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 811-3785

Fidelity Advisor Series I
(Exact name of registrant as specified in charter)

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

Scott C. Goebel, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:

August 31

 

 

Date of reporting period:

August 31, 2011

Item 1. Reports to Stockholders

(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Balanced Fund -
Class A, Class T, Class B
and Class C

Annual Report

August 31, 2011

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

The Chairman's message to shareholders.

Notes to shareholders

<Click Here>

Important information about the fund.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion of Fund Performance

<Click Here>

The Portfolio Manager's review of fund performance and strategy.

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>

 

Board Approval of Investment Advisory Contracts and Management Fees

<Click Here>

 

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.

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

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

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

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.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.

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_James_C_Curvey)

Dear Shareholder:

U.S. equities remained in a significant midyear downturn that began in May and intensified in the final week of July and the early part of August, when Standard & Poor's announced it was lowering its long-term sovereign credit rating of the United States. The historic downgrade followed a political stalemate in which Congress struggled to address the debt ceiling issue before an early-August deadline, resulting in heightened investor anxiety and volatility across major financial markets. Financial markets are always unpredictable, of course, but there are several time-tested investment principles that can help put the odds in your favor.

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

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

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

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

Sincerely,


(The acting chairman's signature appears here.)

James C. Curvey
Acting Chairman

Annual Report

Notes to shareholders

The following changes to Fidelity Advisor® Balanced Fund were effective as of March 7, 2011:

• Matthew Friedman is no longer Co-Portfolio Manager of the fund's energy sector investments, which are solely managed by Co-Portfolio Manager Nathan Strik.

• Peter Saperstone was named Co-Portfolio Manager, replacing John Roth in managing the fund's consumer discretionary sector investments.

• The Multi-Manager Group (MMG) was renamed the Stock Selector Large Cap Group, recognizing stock selection as the dominant driver of performance within the portfolios it manages. There is no change in philosophy or process. The group includes experienced portfolio managers who are specialists in one or more market sectors and manage the equity portion of the fund.

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) 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. Returns reflect the conversion of Class B shares to Class A shares after a maximum of seven years.

Average Annual Total Returns

Periods ended August 31, 2011

Past 1
year

Past 5
years

Past 10
years

Class A (incl. 5.75% sales charge)

6.83%

1.35%

3.20%

Class T (incl. 3.50% sales charge)

9.13%

1.60%

3.20%

Class B (incl. contingent deferred sales charge) A

7.42%

1.39%

3.21%

Class C (incl. contingent deferred sales charge) B

11.59%

1.79%

3.02%

A Class B shares' contingent deferred sales charges included in the past one year, past five years, and past ten years total return figures are 5%, 2%, and 0%, respectively.

B Class C shares' contingent deferred sales charges included in the past one year, past five years, and past ten years total return figures are 1%, 0%, and 0%, respectively.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Balanced Fund - Class A on August 31, 2001, and the current 5.75% sales charge was paid. The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period.

fid44

Annual Report

Management's Discussion of Fund Performance

Market Recap: U.S. stocks registered solid double-digit gains for the year ending August 31, 2011, despite finishing in a four-month downturn that intensified in the two weeks preceding the August 5 news that Standard & Poor's had lowered its long-term sovereign credit rating of the United States. The downgrade followed a stalemate in which Congress struggled to address the debt ceiling, heightening investor anxiety. For the year, the large-cap laden S&P 500® Index gained 18.50% and the blue-chip Dow Jones Industrial AverageSM advanced 19.03%. The technology-heavy Nasdaq Composite® Index fared even better, climbing 23.19%. Small and mid-sized stocks beat their larger-cap counterparts, as the Russell 2000® and Russell Midcap® indexes added 22.19% and 21.28%, respectively. Solid returns for equities brought about more-tempered gains for fixed-income markets. The Barclays Capital® U.S. Aggregate Bond Index - a proxy for investment-grade debt - rose 4.62%. Higher-risk bond categories fared best, with The BofA Merrill LynchSM US High Yield Constrained Index gaining 8.15%. Bonds backed by the U.S. government were among the weakest performers, with the Barclays Capital® U.S. Treasury Bond Index adding 4.17%, while short-term assets fared the worst, as gauged by the 0.16% increase in the Barclays Capital U.S. 3 Month Treasury Bellwether Index.

Comments from Robert Stansky, Head of Fidelity's Stock Selector Large Cap Group, which manages Fidelity Advisor® Balanced Fund: For the year, the fund's Class A, Class T, Class B and Class C shares returned 13.34%, 13.09%, 12.42% and 12.59%, respectively (excluding sales charges), straddling the 13.05% advance of the Fidelity Balanced 60/40 Composite Index, a hypothetical blend of the total returns of the S&P 500® Index and the Barclays Capital U.S. Aggregate Bond Index, using weightings of 60% and 40%, respectively. The fund was aided by security selection in equities and investment-grade bonds. In terms of asset allocation, overweighting equities and underweighting investment-grade bonds contributed, while a small stake in high-yield bonds nicked relative performance. On an individual security basis, limited exposure to Bank of America was beneficial, as its shares fell sharply due to concern about capital requirements. Not owning networking gear maker and index component Cisco Systems and largely avoiding computer and peripherals firm Hewlett-Packard helped, as both lost ground. Conversely, not owning IBM and underweighting integrated energy firm Chevron hurt because both stocks saw strong advances. An out-of-index position in health information services provider WebMD Health detracted, mainly because its shares plunged in July. Some stocks mentioned were not held at period end.

Annual Report

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report 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, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2011 to August 31, 2011).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

Annual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio

Beginning
Account Value
March 1, 2011

Ending
Account Value
August 31, 2011

Expenses Paid
During Period*
March 1, 2011 to August 31, 2011

Class A

.99%

 

 

 

Actual

 

$ 1,000.00

$ 963.60

$ 4.90

Hypothetical A

 

$ 1,000.00

$ 1,020.21

$ 5.04

Class T

1.19%

 

 

 

Actual

 

$ 1,000.00

$ 962.30

$ 5.89

Hypothetical A

 

$ 1,000.00

$ 1,019.21

$ 6.06

Class B

1.78%

 

 

 

Actual

 

$ 1,000.00

$ 959.50

$ 8.79

Hypothetical A

 

$ 1,000.00

$ 1,016.23

$ 9.05

Class C

1.73%

 

 

 

Actual

 

$ 1,000.00

$ 960.50

$ 8.55

Hypothetical A

 

$ 1,000.00

$ 1,016.48

$ 8.79

Institutional Class

.70%

 

 

 

Actual

 

$ 1,000.00

$ 965.50

$ 3.47

Hypothetical A

 

$ 1,000.00

$ 1,021.68

$ 3.57

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Annual Report

Investment Changes (Unaudited)

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

Top Five Stocks as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

2.8

2.6

Microsoft Corp.

1.5

1.0

Procter & Gamble Co.

1.3

1.2

The Coca-Cola Co.

1.2

1.0

Google, Inc. Class A

1.1

0.1

 

7.9

Top Five Bond Issuers as of August 31, 2011

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

Fannie Mae

13.3

10.0

U.S. Treasury Obligations

10.3

11.7

Freddie Mac

3.5

2.1

Ginnie Mae

2.3

2.1

Wachovia Bank Commercial Mortgage Trust

0.5

0.5

 

29.9

Top Five Market Sectors as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

12.4

13.7

Information Technology

11.6

11.6

Energy

8.4

9.2

Consumer Discretionary

7.3

7.6

Consumer Staples

7.2

6.5

Asset Allocation (% of fund's net assets)

As of August 31, 2011*

As of February 28, 2011**

fid46

Stocks and
Equity Futures 58.0%

 

fid46

Stocks and
Equity Futures 60.9%

 

fid49

Bonds 44.0%

 

fid51

Bonds 40.2%

 

fid53

Convertible
Securities 0.1%

 

fid55

Convertible
Securities 0.0%

 

fid57

Other Investments 0.3%

 

fid57

Other Investments 0.3%

 

fid60

Short-Term
Investments and
Net Other Assets*** (2.4)%

 

fid60

Short-Term
Investments and
Net Other Assets*** (1.4)%

 

fid63

* Foreign investments

12.0%

 

** Foreign investments

11.6%

 

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

Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.

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

Annual Report

Investments August 31, 2011

Showing Percentage of Net Assets

Common Stocks - 57.3%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 6.1%

Distributors - 0.0%

Indiabulls Wholesale Services Ltd.

18,449

$ 2

Hotels, Restaurants & Leisure - 1.7%

Arcos Dorados Holdings, Inc.

71,293

1,966

Betfair Group PLC

107,905

1,080

Las Vegas Sands Corp. (a)

81,246

3,784

Pinnacle Entertainment, Inc. (a)

89,910

1,234

Starbucks Corp.

106,359

4,108

Yum! Brands, Inc.

88,908

4,834

 

17,006

Internet & Catalog Retail - 1.0%

Amazon.com, Inc. (a)

21,121

4,547

Priceline.com, Inc. (a)

10,223

5,492

 

10,039

Media - 1.8%

DIRECTV (a)

133,071

5,851

Focus Media Holding Ltd. ADR (a)

19,604

615

Legend Pictures LLC (a)(q)(r)

415

311

The Walt Disney Co.

165,026

5,621

Time Warner, Inc.

203,973

6,458

 

18,856

Multiline Retail - 0.4%

Dollar General Corp. (a)

116,083

4,249

Specialty Retail - 0.8%

Abercrombie & Fitch Co. Class A

54,689

3,479

Limited Brands, Inc.

91,737

3,462

TJX Companies, Inc.

22,100

1,207

 

8,148

Textiles, Apparel & Luxury Goods - 0.4%

Crocs, Inc. (a)

30,103

824

Under Armour, Inc. Class A (sub. vtg.) (a)

12,584

892

VF Corp.

16,383

1,918

 

3,634

TOTAL CONSUMER DISCRETIONARY

61,934

CONSUMER STAPLES - 6.7%

Beverages - 2.8%

Anheuser-Busch InBev SA NV

32,026

1,768

Carlsberg A/S Series B

2,279

171

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Coca-Cola Bottling Co. Consolidated

5,004

$ 280

Coca-Cola FEMSA SAB de CV sponsored ADR

3,562

352

Coca-Cola Icecek AS

24,062

299

Companhia de Bebidas das Americas (AmBev) (PN) sponsored ADR

10,170

362

Constellation Brands, Inc. Class A (sub. vtg.) (a)

112,732

2,229

Diageo PLC sponsored ADR

28,763

2,309

Embotelladora Andina SA sponsored ADR

13,174

361

Molson Coors Brewing Co. Class B

53,397

2,336

PepsiCo, Inc.

57,516

3,706

Pernod-Ricard SA

18,896

1,697

Remy Cointreau SA

8,581

756

The Coca-Cola Co.

165,675

11,672

 

28,298

Food & Staples Retailing - 0.7%

CVS Caremark Corp.

166,884

5,993

Drogasil SA

20,000

157

Fresh Market, Inc.

700

27

Walgreen Co.

29,951

1,055

 

7,232

Food Products - 0.4%

Archer Daniels Midland Co.

9,531

271

Bunge Ltd.

16,305

1,055

Danone

8,396

574

Green Mountain Coffee Roasters, Inc. (a)

2,211

232

Nestle SA

15,507

960

Unilever NV (NY Reg.)

30,561

1,039

Viterra, Inc.

16,200

172

 

4,303

Household Products - 1.5%

Colgate-Palmolive Co.

16,616

1,495

Procter & Gamble Co.

205,039

13,057

Spectrum Brands Holdings, Inc. (a)

13,106

351

 

14,903

Personal Products - 0.3%

Avon Products, Inc.

51,682

1,166

L'Oreal SA

15,100

1,644

Nu Skin Enterprises, Inc. Class A

4,300

182

 

2,992

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Tobacco - 1.0%

Altria Group, Inc.

31,897

$ 867

British American Tobacco PLC sponsored ADR

77,154

6,914

Philip Morris International, Inc.

26,947

1,868

Souza Cruz Industria Comerico

28,450

355

 

10,004

TOTAL CONSUMER STAPLES

67,732

ENERGY - 7.1%

Energy Equipment & Services - 2.2%

Aker Solutions ASA

26,900

351

Baker Hughes, Inc.

68,960

4,214

C&J Energy Services, Inc. (a)(g)

18,600

438

Discovery Offshore S.A. (a)(g)

50,600

75

Ensco International Ltd. ADR

27,666

1,335

Halliburton Co.

124,292

5,515

Kvaerner ASA (a)

26,900

52

National Oilwell Varco, Inc.

35,490

2,347

Noble Corp.

54,375

1,836

Ocean Rig UDW, Inc. (a)

5,200

78

Oceaneering International, Inc.

28,900

1,234

Saipem SpA

17,033

765

Schlumberger Ltd.

28,816

2,251

TETRA Technologies, Inc. (a)

21,400

219

Transocean Ltd. (United States)

33,564

1,880

Vantage Drilling Co. (a)

232,300

355

 

22,945

Oil, Gas & Consumable Fuels - 4.9%

Alpha Natural Resources, Inc. (a)

42,259

1,398

Anadarko Petroleum Corp.

40,248

2,968

Apache Corp.

43,543

4,488

BP PLC sponsored ADR

45,178

1,780

Canadian Natural Resources Ltd.

37,100

1,402

CVR Energy, Inc. (a)

20,131

573

Exxon Mobil Corp.

101,734

7,532

Falkland Oil & Gas Ltd. (a)

30,031

27

HollyFrontier Corp.

50,561

3,628

InterOil Corp. (a)

14,126

895

Marathon Oil Corp.

101,000

2,719

Marathon Petroleum Corp.

53,450

1,981

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Niko Resources Ltd.

10,878

$ 619

Occidental Petroleum Corp.

34,086

2,957

Petrobank Energy & Resources Ltd. (a)

42,613

517

Petrominerales Ltd.

20,400

637

Resolute Energy Corp. (a)

42,703

576

Rockhopper Exploration PLC (a)

10,100

35

Rodinia Oil Corp. (a)

22,000

25

Royal Dutch Shell PLC:

Class A sponsored ADR

3,429

230

Class B sponsored ADR

136,212

9,192

Talisman Energy, Inc.

96,800

1,618

Western Refining, Inc. (a)

35,530

620

Whiting Petroleum Corp. (a)

22,136

1,043

Williams Companies, Inc.

77,800

2,100

 

49,560

TOTAL ENERGY

72,505

FINANCIALS - 8.2%

Capital Markets - 1.1%

Ameriprise Financial, Inc.

26,600

1,216

E*TRADE Financial Corp. (a)

68,000

840

Evercore Partners, Inc. Class A

13,500

354

ICAP PLC

44,800

346

Invesco Ltd.

38,862

711

Morgan Stanley

141,760

2,481

State Street Corp.

122,322

4,345

TD Ameritrade Holding Corp.

54,300

835

 

11,128

Commercial Banks - 2.4%

Banco Macro SA sponsored ADR

6,866

186

BB&T Corp.

45,845

1,022

CIT Group, Inc. (a)

10,064

348

FirstMerit Corp.

48,056

599

Huntington Bancshares, Inc.

273,895

1,378

Regions Financial Corp.

107,800

489

SunTrust Banks, Inc.

58,228

1,159

Synovus Financial Corp. (f)

327,405

475

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

U.S. Bancorp

331,440

$ 7,693

Wells Fargo & Co.

413,816

10,801

 

24,150

Consumer Finance - 0.5%

Capital One Financial Corp.

53,148

2,447

Discover Financial Services

29,396

740

Green Dot Corp. Class A (a)

11,531

377

Promise Co. Ltd. (a)

59,550

426

SLM Corp.

78,664

1,080

 

5,070

Diversified Financial Services - 1.1%

African Bank Investments Ltd.

116,600

593

Citigroup, Inc.

263,895

8,194

CME Group, Inc.

5,558

1,485

NBH Holdings Corp. Class A (a)(g)

28,500

485

 

10,757

Insurance - 2.1%

ACE Ltd.

32,307

2,086

Amlin PLC

130,375

660

Aon Corp.

38,191

1,785

Berkshire Hathaway, Inc.:

Class A (a)

7

768

Class B (a)

99,028

7,229

Fairfax Financial Holdings Ltd. (sub. vtg.)

5,800

2,339

Fidelity National Financial, Inc. Class A

27,390

465

Genworth Financial, Inc. Class A (a)

23,700

164

MetLife, Inc.

127,662

4,289

The Chubb Corp.

23,721

1,468

Validus Holdings Ltd.

18,579

480

 

21,733

Real Estate Investment Trusts - 0.7%

American Capital Agency Corp.

22,800

650

Annaly Capital Management, Inc.

35,588

645

Camden Property Trust (SBI)

13,488

901

Equity Lifestyle Properties, Inc.

6,000

414

Prologis, Inc.

63,522

1,730

Public Storage

20,023

2,477

The Macerich Co.

16,870

827

 

7,644

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - 0.2%

Ayala Land, Inc.

1,038,000

$ 390

BR Malls Participacoes SA

64,600

720

CB Richard Ellis Group, Inc. Class A (a)

3,955

60

Indiabulls Real Estate Ltd. (a)

159,597

296

PT Lippo Karawaci Tbk

6,034,125

535

 

2,001

Thrifts & Mortgage Finance - 0.1%

Ocwen Financial Corp. (a)

92,319

1,274

Washington Mutual, Inc. (a)(r)

130,000

10

 

1,284

TOTAL FINANCIALS

83,767

HEALTH CARE - 6.6%

Biotechnology - 1.4%

Alexion Pharmaceuticals, Inc. (a)

14,030

813

Amgen, Inc.

105,134

5,825

AVEO Pharmaceuticals, Inc. (a)

19,973

339

AVEO Pharmaceuticals, Inc.

3,908

66

Biogen Idec, Inc. (a)

30,926

2,913

BioMarin Pharmaceutical, Inc. (a)

30,405

900

Gilead Sciences, Inc. (a)

69,122

2,757

Medivir AB (B Shares) (a)

16,254

249

ONYX Pharmaceuticals, Inc. (a)

12,331

420

 

14,282

Health Care Equipment & Supplies - 1.8%

Baxter International, Inc.

81,478

4,561

Boston Scientific Corp. (a)

272,161

1,845

C. R. Bard, Inc.

14,362

1,368

Covidien PLC

112,893

5,891

Edwards Lifesciences Corp. (a)

27,148

2,048

Mako Surgical Corp. (a)

31,286

1,123

Quidel Corp. (a)

55,670

851

Shandong Weigao Group Medical Polymer Co. Ltd. (H Shares)

128,000

161

William Demant Holding A/S (a)

3,469

287

 

18,135

Health Care Providers & Services - 1.4%

CIGNA Corp.

38,139

1,783

Express Scripts, Inc. (a)

4,600

216

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

Henry Schein, Inc. (a)

33,900

$ 2,234

McKesson Corp.

56,808

4,541

Omnicare, Inc.

41,400

1,230

Shanghai Pharma Holding Co. Ltd. (H Shares)

3,500

7

UnitedHealth Group, Inc.

86,951

4,132

 

14,143

Life Sciences Tools & Services - 0.2%

Thermo Fisher Scientific, Inc. (a)

37,378

2,053

Pharmaceuticals - 1.8%

Bayer AG

5,964

385

Merck & Co., Inc.

91,468

3,029

Novo Nordisk A/S Series B

3,411

363

Pfizer, Inc.

396,091

7,518

Sanofi-Aventis sponsored ADR

68,500

2,505

Shire PLC sponsored ADR

27,833

2,703

Valeant Pharmaceuticals International, Inc. (Canada)

37,140

1,665

 

18,168

TOTAL HEALTH CARE

66,781

INDUSTRIALS - 6.3%

Aerospace & Defense - 2.5%

Bombardier, Inc. Class B (sub. vtg.)

228,900

1,115

Goodrich Corp.

32,862

2,931

Honeywell International, Inc.

66,176

3,164

MTU Aero Engines Holdings AG

9,974

679

Precision Castparts Corp.

22,335

3,660

Safran SA

38,962

1,513

Textron, Inc.

76,312

1,287

The Boeing Co.

64,683

4,325

United Technologies Corp.

86,846

6,448

 

25,122

Air Freight & Logistics - 0.1%

C.H. Robinson Worldwide, Inc.

15,434

1,088

Building Products - 0.2%

Armstrong World Industries, Inc.

16,644

670

Lennox International, Inc.

17,533

547

Owens Corning (a)

42,544

1,236

 

2,453

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Commercial Services & Supplies - 0.3%

Republic Services, Inc.

67,459

$ 2,048

Stericycle, Inc. (a)

12,978

1,138

Swisher Hygiene, Inc.

78,700

352

 

3,538

Construction & Engineering - 0.2%

Fluor Corp.

21,400

1,299

Foster Wheeler AG (a)

40,100

984

 

2,283

Electrical Equipment - 0.7%

Acuity Brands, Inc.

17,725

816

Alstom SA

26,953

1,252

Cooper Industries PLC Class A

21,420

1,015

Emerson Electric Co.

40,018

1,863

GrafTech International Ltd. (a)

48,367

759

Regal-Beloit Corp.

29,665

1,744

 

7,449

Industrial Conglomerates - 1.0%

Danaher Corp.

66,365

3,040

General Electric Co.

339,301

5,534

Tyco International Ltd.

36,942

1,536

 

10,110

Machinery - 0.5%

Caterpillar, Inc.

10,537

959

Cummins, Inc.

17,611

1,636

Fanuc Corp.

4,700

782

Pall Corp.

11,900

608

Vallourec SA (f)

6,683

602

 

4,587

Professional Services - 0.1%

CoStar Group, Inc. (a)

10,686

547

Road & Rail - 0.7%

CSX Corp.

138,116

3,030

Union Pacific Corp.

47,068

4,338

 

7,368

TOTAL INDUSTRIALS

64,545

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - 11.2%

Communications Equipment - 1.2%

Ciena Corp. (a)

35,539

$ 435

Meru Networks, Inc. (a)

9,366

86

Nokia Corp. sponsored ADR (f)

97,100

625

QUALCOMM, Inc.

215,544

11,092

 

12,238

Computers & Peripherals - 3.4%

Apple, Inc. (a)

74,199

28,551

Dell, Inc. (a)

84,646

1,258

EMC Corp. (a)

166,988

3,772

Imagination Technologies Group PLC (a)

9,369

54

SanDisk Corp. (a)

30,734

1,126

 

34,761

Electronic Equipment & Components - 0.0%

TPK Holdings Co.

1,550

38

Internet Software & Services - 1.6%

Baidu.com, Inc. sponsored ADR (a)

22,095

3,221

Dice Holdings, Inc. (a)

42,670

431

Google, Inc. Class A (a)

21,439

11,598

Mail.ru Group Ltd. GDR (a)(g)

16,400

590

Renren, Inc. ADR (f)

56,400

414

WebMD Health Corp. (a)

13,057

461

 

16,715

IT Services - 0.6%

Accenture PLC Class A

62,482

3,348

Cognizant Technology Solutions Corp. Class A (a)

13,608

863

MasterCard, Inc. Class A

2,100

692

Visa, Inc. Class A

8,193

720

 

5,623

Semiconductors & Semiconductor Equipment - 2.1%

Analog Devices, Inc.

112,232

3,706

ARM Holdings PLC sponsored ADR

66,832

1,843

ASAT Holdings Ltd. (a)

6,352

0

ASML Holding NV

60,045

2,118

Avago Technologies Ltd.

62,498

2,069

Inotera Memories, Inc. (a)

1,523,205

351

International Rectifier Corp. (a)

29,352

669

Intersil Corp. Class A

94,261

1,059

KLA-Tencor Corp.

18,624

683

Lam Research Corp. (a)

10,871

404

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Marvell Technology Group Ltd. (a)

237,697

$ 3,126

Micron Technology, Inc. (a)

599,189

3,541

Nanya Technology Corp. (a)

597,799

108

Omnivision Technologies, Inc. (a)

5,820

107

RF Micro Devices, Inc. (a)

45,340

282

Skyworks Solutions, Inc. (a)

36,888

761

TriQuint Semiconductor, Inc. (a)

26,455

201

 

21,028

Software - 2.3%

Ariba, Inc. (a)

46,732

1,268

Check Point Software Technologies Ltd. (a)

79,694

4,339

Intuit, Inc.

22,114

1,091

Microsoft Corp.

553,490

14,723

Nuance Communications, Inc. (a)

37,705

700

Oracle Corp.

31,463

883

QLIK Technologies, Inc. (a)

3,470

88

 

23,092

TOTAL INFORMATION TECHNOLOGY

113,495

MATERIALS - 1.8%

Chemicals - 1.2%

Albemarle Corp.

11,933

605

Ashland, Inc.

23,760

1,260

Celanese Corp. Class A

28,100

1,321

CF Industries Holdings, Inc.

7,500

1,371

Dow Chemical Co.

27,091

771

LyondellBasell Industries NV Class A

36,006

1,248

Monsanto Co.

30,469

2,100

Praxair, Inc.

18,800

1,852

The Mosaic Co.

19,525

1,389

W.R. Grace & Co. (a)

7,700

304

 

12,221

Containers & Packaging - 0.2%

Ball Corp.

37,600

1,351

Rock-Tenn Co. Class A

13,900

746

 

2,097

Metals & Mining - 0.4%

Anglo American PLC (United Kingdom)

62,551

2,608

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Metals & Mining - continued

Reliance Steel & Aluminum Co.

21,483

$ 890

Walter Energy, Inc.

10,796

882

 

4,380

TOTAL MATERIALS

18,698

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 0.7%

CenturyLink, Inc.

153,288

5,541

Verizon Communications, Inc.

51,986

1,880

 

7,421

Wireless Telecommunication Services - 0.5%

American Tower Corp. Class A (a)

69,144

3,724

MetroPCS Communications, Inc. (a)

47,727

533

Sprint Nextel Corp. (a)

158,862

597

 

4,854

TOTAL TELECOMMUNICATION SERVICES

12,275

UTILITIES - 2.1%

Electric Utilities - 1.1%

Edison International

75,010

2,790

Exelon Corp.

47,556

2,051

FirstEnergy Corp.

49,873

2,207

NextEra Energy, Inc.

65,633

3,723

 

10,771

Independent Power Producers & Energy Traders - 0.4%

Constellation Energy Group, Inc.

61,006

2,348

NRG Energy, Inc. (a)

31,902

748

The AES Corp. (a)

126,887

1,378

 

4,474

Multi-Utilities - 0.6%

Dominion Resources, Inc.

6,200

302

PG&E Corp.

33,652

1,425

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Multi-Utilities - continued

Public Service Enterprise Group, Inc.

64,879

$ 2,214

Sempra Energy

39,650

2,082

 

6,023

TOTAL UTILITIES

21,268

TOTAL COMMON STOCKS

(Cost $553,599)

583,000

Preferred Stocks - 0.1%

 

 

 

 

Convertible Preferred Stocks - 0.0%

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

ASAT Holdings Ltd. 13.00% (a)

173

0

Nonconvertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

Volkswagen AG

6,280

1,046

TOTAL PREFERRED STOCKS

(Cost $1,115)

1,046

Nonconvertible Bonds - 7.7%

 

Principal Amount (000s)

 

CONSUMER DISCRETIONARY - 0.7%

Auto Components - 0.0%

DaimlerChrysler NA Holding Corp. 5.75% 9/8/11

$ 45

45

Household Durables - 0.1%

Fortune Brands, Inc.:

5.375% 1/15/16

4

4

5.875% 1/15/36

169

173

6.375% 6/15/14

369

412

 

589

Media - 0.6%

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

500

613

Comcast Corp.:

4.95% 6/15/16

15

17

5.15% 3/1/20

14

16

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Comcast Corp.: - continued

5.7% 5/15/18

$ 515

$ 596

6.4% 3/1/40

487

552

6.45% 3/15/37

238

264

Discovery Communications LLC:

3.7% 6/1/15

260

278

6.35% 6/1/40

236

266

NBCUniversal Media LLC:

3.65% 4/30/15

137

145

5.15% 4/30/20

431

477

6.4% 4/30/40

309

349

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

510

601

News America, Inc.:

6.15% 3/1/37

235

245

6.15% 2/15/41

218

227

Time Warner Cable, Inc.:

5.4% 7/2/12

19

20

5.85% 5/1/17

363

409

6.2% 7/1/13

18

20

6.75% 7/1/18

439

517

Time Warner, Inc.:

3.15% 7/15/15

9

9

5.875% 11/15/16

12

14

6.5% 11/15/36

232

259

Viacom, Inc.:

3.5% 4/1/17

583

603

6.75% 10/5/37

105

122

 

6,619

Specialty Retail - 0.0%

Staples, Inc. 7.375% 10/1/12

18

19

TOTAL CONSUMER DISCRETIONARY

7,272

CONSUMER STAPLES - 0.4%

Beverages - 0.1%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13

4

4

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Anheuser-Busch InBev Worldwide, Inc.: - continued

5.375% 11/15/14

$ 358

$ 404

FBG Finance Ltd. 5.125% 6/15/15 (g)

23

25

 

433

Food & Staples Retailing - 0.0%

CVS Caremark Corp. 4.125% 5/15/21

136

138

Food Products - 0.1%

Kraft Foods, Inc.:

5.375% 2/10/20

387

439

5.625% 11/1/11

4

4

6.125% 2/1/18

416

492

6.5% 8/11/17

375

453

 

1,388

Tobacco - 0.2%

Altria Group, Inc.:

8.5% 11/10/13

11

13

9.7% 11/10/18

962

1,270

Philip Morris International, Inc. 4.875% 5/16/13

291

310

Reynolds American, Inc.:

6.75% 6/15/17

23

27

7.25% 6/15/37

409

456

 

2,076

TOTAL CONSUMER STAPLES

4,035

ENERGY - 1.1%

Energy Equipment & Services - 0.1%

DCP Midstream LLC 5.35% 3/15/20 (g)

327

360

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

371

390

6.5% 4/1/20

24

27

Noble Holding International Ltd. 3.45% 8/1/15

20

21

Weatherford International Ltd.:

4.95% 10/15/13

14

15

5.15% 3/15/13

18

19

 

832

Oil, Gas & Consumable Fuels - 1.0%

Anadarko Petroleum Corp.:

5.95% 9/15/16

16

18

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Anadarko Petroleum Corp.: - continued

6.375% 9/15/17

$ 673

$ 777

Canadian Natural Resources Ltd.:

5.15% 2/1/13

36

38

5.7% 5/15/17

9

11

Duke Energy Field Services:

5.375% 10/15/15 (g)

10

11

6.45% 11/3/36 (g)

375

423

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

7

8

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

23

25

Enterprise Products Operating LP 5.6% 10/15/14

16

18

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

31

32

Gulfstream Natural Gas System LLC 6.95% 6/1/16 (g)

7

8

Marathon Petroleum Corp. 5.125% 3/1/21 (g)

215

229

Midcontinent Express Pipeline LLC 5.45% 9/15/14 (g)

357

384

Motiva Enterprises LLC:

5.75% 1/15/20 (g)

156

181

6.85% 1/15/40 (g)

223

284

Nakilat, Inc. 6.067% 12/31/33 (g)

279

301

Nexen, Inc.:

5.2% 3/10/15

7

8

5.875% 3/10/35

355

335

6.2% 7/30/19

19

22

6.4% 5/15/37

290

298

NGPL PipeCo LLC 6.514% 12/15/12 (g)

273

282

Pemex Project Funding Master Trust 0.8529% 12/3/12 (g)(n)

200

200

Petro-Canada:

6.05% 5/15/18

150

174

6.8% 5/15/38

395

462

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

354

363

5.75% 1/20/20

606

657

7.875% 3/15/19

399

485

Petroleos Mexicanos:

5.5% 1/21/21 (g)

369

401

6% 3/5/20

21

24

Plains All American Pipeline LP/PAA Finance Corp.:

3.95% 9/15/15

202

214

4.25% 9/1/12

16

17

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Plains All American Pipeline LP/PAA Finance Corp.: - continued

5% 2/1/21

$ 117

$ 124

6.125% 1/15/17

205

235

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

14

16

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (g)

250

259

5.5% 9/30/14 (g)

250

276

6.332% 9/30/27 (g)

380

425

6.75% 9/30/19 (g)

250

300

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

22

24

Spectra Energy Capital, LLC 5.65% 3/1/20

10

11

Spectra Energy Partners, LP:

2.95% 6/15/16

69

71

4.6% 6/15/21

90

93

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

395

458

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

326

390

Western Gas Partners LP 5.375% 6/1/21

393

414

XTO Energy, Inc. 4.9% 2/1/14

9

10

 

9,796

TOTAL ENERGY

10,628

FINANCIALS - 3.8%

Capital Markets - 0.7%

Bear Stearns Companies, Inc. 5.3% 10/30/15

17

18

BlackRock, Inc. 4.25% 5/24/21

165

168

Goldman Sachs Group, Inc.:

3.7% 8/1/15

350

354

5.25% 7/27/21

156

158

5.625% 1/15/17

500

518

5.95% 1/18/18

32

34

6% 6/15/20

600

640

6.15% 4/1/18

36

38

6.75% 10/1/37

187

177

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

19

19

JPMorgan Chase Capital XX 6.55% 9/29/36

235

233

JPMorgan Chase Capital XXV 6.8% 10/1/37

1,000

993

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Lazard Group LLC:

6.85% 6/15/17

$ 31

$ 35

7.125% 5/15/15

11

12

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

160

164

6.4% 8/28/17

61

62

Morgan Stanley:

4.75% 4/1/14

335

340

5.5% 7/28/21

359

358

6% 5/13/14

1,998

2,097

6.625% 4/1/18

600

642

Northern Trust Corp. 3.375% 8/23/21

92

92

 

7,152

Commercial Banks - 0.6%

Bank of America NA 5.3% 3/15/17

800

783

Credit Suisse New York Branch 6% 2/15/18

632

665

Discover Bank 8.7% 11/18/19

445

524

Fifth Third Bancorp:

3.625% 1/25/16

206

209

8.25% 3/1/38

94

106

Fifth Third Bank 4.75% 2/1/15

250

267

Fifth Third Capital Trust IV 6.5% 4/15/67 (n)

233

216

HBOS PLC 6.75% 5/21/18 (g)

180

166

Huntington Bancshares, Inc. 7% 12/15/20

97

111

JPMorgan Chase Bank 6% 10/1/17

250

280

KeyBank NA:

5.45% 3/3/16

294

319

5.8% 7/1/14

322

352

KeyCorp. 5.1% 3/24/21

192

196

Marshall & Ilsley Bank:

5% 1/17/17

231

248

5.25% 9/4/12

112

115

Regions Bank:

6.45% 6/26/37

402

343

7.5% 5/15/18

282

275

Regions Financial Corp.:

0.4165% 6/26/12 (n)

11

11

5.75% 6/15/15

73

69

7.75% 11/10/14

229

227

SunTrust Banks, Inc. 3.6% 4/15/16

327

328

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

UnionBanCal Corp. 5.25% 12/16/13

$ 5

$ 5

Wachovia Corp. 5.625% 10/15/16

27

30

Wells Fargo & Co.:

3.625% 4/15/15

218

228

3.676% 6/15/16

160

169

 

6,242

Consumer Finance - 0.4%

Capital One Financial Corp. 5.7% 9/15/11

193

193

Discover Financial Services:

6.45% 6/12/17

1,019

1,146

10.25% 7/15/19

19

25

General Electric Capital Corp.:

2.25% 11/9/15

633

636

2.95% 5/9/16

185

187

3.5% 6/29/15

192

201

6% 8/7/19

1,000

1,124

6.375% 11/15/67 (n)

500

495

Household Finance Corp. 6.375% 10/15/11

15

15

 

4,022

Diversified Financial Services - 0.6%

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

1,060

1,101

BP Capital Markets PLC:

3.125% 10/1/15

370

387

3.625% 5/8/14

23

24

4.5% 10/1/20

21

23

4.742% 3/11/21

300

328

Capital One Capital V 10.25% 8/15/39

178

185

Citigroup, Inc.:

3.953% 6/15/16

397

405

4.75% 5/19/15

1,151

1,200

5.5% 4/11/13

120

125

6.125% 5/15/18

590

644

6.5% 8/19/13

164

174

JPMorgan Chase & Co.:

3.15% 7/5/16

430

439

3.4% 6/24/15

21

22

4.95% 3/25/20

661

704

Prime Property Funding, Inc.:

5.125% 6/1/15 (g)

57

60

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Diversified Financial Services - continued

Prime Property Funding, Inc.: - continued

5.5% 1/15/14 (g)

$ 6

$ 6

5.7% 4/15/17 (g)

13

14

TECO Finance, Inc.:

4% 3/15/16

96

103

5.15% 3/15/20

141

157

 

6,101

Insurance - 0.6%

Allstate Corp. 6.2% 5/16/14

264

299

Aon Corp.:

3.125% 5/27/16

339

339

3.5% 9/30/15

151

157

5% 9/30/20

170

183

6.25% 9/30/40

110

121

Assurant, Inc. 5.625% 2/15/14

15

16

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

12

11

Hartford Financial Services Group, Inc. 5.375% 3/15/17

6

6

Liberty Mutual Group, Inc.:

5% 6/1/21 (g)

394

384

6.5% 3/15/35 (g)

327

316

Marsh & McLennan Companies, Inc. 4.8% 7/15/21

233

238

MetLife, Inc.:

2.375% 2/6/14

201

205

4.75% 2/8/21

137

144

5.875% 2/6/41

106

113

6.75% 6/1/16

290

340

Metropolitan Life Global Funding I 5.125% 6/10/14 (g)

255

278

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

18

19

New York Life Insurance Co. 6.75% 11/15/39 (g)

130

153

Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (g)

207

227

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

28

30

Pacific Life Insurance Co. 9.25% 6/15/39 (g)

203

268

Pacific LifeCorp 6% 2/10/20 (g)

230

257

Prudential Financial, Inc.:

3.625% 9/17/12

500

512

4.75% 9/17/15

500

535

5.15% 1/15/13

26

27

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

Prudential Financial, Inc.: - continued

7.375% 6/15/19

$ 120

$ 143

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

10

9

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

38

40

The Chubb Corp. 5.75% 5/15/18

160

187

Unum Group:

5.625% 9/15/20

199

217

7.125% 9/30/16

19

22

 

5,796

Real Estate Investment Trusts - 0.2%

AvalonBay Communities, Inc. 5.5% 1/15/12

10

10

BRE Properties, Inc. 5.5% 3/15/17

21

23

Developers Diversified Realty Corp.:

4.75% 4/15/18

261

248

5.375% 10/15/12

133

135

7.5% 4/1/17

203

226

Duke Realty LP 4.625% 5/15/13

5

5

Equity One, Inc.:

5.375% 10/15/15

47

50

6.25% 12/15/14

947

1,017

Federal Realty Investment Trust:

5.9% 4/1/20

95

103

6% 7/15/12

23

24

HRPT Properties Trust 5.75% 11/1/15

50

54

UDR, Inc. 5.5% 4/1/14

498

533

Washington (REIT) 5.25% 1/15/14

10

11

 

2,439

Real Estate Management & Development - 0.6%

Arden Realty LP 5.2% 9/1/11

11

11

BioMed Realty LP:

3.85% 4/15/16

390

393

6.125% 4/15/20

126

136

Brandywine Operating Partnership LP:

5.7% 5/1/17

1,000

1,046

5.75% 4/1/12

39

40

Digital Realty Trust LP:

4.5% 7/15/15

172

178

5.25% 3/15/21

201

201

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

Duke Realty LP:

5.4% 8/15/14

$ 221

$ 234

5.95% 2/15/17

57

62

6.25% 5/15/13

285

301

6.5% 1/15/18

285

310

6.75% 3/15/20

12

13

8.25% 8/15/19

127

149

ERP Operating LP:

4.75% 7/15/20

265

275

5.375% 8/1/16

117

130

5.5% 10/1/12

139

145

5.75% 6/15/17

567

641

Liberty Property LP:

4.75% 10/1/20

394

402

5.125% 3/2/15

7

8

5.5% 12/15/16

12

13

6.625% 10/1/17

281

331

Mack-Cali Realty LP 7.75% 8/15/19

23

29

Simon Property Group LP 4.2% 2/1/15

138

147

Tanger Properties LP:

6.125% 6/1/20

355

401

6.15% 11/15/15

33

37

 

5,633

Thrifts & Mortgage Finance - 0.1%

Bank of America Corp.:

3.75% 7/12/16

410

405

5.65% 5/1/18

205

209

6.5% 8/1/16

300

322

First Niagara Financial Group, Inc. 6.75% 3/19/20

293

325

 

1,261

TOTAL FINANCIALS

38,646

HEALTH CARE - 0.1%

Biotechnology - 0.0%

Celgene Corp. 2.45% 10/15/15

20

20

Health Care Providers & Services - 0.1%

Express Scripts, Inc.:

3.125% 5/15/16

357

365

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

Express Scripts, Inc.: - continued

5.25% 6/15/12

$ 267

$ 276

6.25% 6/15/14

98

109

Medco Health Solutions, Inc.:

2.75% 9/15/15

38

39

4.125% 9/15/20

259

260

 

1,049

Pharmaceuticals - 0.0%

Watson Pharmaceuticals, Inc. 5% 8/15/14

23

25

TOTAL HEALTH CARE

1,094

INDUSTRIALS - 0.0%

Aerospace & Defense - 0.0%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (g)

18

19

6.375% 6/1/19 (g)

309

362

 

381

Airlines - 0.0%

Continental Airlines, Inc.:

6.648% 3/15/19

21

21

6.9% 7/2/19

6

6

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

12

12

8.36% 1/20/19

9

9

 

48

TOTAL INDUSTRIALS

429

INFORMATION TECHNOLOGY - 0.1%

Electronic Equipment & Components - 0.1%

Tyco Electronics Group SA:

5.95% 1/15/14

28

31

6% 10/1/12

788

832

 

863

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INFORMATION TECHNOLOGY - continued

Office Electronics - 0.0%

Xerox Corp.:

4.25% 2/15/15

$ 12

$ 13

5.5% 5/15/12

13

13

 

26

TOTAL INFORMATION TECHNOLOGY

889

MATERIALS - 0.2%

Chemicals - 0.1%

Dow Chemical Co.:

4.85% 8/15/12

425

441

7.6% 5/15/14

501

577

 

1,018

Construction Materials - 0.0%

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

15

17

Metals & Mining - 0.1%

Anglo American Capital PLC 9.375% 4/8/14 (g)

211

249

ArcelorMittal SA 3.75% 3/1/16

103

102

United States Steel Corp. 6.65% 6/1/37

232

189

Vale Overseas Ltd. 6.25% 1/23/17

503

571

 

1,111

TOTAL MATERIALS

2,146

TELECOMMUNICATION SERVICES - 0.5%

Diversified Telecommunication Services - 0.4%

AT&T, Inc.:

2.5% 8/15/15

922

944

6.3% 1/15/38

398

444

CenturyLink, Inc.:

6.15% 9/15/19

164

162

6.45% 6/15/21

433

421

7.6% 9/15/39

77

71

Embarq Corp. 7.995% 6/1/36

145

138

Sprint Capital Corp. 6.875% 11/15/28

370

331

Telefonica Emisiones SAU:

5.134% 4/27/20

380

361

5.462% 2/16/21

242

234

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Verizon Communications, Inc.:

6.25% 4/1/37

$ 187

$ 212

6.9% 4/15/38

260

316

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

21

22

 

3,656

Wireless Telecommunication Services - 0.1%

America Movil SAB de CV 2.375% 9/8/16 (i)

276

274

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

385

423

5.875% 10/1/19

440

507

6.35% 3/15/40

131

143

Sprint Nextel Corp. 6% 12/1/16

105

101

Vodafone Group PLC 5% 12/16/13

18

20

 

1,468

TOTAL TELECOMMUNICATION SERVICES

5,124

UTILITIES - 0.8%

Electric Utilities - 0.5%

Alabama Power Co. 3.375% 10/1/20

202

210

Ameren Illinois Co. 6.125% 11/15/17

165

195

AmerenUE 6.4% 6/15/17

24

29

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

33

36

Commonwealth Edison Co. 1.625% 1/15/14

464

468

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (g)

266

269

6.4% 9/15/20 (g)

555

581

Edison International 3.75% 9/15/17

226

234

EDP Finance BV:

4.9% 10/1/19 (g)

100

79

6% 2/2/18 (g)

247

207

FirstEnergy Corp. 7.375% 11/15/31

449

521

FirstEnergy Solutions Corp.:

4.8% 2/15/15

92

100

6.05% 8/15/21

317

347

LG&E and KU Energy LLC:

2.125% 11/15/15

255

253

3.75% 11/15/20

49

48

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Nevada Power Co.:

6.5% 5/15/18

$ 165

$ 198

6.5% 8/1/18

12

14

Pepco Holdings, Inc. 2.7% 10/1/15

240

245

Progress Energy, Inc.:

4.4% 1/15/21

419

445

6% 12/1/39

260

293

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

12

13

 

4,785

Gas Utilities - 0.0%

Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21 (g)

122

127

Independent Power Producers & Energy Traders - 0.1%

Duke Capital LLC 5.668% 8/15/14

16

18

Exelon Generation Co. LLC 4% 10/1/20

628

624

PPL Energy Supply LLC 6.5% 5/1/18

310

366

 

1,008

Multi-Utilities - 0.2%

Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40

136

156

Dominion Resources, Inc.:

6.3% 9/30/66 (n)

26

25

7.5% 6/30/66 (n)

26

27

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

19

20

6.5% 9/15/37

181

217

National Grid PLC 6.3% 8/1/16

183

213

NiSource Finance Corp.:

5.4% 7/15/14

11

12

5.45% 9/15/20

148

166

5.95% 6/15/41

396

404

6.25% 12/15/40

81

89

6.4% 3/15/18

11

13

6.8% 1/15/19

677

809

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Multi-Utilities - continued

San Diego Gas & Electric Co. 3% 8/15/21

$ 102

$ 102

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

21

21

 

2,274

TOTAL UTILITIES

8,194

TOTAL NONCONVERTIBLE BONDS

(Cost $72,810)

78,457

U.S. Government and Government Agency Obligations - 11.4%

 

U.S. Government Agency Obligations - 1.0%

Fannie Mae:

0.375% 12/28/12

540

541

0.5% 8/9/13

3,050

3,058

0.75% 2/26/13

164

165

1.125% 6/27/14

130

132

1.75% 2/22/13

2,658

2,713

5% 2/16/12

270

276

Freddie Mac:

0.75% 3/28/13

98

99

1% 7/30/14

1,270

1,288

1% 8/27/14

644

653

1.125% 7/27/12

60

60

1.75% 6/15/12

488

494

2.125% 3/23/12

21

21

Tennessee Valley Authority 5.375% 4/1/56

405

495

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

9,995

U.S. Treasury Inflation Protected Obligations - 1.5%

U.S. Treasury Inflation-Indexed Bonds:

2.125% 2/15/40

2,559

3,142

2.125% 2/15/41

258

318

2.5% 1/15/29

1,051

1,339

U.S. Treasury Inflation-Indexed Notes:

1.125% 1/15/21

3,643

3,992

1.375% 1/15/20

5,496

6,160

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

14,951

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - 8.9%

U.S. Treasury Bills, yield at date of purchase 0% to 0.05% 9/8/11 to 9/15/11 (k)

$ 530

$ 530

U.S. Treasury Bonds 4.375% 5/15/41

12,759

14,565

U.S. Treasury Notes:

0.5% 8/15/14

1,320

1,327

0.625% 7/15/14

1,992

2,010

0.75% 6/15/14

287

291

1% 8/31/16

849

850

1.25% 8/31/15

289

296

1.5% 7/31/16

3,363

3,454

1.875% 9/30/17

79

82

2.125% 8/15/21

940

931

2.375% 8/31/14

20,000

21,209

2.375% 9/30/14

5,000

5,307

2.375% 2/28/15

10,643

11,344

2.625% 7/31/14

6,880

7,338

3.125% 5/15/19

5,000

5,516

3.125% 5/15/21

14,658

15,854

TOTAL U.S. TREASURY OBLIGATIONS

90,904

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $107,608)

115,850

U.S. Government Agency - Mortgage Securities - 7.4%

 

Fannie Mae - 5.9%

2.303% 6/1/36 (n)

10

10

2.636% 7/1/37 (n)

33

35

3% 10/1/26 (i)

1,000

1,023

3.5% 10/1/40 to 4/1/41 (j)

2,378

2,397

4% 5/1/26 to 7/1/41

6,245

6,489

4% 9/1/41 (i)(j)

1,000

1,036

4% 9/1/41 (i)(j)

8,000

8,291

4% 9/1/41 (i)(j)

1,000

1,036

4% 9/1/41 (i)(j)

4,000

4,146

4% 9/1/41 (i)(j)

1,000

1,036

4.5% 9/1/26 (i)

100

107

4.5% 6/1/40 to 7/1/41

6,084

6,454

4.5% 9/1/41 (i)(j)

1,000

1,057

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

4.5% 9/1/41 (i)(j)

$ 1,000

$ 1,057

4.5% 9/1/41 (i)(j)

4,000

4,229

4.5% 9/1/41 (i)(j)

1,000

1,057

4.5% 9/1/41 (i)

1,000

1,057

5% 8/1/34 to 8/1/40

2,956

3,196

5% 9/1/41 (i)(j)

1,000

1,077

5% 9/1/41 (i)(j)

500

539

5% 9/1/41 (i)(j)

500

539

5.5% 11/1/33 to 9/1/38 (i)

3,968

4,358

5.5% 9/1/41 (i)(j)

2,000

2,186

5.5% 9/1/41 (i)(j)

1,000

1,093

5.5% 9/1/41 (i)(j)

1,000

1,093

5.5% 9/1/41 (i)(j)

1,000

1,093

6% 11/1/35 to 7/1/38

3,535

3,925

6% 9/1/41 (i)

400

443

TOTAL FANNIE MAE

60,059

Freddie Mac - 1.0%

3.261% 10/1/35 (n)

28

30

4.5% 7/1/39 to 2/1/41 (i)

2,968

3,137

4.5% 9/1/41 (i)(j)

1,000

1,055

4.5% 9/1/41 (i)(j)

500

528

5% 7/1/40 to 11/1/40

2,318

2,498

5.5% 10/1/38 to 11/1/38

2,696

2,941

TOTAL FREDDIE MAC

10,189

Ginnie Mae - 0.5%

3.5% 1/15/41

599

613

4% 9/1/41 (i)

1,000

1,058

4.5% 3/15/39 to 3/20/41

1,991

2,158

5% 12/15/39 to 8/15/40

954

1,056

TOTAL GINNIE MAE

4,885

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $74,295)

75,133

Asset-Backed Securities - 0.9%

 

Principal Amount (000s)

Value (000s)

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6884% 4/25/35 (n)

$ 65

$ 43

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1 Class M1, 0.9684% 3/25/34 (n)

0*

0*

Series 2005-HE2 Class M2, 0.6684% 4/25/35 (n)

6

6

Series 2006-OP1 Class M4, 0.5884% 4/25/36 (n)

5

0*

Advanta Business Card Master Trust Series 2006-C1 Class C1, 0.6758% 10/20/14 (n)

23

0*

Ally Auto Receivables Trust:

Series 2009-A:

Class A3, 2.33% 6/17/13 (g)

122

123

Class A4, 3% 10/15/15 (g)

160

165

Series 2010-5 Class A4, 1.75% 3/15/16

140

143

Series 2011-1 Class A4, 2.23% 3/15/16

630

651

Ally Master Owner Trust:

Series 2010-3 Class A, 2.88% 4/15/15 (g)

320

329

Series 2011-1 Class A2, 2.15% 1/15/16

310

316

Series 2011-3 Class A2, 1.81% 5/15/16

280

283

AmeriCredit Automobile Receivables Trust Series 2011-1 Class A3, 1.39% 9/8/15

260

261

AmeriCredit Prime Automobile Receivables Trust Series 2007-1 Class D, 5.62% 9/8/14

44

44

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.9184% 12/25/33 (n)

4

3

Series 2004-R2 Class M3, 0.7684% 4/25/34 (n)

6

2

Series 2005-R2 Class M1, 0.6684% 4/25/35 (n)

93

81

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9673% 3/25/34 (n)

2

1

Series 2004-W11 Class M2, 0.9184% 11/25/34 (n)

25

21

Series 2004-W7 Class M1, 0.7684% 5/25/34 (n)

27

19

Series 2006-W4 Class A2C, 0.3784% 5/25/36 (n)

61

16

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 1.0434% 4/25/34 (n)

120

93

Axon Financial Funding Ltd. 0.8458% 4/4/17 (d)(g)(n)

229

0

Bank of America Auto Trust Series 2009-1A Class A4, 3.52% 6/15/16 (g)

300

308

BMW Vehicle Lease Trust Series 2010-1 Class A3, 0.82% 4/15/13

490

490

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.2565% 12/25/24 (n)

66

57

C-BASS Trust Series 2006-CB7 Class A2, 0.2784% 10/25/36 (n)

0*

0*

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Capital Auto Receivables Trust Series 2007-2 Class A4A, 5.39% 2/18/14

$ 35

$ 35

Capital Trust Ltd. Series 2004-1:

Class A2, 0.663% 7/20/39 (g)(n)

13

9

Class B, 0.963% 7/20/39 (g)(n)

12

5

Class C, 1.313% 7/20/39 (g)(n)

15

1

Carmax Auto Owner Trust Series 2011-1 Class A3, 1.29% 9/15/15

290

293

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.5184% 7/25/36 (n)

52

3

Series 2007-RFC1 Class A3, 0.3584% 12/25/36 (n)

82

23

Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13

590

591

Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14

1,000

1,022

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

15

0

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.1884% 4/25/34 (n)

7

4

Series 2004-4 Class M2, 1.0134% 6/25/34 (n)

27

12

Series 2005-3 Class MV1, 0.6384% 8/25/35 (n)

26

25

Series 2005-AB1 Class A2, 0.4284% 8/25/35 (n)

2

2

CPS Auto Receivables Trust Series 2006-D Class A4, 5.115% 8/15/13 (FSA Insured) (g)

10

10

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.5908% 5/28/35 (n)

2

1

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3934% 8/25/34 (n)

13

8

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0434% 3/25/34 (n)

1

0*

Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.91% 7/15/13 (g)

490

491

Ford Credit Auto Owner Trust:

Series 2009-D:

Class A3, 2.17% 10/15/13

114

115

Class A4, 2.98% 8/15/14

200

206

Series 2010-B Class A3, 0.98% 10/15/14

330

331

Ford Credit Floorplan Master Owner Trust Series 2010-5 Class A1, 1.5% 9/15/15

340

343

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.7084% 1/25/35 (n)

43

17

Class M4, 0.8984% 1/25/35 (n)

16

4

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6918% 2/25/47 (g)(n)

106

63

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 58

$ 46

GE Business Loan Trust:

Series 2003-1 Class A, 0.6372% 4/15/31 (g)(n)

11

10

Series 2006-2A:

Class A, 0.3872% 11/15/34 (g)(n)

44

37

Class B, 0.4872% 11/15/34 (g)(n)

16

10

Class C, 0.5872% 11/15/34 (g)(n)

27

13

Class D, 0.9572% 11/15/34 (g)(n)

10

2

GSAMP Trust:

Series 2004-AR1 Class M1, 0.8684% 6/25/34 (n)

99

61

Series 2007-HE1 Class M1, 0.4684% 3/25/47 (n)

41

2

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3:

Class B, 0.6184% 9/25/46 (g)(n)

16

7

Class C, 0.7684% 9/25/46 (g)(n)

69

11

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.5084% 8/25/33 (n)

33

26

Series 2003-5 Class A2, 0.9184% 12/25/33 (n)

1

1

Series 2005-5 Class 2A2, 0.4684% 11/25/35 (n)

2

2

Series 2006-1 Class 2A3, 0.4434% 4/25/36 (n)

30

29

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.503% 3/20/36 (n)

30

25

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4084% 1/25/37 (n)

56

19

Hyundai Auto Receivables Trust Series 2009-A Class A3, 2.03% 8/15/13

131

132

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.3484% 11/25/36 (n)

56

44

Class MV1, 0.4484% 11/25/36 (n)

46

29

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.5765% 12/27/29 (n)

30

27

Series 2006-A Class 2C, 1.3965% 3/27/42 (n)

43

11

Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14 (FSA Insured)

22

22

Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.2984% 6/25/34 (n)

4

3

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (g)

1

1

Class C, 5.691% 10/20/28 (g)

0*

0*

Class D, 6.01% 10/20/28 (g)

4

4

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.4784% 10/25/36 (n)

20

1

Series 2007-HE1 Class M1, 0.5184% 5/25/37 (n)

36

1

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.1934% 7/25/34 (n)

$ 4

$ 3

Series 2006-FM1 Class A2B, 0.3284% 4/25/37 (n)

69

50

Series 2006-OPT1 Class A1A, 0.4784% 6/25/35 (n)

68

48

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5584% 8/25/34 (n)

3

2

Series 2005-NC1 Class M1, 0.6584% 1/25/35 (n)

18

12

Series 2005-NC2 Class B1, 1.3884% 3/25/35 (n)

19

2

National Collegiate Student Loan Trust:

Series 2004-2 Class A, 9.75% 10/27/14 (p)

112

10

Series 2006-4:

Class A1, 0.2484% 3/25/25 (n)

0*

0*

Class D, 1.3184% 5/25/32 (n)

32

0*

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.7284% 9/25/35 (n)

65

35

Series 2005-D Class M2, 0.6884% 2/25/36 (n)

13

3

Nissan Auto Lease Trust Series 2009-B Class A3, 2.07% 1/15/15

60

60

Nissan Auto Receivables Owner Trust Series 2010-A Class A4, 1.31% 9/15/16

200

202

Ocala Funding LLC:

Series 2005-1A Class A, 1.713% 3/20/10 (d)(g)(n)

25

0

Series 2006-1A Class A, 1.613% 3/20/11 (d)(g)(n)

53

0

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.3084% 5/25/37 (n)

1

1

Series 2007-6 Class 2A1, 0.2784% 7/25/37 (n)

3

3

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.4684% 9/25/34 (n)

24

14

Class M4, 1.6684% 9/25/34 (n)

31

13

Series 2005-WCH1:

Class M2, 0.7384% 1/25/36 (n)

35

32

Class M3, 0.7784% 1/25/36 (n)

22

14

Class M4, 1.0484% 1/25/36 (n)

67

34

Series 2005-WHQ2 Class M7, 1.4684% 5/25/35 (n)

79

1

Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.4484% 12/25/36 (n)

22

0*

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.2884% 2/25/37 (n)

0*

0*

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0184% 4/25/33 (n)

0*

0*

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0134% 3/25/35 (n)

65

51

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3363% 3/20/19 (FGIC Insured) (g)(n)

$ 23

$ 22

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.197% 6/15/33 (n)

57

26

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9434% 9/25/34 (n)

3

2

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0784% 9/25/34 (n)

1

1

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8058% 4/6/42 (g)(n)

59

4

Volkswagen Auto Lease Trust Series 2010-A Class A3, 0.99% 11/20/13

370

371

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

40

0

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

0*

0

Whinstone Capital Management Ltd. Series 1A Class B3, 2.053% 10/25/44 (g)(n)

81

45

TOTAL ASSET-BACKED SECURITIES

(Cost $8,373)

8,706

Collateralized Mortgage Obligations - 0.3%

 

Private Sponsor - 0.3%

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6565% 4/10/49 (n)

4

2

Class C, 5.6565% 4/10/49 (n)

11

4

Class D, 5.6565% 4/10/49 (n)

6

2

Banc of America Mortgage Securities, Inc.:

Series 2003-L Class 2A1, 2.9045% 1/25/34 (n)

22

19

Series 2004-1 Class 2A2, 3.2303% 10/25/34 (n)

35

30

Series 2004-A Class 2A2, 2.8478% 2/25/34 (n)

30

26

Series 2004-B:

Class 1A1, 2.7465% 3/25/34 (n)

3

2

Class 2A2, 2.8677% 3/25/34 (n)

12

11

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7784% 1/25/35 (n)

93

70

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 2.8968% 2/25/37 (n)

55

49

Series 2007-A2 Class 2A1, 3.0179% 7/25/37 (n)

12

11

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0737% 12/10/49 (n)

75

78

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.2809% 8/25/34 (n)

$ 47

$ 47

Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (n)

84

24

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7083% 7/16/34 (g)(n)

1

1

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.7846% 11/25/34 (n)

62

55

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.858% 10/25/34 (n)

51

46

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.7678% 11/20/56 (g)(n)

110

109

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 1.413% 12/20/54 (g)(n)

271

127

Series 2006-2 Class C1, 1.153% 12/20/54 (n)

242

113

Series 2006-3 Class C2, 0.713% 12/20/54 (n)

50

23

Series 2006-4:

Class B1, 0.303% 12/20/54 (n)

169

134

Class C1, 0.593% 12/20/54 (n)

103

48

Class M1, 0.383% 12/20/54 (n)

44

28

Series 2007-1:

Class 1C1, 0.813% 12/20/54 (n)

84

39

Class 1M1, 0.513% 12/20/54 (n)

54

35

Class 2C1, 1.173% 12/20/54 (n)

38

18

Class 2M1, 0.713% 12/20/54 (n)

70

45

Series 2007-2 Class 2C1, 0.6402% 12/17/54 (n)

97

45

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7013% 1/20/44 (n)

19

13

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 2.7323% 4/25/35 (n)

19

15

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (n)

1

1

Class A3, 5.447% 6/12/47 (n)

142

147

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.8639% 8/25/36 (n)

87

66

Series 2004-A3 Class 4A1, 2.7486% 7/25/34 (n)

57

55

Series 2004-A5 Class 2A1, 2.5513% 12/25/34 (n)

66

57

Series 2006-A2 Class 5A1, 2.9458% 11/25/33 (n)

152

139

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39

$ 34

$ 37

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4284% 5/25/47 (n)

41

26

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3884% 2/25/37 (n)

61

41

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.377% 6/15/22 (g)(n)

9

9

Class C, 0.397% 6/15/22 (g)(n)

58

54

Class D, 0.407% 6/15/22 (g)(n)

22

21

Class E, 0.417% 6/15/22 (g)(n)

35

33

Class F, 0.447% 6/15/22 (g)(n)

64

58

Class G, 0.517% 6/15/22 (g)(n)

13

12

Class H, 0.537% 6/15/22 (g)(n)

27

23

Class J, 0.577% 6/15/22 (g)(n)

31

27

Merrill Lynch Mortgage Investors Trust:

Series 2004-A4 Class A1, 2.6423% 8/25/34 (n)

79

75

Series 2005-A2 Class A7, 2.6224% 2/25/35 (n)

45

42

Series 2006-A6 Class A4, 3.1818% 10/25/33 (n)

50

45

Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (n)

321

334

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5084% 7/25/35 (n)

96

74

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5184% 3/25/37 (n)

111

5

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.6869% 10/25/35 (n)

168

134

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5558% 7/10/35 (g)(n)

33

26

Residential Asset Mortgage Products, Inc. sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31

7

7

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6684% 6/25/33 (g)(n)

9

8

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.275% 7/20/34 (n)

2

1

Structured Asset Securities Corp.:

Series 2003-15A Class 4A, 5.375% 4/25/33 (n)

24

22

Series 2003-20 Class 1A1, 5.5% 7/25/33

18

18

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.3873% 9/25/36 (n)

148

107

WaMu Mortgage pass-thru certificates:

Series 2003-AR8 Class A, 2.6863% 8/25/33 (n)

39

36

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

WaMu Mortgage pass-thru certificates: - continued

Series 2005-AR3 Class A2, 2.5791% 3/25/35 (n)

$ 108

$ 89

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 2.7571% 12/25/34 (n)

32

31

Series 2004-H Class A1, 2.7828% 6/25/34 (n)

56

53

Series 2004-W Class A9, 2.7617% 11/25/34 (n)

111

101

Series 2005-AR10 Class 2A2, 2.7607% 6/25/35 (n)

81

73

Series 2005-AR12 Class 2A6, 2.7552% 7/25/35 (n)

123

109

Series 2005-AR3 Class 2A1, 2.7804% 3/25/35 (n)

71

63

TOTAL PRIVATE SPONSOR

3,528

U.S. Government Agency - 0.0%

Fannie Mae subordinate REMIC pass-thru certificates planned amortization class Series 2002-9 Class PC, 6% 3/25/17

21

23

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $2,546)

3,551

Commercial Mortgage Securities - 2.6%

 

Asset Securitization Corp. Series 1997-D5:

Class A2, 6.8338% 2/14/43 (n)

55

57

Class A3, 6.8838% 2/14/43 (n)

60

63

Class A6, 7.2038% 2/14/43 (n)

88

92

Class PS1, 1.3868% 2/14/43 (n)(p)

211

4

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.7134% 5/10/45 (n)

84

89

Series 2006-5:

Class A2, 5.317% 9/10/47

255

256

Class A3, 5.39% 9/10/47

105

109

Series 2006-6 Class A3, 5.369% 10/10/45

150

157

Series 2007-4 Class A3, 5.798% 2/10/51 (n)

75

79

Series 2006-6 Class E, 5.619% 10/10/45 (g)

43

8

Series 2007-3:

Class A3, 5.6242% 6/10/49 (n)

125

131

Class A4, 5.6242% 6/10/49 (n)

156

164

Banc of America Commercial Mortgage, Inc.:

sequential payer:

Series 2001-1 Class A4, 5.451% 1/15/49

164

174

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Commercial Mortgage, Inc.: - continued

sequential payer: - continued

Series 2004-2:

Class A3, 4.05% 11/10/38

$ 12

$ 12

Class A4, 4.153% 11/10/38

95

98

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

66

66

Series 2007-1 Class A2, 5.381% 1/15/49

171

171

Series 2001-3 Class H, 6.562% 4/11/37 (g)

42

42

Series 2001-PB1:

Class J, 7.166% 5/11/35 (g)

19

19

Class K, 6.15% 5/11/35 (g)

35

35

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

233

244

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.5172% 3/15/22 (g)(n)

32

30

Class D, 0.5672% 3/15/22 (g)(n)

33

31

Class E, 0.6072% 3/15/22 (g)(n)

27

25

Class F, 0.6772% 3/15/22 (g)(n)

28

25

Class G, 0.7372% 3/15/22 (g)(n)

18

16

Series 2006-BIX1:

Class C, 0.3872% 10/15/19 (g)(n)

32

31

Class D, 0.4172% 10/15/19 (g)(n)

59

56

Class E, 0.4472% 10/15/19 (g)(n)

55

52

Class F, 0.5172% 10/15/19 (g)(n)

128

120

Class G, 0.5372% 10/15/19 (g)(n)

49

43

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.0684% 12/25/33 (g)(n)

3

2

Series 2004-1:

Class A, 0.5784% 4/25/34 (g)(n)

42

36

Class B, 2.1184% 4/25/34 (g)(n)

5

3

Class M1, 0.7784% 4/25/34 (g)(n)

4

3

Class M2, 1.4184% 4/25/34 (g)(n)

3

2

Series 2004-2:

Class A, 0.6484% 8/25/34 (g)(n)

33

27

Class M1, 0.7984% 8/25/34 (g)(n)

8

6

Series 2004-3:

Class A1, 0.5884% 1/25/35 (g)(n)

73

57

Class A2, 0.6384% 1/25/35 (g)(n)

10

8

Class M1, 0.7184% 1/25/35 (g)(n)

13

9

Class M2, 1.2184% 1/25/35 (g)(n)

8

5

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater: - continued

Series 2005-2A:

Class A1, 0.5284% 8/25/35 (g)(n)

$ 65

$ 51

Class M1, 0.6484% 8/25/35 (g)(n)

4

2

Class M2, 0.6984% 8/25/35 (g)(n)

6

3

Class M3, 0.7184% 8/25/35 (g)(n)

4

2

Class M4, 0.8284% 8/25/35 (g)(n)

3

2

Series 2005-3A:

Class A1, 0.5384% 11/25/35 (g)(n)

29

22

Class A2, 0.6184% 11/25/35 (g)(n)

24

18

Class M1, 0.6584% 11/25/35 (g)(n)

3

2

Class M2, 0.7084% 11/25/35 (g)(n)

4

2

Class M3, 0.7284% 11/25/35 (g)(n)

4

2

Class M4, 0.8184% 11/25/35 (g)(n)

5

2

Series 2005-4A:

Class A2, 0.6084% 1/25/36 (g)(n)

67

50

Class B1, 1.6184% 1/25/36 (g)(n)

6

1

Class M1, 0.6684% 1/25/36 (g)(n)

22

13

Class M2, 0.6884% 1/25/36 (g)(n)

6

3

Class M3, 0.7184% 1/25/36 (g)(n)

9

5

Class M4, 0.8284% 1/25/36 (g)(n)

5

2

Class M5, 0.8684% 1/25/36 (g)(n)

5

2

Class M6, 0.9184% 1/25/36 (g)(n)

6

2

Series 2006-1:

Class A2, 0.5784% 4/25/36 (g)(n)

10

8

Class M1, 0.5984% 4/25/36 (g)(n)

4

2

Class M2, 0.6184% 4/25/36 (g)(n)

4

2

Class M3, 0.6384% 4/25/36 (g)(n)

3

2

Class M4, 0.7384% 4/25/36 (g)(n)

2

1

Class M5, 0.7784% 4/25/36 (g)(n)

2

1

Class M6, 0.8584% 4/25/36 (g)(n)

4

1

Series 2006-2A:

Class A1, 0.4484% 7/25/36 (g)(n)

173

129

Class A2, 0.4984% 7/25/36 (g)(n)

9

7

Class B1, 1.0884% 7/25/36 (g)(n)

3

1

Class B3, 2.9184% 7/25/36 (g)(n)

5

1

Class M1, 0.5284% 7/25/36 (g)(n)

10

6

Class M2, 0.5484% 7/25/36 (g)(n)

7

4

Class M3, 0.5684% 7/25/36 (g)(n)

6

3

Class M4, 0.6384% 7/25/36 (g)(n)

4

2

Class M5, 0.6884% 7/25/36 (g)(n)

5

2

Class M6, 0.7584% 7/25/36 (g)(n)

7

3

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater: - continued

Series 2006-3A:

Class B1, 1.0184% 10/25/36 (g)(n)

$ 6

$ 1

Class B2, 1.5684% 10/25/36 (g)(n)

5

0*

Class B3, 2.8184% 10/25/36 (g)(n)

2

0*

Class M4, 0.6484% 10/25/36 (g)(n)

7

2

Class M5, 0.6984% 10/25/36 (g)(n)

8

2

Class M6, 0.7784% 10/25/36 (g)(n)

17

2

Series 2006-4A:

Class A1, 0.4484% 12/25/36 (g)(n)

30

21

Class A2, 0.4884% 12/25/36 (g)(n)

153

104

Class B1, 0.9184% 12/25/36 (g)(n)

5

1

Class B2, 1.4684% 12/25/36 (g)(n)

5

1

Class B3, 2.6684% 12/25/36 (g)(n)

8

1

Class M1, 0.5084% 12/25/36 (g)(n)

10

4

Class M2, 0.5284% 12/25/36 (g)(n)

6

2

Class M3, 0.5584% 12/25/36 (g)(n)

6

2

Class M4, 0.6184% 12/25/36 (g)(n)

8

2

Class M5, 0.6584% 12/25/36 (g)(n)

7

2

Class M6, 0.7384% 12/25/36 (g)(n)

6

1

Series 2007-1:

Class A2, 0.4884% 3/25/37 (g)(n)

34

22

Class B1, 0.8884% 3/25/37 (g)(n)

10

1

Class B2, 1.3684% 3/25/37 (g)(n)

7

1

Class B3, 3.5684% 3/25/37 (g)(n)

12

1

Class M1, 0.4884% 3/25/37 (g)(n)

9

3

Class M2, 0.5084% 3/25/37 (g)(n)

7

2

Class M3, 0.5384% 3/25/37 (g)(n)

6

2

Class M4, 0.5884% 3/25/37 (g)(n)

5

1

Class M5, 0.6384% 3/25/37 (g)(n)

8

2

Class M6, 0.7184% 3/25/37 (g)(n)

11

2

Series 2007-2A:

Class A1, 0.4884% 7/25/37 (g)(n)

31

22

Class A2, 0.5384% 7/25/37 (g)(n)

29

17

Class B1, 1.8184% 7/25/37 (g)(n)

9

1

Class B2, 2.4684% 7/25/37 (g)(n)

8

0*

Class B3, 3.5684% 7/25/37 (g)(n)

8

0*

Class M1, 0.5884% 7/25/37 (g)(n)

10

3

Class M2, 0.6284% 7/25/37 (g)(n)

5

1

Class M3, 0.7084% 7/25/37 (g)(n)

5

1

Class M4, 0.8684% 7/25/37 (g)(n)

11

2

Class M5, 0.9684% 7/25/37 (g)(n)

10

1

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-2A:

Class M6, 1.2184% 7/25/37 (g)(n)

$ 12

$ 1

Series 2007-3:

Class A2, 0.5084% 7/25/37 (g)(n)

38

23

Class B1, 1.1684% 7/25/37 (g)(n)

7

1

Class B2, 1.8184% 7/25/37 (g)(n)

19

2

Class B3, 4.2184% 7/25/37 (g)(n)

8

0*

Class M1, 0.5284% 7/25/37 (g)(n)

7

3

Class M2, 0.5584% 7/25/37 (g)(n)

7

2

Class M3, 0.5884% 7/25/37 (g)(n)

11

3

Class M4, 0.7184% 7/25/37 (g)(n)

18

4

Class M5, 0.8184% 7/25/37 (g)(n)

9

2

Class M6, 1.0184% 7/25/37 (g)(n)

7

1

Series 2007-4A:

Class B1, 2.7684% 9/25/37 (g)(n)

12

0*

Class B2, 3.6684% 9/25/37 (g)(n)

30

0*

Class M1, 1.1684% 9/25/37 (g)(n)

11

1

Class M2, 1.2684% 9/25/37 (g)(n)

11

1

Class M4, 1.8184% 9/25/37 (g)(n)

29

2

Class M5, 1.9684% 9/25/37 (g)(n)

29

1

Class M6, 2.1684% 9/25/37 (g)(n)

29

1

Series 2004-1 Class IO, 1.25% 4/25/34 (g)(p)

152

6

Series 2007-5A Class IO, 3.047% 10/25/37 (g)(n)(p)

367

36

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class H, 0.8572% 3/15/19 (g)(n)

20

19

Class J, 1.0572% 3/15/19 (g)(n)

18

16

Series 2007-BBA8:

Class D, 0.4572% 3/15/22 (g)(n)

25

23

Class E, 0.5072% 3/15/22 (g)(n)

128

119

Class F, 0.5572% 3/15/22 (g)(n)

78

71

Class G, 0.6072% 3/15/22 (g)(n)

20

18

Class H, 0.7572% 3/15/22 (g)(n)

25

21

Class J, 0.9072% 3/15/22 (g)(n)

25

20

sequential payer:

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

12

12

Series 2004-PWR3 Class A3, 4.487% 2/11/41

27

27

Series 2007-PW16 Class A4, 5.7154% 6/11/40 (n)

44

48

Series 2007-PW17 Class A1, 5.282% 6/11/50

13

13

Series 2007-T26 Class A1, 5.145% 1/12/45

11

11

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

Series 2003-PWR2 Class X2, 0.5275% 5/11/39 (g)(n)(p)

$ 529

$ 0*

Series 2006-PW13 Class A3, 5.518% 9/11/41

265

272

Series 2006-PW14 Class X2, 0.6524% 12/11/38 (g)(n)(p)

855

12

Series 2006-T22 Class A4, 5.5338% 4/12/38 (n)

9

10

Series 2007-PW16:

Class B, 5.7154% 6/11/40 (g)(n)

12

6

Class C, 5.7154% 6/11/40 (g)(n)

10

4

Class D, 5.7154% 6/11/40 (g)(n)

10

4

Series 2007-PW18 Class X2, 0.3152% 6/11/50 (g)(n)(p)

6,540

69

Series 2007-T28:

Class A1, 5.422% 9/11/42

1

1

Class X2, 0.1654% 9/11/42 (g)(n)(p)

3,222

21

C-BASS Trust floater Series 2006-SC1 Class A, 0.4884% 5/25/36 (g)(n)

36

25

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (g)

88

92

Class XCL, 2.2784% 5/15/35 (g)(n)(p)

502

9

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.5202% 8/15/21 (g)(n)

27

27

Class G, 0.5402% 8/15/21 (g)(n)

20

19

Class H, 0.5802% 8/15/21 (g)(n)

16

15

sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49

430

462

Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (g)

113

110

Series 2007-C6:

Class A1, 5.622% 12/10/49 (n)

490

490

Class A4, 5.6978% 12/10/49 (n)

249

269

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A2A, 5.237% 12/11/49

25

25

Class A4, 5.322% 12/11/49

430

447

Series 2007-CD4:

Class A3, 5.293% 12/11/49

73

75

Class C, 5.476% 12/11/49

141

28

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 5.8158% 5/15/46 (n)

75

80

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Cobalt CMBS Commercial Mortgage Trust: - continued

Series 2006-C1 Class B, 5.359% 8/15/48

$ 225

$ 45

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.4372% 4/15/17 (g)(n)

198

191

Class C, 0.4772% 4/15/17 (g)(n)

60

58

Class D, 0.5172% 4/15/17 (g)(n)

43

41

Class E, 0.5772% 4/15/17 (g)(n)

14

13

Class F, 0.6172% 4/15/17 (g)(n)

8

7

Class G, 0.7572% 4/15/17 (g)(n)

8

7

Class H, 0.8272% 4/15/17 (g)(n)

8

7

Class J, 1.0572% 4/15/17 (g)(n)

6

5

Series 2005-FL11:

Class C, 0.5072% 11/15/17 (g)(n)

57

54

Class D, 0.5472% 11/15/17 (g)(n)

3

3

Class E, 0.5972% 11/15/17 (g)(n)

11

10

Class F, 0.6572% 11/15/17 (g)(n)

8

8

Class G, 0.7072% 11/15/17 (g)(n)

6

5

Series 2006-FL12 Class AJ, 0.3372% 12/15/20 (g)(n)

107

98

sequential payer:

Series 2005-C6 Class A2, 4.999% 6/10/44 (n)

1

1

Series 2006-C8 Class A3, 5.31% 12/10/46

214

224

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (g)

127

126

Class AJFX, 5.478% 2/5/19 (g)

200

201

Series 2007-C9 Class A4, 5.8145% 12/10/49 (n)

166

182

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2006-C4 Class A3, 5.467% 9/15/39

93

97

Series 2007-C2:

Class A2, 5.448% 1/15/49 (n)

431

433

Class A3, 5.542% 1/15/49 (n)

150

158

Series 2007-C3 Class A4, 5.702% 6/15/39 (n)

425

443

Series 2006-C4 Class AAB, 5.439% 9/15/39

420

430

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

68

72

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5572% 4/15/22 (g)(n)

268

193

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

Series 2001-CK6 Class B, 6.582% 8/15/36

75

75

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse First Boston Mortgage Securities Corp.: - continued

sequential payer: - continued

Series 2004-C1:

Class A3, 4.321% 1/15/37

$ 8

$ 8

Class A4, 4.75% 1/15/37

35

37

Series 2001-CK6 Class AX, 0.837% 8/15/36 (n)(p)

88

0*

Series 2001-CKN5 Class AX, 1.9481% 9/15/34 (g)(n)(p)

151

0*

Series 2006-C1 Class A3, 5.422% 2/15/39 (n)

278

292

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.3572% 2/15/22 (g)(n)

28

24

Class C:

0.3772% 2/15/22 (g)(n)

84

72

0.4772% 2/15/22 (g)(n)

30

24

Class F, 0.5272% 2/15/22 (g)(n)

60

47

sequential payer Series 2007-C1 Class A2, 5.268% 2/15/40

1,216

1,216

Series 2007-C1:

Class ASP, 0.406% 2/15/40 (n)(p)

1,172

11

Class B, 5.487% 2/15/40 (g)(n)

115

17

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1:

Class D, 6.484% 3/15/33

3

3

Class G, 6.936% 3/15/33 (g)

49

48

GE Capital Commercial Mortgage Corp.:

sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49

443

461

Series 2001-1 Class X1, 1.1681% 5/15/33 (g)(n)(p)

115

1

Series 2007-C1 Class XP, 0.193% 12/10/49 (n)(p)

760

3

GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Class X2, 0.554% 5/10/43 (n)(p)

274

1

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.3956% 11/5/21 (g)(n)

28

27

sequential payer:

Series 2007-GG11 Class A2, 5.597% 12/10/49

150

154

Series 2007-GG9 Class A4, 5.444% 3/10/39

218

230

Series 2005-GG3 Class XP, 0.6673% 8/10/42 (g)(n)(p)

957

3

Series 2006-GG7:

Class A3, 5.881% 7/10/38 (n)

198

208

Class A4, 5.881% 7/10/38 (n)

350

381

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Greenwich Capital Commercial Funding Corp.: - continued

Series 2007-GG11 Class A1, 0.2902% 12/10/49 (g)(n)(p)

$ 1,672

$ 12

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class E, 0.5751% 6/6/20 (g)(n)

17

16

Class F, 0.6451% 6/6/20 (g)(n)

38

34

Series 2007-EOP:

Class C, 2.1455% 3/6/20 (g)(n)

44

42

Class D, 2.3636% 3/6/20 (g)(n)

117

112

Class F, 2.8433% 3/6/20 (g)(n)

4

4

Class G, 3.0177% 3/6/20 (g)(n)

2

2

sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38

23

23

Series 2005-GG4 Class XP, 0.7109% 7/10/39 (g)(n)(p)

1,237

7

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

252

252

GS Mortgage Securities Trust sequential payer:

Series 2006-GG8 Class A2, 5.479% 11/10/39

50

50

Series 2007-GG10:

Class A2, 5.778% 8/10/45

35

35

Class A4, 5.8001% 8/10/45 (n)

256

270

JP Morgan Chase Commercial Mortgage Securities Trust:

sequential payer:

Series 2006-CB14 Class A3B, 5.4764% 12/12/44 (n)

199

203

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

174

175

Class A3, 5.42% 1/15/49

321

340

Series 2005-CB13 Class E, 5.348% 1/12/43 (g)(n)

38

3

Series 2005-LDP3 Class A3, 4.959% 8/15/42

457

469

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (n)

14

3

Class CS, 5.466% 1/15/49 (n)

6

1

Class ES, 5.5379% 1/15/49 (g)(n)

39

3

JP Morgan Commercial Mortgage Finance Corp. Series 2000-C9 Class G, 6.25% 10/15/32 (g)

9

9

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.3772% 11/15/18 (g)(n)

48

44

Class C, 0.4172% 11/15/18 (g)(n)

34

31

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

floater Series 2006-FLA2: - continued

Class D, 0.4372% 11/15/18 (g)(n)

$ 10

$ 9

Class E, 0.4872% 11/15/18 (g)(n)

14

13

Class F, 0.5372% 11/15/18 (g)(n)

22

19

Class G, 0.5672% 11/15/18 (g)(n)

19

16

Class H, 0.7072% 11/15/18 (g)(n)

14

12

sequential payer:

Series 2006-LDP8 Class A4, 5.399% 5/15/45

48

52

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (n)

31

32

Class A3, 5.336% 5/15/47

31

32

Series 2007-CB19 Class A4, 5.7415% 2/12/49 (n)

263

278

Series 2007-LD11 Class A2, 5.8019% 6/15/49 (n)

211

215

Series 2006-CB17 Class A3, 5.45% 12/12/43

21

21

Series 2007-CB19:

Class B, 5.7415% 2/12/49 (n)

6

3

Class C, 5.7415% 2/12/49 (n)

17

7

Class D, 5.7415% 2/12/49 (n)

18

6

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 5.9407% 7/15/44 (n)

58

62

Series 1998-C1 Class D, 6.98% 2/18/30

17

17

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2006-C1 Class A2, 5.084% 2/15/31

11

11

Series 2006-C6 Class A2, 5.262% 9/15/39 (n)

42

42

Series 2006-C7:

Class A2, 5.3% 11/15/38

70

70

Class A3, 5.347% 11/15/38

56

59

Series 2007-C1:

Class A1, 5.391% 2/15/40 (n)

1

1

Class A4, 5.424% 2/15/40

210

224

Series 2007-C2 Class A3, 5.43% 2/15/40

146

152

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

26

26

Series 2001-C7 Class D, 6.514% 11/15/33

83

83

Series 2005-C3 Class XCP, 0.78% 7/15/40 (n)(p)

171

1

Series 2006-C6 Class XCP, 0.6735% 9/15/39 (n)(p)

346

5

Series 2007-C1 Class XCP, 0.472% 2/15/40 (n)(p)

129

1

Series 2007-C6 Class A4, 5.858% 7/15/40 (n)

94

100

Series 2007-C7:

Class A3, 5.866% 9/15/45

75

80

Class XCP, 0.2822% 9/15/45 (n)(p)

5,628

48

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

Class D, 0.4372% 9/15/21 (g)(n)

$ 24

$ 22

Class E, 0.4972% 9/15/21 (g)(n)

86

76

Class F, 0.5472% 9/15/21 (g)(n)

52

45

Class G, 0.5672% 9/15/21 (g)(n)

102

85

Class H, 0.6072% 9/15/21 (g)(n)

26

21

Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34

133

133

Merrill Lynch Mortgage Trust:

Series 2005-CKI1 Class A3, 5.2203% 11/12/37 (n)

59

59

Series 2005-LC1 Class F, 5.3796% 1/12/44 (g)(n)

65

33

Series 2006-C1 Class A2, 5.6285% 5/12/39 (n)

73

75

Series 2007-C1 Class A4, 5.8267% 6/12/50 (n)

284

301

Series 2008-C1 Class A4, 5.69% 2/12/51

160

172

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.3058% 12/12/49 (n)

31

31

sequential payer:

Series 2006-1 CLass A3, 5.4804% 2/12/39 (n)

80

81

Series 2006-4 Class ASB, 5.133% 12/12/49 (n)

64

67

Series 2007-5:

Class A3, 5.364% 8/12/48

499

506

Class A4, 5.378% 8/12/48

3

3

Class B, 5.479% 8/12/48

225

91

Series 2007-6:

Class A1, 5.175% 3/12/51

1

1

Class A4, 5.485% 3/12/51 (n)

550

577

Series 2007-7 Class A4, 5.7436% 6/12/50 (n)

263

284

Series 2007-8 Class A1, 4.622% 8/12/49

2

2

Series 2006-4 Class XP, 0.6205% 12/12/49 (n)(p)

925

17

Series 2007-6 Class B, 5.635% 3/12/51 (n)

75

34

Series 2007-7 Class B, 5.7436% 6/12/50 (n)

7

2

Series 2007-8 Class A3, 5.9665% 8/12/49 (n)

65

69

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.407% 7/15/19 (g)(n)

16

10

Series 2007-XCLA Class A1, 0.408% 7/17/17 (g)(n)

29

27

Series 2007-XLFA:

Class C, 0.368% 10/15/20 (g)(n)

43

39

Class D, 0.398% 10/15/20 (g)(n)

30

27

Class E, 0.458% 10/15/20 (g)(n)

38

33

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

floater: - continued

Series 2007-XLFA: - continued

Class F, 0.508% 10/15/20 (g)(n)

$ 23

$ 19

Class G, 0.548% 10/15/20 (g)(n)

28

22

Class H, 0.638% 10/15/20 (g)(n)

18

13

Class J, 0.788% 10/15/20 (g)(n)

20

12

Class MHRO, 0.898% 10/15/20 (g)(n)

18

15

Class MJPM, 1.208% 10/15/20 (g)(n)

1

1

Class NHRO, 1.098% 10/15/20 (g)(n)

27

21

sequential payer:

Series 2003-IQ5 Class X2, 0.9017% 4/15/38 (g)(n)(p)

198

0*

Series 2005-IQ9 Class A3, 4.54% 7/15/56

104

105

Series 2007-HQ11 Class A31, 5.439% 2/12/44 (n)

38

39

Series 2007-IQ13 Class A1, 5.05% 3/15/44

5

5

Series 2003-IQ6 Class X2, 0.5881% 12/15/41 (g)(n)(p)

444

1

Series 2005-IQ9 Class X2, 1.0893% 7/15/56 (g)(n)(p)

668

3

Series 2006-HQ8 Class A3, 5.4704% 3/12/44 (n)

44

44

Series 2006-IQ11:

Class A3, 5.694% 10/15/42 (n)

94

97

Class A4, 5.73% 10/15/42 (n)

23

25

Series 2006-T23 Class A3, 5.8184% 8/12/41 (n)

38

41

Series 2007-HQ12 Class A2, 5.5923% 4/12/49 (n)

489

493

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (n)

113

117

Class B, 5.7233% 4/15/49 (n)

18

8

Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (g)

532

553

Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34

5

5

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.4072% 1/15/18 (g)(n)

58

55

Series 2006-WL7A:

Class E, 0.4902% 9/15/21 (g)(n)

78

69

Class F, 0.5502% 9/15/21 (g)(n)

85

75

Class G, 0.5702% 9/15/21 (g)(n)

80

68

Class J, 0.8072% 9/15/21 (g)(n)

18

13

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

floater: - continued

Series 2007-WHL8:

Class AP1, 0.9072% 6/15/20 (g)(n)

$ 5

$ 5

Class AP2, 1.0072% 6/15/20 (g)(n)

9

8

Class F, 0.6872% 6/15/20 (g)(n)

168

109

Class LXR1, 0.9072% 6/15/20 (g)(n)

9

7

sequential payer:

Series 2003-C7 Class A1, 4.241% 10/15/35 (g)

80

80

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

281

281

Series 2006-C27 Class A2, 5.624% 7/15/45

2

2

Series 2006-C29 Class A3, 5.313% 11/15/48

199

211

Series 2007-C30:

Class A3, 5.246% 12/15/43

64

65

Class A4, 5.305% 12/15/43

377

388

Class A5, 5.342% 12/15/43

80

83

Series 2007-C31 Class A4, 5.509% 4/15/47

170

181

Series 2007-C32:

Class A2, 5.7378% 6/15/49 (n)

207

209

Class A3, 5.7428% 6/15/49 (n)

127

134

Series 2003-C6 Class G, 5.125% 8/15/35 (g)(n)

36

35

Series 2004-C15:

Class 180A, 5.3979% 10/15/41 (g)(n)

58

58

Class 180B, 5.3979% 10/15/41 (g)(n)

26

26

Series 2005-C19 Class B, 4.892% 5/15/44

75

69

Series 2005-C22:

Class B, 5.3592% 12/15/44 (n)

166

126

Class F, 5.3592% 12/15/44 (g)(n)

125

55

Series 2006-C23 Class A5, 5.416% 1/15/45 (n)

350

380

Series 2007-C30:

Class C, 5.483% 12/15/43 (n)

225

111

Class D, 5.513% 12/15/43 (n)

120

47

Class XP, 0.4412% 12/15/43 (g)(n)(p)

801

8

Series 2007-C31 Class C, 5.6883% 4/15/47 (n)

21

10

Series 2007-C31A Class A2, 5.421% 4/15/47

1,669

1,737

Series 2007-C32:

Class D, 5.7428% 6/15/49 (n)

56

24

Class E, 5.7428% 6/15/49 (n)

89

28

Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 5.8992% 2/15/51 (n)

50

54

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $21,209)

25,996

Municipal Securities - 0.1%

 

Principal Amount (000s)

Value (000s)

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (n)

$ 100

$ 104

California Gen. Oblig. 7.5% 4/1/34

210

249

Illinois Gen. Oblig.:

Series 2010, 4.421% 1/1/15

260

272

Series 2011, 5.665% 3/1/18

190

204

Series 2011, 5.877% 3/1/19

225

241

TOTAL MUNICIPAL SECURITIES

(Cost $983)

1,070

Foreign Government and Government Agency Obligations - 0.0%

 

United Mexican States 6.05% 1/11/40
(Cost $278)

274

314

Preferred Securities - 0.0%

 

 

 

 

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

ING Groep NV 5.775% (h)(n)

(Cost $7)

8

7

Fixed-Income Funds - 12.0%

Shares

 

Fidelity High Income Central Fund 2 (o)

242,304

25,696

Fidelity Mortgage Backed Securities Central Fund (o)

890,207

96,249

TOTAL FIXED-INCOME FUNDS

(Cost $115,593)

121,945

Money Market Funds - 3.8%

Shares

Value (000s)

Fidelity Cash Central Fund, 0.11% (b)

37,633,573

$ 37,634

Fidelity Securities Lending Cash Central Fund, 0.12% (b)(c)

909,209

909

TOTAL MONEY MARKET FUNDS

(Cost $38,543)

38,543

TOTAL INVESTMENT PORTFOLIO - 103.6%

(Cost $996,959)

1,053,618

NET OTHER ASSETS (LIABILITIES) - (3.6)%

(36,624)

NET ASSETS - 100%

$ 1,016,994

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

96 CME E-mini S&P 500 Index Contracts

Sept. 2011

$ 5,845

$ (231)

 

The face value of futures purchased as a percentage of net assets is 0.6%

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $69,000)(m)

Sept. 2037

$ 180

$ (170)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $47,000)(m)

Sept. 2037

120

(113)

Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 (Rating-C)(l)

Feb. 2034

1

(1)

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

Dec. 2034

79

(77)

TOTAL CREDIT DEFAULT SWAPS

$ 380

$ (361)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 1.2857% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

June 2012

7,613

67

 

$ 7,993

$ (294)

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

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

(d) Non-income producing - Security is in default.

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

(f) Security 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 end of the period, the value of these securities amounted to $18,276,000 or 1.8% of net assets.

(h) Security is perpetual in nature with no stated maturity date.

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

(j) A portion of the security is subject to a forward commitment to sell.

(k) 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 $515,000.

(l) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk.

(m) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. In addition, the swap represents a contract in which the Fund has sold protection on the index of underlying securities. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investors Service, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

(n) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(o) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

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

(q) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund.

(r) 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 $321,000 or 0.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition
Date

Acquisition
Cost (000s)

Legend Pictures LLC

9/23/10

$ 311

Washington Mutual, Inc.

10/6/08

$ 17

* Amount represents less than $1,000

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 78

Fidelity Corporate Bond 1-10 Year Central Fund

71

Fidelity High Income Central Fund 2

1,659

Fidelity Mortgage Backed Securities Central Fund

2,533

Fidelity Securities Lending Cash Central Fund

39

Total

$ 4,380

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

Fund
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value,
end of
period

% ownership, end of
period

Fidelity Corporate Bond 1-10 Year Central Fund

$ 5,692

$ -

$ 5,653*

$ -

0.0%

Fidelity High Income Central Fund 2

19,750

6,157

-

25,696

4.0%

Fidelity Mortgage Backed Securities Central Fund

62,901

31,076

-

96,249

0.7%

Total

$ 88,343

$ 37,233

$ 5,653*

$ 121,945

* Includes the value of shares redeemed through in-kind transactions. See Note 7 of the Notes to Financial Statements.

Other Information

The following is a summary of the inputs used, as of August 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 62,980

$ 62,667

$ 2

$ 311

Consumer Staples

67,732

65,964

1,768

-

Energy

72,505

72,067

438

-

Financials

83,767

82,025

1,742

-

Health Care

66,781

66,418

363

-

Industrials

64,545

63,763

782

-

Information Technology

113,495

113,495

-

-

Materials

18,698

18,698

-

-

Telecommunication Services

12,275

12,275

-

-

Utilities

21,268

21,268

-

-

Corporate Bonds

78,457

-

78,457

-

U.S. Government and Government Agency Obligations

115,850

-

115,850

-

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government Agency - Mortgage Securities

$ 75,133

$ -

$ 75,133

$ -

Asset-Backed Securities

8,706

-

8,146

560

Collateralized Mortgage Obligations

3,551

-

3,514

37

Commercial Mortgage Securities

25,996

-

24,170

1,826

Municipal Securities

1,070

-

1,070

-

Foreign Government and Government Agency Obligations

314

-

314

-

Preferred Securities

7

-

7

-

Fixed-Income Funds

121,945

121,945

-

-

Money Market Funds

38,543

38,543

-

-

Total Investments in Securities:

$ 1,053,618

$ 739,128

$ 311,756

$ 2,734

Derivative Instruments:

Assets

Swap Agreements

$ 67

$ -

$ 67

$ -

Liabilities

Futures Contracts

$ (231)

$ (231)

$ -

$ -

Swap Agreements

(361)

-

(283)

(78)

Total Liabilities

$ (592)

$ (231)

$ (283)

$ (78)

Total Derivative Instruments:

$ (525)

$ (231)

$ (216)

$ (78)

Other Financial Instruments:

Forward Commitments

$ 97

$ -

$ 97

$ -

The following is a reconciliation of Investments in Securities and derivative instruments for which Level 3 inputs were used in determining value:

(Amounts in thousands)

 

Investments in Securities:

Beginning Balance

$ 3,564

Total Realized Gain (Loss)

279

Total Unrealized Gain (Loss)

275

Cost of Purchases

312

Proceeds of Sales

(694)

Amortization/Accretion

148

Transfers in to Level 3

621

Transfers out of Level 3

(1,771)

Ending Balance

$ 2,734

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2011

$ 326

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (78)

Total Unrealized Gain (Loss)

-

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ (78)

Realized gain (loss) on Swap Agreements for the period

$ 2

The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at August 31, 2011

$ -

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period, and includes the value of securities received through affiliated in-kind transactions. See Note 7 of the Notes to Financial Statements. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
 Derivative Type
(Amounts in thousands)

Value

 

Asset

Liability

Credit Risk

Swap Agreements (b)

$ -

$ (361)

Equity Risk

Futures Contracts (a)

-

(231)

Interest Rate Risk

Swap Agreements (b)

67

-

Total Value of Derivatives

$ 67

$ (592)

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities.

(b) Value is disclosed on the Statement of Assets and Liabilities in the Swap agreements, at value line-items.

Other Information

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

U.S. Government and U.S. Government Agency Obligations

30.5%

AAA,AA,A

6.4%

BBB

4.5%

BB

1.2%

B

1.4%

CCC,CC,C

0.4%

D

0.0%*

Not Rated

0.0%*

Equities

58.0%

Short-Term Investments and Net Other Assets

(2.4)%

 

100.0%

We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Percentages are adjusted for the effect of futures contracts, if applicable.

* Amount represents less than 0.1%

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

United States of America

88.0%

United Kingdom

2.7%

Canada

1.3%

France

1.2%

Ireland

1.0%

Switzerland

1.0%

Others (Individually Less Than 1%)

4.8%

 

100.0%

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

Income Tax Information

At August 31, 2011, the Fund had a capital loss carryforward of approximately $64,425,000 of which $11,611,000 and $52,814,000 will expire in fiscal 2017 and 2018, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited.

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 amounts)

August 31, 2011

 

 

 

Assets

Investment in securities, at value (including securities loaned of $852) - See accompanying schedule:

Unaffiliated issuers (cost $842,823)

$ 893,130

 

Fidelity Central Funds (cost $154,136)

160,488

 

Total Investments (cost $996,959)

 

$ 1,053,618

Commitment to sell securities on a delayed delivery basis

(29,456)

Receivable for securities sold on a delayed delivery basis

29,553

97

Receivable for investments sold, regular delivery

10,693

Cash

52

Foreign currency held at value (cost $20)

20

Receivable for fund shares sold

780

Dividends receivable

844

Interest receivable

1,942

Distributions receivable from Fidelity Central Funds

418

Receivable for daily variation margin on futures contracts

62

Swap agreements, at value

67

Other receivables

66

Total assets

1,068,659

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 6,033

Delayed delivery

41,008

Payable for swap agreements

4

Payable for fund shares redeemed

1,856

Swap agreements, at value

361

Accrued management fee

340

Distribution and service plan fees payable

392

Other affiliated payables

235

Other payables and accrued expenses

527

Collateral on securities loaned, at value

909

Total liabilities

51,665

 

 

 

Net Assets

$ 1,016,994

Net Assets consist of:

 

Paid in capital

$ 1,032,948

Undistributed net investment income

2,993

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

(74,806)

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

55,859

Net Assets

$ 1,016,994

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

Annual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

 Amounts in thousands (except per-share amounts)

August 31, 2011

 

 

 

Calculation of Maximum Offering Price

Class A:
Net Asset Value and redemption price per share ($214,703 ÷ 14,472.8 shares)

$ 14.83

 

 

 

Maximum offering price per share (100/94.25 of $14.83)

$ 15.73

Class T:
Net Asset Value and redemption price per share ($673,030 ÷ 45,012.9 shares)

$ 14.95

 

 

 

Maximum offering price per share (100/96.50 of $14.95)

$ 15.49

Class B:
Net Asset Value and offering price per share ($18,601 ÷ 1,255.8 shares)A

$ 14.81

 

 

 

Class C:
Net Asset Value and offering price per share ($68,644 ÷ 4,648.8 shares)A

$ 14.77

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($42,016 ÷ 2,790.6 shares)

$ 15.06

A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

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

Annual Report

Statement of Operations

 Amounts in thousands

Year ended August 31, 2011

 

  

  

Investment Income

  

  

Dividends

 

$ 10,257

Interest

 

11,630

Income from Fidelity Central Funds

 

4,380

Total income

 

26,267

 

 

 

Expenses

Management fee

$ 4,245

Transfer agent fees

2,361

Distribution and service plan fees

4,925

Accounting and security lending fees

438

Custodian fees and expenses

201

Independent trustees' compensation

6

Registration fees

85

Audit

120

Legal

16

Miscellaneous

11

Total expenses before reductions

12,408

Expense reductions

(108)

12,300

Net investment income (loss)

13,967

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

99,224

Fidelity Central Funds

484

 

Foreign currency transactions

(74)

Futures contracts

926

Swap agreements

12

 

Total net realized gain (loss)

 

100,572

Change in net unrealized appreciation (depreciation) on:

Investment securities

8,560

Assets and liabilities in foreign currencies

(3)

Futures contracts

(150)

Swap agreements

14

Delayed delivery commitments

115

 

Total change in net unrealized appreciation (depreciation)

 

8,536

Net gain (loss)

109,108

Net increase (decrease) in net assets resulting from operations

$ 123,075

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

Annual Report

Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Year ended
August 31,
2011

Year ended
August 31,
2010

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 13,967

$ 15,345

Net realized gain (loss)

100,572

44,956

Change in net unrealized appreciation (depreciation)

8,536

8,858

Net increase (decrease) in net assets resulting
from operations

123,075

69,159

Distributions to shareholders from net investment income

(13,611)

(15,844)

Distributions to shareholders from net realized gain

(697)

(1,114)

Total distributions

(14,308)

(16,958)

Share transactions - net increase (decrease)

(34,717)

(57,259)

Total increase (decrease) in net assets

74,050

(5,058)

 

 

 

Net Assets

Beginning of period

942,944

948,002

End of period (including undistributed net investment income of $2,993 and undistributed net investment income of $3,012, respectively)

$ 1,016,994

$ 942,944

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

Annual Report

Financial Highlights - Class A

Years ended August 31,

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.29

$ 12.61

$ 14.55

$ 17.37

$ 16.40

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) C

  .23

  .24

  .25

  .29

  .32

Net realized and unrealized gain (loss)

  1.55

  .70

  (1.93)

  (1.42)

  1.84

Total from investment operations

  1.78

  .94

  (1.68)

  (1.13)

  2.16

Distributions from net investment income

  (.23)

  (.24)

  (.21)

  (.36)

  (.34)

Distributions from net realized gain

  (.01)

  (.02)

  (.05)

  (1.33)

  (.85)

Total distributions

  (.24)

  (.26) G

  (.26)

  (1.69)

  (1.19)

Net asset value, end of period

$ 14.83

$ 13.29

$ 12.61

$ 14.55

$ 17.37

Total Return A,B

  13.34%

  7.44%

  (11.30)%

  (7.52)%

  13.55%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  1.00%

  1.00%

  1.06%

  .98%

  .98%

Expenses net of fee waivers, if any

  1.00%

  1.00%

  1.06%

  .98%

  .98%

Expenses net of all reductions

  .99%

  .99%

  1.06%

  .97%

  .97%

Net investment income (loss)

  1.53%

  1.76%

  2.24%

  1.82%

  1.89%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 215

$ 203

$ 213

$ 270

$ 266

Portfolio turnover rate E

  146% H

  116%

  215% H

  103% H

  88% H

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

B Total returns do not include the effect of the sales charges.

C Calculated based on average shares outstanding during the period.

D Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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

G Total distributions of $.26 per share is comprised of distributions from net investment income of $.243 and distributions from net realized gain of $.015 per share.

H The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Financial Highlights - Class T

Years ended August 31,

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.40

$ 12.70

$ 14.66

$ 17.49

$ 16.50

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) C

  .20

  .21

  .23

  .25

  .28

Net realized and unrealized gain (loss)

  1.56

  .72

  (1.95)

  (1.44)

  1.85

Total from investment operations

  1.76

  .93

  (1.72)

  (1.19)

  2.13

Distributions from net investment income

  (.20)

  (.21)

  (.19)

  (.31)

  (.29)

Distributions from net realized gain

  (.01)

  (.02)

  (.05)

  (1.33)

  (.85)

Total distributions

  (.21)

  (.23) G

  (.24)

  (1.64)

  (1.14)

Net asset value, end of period

$ 14.95

$ 13.40

$ 12.70

$ 14.66

$ 17.49

Total Return A,B

  13.09%

  7.32%

  (11.54)%

  (7.77)%

  13.32%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  1.20%

  1.23%

  1.29%

  1.20%

  1.20%

Expenses net of fee waivers, if any

  1.20%

  1.23%

  1.29%

  1.20%

  1.20%

Expenses net of all reductions

  1.19%

  1.21%

  1.29%

  1.20%

  1.20%

Net investment income (loss)

  1.33%

  1.54%

  2.01%

  1.59%

  1.66%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 673

$ 619

$ 621

$ 778

$ 948

Portfolio turnover rate E

  146% H

  116%

  215% H

  103% H

  88% H

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

B Total returns do not include the effect of the sales charges.

C Calculated based on average shares outstanding during the period.

D Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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

G Total distributions of $.23 per share is comprised of distributions from net investment income of $.214 and distributions from net realized gain of $.015 per share.

H The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Financial Highlights - Class B

Years ended August 31,

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.27

$ 12.58

$ 14.51

$ 17.32

$ 16.35

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) C

  .11

  .13

  .16

  .16

  .18

Net realized and unrealized gain (loss)

  1.54

  .71

  (1.92)

  (1.43)

  1.82

Total from investment operations

  1.65

  .84

  (1.76)

  (1.27)

  2.00

Distributions from net investment income

  (.10)

  (.13)

  (.13)

  (.21)

  (.18)

Distributions from net realized gain

  (.01)

  (.02)

  (.04)

  (1.33)

  (.85)

Total distributions

  (.11)

  (.15) G

  (.17)

  (1.54)

  (1.03)

Net asset value, end of period

$ 14.81

$ 13.27

$ 12.58

$ 14.51

$ 17.32

Total Return A,B

  12.42%

  6.66%

  (11.98)%

  (8.31)%

  12.59%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  1.80%

  1.82%

  1.83%

  1.79%

  1.80%

Expenses net of fee waivers, if any

  1.80%

  1.82%

  1.83%

  1.79%

  1.80%

Expenses net of all reductions

  1.79%

  1.81%

  1.83%

  1.78%

  1.80%

Net investment income (loss)

  .73%

  .94%

  1.46%

  1.00%

  1.06%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 19

$ 24

$ 29

$ 45

$ 64

Portfolio turnover rate E

  146% H

  116%

  215% H

  103% H

  88% H

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

B Total returns do not include the effect of the contingent deferred sales charge.

C Calculated based on average shares outstanding during the period.

D Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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

G Total distributions of $.15 per share is comprised of distributions from net investment income of $.133 and distributions from net realized gain of $.015 per share.

H The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Financial Highlights - Class C

Years ended August 31,

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.23

$ 12.55

$ 14.49

$ 17.30

$ 16.34

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) C

  .12

  .13

  .17

  .16

  .19

Net realized and unrealized gain (loss)

  1.55

  .71

  (1.93)

  (1.41)

  1.82

Total from investment operations

  1.67

  .84

  (1.76)

  (1.25)

  2.01

Distributions from net investment income

  (.12)

  (.15)

  (.13)

  (.23)

  (.20)

Distributions from net realized gain

  (.01)

  (.02)

  (.05)

  (1.33)

  (.85)

Total distributions

  (.13)

  (.16) G

  (.18)

  (1.56)

  (1.05)

Net asset value, end of period

$ 14.77

$ 13.23

$ 12.55

$ 14.49

$ 17.30

Total Return A,B

  12.59%

  6.69%

  (12.02)%

  (8.22)%

  12.66%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  1.74%

  1.76%

  1.82%

  1.74%

  1.75%

Expenses net of fee waivers, if any

  1.74%

  1.76%

  1.82%

  1.74%

  1.75%

Expenses net of all reductions

  1.73%

  1.75%

  1.81%

  1.74%

  1.74%

Net investment income (loss)

  .79%

  1.00%

  1.48%

  1.05%

  1.11%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 69

$ 62

$ 61

$ 79

$ 82

Portfolio turnover rate E

  146% H

  116%

  215% H

  103% H

  88% H

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

B Total returns do not include the effect of the contingent deferred sales charge.

C Calculated based on average shares outstanding during the period.

D Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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

G Total distributions of $.16 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.015 per share.

H The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Financial Highlights - Institutional Class

Years ended August 31,

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.49

$ 12.79

$ 14.76

$ 17.60

$ 16.60

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  .28

  .28

  .28

  .33

  .38

Net realized and unrealized gain (loss)

  1.57

  .72

  (1.95)

  (1.44)

  1.86

Total from investment operations

  1.85

  1.00

  (1.67)

  (1.11)

  2.24

Distributions from net investment income

  (.27)

  (.28)

  (.25)

  (.40)

  (.39)

Distributions from net realized gain

  (.01)

  (.02)

  (.05)

  (1.33)

  (.85)

Total distributions

  (.28)

  (.30) F

  (.30)

  (1.73)

  (1.24)

Net asset value, end of period

$ 15.06

$ 13.49

$ 12.79

$ 14.76

$ 17.60

Total Return A

  13.69%

  7.81%

  (11.07)%

  (7.29)%

  13.92%

Ratios to Average Net Assets C,E

 

 

 

 

 

Expenses before reductions

  .71%

  .73%

  .79%

  .71%

  .68%

Expenses net of fee waivers, if any

  .71%

  .73%

  .79%

  .71%

  .68%

Expenses net of all reductions

  .70%

  .72%

  .78%

  .70%

  .67%

Net investment income (loss)

  1.82%

  2.03%

  2.51%

  2.09%

  2.18%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 42

$ 34

$ 24

$ 29

$ 32

Portfolio turnover rate D

  146% G

  116%

  215% G

  103% G

  88% G

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 Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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

F Total distributions of $.30 per share is comprised of distributions from net investment income of $.283 and distributions from net realized gain of $.015 per share.

G The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Notes to Financial Statements

For the period ended August 31, 2011

(Amounts in thousands except ratios)

1. Organization.

Fidelity Advisor Balanced Fund (the Fund) is a fund of Fidelity Advisor Series I (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C, and Institutional Class shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases, except for exchanges and reinvestments by existing shareholders. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class.

2. Investments in Fidelity Central Funds.

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

Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each Fidelity Central Fund.

Annual Report

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment Manager

Investment Objective

 

Investment Practices

Fidelity High Income Central Fund 2

FMR Co., Inc. (FMRC)

Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities.

 

Loans & Direct Debt Instruments

Repurchase Agreements

Restricted Securities

 

Fidelity Mortgage Backed Securities Central Fund

FIMM

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

 

Delayed Delivery & When Issued Securities

Futures

Repurchase Agreements

Swap Agreements

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

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2011, as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.

Annual Report

3. Significant Accounting Policies - continued

Security Valuation - continued

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and 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)

3. 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. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. 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 and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The principal value on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal value. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. 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 collectability of interest is reasonably assured.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Annual Report

3. Significant Accounting Policies - continued

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. As of August 31, 2011, the Fund did not have any unrecognized tax benefits in the financial statements. A fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. 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 declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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 in-kind transactions, futures transactions, swap agreements, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.

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

Gross unrealized appreciation

$ 88,468

Gross unrealized depreciation

(41,628)

Net unrealized appreciation (depreciation) on securities and other investments

$ 46,840

 

 

Tax Cost

$ 1,006,778

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income

$ 2,255

Capital loss carryforward

$ (64,425)

Net unrealized appreciation (depreciation)

$ 46,252

Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the Act), the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years, which generally expire after eight years from when they are incurred. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The Fund's first fiscal year end subject to the Act will be August 31, 2012.

The tax character of distributions paid was as follows:

 

August 31, 2011

August 31, 2010

Ordinary Income

$ 14,308

$ 16,958

New Accounting Pronouncement. In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.

4. Operating Policies.

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in 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

Annual Report

4. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities - continued

deliverable securities are held for the transaction. 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.

5. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund used derivative instruments (derivatives), including futures contracts and swap agreements, in order to meet its investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risks:

Credit Risk

Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Equity Risk

Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

Interest Rate Risk

Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

5. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral in the form of cash or securities, if required, is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank, and is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. Counterparty risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.

Risk Exposure / Derivative Type

Net Realized
Gain (Loss)

Change in Net Unrealized Appreciation (Depreciation)

Credit Risk

 

 

Swap Agreements

$ (58)

$ 53

Equity Risk

 

 

Futures Contracts

926

(150)

Interest Rate Risk

 

 

Swap Agreements

70

(39)

Totals (a)(b)(c)

$ 938

$ (136)

(a) A summary of the value of derivatives by risk exposure as of period end is included at the end of the Schedule of Investments and is representative of activity for the period.

(b) Total derivatives net realized gain (loss) included in the Statement of Operations is comprised of $926 for futures contracts and $12 for swap agreements.

(c) Total derivatives change in net unrealized appreciation (depreciation) included in the Statement of Operations is comprised of $(150) for futures contracts and $14 for swap agreements.

Annual Report

5. Derivative Instruments - continued

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

The underlying face amount at value of 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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Certain risks arise upon entering into futures contracts, including the risk that an illiquid market limits the ability to close out a futures contract prior to settlement date.

Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

Details of swaps open at period end are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront premiums paid or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.

Risks of loss include credit risk and interest rate risk. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

5. Derivative Instruments - continued

Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a "basket" of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.

As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.

As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of

Annual Report

5. Derivative Instruments - continued

Credit Default Swaps - continued

the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

The notional amount of credit default swaps is included in the Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $380 representing 0.04% of net assets.

6. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, U.S. government securities and in-kind transactions, aggregated $892,204 and $910,490, respectively.

7. 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 .15% of the Fund's average net assets and a group fee rate that averaged .26% 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 .41% of the Fund's average net assets.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period,

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

7. Fees and Other Transactions with Affiliates - continued

Distribution and Service Plan Fees - continued

the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

 

Distribution
Fee

Service
Fee

Total Fees

Retained
by FDC

Class A

-%

.25%

$ 553

$ 6

Class T

.25%

.25%

3,445

21

Class B

.75%

.25%

226

169

Class C

.75%

.25%

701

73

 

 

 

$ 4,925

$ 269

Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

For the period, sales charge amounts retained by FDC were as follows:

 

Retained
by FDC

Class A

$ 69

Class T

24

Class B*

56

Class C*

6

 

$ 155

* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

Annual Report

7. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

For the period, transfer agent fees for each class were as follows:

 

Amount

% of
Average
Net Assets

Class A

$ 565

.26

Class T

1,465

.21

Class B

68

.30

Class C

175

.25

Institutional Class

88

.22

 

$ 2,361

 

Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.

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 $34 for the period.

Exchange In-Kind. During the period, the Fund redeemed in-kind 52 shares of Fidelity Corporate Bond 1-10 Year Central Fund ("1-10 Year"), a Fidelity Central Fund in which the Fund invested, valued at $5,653 in exchange for cash and securities, including accrued interest. Realized gain (loss) of $484 on the Fund's redemption of 1-10 Year shares is included in the accompanying Statement of Operations as "Realized gain (loss) on Fidelity Central Funds." Because 1-10 Year was a partnership for federal income tax purposes, the redemption generally was tax free to the Fund.

8. Committed Line of Credit.

The Fund participates with other funds managed by FMR or an affiliate in a $4.0 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $3 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

9. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $39. During the period, there were no securities loaned to FCM.

10. 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 $108 for the period.

11. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Years ended August 31,

2011

2010

From net investment income

 

 

Class A

$ 3,331

$ 4,084

Class T

8,883

10,195

Class B

152

279

Class C

543

700

Institutional Class

702

586

Total

$ 13,611

$ 15,844

Annual Report

11. Distributions to Shareholders - continued

Years ended August 31,

2011

2010

From net realized gain

 

 

Class A

$ 150

$ 257

Class T

459

723

Class B

17

32

Class C

47

73

Institutional Class

24

29

Total

$ 697

$ 1,114

12. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

Years ended August 31,

2011

2010

2011

2010

Class A

 

 

 

 

Shares sold

3,246

3,445

$ 48,790

$ 46,214

Reinvestment of distributions

219

311

3,283

4,153

Shares redeemed

(4,258)

(5,395)

(63,406)

(72,407)

Net increase (decrease)

(793)

(1,639)

$ (11,333)

$ (22,040)

Class T

 

 

 

 

Shares sold

10,027

10,287

$ 151,785

$ 139,493

Reinvestment of distributions

586

775

8,859

10,439

Shares redeemed

(11,835)

(13,729)

(178,889)

(185,874)

Net increase (decrease)

(1,222)

(2,667)

$ (18,245)

$ (35,942)

Class B

 

 

 

 

Shares sold

81

313

$ 1,198

$ 4,209

Reinvestment of distributions

10

22

155

288

Shares redeemed

(649)

(806)

(9,688)

(10,844)

Net increase (decrease)

(558)

(471)

$ (8,335)

$ (6,347)

Class C

 

 

 

 

Shares sold

963

851

$ 14,419

$ 11,369

Reinvestment of distributions

35

51

526

685

Shares redeemed

(1,060)

(1,014)

(15,781)

(13,574)

Net increase (decrease)

(62)

(112)

$ (836)

$ (1,520)

Institutional Class

 

 

 

 

Shares sold

1,080

963

$ 16,651

$ 13,098

Reinvestment of distributions

47

44

711

594

Shares redeemed

(877)

(373)

(13,330)

(5,102)

Net increase (decrease)

250

634

$ 4,032

$ 8,590

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

13. Other.

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

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Advisor Series I and Shareholders of Fidelity Advisor Balanced Fund:

We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Balanced Fund (the Fund), a fund of Fidelity Advisor Series I, including the schedule of investments, as of August 31, 2011, 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2011, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Balanced Fund as of August 31, 2011, 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

October 19, 2011

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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 221 funds advised by FMR or an affiliate. Mr. Curvey oversees 424 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. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. 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.

Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Annual Report

Board Structure and Oversight Function. James C. Curvey is an interested person (as defined in the 1940 Act) and currently serves as Acting Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Ned C. Lautenbach serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's equity and high income funds and another Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds. The asset allocation funds may invest in Fidelity funds overseen by the fund's Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. In addition, the Independent Trustees have worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. For example, a working group comprised of Independent Trustees and FMR has worked and continues to work to review the Fidelity funds' valuation-related activities, reporting and risk management. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of FMR's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."

Annual Report

Trustees and Officers - continued

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupations and Other Relevant Experience+

James C. Curvey (76)

 

Year of Election or Appointment: 2007

Mr. Curvey is Trustee and Acting Chairman of the Board of Trustees of certain Trusts. Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp.

Ronald P. O'Hanley (54)

 

Year of Election or Appointment: 2011

Mr. O'Hanley is Director of FMR Co., Inc. (2010-present), Director of Fidelity Investments Money Management, Inc. (2010-present), Director of Fidelity Research & Analysis Company (2010-present), President of Fidelity Asset Management and Corporate Services and a member of Fidelity's Executive Committee (2010-present). Previously, Mr. O'Hanley served as President and Chief Executive Officer of BNY Mellon Asset Management (2007-2010). Mr. O'Hanley also served as Vice Chairman of Bank New York Mellon Corp. and a member of that firm's Executive Committee. Prior to the 2007 merger of The Bank of New York and Mellon Financial Corporation, he was Vice Chairman of Mellon Financial Corporation and President and Chief Executive Officer of Mellon Asset Management. He joined Mellon in February 1997. Mr. O'Hanley currently serves as Chairman of the Boston Public Library Foundation Board of Directors and sits on the Board of Directors of Beth Israel Deaconess Medical Center, the Board of Trustees of the Marine Biological Laboratory and the Advisory Board of the Maxwell School of Citizenship and Public Administration at Syracuse University. Mr. O'Hanley also chairs the Council on Asset Management for the Financial Services Roundtable and is a member of the Board of Directors of Institutional Investor's U.S. Institute.

* 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.

+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.

Annual Report

Trustees and Officers - continued

Independent Trustees:

Correspondence intended for each Independent 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 Occupations and Other Relevant Experience+

Dennis J. Dirks (63)

 

Year of Election or Appointment: 2005

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). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) and President and Board member of the National Securities Clearing Corporation (NSCC). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation, Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation, as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), and as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-2008). Mr. Dirks is a member of the Independent Directors Council (IDC) Governing Council (2010-Present) and Board of Directors for The Brookville Center for Children's Services, Inc. (2009-present).

Alan J. Lacy (57)

 

Year of Election or Appointment: 2008

Mr. Lacy serves as Senior Adviser (2007-present) of Oak Hill Capital Partners, L.P. (private equity). Mr. Lacy also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). In addition, Mr. Lacy serves as a member of the Board of Directors of Dave & Buster's, Inc. (restaurant and entertainment complexes, 2010-present), The Hillman Companies, Inc. (hardware wholesalers, 2010-present), and Bristol-Myers Squibb Company (global pharmaceuticals, 2007-present). Mr. Lacy is a member of the Board of Trustees of The National Parks Conservation Association (2006-Present). Previously, Mr. Lacy served as Chairman of the Board of Trustees of the National Parks Conservation Association (2008-2011) and as a member of the Board of Directors for the Western Union Company (global money transfer, 2006-2011).

Ned C. Lautenbach (67)

 

Year of Election or Appointment: 2000

Mr. Lautenbach is Chairman of the Independent Trustees of the Equity and High Income Funds (2006-present). Mr. Lautenbach currently serves as the Lead Director of the Eaton Corporation Board of Directors (diversified industrial, 1997-present). Mr. Lautenbach is also a member of the Board of Directors of the Philharmonic Center for the Arts in Naples, Florida (1999-present); a member of the Board of Trustees of Fairfield University (2005-present); and a member of the Council on Foreign Relations (1994-present). Previously, Mr. Lautenbach was a Partner/Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007).

Joseph Mauriello (66)

 

Year of Election or Appointment: 2008

Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Group plc. (global insurance and re-insurance, 2006-present) and of Arcadia Resources Inc. (health care services and products, 2007-present). Previously, Mr. Mauriello served as a Director of the Hamilton Funds of the Bank of New York (2006-2007).

Robert W. Selander (60)

 

Year of Election or Appointment: 2011

Previously, Mr. Selander served as a Member of the Advisory Board of Fidelity's Equity and High Income Funds (2011), Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.

Cornelia M. Small (67)

 

Year of Election or Appointment: 2005

Ms. Small is a member of the Board of Directors of the Teagle Foundation (2009-present). Ms. Small is also a member of the Investment Committee, and Chair (2008-present) and a member of the Board of Trustees of Smith College. In addition, Ms. Small serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson of the Investment Committee (2002-2008) of Smith College. In addition, Ms. Small served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.

William S. Stavropoulos (72)

 

Year of Election or Appointment: 2002

Mr. Stavropoulos is Vice Chairman of the Independent Trustees of the Equity and High Income Funds (2006-present). Mr. Stavropoulos serves as President and Founder of the Michigan Baseball Foundation, the Great Lakes Loons (2007-present). Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President, CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, Mr. Stavropoulos is Chairman of Univar (global distributor of commodity and specialty chemicals, 2010-present), a Director of Teradata Corporation (data warehousing and technology solutions, 2008-present), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment, 2005-present). Mr. Stavropoulos is a special advisor to Clayton, Dubilier & Rice, LLC (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science.

David M. Thomas (62)

 

Year of Election or Appointment: 2008

Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions). In addition, Mr. Thomas serves as a member of the Board of Directors of Fortune Brands, Inc. (consumer products), and Interpublic Group of Companies, Inc. (marketing communication, 2004-present).

Michael E. Wiley (60)

 

Year of Election or Appointment: 2008

Mr. Wiley also serves as a Director of Asia Pacific Exploration Consolidated (international oil and gas exploration and production, 2008-present). Mr. Wiley serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), and a Director of Bill Barrett Corporation (exploration and production, 2005-present). In addition, Mr. Wiley also serves as a Director of Post Oak Bank (privately-held bank, 2004-present). Previously, Mr. Wiley served as a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-2010), as a Senior Energy Advisor of Katzenbach Partners, LLC (consulting, 2006-2007), as an Advisory Director of Riverstone Holdings (private investment), Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production, 2001-2005).

Annual Report

+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.

Advisory Board Members and Executive Officers:

Correspondence intended for each executive officer, Edward C. Johnson 3d, and Peter S. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (81)

 

Year of Election or Appointment: 2011

Member of the Advisory Board of Fidelity's Equity and High Income Funds. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR LLC, and also serves as Chairman and Director of FIL Limited. Previously, Mr. Johnson served as a Trustee and Chairman of the Board of certain Fidelity Trusts, Chairman and a Director of FMR, Chairman and a Director of FMR Co., Inc., and President of FMR LLC (2006-2007).

Peter S. Lynch (67)

 

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity's Equity and High Income Funds. Mr. Lynch is Vice Chairman and a Director of FMR and FMR Co., Inc. In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served on the Special Olympics International Board of Directors (1997-2006).

Kenneth B. Robins (42)

 

Year of Election or Appointment: 2008

President and Treasurer of Fidelity's Equity and High Income Funds. Mr. Robins also serves as President and Treasurer (2010-present) and Assistant Treasurer (2009-present) of other Fidelity funds and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008).

Bruce T. Herring (46)

 

Year of Election or Appointment: 2006

Vice President of certain Equity Funds. Mr. Herring also serves as Chief Investment Officer and Director of Fidelity Management & Research (U.K.) Inc. (2010-present) and Group Chief Investments Officer of FMR. Previously, Mr. Herring served as Vice President (2005-2006) and Senior Vice President (2006-2007) of Fidelity Management & Research Company, Vice President of FMR Co., Inc. (2001-2007) and as a portfolio manager for Fidelity U.S. Equity Funds.

Brian B. Hogan (46)

 

Year of Election or Appointment: 2009

Vice President of Equity and High Income Funds. Mr. Hogan also serves as President of FMR's Equity Division (2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.

Scott C. Goebel (43)

 

Year of Election or Appointment: 2008

Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary of Fidelity Investments Money Management, Inc. (FIMM) (2010-present) and Fidelity Research and Analysis Company (FRAC) (2010-present); Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); employed by FMR LLC or an affiliate (2001-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), and Fidelity Management & Research (U.K.) Inc. (2008-present). Previously, Mr. Goebel served as Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).

William C. Coffey (42)

 

Year of Election or Appointment: 2009

Assistant Secretary of Fidelity's Equity and High Income Funds. Mr. Coffey also serves as Senior Vice President and Deputy General Counsel of FMR LLC (2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Vice President and Associate General Counsel of FMR LLC (2005-2009).

Holly C. Laurent (57)

 

Year of Election or Appointment: 2008

Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present) and is an employee of Fidelity Investments. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), and Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006).

Christine Reynolds (52)

 

Year of Election or Appointment: 2008

Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007).

Kenneth A. Rathgeber (64)

 

Year of Election or Appointment: 2004

Chief Compliance Officer of Fidelity's Equity and High Income Funds. Mr. Rathgeber is Chief Compliance Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present), Fidelity Management & Research (Japan) Inc. (2008-present), FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), Pyramis Global Advisors, LLC (2005-present), and Strategic Advisers, Inc. (2005-present).

Jeffrey S. Christian (49)

 

Year of Election or Appointment: 2009

Deputy Treasurer of the Fidelity funds. Mr. Christian is an employee of Fidelity Investments. Previously, Mr. Christian served as Chief Financial Officer (2008-2009) of certain Fidelity funds and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009).

Bryan A. Mehrmann (50)

 

Year of Election or Appointment: 2005

Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments.

Adrien E. Deberghes (44)

 

Year of Election or Appointment: 2008

Deputy Treasurer of Fidelity's Equity and High Income Funds. Mr. Deberghes also serves as Vice President and Assistant Treasurer of Fidelity Rutland Square Trust II and Fidelity Commonwealth Trust II (2011-present), Assistant Treasurer of other Fidelity funds (2010-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).

Stephanie J. Dorsey (42)

 

Year of Election or Appointment: 2010

Assistant Treasurer of Fidelity's Equity and High Income Funds. Ms. Dorsey also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

John R. Hebble (53)

 

Year of Election or Appointment: 2009

Assistant Treasurer of Fidelity's Equity and High Income Funds. Mr. Hebble also serves as President (2011-present), Treasurer, and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present), President and Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments.

Gary W. Ryan (53)

 

Year of Election or Appointment: 2005

Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005).

Jonathan Davis (43)

 

Year of Election or Appointment: 2010

Assistant Treasurer of the Fidelity funds. Mr. Davis is also Assistant Treasurer of Fidelity Rutland Square Trust II and Fidelity Commonwealth Trust II. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010).

Annual Report

Distributions (Unaudited)

A total of 10.19% 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 $6,200,705 of distributions paid during the period January 1, 2011 to August 31, 2011 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

Class A designates 14%, 51%, 58%, 61% and 63%; Class T designates 16%, 59%, 58%, 75% and 72%; Class B designates 27%, 100%, 58%, 100% and 100%; and Class C designates 24%, 100%, 58%, 100% and 100%; of the dividends distributed in October 2010, December 17, 2010, December 30, 2010, April 2011, and July 2011, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

Class A designates 20%, 69%, 78%, 87% and 88%; Class T designates 22%, 80%, 78%, 100%, and 100%; Class B designates 36%, 100%, 78%, 100% and 100%; and Class C designates 32%, 100%, 78%, 100% and 100%; of the dividends distributed in October 2010, December 17, 2010, December 30, 2010, April 2011, and July 2011, 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 2012 of amounts for use in preparing 2011 income tax returns.

Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Advisor Balanced Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and considers at each of its meetings factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to the Fidelity funds.

At its July 2011 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts is fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.

Annual Report

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, including its size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, training, managing, and compensating investment personnel. The Board also noted that FMR has devoted increased resources to non-U.S. offices. The Board noted that Fidelity's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and enhancers. The Board also believes that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools which permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in their deliberations, the Board considered the Investment Advisers' trading capabilities and resources which are an integral part of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the investment adviser's supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers, with 35 new branches opening since 2010.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and support of the senior management team that oversees asset management; (ii) rationalizing product lines through the mergers of six funds into other funds; (iii) continuing to migrate the Freedom Funds to dedicated lower cost underlying funds; (iv) obtaining shareholder approval to broaden the investment strategies for Fidelity Consumer Finance Portfolio, Fidelity Emerging Asia Fund, and Fidelity Environment and Alternative Energy Portfolio; (v) contractually agreeing to reduce the management fees and impose other expense limitations on Spartan 500 Index Fund and U.S. Bond Index Fund in connection with launching new institutional classes of these funds; (vi) changing the name, primary and supplemental benchmarks, and investment policies of Fidelity Global Strategies Fund to support the fund's flexible investment mandate and global orientation; and (vii) reducing the transfer agency account fee rates on certain accounts.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured over multiple periods against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by Fidelity and reviewed by the Board. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2010, the cumulative total returns of Institutional Class (Class I) and Class B of the fund, the cumulative total returns of a proprietary custom index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The returns of Institutional Class (Class I) and Class B show the performance of the highest and lowest performing classes, respectively (based on five-year performance). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the class indicated. The fund's proprietary custom index is an index developed by FMR that represents the performance of the fund's general investment categories in both equity and bond securities.

Annual Report

Fidelity Advisor Balanced Fund

fid65

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of Institutional Class (Class I) of the fund was in the first quartile for the one-year period, the third quartile for the three-year period, and the second quartile for the five-year period. The Board also noted that the investment performance of the fund was lower than its benchmark for the three- and five-year periods, although the one-year total return of Institutional Class (Class I) compared favorably to its benchmark. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes. The Board also reviewed the fund's performance since inception as well as performance in the current year.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 10% means that 90% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.

Fidelity Advisor Balanced Fund

fid67

Annual Report

The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2010.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio. In its review of each class's total expense ratio, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each of Class A, Class B, Class C, and Institutional Class ranked below its competitive median for 2010 and the total expense ratio of Class T ranked above its competitive median for 2010. The Board considered that various factors, including 12b-1 fees, positive or negative performance adjustments, and relatively higher other expenses in the case of small fund size, can affect total expense ratios. The Board noted that the total expense ratio of Class T was above the competitive median primarily because of higher 12b-1 fees on Class T. Class T has a higher 12b-1 fee, but a lower front-end sales charge, than traditionally priced front-end sales charge classes. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expense ratios of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.

Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of FMR and its affiliates, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients. In March 2010, the Board created an ad hoc joint committee with the board of other Fidelity funds (the Committee) to review and compare Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable, although Class T was above the median of the universe presented for comparison, in light of the services that the fund and its shareholders receive and the other factors considered, including the findings of the Committee.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, FMR presents to the Board Fidelity's profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive in the circumstances.

Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions. The Board also noted that in 2009, it and the board of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether FMR attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

Annual Report

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total fund assets under FMR's management increase, and for higher group fee rates as total fund assets under FMR's management decrease. FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that any potential economies of scale are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including (i) fund performance trends, actions to be taken by FMR to improve certain funds' overall performance, and Fidelity's long-term strategies for certain funds; (ii) portfolio manager changes that have occurred during the past year and length of portfolio manager tenure for different categories of funds over time; (iii) Fidelity's compensation structure for portfolio managers and other key personnel and strategies for attracting and retaining non-investment personnel; (iv) the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (v) historical trends in Fidelity's realization of fall-out benefits; (vi) Fidelity's group fee structures and the rationale for the individual fee rates of certain funds; (vii) fund profitability methodology and the impact of certain factors on fund profitability results; (viii) trends regarding industry use of performance fee structures and Fidelity's compliance practices with respect to performance adjustment calculations; (ix) the fee structures in place for certain other Fidelity clients; and (x) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends, and actions that might be taken by FMR to reduce total expense ratios for certain funds and classes.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.

Annual Report

Investment Adviser

Fidelity Management &
Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

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

Fidelity Investments
Money Management, Inc.

General Distributor

Fidelity Distributions Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY 

AIG-UANN-1011
1.786673.108

fid69

(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Balanced Fund -
Institutional Class

Annual Report

August 31, 2011

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

The Chairman's message to shareholders.

Notes to shareholders

<Click Here>

Important information about the fund.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion of Fund Performance

<Click Here>

The Portfolio Manager's review of fund performance and strategy.

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>

 

Board Approval of Investment Advisory Contracts and Management Fees

<Click Here>

 

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.

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

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

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

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.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.

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_James_C_Curvey)

Dear Shareholder:

U.S. equities remained in a significant midyear downturn that began in May and intensified in the final week of July and the early part of August, when Standard & Poor's announced it was lowering its long-term sovereign credit rating of the United States. The historic downgrade followed a political stalemate in which Congress struggled to address the debt ceiling issue before an early-August deadline, resulting in heightened investor anxiety and volatility across major financial markets. Financial markets are always unpredictable, of course, but there are several time-tested investment principles that can help put the odds in your favor.

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

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

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

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

Sincerely,


(The acting chairman's signature appears here.)

James C. Curvey
Acting Chairman

Annual Report

Notes to shareholders

The following changes to Fidelity Advisor® Balanced Fund were effective as of March 7, 2011:

• Matthew Friedman is no longer Co-Portfolio Manager of the fund's energy sector investments, which are solely managed by Co-Portfolio Manager Nathan Strik.

• Peter Saperstone was named Co-Portfolio Manager, replacing John Roth in managing the fund's consumer discretionary sector investments.

• The Multi-Manager Group (MMG) was renamed the Stock Selector Large Cap Group, recognizing stock selection as the dominant driver of performance within the portfolios it manages. There is no change in philosophy or process. The group includes experienced portfolio managers who are specialists in one or more market sectors and manage the equity portion of the fund.

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) 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 August 31, 2011

Past 1
year

Past 5
years

Past 10
years

Institutional Class

13.69%

2.86%

4.11%

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Balanced Fund - Institutional Class on August 31, 2001. The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period.

fid85

Annual Report

Management's Discussion of Fund Performance

Market Recap: U.S. stocks registered solid double-digit gains for the year ending August 31, 2011, despite finishing in a four-month downturn that intensified in the two weeks preceding the August 5 news that Standard & Poor's had lowered its long-term sovereign credit rating of the United States. The downgrade followed a stalemate in which Congress struggled to address the debt ceiling, heightening investor anxiety. For the year, the large-cap laden S&P 500® Index gained 18.50% and the blue-chip Dow Jones Industrial AverageSM advanced 19.03%. The technology-heavy Nasdaq Composite® Index fared even better, climbing 23.19%. Small and mid-sized stocks beat their larger-cap counterparts, as the Russell 2000® and Russell Midcap® indexes added 22.19% and 21.28%, respectively. Solid returns for equities brought about more-tempered gains for fixed-income markets. The Barclays Capital® U.S. Aggregate Bond Index - a proxy for investment-grade debt - rose 4.62%. Higher-risk bond categories fared best, with The BofA Merrill LynchSM US High Yield Constrained Index gaining 8.15%. Bonds backed by the U.S. government were among the weakest performers, with the Barclays Capital® U.S. Treasury Bond Index adding 4.17%, while short-term assets fared the worst, as gauged by the 0.16% increase in the Barclays Capital U.S. 3 Month Treasury Bellwether Index.

Comments from Robert Stansky, Head of Fidelity's Stock Selector Large Cap Group, which manages Fidelity Advisor® Balanced Fund: For the year, the fund's Institutional Class shares returned 13.69%, outperforming the 13.05% advance of the Fidelity Balanced 60/40 Composite Index, a hypothetical blend of the total returns of the S&P 500® Index and the Barclays Capital U.S. Aggregate Bond Index, using weightings of 60% and 40%, respectively. The fund was aided by security selection in equities and investment-grade bonds. In terms of asset allocation, overweighting equities and underweighting investment-grade bonds contributed, while a small stake in high-yield bonds nicked relative performance. On an individual security basis, limited exposure to Bank of America was beneficial, as its shares fell sharply due to concern about capital requirements. Not owning networking gear maker and index component Cisco Systems and largely avoiding computer and peripherals firm Hewlett-Packard helped, as both lost ground. Conversely, not owning IBM and underweighting integrated energy firm Chevron hurt because both stocks saw strong advances. An out-of-index position in health information services provider WebMD Health detracted, mainly because its shares plunged in July. Some stocks mentioned were not held at period end.

Annual Report

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report 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, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2011 to August 31, 2011).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

Annual Report

 

Annualized
Expense Ratio

Beginning
Account Value
March 1, 2011

Ending
Account Value
August 31, 2011

Expenses Paid
During Period*
March 1, 2011 to August 31, 2011

Class A

.99%

 

 

 

Actual

 

$ 1,000.00

$ 963.60

$ 4.90

Hypothetical A

 

$ 1,000.00

$ 1,020.21

$ 5.04

Class T

1.19%

 

 

 

Actual

 

$ 1,000.00

$ 962.30

$ 5.89

Hypothetical A

 

$ 1,000.00

$ 1,019.21

$ 6.06

Class B

1.78%

 

 

 

Actual

 

$ 1,000.00

$ 959.50

$ 8.79

Hypothetical A

 

$ 1,000.00

$ 1,016.23

$ 9.05

Class C

1.73%

 

 

 

Actual

 

$ 1,000.00

$ 960.50

$ 8.55

Hypothetical A

 

$ 1,000.00

$ 1,016.48

$ 8.79

Institutional Class

.70%

 

 

 

Actual

 

$ 1,000.00

$ 965.50

$ 3.47

Hypothetical A

 

$ 1,000.00

$ 1,021.68

$ 3.57

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Annual Report

Investment Changes (Unaudited)

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

Top Five Stocks as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

2.8

2.6

Microsoft Corp.

1.5

1.0

Procter & Gamble Co.

1.3

1.2

The Coca-Cola Co.

1.2

1.0

Google, Inc. Class A

1.1

0.1

 

7.9

Top Five Bond Issuers as of August 31, 2011

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

Fannie Mae

13.3

10.0

U.S. Treasury Obligations

10.3

11.7

Freddie Mac

3.5

2.1

Ginnie Mae

2.3

2.1

Wachovia Bank Commercial Mortgage Trust

0.5

0.5

 

29.9

Top Five Market Sectors as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

12.4

13.7

Information Technology

11.6

11.6

Energy

8.4

9.2

Consumer Discretionary

7.3

7.6

Consumer Staples

7.2

6.5

Asset Allocation (% of fund's net assets)

As of August 31, 2011*

As of February 28, 2011**

fid46

Stocks and
Equity Futures 58.0%

 

fid46

Stocks and
Equity Futures 60.9%

 

fid49

Bonds 44.0%

 

fid51

Bonds 40.2%

 

fid53

Convertible
Securities 0.1%

 

fid55

Convertible
Securities 0.0%

 

fid57

Other Investments 0.3%

 

fid57

Other Investments 0.3%

 

fid60

Short-Term
Investments and
Net Other Assets*** (2.4)%

 

fid60

Short-Term
Investments and
Net Other Assets*** (1.4)%

 

fid97

* Foreign investments

12.0%

 

** Foreign investments

11.6%

 

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

Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.

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

Annual Report

Investments August 31, 2011

Showing Percentage of Net Assets

Common Stocks - 57.3%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 6.1%

Distributors - 0.0%

Indiabulls Wholesale Services Ltd.

18,449

$ 2

Hotels, Restaurants & Leisure - 1.7%

Arcos Dorados Holdings, Inc.

71,293

1,966

Betfair Group PLC

107,905

1,080

Las Vegas Sands Corp. (a)

81,246

3,784

Pinnacle Entertainment, Inc. (a)

89,910

1,234

Starbucks Corp.

106,359

4,108

Yum! Brands, Inc.

88,908

4,834

 

17,006

Internet & Catalog Retail - 1.0%

Amazon.com, Inc. (a)

21,121

4,547

Priceline.com, Inc. (a)

10,223

5,492

 

10,039

Media - 1.8%

DIRECTV (a)

133,071

5,851

Focus Media Holding Ltd. ADR (a)

19,604

615

Legend Pictures LLC (a)(q)(r)

415

311

The Walt Disney Co.

165,026

5,621

Time Warner, Inc.

203,973

6,458

 

18,856

Multiline Retail - 0.4%

Dollar General Corp. (a)

116,083

4,249

Specialty Retail - 0.8%

Abercrombie & Fitch Co. Class A

54,689

3,479

Limited Brands, Inc.

91,737

3,462

TJX Companies, Inc.

22,100

1,207

 

8,148

Textiles, Apparel & Luxury Goods - 0.4%

Crocs, Inc. (a)

30,103

824

Under Armour, Inc. Class A (sub. vtg.) (a)

12,584

892

VF Corp.

16,383

1,918

 

3,634

TOTAL CONSUMER DISCRETIONARY

61,934

CONSUMER STAPLES - 6.7%

Beverages - 2.8%

Anheuser-Busch InBev SA NV

32,026

1,768

Carlsberg A/S Series B

2,279

171

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Coca-Cola Bottling Co. Consolidated

5,004

$ 280

Coca-Cola FEMSA SAB de CV sponsored ADR

3,562

352

Coca-Cola Icecek AS

24,062

299

Companhia de Bebidas das Americas (AmBev) (PN) sponsored ADR

10,170

362

Constellation Brands, Inc. Class A (sub. vtg.) (a)

112,732

2,229

Diageo PLC sponsored ADR

28,763

2,309

Embotelladora Andina SA sponsored ADR

13,174

361

Molson Coors Brewing Co. Class B

53,397

2,336

PepsiCo, Inc.

57,516

3,706

Pernod-Ricard SA

18,896

1,697

Remy Cointreau SA

8,581

756

The Coca-Cola Co.

165,675

11,672

 

28,298

Food & Staples Retailing - 0.7%

CVS Caremark Corp.

166,884

5,993

Drogasil SA

20,000

157

Fresh Market, Inc.

700

27

Walgreen Co.

29,951

1,055

 

7,232

Food Products - 0.4%

Archer Daniels Midland Co.

9,531

271

Bunge Ltd.

16,305

1,055

Danone

8,396

574

Green Mountain Coffee Roasters, Inc. (a)

2,211

232

Nestle SA

15,507

960

Unilever NV (NY Reg.)

30,561

1,039

Viterra, Inc.

16,200

172

 

4,303

Household Products - 1.5%

Colgate-Palmolive Co.

16,616

1,495

Procter & Gamble Co.

205,039

13,057

Spectrum Brands Holdings, Inc. (a)

13,106

351

 

14,903

Personal Products - 0.3%

Avon Products, Inc.

51,682

1,166

L'Oreal SA

15,100

1,644

Nu Skin Enterprises, Inc. Class A

4,300

182

 

2,992

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Tobacco - 1.0%

Altria Group, Inc.

31,897

$ 867

British American Tobacco PLC sponsored ADR

77,154

6,914

Philip Morris International, Inc.

26,947

1,868

Souza Cruz Industria Comerico

28,450

355

 

10,004

TOTAL CONSUMER STAPLES

67,732

ENERGY - 7.1%

Energy Equipment & Services - 2.2%

Aker Solutions ASA

26,900

351

Baker Hughes, Inc.

68,960

4,214

C&J Energy Services, Inc. (a)(g)

18,600

438

Discovery Offshore S.A. (a)(g)

50,600

75

Ensco International Ltd. ADR

27,666

1,335

Halliburton Co.

124,292

5,515

Kvaerner ASA (a)

26,900

52

National Oilwell Varco, Inc.

35,490

2,347

Noble Corp.

54,375

1,836

Ocean Rig UDW, Inc. (a)

5,200

78

Oceaneering International, Inc.

28,900

1,234

Saipem SpA

17,033

765

Schlumberger Ltd.

28,816

2,251

TETRA Technologies, Inc. (a)

21,400

219

Transocean Ltd. (United States)

33,564

1,880

Vantage Drilling Co. (a)

232,300

355

 

22,945

Oil, Gas & Consumable Fuels - 4.9%

Alpha Natural Resources, Inc. (a)

42,259

1,398

Anadarko Petroleum Corp.

40,248

2,968

Apache Corp.

43,543

4,488

BP PLC sponsored ADR

45,178

1,780

Canadian Natural Resources Ltd.

37,100

1,402

CVR Energy, Inc. (a)

20,131

573

Exxon Mobil Corp.

101,734

7,532

Falkland Oil & Gas Ltd. (a)

30,031

27

HollyFrontier Corp.

50,561

3,628

InterOil Corp. (a)

14,126

895

Marathon Oil Corp.

101,000

2,719

Marathon Petroleum Corp.

53,450

1,981

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Niko Resources Ltd.

10,878

$ 619

Occidental Petroleum Corp.

34,086

2,957

Petrobank Energy & Resources Ltd. (a)

42,613

517

Petrominerales Ltd.

20,400

637

Resolute Energy Corp. (a)

42,703

576

Rockhopper Exploration PLC (a)

10,100

35

Rodinia Oil Corp. (a)

22,000

25

Royal Dutch Shell PLC:

Class A sponsored ADR

3,429

230

Class B sponsored ADR

136,212

9,192

Talisman Energy, Inc.

96,800

1,618

Western Refining, Inc. (a)

35,530

620

Whiting Petroleum Corp. (a)

22,136

1,043

Williams Companies, Inc.

77,800

2,100

 

49,560

TOTAL ENERGY

72,505

FINANCIALS - 8.2%

Capital Markets - 1.1%

Ameriprise Financial, Inc.

26,600

1,216

E*TRADE Financial Corp. (a)

68,000

840

Evercore Partners, Inc. Class A

13,500

354

ICAP PLC

44,800

346

Invesco Ltd.

38,862

711

Morgan Stanley

141,760

2,481

State Street Corp.

122,322

4,345

TD Ameritrade Holding Corp.

54,300

835

 

11,128

Commercial Banks - 2.4%

Banco Macro SA sponsored ADR

6,866

186

BB&T Corp.

45,845

1,022

CIT Group, Inc. (a)

10,064

348

FirstMerit Corp.

48,056

599

Huntington Bancshares, Inc.

273,895

1,378

Regions Financial Corp.

107,800

489

SunTrust Banks, Inc.

58,228

1,159

Synovus Financial Corp. (f)

327,405

475

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

U.S. Bancorp

331,440

$ 7,693

Wells Fargo & Co.

413,816

10,801

 

24,150

Consumer Finance - 0.5%

Capital One Financial Corp.

53,148

2,447

Discover Financial Services

29,396

740

Green Dot Corp. Class A (a)

11,531

377

Promise Co. Ltd. (a)

59,550

426

SLM Corp.

78,664

1,080

 

5,070

Diversified Financial Services - 1.1%

African Bank Investments Ltd.

116,600

593

Citigroup, Inc.

263,895

8,194

CME Group, Inc.

5,558

1,485

NBH Holdings Corp. Class A (a)(g)

28,500

485

 

10,757

Insurance - 2.1%

ACE Ltd.

32,307

2,086

Amlin PLC

130,375

660

Aon Corp.

38,191

1,785

Berkshire Hathaway, Inc.:

Class A (a)

7

768

Class B (a)

99,028

7,229

Fairfax Financial Holdings Ltd. (sub. vtg.)

5,800

2,339

Fidelity National Financial, Inc. Class A

27,390

465

Genworth Financial, Inc. Class A (a)

23,700

164

MetLife, Inc.

127,662

4,289

The Chubb Corp.

23,721

1,468

Validus Holdings Ltd.

18,579

480

 

21,733

Real Estate Investment Trusts - 0.7%

American Capital Agency Corp.

22,800

650

Annaly Capital Management, Inc.

35,588

645

Camden Property Trust (SBI)

13,488

901

Equity Lifestyle Properties, Inc.

6,000

414

Prologis, Inc.

63,522

1,730

Public Storage

20,023

2,477

The Macerich Co.

16,870

827

 

7,644

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - 0.2%

Ayala Land, Inc.

1,038,000

$ 390

BR Malls Participacoes SA

64,600

720

CB Richard Ellis Group, Inc. Class A (a)

3,955

60

Indiabulls Real Estate Ltd. (a)

159,597

296

PT Lippo Karawaci Tbk

6,034,125

535

 

2,001

Thrifts & Mortgage Finance - 0.1%

Ocwen Financial Corp. (a)

92,319

1,274

Washington Mutual, Inc. (a)(r)

130,000

10

 

1,284

TOTAL FINANCIALS

83,767

HEALTH CARE - 6.6%

Biotechnology - 1.4%

Alexion Pharmaceuticals, Inc. (a)

14,030

813

Amgen, Inc.

105,134

5,825

AVEO Pharmaceuticals, Inc. (a)

19,973

339

AVEO Pharmaceuticals, Inc.

3,908

66

Biogen Idec, Inc. (a)

30,926

2,913

BioMarin Pharmaceutical, Inc. (a)

30,405

900

Gilead Sciences, Inc. (a)

69,122

2,757

Medivir AB (B Shares) (a)

16,254

249

ONYX Pharmaceuticals, Inc. (a)

12,331

420

 

14,282

Health Care Equipment & Supplies - 1.8%

Baxter International, Inc.

81,478

4,561

Boston Scientific Corp. (a)

272,161

1,845

C. R. Bard, Inc.

14,362

1,368

Covidien PLC

112,893

5,891

Edwards Lifesciences Corp. (a)

27,148

2,048

Mako Surgical Corp. (a)

31,286

1,123

Quidel Corp. (a)

55,670

851

Shandong Weigao Group Medical Polymer Co. Ltd. (H Shares)

128,000

161

William Demant Holding A/S (a)

3,469

287

 

18,135

Health Care Providers & Services - 1.4%

CIGNA Corp.

38,139

1,783

Express Scripts, Inc. (a)

4,600

216

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

Henry Schein, Inc. (a)

33,900

$ 2,234

McKesson Corp.

56,808

4,541

Omnicare, Inc.

41,400

1,230

Shanghai Pharma Holding Co. Ltd. (H Shares)

3,500

7

UnitedHealth Group, Inc.

86,951

4,132

 

14,143

Life Sciences Tools & Services - 0.2%

Thermo Fisher Scientific, Inc. (a)

37,378

2,053

Pharmaceuticals - 1.8%

Bayer AG

5,964

385

Merck & Co., Inc.

91,468

3,029

Novo Nordisk A/S Series B

3,411

363

Pfizer, Inc.

396,091

7,518

Sanofi-Aventis sponsored ADR

68,500

2,505

Shire PLC sponsored ADR

27,833

2,703

Valeant Pharmaceuticals International, Inc. (Canada)

37,140

1,665

 

18,168

TOTAL HEALTH CARE

66,781

INDUSTRIALS - 6.3%

Aerospace & Defense - 2.5%

Bombardier, Inc. Class B (sub. vtg.)

228,900

1,115

Goodrich Corp.

32,862

2,931

Honeywell International, Inc.

66,176

3,164

MTU Aero Engines Holdings AG

9,974

679

Precision Castparts Corp.

22,335

3,660

Safran SA

38,962

1,513

Textron, Inc.

76,312

1,287

The Boeing Co.

64,683

4,325

United Technologies Corp.

86,846

6,448

 

25,122

Air Freight & Logistics - 0.1%

C.H. Robinson Worldwide, Inc.

15,434

1,088

Building Products - 0.2%

Armstrong World Industries, Inc.

16,644

670

Lennox International, Inc.

17,533

547

Owens Corning (a)

42,544

1,236

 

2,453

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Commercial Services & Supplies - 0.3%

Republic Services, Inc.

67,459

$ 2,048

Stericycle, Inc. (a)

12,978

1,138

Swisher Hygiene, Inc.

78,700

352

 

3,538

Construction & Engineering - 0.2%

Fluor Corp.

21,400

1,299

Foster Wheeler AG (a)

40,100

984

 

2,283

Electrical Equipment - 0.7%

Acuity Brands, Inc.

17,725

816

Alstom SA

26,953

1,252

Cooper Industries PLC Class A

21,420

1,015

Emerson Electric Co.

40,018

1,863

GrafTech International Ltd. (a)

48,367

759

Regal-Beloit Corp.

29,665

1,744

 

7,449

Industrial Conglomerates - 1.0%

Danaher Corp.

66,365

3,040

General Electric Co.

339,301

5,534

Tyco International Ltd.

36,942

1,536

 

10,110

Machinery - 0.5%

Caterpillar, Inc.

10,537

959

Cummins, Inc.

17,611

1,636

Fanuc Corp.

4,700

782

Pall Corp.

11,900

608

Vallourec SA (f)

6,683

602

 

4,587

Professional Services - 0.1%

CoStar Group, Inc. (a)

10,686

547

Road & Rail - 0.7%

CSX Corp.

138,116

3,030

Union Pacific Corp.

47,068

4,338

 

7,368

TOTAL INDUSTRIALS

64,545

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - 11.2%

Communications Equipment - 1.2%

Ciena Corp. (a)

35,539

$ 435

Meru Networks, Inc. (a)

9,366

86

Nokia Corp. sponsored ADR (f)

97,100

625

QUALCOMM, Inc.

215,544

11,092

 

12,238

Computers & Peripherals - 3.4%

Apple, Inc. (a)

74,199

28,551

Dell, Inc. (a)

84,646

1,258

EMC Corp. (a)

166,988

3,772

Imagination Technologies Group PLC (a)

9,369

54

SanDisk Corp. (a)

30,734

1,126

 

34,761

Electronic Equipment & Components - 0.0%

TPK Holdings Co.

1,550

38

Internet Software & Services - 1.6%

Baidu.com, Inc. sponsored ADR (a)

22,095

3,221

Dice Holdings, Inc. (a)

42,670

431

Google, Inc. Class A (a)

21,439

11,598

Mail.ru Group Ltd. GDR (a)(g)

16,400

590

Renren, Inc. ADR (f)

56,400

414

WebMD Health Corp. (a)

13,057

461

 

16,715

IT Services - 0.6%

Accenture PLC Class A

62,482

3,348

Cognizant Technology Solutions Corp. Class A (a)

13,608

863

MasterCard, Inc. Class A

2,100

692

Visa, Inc. Class A

8,193

720

 

5,623

Semiconductors & Semiconductor Equipment - 2.1%

Analog Devices, Inc.

112,232

3,706

ARM Holdings PLC sponsored ADR

66,832

1,843

ASAT Holdings Ltd. (a)

6,352

0

ASML Holding NV

60,045

2,118

Avago Technologies Ltd.

62,498

2,069

Inotera Memories, Inc. (a)

1,523,205

351

International Rectifier Corp. (a)

29,352

669

Intersil Corp. Class A

94,261

1,059

KLA-Tencor Corp.

18,624

683

Lam Research Corp. (a)

10,871

404

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Marvell Technology Group Ltd. (a)

237,697

$ 3,126

Micron Technology, Inc. (a)

599,189

3,541

Nanya Technology Corp. (a)

597,799

108

Omnivision Technologies, Inc. (a)

5,820

107

RF Micro Devices, Inc. (a)

45,340

282

Skyworks Solutions, Inc. (a)

36,888

761

TriQuint Semiconductor, Inc. (a)

26,455

201

 

21,028

Software - 2.3%

Ariba, Inc. (a)

46,732

1,268

Check Point Software Technologies Ltd. (a)

79,694

4,339

Intuit, Inc.

22,114

1,091

Microsoft Corp.

553,490

14,723

Nuance Communications, Inc. (a)

37,705

700

Oracle Corp.

31,463

883

QLIK Technologies, Inc. (a)

3,470

88

 

23,092

TOTAL INFORMATION TECHNOLOGY

113,495

MATERIALS - 1.8%

Chemicals - 1.2%

Albemarle Corp.

11,933

605

Ashland, Inc.

23,760

1,260

Celanese Corp. Class A

28,100

1,321

CF Industries Holdings, Inc.

7,500

1,371

Dow Chemical Co.

27,091

771

LyondellBasell Industries NV Class A

36,006

1,248

Monsanto Co.

30,469

2,100

Praxair, Inc.

18,800

1,852

The Mosaic Co.

19,525

1,389

W.R. Grace & Co. (a)

7,700

304

 

12,221

Containers & Packaging - 0.2%

Ball Corp.

37,600

1,351

Rock-Tenn Co. Class A

13,900

746

 

2,097

Metals & Mining - 0.4%

Anglo American PLC (United Kingdom)

62,551

2,608

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Metals & Mining - continued

Reliance Steel & Aluminum Co.

21,483

$ 890

Walter Energy, Inc.

10,796

882

 

4,380

TOTAL MATERIALS

18,698

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 0.7%

CenturyLink, Inc.

153,288

5,541

Verizon Communications, Inc.

51,986

1,880

 

7,421

Wireless Telecommunication Services - 0.5%

American Tower Corp. Class A (a)

69,144

3,724

MetroPCS Communications, Inc. (a)

47,727

533

Sprint Nextel Corp. (a)

158,862

597

 

4,854

TOTAL TELECOMMUNICATION SERVICES

12,275

UTILITIES - 2.1%

Electric Utilities - 1.1%

Edison International

75,010

2,790

Exelon Corp.

47,556

2,051

FirstEnergy Corp.

49,873

2,207

NextEra Energy, Inc.

65,633

3,723

 

10,771

Independent Power Producers & Energy Traders - 0.4%

Constellation Energy Group, Inc.

61,006

2,348

NRG Energy, Inc. (a)

31,902

748

The AES Corp. (a)

126,887

1,378

 

4,474

Multi-Utilities - 0.6%

Dominion Resources, Inc.

6,200

302

PG&E Corp.

33,652

1,425

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Multi-Utilities - continued

Public Service Enterprise Group, Inc.

64,879

$ 2,214

Sempra Energy

39,650

2,082

 

6,023

TOTAL UTILITIES

21,268

TOTAL COMMON STOCKS

(Cost $553,599)

583,000

Preferred Stocks - 0.1%

 

 

 

 

Convertible Preferred Stocks - 0.0%

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

ASAT Holdings Ltd. 13.00% (a)

173

0

Nonconvertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

Volkswagen AG

6,280

1,046

TOTAL PREFERRED STOCKS

(Cost $1,115)

1,046

Nonconvertible Bonds - 7.7%

 

Principal Amount (000s)

 

CONSUMER DISCRETIONARY - 0.7%

Auto Components - 0.0%

DaimlerChrysler NA Holding Corp. 5.75% 9/8/11

$ 45

45

Household Durables - 0.1%

Fortune Brands, Inc.:

5.375% 1/15/16

4

4

5.875% 1/15/36

169

173

6.375% 6/15/14

369

412

 

589

Media - 0.6%

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

500

613

Comcast Corp.:

4.95% 6/15/16

15

17

5.15% 3/1/20

14

16

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Comcast Corp.: - continued

5.7% 5/15/18

$ 515

$ 596

6.4% 3/1/40

487

552

6.45% 3/15/37

238

264

Discovery Communications LLC:

3.7% 6/1/15

260

278

6.35% 6/1/40

236

266

NBCUniversal Media LLC:

3.65% 4/30/15

137

145

5.15% 4/30/20

431

477

6.4% 4/30/40

309

349

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

510

601

News America, Inc.:

6.15% 3/1/37

235

245

6.15% 2/15/41

218

227

Time Warner Cable, Inc.:

5.4% 7/2/12

19

20

5.85% 5/1/17

363

409

6.2% 7/1/13

18

20

6.75% 7/1/18

439

517

Time Warner, Inc.:

3.15% 7/15/15

9

9

5.875% 11/15/16

12

14

6.5% 11/15/36

232

259

Viacom, Inc.:

3.5% 4/1/17

583

603

6.75% 10/5/37

105

122

 

6,619

Specialty Retail - 0.0%

Staples, Inc. 7.375% 10/1/12

18

19

TOTAL CONSUMER DISCRETIONARY

7,272

CONSUMER STAPLES - 0.4%

Beverages - 0.1%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13

4

4

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Anheuser-Busch InBev Worldwide, Inc.: - continued

5.375% 11/15/14

$ 358

$ 404

FBG Finance Ltd. 5.125% 6/15/15 (g)

23

25

 

433

Food & Staples Retailing - 0.0%

CVS Caremark Corp. 4.125% 5/15/21

136

138

Food Products - 0.1%

Kraft Foods, Inc.:

5.375% 2/10/20

387

439

5.625% 11/1/11

4

4

6.125% 2/1/18

416

492

6.5% 8/11/17

375

453

 

1,388

Tobacco - 0.2%

Altria Group, Inc.:

8.5% 11/10/13

11

13

9.7% 11/10/18

962

1,270

Philip Morris International, Inc. 4.875% 5/16/13

291

310

Reynolds American, Inc.:

6.75% 6/15/17

23

27

7.25% 6/15/37

409

456

 

2,076

TOTAL CONSUMER STAPLES

4,035

ENERGY - 1.1%

Energy Equipment & Services - 0.1%

DCP Midstream LLC 5.35% 3/15/20 (g)

327

360

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

371

390

6.5% 4/1/20

24

27

Noble Holding International Ltd. 3.45% 8/1/15

20

21

Weatherford International Ltd.:

4.95% 10/15/13

14

15

5.15% 3/15/13

18

19

 

832

Oil, Gas & Consumable Fuels - 1.0%

Anadarko Petroleum Corp.:

5.95% 9/15/16

16

18

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Anadarko Petroleum Corp.: - continued

6.375% 9/15/17

$ 673

$ 777

Canadian Natural Resources Ltd.:

5.15% 2/1/13

36

38

5.7% 5/15/17

9

11

Duke Energy Field Services:

5.375% 10/15/15 (g)

10

11

6.45% 11/3/36 (g)

375

423

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

7

8

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

23

25

Enterprise Products Operating LP 5.6% 10/15/14

16

18

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

31

32

Gulfstream Natural Gas System LLC 6.95% 6/1/16 (g)

7

8

Marathon Petroleum Corp. 5.125% 3/1/21 (g)

215

229

Midcontinent Express Pipeline LLC 5.45% 9/15/14 (g)

357

384

Motiva Enterprises LLC:

5.75% 1/15/20 (g)

156

181

6.85% 1/15/40 (g)

223

284

Nakilat, Inc. 6.067% 12/31/33 (g)

279

301

Nexen, Inc.:

5.2% 3/10/15

7

8

5.875% 3/10/35

355

335

6.2% 7/30/19

19

22

6.4% 5/15/37

290

298

NGPL PipeCo LLC 6.514% 12/15/12 (g)

273

282

Pemex Project Funding Master Trust 0.8529% 12/3/12 (g)(n)

200

200

Petro-Canada:

6.05% 5/15/18

150

174

6.8% 5/15/38

395

462

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

354

363

5.75% 1/20/20

606

657

7.875% 3/15/19

399

485

Petroleos Mexicanos:

5.5% 1/21/21 (g)

369

401

6% 3/5/20

21

24

Plains All American Pipeline LP/PAA Finance Corp.:

3.95% 9/15/15

202

214

4.25% 9/1/12

16

17

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Plains All American Pipeline LP/PAA Finance Corp.: - continued

5% 2/1/21

$ 117

$ 124

6.125% 1/15/17

205

235

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

14

16

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (g)

250

259

5.5% 9/30/14 (g)

250

276

6.332% 9/30/27 (g)

380

425

6.75% 9/30/19 (g)

250

300

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

22

24

Spectra Energy Capital, LLC 5.65% 3/1/20

10

11

Spectra Energy Partners, LP:

2.95% 6/15/16

69

71

4.6% 6/15/21

90

93

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

395

458

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

326

390

Western Gas Partners LP 5.375% 6/1/21

393

414

XTO Energy, Inc. 4.9% 2/1/14

9

10

 

9,796

TOTAL ENERGY

10,628

FINANCIALS - 3.8%

Capital Markets - 0.7%

Bear Stearns Companies, Inc. 5.3% 10/30/15

17

18

BlackRock, Inc. 4.25% 5/24/21

165

168

Goldman Sachs Group, Inc.:

3.7% 8/1/15

350

354

5.25% 7/27/21

156

158

5.625% 1/15/17

500

518

5.95% 1/18/18

32

34

6% 6/15/20

600

640

6.15% 4/1/18

36

38

6.75% 10/1/37

187

177

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

19

19

JPMorgan Chase Capital XX 6.55% 9/29/36

235

233

JPMorgan Chase Capital XXV 6.8% 10/1/37

1,000

993

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Lazard Group LLC:

6.85% 6/15/17

$ 31

$ 35

7.125% 5/15/15

11

12

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

160

164

6.4% 8/28/17

61

62

Morgan Stanley:

4.75% 4/1/14

335

340

5.5% 7/28/21

359

358

6% 5/13/14

1,998

2,097

6.625% 4/1/18

600

642

Northern Trust Corp. 3.375% 8/23/21

92

92

 

7,152

Commercial Banks - 0.6%

Bank of America NA 5.3% 3/15/17

800

783

Credit Suisse New York Branch 6% 2/15/18

632

665

Discover Bank 8.7% 11/18/19

445

524

Fifth Third Bancorp:

3.625% 1/25/16

206

209

8.25% 3/1/38

94

106

Fifth Third Bank 4.75% 2/1/15

250

267

Fifth Third Capital Trust IV 6.5% 4/15/67 (n)

233

216

HBOS PLC 6.75% 5/21/18 (g)

180

166

Huntington Bancshares, Inc. 7% 12/15/20

97

111

JPMorgan Chase Bank 6% 10/1/17

250

280

KeyBank NA:

5.45% 3/3/16

294

319

5.8% 7/1/14

322

352

KeyCorp. 5.1% 3/24/21

192

196

Marshall & Ilsley Bank:

5% 1/17/17

231

248

5.25% 9/4/12

112

115

Regions Bank:

6.45% 6/26/37

402

343

7.5% 5/15/18

282

275

Regions Financial Corp.:

0.4165% 6/26/12 (n)

11

11

5.75% 6/15/15

73

69

7.75% 11/10/14

229

227

SunTrust Banks, Inc. 3.6% 4/15/16

327

328

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

UnionBanCal Corp. 5.25% 12/16/13

$ 5

$ 5

Wachovia Corp. 5.625% 10/15/16

27

30

Wells Fargo & Co.:

3.625% 4/15/15

218

228

3.676% 6/15/16

160

169

 

6,242

Consumer Finance - 0.4%

Capital One Financial Corp. 5.7% 9/15/11

193

193

Discover Financial Services:

6.45% 6/12/17

1,019

1,146

10.25% 7/15/19

19

25

General Electric Capital Corp.:

2.25% 11/9/15

633

636

2.95% 5/9/16

185

187

3.5% 6/29/15

192

201

6% 8/7/19

1,000

1,124

6.375% 11/15/67 (n)

500

495

Household Finance Corp. 6.375% 10/15/11

15

15

 

4,022

Diversified Financial Services - 0.6%

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

1,060

1,101

BP Capital Markets PLC:

3.125% 10/1/15

370

387

3.625% 5/8/14

23

24

4.5% 10/1/20

21

23

4.742% 3/11/21

300

328

Capital One Capital V 10.25% 8/15/39

178

185

Citigroup, Inc.:

3.953% 6/15/16

397

405

4.75% 5/19/15

1,151

1,200

5.5% 4/11/13

120

125

6.125% 5/15/18

590

644

6.5% 8/19/13

164

174

JPMorgan Chase & Co.:

3.15% 7/5/16

430

439

3.4% 6/24/15

21

22

4.95% 3/25/20

661

704

Prime Property Funding, Inc.:

5.125% 6/1/15 (g)

57

60

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Diversified Financial Services - continued

Prime Property Funding, Inc.: - continued

5.5% 1/15/14 (g)

$ 6

$ 6

5.7% 4/15/17 (g)

13

14

TECO Finance, Inc.:

4% 3/15/16

96

103

5.15% 3/15/20

141

157

 

6,101

Insurance - 0.6%

Allstate Corp. 6.2% 5/16/14

264

299

Aon Corp.:

3.125% 5/27/16

339

339

3.5% 9/30/15

151

157

5% 9/30/20

170

183

6.25% 9/30/40

110

121

Assurant, Inc. 5.625% 2/15/14

15

16

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

12

11

Hartford Financial Services Group, Inc. 5.375% 3/15/17

6

6

Liberty Mutual Group, Inc.:

5% 6/1/21 (g)

394

384

6.5% 3/15/35 (g)

327

316

Marsh & McLennan Companies, Inc. 4.8% 7/15/21

233

238

MetLife, Inc.:

2.375% 2/6/14

201

205

4.75% 2/8/21

137

144

5.875% 2/6/41

106

113

6.75% 6/1/16

290

340

Metropolitan Life Global Funding I 5.125% 6/10/14 (g)

255

278

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

18

19

New York Life Insurance Co. 6.75% 11/15/39 (g)

130

153

Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (g)

207

227

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

28

30

Pacific Life Insurance Co. 9.25% 6/15/39 (g)

203

268

Pacific LifeCorp 6% 2/10/20 (g)

230

257

Prudential Financial, Inc.:

3.625% 9/17/12

500

512

4.75% 9/17/15

500

535

5.15% 1/15/13

26

27

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

Prudential Financial, Inc.: - continued

7.375% 6/15/19

$ 120

$ 143

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

10

9

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

38

40

The Chubb Corp. 5.75% 5/15/18

160

187

Unum Group:

5.625% 9/15/20

199

217

7.125% 9/30/16

19

22

 

5,796

Real Estate Investment Trusts - 0.2%

AvalonBay Communities, Inc. 5.5% 1/15/12

10

10

BRE Properties, Inc. 5.5% 3/15/17

21

23

Developers Diversified Realty Corp.:

4.75% 4/15/18

261

248

5.375% 10/15/12

133

135

7.5% 4/1/17

203

226

Duke Realty LP 4.625% 5/15/13

5

5

Equity One, Inc.:

5.375% 10/15/15

47

50

6.25% 12/15/14

947

1,017

Federal Realty Investment Trust:

5.9% 4/1/20

95

103

6% 7/15/12

23

24

HRPT Properties Trust 5.75% 11/1/15

50

54

UDR, Inc. 5.5% 4/1/14

498

533

Washington (REIT) 5.25% 1/15/14

10

11

 

2,439

Real Estate Management & Development - 0.6%

Arden Realty LP 5.2% 9/1/11

11

11

BioMed Realty LP:

3.85% 4/15/16

390

393

6.125% 4/15/20

126

136

Brandywine Operating Partnership LP:

5.7% 5/1/17

1,000

1,046

5.75% 4/1/12

39

40

Digital Realty Trust LP:

4.5% 7/15/15

172

178

5.25% 3/15/21

201

201

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

Duke Realty LP:

5.4% 8/15/14

$ 221

$ 234

5.95% 2/15/17

57

62

6.25% 5/15/13

285

301

6.5% 1/15/18

285

310

6.75% 3/15/20

12

13

8.25% 8/15/19

127

149

ERP Operating LP:

4.75% 7/15/20

265

275

5.375% 8/1/16

117

130

5.5% 10/1/12

139

145

5.75% 6/15/17

567

641

Liberty Property LP:

4.75% 10/1/20

394

402

5.125% 3/2/15

7

8

5.5% 12/15/16

12

13

6.625% 10/1/17

281

331

Mack-Cali Realty LP 7.75% 8/15/19

23

29

Simon Property Group LP 4.2% 2/1/15

138

147

Tanger Properties LP:

6.125% 6/1/20

355

401

6.15% 11/15/15

33

37

 

5,633

Thrifts & Mortgage Finance - 0.1%

Bank of America Corp.:

3.75% 7/12/16

410

405

5.65% 5/1/18

205

209

6.5% 8/1/16

300

322

First Niagara Financial Group, Inc. 6.75% 3/19/20

293

325

 

1,261

TOTAL FINANCIALS

38,646

HEALTH CARE - 0.1%

Biotechnology - 0.0%

Celgene Corp. 2.45% 10/15/15

20

20

Health Care Providers & Services - 0.1%

Express Scripts, Inc.:

3.125% 5/15/16

357

365

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

Express Scripts, Inc.: - continued

5.25% 6/15/12

$ 267

$ 276

6.25% 6/15/14

98

109

Medco Health Solutions, Inc.:

2.75% 9/15/15

38

39

4.125% 9/15/20

259

260

 

1,049

Pharmaceuticals - 0.0%

Watson Pharmaceuticals, Inc. 5% 8/15/14

23

25

TOTAL HEALTH CARE

1,094

INDUSTRIALS - 0.0%

Aerospace & Defense - 0.0%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (g)

18

19

6.375% 6/1/19 (g)

309

362

 

381

Airlines - 0.0%

Continental Airlines, Inc.:

6.648% 3/15/19

21

21

6.9% 7/2/19

6

6

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

12

12

8.36% 1/20/19

9

9

 

48

TOTAL INDUSTRIALS

429

INFORMATION TECHNOLOGY - 0.1%

Electronic Equipment & Components - 0.1%

Tyco Electronics Group SA:

5.95% 1/15/14

28

31

6% 10/1/12

788

832

 

863

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INFORMATION TECHNOLOGY - continued

Office Electronics - 0.0%

Xerox Corp.:

4.25% 2/15/15

$ 12

$ 13

5.5% 5/15/12

13

13

 

26

TOTAL INFORMATION TECHNOLOGY

889

MATERIALS - 0.2%

Chemicals - 0.1%

Dow Chemical Co.:

4.85% 8/15/12

425

441

7.6% 5/15/14

501

577

 

1,018

Construction Materials - 0.0%

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

15

17

Metals & Mining - 0.1%

Anglo American Capital PLC 9.375% 4/8/14 (g)

211

249

ArcelorMittal SA 3.75% 3/1/16

103

102

United States Steel Corp. 6.65% 6/1/37

232

189

Vale Overseas Ltd. 6.25% 1/23/17

503

571

 

1,111

TOTAL MATERIALS

2,146

TELECOMMUNICATION SERVICES - 0.5%

Diversified Telecommunication Services - 0.4%

AT&T, Inc.:

2.5% 8/15/15

922

944

6.3% 1/15/38

398

444

CenturyLink, Inc.:

6.15% 9/15/19

164

162

6.45% 6/15/21

433

421

7.6% 9/15/39

77

71

Embarq Corp. 7.995% 6/1/36

145

138

Sprint Capital Corp. 6.875% 11/15/28

370

331

Telefonica Emisiones SAU:

5.134% 4/27/20

380

361

5.462% 2/16/21

242

234

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Verizon Communications, Inc.:

6.25% 4/1/37

$ 187

$ 212

6.9% 4/15/38

260

316

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

21

22

 

3,656

Wireless Telecommunication Services - 0.1%

America Movil SAB de CV 2.375% 9/8/16 (i)

276

274

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

385

423

5.875% 10/1/19

440

507

6.35% 3/15/40

131

143

Sprint Nextel Corp. 6% 12/1/16

105

101

Vodafone Group PLC 5% 12/16/13

18

20

 

1,468

TOTAL TELECOMMUNICATION SERVICES

5,124

UTILITIES - 0.8%

Electric Utilities - 0.5%

Alabama Power Co. 3.375% 10/1/20

202

210

Ameren Illinois Co. 6.125% 11/15/17

165

195

AmerenUE 6.4% 6/15/17

24

29

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

33

36

Commonwealth Edison Co. 1.625% 1/15/14

464

468

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (g)

266

269

6.4% 9/15/20 (g)

555

581

Edison International 3.75% 9/15/17

226

234

EDP Finance BV:

4.9% 10/1/19 (g)

100

79

6% 2/2/18 (g)

247

207

FirstEnergy Corp. 7.375% 11/15/31

449

521

FirstEnergy Solutions Corp.:

4.8% 2/15/15

92

100

6.05% 8/15/21

317

347

LG&E and KU Energy LLC:

2.125% 11/15/15

255

253

3.75% 11/15/20

49

48

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Nevada Power Co.:

6.5% 5/15/18

$ 165

$ 198

6.5% 8/1/18

12

14

Pepco Holdings, Inc. 2.7% 10/1/15

240

245

Progress Energy, Inc.:

4.4% 1/15/21

419

445

6% 12/1/39

260

293

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

12

13

 

4,785

Gas Utilities - 0.0%

Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21 (g)

122

127

Independent Power Producers & Energy Traders - 0.1%

Duke Capital LLC 5.668% 8/15/14

16

18

Exelon Generation Co. LLC 4% 10/1/20

628

624

PPL Energy Supply LLC 6.5% 5/1/18

310

366

 

1,008

Multi-Utilities - 0.2%

Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40

136

156

Dominion Resources, Inc.:

6.3% 9/30/66 (n)

26

25

7.5% 6/30/66 (n)

26

27

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

19

20

6.5% 9/15/37

181

217

National Grid PLC 6.3% 8/1/16

183

213

NiSource Finance Corp.:

5.4% 7/15/14

11

12

5.45% 9/15/20

148

166

5.95% 6/15/41

396

404

6.25% 12/15/40

81

89

6.4% 3/15/18

11

13

6.8% 1/15/19

677

809

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Multi-Utilities - continued

San Diego Gas & Electric Co. 3% 8/15/21

$ 102

$ 102

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

21

21

 

2,274

TOTAL UTILITIES

8,194

TOTAL NONCONVERTIBLE BONDS

(Cost $72,810)

78,457

U.S. Government and Government Agency Obligations - 11.4%

 

U.S. Government Agency Obligations - 1.0%

Fannie Mae:

0.375% 12/28/12

540

541

0.5% 8/9/13

3,050

3,058

0.75% 2/26/13

164

165

1.125% 6/27/14

130

132

1.75% 2/22/13

2,658

2,713

5% 2/16/12

270

276

Freddie Mac:

0.75% 3/28/13

98

99

1% 7/30/14

1,270

1,288

1% 8/27/14

644

653

1.125% 7/27/12

60

60

1.75% 6/15/12

488

494

2.125% 3/23/12

21

21

Tennessee Valley Authority 5.375% 4/1/56

405

495

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

9,995

U.S. Treasury Inflation Protected Obligations - 1.5%

U.S. Treasury Inflation-Indexed Bonds:

2.125% 2/15/40

2,559

3,142

2.125% 2/15/41

258

318

2.5% 1/15/29

1,051

1,339

U.S. Treasury Inflation-Indexed Notes:

1.125% 1/15/21

3,643

3,992

1.375% 1/15/20

5,496

6,160

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

14,951

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - 8.9%

U.S. Treasury Bills, yield at date of purchase 0% to 0.05% 9/8/11 to 9/15/11 (k)

$ 530

$ 530

U.S. Treasury Bonds 4.375% 5/15/41

12,759

14,565

U.S. Treasury Notes:

0.5% 8/15/14

1,320

1,327

0.625% 7/15/14

1,992

2,010

0.75% 6/15/14

287

291

1% 8/31/16

849

850

1.25% 8/31/15

289

296

1.5% 7/31/16

3,363

3,454

1.875% 9/30/17

79

82

2.125% 8/15/21

940

931

2.375% 8/31/14

20,000

21,209

2.375% 9/30/14

5,000

5,307

2.375% 2/28/15

10,643

11,344

2.625% 7/31/14

6,880

7,338

3.125% 5/15/19

5,000

5,516

3.125% 5/15/21

14,658

15,854

TOTAL U.S. TREASURY OBLIGATIONS

90,904

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $107,608)

115,850

U.S. Government Agency - Mortgage Securities - 7.4%

 

Fannie Mae - 5.9%

2.303% 6/1/36 (n)

10

10

2.636% 7/1/37 (n)

33

35

3% 10/1/26 (i)

1,000

1,023

3.5% 10/1/40 to 4/1/41 (j)

2,378

2,397

4% 5/1/26 to 7/1/41

6,245

6,489

4% 9/1/41 (i)(j)

1,000

1,036

4% 9/1/41 (i)(j)

8,000

8,291

4% 9/1/41 (i)(j)

1,000

1,036

4% 9/1/41 (i)(j)

4,000

4,146

4% 9/1/41 (i)(j)

1,000

1,036

4.5% 9/1/26 (i)

100

107

4.5% 6/1/40 to 7/1/41

6,084

6,454

4.5% 9/1/41 (i)(j)

1,000

1,057

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

4.5% 9/1/41 (i)(j)

$ 1,000

$ 1,057

4.5% 9/1/41 (i)(j)

4,000

4,229

4.5% 9/1/41 (i)(j)

1,000

1,057

4.5% 9/1/41 (i)

1,000

1,057

5% 8/1/34 to 8/1/40

2,956

3,196

5% 9/1/41 (i)(j)

1,000

1,077

5% 9/1/41 (i)(j)

500

539

5% 9/1/41 (i)(j)

500

539

5.5% 11/1/33 to 9/1/38 (i)

3,968

4,358

5.5% 9/1/41 (i)(j)

2,000

2,186

5.5% 9/1/41 (i)(j)

1,000

1,093

5.5% 9/1/41 (i)(j)

1,000

1,093

5.5% 9/1/41 (i)(j)

1,000

1,093

6% 11/1/35 to 7/1/38

3,535

3,925

6% 9/1/41 (i)

400

443

TOTAL FANNIE MAE

60,059

Freddie Mac - 1.0%

3.261% 10/1/35 (n)

28

30

4.5% 7/1/39 to 2/1/41 (i)

2,968

3,137

4.5% 9/1/41 (i)(j)

1,000

1,055

4.5% 9/1/41 (i)(j)

500

528

5% 7/1/40 to 11/1/40

2,318

2,498

5.5% 10/1/38 to 11/1/38

2,696

2,941

TOTAL FREDDIE MAC

10,189

Ginnie Mae - 0.5%

3.5% 1/15/41

599

613

4% 9/1/41 (i)

1,000

1,058

4.5% 3/15/39 to 3/20/41

1,991

2,158

5% 12/15/39 to 8/15/40

954

1,056

TOTAL GINNIE MAE

4,885

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $74,295)

75,133

Asset-Backed Securities - 0.9%

 

Principal Amount (000s)

Value (000s)

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6884% 4/25/35 (n)

$ 65

$ 43

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1 Class M1, 0.9684% 3/25/34 (n)

0*

0*

Series 2005-HE2 Class M2, 0.6684% 4/25/35 (n)

6

6

Series 2006-OP1 Class M4, 0.5884% 4/25/36 (n)

5

0*

Advanta Business Card Master Trust Series 2006-C1 Class C1, 0.6758% 10/20/14 (n)

23

0*

Ally Auto Receivables Trust:

Series 2009-A:

Class A3, 2.33% 6/17/13 (g)

122

123

Class A4, 3% 10/15/15 (g)

160

165

Series 2010-5 Class A4, 1.75% 3/15/16

140

143

Series 2011-1 Class A4, 2.23% 3/15/16

630

651

Ally Master Owner Trust:

Series 2010-3 Class A, 2.88% 4/15/15 (g)

320

329

Series 2011-1 Class A2, 2.15% 1/15/16

310

316

Series 2011-3 Class A2, 1.81% 5/15/16

280

283

AmeriCredit Automobile Receivables Trust Series 2011-1 Class A3, 1.39% 9/8/15

260

261

AmeriCredit Prime Automobile Receivables Trust Series 2007-1 Class D, 5.62% 9/8/14

44

44

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.9184% 12/25/33 (n)

4

3

Series 2004-R2 Class M3, 0.7684% 4/25/34 (n)

6

2

Series 2005-R2 Class M1, 0.6684% 4/25/35 (n)

93

81

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9673% 3/25/34 (n)

2

1

Series 2004-W11 Class M2, 0.9184% 11/25/34 (n)

25

21

Series 2004-W7 Class M1, 0.7684% 5/25/34 (n)

27

19

Series 2006-W4 Class A2C, 0.3784% 5/25/36 (n)

61

16

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 1.0434% 4/25/34 (n)

120

93

Axon Financial Funding Ltd. 0.8458% 4/4/17 (d)(g)(n)

229

0

Bank of America Auto Trust Series 2009-1A Class A4, 3.52% 6/15/16 (g)

300

308

BMW Vehicle Lease Trust Series 2010-1 Class A3, 0.82% 4/15/13

490

490

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.2565% 12/25/24 (n)

66

57

C-BASS Trust Series 2006-CB7 Class A2, 0.2784% 10/25/36 (n)

0*

0*

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Capital Auto Receivables Trust Series 2007-2 Class A4A, 5.39% 2/18/14

$ 35

$ 35

Capital Trust Ltd. Series 2004-1:

Class A2, 0.663% 7/20/39 (g)(n)

13

9

Class B, 0.963% 7/20/39 (g)(n)

12

5

Class C, 1.313% 7/20/39 (g)(n)

15

1

Carmax Auto Owner Trust Series 2011-1 Class A3, 1.29% 9/15/15

290

293

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.5184% 7/25/36 (n)

52

3

Series 2007-RFC1 Class A3, 0.3584% 12/25/36 (n)

82

23

Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13

590

591

Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14

1,000

1,022

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

15

0

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.1884% 4/25/34 (n)

7

4

Series 2004-4 Class M2, 1.0134% 6/25/34 (n)

27

12

Series 2005-3 Class MV1, 0.6384% 8/25/35 (n)

26

25

Series 2005-AB1 Class A2, 0.4284% 8/25/35 (n)

2

2

CPS Auto Receivables Trust Series 2006-D Class A4, 5.115% 8/15/13 (FSA Insured) (g)

10

10

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.5908% 5/28/35 (n)

2

1

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3934% 8/25/34 (n)

13

8

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0434% 3/25/34 (n)

1

0*

Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.91% 7/15/13 (g)

490

491

Ford Credit Auto Owner Trust:

Series 2009-D:

Class A3, 2.17% 10/15/13

114

115

Class A4, 2.98% 8/15/14

200

206

Series 2010-B Class A3, 0.98% 10/15/14

330

331

Ford Credit Floorplan Master Owner Trust Series 2010-5 Class A1, 1.5% 9/15/15

340

343

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.7084% 1/25/35 (n)

43

17

Class M4, 0.8984% 1/25/35 (n)

16

4

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6918% 2/25/47 (g)(n)

106

63

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 58

$ 46

GE Business Loan Trust:

Series 2003-1 Class A, 0.6372% 4/15/31 (g)(n)

11

10

Series 2006-2A:

Class A, 0.3872% 11/15/34 (g)(n)

44

37

Class B, 0.4872% 11/15/34 (g)(n)

16

10

Class C, 0.5872% 11/15/34 (g)(n)

27

13

Class D, 0.9572% 11/15/34 (g)(n)

10

2

GSAMP Trust:

Series 2004-AR1 Class M1, 0.8684% 6/25/34 (n)

99

61

Series 2007-HE1 Class M1, 0.4684% 3/25/47 (n)

41

2

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3:

Class B, 0.6184% 9/25/46 (g)(n)

16

7

Class C, 0.7684% 9/25/46 (g)(n)

69

11

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.5084% 8/25/33 (n)

33

26

Series 2003-5 Class A2, 0.9184% 12/25/33 (n)

1

1

Series 2005-5 Class 2A2, 0.4684% 11/25/35 (n)

2

2

Series 2006-1 Class 2A3, 0.4434% 4/25/36 (n)

30

29

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.503% 3/20/36 (n)

30

25

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4084% 1/25/37 (n)

56

19

Hyundai Auto Receivables Trust Series 2009-A Class A3, 2.03% 8/15/13

131

132

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.3484% 11/25/36 (n)

56

44

Class MV1, 0.4484% 11/25/36 (n)

46

29

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.5765% 12/27/29 (n)

30

27

Series 2006-A Class 2C, 1.3965% 3/27/42 (n)

43

11

Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14 (FSA Insured)

22

22

Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.2984% 6/25/34 (n)

4

3

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (g)

1

1

Class C, 5.691% 10/20/28 (g)

0*

0*

Class D, 6.01% 10/20/28 (g)

4

4

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.4784% 10/25/36 (n)

20

1

Series 2007-HE1 Class M1, 0.5184% 5/25/37 (n)

36

1

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.1934% 7/25/34 (n)

$ 4

$ 3

Series 2006-FM1 Class A2B, 0.3284% 4/25/37 (n)

69

50

Series 2006-OPT1 Class A1A, 0.4784% 6/25/35 (n)

68

48

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5584% 8/25/34 (n)

3

2

Series 2005-NC1 Class M1, 0.6584% 1/25/35 (n)

18

12

Series 2005-NC2 Class B1, 1.3884% 3/25/35 (n)

19

2

National Collegiate Student Loan Trust:

Series 2004-2 Class A, 9.75% 10/27/14 (p)

112

10

Series 2006-4:

Class A1, 0.2484% 3/25/25 (n)

0*

0*

Class D, 1.3184% 5/25/32 (n)

32

0*

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.7284% 9/25/35 (n)

65

35

Series 2005-D Class M2, 0.6884% 2/25/36 (n)

13

3

Nissan Auto Lease Trust Series 2009-B Class A3, 2.07% 1/15/15

60

60

Nissan Auto Receivables Owner Trust Series 2010-A Class A4, 1.31% 9/15/16

200

202

Ocala Funding LLC:

Series 2005-1A Class A, 1.713% 3/20/10 (d)(g)(n)

25

0

Series 2006-1A Class A, 1.613% 3/20/11 (d)(g)(n)

53

0

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.3084% 5/25/37 (n)

1

1

Series 2007-6 Class 2A1, 0.2784% 7/25/37 (n)

3

3

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.4684% 9/25/34 (n)

24

14

Class M4, 1.6684% 9/25/34 (n)

31

13

Series 2005-WCH1:

Class M2, 0.7384% 1/25/36 (n)

35

32

Class M3, 0.7784% 1/25/36 (n)

22

14

Class M4, 1.0484% 1/25/36 (n)

67

34

Series 2005-WHQ2 Class M7, 1.4684% 5/25/35 (n)

79

1

Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.4484% 12/25/36 (n)

22

0*

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.2884% 2/25/37 (n)

0*

0*

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0184% 4/25/33 (n)

0*

0*

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0134% 3/25/35 (n)

65

51

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3363% 3/20/19 (FGIC Insured) (g)(n)

$ 23

$ 22

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.197% 6/15/33 (n)

57

26

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9434% 9/25/34 (n)

3

2

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0784% 9/25/34 (n)

1

1

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8058% 4/6/42 (g)(n)

59

4

Volkswagen Auto Lease Trust Series 2010-A Class A3, 0.99% 11/20/13

370

371

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

40

0

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

0*

0

Whinstone Capital Management Ltd. Series 1A Class B3, 2.053% 10/25/44 (g)(n)

81

45

TOTAL ASSET-BACKED SECURITIES

(Cost $8,373)

8,706

Collateralized Mortgage Obligations - 0.3%

 

Private Sponsor - 0.3%

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6565% 4/10/49 (n)

4

2

Class C, 5.6565% 4/10/49 (n)

11

4

Class D, 5.6565% 4/10/49 (n)

6

2

Banc of America Mortgage Securities, Inc.:

Series 2003-L Class 2A1, 2.9045% 1/25/34 (n)

22

19

Series 2004-1 Class 2A2, 3.2303% 10/25/34 (n)

35

30

Series 2004-A Class 2A2, 2.8478% 2/25/34 (n)

30

26

Series 2004-B:

Class 1A1, 2.7465% 3/25/34 (n)

3

2

Class 2A2, 2.8677% 3/25/34 (n)

12

11

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7784% 1/25/35 (n)

93

70

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 2.8968% 2/25/37 (n)

55

49

Series 2007-A2 Class 2A1, 3.0179% 7/25/37 (n)

12

11

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0737% 12/10/49 (n)

75

78

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.2809% 8/25/34 (n)

$ 47

$ 47

Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (n)

84

24

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7083% 7/16/34 (g)(n)

1

1

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.7846% 11/25/34 (n)

62

55

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.858% 10/25/34 (n)

51

46

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.7678% 11/20/56 (g)(n)

110

109

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 1.413% 12/20/54 (g)(n)

271

127

Series 2006-2 Class C1, 1.153% 12/20/54 (n)

242

113

Series 2006-3 Class C2, 0.713% 12/20/54 (n)

50

23

Series 2006-4:

Class B1, 0.303% 12/20/54 (n)

169

134

Class C1, 0.593% 12/20/54 (n)

103

48

Class M1, 0.383% 12/20/54 (n)

44

28

Series 2007-1:

Class 1C1, 0.813% 12/20/54 (n)

84

39

Class 1M1, 0.513% 12/20/54 (n)

54

35

Class 2C1, 1.173% 12/20/54 (n)

38

18

Class 2M1, 0.713% 12/20/54 (n)

70

45

Series 2007-2 Class 2C1, 0.6402% 12/17/54 (n)

97

45

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7013% 1/20/44 (n)

19

13

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 2.7323% 4/25/35 (n)

19

15

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (n)

1

1

Class A3, 5.447% 6/12/47 (n)

142

147

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.8639% 8/25/36 (n)

87

66

Series 2004-A3 Class 4A1, 2.7486% 7/25/34 (n)

57

55

Series 2004-A5 Class 2A1, 2.5513% 12/25/34 (n)

66

57

Series 2006-A2 Class 5A1, 2.9458% 11/25/33 (n)

152

139

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39

$ 34

$ 37

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4284% 5/25/47 (n)

41

26

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3884% 2/25/37 (n)

61

41

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.377% 6/15/22 (g)(n)

9

9

Class C, 0.397% 6/15/22 (g)(n)

58

54

Class D, 0.407% 6/15/22 (g)(n)

22

21

Class E, 0.417% 6/15/22 (g)(n)

35

33

Class F, 0.447% 6/15/22 (g)(n)

64

58

Class G, 0.517% 6/15/22 (g)(n)

13

12

Class H, 0.537% 6/15/22 (g)(n)

27

23

Class J, 0.577% 6/15/22 (g)(n)

31

27

Merrill Lynch Mortgage Investors Trust:

Series 2004-A4 Class A1, 2.6423% 8/25/34 (n)

79

75

Series 2005-A2 Class A7, 2.6224% 2/25/35 (n)

45

42

Series 2006-A6 Class A4, 3.1818% 10/25/33 (n)

50

45

Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (n)

321

334

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5084% 7/25/35 (n)

96

74

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5184% 3/25/37 (n)

111

5

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.6869% 10/25/35 (n)

168

134

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5558% 7/10/35 (g)(n)

33

26

Residential Asset Mortgage Products, Inc. sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31

7

7

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6684% 6/25/33 (g)(n)

9

8

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.275% 7/20/34 (n)

2

1

Structured Asset Securities Corp.:

Series 2003-15A Class 4A, 5.375% 4/25/33 (n)

24

22

Series 2003-20 Class 1A1, 5.5% 7/25/33

18

18

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.3873% 9/25/36 (n)

148

107

WaMu Mortgage pass-thru certificates:

Series 2003-AR8 Class A, 2.6863% 8/25/33 (n)

39

36

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

WaMu Mortgage pass-thru certificates: - continued

Series 2005-AR3 Class A2, 2.5791% 3/25/35 (n)

$ 108

$ 89

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 2.7571% 12/25/34 (n)

32

31

Series 2004-H Class A1, 2.7828% 6/25/34 (n)

56

53

Series 2004-W Class A9, 2.7617% 11/25/34 (n)

111

101

Series 2005-AR10 Class 2A2, 2.7607% 6/25/35 (n)

81

73

Series 2005-AR12 Class 2A6, 2.7552% 7/25/35 (n)

123

109

Series 2005-AR3 Class 2A1, 2.7804% 3/25/35 (n)

71

63

TOTAL PRIVATE SPONSOR

3,528

U.S. Government Agency - 0.0%

Fannie Mae subordinate REMIC pass-thru certificates planned amortization class Series 2002-9 Class PC, 6% 3/25/17

21

23

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $2,546)

3,551

Commercial Mortgage Securities - 2.6%

 

Asset Securitization Corp. Series 1997-D5:

Class A2, 6.8338% 2/14/43 (n)

55

57

Class A3, 6.8838% 2/14/43 (n)

60

63

Class A6, 7.2038% 2/14/43 (n)

88

92

Class PS1, 1.3868% 2/14/43 (n)(p)

211

4

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.7134% 5/10/45 (n)

84

89

Series 2006-5:

Class A2, 5.317% 9/10/47

255

256

Class A3, 5.39% 9/10/47

105

109

Series 2006-6 Class A3, 5.369% 10/10/45

150

157

Series 2007-4 Class A3, 5.798% 2/10/51 (n)

75

79

Series 2006-6 Class E, 5.619% 10/10/45 (g)

43

8

Series 2007-3:

Class A3, 5.6242% 6/10/49 (n)

125

131

Class A4, 5.6242% 6/10/49 (n)

156

164

Banc of America Commercial Mortgage, Inc.:

sequential payer:

Series 2001-1 Class A4, 5.451% 1/15/49

164

174

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Commercial Mortgage, Inc.: - continued

sequential payer: - continued

Series 2004-2:

Class A3, 4.05% 11/10/38

$ 12

$ 12

Class A4, 4.153% 11/10/38

95

98

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

66

66

Series 2007-1 Class A2, 5.381% 1/15/49

171

171

Series 2001-3 Class H, 6.562% 4/11/37 (g)

42

42

Series 2001-PB1:

Class J, 7.166% 5/11/35 (g)

19

19

Class K, 6.15% 5/11/35 (g)

35

35

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

233

244

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.5172% 3/15/22 (g)(n)

32

30

Class D, 0.5672% 3/15/22 (g)(n)

33

31

Class E, 0.6072% 3/15/22 (g)(n)

27

25

Class F, 0.6772% 3/15/22 (g)(n)

28

25

Class G, 0.7372% 3/15/22 (g)(n)

18

16

Series 2006-BIX1:

Class C, 0.3872% 10/15/19 (g)(n)

32

31

Class D, 0.4172% 10/15/19 (g)(n)

59

56

Class E, 0.4472% 10/15/19 (g)(n)

55

52

Class F, 0.5172% 10/15/19 (g)(n)

128

120

Class G, 0.5372% 10/15/19 (g)(n)

49

43

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.0684% 12/25/33 (g)(n)

3

2

Series 2004-1:

Class A, 0.5784% 4/25/34 (g)(n)

42

36

Class B, 2.1184% 4/25/34 (g)(n)

5

3

Class M1, 0.7784% 4/25/34 (g)(n)

4

3

Class M2, 1.4184% 4/25/34 (g)(n)

3

2

Series 2004-2:

Class A, 0.6484% 8/25/34 (g)(n)

33

27

Class M1, 0.7984% 8/25/34 (g)(n)

8

6

Series 2004-3:

Class A1, 0.5884% 1/25/35 (g)(n)

73

57

Class A2, 0.6384% 1/25/35 (g)(n)

10

8

Class M1, 0.7184% 1/25/35 (g)(n)

13

9

Class M2, 1.2184% 1/25/35 (g)(n)

8

5

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater: - continued

Series 2005-2A:

Class A1, 0.5284% 8/25/35 (g)(n)

$ 65

$ 51

Class M1, 0.6484% 8/25/35 (g)(n)

4

2

Class M2, 0.6984% 8/25/35 (g)(n)

6

3

Class M3, 0.7184% 8/25/35 (g)(n)

4

2

Class M4, 0.8284% 8/25/35 (g)(n)

3

2

Series 2005-3A:

Class A1, 0.5384% 11/25/35 (g)(n)

29

22

Class A2, 0.6184% 11/25/35 (g)(n)

24

18

Class M1, 0.6584% 11/25/35 (g)(n)

3

2

Class M2, 0.7084% 11/25/35 (g)(n)

4

2

Class M3, 0.7284% 11/25/35 (g)(n)

4

2

Class M4, 0.8184% 11/25/35 (g)(n)

5

2

Series 2005-4A:

Class A2, 0.6084% 1/25/36 (g)(n)

67

50

Class B1, 1.6184% 1/25/36 (g)(n)

6

1

Class M1, 0.6684% 1/25/36 (g)(n)

22

13

Class M2, 0.6884% 1/25/36 (g)(n)

6

3

Class M3, 0.7184% 1/25/36 (g)(n)

9

5

Class M4, 0.8284% 1/25/36 (g)(n)

5

2

Class M5, 0.8684% 1/25/36 (g)(n)

5

2

Class M6, 0.9184% 1/25/36 (g)(n)

6

2

Series 2006-1:

Class A2, 0.5784% 4/25/36 (g)(n)

10

8

Class M1, 0.5984% 4/25/36 (g)(n)

4

2

Class M2, 0.6184% 4/25/36 (g)(n)

4

2

Class M3, 0.6384% 4/25/36 (g)(n)

3

2

Class M4, 0.7384% 4/25/36 (g)(n)

2

1

Class M5, 0.7784% 4/25/36 (g)(n)

2

1

Class M6, 0.8584% 4/25/36 (g)(n)

4

1

Series 2006-2A:

Class A1, 0.4484% 7/25/36 (g)(n)

173

129

Class A2, 0.4984% 7/25/36 (g)(n)

9

7

Class B1, 1.0884% 7/25/36 (g)(n)

3

1

Class B3, 2.9184% 7/25/36 (g)(n)

5

1

Class M1, 0.5284% 7/25/36 (g)(n)

10

6

Class M2, 0.5484% 7/25/36 (g)(n)

7

4

Class M3, 0.5684% 7/25/36 (g)(n)

6

3

Class M4, 0.6384% 7/25/36 (g)(n)

4

2

Class M5, 0.6884% 7/25/36 (g)(n)

5

2

Class M6, 0.7584% 7/25/36 (g)(n)

7

3

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater: - continued

Series 2006-3A:

Class B1, 1.0184% 10/25/36 (g)(n)

$ 6

$ 1

Class B2, 1.5684% 10/25/36 (g)(n)

5

0*

Class B3, 2.8184% 10/25/36 (g)(n)

2

0*

Class M4, 0.6484% 10/25/36 (g)(n)

7

2

Class M5, 0.6984% 10/25/36 (g)(n)

8

2

Class M6, 0.7784% 10/25/36 (g)(n)

17

2

Series 2006-4A:

Class A1, 0.4484% 12/25/36 (g)(n)

30

21

Class A2, 0.4884% 12/25/36 (g)(n)

153

104

Class B1, 0.9184% 12/25/36 (g)(n)

5

1

Class B2, 1.4684% 12/25/36 (g)(n)

5

1

Class B3, 2.6684% 12/25/36 (g)(n)

8

1

Class M1, 0.5084% 12/25/36 (g)(n)

10

4

Class M2, 0.5284% 12/25/36 (g)(n)

6

2

Class M3, 0.5584% 12/25/36 (g)(n)

6

2

Class M4, 0.6184% 12/25/36 (g)(n)

8

2

Class M5, 0.6584% 12/25/36 (g)(n)

7

2

Class M6, 0.7384% 12/25/36 (g)(n)

6

1

Series 2007-1:

Class A2, 0.4884% 3/25/37 (g)(n)

34

22

Class B1, 0.8884% 3/25/37 (g)(n)

10

1

Class B2, 1.3684% 3/25/37 (g)(n)

7

1

Class B3, 3.5684% 3/25/37 (g)(n)

12

1

Class M1, 0.4884% 3/25/37 (g)(n)

9

3

Class M2, 0.5084% 3/25/37 (g)(n)

7

2

Class M3, 0.5384% 3/25/37 (g)(n)

6

2

Class M4, 0.5884% 3/25/37 (g)(n)

5

1

Class M5, 0.6384% 3/25/37 (g)(n)

8

2

Class M6, 0.7184% 3/25/37 (g)(n)

11

2

Series 2007-2A:

Class A1, 0.4884% 7/25/37 (g)(n)

31

22

Class A2, 0.5384% 7/25/37 (g)(n)

29

17

Class B1, 1.8184% 7/25/37 (g)(n)

9

1

Class B2, 2.4684% 7/25/37 (g)(n)

8

0*

Class B3, 3.5684% 7/25/37 (g)(n)

8

0*

Class M1, 0.5884% 7/25/37 (g)(n)

10

3

Class M2, 0.6284% 7/25/37 (g)(n)

5

1

Class M3, 0.7084% 7/25/37 (g)(n)

5

1

Class M4, 0.8684% 7/25/37 (g)(n)

11

2

Class M5, 0.9684% 7/25/37 (g)(n)

10

1

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-2A:

Class M6, 1.2184% 7/25/37 (g)(n)

$ 12

$ 1

Series 2007-3:

Class A2, 0.5084% 7/25/37 (g)(n)

38

23

Class B1, 1.1684% 7/25/37 (g)(n)

7

1

Class B2, 1.8184% 7/25/37 (g)(n)

19

2

Class B3, 4.2184% 7/25/37 (g)(n)

8

0*

Class M1, 0.5284% 7/25/37 (g)(n)

7

3

Class M2, 0.5584% 7/25/37 (g)(n)

7

2

Class M3, 0.5884% 7/25/37 (g)(n)

11

3

Class M4, 0.7184% 7/25/37 (g)(n)

18

4

Class M5, 0.8184% 7/25/37 (g)(n)

9

2

Class M6, 1.0184% 7/25/37 (g)(n)

7

1

Series 2007-4A:

Class B1, 2.7684% 9/25/37 (g)(n)

12

0*

Class B2, 3.6684% 9/25/37 (g)(n)

30

0*

Class M1, 1.1684% 9/25/37 (g)(n)

11

1

Class M2, 1.2684% 9/25/37 (g)(n)

11

1

Class M4, 1.8184% 9/25/37 (g)(n)

29

2

Class M5, 1.9684% 9/25/37 (g)(n)

29

1

Class M6, 2.1684% 9/25/37 (g)(n)

29

1

Series 2004-1 Class IO, 1.25% 4/25/34 (g)(p)

152

6

Series 2007-5A Class IO, 3.047% 10/25/37 (g)(n)(p)

367

36

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class H, 0.8572% 3/15/19 (g)(n)

20

19

Class J, 1.0572% 3/15/19 (g)(n)

18

16

Series 2007-BBA8:

Class D, 0.4572% 3/15/22 (g)(n)

25

23

Class E, 0.5072% 3/15/22 (g)(n)

128

119

Class F, 0.5572% 3/15/22 (g)(n)

78

71

Class G, 0.6072% 3/15/22 (g)(n)

20

18

Class H, 0.7572% 3/15/22 (g)(n)

25

21

Class J, 0.9072% 3/15/22 (g)(n)

25

20

sequential payer:

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

12

12

Series 2004-PWR3 Class A3, 4.487% 2/11/41

27

27

Series 2007-PW16 Class A4, 5.7154% 6/11/40 (n)

44

48

Series 2007-PW17 Class A1, 5.282% 6/11/50

13

13

Series 2007-T26 Class A1, 5.145% 1/12/45

11

11

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

Series 2003-PWR2 Class X2, 0.5275% 5/11/39 (g)(n)(p)

$ 529

$ 0*

Series 2006-PW13 Class A3, 5.518% 9/11/41

265

272

Series 2006-PW14 Class X2, 0.6524% 12/11/38 (g)(n)(p)

855

12

Series 2006-T22 Class A4, 5.5338% 4/12/38 (n)

9

10

Series 2007-PW16:

Class B, 5.7154% 6/11/40 (g)(n)

12

6

Class C, 5.7154% 6/11/40 (g)(n)

10

4

Class D, 5.7154% 6/11/40 (g)(n)

10

4

Series 2007-PW18 Class X2, 0.3152% 6/11/50 (g)(n)(p)

6,540

69

Series 2007-T28:

Class A1, 5.422% 9/11/42

1

1

Class X2, 0.1654% 9/11/42 (g)(n)(p)

3,222

21

C-BASS Trust floater Series 2006-SC1 Class A, 0.4884% 5/25/36 (g)(n)

36

25

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (g)

88

92

Class XCL, 2.2784% 5/15/35 (g)(n)(p)

502

9

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.5202% 8/15/21 (g)(n)

27

27

Class G, 0.5402% 8/15/21 (g)(n)

20

19

Class H, 0.5802% 8/15/21 (g)(n)

16

15

sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49

430

462

Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (g)

113

110

Series 2007-C6:

Class A1, 5.622% 12/10/49 (n)

490

490

Class A4, 5.6978% 12/10/49 (n)

249

269

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A2A, 5.237% 12/11/49

25

25

Class A4, 5.322% 12/11/49

430

447

Series 2007-CD4:

Class A3, 5.293% 12/11/49

73

75

Class C, 5.476% 12/11/49

141

28

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 5.8158% 5/15/46 (n)

75

80

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Cobalt CMBS Commercial Mortgage Trust: - continued

Series 2006-C1 Class B, 5.359% 8/15/48

$ 225

$ 45

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.4372% 4/15/17 (g)(n)

198

191

Class C, 0.4772% 4/15/17 (g)(n)

60

58

Class D, 0.5172% 4/15/17 (g)(n)

43

41

Class E, 0.5772% 4/15/17 (g)(n)

14

13

Class F, 0.6172% 4/15/17 (g)(n)

8

7

Class G, 0.7572% 4/15/17 (g)(n)

8

7

Class H, 0.8272% 4/15/17 (g)(n)

8

7

Class J, 1.0572% 4/15/17 (g)(n)

6

5

Series 2005-FL11:

Class C, 0.5072% 11/15/17 (g)(n)

57

54

Class D, 0.5472% 11/15/17 (g)(n)

3

3

Class E, 0.5972% 11/15/17 (g)(n)

11

10

Class F, 0.6572% 11/15/17 (g)(n)

8

8

Class G, 0.7072% 11/15/17 (g)(n)

6

5

Series 2006-FL12 Class AJ, 0.3372% 12/15/20 (g)(n)

107

98

sequential payer:

Series 2005-C6 Class A2, 4.999% 6/10/44 (n)

1

1

Series 2006-C8 Class A3, 5.31% 12/10/46

214

224

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (g)

127

126

Class AJFX, 5.478% 2/5/19 (g)

200

201

Series 2007-C9 Class A4, 5.8145% 12/10/49 (n)

166

182

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2006-C4 Class A3, 5.467% 9/15/39

93

97

Series 2007-C2:

Class A2, 5.448% 1/15/49 (n)

431

433

Class A3, 5.542% 1/15/49 (n)

150

158

Series 2007-C3 Class A4, 5.702% 6/15/39 (n)

425

443

Series 2006-C4 Class AAB, 5.439% 9/15/39

420

430

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

68

72

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5572% 4/15/22 (g)(n)

268

193

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

Series 2001-CK6 Class B, 6.582% 8/15/36

75

75

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse First Boston Mortgage Securities Corp.: - continued

sequential payer: - continued

Series 2004-C1:

Class A3, 4.321% 1/15/37

$ 8

$ 8

Class A4, 4.75% 1/15/37

35

37

Series 2001-CK6 Class AX, 0.837% 8/15/36 (n)(p)

88

0*

Series 2001-CKN5 Class AX, 1.9481% 9/15/34 (g)(n)(p)

151

0*

Series 2006-C1 Class A3, 5.422% 2/15/39 (n)

278

292

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.3572% 2/15/22 (g)(n)

28

24

Class C:

0.3772% 2/15/22 (g)(n)

84

72

0.4772% 2/15/22 (g)(n)

30

24

Class F, 0.5272% 2/15/22 (g)(n)

60

47

sequential payer Series 2007-C1 Class A2, 5.268% 2/15/40

1,216

1,216

Series 2007-C1:

Class ASP, 0.406% 2/15/40 (n)(p)

1,172

11

Class B, 5.487% 2/15/40 (g)(n)

115

17

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1:

Class D, 6.484% 3/15/33

3

3

Class G, 6.936% 3/15/33 (g)

49

48

GE Capital Commercial Mortgage Corp.:

sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49

443

461

Series 2001-1 Class X1, 1.1681% 5/15/33 (g)(n)(p)

115

1

Series 2007-C1 Class XP, 0.193% 12/10/49 (n)(p)

760

3

GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Class X2, 0.554% 5/10/43 (n)(p)

274

1

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.3956% 11/5/21 (g)(n)

28

27

sequential payer:

Series 2007-GG11 Class A2, 5.597% 12/10/49

150

154

Series 2007-GG9 Class A4, 5.444% 3/10/39

218

230

Series 2005-GG3 Class XP, 0.6673% 8/10/42 (g)(n)(p)

957

3

Series 2006-GG7:

Class A3, 5.881% 7/10/38 (n)

198

208

Class A4, 5.881% 7/10/38 (n)

350

381

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Greenwich Capital Commercial Funding Corp.: - continued

Series 2007-GG11 Class A1, 0.2902% 12/10/49 (g)(n)(p)

$ 1,672

$ 12

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class E, 0.5751% 6/6/20 (g)(n)

17

16

Class F, 0.6451% 6/6/20 (g)(n)

38

34

Series 2007-EOP:

Class C, 2.1455% 3/6/20 (g)(n)

44

42

Class D, 2.3636% 3/6/20 (g)(n)

117

112

Class F, 2.8433% 3/6/20 (g)(n)

4

4

Class G, 3.0177% 3/6/20 (g)(n)

2

2

sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38

23

23

Series 2005-GG4 Class XP, 0.7109% 7/10/39 (g)(n)(p)

1,237

7

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

252

252

GS Mortgage Securities Trust sequential payer:

Series 2006-GG8 Class A2, 5.479% 11/10/39

50

50

Series 2007-GG10:

Class A2, 5.778% 8/10/45

35

35

Class A4, 5.8001% 8/10/45 (n)

256

270

JP Morgan Chase Commercial Mortgage Securities Trust:

sequential payer:

Series 2006-CB14 Class A3B, 5.4764% 12/12/44 (n)

199

203

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

174

175

Class A3, 5.42% 1/15/49

321

340

Series 2005-CB13 Class E, 5.348% 1/12/43 (g)(n)

38

3

Series 2005-LDP3 Class A3, 4.959% 8/15/42

457

469

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (n)

14

3

Class CS, 5.466% 1/15/49 (n)

6

1

Class ES, 5.5379% 1/15/49 (g)(n)

39

3

JP Morgan Commercial Mortgage Finance Corp. Series 2000-C9 Class G, 6.25% 10/15/32 (g)

9

9

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.3772% 11/15/18 (g)(n)

48

44

Class C, 0.4172% 11/15/18 (g)(n)

34

31

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

floater Series 2006-FLA2: - continued

Class D, 0.4372% 11/15/18 (g)(n)

$ 10

$ 9

Class E, 0.4872% 11/15/18 (g)(n)

14

13

Class F, 0.5372% 11/15/18 (g)(n)

22

19

Class G, 0.5672% 11/15/18 (g)(n)

19

16

Class H, 0.7072% 11/15/18 (g)(n)

14

12

sequential payer:

Series 2006-LDP8 Class A4, 5.399% 5/15/45

48

52

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (n)

31

32

Class A3, 5.336% 5/15/47

31

32

Series 2007-CB19 Class A4, 5.7415% 2/12/49 (n)

263

278

Series 2007-LD11 Class A2, 5.8019% 6/15/49 (n)

211

215

Series 2006-CB17 Class A3, 5.45% 12/12/43

21

21

Series 2007-CB19:

Class B, 5.7415% 2/12/49 (n)

6

3

Class C, 5.7415% 2/12/49 (n)

17

7

Class D, 5.7415% 2/12/49 (n)

18

6

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 5.9407% 7/15/44 (n)

58

62

Series 1998-C1 Class D, 6.98% 2/18/30

17

17

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2006-C1 Class A2, 5.084% 2/15/31

11

11

Series 2006-C6 Class A2, 5.262% 9/15/39 (n)

42

42

Series 2006-C7:

Class A2, 5.3% 11/15/38

70

70

Class A3, 5.347% 11/15/38

56

59

Series 2007-C1:

Class A1, 5.391% 2/15/40 (n)

1

1

Class A4, 5.424% 2/15/40

210

224

Series 2007-C2 Class A3, 5.43% 2/15/40

146

152

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

26

26

Series 2001-C7 Class D, 6.514% 11/15/33

83

83

Series 2005-C3 Class XCP, 0.78% 7/15/40 (n)(p)

171

1

Series 2006-C6 Class XCP, 0.6735% 9/15/39 (n)(p)

346

5

Series 2007-C1 Class XCP, 0.472% 2/15/40 (n)(p)

129

1

Series 2007-C6 Class A4, 5.858% 7/15/40 (n)

94

100

Series 2007-C7:

Class A3, 5.866% 9/15/45

75

80

Class XCP, 0.2822% 9/15/45 (n)(p)

5,628

48

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

Class D, 0.4372% 9/15/21 (g)(n)

$ 24

$ 22

Class E, 0.4972% 9/15/21 (g)(n)

86

76

Class F, 0.5472% 9/15/21 (g)(n)

52

45

Class G, 0.5672% 9/15/21 (g)(n)

102

85

Class H, 0.6072% 9/15/21 (g)(n)

26

21

Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34

133

133

Merrill Lynch Mortgage Trust:

Series 2005-CKI1 Class A3, 5.2203% 11/12/37 (n)

59

59

Series 2005-LC1 Class F, 5.3796% 1/12/44 (g)(n)

65

33

Series 2006-C1 Class A2, 5.6285% 5/12/39 (n)

73

75

Series 2007-C1 Class A4, 5.8267% 6/12/50 (n)

284

301

Series 2008-C1 Class A4, 5.69% 2/12/51

160

172

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.3058% 12/12/49 (n)

31

31

sequential payer:

Series 2006-1 CLass A3, 5.4804% 2/12/39 (n)

80

81

Series 2006-4 Class ASB, 5.133% 12/12/49 (n)

64

67

Series 2007-5:

Class A3, 5.364% 8/12/48

499

506

Class A4, 5.378% 8/12/48

3

3

Class B, 5.479% 8/12/48

225

91

Series 2007-6:

Class A1, 5.175% 3/12/51

1

1

Class A4, 5.485% 3/12/51 (n)

550

577

Series 2007-7 Class A4, 5.7436% 6/12/50 (n)

263

284

Series 2007-8 Class A1, 4.622% 8/12/49

2

2

Series 2006-4 Class XP, 0.6205% 12/12/49 (n)(p)

925

17

Series 2007-6 Class B, 5.635% 3/12/51 (n)

75

34

Series 2007-7 Class B, 5.7436% 6/12/50 (n)

7

2

Series 2007-8 Class A3, 5.9665% 8/12/49 (n)

65

69

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.407% 7/15/19 (g)(n)

16

10

Series 2007-XCLA Class A1, 0.408% 7/17/17 (g)(n)

29

27

Series 2007-XLFA:

Class C, 0.368% 10/15/20 (g)(n)

43

39

Class D, 0.398% 10/15/20 (g)(n)

30

27

Class E, 0.458% 10/15/20 (g)(n)

38

33

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

floater: - continued

Series 2007-XLFA: - continued

Class F, 0.508% 10/15/20 (g)(n)

$ 23

$ 19

Class G, 0.548% 10/15/20 (g)(n)

28

22

Class H, 0.638% 10/15/20 (g)(n)

18

13

Class J, 0.788% 10/15/20 (g)(n)

20

12

Class MHRO, 0.898% 10/15/20 (g)(n)

18

15

Class MJPM, 1.208% 10/15/20 (g)(n)

1

1

Class NHRO, 1.098% 10/15/20 (g)(n)

27

21

sequential payer:

Series 2003-IQ5 Class X2, 0.9017% 4/15/38 (g)(n)(p)

198

0*

Series 2005-IQ9 Class A3, 4.54% 7/15/56

104

105

Series 2007-HQ11 Class A31, 5.439% 2/12/44 (n)

38

39

Series 2007-IQ13 Class A1, 5.05% 3/15/44

5

5

Series 2003-IQ6 Class X2, 0.5881% 12/15/41 (g)(n)(p)

444

1

Series 2005-IQ9 Class X2, 1.0893% 7/15/56 (g)(n)(p)

668

3

Series 2006-HQ8 Class A3, 5.4704% 3/12/44 (n)

44

44

Series 2006-IQ11:

Class A3, 5.694% 10/15/42 (n)

94

97

Class A4, 5.73% 10/15/42 (n)

23

25

Series 2006-T23 Class A3, 5.8184% 8/12/41 (n)

38

41

Series 2007-HQ12 Class A2, 5.5923% 4/12/49 (n)

489

493

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (n)

113

117

Class B, 5.7233% 4/15/49 (n)

18

8

Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (g)

532

553

Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34

5

5

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.4072% 1/15/18 (g)(n)

58

55

Series 2006-WL7A:

Class E, 0.4902% 9/15/21 (g)(n)

78

69

Class F, 0.5502% 9/15/21 (g)(n)

85

75

Class G, 0.5702% 9/15/21 (g)(n)

80

68

Class J, 0.8072% 9/15/21 (g)(n)

18

13

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

floater: - continued

Series 2007-WHL8:

Class AP1, 0.9072% 6/15/20 (g)(n)

$ 5

$ 5

Class AP2, 1.0072% 6/15/20 (g)(n)

9

8

Class F, 0.6872% 6/15/20 (g)(n)

168

109

Class LXR1, 0.9072% 6/15/20 (g)(n)

9

7

sequential payer:

Series 2003-C7 Class A1, 4.241% 10/15/35 (g)

80

80

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

281

281

Series 2006-C27 Class A2, 5.624% 7/15/45

2

2

Series 2006-C29 Class A3, 5.313% 11/15/48

199

211

Series 2007-C30:

Class A3, 5.246% 12/15/43

64

65

Class A4, 5.305% 12/15/43

377

388

Class A5, 5.342% 12/15/43

80

83

Series 2007-C31 Class A4, 5.509% 4/15/47

170

181

Series 2007-C32:

Class A2, 5.7378% 6/15/49 (n)

207

209

Class A3, 5.7428% 6/15/49 (n)

127

134

Series 2003-C6 Class G, 5.125% 8/15/35 (g)(n)

36

35

Series 2004-C15:

Class 180A, 5.3979% 10/15/41 (g)(n)

58

58

Class 180B, 5.3979% 10/15/41 (g)(n)

26

26

Series 2005-C19 Class B, 4.892% 5/15/44

75

69

Series 2005-C22:

Class B, 5.3592% 12/15/44 (n)

166

126

Class F, 5.3592% 12/15/44 (g)(n)

125

55

Series 2006-C23 Class A5, 5.416% 1/15/45 (n)

350

380

Series 2007-C30:

Class C, 5.483% 12/15/43 (n)

225

111

Class D, 5.513% 12/15/43 (n)

120

47

Class XP, 0.4412% 12/15/43 (g)(n)(p)

801

8

Series 2007-C31 Class C, 5.6883% 4/15/47 (n)

21

10

Series 2007-C31A Class A2, 5.421% 4/15/47

1,669

1,737

Series 2007-C32:

Class D, 5.7428% 6/15/49 (n)

56

24

Class E, 5.7428% 6/15/49 (n)

89

28

Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 5.8992% 2/15/51 (n)

50

54

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $21,209)

25,996

Municipal Securities - 0.1%

 

Principal Amount (000s)

Value (000s)

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (n)

$ 100

$ 104

California Gen. Oblig. 7.5% 4/1/34

210

249

Illinois Gen. Oblig.:

Series 2010, 4.421% 1/1/15

260

272

Series 2011, 5.665% 3/1/18

190

204

Series 2011, 5.877% 3/1/19

225

241

TOTAL MUNICIPAL SECURITIES

(Cost $983)

1,070

Foreign Government and Government Agency Obligations - 0.0%

 

United Mexican States 6.05% 1/11/40
(Cost $278)

274

314

Preferred Securities - 0.0%

 

 

 

 

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

ING Groep NV 5.775% (h)(n)

(Cost $7)

8

7

Fixed-Income Funds - 12.0%

Shares

 

Fidelity High Income Central Fund 2 (o)

242,304

25,696

Fidelity Mortgage Backed Securities Central Fund (o)

890,207

96,249

TOTAL FIXED-INCOME FUNDS

(Cost $115,593)

121,945

Money Market Funds - 3.8%

Shares

Value (000s)

Fidelity Cash Central Fund, 0.11% (b)

37,633,573

$ 37,634

Fidelity Securities Lending Cash Central Fund, 0.12% (b)(c)

909,209

909

TOTAL MONEY MARKET FUNDS

(Cost $38,543)

38,543

TOTAL INVESTMENT PORTFOLIO - 103.6%

(Cost $996,959)

1,053,618

NET OTHER ASSETS (LIABILITIES) - (3.6)%

(36,624)

NET ASSETS - 100%

$ 1,016,994

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

96 CME E-mini S&P 500 Index Contracts

Sept. 2011

$ 5,845

$ (231)

 

The face value of futures purchased as a percentage of net assets is 0.6%

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $69,000)(m)

Sept. 2037

$ 180

$ (170)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $47,000)(m)

Sept. 2037

120

(113)

Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 (Rating-C)(l)

Feb. 2034

1

(1)

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

Dec. 2034

79

(77)

TOTAL CREDIT DEFAULT SWAPS

$ 380

$ (361)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 1.2857% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

June 2012

7,613

67

 

$ 7,993

$ (294)

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

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

(d) Non-income producing - Security is in default.

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

(f) Security 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 end of the period, the value of these securities amounted to $18,276,000 or 1.8% of net assets.

(h) Security is perpetual in nature with no stated maturity date.

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

(j) A portion of the security is subject to a forward commitment to sell.

(k) 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 $515,000.

(l) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk.

(m) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. In addition, the swap represents a contract in which the Fund has sold protection on the index of underlying securities. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investors Service, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

(n) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(o) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

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

(q) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund.

(r) 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 $321,000 or 0.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition
Date

Acquisition
Cost (000s)

Legend Pictures LLC

9/23/10

$ 311

Washington Mutual, Inc.

10/6/08

$ 17

* Amount represents less than $1,000

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 78

Fidelity Corporate Bond 1-10 Year Central Fund

71

Fidelity High Income Central Fund 2

1,659

Fidelity Mortgage Backed Securities Central Fund

2,533

Fidelity Securities Lending Cash Central Fund

39

Total

$ 4,380

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

Fund
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value,
end of
period

% ownership, end of
period

Fidelity Corporate Bond 1-10 Year Central Fund

$ 5,692

$ -

$ 5,653*

$ -

0.0%

Fidelity High Income Central Fund 2

19,750

6,157

-

25,696

4.0%

Fidelity Mortgage Backed Securities Central Fund

62,901

31,076

-

96,249

0.7%

Total

$ 88,343

$ 37,233

$ 5,653*

$ 121,945

* Includes the value of shares redeemed through in-kind transactions. See Note 7 of the Notes to Financial Statements.

Other Information

The following is a summary of the inputs used, as of August 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 62,980

$ 62,667

$ 2

$ 311

Consumer Staples

67,732

65,964

1,768

-

Energy

72,505

72,067

438

-

Financials

83,767

82,025

1,742

-

Health Care

66,781

66,418

363

-

Industrials

64,545

63,763

782

-

Information Technology

113,495

113,495

-

-

Materials

18,698

18,698

-

-

Telecommunication Services

12,275

12,275

-

-

Utilities

21,268

21,268

-

-

Corporate Bonds

78,457

-

78,457

-

U.S. Government and Government Agency Obligations

115,850

-

115,850

-

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government Agency - Mortgage Securities

$ 75,133

$ -

$ 75,133

$ -

Asset-Backed Securities

8,706

-

8,146

560

Collateralized Mortgage Obligations

3,551

-

3,514

37

Commercial Mortgage Securities

25,996

-

24,170

1,826

Municipal Securities

1,070

-

1,070

-

Foreign Government and Government Agency Obligations

314

-

314

-

Preferred Securities

7

-

7

-

Fixed-Income Funds

121,945

121,945

-

-

Money Market Funds

38,543

38,543

-

-

Total Investments in Securities:

$ 1,053,618

$ 739,128

$ 311,756

$ 2,734

Derivative Instruments:

Assets

Swap Agreements

$ 67

$ -

$ 67

$ -

Liabilities

Futures Contracts

$ (231)

$ (231)

$ -

$ -

Swap Agreements

(361)

-

(283)

(78)

Total Liabilities

$ (592)

$ (231)

$ (283)

$ (78)

Total Derivative Instruments:

$ (525)

$ (231)

$ (216)

$ (78)

Other Financial Instruments:

Forward Commitments

$ 97

$ -

$ 97

$ -

The following is a reconciliation of Investments in Securities and derivative instruments for which Level 3 inputs were used in determining value:

(Amounts in thousands)

 

Investments in Securities:

Beginning Balance

$ 3,564

Total Realized Gain (Loss)

279

Total Unrealized Gain (Loss)

275

Cost of Purchases

312

Proceeds of Sales

(694)

Amortization/Accretion

148

Transfers in to Level 3

621

Transfers out of Level 3

(1,771)

Ending Balance

$ 2,734

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2011

$ 326

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (78)

Total Unrealized Gain (Loss)

-

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ (78)

Realized gain (loss) on Swap Agreements for the period

$ 2

The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at August 31, 2011

$ -

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period, and includes the value of securities received through affiliated in-kind transactions. See Note 7 of the Notes to Financial Statements. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
 Derivative Type
(Amounts in thousands)

Value

 

Asset

Liability

Credit Risk

Swap Agreements (b)

$ -

$ (361)

Equity Risk

Futures Contracts (a)

-

(231)

Interest Rate Risk

Swap Agreements (b)

67

-

Total Value of Derivatives

$ 67

$ (592)

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities.

(b) Value is disclosed on the Statement of Assets and Liabilities in the Swap agreements, at value line-items.

Other Information

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

U.S. Government and U.S. Government Agency Obligations

30.5%

AAA,AA,A

6.4%

BBB

4.5%

BB

1.2%

B

1.4%

CCC,CC,C

0.4%

D

0.0%*

Not Rated

0.0%*

Equities

58.0%

Short-Term Investments and Net Other Assets

(2.4)%

 

100.0%

We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Percentages are adjusted for the effect of futures contracts, if applicable.

* Amount represents less than 0.1%

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

United States of America

88.0%

United Kingdom

2.7%

Canada

1.3%

France

1.2%

Ireland

1.0%

Switzerland

1.0%

Others (Individually Less Than 1%)

4.8%

 

100.0%

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

Income Tax Information

At August 31, 2011, the Fund had a capital loss carryforward of approximately $64,425,000 of which $11,611,000 and $52,814,000 will expire in fiscal 2017 and 2018, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited.

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 amounts)

August 31, 2011

 

 

 

Assets

Investment in securities, at value (including securities loaned of $852) - See accompanying schedule:

Unaffiliated issuers (cost $842,823)

$ 893,130

 

Fidelity Central Funds (cost $154,136)

160,488

 

Total Investments (cost $996,959)

 

$ 1,053,618

Commitment to sell securities on a delayed delivery basis

(29,456)

Receivable for securities sold on a delayed delivery basis

29,553

97

Receivable for investments sold, regular delivery

10,693

Cash

52

Foreign currency held at value (cost $20)

20

Receivable for fund shares sold

780

Dividends receivable

844

Interest receivable

1,942

Distributions receivable from Fidelity Central Funds

418

Receivable for daily variation margin on futures contracts

62

Swap agreements, at value

67

Other receivables

66

Total assets

1,068,659

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 6,033

Delayed delivery

41,008

Payable for swap agreements

4

Payable for fund shares redeemed

1,856

Swap agreements, at value

361

Accrued management fee

340

Distribution and service plan fees payable

392

Other affiliated payables

235

Other payables and accrued expenses

527

Collateral on securities loaned, at value

909

Total liabilities

51,665

 

 

 

Net Assets

$ 1,016,994

Net Assets consist of:

 

Paid in capital

$ 1,032,948

Undistributed net investment income

2,993

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

(74,806)

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

55,859

Net Assets

$ 1,016,994

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

Annual Report

Statement of Assets and Liabilities - continued

 Amounts in thousands (except per-share amounts)

August 31, 2011

 

 

 

Calculation of Maximum Offering Price

Class A:
Net Asset Value and redemption price per share ($214,703 ÷ 14,472.8 shares)

$ 14.83

 

 

 

Maximum offering price per share (100/94.25 of $14.83)

$ 15.73

Class T:
Net Asset Value and redemption price per share ($673,030 ÷ 45,012.9 shares)

$ 14.95

 

 

 

Maximum offering price per share (100/96.50 of $14.95)

$ 15.49

Class B:
Net Asset Value and offering price per share ($18,601 ÷ 1,255.8 shares)A

$ 14.81

 

 

 

Class C:
Net Asset Value and offering price per share ($68,644 ÷ 4,648.8 shares)A

$ 14.77

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($42,016 ÷ 2,790.6 shares)

$ 15.06

A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

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

Annual Report

Financial Statements - continued

Statement of Operations

 Amounts in thousands

Year ended August 31, 2011

 

  

  

Investment Income

  

  

Dividends

 

$ 10,257

Interest

 

11,630

Income from Fidelity Central Funds

 

4,380

Total income

 

26,267

 

 

 

Expenses

Management fee

$ 4,245

Transfer agent fees

2,361

Distribution and service plan fees

4,925

Accounting and security lending fees

438

Custodian fees and expenses

201

Independent trustees' compensation

6

Registration fees

85

Audit

120

Legal

16

Miscellaneous

11

Total expenses before reductions

12,408

Expense reductions

(108)

12,300

Net investment income (loss)

13,967

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

99,224

Fidelity Central Funds

484

 

Foreign currency transactions

(74)

Futures contracts

926

Swap agreements

12

 

Total net realized gain (loss)

 

100,572

Change in net unrealized appreciation (depreciation) on:

Investment securities

8,560

Assets and liabilities in foreign currencies

(3)

Futures contracts

(150)

Swap agreements

14

Delayed delivery commitments

115

 

Total change in net unrealized appreciation (depreciation)

 

8,536

Net gain (loss)

109,108

Net increase (decrease) in net assets resulting from operations

$ 123,075

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
August 31,
2011

Year ended
August 31,
2010

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 13,967

$ 15,345

Net realized gain (loss)

100,572

44,956

Change in net unrealized appreciation (depreciation)

8,536

8,858

Net increase (decrease) in net assets resulting
from operations

123,075

69,159

Distributions to shareholders from net investment income

(13,611)

(15,844)

Distributions to shareholders from net realized gain

(697)

(1,114)

Total distributions

(14,308)

(16,958)

Share transactions - net increase (decrease)

(34,717)

(57,259)

Total increase (decrease) in net assets

74,050

(5,058)

 

 

 

Net Assets

Beginning of period

942,944

948,002

End of period (including undistributed net investment income of $2,993 and undistributed net investment income of $3,012, respectively)

$ 1,016,994

$ 942,944

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

Annual Report

Financial Highlights - Class A

Years ended August 31,

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.29

$ 12.61

$ 14.55

$ 17.37

$ 16.40

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) C

  .23

  .24

  .25

  .29

  .32

Net realized and unrealized gain (loss)

  1.55

  .70

  (1.93)

  (1.42)

  1.84

Total from investment operations

  1.78

  .94

  (1.68)

  (1.13)

  2.16

Distributions from net investment income

  (.23)

  (.24)

  (.21)

  (.36)

  (.34)

Distributions from net realized gain

  (.01)

  (.02)

  (.05)

  (1.33)

  (.85)

Total distributions

  (.24)

  (.26) G

  (.26)

  (1.69)

  (1.19)

Net asset value, end of period

$ 14.83

$ 13.29

$ 12.61

$ 14.55

$ 17.37

Total Return A,B

  13.34%

  7.44%

  (11.30)%

  (7.52)%

  13.55%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  1.00%

  1.00%

  1.06%

  .98%

  .98%

Expenses net of fee waivers, if any

  1.00%

  1.00%

  1.06%

  .98%

  .98%

Expenses net of all reductions

  .99%

  .99%

  1.06%

  .97%

  .97%

Net investment income (loss)

  1.53%

  1.76%

  2.24%

  1.82%

  1.89%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 215

$ 203

$ 213

$ 270

$ 266

Portfolio turnover rate E

  146% H

  116%

  215% H

  103% H

  88% H

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

B Total returns do not include the effect of the sales charges.

C Calculated based on average shares outstanding during the period.

D Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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

G Total distributions of $.26 per share is comprised of distributions from net investment income of $.243 and distributions from net realized gain of $.015 per share.

H The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Financial Highlights - Class T

Years ended August 31,

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.40

$ 12.70

$ 14.66

$ 17.49

$ 16.50

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) C

  .20

  .21

  .23

  .25

  .28

Net realized and unrealized gain (loss)

  1.56

  .72

  (1.95)

  (1.44)

  1.85

Total from investment operations

  1.76

  .93

  (1.72)

  (1.19)

  2.13

Distributions from net investment income

  (.20)

  (.21)

  (.19)

  (.31)

  (.29)

Distributions from net realized gain

  (.01)

  (.02)

  (.05)

  (1.33)

  (.85)

Total distributions

  (.21)

  (.23) G

  (.24)

  (1.64)

  (1.14)

Net asset value, end of period

$ 14.95

$ 13.40

$ 12.70

$ 14.66

$ 17.49

Total Return A,B

  13.09%

  7.32%

  (11.54)%

  (7.77)%

  13.32%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  1.20%

  1.23%

  1.29%

  1.20%

  1.20%

Expenses net of fee waivers, if any

  1.20%

  1.23%

  1.29%

  1.20%

  1.20%

Expenses net of all reductions

  1.19%

  1.21%

  1.29%

  1.20%

  1.20%

Net investment income (loss)

  1.33%

  1.54%

  2.01%

  1.59%

  1.66%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 673

$ 619

$ 621

$ 778

$ 948

Portfolio turnover rate E

  146% H

  116%

  215% H

  103% H

  88% H

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

B Total returns do not include the effect of the sales charges.

C Calculated based on average shares outstanding during the period.

D Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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

G Total distributions of $.23 per share is comprised of distributions from net investment income of $.214 and distributions from net realized gain of $.015 per share.

H The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Financial Highlights - Class B

Years ended August 31,

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.27

$ 12.58

$ 14.51

$ 17.32

$ 16.35

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) C

  .11

  .13

  .16

  .16

  .18

Net realized and unrealized gain (loss)

  1.54

  .71

  (1.92)

  (1.43)

  1.82

Total from investment operations

  1.65

  .84

  (1.76)

  (1.27)

  2.00

Distributions from net investment income

  (.10)

  (.13)

  (.13)

  (.21)

  (.18)

Distributions from net realized gain

  (.01)

  (.02)

  (.04)

  (1.33)

  (.85)

Total distributions

  (.11)

  (.15) G

  (.17)

  (1.54)

  (1.03)

Net asset value, end of period

$ 14.81

$ 13.27

$ 12.58

$ 14.51

$ 17.32

Total Return A,B

  12.42%

  6.66%

  (11.98)%

  (8.31)%

  12.59%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  1.80%

  1.82%

  1.83%

  1.79%

  1.80%

Expenses net of fee waivers, if any

  1.80%

  1.82%

  1.83%

  1.79%

  1.80%

Expenses net of all reductions

  1.79%

  1.81%

  1.83%

  1.78%

  1.80%

Net investment income (loss)

  .73%

  .94%

  1.46%

  1.00%

  1.06%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 19

$ 24

$ 29

$ 45

$ 64

Portfolio turnover rate E

  146% H

  116%

  215% H

  103% H

  88% H

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

B Total returns do not include the effect of the contingent deferred sales charge.

C Calculated based on average shares outstanding during the period.

D Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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

G Total distributions of $.15 per share is comprised of distributions from net investment income of $.133 and distributions from net realized gain of $.015 per share.

H The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Financial Highlights - Class C

Years ended August 31,

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.23

$ 12.55

$ 14.49

$ 17.30

$ 16.34

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) C

  .12

  .13

  .17

  .16

  .19

Net realized and unrealized gain (loss)

  1.55

  .71

  (1.93)

  (1.41)

  1.82

Total from investment operations

  1.67

  .84

  (1.76)

  (1.25)

  2.01

Distributions from net investment income

  (.12)

  (.15)

  (.13)

  (.23)

  (.20)

Distributions from net realized gain

  (.01)

  (.02)

  (.05)

  (1.33)

  (.85)

Total distributions

  (.13)

  (.16) G

  (.18)

  (1.56)

  (1.05)

Net asset value, end of period

$ 14.77

$ 13.23

$ 12.55

$ 14.49

$ 17.30

Total Return A,B

  12.59%

  6.69%

  (12.02)%

  (8.22)%

  12.66%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  1.74%

  1.76%

  1.82%

  1.74%

  1.75%

Expenses net of fee waivers, if any

  1.74%

  1.76%

  1.82%

  1.74%

  1.75%

Expenses net of all reductions

  1.73%

  1.75%

  1.81%

  1.74%

  1.74%

Net investment income (loss)

  .79%

  1.00%

  1.48%

  1.05%

  1.11%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 69

$ 62

$ 61

$ 79

$ 82

Portfolio turnover rate E

  146% H

  116%

  215% H

  103% H

  88% H

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

B Total returns do not include the effect of the contingent deferred sales charge.

C Calculated based on average shares outstanding during the period.

D Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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

G Total distributions of $.16 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.015 per share.

H The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Financial Highlights - Institutional Class

Years ended August 31,

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.49

$ 12.79

$ 14.76

$ 17.60

$ 16.60

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  .28

  .28

  .28

  .33

  .38

Net realized and unrealized gain (loss)

  1.57

  .72

  (1.95)

  (1.44)

  1.86

Total from investment operations

  1.85

  1.00

  (1.67)

  (1.11)

  2.24

Distributions from net investment income

  (.27)

  (.28)

  (.25)

  (.40)

  (.39)

Distributions from net realized gain

  (.01)

  (.02)

  (.05)

  (1.33)

  (.85)

Total distributions

  (.28)

  (.30) F

  (.30)

  (1.73)

  (1.24)

Net asset value, end of period

$ 15.06

$ 13.49

$ 12.79

$ 14.76

$ 17.60

Total Return A

  13.69%

  7.81%

  (11.07)%

  (7.29)%

  13.92%

Ratios to Average Net Assets C,E

 

 

 

 

 

Expenses before reductions

  .71%

  .73%

  .79%

  .71%

  .68%

Expenses net of fee waivers, if any

  .71%

  .73%

  .79%

  .71%

  .68%

Expenses net of all reductions

  .70%

  .72%

  .78%

  .70%

  .67%

Net investment income (loss)

  1.82%

  2.03%

  2.51%

  2.09%

  2.18%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 42

$ 34

$ 24

$ 29

$ 32

Portfolio turnover rate D

  146% G

  116%

  215% G

  103% G

  88% G

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 Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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

F Total distributions of $.30 per share is comprised of distributions from net investment income of $.283 and distributions from net realized gain of $.015 per share.

G The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Notes to Financial Statements

For the period ended August 31, 2011

(Amounts in thousands except ratios)

1. Organization.

Fidelity Advisor Balanced Fund (the Fund) is a fund of Fidelity Advisor Series I (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C, and Institutional Class shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases, except for exchanges and reinvestments by existing shareholders. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class.

2. Investments in Fidelity Central Funds.

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

Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each Fidelity Central Fund.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment Manager

Investment Objective

 

Investment Practices

Fidelity High Income Central Fund 2

FMR Co., Inc. (FMRC)

Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities.

 

Loans & Direct Debt Instruments

Repurchase Agreements

Restricted Securities

 

Fidelity Mortgage Backed Securities Central Fund

FIMM

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

 

Delayed Delivery & When Issued Securities

Futures

Repurchase Agreements

Swap Agreements

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

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Annual Report

3. Significant Accounting Policies - continued

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2011, as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Security Valuation - continued

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and 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

3. 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. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. 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 and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The principal value on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal value. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. 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 collectability of interest is reasonably assured.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. As of August 31, 2011, the Fund did not have any unrecognized tax benefits in the financial statements. A fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. 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 declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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 in-kind transactions, futures transactions, swap agreements, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.

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

Gross unrealized appreciation

$ 88,468

Gross unrealized depreciation

(41,628)

Net unrealized appreciation (depreciation) on securities and other investments

$ 46,840

 

 

Tax Cost

$ 1,006,778

Annual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income

$ 2,255

Capital loss carryforward

$ (64,425)

Net unrealized appreciation (depreciation)

$ 46,252

Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the Act), the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years, which generally expire after eight years from when they are incurred. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The Fund's first fiscal year end subject to the Act will be August 31, 2012.

The tax character of distributions paid was as follows:

 

August 31, 2011

August 31, 2010

Ordinary Income

$ 14,308

$ 16,958

New Accounting Pronouncement. In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.

4. Operating Policies.

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in 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

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities - continued

deliverable securities are held for the transaction. 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.

5. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund used derivative instruments (derivatives), including futures contracts and swap agreements, in order to meet its investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risks:

Credit Risk

Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Equity Risk

Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

Interest Rate Risk

Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit

Annual Report

5. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral in the form of cash or securities, if required, is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank, and is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. Counterparty risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.

Risk Exposure / Derivative Type

Net Realized
Gain (Loss)

Change in Net Unrealized Appreciation (Depreciation)

Credit Risk

 

 

Swap Agreements

$ (58)

$ 53

Equity Risk

 

 

Futures Contracts

926

(150)

Interest Rate Risk

 

 

Swap Agreements

70

(39)

Totals (a)(b)(c)

$ 938

$ (136)

(a) A summary of the value of derivatives by risk exposure as of period end is included at the end of the Schedule of Investments and is representative of activity for the period.

(b) Total derivatives net realized gain (loss) included in the Statement of Operations is comprised of $926 for futures contracts and $12 for swap agreements.

(c) Total derivatives change in net unrealized appreciation (depreciation) included in the Statement of Operations is comprised of $(150) for futures contracts and $14 for swap agreements.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

5. Derivative Instruments - continued

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

The underlying face amount at value of 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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Certain risks arise upon entering into futures contracts, including the risk that an illiquid market limits the ability to close out a futures contract prior to settlement date.

Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

Details of swaps open at period end are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront premiums paid or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.

Risks of loss include credit risk and interest rate risk. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market.

Annual Report

5. Derivative Instruments - continued

Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a "basket" of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.

As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.

As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

5. Derivative Instruments - continued

Credit Default Swaps - continued

the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

The notional amount of credit default swaps is included in the Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $380 representing 0.04% of net assets.

6. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, U.S. government securities and in-kind transactions, aggregated $892,204 and $910,490, respectively.

7. 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 .15% of the Fund's average net assets and a group fee rate that averaged .26% 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 .41% of the Fund's average net assets.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period,

Annual Report

7. Fees and Other Transactions with Affiliates - continued

Distribution and Service Plan Fees - continued

the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

 

Distribution
Fee

Service
Fee

Total Fees

Retained
by FDC

Class A

-%

.25%

$ 553

$ 6

Class T

.25%

.25%

3,445

21

Class B

.75%

.25%

226

169

Class C

.75%

.25%

701

73

 

 

 

$ 4,925

$ 269

Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

For the period, sales charge amounts retained by FDC were as follows:

 

Retained
by FDC

Class A

$ 69

Class T

24

Class B*

56

Class C*

6

 

$ 155

* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

7. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

For the period, transfer agent fees for each class were as follows:

 

Amount

% of
Average
Net Assets

Class A

$ 565

.26

Class T

1,465

.21

Class B

68

.30

Class C

175

.25

Institutional Class

88

.22

 

$ 2,361

 

Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.

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 $34 for the period.

Exchange In-Kind. During the period, the Fund redeemed in-kind 52 shares of Fidelity Corporate Bond 1-10 Year Central Fund ("1-10 Year"), a Fidelity Central Fund in which the Fund invested, valued at $5,653 in exchange for cash and securities, including accrued interest. Realized gain (loss) of $484 on the Fund's redemption of 1-10 Year shares is included in the accompanying Statement of Operations as "Realized gain (loss) on Fidelity Central Funds." Because 1-10 Year was a partnership for federal income tax purposes, the redemption generally was tax free to the Fund.

8. Committed Line of Credit.

The Fund participates with other funds managed by FMR or an affiliate in a $4.0 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $3 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.

Annual Report

9. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $39. During the period, there were no securities loaned to FCM.

10. 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 $108 for the period.

11. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Years ended August 31,

2011

2010

From net investment income

 

 

Class A

$ 3,331

$ 4,084

Class T

8,883

10,195

Class B

152

279

Class C

543

700

Institutional Class

702

586

Total

$ 13,611

$ 15,844

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

11. Distributions to Shareholders - continued

Years ended August 31,

2011

2010

From net realized gain

 

 

Class A

$ 150

$ 257

Class T

459

723

Class B

17

32

Class C

47

73

Institutional Class

24

29

Total

$ 697

$ 1,114

12. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

Years ended August 31,

2011

2010

2011

2010

Class A

 

 

 

 

Shares sold

3,246

3,445

$ 48,790

$ 46,214

Reinvestment of distributions

219

311

3,283

4,153

Shares redeemed

(4,258)

(5,395)

(63,406)

(72,407)

Net increase (decrease)

(793)

(1,639)

$ (11,333)

$ (22,040)

Class T

 

 

 

 

Shares sold

10,027

10,287

$ 151,785

$ 139,493

Reinvestment of distributions

586

775

8,859

10,439

Shares redeemed

(11,835)

(13,729)

(178,889)

(185,874)

Net increase (decrease)

(1,222)

(2,667)

$ (18,245)

$ (35,942)

Class B

 

 

 

 

Shares sold

81

313

$ 1,198

$ 4,209

Reinvestment of distributions

10

22

155

288

Shares redeemed

(649)

(806)

(9,688)

(10,844)

Net increase (decrease)

(558)

(471)

$ (8,335)

$ (6,347)

Class C

 

 

 

 

Shares sold

963

851

$ 14,419

$ 11,369

Reinvestment of distributions

35

51

526

685

Shares redeemed

(1,060)

(1,014)

(15,781)

(13,574)

Net increase (decrease)

(62)

(112)

$ (836)

$ (1,520)

Institutional Class

 

 

 

 

Shares sold

1,080

963

$ 16,651

$ 13,098

Reinvestment of distributions

47

44

711

594

Shares redeemed

(877)

(373)

(13,330)

(5,102)

Net increase (decrease)

250

634

$ 4,032

$ 8,590

Annual Report

13. Other.

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

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Advisor Series I and Shareholders of Fidelity Advisor Balanced Fund:

We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Balanced Fund (the Fund), a fund of Fidelity Advisor Series I, including the schedule of investments, as of August 31, 2011, 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2011, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Balanced Fund as of August 31, 2011, 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

October 19, 2011

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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 221 funds advised by FMR or an affiliate. Mr. Curvey oversees 424 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. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. 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.

Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Annual Report

Trustees and Officers - continued

Board Structure and Oversight Function. James C. Curvey is an interested person (as defined in the 1940 Act) and currently serves as Acting Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Ned C. Lautenbach serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's equity and high income funds and another Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds. The asset allocation funds may invest in Fidelity funds overseen by the fund's Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. In addition, the Independent Trustees have worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. For example, a working group comprised of Independent Trustees and FMR has worked and continues to work to review the Fidelity funds' valuation-related activities, reporting and risk management. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of FMR's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."

Annual Report

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupations and Other Relevant Experience+

James C. Curvey (76)

 

Year of Election or Appointment: 2007

Mr. Curvey is Trustee and Acting Chairman of the Board of Trustees of certain Trusts. Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp.

Ronald P. O'Hanley (54)

 

Year of Election or Appointment: 2011

Mr. O'Hanley is Director of FMR Co., Inc. (2010-present), Director of Fidelity Investments Money Management, Inc. (2010-present), Director of Fidelity Research & Analysis Company (2010-present), President of Fidelity Asset Management and Corporate Services and a member of Fidelity's Executive Committee (2010-present). Previously, Mr. O'Hanley served as President and Chief Executive Officer of BNY Mellon Asset Management (2007-2010). Mr. O'Hanley also served as Vice Chairman of Bank New York Mellon Corp. and a member of that firm's Executive Committee. Prior to the 2007 merger of The Bank of New York and Mellon Financial Corporation, he was Vice Chairman of Mellon Financial Corporation and President and Chief Executive Officer of Mellon Asset Management. He joined Mellon in February 1997. Mr. O'Hanley currently serves as Chairman of the Boston Public Library Foundation Board of Directors and sits on the Board of Directors of Beth Israel Deaconess Medical Center, the Board of Trustees of the Marine Biological Laboratory and the Advisory Board of the Maxwell School of Citizenship and Public Administration at Syracuse University. Mr. O'Hanley also chairs the Council on Asset Management for the Financial Services Roundtable and is a member of the Board of Directors of Institutional Investor's U.S. Institute.

* 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.

+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.

Annual Report

Independent Trustees:

Correspondence intended for each Independent 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 Occupations and Other Relevant Experience+

Dennis J. Dirks (63)

 

Year of Election or Appointment: 2005

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). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) and President and Board member of the National Securities Clearing Corporation (NSCC). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation, Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation, as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), and as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-2008). Mr. Dirks is a member of the Independent Directors Council (IDC) Governing Council (2010-Present) and Board of Directors for The Brookville Center for Children's Services, Inc. (2009-present).

Alan J. Lacy (57)

 

Year of Election or Appointment: 2008

Mr. Lacy serves as Senior Adviser (2007-present) of Oak Hill Capital Partners, L.P. (private equity). Mr. Lacy also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). In addition, Mr. Lacy serves as a member of the Board of Directors of Dave & Buster's, Inc. (restaurant and entertainment complexes, 2010-present), The Hillman Companies, Inc. (hardware wholesalers, 2010-present), and Bristol-Myers Squibb Company (global pharmaceuticals, 2007-present). Mr. Lacy is a member of the Board of Trustees of The National Parks Conservation Association (2006-Present). Previously, Mr. Lacy served as Chairman of the Board of Trustees of the National Parks Conservation Association (2008-2011) and as a member of the Board of Directors for the Western Union Company (global money transfer, 2006-2011).

Ned C. Lautenbach (67)

 

Year of Election or Appointment: 2000

Mr. Lautenbach is Chairman of the Independent Trustees of the Equity and High Income Funds (2006-present). Mr. Lautenbach currently serves as the Lead Director of the Eaton Corporation Board of Directors (diversified industrial, 1997-present). Mr. Lautenbach is also a member of the Board of Directors of the Philharmonic Center for the Arts in Naples, Florida (1999-present); a member of the Board of Trustees of Fairfield University (2005-present); and a member of the Council on Foreign Relations (1994-present). Previously, Mr. Lautenbach was a Partner/Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007).

Joseph Mauriello (66)

 

Year of Election or Appointment: 2008

Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Group plc. (global insurance and re-insurance, 2006-present) and of Arcadia Resources Inc. (health care services and products, 2007-present). Previously, Mr. Mauriello served as a Director of the Hamilton Funds of the Bank of New York (2006-2007).

Robert W. Selander (60)

 

Year of Election or Appointment: 2011

Previously, Mr. Selander served as a Member of the Advisory Board of Fidelity's Equity and High Income Funds (2011), Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.

Cornelia M. Small (67)

 

Year of Election or Appointment: 2005

Ms. Small is a member of the Board of Directors of the Teagle Foundation (2009-present). Ms. Small is also a member of the Investment Committee, and Chair (2008-present) and a member of the Board of Trustees of Smith College. In addition, Ms. Small serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson of the Investment Committee (2002-2008) of Smith College. In addition, Ms. Small served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.

William S. Stavropoulos (72)

 

Year of Election or Appointment: 2002

Mr. Stavropoulos is Vice Chairman of the Independent Trustees of the Equity and High Income Funds (2006-present). Mr. Stavropoulos serves as President and Founder of the Michigan Baseball Foundation, the Great Lakes Loons (2007-present). Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President, CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, Mr. Stavropoulos is Chairman of Univar (global distributor of commodity and specialty chemicals, 2010-present), a Director of Teradata Corporation (data warehousing and technology solutions, 2008-present), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment, 2005-present). Mr. Stavropoulos is a special advisor to Clayton, Dubilier & Rice, LLC (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science.

David M. Thomas (62)

 

Year of Election or Appointment: 2008

Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions). In addition, Mr. Thomas serves as a member of the Board of Directors of Fortune Brands, Inc. (consumer products), and Interpublic Group of Companies, Inc. (marketing communication, 2004-present).

Michael E. Wiley (60)

 

Year of Election or Appointment: 2008

Mr. Wiley also serves as a Director of Asia Pacific Exploration Consolidated (international oil and gas exploration and production, 2008-present). Mr. Wiley serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), and a Director of Bill Barrett Corporation (exploration and production, 2005-present). In addition, Mr. Wiley also serves as a Director of Post Oak Bank (privately-held bank, 2004-present). Previously, Mr. Wiley served as a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-2010), as a Senior Energy Advisor of Katzenbach Partners, LLC (consulting, 2006-2007), as an Advisory Director of Riverstone Holdings (private investment), Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production, 2001-2005).

Annual Report

Trustees and Officers - continued

+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.

Advisory Board Members and Executive Officers:

Correspondence intended for each executive officer, Edward C. Johnson 3d, and Peter S. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (81)

 

Year of Election or Appointment: 2011

Member of the Advisory Board of Fidelity's Equity and High Income Funds. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR LLC, and also serves as Chairman and Director of FIL Limited. Previously, Mr. Johnson served as a Trustee and Chairman of the Board of certain Fidelity Trusts, Chairman and a Director of FMR, Chairman and a Director of FMR Co., Inc., and President of FMR LLC (2006-2007).

Peter S. Lynch (67)

 

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity's Equity and High Income Funds. Mr. Lynch is Vice Chairman and a Director of FMR and FMR Co., Inc. In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served on the Special Olympics International Board of Directors (1997-2006).

Kenneth B. Robins (42)

 

Year of Election or Appointment: 2008

President and Treasurer of Fidelity's Equity and High Income Funds. Mr. Robins also serves as President and Treasurer (2010-present) and Assistant Treasurer (2009-present) of other Fidelity funds and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008).

Bruce T. Herring (46)

 

Year of Election or Appointment: 2006

Vice President of certain Equity Funds. Mr. Herring also serves as Chief Investment Officer and Director of Fidelity Management & Research (U.K.) Inc. (2010-present) and Group Chief Investments Officer of FMR. Previously, Mr. Herring served as Vice President (2005-2006) and Senior Vice President (2006-2007) of Fidelity Management & Research Company, Vice President of FMR Co., Inc. (2001-2007) and as a portfolio manager for Fidelity U.S. Equity Funds.

Brian B. Hogan (46)

 

Year of Election or Appointment: 2009

Vice President of Equity and High Income Funds. Mr. Hogan also serves as President of FMR's Equity Division (2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.

Scott C. Goebel (43)

 

Year of Election or Appointment: 2008

Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary of Fidelity Investments Money Management, Inc. (FIMM) (2010-present) and Fidelity Research and Analysis Company (FRAC) (2010-present); Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); employed by FMR LLC or an affiliate (2001-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), and Fidelity Management & Research (U.K.) Inc. (2008-present). Previously, Mr. Goebel served as Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).

William C. Coffey (42)

 

Year of Election or Appointment: 2009

Assistant Secretary of Fidelity's Equity and High Income Funds. Mr. Coffey also serves as Senior Vice President and Deputy General Counsel of FMR LLC (2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Vice President and Associate General Counsel of FMR LLC (2005-2009).

Holly C. Laurent (57)

 

Year of Election or Appointment: 2008

Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present) and is an employee of Fidelity Investments. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), and Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006).

Christine Reynolds (52)

 

Year of Election or Appointment: 2008

Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007).

Kenneth A. Rathgeber (64)

 

Year of Election or Appointment: 2004

Chief Compliance Officer of Fidelity's Equity and High Income Funds. Mr. Rathgeber is Chief Compliance Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present), Fidelity Management & Research (Japan) Inc. (2008-present), FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), Pyramis Global Advisors, LLC (2005-present), and Strategic Advisers, Inc. (2005-present).

Jeffrey S. Christian (49)

 

Year of Election or Appointment: 2009

Deputy Treasurer of the Fidelity funds. Mr. Christian is an employee of Fidelity Investments. Previously, Mr. Christian served as Chief Financial Officer (2008-2009) of certain Fidelity funds and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009).

Bryan A. Mehrmann (50)

 

Year of Election or Appointment: 2005

Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments.

Adrien E. Deberghes (44)

 

Year of Election or Appointment: 2008

Deputy Treasurer of Fidelity's Equity and High Income Funds. Mr. Deberghes also serves as Vice President and Assistant Treasurer of Fidelity Rutland Square Trust II and Fidelity Commonwealth Trust II (2011-present), Assistant Treasurer of other Fidelity funds (2010-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).

Stephanie J. Dorsey (42)

 

Year of Election or Appointment: 2010

Assistant Treasurer of Fidelity's Equity and High Income Funds. Ms. Dorsey also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

John R. Hebble (53)

 

Year of Election or Appointment: 2009

Assistant Treasurer of Fidelity's Equity and High Income Funds. Mr. Hebble also serves as President (2011-present), Treasurer, and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present), President and Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments.

Gary W. Ryan (53)

 

Year of Election or Appointment: 2005

Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005).

Jonathan Davis (43)

 

Year of Election or Appointment: 2010

Assistant Treasurer of the Fidelity funds. Mr. Davis is also Assistant Treasurer of Fidelity Rutland Square Trust II and Fidelity Commonwealth Trust II. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010).

Annual Report

Distributions (Unaudited)

A total of 10.19% 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 $6,200,705 of distributions paid during the period January 1, 2011 to August 31, 2011 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates 13%, 42%, 58%, 48% and 54% of the dividends distributed in October 2010, December 17, 2010, December 30, 2010, April 2011, and July 2011, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

The fund designates 17%, 57%, 78%, 70% and 75%% of the dividends distributed in October 2010, December 17, 2010, December 30, 2010, April 2011, and July 2011, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2012 of amounts for use in preparing 2011 income tax returns.

Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Advisor Balanced Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and considers at each of its meetings factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to the Fidelity funds.

At its July 2011 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts is fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, including its size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, training, managing, and compensating investment personnel. The Board also noted that FMR has devoted increased resources to non-U.S. offices. The Board noted that Fidelity's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and enhancers. The Board also believes that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools which permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in their deliberations, the Board considered the Investment Advisers' trading capabilities and resources which are an integral part of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the investment adviser's supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers, with 35 new branches opening since 2010.

Annual Report

Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and support of the senior management team that oversees asset management; (ii) rationalizing product lines through the mergers of six funds into other funds; (iii) continuing to migrate the Freedom Funds to dedicated lower cost underlying funds; (iv) obtaining shareholder approval to broaden the investment strategies for Fidelity Consumer Finance Portfolio, Fidelity Emerging Asia Fund, and Fidelity Environment and Alternative Energy Portfolio; (v) contractually agreeing to reduce the management fees and impose other expense limitations on Spartan 500 Index Fund and U.S. Bond Index Fund in connection with launching new institutional classes of these funds; (vi) changing the name, primary and supplemental benchmarks, and investment policies of Fidelity Global Strategies Fund to support the fund's flexible investment mandate and global orientation; and (vii) reducing the transfer agency account fee rates on certain accounts.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured over multiple periods against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by Fidelity and reviewed by the Board. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2010, the cumulative total returns of Institutional Class (Class I) and Class B of the fund, the cumulative total returns of a proprietary custom index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The returns of Institutional Class (Class I) and Class B show the performance of the highest and lowest performing classes, respectively (based on five-year performance). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the class indicated. The fund's proprietary custom index is an index developed by FMR that represents the performance of the fund's general investment categories in both equity and bond securities.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Fidelity Advisor Balanced Fund

fid99

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of Institutional Class (Class I) of the fund was in the first quartile for the one-year period, the third quartile for the three-year period, and the second quartile for the five-year period. The Board also noted that the investment performance of the fund was lower than its benchmark for the three- and five-year periods, although the one-year total return of Institutional Class (Class I) compared favorably to its benchmark. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes. The Board also reviewed the fund's performance since inception as well as performance in the current year.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.

Annual Report

Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 10% means that 90% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.

Fidelity Advisor Balanced Fund

fid101

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2010.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio. In its review of each class's total expense ratio, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each of Class A, Class B, Class C, and Institutional Class ranked below its competitive median for 2010 and the total expense ratio of Class T ranked above its competitive median for 2010. The Board considered that various factors, including 12b-1 fees, positive or negative performance adjustments, and relatively higher other expenses in the case of small fund size, can affect total expense ratios. The Board noted that the total expense ratio of Class T was above the competitive median primarily because of higher 12b-1 fees on Class T. Class T has a higher 12b-1 fee, but a lower front-end sales charge, than traditionally priced front-end sales charge classes. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expense ratios of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.

Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of FMR and its affiliates, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients. In March 2010, the Board created an ad hoc joint committee with the board of other Fidelity funds (the Committee) to review and compare Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable, although Class T was above the median of the universe presented for comparison, in light of the services that the fund and its shareholders receive and the other factors considered, including the findings of the Committee.

Annual Report

Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, FMR presents to the Board Fidelity's profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive in the circumstances.

Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions. The Board also noted that in 2009, it and the board of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether FMR attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total fund assets under FMR's management increase, and for higher group fee rates as total fund assets under FMR's management decrease. FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that any potential economies of scale are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including (i) fund performance trends, actions to be taken by FMR to improve certain funds' overall performance, and Fidelity's long-term strategies for certain funds; (ii) portfolio manager changes that have occurred during the past year and length of portfolio manager tenure for different categories of funds over time; (iii) Fidelity's compensation structure for portfolio managers and other key personnel and strategies for attracting and retaining non-investment personnel; (iv) the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (v) historical trends in Fidelity's realization of fall-out benefits; (vi) Fidelity's group fee structures and the rationale for the individual fee rates of certain funds; (vii) fund profitability methodology and the impact of certain factors on fund profitability results; (viii) trends regarding industry use of performance fee structures and Fidelity's compliance practices with respect to performance adjustment calculations; (ix) the fee structures in place for certain other Fidelity clients; and (x) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends, and actions that might be taken by FMR to reduce total expense ratios for certain funds and classes.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.

Annual Report

Investment Adviser

Fidelity Management &
Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

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

Fidelity Investments
Money Management, Inc.

General Distributor

Fidelity Distributions Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY 

AIGI-UANN-1011
1.786674.108

fid69

Item 2. Code of Ethics

As of the end of the period, August 31, 2011, Fidelity Advisor Series I (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 Joseph Mauriello is an audit committee financial expert, as defined in Item 3 of Form N-CSR.   Mr. Mauriello is independent for purposes of Item 3 of Form N-CSR.  

Item 4. Principal Accountant Fees and Services

Fees and Services

The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") in each of the last two fiscal years for services rendered to Fidelity Advisor Balanced Fund (the "Fund"):

Services Billed by Deloitte Entities

August 31, 2011 FeesA

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity Advisor Balanced Fund

$87,000

$-

$7,400

$300

August 31, 2010 FeesA

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity Advisor Balanced Fund

$89,000

$-

$6,700

$-

A Amounts may reflect rounding.

The following table presents fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund and that are 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 Fund ("Fund Service Providers"):

Services Billed by Deloitte Entities

 

August 31, 2011A

August 31, 2010A

Audit-Related Fees

$645,000

$720,000

Tax Fees

$-

$-

All Other Fees

$730,000

$450,000

A Amounts may reflect rounding.

"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.

"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.

"All Other Fees" represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.

Assurance services must be performed by an independent public accountant.

* * *

The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund are as follows:

Billed By

August 31, 2011 A

August 31, 2010 A

Deloitte Entities

$1,480,000

$1,210,000

A Amounts may reflect rounding.

The trust's Audit Committee has considered non-audit 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 Fund, taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund and its related entities and FMR's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.

Audit Committee Pre-Approval Policies and Procedures

The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. 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 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.

All Covered Services 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.

Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.

Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")

There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund's last two fiscal years relating to services provided to (i) the Fund or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Investments

(a) Not applicable.

(b) Not applicable

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.

Item 11. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.

Item 12. Exhibits

(a)

(1)

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 Advisor Series I

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

October 26, 2011

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/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

October 26, 2011

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

October 26, 2011