note 1)
(000s)

MATERIALS - continued

Paper & Forest Products - 0.2%

Votorantim Celulose e Papel SA sponsored ADR

80,000

$ 2,764

TOTAL MATERIALS

19,408

TELECOMMUNICATION SERVICES - 2.0%

Diversified Telecommunication Services - 0.8%

Philippine Long Distance Telephone Co. sponsored ADR (a)(e)

100,000

2,504

PT Indosat Tbk sponsored ADR

100,000

2,400

SBC Communications, Inc.

100,000

2,595

Verizon Communications, Inc.

100,000

3,938

11,437

Wireless Telecommunication Services - 1.2%

America Movil SA de CV sponsored ADR

100,000

3,903

American Tower Corp. Class A (a)

175,700

2,697

Nextel Communications, Inc. Class A (a)

275,000

6,556

Nextel Partners, Inc. Class A (a)

200,000

3,316

16,472

TOTAL TELECOMMUNICATION SERVICES

27,909

UTILITIES - 0.0%

Electric Utilities - 0.0%

Progress Energy, Inc. warrants 12/31/07 (a)

9,200

0

TOTAL COMMON STOCKS

(Cost $262,095)

283,313

Nonconvertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

Porsche AG (non-vtg.)

3,000

1,952

Media - 0.0%

Granite Broadcasting Corp. 12.75% pay-in-kind (a)

160

73

TOTAL NONCONVERTIBLE PREFERRED STOCKS

(Cost $1,642)

2,025

Nonconvertible Bonds - 11.9%

Principal Amount (000s)

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - 1.6%

Auto Components - 0.3%

DaimlerChrysler NA Holding Corp.:

4.75% 1/15/08

$ 2,655

$ 2,734

7.2% 9/1/09

300

338

7.75% 1/18/11

300

349

Delco Remy International, Inc. 9.375% 4/15/12

90

89

Stoneridge, Inc. 11.5% 5/1/12

105

119

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

150

158

Visteon Corp.:

7% 3/10/14

115

109

8.25% 8/1/10

130

137

4,033

Automobiles - 0.3%

Ford Motor Co. 7.45% 7/16/31

1,565

1,535

General Motors Corp. 8.25% 7/15/23

1,980

2,083

3,618

Hotels, Restaurants & Leisure - 0.3%

Chumash Casino & Resort Enterprise 9% 7/15/10 (f)(l)

205

228

Friendly Ice Cream Corp. 8.375% 6/15/12

215

205

Host Marriott LP 7.125% 11/1/13

255

267

Mandalay Resort Group:

9.375% 2/15/10

30

34

10.25% 8/1/07

120

136

MGM MIRAGE:

6% 10/1/09 (f)

220

222

6.75% 9/1/12 (f)

160

165

6.875% 2/6/08

40

44

8.5% 9/15/10

140

159

Mohegan Tribal Gaming Authority 6.375% 7/15/09

200

208

MTR Gaming Group, Inc. 9.75% 4/1/10

120

131

NCL Corp. Ltd. 10.625% 7/15/14 (f)

200

210

Park Place Entertainment Corp. 7.875% 3/15/10

135

152

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

445

472

Seneca Gaming Corp. 7.25% 5/1/12 (f)

110

113

Speedway Motorsports, Inc.:

6.75% 6/1/13

105

109

6.75% 6/1/13 (f)

30

31

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

55

60

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

60

30

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Town Sports International, Inc. 9.625% 4/15/11

$ 195

$ 198

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

125

143

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

235

249

3,566

Household Durables - 0.1%

Beazer Homes USA, Inc.:

6.5% 11/15/13

130

133

8.375% 4/15/12

60

66

K. Hovnanian Enterprises, Inc. 8.875% 4/1/12

85

95

KB Home 7.75% 2/1/10

270

293

Meritage Homes Corp. 7% 5/1/14

120

124

Standard Pacific Corp. 6.875% 5/15/11

55

58

Technical Olympic USA, Inc.:

7.5% 3/15/11

190

195

9% 7/1/10

125

138

WCI Communities, Inc. 7.875% 10/1/13

160

169

William Lyon Homes, Inc.:

7.5% 2/15/14

140

143

10.75% 4/1/13

360

414

1,828

Media - 0.5%

AMC Entertainment, Inc.:

8% 3/1/14 (f)

120

113

9.5% 2/1/11

126

129

AOL Time Warner, Inc. 7.625% 4/15/31

950

1,093

Cablevision Systems Corp.:

5.66% 4/1/09 (f)(i)

385

400

8% 4/15/12 (f)

275

286

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

380

261

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

300

352

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

140

154

Cox Communications, Inc. 7.125% 10/1/12

700

760

CSC Holdings, Inc. 7.25% 7/15/08

85

89

EchoStar DBS Corp.:

5.75% 10/1/08

300

301

6.625% 10/1/14 (f)(g)

160

159

Granite Broadcasting Corp. 9.75% 12/1/10

65

59

Gray Television, Inc. 9.25% 12/15/11

140

157

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Houghton Mifflin Co. 9.875% 2/1/13

$ 130

$ 137

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

479

523

Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10

40

44

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

195

218

Liberty Media Corp. 8.25% 2/1/30

1,000

1,110

PanAmSat Corp. 9% 8/15/14 (f)

420

438

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

101

117

Sinclair Broadcast Group, Inc. 8% 3/15/12

120

125

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

320

330

7,355

Multiline Retail - 0.0%

Barneys, Inc. 9% 4/1/08

420

438

Specialty Retail - 0.1%

Asbury Automotive Group, Inc. 9% 6/15/12

270

283

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

55

57

Boise Cascade Corp. 7.5% 2/1/08

135

150

Nebraska Book Co., Inc. 8.625% 3/15/12

170

169

Sonic Automotive, Inc. 8.625% 8/15/13

175

185

United Rentals North America, Inc.:

6.5% 2/15/12

125

120

7% 2/15/14

25

22

7.75% 11/15/13

460

430

1,416

Textiles Apparel & Luxury Goods - 0.0%

Levi Strauss & Co. 12.25% 12/15/12

280

297

Samsonite Corp. 8.875% 6/1/11 (f)

110

115

412

TOTAL CONSUMER DISCRETIONARY

22,666

CONSUMER STAPLES - 0.2%

Food & Staples Retailing - 0.0%

Jean Coutu Group, Inc.:

7.625% 8/1/12 (f)

50

51

8.5% 8/1/14 (f)

110

109

Rite Aid Corp.:

6% 12/15/05 (f)

230

232

6.875% 8/15/13

25

22

8.125% 5/1/10

40

42

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Rite Aid Corp.: - continued

9.25% 6/1/13

$ 5

$ 5

9.5% 2/15/11

50

55

Stater Brothers Holdings, Inc.:

5.38% 6/15/10 (i)

130

132

8.125% 6/15/12

90

94

742

Food Products - 0.1%

ConAgra Foods, Inc. 6.75% 9/15/11

300

338

Del Monte Corp.:

8.625% 12/15/12

65

72

9.25% 5/15/11

310

343

Dole Food Co., Inc. 7.25% 6/15/10

85

86

Smithfield Foods, Inc.:

7.625% 2/15/08

65

69

7.75% 5/15/13

75

81

8% 10/15/09

25

27

Swift & Co. 10.125% 10/1/09

110

122

United Agriculture Products, Inc. 8.25% 12/15/11 (f)

60

65

1,203

Tobacco - 0.1%

Philip Morris Companies, Inc. 7.75% 1/15/27

900

951

TOTAL CONSUMER STAPLES

2,896

ENERGY - 0.8%

Energy Equipment & Services - 0.1%

Hanover Compressor Co.:

0% 3/31/07

190

160

8.625% 12/15/10

50

54

9% 6/1/14

100

110

Parker Drilling Co.:

6.54% 9/1/10 (f)(i)

160

160

9.625% 10/1/13

75

83

Pride International, Inc. 7.375% 7/15/14 (f)

20

22

SESI LLC 8.875% 5/15/11

140

152

741

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

ENERGY - continued

Oil & Gas - 0.7%

Amerada Hess Corp.:

6.65% 8/15/11

$ 90

$ 99

7.125% 3/15/33

235

252

7.375% 10/1/09

355

399

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

245

260

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

810

821

Chesapeake Energy Corp.:

8.125% 4/1/11

100

109

9% 8/15/12

50

57

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

475

530

Enterprise Products Operating LP:

4% 10/15/07 (f)(g)

605

608

4.625% 10/15/09 (f)(g)

300

302

5.6% 10/15/14 (f)(g)

235

237

General Maritime Corp. 10% 3/15/13

340

386

Kerr-McGee Corp. 7.875% 9/15/31

950

1,123

Newfield Exploration Co. 6.625% 9/1/14 (f)

160

166

Overseas Shipholding Group, Inc. 8.25% 3/15/13

330

365

Plains Exploration & Production Co.:

Series B, 8.75% 7/1/12

90

101

8.75% 7/1/12

15

17

Range Resources Corp. 7.375% 7/15/13

155

164

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

610

718

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

545

545

Teekay Shipping Corp. 8.875% 7/15/11

350

399

The Coastal Corp.:

6.375% 2/1/09

95

90

6.5% 6/1/08

50

49

7.75% 6/15/10

260

260

7.75% 10/15/35

180

155

9.625% 5/15/12

735

770

Williams Companies, Inc.:

7.125% 9/1/11

875

960

7.5% 1/15/31

350

352

10,294

TOTAL ENERGY

11,035

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

FINANCIALS - 5.4%

Capital Markets - 0.3%

Bank of New York Co., Inc.:

3.4% 3/15/13 (i)

$ 360

$ 353

4.25% 9/4/12 (i)

415

420

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

420

454

Goldman Sachs Group, Inc. 5.25% 10/15/13

800

805

Morgan Stanley 4.75% 4/1/14

2,600

2,517

4,549

Commercial Banks - 0.9%

Bank of America Corp.:

7.4% 1/15/11

4,240

4,941

7.8% 2/15/10

3,560

4,182

Export-Import Bank of Korea:

4.125% 2/10/09 (f)

170

170

5.25% 2/10/14 (f)

615

623

Korea Development Bank:

3.875% 3/2/09

1,250

1,238

4.75% 7/20/09

540

553

Wachovia Corp. 6.15% 3/15/09

500

543

12,250

Consumer Finance - 0.7%

Capital One Bank:

4.875% 5/15/08

650

673

6.5% 6/13/13

470

514

Ford Motor Credit Co. 7.875% 6/15/10

1,000

1,115

General Electric Capital Corp. 3.5% 5/1/08

500

500

General Motors Acceptance Corp. 7.75% 1/19/10

2,680

2,945

Household Finance Corp.:

6.375% 10/15/11

650

716

6.375% 11/27/12

455

504

6.75% 5/15/11

350

394

Household International, Inc. 8.875% 2/15/08

1,225

1,320

MBNA Corp. 6.25% 1/17/07

580

614

9,295

Diversified Financial Services - 2.0%

Ahold Finance USA, Inc.:

6.25% 5/1/09

50

52

8.25% 7/15/10

410

459

Cellu Tissue Holdings, Inc. 9.75% 3/15/10 (f)

120

122

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

FINANCIALS - continued

Diversified Financial Services - continued

Deutsche Telekom International Finance BV 8.75% 6/15/30

$ 1,400

$ 1,810

Financement Quebec 5% 10/25/12

8,275

8,569

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

340

386

Hilcorp Energy I LP/Hilcorp Finance Co. 10.5% 9/1/10 (f)

185

204

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

300

311

Ispat Inland ULC 9.75% 4/1/14

300

330

J.P. Morgan Chase & Co. 6.75% 2/1/11

3,450

3,881

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

120

82

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

70

70

Leucadia National Corp. 7% 8/15/13

130

129

Midland Funding Corp. II 11.75% 7/23/05

91

97

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

2,030

2,094

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

130

139

MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10

30

33

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

85

87

Petronas Capital Ltd.:

7% 5/22/12 (f)

1,650

1,880

7.875% 5/22/22 (f)

1,100

1,317

Prime Property Funding II 6.25% 5/15/07 (f)

435

465

Qwest Capital Funding, Inc.:

7% 8/3/09

230

212

7.75% 8/15/06

240

241

Rabobank Capital Funding Trust II 5.26% 12/31/49 (f)(i)

1,215

1,226

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

125

127

Sprint Capital Corp. 8.375% 3/15/12

275

333

Stone Container Finance Co. 7.375% 7/15/14 (f)

80

84

Telecom Italia Capital:

4% 11/15/08 (f)

420

422

5.25% 11/15/13 (f)

270

275

U.S. West Capital Funding, Inc. 6.375% 7/15/08

295

272

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

320

373

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

FINANCIALS - continued

Diversified Financial Services - continued

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

$ 1,300

$ 1,499

Western Financial Bank 9.625% 5/15/12

475

537

28,118

Insurance - 0.3%

Crum & Forster Holdings Corp. 10.375% 6/15/13

225

237

Oil Insurance Ltd. 5.15% 8/15/33 (f)(i)

650

661

Principal Life Global Funding I 5.125% 6/28/07 (f)

1,800

1,883

Provident Companies, Inc. 7% 7/15/18

25

24

QBE Insurance Group Ltd. 5.647% 7/1/23 (f)(i)

525

517

UnumProvident Corp.:

6.75% 12/15/28

55

50

7.375% 6/15/32

55

53

7.625% 3/1/11

200

214

3,639

Real Estate - 0.7%

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

250

263

CarrAmerica Realty Corp. 5.25% 11/30/07

500

523

CenterPoint Properties Trust:

4.75% 8/1/10

1,200

1,216

5.25% 7/15/11

900

918

EOP Operating LP:

6.763% 6/15/07

1,300

1,401

7.75% 11/15/07

2,860

3,194

Gables Realty LP 5.75% 7/15/07

250

264

La Quinta Properties, Inc. 7% 8/15/12 (f)

190

201

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

200

224

Omega Healthcare Investors, Inc. 7% 4/1/14 (f)

140

142

Senior Housing Properties Trust:

7.875% 4/15/15

130

141

8.625% 1/15/12

245

273

Simon Property Group LP 4.875% 8/15/10 (f)

1,115

1,130

9,890

Thrifts & Mortgage Finance - 0.5%

Abbey National PLC 6.69% 10/17/05

5,000

5,190

Countrywide Home Loans, Inc. 4% 3/22/11

300

291

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Independence Community Bank Corp. 3.75% 4/1/14 (i)

$ 370

$ 359

Washington Mutual, Inc. 4.625% 4/1/14

1,200

1,147

6,987

TOTAL FINANCIALS

74,728

HEALTH CARE - 0.2%

Health Care Equipment & Supplies - 0.1%

Fisher Scientific International, Inc.:

6.75% 8/15/14 (f)

60

63

8% 9/1/13

175

196

8.125% 5/1/12

40

45

PerkinElmer, Inc. 8.875% 1/15/13

385

435

739

Health Care Providers & Services - 0.1%

AmerisourceBergen Corp.:

7.25% 11/15/12

45

49

8.125% 9/1/08

70

78

Concentra Operating Corp.:

9.125% 6/1/12 (f)

30

33

9.5% 8/15/10

80

88

Genesis HealthCare Corp. 8% 10/15/13

85

92

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

260

277

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

173

199

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

70

79

Tenet Healthcare Corp.:

6.375% 12/1/11

455

406

6.5% 6/1/12

45

40

7.375% 2/1/13

390

363

1,704

Pharmaceuticals - 0.0%

Biovail Corp. yankee 7.875% 4/1/10

230

235

TOTAL HEALTH CARE

2,678

INDUSTRIALS - 0.5%

Aerospace & Defense - 0.1%

Bombardier, Inc.:

6.3% 5/1/14 (f)

385

333

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

INDUSTRIALS - continued

Aerospace & Defense - continued

Bombardier, Inc.: - continued

7.45% 5/1/34 (f)

$ 1,220

$ 1,026

Orbital Sciences Corp. 9% 7/15/11

95

105

Primus International, Inc. 10.5% 4/15/09 (f)

110

111

1,575

Airlines - 0.2%

American Airlines, Inc. pass thru trust certificates:

6.817% 5/23/11

300

263

6.977% 11/23/22

23

20

7.324% 4/15/11

55

43

7.377% 5/23/19

184

105

7.379% 5/23/16

160

91

7.8% 4/1/08

145

121

8.608% 10/1/12

85

72

AMR Corp. 9% 8/1/12

205

127

Continental Airlines, Inc. 7.875% 7/2/18

180

168

Continental Airlines, Inc. pass thru trust certificates:

6.748% 9/15/18

15

12

6.795% 2/2/20

47

37

6.9% 7/2/18

114

88

6.954% 2/2/11

21

16

7.73% 9/15/12

35

25

7.82% 4/15/15

44

33

8.307% 10/2/19

45

36

8.321% 11/1/06

15

14

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

110

32

Delta Air Lines, Inc. pass thru trust certificates:

7.57% 11/18/10

1,135

1,019

7.779% 1/2/12

63

22

Northwest Airlines, Inc. pass thru trust certificates:

7.068% 7/2/17

57

45

7.67% 1/2/15

162

129

2,518

Building Products - 0.0%

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

155

171

Nortek, Inc. 8.5% 9/1/14 (f)

180

188

359

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

INDUSTRIALS - continued

Commercial Services & Supplies - 0.1%

Allied Waste North America, Inc.:

5.75% 2/15/11

$ 100

$ 95

6.375% 4/15/11

145

142

9.25% 9/1/12

105

117

Browning-Ferris Industries, Inc. 6.375% 1/15/08

260

267

621

Construction & Engineering - 0.0%

Amsted Industries, Inc. 10.25% 10/15/11 (f)

230

254

Machinery - 0.1%

Dresser, Inc. 9.375% 4/15/11

405

444

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

515

529

Navistar International Corp. 7.5% 6/15/11

60

64

SPX Corp.:

6.25% 6/15/11

15

15

7.5% 1/1/13

155

158

1,210

Marine - 0.0%

OMI Corp. 7.625% 12/1/13

370

383

Road & Rail - 0.0%

Kansas City Southern Railway Co. 7.5% 6/15/09

345

352

TFM SA de CV yankee:

10.25% 6/15/07

35

36

11.75% 6/15/09

130

131

519

TOTAL INDUSTRIALS

7,439

INFORMATION TECHNOLOGY - 0.3%

Communications Equipment - 0.0%

Lucent Technologies, Inc.:

5.5% 11/15/08

150

149

6.45% 3/15/29

75

60

209

Computers & Peripherals - 0.1%

NCR Corp. 7.125% 6/15/09

895

993

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - 0.1%

Celestica, Inc. 7.875% 7/1/11

$ 340

$ 354

Flextronics International Ltd. 6.5% 5/15/13

500

510

864

IT Services - 0.0%

Electronic Data Systems Corp. 6% 8/1/13

105

106

Iron Mountain, Inc. 8.625% 4/1/13

35

38

144

Office Electronics - 0.1%

Xerox Corp.:

6.875% 8/15/11

470

491

7.125% 6/15/10

350

371

7.2% 4/1/16

70

72

7.625% 6/15/13

195

211

9.75% 1/15/09

70

82

1,227

Semiconductors & Semiconductor Equipment - 0.0%

Freescale Semiconductor, Inc.:

4.38% 7/15/09 (f)(i)

150

155

6.875% 7/15/11 (f)

205

213

7.125% 7/15/14 (f)

60

62

430

TOTAL INFORMATION TECHNOLOGY

3,867

MATERIALS - 0.9%

Chemicals - 0.4%

Berry Plastics Corp. 10.75% 7/15/12

210

237

Borden US Finance Corp./Nova Scotia Finance ULC:

6.43% 7/15/10 (f)(i)

120

123

9% 7/15/14 (f)

155

164

Equistar Chemicals LP/Equistar Funding Corp.:

8.75% 2/15/09

115

124

10.125% 9/1/08

105

118

10.625% 5/1/11

410

465

HMP Equity Holdings Corp. 0% 5/15/08

205

129

Huntsman ICI Chemicals LLC 10.125% 7/1/09

345

362

Huntsman ICI Holdings LLC 0% 12/31/09

120

64

Huntsman International LLC 9.875% 3/1/09

155

169

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

MATERIALS - continued

Chemicals - continued

Huntsman LLC:

8.8% 7/15/11 (f)(i)

$ 220

$ 232

11.5% 7/15/12 (f)

120

132

Lubrizol Corp.:

4.625% 10/1/09

485

485

5.5% 10/1/14

270

268

6.5% 10/1/34

340

332

Lyondell Chemical Co.:

9.5% 12/15/08

400

435

9.625% 5/1/07

180

194

9.875% 5/1/07

225

237

10.875% 5/1/09

280

296

Millennium America, Inc.:

9.25% 6/15/08

265

290

9.25% 6/15/08 (f)

70

77

NOVA Chemicals Corp.:

6.5% 1/15/12

60

62

7.4% 4/1/09

60

65

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

165

139

5,199

Construction Materials - 0.0%

Texas Industries, Inc. 10.25% 6/15/11

280

321

Containers & Packaging - 0.1%

Anchor Glass Container Corp. 11% 2/15/13

235

266

BWAY Corp. 10% 10/15/10

105

113

Crown European Holdings SA:

9.5% 3/1/11

20

22

10.875% 3/1/13

195

227

Graphic Packaging International, Inc. 8.5% 8/15/11

100

111

Owens-Brockway Glass Container, Inc.:

8.25% 5/15/13

190

202

8.875% 2/15/09

85

92

Owens-Illinois, Inc.:

7.35% 5/15/08

335

346

7.5% 5/15/10

285

294

Sealed Air Corp. 5.625% 7/15/13 (f)

105

108

1,781

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

MATERIALS - continued

Metals & Mining - 0.1%

AK Steel Corp.:

7.75% 6/15/12

$ 225

$ 220

7.875% 2/15/09

70

69

Allegheny Technologies, Inc. 8.375% 12/15/11

215

229

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

135

142

Compass Minerals International, Inc.:

0% 12/15/12 (d)

35

29

0% 6/1/13 (d)

135

107

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

260

287

CSN Islands VII Corp. 10.75% 9/12/08 (f)

180

200

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

70

70

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

55

53

10.125% 2/1/10

180

203

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

185

185

Peabody Energy Corp. 6.875% 3/15/13

120

129

Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 (f)

190

189

2,112

Paper & Forest Products - 0.3%

Abitibi-Consolidated, Inc.:

5.38% 6/15/11 (i)

175

177

7.75% 6/15/11

120

124

Boise Cascade Corp. 7.68% 3/29/06

830

881

Bowater, Inc. 4.88% 3/15/10 (i)

150

150

Buckeye Technologies, Inc. 8.5% 10/1/13

135

145

Georgia-Pacific Corp.:

8% 1/15/14

300

342

8% 1/15/24

170

192

8.875% 2/1/10

5

6

9.5% 12/1/11

140

175

International Paper Co.:

4.25% 1/15/09

120

120

5.5% 1/15/14

305

312

Norske Skog Canada Ltd.:

7.375% 3/1/14

70

73

8.625% 6/15/11

235

254

Stone Container Corp.:

8.375% 7/1/12

100

111

9.75% 2/1/11

225

250

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

MATERIALS - continued

Paper & Forest Products - continued

Tembec Industries, Inc.:

7.75% 3/15/12

$ 90

$ 91

8.5% 2/1/11

175

184

yankee 8.625% 6/30/09

115

118

3,705

TOTAL MATERIALS

13,118

TELECOMMUNICATION SERVICES - 0.9%

Diversified Telecommunication Services - 0.7%

Alaska Communications Systems Holdings, Inc. 9.375% 5/15/09

50

47

BellSouth Corp. 6.55% 6/15/34

500

526

British Telecommunications PLC 8.875% 12/15/30

850

1,117

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

245

271

Eschelon Operating Co. 8.375% 3/15/10

55

44

France Telecom SA 8.75% 3/1/11

660

790

GCI, Inc. 7.25% 2/15/14

280

274

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

505

528

NTL Cable PLC:

6.61% 10/15/12 (f)(i)

100

103

8.75% 4/15/14 (f)

400

432

Qwest Communications International, Inc. 7.25% 2/15/11 (f)

125

118

Qwest Corp.:

7.875% 9/1/11 (f)

55

57

9.125% 3/15/12 (f)

130

143

Qwest Services Corp.:

14% 12/15/10 (f)(i)

160

188

14.5% 12/15/14 (f)(i)

138

167

SBC Communications, Inc.:

5.875% 2/1/12

500

534

6.45% 6/15/34

1,300

1,337

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

275

202

TELUS Corp. yankee 8% 6/1/11

1,775

2,080

U.S. West Communications:

7.2% 11/10/26

30

26

7.5% 6/15/23

135

123

9,107

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - 0.2%

America Movil SA de CV:

4.125% 3/1/09 (f)

$ 335

$ 327

5.5% 3/1/14 (f)

305

295

AT&T Wireless Services, Inc. 7.875% 3/1/11

600

711

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

165

189

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

625

625

Nextel Communications, Inc.:

5.95% 3/15/14

50

49

6.875% 10/31/13

435

451

Rogers Wireless, Inc. 9.625% 5/1/11

355

395

3,042

TOTAL TELECOMMUNICATION SERVICES

12,149

UTILITIES - 1.1%

Electric Utilities - 0.7%

AES Gener SA 7.5% 3/25/14 (f)

235

236

Duke Capital LLC:

4.37% 3/1/09

305

308

6.25% 2/15/13

1,000

1,076

6.75% 2/15/32

1,475

1,554

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

650

664

FirstEnergy Corp. 7.375% 11/15/31

1,355

1,522

Illinois Power Co. 7.5% 6/15/09

580

661

MidAmerican Energy Holdings, Inc.:

4.625% 10/1/07

315

322

5.875% 10/1/12

545

575

Monongahela Power Co. 5% 10/1/06

375

388

Nevada Power Co. 6.5% 4/15/12 (f)

25

26

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

1,065

1,202

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

80

82

TECO Energy, Inc.:

7% 5/1/12

130

136

7.2% 5/1/11

275

292

9,044

Gas Utilities - 0.0%

Sonat, Inc.:

6.625% 2/1/08

250

244

6.75% 10/1/07

110

110

Nonconvertible Bonds - continued

Principal Amount (000s)

Value (Note 1)
(000s)

UTILITIES - continued

Gas Utilities - continued

Sonat, Inc.: - continued

7.625% 7/15/11

$ 200

$ 195

Tennessee Gas Pipeline Co. 7% 3/15/27

60

62

611

Multi-Utilities & Unregulated Power - 0.4%

AES Corp.:

7.75% 3/1/14

170

174

8.375% 8/15/07

65

65

8.75% 6/15/08

300

324

8.875% 2/15/11

269

298

9.375% 9/15/10

89

100

9.5% 6/1/09

76

85

CMS Energy Corp.:

7.5% 1/15/09

80

84

8.5% 4/15/11

70

76

8.9% 7/15/08

205

223

9.875% 10/15/07

90

100

Constellation Energy Group, Inc. 6.35% 4/1/07

660

706

Dominion Resources, Inc. 6.25% 6/30/12

2,185

2,373

NRG Energy, Inc. 8% 12/15/13 (f)

490

524

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

120

130

5,262

TOTAL UTILITIES

14,917

TOTAL NONCONVERTIBLE BONDS

(Cost $158,768)

165,493

U.S. Government and Government Agency Obligations - 13.3%

U.S. Government Agency Obligations - 7.7%

Fannie Mae:

2.15% 4/13/06

6,250

6,209

2.375% 12/15/05

27,000

26,975

2.5% 6/15/06

32,300

32,187

3% 3/2/07

10,000

10,002

3.125% 7/15/06

11,835

11,921

Freddie Mac:

2.7% 3/16/07

3,600

3,575

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value (Note 1)
(000s)

U.S. Government Agency Obligations - continued

Freddie Mac: - continued

2.875% 5/15/07

$ 2,000

$ 1,992

5.25% 11/5/12

5,985

6,096

5.875% 3/21/11

5,760

6,253

Government Loan Trusts (assets of Trust guaranteed by U.S. Government through Agency for International Development) Series 1-B, 8.5% 4/1/06

1,482

1,568

U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14

1,000

1,040

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

107,818

U.S. Treasury Inflation Protected Obligations - 1.7%

U.S. Treasury Inflation-Indexed Bonds 3.375% 4/15/32

6,403

8,118

U.S. Treasury Inflation-Indexed Notes:

2% 1/15/14

11,276

11,546

4.25% 1/15/10

3,377

3,920

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

23,584

U.S. Treasury Obligations - 3.9%

U.S. Treasury Bills, yield at date of purchase 1.44% to 1.65% 11/4/04 to 12/9/04 (h)

4,250

4,238

U.S. Treasury Bonds:

6.25% 5/15/30

5,250

6,231

7.875% 2/15/21

15,260

20,649

U.S. Treasury Notes:

2.5% 5/31/06

14,000

14,006

6.5% 2/15/10

8,205

9,415

TOTAL U.S. TREASURY OBLIGATIONS

54,539

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $184,072)

185,941

U.S. Government Agency - Mortgage Securities - 11.7%

Fannie Mae - 11.3%

4% 6/1/18 to 5/1/19

8,984

8,773

4.5% 10/1/18 to 10/1/33

36,201

35,516

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

26,283

26,259

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (Note 1)
(000s)

Fannie Mae - continued

5.5% 12/1/13 to 9/1/34

$ 60,270

$ 61,247

6% 4/1/09 to 1/1/34

1,712

1,788

6.5% 5/1/13 to 8/1/34

19,065

20,043

7% 1/1/13 to 2/1/29

2,702

2,872

7.5% 10/1/09 to 11/1/31

1,087

1,165

11.5% 11/1/15

59

67

TOTAL FANNIE MAE

157,730

Freddie Mac - 0.0%

5% 11/1/33

96

96

7.5% 8/1/28 to 8/1/31

162

174

8.5% 3/1/22 to 5/1/22

4

5

12% 11/1/19

22

25

TOTAL FREDDIE MAC

300

Government National Mortgage Association - 0.4%

6.5% 11/15/08 to 3/15/29

2,126

2,254

7% 3/15/28 to 9/15/32

1,849

1,973

7.5% 5/15/22 to 8/15/28

542

586

8.5% 8/15/29 to 11/15/29

309

340

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

5,153

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $161,172)

163,183

Asset-Backed Securities - 1.7%

Accredited Mortgage Loan Trust Series 2003-2 Class A1, 4.23% 10/25/33

493

490

ACE Securities Corp. Series 2004-OP1:

Class M1, 2.36% 4/25/34 (i)

280

280

Class M2, 2.89% 4/25/34 (i)

395

396

AmeriCredit Automobile Receivables Trust:

Series 2003-AM Class A4B, 2.1563% 11/6/09 (i)

300

302

Series 2003-BX Class A4B, 1.92% 1/6/10 (i)

200

201

Ameriquest Mortgage Securities, Inc.:

Series 2002-AR1 Class M2, 2.915% 9/25/32 (i)

105

106

Series 2003-3 Class M1, 2.64% 3/25/33 (i)

330

331

Asset-Backed Securities - continued

Principal Amount (000s)

Value (Note 1)
(000s)

Amortizing Residential Collateral Trust:

Series 2002-BC6 Class A2, 2.19% 8/25/32 (i)

$ 434

$ 434

Series 2002-BC7 Class M1, 2.415% 10/25/32 (i)

1,790

1,803

Argent Securities, Inc. Series 2003-W3 Class M2, 3.64% 9/25/33 (i)

3,000

3,084

Asset Backed Securities Corp. Home Equity Loan Trust Series 2003-HE2:

Class A2, 1.98% 4/15/33 (i)

277

278

Class M1, 2.5% 4/15/33 (i)

390

394

Associates Automobile Receivables Trust Series 2000-1 Class B, 7.83% 8/15/07

368

371

Bayview Financial Asset Trust Series 2000-F Class A, 2.14% 9/28/43 (i)

2,025

2,030

Capital One Auto Finance Trust Series 2003-A Class A4B, 2.04% 1/15/10 (i)

580

583

Capital One Master Trust Series 2002-3A Class B, 4.55% 2/15/08

1,800

1,814

Capital One Multi-Asset Execution Trust:

Series 2002-B1 Class B1, 2.44% 7/15/08 (i)

690

693

Series 2003-B1 Class B1, 2.93% 2/17/09 (i)

685

695

Series 2003-B2 Class B2, 3.5% 2/17/09

360

363

CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 3.74% 10/25/33 (i)

160

165

Chase Credit Card Master Trust Series 2003-6 Class B, 2.11% 2/15/11 (i)

565

568

Countrywide Home Loans, Inc. Series 2002-6 Class AV1, 2.27% 5/25/33 (i)

522

523

Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class C, 6.667% 6/28/38 (f)

415

428

Fieldstone Mortgage Investment Corp. Series 2004-2 Class M2, 2.99% 7/25/34 (i)

605

605

First USA Secured Note Trust Series 2001-3 Class C, 2.86% 11/19/08 (f)(i)

690

695

Home Equity Asset Trust Series 2003-4:

Class M1, 2.64% 10/25/33 (i)

215

217

Class M2, 3.74% 10/25/33 (i)

255

260

Home Equity Asset Trust NIMS Trust Series 2003-2N Class A, 8% 9/27/33 (f)

48

48

Household Private Label Credit Card Master Note Trust I Series 2002-3 Class B, 2.85% 9/15/09 (i)

510

515

Long Beach Mortgage Loan Trust Series 2003-3:

Class M1, 2.59% 7/25/33 (i)

470

474

Class M2, 3.69% 7/25/33 (i)

240

246

Asset-Backed Securities - continued

Principal Amount (000s)

Value (Note 1)
(000s)

MBNA Credit Card Master Note Trust:

Series 2001-B1 Class B1, 2.135% 10/15/08 (i)

$ 500

$ 501

Series 2001-B2 Class B2, 2.12% 1/15/09 (i)

500

502

Series 2002-B2 Class B2, 2.14% 10/15/09 (i)

500

502

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 2.715% 12/27/32 (i)

115

117

Series 2003-HE1 Class M2, 3.74% 5/25/33 (i)

345

350

Series 2003-NC6 Class M2, 3.79% 6/27/33 (i)

800

818

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-AM1 Class M2, 3.015% 2/25/32 (i)

410

413

Series 2002-NC3 Class M1, 2.56% 8/25/32 (i)

90

91

New Century Home Equity Loan Trust Series 2003-2 Class A2, 2.27% 1/25/33 (i)

225

225

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

286

287

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (f)

244

242

Structured Asset Securities Corp. Series 2004-GEL1 Class A, 2.2% 2/25/34 (i)

110

110

TOTAL ASSET-BACKED SECURITIES

(Cost $23,325)

23,550

Collateralized Mortgage Obligations - 0.5%

Private Sponsor - 0.2%

Adjustable Rate Mortgage Trust floater Series 2004-1 Clas 9A2, 2.24% 1/25/34 (i)

745

745

CS First Boston Mortgage Securities Corp. Series 2003-TFLA Class F, 2.2233% 4/15/13 (f)(i)

230

232

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

115

120

Merrill Lynch Mortgage Investors, Inc.:

floater Series 2003-A Class 2A1, 2.23% 3/25/28 (i)

709

711

Series 2003-E Class XA1, 1% 10/25/28 (i)(k)

3,700

55

Series 2003-G Class XA1, 1% 1/25/29 (k)

3,313

51

Series 2003-H Class XA1, 1% 1/25/29 (f)(k)

2,993

47

Residential Asset Mortgage Products, Inc. sequential pay Series 2003-SL1 Class A31, 7.125% 4/25/31

448

466

Residential Finance LP/Residential Finance Development Corp. floater Series 2003-CB1:

Class B3, 3.0238% 6/10/35 (f)(i)

171

175

Class B4, 3.2238% 6/10/35 (f)(i)

152

155

Class B5, 3.8238% 6/10/35 (f)(i)

103

105

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value (Note 1)
(000s)

Private Sponsor - continued

Residential Finance LP/Residential Finance Development Corp. floater Series 2003-CB1: - continued

Class B6, 4.3238% 6/10/35 (f)(i)

$ 64

$ 65

Sequoia Mortgage Funding Trust Series 2003-A Class AX1, 0.8% 10/21/08 (f)(k)

12,611

127

Washington Mutual Mortgage Securities Corp. sequential pay Series 2003-MS9 Class 2A1, 7.5% 12/25/33

98

103

TOTAL PRIVATE SPONSOR

3,157

U.S. Government Agency - 0.3%

Fannie Mae planned amortization class:

Series 1999-54 Class PH, 6.5% 11/18/29

900

955

Series 1999-57 Class PH, 6.5% 12/25/29

800

844

Fannie Mae guaranteed REMIC pass thru certificates planned amortization class:

Series 2001-7 Class PQ, 6% 10/25/15

887

907

Series 2002-64 Class PC, 5.5% 12/25/26

450

459

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class Series 2435 Class EL, 6% 9/15/27

6

6

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

453

403

Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8703% 10/16/23 (i)

85

91

TOTAL U.S. GOVERNMENT AGENCY

3,665

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $6,497)

6,822

Commercial Mortgage Securities - 2.3%

Asset Securitization Corp.:

sequential pay Series 1995-MD4 Class A1, 7.1% 8/13/29

657

687

Series 1997-D5 Class PS1, 1.7348% 2/14/43 (i)(k)

6,665

388

Banc of America Large Loan, Inc. floater Series 2003-BBA2:

Class A3, 2.08% 11/15/15 (f)(i)

295

295

Class C, 2.23% 11/15/15 (f)(i)

60

60

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (Note 1)
(000s)

Banc of America Large Loan, Inc. floater Series 2003-BBA2: - continued

Class D, 2.31% 11/15/15 (f)(i)

$ 95

$ 96

Class F, 2.66% 11/15/15 (f)(i)

70

71

Class H, 3.16% 11/15/15 (f)(i)

60

60

Class J, 3.71% 11/15/15 (f)(i)

65

66

Class K, 4.36% 11/15/15 (f)(i)

55

56

Bayview Commercial Asset Trust floater:

Series 2003-1 Class A, 2.42% 8/25/33 (f)(i)

524

528

Series 2004-2 Class A, 2.27% 8/25/34 (f)(i)

673

674

Bear Stearns Commercial Mortgage Securities, Inc. Series 2004-ESA:

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

370

379

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

135

138

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

415

424

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

100

102

CBM Funding Corp. sequential pay Series 1996-1:

Class A3PI, 7.08% 11/1/07

545

577

Class B, 7.48% 2/1/08

680

751

Chase Commercial Mortgage Securities Corp.:

Series 1999-2:

Class E, 7.734% 1/15/32

205

233

Class F, 7.734% 1/15/32

110

123

Series 2001-245 Class A2, 6.4842% 2/12/16 (f)(i)

250

275

COMM floater Series 2002-FL7:

Class A2, 1.95% 11/15/14 (f)(i)

247

247

Class D, 2.17% 11/15/14 (f)(i)

150

150

Commercial Mortgage pass thru certificates floater Series 2004-CNL:

Class D, 2.4981% 9/15/14 (g)(i)

55

55

Class E, 2.5581% 9/15/14 (g)(i)

75

75

Class F, 2.6581% 9/15/14 (g)(i)

60

60

Class G, 2.8381% 9/15/14 (g)(i)

140

140

Class H, 2.9381% 9/15/14 (g)(i)

145

145

Class J, 3.4581% 9/15/14 (g)(i)

50

50

Class K, 3.8581% 9/15/14 (g)(i)

80

80

Class L, 4.0581% 9/15/14 (g)(i)

65

65

CS First Boston Mortgage Securities Corp.:

sequential pay:

Series 1998-C1 Class A1B, 6.48% 5/17/40

645

703

Series 2003-C4 Class A3, 4.7% 8/15/36 (i)

320

327

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

1,220

1,364

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

205

230

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (Note 1)
(000s)

CS First Boston Mortgage Securities Corp.: - continued

Series 2003-C3 Class ASP, 2.0628% 5/15/38 (f)(i)(k)

$ 6,520

$ 483

Series 2004-C1 Class ASP, 1.2148% 1/15/37 (f)(i)(k)

5,155

220

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

1,500

1,665

DLJ Commercial Mortgage Corp. sequential pay Series 1999-CG2 Class A1A, 6.88% 6/10/32

865

916

Equitable Life Assurance Society of the United States Series 174:

Class B1, 7.33% 5/15/06 (f)

1,000

1,064

Class C1, 7.52% 5/15/06 (f)

700

746

First Union National Bank-Chase Manhattan Bank Commercial Mortgage Trust Series 1999-C2 Class C, 6.944% 6/15/31

525

586

Ginnie Mae guaranteed Multi-family pass thru securities sequential pay:

Series 2002-26 Class C, 5.996% 2/16/24 (i)

610

656

Series 2003-87 Class C, 5.3178% 8/16/32 (i)

1,000

1,043

Ginnie Mae guaranteed REMIC pass thru securities:

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

645

641

Series 2003-47 Class XA, 0.2398% 6/16/43 (i)(k)

2,015

107

GMAC Commercial Mortgage Securities, Inc. sequential pay Series 1997-C2 Class A3, 6.566% 4/15/29

605

651

Greenwich Capital Commercial Funding Corp.:

Series 2002-C1 Class SWDB, 5.857% 11/11/19 (f)

555

564

Series 2003-C1 Class XP, 2.3678% 7/5/35 (f)(i)(k)

3,317

284

GS Mortgage Securities Corp. II:

sequential pay:

Series 1998-GLII Class A2, 6.562% 4/13/31

130

141

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

415

460

Series 1998-GLII Class E, 7.1905% 4/13/31 (i)

350

371

J.P. Morgan Commercial Mortgage Finance Corp. sequential pay:

Series 1998-C6 Class A3, 6.613% 1/15/30

1,100

1,190

Series 1999-C7 Class A2, 6.507% 10/15/35

380

417

LB Commercial Conduit Mortgage Trust:

Series 1998-C1 Class B, 6.59% 2/18/30

360

393

Series 1999-C1 Class B, 6.93% 6/15/31

159

177

LB-UBS Commercial Mortgage Trust sequential pay:

Series 2001-C3 Class A1, 6.058% 6/15/20

1,497

1,599

Series 2003-C5 Class A2, 3.478% 7/15/27

1,000

993

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

700

646

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (Note 1)
(000s)

LTC Commercial Mortgage pass thru certificates sequential pay Series 1998-1 Class A, 6.029% 5/28/30 (f)

$ 239

$ 241

Morgan Stanley Capital I, Inc.:

sequential pay Series 1999-WF1 Class A2, 6.21% 11/15/31

160

173

Series 1999-RM1 Class E, 7.2138% 12/15/31 (i)

824

920

Morgan Stanley Dean Witter Capital I Trust Series 2003-HQ2 Class X2, 1.626% 3/12/35 (f)(i)(k)

3,570

234

Salomon Brothers Mortgage Securities VII, Inc. sequential pay Series 2000-C3 Class A2, 6.592% 12/18/33

480

536

Thirteen Affiliates of General Growth Properties, Inc.:

sequential pay Series 1 Class A2, 6.602% 11/15/07 (f)

1,150

1,238

Series 1:

Class D2, 6.992% 11/15/07 (f)

1,100

1,199

Class E2, 7.224% 11/15/07 (f)

660

718

Trizechahn Office Properties Trust Series 2001-TZHA:

Class C4, 6.893% 5/15/16 (f)

800

909

Class E3, 7.253% 3/15/13 (f)

540

581

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $31,481)

32,436

Foreign Government and Government Agency Obligations - 0.6%

Chilean Republic:

5.625% 7/23/07

300

316

7.125% 1/11/12

2,065

2,370

State of Israel 4.625% 6/15/13

510

491

United Mexican States:

6.75% 9/27/34

840

827

7.5% 4/8/33

2,600

2,734

8% 9/24/22

800

902

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $7,160)

7,640

Fixed-Income Funds - 0.6%

Shares

Fidelity Ultra-Short Central Fund (j)
(Cost $8,283)

83,198

8,280

Money Market Funds - 32.7%

Shares

Value (Note 1)
(000s)

Fidelity Cash Central Fund, 1.74% (b)

318,573,356

$ 318,573

Fidelity Money Market Central Fund, 1.74% (b)

135,550,134

135,550

Fidelity Securities Lending Cash Central Fund, 1.71% (b)(c)

2,665,600

2,666

TOTAL MONEY MARKET FUNDS

(Cost $456,789)

456,789

Cash Equivalents - 5.2%

Maturity
Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 1.72%, dated 9/30/04 due 10/1/04)
(Cost $71,927)

$ 71,930

71,927

TOTAL INVESTMENT PORTFOLIO - 100.9%

(Cost $1,373,211)

1,407,399

NET OTHER ASSETS - (0.9)%

(12,399)

NET ASSETS - 100%

$ 1,395,000

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value (000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Purchased

Equity Index Contracts

246 S&P 500 Index Contracts

Dec. 2004

$ 68,566

$ (718)

The face value of futures purchased as a percentage of net assets - 4.9%

Swap Agreements

Expiration Date

Notional Amount (000s)

Value (000s)

Total Return Swap

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 65 basis points with Lehman Brothers, Inc.

Oct. 2004

$ 2,000

$ 7

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc.

April 2005

2,000

0

Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Deutsche Bank

May 2005

4,000

5

Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Lehman Brothers, Inc.

Nov. 2004

10,000

10

Receive monthly a return equal to Lehman Brothers Commercial Mortgage-Backed Securities AAA Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 32 basis points with Bank of America

Nov. 2004

2,485

10

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 70 basis points with Bank of America

Dec. 2004

1,900

8

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America

Nov. 2004

3,000

103

$ 25,385

$ 143

Legend

(a) Non-income producing

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

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

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

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

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $46,195,000 or 3.3% 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 $4,238,000.

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

(j) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request.

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

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

Income Tax Information

At September 30, 2004, the fund had a capital loss carryforward of approximately $6,868,000 all of which will expire on September 30, 2010.

Annual Report

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

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amount)

September 30, 2004

Assets

Investment in securities, at value (including securities loaned of $2,518 and repurchase agreements of $71,927) (cost $1,373,211) - See accompanying schedule

$ 1,407,399

Cash

132

Foreign currency held at value (cost $317)

317

Receivable for investments sold

3,697

Receivable for fund shares sold

2,649

Dividends receivable

195

Interest receivable

6,087

Swap agreements, at value

143

Prepaid expenses

1

Other receivables

88

Total assets

1,420,708

Liabilities

Payable for investments purchased
Regular delivery

$ 10,280

Delayed delivery

1,967

Payable for fund shares redeemed

9,973

Accrued management fee

492

Payable for daily variation on futures contracts

18

Other affiliated payables

198

Other payables and accrued expenses

114

Collateral on securities loaned, at value

2,666

Total liabilities

25,708

Net Assets

$ 1,395,000

Net Assets consist of:

Paid in capital

$ 1,365,403

Undistributed net investment income

4,666

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

(8,682)

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

33,613

Net Assets, for 113,901 shares outstanding

$ 1,395,000

Net Asset Value, offering price and redemption price per share ($1,395,000 ÷ 113,901 shares)

$ 12.25

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

Annual Report

Financial Statements - continued

Statement of Operations

Amounts in thousands

Year ended September 30, 2004

Investment Income

Dividends

$ 2,464

Interest

27,213

Security lending

37

Total income

29,714

Expenses

Management fee

$ 5,138

Transfer agent fees

1,719

Accounting and security lending fees

404

Non-interested trustees' compensation

7

Custodian fees and expenses

64

Registration fees

86

Audit

63

Legal

6

Miscellaneous

70

Total expenses before reductions

7,557

Expense reductions

(220)

7,337

Net investment income (loss)

22,377

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities

42,170

Foreign currency transactions

(71)

Futures contracts

2,702

Swap agreements

803

Total net realized gain (loss)

45,604

Change in net unrealized appreciation (depreciation) on:

Investment securities

(5,726)

Futures contracts

(413)

Swap agreements

150

Total change in net unrealized appreciation (depreciation)

(5,989)

Net gain (loss)

39,615

Net increase (decrease) in net assets resulting from operations

$ 61,992

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

Annual Report

Statement of Changes in Net Assets

Amounts in thousands

Year ended
September 30,
2004

Year ended
September 30,
2003

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 22,377

$ 22,714

Net realized gain (loss)

45,604

8,865

Change in net unrealized appreciation (depreciation)

(5,989)

79,429

Net increase (decrease) in net assets resulting
from operations

61,992

111,008

Distributions to shareholders from net investment income

(22,235)

(22,996)

Share transactions
Proceeds from sales of shares

697,430

389,005

Reinvestment of distributions

21,050

21,757

Cost of shares redeemed

(334,219)

(376,917)

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

384,261

33,845

Total increase (decrease) in net assets

424,018

121,857

Net Assets

Beginning of period

970,982

849,125

End of period (including undistributed net investment income of $4,666 and undistributed net investment income of $3,989, respectively)

$ 1,395,000

$ 970,982

Other Information

Shares

Sold

57,313

34,315

Issued in reinvestment of distributions

1,739

1,963

Redeemed

(27,452)

(33,996)

Net increase (decrease)

31,600

2,282

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

Annual Report

Financial Highlights

Years ended September 30,

2004

2003

2002

2001

2000

Selected Per-Share Data

Net asset value, beginning of period

$ 11.80

$ 10.61

$ 11.13

$ 12.24

$ 12.15

Income from Investment Operations

Net investment income (loss)B

.23

.30

.43

.59

.65

Net realized and unrealized gain (loss)

.45

1.19

(.52)

(.87)

.30

Total from investment operations

.68

1.49

(.09)

(.28)

.95

Distributions from net investment income

(.23)

(.30)

(.43)

(.61)

(.65)

Distributions from net realized gain

-

-

-

(.22)

(.21)

Total distributions

(.23)

(.30)

(.43)

(.83)

(.86)

Net asset value, end of period

$ 12.25

$ 11.80

$ 10.61

$ 11.13

$ 12.24

Total ReturnA

5.80%

14.26%

(.92)%

(2.40)%

8.10%

Ratios to Average Net AssetsC

Expenses before expense
reductions

.63%

.64%

.64%

.64%

.65%

Expenses net of voluntary
waivers, if any

.63%

.64%

.64%

.64%

.65%

Expenses net of all reductions

.61%

.61%

.63%

.62%

.62%

Net investment income (loss)

1.86%

2.69%

3.90%

5.10%

5.36%

Supplemental Data

Net assets, end of period
(in millions)

$ 1,395

$ 971

$ 849

$ 916

$ 818

Portfolio turnover rate

232%

276%

164%

164%

140%

A Total returns would have been lower had certain expenses not been reduced during the periods shown.

B Calculated based on average shares outstanding during the period.

C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other 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.

Annual Report

Notes to Financial Statements

For the period ended September 30, 2004

(Amounts in thousands except ratios)

1. Significant Accounting Policies.

Fidelity Asset Manager: Income (the fund) is a fund of Fidelity Charles Street 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 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. The following summarizes the significant accounting policies of the fund:

Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.

Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

Annual Report

Notes to Financial Statements - continued

1. Significant Accounting Policies - continued

Foreign Currency - continued

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. 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 the funds in the trust.

Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on the fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions 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.

Annual Report

1. 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, foreign currency transactions, certain foreign taxes, prior period premium and discount on debt securities, market discount, non-taxable dividends, financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:

Unrealized appreciation

$ 45,739

Unrealized depreciation

(13,545)

Net unrealized appreciation (depreciation)

32,194

Undistributed ordinary income

4,272

Capital loss carryforward

(6,868)

Cost for federal income tax purposes

$ 1,375,205

The tax character of distributions paid was as follows:

September 30, 2004

September 30, 2003

Ordinary Income

$ 22,235

$ 22,996

2. 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. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).

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

Annual Report

Notes to Financial Statements - continued

2. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities - continued

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.

Futures Contracts. The fund may use futures contracts to manage its exposure to the stock and bond markets and to fluctuations in interest rates and currency values. Buying futures tends to increase the fund's exposure to the underlying instrument, while selling futures tends to decrease the fund's exposure to the underlying instrument or hedge other fund 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 counter-parties do not perform under the contracts' terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

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 may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses,

Annual Report

2. Operating Policies - continued

Swap Agreements - continued

respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact the fund.

Total return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, the fund will receive a payment from the counterparty. To the extent it is less, the fund will make a payment to the counterparty. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.

Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The fund may enter into credit default swaps in which the fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the fund's Schedule of Investments under the caption "Swap Agreements."

Financing Transactions. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of

Annual Report

Notes to Financial Statements - continued

2. Operating Policies - continued

Financing Transactions - continued

mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the fund's right to repurchase or sell securities may be limited.

3. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $757,041 and $687,395, respectively.

4. 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 .30% of the fund's average net assets and a group fee rate that averaged .13% 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 annual management fee rate was .43% of the fund's average net assets.

Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .14% of average net assets.

Accounting and Security Lending Fees. FSC 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.

Annual Report

4. Fees and Other Transactions with Affiliates - continued

Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $5,110 for the period.

Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $57 for the period.

5. Committed Line of Credit.

The fund participates with other funds managed by FMR in a $4.2 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. During the period, there were no borrowings on this line of credit.

6. Security Lending.

The fund lends portfolio securities from time to time in order to earn additional income. 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. Cash collateral 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.

7. Expense Reductions.

Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $210 for the period. 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 $4 and $6, respectively.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Charles Street Trust and Shareholders of Fidelity Asset Manager: Income:

We have audited the accompanying statement of assets and liabilities of Fidelity Asset Manager: Income (the Fund), a fund of Fidelity Charles Street Trust, including the portfolio of investments, as of September 30, 2004, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2004, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. 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 Asset Manager: Income as of September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

/s/DELOITTE & TOUCHE LLP

DELOITTE & TOUCHE LLP

Boston, Massachusetts

November 12, 2004

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 299 funds advised by FMR or an affiliate. Mr. McCoy oversees 301 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (74)**

Year of Election or Appointment: 1981

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc.

Abigail P. Johnson (42)**

Year of Election or Appointment: 2001

Senior Vice President of Asset Manager: Income (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds.

Laura B. Cronin (50)

Year of Election or Appointment: 2003

Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002).

Robert L. Reynolds (52)

Year of Election or Appointment: 2003

Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.

Annual Report

Non-Interested Trustees:

Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

J. Michael Cook (62)

Year of Election or Appointment: 2001

Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), The Dow Chemical Company (2000), and Northrop Grumman Corporation (global defense technology, 2003). He is a Member of the Diversity Advisory Council of Marakon (2003) and the Advisory Council of the Public Company Accounting Oversight Board (PCAOB), Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his alma mater.

Ralph F. Cox (72)

Year of Election or Appointment: 1991

Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin.

Robert M. Gates (61)

Year of Election or Appointment: 1997

Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001), and Brinker International (restaurant management, 2003). He also serves as a member of the Advisory Board of VoteHere.net (secure internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy.

George H. Heilmeier (68)

Year of Election or Appointment: 2004

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001), Teletech Holdings (customer management services), and HRL Laboratories (private research and development, 2004). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences and The Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), and Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002).

Donald J. Kirk (71)

Year of Election or Appointment: 1987

Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. (leadership education for arts and culture). Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations).

Marie L. Knowles (57)

Year of Election or Appointment: 2001

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (60)

Year of Election or Appointment: 2000

Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Co-Chairman and a Director of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida (1999). He also is a member of the Council on Foreign Relations.

Marvin L. Mann (71)

Year of Election or Appointment: 1993

Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director's Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.

William O. McCoy (70)

Year of Election or Appointment: 1997

Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998).

William S. Stavropoulos (65)

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman of the Board (2000), CEO (2002), a position he previously held from 1995-2000, Chairman of the Executive Committee (2000), and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Annual Report

Advisory Board Members and Executive Officers:

Correspondence intended for Mr. Dirks, Ms. Small, and Mr. Wolfe may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Dennis J. Dirks (56)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003).

Peter S. Lynch (61)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.

Cornelia M. Small (60)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Ms. Small is a member (2000) and Chairperson (2002) of the Investment Committee, and a member (2002) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1998). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

Kenneth L. Wolfe (65)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003), Bausch & Lomb, Inc., and Revlon Inc. (2004).

Bart A. Grenier (45)

Year of Election or Appointment: 2001

Vice President of Asset Manager: Income. Mr. Grenier also serves as Vice President of certain Equity Funds (2001), a position he previously held from 1999 to 2000, and Vice President of certain High Income Funds (2002). He is Senior Vice President of FMR (1999) and FMR Co., Inc. (2001), and President and Director of Strategic Advisers, Inc. (2002). He also heads Fidelity's Asset Allocation Group (2000), Fidelity's Growth and Income Group (2001), Fidelity's Value Group (2001), and Fidelity's High Income Division (2001). Previously, Mr. Grenier served as President of Fidelity Ventures (2000), Vice President of certain High Income Funds (1997-2000), High Income Division Head (1997-2000), Group Leader of the Income-Growth and Asset Allocation-Income Groups (1996-2000), and Assistant Equity Division Head (1997-2000).

Charles S. Morrison (43)

Year of Election or Appointment: 2002

Vice President of Asset Manager: Income. Mr. Morrison also serves as Vice President of Fidelity's Bond Funds (2002), and Vice President of certain Asset Allocation and Balanced Funds (2002). He serves as Vice President (2002) and Bond Group Leader (2002) of Fidelity Investments Fixed Income Division. Mr. Morrison is also Vice President of FIMM (2002) and FMR (2002). Mr. Morrison joined Fidelity in 1987 as a Corporate Bond Analyst in the Fixed Income Research Division.

David L. Murphy (56)

Year of Election or Appointment: 2002

Vice President of Asset Manager: Income. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002) and Vice President of certain Asset Allocation Funds (2003). He serves as Senior Vice President (2000) and Money Market Group Leader (2002) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of FIMM (2003) and a Vice President of FMR (2000). Previously, Mr. Murphy served as Bond Group Leader (2000-2002) and Vice President of Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002). Mr. Murphy joined Fidelity in 1989 as a portfolio manager in the Bond Group.

Richard C. Habermann (64)

Year of Election or Appointment: 1996

Vice President of Asset Manager: Income. Mr. Habermann serves as Vice President of other funds advised by FMR. Mr. Habermann also serves as Vice President of FMR and FMR Co., Inc. (2001).

Robert Bertelson (44)

Year of Election or Appointment: 2002

Vice President of Asset Manager: Income. Prior to assuming his current responsibilities, Mr. Bertelson managed a variety of Fidelity funds. Mr. Bertelson also serves as Vice President of FMR (1999) and FMR Co., Inc. (2001).

Matthew J. Conti (38)

Year of Election or Appointment: 2002

Vice President of Asset Manager: Income. Mr. Conti also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Conti managed a variety of Fidelity funds. Mr. Conti also serves as Vice President of FMR (2003) and FMR Co., Inc. (2003).

James K. Miller (40)

Year of Election or Appointment: 2004

Vice President of Asset Manager: Income. Mr. Miller also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Miller managed a variety of Fidelity funds.

Jeffrey Moore (38)

Year of Election or Appointment: 2002

Vice President of Asset Manager: Income. Mr. Moore also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Moore served as a fixed-income analyst and portfolio manager.

Eric D. Roiter (55)

Year of Election or Appointment: 1998

Secretary of Asset Manager: Income. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management, Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003).

Stuart Fross (45)

Year of Election or Appointment: 2003

Assistant Secretary of Asset Manager: Income. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR.

Christine Reynolds (46)

Year of Election or Appointment: 2004

President, Treasurer, and Anti-Money Laundering (AML) officer of Asset Manager: Income. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was most recently an audit partner with PwC's investment management practice.

Timothy F. Hayes (53)

Year of Election or Appointment: 2002

Chief Financial Officer of Asset Manager: Income. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998).

Kenneth A. Rathgeber (57)

Year of Election or Appointment: 2004

Chief Compliance Officer of Asset Manager: Income. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

John R. Hebble (46)

Year of Election or Appointment: 2003

Deputy Treasurer of Asset Manager: Income. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003).

Kimberley H. Monasterio (40)

Year of Election or Appointment: 2004

Deputy Treasurer of Asset Manager: Income. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

John H. Costello (58)

Year of Election or Appointment: 1992

Assistant Treasurer of Asset Manager: Income. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.

Francis V. Knox, Jr. (57)

Year of Election or Appointment: 2002

Assistant Treasurer of Asset Manager: Income. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002).

Peter L. Lydecker (50)

Year of Election or Appointment: 2004

Assistant Treasurer of Asset Manager: Income. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Mark Osterheld (49)

Year of Election or Appointment: 2002

Assistant Treasurer of Asset Manager: Income. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.

Kenneth B. Robins (35)

Year of Election or Appointment:2004

Assistant Treasurer of Asset Manager: Income. Mr. Robins also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Thomas J. Simpson (46)

Year of Election or Appointment: 2000

Assistant Treasurer of Asset Manager: Income. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995).

Annual Report

Distributions

A total of 11.86% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates 3.00% of the dividends distributed between October 2003 and December 2003, inclusive, and 5.00% of the dividends distributed between February 2004 and September 2004, inclusive, as qualifying for the dividends-received deduction for corporate shareholders.

A percentage of the dividends distributed during the fiscal year as designated by the fund may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code as shown below.

Ex-Date

Percentage

October 2003

7%

November & December 2003

3%

February through September 2004

12%

The fund will notify shareholders in January 2005 of amounts for use in preparing 2004 income tax returns.

Annual Report

Proxy Voting Results

A special meeting of the fund's shareholders was held on September 15, 2004. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval.*

# of
Votes

% of
Votes

Affirmative

7,568,144,945.96

76.551

Against

1,665,604,684.78

16.847

Abstain

460,998,830.31

4.663

Broker
Non-Votes

191,690,954.58

1.939

TOTAL

9,886,439,415.63

100.000

PROPOSAL 2

To elect a Board of Trustees.*

# of
Votes

% of
Votes

J. Michael Cook

Affirmative

9,359,102,098.49

94.666

Withheld

527,337,317.14

5.334

TOTAL

9,886,439,415.63

100.000

Ralph F. Cox

Affirmative

9,333,369,952.29

94.406

Withheld

553,069,463.34

5.594

TOTAL

9,886,439,415.63

100.000

Laura B. Cronin

Affirmative

9,355,534,364.24

94.630

Withheld

530,905,051.39

5.370

TOTAL

9,886,439,415.63

100.000

Robert M. Gates

Affirmative

9,352,106,353.30

94.595

Withheld

534,333,062.33

5.405

TOTAL

9,886,439,415.63

100.000

George H. Heilmeier

Affirmative

9,360,572,048.31

94.681

Withheld

525,867,367.32

5.319

TOTAL

9,886,439,415.63

100.000

# of
Votes

% of
Votes

Abigail P. Johnson

Affirmative

9,327,059,416.89

94.342

Withheld

559,379,998.74

5.658

TOTAL

9,886,439,415.63

100.000

Edward C. Johnson 3d

Affirmative

9,323,731,909.04

94.308

Withheld

562,707,506.59

5.692

TOTAL

9,886,439,415.63

100.000

Donald J. Kirk

Affirmative

9,343,833,406.30

94.512

Withheld

542,606,009.33

5.488

TOTAL

9,886,439,415.63

100.000

Marie L. Knowles

Affirmative

9,362,664,343.97

94.702

Withheld

523,775,071.66

5.298

TOTAL

9,886,439,415.63

100.000

Ned C. Lautenbach

Affirmative

9,368,801,700.35

94.764

Withheld

517,637,715.28

5.236

TOTAL

9,886,439,415.63

100.000

Marvin L. Mann

Affirmative

9,342,116,785.91

94.494

Withheld

544,322,629.72

5.506

TOTAL

9,886,439,415.63

100.000

William O. McCoy

Affirmative

9,348,114,851.10

94.555

Withheld

538,324,564.53

5.445

TOTAL

9,886,439,415.63

100.000

Robert L. Reynolds

Affirmative

9,368,829,274.86

94.764

Withheld

517,610,140.77

5.236

TOTAL

9,886,439,415.63

100.000

# of
Votes

% of
Votes

William S. Stavropoulos

Affirmative

9,355,225,708.91

94.627

Withheld

531,213,706.72

5.373

TOTAL

9,886,439,415.63

100.000

Dennis J. Dirks**

Affirmative

9,363,252,671.04

94.708

Withheld

523,186,744.59

5.292

TOTAL

9,886,439,415.63

100.000

Cornelia M. Small**

Affirmative

9,357,897,300.73

94.654

Withheld

528,542,114.90

5.346

TOTAL

9,886,439,415.63

100.000

* Denotes trust-wide proposals and voting results.
** Effective 1/1/05

Annual 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

1   For mutual fund and brokerage trading.

2   For quotes.*

3   For account balances and holdings.

4   To review orders and mutual
fund activity.

5   To change your PIN.

*0   To 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.

Annual 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

Annual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Investments Money
Management, Inc.

Fidelity Management & Research

(U.K.) Inc.

Fidelity Management & Research

(Far East) Inc.

Fidelity Investments Japan Limited

Fidelity International Investment

Advisors

Fidelity International Investment

Advisors (U.K.) Limited

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Shareholder
Servicing Agent

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY

Fidelity's Asset Allocation Funds

Asset ManagerSM 

Asset Manager: Aggressive®

Asset Manager: Growth®

Asset Manager: Income®

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Income, 2000, 2005, 2010, 2015, 2020, 2025, 2030, 2035, 2040

Please carefully consider the funds' investment objectives, risks, charges and expenses before investing. For this and other information, call 1-800-544-6666 for a free prospectus. Read it carefully before you invest or send money.

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®) (automated graphic)    1-800-544-5555

(automated graphic)    Automated line for quickest service

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com

AMI-UANN-1104
1.792131.101

Fidelity®

Asset ManagerSM 

Annual Report

September 30, 2004

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion

<Click Here>

The manager's review of fund performance, strategy and outlook.

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>

Trustees and Officers

<Click Here>

Distributions

<Click Here>

Proxy Voting Results

<Click Here>

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at 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 Corp. or an affiliated company.

(Recycle graphic)   This report is printed on recycled paper using soy-based inks.

Annual Report

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.

Commencing with the fiscal quarter ending December 31, 2004, the 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. The 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 the fund's portfolio holdings, view the fund's most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Many of you have read or heard news stories recently that were critical of mutual funds and made allegations that the mutual fund industry has been less than forthright. I find these reports unsettling and not necessarily an accurate picture of the overall industry, and I would like you to know where we at Fidelity stand.

With specific regard to allegations that certain mutual fund companies were violating the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities, I want to say two things:

First, Fidelity does not have agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not to say that someone could not deceive the company through fraudulent acts. But I underscore that we have no so-called "agreements" which would permit this illegal practice.

Second, Fidelity has been on record for years opposing predatory short-term trading which adversely affects other shareholders in a mutual fund. In fact, in the 1980s, we began charging a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. What's more, several years ago we took the industry lead in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. It is reasonable to assume that another structure can be developed that would alter the system to make it much more difficult for predatory traders to operate. This, however, will only be achieved through close cooperation among regulators, legislators and the industry.

Certainly no industry is perfect, and there have been instances of unethical and illegal activity from time to time within the mutual fund industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. Clearly, every system can be improved. We applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings. But we remain concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems.

For more than 57 years, Fidelity Investments has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Many of them were family and friends. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.

Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.

Best regards,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended September 30, 2004

Past 1
year

Past 5
years

Past 10
years

Fidelity® Asset ManagerSM

6.00%

3.37%

8.18%

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Asset Manager SM on September 30, 1994. The chart shows how the value of your investment would have grown, and also shows how the Standard and Poor's 500 SM Index did over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Richard Habermann, Portfolio Manager of Fidelity® Asset ManagerSM

U.S. equity markets were an up-and-down proposition during the 12 months ending September 30, 2004. The Standard & Poor's 500SM Index registered five consecutive months of gains from October 2003 through February 2004. An improving economy and better corporate profits were key contributors to the broad market rally. But equities mostly trended lower from there, as surging oil prices, Federal Reserve Board interest rate hikes and concerns about job growth pressured stocks. Still, many equity benchmarks posted solid gains for the year overall. The S&P 500® returned 13.87%, the Dow Jones Industrial AverageSM rose 10.96% and the NASDAQ Composite® Index advanced 6.71%. Meanwhile, investment-grade bond performance exceeded expectations, with the Lehman Brothers® Aggregate Bond Index climbing 3.68%. Bonds reeled off five consecutive monthly gains from November 2003 through March 2004 before tumbling in the spring when an increase in employment levels led to unease about the direction of interest rates. However, bonds rose in each of the final four months of the period, despite three rate hikes. Most spread sectors - including corporate and mortgage securities - handily outpaced Treasuries, the most interest-rate-sensitive bond category.

The fund gained 6.00% for the year, while the Fidelity Asset Manager Composite Index
and the LipperSM Flexible Portfolio Funds Average rose 8.51% and 10.08%, respectively. Relative to the index, weak stock selection overall more than offset favorable asset allocation and solid results within the fixed-income subportfolio. In an environment that favored riskier assets, it paid to overweight stocks and high-yield bonds, both of which outperformed investment-grade debt. Our average peer, however, was even more aggressive in equities. Overweighting cash during the first half of the period also curbed performance in the face of a strong bond market. The fund's equity investments trailed the S&P 500 by more than five percentage points, largely due to some poor picks in health care, namely drug wholesaler Cardinal Health and big drug makers such as Merck. Also, in media, radio broadcaster Clear Channel Communications hurt a lot. Conversely, underweighting weak technology stocks helped, as did overweighting retailers Home Depot and pharmacy chain CVS, and energy holdings such as driller Transocean. In fixed income, we benefited mainly from focusing on corporate bonds that staged nice rallies, and our high-yield and investment-grade holdings easily beat the Lehman Brothers Aggregate Bond Index. The strategic cash portion of the fund topped its benchmark as well.

The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual 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 (April 1, 2004 to September 30, 2004).

Actual Expenses

The first line of the table below 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.

Hypothetical Example for Comparison Purposes

The second line of the table below 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.

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.

Beginning
Account Value
April 1, 2004

Ending
Account Value
September 30, 2004

Expenses Paid
During Period*
April 1, 2004
to September 30, 2004

Actual

$ 1,000.00

$ 983.00

$ 3.72

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,021.20

$ 3.80

*Expenses are equal to the Fund's annualized expense ratio of .75%; multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

Annual Report

Investment Changes

Top Five Stocks as of September 30, 2004

% of fund's
net assets

% of fund's net assets
6 months ago

American International Group, Inc.

2.9

2.9

Microsoft Corp.

2.7

2.3

Home Depot, Inc.

2.5

2.1

Pfizer, Inc.

2.1

2.0

SBC Communications, Inc.

2.1

1.6

12.3

Top Five Bond Issuers as of September 30, 2004

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

Fannie Mae

9.4

5.6

U.S. Treasury Obligations

3.1

2.8

Freddie Mac

1.2

0.8

Government National Mortgage Association

0.5

0.7

Thirteen Affiliates of General Growth Properties, Inc.

0.3

0.3

14.5

Top Five Market Sectors as of September 30, 2004

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

17.4

16.7

Health Care

8.4

10.3

Consumer Discretionary

8.0

9.7

Information Technology

7.5

7.0

Industrials

4.6

4.4

Asset Allocation (% of fund's net assets)

As of September 30, 2004*

As of March 31, 2004 **

Stock class 53.4%

Stock class 56.0%

Bond class 32.0%

Bond class 29.9%

Short-term class 14.6%

Short-term class 14.1%

* Foreign
investments

7.1%

** Foreign
investments

8.5%



Asset allocations in the pie charts reflect the categorization of assets as defined in the fund's prospectus in effect as of the time periods indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.

The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund.

Annual Report

Investments September 30, 2004

Showing Percentage of Net Assets

Common Stocks - 49.5%

Shares

Value (Note 1) (000s)

CONSUMER DISCRETIONARY - 5.8%

Auto Components - 0.0%

Aisin Seiki Co. Ltd.

88,000

$ 2,176

Bridgestone Corp.

111,000

2,063

NOK Corp.

17,500

538

Sanden Corp.

131,000

863

5,640

Automobiles - 0.1%

Honda Motor Co. Ltd.

67,400

3,284

Hyundai Motor Co. Ltd.

36,860

1,700

Renault SA

21,400

1,752

Toyota Motor Corp.

225,100

8,597

15,333

Hotels, Restaurants & Leisure - 0.2%

H.I.S. Co. Ltd.

64,700

2,041

McDonald's Corp.

686,300

19,237

William Hill PLC

162,000

1,566

22,844

Household Durables - 0.1%

Casio Computer Co. Ltd.

66,000

779

HTL International Holdings Ltd.

1,371,000

1,009

Koninklijke Philips Electronics NV

15,900

364

Koninklijke Philips Electronics NV (NY Shares)

27,000

619

Matsushita Electric Industrial Co. Ltd.

84,000

1,127

Merry Electronics Co. Ltd.

638,577

1,382

Rinnai Corp.

27,700

846

SEB SA

11,061

1,070

Sony Corp.

9,700

334

Sumitomo Forestry Co. Ltd.

140,000

1,309

Techtronic Industries Co. Ltd.

1,450,000

2,855

11,694

Internet & Catalog Retail - 0.0%

N Brown Group PLC

334,700

676

Leisure Equipment & Products - 0.0%

Fuji Photo Film Co. Ltd.

28,000

921

Media - 2.4%

Asahi Broadcasting Corp.

2,480

154

British Sky Broadcasting Group PLC (BSkyB)

165,100

1,434

Clear Channel Communications, Inc.

6,151,591

191,745

ITV PLC

557,158

1,088

Common Stocks - continued

Shares

Value (Note 1) (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Maiden Group PLC

118,700

$ 500

McGraw-Hill Companies, Inc.

37,200

2,964

Mediaset Spa

143,500

1,631

Modern Times Group AB (MTG) (B Shares) (a)

40,650

760

News Corp. Ltd.

309,665

2,545

News Corp. Ltd. sponsored ADR

918,500

28,777

NRJ Group

145,271

2,891

PT Multimedia SGPS SA

41,700

931

Publishing & Broadcasting Ltd.

143,029

1,426

Reuters Group PLC

206,600

1,166

Television Broadcasts Ltd.

170,000

761

Time Warner, Inc. (a)

1,034,850

16,702

Tv Asahi Corp.

549

1,073

Vivendi Universal SA (a)

66,400

1,708

Wolters Kluwer NV (Certificaten Van Aandelen)

76,400

1,287

259,543

Multiline Retail - 0.1%

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

1,630

99

Don Quijote Co. Ltd.

27,400

1,594

Hyundai Department Store Co. Ltd.

15,480

437

Next PLC

86,500

2,560

Ryohin Keikaku Co. Ltd.

36,000

1,557

Shinsegae Co. Ltd.

4,130

1,099

The Warehouse Group Ltd.

163,300

468

7,814

Specialty Retail - 2.8%

Bookoff Corp.

32,000

475

Dixons Group PLC

822,800

2,546

Esprit Holdings Ltd.

477,000

2,423

Fast Retailing Co. Ltd.

24,200

1,647

Giordano International Ltd.

1,276,000

704

Home Depot, Inc.

6,895,400

270,300

JB Hi-Fi Ltd.

236,064

529

Nishimatsuya Chain Co. Ltd.

19,000

610

Office Depot, Inc. (a)

130,800

1,966

Ross Stores, Inc.

31,400

736

Shimachu Co. Ltd.

27,000

653

Staples, Inc.

272,500

8,126

TJX Companies, Inc.

311,800

6,872

Common Stocks - continued

Shares

Value (Note 1) (000s)

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

USS Co. Ltd.

24,220

$ 1,829

Wyevale Garden Centres PLC

116,000

748

300,164

Textiles Apparel & Luxury Goods - 0.1%

Adidas-Salomon AG

15,300

2,138

Arena Brands Holding Corp. Class B (m)

130,444

1,350

Billabong International Ltd.

143,800

999

Bulgari Spa

321,700

3,205

Ted Baker PLC

358,600

2,719

10,411

TOTAL CONSUMER DISCRETIONARY

635,040

CONSUMER STAPLES - 3.9%

Beverages - 0.5%

Fosters Group Ltd.

272,800

939

Lion Nathan Ltd.

185,300

995

PepsiCo, Inc.

520,370

25,316

Pernod-Ricard

38,500

5,118

Southcorp Ltd. (a)

200,100

491

The Coca-Cola Co.

492,850

19,739

52,598

Food & Staples Retailing - 2.1%

Aeon Co. Ltd.

18,600

300

Aeon Co. Ltd. New (a)

18,600

297

Circle K Sunkus Co. Ltd. (a)

52,600

1,276

CVS Corp.

2,806,800

118,250

Ito Yokado Ltd.

35,700

1,227

Lawson, Inc.

35,300

1,226

Safeway, Inc. (a)

2,115,000

40,841

Wal-Mart Stores, Inc.

1,263,700

67,229

Woolworths Ltd.

50,400

500

231,146

Food Products - 0.0%

People's Food Holdings Ltd.

1,061,000

731

Pulmuone Co. Ltd.

13,040

549

1,280

Common Stocks - continued

Shares

Value (Note 1) (000s)

CONSUMER STAPLES - continued

Household Products - 0.2%

Kimberly-Clark Corp.

80,400

$ 5,193

Procter & Gamble Co.

177,100

9,585

14,778

Personal Products - 0.5%

Alberto-Culver Co.

1,184,400

51,498

Amorepacific Corp.

6,070

1,173

Estee Lauder Companies, Inc. Class A

87,600

3,662

Hengan International Group Co. Ltd.

162,000

83

Kose Corp.

21,200

813

57,229

Tobacco - 0.6%

Altria Group, Inc.

1,417,100

66,660

TOTAL CONSUMER STAPLES

423,691

ENERGY - 2.3%

Energy Equipment & Services - 1.4%

Diamond Offshore Drilling, Inc. (f)

1,212,700

40,007

ENSCO International, Inc.

854,500

27,917

GlobalSantaFe Corp.

1,227,986

37,638

Nabors Industries Ltd. (a)

123,100

5,829

Transocean, Inc. (a)

1,150,900

41,179

152,570

Oil & Gas - 0.9%

BP PLC

86,000

825

BP PLC sponsored ADR

193,100

11,109

ChevronTexaco Corp.

922,400

49,478

China Petroleum & Chemical Corp. (H Shares)

756,000

310

CNOOC Ltd. sponsored ADR

21,600

1,136

ENI Spa

236,300

5,307

Exxon Mobil Corp.

158,700

7,670

GS Holdings Corp. (a)

13,394

287

Nippon Oil Corp.

176,000

1,112

Royal Dutch Petroleum Co. (Hague Registry)

91,800

4,737

Shell Transport & Trading Co. PLC:

ADR

83,200

3,703

(Reg.)

90,200

669

Common Stocks - continued

Shares

Value (Note 1) (000s)

ENERGY - continued

Oil & Gas - continued

Total SA:

Series B

5,400

$ 1,103

sponsored ADR

127,800

13,057

100,503

TOTAL ENERGY

253,073

FINANCIALS - 13.7%

Capital Markets - 1.8%

Bear Stearns Companies, Inc.

56,000

5,386

Credit Suisse Group (Reg.)

48,886

1,561

D. Carnegie & Co. AB

108,000

1,069

DAB Bank AG (a)

307,000

1,863

Greenhill & Co., Inc.

200

5

JAFCO Co. Ltd.

15,700

828

Lehman Brothers Holdings, Inc.

175,400

13,983

Macquarie Bank Ltd.

23,000

608

Mediobanca Spa

79,100

1,047

Merrill Lynch & Co., Inc.

959,100

47,686

Mitsubishi Securities Co. Ltd.

113,000

1,091

Morgan Stanley

2,400,900

118,364

Nomura Holdings, Inc.

37,000

478

UBS AG (NY Shares)

44,200

3,109

197,078

Commercial Banks - 2.3%

ABN-AMRO Holding NV

163,300

3,717

Australia & New Zealand Banking Group Ltd.

218,000

3,018

Banca Intesa Spa

501,688

1,907

Banco Bilbao Vizcaya Argentaria SA

227,700

3,142

Bank of America Corp.

3,290,220

142,565

BNP Paribas SA

53,900

3,486

Capitalia Spa

456,800

1,681

Chinatrust Financial Holding Co.

744,900

803

DBS Group Holdings Ltd.

49,000

465

Hana Bank

39,140

931

HSBC Holdings PLC:

(Hong Kong) (Reg.)

58,000

926

sponsored ADR

71,000

5,666

Kookmin Bank (a)

14,780

468

Korea Exchange Bank (a)

72,830

423

Common Stocks - continued

Shares

Value (Note 1) (000s)

FINANCIALS - continued

Commercial Banks - continued

Mitsubishi Tokyo Financial Group, Inc. (MTFG)

304

$ 2,535

Mizuho Financial Group, Inc.

803

3,022

National Australia Bank

50,912

998

Nishi-Nippon Bank Ltd.

271,900

1,055

Nordea Bank AB

200,500

1,639

Oversea-Chinese Banking Corp. Ltd.

116,000

964

Royal Bank of Scotland Group PLC

96,100

2,779

Shinhan Financial Group Co. Ltd.

39,600

684

SouthTrust Corp.

446,538

18,603

St. George Bank Ltd.

33,400

531

Sumitomo Mitsui Financial Group, Inc.

278

1,592

Synovus Financial Corp.

542,500

14,186

Taishin Financial Holdings Co. Ltd.

2,220,744

1,791

UFJ Holdings, Inc. (a)

429

1,883

Wachovia Corp.

464,300

21,799

Wells Fargo & Co.

96,200

5,736

Westpac Banking Corp.

62,900

812

249,807

Consumer Finance - 0.3%

Aeon Credit Service Ltd.

14,700

839

Aiful Corp.

9,900

973

MBNA Corp.

1,035,300

26,090

Nippon Shinpan Co. Ltd.

229,000

676

Omc Card, Inc. (a)

134,000

1,399

ORIX Corp.

18,800

1,931

SFCG Co. Ltd.

9,600

1,890

STB Leasing Co. Ltd.

23,700

455

34,253

Diversified Financial Services - 2.0%

Citigroup, Inc.

3,312,066

146,128

Deutsche Boerse AG

65,346

3,309

Fortis

114,600

2,731

ING Groep NV (Certificaten Van Aandelen)

139,700

3,532

J.P. Morgan Chase & Co.

1,689,930

67,141

222,841

Insurance - 4.7%

AFLAC, Inc.

114,000

4,470

Allianz AG (Reg.)

24,000

2,414

AMBAC Financial Group, Inc.

360,100

28,790

Common Stocks - continued

Shares

Value (Note 1) (000s)

FINANCIALS - continued

Insurance - continued

American International Group, Inc.

4,609,869

$ 313,413

Amlin PLC

1,254,100

3,517

AMP Ltd.

139,800

634

AXA SA

139,400

2,827

Cathay Financial Holding Co. Ltd.

231,000

435

Fuji Fire & Marine Insurance Co. Ltd.

134,000

425

Great Eastern Holdings Ltd.

49,000

340

Hartford Financial Services Group, Inc.

977,380

60,529

MBIA, Inc.

347,500

20,228

MetLife, Inc.

1,084,200

41,904

Millea Holdings, Inc.

161

2,078

PartnerRe Ltd.

130,700

7,148

Promina Group Ltd.

330,038

1,088

Prudential PLC

163,600

1,336

QBE Insurance Group Ltd.

113,059

1,078

Skandia Foersaekrings AB

528,600

2,092

St. Paul Travelers Companies, Inc.

371,333

12,276

507,022

Real Estate - 0.1%

CapitaLand Ltd.

496,000

527

Cheung Kong Holdings Ltd.

55,000

471

Henderson Land Development Co. Ltd.

139,000

665

Japan Retail Fund Investment Corp.

137

1,027

Mitsubishi Estate Co. Ltd.

73,000

763

Sumitomo Realty & Development Co. Ltd.

74,000

790

Sun Hung Kai Properties Ltd.

94,000

886

Westfield Group unit (a)

122,900

1,361

Wharf Holdings Ltd.

253,000

852

7,342

Thrifts & Mortgage Finance - 2.5%

Fannie Mae

3,296,000

208,966

Greenpoint Financial Corp.

176,400

8,160

MGIC Investment Corp.

481,800

32,064

New York Community Bancorp, Inc.

1,036,266

21,285

Sovereign Bancorp, Inc.

70,400

1,536

272,011

TOTAL FINANCIALS

1,490,354

Common Stocks - continued

Shares

Value (Note 1) (000s)

HEALTH CARE - 8.0%

Biotechnology - 0.0%

CSL Ltd.

83,960

$ 1,736

Global Bio-Chem Technology Group Co. Ltd.

680,000

519

Global Bio-Chem Technology Group Co. Ltd. warrants 5/31/07 (a)

85,000

6

2,261

Health Care Equipment & Supplies - 0.3%

Axis Shield PLC (a)

249,267

869

Baxter International, Inc.

542,300

17,440

Coloplast AS Series B

18,300

1,771

Corin Group PLC

153,580

779

Medtronic, Inc.

152,100

7,894

Phonak Holding AG

87,423

2,812

ResMed, Inc. CHESS Depositary Interests (a)

142,600

691

Terumo Corp.

33,700

769

Thermo Electron Corp. (a)

166,400

4,496

37,521

Health Care Providers & Services - 1.9%

Alfresa Holdings Corp.

7,200

253

Cardinal Health, Inc.

4,475,780

195,905

DCA Group Ltd. (f)

242,233

562

Fresenius Medical Care AG

32,800

2,515

Henry Schein, Inc. (a)

101,300

6,312

Ramsay Health Care Ltd.

108,500

490

Service Corp. International (SCI) (a)

370,009

2,298

Sonic Healthcare Ltd.

94,800

687

209,022

Pharmaceuticals - 5.8%

AstraZeneca PLC (United Kingdom)

34,300

1,411

Barr Pharmaceuticals, Inc. (a)

82,100

3,401

Chugai Pharmaceutical Co. Ltd.

86,200

1,245

GlaxoSmithKline PLC sponsored ADR

164,600

7,198

Johnson & Johnson

1,729,300

97,411

Merck & Co., Inc.

1,347,620

44,471

Novartis AG sponsored ADR

79,200

3,696

Novo Nordisk AS Series B

52,100

2,856

Pfizer, Inc.

7,555,800

231,207

Recordati Spa

163,212

3,241

Roche Holding AG (participation certificate)

47,250

4,896

Sanofi-Aventis

55,000

4,027

Common Stocks - continued

Shares

Value (Note 1) (000s)

HEALTH CARE - continued

Pharmaceuticals - continued

Schering-Plough Corp.

1,514,007

$ 28,857

Shire Pharmaceuticals Group PLC

153,500

1,466

Takeda Pharamaceutical Co. Ltd.

54,800

2,490

Tong Ren Tang Technologies Co. Ltd. (H Shares)

218,000

475

Wyeth

4,989,600

186,611

Yamanouchi Pharmaceutical Co. Ltd.

66,400

2,148

627,107

TOTAL HEALTH CARE

875,911

INDUSTRIALS - 3.8%

Aerospace & Defense - 0.5%

BAE Systems PLC

1,064,100

4,334

Lockheed Martin Corp.

296,900

16,561

Northrop Grumman Corp.

176,500

9,413

United Technologies Corp.

242,400

22,635

52,943

Air Freight & Logistics - 0.1%

Ryder System, Inc.

62,900

2,959

Yamato Transport Co. Ltd.

132,000

1,820

4,779

Commercial Services & Supplies - 0.2%

Accord Customer Care Solutions Ltd. (a)

1,146,000

480

Aramark Corp. Class B

246,000

5,938

ChoicePoint, Inc. (a)

356,156

15,190

Diamond Lease Co. Ltd.

26,500

935

Fullcast Co. Ltd.

224

456

Riso Kyoiku Co. Ltd. (f)

401

245

Riso Kyoiku Co. Ltd. New (a)(f)

802

433

Sumisho Lease Co. Ltd.

14,800

535

24,212

Construction & Engineering - 0.0%

United Group Ltd.

304,200

1,320

Industrial Conglomerates - 2.5%

General Electric Co.

5,420,260

182,012

Hutchison Whampoa Ltd.

132,000

1,033

Hutchison Whampoa Ltd. ADR

17,700

696

LG Corp.

24,875

329

Siemens AG (Reg.)

25,700

1,894

Common Stocks - continued

Shares

Value (Note 1) (000s)

INDUSTRIALS - continued

Industrial Conglomerates - continued

Tyco International Ltd.

2,678,500

$ 82,123

Wesfarmers Ltd.

29,000

675

268,762

Machinery - 0.3%

Bradken Ltd.

251,400

591

Ingersoll-Rand Co. Ltd. Class A

507,600

34,502

Koyo Seiko Co. Ltd.

57,000

640

35,733

Road & Rail - 0.2%

ComfortDelgro Corp. Ltd.

592,000

460

CSX Corp.

169,800

5,637

East Japan Railway Co.

571

2,958

Hamakyorex Co. Ltd.

15,500

518

Norfolk Southern Corp.

95,400

2,837

Union Pacific Corp.

91,200

5,344

17,754

Trading Companies & Distributors - 0.0%

Hagemeyer NV (a)(f)

631,000

1,177

Mitsui & Co. Ltd.

119,000

998

2,175

Transportation Infrastructure - 0.0%

Adsteam Marine Ltd.

416,800

443

Cosco Pacific Ltd.

596,000

994

Macquarie Airports Fund

640,400

1,207

2,644

TOTAL INDUSTRIALS

410,322

INFORMATION TECHNOLOGY - 7.1%

Communications Equipment - 1.3%

Cisco Systems, Inc. (a)

4,611,714

83,472

Comverse Technology, Inc. (a)

795,900

14,987

Motorola, Inc.

2,119,800

38,241

TANDBERG Television ASA (a)

896,604

6,717

Telefonaktiebolaget LM Ericsson (B Shares) (a)

914,400

2,857

146,274

Computers & Peripherals - 1.1%

Dell, Inc. (a)

2,056,500

73,211

Common Stocks - continued

Shares

Value (Note 1) (000s)

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

Diebold, Inc.

125,900

$ 5,880

Fujitsu Ltd.

76,000

440

Hewlett-Packard Co.

1,798,900

33,729

High Tech Computer Corp.

118,800

453

Sun Microsystems, Inc. (a)

986,700

3,986

117,699

Electronic Equipment & Instruments - 0.4%

Flextronics International Ltd. (a)

829,600

10,992

Hon Hai Precision Industries Co. Ltd.

50,799

175

Hoya Corp.

18,900

1,984

Interflex Co. Ltd.

21,427

447

Jabil Circuit, Inc. (a)

401,400

9,232

Kingboard Chemical Holdings Ltd.

230,000

472

Kingboard Chemical Holdings Ltd. warrants 12/31/06 (a)

23,000

0

Nippon Chemi-con Corp.

190,000

941

Sanmina-SCI Corp. (a)

877,700

6,188

Solectron Corp. (a)

3,028,900

14,993

45,424

Internet Software & Services - 0.0%

Easynet Group PLC (a)

551,100

734

Softbank Corp.

14,500

673

1,407

IT Services - 0.5%

Affiliated Computer Services, Inc. Class A (a)

393,000

21,878

First Data Corp.

730,200

31,764

Nomura Research Institute Ltd.

8,300

669

54,311

Office Electronics - 0.1%

Canon, Inc.

73,000

3,443

Konica Minolta Holdings, Inc.

80,500

1,103

Ricoh Co. Ltd.

102,000

1,924

6,470

Semiconductors & Semiconductor Equipment - 0.8%

Analog Devices, Inc.

135,200

5,243

ASML Holding NV (NY Shares) (a)

92,700

1,193

Intel Corp.

2,375,900

47,661

KLA-Tencor Corp. (a)

51,900

2,153

Lam Research Corp. (a)

263,400

5,763

Common Stocks - continued

Shares

Value (Note 1) (000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Linear Technology Corp.

77,050

$ 2,792

Novellus Systems, Inc. (a)

56,700

1,508

Samsung Electronics Co. Ltd.

8,210

3,265

Shinko Electric Industries Co.Ltd.

29,800

902

Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR

1,047,271

7,478

United Microelectronics Corp. sponsored ADR (a)

2,164,062

7,315

Xilinx, Inc.

52,800

1,426

86,699

Software - 2.9%

BEA Systems, Inc. (a)

1,490,652

10,300

F-Secure Oyj (a)

627,050

1,279

Microsoft Corp.

10,360,765

286,475

NDS Group PLC sponsored ADR (a)

84,500

2,282

Nintendo Co. Ltd.

9,500

1,164

VERITAS Software Corp. (a)

752,666

13,397

314,897

TOTAL INFORMATION TECHNOLOGY

773,181

MATERIALS - 0.5%

Chemicals - 0.2%

BASF AG

44,500

2,623

Dow Chemical Co.

423,810

19,148

Rhodia SA (a)(f)

638,000

889

Syngenta AG (Switzerland)

11,622

1,111

Toray Industries, Inc.

212,000

983

24,754

Containers & Packaging - 0.0%

Amcor Ltd.

83,800

438

Fuji Seal, Inc.

22,400

959

Rengo Co. Ltd.

23,000

100

1,497

Metals & Mining - 0.2%

Alcan, Inc.

368,100

17,650

BHP Billiton Ltd.

311,700

3,234

BHP Billiton PLC

226,900

2,391

Common Stocks - continued

Shares

Value (Note 1) (000s)

MATERIALS - continued

Metals & Mining - continued

Thyssenkrupp AG

68,000

$ 1,327

Yanzhou Coal Mining Co. Ltd. (H Shares) (a)

544,000

705

25,307

Paper & Forest Products - 0.1%

Bowater, Inc.

99,000

3,781

Carter Holt Harvey Ltd.

239,850

366

International Paper Co.

78,200

3,160

7,307

TOTAL MATERIALS

58,865

TELECOMMUNICATION SERVICES - 3.7%

Diversified Telecommunication Services - 3.4%

Belgacom SA

65,600

2,353

BellSouth Corp.

1,545,200

41,906

BT Group PLC

775,400

2,555

China Telecom Corp. Ltd. sponsored ADR

24,220

782

Completel Europe NV (a)

58,321

1,874

Deutsche Telekom AG (Reg.) (a)

136,100

2,540

France Telecom SA

48,428

1,211

PCCW Ltd. (a)

664,000

439

Portugal Telecom SGPS SA sponsored ADR

123,600

1,360

Qwest Communications International, Inc. (a)

8,586,100

28,592

SBC Communications, Inc.

8,645,600

224,353

TDC AS

81,500

2,887

Telecom Corp. of New Zealand Ltd.

290,800

1,161

Verizon Communications, Inc.

1,400,900

55,167

367,180

Wireless Telecommunication Services - 0.3%

Far EasTone Telecommunications Co. Ltd.

623,150

589

KDDI Corp.

277

1,347

Millicom International Cellular SA unit (a)

103,400

1,847

Nextel Communications, Inc. Class A (a)

911,400

21,728

Telecom Italia Mobile Spa (TIM)

445,000

2,401

Vodafone Group PLC

2,254,800

5,436

Vodafone Group PLC sponsored ADR

46,800

1,128

34,476

TOTAL TELECOMMUNICATION SERVICES

401,656

Common Stocks - continued

Shares

Value (Note 1) (000s)

UTILITIES - 0.7%

Electric Utilities - 0.6%

Entergy Corp.

194,700

$ 11,801

FirstEnergy Corp.

608,000

24,977

Fortum Oyj

133,600

1,869

PG&E Corp. (a)

611,200

18,580

Scottish Power PLC

367,400

2,813

Tokyo Electric Power Co.

78,300

1,687

61,727

Gas Utilities - 0.0%

Hong Kong & China Gas Co. Ltd.

367,000

685

NiSource, Inc.

136,600

2,870

3,555

Multi-Utilities & Unregulated Power - 0.1%

Public Service Enterprise Group, Inc.

70,800

3,016

RWE AG

72,600

3,474

6,490

TOTAL UTILITIES

71,772

TOTAL COMMON STOCKS

(Cost $5,204,863)

5,393,865

Preferred Stocks - 0.1%

Convertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

ITV PLC

119,544

91

MATERIALS - 0.1%

Paper & Forest Products - 0.1%

International Paper Capital Trust 2.625%

122,900

6,160

TOTAL CONVERTIBLE PREFERRED STOCKS

6,251

Nonconvertible Preferred Stocks - 0.0%

CONSUMER DISCRETIONARY - 0.0%

Automobiles - 0.0%

Porsche AG (non-vtg.)

1,930

1,256

Preferred Stocks - continued

Shares

Value (Note 1) (000s)

Nonconvertible Preferred Stocks - continued

CONSUMER DISCRETIONARY - continued

Household Durables - 0.0%

LG Electronics, Inc.

11,440

$ 350

Media - 0.0%

Granite Broadcasting Corp. 12.75% pay-in-kind (a)

2,670

1,215

TOTAL CONSUMER DISCRETIONARY

2,821

HEALTH CARE - 0.0%

Health Care Equipment & Supplies - 0.0%

Fresenius AG

16,800

1,376

Health Care Providers & Services - 0.0%

Fresenius Medical Care AG

19,200

1,047

TOTAL HEALTH CARE

2,423

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

Samsung Electronics Co. Ltd.

2,660

696

TOTAL NONCONVERTIBLE PREFERRED STOCKS

5,940

TOTAL PREFERRED STOCKS

(Cost $12,492)

12,191

Corporate Bonds - 12.3%

Principal Amount (000s)

Convertible Bonds - 0.3%

CONSUMER DISCRETIONARY - 0.1%

Specialty Retail - 0.1%

Gap, Inc. 5.75% 3/15/09 (g)

$ 4,359

5,340

FINANCIALS - 0.2%

Diversified Financial Services - 0.2%

Tyco International Group SA yankee 3.125% 1/15/23

17,040

25,473

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Convertible Bonds - continued

INFORMATION TECHNOLOGY - 0.0%

Communications Equipment - 0.0%

CIENA Corp. 3.75% 2/1/08

$ 2,490

$ 2,107

TOTAL CONVERTIBLE BONDS

32,920

Nonconvertible Bonds - 12.0%

CONSUMER DISCRETIONARY - 2.0%

Auto Components - 0.2%

DaimlerChrysler NA Holding Corp.:

4.75% 1/15/08

11,480

11,823

7.2% 9/1/09

2,000

2,251

7.75% 1/18/11

2,500

2,907

Delco Remy International, Inc. 9.375% 4/15/12

1,470

1,448

Stoneridge, Inc. 11.5% 5/1/12

1,620

1,839

Tenneco Automotive, Inc. 10.25% 7/15/13

1,180

1,345

Visteon Corp.:

7% 3/10/14

1,370

1,303

8.25% 8/1/10

1,540

1,625

24,541

Automobiles - 0.2%

Ford Motor Co. 7.45% 7/16/31

9,045

8,869

General Motors Corp. 8.25% 7/15/23

10,395

10,935

19,804

Hotels, Restaurants & Leisure - 0.4%

Chumash Casino & Resort Enterprise 9% 7/15/10 (g)(n)

2,170

2,409

Friendly Ice Cream Corp. 8.375% 6/15/12

2,700

2,579

Host Marriott LP 7.125% 11/1/13

4,155

4,352

Mandalay Resort Group:

9.375% 2/15/10

395

451

10.25% 8/1/07

1,575

1,784

MGM MIRAGE:

6% 10/1/09 (g)

3,220

3,252

6.75% 9/1/12 (g)

2,370

2,450

6.875% 2/6/08

440

479

Mohegan Tribal Gaming Authority 6.375% 7/15/09

2,580

2,677

MTR Gaming Group, Inc. 9.75% 4/1/10

1,650

1,799

NCL Corp. Ltd. 10.625% 7/15/14 (g)

2,875

3,012

Park Place Entertainment Corp. 7.875% 3/15/10

1,900

2,138

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

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

$ 3,485

$ 3,694

Seneca Gaming Corp. 7.25% 5/1/12 (g)

1,970

2,029

Speedway Motorsports, Inc.:

6.75% 6/1/13

1,460

1,522

6.75% 6/1/13 (g)

380

396

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

580

637

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

1,725

871

Town Sports International, Inc. 9.625% 4/15/11

2,825

2,874

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

2,720

3,121

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

3,355

3,548

46,074

Household Durables - 0.3%

Beazer Homes USA, Inc.:

6.5% 11/15/13

905

923

8.375% 4/15/12

2,590

2,862

K. Hovnanian Enterprises, Inc. 8.875% 4/1/12

4,060

4,547

KB Home 7.75% 2/1/10

4,265

4,628

Meritage Homes Corp. 7% 5/1/14

2,060

2,122

Standard Pacific Corp.:

5.125% 4/1/09

1,840

1,831

6.875% 5/15/11

1,160

1,218

Technical Olympic USA, Inc.:

7.5% 3/15/11

1,870

1,917

10.375% 7/1/12

515

581

WCI Communities, Inc. 7.875% 10/1/13

2,590

2,739

William Lyon Homes, Inc.:

7.5% 2/15/14

2,265

2,310

10.75% 4/1/13

3,805

4,376

30,054

Media - 0.6%

AMC Entertainment, Inc.:

8% 3/1/14 (g)

1,280

1,203

9.5% 2/1/11

2,127

2,175

AOL Time Warner, Inc. 7.625% 4/15/31

5,850

6,733

Cablevision Systems Corp.:

5.66% 4/1/09 (g)(j)

6,545

6,807

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Cablevision Systems Corp.: - continued

8% 4/15/12 (g)

$ 2,250

$ 2,340

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

3,000

2,063

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

2,650

3,107

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

1,960

2,161

Cox Communications, Inc. 7.125% 10/1/12

3,425

3,716

CSC Holdings, Inc. 7.25% 7/15/08

1,135

1,183

EchoStar DBS Corp.:

5.75% 10/1/08

3,900

3,910

6.625% 10/1/14 (g)

2,240

2,221

Granite Broadcasting Corp. 9.75% 12/1/10

1,080

988

Gray Television, Inc. 9.25% 12/15/11

2,385

2,677

Houghton Mifflin Co. 9.875% 2/1/13

1,460

1,533

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

2,680

2,928

Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10

540

591

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

2,815

3,146

Liberty Media Corp. 8.25% 2/1/30

4,000

4,440

PanAmSat Corp. 9% 8/15/14 (g)

5,990

6,245

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

1,525

1,765

Sinclair Broadcast Group, Inc. 8% 3/15/12

3,665

3,802

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

4,815

4,959

70,693

Multiline Retail - 0.0%

Barneys, Inc. 9% 4/1/08

1,630

1,699

Specialty Retail - 0.2%

Asbury Automotive Group, Inc. 9% 6/15/12

3,125

3,273

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

780

805

NBC Acquisition Corp. 0% 3/15/13 (e)

4,270

2,989

Nebraska Book Co., Inc. 8.625% 3/15/12

2,970

2,955

Sonic Automotive, Inc. 8.625% 8/15/13

3,060

3,228

United Rentals North America, Inc.:

6.5% 2/15/12

1,865

1,790

7% 2/15/14

345

308

7.75% 11/15/13

6,770

6,330

21,678

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Textiles Apparel & Luxury Goods - 0.1%

Levi Strauss & Co. 12.25% 12/15/12

$ 3,655

$ 3,874

Samsonite Corp. 8.875% 6/1/11 (g)

1,895

1,980

5,854

TOTAL CONSUMER DISCRETIONARY

220,397

CONSUMER STAPLES - 0.3%

Food & Staples Retailing - 0.1%

Jean Coutu Group, Inc.:

7.625% 8/1/12 (g)

700

712

8.5% 8/1/14 (g)

1,550

1,535

Rite Aid Corp.:

6% 12/15/05 (g)

3,305

3,330

6.875% 8/15/13

385

336

8.125% 5/1/10

510

533

9.25% 6/1/13

310

318

9.5% 2/15/11

750

821

Stater Brothers Holdings, Inc.:

5.38% 6/15/10 (j)

2,220

2,253

8.125% 6/15/12

1,480

1,547

11,385

Food Products - 0.2%

ConAgra Foods, Inc. 6.75% 9/15/11

2,500

2,813

Del Monte Corp.:

9.25% 5/15/11

4,625

5,111

8.625% 12/15/12

725

808

Dole Food Co., Inc. 7.25% 6/15/10

3,770

3,836

Smithfield Foods, Inc.:

7.625% 2/15/08

965

1,030

7.75% 5/15/13

810

875

8% 10/15/09

390

428

Swift & Co. 10.125% 10/1/09

1,880

2,077

United Agriculture Products, Inc. 8.25% 12/15/11 (g)

1,440

1,548

18,526

Tobacco - 0.0%

Philip Morris Companies, Inc. 7.75% 1/15/27

6,000

6,338

TOTAL CONSUMER STAPLES

36,249

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

ENERGY - 1.0%

Energy Equipment & Services - 0.1%

Hanover Compressor Co.:

0% 3/31/07

$ 6,325

$ 5,313

8.625% 12/15/10

2,300

2,496

9% 6/1/14

920

1,010

Parker Drilling Co.:

6.54% 9/1/10 (g)(j)

2,330

2,336

9.625% 10/1/13

750

829

Pride International, Inc. 7.375% 7/15/14 (g)

215

237

SESI LLC 8.875% 5/15/11

2,810

3,042

15,263

Oil & Gas - 0.9%

Amerada Hess Corp.:

6.65% 8/15/11

640

707

7.125% 3/15/33

1,660

1,782

7.375% 10/1/09

1,909

2,145

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

740

784

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

4,040

4,097

Chesapeake Energy Corp. 9% 8/15/12

730

835

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

1,380

1,366

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

3,750

4,181

Enterprise Products Operating LP:

4% 10/15/07 (g)

2,940

2,956

4.625% 10/15/09 (g)

2,100

2,117

5.6% 10/15/14 (g)

1,865

1,879

General Maritime Corp. 10% 3/15/13

5,460

6,197

Kerr-McGee Corp. 7.875% 9/15/31

4,650

5,498

Newfield Exploration Co. 6.625% 9/1/14 (g)

2,390

2,486

Overseas Shipholding Group, Inc. 8.25% 3/15/13

5,105

5,641

Range Resources Corp. 7.375% 7/15/13

2,615

2,759

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

5,560

6,545

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

9,420

9,420

Teekay Shipping Corp. 8.875% 7/15/11

6,690

7,627

The Coastal Corp.:

6.375% 2/1/09

1,055

1,005

6.5% 6/1/08

885

858

7.75% 6/15/10

3,530

3,530

7.75% 10/15/35

1,655

1,423

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil & Gas - continued

The Coastal Corp.: - continued

9.625% 5/15/12

$ 6,590

$ 6,903

Williams Companies, Inc.:

7.125% 9/1/11

8,050

8,835

7.5% 1/15/31

2,950

2,965

94,541

TOTAL ENERGY

109,804

FINANCIALS - 3.5%

Capital Markets - 0.3%

Bank of New York Co., Inc.:

3.4% 3/15/13 (j)

3,715

3,638

4.25% 9/4/12 (j)

3,570

3,609

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

5,630

6,080

Goldman Sachs Group, Inc. 5.25% 10/15/13

4,000

4,027

Morgan Stanley:

4.75% 4/1/14

5,600

5,421

6.6% 4/1/12

11,865

13,231

36,006

Commercial Banks - 0.4%

Bank of America Corp.:

7.4% 1/15/11

7,450

8,683

7.8% 2/15/10

10,000

11,748

Export-Import Bank of Korea:

4.125% 2/10/09 (g)

1,215

1,215

5.25% 2/10/14 (g)

4,545

4,605

Korea Development Bank:

3.875% 3/2/09

5,750

5,694

4.75% 7/20/09

2,725

2,788

Wachovia Corp. 6.15% 3/15/09

4,500

4,888

39,621

Consumer Finance - 0.5%

Capital One Bank:

4.875% 5/15/08

2,700

2,796

6.5% 6/13/13

3,750

4,101

Ford Motor Credit Co. 7.875% 6/15/10

5,000

5,577

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

General Motors Acceptance Corp. 7.75% 1/19/10

$ 16,160

$ 17,758

Household Finance Corp.:

5.875% 2/1/09

675

728

6.375% 10/15/11

6,200

6,834

6.375% 11/27/12

3,805

4,216

6.75% 5/15/11

1,125

1,266

Household International, Inc. 8.875% 2/15/08

6,625

7,141

MBNA Corp. 6.25% 1/17/07

2,775

2,939

53,356

Diversified Financial Services - 1.4%

Ahold Finance USA, Inc.:

6.25% 5/1/09

4,635

4,844

8.25% 7/15/10

3,195

3,578

Cellu Tissue Holdings, Inc. 9.75% 3/15/10 (g)

1,580

1,604

Deutsche Telekom International Finance BV 8.75% 6/15/30

8,800

11,375

Financement Quebec 5% 10/25/12

4,700

4,867

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

3,955

4,489

Hilcorp Energy I LP/Hilcorp Finance Co. 10.5% 9/1/10 (g)

3,405

3,763

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

1,800

1,865

Ispat Inland ULC 9.75% 4/1/14

4,950

5,445

J.P. Morgan Chase & Co. 6.75% 2/1/11

14,500

16,313

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

1,965

1,346

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

930

935

Leucadia National Corp. 7% 8/15/13

2,200

2,189

Midland Funding Corp. II 11.75% 7/23/05

1,077

1,150

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

11,805

12,180

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

2,225

2,384

MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10

385

422

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

1,145

1,174

NiSource Finance Corp. 7.875% 11/15/10

1,045

1,235

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

Petronas Capital Ltd.:

7% 5/22/12 (g)

$ 2,000

$ 2,278

7.875% 5/22/22 (g)

6,000

7,185

Prime Property Funding II 6.25% 5/15/07 (g)

3,990

4,268

Qwest Capital Funding, Inc.:

7% 8/3/09

3,520

3,238

7.25% 2/15/11

2,855

2,541

7.75% 8/15/06

4,200

4,216

Rabobank Capital Funding Trust II 5.26% 12/31/49 (g)(j)

8,360

8,434

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

2,010

2,040

Sprint Capital Corp. 8.375% 3/15/12

1,900

2,301

Stone Container Finance Co. 7.375% 7/15/14 (g)

1,090

1,145

Telecom Italia Capital:

4% 11/15/08 (g)

2,510

2,524

5.25% 11/15/13 (g)

2,060

2,099

TRW Automotive Acquisition Corp. 9.375% 2/15/13

395

448

U.S. West Capital Funding, Inc. 6.375% 7/15/08

4,677

4,315

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

2,245

2,615

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

10,303

11,880

Western Financial Bank 9.625% 5/15/12

5,820

6,577

149,262

Insurance - 0.3%

Crum & Forster Holdings Corp. 10.375% 6/15/13

4,025

4,246

Oil Insurance Ltd. 5.15% 8/15/33 (g)(j)

2,700

2,745

Principal Life Global Funding I 5.125% 6/28/07 (g)

16,000

16,733

Provident Companies, Inc. 7% 7/15/18

300

292

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

2,525

2,487

UnumProvident Corp.:

6.75% 12/15/28

750

683

7.375% 6/15/32

750

726

7.625% 3/1/11

2,675

2,856

30,768

Real Estate - 0.5%

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

3,530

3,715

CarrAmerica Realty Corp. 5.25% 11/30/07

3,500

3,664

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate - continued

CenterPoint Properties Trust:

4.75% 8/1/10

$ 1,500

$ 1,520

5.25% 7/15/11

3,750

3,825

EOP Operating LP:

6.763% 6/15/07

8,075

8,700

7.75% 11/15/07

14,045

15,683

Gables Realty LP 5.75% 7/15/07

1,000

1,056

La Quinta Properties, Inc. 7% 8/15/12 (g)

2,355

2,490

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

2,350

2,630

Omega Healthcare Investors, Inc. 7% 4/1/14 (g)

2,450

2,487

Senior Housing Properties Trust:

7.875% 4/15/15

1,800

1,953

8.625% 1/15/12

2,830

3,148

Simon Property Group LP 4.875% 8/15/10 (g)

5,685

5,762

56,633

Thrifts & Mortgage Finance - 0.1%

Countrywide Home Loans, Inc. 4% 3/22/11

3,000

2,913

Independence Community Bank Corp. 3.75% 4/1/14 (j)

2,300

2,234

Washington Mutual, Inc. 4.625% 4/1/14

7,000

6,691

11,838

TOTAL FINANCIALS

377,484

HEALTH CARE - 0.4%

Health Care Equipment & Supplies - 0.1%

Fisher Scientific International, Inc.:

6.75% 8/15/14 (g)

770

809

8% 9/1/13

3,085

3,447

8.125% 5/1/12

575

641

PerkinElmer, Inc. 8.875% 1/15/13

5,495

6,209

11,106

Health Care Providers & Services - 0.3%

AmerisourceBergen Corp. 7.25% 11/15/12

3,430

3,704

Concentra Operating Corp.:

9.125% 6/1/12 (g)

540

591

9.5% 8/15/10

1,320

1,459

Genesis HealthCare Corp. 8% 10/15/13

1,370

1,486

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

4,630

4,931

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

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

$ 2,014

$ 2,311

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

3,035

3,437

Tenet Healthcare Corp.:

6.375% 12/1/11

5,070

4,525

6.5% 6/1/12

620

552

7.375% 2/1/13

3,735

3,474

26,470

Pharmaceuticals - 0.0%

Biovail Corp. yankee 7.875% 4/1/10

2,805

2,861

TOTAL HEALTH CARE

40,437

INDUSTRIALS - 0.8%

Aerospace & Defense - 0.1%

Bombardier, Inc.:

6.3% 5/1/14 (g)

4,160

3,593

7.45% 5/1/34 (g)

5,620

4,728

Orbital Sciences Corp. 9% 7/15/11

1,900

2,109

Primus International, Inc. 10.5% 4/15/09 (g)

1,940

1,959

12,389

Airlines - 0.3%

American Airlines, Inc. pass thru trust certificates:

6.817% 5/23/11

5,000

4,375

6.977% 11/23/22

337

293

7.324% 4/15/11

915

714

7.377% 5/23/19

3,899

2,223

7.379% 5/23/16

2,648

1,509

7.8% 4/1/08

2,380

1,987

8.608% 10/1/12

620

524

10.18% 1/2/13

1,200

672

AMR Corp. 9% 8/1/12

3,470

2,151

Continental Airlines, Inc.:

7.875% 7/2/18

3,188

2,981

8% 12/15/05

35

32

Continental Airlines, Inc. pass thru trust certificates:

6.748% 9/15/18

236

180

6.795% 2/2/20

801

641

6.9% 7/2/18

1,443

1,111

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

Continental Airlines, Inc. pass thru trust certificates: - continued

6.954% 2/2/11

$ 370

$ 274

7.461% 4/1/13

631

486

7.73% 9/15/12

627

452

7.82% 4/15/15

783

587

8.307% 10/2/19

2,973

2,378

8.321% 11/1/06

1,320

1,228

Delta Air Lines, Inc.:

7.9% 12/15/09

1,020

296

10% 8/15/08

645

206

Delta Air Lines, Inc. pass thru trust certificates:

7.57% 11/18/10

6,255

5,617

7.779% 11/18/05

270

103

7.779% 1/2/12

1,110

389

Northwest Airlines, Inc. pass thru trust certificates:

7.068% 7/2/17

988

791

7.67% 1/2/15

2,922

2,337

34,537

Building Products - 0.0%

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

2,335

2,580

Nortek, Inc. 8.5% 9/1/14 (g)

2,710

2,832

5,412

Commercial Services & Supplies - 0.1%

Allied Waste North America, Inc.:

5.75% 2/15/11

1,840

1,739

6.375% 4/15/11

1,445

1,416

9.25% 9/1/12

915

1,023

Browning-Ferris Industries, Inc. 6.375% 1/15/08

3,360

3,444

7,622

Construction & Engineering - 0.0%

Amsted Industries, Inc. 10.25% 10/15/11 (g)

2,860

3,160

Machinery - 0.2%

Dresser, Inc. 9.375% 4/15/11

5,150

5,652

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

7,515

7,722

Navistar International Corp. 7.5% 6/15/11

890

950

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Machinery - continued

SPX Corp.:

6.25% 6/15/11

$ 145

$ 141

7.5% 1/1/13

2,320

2,358

16,823

Marine - 0.0%

OMI Corp. 7.625% 12/1/13

4,755

4,921

Road & Rail - 0.1%

Kansas City Southern Railway Co. 7.5% 6/15/09

2,515

2,565

TFM SA de CV yankee:

10.25% 6/15/07

495

509

11.75% 6/15/09

3,960

3,980

7,054

TOTAL INDUSTRIALS

91,918

INFORMATION TECHNOLOGY - 0.4%

Communications Equipment - 0.0%

Lucent Technologies, Inc.:

5.5% 11/15/08

2,510

2,497

6.45% 3/15/29

895

720

3,217

Electronic Equipment & Instruments - 0.1%

Celestica, Inc. 7.875% 7/1/11

3,490

3,638

Flextronics International Ltd. 6.5% 5/15/13

4,900

4,998

8,636

IT Services - 0.1%

Electronic Data Systems Corp. 6% 8/1/13

1,490

1,503

Iron Mountain, Inc. 8.625% 4/1/13

1,710

1,864

3,367

Office Electronics - 0.1%

Xerox Corp.:

6.875% 8/15/11

6,430

6,719

7.125% 6/15/10

2,270

2,406

7.2% 4/1/16

735

753

7.625% 6/15/13

720

778

9.75% 1/15/09

925

1,078

11,734

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - 0.1%

Freescale Semiconductor, Inc.:

4.38% 7/15/09 (g)(j)

$ 2,160

$ 2,225

6.875% 7/15/11 (g)

3,000

3,113

7.125% 7/15/14 (g)

725

754

Micron Technology, Inc. 6.5% 9/30/05 (m)

8,000

7,960

14,052

TOTAL INFORMATION TECHNOLOGY

41,006

MATERIALS - 1.6%

Chemicals - 0.6%

Berry Plastics Corp. 10.75% 7/15/12

3,025

3,418

Borden US Finance Corp./Nova Scotia Finance ULC:

6.43% 7/15/10 (g)(j)

1,760

1,800

9% 7/15/14 (g)

2,110

2,231

Equistar Chemicals LP/Equistar Funding Corp.:

8.75% 2/15/09

1,460

1,573

10.125% 9/1/08

1,650

1,852

10.625% 5/1/11

5,700

6,470

HMP Equity Holdings Corp. 0% 5/15/08

3,615

2,277

Huntsman ICI Chemicals LLC 10.125% 7/1/09

5,730

6,017

Huntsman ICI Holdings LLC 0% 12/31/09

1,830

970

Huntsman LLC:

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

3,740

3,946

11.5% 7/15/12 (g)

1,860

2,046

Lubrizol Corp.:

4.625% 10/1/09

2,990

2,991

5.5% 10/1/14

1,940

1,927

6.5% 10/1/34

1,655

1,614

Lyondell Chemical Co.:

9.5% 12/15/08

6,525

7,088

9.625% 5/1/07

2,940

3,175

9.875% 5/1/07

2,178

2,295

10.875% 5/1/09

4,635

4,907

Millennium America, Inc.:

9.25% 6/15/08

4,960

5,425

9.25% 6/15/08 (g)

980

1,072

NOVA Chemicals Corp. 6.5% 1/15/12

735

763

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

NOVA Chemicals Corp. 7.4% 4/1/09

$ 740

$ 796

Pliant Corp.:

0% 6/15/09 (e)

1,410

1,191

11.125% 9/1/09

830

859

66,703

Construction Materials - 0.1%

Texas Industries, Inc. 10.25% 6/15/11

5,975

6,856

Containers & Packaging - 0.2%

Anchor Glass Container Corp. 11% 2/15/13

2,815

3,181

BWAY Corp. 10% 10/15/10

1,510

1,631

Crown European Holdings SA:

9.5% 3/1/11

350

390

10.875% 3/1/13

3,155

3,676

Graphic Packaging International, Inc. 8.5% 8/15/11

1,770

1,965

Owens-Brockway Glass Container, Inc.:

8.25% 5/15/13

960

1,022

8.875% 2/15/09

2,360

2,561

Owens-Illinois, Inc.:

7.35% 5/15/08

5,080

5,245

7.5% 5/15/10

3,155

3,250

Sealed Air Corp. 5.625% 7/15/13 (g)

900

925

23,846

Metals & Mining - 0.3%

AK Steel Corp.:

7.75% 6/15/12

2,105

2,058

7.875% 2/15/09

1,555

1,539

Allegheny Technologies, Inc. 8.375% 12/15/11

3,215

3,424

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

1,685

1,769

Compass Minerals International, Inc. 0% 6/1/13 (e)

6,290

4,969

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

2,185

2,412

CSN Islands VII Corp. 10.75% 9/12/08 (g)

3,405

3,775

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

1,260

1,263

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

885

848

10.125% 2/1/10

2,790

3,153

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

3,055

3,055

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

Peabody Energy Corp. 6.875% 3/15/13

$ 1,800

$ 1,931

Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 (g)

3,405

3,388

33,584

Paper & Forest Products - 0.4%

Abitibi-Consolidated, Inc.:

5.38% 6/15/11 (j)

2,315

2,335

7.75% 6/15/11

2,315

2,393

Boise Cascade Corp. 7.68% 3/29/06

7,590

8,057

Bowater, Inc. 4.88% 3/15/10 (j)

2,760

2,760

Buckeye Technologies, Inc. 8.5% 10/1/13

2,225

2,392

Georgia-Pacific Corp.:

8% 1/15/14

4,985

5,683

8% 1/15/24

730

826

8.875% 2/1/10

160

187

9.5% 12/1/11

2,330

2,913

International Paper Co.:

4.25% 1/15/09

885

888

5.5% 1/15/14

2,225

2,278

Norske Skog Canada Ltd.:

7.375% 3/1/14

1,230

1,279

8.625% 6/15/11

3,785

4,097

Stone Container Corp. 9.75% 2/1/11

5,580

6,194

Tembec Industries, Inc.:

7.75% 3/15/12

1,475

1,490

8.5% 2/1/11

2,635

2,767

yankee 8.625% 6/30/09

1,720

1,772

48,311

TOTAL MATERIALS

179,300

TELECOMMUNICATION SERVICES - 0.9%

Diversified Telecommunication Services - 0.6%

Alaska Communications Systems Holdings, Inc. 9.375% 5/15/09

725

685

BellSouth Corp. 6.55% 6/15/34

5,000

5,263

British Telecommunications PLC 8.875% 12/15/30

4,300

5,649

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

2,895

3,206

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Eschelon Operating Co. 8.375% 3/15/10

$ 1,015

$ 812

France Telecom SA 8.75% 3/1/11

3,945

4,722

GCI, Inc. 7.25% 2/15/14

5,175

5,059

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

2,535

2,650

NTL Cable PLC:

6.61% 10/15/12 (g)(j)

1,820

1,866

8.75% 4/15/14 (g)

3,935

4,250

Qwest Communications International, Inc. 7.25% 2/15/11 (g)

2,230

2,113

Qwest Corp.:

7.875% 9/1/11 (g)

765

799

9.125% 3/15/12 (g)

1,795

1,975

Qwest Services Corp.:

14% 12/15/10 (g)(j)

2,260

2,650

14.5% 12/15/14 (g)(j)

792

958

SBC Communications, Inc.:

5.875% 2/1/12

1,250

1,335

6.45% 6/15/34

7,625

7,839

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

4,600

3,381

TELUS Corp. yankee 8% 6/1/11

10,700

12,538

U.S. West Communications 7.5% 6/15/23

2,300

2,099

69,849

Wireless Telecommunication Services - 0.3%

America Movil SA de CV:

4.125% 3/1/09 (g)

2,315

2,257

5.5% 3/1/14 (g)

2,090

2,020

AT&T Wireless Services, Inc. 7.875% 3/1/11

4,000

4,739

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

290

331

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

5,625

5,625

Nextel Communications, Inc.:

5.95% 3/15/14

730

714

6.875% 10/31/13

6,085

6,306

Rogers Wireless, Inc. 9.625% 5/1/11

5,910

6,575

28,567

TOTAL TELECOMMUNICATION SERVICES

98,416

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

UTILITIES - 1.1%

Electric Utilities - 0.5%

AES Gener SA 7.5% 3/25/14 (g)

$ 1,915

$ 1,925

Duke Capital LLC:

4.37% 3/1/09

2,330

2,349

6.25% 2/15/13

3,000

3,228

6.75% 2/15/32

7,580

7,987

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

4,350

4,442

FirstEnergy Corp. 7.375% 11/15/31

7,030

7,895

Illinois Power Co. 7.5% 6/15/09

5,330

6,076

MidAmerican Energy Holdings, Inc.:

4.625% 10/1/07

2,645

2,706

5.875% 10/1/12

3,485

3,679

Monongahela Power Co. 5% 10/1/06

3,250

3,363

Nevada Power Co. 6.5% 4/15/12 (g)

265

273

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

5,820

6,571

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

1,135

1,158

TECO Energy, Inc.:

7% 5/1/12

1,985

2,077

7.2% 5/1/11

3,365

3,575

57,304

Gas Utilities - 0.1%

Sonat, Inc.:

6.625% 2/1/08

4,090

3,988

6.75% 10/1/07

3,000

2,996

7.625% 7/15/11

3,280

3,202

Tennessee Gas Pipeline Co. 7% 3/15/27

740

770

10,956

Multi-Utilities & Unregulated Power - 0.5%

AES Corp.:

7.75% 3/1/14

3,100

3,174

8.375% 8/15/07

2,235

2,241

8.75% 6/15/08

3,298

3,562

8.875% 2/15/11

4,413

4,893

9.375% 9/15/10

1,250

1,408

9.5% 6/1/09

691

770

CMS Energy Corp.:

7.5% 1/15/09

720

753

7.75% 8/1/10

2,805

2,970

8.5% 4/15/11

450

491

Corporate Bonds - continued

Principal Amount (000s)

Value (Note 1) (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities & Unregulated Power - continued

CMS Energy Corp.: - continued

8.9% 7/15/08

$ 545

$ 593

9.875% 10/15/07

2,035

2,251

Constellation Energy Group, Inc. 6.35% 4/1/07

6,020

6,441

Dominion Resources, Inc.:

6.25% 6/30/12

8,105

8,802

8.125% 6/15/10

1,280

1,517

NRG Energy, Inc. 8% 12/15/13 (g)

6,823

7,301

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

1,900

2,052

49,219

TOTAL UTILITIES

117,479

TOTAL NONCONVERTIBLE BONDS

1,312,490

TOTAL CORPORATE BONDS

(Cost $1,273,542)

1,345,410

U.S. Government and Government Agency Obligations - 7.4%

U.S. Government Agency Obligations - 4.0%

Fannie Mae:

2.15% 4/13/06

32,000

31,788

2.375% 12/15/05

50,000

49,954

2.5% 6/15/06

128,100

127,651

3% 3/2/07

25,000

25,005

3.125% 7/15/06

64,580

65,047

Financing Corp. - coupon STRIPS:

0% 8/8/05

5,482

5,376

0% 11/30/05

1,666

1,618

Freddie Mac:

2.7% 3/16/07

22,150

21,995

2.875% 5/15/07

20,000

19,924

5.25% 11/5/12

41,275

42,038

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value (Note 1) (000s)

U.S. Government Agency Obligations - continued

Freddie Mac: - continued

5.875% 3/21/11

$ 29,480

$ 32,002

U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.57% 8/1/13

10,090

10,485

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

432,883

U.S. Treasury Inflation Protected Obligations - 0.9%

U.S. Treasury Inflation-Indexed Bonds 3.375% 4/15/32

36,281

45,999

U.S. Treasury Inflation-Indexed Notes:

2% 1/15/14

32,803

33,588

4.25% 1/15/10

17,675

20,513

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

100,100

U.S. Treasury Obligations - 2.5%

U.S. Treasury Bills, yield at date of purchase 1.34% to 1.65% 10/14/04 to 12/9/04 (i)

28,500

28,431

U.S. Treasury Bonds:

6.25% 5/15/30

25,000

29,672

7.875% 2/15/21

98,000

132,610

U.S. Treasury Notes:

2.5% 5/31/06

55,000

55,024

6.5% 2/15/10

21,360

24,509

TOTAL U.S. TREASURY OBLIGATIONS

270,246

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $794,922)

803,229

U.S. Government Agency - Mortgage Securities - 7.0%

Fannie Mae - 6.4%

4% 6/1/18 to 9/1/19

78,796

76,925

4% 9/1/19 (h)

5,000

4,873

4.5% 5/1/18 to 10/1/33

125,745

123,035

5% 2/1/18 to 10/1/34 (h)

144,686

144,961

5.5% 2/1/11 to 10/1/34 (h)

183,010

186,591

6% 4/1/09 to 8/1/33

22,631

23,614

6.5% 2/1/12 to 8/1/34

90,392

94,991

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (Note 1) (000s)

Fannie Mae - continued

7% 11/1/05 to 2/1/33

$ 27,692

$ 29,373

7.5% 2/1/22 to 11/1/31

9,029

9,683

8% 6/1/29

4

4

TOTAL FANNIE MAE

694,050

Freddie Mac - 0.1%

5% 11/1/33

474

471

6% 10/1/23 to 9/1/25

2,365

2,458

7.5% 11/1/16 to 6/1/32

4,617

4,966

8% 10/1/27

24

27

8.5% 2/1/19 to 8/1/22

22

24

TOTAL FREDDIE MAC

7,946

Government National Mortgage Association - 0.5%

6% 10/15/08 to 12/15/10

4,170

4,382

6.5% 12/15/07 to 8/15/27

20,488

21,731

7% 6/15/24 to 12/15/33

24,336

25,969

7.5% 3/15/22 to 8/15/28

5,172

5,588

8% 4/15/24 to 12/15/25

322

354

8.5% 3/15/05 to 11/15/31

918

1,009

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

59,033

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $748,820)

761,029

Asset-Backed Securities - 1.5%

Accredited Mortgage Loan Trust Series 2003-2 Class A1, 4.23% 10/25/33

3,801

3,777

ACE Securities Corp. Series 2004-OP1:

Class M1, 2.36% 4/25/34 (j)

1,950

1,952

Class M2, 2.89% 4/25/34 (j)

2,750

2,755

AmeriCredit Automobile Receivables Trust:

Series 2003-AM Class A4B, 2.1563% 11/6/09 (j)

2,895

2,912

Series 2003-BX Class A4B, 1.92% 1/6/10 (j)

1,870

1,882

Ameriquest Mortgage Securities, Inc.:

Series 2002-AR1 Class M2, 2.915% 9/25/32 (j)

800

804

Series 2003-3 Class M1, 2.64% 3/25/33 (j)

3,445

3,460

Asset-Backed Securities - continued

Principal Amount (000s)

Value (Note 1) (000s)

Amortizing Residential Collateral Trust:

Series 2002-BC6 Class A2, 2.19% 8/25/32 (j)

$ 2,168

$ 2,171

Series 2002-BC7 Class M1, 2.415% 10/25/32 (j)

14,953

15,065

Argent Securities, Inc. Series 2003-W3 Class M2, 3.64% 9/25/33 (j)

2,000

2,056

Asset Backed Securities Corp. Home Equity Loan Trust Series 2003-HE2:

Class A2, 1.98% 4/15/33 (j)

2,868

2,872

Class M1, 2.5% 4/15/33 (j)

4,055

4,093

Associates Automobile Receivables Trust Series 2000-1 Class B, 7.83% 8/15/07

3,821

3,850

Atherton Franchise Loan Funding LLP Series 1998-A Class E, 8.25% 5/15/20 (d)(g)

2,047

41

Bayview Financial Asset Trust Series 2000-F Class A, 2.14% 9/28/43 (j)

8,101

8,119

Capital One Auto Finance Trust Series 2003-A Class A4B, 2.04% 1/15/10 (j)

5,485

5,510

Capital One Master Trust Series 2002-3A Class B, 4.55% 2/15/08

16,000

16,121

Capital One Multi-Asset Execution Trust:

Series 2002-B1 Class B1, 2.44% 7/15/08 (j)

5,780

5,804

Series 2003-B1 Class B1, 2.93% 2/17/09 (j)

6,530

6,622

Series 2003-B2 Class B2, 3.5% 2/17/09

3,435

3,460

CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 3.74% 10/25/33 (j)

1,495

1,540

Chase Credit Card Master Trust Series 2003-6 Class B, 2.11% 2/15/11 (j)

4,305

4,331

Countrywide Home Loans, Inc. Series 2002-6 Class AV1, 2.27% 5/25/33 (j)

5,457

5,468

Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class C, 6.667% 6/28/38 (g)

3,995

4,124

Fieldstone Mortgage Investment Corp. Series 2004-2 Class M2, 2.99% 7/25/34 (j)

4,160

4,160

First USA Secured Note Trust Series 2001-3 Class C, 2.86% 11/19/08 (g)(j)

5,230

5,267

Home Equity Asset Trust Series 2003-2:

Class A2, 2.22% 8/25/33 (j)

634

635

Class M1, 2.72% 8/25/33 (j)

1,650

1,670

Home Equity Asset Trust NIMS Trust Series 2003-2N Class A, 8% 9/27/33 (g)

361

363

Household Private Label Credit Card Master Note Trust I Series 2002-3 Class B, 2.85% 9/15/09 (j)

3,910

3,948

Long Beach Mortgage Loan Trust Series 2003-3:

Class M1, 2.59% 7/25/33 (j)

4,425

4,460

Asset-Backed Securities - continued

Principal Amount (000s)

Value (Note 1) (000s)

Long Beach Mortgage Loan Trust Series 2003-3: - continued

Class M2, 3.69% 7/25/33 (j)

$ 2,265

$ 2,326

MBNA Credit Card Master Note Trust:

Series 2001-B1 Class B1, 2.135% 10/15/08 (j)

2,750

2,757

Series 2001-B2 Class B2, 2.12% 1/15/09 (j)

2,750

2,760

Series 2002-B2 Class B2, 2.14% 10/15/09 (j)

2,750

2,762

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 2.715% 12/27/32 (j)

825

838

Series 2003-HE1 Class M2, 3.74% 5/25/33 (j)

2,610

2,650

Series 2003-NC6 Class M2, 3.79% 6/27/33 (j)

7,295

7,459

Morgan Stanley Dean Witter Capital I Trust Series 2002-NC3 Class M1, 2.56% 8/25/32 (j)

670

676

New Century Home Equity Loan Trust Series 2003-2 Class A2, 2.27% 1/25/33 (j)

2,334

2,338

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

2,778

2,787

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (g)

2,315

2,291

Sears Credit Account Master Trust II Series 2000-2 Class A, 6.75% 9/16/09

2,500

2,597

Structured Asset Securities Corp. Series 2004-GEL1 Class A, 2.2% 2/25/34 (j)

715

715

TOTAL ASSET-BACKED SECURITIES

(Cost $162,644)

162,248

Collateralized Mortgage Obligations - 0.4%

Private Sponsor - 0.2%

Adjustable Rate Mortgage Trust floater Series 2004-1 Clas 9A2, 2.24% 1/25/34 (j)

3,665

3,665

CS First Boston Mortgage Securities Corp. Series 2003-TFLA Class F, 2.2233% 4/15/13 (g)(j)

1,775

1,788

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

782

815

Merrill Lynch Mortgage Investors, Inc.:

floater Series 2003-A Class 2A1, 2.23% 3/25/28 (j)

6,825

6,846

Series 2003-E Class XA1, 1% 10/25/28 (j)(l)

28,165

422

Series 2003-G Class XA1, 1% 1/25/29 (l)

24,853

383

Series 2003-H Class XA1, 1% 1/25/29 (g)(l)

21,946

347

Residential Asset Mortgage Products, Inc. sequential pay Series 2003-SL1 Class A31, 7.125% 4/25/31

3,401

3,537

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value (Note 1) (000s)

Private Sponsor - continued

Residential Finance LP/Residential Finance Development Corp. floater Series 2003-CB1:

Class B3, 3.0238% 6/10/35 (g)(j)

$ 1,454

$ 1,481

Class B4, 3.2238% 6/10/35 (g)(j)

1,303

1,326

Class B5, 3.8238% 6/10/35 (g)(j)

886

905

Class B6, 4.3238% 6/10/35 (g)(j)

529

540

Sequoia Mortgage Funding Trust Series 2003-A Class AX1, 0.8% 10/21/08 (g)(l)

96,005

964

Washington Mutual Mortgage Securities Corp. sequential pay Series 2003-MS9 Class 2A1, 7.5% 12/25/33

773

807

TOTAL PRIVATE SPONSOR

23,826

U.S. Government Agency - 0.2%

Fannie Mae planned amortization class:

Series 1999-54 Class PH, 6.5% 11/18/29

8,575

9,095

Series 1999-57 Class PH, 6.5% 12/25/29

6,978

7,360

Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2002-64 Class PC, 5.5% 12/25/26

4,225

4,312

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class Series 2435 Class EL, 6% 9/15/27

41

41

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

3,058

2,718

Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8703% 10/16/23 (j)

655

704

TOTAL U.S. GOVERNMENT AGENCY

24,230

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $45,144)

48,056

Commercial Mortgage Securities - 2.3%

Asset Securitization Corp.:

sequential pay Series 1995-MD4 Class A1, 7.1% 8/13/29

1,547

1,618

Series 1997-D5 Class PS1, 1.7348% 2/14/43 (j)(l)

52,717

3,065

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (Note 1) (000s)

Banc of America Large Loan, Inc. floater Series 2003-BBA2:

Class A3, 2.08% 11/15/15 (g)(j)

$ 2,240

$ 2,240

Class C, 2.23% 11/15/15 (g)(j)

460

462

Class D, 2.31% 11/15/15 (g)(j)

715

719

Class F, 2.66% 11/15/15 (g)(j)

510

514

Class H, 3.16% 11/15/15 (g)(j)

460

463

Class J, 3.71% 11/15/15 (g)(j)

475

482

Class K, 4.36% 11/15/15 (g)(j)

430

434

Bayview Commercial Asset Trust floater:

Series 2003-1 Class A, 2.42% 8/25/33 (g)(j)

4,458

4,494

Series 2004-2 Class A, 2.27% 8/25/34 (g)(j)

3,409

3,412

Bear Stearns Commercial Mortgage Securities, Inc. Series 2004-ESA:

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

1,855

1,900

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

675

691

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

2,095

2,142

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

505

516

Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 1.0056% 8/1/24 (g)(j)

634

565

CBM Funding Corp. sequential pay Series 1996-1:

Class A3PI, 7.08% 11/1/07

5,145

5,452

Class B, 7.48% 2/1/08

9,885

10,921

Chase Commercial Mortgage Securities Corp.:

Series 1999-2:

Class E, 7.734% 1/15/32

1,383

1,571

Class F, 7.734% 1/15/32

750

838

Series 2001-245 Class A2, 6.4842% 2/12/16 (g)(j)

1,695

1,866

COMM floater Series 2002-FL7 Class A2, 1.95% 11/15/14 (g)(j)

2,561

2,561

Commercial Mortgage pass thru certificates floater Series 2004-CNL:

Class D, 2.4981% 9/15/14 (h)(j)

270

270

Class E, 2.5581% 9/15/14 (h)(j)

370

370

Class F, 2.6581% 9/15/14 (h)(j)

290

290

Class G, 2.8381% 9/15/14 (h)(j)

665

665

Class H, 2.9381% 9/15/14 (h)(j)

705

705

Class J, 3.4581% 9/15/14 (h)(j)

240

240

Class K, 3.8581% 9/15/14 (h)(j)

380

380

Class L, 4.0581% 9/15/14 (h)(j)

305

305

CS First Boston Mortgage Securities Corp.:

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

11,870

13,267

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

1,825

2,047

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (Note 1) (000s)

CS First Boston Mortgage Securities Corp.: - continued

Series 2003-C3 Class ASP, 2.0628% 5/15/38 (g)(j)(l)

$ 55,632

$ 4,124

Series 2004-C1 Class ASP, 1.2148% 1/15/37 (g)(j)(l)

35,585

1,517

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

13,215

14,665

DLJ Commercial Mortgage Corp. sequential pay Series 1999-CG2 Class A1A, 6.88% 6/10/32

7,043

7,461

Equitable Life Assurance Society of the United States Series 174:

Class B1, 7.33% 5/15/06 (g)

10,400

11,062

Class C1, 7.52% 5/15/06 (g)

8,000

8,522

Class D1, 7.77% 5/15/06 (g)

6,800

7,222

First Union National Bank-Chase Manhattan Bank Commercial Mortgage Trust Series 1999-C2 Class C, 6.944% 6/15/31

5,500

6,142

FMAC Loan Receivables Trust weighted average coupon Series 1997-A Class E, 0% 4/15/19 (d)(g)(j)

1,061

0

Ginnie Mae guaranteed Multi-family pass thru securities sequential pay:

Series 2002-26 Class C, 5.996% 2/16/24 (j)

4,700

5,055

Series 2003-87 Class C, 5.3178% 8/16/32 (j)

3,500

3,652

Ginnie Mae guaranteed REMIC pass thru securities:

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

5,575

5,541

Series 2003-47 Class XA, 0.2398% 6/16/43 (j)(l)

17,409

922

GMAC Commercial Mortgage Securities, Inc. sequential pay Series 1997-C2 Class A3, 6.566% 4/15/29

3,175

3,418

Greenwich Capital Commercial Funding Corp.:

Series 2002-C1 Class SWDB, 5.857% 11/11/19 (g)

5,715

5,811

Series 2003-C1 Class XP, 2.3678% 7/5/35 (g)(j)(l)

28,148

2,412

GS Mortgage Securities Corp. II:

sequential pay:

Series 1998-GLII Class A2, 6.562% 4/13/31

4,250

4,608

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

2,550

2,825

Series 1998-GLII Class E, 7.1905% 4/13/31 (j)

3,323

3,527

J.P. Morgan Commercial Mortgage Finance Corp. sequential pay:

Series 1998-C6 Class A3, 6.613% 1/15/30

8,950

9,683

Series 1999-C7 Class A2, 6.507% 10/15/35

4,655

5,105

LB Commercial Conduit Mortgage Trust Series 1999-C1 Class B, 6.93% 6/15/31

3,600

4,014

LB-UBS Commercial Mortgage Trust sequential pay Series 2001-C3 Class A1, 6.058% 6/15/20

13,564

14,490

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value (Note 1) (000s)

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

$ 4,840

$ 4,463

LTC Commercial Mortgage pass thru certificates sequential pay Series 1998-1 Class A, 6.029% 5/28/30 (g)

2,155

2,176

Morgan Stanley Capital I, Inc. sequential pay Series 1999-WF1 Class A2, 6.21% 11/15/31

1,275

1,378

Morgan Stanley Dean Witter Capital I Trust Series 2003-HQ2 Class X2, 1.626% 3/12/35 (g)(j)(l)

31,393

2,058

Salomon Brothers Mortgage Securities VII, Inc. sequential pay Series 2000-C3 Class A2, 6.592% 12/18/33

4,220

4,715

Structured Asset Securities Corp. Series 1996-CFL Class H, 7.75% 2/25/28 (g)

1,000

1,091

Thirteen Affiliates of General Growth Properties, Inc.:

sequential pay Series 1 Class A2, 6.602% 11/15/07 (g)

11,530

12,416

Series 1:

Class D2, 6.992% 11/15/07 (g)

11,380

12,408

Class E2, 7.224% 11/15/07 (g)

6,760

7,355

Trizechahn Office Properties Trust Series 2001-TZHA:

Class C4, 6.893% 5/15/16 (g)

200

227

Class E3, 7.253% 3/15/13 (g)

4,835

5,201

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $241,753)

250,731

Foreign Government and Government Agency Obligations - 0.5%

Chilean Republic 7.125% 1/11/12

14,895

17,092

State of Israel 4.625% 6/15/13

4,440

4,271

United Mexican States:

6.75% 9/27/34

8,150

8,020

7.5% 4/8/33

14,800

15,562

8% 9/24/22

5,900

6,652

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $48,640)

51,597

Floating Rate Loans - 0.3%

Principal Amount (000s)

Value (Note 1) (000s)

CONSUMER DISCRETIONARY - 0.1%

Hotels, Restaurants & Leisure - 0.1%

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

$ 4,250

$ 4,128

Wyndham International, Inc. term loan:

6.5% 6/30/06 (j)

5,900

5,856

7.5% 4/1/06 (j)

1,125

1,122

11,106

Media - 0.0%

Century Cable Holdings LLC Tranche B term loan 6.75% 12/31/09 (j)

2,200

2,167

NTL Investment Holdings Ltd. Tranche B term loan 4.6267% 6/13/12 (j)

850

859

3,026

TOTAL CONSUMER DISCRETIONARY

14,132

UTILITIES - 0.2%

Electric Utilities - 0.1%

Allegheny Energy Supply Co. LLC Tranche C term loan 5.704% 6/8/11 (j)

3,682

3,728

Astoria Energy LLC term loan:

6.9906% 4/15/12 (j)

4,180

4,243

10.725% 4/15/12 (j)

2,050

2,106

10,077

Multi-Utilities & Unregulated Power - 0.1%

Riverside Energy Center LLC:

term loan 6.02% 6/24/11 (j)

4,117

4,138

Credit-Linked Deposit 6.02% 6/24/11 (j)

183

184

4,322

TOTAL UTILITIES

14,399

TOTAL FLOATING RATE LOANS

(Cost $27,329)

28,531

Fixed-Income Funds - 0.1%

Shares

Fidelity Ultra-Short Central Fund (k)
(Cost $17,128)

172,096

17,127

Money Market Funds - 19.9%

Shares

Value (Note 1) (000s)

Fidelity Cash Central Fund, 1.74% (b)

1,741,649,000

$ 1,741,649

Fidelity Money Market Central Fund, 1.74% (b)

425,013,442

425,013

Fidelity Securities Lending Cash Central Fund, 1.71% (b)(c)

2,741,115

2,741

TOTAL MONEY MARKET FUNDS

(Cost $2,169,403)

2,169,403

Cash Equivalents - 0.0%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 1.77%, dated 9/30/04 due 10/1/04)
(Cost $3,445)

$ 3,445

3,445

TOTAL INVESTMENT PORTFOLIO - 101.3%

(Cost $10,750,125)

11,046,862

NET OTHER ASSETS - (1.3)%

(143,549)

NET ASSETS - 100%

$ 10,903,313

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation)
(000s)

Purchased

Equity Index Contracts

1,668 S&P 500 Index Contracts

Dec. 2004

$ 464,913

$ (4,868)

The face value of futures purchased as a percentage of net assets - 4.3%

Swap Agreements

Expiration
Date

Notional
Amount (000s)

Value
(000s)

Total Return Swap

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 65 basis points with Lehman Brothers, Inc.

Oct. 2004

$ 9,500

$ 31

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc.

April 2005

9,500

0

Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Deutsche Bank

May 2005

20,000

28

Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Lehman Brothers, Inc.

Nov. 2004

30,000

29

Receive monthly a return equal to Lehman Brothers Commercial Mortgage-Backed Securities AAA Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 32 basis points with Bank of America

Nov. 2004

16,180

67

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 70 basis points with Bank of America

Dec. 2004

10,000

43

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America

Nov. 2004

10,000

344

TOTAL SWAP AGREEMENTS

$ 105,180

$ 542

Legend

(a) Non-income producing

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

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

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

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

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

(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $412,971,000 or 3.8% of net assets.

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

(i) 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 $28,431,000.

(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 listing of the fund's holdings as of its most recent fiscal year end is available upon request.

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

(m) 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 $9,310,000 or 0.1% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Arena Brands Holding Corp. Class B

6/18/97

$ 5,269

Micron Technology, Inc. 6.5% 9/30/05

7/15/99 - 8/8/02

$ 6,618

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

Other Information

The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited):

U.S. Government and
U.S. Government Agency Obligations

14.5%

AAA,AA,A

5.1%

BBB

4.2%

BB

2.9%

B

3.6%

CCC,CC,C

0.8%

Not Rated

0.4%

Equities

53.9%

Short-Term Investments and
Net Other Assets

14.6%

100.0%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Percentages are adjusted for the effect of futures contracts, if applicable.

Income Tax Information

At September 30, 2004, the fund had a capital loss carryforward of approximately $20,324,000 all of which will expire on September 30, 2010.

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

Annual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amount)

September 30, 2004

Assets

Investment in securities, at value (including securities loaned of $2,605 and repurchase agreements of $3,445) (cost $10,750,125) - See accompanying schedule

$ 11,046,862

Cash

503

Foreign currency held at value (cost $4,432)

4,383

Receivable for investments sold

22,859

Receivable for fund shares sold

4,613

Dividends receivable

5,876

Interest receivable

40,583

Swap agreements, at value

542

Prepaid expenses

7

Other affiliated receivables

66

Other receivables

270

Total assets

11,126,564

Liabilities

Payable for investments purchased
Regular delivery

$ 84,405

Delayed delivery

10,752

Payable for fund shares redeemed

117,637

Accrued management fee

4,868

Payable for daily variation on futures contracts

125

Other affiliated payables

2,184

Other payables and accrued expenses

539

Collateral on securities loaned, at value

2,741

Total liabilities

223,251

Net Assets

$ 10,903,313

Net Assets consist of:

Paid in capital

$ 10,597,642

Undistributed net investment income

69,579

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

(56,412)

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

292,504

Net Assets, for 699,707 shares outstanding

$ 10,903,313

Net Asset Value, offering price and redemption price per share ($10,903,313 ÷ 699,707 shares)

$ 15.58

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

Annual Report

Financial Statements - continued

Statement of Operations

Amounts in thousands

Year ended September 30, 2004

Investment Income

Dividends

$ 93,982

Interest

225,725

Security lending

142

Total income

319,849

Expenses

Management fee

$ 58,938

Transfer agent fees

21,487

Accounting and security lending fees

1,425

Non-interested trustees' compensation

62

Appreciation in deferred trustee compensation account

23

Custodian fees and expenses

403

Registration fees

69

Audit

187

Legal

46

Interest

2

Miscellaneous

517

Total expenses before reductions

83,159

Expense reductions

(844)

82,315

Net investment income (loss)

237,534

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities

85,890

Foreign currency transactions

(500)

Futures contracts

45,625

Swap agreements

2,318

Total net realized gain (loss)

133,333

Change in net unrealized appreciation (depreciation) on:

Investment securities

275,136

Assets and liabilities in foreign currencies

(44)

Futures contracts

3,753

Swap agreements

602

Total change in net unrealized appreciation (depreciation)

279,447

Net gain (loss)

412,780

Net increase (decrease) in net assets resulting from operations

$ 650,314

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

Annual Report

Statement of Changes in Net Assets

Amounts in thousands

Year ended
September 30,
2004

Year ended
September 30,
2003

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 237,534

$ 290,597

Net realized gain (loss)

133,333

246,887

Change in net unrealized appreciation
(depreciation)

279,447

1,166,409

Net increase (decrease) in net assets resulting
from operations

650,314

1,703,893

Distributions to shareholders from net investment income

(193,241)

(295,818)

Share transactions
Proceeds from sales of shares

1,305,615

1,175,842

Reinvestment of distributions

187,749

287,120

Cost of shares redeemed

(1,859,651)

(1,652,666)

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

(366,287)

(189,704)

Total increase (decrease) in net assets

90,786

1,218,371

Net Assets

Beginning of period

10,812,527

9,594,156

End of period (including undistributed net investment income of $69,579 and undistributed net investment income of $26,209, respectively)

$ 10,903,313

$ 10,812,527

Other Information

Shares

Sold

83,085

82,291

Issued in reinvestment of distributions

11,877

20,163

Redeemed

(118,489)

(116,816)

Net increase (decrease)

(23,527)

(14,362)

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

Annual Report

Financial Highlights

Years ended September 30,

2004

2003

2002

2001

2000

Selected Per-Share Data

Net asset value, beginning of period

$ 14.95

$ 13.01

$ 14.72

$ 19.11

$ 17.28

Income from Investment Operations

Net investment income (loss) B

.33

.40

.49 D

.59

.61

Net realized and unrealized gain (loss)

.57

1.95

(1.62) D

(3.03)

2.53

Total from investment
operations

.90

2.35

(1.13)

(2.44)

3.14

Distributions from net investment income

(.27)

(.41)

(.58)

(.61)

(.58)

Distributions from net realized gain

-

-

-

(1.34)

(.73)

Total distributions

(.27)

(.41)

(.58)

(1.95)

(1.31)

Net asset value,
end of period

$ 15.58

$ 14.95

$ 13.01

$ 14.72

$ 19.11

Total Return A

6.00%

18.26%

(8.17)%

(13.63)%

18.73%

Ratios to Average Net Assets C

Expenses before expense reductions

.74%

.75%

.75%

.73%

.73%

Expenses net of voluntary waivers, if any

.74%

.75%

.75%

.73%

.73%

Expenses net of all reductions

.73%

.74%

.73%

.71%

.71%

Net investment income (loss)

2.12%

2.82%

3.31% D

3.51%

3.32%

Supplemental Data

Net assets, end of period (in millions)

$ 10,903

$ 10,813

$ 9,594

$ 11,177

$ 13,570

Portfolio turnover rate

78%

120%

129%

133%

109%

A Total returns would have been lower had certain expenses not been reduced during the periods shown.

B Calculated based on average shares outstanding during the period.

C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.

D Effective October 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.

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

Annual Report

Notes to Financial Statements

For the period ended September 30, 2004

(Amounts in thousands except ratios)

1. Significant Accounting Policies.

Fidelity Asset Manager (the fund) is a fund of Fidelity Charles Street 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 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. The following summarizes the significant accounting policies of the fund:

Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.

Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

1. Significant Accounting Policies - continued

Foreign Currency - continued

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. 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 the funds in the trust.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), non-interested 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 treated as though equivalent dollar amounts had been invested in shares of the fund or are invested in a cross-section of other Fidelity funds, and are marked-to-market. Deferred amounts remain in the fund until distributed in accordance with the Plan.

Annual Report

1. 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 all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on the fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. Distributions 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, foreign currency transactions, passive foreign investment companies (PFIC), prior period premium and discount on debt securities, market discount, non-taxable dividends, financing transactions, capital loss carryforwards and losses deferred due to wash sales.

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:

Unrealized appreciation

$ 742,961

Unrealized depreciation

(484,937)

Net unrealized appreciation (depreciation)

258,024

Undistributed ordinary income

68,025

Capital loss carryforward

(20,324)

Cost for federal income tax purposes

$ 10,788,838

The tax character of distributions paid was as follows:

September 30,
2004

September 30,
2003

Ordinary Income

$ 193,241

$ 295,818

2. 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. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

2. Operating Policies - continued

Repurchase Agreements - continued

collateralized by commercial paper obligations and corporate obligations. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).

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.

Futures Contracts. The fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase the fund's exposure to the underlying instrument, while selling futures tends to decrease the fund's exposure to the underlying instrument or hedge other fund 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 counter-parties do not perform under the contracts' terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

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.

Annual Report

2. Operating Policies - continued

Loans and Other Direct Debt Instruments. The fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.

Swap Agreements. The fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact the fund.

Total return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, the fund will receive a payment from the counterparty. To the extent it is less, the fund will make a payment to the counterparty. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.

Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts
as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount
of the underlying instrument, at par, if a credit event occurs during the term of the swap. The fund may enter into credit default swaps in which the fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the fund's custodian in

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

2. Operating Policies - continued

Swap Agreements - continued

compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the fund's Schedule of Investments under the caption "Swap Agreements."

Financing Transactions. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the fund's right to repurchase or sell securities may be limited.

3. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $4,445,483 and $5,072,165, respectively.

4. 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 .25% of the fund's average net assets and a group fee rate that averaged .28% 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 annual management fee rate was .53% of the fund's average net assets.

Annual Report

4. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .19% of average net assets.

Accounting and Security Lending Fees. FSC 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.

Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $28,783 for the period.

Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $124 for the period.

5. Committed Line of Credit.

The fund participates with other funds managed by FMR in a $4.2 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. During the period, there were no borrowings on this line of credit.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

6. Security Lending.

The fund lends portfolio securities from time to time in order to earn additional income. 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. Cash collateral 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.

7. Bank Borrowings.

The fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions. The fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. The average daily loan balance during the period amounted to $13,293. The weighted average interest rate was 1.54%. At period end, there were no bank borrowings outstanding.

8. Expense Reductions.

Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $770 for the period. 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 $6 and $68, respectively.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Charles Street Trust and Shareholders of Fidelity Asset Manager:

We have audited the accompanying statement of assets and liabilities of Fidelity Asset Manager (the Fund), a fund of Fidelity Charles Street Trust, including the portfolio of investments, as of September 30, 2004, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2004, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. 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 Asset Manager as of September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

/s/DELOITTE & TOUCHE LLP

DELOITTE & TOUCHE LLP

Boston, Massachusetts

November 12, 2004

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 299 funds advised by FMR or an affiliate. Mr. McCoy oversees 301 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

Interested Trustees*:

The fund's Statement of Additional Information ( SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (74)**

Year of Election or Appointment: 1981

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc.

Abigail P. Johnson (42)**

Year of Election or Appointment: 2001

Senior Vice President of Asset Manager (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds.

Laura B. Cronin (50)

Year of Election or Appointment: 2003

Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002).

Robert L. Reynolds (52)

Year of Election or Appointment: 2003

Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000).

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.

Annual Report

Non-Interested Trustees:

Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

J. Michael Cook (62)

Year of Election or Appointment: 2001

Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/
consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), The Dow Chemical Company (2000), and Northrop Grumman Corporation (global defense technology, 2003). He is a Member of the Diversity Advisory Council of Marakon (2003) and the Advisory Council of the Public Company Accounting Oversight Board (PCAOB), Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his
alma mater.

Ralph F. Cox (72)

Year of Election or Appointment: 1991

Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin.

Robert M. Gates (61)

Year of Election or Appointment: 1997

Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001), and Brinker International (restaurant management, 2003). He also serves as a member of the Advisory Board of VoteHere.net (secure Internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy.

George H. Heilmeier (68)

Year of Election or Appointment: 2004

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001), Teletech Holdings (customer management services), and HRL Laboratories (private research and development, 2004). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), and Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002).

Donald J. Kirk (71)

Year of Election or Appointment: 1987

Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. (leadership education for arts and culture). Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations).

Marie L. Knowles (57)

Year of Election or Appointment: 2001

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (60)

Year of Election or Appointment: 2000

Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously,
Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Co-Chairman and a Director of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in
Naples, Florida (1999). He also is a member of the Council on Foreign Relations.

Marvin L. Mann (71)

Year of Election or Appointment: 1993

Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director's Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.

William O. McCoy (70)

Year of Election or Appointment: 1997

Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998).

William S. Stavropoulos (65)

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman of the Board (2000), CEO (2002), a position he previously held from 1995-2000, Chairman of the Executive Committee (2000), and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Annual Report

Trustees and Officers - continued

Advisory Board Members and Executive Officers:

Correspondence intended for Mr. Dirks, Ms. Small, and Mr. Wolfe may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments,
82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Dennis J. Dirks (56)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003).

Peter S. Lynch (61)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.

Cornelia M. Small (60)

Year of Election or Appointment: 2004

Member of the Adivisory Board of Fidelity Charles Street Trust. Ms. Small is a member (2000) and Chairperson (2002) of the Investment Committee, and a member (2002) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1998). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

Kenneth L. Wolfe (65)

Year of Election or Appointment: 2004

Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003), Bausch & Lomb, Inc., and Revlon Inc. (2004).

Bart A. Grenier (45)

Year of Election or Appointment: 2001

Vice President of Asset Manager. Mr. Grenier also serves as Vice President of certain Equity Funds (2001), a position he previously held from 1999 to 2000, and Vice President of certain High Income Funds (2002). He is Senior Vice President of FMR (1999) and FMR Co., Inc. (2001), and President and Director of Strategic Advisers, Inc. (2002). He also heads Fidelity's Asset Allocation Group (2000), Fidelity's Growth and Income Group (2001), Fidelity's Value Group (2001), and Fidelity's High Income Division (2001). Previously, Mr. Grenier served as President of Fidelity Ventures (2000), Vice President of certain High Income Funds (1997-2000), High Income Division Head (1997-2000), Group Leader of the Income-Growth and Asset Allocation-Income Groups (1996-2000), and Assistant Equity Division Head (1997-2000).

Charles S. Morrison (43)

Year of Election or Appointment: 2002

Vice President of Asset Manager. Mr. Morrison also serves as Vice President of Fidelity's Bond Funds (2002), and Vice President of certain Asset Allocation and Balanced Funds (2002). He serves as Vice President (2002) and Bond Group Leader (2002) of Fidelity Investments Fixed Income Division. Mr. Morrison is also Vice President of FIMM (2002) and FMR (2002). Mr. Morrison joined Fidelity in 1987 as a Corporate Bond Analyst in the Fixed Income Research Division.

David L. Murphy (56)

Year of Election or Appointment: 2002

Vice President of Asset Manager. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002) and Vice President of certain Asset Allocation Funds (2003). He serves as Senior Vice President (2000) and Money Market Group Leader (2002) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of FIMM (2003) and a Vice President of FMR (2000). Previously, Mr. Murphy served as Bond Group Leader (2000-2002) and Vice President of Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002). Mr. Murphy joined Fidelity in 1989 as a portfolio manager in the Bond Group.

Richard C. Habermann (64)

Year of Election or Appointment: 1996

Vice President of Asset Manager. Mr. Habermann serves as Vice President of other funds advised by FMR. Mr. Habermann also serves as Senior Vice President of FMR Co., Inc. (2001).

Jeffrey Moore (38)

Year of Election or Appointment: 2002

Vice President of Asset Manager. Mr. Moore also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Moore served as a fixed-income analyst and portfolio manager.

Charles Mangum (40)

Year of Election or Appointment: 2001

Vice President of Asset Manager. Mr. Mangum is also Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Mangum managed a variety of Fidelity funds. Mr. Mangum also serves as Vice President of FMR (2003) and FMR Co., Inc. (2001).

Mathew J. Conti (38)

Year of Election or Appointment: 2002

Vice President of Asset Manager. Mr. Conti also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Conti managed a variety of Fidelity funds. Mr. Conti also serves as Vice President of FMR (2003) and FMR Co., Inc. (2003).

James K. Miller (40)

Year of Election or Appointment: 2004

Vice President of Asset Manager. Mr. Miller also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Miller managed a variety of Fidelity funds.

Eric D. Roiter (55)

Year of Election or Appointment: 1998

Secretary of Asset Manager. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management, Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003).

Stuart Fross (45)

Year of Election or Appointment: 2003

Assistant Secretary of Asset Manager. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR.

Christine Reynolds (46)

Year of Election or Appointment: 2004

President, Treasurer, and Anti-Money Laundering (AML) officer of
Asset Manager. Ms. Reynolds also serves as President, Treasurer,
and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was most recently an audit partner with PwC's investment management practice.

Timothy F. Hayes (53)

Year of Election or Appointment: 2002

Chief Financial Officer of Asset Manager. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998).

Kenneth A. Rathgeber (57)

Year of Election or Appointment: 2004

Chief Compliance Officer of Asset Manager. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

John R. Hebble (46)

Year of Election or Appointment: 2003

Deputy Treasurer of Asset Manager. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003).

Kimberley H. Monasterio (40)

Year of Election or Appointment: 2004

Deputy Treasurer of Asset Manager. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

John H. Costello (58)

Year of Election or Appointment: 1988

Assistant Treasurer of Asset Manager. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.

Francis V. Knox, Jr. (57)

Year of Election or Appointment: 2002

Assistant Treasurer of Asset Manager. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002).

Peter L. Lydecker (50)

Year of Election or Appointment: 2004

Assistant Treasurer of Asset Manager. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Mark Osterheld (49)

Year of Election or Appointment: 2002

Assistant Treasurer of Asset Manager. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee
of FMR.

Kenneth B. Robins (35)

Year of Election or Appointment: 2004

Assistant Treasurer of Asset Manager. Mr. Robins also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Thomas J. Simpson (46)

Year of Election or Appointment: 2000

Assistant Treasurer of Asset Manager. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995).

Annual Report

Distributions

A total of 5.67% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates 29%, 37%, and 37% of the dividends distributed in December, March, and June, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

The fund designates 39% of the dividends distributed in March, and June, respectively during the fiscal year as amounts which may be taken into account
as a dividend for purposes of the maximum rate under section 1(h)(11) of the
Internal Revenue Code.

The fund will notify shareholders in January 2005 of amounts for use in preparing 2004 income tax returns.

Annual Report

Proxy Voting Results

A special meeting of the fund's shareholders was held on September 15, 2004. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval.*

# of
Votes

% of
Votes

Affirmative

7,568,144,945.96

76.551

Against

1,665,604,684.78

16.847

Abstain

460,998,830.31

4.663

Broker
Non-Votes

191,690,954.58

1.939

TOTAL

9,886,439,415.63

100.000

PROPOSAL 2

To elect a Board of Trustees.*

# of
Votes

% of
Votes

J. Michael Cook

Affirmative

9,359,102,098.49

94.666

Withheld

527,337,317.14

5.334

TOTAL

9,886,439,415.63

100.000

Ralph F. Cox

Affirmative

9,333,369,952.29

94.406

Withheld

553,069,463.34

5.594

TOTAL

9,886,439,415.63

100.000

Laura B. Cronin

Affirmative

9,355,534,364.24

94.630

Withheld

530,905,051.39

5.370

TOTAL

9,886,439,415.63

100.000

Robert M. Gates

Affirmative

9,352,106,353.30

94.595

Withheld

534,333,062.33

5.405

TOTAL

9,886,439,415.63

100.000

George H. Heilmeier

Affirmative

9,360,572,048.31

94.681

Withheld

525,867,367.32

5.319

TOTAL

9,886,439,415.63

100.000

Abigail P. Johnson

Affirmative

9,327,059,416.89

94.342

Withheld

559,379,998.74

5.658

TOTAL

9,886,439,415.63

100.000

Edward C. Johnson 3d

Affirmative

9,323,731,909.04

94.308

Withheld

562,707,506.59

5.692

TOTAL

9,886,439,415.63

100.000

Donald J. Kirk

Affirmative

9,343,833,406.30

94.512

Withheld

542,606,009.33

5.488

TOTAL

9,886,439,415.63

100.000

Marie L. Knowles

Affirmative

9,362,664,343.97

94.702

Withheld

523,775,071.66

5.298

TOTAL

9,886,439,415.63

100.000

Ned C. Lautenbach

Affirmative

9,368,801,700.35

94.764

Withheld

517,637,715.28

5.236

TOTAL

9,886,439,415.63

100.000

Marvin L. Mann

Affirmative

9,342,116,785.91

94.494

Withheld

544,322,629.72

5.506

TOTAL

9,886,439,415.63

100.000

William O. McCoy

Affirmative

9,348,114,851.10

94.555

Withheld

538,324,564.53

5.445

TOTAL

9,886,439,415.63

100.000

Robert L. Reynolds

Affirmative

9,368,829,274.86

94.764

Withheld

517,610,140.77

5.236

TOTAL

9,886,439,415.63

100.000

William S. Stavropoulos

Affirmative

9,355,225,708.91

94.627

Withheld

531,213,706.72

5.373

TOTAL

9,886,439,415.63

100.000

Dennis J. Dirks**

Affirmative

9,363,252,671.04

94.708

Withheld

523,186,744.59

5.292

TOTAL

9,886,439,415.63

100.000

Cornelia M. Small**

Affirmative

9,357,897,300.73

94.654

Withheld

528,542,114.90

5.346

TOTAL

9,886,439,415.63

100.000

* Denotes trust-wide proposals and voting results.
** Effective 1/1/05

Annual Report

Annual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Investments Money
Management, Inc.

Fidelity Management & Research

(U.K.) Inc.

Fidelity Management & Research

(Far East) Inc.

Fidelity Investments Japan Limited

Fidelity International Investment
Advisors

Fidelity International Investment
Advisors (U.K.) Limited

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Shareholder
Servicing Agent

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY

Fidelity's Asset Allocation Funds

Asset ManagerSM 

Asset Manager: Aggressive®

Asset Manager: Growth®

Asset Manager: Income®

Fidelity Freedom Funds® -
Income, 2000, 2005, 2010, 2015, 2020, 2025, 2030, 2035, 2040

Please carefully consider the funds' investment objectives, risks, charges and expenses before investing. For this and other information, call 1-800-544-6666 for a free prospectus. Read it carefully before you invest or send money.

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®) (automated graphic)    1-800-544-5555

(automated graphic)    Automated line for quickest service

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com

FAA-UANNPRO-1104
1.792137.101

Item 2. Code of Ethics

As of the end of the period, September 30, 2004, Fidelity Charles Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert

The Board of Trustees of the trust has determined that Marie L. Knowles and Donald J. Kirk are each audit committee financial experts, as defined in Item 3 of Form N-CSR. Ms. Knowles and Mr. Kirk are each independent for purposes of Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services

(a) Audit Fees.

For the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Audit Fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") for professional services rendered for the audits of the financial statements, or services that are normally provided in connection with statutory and regulatory filings or engagements for those fiscal years, for Fidelity Asset Manager, Fidelity Asset Manager: Growth, Fidelity Asset Manager: Income, Fidelity Asset Manager: Aggressive and Spartan Investment Grade Bond Fund (the funds) and for all funds in the Fidelity Group of Funds are shown in the table below.

Fund

2004A

2003A

Fidelity Asset Manager

$120,000

$110,000

Fidelity Asset Manager: Growth

$64,000

$62,000

Fidelity Asset Manager: Income

$64,000

$57,000

Fidelity Asset Manager: Aggressive

$32,000

$33,000

Spartan Investment Grade Bond Fund

$50,000

$44,000

All funds in the Fidelity Group of Funds audited by Deloitte Entities

$4,300,000

$3,900,000

A

Aggregate amounts may reflect rounding.

(b) Audit-Related Fees.

In each of the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Audit-Related Fees billed by Deloitte Entities for services rendered for assurance and related services to each fund that are reasonably related to the performance of the audit or review of the fund's financial statements, but not reported as Audit Fees, are shown in the table below.

Fund

2004A

2003 A, B

Fidelity Asset Manager

$0

$0

Fidelity Asset Manager: Growth

$0

$0

Fidelity Asset Manager: Income

$0

$0

Fidelity Asset Manager: Aggressive

$0

$0

Spartan Investment Grade Bond Fund

$0

$0

A

Aggregate amounts may reflect rounding.

B

Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time.

In each of the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Audit-Related Fees that were billed by Deloitte Entities that were required to be approved by the Audit Committee for services rendered on behalf of Fidelity Management & Research Company (FMR) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the funds ("Fund Service Providers") for assurance and related services that relate directly to the operations and financial reporting of each fund that are reasonably related to the performance of the audit or review of the fund's financial statements, but not reported as Audit Fees, are shown in the table below.

Billed By

2004 A

2003A, B

Deloitte Entities

$0

$0

A

Aggregate amounts may reflect rounding.

B

Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time.

Fees included in the audit-related category comprise assurance and related services (e.g., due diligence services) that are traditionally performed by the independent registered public accounting firm. These audit-related services include due diligence related to mergers and acquisitions, accounting consultations and audits in connection with acquisitions, internal control reviews, attest services that are not required by statute or regulation and consultation concerning financial accounting and reporting standards.

(c) Tax Fees.

In each of the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Tax Fees billed by Deloitte Entities for professional services rendered for tax compliance, tax advice, and tax planning for each fund is shown in the table below.

Fund

2004A

2003A, B

Fidelity Asset Manager

$4,400

$4,200

Fidelity Asset Manager: Growth

$4,400

$4,200

Fidelity Asset Manager: Income

$4,400

$4,200

Fidelity Asset Manager: Aggressive

$2,600

$2,400

Spartan Investment Grade Bond Fund

$3,600

$3,400

A

Aggregate amounts may reflect rounding.

B

Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time.

In each of the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Tax Fees billed by Deloitte Entities that were required to be approved by the Audit Committee for professional services rendered on behalf of the Fund Service Providers for tax compliance, tax advice, and tax planning that relate directly to the operations and financial reporting of each fund is shown in the table below.

Billed By

2004A

2003A, B

Deloitte Entities

$0

$0

A

Aggregate amounts may reflect rounding.

B

Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time.

Fees included in the Tax Fees category comprise all services performed by professional staff in the independent registered public accounting firm's tax division except those services related to the audit. Typically, this category would include fees for tax compliance, tax planning, and tax advice. Tax compliance, tax advice, and tax planning services include preparation of original and amended tax returns, claims for refund and tax payment-planning services, assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.

(d) All Other Fees.

In each of the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Other Fees billed by Deloitte Entities for all other non-audit services rendered to the funds is shown in the table below.

Fund

2004A

2003A, B

Fidelity Asset Manager

$0

$0

Fidelity Asset Manager: Growth

$0

$0

Fidelity Asset Manager: Income

$0

$0

Fidelity Asset Manager: Aggressive

$0

$0

Spartan Investment Grade Bond Fund

$0

$0

A

Aggregate amounts may reflect rounding.

B

Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time.

In each of the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Other Fees billed by Deloitte Entities that were required to be approved by the Audit Committee for all other non-audit services rendered on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund is shown in the table below.

Billed By

2004A

2003A, B

Deloitte Entities

$790,000

$490,000

A

Aggregate amounts may reflect rounding.

B

Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time.

Fees included in the All Other Fees category include services related to internal control reviews, strategy and other consulting, financial information systems design and implementation, consulting on other information systems, and other tax services unrelated to the fund.

(e) (1)

Audit Committee Pre-Approval Policies and Procedures:

The trust's Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm relating to the operations or financial reporting of the funds. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.

The trust's Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity Fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (Covered Service) are subject to approval by the Audit Committee before such service is provided. Non-audit services provided by a fund audit firm for a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund (Non-Covered Service) but that are expected to exceed $50,000 are also subject to pre-approval by the Audit Committee.

All Covered Services, as well as Non-Covered Services that are expected to exceed $50,000, must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee. Neither pre-approval nor advance notice of Non-Covered Service engagements for which fees are not expected to exceed $50,000 is required; such engagements are to be reported to the Audit Committee monthly.

(e) (2)

Services approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:

Audit-Related Fees:

There were no amounts, including amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time, that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2004 and September 30, 2003 on behalf of each fund.

There were no amounts, including amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time, that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2004 and September 30, 2003 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.

Tax Fees:

There were no amounts, including amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time, that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2004 and September 30, 2003 on behalf of each fund.

There were no amounts, including amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time, that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2004 and September 30, 2003 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.

All Other Fees:

There were no amounts, including amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time, that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2004 and September 30, 2003 on behalf of each fund.

There were no amounts, including amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time, that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2004 and September 30, 2003 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.

(f) According to Deloitte Entities for the fiscal year ended September 30, 2004, the percentage of hours spent on the audit of each fund's financial statements for the most recent fiscal year that were attributed to work performed by persons who are not full-time, permanent employees of Deloitte Entities is as follows:

Fund

2004

Fidelity Asset Manager

0%

Fidelity Asset Manager: Growth

0%

Fidelity Asset Manager: Income

0%

Fidelity Asset Manager: Aggressive

0%

Spartan Investment Grade Bond Fund

0%

(g) For the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate fees billed by Deloitte Entities of $1,750,000A and $1,250,000A,B for non-audit services rendered on behalf of the funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and Fund Service Providers relating to Covered Services and Non-Covered Services are shown in the table below.

2004A

2003A,B

Covered Services

$800,000

$500,000

Non-Covered Services

$950,000

$750,000

A

Aggregate amounts may reflect rounding.

B

Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time.

(h) The trust's Audit Committee has considered Non-Covered Services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its audit of the funds, taking into account representations from Deloitte Entities, in accordance with Independence Standards Board Standard No.1, regarding its independence from the funds and their related entities.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 9. 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 trust's Board of Trustees.

Item 10. Controls and Procedures

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

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

Item 11. Exhibits

(a)

(1)

Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

(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 Charles Street Trust

By:

/s/Christine Reynolds

Christine Reynolds

President and Treasurer

Date:

November 17, 2004

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Christine Reynolds

Christine Reynolds

President and Treasurer

Date:

November 17, 2004

By:

/s/Timothy F. Hayes

Timothy F. Hayes

Chief Financial Officer

Date:

November 17, 2004