N-Q 1 main.htm

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811- 4085

Fidelity Income Fund
 (Exact name of registrant as specified in charter)

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

Eric D. Roiter, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:

July 31

Date of reporting period:

October 31, 2004

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Ginnie Mae Fund

October 31, 2004

MOG-QTLY-1204

1.809097.100

Investments October 31, 2004 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 87.7%

Principal Amount (000s)

Value
(000s)

Fannie Mae - 4.7%

4.5% 6/1/33 to 10/1/33

$140,473

$136,607

5% 10/1/17 to 9/1/18

27,704

28,311

6.5% 10/1/17 to 12/1/24

10,934

11,572

7% 11/1/16 to 3/1/17

3,721

3,950

7.5% 1/1/07 to 4/1/17

8,236

8,718

8.5% 12/1/27

781

864

9.5% 9/1/30

739

816

10.25% 10/1/18

73

81

11.5% 5/1/14 to 9/1/15

51

58

12.5% 11/1/13 to 7/1/16

145

165

13.25% 9/1/11

93

109

191,251

Freddie Mac - 1.6%

4% 11/1/19 (a)

64,378

63,231

8.5% 6/1/08 to 6/1/25

116

126

9% 7/1/08 to 7/1/21

569

612

9.5% 7/1/30 to 8/1/30

222

245

9.75% 12/1/08 to 4/1/13

41

45

10% 1/1/09 to 11/1/20

1,043

1,156

10.25% 2/1/09 to 11/1/16

522

574

10.5% 5/1/10

10

11

11.25% 2/1/10

30

33

11.75% 11/1/11

17

19

12% 5/1/10 to 2/1/17

132

150

12.5% 11/1/12 to 5/1/15

200

228

13% 5/1/14 to 11/1/14

23

27

13.5% 1/1/13 to 12/1/14

8

10

66,467

Government National Mortgage Association - 81.4%

3.5% 3/20/34

1,314

1,174

4% 11/20/33

1,931

1,804

4.5% 12/20/32 to 4/20/34

241,443

235,689

4.5% 9/20/34 (c)

9,977

10,049

5% 4/15/24 to 7/20/34

1,122,385

1,126,966

5% 11/1/34 (a)(b)

121,000

121,303

5.5% 12/20/18 to 3/20/34

366,475

375,169

6% 12/20/23 to 9/20/34

643,193

668,940

6.5% 4/15/23 to 9/20/34 (a)

394,931

417,722

7% 3/15/22 to 9/20/34

211,841

226,212

7% 11/1/34 (a)

3,015

3,217

7.25% 4/15/05 to 12/15/30

800

859

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Government National Mortgage Association - continued

7.5% 4/15/06 to 9/20/32

$74,007

$79,859

8% 2/15/05 to 7/15/32

28,563

31,184

8.5% 2/15/05 to 2/15/31

9,479

10,444

9% 1/15/05 to 6/15/30

3,808

4,282

9.5% 12/20/15 to 8/20/17

1,232

1,381

10% 6/15/05

1

1

10.5% 1/15/14 to 9/15/19

1,080

1,218

13% 2/15/11 to 1/15/15

258

297

13.5% 7/15/10 to 1/15/15

54

61

3,317,831

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $3,501,896)

3,575,549

Collateralized Mortgage Obligations - 9.4%

Private Sponsor - 0.1%

United States Department of Veterans Affairs guaranteed REMIC pass thru certificates Series 1997-1 Class 2K, 7.5% 10/15/09

2,798

2,805

U.S. Government Agency - 9.3%

Fannie Mae target amortization class Series G94-2 Class D, 6.45% 1/25/24

8,879

9,222

Fannie Mae guaranteed REMIC pass thru certificates:

planned amortization class Series 2003-8 Class QC, 5% 8/25/14

5,000

5,120

sequential pay:

Series 2002-63 Class LA, 5.5% 10/25/16

5,117

5,244

Series 2003-1 Class HB, 5% 9/25/16

14,400

14,745

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 2220 Class PD, 8% 3/15/30

9,692

10,256

Series 2435 Class GD, 6.5% 2/15/30

1,917

1,925

Series 40 Class K, 6.5% 8/17/24

2,300

2,473

sequential pay:

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

5,293

4,774

Series FHR 2809 Class UB, 4% 9/15/17

8,452

8,227

Series 2750 Class CZ, 5% 11/15/32

491

491

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

123

123

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass thru securities:

floater Series 2003-29 Class FX, 3.4388% 4/16/33 (c)

$272

$273

planned amortization class:

Series 1994-4 Class KQ, 7.9875% 7/16/24

2,493

2,670

Series 2000-26 Class PK, 7.5% 9/20/30

9,143

9,487

Series 2000-5 Class PD, 7.5% 4/16/29

2,810

2,839

Series 2001-13 Class PC, 6.5% 12/20/28

7,220

7,319

Series 2001-45 Class GC, 6.5% 10/20/30

4,063

4,099

Series 2001-53:

Class PB, 6.5% 11/20/31

10,000

10,489

Class TA, 6% 12/20/30

2,672

2,698

Series 2001-60 Class PD, 6% 10/20/30

15,041

15,453

Series 2001-65 Class PH, 6% 11/20/28

6,323

6,628

Series 2002-19 Class PE, 6% 10/20/30

20,573

20,771

Series 2002-4 Class TB, 6.5% 3/20/31

1,194

1,207

Series 2002-5 Class PD, 6.5% 5/16/31

33,139

34,079

Series 2003-12 Class IO, 5.5% 11/16/25 (d)

28,046

1,605

Series 2003-19:

Class IG, 5.5% 1/16/24 (d)

2,478

79

Class IL, 5.5% 12/16/25 (d)

3,318

244

Series 2003-20:

Class AI, 5.5% 6/16/22 (d)

10,629

162

Class BI, 5.5% 5/16/27 (d)

22,423

1,729

Series 2003-26 Class PI, 5.5% 1/16/32 (d)

58,532

8,502

Series 2003-29:

Class IB, 5.5% 11/16/24 (d)

39,232

1,364

Class IG, 5.5% 11/16/24 (d)

3,682

238

Series 2003-31 Class PI, 5.5% 4/16/30 (d)

55,479

4,761

Series 2003-33 Class NI, 5.5% 2/16/26 (d)

57,979

2,412

Series 2003-34 Class IO, 5.5% 4/16/28 (d)

53,577

5,131

Series 2003-4 Class LI, 5.5% 7/16/27 (d)

22,656

1,675

Series 2003-7:

Class IN, 5.5% 1/16/28 (d)

40,669

3,213

Class IP, 5.5% 10/16/25 (d)

6,223

331

Series 2003-8 Class QI, 5.5% 1/16/27 (d)

5,026

244

Series 2004-19 Class DP, 5.5% 3/20/34

3,895

4,089

Series 2008-28 Class PC, 5.5% 4/20/34

18,652

19,355

sequential pay:

Series 1995-4 Class CQ, 8% 6/20/25

2,074

2,177

Series 1998-23 Class ZB, 6.5% 6/20/28

51,990

54,140

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass thru securities: - continued

sequential pay: - continued

Series 2000-12 Class B, 7.5% 12/16/28

$240

$240

Series 2001-15 Class VB, 6.5% 4/20/19

14,104

14,510

Series 2002-29 Class SK, 8.25% 5/20/32 (c)

1,210

1,271

Series 2002-41:

Class HB, 6% 8/16/27

1,228

1,232

Class VD, 6% 4/16/13

8,467

8,772

Series 2002-42 Class AD, 6% 12/20/28

1,487

1,488

Series 2002-49 Class ZH, 6.5% 2/20/31

29,188

29,944

Series 2002-54 Class GA, 6.5% 7/20/31

13,322

13,578

Series 2003-7 Class VP, 6% 11/20/13

6,657

7,042

Series 1995-6 Class Z, 7% 9/20/25

5,934

6,243

Series 2004-33 Class TA, 8/20/33 (e)

4,261

3,977

TOTAL U.S. GOVERNMENT AGENCY

380,360

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $392,471)

383,165

Commercial Mortgage Securities - 2.7%

Fannie Mae:

sequential pay Series 2000-7 Class MB, 7.4899% 2/17/24 (c)

11,714

12,648

Series 1997-M1 Class N, 0.445% 10/17/36 (c)(d)

76,926

1,400

Fannie Mae guaranteed REMIC pass thru certificates:

Series 1998-M3 Class IB, 0.9361% 1/17/38 (c)(d)

56,221

2,192

Series 1998-M4 Class N, 1.3264% 2/25/35 (c)(d)

33,201

1,323

Ginnie Mae guaranteed Multi-family pass thru securities:

sequential pay Series 2001-58 Class X, 1.6569% 9/16/41 (c)(d)

230,512

13,894

Series 2001-12 Class X, 1.229% 7/16/40 (c)(d)

94,308

4,439

Ginnie Mae guaranteed REMIC pass thru securities:

sequential pay Series 2002-81 Class IO, 2.0364% 9/16/42 (c)(d)

140,887

12,410

Series 2002-62 Class IO, 2.0896% 8/16/42 (c)(d)

117,015

10,248

Series 2002-85 Class X, 2.3044% 3/16/42 (c)(d)

103,893

10,511

Series 2003-22 Class XA, 0.2429% 2/16/43 (c)(d)

284,742

18,375

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Ginnie Mae guaranteed REMIC pass thru securities: - continued

Series 2003-36 Class XA, 0.2815% 3/16/43 (d)

$318,942

$20,519

Series 2003-47 Class XA, 0.237% 6/16/43 (c)(d)

45,592

2,456

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $130,558)

110,415

Cash Equivalents - 5.9%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 1.87%, dated 10/29/04 due 11/1/04)
(Cost $242,682)

$242,720

242,682

TOTAL INVESTMENT PORTFOLIO - 105.7%

(Cost $4,267,607)

4,311,811

NET OTHER ASSETS - (5.7)%

(234,175)

NET ASSETS - 100%

$4,077,636

Legend

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

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

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

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

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

Income Tax Information

At October 31, 2004, the aggregate cost of investment securities for income tax purposes was $4,270,877,000. Net unrealized appreciation aggregated $40,934,000, of which $75,416,000 related to appreciated investment securities and $34,482,000 related to depreciated investment securities.

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Advisor Ultra-Short Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

October 31, 2004

AUSB-QTLY-1204

1.809541.100

Investments October 31, 2004 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 5.0%

Principal Amount

Value

CONSUMER DISCRETIONARY - 0.9%

Auto Components - 0.3%

DaimlerChrysler NA Holding Corp.:

2.34% 5/24/06 (f)

$800,000

$804,139

2.3425% 9/10/07 (f)

630,000

630,414

2.71% 8/8/06 (f)

600,000

607,231

2,041,784

Media - 0.6%

British Sky Broadcasting Group PLC (BSkyB) yankee 7.3% 10/15/06

900,000

968,418

Continental Cablevision, Inc. 8.3% 5/15/06

450,000

484,319

Liberty Media Corp. 3.38% 9/17/06 (f)

2,350,000

2,376,696

3,829,433

TOTAL CONSUMER DISCRETIONARY

5,871,217

CONSUMER STAPLES - 0.0%

Tobacco - 0.0%

Philip Morris Companies, Inc. 7% 7/15/05

300,000

307,355

ENERGY - 0.3%

Oil & Gas - 0.3%

Duke Energy Field Services LLC 7.5% 8/16/05

1,000,000

1,037,027

Enterprise Products Operating LP 4% 10/15/07 (b)

670,000

675,277

Pemex Project Funding Master Trust 3.54% 1/7/05 (b)(f)

150,000

151,200

1,863,504

FINANCIALS - 1.2%

Capital Markets - 0.0%

State Street Capital Trust II 2.2113% 2/15/08 (f)

300,000

301,589

Consumer Finance - 0.4%

General Motors Acceptance Corp.:

3.08% 9/23/08 (f)

1,500,000

1,483,434

3.3288% 10/20/05 (f)

1,000,000

1,004,111

6.125% 9/15/06

25,000

25,948

6.75% 1/15/06

205,000

212,161

2,725,654

Insurance - 0.1%

St. Paul Travelers Companies, Inc. 7.875% 4/15/05

405,000

414,342

Real Estate - 0.6%

Arden Realty LP 8.875% 3/1/05

500,000

510,026

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Real Estate - continued

Duke Realty LP 6.875% 3/15/05

$300,000

$304,766

Regency Centers LP 7.125% 7/15/05

400,000

412,040

Simon Property Group LP 7.375% 1/20/06

2,525,000

2,651,273

3,878,105

Thrifts & Mortgage Finance - 0.1%

Countrywide Home Loans, Inc. 2.28% 6/2/06 (f)

500,000

502,108

TOTAL FINANCIALS

7,821,798

INFORMATION TECHNOLOGY - 0.3%

Communications Equipment - 0.3%

Motorola, Inc. 4.608% 11/16/07

1,700,000

1,750,500

TELECOMMUNICATION SERVICES - 1.5%

Diversified Telecommunication Services - 1.4%

British Telecommunications PLC 7.875% 12/15/05

1,950,000

2,059,869

Deutsche Telekom International Finance BV 8.25% 6/15/05

1,960,000

2,027,195

France Telecom SA 7.95% 3/1/06 (a)

440,000

468,091

GTE Corp. 6.36% 4/15/06

1,000,000

1,049,872

Sprint Capital Corp.:

4.78% 8/17/06

1,000,000

1,027,992

7.125% 1/30/06

500,000

525,902

Telefonica Europe BV 7.35% 9/15/05

500,000

520,465

TELUS Corp. yankee 7.5% 6/1/07

1,000,000

1,098,776

8,778,162

Wireless Telecommunication Services - 0.1%

AT&T Wireless Services, Inc. 7.35% 3/1/06

900,000

953,275

TOTAL TELECOMMUNICATION SERVICES

9,731,437

UTILITIES - 0.8%

Electric Utilities - 0.7%

Duke Capital LLC 6.25% 7/15/05

2,000,000

2,047,664

Progress Energy, Inc. 6.75% 3/1/06

2,105,000

2,207,335

4,254,999

Nonconvertible Bonds - continued

Principal Amount

Value

UTILITIES - continued

Gas Utilities - 0.1%

NiSource Finance Corp. 7.625% 11/15/05

$675,000

$707,493

TOTAL UTILITIES

4,962,492

TOTAL NONCONVERTIBLE BONDS

(Cost $32,233,412)

32,308,303

U.S. Government Agency Obligations - 5.4%

Fannie Mae:

1.55% 5/4/05

10,000,000

9,963,620

6.25% 3/22/12

2,995,000

3,038,095

Federal Home Loan Bank:

1.265% 3/15/05

10,000,000

9,969,111

1.35% 4/29/05

10,000,000

9,955,150

Freddie Mac 0% 4/19/05 (d)

2,000,000

1,980,096

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

(Cost $35,020,872)

34,906,072

U.S. Government Agency - Mortgage Securities - 1.5%

Fannie Mae - 1.5%

5.5% 11/1/16 to 2/1/19

6,216,490

6,447,702

6.5% 7/1/16 to 8/1/32

627,290

663,176

7% 8/1/17 to 5/1/32

2,145,161

2,277,917

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $9,343,500)

9,388,795

Asset-Backed Securities - 22.3%

Accredited Mortgage Loan Trust:

Series 2004-2 Class A2, 2.2325% 7/25/34 (f)

905,135

905,093

Series 2004-3:

Class 2A4, 2.2825% 10/25/34 (f)

1,200,000

1,198,936

Class 2M3, 3.0525% 10/25/34 (f)

210,000

210,110

Class 2M4, 3.2825% 10/25/34 (f)

85,000

85,080

ACE Securities Corp.:

Series 2002-HE2 Class M1, 2.7825% 8/25/32 (f)

175,000

176,128

Series 2003-FM1 Class M2, 3.7825% 11/25/32 (f)

145,000

147,428

Asset-Backed Securities - continued

Principal Amount

Value

ACE Securities Corp.: - continued

Series 2003-HE1:

Class A2, 2.3425% 11/25/33 (f)

$479,647

$480,472

Class M1, 2.5825% 11/25/33 (f)

120,000

120,472

Class M2, 3.6325% 11/25/33 (f)

75,000

76,290

Series 2003-HS1:

Class M1, 2.6825% 6/25/33 (f)

50,000

50,173

Class M2, 3.6825% 6/25/33 (f)

50,000

50,731

Series 2003-NC1 Class M1, 2.7125% 7/25/33 (f)

100,000

100,753

Series 2003-TC1 Class A2, 2.3225% 6/25/33 (f)

67,856

67,993

Series 2004-HE1:

Class M1, 2.4325% 2/25/34 (f)

150,000

150,014

Class M2, 3.0325% 2/25/34 (f)

175,000

175,040

American Express Credit Account Master Trust:

Series 2004-1 Class B, 2.12% 9/15/11 (f)

410,000

410,827

Series 2004-5 Class B, 2.0825% 4/16/12 (f)

2,150,000

2,148,858

Series 2004-C Class C, 2.37% 2/15/12 (b)(f)

1,200,000

1,199,925

AmeriCredit Automobile Receivables Trust:

Series 2000-D Class A4, 2.05% 9/12/07 (f)

237,374

237,517

Series 2002-A Class A3, 2.04% 10/12/06 (f)

50,761

50,762

Series 2003-AM Class A4B, 2.31% 11/6/09 (f)

600,000

603,352

Series 2003-BX Class A4B, 2.22% 1/6/10 (f)

140,000

140,862

Series 2003-CF Class A3, 2.75% 10/9/07

1,000,000

1,001,851

Series 2004-1 Class A3, 3.22% 7/6/08

365,000

366,417

Ameriquest Mortgage Securities, Inc.:

Series 2002-4 Class M1, 2.9325% 2/25/33 (f)

105,000

105,725

Series 2002-AR1 Class M2, 3.2325% 9/25/32 (f)

490,000

492,596

Series 2003-1:

Class A2, 2.3425% 2/25/33 (f)

77,576

77,711

Class M1, 2.8325% 2/25/33 (f)

100,000

101,188

Series 2003-3 Class M1, 2.7325% 3/25/33 (f)

75,000

75,234

Series 2003-6:

Class AV3, 2.2525% 8/25/33 (f)

172,829

172,996

Class S, 5% 5/25/33 (h)

4,022,099

158,511

Series 2003-7 Class M1, 2.7825% 8/25/33 (f)

140,000

141,272

Series 2003-AR1 Class M1, 3.0825% 1/25/33 (f)

500,000

503,456

Series 2004-R2:

Class M1, 2.3625% 4/25/34 (f)

85,000

84,996

Class M2, 2.4125% 4/25/34 (f)

75,000

74,997

Series 2004-R9:

Class A3, 2.2525% 10/25/34 (f)

1,020,000

1,019,643

Class M2, 2.5825% 10/25/34 (f)

720,000

719,260

Class M4, 3.1025% 10/25/34 (f)

925,000

925,030

Asset-Backed Securities - continued

Principal Amount

Value

Amortizing Residential Collateral Trust:

Series 2002-BC6 Class M1, 2.6825% 8/25/32 (f)

$100,000

$100,669

Series 2002-BC7:

Class M1, 2.7325% 10/25/32 (f)

450,000

450,422

Class M2, 2.8325% 10/25/32 (f)

300,000

302,120

Series 2003-BC1 Class M2, 3.0325% 1/25/32 (f)

175,000

175,661

AQ Finance NIMS Trust Series 2003-N6A Class NOTE, 2.2325% 5/25/10 (b)(f)

60,923

60,923

Argent Securities, Inc.:

Series 2003-W3 Class M2, 3.7325% 9/25/33 (f)

800,000

821,736

Series 2003-W6 Class AV2, 2.3025% 1/25/34 (f)

582,971

583,475

Series 2004-W7:

Class M1, 2.4825% 5/25/34 (f)

305,000

304,986

Class M2, 2.5325% 5/25/34 (f)

250,000

249,988

Asset Backed Funding Certificates Series 2004-HE1 Class M2, 3.0825% 1/25/34 (f)

230,000

229,989

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2002-HE2 Class M2, 3% 8/15/32 (f)

100,000

100,297

Series 2002-HE3 Class 2A, 2.27% 10/15/32 (f)

19,443

19,458

Series 2003-HE2:

Class A2, 2.25% 4/15/33 (f)

121,850

122,007

Class M1, 2.77% 4/15/33 (f)

1,000,000

1,009,277

Series 2003-HE3 Class A2, 2.22% 6/15/33 (f)

43,109

43,122

Series 2003-HE4:

Class A3, 2.09% 8/15/33 (f)

95,764

95,799

Class M2, 3.87% 8/15/33 (f)

285,000

290,361

Series 2003-HE5 Class A2A, 2.23% 8/15/33 (f)

209,579

209,830

Series 2003-HE6 Class M1, 2.5825% 11/25/33 (f)

215,000

215,853

Series 2003-HE7 Class A3, 2.23% 12/15/33 (f)

487,987

488,338

Series 2004-HE6 Class A2, 2.2925% 6/25/34 (f)

2,590,851

2,590,732

Associates Automobile Receivables Trust Series 2000-1 Class B, 7.83% 8/15/07

141,273

142,001

Bank One Issuance Trust:

Series 2002-B1 Class B1, 2.25% 12/15/09 (f)

465,000

467,003

Series 2002-B2 Class B2, 2.21% 5/15/08 (f)

100,000

100,179

Series 2002-B3 Class B, 2.23% 8/15/08 (f)

500,000

501,268

Series 2002-C1 Class C1, 2.83% 12/15/09 (f)

675,000

683,124

Series 2002-C2 Class C2, 2.86% 5/15/08 (f)

2,850,000

2,864,642

Bayview Financial Acquisition Trust Series 2004-C
Class A1, 2.3788% 5/28/44 (f)

1,281,760

1,281,509

Bayview Financial Asset Trust Series 2000-F Class A, 2.4588% 9/28/43 (f)

327,879

328,545

Asset-Backed Securities - continued

Principal Amount

Value

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 2.4088% 2/28/44 (f)

$593,535

$594,045

Bear Stearns Asset Backed Securities I:

Series 2004-BO1:

Class M2, 2.69% 9/25/34 (f)

390,000

390,000

Class M3, 3% 9/25/34 (f)

265,000

265,000

Class M4, 3.15% 9/25/34 (f)

225,000

225,000

Class M5, 3.35% 9/25/34 (f)

210,000

210,000

Series 2004-FR3 Class M3, 2.99% 10/25/34 (f)

845,000

845,000

Series 2004-HE9 Class M2, 3.04% 10/25/34 (f)

490,000

490,000

Capital Auto Receivables Asset Trust Series 2003-1
Class B, 2.34% 6/15/10 (b)(f)

244,636

245,608

Capital One Auto Finance Trust:

Series 2003-A Class A4B, 2.15% 1/15/10 (f)

425,000

426,859

Series 2004-B Class A4, 1.95% 8/15/11 (f)

1,700,000

1,699,734

Capital One Master Trust:

Series 2001-1 Class B, 2.38% 12/15/10 (f)

500,000

503,345

Series 2001-8A Class B, 2.42% 8/17/09 (f)

405,000

407,893

Capital One Multi-Asset Execution Trust:

Series 2002-B1 Class B1, 2.55% 7/15/08 (f)

1,035,000

1,038,678

Series 2003-B1 Class B1, 3.04% 2/17/09 (f)

1,135,000

1,150,176

Series 2003-B6 Class B6, 2.4% 9/15/11 (f)

1,125,000

1,134,626

Series 2004-B1 Class B1, 2.31% 11/15/11 (f)

1,180,000

1,183,760

Capital Trust Ltd. Series 2004-1:

Class A2, 2.36% 7/20/39 (b)(f)

265,000

265,000

Class B, 2.66% 7/20/39 (b)(f)

140,000

140,000

Class C, 3.01% 7/20/39 (b)(f)

180,000

180,000

CDC Mortgage Capital Trust:

Series 2001-HE1 Class A, 2.2725% 1/25/32 (f)

1,198

1,198

Series 2002-HE3:

Class M1, 3.0325% 3/25/33 (f)

299,999

305,739

Class M2, 4.1825% 3/25/33 (f)

489,999

497,718

Series 2003-HE1 Class M2, 3.8825% 8/25/33 (f)

215,000

218,702

Series 2003-HE2 Class A, 2.2825% 10/25/33 (f)

299,305

299,438

Series 2003-HE3:

Class M1, 2.6325% 11/25/33 (f)

104,999

105,705

Class M2, 3.6825% 11/25/33 (f)

80,000

81,404

Series 2003-HE4 Class A2, 2.1625% 3/25/34 (f)

653,809

654,219

Series 2004-HE2 Class M2, 3.1325% 7/26/34 (f)

175,000

174,992

Chase Credit Card Owner Trust:

Series 2001-6 Class B, 2.35% 3/16/09 (f)

200,000

201,209

Series 2002-2 Class C, 2.77% 7/16/07 (f)

1,170,000

1,172,639

Series 2002-6 Class B, 2.22% 1/15/08 (f)

150,000

150,311

Asset-Backed Securities - continued

Principal Amount

Value

Chase Credit Card Owner Trust: - continued

Series 2004-1 Class B, 2.07% 5/15/09 (f)

$295,000

$294,982

Citibank Credit Card Issuance Trust:

Series 2000-C2 Class C2, 2.72% 10/15/07 (f)

900,000

902,167

Series 2001-B2 Class B2, 2.3325% 12/10/08 (f)

615,000

618,506

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

655,000

656,814

Series 2002-C1 Class C1, 2.7% 2/9/09 (f)

900,000

911,463

Series 2003-C1 Class C1, 3.14% 4/7/10 (f)

1,685,000

1,722,521

Countrywide Home Loans, Inc.:

Series 2000-2 Class MV2, 2.8325% 6/25/31 (f)

150,315

150,497

Series 2002-6 Class AV1, 2.3625% 5/25/33 (f)

177,823

178,128

Series 2003-BC1 Class M2, 3.9325% 9/25/32 (f)

1,025,000

1,051,450

Series 2003-SD3 Class A1, 2.3525% 12/25/32 (b)(f)

121,793

122,072

Series 2004-2 Class M1, 2.4325% 5/25/34 (f)

375,000

374,983

Series 2004-3:

Class 3A4, 2.1825% 8/25/34 (f)

9,328,000

9,268,616

Class M1, 2.4325% 6/25/34 (f)

100,000

100,098

CS First Boston Mortgage Securities Corp.:

Series 2002-HE16 Class M2, 3.4325% 10/25/32 (f)

75,000

75,813

Series 2003-8 Class A2, 2.3225% 4/25/34 (f)

429,206

429,905

Series 2004-FRE1:

Class A2, 2.2825% 4/25/34 (f)

707,665

707,632

Class B1, 3.7325% 4/25/34 (f)

605,000

604,970

Class M3, 2.5825% 4/25/34 (f)

610,000

609,971

Discover Card Master Trust I Series 2003-4 Class B1, 2.2% 5/16/11 (f)

550,000

551,943

Fannie Mae guaranteed REMIC pass thru certificates:

Series 2002-T15 Class S1, 5.25% 4/25/05 (h)

611,292

16,548

Series 2004-T5:

Class AB1, 2.1825% 5/28/35 (f)

1,835,251

1,925,007

Class AB3, 2.3245% 5/28/35 (f)

1,641,454

1,656,330

Class AB8, 2.2825% 5/28/35 (f)

1,637,699

1,736,617

Fieldstone Mortgage Investment Corp.:

Series 2003-1 Class M1, 2.6125% 11/25/33 (f)

100,000

100,723

Series 2004-1 Class M2, 3.0325% 1/25/35 (f)

300,000

300,904

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 2.4825% 3/25/34 (f)

25,000

24,999

Class M4, 2.8325% 3/25/34 (f)

25,000

24,999

Class M6, 3.1825% 3/25/34 (f)

25,000

24,919

First USA Secured Note Trust Series 2001-3 Class C, 2.94% 11/19/08 (b)(f)

785,000

790,519

Ford Credit Auto Owner Trust Series 2003-B Class B2, 2.3% 10/15/07 (f)

650,000

653,456

Asset-Backed Securities - continued

Principal Amount

Value

Fremont Home Loan Trust:

Series 2004-A Class M2, 3.0825% 1/25/34 (f)

$375,000

$374,982

Series 2004-C:

Class 2A2, 2.4825% 8/25/34 (f)

1,000,000

1,006,719

Class M1, 2.5825% 8/25/34 (f)

540,000

540,000

Class M3, 3.0825% 8/25/34 (f)

1,000,000

1,000,000

GE Business Loan Trust Series 2003-1 Class A, 2.3% 4/15/31 (b)(f)

318,237

320,114

Gracechurch Card Funding PLC:

Series 5:

Class B, 2.8% 8/15/08 (f)

80,000

80,052

Class C, 2.8% 8/15/08 (f)

295,000

296,237

Series 6 Class B, 2.06% 2/17/09 (f)

75,000

74,995

GS Mortgage Securities Corp.:

Series 2003-FM1 Class M1, 2.6313% 3/20/33 (f)

750,000

757,167

Series 2004-FF3 Class M2, 3.0725% 5/25/34 (f)

370,000

369,984

Series 2004-FM1:

Class M1, 2.5825% 11/25/33 (f)

195,000

194,991

Class M2, 3.3325% 11/25/33 (f)

135,000

135,931

5.5% 11/25/32 (b)

257,469

257,211

GSAMP Trust:

Series 2002-NC1 Class A2, 2.2525% 7/25/32 (f)

114,363

114,843

Series 2004-AHL:

Class A2D, 2.2% 8/25/34 (f)

3,360,000

3,360,000

Class M2, 2.99% 8/25/34 (f)

250,000

250,000

Series 2004-FM2 Class M1, 2.4325% 1/25/34 (f)

250,000

249,988

Series 2004-HE1:

Class M1, 2.4825% 5/25/34 (f)

320,000

319,985

Class M2, 3.0825% 5/25/34 (f)

150,000

148,782

Class M3, 3.3325% 5/25/34 (f)

100,000

99,198

Harwood Street Funding I LLC Series 2004-1A
Class CTFS, 3.7575% 9/20/09 (b)(f)

1,700,000

1,700,000

Home Equity Asset Trust:

Series 2002-3 Class A5, 2.3725% 2/25/33 (f)

21,936

21,948

Series 2002-4:

Class A3, 2.4125% 3/25/33 (f)

181,204

181,685

Class M2, 3.9825% 3/25/33 (f)

125,000

126,748

Series 2002-5:

Class A3, 2.4525% 5/25/33 (f)

289,023

290,371

Class M1, 3.1325% 5/25/33 (f)

200,000

203,935

Series 2003-1:

Class A2, 2.4025% 6/25/33 (f)

632,027

633,903

Class M1, 2.9325% 6/25/33 (f)

300,000

302,005

Asset-Backed Securities - continued

Principal Amount

Value

Home Equity Asset Trust: - continued

Series 2003-2:

Class A2, 2.3125% 8/25/33 (f)

$37,106

$37,157

Class M1, 2.8125% 8/25/33 (f)

80,000

80,870

Series 2003-3:

Class A2, 2.2925% 8/25/33 (f)

186,964

187,091

Class M1, 2.7925% 8/25/33 (f)

330,000

333,531

Series 2003-4:

Class M1, 2.7325% 10/25/33 (f)

170,000

171,410

Class M2, 3.8325% 10/25/33 (f)

200,000

203,446

Series 2003-5:

Class A2, 2.2825% 12/25/33 (f)

567,625

568,008

Class M1, 2.6325% 12/25/33 (f)

160,000

160,890

Class M2, 3.6625% 12/25/33 (f)

70,000

71,400

Series 2003-7 Class A2, 2.3125% 3/25/34 (f)

1,130,841

1,132,135

Series 2003-8 Class M1, 2.6525% 4/25/34 (f)

260,000

261,133

Series 2004-4 Class A2, 2.2525% 10/25/34 (f)

1,117,627

1,118,883

Series 2004-6 Class A2, 2.2825% 12/25/34 (f)

1,721,625

1,718,873

Home Equity Asset Trust NIMS Trust Series 2002-4N Class A, 8% 5/27/33 (b)

7,288

7,307

Household Affinity Credit Card Master Note Trust I
Series 2003-3 Class B, 2.16% 8/15/08 (f)

500,000

500,592

Household Credit Card Master Trust I Series 2002-1 Class B, 2.52% 7/15/08 (f)

300,000

301,494

Household Home Equity Loan Trust:

Series 2002-3 Class A, 2.36% 7/20/32 (f)

81,059

81,091

Series 2003-1 Class M, 2.4413% 10/20/32 (f)

68,476

68,625

Series 2003-2:

Class A, 2.24% 9/20/33 (f)

330,647

330,990

Class M, 2.49% 9/20/33 (f)

156,818

157,255

Series 2004-1 Class M, 2.43% 9/20/33 (f)

410,130

410,105

Household Mortgage Loan Trust:

Series 2002-HC1:

Class A, 2.21% 5/20/32 (f)

163,526

163,856

Class M, 2.56% 5/20/32 (f)

78,102

78,201

Series 2003-HC1:

Class A, 2.26% 2/20/33 (f)

297,732

297,873

Class M, 2.56% 2/20/33 (f)

157,373

157,992

Series 2003-HC2:

Class A2, 2.24% 6/20/33 (f)

339,036

339,646

Class M, 2.51% 6/20/33 (f)

282,187

282,450

Series 2004-HC1:

Class A, 2.1613% 2/20/34 (f)

980,947

980,654

Asset-Backed Securities - continued

Principal Amount

Value

Household Mortgage Loan Trust: - continued

Class M, 2.41% 2/20/34 (f)

$594,926

$594,468

Household Private Label Credit Card Master Note Trust I:

Series 2002-2 Class A, 2.04% 1/18/11 (f)

1,000,000

1,001,580

Series 2002-3 Class B, 3.12% 9/15/09 (f)

150,000

151,372

Ikon Receivables Funding LLC Series 2003-1 Class A3A, 2.11% 12/17/07 (f)

355,761

355,895

Keycorp Student Loan Trust Series 1999-A Class A2, 1.9163% 12/27/09 (f)

342,278

343,233

Long Beach Mortgage Loan Trust:

Series 2001-4 Class 2M1, 2.8825% 3/25/32 (f)

765,000

772,156

Series 2003-1:

Class A2, 2.3325% 3/25/33 (f)

77,320

77,408

Class M1, 2.8525% 3/25/33 (f)

300,000

301,906

Series 2003-2 Class M1, 2.7525% 6/25/33 (f)

500,000

502,690

Series 2003-3 Class M1, 2.6825% 7/25/33 (f)

340,000

342,511

MASTR Adjustable Rate Mortgages Trust Series 2004-11 Class 1A4, 2.4488% 11/26/34 (f)

255,000

255,000

MASTR Asset Backed Securities Trust Series 2004-FRE1 Class M1, 2.4825% 7/25/34 (f)

485,000

484,974

MBNA Asset Backed Note Trust Series 2000-K Class C, 2.67% 3/17/08 (b)(f)

1,000,000

1,004,800

MBNA Credit Card Master Note Trust:

Series 2001-B1 Class B1, 2.245% 10/15/08 (f)

1,250,000

1,252,898

Series 2001-B2 Class B2, 2.23% 1/15/09 (f)

1,000,000

1,003,324

Series 2002-B2 Class B2, 2.25% 10/15/09 (f)

1,034,000

1,038,595

Series 2002-B4 Class B4, 2.37% 3/15/10 (f)

630,000

635,080

Series 2003-B2 Class B2, 2.26% 10/15/10 (f)

125,000

125,682

Series 2003-B3 Class B3, 2.245% 1/18/11 (f)

1,550,000

1,554,181

Series 2003-B5 Class B5, 2.24% 2/15/11 (f)

2,000,000

2,014,195

MBNA Master Credit Card Trust II:

Series 1998-E Class B, 1.93% 9/15/10 (f)

200,000

201,074

Series 1998-G Class B, 2.27% 2/17/09 (f)

500,000

501,273

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 2.4325% 7/25/34 (f)

150,000

149,993

Class M2, 2.4825% 7/25/34 (f)

25,000

24,999

Class M3, 2.8825% 7/25/34 (f)

50,000

49,998

Class M4, 3.0325% 7/25/34 (f)

50,000

49,998

Merrill Lynch Mortgage Investors, Inc.:

Series 2002-HE1N Class N1, 2.5325% 11/25/09 (b)(f)

15,550

15,511

Series 2003-HE1 Class A1, 2.3825% 7/25/34 (f)

711,335

711,882

Series 2004-FM1 Class M2, 3.0825% 1/25/35 (f)

150,000

150,396

Asset-Backed Securities - continued

Principal Amount

Value

Merrill Lynch Mortgage Investors, Inc.: - continued

Series 2004-HE2:

Class A1B, 2.29% 8/25/35 (f)

$1,005,000

$1,005,628

Class A2B, 2.14% 8/25/35 (f)

1,510,000

1,510,000

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 3.0325% 12/27/32 (f)

125,000

126,896

Series 2003-HE1 Class M2, 3.8325% 5/25/33 (f)

325,000

329,844

Series 2003-NC10 Class M1, 2.6125% 10/25/33 (f)

830,000

834,065

Series 2003-NC5 Class M2, 3.9325% 4/25/33 (f)

200,000

203,976

Series 2003-NC6 Class M2, 3.8825% 6/27/33 (f)

630,000

643,657

Series 2003-NC8 Class M1, 2.6325% 9/25/33 (f)

120,000

120,407

Series 2004-HE6 Class A2, 2.2725% 8/25/34 (f)

1,927,462

1,927,866

Series 2004-NC6 Class A2, 2.2725% 7/25/34 (f)

576,094

575,511

Series 2004-NC7 Class A3, 2.2325% 7/25/34 (f)

2,000,000

1,998,251

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-AM1:

Class M1, 2.7825% 2/25/32 (f)

710,724

717,825

Class M2, 3.3325% 2/25/32 (f)

500,000

503,921

Series 2001-NC1 Class M2, 3.0025% 10/25/31 (f)

100,000

100,391

Series 2001-NC2 Class B1, 3.8825% 1/25/32 (f)

679,762

677,205

Series 2001-NC3 Class M2, 3.4325% 10/25/31 (f)

225,000

226,873

Series 2001-NC4:

Class M1, 2.9325% 1/25/32 (f)

140,000

141,851

Class M2, 3.5825% 1/25/32 (f)

105,000

106,516

Series 2002-AM3 Class A3, 2.4225% 2/25/33 (f)

80,371

80,629

Series 2002-HE1 Class M1, 2.5325% 7/25/32 (f)

145,000

145,499

Series 2002-HE2 Class M2, 3.1825% 8/25/32 (f)

100,000

100,491

Series 2002-NC3 Class M1, 2.6525% 8/25/32 (f)

100,000

100,788

Series 2002-NC4 Class M2, 3.5325% 9/25/32 (f)

75,000

75,647

Series 2002-OP1 Class M1, 2.6825% 9/25/32 (f)

95,000

95,626

Series 2003-NC1 Class M2, 3.9825% 11/25/32 (f)

130,000

131,824

Series 2003-NC2 Class M2, 3.9325% 2/25/33 (f)

165,000

168,706

Navistar Financial Corp. Owner Trust Series 2001-B Class B, 4.83% 11/17/08

502,890

506,395

New Century Finance NIMS Trust Series 2003-A
Class NOTE, 8.5% 10/25/33 (b)

21,166

21,239

New Century Home Equity Loan Trust Series 2003-2:

Class A2, 2.3625% 1/25/33 (f)

100,284

100,455

Class AIO, 4.5% 3/25/05 (f)(h)

13,302,840

151,652

Nissan Auto Lease Trust:

Series 2003-A Class A3A, 1.9% 6/15/09 (f)

1,000,000

1,001,037

Series 2004-A Class A4A, 1.98% 6/15/10 (f)

1,325,000

1,325,000

Asset-Backed Securities - continued

Principal Amount

Value

NovaStar Home Equity Loan Series 2004-1:

Class M1, 2.3825% 6/25/34 (f)

$100,000

$100,089

Class M4, 2.9075% 6/25/34 (f)

170,000

168,781

NovaStar Mortgage Funding Trust Series 2003-3
Class A3, 2.3825% 12/25/33 (f)

608,950

608,577

Onyx Acceptance Owner Trust Series 2003-D Class A3, 2.4% 12/15/07

470,000

469,386

Option One Mortgage Loan Trust Series 2003-6
Class M1, 2.5825% 11/25/33 (f)

1,025,000

1,029,075

Park Place Securities Nims Trust Series 2004-MHQ1:

Class A, 2.487% 12/25/34 (b)

485,000

485,000

Class B, 3.474% 12/25/34 (b)

220,000

220,000

Park Place Securities, Inc.:

Series 2004 WWF1 Class M4, 0% 1/25/35 (c)(f)

945,000

1,012,584

Series 2004-WCW1:

Class M1, 2.5625% 9/25/34 (f)

270,000

270,073

Class M2, 2.6125% 9/25/34 (f)

160,000

160,056

Class M3, 3.1825% 9/25/34 (f)

310,000

310,102

Class M4, 3.3825% 9/25/34 (f)

435,000

435,215

Series 2004-WCW2 Class A2, 2.3125% 10/25/34 (f)

1,476,441

1,476,373

Series 2004-WWF1 Class A5, 0% 1/25/35 (c)(f)

670,000

670,000

Providian Gateway Master Trust Series 2002-B Class A, 2.57% 6/15/09 (b)(f)

400,000

403,095

Residental Asset Securities Corp. Series 2004-KS10 Class M2, 3.1088% 10/25/34 (f)

395,000

395,000

Residential Asset Mortgage Products, Inc.:

Series 2004-RS10 Class MII2, 3.21% 10/25/34 (f)

1,300,000

1,300,000

Series 2004-RS6:

Class 2M2, 3.2325% 6/25/34 (f)

250,000

249,988

Class 2M3, 3.3825% 6/25/34 (f)

250,000

249,988

Salomon Brothers Mortgage Securities VII, Inc.
Series 2003-HE1 Class A, 2.24% 4/25/33 (f)

90,240

90,388

Saxon Asset Securities Trust Series 2004-2 Class MV1, 2.5125% 8/25/35 (f)

415,000

414,981

Sears Credit Account Master Trust II:

Series 2002-4:

Class A, 2% 8/18/09 (f)

800,000

800,717

Class B, 2.295% 8/18/09 (f)

1,080,000

1,082,044

Series 2002-5 Class B, 3.12% 11/17/09 (f)

500,000

501,116

Specialty Underwriting & Residential Finance
Series 2003-BC3 Class M1, 2.5825% 8/25/34 (f)

1,000,000

1,004,011

Structured Asset Securities Corp. Series 2004-GEL1 Class A, 2.2925% 2/25/34 (f)

119,711

119,706

Asset-Backed Securities - continued

Principal Amount

Value

Superior Wholesale Inventory Financing Trust VII
Series 2003-A8 Class CTFS, 2.32% 3/15/11 (b)(f)

$675,000

$675,633

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 2.3625% 9/25/34 (f)

634,457

636,047

Series 2003-6HE Class A1, 2.4025% 11/25/33 (f)

230,686

231,312

Series 2003-8HE Class A, 2.4025% 12/25/34 (f)

312,424

312,602

Series 2004-1HE Class A1, 2.4425% 2/25/35 (b)(f)

308,818

309,300

Triad Auto Receivables Owner Trust Series 2002-A
Class A3, 2.62% 2/12/07

274,067

274,402

WFS Financial Owner Trust:

Series 2004-3 Class D, 4.07% 2/17/12

660,000

665,395

Series 2004-4 Class D, 3.58% 5/17/12

550,000

549,977

TOTAL ASSET-BACKED SECURITIES

(Cost $143,618,247)

144,205,051

Collateralized Mortgage Obligations - 13.2%

Private Sponsor - 8.3%

Adjustable Rate Mortgage Trust floater Series 2004-2 Class 7A3, 2.35% 2/25/35 (f)

2,000,000

2,000,000

Countrywide Home Loans, Inc.:

floater Series 2004-16 Class A1, 2.3325% 9/25/34 (f)

1,168,741

1,167,652

sequential pay Series 2002-5 Class 2A1, 6% 4/25/17

140,178

140,010

CS First Boston Mortgage Securities Corp.:

floater:

Series 2004-AR2 Class 6A1, 2.3325% 3/25/34 (f)

724,334

723,983

Series 2004-AR3 Class 6A2, 2.3025% 4/25/34 (f)

299,719

300,287

Series 2004-AR5 Class 11A2, 2.3025% 6/25/34 (f)

446,810

445,809

Series 2004-AR6 Class 9A2, 2.3025% 10/25/34 (f)

553,992

554,531

Series 2004-AR7 Class 6A2, 2.3125% 8/25/34 (f)

927,714

928,618

Series 2004-AR8 Class 8A2, 2.3125% 9/25/34 (f)

854,433

855,722

Series 2003-TFLA Class F, 2.4433% 4/15/13 (b)(f)

235,000

236,678

Fieldstone Mortgage Investment Corp. floater
Series 2004-1 Class 2A, 2.2225% 1/25/35 (f)

2,911,826

2,911,136

Granite Mortgages PLC floater:

Series 2004-1:

Class 1B, 2.12% 3/20/44 (f)

95,000

95,089

Class 1C, 2.81% 3/20/44 (f)

280,000

281,138

Class 1M, 2.32% 3/20/44 (f)

130,000

130,244

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Granite Mortgages PLC floater: - continued

Series 2004-2:

Class 1A2, 1.98% 6/20/28 (f)

$500,000

$499,854

Class 1B, 2.08% 6/20/44 (f)

100,000

99,992

Class 1C, 2.61% 6/20/44 (f)

365,000

365,656

Class 1M, 2.19% 6/20/44 (f)

185,000

184,928

Series 2004-3:

Class 1B, 2.0754% 9/20/44 (f)

200,000

199,700

Class 1C, 2.5054% 9/20/44 (f)

605,000

604,335

Class 1M, 2.1854% 9/20/44 (f)

100,000

99,900

Holmes Financing No. 7 PLC floater Series 2 Class M, 2.4% 7/15/40 (f)

195,000

196,850

Holmes Financing No. 8 PLC floater:

Series 1:

Class B, 2.2% 7/15/40 (f)

145,000

145,045

Class C, 2.69% 7/15/40 (f)

2,080,000

2,081,300

Series 2:

Class A, 2.15% 4/15/11 (f)

1,400,000

1,399,727

Class B, 2.24% 7/15/40 (f)

190,000

190,000

Class C, 2.79% 7/15/40 (f)

775,000

775,243

Homestar Mortgage Acceptance Corp. floater
Series 2004-5 Class A1, 2.29% 10/25/34 (f)

1,500,000

1,500,000

Impac CMB Trust floater Series 2004-6 Class 1A2, 2.3225% 10/25/34 (f)

486,110

485,593

Master Adjustable Rate Mortgages Trust floater
Series 2004-11:

Class 2A1, 2.339% 11/25/34 (f)

1,340,000

1,340,000

Class 2A2, 2.399% 11/25/34 (f)

295,000

295,000

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

989,994

1,030,212

Merrill Lynch Mortgage Investors, Inc.:

floater:

Series 2003-A:

Class 2A1, 2.3225% 3/25/28 (f)

423,485

424,526

Class 2A2, 2.36% 3/25/28 (f)

151,245

151,562

Series 2003-B Class A1, 2.2725% 4/25/28 (f)

385,126

386,097

Series 2003-E Class A2, 2.28% 10/25/28 (f)

844,893

844,371

Series 2003-F Class A2, 2.46% 10/25/28 (f)

853,371

853,604

Series 2004-A Class A2, 2.37% 4/25/29 (f)

1,081,791

1,077,911

Series 2004-B Class A2, 1.8525% 6/25/29 (f)

1,103,726

1,102,132

Series 2004-C Class A2, 2.1506% 7/25/29 (f)

1,489,299

1,486,236

Series 2004-D Class A2, 2.34% 9/25/29 (f)

1,479,401

1,480,424

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Merrill Lynch Mortgage Investors, Inc.: - continued

floater:

Series 2004-E Class A2D, 2.77% 11/25/29 (f)

$1,494,045

$1,493,228

Series 2003-G Class XA1, 1% 1/25/29 (h)

3,585,250

55,786

Permanent Financing No. 1 PLC floater Series 1
Class 2C, 3.0425% 6/10/42 (f)

2,000,000

2,010,800

Permanent Financing No. 3 PLC floater:

Series 1 Class C, 2.8125% 6/10/42 (f)

1,000,000

1,000,062

Series 2 Class C, 2.9125% 6/10/42 (f)

205,000

206,025

Permanent Financing No. 4 PLC floater Series 2 Class C, 2.13% 6/10/42 (f)

1,145,000

1,144,605

Permanent Financing No. 5 PLC floater:

Series 1 Class C, 2.3625% 6/10/42 (f)

260,000

259,919

Series 2 Class C, 2.5125% 6/10/42 (f)

390,000

389,878

Series 3 Class C, 2.6825% 6/10/42 (f)

825,000

825,000

Residential Asset Mortgage Products, Inc. sequential pay:

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

457,754

476,494

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

185,038

191,252

Residential Finance LP/Residential Finance Development Corp. floater Series 2003-A:

Class B4, 3.6581% 3/10/35 (b)(f)

97,647

99,042

Class B5, 4.2081% 3/10/35 (b)(f)

97,647

99,636

Residential Funding Securities Corp.:

Series 2003-RP1 Class A1, 2.4325% 11/25/34 (f)

252,636

253,520

Series 2003-RP2 Class A1, 2.3825% 6/25/33 (b)(f)

310,215

311,205

Sequoia Mortgage Funding Trust Series 2003-A
Class AX1, 0.8% 10/21/08 (b)(h)

12,861,103

131,626

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 2.2513% 9/20/33 (f)

814,536

812,148

Series 2003-7 Class A2, 1.8788% 1/20/34 (f)

424,844

424,826

Series 2004-1 Class A, 2.1913% 2/20/34 (f)

590,792

589,325

Series 2004-10 Class A4, 2.58% 11/20/34 (f)

1,715,000

1,715,000

Series 2004-4 Class A, 2.4613% 5/20/34 (f)

460,824

459,511

Series 2004-5 Class A3, 1.8625% 6/20/34 (f)

759,418

757,994

Series 2004-6:

Class A3A, 2.1638% 6/20/35 (f)

947,450

946,561

Class A3B, 2.3063% 7/20/34 (f)

1,894,899

1,887,941

Series 2004-7:

Class A3A, 2.285% 8/20/34 (f)

999,192

998,482

Class A3B, 2.51% 7/20/34 (f)

1,940,178

1,952,995

Series 2004-8 Class A2, 2.35% 9/20/34 (f)

1,966,558

1,968,632

Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 2.3325% 9/25/33 (b)(f)

408,948

408,748

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Thornburg Mortgage Securities Trust floater Series 2004-3 Class A, 2.33% 9/25/34 (f)

$1,191,203

$1,193,155

WAMU Mortgage pass thru certificates sequential pay Series 2002-S6 Class A25, 6% 10/25/32

268,419

270,918

Washington Mutual Mortgage Securities Corp. sequential pay Series 2003-MS9 Class 2A1, 7.5% 12/25/33

108,989

112,665

TOTAL PRIVATE SPONSOR

53,518,074

U.S. Government Agency - 4.9%

Fannie Mae:

floater Series 2002-89 Class F, 2.2325% 1/25/33 (f)

220,816

221,056

planned amortization class:

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

112,395

112,985

Series 2002-81 Class PU, 4.5% 5/25/20

2,280,000

2,288,270

Fannie Mae guaranteed REMIC pass thru certificates:

floater:

Series 2002-11 Class QF, 2.4325% 3/25/32 (f)

271,725

273,836

Series 2002-36 Class FT, 2.4325% 6/25/32 (f)

252,972

254,983

Series 2002-64 Class FE, 2.2388% 10/18/32 (f)

143,601

144,215

Series 2002-74 Class FV, 2.3825% 11/25/32 (f)

165,992

167,111

Series 2003-11:

Class DF, 2.3825% 2/25/33 (f)

177,992

179,019

Class EF, 2.3825% 2/25/33 (f)

160,713

161,539

planned amortization class:

Series 2001-62 Class PG, 6.5% 10/25/30

159,439

162,001

Series 2001-70 Class PD, 6% 3/25/29

748,435

751,194

Series 2002-28 Class PJ, 6.5% 3/25/31

1,856,850

1,874,252

Series 2002-52 Class PA, 6% 4/25/31

38,650

39,186

Series 2002-55 Class QB, 5.5% 8/25/12

3,100

3,097

Series 2002-8 Class PD, 6.5% 7/25/30

654,023

663,662

Series 2003-17 Class PQ, 4.5% 3/25/16

855,000

858,788

sequential pay Series 2001-15 Class VA, 6% 6/25/10

22,489

22,482

Series 2002-50 Class LE, 7% 12/25/29

220,886

225,124

Series 2004-31 Class IA, 4.5% 6/25/10 (h)

635,000

39,548

Series 2004-33 Class ZK, 4.5% 4/25/34

1,084,810

1,086,622

Series 2004-37 Class ZB, 4.5% 5/25/34

1,880,270

1,881,009

Freddie Mac planned amortization class:

Series 2091 Class PP, 6% 2/15/27

504,144

508,170

Series 2256 Class MB, 7.25% 5/15/30

181,041

182,338

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2526 Class FC, 2.27% 11/15/32 (f)

$57,834

$58,098

Series 2538 Class FB, 2.27% 12/15/32 (f)

286,171

287,251

Series 2551 Class FH, 2.32% 1/15/33 (f)

151,464

152,116

planned amortization class:

Series 1675 Class H, 6.375% 10/15/22

6,180

6,176

Series 2136 Class PQ, 6.5% 10/15/27

656,621

660,742

Series 2316 Class PB, 6.5% 9/15/30

890,237

901,388

Series 2368 Class PQ, 6.5% 8/15/30

101,883

102,282

Series 2376 Class JC, 5.5% 2/15/14

375,174

376,073

Series 2394 Class ND, 6% 6/15/27

507,113

514,023

Series 2395 Class PE, 6% 2/15/30

1,394,017

1,417,228

Series 2398 Class DK, 6.5% 1/15/31

289,356

292,353

Series 2410 Class ML, 6.5% 12/15/30

700,954

711,776

Series 2420 Class BE, 6.5% 12/15/30

647,601

656,500

Series 2435 Class GD, 6.5% 2/15/30

180,956

181,779

Series 2443 Class TD, 6.5% 10/15/30

609,500

619,274

Series 2461 Class PG, 6.5% 1/15/31

530,704

535,361

Series 2466 Class EC, 6% 10/15/27

289,492

290,978

Series 2473 Class JB, 5.5% 2/15/29

256,074

256,583

Series 2483 Class DC, 5.5% 7/15/14

855,694

864,022

Series 2490 Class PM, 6% 7/15/28

406,395

409,223

Series 2496 Class OC, 5.5% 9/15/14

2,168,761

2,197,294

Series 2543 CLass PM, 5.5% 8/15/18

1,000,000

1,023,471

Series 2557 Class MA, 4.5% 7/15/16

164,957

165,846

Series 2614 Class IC, 4.5% 12/15/10 (h)

2,898,237

141,201

Series 2748 Class IB, 4.5% 3/15/10 (h)

1,572,500

89,791

Series 2776 Class UJ, 4.5% 5/15/20 (h)

721,279

48,840

sequential pay:

Series 2285 Class VB, 6.5% 10/15/16

183,035

184,046

Series 2430 Class ZE, 6.5% 8/15/27

267,869

270,277

Series 2445 Class BD, 6.5% 6/15/30

25,579

25,586

Series 2448 Class D, 5.5% 5/15/12

10,603

10,595

Series 2478 Class AF, 6% 8/15/30

1,898,073

1,912,979

Series 2480 Class QW, 5.75% 2/15/30

295,646

297,637

Series 1803 Class A, 6% 12/15/08

290,563

300,756

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

14,839

14,828

Series 2759 Class ZB, 5% 3/15/34

959,189

958,972

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

Series 2785:

Class JZ, 5% 4/15/34

$948,573

$949,321

Class ZG, 5% 4/15/34

50,912

50,871

Series 2807 Class TZ, 6% 12/15/31

18,811

18,796

Series FHR 2762 Class BZ, 5% 3/15/34

380,786

380,907

Series FHR 2809 Class WZ, 5% 3/15/34

215,890

215,918

Ginnie Mae guaranteed REMIC pass thru securities:

floater Series 2001-21 Class FB, 2.2888% 1/16/27 (f)

181,534

182,462

planned amortization class:

Series 2002-5 Class PD, 6.5% 5/16/31

631,884

649,805

Series 2002-57 Class PJ, 6% 1/20/29

24,402

24,448

TOTAL U.S. GOVERNMENT AGENCY

31,508,360

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $85,225,672)

85,026,434

Commercial Mortgage Securities - 3.5%

1301 Avenue of The Americas Trust Series 2000-1301:

Class C, 7.44% 8/3/10 (b)(f)

565,000

584,401

Class D, 7.54% 8/3/10 (b)(f)

750,000

776,148

Banc of America Large Loan, Inc. floater:

Series 2002-FL2A Class A2, 2.16% 9/8/14 (b)(f)

64,481

64,506

Series 2003-BBA2:

Class A3, 2.19% 11/15/15 (b)(f)

340,000

340,041

Class C, 2.34% 11/15/15 (b)(f)

70,000

70,351

Class D, 2.42% 11/15/15 (b)(f)

110,000

110,666

Class F, 2.77% 11/15/15 (b)(f)

80,000

80,641

Class H, 3.27% 11/15/15 (b)(f)

70,000

70,474

Class J, 3.82% 11/15/15 (b)(f)

70,000

71,004

Class K, 4.47% 11/15/15 (b)(f)

65,000

65,702

Bayview Commercial Asset Trust floater:

Series 2003-1 Class A, 2.5125% 8/25/33 (b)(f)

406,171

409,455

Series 2003-2 Class A, 2.5125% 12/25/33 (b)(f)

1,018,015

1,025,054

Series 2004-1:

Class A, 2.2925% 4/25/34 (b)(f)

571,962

570,130

Class B, 3.8325% 4/25/34 (b)(f)

95,327

95,089

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust floater: - continued

Series 2004-2:

Class A, 2.3625% 8/25/34 (b)(f)

$628,781

$629,395

Class M1, 2.5125% 8/25/34 (b)(f)

201,406

201,296

Bear Stearns Commercial Mortgage Securities, Inc. floater:

Series 2003-BA1A Class A1, 2.1475% 4/14/15 (b)(f)

482,296

482,265

Series 2003-WEST Class A, 2.44% 1/3/15 (b)(f)

364,045

365,316

Series 2004-BBA3 Class E, 2.57% 6/15/17 (b)(f)

960,000

960,342

Series 2004-ESA Class A2, 2.2075% 5/14/16 (b)(f)

565,000

565,248

Series 2004-HS2A:

Class E, 2.7675% 1/14/16 (b)(f)

125,000

125,479

Class F, 2.9175% 1/14/16 (b)(f)

75,000

75,277

Calwest Industrial Trust floater Series 2002-CALW
Class AFL, 2.25% 2/15/12 (b)(f)

800,000

800,856

COMM floater:

Series 2000-FL3A Class C, 2.63% 11/15/12 (b)(f)

174,282

174,212

Series 2002-FL6:

Class K4M, 3.87% 6/14/14 (b)(f)

100,000

100,248

Class L4M, 4.17% 6/14/14 (b)(f)

100,000

100,291

Class M4M, 4.62% 6/14/14 (b)(f)

100,000

100,010

Series 2002-FL7:

Class A2, 2.22% 11/15/14 (b)(f)

114,416

114,423

Class C, 2.37% 11/15/14 (b)(f)

555,000

555,131

Class F, 3.17% 11/15/14 (b)(f)

1,000,000

1,004,751

Class H, 4.12% 11/15/14 (b)(f)

150,000

149,479

Series 2003-FL9 Class B, 2.37% 11/15/15 (b)(f)

1,152,645

1,155,282

Commercial Mortgage Pass Through Certificates floater Series 2004-HTL1:

Class B, 2.32% 7/15/16 (b)(f)

55,000

55,012

Class D, 2.42% 7/15/16 (b)(f)

120,000

120,058

Class E, 2.62% 7/15/16 (b)(f)

85,000

85,018

Class F, 2.67% 7/15/16 (b)(f)

90,000

89,994

Class H, 3.17% 7/15/16 (b)(f)

265,000

264,983

Class J, 3.32% 7/15/16 (b)(f)

100,000

99,994

Class K, 4.22% 7/15/16 (b)(f)

115,000

114,786

Commercial Mortgage pass thru certificates floater Series 2004-CNL:

Class A2, 2.1581% 9/15/14 (b)(f)

400,000

400,250

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

150,000

150,094

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

160,000

160,100

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

55,000

55,034

Commercial Mortgage Securities - continued

Principal Amount

Value

Commercial Mortgage pass thru certificates floater Series 2004-CNL: - continued

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

$85,000

$85,053

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

70,000

70,044

CS First Boston Mortgage Securities Corp.:

floater:

Series 2002-TFLA Class C, 2.4488% 11/18/12 (b)(f)

255,000

255,269

Series 2003-TF2A Class A2, 2.19% 11/15/14 (b)(f)

700,000

700,103

Series 2004-FL1 Class B, 2.32% 5/15/14 (b)(f)

1,000,000

1,000,412

Series 2004-TFL1:

Class A2, 2.06% 2/15/14 (b)(f)

505,000

504,839

Class E, 2.42% 2/15/14 (b)(f)

200,000

200,842

Class F, 2.47% 2/15/14 (b)(f)

175,000

175,736

Class G, 2.72% 2/15/14 (b)(f)

125,000

125,455

Class H, 2.97% 2/15/14 (b)(f)

100,000

100,370

Class J, 3.27% 2/15/14 (b)(f)

50,000

50,236

Series 2003-TFLA Class G, 2.4433% 4/15/13 (b)(f)

145,000

140,233

Greenwich Capital Commercial Funding Corp. floater Series 2003-FL1 Class MCH, 5.09% 7/5/18 (b)(f)

119,859

119,859

John Hancock Tower Mortgage Trust floater
Series 2003-C5A Class B, 4.3466% 4/10/15 (b)(f)

420,000

415,178

Lehman Brothers Floating Rate Commercial Mortgage Trust floater:

Series 2003-C4A Class H, 4.8563% 7/11/15 (b)(f)

669,501

670,129

Series 2003-LLFA:

Class A2, 2.2575% 12/16/14 (b)(f)

490,000

491,070

Class C, 2.5675% 12/16/14 (b)(f)

110,000

110,943

Morgan Stanley Dean Witter Capital I Trust floater
Series 2001-XLF:

Class A2, 2.39% 10/7/13 (b)(f)

256,465

256,449

Class F, 3.78% 10/7/13 (b)(f)

626,802

623,171

Salomon Brothers Mortgage Securities VII, Inc. floater:

Series 2001-CDCA Class C, 2.67% 2/15/13 (b)(f)

1,000,000

999,439

Series 2003-CDCA:

Class HBST, 3.47% 2/15/15 (b)(f)

80,000

80,096

Class HEXB, 3.77% 2/15/15 (b)(f)

30,000

30,036

Class JBST, 3.67% 2/15/15 (b)(f)

60,000

60,072

Class JEXB, 3.97% 2/15/15 (b)(f)

50,000

50,060

Class KBST, 4.02% 2/15/15 (b)(f)

35,000

35,042

Class KEXB, 4.37% 2/15/15 (b)(f)

40,000

40,048

Commercial Mortgage Securities - continued

Principal Amount

Value

SDG Macerich Properties LP floater Series 2000-1
Class A3, 2.1% 5/15/09 (b)(f)

$500,000

$500,716

STRIPs III Ltd./STRIPs III Corp. floater Series 2004-1A Class A, 2.4125% 3/24/18 (b)(f)

619,299

619,299

Wachovia Bank Commercial Mortgage Trust floater Series 2004-WHL3:

Class A2, 2.05% 3/15/14 (b)(f)

255,000

255,139

Class E, 2.37% 3/15/14 (b)(f)

160,000

160,621

Class F, 2.42% 3/15/14 (b)(f)

130,000

130,469

Class G, 2.65% 3/15/14 (b)(f)

65,000

65,240

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $22,657,041)

22,709,954

Fixed-Income Funds - 30.8%

Shares

Fidelity Ultra-Short Central Fund (g)
(Cost $199,099,416)

2,003,403

199,358,672

Cash Equivalents - 11.0%

Maturity Amount

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 1.87%, dated 10/29/04 due 11/1/04)
(Cost $71,339,000) (i)

$71,350,107

71,339,000

TOTAL INVESTMENT PORTFOLIO - 92.7%

(Cost $598,537,160)

599,242,281

NET OTHER ASSETS - 7.3%

47,444,565

NET ASSETS - 100%

$646,686,846

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Eurodollar Contracts

105 Eurodollar 90 Day Index Contracts

Dec. 2004

$104,389,688

$(5,905)

101 Eurodollar 90 Day Index Contracts

March 2005

100,361,175

(21,916)

100 Eurodollar 90 Day Index Contracts

June 2005

99,323,750

(14,500)

101 Eurodollar 90 Day Index Contracts

Sept. 2005

100,272,800

69,271

99 Eurodollar 90 Day Index Contracts

Dec. 2005

98,236,463

133,654

160,604

Sold

Eurodollar Contracts

3 Eurodollar 90 Day Index Contracts

March 2006

(1,537,378)

(6,464)

3 Eurodollar 90 Day Index Contracts

June 2006

(1,539,641)

(6,977)

2 Eurodollar 90 Day Index Contracts

Sept. 2006

(1,025,995)

(4,060)

1 Eurodollar 90 Day Index Contracts

Dec. 2006

(510,158)

(429)

1 Eurodollar 90 Day Index Contracts

March 2007

(510,446)

(417)

(18,347)

$142,257

Swap Agreements

Notional Amount

Value

Credit Default Swap

Receive annually a fixed rate of .5% multiplied by the notional amount and pay to Deutsche Bank, upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3, par value of the proportional notional amount (e)

March 2010

$2,000,000

$(2,140)

Receive annually a fixed rate of .5% multiplied by the notional amount and pay to Lehman Brothers, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3, par value of the proportional notional amount (e)

March 2010

2,000,000

(2,140)

Receive quarterly notional amount multiplied by .75% and pay Lehman Brothers, Inc. upon default event of AOL Time Warner, Inc., par value of the notional amount of AOL Time Warner, Inc. 6.875% 5/1/12

Sept. 2009

2,000,000

24,048

$6,000,000

$19,768

Legend

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

(b)Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $33,246,623 or 5.1% of net assets.

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

(d)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 $1,980,096.

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

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

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

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

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

Repurchase Agreement/
Counterparty

Value

$71,339,000 due 11/1/04 at 1.87%

Banc of America Securities LLC.

$26,202,388

Bank of America, National Association

7,034,198

Bear Stearns & Co. Inc.

3,341,244

Countrywide Securities Corporation

1,582,695

Credit Suisse First Boston LLC

1,758,549

Goldman, Sachs & Co.

7,034,198

Greenwich Capital Markets, Inc.

3,517,099

J.P. Morgan Securities, Inc.

3,517,099

Morgan Stanley & Co. Incorporated.

5,275,648

Societe Generale, New York Branch

879,275

UBS Securities LLC

8,734,638

WestLB AG

2,461,969

$71,339,000

Income Tax Information

At October 31, 2004, the aggregate cost of investment securities for income tax purposes was $598,526,977. Net unrealized appreciation aggregated $715,304, of which $1,327,990 related to appreciated investment securities and $612,686 related to depreciated investment securities.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please visit advisor.fidelity.com or call Fidelity at 1-877-208-0098 for a free copy of the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Advisor Total Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

October 31, 2004

ATB-QTLY-1204

1.809539.100

Investments October 31, 2004 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 30.8%

Principal Amount

Value

CONSUMER DISCRETIONARY - 5.3%

Auto Components - 0.4%

DaimlerChrysler NA Holding Corp.:

4.75% 1/15/08

$200,000

$206,052

7.2% 9/1/09

1,000,000

1,127,457

EaglePicher, Inc. 9.75% 9/1/13

20,000

20,200

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

87,000

100,485

Visteon Corp. 7% 3/10/14

80,000

74,600

1,528,794

Automobiles - 0.7%

Ford Motor Co.:

6.625% 10/1/28

125,000

112,786

7.45% 7/16/31

620,000

603,809

General Motors Corp.:

7.2% 1/15/11

500,000

526,710

8.375% 7/15/33

1,000,000

1,040,587

2,283,892

Hotels, Restaurants & Leisure - 0.9%

Argosy Gaming Co. 7% 1/15/14

80,000

84,800

Bally Total Fitness Holding Corp.:

9.875% 10/15/07

15,000

12,675

10.5% 7/15/11

120,000

117,000

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

70,000

66,500

Gaylord Entertainment Co. 8% 11/15/13

160,000

173,600

Herbst Gaming, Inc. 8.125% 6/1/12 (e)

70,000

73,500

HMH Properties, Inc. 7.875% 8/1/08

101,000

104,030

Host Marriott LP 7.125% 11/1/13

35,000

37,713

MGM MIRAGE:

6% 10/1/09

20,000

20,650

6% 10/1/09 (e)

30,000

30,975

8.375% 2/1/11

40,000

45,100

Mohegan Tribal Gaming Authority 7.125% 8/15/14 (e)

40,000

42,600

Morton's Restaurant Group, Inc. 7.5% 7/1/10

65,000

62,400

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

135,000

147,150

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

80,000

83,200

Park Place Entertainment Corp. 7.875% 12/15/05

50,000

53,188

Penn National Gaming, Inc.:

6.875% 12/1/11

80,000

82,800

8.875% 3/15/10

100,000

110,375

Premier Entertainment Biloxi LLC 10.75% 2/1/12

20,000

21,500

Nonconvertible Bonds - continued

Principal Amount

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Resorts International Hotel & Casino, Inc. 11.5% 3/15/09

$225,000

$257,625

Seneca Gaming Corp. 7.25% 5/1/12

50,000

52,625

Six Flags, Inc.:

9.5% 2/1/09

180,000

180,450

9.625% 6/1/14

100,000

95,000

Speedway Motorsports, Inc. 6.75% 6/1/13

100,000

105,000

Station Casinos, Inc.:

6% 4/1/12

70,000

72,975

6.5% 2/1/14

40,000

42,200

6.875% 3/1/16

100,000

106,250

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

325,000

356,688

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

20,000

21,000

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

100,000

115,500

Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (e)

8,000

8,560

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

160,000

170,400

Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp. 12% 11/1/10

167,000

206,245

3,160,274

Household Durables - 0.1%

Champion Enterprises, Inc. 7.625% 5/15/09

70,000

70,000

D.R. Horton, Inc. 8.5% 4/15/12

30,000

33,900

K. Hovnanian Enterprises, Inc.:

6.5% 1/15/14

100,000

102,000

8.875% 4/1/12

10,000

11,150

Sealy Mattress Co. 8.25% 6/15/14

50,000

53,125

WCI Communities, Inc. 9.125% 5/1/12

35,000

38,938

William Lyon Homes, Inc. 10.75% 4/1/13

110,000

124,850

433,963

Media - 2.9%

Advertising Directory Solutions Holdings, Inc. 9.25% 11/15/12 (e)

50,000

52,188

AMC Entertainment, Inc.:

8% 3/1/14 (e)

220,000

212,300

8.625% 8/15/12 (e)

60,000

65,400

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

2,000,000

2,369,620

Nonconvertible Bonds - continued

Principal Amount

Value

CONSUMER DISCRETIONARY - continued

Media - continued

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

$1,000,000

$1,171,697

Cablevision Systems Corp.:

6.6688% 4/1/09 (e)(g)

40,000

42,000

8% 4/15/12 (e)

180,000

192,150

Carmike Cinemas, Inc. 7.5% 2/15/14

60,000

61,500

Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8.375% 4/30/14 (e)

70,000

70,613

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

100,000

70,500

Comcast Corp. 5.85% 1/15/10

500,000

537,758

Cox Communications, Inc.:

4.625% 6/1/13

90,000

85,793

7.125% 10/1/12

970,000

1,091,017

CSC Holdings, Inc.:

6.75% 4/15/12 (e)

160,000

165,200

7.875% 2/15/18

50,000

54,000

Dex Media, Inc.:

0% 11/15/13 (c)

100,000

75,251

8% 11/15/13

10,000

10,700

EchoStar DBS Corp.:

6.375% 10/1/11

150,000

155,625

9.125% 1/15/09

72,000

79,920

Granite Broadcasting Corp. 9.75% 12/1/10

40,000

36,900

Houghton Mifflin Co. 9.875% 2/1/13

70,000

75,600

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

160,000

177,800

Liberty Media Corp. 8.25% 2/1/30

1,100,000

1,256,618

LodgeNet Entertainment Corp. 9.5% 6/15/13

130,000

142,025

Loews Cineplex Entertainment Corp. 9% 8/1/14 (e)

100,000

104,750

Medianews Group, Inc. 6.375% 4/1/14

200,000

197,000

Nexstar Broadcasting, Inc. 7% 1/15/14

130,000

127,400

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

130,000

137,150

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

11,000

12,760

PRIMEDIA, Inc.:

7.625% 4/1/08

130,000

130,650

8.875% 5/15/11

25,000

26,125

Radio One, Inc. 8.875% 7/1/11

100,000

110,500

Rainbow National LLC & RNS Co. Corp.:

8.75% 9/1/12 (e)

30,000

32,100

Nonconvertible Bonds - continued

Principal Amount

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Rainbow National LLC & RNS Co. Corp.: - continued

10.375% 9/1/14 (e)

$30,000

$32,700

Spanish Broadcasting System, Inc. 9.625% 11/1/09

45,000

47,363

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

70,000

72,625

TV Azteca SA de CV:

euro 10.5% 2/15/07 (Reg. S)

160,000

163,000

yankee 10.5% 2/15/07

5,000

5,094

Walt Disney Co. 6.375% 3/1/12

700,000

779,789

10,231,181

Multiline Retail - 0.1%

Barneys, Inc. 9% 4/1/08

20,000

20,800

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

175,000

176,806

197,606

Specialty Retail - 0.2%

Asbury Automotive Group, Inc.:

8% 3/15/14

60,000

58,800

9% 6/15/12

15,000

15,825

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

70,000

71,750

Boise Cascade Corp. 7.5% 2/1/08

40,000

44,641

General Nutrition Centers, Inc. 8.5% 12/1/10

20,000

20,250

Hollywood Entertainment Corp. 9.625% 3/15/11

50,000

56,375

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

90,000

92,700

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

50,000

52,875

Toys 'R' US, Inc. 7.875% 4/15/13

20,000

20,100

United Auto Group, Inc. 9.625% 3/15/12

50,000

55,625

488,941

Textiles Apparel & Luxury Goods - 0.0%

Levi Strauss & Co.:

7% 11/1/06

10,000

9,750

11.625% 1/15/08

10,000

10,200

12.25% 12/15/12

65,000

66,950

86,900

TOTAL CONSUMER DISCRETIONARY

18,411,551

CONSUMER STAPLES - 1.4%

Food & Staples Retailing - 0.5%

Ahold Finance USA, Inc.:

6.25% 5/1/09

40,000

41,800

Nonconvertible Bonds - continued

Principal Amount

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Ahold Finance USA, Inc.: - continued

6.875% 5/1/29

$170,000

$167,450

8.25% 7/15/10

40,000

45,600

Jean Coutu Group, Inc.:

7.625% 8/1/12 (e)

30,000

31,725

8.5% 8/1/14 (e)

60,000

61,200

Pathmark Stores, Inc. 8.75% 2/1/12

100,000

92,000

Rite Aid Corp.:

6% 12/15/05 (e)

20,000

20,150

7.625% 4/15/05

15,000

15,188

Safeway, Inc. 6.5% 3/1/11

1,145,000

1,264,898

Stater Brothers Holdings, Inc. 8.125% 6/15/12

80,000

85,200

The Great Atlantic & Pacific Tea Co. 7.75% 4/15/07

45,000

42,413

1,867,624

Food Products - 0.4%

B&G Foods, Inc. 8% 10/1/11

40,000

42,000

Cadbury Schweppes U.S. Finance LLC:

3.875% 10/1/08 (e)

90,000

90,631

5.125% 10/1/13 (e)

1,060,000

1,082,381

Del Monte Corp. 9.25% 5/15/11

50,000

55,250

Doane Pet Care Co.:

9.75% 5/15/07

50,000

49,750

10.75% 3/1/10

125,000

134,375

Pierre Foods, Inc. 9.875% 7/15/12 (e)

40,000

40,600

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

30,000

31,650

1,526,637

Household Products - 0.1%

Fort James Corp. 6.875% 9/15/07

150,000

160,125

Personal Products - 0.0%

Elizabeth Arden, Inc. 7.75% 1/15/14

20,000

21,100

Tobacco - 0.4%

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

1,240,000

1,305,868

TOTAL CONSUMER STAPLES

4,881,354

ENERGY - 1.7%

Energy Equipment & Services - 0.1%

Cooper Cameron Corp. 2.65% 4/15/07

340,000

334,116

Grant Prideco, Inc. 9% 12/15/09

10,000

11,250

Nonconvertible Bonds - continued

Principal Amount

Value

ENERGY - continued

Energy Equipment & Services - continued

Hanover Compressor Co.:

8.625% 12/15/10

$20,000

$22,000

9% 6/1/14

50,000

55,750

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

5,000

5,765

Universal Compression, Inc. 7.25% 5/15/10

40,000

42,800

471,681

Oil & Gas - 1.6%

Amerada Hess Corp.:

6.65% 8/15/11

70,000

78,220

7.125% 3/15/33

185,000

204,773

7.375% 10/1/09

160,000

182,020

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

490,000

500,645

Chesapeake Energy Corp.:

6.875% 1/15/16

50,000

53,500

7.75% 1/15/15

30,000

33,000

8.375% 11/1/08

50,000

54,500

El Paso Energy Corp.:

7.375% 12/15/12

5,000

5,019

7.75% 1/15/32

15,000

13,819

8.05% 10/15/30

95,000

88,825

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

140,000

145,600

EnCana Corp. 6.5% 8/15/34

155,000

168,764

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

240,000

258,337

Enterprise Products Operating LP:

4.625% 10/15/09 (e)

125,000

126,288

5.6% 10/15/14 (e)

90,000

91,712

EXCO Resources, Inc. 7.25% 1/15/11

30,000

32,025

General Maritime Corp. 10% 3/15/13

310,000

356,500

Giant Industries, Inc. 8% 5/15/14

130,000

135,525

Hurricane Finance BV 9.625% 2/12/10 (e)

50,000

55,250

Markwest Energy Partners LP/ Markwest Energy Finance Corp. 6.875% 11/1/14 (e)

20,000

20,450

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

90,000

96,300

OAO Gazprom 9.625% 3/1/13

220,000

251,636

Overseas Shipholding Group, Inc.:

7.5% 2/15/24

55,000

55,550

8.25% 3/15/13

40,000

44,800

Pan American Energy LLC 7.125% 10/27/09 (e)

30,000

30,075

Pecom Energia SA 9% 5/1/09 (Reg. S)

95,000

99,988

Nonconvertible Bonds - continued

Principal Amount

Value

ENERGY - continued

Oil & Gas - continued

Pemex Project Funding Master Trust:

6.125% 8/15/08

$250,000

$265,000

7.375% 12/15/14

500,000

554,000

Petrobras Energia SA 9.375% 10/30/13

50,000

51,625

Range Resources Corp. 7.375% 7/15/13

40,000

42,400

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

330,000

334,950

Teekay Shipping Corp. 8.875% 7/15/11

30,000

34,500

The Coastal Corp.:

6.375% 2/1/09

5,000

4,931

6.5% 5/15/06

65,000

66,544

6.5% 6/1/08

100,000

100,000

7.5% 8/15/06

50,000

52,188

7.75% 6/15/10

200,000

207,000

Williams Companies, Inc.:

7.125% 9/1/11

5,000

5,600

7.625% 7/15/19

30,000

33,750

7.875% 9/1/21

35,000

39,769

8.125% 3/15/12

30,000

35,100

8.75% 3/15/32

165,000

187,275

YPF SA yankee 9.125% 2/24/09

185,000

205,813

5,403,566

TOTAL ENERGY

5,875,247

FINANCIALS - 9.0%

Capital Markets - 1.7%

Bank of New York Co., Inc.:

3.4% 3/15/13 (g)

100,000

98,217

4.25% 9/4/12 (g)

205,000

207,614

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

170,000

189,125

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

440,000

455,214

E*TRADE Financial Corp. 8% 6/15/11 (e)

130,000

136,825

Equinox Holdings Ltd. 9% 12/15/09

20,000

20,800

Franklin Resources, Inc. 3.7% 4/15/08

1,135,000

1,142,269

Goldman Sachs Group, Inc.:

5.7% 9/1/12

1,100,000

1,171,647

6.6% 1/15/12

500,000

561,743

Legg Mason, Inc. 6.75% 7/2/08

30,000

33,117

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley:

4.75% 4/1/14

$720,000

$705,335

6.6% 4/1/12

1,100,000

1,239,757

5,961,663

Commercial Banks - 1.6%

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

1,000,000

1,171,586

Corporacion Andina de Fomento 5.2% 5/21/13

35,000

35,557

Export-Import Bank of Korea:

4.125% 2/10/09 (e)

140,000

141,386

5.25% 2/10/14 (e)

515,000

533,736

Korea Development Bank:

3.875% 3/2/09

685,000

685,107

4.75% 7/20/09

320,000

330,617

5.75% 9/10/13

265,000

286,759

National Westminster Bank PLC yankee 7.375% 10/1/09

1,500,000

1,736,496

Wachovia Corp. 4.875% 2/15/14

600,000

604,191

Western Financial Bank 9.625% 5/15/12

15,000

17,100

5,542,535

Consumer Finance - 1.3%

American General Finance Corp. 4% 3/15/11

655,000

639,642

AmeriCredit Corp. 9.25% 5/1/09

65,000

68,900

Capital One Bank:

4.875% 5/15/08

1,075,000

1,116,311

6.5% 6/13/13

1,090,000

1,196,972

Ford Motor Credit Co.:

7% 10/1/13

500,000

528,027

7.875% 6/15/10

250,000

277,414

General Motors Acceptance Corp. 6.875% 9/15/11

525,000

546,517

Household Finance Corp.:

4.75% 5/15/09

100,000

103,776

6.375% 11/27/12

30,000

33,491

6.75% 5/15/11

40,000

45,246

4,556,296

Diversified Financial Services - 2.1%

BRL Universal Equipment 2001 A LP/BRL Universal Equipment Corp. 8.875% 2/15/08

30,000

31,838

CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13

70,000

69,773

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Diversified Financial Services - continued

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

$50,000

$52,250

Charter Communications Holding II LLC/Charter Communications Holdings II Capital Corp. 10.25% 9/15/10

115,000

119,313

CMS Energy X-TRAS pass thru trust certificates 7% 1/15/05

10,000

10,038

Crystal US Holding 3LLC/Crystal US Sub 3Corp.
Series B, 0% 10/1/14 (c)(e)

150,000

94,125

Entercom Radio LLC/Entercom Capital, Inc. 7.625% 3/1/14

50,000

54,000

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

205,000

236,775

Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12

30,000

32,550

Graham Packaging Co. LP/ GPC Capital Corp.:

8.5% 10/15/12 (e)

50,000

52,750

9.875% 10/15/14 (e)

50,000

53,000

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

190,000

202,232

Hutchison Whampoa International 03/33 Ltd.:

6.25% 1/24/14 (e)

1,720,000

1,785,833

7.45% 11/24/33 (e)

300,000

313,772

Ispat Inland ULC 9.75% 4/1/14

70,000

85,050

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

1,475,000

1,476,435

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

40,000

41,400

Marquee Holdings, Inc. 0% 8/15/14 (c)(e)

80,000

48,800

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

1,400,000

1,456,769

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

40,000

42,200

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

10,000

11,000

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

120,000

123,000

Norcraft Holdings LP/Norcraft Capital Corp. 0% 9/1/12 (c)(e)

70,000

51,450

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

20,000

20,600

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

125,000

116,875

UGS Corp. 10% 6/1/12 (e)

30,000

33,038

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

385,000

448,525

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Diversified Financial Services - continued

WH Holdings Ltd./WH Capital Corp. 9.5% 4/1/11

$30,000

$33,000

Williams Companies, Inc. Credit Linked Certificate Trust 6.75% 4/15/09 (e)

215,000

230,050

7,326,441

Insurance - 0.3%

Aegon NV 4.75% 6/1/13

500,000

499,285

Marsh & McLennan Companies, Inc. 7.125% 6/15/09

589,000

637,720

Travelers Property Casualty Corp.:

5% 3/15/13

25,000

24,857

6.375% 3/15/33

35,000

36,000

1,197,862

Real Estate - 1.3%

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

85,000

89,675

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

500,000

543,985

Camden Property Trust 5.875% 11/30/12

200,000

212,135

CarrAmerica Realty Corp. 5.25% 11/30/07

200,000

208,707

CB Richard Ellis Services, Inc. 9.75% 5/15/10

10,000

11,400

Dominion Resources, Inc. 5.125% 12/15/09

500,000

522,478

EOP Operating LP:

4.65% 10/1/10

595,000

604,313

4.75% 3/15/14

600,000

583,340

7% 7/15/11

500,000

566,710

Gables Realty LP 5.75% 7/15/07

585,000

613,240

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

435,000

424,644

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

50,000

53,625

MeriStar Hospitality Corp. 8.75% 8/15/07

50,000

50,875

MeriStar Hospitality Operating Partnership LP/MeriStar Hospitality Finance Corp. II 10.5% 6/15/09

100,000

110,250

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

70,000

71,663

Senior Housing Properties Trust 7.875% 4/15/15

20,000

22,100

4,689,140

Thrifts & Mortgage Finance - 0.7%

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

720,000

701,532

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

275,000

268,111

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Washington Mutual, Inc.:

4.375% 1/15/08

$1,200,000

$1,231,332

4.625% 4/1/14

100,000

96,335

2,297,310

TOTAL FINANCIALS

31,571,247

HEALTH CARE - 0.4%

Health Care Equipment & Supplies - 0.1%

Fisher Scientific International, Inc. 8% 9/1/13

125,000

140,000

Medical Device Manufacturing, Inc. 10% 7/15/12 (e)

50,000

53,500

PerkinElmer, Inc. 8.875% 1/15/13

20,000

22,750

216,250

Health Care Providers & Services - 0.3%

AmeriPath, Inc. 10.5% 4/1/13

80,000

78,400

Beverly Enterprises, Inc. 7.875% 6/15/14 (e)

70,000

74,900

Concentra Operating Corp.:

9.125% 6/1/12 (e)

10,000

11,050

9.5% 8/15/10

110,000

122,100

HealthSouth Corp. 8.5% 2/1/08

85,000

86,700

IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14 (e)

100,000

106,750

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

30,000

34,050

National Nephrology Associates, Inc. 9% 11/1/11 (e)

20,000

23,100

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

105,000

120,225

Tenet Healthcare Corp.:

6.375% 12/1/11

75,000

68,250

6.5% 6/1/12

15,000

13,538

7.375% 2/1/13

75,000

70,125

U.S. Oncology, Inc.:

9% 8/15/12 (e)

30,000

32,400

10.75% 8/15/14 (e)

80,000

87,200

928,788

Pharmaceuticals - 0.0%

Biovail Corp. yankee 7.875% 4/1/10

105,000

109,725

Leiner Health Products, Inc. 11% 6/1/12

20,000

21,675

Nonconvertible Bonds - continued

Principal Amount

Value

HEALTH CARE - continued

Pharmaceuticals - continued

VWR International, Inc.:

6.875% 4/15/12 (e)

$30,000

$31,350

8% 4/15/14 (e)

30,000

32,100

194,850

TOTAL HEALTH CARE

1,339,888

INDUSTRIALS - 1.4%

Aerospace & Defense - 0.7%

BE Aerospace, Inc.:

8.5% 10/1/10

100,000

109,500

9.5% 11/1/08

55,000

56,925

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

340,000

304,973

Orbital Sciences Corp. 9% 7/15/11

135,000

151,200

Raytheon Co. 5.5% 11/15/12

1,550,000

1,642,211

2,264,809

Airlines - 0.3%

American Airlines, Inc. pass thru trust certificates:

6.817% 5/23/11

50,000

44,750

6.977% 11/23/22

11,499

10,234

7.377% 5/23/19

51,886

28,018

7.379% 5/23/16

53,179

28,717

7.8% 4/1/08

65,000

54,600

AMR Corp. 9% 8/1/12

85,000

50,150

Continental Airlines, Inc. pass thru trust certificates:

6.748% 9/15/18

3,872

2,943

6.9% 7/2/18

4,746

3,560

7.73% 9/15/12

4,680

3,183

8.321% 11/1/06

5,000

4,650

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

50,000

23,000

Delta Air Lines, Inc. pass thru trust certificates:

7.299% 9/18/06

15,000

9,750

7.57% 11/18/10

705,000

667,892

7.779% 11/18/05

50,000

35,000

7.779% 1/2/12

25,047

12,273

7.92% 5/18/12

135,000

89,100

Northwest Airlines, Inc.:

7.875% 3/15/08

25,000

16,750

9.875% 3/15/07

60,000

46,200

Nonconvertible Bonds - continued

Principal Amount

Value

INDUSTRIALS - continued

Airlines - continued

Northwest Airlines, Inc. pass thru trust certificates:

7.068% 7/2/17

$8,102

$6,482

7.67% 1/2/15

8,505

6,804

1,144,056

Building Products - 0.0%

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

20,000

22,500

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

100,000

106,000

128,500

Commercial Services & Supplies - 0.1%

Allied Waste North America, Inc.:

5.75% 2/15/11

70,000

64,400

7.875% 4/15/13

20,000

20,350

10% 8/1/09

47,000

49,350

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

140,000

143,360

Cenveo Corp. 7.875% 12/1/13

60,000

58,050

335,510

Construction & Engineering - 0.0%

Blount, Inc. 8.875% 8/1/12

50,000

54,000

Electrical Equipment - 0.0%

General Cable Corp. 9.5% 11/15/10

20,000

22,600

Industrial Conglomerates - 0.0%

North American Energy Partners, Inc. 8.75% 12/1/11

20,000

19,450

Tyco International Group SA yankee 6.375% 2/15/06

20,000

20,879

40,329

Machinery - 0.1%

Cummins, Inc.:

5.65% 3/1/98

15,000

11,250

9.5% 12/1/10 (g)

20,000

23,000

Dresser, Inc. 9.375% 4/15/11

15,000

16,688

Dresser-Rand Group, Inc. 7.375% 11/1/14 (e)

50,000

52,375

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

150,000

156,750

Navistar International Corp. 7.5% 6/15/11

30,000

32,325

Standard Aero Holdings, Inc. 8.25% 9/1/14 (e)

60,000

63,300

Terex Corp. 7.375% 1/15/14

100,000

108,000

463,688

Nonconvertible Bonds - continued

Principal Amount

Value

INDUSTRIALS - continued

Marine - 0.1%

Horizon Lines LLC/Holdings Corp. 9% 11/1/12 (e)

$40,000

$43,600

OMI Corp. 7.625% 12/1/13

95,000

100,225

143,825

Road & Rail - 0.1%

CSX Corp. 7.45% 5/1/07

100,000

109,431

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

100,000

103,000

TFM SA de CV yankee 11.75% 6/15/09

140,000

141,750

354,181

TOTAL INDUSTRIALS

4,951,498

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.3%

Motorola, Inc. 8% 11/1/11

900,000

1,085,491

Northern Telecom Capital Corp. 7.875% 6/15/26

25,000

24,250

Northern Telecom Ltd. yankee 6.875% 9/1/23

30,000

27,750

1,137,491

Electronic Equipment & Instruments - 0.0%

Celestica, Inc. 7.875% 7/1/11

100,000

106,000

IT Services - 0.1%

Iron Mountain, Inc. 6.625% 1/1/16

120,000

118,800

Office Electronics - 0.1%

Xerox Capital Trust I 8% 2/1/27

130,000

129,675

Xerox Corp.:

7.125% 6/15/10

20,000

21,650

7.2% 4/1/16

165,000

174,075

7.625% 6/15/13

60,000

65,625

391,025

Semiconductors & Semiconductor Equipment - 0.0%

Freescale Semiconductor, Inc. 7.125% 7/15/14 (e)

60,000

63,300

Viasystems, Inc. 10.5% 1/15/11

50,000

49,500

112,800

TOTAL INFORMATION TECHNOLOGY

1,866,116

MATERIALS - 2.3%

Chemicals - 0.6%

Berry Plastics Corp. 10.75% 7/15/12

80,000

90,400

Nonconvertible Bonds - continued

Principal Amount

Value

MATERIALS - continued

Chemicals - continued

Borden US Finance Corp./Nova Scotia Finance ULC:

6.82% 7/15/10 (e)(g)

$70,000

$71,050

9% 7/15/14 (e)

70,000

75,425

Braskem SA 12.5% 11/5/08

15,000

16,988

Equistar Chemicals LP:

6.5% 2/15/06

75,000

77,250

7.55% 2/15/26

100,000

95,500

Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11

145,000

166,206

Georgia Gulf Corp. 7.125% 12/15/13

90,000

96,975

Huntsman International LLC 9.875% 3/1/09

115,000

125,638

Innophos, Inc. 8.875% 8/15/14 (e)

30,000

32,250

JohnsonDiversey Holdings, Inc. 0% 5/15/13 (c)

55,000

46,613

Koppers, Inc. 9.875% 10/15/13

50,000

56,500

Lubrizol Corp.:

5.5% 10/1/14

105,000

105,871

6.5% 10/1/34

195,000

196,527

Lyondell Chemical Co.:

9.625% 5/1/07

200,000

219,000

10.875% 5/1/09

55,000

58,438

Millennium America, Inc. 9.25% 6/15/08

230,000

255,875

Nalco Co.:

7.75% 11/15/11

130,000

141,050

8.875% 11/15/13

100,000

109,000

OMNOVA Solutions, Inc. 11.25% 6/1/10

20,000

22,050

Pliant Corp. 0% 6/15/09 (c)

60,000

53,100

Resolution Performance Products LLC/RPP Capital Corp.:

9.5% 4/15/10

70,000

72,975

13.5% 11/15/10

35,000

34,388

Solutia, Inc. 7.375% 10/15/27 (b)

20,000

12,800

2,231,869

Construction Materials - 0.1%

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

200,000

230,000

Containers & Packaging - 0.4%

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

215,000

239,188

BWAY Corp. 10% 10/15/10

105,000

111,038

Crown Cork & Seal, Inc. 8% 4/15/23

105,000

101,850

Crown European Holdings SA 9.5% 3/1/11

35,000

39,638

Graphic Packaging International, Inc.:

8.5% 8/15/11

120,000

134,400

Nonconvertible Bonds - continued

Principal Amount

Value

MATERIALS - continued

Containers & Packaging - continued

Graphic Packaging International, Inc.: - continued

9.5% 8/15/13

$170,000

$195,500

Jefferson Smurfit Corp. U.S.:

7.5% 6/1/13

30,000

32,175

8.25% 10/1/12

110,000

121,825

Owens-Brockway Glass Container, Inc.:

8.25% 5/15/13

15,000

16,125

8.875% 2/15/09

50,000

54,500

Owens-Illinois, Inc.:

7.15% 5/15/05

60,000

61,200

7.35% 5/15/08

50,000

51,625

7.5% 5/15/10

95,000

98,800

7.8% 5/15/18

45,000

44,550

8.1% 5/15/07

110,000

116,600

Sealed Air Corp.:

5.625% 7/15/13 (e)

25,000

25,734

6.875% 7/15/33 (e)

55,000

58,860

Silgan Holdings, Inc. 6.75% 11/15/13

100,000

102,000

1,605,608

Metals & Mining - 0.4%

Arch Western Finance LLC 6.75% 7/1/13

100,000

106,250

California Steel Industries, Inc. 6.125% 3/15/14

40,000

39,100

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

40,000

42,300

Corporacion Nacional del Cobre (Codelco):

5.5% 10/15/13 (e)

165,000

172,136

6.375% 11/30/12 (e)

335,000

371,167

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

75,000

76,406

Foundation Pennsylvania Coal Co. 7.25% 8/1/14 (e)

50,000

53,625

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

75,000

72,750

10.125% 2/1/10

105,000

118,388

IMCO Recycling Escrow, Inc. 9% 11/15/14 (e)

20,000

20,500

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

70,000

74,725

Massey Energy Co. 6.625% 11/15/10

40,000

41,800

Peabody Energy Corp. 6.875% 3/15/13

20,000

21,950

Phelps Dodge Corp. 8.75% 6/1/11

40,000

49,300

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

60,000

59,400

1,319,797

Nonconvertible Bonds - continued

Principal Amount

Value

MATERIALS - continued

Paper & Forest Products - 0.8%

Boise Cascade Corp. 8% 2/24/06

$25,000

$26,446

Boise Cascade LLC/Boise Cascade Finance Corp.:

5.005% 10/15/12 (e)(g)

30,000

30,675

7.125% 10/15/14 (e)

30,000

31,350

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

200,000

221,000

Georgia-Pacific Corp.:

7.375% 12/1/25

15,000

16,388

7.5% 5/15/06

50,000

53,000

7.75% 11/15/29

10,000

10,925

8% 1/15/24

130,000

150,800

8.125% 5/15/11

5,000

5,825

International Paper Co.:

4.25% 1/15/09

95,000

95,868

5.5% 1/15/14

235,000

242,512

Millar Western Forest Products Ltd. 7.75% 11/15/13

120,000

127,800

Norske Skog Canada Ltd. 7.375% 3/1/14

40,000

41,400

Riverside Forest Products Ltd. 7.875% 3/1/14

40,000

42,500

Solo Cup Co. 8.5% 2/15/14

145,000

142,100

Stone Container Corp.:

8.375% 7/1/12

200,000

221,000

9.75% 2/1/11

30,000

33,450

Weyerhaeuser Co.:

5.25% 12/15/09

1,000,000

1,054,354

7.375% 3/15/32

260,000

303,288

2,850,681

TOTAL MATERIALS

8,237,955

TELECOMMUNICATION SERVICES - 5.8%

Diversified Telecommunication Services - 4.1%

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

35,000

37,818

BellSouth Corp. 6.55% 6/15/34

1,800,000

1,924,443

British Telecommunications PLC:

8.375% 12/15/10

190,000

230,557

8.875% 12/15/30

145,000

193,793

Cincinnati Bell, Inc. 8.375% 1/15/14

30,000

28,500

Deutsche Telekom International Finance BV:

5.25% 7/22/13

85,000

87,883

8.5% 6/15/10

305,000

367,452

8.75% 6/15/30

895,000

1,181,010

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

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

$155,000

$172,825

Eschelon Operating Co. 8.375% 3/15/10

70,000

56,000

France Telecom SA 8.75% 3/1/11

815,000

978,835

Koninklijke KPN NV yankee 8% 10/1/10

500,000

598,372

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

280,000

300,336

Level 3 Communications, Inc. 10.5% 12/1/08

255,000

198,900

Level 3 Financing, Inc. 10.75% 10/15/11 (e)

85,000

73,100

MCI, Inc.:

5.908% 5/1/07

36,000

36,000

6.688% 5/1/09

36,000

35,550

New Skies Satellites NV 9.125% 11/1/12 (e)(f)

30,000

30,750

NTL Cable PLC 8.75% 4/15/14 (e)

190,000

209,000

Primus Telecommunications Group, Inc. 8% 1/15/14

90,000

65,250

Qwest Capital Funding, Inc.:

7% 8/3/09

50,000

47,500

7.25% 2/15/11

35,000

32,550

7.625% 8/3/21

20,000

16,600

Qwest Communications International, Inc.:

5.2113% 2/15/09 (e)(g)

40,000

38,900

7.5% 2/15/14 (e)

160,000

152,400

Qwest Services Corp.:

13.5% 12/15/07 (e)

220,000

251,350

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

20,000

23,700

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

110,000

135,300

SBC Communications, Inc.:

6.15% 9/15/34

500,000

505,095

6.45% 6/15/34

400,000

420,461

Sprint Capital Corp.:

7.625% 1/30/11

500,000

584,779

8.375% 3/15/12

1,100,000

1,350,012

Telecom Italia Capital:

4.95% 9/30/14 (e)

415,000

411,809

6% 9/30/34 (e)

500,000

491,442

Telefonica de Argentina SA 9.125% 11/7/10

55,000

56,925

Telefonica Europe BV 7.75% 9/15/10

700,000

829,777

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

80,000

60,200

TELUS Corp. yankee 7.5% 6/1/07

180,000

197,780

U.S. West Communications 6.875% 9/15/33

165,000

140,250

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Verizon Global Funding Corp.:

7.25% 12/1/10

$1,030,000

$1,201,432

7.375% 9/1/12

465,000

552,376

14,307,012

Wireless Telecommunication Services - 1.7%

America Movil SA de CV:

4.125% 3/1/09

285,000

280,494

5.5% 3/1/14

255,000

250,605

American Tower Corp. 7.5% 5/1/12

105,000

109,725

AT&T Wireless Services, Inc.:

7.875% 3/1/11

455,000

542,045

8.75% 3/1/31

1,085,000

1,456,632

Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 (e)

60,000

60,600

Cingular Wireless LLC 7.125% 12/15/31

1,500,000

1,702,491

Crown Castle International Corp.:

Series B, 7.5% 12/1/13

40,000

42,600

7.5% 12/1/13

10,000

10,650

9.375% 8/1/11

65,000

73,775

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

50,000

56,938

Globe Telecom, Inc. 9.75% 4/15/12

55,000

60,225

Inmarsat Finance PLC 7.625% 6/30/12

70,000

70,700

Intelsat Ltd.:

6.5% 11/1/13

30,000

25,575

7.625% 4/15/12

20,000

18,900

Kyivstar GSM 10.375% 8/17/09 (e)

100,000

110,380

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

80,000

80,600

Mobile Telesystems Finance SA:

9.75% 1/30/08 (e)

80,000

86,600

9.75% 1/30/08 (Reg. S)

75,000

81,188

Nextel Communications, Inc. 7.375% 8/1/15

150,000

166,875

Nextel Partners, Inc. 8.125% 7/1/11

85,000

93,075

Rogers Wireless, Inc.:

6.375% 3/1/14

140,000

132,300

9.625% 5/1/11

26,000

29,575

Rural Cellular Corp. 8.25% 3/15/12 (e)

60,000

62,850

Telemig Cellular SA/Amazonia Cellular SA 8.75% 1/20/09 (e)

71,000

71,000

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

UbiquiTel Operating Co. 9.875% 3/1/11

$50,000

$53,875

Western Wireless Corp. 9.25% 7/15/13

175,000

184,188

5,914,461

TOTAL TELECOMMUNICATION SERVICES

20,221,473

UTILITIES - 3.0%

Electric Utilities - 2.0%

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

70,000

71,750

Allegheny Energy Supply Co. LLC:

7.8% 3/15/11

170,000

187,850

8.25% 4/15/12 (e)

90,000

101,925

10.25% 11/15/07 (e)

26,657

30,456

10.25% 11/15/07 (e)(g)

3,339

3,381

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

300,000

313,248

DTE Energy Co.:

6.375% 4/15/33

250,000

257,674

7.05% 6/1/11

50,000

56,825

Duke Capital LLC 6.75% 2/15/32

1,400,000

1,507,722

Exelon Corp. 6.75% 5/1/11

750,000

845,064

FirstEnergy Corp.:

6.45% 11/15/11

25,000

27,392

7.375% 11/15/31

330,000

376,005

Illinois Power Co. 11.5% 12/15/10

55,000

65,175

Nevada Power Co. 6.5% 4/15/12

50,000

52,000

Oncor Electric Delivery Co.:

6.375% 5/1/12

45,000

49,928

6.375% 1/15/15

1,000,000

1,113,045

Pacific Gas & Electric Co.:

4.2% 3/1/11

100,000

99,501

4.8% 3/1/14

135,000

135,203

6.05% 3/1/34

490,000

504,665

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

1,000,000

1,134,118

Southern California Edison Co.:

4.65% 4/1/15

35,000

34,547

5% 1/15/14

30,000

30,734

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

80,000

85,800

7,084,008

Nonconvertible Bonds - continued

Principal Amount

Value

UTILITIES - continued

Gas Utilities - 0.1%

ANR Pipeline, Inc. 9.625% 11/1/21

$100,000

$123,000

El Paso Energy Corp. 6.75% 5/15/09

25,000

25,344

NiSource Finance Corp. 7.875% 11/15/10

100,000

118,703

Sonat, Inc.:

6.625% 2/1/08

20,000

20,100

6.75% 10/1/07

15,000

15,356

6.875% 6/1/05

85,000

86,275

388,778

Multi-Utilities & Unregulated Power - 0.9%

AES Corp.:

8.5% 11/1/07

40,000

40,900

8.75% 6/15/08

2,000

2,203

8.75% 5/15/13 (e)

30,000

34,538

8.875% 2/15/11

282,000

324,653

9% 5/15/15 (e)

30,000

34,875

9.375% 9/15/10

7,000

8,164

9.5% 6/1/09

19,000

21,826

10% 12/12/05 (e)

5,919

6,074

CMS Energy Corp.:

8.5% 4/15/11

45,000

51,131

9.875% 10/15/07

135,000

151,538

Constellation Energy Group, Inc. 7.6% 4/1/32

1,000,000

1,203,805

Dominion Resources, Inc.:

6.25% 6/30/12

500,000

548,349

8.125% 6/15/10

170,000

202,363

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

220,000

241,450

Utilicorp Canada Finance Corp. 7.75% 6/15/11

60,000

62,250

2,934,119

TOTAL UTILITIES

10,406,905

TOTAL NONCONVERTIBLE BONDS

(Cost $103,984,676)

107,763,234

U.S. Government and Government Agency Obligations - 15.5%

U.S. Government Agency Obligations - 4.7%

Fannie Mae:

4.375% 7/17/13

2,205,000

2,154,907

U.S. Government and Government Agency Obligations - continued

Principal Amount

Value

U.S. Government Agency Obligations - continued

Fannie Mae: - continued

4.625% 10/15/13

$3,000,000

$3,050,673

5.5% 7/18/12

500,000

508,712

6.25% 3/22/12

300,000

304,317

Freddie Mac:

3.625% 9/15/08

8,000,000

8,086,632

5.25% 11/5/12

280,000

286,909

5.875% 3/21/11

2,095,000

2,289,508

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

16,681,658

U.S. Treasury Inflation Protected Obligations - 1.1%

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

1,809,558

1,892,892

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

1,846,008

1,913,501

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

3,806,393

U.S. Treasury Obligations - 9.7%

U.S. Treasury Bonds:

6.125% 8/15/29

1,245,000

1,470,072

6.375% 8/15/27

210,000

253,911

8% 11/15/21

2,000,000

2,775,390

U.S. Treasury Notes:

1.625% 2/28/06

6,000,000

5,944,452

2.75% 7/31/06

6,734,000

6,765,300

3.125% 4/15/09

1,200,000

1,196,766

4% 11/15/12

2,840,000

2,871,507

4.75% 5/15/14

6,205,000

6,560,820

5% 8/15/11

4,482,000

4,840,385

6.5% 2/15/10

1,070,000

1,231,127

TOTAL U.S. TREASURY OBLIGATIONS

33,909,730

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $53,840,401)

54,397,781

U.S. Government Agency - Mortgage Securities - 31.4%

Fannie Mae - 31.3%

4% 11/1/19 (f)

5,895,592

5,785,050

4.5% 5/1/18 to 9/1/33

20,081,222

19,973,938

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

4.5% 11/1/19 (f)

$4,000,000

$4,007,500

5% 11/1/34 (f)

30,609,899

30,485,500

5.5% 11/1/16 to 10/1/34

5,448,323

5,564,667

5.5% 11/1/34 (f)

997,798

1,015,571

6.5% 5/1/08 to 1/1/33

6,227,548

6,602,682

6.5% 11/1/19 to 11/1/34 (f)

5,876,179

6,231,287

7% 5/1/18 to 12/1/33

27,980,001

29,740,170

TOTAL FANNIE MAE

109,406,365

Government National Mortgage Association - 0.1%

7% 7/15/31 to 12/15/32

365,226

389,941

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $109,066,491)

109,796,306

Asset-Backed Securities - 3.2%

ACE Securities Corp.:

Series 2003-FM1 Class M2, 3.7825% 11/25/32 (g)

40,000

40,670

Series 2004-HE1:

Class M1, 2.4325% 2/25/34 (g)

125,000

125,012

Class M2, 3.0325% 2/25/34 (g)

125,000

125,029

American Express Credit Account Master Trust Series 2004-C Class C, 2.37% 2/15/12 (e)(g)

1,800,000

1,799,887

AmeriCredit Automobile Receivables Trust Series 2004-1 Class D, 5.07% 7/6/10

290,000

294,521

Ameriquest Mortgage Securities, Inc. Series 2004-R2:

Class M1, 2.3625% 4/25/34 (g)

65,000

64,997

Class M2, 2.4125% 4/25/34 (g)

50,000

49,998

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE2 Class A2, 2.25% 4/15/33 (g)

36,924

36,972

Series 2003-HE7 Class A3, 2.23% 12/15/33 (g)

148,658

148,765

Bank One Issuance Trust:

Series 2002-C1 Class C1, 2.83% 12/15/09 (g)

425,000

430,115

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

900,000

919,701

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 2.4088% 2/28/44 (g)

424,515

424,880

Capital One Multi-Asset Execution Trust:

Series 2003-B1 Class B1, 3.04% 2/17/09 (g)

120,000

121,605

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

60,000

60,417

Series 2003-B4 Class B4, 2.67% 7/15/11 (g)

90,000

91,550

Asset-Backed Securities - continued

Principal Amount

Value

Capital One Multi-Asset Execution Trust: - continued

Series 2004-6 Class B, 4.15% 7/16/12

$570,000

$570,000

CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 3.8325% 10/25/33 (g)

30,000

30,871

Chase Credit Card Master Trust Series 2003-6 Class B, 2.22% 2/15/11 (g)

230,000

231,431

Chase Credit Card Owner Trust Series 2004-1 Class B, 2.07% 5/15/09 (g)

220,000

219,986

Citibank Credit Card Issuance Trust:

Series 2000-C2 Class C2, 2.72% 10/15/07 (g)

1,000,000

1,002,408

Series 2003-C1 Class C1, 3.14% 4/7/10 (g)

305,000

311,792

Countrywide Home Loans, Inc.:

Series 2004-2 Class M1, 2.4325% 5/25/34 (g)

275,000

274,987

Series 2004-3 Class M1, 2.4325% 6/25/34 (g)

75,000

75,074

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 2.4825% 3/25/34 (g)

25,000

24,999

Class M4, 2.8325% 3/25/34 (g)

25,000

24,999

Class M6, 3.1825% 3/25/34 (g)

25,000

24,919

Fremont Home Loan Trust Series 2004-A:

Class M1, 2.4825% 1/25/34 (g)

225,000

224,990

Class M2, 3.0825% 1/25/34 (g)

275,000

274,987

GSAMP Trust Series 2004-FM2 Class M1, 2.4325% 1/25/34 (g)

250,000

249,988

Home Equity Asset Trust:

Series 2003-2:

Class A2, 2.3125% 8/25/33 (g)

8,731

8,743

Class M1, 2.8125% 8/25/33 (g)

25,000

25,272

Series 2003-4:

Class M1, 2.7325% 10/25/33 (g)

40,000

40,332

Class M2, 3.8325% 10/25/33 (g)

45,000

45,775

Series 2004-3:

Class M2, 3.1325% 8/25/34 (g)

120,000

119,994

Class M3, 3.3825% 8/25/34 (g)

50,000

49,998

Home Equity Asset Trust NIMS Trust:

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

7,288

7,307

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

6,178

6,209

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

7,591

7,629

Long Beach Mortgage Loan Trust Series 2003-3 Class M2, 3.7825% 7/25/33 (g)

45,000

46,168

MBNA Credit Card Master Note Trust:

Series 2003-B2 Class B2, 2.26% 10/15/10 (g)

80,000

80,437

Series 2003-B3 Class B3, 2.245% 1/18/11 (g)

285,000

285,769

Series 2003-B5 Class B5, 2.24% 2/15/11 (g)

240,000

241,703

Asset-Backed Securities - continued

Principal Amount

Value

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 2.4325% 7/25/34 (g)

$100,000

$99,995

Class M2, 2.4825% 7/25/34 (g)

25,000

24,999

Class M3, 2.8825% 7/25/34 (g)

50,000

49,998

Class M4, 3.0325% 7/25/34 (g)

25,000

24,999

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 3.0325% 12/27/32 (g)

90,000

91,365

Series 2003-HE1 Class M2, 3.8325% 5/25/33 (g)

55,000

55,820

Series 2003-NC8 Class M1, 2.6325% 9/25/33 (g)

35,000

35,119

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 2.9325% 1/25/32 (g)

40,000

40,529

Series 2002-NC1 Class M1, 2.7325% 2/25/32 (e)(g)

170,000

171,397

Series 2002-NC3 Class M1, 2.6525% 8/25/32 (g)

75,000

75,591

Series 2003-NC2 Class M2, 3.9325% 2/25/33 (g)

40,000

40,898

National Collegiate Funding LLC Series 2004-GT1 Class IO1, 7.87% 6/25/10 (e)(g)(i)

455,000

175,630

New Century Home Equity Loan Trust Series 2003-2 Class A2, 2.3625% 1/25/33 (g)

28,439

28,487

NovaStar Home Equity Loan Series 2004-1:

Class M1, 2.3825% 6/25/34 (g)

75,000

75,067

Class M4, 2.9075% 6/25/34 (g)

125,000

124,104

Sears Credit Account Master Trust II Series 2002-4 Class A, 2% 8/18/09 (g)

100,000

100,090

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

260,000

262,925

WFS Financial Owner Trust Series 2004-3 Class D, 4.07% 2/17/12

365,000

367,984

TOTAL ASSET-BACKED SECURITIES

(Cost $11,038,031)

11,085,883

Collateralized Mortgage Obligations - 4.4%

Private Sponsor - 4.3%

Bank of America Mortgage Securities, Inc.:

Series 2003-K:

Class 1A1, 3.3946% 12/25/33 (g)

262,177

262,837

Class 2A1, 4.2114% 12/25/33 (g)

366,519

365,117

Series 2003-L Class 2A1, 4.0319% 1/25/34 (g)

2,131,177

2,119,345

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

703,401

710,435

Series 2004-B:

Class 1A1, 3.4413% 3/25/34 (g)

904,573

904,208

Class 2A2, 4.1529% 3/25/34 (g)

239,093

238,982

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Bank of America Mortgage Securities, Inc.: - continued

Series 2004-C Class 1A1, 3.4176% 4/25/34 (g)

$514,381

$513,838

Series 2004-D:

Class 1A1, 3.597% 5/25/34 (g)

580,403

581,129

Class 2A2, 4.2257% 5/25/34 (g)

668,556

667,745

Series 2004-G Class 2A7, 4.661% 8/25/34 (g)

766,801

773,037

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

724,965

728,452

Series 2004-J:

Class 1A2, 4.3462% 11/25/34 (g)

250,000

253,125

Class 2A1, 4.8243% 11/25/34 (g)

1,005,000

1,017,248

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR3 Class 6A2, 2.3025% 4/25/34 (g)

221,870

222,290

Series 2004-AR6 Class 9A2, 2.3025% 10/25/34 (g)

335,328

335,654

Granite Mortgages PLC floater Series 2004-2 Class 1C, 2.61% 6/20/44 (g)

235,000

235,422

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

91,829

96,166

Master Asset Securitization Trust Series 2004-9
Class 7A1, 6.327% 5/25/17 (g)

594,996

618,509

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

507,070

527,670

Merrill Lynch Mortgage Investors, Inc.:

Series 2003-E Class XA1, 1% 10/25/28 (g)(i)

1,830,299

27,414

Series 2003-G Class XA1, 1% 1/25/29 (i)

2,580,319

40,150

Series 2003-H Class XA1, 1% 1/25/29 (e)(i)

2,073,092

32,531

Merrill Lynch Trust XXIX Series 29 Class A, 0% 5/1/13

42,615

38,934

Residential Asset Mortgage Products, Inc. sequential pay:

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

794,064

826,571

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

102,799

106,251

Residential Finance LP/Residential Finance Development Corp. floater:

Series 2003-CB1:

Class B3, 3.3081% 6/10/35 (e)(g)

44,009

44,804

Class B4, 3.5081% 6/10/35 (e)(g)

39,119

39,819

Class B5, 4.1081% 6/10/35 (e)(g)

29,339

29,953

Class B6, 4.6081% 6/10/35 (e)(g)

14,670

14,970

Series 2004-B:

Class B4, 2.9581% 2/10/36 (e)(g)

99,412

99,412

Class B5, 3.4081% 2/10/36 (e)(g)

99,412

99,412

Class B6, 3.8581% 2/10/36 (e)(g)

99,412

99,412

Series 2004-C:

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

99,890

99,890

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

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

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

$99,890

$99,890

Class B6, 3.6081% 9/10/36 (g)

99,890

99,890

Resix Finance Ltd. floater:

Series 2004-A Class B8, 6.8581% 2/10/36 (e)(g)

825,325

825,320

Series 2004-B Class B8, 6.6081% 2/10/36 (e)(g)

198,825

198,825

Sequoia Mortgage Funding Trust Series 2003-A
Class AX1, 0.8% 10/21/08 (e)(i)

4,889,442

50,041

Washington Mutual Mortgage Securities Corp. sequential pay:

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

81,741

84,498

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

202,402

210,118

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

711,880

710,652

TOTAL PRIVATE SPONSOR

15,049,966

U.S. Government Agency - 0.1%

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

2,894

2,898

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

4,483

4,497

Freddie Mac Multi-class participation certificates guaranteed:

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

377,346

340,313

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

11,129

11,121

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

25,000

26,939

Ginnie Mae guaranteed REMIC pass thru securities planned amortization class Series 2003-75 Class LI, 5.5% 10/20/21 (i)

4,739,127

101,759

TOTAL U.S. GOVERNMENT AGENCY

487,527

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $15,513,192)

15,537,493

Commercial Mortgage Securities - 2.4%

Principal Amount

Value

Banc of America Large Loan, Inc. floater Series 2003-BBA2:

Class C, 2.34% 11/15/15 (e)(g)

$50,000

$50,251

Class D, 2.42% 11/15/15 (e)(g)

80,000

80,484

Class F, 2.77% 11/15/15 (e)(g)

60,000

60,481

Class H, 3.27% 11/15/15 (e)(g)

50,000

50,339

Class J, 3.82% 11/15/15 (e)(g)

55,000

55,789

Class K, 4.47% 11/15/15 (e)(g)

50,000

50,540

Bayview Commercial Asset Trust:

floater:

Series 2004-1 Class A, 2.2925% 4/25/34 (e)(g)

381,308

380,086

Series 2004-2 Class A, 2.3625% 8/25/34 (e)(g)

392,988

393,372

Series 2004-1 Class IO, 1.25% 4/25/34 (e)(i)

4,088,629

274,756

Bear Stearns Commercial Mortgage Securities, Inc.:

floater:

Series 2003-BA1A Class A1, 2.1475% 4/14/15 (e)(g)

206,698

206,685

Series 2004-ESA Class A2, 2.2075% 5/14/16 (e)(g)

350,000

350,154

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

180,000

185,865

Series 2004-ESA:

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

325,000

335,680

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

205,000

211,894

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

75,000

77,489

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

230,000

237,335

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

55,000

56,750

COMM floater Series 2002-FL7:

Class A2, 2.22% 11/15/14 (e)(g)

34,016

34,018

Class D, 2.44% 11/15/14 (e)(g)

125,000

125,213

Commercial Mortgage pass thru certificates floater Series 2004-CNL:

Class B, 2.2581% 9/15/14 (e)(g)

105,000

105,066

Class D, 2.4981% 9/15/14 (e)(g)

30,000

30,019

Class E, 2.5581% 9/15/14 (e)(g)

45,000

45,028

Class F, 2.6581% 9/15/14 (e)(g)

35,000

35,022

Class G, 2.8381% 9/15/14 (e)(g)

80,000

80,050

Class H, 2.9381% 9/15/14 (e)(g)

85,000

85,053

Class J, 3.4581% 9/15/14 (e)(g)

30,000

30,019

Class K, 3.8581% 9/15/14 (e)(g)

45,000

45,028

Class L, 4.0581% 9/15/14 (e)(g)

35,000

35,022

Commercial Mortgage Securities - continued

Principal Amount

Value

CS First Boston Mortgage Securities Corp.:

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

$132,184

$134,144

Series 2003-TFLA Class G, 2.4433% 4/15/13 (e)(g)

105,000

101,548

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

743,602

800,505

Ginnie Mae guaranteed REMIC pass thru securities:

sequential pay:

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

60,000

59,438

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

55,000

55,095

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

105,000

104,924

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

115,000

110,319

Series 2003-47 Class XA, 0.237% 6/16/43 (g)(i)

6,615,391

356,351

GS Mortgage Securities Corp. II sequential pay:

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

315,000

351,008

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

65,000

65,242

Host Marriot Pool Trust sequential pay Series 1999-HMTA Class D, 7.97% 8/3/15 (e)

110,000

125,747

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

200,000

184,906

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

389,570

420,513

Trizechahn Office Properties Trust Series 2001-TZHA:

Class C3, 6.522% 3/15/13 (e)

25,000

26,764

Class C4, 6.893% 5/15/16 (e)

500,000

570,526

Class E3, 7.253% 3/15/13 (e)

235,000

252,260

Wachovia Bank Commercial Mortgage Trust sequential pay Series 2003-C8 Class A3, 4.445% 11/15/35

785,000

796,743

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $8,316,304)

8,223,521

Foreign Government and Government Agency Obligations - 2.4%

Argentine Republic 1.98% 8/3/12 (g)

115,000

87,336

Bogota Distrito Capital 9.5% 12/12/06 (Reg. S)

95,000

103,550

Brazilian Federative Republic:

Brady:

capitalization bond 8% 4/15/14

707,473

702,167

par Z-L 6% 4/15/24

265,000

237,175

11% 8/17/40

430,000

485,040

12% 4/15/10

55,000

65,450

12.25% 3/6/30

70,000

86,310

12.75% 1/15/20

45,000

56,925

Foreign Government and Government Agency Obligations - continued

Principal Amount

Value

Central Bank of Nigeria promissory note 5.092% 1/5/10

$73,305

$68,909

Chilean Republic:

5.625% 7/23/07

100,000

105,500

7.125% 1/11/12

1,250,000

1,442,188

City of Kiev 8.75% 8/8/08

200,000

209,750

Colombian Republic:

10.75% 1/15/13

160,000

185,800

11.75% 2/25/20

95,000

116,731

Dominican Republic:

Brady 2.75% 8/30/09 (g)

129,166

98,166

9.04% 1/23/13 (e)

25,000

20,250

9.5% 9/27/06 (Reg. S)

15,000

13,163

Ecuador Republic:

12% 11/15/12 (Reg. S)

180,000

180,450

euro par 4.75% 2/28/25 (d)

5,000

3,175

Jamaican Government 10.625% 6/20/17

10,000

9,888

Lebanese Republic:

10.125% 8/6/08

55,000

61,397

10.25% 10/6/09 (Reg. S)

15,000

17,100

Panamanian Republic:

9.625% 2/8/11

25,000

28,438

10.75% 5/15/20

60,000

71,700

Peruvian Republic 9.125% 2/21/12

85,000

95,306

Philippine Republic:

Brady principal collateralized interest reduction bond 6.5% 12/1/17

45,000

44,100

8.375% 2/15/11

345,000

344,138

9.875% 1/15/19

145,000

145,906

Russian Federation:

5% 3/31/30 (Reg. S) (d)

1,032,000

1,033,290

8.25% 3/31/10 (Reg. S)

125,000

138,438

euro 10% 6/26/07

75,000

85,875

State of Israel 4.625% 6/15/13

20,000

19,388

Turkish Republic:

10.5% 1/13/08

50,000

56,875

11% 1/14/13

180,000

221,850

11.75% 6/15/10

255,000

316,200

United Mexican States:

4.625% 10/8/08

160,000

162,720

7.5% 1/14/12

100,000

113,600

Uruguay Republic 7.25% 2/15/11

85,000

80,538

Foreign Government and Government Agency Obligations - continued

Principal Amount

Value

Venezuelan Republic:

Discount A, 3.0625% 3/31/20 (g)

$250,000

$222,500

8.5% 10/8/14

40,000

40,700

9.25% 9/15/27

80,000

81,800

10.75% 9/19/13

145,000

168,563

13.625% 8/15/18

65,000

85,800

euro Brady par W-B 6.75% 3/31/20

250,000

246,250

Vietnamese Socialist Republic Brady par 3.75% 3/12/28 (d)

90,000

63,000

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $7,601,482)

8,223,395

Common Stocks - 0.0%

Shares

CONSUMER DISCRETIONARY - 0.0%

Multiline Retail - 0.0%

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

20

1,200

CONSUMER STAPLES - 0.0%

Personal Products - 0.0%

Revlon, Inc. Class A (a)

18,648

45,315

TOTAL COMMON STOCKS

(Cost $36,503)

46,515

Sovereign Loan Participations - 0.0%

Principal Amount

Indonesian Republic loan participation:

- Credit Suisse First Boston 2.875% 3/28/13 (g)

$121,371

107,413

- Deutsche Bank:

0% 3/21/05 (g)

15,000

14,813

2.875% 3/28/13 (g)

14,286

12,643

- Salomon Brothers 0% 3/21/05 (g)

15,000

14,813

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $145,445)

149,682

Fixed-Income Funds - 9.7%

Shares

Value

Fidelity Ultra-Short Central Fund (h)
(Cost $33,999,988)

341,900

$34,022,469

Cash Equivalents - 12.3%

Maturity Amount

Investments in repurchase agreements (Collateralized by U.S. Government Obligations), in a joint trading account at 1.87%, dated 10/29/04 due 11/1/04 (j)
(Cost $43,026,000)

$43,032,699

43,026,000

TOTAL INVESTMENT PORTFOLIO - 112.1%

(Cost $386,568,513)

392,272,279

NET OTHER ASSETS - (12.1)%

(42,266,166)

NET ASSETS - 100%

$350,006,113

Swap Agreements

Expiration Date

Notional Amount

Value

Credit Default Swap

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

Sept. 2014

$400,000

$511

TOTAL CREDIT DEFAULT SWAP

400,000

511

Interest Rate Swap

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

Sept. 2006

8,000,000

36,635

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Interest Rate Swap - continued

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

Oct. 2006

$5,000,000

$8,541

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

July 2014

1,135,000

42,271

TOTAL INTEREST RATE SWAP

14,135,000

87,447

Total Return Swap

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

April 2005

1,000,000

10,093

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

Dec. 2004

500,000

3,717

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

Nov. 2004

600,000

3,807

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

Jan. 2005

1,000,000

(390)

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

Dec. 2004

1,000,000

14,309

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

Nov. 2004

2,000,000

89,376

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Total Return Swap - continued

Receive quarterly a return equal to that of Banc of America Securities LLC AAA 10Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 30 basis points with Bank of America

May 2005

$2,000,000

$0

Receive quarterly a return equal to that of Lehman Brothers Commercial Mortgage-Backed Securities AAA Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 8 basis points with Bank of America

April 2005

600,000

0

TOTAL TOTAL RETURN SWAP

8,700,000

20,912

$23,235,000

$208,870

Legend

(a)Non-income producing

(b)Non-income producing - issuer filed for bankruptcy or is in default of interest payments.

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

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

(e)Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $24,053,502 or 6.9% of net assets.

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

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

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

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

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

Repurchase Agreement/
Counterparty

Value

$43,026,000 due 11/1/04 at 1.87%

Banc of America Securities LLC.

$15,803,192

Bank of America, National Association

4,242,468

Bear Stearns & Co. Inc.

2,015,172

Countrywide Securities Corporation

954,555

Credit Suisse First Boston LLC

1,060,617

Goldman, Sachs & Co.

4,242,468

Greenwich Capital Markets, Inc.

2,121,234

J.P. Morgan Securities, Inc.

2,121,234

Morgan Stanley & Co. Incorporated.

3,181,851

Societe Generale, New York Branch

530,308

UBS Securities LLC

5,268,038

WestLB AG

1,484,863

$43,026,000

Income Tax Information

At October 31, 2004, the aggregate cost of investment securities for income tax purposes was $386,913,902. Net unrealized appreciation aggregated $5,358,377, of which $6,348,192 related to appreciated investment securities and $989,815 related to depreciated investment securities.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please visit advisor.fidelity.com or call Fidelity at 1-877-208-0098 for a free copy of the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Ultra-Short Bond Fund

October 31, 2004

ULB-QTLY-1204

1.809108.100

Investments October 31, 2004 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 5.0%

Principal Amount

Value

CONSUMER DISCRETIONARY - 0.9%

Auto Components - 0.3%

DaimlerChrysler NA Holding Corp.:

2.34% 5/24/06 (f)

$800,000

$804,139

2.3425% 9/10/07 (f)

630,000

630,414

2.71% 8/8/06 (f)

600,000

607,231

2,041,784

Media - 0.6%

British Sky Broadcasting Group PLC (BSkyB) yankee 7.3% 10/15/06

900,000

968,418

Continental Cablevision, Inc. 8.3% 5/15/06

450,000

484,319

Liberty Media Corp. 3.38% 9/17/06 (f)

2,350,000

2,376,696

3,829,433

TOTAL CONSUMER DISCRETIONARY

5,871,217

CONSUMER STAPLES - 0.0%

Tobacco - 0.0%

Philip Morris Companies, Inc. 7% 7/15/05

300,000

307,355

ENERGY - 0.3%

Oil & Gas - 0.3%

Duke Energy Field Services LLC 7.5% 8/16/05

1,000,000

1,037,027

Enterprise Products Operating LP 4% 10/15/07 (b)

670,000

675,277

Pemex Project Funding Master Trust 3.54% 1/7/05 (b)(f)

150,000

151,200

1,863,504

FINANCIALS - 1.2%

Capital Markets - 0.0%

State Street Capital Trust II 2.2113% 2/15/08 (f)

300,000

301,589

Consumer Finance - 0.4%

General Motors Acceptance Corp.:

3.08% 9/23/08 (f)

1,500,000

1,483,434

3.3288% 10/20/05 (f)

1,000,000

1,004,111

6.125% 9/15/06

25,000

25,948

6.75% 1/15/06

205,000

212,161

2,725,654

Insurance - 0.1%

St. Paul Travelers Companies, Inc. 7.875% 4/15/05

405,000

414,342

Real Estate - 0.6%

Arden Realty LP 8.875% 3/1/05

500,000

510,026

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Real Estate - continued

Duke Realty LP 6.875% 3/15/05

$300,000

$304,766

Regency Centers LP 7.125% 7/15/05

400,000

412,040

Simon Property Group LP 7.375% 1/20/06

2,525,000

2,651,273

3,878,105

Thrifts & Mortgage Finance - 0.1%

Countrywide Home Loans, Inc. 2.28% 6/2/06 (f)

500,000

502,108

TOTAL FINANCIALS

7,821,798

INFORMATION TECHNOLOGY - 0.3%

Communications Equipment - 0.3%

Motorola, Inc. 4.608% 11/16/07

1,700,000

1,750,500

TELECOMMUNICATION SERVICES - 1.5%

Diversified Telecommunication Services - 1.4%

British Telecommunications PLC 7.875% 12/15/05

1,950,000

2,059,869

Deutsche Telekom International Finance BV 8.25% 6/15/05

1,960,000

2,027,195

France Telecom SA 7.95% 3/1/06 (a)

440,000

468,091

GTE Corp. 6.36% 4/15/06

1,000,000

1,049,872

Sprint Capital Corp.:

4.78% 8/17/06

1,000,000

1,027,992

7.125% 1/30/06

500,000

525,902

Telefonica Europe BV 7.35% 9/15/05

500,000

520,465

TELUS Corp. yankee 7.5% 6/1/07

1,000,000

1,098,776

8,778,162

Wireless Telecommunication Services - 0.1%

AT&T Wireless Services, Inc. 7.35% 3/1/06

900,000

953,275

TOTAL TELECOMMUNICATION SERVICES

9,731,437

UTILITIES - 0.8%

Electric Utilities - 0.7%

Duke Capital LLC 6.25% 7/15/05

2,000,000

2,047,664

Progress Energy, Inc. 6.75% 3/1/06

2,105,000

2,207,335

4,254,999

Nonconvertible Bonds - continued

Principal Amount

Value

UTILITIES - continued

Gas Utilities - 0.1%

NiSource Finance Corp. 7.625% 11/15/05

$675,000

$707,493

TOTAL UTILITIES

4,962,492

TOTAL NONCONVERTIBLE BONDS

(Cost $32,233,412)

32,308,303

U.S. Government Agency Obligations - 5.4%

Fannie Mae:

1.55% 5/4/05

10,000,000

9,963,620

6.25% 3/22/12

2,995,000

3,038,095

Federal Home Loan Bank:

1.265% 3/15/05

10,000,000

9,969,111

1.35% 4/29/05

10,000,000

9,955,150

Freddie Mac 0% 4/19/05 (d)

2,000,000

1,980,096

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

(Cost $35,020,872)

34,906,072

U.S. Government Agency - Mortgage Securities - 1.5%

Fannie Mae - 1.5%

5.5% 11/1/16 to 2/1/19

6,216,490

6,447,702

6.5% 7/1/16 to 8/1/32

627,290

663,176

7% 8/1/17 to 5/1/32

2,145,161

2,277,917

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $9,343,500)

9,388,795

Asset-Backed Securities - 22.3%

Accredited Mortgage Loan Trust:

Series 2004-2 Class A2, 2.2325% 7/25/34 (f)

905,135

905,093

Series 2004-3:

Class 2A4, 2.2825% 10/25/34 (f)

1,200,000

1,198,936

Class 2M3, 3.0525% 10/25/34 (f)

210,000

210,110

Class 2M4, 3.2825% 10/25/34 (f)

85,000

85,080

ACE Securities Corp.:

Series 2002-HE2 Class M1, 2.7825% 8/25/32 (f)

175,000

176,128

Series 2003-FM1 Class M2, 3.7825% 11/25/32 (f)

145,000

147,428

Asset-Backed Securities - continued

Principal Amount

Value

ACE Securities Corp.: - continued

Series 2003-HE1:

Class A2, 2.3425% 11/25/33 (f)

$479,647

$480,472

Class M1, 2.5825% 11/25/33 (f)

120,000

120,472

Class M2, 3.6325% 11/25/33 (f)

75,000

76,290

Series 2003-HS1:

Class M1, 2.6825% 6/25/33 (f)

50,000

50,173

Class M2, 3.6825% 6/25/33 (f)

50,000

50,731

Series 2003-NC1 Class M1, 2.7125% 7/25/33 (f)

100,000

100,753

Series 2003-TC1 Class A2, 2.3225% 6/25/33 (f)

67,856

67,993

Series 2004-HE1:

Class M1, 2.4325% 2/25/34 (f)

150,000

150,014

Class M2, 3.0325% 2/25/34 (f)

175,000

175,040

American Express Credit Account Master Trust:

Series 2004-1 Class B, 2.12% 9/15/11 (f)

410,000

410,827

Series 2004-5 Class B, 2.0825% 4/16/12 (f)

2,150,000

2,148,858

Series 2004-C Class C, 2.37% 2/15/12 (b)(f)

1,200,000

1,199,925

AmeriCredit Automobile Receivables Trust:

Series 2000-D Class A4, 2.05% 9/12/07 (f)

237,374

237,517

Series 2002-A Class A3, 2.04% 10/12/06 (f)

50,761

50,762

Series 2003-AM Class A4B, 2.31% 11/6/09 (f)

600,000

603,352

Series 2003-BX Class A4B, 2.22% 1/6/10 (f)

140,000

140,862

Series 2003-CF Class A3, 2.75% 10/9/07

1,000,000

1,001,851

Series 2004-1 Class A3, 3.22% 7/6/08

365,000

366,417

Ameriquest Mortgage Securities, Inc.:

Series 2002-4 Class M1, 2.9325% 2/25/33 (f)

105,000

105,725

Series 2002-AR1 Class M2, 3.2325% 9/25/32 (f)

490,000

492,596

Series 2003-1:

Class A2, 2.3425% 2/25/33 (f)

77,576

77,711

Class M1, 2.8325% 2/25/33 (f)

100,000

101,188

Series 2003-3 Class M1, 2.7325% 3/25/33 (f)

75,000

75,234

Series 2003-6:

Class AV3, 2.2525% 8/25/33 (f)

172,829

172,996

Class S, 5% 5/25/33 (h)

4,022,099

158,511

Series 2003-7 Class M1, 2.7825% 8/25/33 (f)

140,000

141,272

Series 2003-AR1 Class M1, 3.0825% 1/25/33 (f)

500,000

503,456

Series 2004-R2:

Class M1, 2.3625% 4/25/34 (f)

85,000

84,996

Class M2, 2.4125% 4/25/34 (f)

75,000

74,997

Series 2004-R9:

Class A3, 2.2525% 10/25/34 (f)

1,020,000

1,019,643

Class M2, 2.5825% 10/25/34 (f)

720,000

719,260

Class M4, 3.1025% 10/25/34 (f)

925,000

925,030

Asset-Backed Securities - continued

Principal Amount

Value

Amortizing Residential Collateral Trust:

Series 2002-BC6 Class M1, 2.6825% 8/25/32 (f)

$100,000

$100,669

Series 2002-BC7:

Class M1, 2.7325% 10/25/32 (f)

450,000

450,422

Class M2, 2.8325% 10/25/32 (f)

300,000

302,120

Series 2003-BC1 Class M2, 3.0325% 1/25/32 (f)

175,000

175,661

AQ Finance NIMS Trust Series 2003-N6A Class NOTE, 2.2325% 5/25/10 (b)(f)

60,923

60,923

Argent Securities, Inc.:

Series 2003-W3 Class M2, 3.7325% 9/25/33 (f)

800,000

821,736

Series 2003-W6 Class AV2, 2.3025% 1/25/34 (f)

582,971

583,475

Series 2004-W7:

Class M1, 2.4825% 5/25/34 (f)

305,000

304,986

Class M2, 2.5325% 5/25/34 (f)

250,000

249,988

Asset Backed Funding Certificates Series 2004-HE1 Class M2, 3.0825% 1/25/34 (f)

230,000

229,989

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2002-HE2 Class M2, 3% 8/15/32 (f)

100,000

100,297

Series 2002-HE3 Class 2A, 2.27% 10/15/32 (f)

19,443

19,458

Series 2003-HE2:

Class A2, 2.25% 4/15/33 (f)

121,850

122,007

Class M1, 2.77% 4/15/33 (f)

1,000,000

1,009,277

Series 2003-HE3 Class A2, 2.22% 6/15/33 (f)

43,109

43,122

Series 2003-HE4:

Class A3, 2.09% 8/15/33 (f)

95,764

95,799

Class M2, 3.87% 8/15/33 (f)

285,000

290,361

Series 2003-HE5 Class A2A, 2.23% 8/15/33 (f)

209,579

209,830

Series 2003-HE6 Class M1, 2.5825% 11/25/33 (f)

215,000

215,853

Series 2003-HE7 Class A3, 2.23% 12/15/33 (f)

487,987

488,338

Series 2004-HE6 Class A2, 2.2925% 6/25/34 (f)

2,590,851

2,590,732

Associates Automobile Receivables Trust Series 2000-1 Class B, 7.83% 8/15/07

141,273

142,001

Bank One Issuance Trust:

Series 2002-B1 Class B1, 2.25% 12/15/09 (f)

465,000

467,003

Series 2002-B2 Class B2, 2.21% 5/15/08 (f)

100,000

100,179

Series 2002-B3 Class B, 2.23% 8/15/08 (f)

500,000

501,268

Series 2002-C1 Class C1, 2.83% 12/15/09 (f)

675,000

683,124

Series 2002-C2 Class C2, 2.86% 5/15/08 (f)

2,850,000

2,864,642

Bayview Financial Acquisition Trust Series 2004-C
Class A1, 2.3788% 5/28/44 (f)

1,281,760

1,281,509

Bayview Financial Asset Trust Series 2000-F Class A, 2.4588% 9/28/43 (f)

327,879

328,545

Asset-Backed Securities - continued

Principal Amount

Value

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 2.4088% 2/28/44 (f)

$593,535

$594,045

Bear Stearns Asset Backed Securities I:

Series 2004-BO1:

Class M2, 2.69% 9/25/34 (f)

390,000

390,000

Class M3, 3% 9/25/34 (f)

265,000

265,000

Class M4, 3.15% 9/25/34 (f)

225,000

225,000

Class M5, 3.35% 9/25/34 (f)

210,000

210,000

Series 2004-FR3 Class M3, 2.99% 10/25/34 (f)

845,000

845,000

Series 2004-HE9 Class M2, 3.04% 10/25/34 (f)

490,000

490,000

Capital Auto Receivables Asset Trust Series 2003-1
Class B, 2.34% 6/15/10 (b)(f)

244,636

245,608

Capital One Auto Finance Trust:

Series 2003-A Class A4B, 2.15% 1/15/10 (f)

425,000

426,859

Series 2004-B Class A4, 1.95% 8/15/11 (f)

1,700,000

1,699,734

Capital One Master Trust:

Series 2001-1 Class B, 2.38% 12/15/10 (f)

500,000

503,345

Series 2001-8A Class B, 2.42% 8/17/09 (f)

405,000

407,893

Capital One Multi-Asset Execution Trust:

Series 2002-B1 Class B1, 2.55% 7/15/08 (f)

1,035,000

1,038,678

Series 2003-B1 Class B1, 3.04% 2/17/09 (f)

1,135,000

1,150,176

Series 2003-B6 Class B6, 2.4% 9/15/11 (f)

1,125,000

1,134,626

Series 2004-B1 Class B1, 2.31% 11/15/11 (f)

1,180,000

1,183,760

Capital Trust Ltd. Series 2004-1:

Class A2, 2.36% 7/20/39 (b)(f)

265,000

265,000

Class B, 2.66% 7/20/39 (b)(f)

140,000

140,000

Class C, 3.01% 7/20/39 (b)(f)

180,000

180,000

CDC Mortgage Capital Trust:

Series 2001-HE1 Class A, 2.2725% 1/25/32 (f)

1,198

1,198

Series 2002-HE3:

Class M1, 3.0325% 3/25/33 (f)

299,999

305,739

Class M2, 4.1825% 3/25/33 (f)

489,999

497,718

Series 2003-HE1 Class M2, 3.8825% 8/25/33 (f)

215,000

218,702

Series 2003-HE2 Class A, 2.2825% 10/25/33 (f)

299,305

299,438

Series 2003-HE3:

Class M1, 2.6325% 11/25/33 (f)

104,999

105,705

Class M2, 3.6825% 11/25/33 (f)

80,000

81,404

Series 2003-HE4 Class A2, 2.1625% 3/25/34 (f)

653,809

654,219

Series 2004-HE2 Class M2, 3.1325% 7/26/34 (f)

175,000

174,992

Chase Credit Card Owner Trust:

Series 2001-6 Class B, 2.35% 3/16/09 (f)

200,000

201,209

Series 2002-2 Class C, 2.77% 7/16/07 (f)

1,170,000

1,172,639

Series 2002-6 Class B, 2.22% 1/15/08 (f)

150,000

150,311

Asset-Backed Securities - continued

Principal Amount

Value

Chase Credit Card Owner Trust: - continued

Series 2004-1 Class B, 2.07% 5/15/09 (f)

$295,000

$294,982

Citibank Credit Card Issuance Trust:

Series 2000-C2 Class C2, 2.72% 10/15/07 (f)

900,000

902,167

Series 2001-B2 Class B2, 2.3325% 12/10/08 (f)

615,000

618,506

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

655,000

656,814

Series 2002-C1 Class C1, 2.7% 2/9/09 (f)

900,000

911,463

Series 2003-C1 Class C1, 3.14% 4/7/10 (f)

1,685,000

1,722,521

Countrywide Home Loans, Inc.:

Series 2000-2 Class MV2, 2.8325% 6/25/31 (f)

150,315

150,497

Series 2002-6 Class AV1, 2.3625% 5/25/33 (f)

177,823

178,128

Series 2003-BC1 Class M2, 3.9325% 9/25/32 (f)

1,025,000

1,051,450

Series 2003-SD3 Class A1, 2.3525% 12/25/32 (b)(f)

121,793

122,072

Series 2004-2 Class M1, 2.4325% 5/25/34 (f)

375,000

374,983

Series 2004-3:

Class 3A4, 2.1825% 8/25/34 (f)

9,328,000

9,268,616

Class M1, 2.4325% 6/25/34 (f)

100,000

100,098

CS First Boston Mortgage Securities Corp.:

Series 2002-HE16 Class M2, 3.4325% 10/25/32 (f)

75,000

75,813

Series 2003-8 Class A2, 2.3225% 4/25/34 (f)

429,206

429,905

Series 2004-FRE1:

Class A2, 2.2825% 4/25/34 (f)

707,665

707,632

Class B1, 3.7325% 4/25/34 (f)

605,000

604,970

Class M3, 2.5825% 4/25/34 (f)

610,000

609,971

Discover Card Master Trust I Series 2003-4 Class B1, 2.2% 5/16/11 (f)

550,000

551,943

Fannie Mae guaranteed REMIC pass thru certificates:

Series 2002-T15 Class S1, 5.25% 4/25/05 (h)

611,292

16,548

Series 2004-T5:

Class AB1, 2.1825% 5/28/35 (f)

1,835,251

1,925,007

Class AB3, 2.3245% 5/28/35 (f)

1,641,454

1,656,330

Class AB8, 2.2825% 5/28/35 (f)

1,637,699

1,736,617

Fieldstone Mortgage Investment Corp.:

Series 2003-1 Class M1, 2.6125% 11/25/33 (f)

100,000

100,723

Series 2004-1 Class M2, 3.0325% 1/25/35 (f)

300,000

300,904

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 2.4825% 3/25/34 (f)

25,000

24,999

Class M4, 2.8325% 3/25/34 (f)

25,000

24,999

Class M6, 3.1825% 3/25/34 (f)

25,000

24,919

First USA Secured Note Trust Series 2001-3 Class C, 2.94% 11/19/08 (b)(f)

785,000

790,519

Ford Credit Auto Owner Trust Series 2003-B Class B2, 2.3% 10/15/07 (f)

650,000

653,456

Asset-Backed Securities - continued

Principal Amount

Value

Fremont Home Loan Trust:

Series 2004-A Class M2, 3.0825% 1/25/34 (f)

$375,000

$374,982

Series 2004-C:

Class 2A2, 2.4825% 8/25/34 (f)

1,000,000

1,006,719

Class M1, 2.5825% 8/25/34 (f)

540,000

540,000

Class M3, 3.0825% 8/25/34 (f)

1,000,000

1,000,000

GE Business Loan Trust Series 2003-1 Class A, 2.3% 4/15/31 (b)(f)

318,237

320,114

Gracechurch Card Funding PLC:

Series 5:

Class B, 2.8% 8/15/08 (f)

80,000

80,052

Class C, 2.8% 8/15/08 (f)

295,000

296,237

Series 6 Class B, 2.06% 2/17/09 (f)

75,000

74,995

GS Mortgage Securities Corp.:

Series 2003-FM1 Class M1, 2.6313% 3/20/33 (f)

750,000

757,167

Series 2004-FF3 Class M2, 3.0725% 5/25/34 (f)

370,000

369,984

Series 2004-FM1:

Class M1, 2.5825% 11/25/33 (f)

195,000

194,991

Class M2, 3.3325% 11/25/33 (f)

135,000

135,931

5.5% 11/25/32 (b)

257,469

257,211

GSAMP Trust:

Series 2002-NC1 Class A2, 2.2525% 7/25/32 (f)

114,363

114,843

Series 2004-AHL:

Class A2D, 2.2% 8/25/34 (f)

3,360,000

3,360,000

Class M2, 2.99% 8/25/34 (f)

250,000

250,000

Series 2004-FM2 Class M1, 2.4325% 1/25/34 (f)

250,000

249,988

Series 2004-HE1:

Class M1, 2.4825% 5/25/34 (f)

320,000

319,985

Class M2, 3.0825% 5/25/34 (f)

150,000

148,782

Class M3, 3.3325% 5/25/34 (f)

100,000

99,198

Harwood Street Funding I LLC Series 2004-1A
Class CTFS, 3.7575% 9/20/09 (b)(f)

1,700,000

1,700,000

Home Equity Asset Trust:

Series 2002-3 Class A5, 2.3725% 2/25/33 (f)

21,936

21,948

Series 2002-4:

Class A3, 2.4125% 3/25/33 (f)

181,204

181,685

Class M2, 3.9825% 3/25/33 (f)

125,000

126,748

Series 2002-5:

Class A3, 2.4525% 5/25/33 (f)

289,023

290,371

Class M1, 3.1325% 5/25/33 (f)

200,000

203,935

Series 2003-1:

Class A2, 2.4025% 6/25/33 (f)

632,027

633,903

Class M1, 2.9325% 6/25/33 (f)

300,000

302,005

Asset-Backed Securities - continued

Principal Amount

Value

Home Equity Asset Trust: - continued

Series 2003-2:

Class A2, 2.3125% 8/25/33 (f)

$37,106

$37,157

Class M1, 2.8125% 8/25/33 (f)

80,000

80,870

Series 2003-3:

Class A2, 2.2925% 8/25/33 (f)

186,964

187,091

Class M1, 2.7925% 8/25/33 (f)

330,000

333,531

Series 2003-4:

Class M1, 2.7325% 10/25/33 (f)

170,000

171,410

Class M2, 3.8325% 10/25/33 (f)

200,000

203,446

Series 2003-5:

Class A2, 2.2825% 12/25/33 (f)

567,625

568,008

Class M1, 2.6325% 12/25/33 (f)

160,000

160,890

Class M2, 3.6625% 12/25/33 (f)

70,000

71,400

Series 2003-7 Class A2, 2.3125% 3/25/34 (f)

1,130,841

1,132,135

Series 2003-8 Class M1, 2.6525% 4/25/34 (f)

260,000

261,133

Series 2004-4 Class A2, 2.2525% 10/25/34 (f)

1,117,627

1,118,883

Series 2004-6 Class A2, 2.2825% 12/25/34 (f)

1,721,625

1,718,873

Home Equity Asset Trust NIMS Trust Series 2002-4N Class A, 8% 5/27/33 (b)

7,288

7,307

Household Affinity Credit Card Master Note Trust I
Series 2003-3 Class B, 2.16% 8/15/08 (f)

500,000

500,592

Household Credit Card Master Trust I Series 2002-1 Class B, 2.52% 7/15/08 (f)

300,000

301,494

Household Home Equity Loan Trust:

Series 2002-3 Class A, 2.36% 7/20/32 (f)

81,059

81,091

Series 2003-1 Class M, 2.4413% 10/20/32 (f)

68,476

68,625

Series 2003-2:

Class A, 2.24% 9/20/33 (f)

330,647

330,990

Class M, 2.49% 9/20/33 (f)

156,818

157,255

Series 2004-1 Class M, 2.43% 9/20/33 (f)

410,130

410,105

Household Mortgage Loan Trust:

Series 2002-HC1:

Class A, 2.21% 5/20/32 (f)

163,526

163,856

Class M, 2.56% 5/20/32 (f)

78,102

78,201

Series 2003-HC1:

Class A, 2.26% 2/20/33 (f)

297,732

297,873

Class M, 2.56% 2/20/33 (f)

157,373

157,992

Series 2003-HC2:

Class A2, 2.24% 6/20/33 (f)

339,036

339,646

Class M, 2.51% 6/20/33 (f)

282,187

282,450

Series 2004-HC1:

Class A, 2.1613% 2/20/34 (f)

980,947

980,654

Asset-Backed Securities - continued

Principal Amount

Value

Household Mortgage Loan Trust: - continued

Class M, 2.41% 2/20/34 (f)

$594,926

$594,468

Household Private Label Credit Card Master Note Trust I:

Series 2002-2 Class A, 2.04% 1/18/11 (f)

1,000,000

1,001,580

Series 2002-3 Class B, 3.12% 9/15/09 (f)

150,000

151,372

Ikon Receivables Funding LLC Series 2003-1 Class A3A, 2.11% 12/17/07 (f)

355,761

355,895

Keycorp Student Loan Trust Series 1999-A Class A2, 1.9163% 12/27/09 (f)

342,278

343,233

Long Beach Mortgage Loan Trust:

Series 2001-4 Class 2M1, 2.8825% 3/25/32 (f)

765,000

772,156

Series 2003-1:

Class A2, 2.3325% 3/25/33 (f)

77,320

77,408

Class M1, 2.8525% 3/25/33 (f)

300,000

301,906

Series 2003-2 Class M1, 2.7525% 6/25/33 (f)

500,000

502,690

Series 2003-3 Class M1, 2.6825% 7/25/33 (f)

340,000

342,511

MASTR Adjustable Rate Mortgages Trust Series 2004-11 Class 1A4, 2.4488% 11/26/34 (f)

255,000

255,000

MASTR Asset Backed Securities Trust Series 2004-FRE1 Class M1, 2.4825% 7/25/34 (f)

485,000

484,974

MBNA Asset Backed Note Trust Series 2000-K Class C, 2.67% 3/17/08 (b)(f)

1,000,000

1,004,800

MBNA Credit Card Master Note Trust:

Series 2001-B1 Class B1, 2.245% 10/15/08 (f)

1,250,000

1,252,898

Series 2001-B2 Class B2, 2.23% 1/15/09 (f)

1,000,000

1,003,324

Series 2002-B2 Class B2, 2.25% 10/15/09 (f)

1,034,000

1,038,595

Series 2002-B4 Class B4, 2.37% 3/15/10 (f)

630,000

635,080

Series 2003-B2 Class B2, 2.26% 10/15/10 (f)

125,000

125,682

Series 2003-B3 Class B3, 2.245% 1/18/11 (f)

1,550,000

1,554,181

Series 2003-B5 Class B5, 2.24% 2/15/11 (f)

2,000,000

2,014,195

MBNA Master Credit Card Trust II:

Series 1998-E Class B, 1.93% 9/15/10 (f)

200,000

201,074

Series 1998-G Class B, 2.27% 2/17/09 (f)

500,000

501,273

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 2.4325% 7/25/34 (f)

150,000

149,993

Class M2, 2.4825% 7/25/34 (f)

25,000

24,999

Class M3, 2.8825% 7/25/34 (f)

50,000

49,998

Class M4, 3.0325% 7/25/34 (f)

50,000

49,998

Merrill Lynch Mortgage Investors, Inc.:

Series 2002-HE1N Class N1, 2.5325% 11/25/09 (b)(f)

15,550

15,511

Series 2003-HE1 Class A1, 2.3825% 7/25/34 (f)

711,335

711,882

Series 2004-FM1 Class M2, 3.0825% 1/25/35 (f)

150,000

150,396

Asset-Backed Securities - continued

Principal Amount

Value

Merrill Lynch Mortgage Investors, Inc.: - continued

Series 2004-HE2:

Class A1B, 2.29% 8/25/35 (f)

$1,005,000

$1,005,628

Class A2B, 2.14% 8/25/35 (f)

1,510,000

1,510,000

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 3.0325% 12/27/32 (f)

125,000

126,896

Series 2003-HE1 Class M2, 3.8325% 5/25/33 (f)

325,000

329,844

Series 2003-NC10 Class M1, 2.6125% 10/25/33 (f)

830,000

834,065

Series 2003-NC5 Class M2, 3.9325% 4/25/33 (f)

200,000

203,976

Series 2003-NC6 Class M2, 3.8825% 6/27/33 (f)

630,000

643,657

Series 2003-NC8 Class M1, 2.6325% 9/25/33 (f)

120,000

120,407

Series 2004-HE6 Class A2, 2.2725% 8/25/34 (f)

1,927,462

1,927,866

Series 2004-NC6 Class A2, 2.2725% 7/25/34 (f)

576,094

575,511

Series 2004-NC7 Class A3, 2.2325% 7/25/34 (f)

2,000,000

1,998,251

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-AM1:

Class M1, 2.7825% 2/25/32 (f)

710,724

717,825

Class M2, 3.3325% 2/25/32 (f)

500,000

503,921

Series 2001-NC1 Class M2, 3.0025% 10/25/31 (f)

100,000

100,391

Series 2001-NC2 Class B1, 3.8825% 1/25/32 (f)

679,762

677,205

Series 2001-NC3 Class M2, 3.4325% 10/25/31 (f)

225,000

226,873

Series 2001-NC4:

Class M1, 2.9325% 1/25/32 (f)

140,000

141,851

Class M2, 3.5825% 1/25/32 (f)

105,000

106,516

Series 2002-AM3 Class A3, 2.4225% 2/25/33 (f)

80,371

80,629

Series 2002-HE1 Class M1, 2.5325% 7/25/32 (f)

145,000

145,499

Series 2002-HE2 Class M2, 3.1825% 8/25/32 (f)

100,000

100,491

Series 2002-NC3 Class M1, 2.6525% 8/25/32 (f)

100,000

100,788

Series 2002-NC4 Class M2, 3.5325% 9/25/32 (f)

75,000

75,647

Series 2002-OP1 Class M1, 2.6825% 9/25/32 (f)

95,000

95,626

Series 2003-NC1 Class M2, 3.9825% 11/25/32 (f)

130,000

131,824

Series 2003-NC2 Class M2, 3.9325% 2/25/33 (f)

165,000

168,706

Navistar Financial Corp. Owner Trust Series 2001-B Class B, 4.83% 11/17/08

502,890

506,395

New Century Finance NIMS Trust Series 2003-A
Class NOTE, 8.5% 10/25/33 (b)

21,166

21,239

New Century Home Equity Loan Trust Series 2003-2:

Class A2, 2.3625% 1/25/33 (f)

100,284

100,455

Class AIO, 4.5% 3/25/05 (f)(h)

13,302,840

151,652

Nissan Auto Lease Trust:

Series 2003-A Class A3A, 1.9% 6/15/09 (f)

1,000,000

1,001,037

Series 2004-A Class A4A, 1.98% 6/15/10 (f)

1,325,000

1,325,000

Asset-Backed Securities - continued

Principal Amount

Value

NovaStar Home Equity Loan Series 2004-1:

Class M1, 2.3825% 6/25/34 (f)

$100,000

$100,089

Class M4, 2.9075% 6/25/34 (f)

170,000

168,781

NovaStar Mortgage Funding Trust Series 2003-3
Class A3, 2.3825% 12/25/33 (f)

608,950

608,577

Onyx Acceptance Owner Trust Series 2003-D Class A3, 2.4% 12/15/07

470,000

469,386

Option One Mortgage Loan Trust Series 2003-6
Class M1, 2.5825% 11/25/33 (f)

1,025,000

1,029,075

Park Place Securities Nims Trust Series 2004-MHQ1:

Class A, 2.487% 12/25/34 (b)

485,000

485,000

Class B, 3.474% 12/25/34 (b)

220,000

220,000

Park Place Securities, Inc.:

Series 2004 WWF1 Class M4, 0% 1/25/35 (c)(f)

945,000

1,012,584

Series 2004-WCW1:

Class M1, 2.5625% 9/25/34 (f)

270,000

270,073

Class M2, 2.6125% 9/25/34 (f)

160,000

160,056

Class M3, 3.1825% 9/25/34 (f)

310,000

310,102

Class M4, 3.3825% 9/25/34 (f)

435,000

435,215

Series 2004-WCW2 Class A2, 2.3125% 10/25/34 (f)

1,476,441

1,476,373

Series 2004-WWF1 Class A5, 0% 1/25/35 (c)(f)

670,000

670,000

Providian Gateway Master Trust Series 2002-B Class A, 2.57% 6/15/09 (b)(f)

400,000

403,095

Residental Asset Securities Corp. Series 2004-KS10 Class M2, 3.1088% 10/25/34 (f)

395,000

395,000

Residential Asset Mortgage Products, Inc.:

Series 2004-RS10 Class MII2, 3.21% 10/25/34 (f)

1,300,000

1,300,000

Series 2004-RS6:

Class 2M2, 3.2325% 6/25/34 (f)

250,000

249,988

Class 2M3, 3.3825% 6/25/34 (f)

250,000

249,988

Salomon Brothers Mortgage Securities VII, Inc.
Series 2003-HE1 Class A, 2.24% 4/25/33 (f)

90,240

90,388

Saxon Asset Securities Trust Series 2004-2 Class MV1, 2.5125% 8/25/35 (f)

415,000

414,981

Sears Credit Account Master Trust II:

Series 2002-4:

Class A, 2% 8/18/09 (f)

800,000

800,717

Class B, 2.295% 8/18/09 (f)

1,080,000

1,082,044

Series 2002-5 Class B, 3.12% 11/17/09 (f)

500,000

501,116

Specialty Underwriting & Residential Finance
Series 2003-BC3 Class M1, 2.5825% 8/25/34 (f)

1,000,000

1,004,011

Structured Asset Securities Corp. Series 2004-GEL1 Class A, 2.2925% 2/25/34 (f)

119,711

119,706

Asset-Backed Securities - continued

Principal Amount

Value

Superior Wholesale Inventory Financing Trust VII
Series 2003-A8 Class CTFS, 2.32% 3/15/11 (b)(f)

$675,000

$675,633

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 2.3625% 9/25/34 (f)

634,457

636,047

Series 2003-6HE Class A1, 2.4025% 11/25/33 (f)

230,686

231,312

Series 2003-8HE Class A, 2.4025% 12/25/34 (f)

312,424

312,602

Series 2004-1HE Class A1, 2.4425% 2/25/35 (b)(f)

308,818

309,300

Triad Auto Receivables Owner Trust Series 2002-A
Class A3, 2.62% 2/12/07

274,067

274,402

WFS Financial Owner Trust:

Series 2004-3 Class D, 4.07% 2/17/12

660,000

665,395

Series 2004-4 Class D, 3.58% 5/17/12

550,000

549,977

TOTAL ASSET-BACKED SECURITIES

(Cost $143,618,247)

144,205,051

Collateralized Mortgage Obligations - 13.2%

Private Sponsor - 8.3%

Adjustable Rate Mortgage Trust floater Series 2004-2 Class 7A3, 2.35% 2/25/35 (f)

2,000,000

2,000,000

Countrywide Home Loans, Inc.:

floater Series 2004-16 Class A1, 2.3325% 9/25/34 (f)

1,168,741

1,167,652

sequential pay Series 2002-5 Class 2A1, 6% 4/25/17

140,178

140,010

CS First Boston Mortgage Securities Corp.:

floater:

Series 2004-AR2 Class 6A1, 2.3325% 3/25/34 (f)

724,334

723,983

Series 2004-AR3 Class 6A2, 2.3025% 4/25/34 (f)

299,719

300,287

Series 2004-AR5 Class 11A2, 2.3025% 6/25/34 (f)

446,810

445,809

Series 2004-AR6 Class 9A2, 2.3025% 10/25/34 (f)

553,992

554,531

Series 2004-AR7 Class 6A2, 2.3125% 8/25/34 (f)

927,714

928,618

Series 2004-AR8 Class 8A2, 2.3125% 9/25/34 (f)

854,433

855,722

Series 2003-TFLA Class F, 2.4433% 4/15/13 (b)(f)

235,000

236,678

Fieldstone Mortgage Investment Corp. floater
Series 2004-1 Class 2A, 2.2225% 1/25/35 (f)

2,911,826

2,911,136

Granite Mortgages PLC floater:

Series 2004-1:

Class 1B, 2.12% 3/20/44 (f)

95,000

95,089

Class 1C, 2.81% 3/20/44 (f)

280,000

281,138

Class 1M, 2.32% 3/20/44 (f)

130,000

130,244

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Granite Mortgages PLC floater: - continued

Series 2004-2:

Class 1A2, 1.98% 6/20/28 (f)

$500,000

$499,854

Class 1B, 2.08% 6/20/44 (f)

100,000

99,992

Class 1C, 2.61% 6/20/44 (f)

365,000

365,656

Class 1M, 2.19% 6/20/44 (f)

185,000

184,928

Series 2004-3:

Class 1B, 2.0754% 9/20/44 (f)

200,000

199,700

Class 1C, 2.5054% 9/20/44 (f)

605,000

604,335

Class 1M, 2.1854% 9/20/44 (f)

100,000

99,900

Holmes Financing No. 7 PLC floater Series 2 Class M, 2.4% 7/15/40 (f)

195,000

196,850

Holmes Financing No. 8 PLC floater:

Series 1:

Class B, 2.2% 7/15/40 (f)

145,000

145,045

Class C, 2.69% 7/15/40 (f)

2,080,000

2,081,300

Series 2:

Class A, 2.15% 4/15/11 (f)

1,400,000

1,399,727

Class B, 2.24% 7/15/40 (f)

190,000

190,000

Class C, 2.79% 7/15/40 (f)

775,000

775,243

Homestar Mortgage Acceptance Corp. floater
Series 2004-5 Class A1, 2.29% 10/25/34 (f)

1,500,000

1,500,000

Impac CMB Trust floater Series 2004-6 Class 1A2, 2.3225% 10/25/34 (f)

486,110

485,593

Master Adjustable Rate Mortgages Trust floater
Series 2004-11:

Class 2A1, 2.339% 11/25/34 (f)

1,340,000

1,340,000

Class 2A2, 2.399% 11/25/34 (f)

295,000

295,000

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

989,994

1,030,212

Merrill Lynch Mortgage Investors, Inc.:

floater:

Series 2003-A:

Class 2A1, 2.3225% 3/25/28 (f)

423,485

424,526

Class 2A2, 2.36% 3/25/28 (f)

151,245

151,562

Series 2003-B Class A1, 2.2725% 4/25/28 (f)

385,126

386,097

Series 2003-E Class A2, 2.28% 10/25/28 (f)

844,893

844,371

Series 2003-F Class A2, 2.46% 10/25/28 (f)

853,371

853,604

Series 2004-A Class A2, 2.37% 4/25/29 (f)

1,081,791

1,077,911

Series 2004-B Class A2, 1.8525% 6/25/29 (f)

1,103,726

1,102,132

Series 2004-C Class A2, 2.1506% 7/25/29 (f)

1,489,299

1,486,236

Series 2004-D Class A2, 2.34% 9/25/29 (f)

1,479,401

1,480,424

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Merrill Lynch Mortgage Investors, Inc.: - continued

floater:

Series 2004-E Class A2D, 2.77% 11/25/29 (f)

$1,494,045

$1,493,228

Series 2003-G Class XA1, 1% 1/25/29 (h)

3,585,250

55,786

Permanent Financing No. 1 PLC floater Series 1
Class 2C, 3.0425% 6/10/42 (f)

2,000,000

2,010,800

Permanent Financing No. 3 PLC floater:

Series 1 Class C, 2.8125% 6/10/42 (f)

1,000,000

1,000,062

Series 2 Class C, 2.9125% 6/10/42 (f)

205,000

206,025

Permanent Financing No. 4 PLC floater Series 2 Class C, 2.13% 6/10/42 (f)

1,145,000

1,144,605

Permanent Financing No. 5 PLC floater:

Series 1 Class C, 2.3625% 6/10/42 (f)

260,000

259,919

Series 2 Class C, 2.5125% 6/10/42 (f)

390,000

389,878

Series 3 Class C, 2.6825% 6/10/42 (f)

825,000

825,000

Residential Asset Mortgage Products, Inc. sequential pay:

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

457,754

476,494

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

185,038

191,252

Residential Finance LP/Residential Finance Development Corp. floater Series 2003-A:

Class B4, 3.6581% 3/10/35 (b)(f)

97,647

99,042

Class B5, 4.2081% 3/10/35 (b)(f)

97,647

99,636

Residential Funding Securities Corp.:

Series 2003-RP1 Class A1, 2.4325% 11/25/34 (f)

252,636

253,520

Series 2003-RP2 Class A1, 2.3825% 6/25/33 (b)(f)

310,215

311,205

Sequoia Mortgage Funding Trust Series 2003-A
Class AX1, 0.8% 10/21/08 (b)(h)

12,861,103

131,626

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 2.2513% 9/20/33 (f)

814,536

812,148

Series 2003-7 Class A2, 1.8788% 1/20/34 (f)

424,844

424,826

Series 2004-1 Class A, 2.1913% 2/20/34 (f)

590,792

589,325

Series 2004-10 Class A4, 2.58% 11/20/34 (f)

1,715,000

1,715,000

Series 2004-4 Class A, 2.4613% 5/20/34 (f)

460,824

459,511

Series 2004-5 Class A3, 1.8625% 6/20/34 (f)

759,418

757,994

Series 2004-6:

Class A3A, 2.1638% 6/20/35 (f)

947,450

946,561

Class A3B, 2.3063% 7/20/34 (f)

1,894,899

1,887,941

Series 2004-7:

Class A3A, 2.285% 8/20/34 (f)

999,192

998,482

Class A3B, 2.51% 7/20/34 (f)

1,940,178

1,952,995

Series 2004-8 Class A2, 2.35% 9/20/34 (f)

1,966,558

1,968,632

Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 2.3325% 9/25/33 (b)(f)

408,948

408,748

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Thornburg Mortgage Securities Trust floater Series 2004-3 Class A, 2.33% 9/25/34 (f)

$1,191,203

$1,193,155

WAMU Mortgage pass thru certificates sequential pay Series 2002-S6 Class A25, 6% 10/25/32

268,419

270,918

Washington Mutual Mortgage Securities Corp. sequential pay Series 2003-MS9 Class 2A1, 7.5% 12/25/33

108,989

112,665

TOTAL PRIVATE SPONSOR

53,518,074

U.S. Government Agency - 4.9%

Fannie Mae:

floater Series 2002-89 Class F, 2.2325% 1/25/33 (f)

220,816

221,056

planned amortization class:

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

112,395

112,985

Series 2002-81 Class PU, 4.5% 5/25/20

2,280,000

2,288,270

Fannie Mae guaranteed REMIC pass thru certificates:

floater:

Series 2002-11 Class QF, 2.4325% 3/25/32 (f)

271,725

273,836

Series 2002-36 Class FT, 2.4325% 6/25/32 (f)

252,972

254,983

Series 2002-64 Class FE, 2.2388% 10/18/32 (f)

143,601

144,215

Series 2002-74 Class FV, 2.3825% 11/25/32 (f)

165,992

167,111

Series 2003-11:

Class DF, 2.3825% 2/25/33 (f)

177,992

179,019

Class EF, 2.3825% 2/25/33 (f)

160,713

161,539

planned amortization class:

Series 2001-62 Class PG, 6.5% 10/25/30

159,439

162,001

Series 2001-70 Class PD, 6% 3/25/29

748,435

751,194

Series 2002-28 Class PJ, 6.5% 3/25/31

1,856,850

1,874,252

Series 2002-52 Class PA, 6% 4/25/31

38,650

39,186

Series 2002-55 Class QB, 5.5% 8/25/12

3,100

3,097

Series 2002-8 Class PD, 6.5% 7/25/30

654,023

663,662

Series 2003-17 Class PQ, 4.5% 3/25/16

855,000

858,788

sequential pay Series 2001-15 Class VA, 6% 6/25/10

22,489

22,482

Series 2002-50 Class LE, 7% 12/25/29

220,886

225,124

Series 2004-31 Class IA, 4.5% 6/25/10 (h)

635,000

39,548

Series 2004-33 Class ZK, 4.5% 4/25/34

1,084,810

1,086,622

Series 2004-37 Class ZB, 4.5% 5/25/34

1,880,270

1,881,009

Freddie Mac planned amortization class:

Series 2091 Class PP, 6% 2/15/27

504,144

508,170

Series 2256 Class MB, 7.25% 5/15/30

181,041

182,338

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2526 Class FC, 2.27% 11/15/32 (f)

$57,834

$58,098

Series 2538 Class FB, 2.27% 12/15/32 (f)

286,171

287,251

Series 2551 Class FH, 2.32% 1/15/33 (f)

151,464

152,116

planned amortization class:

Series 1675 Class H, 6.375% 10/15/22

6,180

6,176

Series 2136 Class PQ, 6.5% 10/15/27

656,621

660,742

Series 2316 Class PB, 6.5% 9/15/30

890,237

901,388

Series 2368 Class PQ, 6.5% 8/15/30

101,883

102,282

Series 2376 Class JC, 5.5% 2/15/14

375,174

376,073

Series 2394 Class ND, 6% 6/15/27

507,113

514,023

Series 2395 Class PE, 6% 2/15/30

1,394,017

1,417,228

Series 2398 Class DK, 6.5% 1/15/31

289,356

292,353

Series 2410 Class ML, 6.5% 12/15/30

700,954

711,776

Series 2420 Class BE, 6.5% 12/15/30

647,601

656,500

Series 2435 Class GD, 6.5% 2/15/30

180,956

181,779

Series 2443 Class TD, 6.5% 10/15/30

609,500

619,274

Series 2461 Class PG, 6.5% 1/15/31

530,704

535,361

Series 2466 Class EC, 6% 10/15/27

289,492

290,978

Series 2473 Class JB, 5.5% 2/15/29

256,074

256,583

Series 2483 Class DC, 5.5% 7/15/14

855,694

864,022

Series 2490 Class PM, 6% 7/15/28

406,395

409,223

Series 2496 Class OC, 5.5% 9/15/14

2,168,761

2,197,294

Series 2543 CLass PM, 5.5% 8/15/18

1,000,000

1,023,471

Series 2557 Class MA, 4.5% 7/15/16

164,957

165,846

Series 2614 Class IC, 4.5% 12/15/10 (h)

2,898,237

141,201

Series 2748 Class IB, 4.5% 3/15/10 (h)

1,572,500

89,791

Series 2776 Class UJ, 4.5% 5/15/20 (h)

721,279

48,840

sequential pay:

Series 2285 Class VB, 6.5% 10/15/16

183,035

184,046

Series 2430 Class ZE, 6.5% 8/15/27

267,869

270,277

Series 2445 Class BD, 6.5% 6/15/30

25,579

25,586

Series 2448 Class D, 5.5% 5/15/12

10,603

10,595

Series 2478 Class AF, 6% 8/15/30

1,898,073

1,912,979

Series 2480 Class QW, 5.75% 2/15/30

295,646

297,637

Series 1803 Class A, 6% 12/15/08

290,563

300,756

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

14,839

14,828

Series 2759 Class ZB, 5% 3/15/34

959,189

958,972

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

Series 2785:

Class JZ, 5% 4/15/34

$948,573

$949,321

Class ZG, 5% 4/15/34

50,912

50,871

Series 2807 Class TZ, 6% 12/15/31

18,811

18,796

Series FHR 2762 Class BZ, 5% 3/15/34

380,786

380,907

Series FHR 2809 Class WZ, 5% 3/15/34

215,890

215,918

Ginnie Mae guaranteed REMIC pass thru securities:

floater Series 2001-21 Class FB, 2.2888% 1/16/27 (f)

181,534

182,462

planned amortization class:

Series 2002-5 Class PD, 6.5% 5/16/31

631,884

649,805

Series 2002-57 Class PJ, 6% 1/20/29

24,402

24,448

TOTAL U.S. GOVERNMENT AGENCY

31,508,360

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $85,225,672)

85,026,434

Commercial Mortgage Securities - 3.5%

1301 Avenue of The Americas Trust Series 2000-1301:

Class C, 7.44% 8/3/10 (b)(f)

565,000

584,401

Class D, 7.54% 8/3/10 (b)(f)

750,000

776,148

Banc of America Large Loan, Inc. floater:

Series 2002-FL2A Class A2, 2.16% 9/8/14 (b)(f)

64,481

64,506

Series 2003-BBA2:

Class A3, 2.19% 11/15/15 (b)(f)

340,000

340,041

Class C, 2.34% 11/15/15 (b)(f)

70,000

70,351

Class D, 2.42% 11/15/15 (b)(f)

110,000

110,666

Class F, 2.77% 11/15/15 (b)(f)

80,000

80,641

Class H, 3.27% 11/15/15 (b)(f)

70,000

70,474

Class J, 3.82% 11/15/15 (b)(f)

70,000

71,004

Class K, 4.47% 11/15/15 (b)(f)

65,000

65,702

Bayview Commercial Asset Trust floater:

Series 2003-1 Class A, 2.5125% 8/25/33 (b)(f)

406,171

409,455

Series 2003-2 Class A, 2.5125% 12/25/33 (b)(f)

1,018,015

1,025,054

Series 2004-1:

Class A, 2.2925% 4/25/34 (b)(f)

571,962

570,130

Class B, 3.8325% 4/25/34 (b)(f)

95,327

95,089

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust floater: - continued

Series 2004-2:

Class A, 2.3625% 8/25/34 (b)(f)

$628,781

$629,395

Class M1, 2.5125% 8/25/34 (b)(f)

201,406

201,296

Bear Stearns Commercial Mortgage Securities, Inc. floater:

Series 2003-BA1A Class A1, 2.1475% 4/14/15 (b)(f)

482,296

482,265

Series 2003-WEST Class A, 2.44% 1/3/15 (b)(f)

364,045

365,316

Series 2004-BBA3 Class E, 2.57% 6/15/17 (b)(f)

960,000

960,342

Series 2004-ESA Class A2, 2.2075% 5/14/16 (b)(f)

565,000

565,248

Series 2004-HS2A:

Class E, 2.7675% 1/14/16 (b)(f)

125,000

125,479

Class F, 2.9175% 1/14/16 (b)(f)

75,000

75,277

Calwest Industrial Trust floater Series 2002-CALW
Class AFL, 2.25% 2/15/12 (b)(f)

800,000

800,856

COMM floater:

Series 2000-FL3A Class C, 2.63% 11/15/12 (b)(f)

174,282

174,212

Series 2002-FL6:

Class K4M, 3.87% 6/14/14 (b)(f)

100,000

100,248

Class L4M, 4.17% 6/14/14 (b)(f)

100,000

100,291

Class M4M, 4.62% 6/14/14 (b)(f)

100,000

100,010

Series 2002-FL7:

Class A2, 2.22% 11/15/14 (b)(f)

114,416

114,423

Class C, 2.37% 11/15/14 (b)(f)

555,000

555,131

Class F, 3.17% 11/15/14 (b)(f)

1,000,000

1,004,751

Class H, 4.12% 11/15/14 (b)(f)

150,000

149,479

Series 2003-FL9 Class B, 2.37% 11/15/15 (b)(f)

1,152,645

1,155,282

Commercial Mortgage Pass Through Certificates floater Series 2004-HTL1:

Class B, 2.32% 7/15/16 (b)(f)

55,000

55,012

Class D, 2.42% 7/15/16 (b)(f)

120,000

120,058

Class E, 2.62% 7/15/16 (b)(f)

85,000

85,018

Class F, 2.67% 7/15/16 (b)(f)

90,000

89,994

Class H, 3.17% 7/15/16 (b)(f)

265,000

264,983

Class J, 3.32% 7/15/16 (b)(f)

100,000

99,994

Class K, 4.22% 7/15/16 (b)(f)

115,000

114,786

Commercial Mortgage pass thru certificates floater Series 2004-CNL:

Class A2, 2.1581% 9/15/14 (b)(f)

400,000

400,250

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

150,000

150,094

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

160,000

160,100

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

55,000

55,034

Commercial Mortgage Securities - continued

Principal Amount

Value

Commercial Mortgage pass thru certificates floater Series 2004-CNL: - continued

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

$85,000

$85,053

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

70,000

70,044

CS First Boston Mortgage Securities Corp.:

floater:

Series 2002-TFLA Class C, 2.4488% 11/18/12 (b)(f)

255,000

255,269

Series 2003-TF2A Class A2, 2.19% 11/15/14 (b)(f)

700,000

700,103

Series 2004-FL1 Class B, 2.32% 5/15/14 (b)(f)

1,000,000

1,000,412

Series 2004-TFL1:

Class A2, 2.06% 2/15/14 (b)(f)

505,000

504,839

Class E, 2.42% 2/15/14 (b)(f)

200,000

200,842

Class F, 2.47% 2/15/14 (b)(f)

175,000

175,736

Class G, 2.72% 2/15/14 (b)(f)

125,000

125,455

Class H, 2.97% 2/15/14 (b)(f)

100,000

100,370

Class J, 3.27% 2/15/14 (b)(f)

50,000

50,236

Series 2003-TFLA Class G, 2.4433% 4/15/13 (b)(f)

145,000

140,233

Greenwich Capital Commercial Funding Corp. floater Series 2003-FL1 Class MCH, 5.09% 7/5/18 (b)(f)

119,859

119,859

John Hancock Tower Mortgage Trust floater
Series 2003-C5A Class B, 4.3466% 4/10/15 (b)(f)

420,000

415,178

Lehman Brothers Floating Rate Commercial Mortgage Trust floater:

Series 2003-C4A Class H, 4.8563% 7/11/15 (b)(f)

669,501

670,129

Series 2003-LLFA:

Class A2, 2.2575% 12/16/14 (b)(f)

490,000

491,070

Class C, 2.5675% 12/16/14 (b)(f)

110,000

110,943

Morgan Stanley Dean Witter Capital I Trust floater
Series 2001-XLF:

Class A2, 2.39% 10/7/13 (b)(f)

256,465

256,449

Class F, 3.78% 10/7/13 (b)(f)

626,802

623,171

Salomon Brothers Mortgage Securities VII, Inc. floater:

Series 2001-CDCA Class C, 2.67% 2/15/13 (b)(f)

1,000,000

999,439

Series 2003-CDCA:

Class HBST, 3.47% 2/15/15 (b)(f)

80,000

80,096

Class HEXB, 3.77% 2/15/15 (b)(f)

30,000

30,036

Class JBST, 3.67% 2/15/15 (b)(f)

60,000

60,072

Class JEXB, 3.97% 2/15/15 (b)(f)

50,000

50,060

Class KBST, 4.02% 2/15/15 (b)(f)

35,000

35,042

Class KEXB, 4.37% 2/15/15 (b)(f)

40,000

40,048

Commercial Mortgage Securities - continued

Principal Amount

Value

SDG Macerich Properties LP floater Series 2000-1
Class A3, 2.1% 5/15/09 (b)(f)

$500,000

$500,716

STRIPs III Ltd./STRIPs III Corp. floater Series 2004-1A Class A, 2.4125% 3/24/18 (b)(f)

619,299

619,299

Wachovia Bank Commercial Mortgage Trust floater Series 2004-WHL3:

Class A2, 2.05% 3/15/14 (b)(f)

255,000

255,139

Class E, 2.37% 3/15/14 (b)(f)

160,000

160,621

Class F, 2.42% 3/15/14 (b)(f)

130,000

130,469

Class G, 2.65% 3/15/14 (b)(f)

65,000

65,240

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $22,657,041)

22,709,954

Fixed-Income Funds - 30.8%

Shares

Fidelity Ultra-Short Central Fund (g)
(Cost $199,099,416)

2,003,403

199,358,672

Cash Equivalents - 11.0%

Maturity Amount

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 1.87%, dated 10/29/04 due 11/1/04)
(Cost $71,339,000) (i)

$71,350,107

71,339,000

TOTAL INVESTMENT PORTFOLIO - 92.7%

(Cost $598,537,160)

599,242,281

NET OTHER ASSETS - 7.3%

47,444,565

NET ASSETS - 100%

$646,686,846

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Eurodollar Contracts

105 Eurodollar 90 Day Index Contracts

Dec. 2004

$104,389,688

$(5,905)

101 Eurodollar 90 Day Index Contracts

March 2005

100,361,175

(21,916)

100 Eurodollar 90 Day Index Contracts

June 2005

99,323,750

(14,500)

101 Eurodollar 90 Day Index Contracts

Sept. 2005

100,272,800

69,271

99 Eurodollar 90 Day Index Contracts

Dec. 2005

98,236,463

133,654

160,604

Sold

Eurodollar Contracts

3 Eurodollar 90 Day Index Contracts

March 2006

(1,537,378)

(6,464)

3 Eurodollar 90 Day Index Contracts

June 2006

(1,539,641)

(6,977)

2 Eurodollar 90 Day Index Contracts

Sept. 2006

(1,025,995)

(4,060)

1 Eurodollar 90 Day Index Contracts

Dec. 2006

(510,158)

(429)

1 Eurodollar 90 Day Index Contracts

March 2007

(510,446)

(417)

(18,347)

$142,257

Swap Agreements

Notional Amount

Value

Credit Default Swap

Receive annually a fixed rate of .5% multiplied by the notional amount and pay to Deutsche Bank, upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3, par value of the proportional notional amount (e)

March 2010

$2,000,000

$(2,140)

Receive annually a fixed rate of .5% multiplied by the notional amount and pay to Lehman Brothers, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3, par value of the proportional notional amount (e)

March 2010

2,000,000

(2,140)

Receive quarterly notional amount multiplied by .75% and pay Lehman Brothers, Inc. upon default event of AOL Time Warner, Inc., par value of the notional amount of AOL Time Warner, Inc. 6.875% 5/1/12

Sept. 2009

2,000,000

24,048

$6,000,000

$19,768

Legend

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

(b)Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $33,246,623 or 5.1% of net assets.

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

(d)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 $1,980,096.

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

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

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

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

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

Repurchase Agreement/
Counterparty

Value

$71,339,000 due 11/1/04 at 1.87%

Banc of America Securities LLC.

$26,202,388

Bank of America, National Association

7,034,198

Bear Stearns & Co. Inc.

3,341,244

Countrywide Securities Corporation

1,582,695

Credit Suisse First Boston LLC

1,758,549

Goldman, Sachs & Co.

7,034,198

Greenwich Capital Markets, Inc.

3,517,099

J.P. Morgan Securities, Inc.

3,517,099

Morgan Stanley & Co. Incorporated.

5,275,648

Societe Generale, New York Branch

879,275

UBS Securities LLC

8,734,638

WestLB AG

2,461,969

$71,339,000

Income Tax Information

At October 31, 2004, the aggregate cost of investment securities for income tax purposes was $598,526,977. Net unrealized appreciation aggregated $715,304, of which $1,327,990 related to appreciated investment securities and $612,686 related to depreciated investment securities.

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Government Income Fund

October 31, 2004

GOV-QTLY-1204

1.809070.100

Investments October 31, 2004 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 74.2%

Principal Amount (000s)

Value
(000s)

U.S. Government Agency Obligations - 32.2%

Fannie Mae:

2.375% 12/15/05

$80,000

$79,916

2.625% 11/15/06

45,430

45,279

3.25% 1/15/08

82,700

82,889

3.25% 2/15/09

248,550

246,384

4.625% 10/15/14

30,000

30,237

5.125% 1/2/14

65,000

66,784

5.5% 3/15/11

6,695

7,261

6.25% 2/1/11

19,445

21,590

Farm Credit Systems Financial Assistance Corp. 8.8% 6/10/05

22,233

23,103

Federal Home Loan Bank:

1.5% 8/19/05

62,125

61,710

5.8% 9/2/08

13,440

14,592

Financing Corp. - coupon STRIPS 0% 8/3/05

1,989

1,956

Freddie Mac:

2.375% 4/15/06

133,000

132,566

2.75% 10/15/06

41,290

41,262

2.875% 12/15/06

57,480

57,531

3.625% 9/15/08

14,060

14,212

4.5% 1/15/14

73,400

73,805

5.5% 9/15/11

1,240

1,346

5.875% 3/21/11

34,550

37,758

Government Loan Trusts (assets of Trust guaranteed by U.S. Government through Agency for International Development) Series 1-B, 8.5% 4/1/06

2,570

2,719

Guaranteed Export Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank):

Series 1994-A, 7.12% 4/15/06

2,989

3,097

Series 1994-F, 8.187% 12/15/04

104

104

Guaranteed Trade Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank) Series 1994-B, 7.5% 1/26/06

1,700

1,781

Overseas Private Investment Corp. U.S. Government guaranteed participation certificates:

Series 1998-196A, 5.926% 6/15/05

2,246

2,275

6.77% 11/15/13

5,906

6,600

6.99% 5/21/16

18,447

21,339

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency Obligations - continued

Private Export Funding Corp. secured:

5.34% 3/15/06

$21,700

$22,500

5.66% 9/15/11 (a)

11,160

12,141

5.685% 5/15/12

30,825

33,704

6.49% 7/15/07

5,000

5,416

6.67% 9/15/09

2,120

2,400

7.17% 5/15/07

8,500

9,307

Small Business Administration guaranteed development participation certificates:

Series 2002-20J Class 1, 4.75% 10/1/22

8,814

8,967

Series 2002-20K Class 1, 5.08% 11/1/22

4,611

4,768

Series 2003 P10B, 5.136% 8/10/13

14,558

14,981

Series 2004-20H Class 1, 5.17% 8/1/24

3,971

4,100

State of Israel (guaranteed by U.S. Government through Agency for International Development):

5.5% 9/18/23

110,500

115,331

5.89% 8/15/05

29,600

30,254

6.6% 2/15/08

31,257

32,983

6.8% 2/15/12

18,000

20,298

U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A:

5.75% 8/1/06

9,300

9,790

5.96% 8/1/09

9,930

10,643

U.S. Trade Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank) 8.17% 1/15/07

1,557

1,643

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

1,417,322

U.S. Treasury Inflation Protected Obligations - 7.6%

U.S. Treasury Inflation-Indexed Bonds 3.625% 4/15/28

201,517

256,406

U.S. Treasury Inflation-Indexed Notes 1.875% 7/15/13

77,381

79,640

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

336,046

U.S. Treasury Obligations - 34.4%

U.S. Treasury Bonds:

6.125% 8/15/29

20,000

23,616

8% 11/15/21

142,000

197,053

13.25% 5/15/14

15,000

21,291

U.S. Treasury Notes:

2.5% 5/31/06

31,385

31,423

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

2.625% 3/15/09

$80,000

$78,219

2.75% 7/31/06

461,550

463,697

3.25% 1/15/09

433,200

435,078

4.25% 8/15/13

60,000

61,324

4.25% 11/15/13

15,000

15,305

4.75% 5/15/14

112,755

119,221

5% 8/15/11

8,030

8,672

5.75% 8/15/10

53,000

59,271

TOTAL U.S. TREASURY OBLIGATIONS

1,514,170

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $3,219,751)

3,267,538

U.S. Government Agency - Mortgage Securities - 13.4%

Fannie Mae - 12.8%

4% 10/1/18 to 4/1/19

7,256

7,137

4% 11/1/19 (b)

109,739

107,681

5% 11/1/34 (b)

205,000

204,167

5.5% 5/1/09 to 3/1/34

158,102

162,519

6% 9/1/17 to 7/1/20

22,475

23,597

6.5% 1/1/13 to 4/1/33

34,666

36,656

6.5% 11/1/19 (b)

1,492

1,582

6.5% 11/1/34 (b)

4,587

4,822

7% 7/1/13 to 6/1/32

5,379

5,735

7.5% 8/1/10 to 10/1/15

371

394

8% 1/1/22

131

140

8.5% 1/1/15 to 4/1/16

1,218

1,313

9% 5/1/14

1,046

1,138

9.5% 11/15/09 to 10/1/20

1,872

2,085

10% 8/1/10

43

46

11% 3/1/10

9

10

11.5% 6/15/19 to 1/15/21

3,002

3,415

562,437

Freddie Mac - 0.3%

5% 1/1/09 to 8/1/33

10,157

10,178

7% 4/1/11

6

6

7.5% 7/1/10 to 5/1/16

3,694

3,938

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Freddie Mac - continued

8% 1/1/10 to 6/1/11

$92

$96

8.5% 8/1/08 to 12/1/25

355

381

9% 8/1/09 to 12/1/10

139

148

9.75% 8/1/14

306

340

15,087

Government National Mortgage Association - 0.3%

6% 7/15/08 to 12/15/10

7,971

8,349

6.5% 5/15/28 to 11/15/32

2,447

2,589

7% 10/15/26 to 8/15/32

134

143

7.5% 3/15/28 to 8/15/28

188

202

8% 11/15/06 to 12/15/23

1,913

2,105

8.5% 10/15/08 to 2/15/31

142

151

9.5% 2/15/25

2

2

13,541

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $585,849)

591,065

Collateralized Mortgage Obligations - 6.5%

U.S. Government Agency - 6.5%

Fannie Mae:

planned amortization class:

Series 1993-109 Class NZ, 6% 7/25/08

7,888

8,087

Series 1993-160 Class PK, 6.5% 11/25/22

5,862

5,910

Series 1993-207 Class H, 6.5% 11/25/23

18,360

19,760

Series 1994-23 Class PG, 6% 4/25/23

9,565

9,912

Series 1994-27 Class PJ, 6.5% 6/25/23

5,948

6,077

Series 1994-50 Class PJ, 6.5% 8/25/23

17,000

17,672

Series 1996-28 Class PK, 6.5% 7/25/25

3,430

3,681

sequential pay Series 1997-41 Class J, 7.5% 6/18/27

7,029

7,290

Fannie Mae guaranteed REMIC pass thru certificates:

planned amortization class:

Series 2002-25 Class PD, 6.5% 3/25/31

35,000

35,870

Series 2002-8 Class PD, 6.5% 7/25/30

6,797

6,897

sequential pay Series 2001-15 Class VA, 6% 6/25/10

228

228

Series 2002-50 Class LE, 7% 12/25/29

1,699

1,731

Series 2004-21 Class ZJ, 5.5% 6/25/32

321

321

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Freddie Mac:

planned amortization class:

Series 1413 Class J, 4% 11/15/07

$3,756

$3,777

Series 2351 Class PX, 6.5% 7/15/30

604

610

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

2,023

2,066

Freddie Mac Manufactured Housing participation certificates guaranteed:

planned amortization class Series 1681 Class PJ, 7% 12/15/23

9,200

9,743

Series 1560 Class PN, 7% 12/15/12

14,601

15,353

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Class 2325 Class PL, 7% 1/15/31

7,258

7,437

Series 1614 Class L, 6.5% 7/15/23

8,138

8,566

Series 1727 Class H, 6.5% 8/15/23

12,200

12,497

Series 2368 Class PQ, 6.5% 8/15/30

1,010

1,014

Series 2435 Class GD, 6.5% 2/15/30

1,841

1,849

Series 2461 Class PG, 6.5% 1/15/31

5,522

5,571

Series 2473 Class JB, 5.5% 2/15/29

978

980

Series 2557 Class MA, 4.5% 7/15/16

1,642

1,651

Series 2690 Class TB, 4.5% 12/15/17

8,366

8,510

Series 2763 Class PD, 4.5% 12/15/17

10,150

10,143

Series 2770 Class UD, 4.5% 5/15/17

15,620

15,584

Series 2831 Class PB, 5% 7/15/19

4,945

5,010

sequential pay:

Series 2445 Class BD, 6.5% 6/15/30

250

251

Series 2448 Class XB, 6.5% 10/15/29

6,172

6,192

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

152

152

Series 2750 Class CZ, 5% 11/15/32

458

458

Series 2769 Class BU, 5% 3/15/34

10,217

10,212

Series 2807 Class TZ, 6% 12/15/31

169

169

Series 2885 Class PC, 4.5% 4/15/14 (b)

6,515

6,615

target amortization class Series 2156 Class TC, 6.25% 5/15/29

13,000

13,546

Ginnie Mae guaranteed REMIC pass thru securities planned amortization class:

Series 1997-8 Class PE, 7.5% 5/16/27

12,157

12,775

Series 2001-53 Class TA, 6% 12/20/30

1,415

1,428

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $284,181)

285,595

Cash Equivalents - 21.1%

Maturity Amount (000s)

Value
(000s)

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 1.87%, dated 10/29/04 due 11/1/04)
(Cost $929,022) (c)(d)

$929,167

$929,022

TOTAL INVESTMENT PORTFOLIO - 115.2%

(Cost $5,018,803)

5,073,220

NET OTHER ASSETS - (15.2)%

(668,913)

NET ASSETS - 100%

$4,404,307

Swap Agreements

Expiration Date

Notional Amount (000s)

Interest Rate Swap

Receive quarterly a fixed rate equal to 3.0037% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

Feb. 2007

$68,735

$40

Legend

(a)Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $12,141,000 or 0.3% of net assets.

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

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

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

Repurchase Agreement/
Counterparty

Value
(000's)

$929,022,000 due 11/1/04 at 1.87%

Banc of America Securities LLC.

$341,224

Bank of America, National Association

91,604

Bear Stearns & Co. Inc.

43,512

Countrywide Securities Corporation

20,611

Credit Suisse First Boston LLC

22,901

Goldman, Sachs & Co.

91,604

Greenwich Capital Markets, Inc.

45,802

J.P. Morgan Securities, Inc.

45,802

Morgan Stanley & Co. Incorporated.

68,703

Societe Generale, New York Branch

11,450

UBS Securities LLC

113,748

WestLB AG

32,061

$929,022

Income Tax Information

At October 31, 2004, the aggregate cost of investment securities for income tax purposes was $5,023,044,000. Net unrealized appreciation aggregated $50,176,000, of which $61,104,000 related to appreciated investment securities and $10,928,000 related to depreciated investment securities.

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Intermediate Government
Income Fund

October 31, 2004

SLM-QTLY-1204

1.809098.100

Investments October 31, 2004 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 83.2%

Principal Amount (000s)

Value
(000s)

U.S. Government Agency Obligations - 49.4%

Fannie Mae:

2.375% 12/15/05

$20,000

$19,979

2.5% 6/15/06

7,375

7,357

2.625% 11/15/06

11,930

11,890

3.25% 1/15/08

11,570

11,596

4.625% 10/15/14

20,000

20,158

5.125% 1/2/14

16,000

16,439

5.5% 3/15/11

33,295

36,108

6% 5/15/11

55,860

62,170

6.25% 2/1/11

1,285

1,427

Farm Credit Systems Financial Assistance Corp. 8.8% 6/10/05

7,000

7,274

Federal Farm Credit Bank 9.15% 2/14/05

500

510

Federal Home Loan Bank:

5.8% 9/2/08

16,625

18,050

6.75% 4/10/06

1,000

1,059

Freddie Mac:

2.375% 4/15/06

67,125

66,906

2.75% 10/15/06

28,780

28,760

2.875% 12/15/06

40,070

40,106

3.625% 9/15/08

17,391

17,579

4.375% 2/4/10

27,660

27,744

5.5% 9/15/11

1,000

1,085

5.875% 3/21/11

1,075

1,175

Government Loan Trusts (assets of Trust guaranteed by U.S. Government through Agency for International Development) Series 1-B, 8.5% 4/1/06

3,023

3,198

Guaranteed Export Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank):

Series 1993-D, 5.23% 5/15/05

110

111

Series 1994-F, 8.187% 12/15/04

55

55

Guaranteed Trade Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank):

Series 1994-A, 7.39% 6/26/06

2,000

2,122

Series 1994-B, 7.5% 1/26/06

168

177

Overseas Private Investment Corp. U.S. Government guaranteed participation certificates Series 1996-A1, 6.726% 9/15/10

2,087

2,322

Private Export Funding Corp. secured:

5.66% 9/15/11 (b)

9,000

9,791

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency Obligations - continued

Private Export Funding Corp. secured: - continued

5.685% 5/15/12

$7,180

$7,851

Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24

920

950

State of Israel (guaranteed by U.S. Government through Agency for International Development):

5.89% 8/15/05

5,815

5,943

6.6% 2/15/08

18,370

19,384

6.8% 2/15/12

7,500

8,458

U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A:

5.75% 8/1/06

10,000

10,527

6.06% 8/1/10

10,000

10,754

U.S. Trade Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank) 8.17% 1/15/07

1,608

1,697

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

480,712

U.S. Treasury Inflation Protected Obligations - 2.2%

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

20,511

21,261

U.S. Treasury Obligations - 31.6%

U.S. Treasury Notes:

2.75% 7/31/06

21,650

21,751

3.25% 1/15/09

14,000

14,061

3.625% 7/15/09

88,985

90,407

3.875% 5/15/09

18,000

18,506

4.75% 5/15/14

23,950

25,323

5.625% 5/15/08

125,116

136,244

5.75% 8/15/10

1,000

1,118

TOTAL U.S. TREASURY OBLIGATIONS

307,410

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $798,469)

809,383

U.S. Government Agency - Mortgage Securities - 6.9%

Principal Amount (000s)

Value
(000s)

Fannie Mae - 5.6%

4% 11/1/19 (c)

$20,000

$19,625

5.5% 1/1/09 to 11/1/17

9,062

9,403

6% 10/1/08 to 11/1/17

5,703

5,990

6.5% 4/1/16 to 4/1/33

8,951

9,455

6.5% 11/1/19 (c)

4,839

5,132

6.5% 11/1/34 (c)

81

85

7% 7/1/10 to 9/1/31

1,066

1,131

9% 2/1/13

334

367

9.5% 11/15/09

443

485

10.25% 10/1/09 to 10/1/18

46

51

11% 8/1/10 to 1/1/16

820

924

11.25% 5/1/14 to 1/1/16

102

115

11.5% 9/1/11 to 6/15/19

534

606

12.25% 7/1/12 to 9/1/13

65

73

12.5% 3/1/12 to 7/1/16

437

498

12.75% 10/1/11 to 6/1/15

236

272

13% 7/1/13 to 7/1/15

187

214

13.25% 9/1/11

151

177

13.5% 11/1/14 to 12/1/14

19

22

14.5% 7/1/14

16

19

15% 4/1/12

5

5

54,649

Freddie Mac - 1.0%

5% 11/1/33

2,899

2,898

6.5% 5/1/08

180

190

8.5% 6/1/14 to 6/1/17

230

241

9% 11/1/09 to 8/1/16

99

106

9.5% 7/1/16 to 8/1/21

766

856

10% 7/1/09 to 3/1/21

1,475

1,632

10.5% 9/1/09 to 5/1/21

195

217

11% 2/1/11 to 9/1/20

97

109

11.25% 2/1/10 to 10/1/14

165

184

11.5% 10/1/15 to 8/1/19

173

196

11.75% 11/1/11 to 7/1/15

25

28

12% 10/1/09 to 11/1/19

295

332

12.25% 8/1/11 to 8/1/15

171

194

12.5% 10/1/09 to 6/1/19

1,632

1,856

12.75% 2/1/10 to 10/1/10

15

17

13% 9/1/10 to 5/1/17

261

299

13.25% 11/1/10 to 12/1/14

54

62

13.5% 11/1/10 to 12/1/13

90

102

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Freddie Mac - continued

14% 11/1/12 to 4/1/16

$11

$13

14.5% 12/1/10

2

3

14.75% 3/1/10

4

4

16.25% 7/1/11

2

2

9,541

Government National Mortgage Association - 0.3%

8% 9/15/06 to 12/15/23

1,107

1,211

8.5% 6/15/16 to 2/15/17

14

16

10.5% 9/15/15 to 10/15/21

1,421

1,606

10.75% 12/15/09 to 3/15/10

27

29

11% 7/20/15 to 1/20/21

77

87

12.5% 12/15/10

2

3

13% 1/15/11 to 3/15/14

153

176

13.25% 8/15/14

12

14

13.5% 5/15/10 to 12/15/14

104

120

14% 6/15/11

9

10

16% 4/15/13

28

33

17% 12/15/11

3

3

3,308

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $65,812)

67,498

Collateralized Mortgage Obligations - 5.5%

U.S. Government Agency - 5.5%

Fannie Mae:

floater Series 1994-42 Class FK, 3.75% 4/25/24 (d)

7,000

7,074

planned amortization class:

Series 1988-21 Class G, 9.5% 8/25/18

178

203

Series 1994-12 Class PH, 6.25% 1/25/09

2,753

2,867

sequential pay Series 1993-238 Class C, 6.5% 12/25/08

11,275

11,699

Fannie Mae guaranteed REMIC pass thru certificates:

floater Series 2002-74 Class FV, 2.3825% 11/25/32 (d)

8,149

8,204

Series 2002-50 Class LE, 7% 12/25/29

454

463

Series 2004-21 Class ZJ, 5.5% 6/25/32

83

83

Freddie Mac Multi-class participation certificates guaranteed:

floater Series 2526 Class FC, 2.27% 11/15/32 (d)

3,470

3,486

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

Series 1543 Class VK, 6.7% 1/15/23

$5,844

$5,975

Series 2473 Class JB, 5.5% 2/15/29

373

373

Series 2707 Class QD, 4.5% 5/15/17

3,565

3,563

sequential pay Series 1929 Class EZ, 7.5% 2/17/27

5,546

5,942

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

41

41

Series 2769 Class BU, 5% 3/15/34

2,495

2,493

Series 2807 Class TZ, 6% 12/15/31

38

38

Ginnie Mae guaranteed REMIC pass thru securities planned amortization class Series 2001-53 Class TA, 6% 12/20/30

551

557

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $53,294)

53,061

Cash Equivalents - 7.4%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 1.87%, dated 10/29/04 due 11/1/04) (a)
(Cost $71,855)

$71,866

71,855

TOTAL INVESTMENT PORTFOLIO - 103.0%

(Cost $989,430)

1,001,797

NET OTHER ASSETS - (3.0)%

(28,994)

NET ASSETS - 100%

$972,803

Swap Agreements

Expiration Date

Notional Amount (000s)

Value
(000s)

Interest Rate Swap

Receive quarterly a fixed rate equal to 3.0037% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

Feb. 2007

$18,045

$10

Legend

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

(b)Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $9,791,000 or 1.0% of net assets.

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

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

Income Tax Information

At October 31, 2004, the aggregate cost of investment securities for income tax purposes was $989,947,000. Net unrealized appreciation aggregated $11,850,000, of which $13,297,000 related to appreciated investment securities and $1,447,000 related to depreciated investment securities.

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Total Bond Fund

October 31, 2004

TBD-QTLY-1204

1.809092.100

Investments October 31, 2004 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 30.8%

Principal Amount

Value

CONSUMER DISCRETIONARY - 5.3%

Auto Components - 0.4%

DaimlerChrysler NA Holding Corp.:

4.75% 1/15/08

$200,000

$206,052

7.2% 9/1/09

1,000,000

1,127,457

EaglePicher, Inc. 9.75% 9/1/13

20,000

20,200

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

87,000

100,485

Visteon Corp. 7% 3/10/14

80,000

74,600

1,528,794

Automobiles - 0.7%

Ford Motor Co.:

6.625% 10/1/28

125,000

112,786

7.45% 7/16/31

620,000

603,809

General Motors Corp.:

7.2% 1/15/11

500,000

526,710

8.375% 7/15/33

1,000,000

1,040,587

2,283,892

Hotels, Restaurants & Leisure - 0.9%

Argosy Gaming Co. 7% 1/15/14

80,000

84,800

Bally Total Fitness Holding Corp.:

9.875% 10/15/07

15,000

12,675

10.5% 7/15/11

120,000

117,000

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

70,000

66,500

Gaylord Entertainment Co. 8% 11/15/13

160,000

173,600

Herbst Gaming, Inc. 8.125% 6/1/12 (e)

70,000

73,500

HMH Properties, Inc. 7.875% 8/1/08

101,000

104,030

Host Marriott LP 7.125% 11/1/13

35,000

37,713

MGM MIRAGE:

6% 10/1/09

20,000

20,650

6% 10/1/09 (e)

30,000

30,975

8.375% 2/1/11

40,000

45,100

Mohegan Tribal Gaming Authority 7.125% 8/15/14 (e)

40,000

42,600

Morton's Restaurant Group, Inc. 7.5% 7/1/10

65,000

62,400

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

135,000

147,150

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

80,000

83,200

Park Place Entertainment Corp. 7.875% 12/15/05

50,000

53,188

Penn National Gaming, Inc.:

6.875% 12/1/11

80,000

82,800

8.875% 3/15/10

100,000

110,375

Premier Entertainment Biloxi LLC 10.75% 2/1/12

20,000

21,500

Nonconvertible Bonds - continued

Principal Amount

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Resorts International Hotel & Casino, Inc. 11.5% 3/15/09

$225,000

$257,625

Seneca Gaming Corp. 7.25% 5/1/12

50,000

52,625

Six Flags, Inc.:

9.5% 2/1/09

180,000

180,450

9.625% 6/1/14

100,000

95,000

Speedway Motorsports, Inc. 6.75% 6/1/13

100,000

105,000

Station Casinos, Inc.:

6% 4/1/12

70,000

72,975

6.5% 2/1/14

40,000

42,200

6.875% 3/1/16

100,000

106,250

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

325,000

356,688

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

20,000

21,000

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

100,000

115,500

Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (e)

8,000

8,560

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

160,000

170,400

Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp. 12% 11/1/10

167,000

206,245

3,160,274

Household Durables - 0.1%

Champion Enterprises, Inc. 7.625% 5/15/09

70,000

70,000

D.R. Horton, Inc. 8.5% 4/15/12

30,000

33,900

K. Hovnanian Enterprises, Inc.:

6.5% 1/15/14

100,000

102,000

8.875% 4/1/12

10,000

11,150

Sealy Mattress Co. 8.25% 6/15/14

50,000

53,125

WCI Communities, Inc. 9.125% 5/1/12

35,000

38,938

William Lyon Homes, Inc. 10.75% 4/1/13

110,000

124,850

433,963

Media - 2.9%

Advertising Directory Solutions Holdings, Inc. 9.25% 11/15/12 (e)

50,000

52,188

AMC Entertainment, Inc.:

8% 3/1/14 (e)

220,000

212,300

8.625% 8/15/12 (e)

60,000

65,400

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

2,000,000

2,369,620

Nonconvertible Bonds - continued

Principal Amount

Value

CONSUMER DISCRETIONARY - continued

Media - continued

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

$1,000,000

$1,171,697

Cablevision Systems Corp.:

6.6688% 4/1/09 (e)(g)

40,000

42,000

8% 4/15/12 (e)

180,000

192,150

Carmike Cinemas, Inc. 7.5% 2/15/14

60,000

61,500

Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8.375% 4/30/14 (e)

70,000

70,613

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

100,000

70,500

Comcast Corp. 5.85% 1/15/10

500,000

537,758

Cox Communications, Inc.:

4.625% 6/1/13

90,000

85,793

7.125% 10/1/12

970,000

1,091,017

CSC Holdings, Inc.:

6.75% 4/15/12 (e)

160,000

165,200

7.875% 2/15/18

50,000

54,000

Dex Media, Inc.:

0% 11/15/13 (c)

100,000

75,251

8% 11/15/13

10,000

10,700

EchoStar DBS Corp.:

6.375% 10/1/11

150,000

155,625

9.125% 1/15/09

72,000

79,920

Granite Broadcasting Corp. 9.75% 12/1/10

40,000

36,900

Houghton Mifflin Co. 9.875% 2/1/13

70,000

75,600

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

160,000

177,800

Liberty Media Corp. 8.25% 2/1/30

1,100,000

1,256,618

LodgeNet Entertainment Corp. 9.5% 6/15/13

130,000

142,025

Loews Cineplex Entertainment Corp. 9% 8/1/14 (e)

100,000

104,750

Medianews Group, Inc. 6.375% 4/1/14

200,000

197,000

Nexstar Broadcasting, Inc. 7% 1/15/14

130,000

127,400

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

130,000

137,150

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

11,000

12,760

PRIMEDIA, Inc.:

7.625% 4/1/08

130,000

130,650

8.875% 5/15/11

25,000

26,125

Radio One, Inc. 8.875% 7/1/11

100,000

110,500

Rainbow National LLC & RNS Co. Corp.:

8.75% 9/1/12 (e)

30,000

32,100

Nonconvertible Bonds - continued

Principal Amount

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Rainbow National LLC & RNS Co. Corp.: - continued

10.375% 9/1/14 (e)

$30,000

$32,700

Spanish Broadcasting System, Inc. 9.625% 11/1/09

45,000

47,363

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

70,000

72,625

TV Azteca SA de CV:

euro 10.5% 2/15/07 (Reg. S)

160,000

163,000

yankee 10.5% 2/15/07

5,000

5,094

Walt Disney Co. 6.375% 3/1/12

700,000

779,789

10,231,181

Multiline Retail - 0.1%

Barneys, Inc. 9% 4/1/08

20,000

20,800

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

175,000

176,806

197,606

Specialty Retail - 0.2%

Asbury Automotive Group, Inc.:

8% 3/15/14

60,000

58,800

9% 6/15/12

15,000

15,825

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

70,000

71,750

Boise Cascade Corp. 7.5% 2/1/08

40,000

44,641

General Nutrition Centers, Inc. 8.5% 12/1/10

20,000

20,250

Hollywood Entertainment Corp. 9.625% 3/15/11

50,000

56,375

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

90,000

92,700

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

50,000

52,875

Toys 'R' US, Inc. 7.875% 4/15/13

20,000

20,100

United Auto Group, Inc. 9.625% 3/15/12

50,000

55,625

488,941

Textiles Apparel & Luxury Goods - 0.0%

Levi Strauss & Co.:

7% 11/1/06

10,000

9,750

11.625% 1/15/08

10,000

10,200

12.25% 12/15/12

65,000

66,950

86,900

TOTAL CONSUMER DISCRETIONARY

18,411,551

CONSUMER STAPLES - 1.4%

Food & Staples Retailing - 0.5%

Ahold Finance USA, Inc.:

6.25% 5/1/09

40,000

41,800

Nonconvertible Bonds - continued

Principal Amount

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Ahold Finance USA, Inc.: - continued

6.875% 5/1/29

$170,000

$167,450

8.25% 7/15/10

40,000

45,600

Jean Coutu Group, Inc.:

7.625% 8/1/12 (e)

30,000

31,725

8.5% 8/1/14 (e)

60,000

61,200

Pathmark Stores, Inc. 8.75% 2/1/12

100,000

92,000

Rite Aid Corp.:

6% 12/15/05 (e)

20,000

20,150

7.625% 4/15/05

15,000

15,188

Safeway, Inc. 6.5% 3/1/11

1,145,000

1,264,898

Stater Brothers Holdings, Inc. 8.125% 6/15/12

80,000

85,200

The Great Atlantic & Pacific Tea Co. 7.75% 4/15/07

45,000

42,413

1,867,624

Food Products - 0.4%

B&G Foods, Inc. 8% 10/1/11

40,000

42,000

Cadbury Schweppes U.S. Finance LLC:

3.875% 10/1/08 (e)

90,000

90,631

5.125% 10/1/13 (e)

1,060,000

1,082,381

Del Monte Corp. 9.25% 5/15/11

50,000

55,250

Doane Pet Care Co.:

9.75% 5/15/07

50,000

49,750

10.75% 3/1/10

125,000

134,375

Pierre Foods, Inc. 9.875% 7/15/12 (e)

40,000

40,600

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

30,000

31,650

1,526,637

Household Products - 0.1%

Fort James Corp. 6.875% 9/15/07

150,000

160,125

Personal Products - 0.0%

Elizabeth Arden, Inc. 7.75% 1/15/14

20,000

21,100

Tobacco - 0.4%

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

1,240,000

1,305,868

TOTAL CONSUMER STAPLES

4,881,354

ENERGY - 1.7%

Energy Equipment & Services - 0.1%

Cooper Cameron Corp. 2.65% 4/15/07

340,000

334,116

Grant Prideco, Inc. 9% 12/15/09

10,000

11,250

Nonconvertible Bonds - continued

Principal Amount

Value

ENERGY - continued

Energy Equipment & Services - continued

Hanover Compressor Co.:

8.625% 12/15/10

$20,000

$22,000

9% 6/1/14

50,000

55,750

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

5,000

5,765

Universal Compression, Inc. 7.25% 5/15/10

40,000

42,800

471,681

Oil & Gas - 1.6%

Amerada Hess Corp.:

6.65% 8/15/11

70,000

78,220

7.125% 3/15/33

185,000

204,773

7.375% 10/1/09

160,000

182,020

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

490,000

500,645

Chesapeake Energy Corp.:

6.875% 1/15/16

50,000

53,500

7.75% 1/15/15

30,000

33,000

8.375% 11/1/08

50,000

54,500

El Paso Energy Corp.:

7.375% 12/15/12

5,000

5,019

7.75% 1/15/32

15,000

13,819

8.05% 10/15/30

95,000

88,825

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

140,000

145,600

EnCana Corp. 6.5% 8/15/34

155,000

168,764

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

240,000

258,337

Enterprise Products Operating LP:

4.625% 10/15/09 (e)

125,000

126,288

5.6% 10/15/14 (e)

90,000

91,712

EXCO Resources, Inc. 7.25% 1/15/11

30,000

32,025

General Maritime Corp. 10% 3/15/13

310,000

356,500

Giant Industries, Inc. 8% 5/15/14

130,000

135,525

Hurricane Finance BV 9.625% 2/12/10 (e)

50,000

55,250

Markwest Energy Partners LP/ Markwest Energy Finance Corp. 6.875% 11/1/14 (e)

20,000

20,450

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

90,000

96,300

OAO Gazprom 9.625% 3/1/13

220,000

251,636

Overseas Shipholding Group, Inc.:

7.5% 2/15/24

55,000

55,550

8.25% 3/15/13

40,000

44,800

Pan American Energy LLC 7.125% 10/27/09 (e)

30,000

30,075

Pecom Energia SA 9% 5/1/09 (Reg. S)

95,000

99,988

Nonconvertible Bonds - continued

Principal Amount

Value

ENERGY - continued

Oil & Gas - continued

Pemex Project Funding Master Trust:

6.125% 8/15/08

$250,000

$265,000

7.375% 12/15/14

500,000

554,000

Petrobras Energia SA 9.375% 10/30/13

50,000

51,625

Range Resources Corp. 7.375% 7/15/13

40,000

42,400

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

330,000

334,950

Teekay Shipping Corp. 8.875% 7/15/11

30,000

34,500

The Coastal Corp.:

6.375% 2/1/09

5,000

4,931

6.5% 5/15/06

65,000

66,544

6.5% 6/1/08

100,000

100,000

7.5% 8/15/06

50,000

52,188

7.75% 6/15/10

200,000

207,000

Williams Companies, Inc.:

7.125% 9/1/11

5,000

5,600

7.625% 7/15/19

30,000

33,750

7.875% 9/1/21

35,000

39,769

8.125% 3/15/12

30,000

35,100

8.75% 3/15/32

165,000

187,275

YPF SA yankee 9.125% 2/24/09

185,000

205,813

5,403,566

TOTAL ENERGY

5,875,247

FINANCIALS - 9.0%

Capital Markets - 1.7%

Bank of New York Co., Inc.:

3.4% 3/15/13 (g)

100,000

98,217

4.25% 9/4/12 (g)

205,000

207,614

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

170,000

189,125

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

440,000

455,214

E*TRADE Financial Corp. 8% 6/15/11 (e)

130,000

136,825

Equinox Holdings Ltd. 9% 12/15/09

20,000

20,800

Franklin Resources, Inc. 3.7% 4/15/08

1,135,000

1,142,269

Goldman Sachs Group, Inc.:

5.7% 9/1/12

1,100,000

1,171,647

6.6% 1/15/12

500,000

561,743

Legg Mason, Inc. 6.75% 7/2/08

30,000

33,117

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley:

4.75% 4/1/14

$720,000

$705,335

6.6% 4/1/12

1,100,000

1,239,757

5,961,663

Commercial Banks - 1.6%

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

1,000,000

1,171,586

Corporacion Andina de Fomento 5.2% 5/21/13

35,000

35,557

Export-Import Bank of Korea:

4.125% 2/10/09 (e)

140,000

141,386

5.25% 2/10/14 (e)

515,000

533,736

Korea Development Bank:

3.875% 3/2/09

685,000

685,107

4.75% 7/20/09

320,000

330,617

5.75% 9/10/13

265,000

286,759

National Westminster Bank PLC yankee 7.375% 10/1/09

1,500,000

1,736,496

Wachovia Corp. 4.875% 2/15/14

600,000

604,191

Western Financial Bank 9.625% 5/15/12

15,000

17,100

5,542,535

Consumer Finance - 1.3%

American General Finance Corp. 4% 3/15/11

655,000

639,642

AmeriCredit Corp. 9.25% 5/1/09

65,000

68,900

Capital One Bank:

4.875% 5/15/08

1,075,000

1,116,311

6.5% 6/13/13

1,090,000

1,196,972

Ford Motor Credit Co.:

7% 10/1/13

500,000

528,027

7.875% 6/15/10

250,000

277,414

General Motors Acceptance Corp. 6.875% 9/15/11

525,000

546,517

Household Finance Corp.:

4.75% 5/15/09

100,000

103,776

6.375% 11/27/12

30,000

33,491

6.75% 5/15/11

40,000

45,246

4,556,296

Diversified Financial Services - 2.1%

BRL Universal Equipment 2001 A LP/BRL Universal Equipment Corp. 8.875% 2/15/08

30,000

31,838

CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13

70,000

69,773

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Diversified Financial Services - continued

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

$50,000

$52,250

Charter Communications Holding II LLC/Charter Communications Holdings II Capital Corp. 10.25% 9/15/10

115,000

119,313

CMS Energy X-TRAS pass thru trust certificates 7% 1/15/05

10,000

10,038

Crystal US Holding 3LLC/Crystal US Sub 3Corp.
Series B, 0% 10/1/14 (c)(e)

150,000

94,125

Entercom Radio LLC/Entercom Capital, Inc. 7.625% 3/1/14

50,000

54,000

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

205,000

236,775

Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12

30,000

32,550

Graham Packaging Co. LP/ GPC Capital Corp.:

8.5% 10/15/12 (e)

50,000

52,750

9.875% 10/15/14 (e)

50,000

53,000

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

190,000

202,232

Hutchison Whampoa International 03/33 Ltd.:

6.25% 1/24/14 (e)

1,720,000

1,785,833

7.45% 11/24/33 (e)

300,000

313,772

Ispat Inland ULC 9.75% 4/1/14

70,000

85,050

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

1,475,000

1,476,435

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

40,000

41,400

Marquee Holdings, Inc. 0% 8/15/14 (c)(e)

80,000

48,800

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

1,400,000

1,456,769

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

40,000

42,200

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

10,000

11,000

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

120,000

123,000

Norcraft Holdings LP/Norcraft Capital Corp. 0% 9/1/12 (c)(e)

70,000

51,450

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

20,000

20,600

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

125,000

116,875

UGS Corp. 10% 6/1/12 (e)

30,000

33,038

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

385,000

448,525

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Diversified Financial Services - continued

WH Holdings Ltd./WH Capital Corp. 9.5% 4/1/11

$30,000

$33,000

Williams Companies, Inc. Credit Linked Certificate Trust 6.75% 4/15/09 (e)

215,000

230,050

7,326,441

Insurance - 0.3%

Aegon NV 4.75% 6/1/13

500,000

499,285

Marsh & McLennan Companies, Inc. 7.125% 6/15/09

589,000

637,720

Travelers Property Casualty Corp.:

5% 3/15/13

25,000

24,857

6.375% 3/15/33

35,000

36,000

1,197,862

Real Estate - 1.3%

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

85,000

89,675

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

500,000

543,985

Camden Property Trust 5.875% 11/30/12

200,000

212,135

CarrAmerica Realty Corp. 5.25% 11/30/07

200,000

208,707

CB Richard Ellis Services, Inc. 9.75% 5/15/10

10,000

11,400

Dominion Resources, Inc. 5.125% 12/15/09

500,000

522,478

EOP Operating LP:

4.65% 10/1/10

595,000

604,313

4.75% 3/15/14

600,000

583,340

7% 7/15/11

500,000

566,710

Gables Realty LP 5.75% 7/15/07

585,000

613,240

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

435,000

424,644

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

50,000

53,625

MeriStar Hospitality Corp. 8.75% 8/15/07

50,000

50,875

MeriStar Hospitality Operating Partnership LP/MeriStar Hospitality Finance Corp. II 10.5% 6/15/09

100,000

110,250

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

70,000

71,663

Senior Housing Properties Trust 7.875% 4/15/15

20,000

22,100

4,689,140

Thrifts & Mortgage Finance - 0.7%

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

720,000

701,532

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

275,000

268,111

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Washington Mutual, Inc.:

4.375% 1/15/08

$1,200,000

$1,231,332

4.625% 4/1/14

100,000

96,335

2,297,310

TOTAL FINANCIALS

31,571,247

HEALTH CARE - 0.4%

Health Care Equipment & Supplies - 0.1%

Fisher Scientific International, Inc. 8% 9/1/13

125,000

140,000

Medical Device Manufacturing, Inc. 10% 7/15/12 (e)

50,000

53,500

PerkinElmer, Inc. 8.875% 1/15/13

20,000

22,750

216,250

Health Care Providers & Services - 0.3%

AmeriPath, Inc. 10.5% 4/1/13

80,000

78,400

Beverly Enterprises, Inc. 7.875% 6/15/14 (e)

70,000

74,900

Concentra Operating Corp.:

9.125% 6/1/12 (e)

10,000

11,050

9.5% 8/15/10

110,000

122,100

HealthSouth Corp. 8.5% 2/1/08

85,000

86,700

IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14 (e)

100,000

106,750

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

30,000

34,050

National Nephrology Associates, Inc. 9% 11/1/11 (e)

20,000

23,100

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

105,000

120,225

Tenet Healthcare Corp.:

6.375% 12/1/11

75,000

68,250

6.5% 6/1/12

15,000

13,538

7.375% 2/1/13

75,000

70,125

U.S. Oncology, Inc.:

9% 8/15/12 (e)

30,000

32,400

10.75% 8/15/14 (e)

80,000

87,200

928,788

Pharmaceuticals - 0.0%

Biovail Corp. yankee 7.875% 4/1/10

105,000

109,725

Leiner Health Products, Inc. 11% 6/1/12

20,000

21,675

Nonconvertible Bonds - continued

Principal Amount

Value

HEALTH CARE - continued

Pharmaceuticals - continued

VWR International, Inc.:

6.875% 4/15/12 (e)

$30,000

$31,350

8% 4/15/14 (e)

30,000

32,100

194,850

TOTAL HEALTH CARE

1,339,888

INDUSTRIALS - 1.4%

Aerospace & Defense - 0.7%

BE Aerospace, Inc.:

8.5% 10/1/10

100,000

109,500

9.5% 11/1/08

55,000

56,925

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

340,000

304,973

Orbital Sciences Corp. 9% 7/15/11

135,000

151,200

Raytheon Co. 5.5% 11/15/12

1,550,000

1,642,211

2,264,809

Airlines - 0.3%

American Airlines, Inc. pass thru trust certificates:

6.817% 5/23/11

50,000

44,750

6.977% 11/23/22

11,499

10,234

7.377% 5/23/19

51,886

28,018

7.379% 5/23/16

53,179

28,717

7.8% 4/1/08

65,000

54,600

AMR Corp. 9% 8/1/12

85,000

50,150

Continental Airlines, Inc. pass thru trust certificates:

6.748% 9/15/18

3,872

2,943

6.9% 7/2/18

4,746

3,560

7.73% 9/15/12

4,680

3,183

8.321% 11/1/06

5,000

4,650

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

50,000

23,000

Delta Air Lines, Inc. pass thru trust certificates:

7.299% 9/18/06

15,000

9,750

7.57% 11/18/10

705,000

667,892

7.779% 11/18/05

50,000

35,000

7.779% 1/2/12

25,047

12,273

7.92% 5/18/12

135,000

89,100

Northwest Airlines, Inc.:

7.875% 3/15/08

25,000

16,750

9.875% 3/15/07

60,000

46,200

Nonconvertible Bonds - continued

Principal Amount

Value

INDUSTRIALS - continued

Airlines - continued

Northwest Airlines, Inc. pass thru trust certificates:

7.068% 7/2/17

$8,102

$6,482

7.67% 1/2/15

8,505

6,804

1,144,056

Building Products - 0.0%

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

20,000

22,500

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

100,000

106,000

128,500

Commercial Services & Supplies - 0.1%

Allied Waste North America, Inc.:

5.75% 2/15/11

70,000

64,400

7.875% 4/15/13

20,000

20,350

10% 8/1/09

47,000

49,350

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

140,000

143,360

Cenveo Corp. 7.875% 12/1/13

60,000

58,050

335,510

Construction & Engineering - 0.0%

Blount, Inc. 8.875% 8/1/12

50,000

54,000

Electrical Equipment - 0.0%

General Cable Corp. 9.5% 11/15/10

20,000

22,600

Industrial Conglomerates - 0.0%

North American Energy Partners, Inc. 8.75% 12/1/11

20,000

19,450

Tyco International Group SA yankee 6.375% 2/15/06

20,000

20,879

40,329

Machinery - 0.1%

Cummins, Inc.:

5.65% 3/1/98

15,000

11,250

9.5% 12/1/10 (g)

20,000

23,000

Dresser, Inc. 9.375% 4/15/11

15,000

16,688

Dresser-Rand Group, Inc. 7.375% 11/1/14 (e)

50,000

52,375

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

150,000

156,750

Navistar International Corp. 7.5% 6/15/11

30,000

32,325

Standard Aero Holdings, Inc. 8.25% 9/1/14 (e)

60,000

63,300

Terex Corp. 7.375% 1/15/14

100,000

108,000

463,688

Nonconvertible Bonds - continued

Principal Amount

Value

INDUSTRIALS - continued

Marine - 0.1%

Horizon Lines LLC/Holdings Corp. 9% 11/1/12 (e)

$40,000

$43,600

OMI Corp. 7.625% 12/1/13

95,000

100,225

143,825

Road & Rail - 0.1%

CSX Corp. 7.45% 5/1/07

100,000

109,431

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

100,000

103,000

TFM SA de CV yankee 11.75% 6/15/09

140,000

141,750

354,181

TOTAL INDUSTRIALS

4,951,498

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.3%

Motorola, Inc. 8% 11/1/11

900,000

1,085,491

Northern Telecom Capital Corp. 7.875% 6/15/26

25,000

24,250

Northern Telecom Ltd. yankee 6.875% 9/1/23

30,000

27,750

1,137,491

Electronic Equipment & Instruments - 0.0%

Celestica, Inc. 7.875% 7/1/11

100,000

106,000

IT Services - 0.1%

Iron Mountain, Inc. 6.625% 1/1/16

120,000

118,800

Office Electronics - 0.1%

Xerox Capital Trust I 8% 2/1/27

130,000

129,675

Xerox Corp.:

7.125% 6/15/10

20,000

21,650

7.2% 4/1/16

165,000

174,075

7.625% 6/15/13

60,000

65,625

391,025

Semiconductors & Semiconductor Equipment - 0.0%

Freescale Semiconductor, Inc. 7.125% 7/15/14 (e)

60,000

63,300

Viasystems, Inc. 10.5% 1/15/11

50,000

49,500

112,800

TOTAL INFORMATION TECHNOLOGY

1,866,116

MATERIALS - 2.3%

Chemicals - 0.6%

Berry Plastics Corp. 10.75% 7/15/12

80,000

90,400

Nonconvertible Bonds - continued

Principal Amount

Value

MATERIALS - continued

Chemicals - continued

Borden US Finance Corp./Nova Scotia Finance ULC:

6.82% 7/15/10 (e)(g)

$70,000

$71,050

9% 7/15/14 (e)

70,000

75,425

Braskem SA 12.5% 11/5/08

15,000

16,988

Equistar Chemicals LP:

6.5% 2/15/06

75,000

77,250

7.55% 2/15/26

100,000

95,500

Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11

145,000

166,206

Georgia Gulf Corp. 7.125% 12/15/13

90,000

96,975

Huntsman International LLC 9.875% 3/1/09

115,000

125,638

Innophos, Inc. 8.875% 8/15/14 (e)

30,000

32,250

JohnsonDiversey Holdings, Inc. 0% 5/15/13 (c)

55,000

46,613

Koppers, Inc. 9.875% 10/15/13

50,000

56,500

Lubrizol Corp.:

5.5% 10/1/14

105,000

105,871

6.5% 10/1/34

195,000

196,527

Lyondell Chemical Co.:

9.625% 5/1/07

200,000

219,000

10.875% 5/1/09

55,000

58,438

Millennium America, Inc. 9.25% 6/15/08

230,000

255,875

Nalco Co.:

7.75% 11/15/11

130,000

141,050

8.875% 11/15/13

100,000

109,000

OMNOVA Solutions, Inc. 11.25% 6/1/10

20,000

22,050

Pliant Corp. 0% 6/15/09 (c)

60,000

53,100

Resolution Performance Products LLC/RPP Capital Corp.:

9.5% 4/15/10

70,000

72,975

13.5% 11/15/10

35,000

34,388

Solutia, Inc. 7.375% 10/15/27 (b)

20,000

12,800

2,231,869

Construction Materials - 0.1%

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

200,000

230,000

Containers & Packaging - 0.4%

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

215,000

239,188

BWAY Corp. 10% 10/15/10

105,000

111,038

Crown Cork & Seal, Inc. 8% 4/15/23

105,000

101,850

Crown European Holdings SA 9.5% 3/1/11

35,000

39,638

Graphic Packaging International, Inc.:

8.5% 8/15/11

120,000

134,400

Nonconvertible Bonds - continued

Principal Amount

Value

MATERIALS - continued

Containers & Packaging - continued

Graphic Packaging International, Inc.: - continued

9.5% 8/15/13

$170,000

$195,500

Jefferson Smurfit Corp. U.S.:

7.5% 6/1/13

30,000

32,175

8.25% 10/1/12

110,000

121,825

Owens-Brockway Glass Container, Inc.:

8.25% 5/15/13

15,000

16,125

8.875% 2/15/09

50,000

54,500

Owens-Illinois, Inc.:

7.15% 5/15/05

60,000

61,200

7.35% 5/15/08

50,000

51,625

7.5% 5/15/10

95,000

98,800

7.8% 5/15/18

45,000

44,550

8.1% 5/15/07

110,000

116,600

Sealed Air Corp.:

5.625% 7/15/13 (e)

25,000

25,734

6.875% 7/15/33 (e)

55,000

58,860

Silgan Holdings, Inc. 6.75% 11/15/13

100,000

102,000

1,605,608

Metals & Mining - 0.4%

Arch Western Finance LLC 6.75% 7/1/13

100,000

106,250

California Steel Industries, Inc. 6.125% 3/15/14

40,000

39,100

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

40,000

42,300

Corporacion Nacional del Cobre (Codelco):

5.5% 10/15/13 (e)

165,000

172,136

6.375% 11/30/12 (e)

335,000

371,167

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

75,000

76,406

Foundation Pennsylvania Coal Co. 7.25% 8/1/14 (e)

50,000

53,625

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

75,000

72,750

10.125% 2/1/10

105,000

118,388

IMCO Recycling Escrow, Inc. 9% 11/15/14 (e)

20,000

20,500

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

70,000

74,725

Massey Energy Co. 6.625% 11/15/10

40,000

41,800

Peabody Energy Corp. 6.875% 3/15/13

20,000

21,950

Phelps Dodge Corp. 8.75% 6/1/11

40,000

49,300

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

60,000

59,400

1,319,797

Nonconvertible Bonds - continued

Principal Amount

Value

MATERIALS - continued

Paper & Forest Products - 0.8%

Boise Cascade Corp. 8% 2/24/06

$25,000

$26,446

Boise Cascade LLC/Boise Cascade Finance Corp.:

5.005% 10/15/12 (e)(g)

30,000

30,675

7.125% 10/15/14 (e)

30,000

31,350

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

200,000

221,000

Georgia-Pacific Corp.:

7.375% 12/1/25

15,000

16,388

7.5% 5/15/06

50,000

53,000

7.75% 11/15/29

10,000

10,925

8% 1/15/24

130,000

150,800

8.125% 5/15/11

5,000

5,825

International Paper Co.:

4.25% 1/15/09

95,000

95,868

5.5% 1/15/14

235,000

242,512

Millar Western Forest Products Ltd. 7.75% 11/15/13

120,000

127,800

Norske Skog Canada Ltd. 7.375% 3/1/14

40,000

41,400

Riverside Forest Products Ltd. 7.875% 3/1/14

40,000

42,500

Solo Cup Co. 8.5% 2/15/14

145,000

142,100

Stone Container Corp.:

8.375% 7/1/12

200,000

221,000

9.75% 2/1/11

30,000

33,450

Weyerhaeuser Co.:

5.25% 12/15/09

1,000,000

1,054,354

7.375% 3/15/32

260,000

303,288

2,850,681

TOTAL MATERIALS

8,237,955

TELECOMMUNICATION SERVICES - 5.8%

Diversified Telecommunication Services - 4.1%

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

35,000

37,818

BellSouth Corp. 6.55% 6/15/34

1,800,000

1,924,443

British Telecommunications PLC:

8.375% 12/15/10

190,000

230,557

8.875% 12/15/30

145,000

193,793

Cincinnati Bell, Inc. 8.375% 1/15/14

30,000

28,500

Deutsche Telekom International Finance BV:

5.25% 7/22/13

85,000

87,883

8.5% 6/15/10

305,000

367,452

8.75% 6/15/30

895,000

1,181,010

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

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

$155,000

$172,825

Eschelon Operating Co. 8.375% 3/15/10

70,000

56,000

France Telecom SA 8.75% 3/1/11

815,000

978,835

Koninklijke KPN NV yankee 8% 10/1/10

500,000

598,372

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

280,000

300,336

Level 3 Communications, Inc. 10.5% 12/1/08

255,000

198,900

Level 3 Financing, Inc. 10.75% 10/15/11 (e)

85,000

73,100

MCI, Inc.:

5.908% 5/1/07

36,000

36,000

6.688% 5/1/09

36,000

35,550

New Skies Satellites NV 9.125% 11/1/12 (e)(f)

30,000

30,750

NTL Cable PLC 8.75% 4/15/14 (e)

190,000

209,000

Primus Telecommunications Group, Inc. 8% 1/15/14

90,000

65,250

Qwest Capital Funding, Inc.:

7% 8/3/09

50,000

47,500

7.25% 2/15/11

35,000

32,550

7.625% 8/3/21

20,000

16,600

Qwest Communications International, Inc.:

5.2113% 2/15/09 (e)(g)

40,000

38,900

7.5% 2/15/14 (e)

160,000

152,400

Qwest Services Corp.:

13.5% 12/15/07 (e)

220,000

251,350

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

20,000

23,700

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

110,000

135,300

SBC Communications, Inc.:

6.15% 9/15/34

500,000

505,095

6.45% 6/15/34

400,000

420,461

Sprint Capital Corp.:

7.625% 1/30/11

500,000

584,779

8.375% 3/15/12

1,100,000

1,350,012

Telecom Italia Capital:

4.95% 9/30/14 (e)

415,000

411,809

6% 9/30/34 (e)

500,000

491,442

Telefonica de Argentina SA 9.125% 11/7/10

55,000

56,925

Telefonica Europe BV 7.75% 9/15/10

700,000

829,777

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

80,000

60,200

TELUS Corp. yankee 7.5% 6/1/07

180,000

197,780

U.S. West Communications 6.875% 9/15/33

165,000

140,250

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Verizon Global Funding Corp.:

7.25% 12/1/10

$1,030,000

$1,201,432

7.375% 9/1/12

465,000

552,376

14,307,012

Wireless Telecommunication Services - 1.7%

America Movil SA de CV:

4.125% 3/1/09

285,000

280,494

5.5% 3/1/14

255,000

250,605

American Tower Corp. 7.5% 5/1/12

105,000

109,725

AT&T Wireless Services, Inc.:

7.875% 3/1/11

455,000

542,045

8.75% 3/1/31

1,085,000

1,456,632

Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 (e)

60,000

60,600

Cingular Wireless LLC 7.125% 12/15/31

1,500,000

1,702,491

Crown Castle International Corp.:

Series B, 7.5% 12/1/13

40,000

42,600

7.5% 12/1/13

10,000

10,650

9.375% 8/1/11

65,000

73,775

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

50,000

56,938

Globe Telecom, Inc. 9.75% 4/15/12

55,000

60,225

Inmarsat Finance PLC 7.625% 6/30/12

70,000

70,700

Intelsat Ltd.:

6.5% 11/1/13

30,000

25,575

7.625% 4/15/12

20,000

18,900

Kyivstar GSM 10.375% 8/17/09 (e)

100,000

110,380

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

80,000

80,600

Mobile Telesystems Finance SA:

9.75% 1/30/08 (e)

80,000

86,600

9.75% 1/30/08 (Reg. S)

75,000

81,188

Nextel Communications, Inc. 7.375% 8/1/15

150,000

166,875

Nextel Partners, Inc. 8.125% 7/1/11

85,000

93,075

Rogers Wireless, Inc.:

6.375% 3/1/14

140,000

132,300

9.625% 5/1/11

26,000

29,575

Rural Cellular Corp. 8.25% 3/15/12 (e)

60,000

62,850

Telemig Cellular SA/Amazonia Cellular SA 8.75% 1/20/09 (e)

71,000

71,000

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

UbiquiTel Operating Co. 9.875% 3/1/11

$50,000

$53,875

Western Wireless Corp. 9.25% 7/15/13

175,000

184,188

5,914,461

TOTAL TELECOMMUNICATION SERVICES

20,221,473

UTILITIES - 3.0%

Electric Utilities - 2.0%

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

70,000

71,750

Allegheny Energy Supply Co. LLC:

7.8% 3/15/11

170,000

187,850

8.25% 4/15/12 (e)

90,000

101,925

10.25% 11/15/07 (e)

26,657

30,456

10.25% 11/15/07 (e)(g)

3,339

3,381

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

300,000

313,248

DTE Energy Co.:

6.375% 4/15/33

250,000

257,674

7.05% 6/1/11

50,000

56,825

Duke Capital LLC 6.75% 2/15/32

1,400,000

1,507,722

Exelon Corp. 6.75% 5/1/11

750,000

845,064

FirstEnergy Corp.:

6.45% 11/15/11

25,000

27,392

7.375% 11/15/31

330,000

376,005

Illinois Power Co. 11.5% 12/15/10

55,000

65,175

Nevada Power Co. 6.5% 4/15/12

50,000

52,000

Oncor Electric Delivery Co.:

6.375% 5/1/12

45,000

49,928

6.375% 1/15/15

1,000,000

1,113,045

Pacific Gas & Electric Co.:

4.2% 3/1/11

100,000

99,501

4.8% 3/1/14

135,000

135,203

6.05% 3/1/34

490,000

504,665

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

1,000,000

1,134,118

Southern California Edison Co.:

4.65% 4/1/15

35,000

34,547

5% 1/15/14

30,000

30,734

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

80,000

85,800

7,084,008

Nonconvertible Bonds - continued

Principal Amount

Value

UTILITIES - continued

Gas Utilities - 0.1%

ANR Pipeline, Inc. 9.625% 11/1/21

$100,000

$123,000

El Paso Energy Corp. 6.75% 5/15/09

25,000

25,344

NiSource Finance Corp. 7.875% 11/15/10

100,000

118,703

Sonat, Inc.:

6.625% 2/1/08

20,000

20,100

6.75% 10/1/07

15,000

15,356

6.875% 6/1/05

85,000

86,275

388,778

Multi-Utilities & Unregulated Power - 0.9%

AES Corp.:

8.5% 11/1/07

40,000

40,900

8.75% 6/15/08

2,000

2,203

8.75% 5/15/13 (e)

30,000

34,538

8.875% 2/15/11

282,000

324,653

9% 5/15/15 (e)

30,000

34,875

9.375% 9/15/10

7,000

8,164

9.5% 6/1/09

19,000

21,826

10% 12/12/05 (e)

5,919

6,074

CMS Energy Corp.:

8.5% 4/15/11

45,000

51,131

9.875% 10/15/07

135,000

151,538

Constellation Energy Group, Inc. 7.6% 4/1/32

1,000,000

1,203,805

Dominion Resources, Inc.:

6.25% 6/30/12

500,000

548,349

8.125% 6/15/10

170,000

202,363

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

220,000

241,450

Utilicorp Canada Finance Corp. 7.75% 6/15/11

60,000

62,250

2,934,119

TOTAL UTILITIES

10,406,905

TOTAL NONCONVERTIBLE BONDS

(Cost $103,984,676)

107,763,234

U.S. Government and Government Agency Obligations - 15.5%

U.S. Government Agency Obligations - 4.7%

Fannie Mae:

4.375% 7/17/13

2,205,000

2,154,907

U.S. Government and Government Agency Obligations - continued

Principal Amount

Value

U.S. Government Agency Obligations - continued

Fannie Mae: - continued

4.625% 10/15/13

$3,000,000

$3,050,673

5.5% 7/18/12

500,000

508,712

6.25% 3/22/12

300,000

304,317

Freddie Mac:

3.625% 9/15/08

8,000,000

8,086,632

5.25% 11/5/12

280,000

286,909

5.875% 3/21/11

2,095,000

2,289,508

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

16,681,658

U.S. Treasury Inflation Protected Obligations - 1.1%

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

1,809,558

1,892,892

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

1,846,008

1,913,501

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

3,806,393

U.S. Treasury Obligations - 9.7%

U.S. Treasury Bonds:

6.125% 8/15/29

1,245,000

1,470,072

6.375% 8/15/27

210,000

253,911

8% 11/15/21

2,000,000

2,775,390

U.S. Treasury Notes:

1.625% 2/28/06

6,000,000

5,944,452

2.75% 7/31/06

6,734,000

6,765,300

3.125% 4/15/09

1,200,000

1,196,766

4% 11/15/12

2,840,000

2,871,507

4.75% 5/15/14

6,205,000

6,560,820

5% 8/15/11

4,482,000

4,840,385

6.5% 2/15/10

1,070,000

1,231,127

TOTAL U.S. TREASURY OBLIGATIONS

33,909,730

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $53,840,401)

54,397,781

U.S. Government Agency - Mortgage Securities - 31.4%

Fannie Mae - 31.3%

4% 11/1/19 (f)

5,895,592

5,785,050

4.5% 5/1/18 to 9/1/33

20,081,222

19,973,938

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

4.5% 11/1/19 (f)

$4,000,000

$4,007,500

5% 11/1/34 (f)

30,609,899

30,485,500

5.5% 11/1/16 to 10/1/34

5,448,323

5,564,667

5.5% 11/1/34 (f)

997,798

1,015,571

6.5% 5/1/08 to 1/1/33

6,227,548

6,602,682

6.5% 11/1/19 to 11/1/34 (f)

5,876,179

6,231,287

7% 5/1/18 to 12/1/33

27,980,001

29,740,170

TOTAL FANNIE MAE

109,406,365

Government National Mortgage Association - 0.1%

7% 7/15/31 to 12/15/32

365,226

389,941

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $109,066,491)

109,796,306

Asset-Backed Securities - 3.2%

ACE Securities Corp.:

Series 2003-FM1 Class M2, 3.7825% 11/25/32 (g)

40,000

40,670

Series 2004-HE1:

Class M1, 2.4325% 2/25/34 (g)

125,000

125,012

Class M2, 3.0325% 2/25/34 (g)

125,000

125,029

American Express Credit Account Master Trust Series 2004-C Class C, 2.37% 2/15/12 (e)(g)

1,800,000

1,799,887

AmeriCredit Automobile Receivables Trust Series 2004-1 Class D, 5.07% 7/6/10

290,000

294,521

Ameriquest Mortgage Securities, Inc. Series 2004-R2:

Class M1, 2.3625% 4/25/34 (g)

65,000

64,997

Class M2, 2.4125% 4/25/34 (g)

50,000

49,998

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE2 Class A2, 2.25% 4/15/33 (g)

36,924

36,972

Series 2003-HE7 Class A3, 2.23% 12/15/33 (g)

148,658

148,765

Bank One Issuance Trust:

Series 2002-C1 Class C1, 2.83% 12/15/09 (g)

425,000

430,115

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

900,000

919,701

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 2.4088% 2/28/44 (g)

424,515

424,880

Capital One Multi-Asset Execution Trust:

Series 2003-B1 Class B1, 3.04% 2/17/09 (g)

120,000

121,605

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

60,000

60,417

Series 2003-B4 Class B4, 2.67% 7/15/11 (g)

90,000

91,550

Asset-Backed Securities - continued

Principal Amount

Value

Capital One Multi-Asset Execution Trust: - continued

Series 2004-6 Class B, 4.15% 7/16/12

$570,000

$570,000

CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 3.8325% 10/25/33 (g)

30,000

30,871

Chase Credit Card Master Trust Series 2003-6 Class B, 2.22% 2/15/11 (g)

230,000

231,431

Chase Credit Card Owner Trust Series 2004-1 Class B, 2.07% 5/15/09 (g)

220,000

219,986

Citibank Credit Card Issuance Trust:

Series 2000-C2 Class C2, 2.72% 10/15/07 (g)

1,000,000

1,002,408

Series 2003-C1 Class C1, 3.14% 4/7/10 (g)

305,000

311,792

Countrywide Home Loans, Inc.:

Series 2004-2 Class M1, 2.4325% 5/25/34 (g)

275,000

274,987

Series 2004-3 Class M1, 2.4325% 6/25/34 (g)

75,000

75,074

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 2.4825% 3/25/34 (g)

25,000

24,999

Class M4, 2.8325% 3/25/34 (g)

25,000

24,999

Class M6, 3.1825% 3/25/34 (g)

25,000

24,919

Fremont Home Loan Trust Series 2004-A:

Class M1, 2.4825% 1/25/34 (g)

225,000

224,990

Class M2, 3.0825% 1/25/34 (g)

275,000

274,987

GSAMP Trust Series 2004-FM2 Class M1, 2.4325% 1/25/34 (g)

250,000

249,988

Home Equity Asset Trust:

Series 2003-2:

Class A2, 2.3125% 8/25/33 (g)

8,731

8,743

Class M1, 2.8125% 8/25/33 (g)

25,000

25,272

Series 2003-4:

Class M1, 2.7325% 10/25/33 (g)

40,000

40,332

Class M2, 3.8325% 10/25/33 (g)

45,000

45,775

Series 2004-3:

Class M2, 3.1325% 8/25/34 (g)

120,000

119,994

Class M3, 3.3825% 8/25/34 (g)

50,000

49,998

Home Equity Asset Trust NIMS Trust:

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

7,288

7,307

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

6,178

6,209

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

7,591

7,629

Long Beach Mortgage Loan Trust Series 2003-3 Class M2, 3.7825% 7/25/33 (g)

45,000

46,168

MBNA Credit Card Master Note Trust:

Series 2003-B2 Class B2, 2.26% 10/15/10 (g)

80,000

80,437

Series 2003-B3 Class B3, 2.245% 1/18/11 (g)

285,000

285,769

Series 2003-B5 Class B5, 2.24% 2/15/11 (g)

240,000

241,703

Asset-Backed Securities - continued

Principal Amount

Value

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 2.4325% 7/25/34 (g)

$100,000

$99,995

Class M2, 2.4825% 7/25/34 (g)

25,000

24,999

Class M3, 2.8825% 7/25/34 (g)

50,000

49,998

Class M4, 3.0325% 7/25/34 (g)

25,000

24,999

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 3.0325% 12/27/32 (g)

90,000

91,365

Series 2003-HE1 Class M2, 3.8325% 5/25/33 (g)

55,000

55,820

Series 2003-NC8 Class M1, 2.6325% 9/25/33 (g)

35,000

35,119

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 2.9325% 1/25/32 (g)

40,000

40,529

Series 2002-NC1 Class M1, 2.7325% 2/25/32 (e)(g)

170,000

171,397

Series 2002-NC3 Class M1, 2.6525% 8/25/32 (g)

75,000

75,591

Series 2003-NC2 Class M2, 3.9325% 2/25/33 (g)

40,000

40,898

National Collegiate Funding LLC Series 2004-GT1 Class IO1, 7.87% 6/25/10 (e)(g)(i)

455,000

175,630

New Century Home Equity Loan Trust Series 2003-2 Class A2, 2.3625% 1/25/33 (g)

28,439

28,487

NovaStar Home Equity Loan Series 2004-1:

Class M1, 2.3825% 6/25/34 (g)

75,000

75,067

Class M4, 2.9075% 6/25/34 (g)

125,000

124,104

Sears Credit Account Master Trust II Series 2002-4 Class A, 2% 8/18/09 (g)

100,000

100,090

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

260,000

262,925

WFS Financial Owner Trust Series 2004-3 Class D, 4.07% 2/17/12

365,000

367,984

TOTAL ASSET-BACKED SECURITIES

(Cost $11,038,031)

11,085,883

Collateralized Mortgage Obligations - 4.4%

Private Sponsor - 4.3%

Bank of America Mortgage Securities, Inc.:

Series 2003-K:

Class 1A1, 3.3946% 12/25/33 (g)

262,177

262,837

Class 2A1, 4.2114% 12/25/33 (g)

366,519

365,117

Series 2003-L Class 2A1, 4.0319% 1/25/34 (g)

2,131,177

2,119,345

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

703,401

710,435

Series 2004-B:

Class 1A1, 3.4413% 3/25/34 (g)

904,573

904,208

Class 2A2, 4.1529% 3/25/34 (g)

239,093

238,982

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Bank of America Mortgage Securities, Inc.: - continued

Series 2004-C Class 1A1, 3.4176% 4/25/34 (g)

$514,381

$513,838

Series 2004-D:

Class 1A1, 3.597% 5/25/34 (g)

580,403

581,129

Class 2A2, 4.2257% 5/25/34 (g)

668,556

667,745

Series 2004-G Class 2A7, 4.661% 8/25/34 (g)

766,801

773,037

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

724,965

728,452

Series 2004-J:

Class 1A2, 4.3462% 11/25/34 (g)

250,000

253,125

Class 2A1, 4.8243% 11/25/34 (g)

1,005,000

1,017,248

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR3 Class 6A2, 2.3025% 4/25/34 (g)

221,870

222,290

Series 2004-AR6 Class 9A2, 2.3025% 10/25/34 (g)

335,328

335,654

Granite Mortgages PLC floater Series 2004-2 Class 1C, 2.61% 6/20/44 (g)

235,000

235,422

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

91,829

96,166

Master Asset Securitization Trust Series 2004-9
Class 7A1, 6.327% 5/25/17 (g)

594,996

618,509

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

507,070

527,670

Merrill Lynch Mortgage Investors, Inc.:

Series 2003-E Class XA1, 1% 10/25/28 (g)(i)

1,830,299

27,414

Series 2003-G Class XA1, 1% 1/25/29 (i)

2,580,319

40,150

Series 2003-H Class XA1, 1% 1/25/29 (e)(i)

2,073,092

32,531

Merrill Lynch Trust XXIX Series 29 Class A, 0% 5/1/13

42,615

38,934

Residential Asset Mortgage Products, Inc. sequential pay:

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

794,064

826,571

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

102,799

106,251

Residential Finance LP/Residential Finance Development Corp. floater:

Series 2003-CB1:

Class B3, 3.3081% 6/10/35 (e)(g)

44,009

44,804

Class B4, 3.5081% 6/10/35 (e)(g)

39,119

39,819

Class B5, 4.1081% 6/10/35 (e)(g)

29,339

29,953

Class B6, 4.6081% 6/10/35 (e)(g)

14,670

14,970

Series 2004-B:

Class B4, 2.9581% 2/10/36 (e)(g)

99,412

99,412

Class B5, 3.4081% 2/10/36 (e)(g)

99,412

99,412

Class B6, 3.8581% 2/10/36 (e)(g)

99,412

99,412

Series 2004-C:

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

99,890

99,890

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

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

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

$99,890

$99,890

Class B6, 3.6081% 9/10/36 (g)

99,890

99,890

Resix Finance Ltd. floater:

Series 2004-A Class B8, 6.8581% 2/10/36 (e)(g)

825,325

825,320

Series 2004-B Class B8, 6.6081% 2/10/36 (e)(g)

198,825

198,825

Sequoia Mortgage Funding Trust Series 2003-A
Class AX1, 0.8% 10/21/08 (e)(i)

4,889,442

50,041

Washington Mutual Mortgage Securities Corp. sequential pay:

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

81,741

84,498

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

202,402

210,118

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

711,880

710,652

TOTAL PRIVATE SPONSOR

15,049,966

U.S. Government Agency - 0.1%

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

2,894

2,898

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

4,483

4,497

Freddie Mac Multi-class participation certificates guaranteed:

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

377,346

340,313

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

11,129

11,121

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

25,000

26,939

Ginnie Mae guaranteed REMIC pass thru securities planned amortization class Series 2003-75 Class LI, 5.5% 10/20/21 (i)

4,739,127

101,759

TOTAL U.S. GOVERNMENT AGENCY

487,527

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $15,513,192)

15,537,493

Commercial Mortgage Securities - 2.4%

Principal Amount

Value

Banc of America Large Loan, Inc. floater Series 2003-BBA2:

Class C, 2.34% 11/15/15 (e)(g)

$50,000

$50,251

Class D, 2.42% 11/15/15 (e)(g)

80,000

80,484

Class F, 2.77% 11/15/15 (e)(g)

60,000

60,481

Class H, 3.27% 11/15/15 (e)(g)

50,000

50,339

Class J, 3.82% 11/15/15 (e)(g)

55,000

55,789

Class K, 4.47% 11/15/15 (e)(g)

50,000

50,540

Bayview Commercial Asset Trust:

floater:

Series 2004-1 Class A, 2.2925% 4/25/34 (e)(g)

381,308

380,086

Series 2004-2 Class A, 2.3625% 8/25/34 (e)(g)

392,988

393,372

Series 2004-1 Class IO, 1.25% 4/25/34 (e)(i)

4,088,629

274,756

Bear Stearns Commercial Mortgage Securities, Inc.:

floater:

Series 2003-BA1A Class A1, 2.1475% 4/14/15 (e)(g)

206,698

206,685

Series 2004-ESA Class A2, 2.2075% 5/14/16 (e)(g)

350,000

350,154

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

180,000

185,865

Series 2004-ESA:

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

325,000

335,680

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

205,000

211,894

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

75,000

77,489

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

230,000

237,335

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

55,000

56,750

COMM floater Series 2002-FL7:

Class A2, 2.22% 11/15/14 (e)(g)

34,016

34,018

Class D, 2.44% 11/15/14 (e)(g)

125,000

125,213

Commercial Mortgage pass thru certificates floater Series 2004-CNL:

Class B, 2.2581% 9/15/14 (e)(g)

105,000

105,066

Class D, 2.4981% 9/15/14 (e)(g)

30,000

30,019

Class E, 2.5581% 9/15/14 (e)(g)

45,000

45,028

Class F, 2.6581% 9/15/14 (e)(g)

35,000

35,022

Class G, 2.8381% 9/15/14 (e)(g)

80,000

80,050

Class H, 2.9381% 9/15/14 (e)(g)

85,000

85,053

Class J, 3.4581% 9/15/14 (e)(g)

30,000

30,019

Class K, 3.8581% 9/15/14 (e)(g)

45,000

45,028

Class L, 4.0581% 9/15/14 (e)(g)

35,000

35,022

Commercial Mortgage Securities - continued

Principal Amount

Value

CS First Boston Mortgage Securities Corp.:

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

$132,184

$134,144

Series 2003-TFLA Class G, 2.4433% 4/15/13 (e)(g)

105,000

101,548

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

743,602

800,505

Ginnie Mae guaranteed REMIC pass thru securities:

sequential pay:

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

60,000

59,438

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

55,000

55,095

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

105,000

104,924

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

115,000

110,319

Series 2003-47 Class XA, 0.237% 6/16/43 (g)(i)

6,615,391

356,351

GS Mortgage Securities Corp. II sequential pay:

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

315,000

351,008

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

65,000

65,242

Host Marriot Pool Trust sequential pay Series 1999-HMTA Class D, 7.97% 8/3/15 (e)

110,000

125,747

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

200,000

184,906

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

389,570

420,513

Trizechahn Office Properties Trust Series 2001-TZHA:

Class C3, 6.522% 3/15/13 (e)

25,000

26,764

Class C4, 6.893% 5/15/16 (e)

500,000

570,526

Class E3, 7.253% 3/15/13 (e)

235,000

252,260

Wachovia Bank Commercial Mortgage Trust sequential pay Series 2003-C8 Class A3, 4.445% 11/15/35

785,000

796,743

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $8,316,304)

8,223,521

Foreign Government and Government Agency Obligations - 2.4%

Argentine Republic 1.98% 8/3/12 (g)

115,000

87,336

Bogota Distrito Capital 9.5% 12/12/06 (Reg. S)

95,000

103,550

Brazilian Federative Republic:

Brady:

capitalization bond 8% 4/15/14

707,473

702,167

par Z-L 6% 4/15/24

265,000

237,175

11% 8/17/40

430,000

485,040

12% 4/15/10

55,000

65,450

12.25% 3/6/30

70,000

86,310

12.75% 1/15/20

45,000

56,925

Foreign Government and Government Agency Obligations - continued

Principal Amount

Value

Central Bank of Nigeria promissory note 5.092% 1/5/10

$73,305

$68,909

Chilean Republic:

5.625% 7/23/07

100,000

105,500

7.125% 1/11/12

1,250,000

1,442,188

City of Kiev 8.75% 8/8/08

200,000

209,750

Colombian Republic:

10.75% 1/15/13

160,000

185,800

11.75% 2/25/20

95,000

116,731

Dominican Republic:

Brady 2.75% 8/30/09 (g)

129,166

98,166

9.04% 1/23/13 (e)

25,000

20,250

9.5% 9/27/06 (Reg. S)

15,000

13,163

Ecuador Republic:

12% 11/15/12 (Reg. S)

180,000

180,450

euro par 4.75% 2/28/25 (d)

5,000

3,175

Jamaican Government 10.625% 6/20/17

10,000

9,888

Lebanese Republic:

10.125% 8/6/08

55,000

61,397

10.25% 10/6/09 (Reg. S)

15,000

17,100

Panamanian Republic:

9.625% 2/8/11

25,000

28,438

10.75% 5/15/20

60,000

71,700

Peruvian Republic 9.125% 2/21/12

85,000

95,306

Philippine Republic:

Brady principal collateralized interest reduction bond 6.5% 12/1/17

45,000

44,100

8.375% 2/15/11

345,000

344,138

9.875% 1/15/19

145,000

145,906

Russian Federation:

5% 3/31/30 (Reg. S) (d)

1,032,000

1,033,290

8.25% 3/31/10 (Reg. S)

125,000

138,438

euro 10% 6/26/07

75,000

85,875

State of Israel 4.625% 6/15/13

20,000

19,388

Turkish Republic:

10.5% 1/13/08

50,000

56,875

11% 1/14/13

180,000

221,850

11.75% 6/15/10

255,000

316,200

United Mexican States:

4.625% 10/8/08

160,000

162,720

7.5% 1/14/12

100,000

113,600

Uruguay Republic 7.25% 2/15/11

85,000

80,538

Foreign Government and Government Agency Obligations - continued

Principal Amount

Value

Venezuelan Republic:

Discount A, 3.0625% 3/31/20 (g)

$250,000

$222,500

8.5% 10/8/14

40,000

40,700

9.25% 9/15/27

80,000

81,800

10.75% 9/19/13

145,000

168,563

13.625% 8/15/18

65,000

85,800

euro Brady par W-B 6.75% 3/31/20

250,000

246,250

Vietnamese Socialist Republic Brady par 3.75% 3/12/28 (d)

90,000

63,000

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $7,601,482)

8,223,395

Common Stocks - 0.0%

Shares

CONSUMER DISCRETIONARY - 0.0%

Multiline Retail - 0.0%

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

20

1,200

CONSUMER STAPLES - 0.0%

Personal Products - 0.0%

Revlon, Inc. Class A (a)

18,648

45,315

TOTAL COMMON STOCKS

(Cost $36,503)

46,515

Sovereign Loan Participations - 0.0%

Principal Amount

Indonesian Republic loan participation:

- Credit Suisse First Boston 2.875% 3/28/13 (g)

$121,371

107,413

- Deutsche Bank:

0% 3/21/05 (g)

15,000

14,813

2.875% 3/28/13 (g)

14,286

12,643

- Salomon Brothers 0% 3/21/05 (g)

15,000

14,813

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $145,445)

149,682

Fixed-Income Funds - 9.7%

Shares

Value

Fidelity Ultra-Short Central Fund (h)
(Cost $33,999,988)

341,900

$34,022,469

Cash Equivalents - 12.3%

Maturity Amount

Investments in repurchase agreements (Collateralized by U.S. Government Obligations), in a joint trading account at 1.87%, dated 10/29/04 due 11/1/04 (j)
(Cost $43,026,000)

$43,032,699

43,026,000

TOTAL INVESTMENT PORTFOLIO - 112.1%

(Cost $386,568,513)

392,272,279

NET OTHER ASSETS - (12.1)%

(42,266,166)

NET ASSETS - 100%

$350,006,113

Swap Agreements

Expiration Date

Notional Amount

Value

Credit Default Swap

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

Sept. 2014

$400,000

$511

TOTAL CREDIT DEFAULT SWAP

400,000

511

Interest Rate Swap

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

Sept. 2006

8,000,000

36,635

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Interest Rate Swap - continued

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

Oct. 2006

$5,000,000

$8,541

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

July 2014

1,135,000

42,271

TOTAL INTEREST RATE SWAP

14,135,000

87,447

Total Return Swap

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

April 2005

1,000,000

10,093

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

Dec. 2004

500,000

3,717

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

Nov. 2004

600,000

3,807

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

Jan. 2005

1,000,000

(390)

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

Dec. 2004

1,000,000

14,309

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

Nov. 2004

2,000,000

89,376

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Total Return Swap - continued

Receive quarterly a return equal to that of Banc of America Securities LLC AAA 10Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 30 basis points with Bank of America

May 2005

$2,000,000

$0

Receive quarterly a return equal to that of Lehman Brothers Commercial Mortgage-Backed Securities AAA Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 8 basis points with Bank of America

April 2005

600,000

0

TOTAL TOTAL RETURN SWAP

8,700,000

20,912

$23,235,000

$208,870

Legend

(a)Non-income producing

(b)Non-income producing - issuer filed for bankruptcy or is in default of interest payments.

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

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

(e)Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $24,053,502 or 6.9% of net assets.

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

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

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

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

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

Repurchase Agreement/
Counterparty

Value

$43,026,000 due 11/1/04 at 1.87%

Banc of America Securities LLC.

$15,803,192

Bank of America, National Association

4,242,468

Bear Stearns & Co. Inc.

2,015,172

Countrywide Securities Corporation

954,555

Credit Suisse First Boston LLC

1,060,617

Goldman, Sachs & Co.

4,242,468

Greenwich Capital Markets, Inc.

2,121,234

J.P. Morgan Securities, Inc.

2,121,234

Morgan Stanley & Co. Incorporated.

3,181,851

Societe Generale, New York Branch

530,308

UBS Securities LLC

5,268,038

WestLB AG

1,484,863

$43,026,000

Income Tax Information

At October 31, 2004, the aggregate cost of investment securities for income tax purposes was $386,913,902. Net unrealized appreciation aggregated $5,358,377, of which $6,348,192 related to appreciated investment securities and $989,815 related to depreciated investment securities.

Quarterly Report

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

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Income Fund's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Income Fund

By:

/s/John Hebble

John Hebble

President and Treasurer

Date:

December 20, 2004

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/John Hebble

John Hebble

President and Treasurer

Date:

December 20, 2004

By:

/s/Timothy F. Hayes

Timothy F. Hayes

Chief Financial Officer

Date:

December 20, 2004