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)

Scott C. Goebel, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:	July 31

Date of reporting period:	April 30, 2011

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity® GNMA Fund

April 30, 2011

1.800337.107

MOG-QTLY-0611

Investments April 30, 2011 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 1.2%
	Principal Amount (000s)		Value (000s)
Other Government Related - 1.2%
National Credit Union Administration Guaranteed Notes:
Series 2010-A1 Class A, 0.608% 12/7/20 (NCUA Guaranteed) (c)	$ 17,795		$ 17,830
Series 2010-R2 Class 1A, 0.6099% 11/6/17 (NCUA Guaranteed) (c)	36,741		36,753
Series 2011-R1 Class 1A, 0.709% 1/8/20 (NCUA Guaranteed) (c)	25,185		25,216
Series 2011-R4 Class 1A, 0.6262% 3/6/20 (NCUA Guaranteed) (c)	17,485		17,491
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $97,206)		97,290
U.S. Government Agency - Mortgage Securities - 100.3%

Fannie Mae - 4.0%
2.01% 2/1/33 (c)	168		173
2.059% 3/1/35 (c)	159		165
2.065% 7/1/35 (c)	75		78
2.108% 9/1/33 (c)	1,534		1,583
2.119% 10/1/33 (c)	80		83
2.14% 12/1/34 (c)	182		188
2.284% 3/1/35 (c)	31		32
2.465% 7/1/36 (c)	429		449
2.532% 7/1/34 (c)	92		96
2.534% 1/1/35 (c)	806		840
2.553% 10/1/33 (c)	160		169
2.563% 3/1/33 (c)	403		421
2.566% 2/1/34 (c)	55		57
2.628% 11/1/36 (c)	784		823
2.743% 8/1/35 (c)	1,000		1,046
2.772% 7/1/34 (c)	1,494		1,580
2.855% 5/1/35 (c)	1,246		1,305
2.883% 6/1/47 (c)	452		473
3.12% 8/1/35 (c)	2,041		2,172
3.5% 11/1/25 to 4/1/26	92,999		94,289
3.851% 7/1/40 (c)	11,689		12,223
3.869% 4/1/40 (c)	16,784		17,672
3.979% 1/1/40 (c)	20,904		22,003
3.985% 4/1/40 (c)	17,161		18,111
4% 4/1/24 to 10/1/25	2,869		2,988
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
4.003% 1/1/40 (c)	$ 10,734		$ 11,308
4.013% 2/1/40 (c)	21,956		23,101
4.103% 1/1/40 (c)	15,951		16,776
4.23% 9/1/39 (c)	15,139		15,949
4.294% 9/1/34 (c)	973		1,027
4.5% 6/1/24	3,390		3,583
4.5% 5/1/26 (a)	11,000		11,611
5% 6/1/20	35,454		37,998
5.5% 12/1/16 to 3/1/20	4,940		5,362
5.765% 3/1/36 (c)	1,062		1,132
6.5% 10/1/17	186		205
7% 11/1/16 to 3/1/17	993		1,092
7.5% 8/1/11 to 4/1/17	367		397
8.5% 12/1/27	142		164
9.5% 9/1/30	15		19
10.25% 10/1/18	5		6
11.5% 11/1/14 to 7/1/15	8		9
12.5% 10/1/15 to 7/1/16	18		20
13.25% 9/1/11	1		1
			308,779
Freddie Mac - 1.0%
2.075% 3/1/37 (c)	101		104
2.137% 12/1/35 (c)	709		733
2.394% 6/1/33 (c)	918		958
2.482% 11/1/35 (c)	891		930
2.504% 12/1/35 (c)	6,669		6,997
2.512% 10/1/35 (c)	1,010		1,055
2.635% 7/1/35 (c)	958		999
2.641% 6/1/33 (c)	2,701		2,839
2.72% 3/1/35 (c)	3,867		4,085
2.745% 10/1/36 (c)	1,101		1,151
2.786% 1/1/35 (c)	2,485		2,612
2.885% 6/1/33 (c)	2,493		2,628
2.942% 3/1/33 (c)	29		31
3.055% 5/1/37 (c)	254		267
3.086% 8/1/34 (c)	371		390
3.92% 5/1/40 (c)	16,286		17,056
4.021% 12/1/39 (c)	15,544		16,319
4.105% 12/1/39 (c)	10,078		10,613
5.5% 11/1/17 to 1/1/25	5,467		5,921
5.578% 4/1/36 (c)	1,170		1,232
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
8.5% 5/1/17 to 6/1/25	$ 31		$ 35
9% 7/1/18 to 3/1/20	11		12
9.5% 7/1/30	62		75
10% 4/1/15 to 7/1/19	91		103
10.25% 11/1/16	4		5
12% 2/1/13 to 6/1/15	17		18
12.5% 1/1/13 to 5/1/15	15		17
13% 5/1/14 to 11/1/14	3		3
13.5% 9/1/14 to 12/1/14	2		2
			77,190
Ginnie Mae - 95.3%
3.5% 3/20/34 to 3/15/41	323,082		312,892
4% 1/15/25 to 3/20/41	378,999		387,402
4.5% 6/20/33 to 3/20/41	1,452,972		1,521,670
4.5% 2/1/41 (a)	36,000		37,722
4.5% 5/1/41 (a)	195,000		203,885
4.5% 5/1/41 (a)(b)	131,000		136,969
4.5% 5/1/41 (a)	240,000		250,936
4.5% 5/1/41 (a)(b)	88,000		92,010
4.5% 5/1/41 (a)	286,000		298,317
4.5% 5/1/41 (a)	125,000		130,383
4.5% 5/1/41 (a)	45,000		46,938
5% 8/15/18 to 9/20/40	1,541,070		1,657,016
5% 5/1/41 (a)	94,000		100,710
5% 5/1/41 (a)	37,000		39,641
5% 5/1/41 (a)	26,000		27,856
5% 5/1/41 (a)	65,000		69,620
5.251% 6/20/60 (f)	47,177		51,704
5.35% 4/20/29 to 12/20/30	31,175		34,057
5.391% 11/20/59 (f)	70,214		76,989
5.5% 12/20/18 to 7/20/40	913,563		998,547
6% 8/15/17 to 5/15/39	543,457		602,394
6.45% 10/15/31 to 11/15/32	1,222		1,379
6.5% 5/20/28 to 12/20/39	181,856		204,366
7% 10/20/16 to 9/20/34	58,139		66,617
7.25% 9/15/27	116		133
7.395% 6/20/25 to 11/20/27	1,220		1,404
7.5% 5/15/17 to 9/20/32	23,742		27,219
8% 8/15/18 to 7/15/32	6,342		7,289
8.5% 5/15/16 to 2/15/31	1,567		1,755
9% 5/15/14 to 5/15/30	805		923
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Ginnie Mae - continued
9.5% 12/20/15 to 4/20/17	$ 250		$ 279
10.5% 1/15/14 to 10/15/18	297		339
13% 4/15/13 to 1/15/15	29		33
13.5% 1/15/15	3		3
			7,389,397
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $7,572,179)		7,775,366
Collateralized Mortgage Obligations - 9.1%

U.S. Government Agency - 9.1%
Fannie Mae:
sequential payer Series 2010-50 Class FA, 0.5626% 1/25/24 (c)	6,165		6,203
Series 2003-39 Class IA, 5.5% 10/25/22 (c)(d)	1,344		113
target amortization class Series G94-2 Class D, 6.45% 1/25/24	861		887
Fannie Mae Stripped Mortgage-Backed Securities:
Series 331 Class 12, 6.5% 2/1/33 (d)	1,311		294
Series 339 Class 5, 5.5% 8/1/33 (d)	2,007		391
Series 343 Class 16, 5.5% 5/1/34 (d)	1,549		305
Fannie Mae subordinate REMIC pass-thru certificates floater Series 2008-76 Class EF, 0.7126% 9/25/23 (c)	7,899		7,904
Freddie Mac Multi-class participation certificates guaranteed:
floater Series 2861 Class JF, 0.5188% 4/15/17 (c)	226		227
planned amortization class:
Series 2220 Class PD, 8% 3/15/30	1,995		2,310
Series 40 Class K, 6.5% 8/17/24	878		996
sequential payer:
Series 2204 Class N, 7.5% 12/20/29	4,122		4,771
Series 2601 Class TI, 5.5% 10/15/22 (d)	4,912		461
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities sequential payer Series 2002-71 Class Z, 5.5% 10/20/32	28,940		31,637
Ginnie Mae guaranteed REMIC pass-thru securities:
floater:
Series 2001-22 Class FM, 0.5638% 5/20/31 (c)	386		388
Series 2002-41 Class HF, 0.6159% 6/16/32 (c)	436		438
Series 2010-H03 Class FA, 0.763% 3/20/60 (c)(f)	23,491		23,468
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Ginnie Mae guaranteed REMIC pass-thru securities: - continued
floater:
Series 2010-H17 Class FA, 0.543% 7/20/60 (c)(f)	$ 19,460		$ 19,263
Series 2010-H18 Class AF, 0.56% 9/1/60 (c)(f)	20,194		20,018
Series 2010-H19 Class FG, 0.513% 8/20/60 (c)(f)	25,916		25,579
Series 2011-H05 Class FA, 0.713% 12/20/60 (c)(f)	11,113		11,072
Series 2011-H07 Class FA, 0.713% 2/20/61 (c)(f)	5,603		5,603
planned amortization class:
Series 1993-13 Class PD, 6% 5/20/29	9,178		10,182
Series 1994-4 Class KQ, 7.9875% 7/16/24	593		678
Series 2000-26 Class PK, 7.5% 9/20/30	1,650		1,892
Series 2002-50 Class PE, 6% 7/20/32	11,557		12,802
Series 2003-54 Class UE, 5% 6/20/33	20,000		21,181
Series 2003-70 Class LE, 5% 7/20/32	44,000		46,952
Series 2004-19:
Class DJ, 4.5% 3/20/34	448		456
Class DP, 5.5% 3/20/34	3,895		4,203
Series 2004-64 Class KE, 5.5% 12/20/33	22,978		24,711
Series 2005-17 Class IA, 5.5% 8/20/33 (d)	1,753		81
Series 2005-24 Class TC, 5.5% 3/20/35	5,403		5,770
Series 2005-54 Class BM, 5% 7/20/35	9,658		10,341
Series 2005-57 Class PB, 5.5% 7/20/35	5,673		6,253
Series 2006-50 Class JC, 5% 6/20/36	11,780		12,631
Series 2008-28 Class PC, 5.5% 4/20/34	18,652		20,561
sequential payer:
Series 1995-4 Class CQ, 8% 6/20/25	443		519
Series 1998-23 Class ZB, 6.5% 6/20/28	6,790		7,674
Series 2001-40 Class Z, 6% 8/20/31	4,276		4,713
Series 2001-49 Class Z, 7% 10/16/31	1,916		2,197
Series 2002-18 Class ZB, 6% 3/20/32	4,336		4,785
Series 2002-29:
Class SK, 8.25% 5/20/32 (c)(e)	205		225
Class Z, 6.5% 5/16/32	5,956		6,777
Series 2002-33 Class ZJ, 6.5% 5/20/32	3,553		4,034
Series 2002-42 Class ZA, 6% 6/20/32	2,753		3,032
Series 2002-43 Class Z, 6.5% 6/20/32	6,641		7,504
Series 2002-45 Class Z, 6% 6/20/32	1,571		1,749
Series 2002-49 Class ZA, 6.5% 7/20/32	22,974		26,050
Series 2003-75 Class ZA, 5.5% 9/20/33	10,712		11,616
Series 2004-46 Class BZ, 6% 6/20/34	12,778		14,101
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Ginnie Mae guaranteed REMIC pass-thru securities: - continued
sequential payer:
Series 2004-65 Class VE, 5.5% 7/20/15	$ 2,726		$ 2,942
Series 2004-86 Class G, 6% 10/20/34	6,273		6,952
Series 2005-28 Class AJ, 5.5% 4/20/35	25,364		27,948
Series 2005-47 Class ZY, 6% 6/20/35	5,671		6,535
Series 2005-6 Class EX, 5.5% 11/20/34	1,001		1,131
Series 2005-82 Class JV, 5% 6/20/35	3,500		3,660
Series 1995-6 Class Z, 7% 9/20/25	1,294		1,478
Series 2003-92 Class SN, 6.2142% 10/16/33 (c)(d)(e)	15,455		2,206
Series 2004-32 Class GS, 6.2842% 5/16/34 (c)(d)(e)	1,577		247
Series 2004-79 Class FA, 0.513% 1/20/31 (c)	4,617		4,621
Series 2005-6 Class EY, 5.5% 11/20/33	1,016		1,132
Series 2006-13 Class DS, 10.7806% 3/20/36 (c)(e)	27,813		31,016
Series 2007-35 Class SC, 38.9049% 6/16/37 (c)(e)	8,257		14,536
Series 2008-88 Class BZ, 5.5% 5/20/33	51,084		56,820
Series 2010-H010 Class FA, 0.543% 5/20/60 (c)(f)	16,032		15,824
Series 2011-52, 4.25% 2/16/41	88,485		93,283
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $664,291)		706,329
Commercial Mortgage Securities - 0.1%

Fannie Mae subordinate REMIC pass-thru certificates:
Series 1998-M3 Class IB, 0.9788% 1/17/38 (c)(d)	4,750		81
Series 1998-M4 Class N, 1.0404% 2/25/35 (c)(d)	27		0*
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities:
sequential payer Series 2001-58 Class X, 0.7394% 9/16/41 (c)(d)	52,078		749
Series 2001-12 Class X, 0.643% 7/16/40 (c)(d)	23,376		415
Ginnie Mae guaranteed REMIC pass-thru securities:
sequential payer Series 2002-81 Class IO, 1.3445% 9/16/42 (c)(d)	54,717		1,166
Series 2002-62 Class IO, 1.2213% 8/16/42 (c)(d)	48,375		1,467
Series 2002-85 Class X, 1.4211% 3/16/42 (c)(d)	21,955		1,132
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $17,660)		5,010

Cash Equivalents - 7.5%
	Maturity Amount (000s)		Value (000s)
Investments in repurchase agreements in a joint trading account at 0.06%, dated 4/29/11 due 5/2/11 (Collateralized by U.S. Government Obligations) # (Cost $578,690)	$ 578,693		$ 578,690
TOTAL INVESTMENT PORTFOLIO - 118.2% (Cost $8,930,026)		9,162,685
NET OTHER ASSETS (LIABILITIES) - (18.2)%		(1,412,608)
NET ASSETS - 100%		$ 7,750,077

Swap Agreements
	Expiration Date	Notional Amount (000s)
Interest Rate Swaps
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 1.4% with JPMorgan Chase, Inc.	Oct. 2015	$ 85,000	$ 1,879

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.

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

(e) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

(f) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

* Amount represents less than $1,000.

Quarterly Report

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

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$578,690,000 due 5/02/11 at 0.06%
BNP Paribas Securities Corp.	$ 32,413
Bank of America NA	147,914
Barclays Capital, Inc.	31,922
Citigroup Global Markets, Inc.	19,644
HSBC Securities (USA), Inc.	29,467
ING Financial Markets LLC	27,502
J.P. Morgan Securities, Inc.	8,919
Merrill Lynch Government Securities, Inc.	1,964
Merrill Lynch, Pierce, Fenner & Smith, Inc.	45,177
Mizuho Securities USA, Inc.	88,400
RBC Capital Markets Corp.	4,911
RBS Securities, Inc.	19,644
Societe Generale	39,289
UBS Securities LLC	19,644
Wells Fargo Securities LLC	61,880
	$ 578,690

Other Information

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At April 30, 2011, the cost of investment securities for income tax purposes was $8,930,359,000. Net unrealized appreciation aggregated $232,326,000, of which $252,953,000 related to appreciated investment securities and $20,627,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels. Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

For collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity® Government Income Fund

April 30, 2011

1.800338.107

GOV-QTLY-0611

Investments April 30, 2011 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 62.2%
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - 8.3%
Fannie Mae:
0.375% 12/28/12	$ 50,670		$ 50,552
0.75% 12/18/13	7,805		7,744
4.75% 11/19/12	2,000		2,130
Federal Home Loan Bank:
0.875% 8/22/12	8,580		8,629
1.875% 6/21/13	97,650		99,972
Freddie Mac:
1.375% 2/25/14	17,725		17,867
2.5% 1/7/14	19,245		19,999
4.125% 12/21/12	5,375		5,685
Israeli State (guaranteed by U.S. Government through Agency for International Development):
5.5% 9/18/23	55,500		63,571
6.8% 2/15/12	8,268		8,500
Overseas Private Investment Corp. U.S. Government guaranteed participation certificates 6.77% 11/15/13	2,813		2,982
Private Export Funding Corp. secured:
4.974% 8/15/13	22,940		25,069
5.66% 9/15/11 (c)	18,000		18,344
5.685% 5/15/12	24,035		25,363
Small Business Administration guaranteed development participation certificates:
Series 2002-20J Class 1, 4.75% 10/1/22	3,859		4,086
Series 2002-20K Class 1, 5.08% 11/1/22	8,806		9,410
Series 2003-P10B, Class 1 5.136% 8/10/13	2,883		3,049
Series 2004-20H Class 1, 5.17% 8/1/24	2,445		2,620
Tennessee Valley Authority:
3.875% 2/15/21	33,790		34,359
5.25% 9/15/39	12,000		12,746
5.375% 4/1/56	8,429		9,081
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			431,758
U.S. Treasury Inflation Protected Obligations - 0.6%
U.S. Treasury Inflation-Indexed Bonds 2.125 2/15/41	29,881		32,664
U.S. Treasury Obligations - 46.8%
U.S. Treasury Bonds:
4.375% 2/15/38	14,154		14,176
4.75% 2/15/41	93,949		99,469
5% 5/15/37 (g)	55,700		61,549
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Bonds: - continued
5.25% 2/15/29	$ 69,950		$ 80,158
6.125% 11/15/27	37,365		46,911
6.125% 8/15/29	2,877		3,631
6.25% 8/15/23	23,100		29,034
7.25% 5/15/16	51,167		64,219
7.5% 11/15/16	50,574		64,750
8% 11/15/21	14,605		20,593
9.875% 11/15/15	10,285		13,972
U.S. Treasury Notes:
0.625% 4/30/13	357,667		357,780
0.75% 3/31/13	17,138		17,196
1% 4/30/12	602		606
1.25% 4/15/14 (b)	313,107		315,382
1.25% 8/31/15	500		491
1.25% 10/31/15	29,580		28,935
1.375% 11/15/12	19,743		20,032
1.75% 4/15/13	10		10
1.75% 7/31/15	28,800		28,944
1.875% 8/31/17	47,000		45,326
1.875% 9/30/17	87,400		84,095
2% 4/30/16	230,855		231,197
2.125% 5/31/15	18,669		19,095
2.375% 8/31/14	20,000		20,773
2.375% 9/30/14	13,017		13,519
2.375% 10/31/14	77,497		80,433
2.5% 6/30/17	10,000		10,050
2.625% 7/31/14	83,808		87,769
2.625% 4/30/16	30,591		31,557
2.625% 4/30/18	67,643		67,474
2.625% 8/15/20	42,940		40,857
2.625% 11/15/20	2,949		2,792
2.75% 11/30/16	18,530		19,067
2.75% 2/15/19	13,700		13,584
3% 9/30/16	68,254		71,309
3.125% 10/31/16	39,088		41,033
3.125% 1/31/17	60,773		63,622
3.5% 5/15/20	44,137		45,334
3.625% 8/15/19	33,225		34,832
3.625% 2/15/21	70,720		72,698
4% 2/15/15	12,619		13,835
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
4.25% 11/15/17	$ 27,475		$ 30,375
4.5% 5/15/17	24,685		27,682
4.75% 8/15/17	12,983		14,749
TOTAL U.S. TREASURY OBLIGATIONS			2,450,895
Other Government Related - 6.5%
Bank of America Corp.:
2.1% 4/30/12 (FDIC Guaranteed) (d)	6,060		6,167
3.125% 6/15/12 (FDIC Guaranteed) (d)	3,719		3,835
Citibank NA:
1.875% 5/7/12 (FDIC Guaranteed) (d)	87,150		88,530
1.875% 6/4/12 (FDIC Guaranteed) (d)	33,000		33,536
Citigroup Funding, Inc.:
1.875% 10/22/12 (FDIC Guaranteed) (d)	40,500		41,311
1.875% 11/15/12 (FDIC Guaranteed) (d)	18,920		19,316
2% 3/30/12 (FDIC Guaranteed) (d)	16,000		16,257
2.125% 7/12/12 (FDIC Guaranteed) (d)	8,784		8,971
General Electric Capital Corp.:
2% 9/28/12 (FDIC Guaranteed) (d)	11,000		11,242
2.625% 12/28/12 (FDIC Guaranteed) (d)	16,154		16,707
3% 12/9/11 (FDIC Guaranteed) (d)	4,720		4,799
GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (d)	51,106		52,104
Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (d)	3,714		3,834
JPMorgan Chase & Co.:
2.2% 6/15/12 (FDIC Guaranteed) (d)	9,200		9,388
3.125% 12/1/11 (FDIC Guaranteed) (d)	790		803
National Credit Union Administration Guaranteed Notes:
Series 2010-A1 Class A, 0.608% 12/7/20 (NCUA Guaranteed) (h)	12,635		12,660
Series 2011-R4 Class 1A, 0.6262% 3/6/20 (NCUA Guaranteed) (h)	11,967		11,970
TOTAL OTHER GOVERNMENT RELATED			341,430
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,194,618)		3,256,747
U.S. Government Agency - Mortgage Securities - 32.3%
	Principal Amount (000s)		Value (000s)
Fannie Mae - 18.2%
2.01% 2/1/33 (h)	$ 324		$ 334
2.015% 10/1/33 (h)	305		314
2.059% 3/1/35 (h)	283		293
2.065% 7/1/35 (h)	140		145
2.119% 10/1/33 (h)	150		155
2.14% 12/1/34 (h)	372		383
2.277% 11/1/33 (h)	827		861
2.284% 3/1/35 (h)	59		61
2.419% 2/1/34 (h)	2,479		2,594
2.503% 2/1/36 (h)	701		737
2.532% 7/1/34 (h)	175		182
2.544% 7/1/35 (h)	603		633
2.553% 10/1/33 (h)	264		278
2.566% 2/1/34 (h)	111		117
2.573% 3/1/35 (h)	181		190
2.59% 6/1/36 (h)	259		271
2.628% 11/1/36 (h)	214		225
2.642% 7/1/35 (h)	2,252		2,374
3.473% 3/1/40 (h)	12,073		12,714
3.5% 12/1/25 to 5/1/41	182,433		176,650
3.658% 3/1/40 (h)	6,972		7,333
3.691% 5/1/40 (h)	6,610		6,957
3.698% 5/1/40 (h)	7,876		8,307
3.74% 1/1/40 (h)	6,341		6,699
3.79% 6/1/40 (h)	6,949		7,365
3.851% 7/1/40 (h)	4,165		4,355
3.869% 4/1/40 (h)	8,097		8,525
3.972% 11/1/39 (h)	5,973		6,326
3.979% 1/1/40 (h)	7,448		7,840
3.985% 4/1/40 (h)	8,208		8,663
4% 9/1/13 to 11/1/40	81,537		81,849
4.003% 1/1/40 (h)	3,825		4,029
4.013% 2/1/40 (h)	7,823		8,231
4.103% 1/1/40 (h)	5,684		5,977
4.23% 9/1/39 (h)	5,394		5,683
4.34% 8/1/36 (h)	2,670		2,842
4.5% 6/1/25 to 4/1/41	130,926		134,943
4.5% 5/1/26 (e)	1,000		1,056
5% 6/1/14 to 9/1/40	130,796		138,798
5% 5/1/41 (e)	35,000		36,946
5% 5/1/41 (e)	8,000		8,445
5.5% 10/1/20 to 3/1/39	103,126		111,524
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
5.5% 5/1/41 (e)(f)	$ 18,000		$ 19,379
5.5% 5/1/41 (e)(f)	51,000		54,908
5.765% 3/1/36 (h)	2,277		2,428
5.835% 5/1/36 (h)	563		591
5.963% 3/1/37 (h)	595		636
6% 3/1/17 to 9/1/39	45,908		50,193
6.5% 2/1/12 to 4/1/37	8,958		9,864
7% 7/1/13 to 7/1/32	2,705		3,087
7.5% 7/1/11 to 4/1/29	18		20
8.5% 1/1/15 to 7/1/31	243		268
9% 5/1/14	157		163
9.5% 4/1/16 to 10/1/20	289		336
11.25% 5/1/14	2		2
11.5% 6/15/19 to 1/15/21	325		355
12.5% 8/1/15 to 3/1/16	1		1
			954,435
Freddie Mac - 8.9%
1.998% 3/1/35 (h)	1,068		1,098
2.18% 5/1/37 (h)	629		651
2.489% 1/1/36 (h)	2,072		2,179
2.615% 6/1/35 (h)	770		811
2.658% 2/1/36 (h)	131		138
2.942% 3/1/33 (h)	58		61
3.021% 7/1/35 (h)	1,881		1,996
3.329% 10/1/35 (h)	359		382
3.804% 4/1/40 (h)	6,620		6,940
3.92% 5/1/40 (h)	5,803		6,077
3.985% 3/1/40 (h)	6,805		7,177
4% 7/1/39 to 3/1/41	13,878		13,823
4.021% 12/1/39 (h)	5,539		5,815
4.105% 12/1/39 (h)	3,591		3,782
4.5% 7/1/25 to 4/1/41	76,603		78,876
5% 3/1/33 to 4/1/41	48,371		51,095
5% 11/1/37	286		303
5% 5/1/41 (e)	21,000		22,137
5.138% 4/1/35 (h)	291		309
5.5% 8/1/16 to 5/1/40	149,858		161,960
5.5% 4/1/41 (e)	10,000		10,764
5.5% 5/1/41 (e)(f)	13,000		13,974
5.5% 5/1/41 (e)(f)	14,000		15,049
5.5% 5/1/41 (e)(f)	18,000		19,348
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
6% 7/1/16 to 7/1/37	$ 13,035		$ 14,243
6.147% 7/1/36 (h)	830		869
6.5% 1/1/13 to 3/1/36	20,633		22,714
7.5% 5/1/11 to 7/1/16	674		730
8.5% 5/1/17 to 9/1/29	121		139
9% 9/1/14 to 10/1/20	21		23
9.5% 5/1/17 to 8/1/21	137		156
9.75% 8/1/14	93		102
10% 11/15/18 to 8/1/21	8		10
11% 5/1/14	27		29
12% 3/1/15	1		1
12.5% 2/1/14 to 6/1/19	5		5
13% 6/1/14 to 6/1/15	2		2
			463,768
Ginnie Mae - 5.2%
4% 1/15/25 to 1/20/41	41,705		43,596
4.5% 8/15/39 to 3/15/41	64,582		67,682
4.5% 5/1/41 (e)	4,500		4,705
5% 9/20/33 to 4/15/40	49,590		53,431
5% 5/1/41 (e)	4,300		4,607
5% 5/1/41 (e)	2,000		2,143
5.492% 4/20/60 (k)	23,034		25,447
5.493% 11/20/59 (k)	28,154		30,971
5.5% 12/15/38 to 3/15/39	550		600
5.513% 2/20/60 (k)	25,016		27,652
6% 11/20/31 to 11/20/33	10,553		11,703
6.5% 3/20/31 to 10/15/35	1,289		1,461
7% 10/15/26 to 8/15/32	72		83
7.5% 3/15/28 to 8/15/29	65		75
8% 7/15/19 to 12/15/23	773		883
8.5% 1/15/25	1		1
9.5% 2/15/25	1		1
10.5% 4/15/14 to 1/20/18	50		59
			275,100
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,662,030)		1,693,303
Collateralized Mortgage Obligations - 9.4%
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - 9.4%
Fannie Mae:
planned amortization class:
Series 1992-168 Class KB, 7% 10/25/22	$ 745		$ 831
Series 1993-207 Class H, 6.5% 11/25/23	10,835		12,205
Series 1993-240 Class PD, 6.25% 12/25/13	1,181		1,234
Series 1994-23 Class PZ, 6% 2/25/24	12,586		14,553
Series 1996-28 Class PK, 6.5% 7/25/25	2,103		2,345
Series 2003-28 Class KG, 5.5% 4/25/23	4,940		5,380
Series 2006-45 Class OP, 6/25/36 (j)	4,010		3,437
Series 2006-62 Class KP, 4/25/36 (j)	8,754		7,149
Series 2010-118 Class PB, 4.5% 10/25/40	7,053		7,025
sequential payer:
Series 1997-41 Class J, 7.5% 6/18/27	1,551		1,772
Series 2007-113 Class DB, 4.5% 12/25/22	12,440		13,447
Series 2007-115 Class BE, 4.5% 12/25/22	15,400		16,747
Series 2007-113 Class JD, 4.5% 12/25/22	12,766		13,540
Series 2010-114 Class CI, 5% 4/25/18 (i)	18,322		1,941
Series 2010-37 Class GI, 5% 4/25/25 (i)	3,482		352
Series 2010-97 Class CI, 4.5% 8/25/25 (i)	15,636		1,724
Fannie Mae Stripped Mortgage-Backed Securities:
sequential payer Series 377 Class 1, 10/1/36 (j)	11,107		9,246
Series 384 Class 6, 5% 7/25/37 (i)	12,579		2,377
Fannie Mae subordinate REMIC pass-thru certificates:
floater:
Series 2001-38 Class QF, 1.1926% 8/25/31 (h)	368		376
Series 2002-49 Class FB, 0.8159% 11/18/31 (h)	489		492
Series 2002-60 Class FV, 1.2126% 4/25/32 (h)	204		209
Series 2002-75 Class FA, 1.2126% 11/25/32 (h)	419		428
Series 2008-76 Class EF, 0.7126% 9/25/23 (h)	5,831		5,834
planned amortization class:
Series 2003-113 Class PE, 4% 11/25/18	7,545		7,979
Series 2004-21 Class QE, 4.5% 11/25/32	1,500		1,587
Series 2005-102 Class CO, 11/25/35 (j)	3,967		3,519
Series 2005-81 Class PC, 5.5% 9/25/35	2,150		2,348
Series 2006-12 Class BO, 10/25/35 (j)	17,718		15,938
Series 2006-37 Class OW, 5/25/36 (j)	4,426		3,654
sequential payer:
Series 1999-25 Class Z, 6% 6/25/29	3,187		3,534
Series 2001-20 Class Z, 6% 5/25/31	10,020		11,051
Series 2001-46 Class ZG, 6% 9/25/31	3,617		3,991
Series 2002-79 Class Z, 5.5% 11/25/22	7,438		8,088
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Fannie Mae subordinate REMIC pass-thru certificates: - continued
sequential payer:
Series 2005-117, Class JN, 4.5% 1/25/36	$ 645		$ 646
Series 2006-72 Class CY, 6% 8/25/26	10,215		11,427
Series 2009-85 Class IB, 4.5% 8/25/24 (i)	3,920		477
Series 2009-93 Class IC, 4.5% 9/25/24 (i)	7,699		910
Series 2010-139 Class NI, 4.5% 2/25/40 (i)	12,641		2,454
Freddie Mac:
planned amortization class Series 2115 Class PE, 6% 1/15/14	226		237
sequential payer Series 2114 Class ZM, 6% 1/15/29	1,145		1,261
Freddie Mac Manufactured Housing participation certificates guaranteed:
floater Series 1686 Class FA, 1.15% 2/15/24 (h)	1,017		1,042
planned amortization class Series 1681 Class PJ, 7% 12/15/23	181		181
Freddie Mac Multi-class participation certificates guaranteed:
floater:
Series 2530 Class FE, 0.8188% 2/15/32 (h)	269		271
Series 2630 Class FL, 0.7188% 6/15/18 (h)	480		485
Series 3008 Class SM, 0% 7/15/35 (h)	127		123
planned amortization class:
Series 1141 Class G, 9% 9/15/21	202		229
Series 2006-15 Class OP, 3/25/36 (j)	5,322		4,347
Series 2356 Class GD, 6% 9/15/16	219		236
Series 2376 Class JE, 5.5% 11/15/16	1,510		1,625
Series 2381 Class OG, 5.5% 11/15/16	996		1,065
Series 2628 Class OE, 4.5% 6/15/18	6,815		7,329
Series 2640 Class GE, 4.5% 7/15/18	7,310		7,858
Series 2682 Class LD, 4.5% 10/15/33	777		811
Series 2802 Class OB, 6% 5/15/34	10,455		11,669
Series 2810 Class PD, 6% 6/15/33	730		769
Series 2937 Class KC, 4.5% 2/15/20	19,686		21,264
Series 2962 Class BE, 4.5% 4/15/20	15,015		16,397
Series 3110 Class OP, 9/15/35 (j)	10,640		8,984
Series 3119 Class PO, 2/15/36 (j)	13,103		10,840
Series 3121 Class KO, 3/15/36 (j)	3,894		3,395
Series 3123 Class LO, 3/15/36 (j)	8,536		6,950
Series 3145 Class GO, 4/15/36 (j)	7,620		6,298
Series 3147 Class PF, 0.5188% 4/15/36 (h)	12,267		12,205
Series 3741 Class YU, 3.5% 11/15/22	13,420		13,725
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Freddie Mac Multi-class participation certificates guaranteed: - continued
sequential payer:
Series 2135 Class JE, 6% 3/15/29	$ 1,377		$ 1,520
Series 2281 Class ZB, 6% 3/15/30	2,329		2,562
Series 2546 Class MJ, 5.5% 3/15/23	2,861		3,119
Series 2570 Class CU, 4.5% 7/15/17	394		404
Series 2587 Class AD, 4.71% 3/15/33	5,785		5,970
Series 2601 Class TB, 5.5% 4/15/23	869		951
Series 2729 Class GB, 5% 1/15/19	6,636		7,108
Series 2773 Class HC, 4.5% 4/15/19	704		748
Series 2860 Class CP, 4% 10/15/17	128		128
Series 2987 Class HE, 4.5% 6/15/20	11,260		11,991
Series 2998 Class LY, 5.5% 7/15/25	2,011		2,196
Series 3007 Class EW, 5.5% 7/15/25	8,875		9,710
Series 3013 Class VJ, 5% 1/15/14	985		1,033
Series 2863 Class DB, 4% 9/15/14	526		535
Series 3772 Class BI, 4.5% 10/15/18 (i)	14,575		1,325
target amortization class:
Series 2156 Class TC, 6.25% 5/15/29	4,997		5,549
Series 2877 Class JC, 5% 10/15/34	199		204
Ginnie Mae guaranteed REMIC pass-thru securities:
floater:
Series 2010-H17 Class FA, 0.543% 7/20/60 (h)(k)	14,302		14,157
Series 2010-H18 Class AF, 0.56% 9/1/60 (h)(k)	14,734		14,605
Series 2010-H19 Class FG, 0.513% 8/20/60 (h)(k)	18,839		18,594
Series 2011-H05 Class FA, 0.713% 12/20/60 (h)(k)	8,092		8,062
Series 2011-H07 Class FA, 0.713% 2/20/61 (h)(k)	33,315		33,315
planned amortization class Series 1997-8 Class PE, 7.5% 5/16/27	2,483		2,879
Series 2004-79 Class FA, 0.513% 1/20/31 (h)	3,517		3,520
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $469,257)		490,028

Cash Equivalents - 6.9%
	Maturity Amount (000s)		Value (000s)
Investments in repurchase agreements in a joint trading account at:
0.05%, dated 4/29/11 due 5/2/11 (Collateralized by U.S. Government Obligations) # (a)	$ 153,451		$ 153,450
0.06%, dated 4/29/11 due 5/2/11 (Collateralized by U.S. Government Obligations) #	210,116		210,115
TOTAL CASH EQUIVALENTS (Cost $363,565)		363,565
TOTAL INVESTMENT PORTFOLIO - 110.8% (Cost $5,689,470)			5,803,643
NET OTHER ASSETS (LIABILITIES) - (10.8)%			(563,898)
NET ASSETS - 100%		$ 5,239,745

Futures Contracts
	Expiration Date	Underlying Face Amount at Value (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Purchased
Treasury Contracts
632 CBOT 2 Year U.S. Treasury Notes Contracts	July 2011	$ 138,487	$ (11)

The face value of futures purchased as a percentage of net assets is 2.6%

Swap Agreements
	Expiration Date	Notional Amount (000s)	Value (000s)
Interest Rate Swaps
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 3.23% with Credit Suisse First Boston	May 2020	$ 50,000	$ (713)

Legend

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

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

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $18,344,000 or 0.4% of net assets.

(d) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $316,800,000 or 6.0% of net assets.

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

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

(g) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $553,000.

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

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

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

(k) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

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

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$153,450,000 due 5/02/11 at 0.05%
J.P. Morgan Securities, Inc.	$ 153,450
Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$210,115,000 due 5/02/11 at 0.06%
BNP Paribas Securities Corp.	$ 11,769
Bank of America NA	53,704
Barclays Capital, Inc.	11,591
Citigroup Global Markets, Inc.	7,133
HSBC Securities (USA), Inc.	10,699
ING Financial Markets LLC	9,986
J.P. Morgan Securities, Inc.	3,238
Repurchase Agreement / Counterparty	Value (Amounts in thousands)
Merrill Lynch Government Securities, Inc.	$ 713
Merrill Lynch, Pierce, Fenner & Smith, Inc.	16,403
Mizuho Securities USA, Inc.	32,097
RBC Capital Markets Corp.	1,783
RBS Securities, Inc.	7,133
Societe Generale	14,265
UBS Securities LLC	7,133
Wells Fargo Securities LLC	22,468
	$ 210,115

Other Information

The following is a summary of the inputs used, as of April 30, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
U.S. Government and Government Agency Obligations	$ 3,256,747	$ -	$ 3,256,747	$ -
U.S. Government Agency - Mortgage Securities	1,693,303	-	1,693,303	-
Collateralized Mortgage Obligations	490,028	-	490,028	-
Cash Equivalents	363,565	-	363,565	-
Total Investments in Securities:	$ 5,803,643	$ -	$ 5,803,643	$ -
Derivative Instruments:
Liabilities
Futures Contracts	$ (11)	$ (11)	$ -	$ -
Swap Agreements	(713)	-	(713)	-
Total Derivative Instruments:	$ (725)	$ (11)	$ (713)	$ -
Other Financial Instruments:
Forward Commitments	$ (2,128)	$ -	$ (2,128)	$ -

Income Tax Information

At April 30, 2011, the cost of investment securities for income tax purposes was $5,689,517,000. Net unrealized appreciation aggregated $114,126,000, of which $131,325,000 related to appreciated investment securities and $17,199,000 related to depreciated investment securities.

Investment Valuation

For collateralized mortgage obligations and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Quarterly Report

Quarterly Holdings Report

for

Fidelity® Advisor Government
Income Fund
Class A
Class T
Class B
Class C
Institutional Class

April 30, 2011

Class A, Class T, Class B, Class C and
Institutional Class
are classes of
Fidelity Government Income Fund

1.847931.104

AGVT-QTLY-0611

Investments April 30, 2011 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 62.2%
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - 8.3%
Fannie Mae:
0.375% 12/28/12	$ 50,670		$ 50,552
0.75% 12/18/13	7,805		7,744
4.75% 11/19/12	2,000		2,130
Federal Home Loan Bank:
0.875% 8/22/12	8,580		8,629
1.875% 6/21/13	97,650		99,972
Freddie Mac:
1.375% 2/25/14	17,725		17,867
2.5% 1/7/14	19,245		19,999
4.125% 12/21/12	5,375		5,685
Israeli State (guaranteed by U.S. Government through Agency for International Development):
5.5% 9/18/23	55,500		63,571
6.8% 2/15/12	8,268		8,500
Overseas Private Investment Corp. U.S. Government guaranteed participation certificates 6.77% 11/15/13	2,813		2,982
Private Export Funding Corp. secured:
4.974% 8/15/13	22,940		25,069
5.66% 9/15/11 (c)	18,000		18,344
5.685% 5/15/12	24,035		25,363
Small Business Administration guaranteed development participation certificates:
Series 2002-20J Class 1, 4.75% 10/1/22	3,859		4,086
Series 2002-20K Class 1, 5.08% 11/1/22	8,806		9,410
Series 2003-P10B, Class 1 5.136% 8/10/13	2,883		3,049
Series 2004-20H Class 1, 5.17% 8/1/24	2,445		2,620
Tennessee Valley Authority:
3.875% 2/15/21	33,790		34,359
5.25% 9/15/39	12,000		12,746
5.375% 4/1/56	8,429		9,081
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			431,758
U.S. Treasury Inflation Protected Obligations - 0.6%
U.S. Treasury Inflation-Indexed Bonds 2.125 2/15/41	29,881		32,664
U.S. Treasury Obligations - 46.8%
U.S. Treasury Bonds:
4.375% 2/15/38	14,154		14,176
4.75% 2/15/41	93,949		99,469
5% 5/15/37 (g)	55,700		61,549
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Bonds: - continued
5.25% 2/15/29	$ 69,950		$ 80,158
6.125% 11/15/27	37,365		46,911
6.125% 8/15/29	2,877		3,631
6.25% 8/15/23	23,100		29,034
7.25% 5/15/16	51,167		64,219
7.5% 11/15/16	50,574		64,750
8% 11/15/21	14,605		20,593
9.875% 11/15/15	10,285		13,972
U.S. Treasury Notes:
0.625% 4/30/13	357,667		357,780
0.75% 3/31/13	17,138		17,196
1% 4/30/12	602		606
1.25% 4/15/14 (b)	313,107		315,382
1.25% 8/31/15	500		491
1.25% 10/31/15	29,580		28,935
1.375% 11/15/12	19,743		20,032
1.75% 4/15/13	10		10
1.75% 7/31/15	28,800		28,944
1.875% 8/31/17	47,000		45,326
1.875% 9/30/17	87,400		84,095
2% 4/30/16	230,855		231,197
2.125% 5/31/15	18,669		19,095
2.375% 8/31/14	20,000		20,773
2.375% 9/30/14	13,017		13,519
2.375% 10/31/14	77,497		80,433
2.5% 6/30/17	10,000		10,050
2.625% 7/31/14	83,808		87,769
2.625% 4/30/16	30,591		31,557
2.625% 4/30/18	67,643		67,474
2.625% 8/15/20	42,940		40,857
2.625% 11/15/20	2,949		2,792
2.75% 11/30/16	18,530		19,067
2.75% 2/15/19	13,700		13,584
3% 9/30/16	68,254		71,309
3.125% 10/31/16	39,088		41,033
3.125% 1/31/17	60,773		63,622
3.5% 5/15/20	44,137		45,334
3.625% 8/15/19	33,225		34,832
3.625% 2/15/21	70,720		72,698
4% 2/15/15	12,619		13,835
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
4.25% 11/15/17	$ 27,475		$ 30,375
4.5% 5/15/17	24,685		27,682
4.75% 8/15/17	12,983		14,749
TOTAL U.S. TREASURY OBLIGATIONS			2,450,895
Other Government Related - 6.5%
Bank of America Corp.:
2.1% 4/30/12 (FDIC Guaranteed) (d)	6,060		6,167
3.125% 6/15/12 (FDIC Guaranteed) (d)	3,719		3,835
Citibank NA:
1.875% 5/7/12 (FDIC Guaranteed) (d)	87,150		88,530
1.875% 6/4/12 (FDIC Guaranteed) (d)	33,000		33,536
Citigroup Funding, Inc.:
1.875% 10/22/12 (FDIC Guaranteed) (d)	40,500		41,311
1.875% 11/15/12 (FDIC Guaranteed) (d)	18,920		19,316
2% 3/30/12 (FDIC Guaranteed) (d)	16,000		16,257
2.125% 7/12/12 (FDIC Guaranteed) (d)	8,784		8,971
General Electric Capital Corp.:
2% 9/28/12 (FDIC Guaranteed) (d)	11,000		11,242
2.625% 12/28/12 (FDIC Guaranteed) (d)	16,154		16,707
3% 12/9/11 (FDIC Guaranteed) (d)	4,720		4,799
GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (d)	51,106		52,104
Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (d)	3,714		3,834
JPMorgan Chase & Co.:
2.2% 6/15/12 (FDIC Guaranteed) (d)	9,200		9,388
3.125% 12/1/11 (FDIC Guaranteed) (d)	790		803
National Credit Union Administration Guaranteed Notes:
Series 2010-A1 Class A, 0.608% 12/7/20 (NCUA Guaranteed) (h)	12,635		12,660
Series 2011-R4 Class 1A, 0.6262% 3/6/20 (NCUA Guaranteed) (h)	11,967		11,970
TOTAL OTHER GOVERNMENT RELATED			341,430
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,194,618)		3,256,747
U.S. Government Agency - Mortgage Securities - 32.3%
	Principal Amount (000s)		Value (000s)
Fannie Mae - 18.2%
2.01% 2/1/33 (h)	$ 324		$ 334
2.015% 10/1/33 (h)	305		314
2.059% 3/1/35 (h)	283		293
2.065% 7/1/35 (h)	140		145
2.119% 10/1/33 (h)	150		155
2.14% 12/1/34 (h)	372		383
2.277% 11/1/33 (h)	827		861
2.284% 3/1/35 (h)	59		61
2.419% 2/1/34 (h)	2,479		2,594
2.503% 2/1/36 (h)	701		737
2.532% 7/1/34 (h)	175		182
2.544% 7/1/35 (h)	603		633
2.553% 10/1/33 (h)	264		278
2.566% 2/1/34 (h)	111		117
2.573% 3/1/35 (h)	181		190
2.59% 6/1/36 (h)	259		271
2.628% 11/1/36 (h)	214		225
2.642% 7/1/35 (h)	2,252		2,374
3.473% 3/1/40 (h)	12,073		12,714
3.5% 12/1/25 to 5/1/41	182,433		176,650
3.658% 3/1/40 (h)	6,972		7,333
3.691% 5/1/40 (h)	6,610		6,957
3.698% 5/1/40 (h)	7,876		8,307
3.74% 1/1/40 (h)	6,341		6,699
3.79% 6/1/40 (h)	6,949		7,365
3.851% 7/1/40 (h)	4,165		4,355
3.869% 4/1/40 (h)	8,097		8,525
3.972% 11/1/39 (h)	5,973		6,326
3.979% 1/1/40 (h)	7,448		7,840
3.985% 4/1/40 (h)	8,208		8,663
4% 9/1/13 to 11/1/40	81,537		81,849
4.003% 1/1/40 (h)	3,825		4,029
4.013% 2/1/40 (h)	7,823		8,231
4.103% 1/1/40 (h)	5,684		5,977
4.23% 9/1/39 (h)	5,394		5,683
4.34% 8/1/36 (h)	2,670		2,842
4.5% 6/1/25 to 4/1/41	130,926		134,943
4.5% 5/1/26 (e)	1,000		1,056
5% 6/1/14 to 9/1/40	130,796		138,798
5% 5/1/41 (e)	35,000		36,946
5% 5/1/41 (e)	8,000		8,445
5.5% 10/1/20 to 3/1/39	103,126		111,524
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
5.5% 5/1/41 (e)(f)	$ 18,000		$ 19,379
5.5% 5/1/41 (e)(f)	51,000		54,908
5.765% 3/1/36 (h)	2,277		2,428
5.835% 5/1/36 (h)	563		591
5.963% 3/1/37 (h)	595		636
6% 3/1/17 to 9/1/39	45,908		50,193
6.5% 2/1/12 to 4/1/37	8,958		9,864
7% 7/1/13 to 7/1/32	2,705		3,087
7.5% 7/1/11 to 4/1/29	18		20
8.5% 1/1/15 to 7/1/31	243		268
9% 5/1/14	157		163
9.5% 4/1/16 to 10/1/20	289		336
11.25% 5/1/14	2		2
11.5% 6/15/19 to 1/15/21	325		355
12.5% 8/1/15 to 3/1/16	1		1
			954,435
Freddie Mac - 8.9%
1.998% 3/1/35 (h)	1,068		1,098
2.18% 5/1/37 (h)	629		651
2.489% 1/1/36 (h)	2,072		2,179
2.615% 6/1/35 (h)	770		811
2.658% 2/1/36 (h)	131		138
2.942% 3/1/33 (h)	58		61
3.021% 7/1/35 (h)	1,881		1,996
3.329% 10/1/35 (h)	359		382
3.804% 4/1/40 (h)	6,620		6,940
3.92% 5/1/40 (h)	5,803		6,077
3.985% 3/1/40 (h)	6,805		7,177
4% 7/1/39 to 3/1/41	13,878		13,823
4.021% 12/1/39 (h)	5,539		5,815
4.105% 12/1/39 (h)	3,591		3,782
4.5% 7/1/25 to 4/1/41	76,603		78,876
5% 3/1/33 to 4/1/41	48,371		51,095
5% 11/1/37	286		303
5% 5/1/41 (e)	21,000		22,137
5.138% 4/1/35 (h)	291		309
5.5% 8/1/16 to 5/1/40	149,858		161,960
5.5% 4/1/41 (e)	10,000		10,764
5.5% 5/1/41 (e)(f)	13,000		13,974
5.5% 5/1/41 (e)(f)	14,000		15,049
5.5% 5/1/41 (e)(f)	18,000		19,348
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
6% 7/1/16 to 7/1/37	$ 13,035		$ 14,243
6.147% 7/1/36 (h)	830		869
6.5% 1/1/13 to 3/1/36	20,633		22,714
7.5% 5/1/11 to 7/1/16	674		730
8.5% 5/1/17 to 9/1/29	121		139
9% 9/1/14 to 10/1/20	21		23
9.5% 5/1/17 to 8/1/21	137		156
9.75% 8/1/14	93		102
10% 11/15/18 to 8/1/21	8		10
11% 5/1/14	27		29
12% 3/1/15	1		1
12.5% 2/1/14 to 6/1/19	5		5
13% 6/1/14 to 6/1/15	2		2
			463,768
Ginnie Mae - 5.2%
4% 1/15/25 to 1/20/41	41,705		43,596
4.5% 8/15/39 to 3/15/41	64,582		67,682
4.5% 5/1/41 (e)	4,500		4,705
5% 9/20/33 to 4/15/40	49,590		53,431
5% 5/1/41 (e)	4,300		4,607
5% 5/1/41 (e)	2,000		2,143
5.492% 4/20/60 (k)	23,034		25,447
5.493% 11/20/59 (k)	28,154		30,971
5.5% 12/15/38 to 3/15/39	550		600
5.513% 2/20/60 (k)	25,016		27,652
6% 11/20/31 to 11/20/33	10,553		11,703
6.5% 3/20/31 to 10/15/35	1,289		1,461
7% 10/15/26 to 8/15/32	72		83
7.5% 3/15/28 to 8/15/29	65		75
8% 7/15/19 to 12/15/23	773		883
8.5% 1/15/25	1		1
9.5% 2/15/25	1		1
10.5% 4/15/14 to 1/20/18	50		59
			275,100
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,662,030)		1,693,303
Collateralized Mortgage Obligations - 9.4%
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - 9.4%
Fannie Mae:
planned amortization class:
Series 1992-168 Class KB, 7% 10/25/22	$ 745		$ 831
Series 1993-207 Class H, 6.5% 11/25/23	10,835		12,205
Series 1993-240 Class PD, 6.25% 12/25/13	1,181		1,234
Series 1994-23 Class PZ, 6% 2/25/24	12,586		14,553
Series 1996-28 Class PK, 6.5% 7/25/25	2,103		2,345
Series 2003-28 Class KG, 5.5% 4/25/23	4,940		5,380
Series 2006-45 Class OP, 6/25/36 (j)	4,010		3,437
Series 2006-62 Class KP, 4/25/36 (j)	8,754		7,149
Series 2010-118 Class PB, 4.5% 10/25/40	7,053		7,025
sequential payer:
Series 1997-41 Class J, 7.5% 6/18/27	1,551		1,772
Series 2007-113 Class DB, 4.5% 12/25/22	12,440		13,447
Series 2007-115 Class BE, 4.5% 12/25/22	15,400		16,747
Series 2007-113 Class JD, 4.5% 12/25/22	12,766		13,540
Series 2010-114 Class CI, 5% 4/25/18 (i)	18,322		1,941
Series 2010-37 Class GI, 5% 4/25/25 (i)	3,482		352
Series 2010-97 Class CI, 4.5% 8/25/25 (i)	15,636		1,724
Fannie Mae Stripped Mortgage-Backed Securities:
sequential payer Series 377 Class 1, 10/1/36 (j)	11,107		9,246
Series 384 Class 6, 5% 7/25/37 (i)	12,579		2,377
Fannie Mae subordinate REMIC pass-thru certificates:
floater:
Series 2001-38 Class QF, 1.1926% 8/25/31 (h)	368		376
Series 2002-49 Class FB, 0.8159% 11/18/31 (h)	489		492
Series 2002-60 Class FV, 1.2126% 4/25/32 (h)	204		209
Series 2002-75 Class FA, 1.2126% 11/25/32 (h)	419		428
Series 2008-76 Class EF, 0.7126% 9/25/23 (h)	5,831		5,834
planned amortization class:
Series 2003-113 Class PE, 4% 11/25/18	7,545		7,979
Series 2004-21 Class QE, 4.5% 11/25/32	1,500		1,587
Series 2005-102 Class CO, 11/25/35 (j)	3,967		3,519
Series 2005-81 Class PC, 5.5% 9/25/35	2,150		2,348
Series 2006-12 Class BO, 10/25/35 (j)	17,718		15,938
Series 2006-37 Class OW, 5/25/36 (j)	4,426		3,654
sequential payer:
Series 1999-25 Class Z, 6% 6/25/29	3,187		3,534
Series 2001-20 Class Z, 6% 5/25/31	10,020		11,051
Series 2001-46 Class ZG, 6% 9/25/31	3,617		3,991
Series 2002-79 Class Z, 5.5% 11/25/22	7,438		8,088
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Fannie Mae subordinate REMIC pass-thru certificates: - continued
sequential payer:
Series 2005-117, Class JN, 4.5% 1/25/36	$ 645		$ 646
Series 2006-72 Class CY, 6% 8/25/26	10,215		11,427
Series 2009-85 Class IB, 4.5% 8/25/24 (i)	3,920		477
Series 2009-93 Class IC, 4.5% 9/25/24 (i)	7,699		910
Series 2010-139 Class NI, 4.5% 2/25/40 (i)	12,641		2,454
Freddie Mac:
planned amortization class Series 2115 Class PE, 6% 1/15/14	226		237
sequential payer Series 2114 Class ZM, 6% 1/15/29	1,145		1,261
Freddie Mac Manufactured Housing participation certificates guaranteed:
floater Series 1686 Class FA, 1.15% 2/15/24 (h)	1,017		1,042
planned amortization class Series 1681 Class PJ, 7% 12/15/23	181		181
Freddie Mac Multi-class participation certificates guaranteed:
floater:
Series 2530 Class FE, 0.8188% 2/15/32 (h)	269		271
Series 2630 Class FL, 0.7188% 6/15/18 (h)	480		485
Series 3008 Class SM, 0% 7/15/35 (h)	127		123
planned amortization class:
Series 1141 Class G, 9% 9/15/21	202		229
Series 2006-15 Class OP, 3/25/36 (j)	5,322		4,347
Series 2356 Class GD, 6% 9/15/16	219		236
Series 2376 Class JE, 5.5% 11/15/16	1,510		1,625
Series 2381 Class OG, 5.5% 11/15/16	996		1,065
Series 2628 Class OE, 4.5% 6/15/18	6,815		7,329
Series 2640 Class GE, 4.5% 7/15/18	7,310		7,858
Series 2682 Class LD, 4.5% 10/15/33	777		811
Series 2802 Class OB, 6% 5/15/34	10,455		11,669
Series 2810 Class PD, 6% 6/15/33	730		769
Series 2937 Class KC, 4.5% 2/15/20	19,686		21,264
Series 2962 Class BE, 4.5% 4/15/20	15,015		16,397
Series 3110 Class OP, 9/15/35 (j)	10,640		8,984
Series 3119 Class PO, 2/15/36 (j)	13,103		10,840
Series 3121 Class KO, 3/15/36 (j)	3,894		3,395
Series 3123 Class LO, 3/15/36 (j)	8,536		6,950
Series 3145 Class GO, 4/15/36 (j)	7,620		6,298
Series 3147 Class PF, 0.5188% 4/15/36 (h)	12,267		12,205
Series 3741 Class YU, 3.5% 11/15/22	13,420		13,725
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Freddie Mac Multi-class participation certificates guaranteed: - continued
sequential payer:
Series 2135 Class JE, 6% 3/15/29	$ 1,377		$ 1,520
Series 2281 Class ZB, 6% 3/15/30	2,329		2,562
Series 2546 Class MJ, 5.5% 3/15/23	2,861		3,119
Series 2570 Class CU, 4.5% 7/15/17	394		404
Series 2587 Class AD, 4.71% 3/15/33	5,785		5,970
Series 2601 Class TB, 5.5% 4/15/23	869		951
Series 2729 Class GB, 5% 1/15/19	6,636		7,108
Series 2773 Class HC, 4.5% 4/15/19	704		748
Series 2860 Class CP, 4% 10/15/17	128		128
Series 2987 Class HE, 4.5% 6/15/20	11,260		11,991
Series 2998 Class LY, 5.5% 7/15/25	2,011		2,196
Series 3007 Class EW, 5.5% 7/15/25	8,875		9,710
Series 3013 Class VJ, 5% 1/15/14	985		1,033
Series 2863 Class DB, 4% 9/15/14	526		535
Series 3772 Class BI, 4.5% 10/15/18 (i)	14,575		1,325
target amortization class:
Series 2156 Class TC, 6.25% 5/15/29	4,997		5,549
Series 2877 Class JC, 5% 10/15/34	199		204
Ginnie Mae guaranteed REMIC pass-thru securities:
floater:
Series 2010-H17 Class FA, 0.543% 7/20/60 (h)(k)	14,302		14,157
Series 2010-H18 Class AF, 0.56% 9/1/60 (h)(k)	14,734		14,605
Series 2010-H19 Class FG, 0.513% 8/20/60 (h)(k)	18,839		18,594
Series 2011-H05 Class FA, 0.713% 12/20/60 (h)(k)	8,092		8,062
Series 2011-H07 Class FA, 0.713% 2/20/61 (h)(k)	33,315		33,315
planned amortization class Series 1997-8 Class PE, 7.5% 5/16/27	2,483		2,879
Series 2004-79 Class FA, 0.513% 1/20/31 (h)	3,517		3,520
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $469,257)		490,028

Cash Equivalents - 6.9%
	Maturity Amount (000s)		Value (000s)
Investments in repurchase agreements in a joint trading account at:
0.05%, dated 4/29/11 due 5/2/11 (Collateralized by U.S. Government Obligations) # (a)	$ 153,451		$ 153,450
0.06%, dated 4/29/11 due 5/2/11 (Collateralized by U.S. Government Obligations) #	210,116		210,115
TOTAL CASH EQUIVALENTS (Cost $363,565)		363,565
TOTAL INVESTMENT PORTFOLIO - 110.8% (Cost $5,689,470)			5,803,643
NET OTHER ASSETS (LIABILITIES) - (10.8)%			(563,898)
NET ASSETS - 100%		$ 5,239,745

Futures Contracts
	Expiration Date	Underlying Face Amount at Value (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Purchased
Treasury Contracts
632 CBOT 2 Year U.S. Treasury Notes Contracts	July 2011	$ 138,487	$ (11)

The face value of futures purchased as a percentage of net assets is 2.6%

Swap Agreements
	Expiration Date	Notional Amount (000s)	Value (000s)
Interest Rate Swaps
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 3.23% with Credit Suisse First Boston	May 2020	$ 50,000	$ (713)