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 811-4707

Fidelity Advisor Series II
 (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:

October 31

Date of reporting period:

July 31, 2005

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Advisor Floating Rate
High Income Fund
Class A
Class T
Class B
Class C
Institutional Class

July 31, 2005

1.804859.101

AFR-QTLY-0905

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

Floating Rate Loans (e) - 73.8%

Principal Amount (000s)

Value
(000s)

Aerospace - 0.6%

DRS Technologies, Inc. term loan 5.2017% 11/4/10 (d)

$ 716

$ 725

Mid-Western Aircraft Systems, Inc. Tranche B, term loan 5.5838% 12/31/11 (d)

14,180

14,410

Standard Aero Holdings, Inc. term loan 5.7228% 8/24/12 (d)

6,646

6,746

Transdigm, Inc. term loan 5.8% 7/22/10 (d)

1,576

1,595

23,476

Air Transportation - 0.0%

United Air Lines, Inc. Tranche B, term loan 7.96% 12/30/05 (d)

2,000

2,023

Automotive - 1.8%

Accuride Corp. term loan 5.6453% 1/31/12 (d)

5,659

5,723

Advance Auto Parts, Inc. Tranche B, term loan 5.1366% 9/30/10 (d)

2,991

3,024

Affinia Group, Inc. Tranche B, term loan 6.4% 11/30/11 (d)

1,512

1,516

AM General LLC Tranche B1, term loan 8.0756% 11/1/11 (d)

1,900

1,981

Enersys Capital, Inc. term loan 5.3435% 3/17/11 (d)

990

995

Federal-Mogul Corp. Tranche C, term loan 7.24% 1/1/49 (d)

2,000

2,000

Goodyear Tire & Rubber Co. Tranche 1, 4.7852% 4/30/10 (d)

21,820

21,984

Key Safety Systems, Inc. Tranche B, term loan 6.3444% 6/24/10 (d)

2,724

2,731

Mark IV Industries, Inc. Tranche B, term loan 6.432% 6/23/11 (d)

2,949

2,978

Rexnord Corp. term loan 6.7967% 12/31/11 (d)

2,949

2,997

Tenneco Auto, Inc.:

Tranche B, term loan 5.54% 12/12/10 (d)

3,042

3,080

Tranche B1, Credit-Linked Deposit 5.59% 12/12/10 (d)

1,336

1,353

Travelcenters of America, Inc. Tranche B, term loan 5.26% 12/1/11 (d)

7,573

7,667

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Automotive - continued

TRW Automotive Holdings Corp.:

Tranche B, term loan 5.25% 6/30/12 (d)

$ 2,301

$ 2,324

Tranche E, term loan 4.9375% 10/31/10 (d)

14,925

15,074

75,427

Broadcasting - 1.2%

Emmis Operating Co. Tranche B, term loan 5.13% 11/10/11 (d)

21,890

22,082

Gray Television, Inc. Tranche B, term loan 5.01% 12/31/12 (d)

2,624

2,644

Nexstar Broadcasting, Inc. Tranche B, term loan 4.87% 10/1/12 (d)

15,000

15,113

Raycom TV Broadcasting, Inc.:

Tranche A, term loan 5.3125% 10/6/11 (d)

2,000

2,003

Tranche B, term loan 5.5% 4/6/12 (d)

3,000

3,023

Spanish Broadcasting System, Inc. Tranche 1, term loan 5.49% 6/10/12 (d)

7,980

8,090

52,955

Building Materials - 0.9%

Contech Construction Products, Inc., Ohio term loan 5.8724% 11/30/10 (d)

2,366

2,401

Goodman Global Holdings, Inc. term loan 5.875% 12/23/11 (d)

5,398

5,472

Masonite International Corp. term loan 5.6568% 4/5/13 (d)

16,459

16,500

Nortek Holdings, Inc. term loan 5.918% 8/27/11 (d)

11,910

12,074

36,447

Cable TV - 10.5%

Adelphia Communications Corp. Tranche B, term loan 5.375% 3/31/06 (d)

30,350

30,502

Century Cable Holdings LLC Tranche B, term loan 8.25% 6/30/09 (d)

2,703

2,676

Century-TCI California LP term loan 6.25% 12/31/07 (d)

7,016

6,990

Charter Communications Operating LLC:

Tranche A, term loan 6.68% 4/27/10 (d)

8,989

8,910

Tranche B, term loan 6.9298% 4/7/11 (d)

113,802

113,355

Cox Communications, Inc. term loan 4.2631% 12/8/09 (d)

16,000

16,000

DIRECTV Holdings LLC Tranche B, term loan 4.9088% 4/13/13 (d)

24,347

24,621

Hilton Head Communications LP Tranche B, term loan 7.5% 3/31/08 (d)

5,150

5,034

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Cable TV - continued

Insight Midwest Holdings LLC:

Tranche A, term loan 5.125% 6/30/09 (d)

$ 22,307

$ 22,391

Tranche C, term loan 5.125% 12/31/09 (d)

14,782

14,967

Mediacom Broadband LLC/Mediacom Broadband Corp. Tranche B, term loan 5.4441% 2/1/14 (d)

3,960

4,019

Mediacom LLC Tranche B, term loan 5.7153% 3/31/13 (d)

13,930

14,139

NTL Investment Holdings Ltd. Tranche B, term loan 6.41% 6/13/12 (d)

42,647

42,860

Olympus Cable Holdings LLC Tranche A, term loan 7.5% 6/30/10 (d)

11,200

11,032

PanAmSat Corp. Tranche B, term loan 5.65% 8/20/11 (d)

52,597

53,452

Rainbow Media Holdings, Inc. Tranche B, term loan 6.13% 3/31/12 (d)

5,985

6,030

Telewest Global Finance LLC:

Tranche B, term loan 5.5999% 12/20/12 (d)

11,216

11,244

Tranche C, term loan 6.3499% 12/20/13 (d)

8,577

8,598

UPC Broadband Holding BV Tranche H2, term loan 6.2544% 9/30/12 (d)

33,000

33,248

UPC Distribution Holdings BV Tranche F, term loan 7.19% 12/31/11 (d)

11,008

11,159

441,227

Capital Goods - 1.3%

AGCO Corp. term loan 5.1866% 7/3/09 (d)

9,363

9,515

Amsted Industries, Inc. Tranche B, term loan 6.1196% 10/15/10 (d)

6,723

6,857

Dresser, Inc. Tranche C, term loan 5.99% 4/10/09 (d)

4,278

4,342

Dresser-Rand Group, Inc. Tranche B, term loan 5.4479% 10/29/11 (d)

7,381

7,500

Flowserve Corp. Tranche C, term loan 6.2233% 6/30/09 (d)

1,195

1,207

Hexcel Corp. Tranche B, term loan 5.2632% 3/1/12 (d)

5,057

5,120

Invensys International Holding Ltd.:

Tranche A, term loan 6.3513% 3/5/09 (d)

1,946

1,961

Tranche B1, term loan 6.8813% 9/4/09 (d)

10,749

10,856

Terex Corp.:

term loan 6.18% 12/31/09 (d)

1,496

1,511

Tranche B, term loan 5.68% 7/3/09 (d)

7,347

7,421

TriMas Corp. Tranche B, term loan 6.9% 12/31/09 (d)

861

870

57,160

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Chemicals - 3.1%

Celanese AG Credit-Linked Deposit 5.84% 4/6/09 (d)

$ 6,000

$ 6,075

Celanese Holding LLC term loan 5.74% 4/6/11 (d)

34,934

35,545

Hercules, Inc. Tranche B, term loan 5.3065% 10/8/10 (d)

5,439

5,493

Huntsman International LLC term loan 5.75% 12/31/10 (d)

15,179

15,179

Huntsman LLC Tranche B, term loan 6.4% 3/31/10 (d)

17,485

17,485

Innophos, Inc. Tranche B, term loan 5.5507% 8/13/10 (d)

4,180

4,206

Mosaic Co. Tranche B, term loan 5.2184% 2/21/12 (d)

11,771

11,918

Nalco Co. Tranche B, term loan 5.6522% 11/4/10 (d)

18,536

18,838

Rockwood Specialties Group, Inc. Tranche B, term loan 5.93% 7/30/12 (d)

14,627

14,773

SGL Carbon LLC term loan 5.9901% 12/31/09 (d)

2,867

2,881

132,393

Consumer Products - 1.7%

American Achievement Corp. Tranche B, term loan 6.0019% 3/25/11 (d)

3,144

3,183

Central Garden & Pet Co. Tranche B, term loan 5.1922% 5/14/09 (d)

980

990

Church & Dwight Co., Inc. Tranche B, term loan 5.24% 5/28/11 (d)

8,115

8,216

Jarden Corp.:

term loan 5.49% 1/24/12 (d)

12,121

12,227

Tranche B2, term loan 5.27% 1/24/12 (d)

3,597

3,615

Jostens IH Corp. Tranche B, term loan 5.9378% 10/4/11 (d)

14,013

14,188

Rayovac Corp. term loan 5.485% 2/7/12 (d)

5,087

5,144

Revlon Consumer Products Corp. term loan 9.4286% 7/9/10 (d)

6,750

6,969

Sealy Mattress Co. Tranche D, term loan 5.0355% 4/6/12 (d)

7,942

8,022

Simmons Bedding Co. Tranche C, term loan 5.8589% 12/19/11 (d)

4,809

4,821

Weight Watchers International, Inc.:

Tranche B, term loan 5.18% 3/31/10 (d)

1,214

1,227

Tranche C, term loan 5.1144% 3/31/10 (d)

1,985

2,000

70,602

Containers - 2.3%

Berry Plastics Corp. term loan 5.6004% 12/2/11 (d)

9,250

9,423

BWAY Corp. Tranche B term loan 5.75% 6/30/11 (d)

5,468

5,530

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Containers - continued

Graham Packaging Holdings Co. Tranche B1, term loan 6.0275% 10/4/11 (d)

$ 43,979

$ 44,584

Intertape Polymer, Inc. Tranche B, term loan 5.7187% 7/28/11 (d)

6,945

7,058

Owens-Illinois Group, Inc.:

Tranche A1, term loan 5.12% 4/1/07 (d)

6,328

6,383

Tranche B1, term loan 5.19% 4/1/08 (d)

5,185

5,237

Owens-Illinois, Inc. Tranche C1, term loan 5.27% 4/1/08 (d)

7,360

7,415

Solo Cup Co. term loan 5.4033% 2/27/11 (d)

10,397

10,514

96,144

Diversified Financial Services - 0.4%

Global Cash Access LLC/Global Cash Access Finance Corp. Tranche B, term loan 5.74% 3/10/10 (d)

5,546

5,629

Newkirk Master LP:

term loan 7.9475% 11/24/06 (d)

1,778

1,778

Tranche B term loan 5.5706% 7/31/08 (d)

6,130

6,199

Refco Finance Holdings LLC term loan 5.48% 8/5/11 (d)

3,220

3,240

16,846

Diversified Media - 0.8%

Adams Outdoor Advertising Ltd. term loan 5.6366% 10/18/12 (d)

3,120

3,163

CanWest Media, Inc. Tranche E, term loan 5.6381% 8/15/09 (d)

2,450

2,474

Entravision Communications Corp. Tranche B, term loan 5.24% 2/24/12 (d)

6,000

6,045

Lamar Media Corp.:

Tranche A, term loan 4.625% 6/30/09 (d)

1,850

1,862

Tranche C, term loan 5.0625% 6/30/10 (d)

15,865

16,023

R.H. Donnelley Corp. Tranche A3, term loan 5.2066% 12/31/09 (d)

2,042

2,057

Thomson Media, Inc. Tranche B1, term loan 5.74% 11/8/11 (d)

3,388

3,435

35,059

Electric Utilities - 4.1%

AES Corp. term loan 5.63% 8/10/11 (d)

5,429

5,496

Allegheny Energy Supply Co. LLC term loan 5.1825% 3/8/11 (d)

32,114

32,515

Centerpoint Energy House Electric LLC term loan 13.2425% 11/11/05 (d)

31,950

32,829

Dynegy Holdings, Inc. term loan 7.34% 5/28/10 (d)

10,212

10,263

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Electric Utilities - continued

Midwest Generation LLC term loan 5.4398% 4/27/11 (d)

$ 929

$ 940

NRG Energy, Inc.:

Credit-Linked Deposit 5.265% 12/24/11 (d)

8,094

8,134

term loan 5.2554% 12/24/11 (d)

10,354

10,406

Riverside Energy Center LLC:

term loan 7.93% 6/24/11 (d)

12,723

12,978

Credit-Linked Deposit 7.93% 6/24/11 (d)

595

604

Texas Genco LLC term loan 5.4109% 12/14/11 (d)

57,520

58,311

172,476

Energy - 4.9%

ATP Oil & Gas Corp. term loan 8.908% 4/14/10 (d)

1,995

2,045

Belden & Blake Corp. term loan 6.0712% 7/7/11 (d)

4,895

4,889

Boart Longyear Holdings, Inc. Tranche 1, term loan 5.99% 7/22/12 (d)

3,450

3,502

Buckeye Pipe Line Co. term loan 5.8188% 12/17/11 (d)

2,936

2,958

Coffeyville Resources LLC:

Credit-Linked Deposit 6.063% 7/8/11 (d)

4,800

4,890

Tranche 2, term loan 10.3125% 7/8/13 (d)

2,000

2,060

Tranche B1, term loan 6.063% 7/8/12 (d)

7,200

7,335

El Paso Corp.:

Credit-Linked Deposit 5.855% 11/22/09 (d)

25,375

25,597

term loan 6.24% 11/22/09 (d)

42,121

42,648

Kerr-McGee Corp.:

Tranche B, term loan 5.79% 5/24/11 (d)

50,000

50,938

Tranche X, term loan 5.71% 5/24/07 (d)

14,000

14,035

Lyondell-Citgo Refining LP term loan 5.5095% 5/21/07 (d)

7,920

7,999

Magellan Midstream Holdings LP term loan 5.785% 6/30/12 (d)

1,000

1,016

Premcor Refining Group, Inc. Credit-Linked Deposit 5% 4/13/09 (d)

9,000

9,011

Pride Offshore, Inc. term loan 5.09% 7/7/11 (d)

2,749

2,783

Regency Gas Services LLC Tranche 1, term loan 6.25% 6/1/10 (d)

3,781

3,790

Universal Compression, Inc. term loan 5.24% 2/15/12 (d)

7,980

8,090

Williams Production RMT Co. Tranche C, term loan 5.64% 5/30/08 (d)

13,845

13,966

207,552

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Entertainment/Film - 2.2%

Alliance Atlantis Communications, Inc. Tranche B, term loan 5.21% 12/19/11 (d)

$ 3,990

$ 4,045

Cinemark USA, Inc. term loan 5.1795% 3/31/11 (d)

10,813

10,935

Loews Cineplex Entertainment Corp. term loan 5.64% 6/30/11 (d)

18,044

18,180

MGM Holdings II, Inc. Tranche B, term loan 5.74% 4/8/12 (d)

30,000

30,338

Regal Cinemas Corp. term loan 5.24% 11/10/10 (d)

27,686

27,963

91,461

Environmental - 0.9%

Allied Waste Industries, Inc.:

term loan 5.5406% 1/15/12 (d)

28,178

28,389

Tranche A, Credit-Linked Deposit 5.105% 1/15/12 (d)

10,755

10,836

Waste Services, Inc. Tranche B, term loan 7.887% 3/31/11 (d)

992

1,004

40,229

Food and Drug Retail - 1.4%

Jean Coutu Group (PJC) USA, Inc. Tranche B, term loan 5.5006% 7/30/11 (d)

30,271

30,801

Rite Aid Corp. term loan 5.1052% 9/21/09 (d)

27,797

27,936

58,737

Food/Beverage/Tobacco - 1.4%

Commonwealth Brands, Inc. term loan 6.8125% 8/28/07 (d)

323

329

Constellation Brands, Inc. Tranche B, term loan 5.2989% 11/30/11 (d)

39,388

39,978

Del Monte Corp. Tranche B, term loan 5.18% 2/8/12 (d)

1,796

1,820

Dr Pepper/Seven Up Bottling Group, Inc. Tranche B, term loan 5.3502% 12/19/10 (d)

9,218

9,321

Michael Foods, Inc. Tranche B, term loan 5.2864% 11/21/10 (d)

5,758

5,845

Reddy Ice Group, Inc. term loan:

5.3125% 4/29/12 (d)

2,000

2,023

6.0372% 8/15/09 (d)

764

769

6.0372% 8/15/09 (d)

286

286

60,371

Gaming - 2.8%

Alliance Gaming Corp. term loan 6.77% 9/5/09 (d)

3,724

3,724

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Gaming - continued

Ameristar Casinos, Inc.:

term loan 5.5% 12/20/06 (d)

$ 2,502

$ 2,537

Tranche B, term loan 5.5% 12/20/06 (d)

1,956

1,983

Argosy Gaming Co. term loan 6.75% 6/30/11 (d)

2,382

2,382

Boyd Gaming Corp. term loan 5.185% 6/30/11 (d)

13,380

13,447

Choctaw Resort Development Enterprise term loan 5.9053% 11/4/11 (d)

2,371

2,395

Green Valley Ranch Gaming LLC term loan 5.49% 12/17/11 (d)

3,716

3,758

Herbst Gaming, Inc. term loan 5.6275% 1/7/11 (d)

3,591

3,604

Isle of Capri Casinos, Inc. term loan 5.1892% 2/4/11 (d)

1,592

1,608

Marina District Finance Co., Inc. term loan 5.185% 10/14/11 (d)

8,637

8,691

Motor City Casino Tranche B, term loan 5.48% 7/29/12 (d)

13,610

13,780

Pinnacle Entertainment, Inc. term loan:

LIBOR + 3% 8/27/10 (d)

758

762

6.49% 8/27/10 (d)

875

886

Resorts International Hotel & Casino, Inc. Tranche B1, term loan 5.99% 4/26/12 (d)

4,451

4,513

Trump Entertainment Resorts Holdings LP Tranche B, term loan 6.1395% 5/20/12 (d)

14,650

14,925

Venetian Casino Resort LLC Tranche B, term loan 5.24% 6/15/11 (d)

24,200

24,503

Wynn Las Vegas LLC term loan 5.615% 12/14/11 (d)

12,650

12,792

116,290

Healthcare - 7.3%

Accredo Health, Inc. Tranche B, term loan 5.24% 6/30/11 (d)

4,614

4,614

Alliance Imaging, Inc. Tranche C1, term loan 5.8675% 12/29/11 (d)

2,736

2,774

AMR HoldCo, Inc./ EmCare HoldCo, Inc. term loan 5.6734% 2/7/12 (d)

7,182

7,290

Beverly Enterprises, Inc. term loan 6.1086% 10/22/08 (d)

1,965

1,975

Community Health Systems, Inc. term loan 5.07% 8/19/11 (d)

36,301

36,845

Concentra Operating Corp. term loan 6.0095% 6/30/10 (d)

4,551

4,614

CONMED Corp. Tranche C, term loan 5.71% 12/15/09 (d)

383

388

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Healthcare - continued

Cooper Companies, Inc. Tranche B, term loan 5% 1/6/12 (d)

$ 10,780

$ 10,861

DaVita, Inc. Tranche B, term loan LIBOR + 2.25% 7/30/12 (d)

50,000

50,813

Express Scripts, Inc. Tranche B, term loan 4.7681% 2/13/10 (d)

4,938

4,987

Fisher Scientific International, Inc. term loan 4.99% 8/2/11 (d)

7,920

7,970

HCA, Inc. term loan 4.49% 11/9/09 (d)

22,000

21,835

HealthSouth Corp.:

Credit-Linked Deposit 5.94% 6/14/07 (d)

5,253

5,312

term loan:

5.98% 6/14/07 (d)

19,719

19,941

8.39% 6/15/10 (d)

2,000

2,025

Iasis Healthcare LLC Tranche B, term loan 5.7663% 6/22/11 (d)

14,357

14,573

Kinetic Concepts, Inc. Tranche B1, term loan 5.24% 8/11/10 (d)

5,246

5,312

LifePoint Hospitals, Inc. Tranche B, term loan 5.0131% 4/15/12 (d)

24,750

24,967

Mylan Laboratories, Inc. Tranche B, term loan 5.4% 6/30/10 (d)

4,520

4,577

PacifiCare Health Systems, Inc. Tranche B, term loan 5.0656% 12/6/10 (d)

19,900

19,950

Psychiatric Solutions, Inc. term loan 5.3375% 7/1/12 (d)

7,900

8,009

Renal Care Group, Inc.:

term loan 4.99% 2/10/09 (d)

2,794

2,801

Tranche A, term loan 4.73% 2/10/09 (d)

3,000

3,008

Sybron Dental Management, Inc. term loan 5.2347% 6/6/09 (d)

571

573

U.S. Oncology, Inc. Tranche B, term loan 6.2717% 8/20/11 (d)

8,597

8,747

Vanguard Health Holding Co. I term loan 6.74% 9/23/11 (d)

5,806

5,893

Vicar Operating, Inc. term loan 5% 5/16/11 (d)

2,993

3,019

VWR Corp. Tranche B, term loan 6.14% 4/7/11 (d)

5,773

5,838

Warner Chilcott Corp. term loan 6.1091% 1/18/12 (d)

19,957

20,156

309,667

Homebuilding/Real Estate - 1.8%

Apartment Investment & Management Co. term loan 5.21% 11/2/09 (d)

2,100

2,124

Blount, Inc. Tranche B, term loan 5.9881% 8/9/10 (d)

3,127

3,174

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Homebuilding/Real Estate - continued

CB Richard Ellis Services, Inc. term loan 5.3167% 3/31/10 (d)

$ 8,349

$ 8,412

Corrections Corp. of America Tranche C, term loan 5.3522% 3/31/08 (d)

691

701

Crescent Real Estate Funding XII LP term loan 5.59% 1/12/06 (d)

2,044

2,054

General Growth Properties, Inc.:

Tranche A, term loan 5.59% 11/12/07 (d)

23,730

23,938

Tranche B, term loan 5.49% 11/12/08 (d)

29,874

30,285

Landsource Communication Development LLC Tranche B, term loan 5.9375% 3/31/10 (d)

2,800

2,821

LNR Property Corp. Tranche B, term loan 6.3396% 2/3/08 (d)

1,840

1,860

Maguire Properties, Inc. Tranche B, term loan 5.09% 3/15/10 (d)

1,844

1,849

77,218

Hotels - 0.5%

Starwood Hotels & Resorts Worldwide, Inc. term loan 4.74% 10/9/06 (d)

13,865

13,865

Wyndham International, Inc. Tranche 1:

Credit-Linked Deposit 6.435% 5/6/11 (d)

694

696

term loan 6.625% 5/6/11 (d)

7,338

7,356

21,917

Insurance - 0.1%

Conseco, Inc. term loan 6.99% 6/22/10 (d)

3,744

3,753

USI Holdings Corp. term loan 6.18% 8/11/08 (d)

1,960

1,965

5,718

Leisure - 1.0%

Six Flags Theme Park, Inc. Tranche B, term loan 6.1612% 6/30/09 (d)

22,373

22,709

Universal City Development Partners Ltd. term loan 5.4599% 6/9/11 (d)

18,000

18,247

Yankees Holdings LP term loan 5.782% 6/25/07 (d)

943

943

41,899

Metals/Mining - 1.8%

Compass Minerals Tranche B, term loan 5.9181% 11/28/09 (d)

88

89

Foundation Pennsylvania Coal Co. Tranche B, term loan 5.5436% 7/30/11 (d)

20,233

20,587

ICG LLC term loan 6.1% 10/1/10 (d)

8,674

8,685

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Metals/Mining - continued

Murray Energy Corp. Tranche 1, term loan 6.49% 1/28/10 (d)

$ 2,993

$ 3,007

Novelis, Inc. term loan 4.96% 1/7/12 (d)

19,160

19,423

Peabody Energy Corp. term loan 4.431% 3/21/10 (d)

14,875

14,949

Stillwater Mining Co. term loan 6.8485% 7/30/10 (d)

2,655

2,701

Trout Coal Holdings LLC / Dakota Tranche 1, term loan 5.9858% 3/23/11 (d)

5,985

5,985

75,426

Paper - 3.5%

Appleton Papers, Inc. term loan 5.4494% 6/11/10 (d)

3,810

3,838

Boise Cascade Holdings LLC Tranche B, term loan 5.25% 10/26/11 (d)

32,080

32,601

Buckeye Technologies, Inc. term loan 4.9313% 3/15/08 (d)

3,238

3,275

Escanaba Timber LLC term loan 6% 5/2/08 (d)

5,020

5,102

Georgia-Pacific Corp. term loan 4.78% 7/2/09 (d)

21,000

21,000

Graphic Packaging International, Inc. Tranche B, term loan 6.0272% 8/8/10 (d)

16,094

16,335

Jefferson Smurfit Corp. U.S.:

Tranche B, term loan 6.31% 9/16/10 (d)

220

224

Tranche C, term loan 6.81% 9/16/11 (d)

241

245

Koch Cellulose LLC:

term loan 5.24% 5/7/11 (d)

7,709

7,815

Credit-Linked Deposit 4.84% 5/7/11 (d)

2,375

2,407

NewPage Corp. term loan 6.3793% 5/2/11 (d)

6,000

6,105

Smurfit-Stone Container Enterprises, Inc.:

Credit-Linked Deposit 3.24% 11/1/10 (d)

4,164

4,216

Tranche B, term loan 5.4668% 11/1/11 (d)

29,464

29,832

Tranche C, term loan 5.375% 11/1/11 (d)

7,900

7,999

Xerium Technologies, Inc. Tranche B, term loan 5.49% 5/18/12 (d)

5,000

5,069

146,063

Publishing/Printing - 2.0%

CBD Media, Inc. Tranche D, term loan 5.84% 12/31/09 (d)

6,258

6,344

Dex Media East LLC/Dex Media East Finance Co.:

Tranche A, term loan 4.6927% 11/8/08 (d)

3,218

3,230

Tranche B, term loan 5.0829% 5/8/09 (d)

6,498

6,588

Dex Media West LLC/Dex Media West Finance Co.:

Tranche A, term loan 4.7168% 9/9/09 (d)

2,858

2,865

Tranche B, term loan 5.1299% 9/9/10 (d)

15,111

15,337

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Publishing/Printing - continued

Freedom Communications, Inc. Tranche B, term loan 4.83% 5/1/13 (d)

$ 2,993

$ 3,022

Herald Media, Inc. term loan 5.99% 7/22/11 (d)

2,475

2,494

Liberty Group Operating, Inc. Tranche B, term loan 5.625% 2/28/12 (d)

1,478

1,483

MediaNews Group, Inc. Tranche C, term loan 4.99% 12/30/10 (d)

9,900

9,962

Morris Communications Co. LLC:

Tranche A, term loan 5% 9/30/10 (d)

975

981

Tranche C, term loan 5.25% 3/31/11 (d)

1,990

2,010

R.H. Donnelley Corp. Tranche B2, term loan 5.2027% 6/30/11 (d)

26,123

26,450

Sun Media Corp. Canada Tranche B, term loan 5.68% 2/7/09 (d)

1,733

1,748

82,514

Railroad - 0.3%

Kansas City Southern Railway Co. Tranche B1, term loan 5.1572% 3/30/08 (d)

9,950

10,099

RailAmerica, Inc. term loan 5.3125% 9/29/11 (d)

4,553

4,633

14,732

Restaurants - 1.1%

Arby's Restaurant Group, Inc. Tranche B, term loan 5.7313% 7/25/12 (d)

5,000

5,056

Burger King Corp. Tranche B, term loan 5.1875% 6/30/12 (d)

17,620

17,884

CKE Restaurants, Inc. term loan 5.5% 5/1/10 (d)

1,598

1,614

Domino's, Inc. term loan 5.25% 6/25/10 (d)

9,643

9,764

Jack in the Box, Inc. term loan 5.0443% 1/8/11 (d)

3,543

3,592

Landry's Seafood Restaurants, Inc. term loan 5.24% 12/28/10 (d)

6,070

6,153

Ruth's Chris Steak House, Inc. term loan 6.5% 3/11/11 (d)

1,924

1,924

45,987

Services - 1.0%

CACI International, Inc. term loan 4.955% 4/30/11 (d)

4,987

5,031

Coinmach Corp. Tranche B, term loan 6.3961% 7/25/09 (d)

2,127

2,153

Coinstar, Inc. term loan 5.55% 7/1/11 (d)

6,122

6,213

Iron Mountain, Inc.:

term loan 5.125% 4/2/11 (d)

11,281

11,394

Tranche R, term loan 5.1593% 4/2/11 (d)

4,975

5,025

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Services - continued

JohnsonDiversey, Inc. Tranche B, term loan 4.9641% 11/3/09 (d)

$ 2,751

$ 2,772

Knowledge Learning Corp. term loan 5.99% 1/7/12 (d)

2,867

2,867

Rural/Metro Corp.:

Credit-Linked Deposit 5.84% 3/4/11 (d)

408

413

term loan 6.0297% 3/4/11 (d)

1,491

1,509

United Rentals, Inc.:

term loan 5.73% 2/14/11 (d)

2,465

2,490

Tranche B, Credit-Linked Deposit 5.4207% 2/14/11 (d)

499

504

Wackenhut Corrections Corp. term loan 5.9799% 7/9/09 (d)

805

816

41,187

Shipping - 0.2%

Baker Tanks, Inc. term loan 5.9314% 1/30/11 (d)

3,285

3,310

Horizon Lines LLC Tranche B, term loan 5.99% 7/7/11 (d)

3,812

3,869

7,179

Super Retail - 0.2%

Alimentation Couche-Tard, Inc. term loan 5.1875% 12/17/10 (d)

1,568

1,584

Blockbuster, Inc. Tranche A, term loan 5.785% 8/20/09 (d)

2,000

1,972

Buhrmann US, Inc. Tranche B1, term loan 5.6909% 12/31/10 (d)

5,633

5,739

9,295

Technology - 3.8%

AMI Semiconductor, Inc. term loan 4.99% 4/1/12 (d)

2,993

3,000

Anteon International Corp. term loan 5.24% 12/31/10 (d)

6,910

6,962

Fairchild Semiconductor Corp. Tranche B3, term loan 5.354% 12/31/10 (d)

8,955

9,045

Fidelity National Information Solutions, Inc. Tranche B, term loan 5.1% 3/9/13 (d)

27,061

27,095

Global Imaging Systems, Inc. term loan 4.9175% 5/10/10 (d)

2,723

2,740

K & F Industries, Inc. term loan 6.0359% 11/18/12 (d)

7,315

7,388

ON Semiconductor Corp. Tranche G, term loan 6.5% 12/15/11 (d)

5,958

6,047

Seagate Technology Holdings, Inc. term loan 5.5% 5/13/07 (d)

1,940

1,959

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Technology - continued

SunGard Data Systems, Inc. Tranche B, term loan 6.28% 2/10/13 (d)

$ 75,000

$ 75,938

Verifone, Inc. Tranche B, term loan 5.69% 6/30/11 (d)

2,880

2,880

Xerox Corp. term loan 5.24% 9/30/08 (d)

17,000

17,128

160,182

Telecommunications - 6.6%

AAT Communications Corp.:

Tranche 2, term loan 6.25% 7/29/13 (d)

2,760

2,795

Tranche B1, term loan 5.24% 7/29/12 (d)

17,620

17,840

Alaska Communications Systems Holding term loan:

5.49% 2/1/12 (d)

8,000

8,100

5.59% 2/1/12 (d)

1,000

1,013

American Tower LP Tranche C, term loan 5.2099% 8/31/11 (d)

24,608

24,885

Centennial Cellular Operating Co. LLC term loan 5.6806% 2/9/11 (d)

14,832

14,981

FairPoint Communications, Inc. Tranche B, term loan 5.5457% 2/8/12 (d)

3,500

3,548

Hawaiian Telcom Communications, Inc. Tranche B, term loan 5.73% 10/31/12 (d)

3,000

3,030

Intelsat Ltd. term loan 5.25% 7/28/11 (d)

19,557

19,752

Iowa Telecommunication Services, Inc. Tranche B, term loan 5.4963% 11/23/11 (d)

4,000

4,050

Madison River Capital LLC/Madison River Finance Corp. Tranche B, term loan 6.04% 7/28/12 (d)

9,000

9,158

New Skies Satellites BV term loan 5.8422% 5/2/11 (d)

5,928

6,017

Nextel Partners Operating Corp. Tranche D, term loan 4.83% 5/31/12 (d)

18,000

18,135

NTELOS, Inc. Tranche B, term loan 5.99% 8/24/11 (d)

6,965

6,991

Qwest Corp.:

Tranche A, term loan 8.1% 6/30/07 (d)

33,400

34,569

Tranche B, term loan 6.95% 6/30/10 (d)

9,000

8,978

SBA Senior Finance, Inc. Tranche C, term loan 5.5486% 10/31/08 (d)

12,761

12,936

SpectraSite Communications, Inc. Tranche B, term loan 4.91% 5/19/12 (d)

28,512

28,797

Triton PCS, Inc. term loan 6.74% 11/18/09 (d)

14,925

14,962

USA Mobility, Inc. term loan 5.93% 11/16/06 (d)

1,192

1,195

Valor Telecommunications Enterprises LLC/Valor Finance Corp. Tranche B, term loan 5.49% 2/14/12 (d)

9,135

9,226

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Telecommunications - continued

Western Wireless Corp.:

Tranche A, term loan 5.5616% 5/28/10 (d)

$ 10,779

$ 10,779

Tranche B, term loan 6.9057% 5/26/11 (d)

17,180

17,180

278,917

Textiles & Apparel - 0.3%

Polymer Group, Inc. term loan 6.73% 4/27/10 (d)

933

947

William Carter Co. term loan 5.4452% 6/29/12 (d)

10,000

10,150

11,097

TOTAL FLOATING RATE LOANS

(Cost $3,087,424)

3,115,873

Nonconvertible Bonds - 13.2%

Aerospace - 0.1%

L-3 Communications Corp. 6.375% 10/15/15 (c)

3,000

3,034

Automotive - 0.3%

Delco Remy International, Inc. 7.5988% 4/15/09 (d)

1,000

1,003

General Motors Acceptance Corp.:

4.13% 3/20/07 (d)

2,000

1,967

4.87% 10/20/05 (d)

10,000

10,014

12,984

Banks and Thrifts - 0.1%

Doral Financial Corp. 4.45% 7/20/07 (d)

3,800

3,610

Broadcasting - 0.8%

Granite Broadcasting Corp. 9.75% 12/1/10

4,545

4,215

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

1,000

1,090

Paxson Communications Corp. 6.3488% 1/15/10 (c)(d)

8,500

8,511

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

7,000

7,508

XM Satellite Radio, Inc. 8.71% 5/1/09 (d)

11,700

11,788

33,112

Building Materials - 0.1%

Texas Industries, Inc. 7.25% 7/15/13 (c)

2,000

2,110

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

Cable TV - 2.2%

Cablevision Systems Corp. 7.88% 4/1/09 (d)

$ 5,000

$ 5,150

CSC Holdings, Inc.:

7.875% 12/15/07

6,000

6,210

10.5% 5/15/16

2,000

2,175

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

1,963

2,174

EchoStar DBS Corp. 6.7544% 10/1/08 (d)

76,285

78,001

93,710

Capital Goods - 0.1%

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

3,000

3,034

Chemicals - 0.7%

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

2,000

2,225

Georgia Gulf Corp. 7.625% 11/15/05

2,000

2,024

Huntsman Advanced Materials LLC 11.83% 7/15/08 (d)

2,130

2,237

Huntsman International LLC 9.875% 3/1/09

3,000

3,206

Huntsman LLC 11.0988% 7/15/11 (d)

2,000

2,160

Methanex Corp. yankee 7.75% 8/15/05

13,125

13,141

Millennium America, Inc. 7% 11/15/06

5,000

5,113

30,106

Containers - 0.1%

Ball Corp. 7.75% 8/1/06

5,000

5,163

Diversified Financial Services - 0.5%

Residential Capital Corp. 4.835% 6/29/07 (c)(d)

20,000

20,021

Diversified Media - 0.6%

Liberty Media Corp. 4.91% 9/17/06 (d)

26,000

26,145

Electric Utilities - 0.9%

AES Corp. 8.75% 6/15/08

3,000

3,225

Allegheny Energy Supply Co. LLC 10.25% 11/15/07 (c)

7,422

8,071

Allegheny Energy, Inc. 7.75% 8/1/05

3,000

3,008

CMS Energy Corp. 9.875% 10/15/07

12,000

13,140

Power Contract Financing LLC 5.2% 2/1/06 (c)

492

482

TECO Energy, Inc.:

5.37% 5/1/10 (c)(d)

5,000

5,113

6.125% 5/1/07

4,000

4,090

37,129

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

Energy - 1.6%

El Paso Corp. 7.625% 8/16/07 (c)

$ 4,000

$ 4,130

El Paso Energy Corp. 6.95% 12/15/07

3,350

3,392

Parker Drilling Co. 8.08% 9/1/10 (d)

5,000

5,200

Pemex Project Funding Master Trust 4.71% 6/15/10 (c)(d)

25,000

25,750

Premcor Refining Group, Inc.:

9.25% 2/1/10

2,000

2,210

9.5% 2/1/13

2,000

2,290

Sonat, Inc. 7.625% 7/15/11

3,000

3,086

Southern Natural Gas Co. 8.875% 3/15/10

840

916

Tesoro Corp. 8% 4/15/08

1,000

1,049

The Coastal Corp.:

6.5% 5/15/06

6,000

6,045

7.5% 8/15/06

2,000

2,040

Transcontinental Gas Pipe Line Corp. 8.875% 7/15/12

2,000

2,408

Williams Companies, Inc. Credit Linked Certificate Trust IV 6.46% 5/1/09 (c)(d)

7,000

7,525

66,041

Entertainment/Film - 0.5%

AMC Entertainment, Inc. 7.5181% 8/15/10 (d)

21,000

21,735

Food and Drug Retail - 0.4%

Rite Aid Corp.:

6% 12/15/05 (c)

7,000

7,035

12.5% 9/15/06

8,000

8,620

15,655

Food/Beverage/Tobacco - 0.0%

Canandaigua Brands, Inc. 8.625% 8/1/06

1,000

1,038

Gaming - 0.1%

Mandalay Resort Group:

9.5% 8/1/08

2,000

2,205

10.25% 8/1/07

2,000

2,188

4,393

Healthcare - 0.1%

HCA, Inc. 5.5% 12/1/09

1,000

994

HealthSouth Corp. 7.375% 10/1/06

2,000

2,025

Service Corp. International (SCI) 6.5% 3/15/08

2,000

2,050

5,069

Leisure - 0.2%

Universal City Florida Holding Co. I/II 7.96% 5/1/10 (d)

6,140

6,416

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

Metals/Mining - 0.4%

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

$ 6,000

$ 5,918

10.125% 2/1/10

11,470

12,760

18,678

Paper - 0.1%

Boise Cascade LLC/Boise Cascade Finance Corp. 6.4738% 10/15/12 (d)

2,190

2,212

Publishing/Printing - 0.2%

Dex Media East LLC/Dex Media East Finance Co. 9.875% 11/15/09

3,000

3,285

R.H. Donnelley Finance Corp. I 8.875% 12/15/10

5,000

5,450

8,735

Shipping - 0.1%

OMI Corp. 7.625% 12/1/13

2,000

2,035

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

3,620

3,466

5,501

Steels - 0.3%

Ispat Inland ULC 10.2544% 4/1/10 (d)

13,000

13,845

Technology - 0.4%

Freescale Semiconductor, Inc. 6.3488% 7/15/09 (d)

16,000

16,520

Telecommunications - 2.3%

AirGate PCS, Inc. 7.3488% 10/15/11 (d)

2,000

2,080

America Movil SA de CV 4.2875% 4/27/07 (d)

1,000

1,000

American Tower Corp. 9.375% 2/1/09

592

622

Intelsat Ltd. 8.695% 1/15/12 (c)(d)

7,000

7,140

Nextel Partners, Inc. 12.5% 11/15/09

3,000

3,255

Qwest Communications International, Inc. 6.7681% 2/15/09 (d)

3,000

3,008

Qwest Corp. 6.6706% 6/15/13 (c)(d)

33,150

34,559

Rogers Communications, Inc.:

6.375% 3/1/14

3,000

3,060

6.535% 12/15/10 (d)

24,310

25,313

Rural Cellular Corp.:

7.91% 3/15/10 (d)

13,000

13,520

8.25% 3/15/12

4,000

4,240

97,797

Textiles & Apparel - 0.0%

Levi Strauss & Co. 8.2544% 4/1/12 (d)

2,000

2,000

TOTAL NONCONVERTIBLE BONDS

(Cost $549,380)

555,793

U.S. Treasury Obligations - 0.4%

Principal Amount (000s)

Value
(000s)

U.S. Treasury Notes 3.375% 2/28/07
(Cost $16,932)

$ 17,000

$ 16,840

Commercial Mortgage Securities - 0.0%

CS First Boston Mortgage Securities Corp. Series 2000-FL1A Class F, 5.845% 12/15/09 (c)(d)
(Cost $368)

679

68

Foreign Government and Government Agency Obligations - 0.1%

Venezuelan Republic 4.64% 4/20/11 (d)
(Cost $2,424)

3,000

2,783

Common Stocks - 0.0%

Shares

Automotive - 0.0%

Exide Technologies warrants 3/18/06 (a)
(Cost $0)

45

0

Money Market Funds - 15.9%

Fidelity Cash Central Fund, 3.31% (b)

541,993,198

541,993

Fidelity Money Market Central Fund, 3.41% (b)

127,909,757

127,910

TOTAL MONEY MARKET FUNDS

(Cost $669,903)

669,903

Cash Equivalents - 0.4%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.27%, dated 7/29/05 due 8/1/05)
(Cost $19,296)

$ 19,301

19,296

TOTAL INVESTMENT PORTFOLIO - 103.8%

(Cost $4,345,727)

4,380,556

NET OTHER ASSETS - (3.8)%

(160,115)

NET ASSETS - 100%

$ 4,220,441

Legend

(a) Non-income producing

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

(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 period end, the value of these securities amounted to $133,549,000 or 3.2% of net assets.

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

(e) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $4,345,172,000. Net unrealized appreciation aggregated $35,384,000, of which $38,623,000 related to appreciated investment securities and $3,239,000 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 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 Floating Rate
High Income Fund

(A Class of Fidelity® Advisor
Floating Rate High Income Fund)

July 31, 2005

1.804976.101

FHI-QTLY-0905

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

Floating Rate Loans (e) - 73.8%

Principal Amount (000s)

Value
(000s)

Aerospace - 0.6%

DRS Technologies, Inc. term loan 5.2017% 11/4/10 (d)

$ 716

$ 725

Mid-Western Aircraft Systems, Inc. Tranche B, term loan 5.5838% 12/31/11 (d)

14,180

14,410

Standard Aero Holdings, Inc. term loan 5.7228% 8/24/12 (d)

6,646

6,746

Transdigm, Inc. term loan 5.8% 7/22/10 (d)

1,576

1,595

23,476

Air Transportation - 0.0%

United Air Lines, Inc. Tranche B, term loan 7.96% 12/30/05 (d)

2,000

2,023

Automotive - 1.8%

Accuride Corp. term loan 5.6453% 1/31/12 (d)

5,659

5,723

Advance Auto Parts, Inc. Tranche B, term loan 5.1366% 9/30/10 (d)

2,991

3,024

Affinia Group, Inc. Tranche B, term loan 6.4% 11/30/11 (d)

1,512

1,516

AM General LLC Tranche B1, term loan 8.0756% 11/1/11 (d)

1,900

1,981

Enersys Capital, Inc. term loan 5.3435% 3/17/11 (d)

990

995

Federal-Mogul Corp. Tranche C, term loan 7.24% 1/1/49 (d)

2,000

2,000

Goodyear Tire & Rubber Co. Tranche 1, 4.7852% 4/30/10 (d)

21,820

21,984

Key Safety Systems, Inc. Tranche B, term loan 6.3444% 6/24/10 (d)

2,724

2,731

Mark IV Industries, Inc. Tranche B, term loan 6.432% 6/23/11 (d)

2,949

2,978

Rexnord Corp. term loan 6.7967% 12/31/11 (d)

2,949

2,997

Tenneco Auto, Inc.:

Tranche B, term loan 5.54% 12/12/10 (d)

3,042

3,080

Tranche B1, Credit-Linked Deposit 5.59% 12/12/10 (d)

1,336

1,353

Travelcenters of America, Inc. Tranche B, term loan 5.26% 12/1/11 (d)

7,573

7,667

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Automotive - continued

TRW Automotive Holdings Corp.:

Tranche B, term loan 5.25% 6/30/12 (d)

$ 2,301

$ 2,324

Tranche E, term loan 4.9375% 10/31/10 (d)

14,925

15,074

75,427

Broadcasting - 1.2%

Emmis Operating Co. Tranche B, term loan 5.13% 11/10/11 (d)

21,890

22,082

Gray Television, Inc. Tranche B, term loan 5.01% 12/31/12 (d)

2,624

2,644

Nexstar Broadcasting, Inc. Tranche B, term loan 4.87% 10/1/12 (d)

15,000

15,113

Raycom TV Broadcasting, Inc.:

Tranche A, term loan 5.3125% 10/6/11 (d)

2,000

2,003

Tranche B, term loan 5.5% 4/6/12 (d)

3,000

3,023

Spanish Broadcasting System, Inc. Tranche 1, term loan 5.49% 6/10/12 (d)

7,980

8,090

52,955

Building Materials - 0.9%

Contech Construction Products, Inc., Ohio term loan 5.8724% 11/30/10 (d)

2,366

2,401

Goodman Global Holdings, Inc. term loan 5.875% 12/23/11 (d)

5,398

5,472

Masonite International Corp. term loan 5.6568% 4/5/13 (d)

16,459

16,500

Nortek Holdings, Inc. term loan 5.918% 8/27/11 (d)

11,910

12,074

36,447

Cable TV - 10.5%

Adelphia Communications Corp. Tranche B, term loan 5.375% 3/31/06 (d)

30,350

30,502

Century Cable Holdings LLC Tranche B, term loan 8.25% 6/30/09 (d)

2,703

2,676

Century-TCI California LP term loan 6.25% 12/31/07 (d)

7,016

6,990

Charter Communications Operating LLC:

Tranche A, term loan 6.68% 4/27/10 (d)

8,989

8,910

Tranche B, term loan 6.9298% 4/7/11 (d)

113,802

113,355

Cox Communications, Inc. term loan 4.2631% 12/8/09 (d)

16,000

16,000

DIRECTV Holdings LLC Tranche B, term loan 4.9088% 4/13/13 (d)

24,347

24,621

Hilton Head Communications LP Tranche B, term loan 7.5% 3/31/08 (d)

5,150

5,034

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Cable TV - continued

Insight Midwest Holdings LLC:

Tranche A, term loan 5.125% 6/30/09 (d)

$ 22,307

$ 22,391

Tranche C, term loan 5.125% 12/31/09 (d)

14,782

14,967

Mediacom Broadband LLC/Mediacom Broadband Corp. Tranche B, term loan 5.4441% 2/1/14 (d)

3,960

4,019

Mediacom LLC Tranche B, term loan 5.7153% 3/31/13 (d)

13,930

14,139

NTL Investment Holdings Ltd. Tranche B, term loan 6.41% 6/13/12 (d)

42,647

42,860

Olympus Cable Holdings LLC Tranche A, term loan 7.5% 6/30/10 (d)

11,200

11,032

PanAmSat Corp. Tranche B, term loan 5.65% 8/20/11 (d)

52,597

53,452

Rainbow Media Holdings, Inc. Tranche B, term loan 6.13% 3/31/12 (d)

5,985

6,030

Telewest Global Finance LLC:

Tranche B, term loan 5.5999% 12/20/12 (d)

11,216

11,244

Tranche C, term loan 6.3499% 12/20/13 (d)

8,577

8,598

UPC Broadband Holding BV Tranche H2, term loan 6.2544% 9/30/12 (d)

33,000

33,248

UPC Distribution Holdings BV Tranche F, term loan 7.19% 12/31/11 (d)

11,008

11,159

441,227

Capital Goods - 1.3%

AGCO Corp. term loan 5.1866% 7/3/09 (d)

9,363

9,515

Amsted Industries, Inc. Tranche B, term loan 6.1196% 10/15/10 (d)

6,723

6,857

Dresser, Inc. Tranche C, term loan 5.99% 4/10/09 (d)

4,278

4,342

Dresser-Rand Group, Inc. Tranche B, term loan 5.4479% 10/29/11 (d)

7,381

7,500

Flowserve Corp. Tranche C, term loan 6.2233% 6/30/09 (d)

1,195

1,207

Hexcel Corp. Tranche B, term loan 5.2632% 3/1/12 (d)

5,057

5,120

Invensys International Holding Ltd.:

Tranche A, term loan 6.3513% 3/5/09 (d)

1,946

1,961

Tranche B1, term loan 6.8813% 9/4/09 (d)

10,749

10,856

Terex Corp.:

term loan 6.18% 12/31/09 (d)

1,496

1,511

Tranche B, term loan 5.68% 7/3/09 (d)

7,347

7,421

TriMas Corp. Tranche B, term loan 6.9% 12/31/09 (d)

861

870

57,160

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Chemicals - 3.1%

Celanese AG Credit-Linked Deposit 5.84% 4/6/09 (d)

$ 6,000

$ 6,075

Celanese Holding LLC term loan 5.74% 4/6/11 (d)

34,934

35,545

Hercules, Inc. Tranche B, term loan 5.3065% 10/8/10 (d)

5,439

5,493

Huntsman International LLC term loan 5.75% 12/31/10 (d)

15,179

15,179

Huntsman LLC Tranche B, term loan 6.4% 3/31/10 (d)

17,485

17,485

Innophos, Inc. Tranche B, term loan 5.5507% 8/13/10 (d)

4,180

4,206

Mosaic Co. Tranche B, term loan 5.2184% 2/21/12 (d)

11,771

11,918

Nalco Co. Tranche B, term loan 5.6522% 11/4/10 (d)

18,536

18,838

Rockwood Specialties Group, Inc. Tranche B, term loan 5.93% 7/30/12 (d)

14,627

14,773

SGL Carbon LLC term loan 5.9901% 12/31/09 (d)

2,867

2,881

132,393

Consumer Products - 1.7%

American Achievement Corp. Tranche B, term loan 6.0019% 3/25/11 (d)

3,144

3,183

Central Garden & Pet Co. Tranche B, term loan 5.1922% 5/14/09 (d)

980

990

Church & Dwight Co., Inc. Tranche B, term loan 5.24% 5/28/11 (d)

8,115

8,216

Jarden Corp.:

term loan 5.49% 1/24/12 (d)

12,121

12,227

Tranche B2, term loan 5.27% 1/24/12 (d)

3,597

3,615

Jostens IH Corp. Tranche B, term loan 5.9378% 10/4/11 (d)

14,013

14,188

Rayovac Corp. term loan 5.485% 2/7/12 (d)

5,087

5,144

Revlon Consumer Products Corp. term loan 9.4286% 7/9/10 (d)

6,750

6,969

Sealy Mattress Co. Tranche D, term loan 5.0355% 4/6/12 (d)

7,942

8,022

Simmons Bedding Co. Tranche C, term loan 5.8589% 12/19/11 (d)

4,809

4,821

Weight Watchers International, Inc.:

Tranche B, term loan 5.18% 3/31/10 (d)

1,214

1,227

Tranche C, term loan 5.1144% 3/31/10 (d)

1,985

2,000

70,602

Containers - 2.3%

Berry Plastics Corp. term loan 5.6004% 12/2/11 (d)

9,250

9,423

BWAY Corp. Tranche B term loan 5.75% 6/30/11 (d)

5,468

5,530

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Containers - continued

Graham Packaging Holdings Co. Tranche B1, term loan 6.0275% 10/4/11 (d)

$ 43,979

$ 44,584

Intertape Polymer, Inc. Tranche B, term loan 5.7187% 7/28/11 (d)

6,945

7,058

Owens-Illinois Group, Inc.:

Tranche A1, term loan 5.12% 4/1/07 (d)

6,328

6,383

Tranche B1, term loan 5.19% 4/1/08 (d)

5,185

5,237

Owens-Illinois, Inc. Tranche C1, term loan 5.27% 4/1/08 (d)

7,360

7,415

Solo Cup Co. term loan 5.4033% 2/27/11 (d)

10,397

10,514

96,144

Diversified Financial Services - 0.4%

Global Cash Access LLC/Global Cash Access Finance Corp. Tranche B, term loan 5.74% 3/10/10 (d)

5,546

5,629

Newkirk Master LP:

term loan 7.9475% 11/24/06 (d)

1,778

1,778

Tranche B term loan 5.5706% 7/31/08 (d)

6,130

6,199

Refco Finance Holdings LLC term loan 5.48% 8/5/11 (d)

3,220

3,240

16,846

Diversified Media - 0.8%

Adams Outdoor Advertising Ltd. term loan 5.6366% 10/18/12 (d)

3,120

3,163

CanWest Media, Inc. Tranche E, term loan 5.6381% 8/15/09 (d)

2,450

2,474

Entravision Communications Corp. Tranche B, term loan 5.24% 2/24/12 (d)

6,000

6,045

Lamar Media Corp.:

Tranche A, term loan 4.625% 6/30/09 (d)

1,850

1,862

Tranche C, term loan 5.0625% 6/30/10 (d)

15,865

16,023

R.H. Donnelley Corp. Tranche A3, term loan 5.2066% 12/31/09 (d)

2,042

2,057

Thomson Media, Inc. Tranche B1, term loan 5.74% 11/8/11 (d)

3,388

3,435

35,059

Electric Utilities - 4.1%

AES Corp. term loan 5.63% 8/10/11 (d)

5,429

5,496

Allegheny Energy Supply Co. LLC term loan 5.1825% 3/8/11 (d)

32,114

32,515

Centerpoint Energy House Electric LLC term loan 13.2425% 11/11/05 (d)

31,950

32,829

Dynegy Holdings, Inc. term loan 7.34% 5/28/10 (d)

10,212

10,263

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Electric Utilities - continued

Midwest Generation LLC term loan 5.4398% 4/27/11 (d)

$ 929

$ 940

NRG Energy, Inc.:

Credit-Linked Deposit 5.265% 12/24/11 (d)

8,094

8,134

term loan 5.2554% 12/24/11 (d)

10,354

10,406

Riverside Energy Center LLC:

term loan 7.93% 6/24/11 (d)

12,723

12,978

Credit-Linked Deposit 7.93% 6/24/11 (d)

595

604

Texas Genco LLC term loan 5.4109% 12/14/11 (d)

57,520

58,311

172,476

Energy - 4.9%

ATP Oil & Gas Corp. term loan 8.908% 4/14/10 (d)

1,995

2,045

Belden & Blake Corp. term loan 6.0712% 7/7/11 (d)

4,895

4,889

Boart Longyear Holdings, Inc. Tranche 1, term loan 5.99% 7/22/12 (d)

3,450

3,502

Buckeye Pipe Line Co. term loan 5.8188% 12/17/11 (d)

2,936

2,958

Coffeyville Resources LLC:

Credit-Linked Deposit 6.063% 7/8/11 (d)

4,800

4,890

Tranche 2, term loan 10.3125% 7/8/13 (d)

2,000

2,060

Tranche B1, term loan 6.063% 7/8/12 (d)

7,200

7,335

El Paso Corp.:

Credit-Linked Deposit 5.855% 11/22/09 (d)

25,375

25,597

term loan 6.24% 11/22/09 (d)

42,121

42,648

Kerr-McGee Corp.:

Tranche B, term loan 5.79% 5/24/11 (d)

50,000

50,938

Tranche X, term loan 5.71% 5/24/07 (d)

14,000

14,035

Lyondell-Citgo Refining LP term loan 5.5095% 5/21/07 (d)

7,920

7,999

Magellan Midstream Holdings LP term loan 5.785% 6/30/12 (d)

1,000

1,016

Premcor Refining Group, Inc. Credit-Linked Deposit 5% 4/13/09 (d)

9,000

9,011

Pride Offshore, Inc. term loan 5.09% 7/7/11 (d)

2,749

2,783

Regency Gas Services LLC Tranche 1, term loan 6.25% 6/1/10 (d)

3,781

3,790

Universal Compression, Inc. term loan 5.24% 2/15/12 (d)

7,980

8,090

Williams Production RMT Co. Tranche C, term loan 5.64% 5/30/08 (d)

13,845

13,966

207,552

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Entertainment/Film - 2.2%

Alliance Atlantis Communications, Inc. Tranche B, term loan 5.21% 12/19/11 (d)

$ 3,990

$ 4,045

Cinemark USA, Inc. term loan 5.1795% 3/31/11 (d)

10,813

10,935

Loews Cineplex Entertainment Corp. term loan 5.64% 6/30/11 (d)

18,044

18,180

MGM Holdings II, Inc. Tranche B, term loan 5.74% 4/8/12 (d)

30,000

30,338

Regal Cinemas Corp. term loan 5.24% 11/10/10 (d)

27,686

27,963

91,461

Environmental - 0.9%

Allied Waste Industries, Inc.:

term loan 5.5406% 1/15/12 (d)

28,178

28,389

Tranche A, Credit-Linked Deposit 5.105% 1/15/12 (d)

10,755

10,836

Waste Services, Inc. Tranche B, term loan 7.887% 3/31/11 (d)

992

1,004

40,229

Food and Drug Retail - 1.4%

Jean Coutu Group (PJC) USA, Inc. Tranche B, term loan 5.5006% 7/30/11 (d)

30,271

30,801

Rite Aid Corp. term loan 5.1052% 9/21/09 (d)

27,797

27,936

58,737

Food/Beverage/Tobacco - 1.4%

Commonwealth Brands, Inc. term loan 6.8125% 8/28/07 (d)

323

329

Constellation Brands, Inc. Tranche B, term loan 5.2989% 11/30/11 (d)

39,388

39,978

Del Monte Corp. Tranche B, term loan 5.18% 2/8/12 (d)

1,796

1,820

Dr Pepper/Seven Up Bottling Group, Inc. Tranche B, term loan 5.3502% 12/19/10 (d)

9,218

9,321

Michael Foods, Inc. Tranche B, term loan 5.2864% 11/21/10 (d)

5,758

5,845

Reddy Ice Group, Inc. term loan:

5.3125% 4/29/12 (d)

2,000

2,023

6.0372% 8/15/09 (d)

764

769

6.0372% 8/15/09 (d)

286

286

60,371

Gaming - 2.8%

Alliance Gaming Corp. term loan 6.77% 9/5/09 (d)

3,724

3,724

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Gaming - continued

Ameristar Casinos, Inc.:

term loan 5.5% 12/20/06 (d)

$ 2,502

$ 2,537

Tranche B, term loan 5.5% 12/20/06 (d)

1,956

1,983

Argosy Gaming Co. term loan 6.75% 6/30/11 (d)

2,382

2,382

Boyd Gaming Corp. term loan 5.185% 6/30/11 (d)

13,380

13,447

Choctaw Resort Development Enterprise term loan 5.9053% 11/4/11 (d)

2,371

2,395

Green Valley Ranch Gaming LLC term loan 5.49% 12/17/11 (d)

3,716

3,758

Herbst Gaming, Inc. term loan 5.6275% 1/7/11 (d)

3,591

3,604

Isle of Capri Casinos, Inc. term loan 5.1892% 2/4/11 (d)

1,592

1,608

Marina District Finance Co., Inc. term loan 5.185% 10/14/11 (d)

8,637

8,691

Motor City Casino Tranche B, term loan 5.48% 7/29/12 (d)

13,610

13,780

Pinnacle Entertainment, Inc. term loan:

LIBOR + 3% 8/27/10 (d)

758

762

6.49% 8/27/10 (d)

875

886

Resorts International Hotel & Casino, Inc. Tranche B1, term loan 5.99% 4/26/12 (d)

4,451

4,513

Trump Entertainment Resorts Holdings LP Tranche B, term loan 6.1395% 5/20/12 (d)

14,650

14,925

Venetian Casino Resort LLC Tranche B, term loan 5.24% 6/15/11 (d)

24,200

24,503

Wynn Las Vegas LLC term loan 5.615% 12/14/11 (d)

12,650

12,792

116,290

Healthcare - 7.3%

Accredo Health, Inc. Tranche B, term loan 5.24% 6/30/11 (d)

4,614

4,614

Alliance Imaging, Inc. Tranche C1, term loan 5.8675% 12/29/11 (d)

2,736

2,774

AMR HoldCo, Inc./ EmCare HoldCo, Inc. term loan 5.6734% 2/7/12 (d)

7,182

7,290

Beverly Enterprises, Inc. term loan 6.1086% 10/22/08 (d)

1,965

1,975

Community Health Systems, Inc. term loan 5.07% 8/19/11 (d)

36,301

36,845

Concentra Operating Corp. term loan 6.0095% 6/30/10 (d)

4,551

4,614

CONMED Corp. Tranche C, term loan 5.71% 12/15/09 (d)

383

388

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Healthcare - continued

Cooper Companies, Inc. Tranche B, term loan 5% 1/6/12 (d)

$ 10,780

$ 10,861

DaVita, Inc. Tranche B, term loan LIBOR + 2.25% 7/30/12 (d)

50,000

50,813

Express Scripts, Inc. Tranche B, term loan 4.7681% 2/13/10 (d)

4,938

4,987

Fisher Scientific International, Inc. term loan 4.99% 8/2/11 (d)

7,920

7,970

HCA, Inc. term loan 4.49% 11/9/09 (d)

22,000

21,835

HealthSouth Corp.:

Credit-Linked Deposit 5.94% 6/14/07 (d)

5,253

5,312

term loan:

5.98% 6/14/07 (d)

19,719

19,941

8.39% 6/15/10 (d)

2,000

2,025

Iasis Healthcare LLC Tranche B, term loan 5.7663% 6/22/11 (d)

14,357

14,573

Kinetic Concepts, Inc. Tranche B1, term loan 5.24% 8/11/10 (d)

5,246

5,312

LifePoint Hospitals, Inc. Tranche B, term loan 5.0131% 4/15/12 (d)

24,750

24,967

Mylan Laboratories, Inc. Tranche B, term loan 5.4% 6/30/10 (d)

4,520

4,577

PacifiCare Health Systems, Inc. Tranche B, term loan 5.0656% 12/6/10 (d)

19,900

19,950

Psychiatric Solutions, Inc. term loan 5.3375% 7/1/12 (d)

7,900

8,009

Renal Care Group, Inc.:

term loan 4.99% 2/10/09 (d)

2,794

2,801

Tranche A, term loan 4.73% 2/10/09 (d)

3,000

3,008

Sybron Dental Management, Inc. term loan 5.2347% 6/6/09 (d)

571

573

U.S. Oncology, Inc. Tranche B, term loan 6.2717% 8/20/11 (d)

8,597

8,747

Vanguard Health Holding Co. I term loan 6.74% 9/23/11 (d)

5,806

5,893

Vicar Operating, Inc. term loan 5% 5/16/11 (d)

2,993

3,019

VWR Corp. Tranche B, term loan 6.14% 4/7/11 (d)

5,773

5,838

Warner Chilcott Corp. term loan 6.1091% 1/18/12 (d)

19,957

20,156

309,667

Homebuilding/Real Estate - 1.8%

Apartment Investment & Management Co. term loan 5.21% 11/2/09 (d)

2,100

2,124

Blount, Inc. Tranche B, term loan 5.9881% 8/9/10 (d)

3,127

3,174

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Homebuilding/Real Estate - continued

CB Richard Ellis Services, Inc. term loan 5.3167% 3/31/10 (d)

$ 8,349

$ 8,412

Corrections Corp. of America Tranche C, term loan 5.3522% 3/31/08 (d)

691

701

Crescent Real Estate Funding XII LP term loan 5.59% 1/12/06 (d)

2,044

2,054

General Growth Properties, Inc.:

Tranche A, term loan 5.59% 11/12/07 (d)

23,730

23,938

Tranche B, term loan 5.49% 11/12/08 (d)

29,874

30,285

Landsource Communication Development LLC Tranche B, term loan 5.9375% 3/31/10 (d)

2,800

2,821

LNR Property Corp. Tranche B, term loan 6.3396% 2/3/08 (d)

1,840

1,860

Maguire Properties, Inc. Tranche B, term loan 5.09% 3/15/10 (d)

1,844

1,849

77,218

Hotels - 0.5%

Starwood Hotels & Resorts Worldwide, Inc. term loan 4.74% 10/9/06 (d)

13,865

13,865

Wyndham International, Inc. Tranche 1:

Credit-Linked Deposit 6.435% 5/6/11 (d)

694

696

term loan 6.625% 5/6/11 (d)

7,338

7,356

21,917

Insurance - 0.1%

Conseco, Inc. term loan 6.99% 6/22/10 (d)

3,744

3,753

USI Holdings Corp. term loan 6.18% 8/11/08 (d)

1,960

1,965

5,718

Leisure - 1.0%

Six Flags Theme Park, Inc. Tranche B, term loan 6.1612% 6/30/09 (d)

22,373

22,709

Universal City Development Partners Ltd. term loan 5.4599% 6/9/11 (d)

18,000

18,247

Yankees Holdings LP term loan 5.782% 6/25/07 (d)

943

943

41,899

Metals/Mining - 1.8%

Compass Minerals Tranche B, term loan 5.9181% 11/28/09 (d)

88

89

Foundation Pennsylvania Coal Co. Tranche B, term loan 5.5436% 7/30/11 (d)

20,233

20,587

ICG LLC term loan 6.1% 10/1/10 (d)

8,674

8,685

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Metals/Mining - continued

Murray Energy Corp. Tranche 1, term loan 6.49% 1/28/10 (d)

$ 2,993

$ 3,007

Novelis, Inc. term loan 4.96% 1/7/12 (d)

19,160

19,423

Peabody Energy Corp. term loan 4.431% 3/21/10 (d)

14,875

14,949

Stillwater Mining Co. term loan 6.8485% 7/30/10 (d)

2,655

2,701

Trout Coal Holdings LLC / Dakota Tranche 1, term loan 5.9858% 3/23/11 (d)

5,985

5,985

75,426

Paper - 3.5%

Appleton Papers, Inc. term loan 5.4494% 6/11/10 (d)

3,810

3,838

Boise Cascade Holdings LLC Tranche B, term loan 5.25% 10/26/11 (d)

32,080

32,601

Buckeye Technologies, Inc. term loan 4.9313% 3/15/08 (d)

3,238

3,275

Escanaba Timber LLC term loan 6% 5/2/08 (d)

5,020

5,102

Georgia-Pacific Corp. term loan 4.78% 7/2/09 (d)

21,000

21,000

Graphic Packaging International, Inc. Tranche B, term loan 6.0272% 8/8/10 (d)

16,094

16,335

Jefferson Smurfit Corp. U.S.:

Tranche B, term loan 6.31% 9/16/10 (d)

220

224

Tranche C, term loan 6.81% 9/16/11 (d)

241

245

Koch Cellulose LLC:

term loan 5.24% 5/7/11 (d)

7,709

7,815

Credit-Linked Deposit 4.84% 5/7/11 (d)

2,375

2,407

NewPage Corp. term loan 6.3793% 5/2/11 (d)

6,000

6,105

Smurfit-Stone Container Enterprises, Inc.:

Credit-Linked Deposit 3.24% 11/1/10 (d)

4,164

4,216

Tranche B, term loan 5.4668% 11/1/11 (d)

29,464

29,832

Tranche C, term loan 5.375% 11/1/11 (d)

7,900

7,999

Xerium Technologies, Inc. Tranche B, term loan 5.49% 5/18/12 (d)

5,000

5,069

146,063

Publishing/Printing - 2.0%

CBD Media, Inc. Tranche D, term loan 5.84% 12/31/09 (d)

6,258

6,344

Dex Media East LLC/Dex Media East Finance Co.:

Tranche A, term loan 4.6927% 11/8/08 (d)

3,218

3,230

Tranche B, term loan 5.0829% 5/8/09 (d)

6,498

6,588

Dex Media West LLC/Dex Media West Finance Co.:

Tranche A, term loan 4.7168% 9/9/09 (d)

2,858

2,865

Tranche B, term loan 5.1299% 9/9/10 (d)

15,111

15,337

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Publishing/Printing - continued

Freedom Communications, Inc. Tranche B, term loan 4.83% 5/1/13 (d)

$ 2,993

$ 3,022

Herald Media, Inc. term loan 5.99% 7/22/11 (d)

2,475

2,494

Liberty Group Operating, Inc. Tranche B, term loan 5.625% 2/28/12 (d)

1,478

1,483

MediaNews Group, Inc. Tranche C, term loan 4.99% 12/30/10 (d)

9,900

9,962

Morris Communications Co. LLC:

Tranche A, term loan 5% 9/30/10 (d)

975

981

Tranche C, term loan 5.25% 3/31/11 (d)

1,990

2,010

R.H. Donnelley Corp. Tranche B2, term loan 5.2027% 6/30/11 (d)

26,123

26,450

Sun Media Corp. Canada Tranche B, term loan 5.68% 2/7/09 (d)

1,733

1,748

82,514

Railroad - 0.3%

Kansas City Southern Railway Co. Tranche B1, term loan 5.1572% 3/30/08 (d)

9,950

10,099

RailAmerica, Inc. term loan 5.3125% 9/29/11 (d)

4,553

4,633

14,732

Restaurants - 1.1%

Arby's Restaurant Group, Inc. Tranche B, term loan 5.7313% 7/25/12 (d)

5,000

5,056

Burger King Corp. Tranche B, term loan 5.1875% 6/30/12 (d)

17,620

17,884

CKE Restaurants, Inc. term loan 5.5% 5/1/10 (d)

1,598

1,614

Domino's, Inc. term loan 5.25% 6/25/10 (d)

9,643

9,764

Jack in the Box, Inc. term loan 5.0443% 1/8/11 (d)

3,543

3,592

Landry's Seafood Restaurants, Inc. term loan 5.24% 12/28/10 (d)

6,070

6,153

Ruth's Chris Steak House, Inc. term loan 6.5% 3/11/11 (d)

1,924

1,924

45,987

Services - 1.0%

CACI International, Inc. term loan 4.955% 4/30/11 (d)

4,987

5,031

Coinmach Corp. Tranche B, term loan 6.3961% 7/25/09 (d)

2,127

2,153

Coinstar, Inc. term loan 5.55% 7/1/11 (d)

6,122

6,213

Iron Mountain, Inc.:

term loan 5.125% 4/2/11 (d)

11,281

11,394

Tranche R, term loan 5.1593% 4/2/11 (d)

4,975

5,025

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Services - continued

JohnsonDiversey, Inc. Tranche B, term loan 4.9641% 11/3/09 (d)

$ 2,751

$ 2,772

Knowledge Learning Corp. term loan 5.99% 1/7/12 (d)

2,867

2,867

Rural/Metro Corp.:

Credit-Linked Deposit 5.84% 3/4/11 (d)

408

413

term loan 6.0297% 3/4/11 (d)

1,491

1,509

United Rentals, Inc.:

term loan 5.73% 2/14/11 (d)

2,465

2,490

Tranche B, Credit-Linked Deposit 5.4207% 2/14/11 (d)

499

504

Wackenhut Corrections Corp. term loan 5.9799% 7/9/09 (d)

805

816

41,187

Shipping - 0.2%

Baker Tanks, Inc. term loan 5.9314% 1/30/11 (d)

3,285

3,310

Horizon Lines LLC Tranche B, term loan 5.99% 7/7/11 (d)

3,812

3,869

7,179

Super Retail - 0.2%

Alimentation Couche-Tard, Inc. term loan 5.1875% 12/17/10 (d)

1,568

1,584

Blockbuster, Inc. Tranche A, term loan 5.785% 8/20/09 (d)

2,000

1,972

Buhrmann US, Inc. Tranche B1, term loan 5.6909% 12/31/10 (d)

5,633

5,739

9,295

Technology - 3.8%

AMI Semiconductor, Inc. term loan 4.99% 4/1/12 (d)

2,993

3,000

Anteon International Corp. term loan 5.24% 12/31/10 (d)

6,910

6,962

Fairchild Semiconductor Corp. Tranche B3, term loan 5.354% 12/31/10 (d)

8,955

9,045

Fidelity National Information Solutions, Inc. Tranche B, term loan 5.1% 3/9/13 (d)

27,061

27,095

Global Imaging Systems, Inc. term loan 4.9175% 5/10/10 (d)

2,723

2,740

K & F Industries, Inc. term loan 6.0359% 11/18/12 (d)

7,315

7,388

ON Semiconductor Corp. Tranche G, term loan 6.5% 12/15/11 (d)

5,958

6,047

Seagate Technology Holdings, Inc. term loan 5.5% 5/13/07 (d)

1,940

1,959

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Technology - continued

SunGard Data Systems, Inc. Tranche B, term loan 6.28% 2/10/13 (d)

$ 75,000

$ 75,938

Verifone, Inc. Tranche B, term loan 5.69% 6/30/11 (d)

2,880

2,880

Xerox Corp. term loan 5.24% 9/30/08 (d)

17,000

17,128

160,182

Telecommunications - 6.6%

AAT Communications Corp.:

Tranche 2, term loan 6.25% 7/29/13 (d)

2,760

2,795

Tranche B1, term loan 5.24% 7/29/12 (d)

17,620

17,840

Alaska Communications Systems Holding term loan:

5.49% 2/1/12 (d)

8,000

8,100

5.59% 2/1/12 (d)

1,000

1,013

American Tower LP Tranche C, term loan 5.2099% 8/31/11 (d)

24,608

24,885

Centennial Cellular Operating Co. LLC term loan 5.6806% 2/9/11 (d)

14,832

14,981

FairPoint Communications, Inc. Tranche B, term loan 5.5457% 2/8/12 (d)

3,500

3,548

Hawaiian Telcom Communications, Inc. Tranche B, term loan 5.73% 10/31/12 (d)

3,000

3,030

Intelsat Ltd. term loan 5.25% 7/28/11 (d)

19,557

19,752

Iowa Telecommunication Services, Inc. Tranche B, term loan 5.4963% 11/23/11 (d)

4,000

4,050

Madison River Capital LLC/Madison River Finance Corp. Tranche B, term loan 6.04% 7/28/12 (d)

9,000

9,158

New Skies Satellites BV term loan 5.8422% 5/2/11 (d)

5,928

6,017

Nextel Partners Operating Corp. Tranche D, term loan 4.83% 5/31/12 (d)

18,000

18,135

NTELOS, Inc. Tranche B, term loan 5.99% 8/24/11 (d)

6,965

6,991

Qwest Corp.:

Tranche A, term loan 8.1% 6/30/07 (d)

33,400

34,569

Tranche B, term loan 6.95% 6/30/10 (d)

9,000

8,978

SBA Senior Finance, Inc. Tranche C, term loan 5.5486% 10/31/08 (d)

12,761

12,936

SpectraSite Communications, Inc. Tranche B, term loan 4.91% 5/19/12 (d)

28,512

28,797

Triton PCS, Inc. term loan 6.74% 11/18/09 (d)

14,925

14,962

USA Mobility, Inc. term loan 5.93% 11/16/06 (d)

1,192

1,195

Valor Telecommunications Enterprises LLC/Valor Finance Corp. Tranche B, term loan 5.49% 2/14/12 (d)

9,135

9,226

Floating Rate Loans (e) - continued

Principal Amount (000s)

Value
(000s)

Telecommunications - continued

Western Wireless Corp.:

Tranche A, term loan 5.5616% 5/28/10 (d)

$ 10,779

$ 10,779

Tranche B, term loan 6.9057% 5/26/11 (d)

17,180

17,180

278,917

Textiles & Apparel - 0.3%

Polymer Group, Inc. term loan 6.73% 4/27/10 (d)

933

947

William Carter Co. term loan 5.4452% 6/29/12 (d)

10,000

10,150

11,097

TOTAL FLOATING RATE LOANS

(Cost $3,087,424)

3,115,873

Nonconvertible Bonds - 13.2%

Aerospace - 0.1%

L-3 Communications Corp. 6.375% 10/15/15 (c)

3,000

3,034

Automotive - 0.3%

Delco Remy International, Inc. 7.5988% 4/15/09 (d)

1,000

1,003

General Motors Acceptance Corp.:

4.13% 3/20/07 (d)

2,000

1,967

4.87% 10/20/05 (d)

10,000

10,014

12,984

Banks and Thrifts - 0.1%

Doral Financial Corp. 4.45% 7/20/07 (d)

3,800

3,610

Broadcasting - 0.8%

Granite Broadcasting Corp. 9.75% 12/1/10

4,545

4,215

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

1,000

1,090

Paxson Communications Corp. 6.3488% 1/15/10 (c)(d)

8,500

8,511

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

7,000

7,508

XM Satellite Radio, Inc. 8.71% 5/1/09 (d)

11,700

11,788

33,112

Building Materials - 0.1%

Texas Industries, Inc. 7.25% 7/15/13 (c)

2,000

2,110

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

Cable TV - 2.2%

Cablevision Systems Corp. 7.88% 4/1/09 (d)

$ 5,000

$ 5,150

CSC Holdings, Inc.:

7.875% 12/15/07

6,000

6,210

10.5% 5/15/16

2,000

2,175

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

1,963

2,174

EchoStar DBS Corp. 6.7544% 10/1/08 (d)

76,285

78,001

93,710

Capital Goods - 0.1%

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

3,000

3,034

Chemicals - 0.7%

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

2,000

2,225

Georgia Gulf Corp. 7.625% 11/15/05

2,000

2,024

Huntsman Advanced Materials LLC 11.83% 7/15/08 (d)

2,130

2,237

Huntsman International LLC 9.875% 3/1/09

3,000

3,206

Huntsman LLC 11.0988% 7/15/11 (d)

2,000

2,160

Methanex Corp. yankee 7.75% 8/15/05

13,125

13,141

Millennium America, Inc. 7% 11/15/06

5,000

5,113

30,106

Containers - 0.1%

Ball Corp. 7.75% 8/1/06

5,000

5,163

Diversified Financial Services - 0.5%

Residential Capital Corp. 4.835% 6/29/07 (c)(d)

20,000

20,021

Diversified Media - 0.6%

Liberty Media Corp. 4.91% 9/17/06 (d)

26,000

26,145

Electric Utilities - 0.9%

AES Corp. 8.75% 6/15/08

3,000

3,225

Allegheny Energy Supply Co. LLC 10.25% 11/15/07 (c)

7,422

8,071

Allegheny Energy, Inc. 7.75% 8/1/05

3,000

3,008

CMS Energy Corp. 9.875% 10/15/07

12,000

13,140

Power Contract Financing LLC 5.2% 2/1/06 (c)

492

482

TECO Energy, Inc.:

5.37% 5/1/10 (c)(d)

5,000

5,113

6.125% 5/1/07

4,000

4,090

37,129

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

Energy - 1.6%

El Paso Corp. 7.625% 8/16/07 (c)

$ 4,000

$ 4,130

El Paso Energy Corp. 6.95% 12/15/07

3,350

3,392

Parker Drilling Co. 8.08% 9/1/10 (d)

5,000

5,200

Pemex Project Funding Master Trust 4.71% 6/15/10 (c)(d)

25,000

25,750

Premcor Refining Group, Inc.:

9.25% 2/1/10

2,000

2,210

9.5% 2/1/13

2,000

2,290

Sonat, Inc. 7.625% 7/15/11

3,000

3,086

Southern Natural Gas Co. 8.875% 3/15/10

840

916

Tesoro Corp. 8% 4/15/08

1,000

1,049

The Coastal Corp.:

6.5% 5/15/06

6,000

6,045

7.5% 8/15/06

2,000

2,040

Transcontinental Gas Pipe Line Corp. 8.875% 7/15/12

2,000

2,408

Williams Companies, Inc. Credit Linked Certificate Trust IV 6.46% 5/1/09 (c)(d)

7,000

7,525

66,041

Entertainment/Film - 0.5%

AMC Entertainment, Inc. 7.5181% 8/15/10 (d)

21,000

21,735

Food and Drug Retail - 0.4%

Rite Aid Corp.:

6% 12/15/05 (c)

7,000

7,035

12.5% 9/15/06

8,000

8,620

15,655

Food/Beverage/Tobacco - 0.0%

Canandaigua Brands, Inc. 8.625% 8/1/06

1,000

1,038

Gaming - 0.1%

Mandalay Resort Group:

9.5% 8/1/08

2,000

2,205

10.25% 8/1/07

2,000

2,188

4,393

Healthcare - 0.1%

HCA, Inc. 5.5% 12/1/09

1,000

994

HealthSouth Corp. 7.375% 10/1/06

2,000

2,025

Service Corp. International (SCI) 6.5% 3/15/08

2,000

2,050

5,069

Leisure - 0.2%

Universal City Florida Holding Co. I/II 7.96% 5/1/10 (d)

6,140

6,416

Nonconvertible Bonds - continued

Principal Amount (000s)

Value
(000s)

Metals/Mining - 0.4%

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

$ 6,000

$ 5,918

10.125% 2/1/10

11,470

12,760

18,678

Paper - 0.1%

Boise Cascade LLC/Boise Cascade Finance Corp. 6.4738% 10/15/12 (d)

2,190

2,212

Publishing/Printing - 0.2%

Dex Media East LLC/Dex Media East Finance Co. 9.875% 11/15/09

3,000

3,285

R.H. Donnelley Finance Corp. I 8.875% 12/15/10

5,000

5,450

8,735

Shipping - 0.1%

OMI Corp. 7.625% 12/1/13

2,000

2,035

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

3,620

3,466

5,501

Steels - 0.3%

Ispat Inland ULC 10.2544% 4/1/10 (d)

13,000

13,845

Technology - 0.4%

Freescale Semiconductor, Inc. 6.3488% 7/15/09 (d)

16,000

16,520

Telecommunications - 2.3%

AirGate PCS, Inc. 7.3488% 10/15/11 (d)

2,000

2,080

America Movil SA de CV 4.2875% 4/27/07 (d)

1,000

1,000

American Tower Corp. 9.375% 2/1/09

592

622

Intelsat Ltd. 8.695% 1/15/12 (c)(d)

7,000

7,140

Nextel Partners, Inc. 12.5% 11/15/09

3,000

3,255

Qwest Communications International, Inc. 6.7681% 2/15/09 (d)

3,000

3,008

Qwest Corp. 6.6706% 6/15/13 (c)(d)

33,150

34,559

Rogers Communications, Inc.:

6.375% 3/1/14

3,000

3,060

6.535% 12/15/10 (d)

24,310

25,313

Rural Cellular Corp.:

7.91% 3/15/10 (d)

13,000

13,520

8.25% 3/15/12

4,000

4,240

97,797

Textiles & Apparel - 0.0%

Levi Strauss & Co. 8.2544% 4/1/12 (d)

2,000

2,000

TOTAL NONCONVERTIBLE BONDS

(Cost $549,380)

555,793

U.S. Treasury Obligations - 0.4%

Principal Amount (000s)

Value
(000s)

U.S. Treasury Notes 3.375% 2/28/07
(Cost $16,932)

$ 17,000

$ 16,840

Commercial Mortgage Securities - 0.0%

CS First Boston Mortgage Securities Corp. Series 2000-FL1A Class F, 5.845% 12/15/09 (c)(d)
(Cost $368)

679

68

Foreign Government and Government Agency Obligations - 0.1%

Venezuelan Republic 4.64% 4/20/11 (d)
(Cost $2,424)

3,000

2,783

Common Stocks - 0.0%

Shares

Automotive - 0.0%

Exide Technologies warrants 3/18/06 (a)
(Cost $0)

45

0

Money Market Funds - 15.9%

Fidelity Cash Central Fund, 3.31% (b)

541,993,198

541,993

Fidelity Money Market Central Fund, 3.41% (b)

127,909,757

127,910

TOTAL MONEY MARKET FUNDS

(Cost $669,903)

669,903

Cash Equivalents - 0.4%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.27%, dated 7/29/05 due 8/1/05)
(Cost $19,296)

$ 19,301

19,296

TOTAL INVESTMENT PORTFOLIO - 103.8%

(Cost $4,345,727)

4,380,556

NET OTHER ASSETS - (3.8)%

(160,115)

NET ASSETS - 100%

$ 4,220,441

Legend

(a) Non-income producing

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

(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 period end, the value of these securities amounted to $133,549,000 or 3.2% of net assets.

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

(e) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $4,345,172,000. Net unrealized appreciation aggregated $35,384,000, of which $38,623,000 related to appreciated investment securities and $3,239,000 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 Government
Investment Fund
Class A
Class T
Class B
Class C
Institutional Class

July 31, 2005

1.804869.101

AGOV-QTLY-0905

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 69.6%

Principal Amount

Value

U.S. Government Agency Obligations - 32.5%

Fannie Mae:

2.375% 12/15/05

$ 15,000,000

$ 14,922,555

3.25% 8/15/08

22,062,000

21,412,164

3.625% 3/15/07

15,505,000

15,378,603

3.75% 5/17/07

4,240,000

4,205,134

4.25% 5/15/09

12,500,000

12,448,438

6% 5/15/08

2,718,000

2,839,500

6.25% 2/1/11

24,260,000

26,062,882

6.625% 9/15/09

1,620,000

1,755,289

6.625% 11/15/30

18,000,000

22,594,410

Federal Home Loan Bank:

3.8% 12/22/06

1,025,000

1,018,250

5.8% 9/2/08

17,275,000

17,992,500

Freddie Mac:

2.875% 12/15/06

6,390,000

6,281,357

4.5% 7/15/13

475,000

474,373

4.875% 11/15/13

21,550,000

22,075,712

5% 1/30/14

25,000,000

24,844,975

5.875% 3/21/11

6,960,000

7,379,716

7% 3/15/10

17,944,000

19,897,617

Government Loan Trusts (assets of Trust guaranteed by U.S. Government through Agency for International Development) Series 1-B, 8.5% 4/1/06

191,559

196,237

Guaranteed Export Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank) Series 1994-A, 7.12% 4/15/06

1,472,835

1,492,395

Guaranteed Trade Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank):

Series 1994-A, 7.39% 6/26/06

750,000

764,775

Series 1994-B, 7.5% 1/26/06

19,700

19,936

Israeli State (guaranteed by U.S. Government through Agency for International Development):

5.89% 8/15/05

8,560,000

8,561,798

6.6% 2/15/08

10,136,755

10,326,475

6.8% 2/15/12

5,000,000

5,457,270

Overseas Private Investment Corp. U.S. Government guaranteed participation certificates:

Series 1996-A1, 6.726% 9/15/10

956,522

1,010,642

6.77% 11/15/13

1,111,538

1,203,240

6.99% 5/21/16

3,922,500

4,378,491

U.S. Government and Government Agency Obligations - continued

Principal Amount

Value

U.S. Government Agency Obligations - continued

Private Export Funding Corp.:

secured:

5.34% 3/15/06

$ 4,640,000

$ 4,678,016

5.66% 9/15/11 (b)

2,610,000

2,760,289

5.685% 5/15/12

3,845,000

4,106,395

6.67% 9/15/09

1,380,000

1,498,948

3.375% 2/15/09

610,000

591,571

4.55% 5/15/15

2,975,000

2,966,929

4.974% 8/15/13

2,850,000

2,935,808

Small Business Administration guaranteed development participation certificates Series 2002-20K Class 1, 5.08% 11/1/22

5,200,728

5,288,198

U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A:

5.75% 8/1/06

2,100,000

2,134,423

5.96% 8/1/09

1,800,000

1,864,264

U.S. Trade Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank) 8.17% 1/15/07

90,000

92,723

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

283,912,298

U.S. Treasury Inflation Protected Obligations - 6.7%

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

24,752,400

26,132,957

U.S. Treasury Inflation-Indexed Notes:

0.875% 4/15/10

6,875,473

6,605,202

2% 7/15/14

25,164,940

25,437,969

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

58,176,128

U.S. Treasury Obligations - 30.4%

U.S. Treasury Bonds:

6.125% 8/15/29

21,250,000

26,183,995

6.25% 8/15/23

1,500,000

1,808,730

8% 11/15/21

11,794,000

16,471,052

12% 8/15/13

10,000,000

12,233,200

U.S. Treasury Notes:

2.75% 6/30/06

4,605,000

4,558,591

2.75% 7/31/06

32,000,000

31,642,496

3.375% 2/28/07

25,000,000

24,764,650

3.375% 10/15/09

31,500,000

30,563,600

3.625% 4/30/07

14,026,000

13,935,055

U.S. Government and Government Agency Obligations - continued

Principal Amount

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

3.625% 6/30/07 (c)

$ 12,778,000

$ 12,685,653

3.75% 5/15/08

11,775,000

11,679,328

4% 6/15/09

3,319,000

3,304,479

4.25% 8/15/13

2,670,000

2,673,338

4.25% 11/15/13

42,960,000

42,954,966

4.75% 5/15/14

28,500,000

29,495,277

TOTAL U.S. TREASURY OBLIGATIONS

264,954,410

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $604,519,126)

607,042,836

U.S. Government Agency - Mortgage Securities - 12.6%

Fannie Mae - 9.9%

3.463% 4/1/34 (d)

332,546

331,281

3.734% 1/1/35 (d)

198,050

196,036

3.753% 10/1/33 (d)

134,197

132,242

3.786% 12/1/34 (d)

180,269

178,279

3.793% 6/1/34 (d)

583,941

570,290

3.801% 12/1/34 (d)

42,240

41,846

3.828% 1/1/35 (d)

129,451

128,325

3.838% 1/1/35 (d)

365,818

364,348

3.867% 1/1/35 (d)

225,496

224,246

3.88% 6/1/33 (d)

548,603

543,497

3.913% 12/1/34 (d)

111,781

110,908

3.937% 10/1/34 (d)

160,092

158,901

3.937% 12/1/34 (d)

232,350

231,184

3.967% 11/1/34 (d)

258,500

256,341

3.97% 5/1/33 (d)

46,721

46,442

3.975% 1/1/35 (d)

171,127

169,479

3.981% 12/1/34 (d)

152,844

151,245

4% 9/1/18

3,061,981

2,957,854

4.008% 12/1/34 (d)

878,511

876,729

4.011% 1/1/35 (d)

108,149

107,065

4.014% 12/1/34 (d)

129,203

127,834

4.023% 2/1/35 (d)

119,647

118,615

4.03% 1/1/35 (d)

309,901

307,527

4.032% 12/1/34 (d)

87,680

87,502

4.045% 5/1/34 (d)

50,725

50,692

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

4.049% 2/1/35 (d)

$ 112,596

$ 111,747

4.053% 10/1/18 (d)

139,368

137,990

4.054% 1/1/35 (d)

112,375

111,322

4.079% 4/1/33 (d)

45,847

45,779

4.098% 1/1/35 (d)

250,087

251,026

4.104% 2/1/35 (d)

93,250

92,794

4.11% 2/1/35 (d)

92,977

92,650

4.117% 2/1/35 (d)

229,595

228,698

4.118% 1/1/35 (d)

248,299

247,195

4.121% 2/1/35 (d)

457,755

455,633

4.124% 1/1/35 (d)

242,586

243,696

4.137% 1/1/35 (d)

426,679

424,991

4.138% 2/1/35 (d)

270,875

271,882

4.144% 1/1/35 (d)

354,035

355,691

4.15% 11/1/34 (d)

209,112

207,972

4.154% 2/1/35 (d)

233,653

232,970

4.178% 1/1/35 (d)

461,982

466,382

4.183% 1/1/35 (d)

202,690

202,496

4.189% 11/1/34 (d)

69,670

69,546

4.197% 1/1/35 (d)

254,235

252,571

4.232% 3/1/34 (d)

131,245

130,803

4.25% 2/1/35 (d)

144,214

143,398

4.258% 10/1/34 (d)

342,558

344,579

4.293% 3/1/35 (d)

139,749

139,731

4.297% 7/1/34 (d)

114,401

114,684

4.302% 1/1/35 (d)

189,957

188,786

4.306% 8/1/33 (d)

295,702

294,528

4.315% 3/1/33 (d)

62,351

62,217

4.323% 5/1/35 (d)

206,444

206,157

4.332% 12/1/34 (d)

93,124

93,214

4.335% 2/1/35 (d)

91,251

91,017

4.349% 1/1/35 (d)

137,483

136,259

4.351% 1/1/35 (d)

141,002

140,491

4.372% 4/1/35 (d)

94,563

94,400

4.409% 5/1/35 (d)

426,408

426,604

4.451% 6/1/33 (d)

92,552

91,529

4.455% 3/1/35 (d)

172,026

170,528

4.467% 10/1/34 (d)

758,539

758,848

4.479% 4/1/34 (d)

244,476

244,831

4.489% 8/1/34 (d)

448,334

448,124

4.508% 1/1/35 (d)

239,551

240,949

4.529% 3/1/35 (d)

365,956

364,469

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

4.538% 8/1/34 (d)

$ 281,360

$ 282,934

4.554% 7/1/35 (d)

525,000

525,246

4.564% 2/1/35 (d)

926,900

927,986

4.57% 2/1/35 (d)

147,866

148,319

4.645% 2/1/35 (d)

106,838

107,436

4.649% 11/1/34 (d)

481,167

482,228

4.687% 11/1/34 (d)

476,792

477,414

4.714% 3/1/35 (d)

1,226,542

1,231,485

4.74% 7/1/34 (d)

417,703

414,935

4.823% 12/1/34 (d)

415,694

417,157

4.847% 12/1/34 (d)

158,268

158,738

5% 7/1/35 to 8/1/35

2,700,000

2,659,982

5% 8/1/35 (c)

7,000,000

6,892,813

5.123% 2/1/35 (d)

1,210,879

1,208,753

5.137% 5/1/35 (d)

93,312

93,440

5.204% 6/1/35 (d)

718,280

727,682

5.366% 12/1/32 (d)

206,993

209,322

5.5% 3/1/13 to 8/1/27

14,069,692

14,281,497

5.5% 8/1/35 (c)

14,000,000

14,078,750

5.817% 5/1/35 (d)

1,016,704

1,027,514

6% 1/1/18

491,216

507,613

6.5% 12/1/24 to 3/1/35

16,622,558

17,222,808

6.5% 8/1/35 (c)

3,648

3,777

7% 4/1/26 to 7/1/32

3,525,105

3,713,794

7.5% 3/1/28 to 4/1/29

38,136

40,756

8.5% 9/1/16 to 1/1/17

21,375

23,084

9% 11/1/11 to 5/1/14

300,544

323,658

9.5% 11/1/06 to 5/1/20

211,634

228,278

11.5% 6/15/19

54,189

59,929

12.5% 8/1/15

2,147

2,384

86,377,597

Freddie Mac - 2.2%

4.106% 12/1/34 (d)

175,037

173,975

4.13% 12/1/34 (d)

240,019

238,920

4.223% 1/1/35 (d)

674,940

672,507

4.3% 5/1/35 (d)

361,998

360,146

4.311% 12/1/34 (d)

189,315

188,172

4.312% 3/1/35 (d)

203,565

202,920

4.368% 3/1/35 (d)

270,704

267,658

4.4% 2/1/35 (d)

389,692

385,429

4.404% 2/1/35 (d)

426,106

424,974

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Freddie Mac - continued

4.446% 3/1/35 (d)

$ 171,786

$ 169,813

4.49% 3/1/35 (d)

510,195

505,731

4.497% 6/1/35 (d)

294,722

294,507

4.498% 3/1/35 (d)

1,410,000

1,400,747

4.504% 3/1/35 (d)

196,087

194,157

5.036% 4/1/35 (d)

1,205,120

1,212,451

5.223% 8/1/33 (d)

100,932

103,115

6% 11/1/32 to 11/1/33

10,184,349

10,406,722

6.5% 3/1/35

1,070,415

1,109,218

7.5% 3/1/15 to 3/1/16

711,046

751,549

8.5% 8/1/09 to 2/1/10

15,798

16,687

9% 10/1/08 to 10/1/20

53,183

56,438

9.5% 5/1/21 to 7/1/21

68,992

75,297

11% 7/1/13 to 5/1/14

109,493

121,350

12.5% 2/1/10 to 6/1/19

30,944

34,072

19,366,555

Government National Mortgage Association - 0.5%

6.5% 6/20/34

3,489,490

3,631,136

7.5% 9/15/06 to 8/15/29

130,457

134,770

8% 12/15/23

464,600

500,459

9% 12/15/09

1,822

1,828

10.5% 12/15/17 to 1/20/18

59,539

66,754

13.5% 7/15/11

10,707

12,080

4,347,027

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $110,462,915)

110,091,179

Collateralized Mortgage Obligations - 17.0%

U.S. Government Agency - 17.0%

Fannie Mae:

floater Series 2003-25 Class CF, 3.6644% 3/25/17 (d)

3,083,930

3,093,774

planned amortization class:

Series 1992-168 Class KB, 7% 10/25/22

2,629,098

2,749,987

Series 1993-160 Class PK, 6.5% 11/25/22

475,604

475,758

Series 1993-187 Class L, 6.5% 7/25/23

1,215,007

1,247,748

Series 1994-27 Class PJ, 6.5% 6/25/23

1,067,635

1,078,627

Series 2003-39 Class PV, 5.5% 9/25/22

1,845,000

1,868,063

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Fannie Mae guaranteed REMIC pass thru certificates:

planned amortization class:

Series 2001-30 Class PL, 7% 2/25/31

$ 1,643,374

$ 1,660,638

Series 2002-49 Class KG, 5.5% 8/25/17

6,500,000

6,665,959

Series 2003-32 Class PB, 3% 6/25/16

629,416

626,021

Series 2003-67 Class GL, 3% 1/25/25

5,000,000

4,867,018

Series 2003-73 Class GA, 3.5% 5/25/31

5,480,475

5,238,207

Series 2004-21 Class QE, 4.5% 11/25/32

1,500,000

1,434,076

sequential pay:

Series 2001-46 Class ZG, 6% 9/25/31

7,585,010

7,784,716

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

4,430,004

4,478,327

Series 2005-55 Class LY, 5.5% 7/25/25

2,580,000

2,596,125

Series 2004-80 Class ZB, 4% 11/25/19

595,452

594,131

Series 2005-15 Class AZ, 5% 3/25/35

1,308,076

1,304,500

Series 2005-21 Class ZA, 5% 3/25/35

384,494

383,758

Series 2005-28 Class AZ, 5% 4/25/35

928,478

926,449

Freddie Mac:

planned amortization class Series 2512 Class PG, 5.5% 10/15/22

2,000,000

2,019,375

sequential pay:

Series 2114 Class ZM, 6% 1/15/29

501,785

514,535

Series 2343 Class VD, 7% 8/15/16

5,164,000

5,261,363

Series 2361 Class KB, 6.25% 1/15/28

4,037,325

4,080,807

Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 1681 Class PJ, 7% 12/15/23

4,000,000

4,143,701

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Seires 2625 Class QX, 2.25% 3/15/22

257,102

250,612

Series 1141 Class G, 9% 9/15/21

177,999

177,779

Series 1671 Class G, 6.5% 8/15/23

5,242,865

5,283,858

Series 1727 Class H, 6.5% 8/15/23

1,786,277

1,803,772

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

242,005

241,989

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

1,079,531

1,089,570

Series 2587 Class UP, 4% 8/15/25

5,069,286

5,040,110

Series 2622 Class PE, 4.5% 5/15/18

2,640,000

2,555,468

Series 2640 Class QG, 2% 4/15/22

333,138

323,351

Series 2660 Class ML, 3.5% 7/15/22

10,000,000

9,844,014

Series 2676 Class QA, 3% 8/15/16

1,475,000

1,462,103

Series 2683 Class UH, 3% 3/15/19

3,380,242

3,345,523

Series 2802 Class OB, 6% 5/15/34

1,325,000

1,389,364

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

Series 2810 Class PD, 6% 6/15/33

$ 995,000

$ 1,025,340

Series 2828 Class JA, 4.5% 1/15/10

1,580,000

1,583,065

sequential pay:

Series 2448 Class VH, 6.5% 5/15/18

4,534,793

4,575,143

Series 2546 Class MJ, 5.5% 3/15/23

2,861,239

2,882,698

Series 2587:

Class AD, 4.71% 3/15/33

5,784,746

5,367,186

Class ET, 3.7% 7/15/17

2,651,493

2,583,071

Series 2601 Class TB, 5.5% 4/15/23

869,000

874,431

Series 2677 Class HG, 3% 8/15/12

3,827,713

3,772,165

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

922,990

847,893

Series 2773 Class HC, 4.5% 4/15/19

703,518

678,022

Series 2831 Class AC, 5% 1/15/18

1,882,602

1,881,895

Series 2406:

Class FP, 4.3681% 1/15/32 (d)

1,365,000

1,395,944

Class PF, 4.3681% 12/15/31 (d)

1,080,000

1,108,307

Series 2410 Class PF, 4.3681% 2/15/32 (d)

2,475,000

2,531,512

Series 2769 Class BU, 5% 3/15/34

1,110,156

1,094,554

Series 2877 Class JC, 5% 10/15/34

1,752,634

1,752,934

Series 2907 Class HZ, 5% 12/15/34

1,018,757

1,009,968

Series 2916, Class CZ, 5% 1/15/35

983,685

981,502

Series 2949 Clas ZW, 5% 3/15/35

1,472,489

1,474,255

Series 2950 Class ZQ, 5.5% 3/15/35

1,235,229

1,230,008

Series 2978 Class EZ, 5.5% 11/15/34

379,232

376,240

Series 2996 Class ZB, 5.75% 6/15/35

241,150

240,241

Series FHR 2781 Class KK, 5.5% 6/15/33

4,325,000

4,331,500

target amortization class Series 2156 Class TC, 6.25% 5/15/29

4,389,227

4,472,470

3% 3/15/10

1,723,537

1,707,680

Ginnie Mae guaranteed REMIC pass thru securities planned amortization class Series 2001-53 Class TA, 6% 12/20/30

105,682

105,764

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $147,875,892)

147,784,964

Commercial Mortgage Securities - 0.2%

Fannie Mae sequential pay Series 1999-10 Class MZ, 6.5% 9/17/38
(Cost $1,886,136)

1,780,716

1,922,383

Cash Equivalents - 4.7%

Maturity Amount

Value

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.32%, dated 7/29/05 due 8/1/05) (a)
(Cost $41,013,000)

$ 41,024,331

$ 41,013,000

TOTAL INVESTMENT PORTFOLIO - 104.1%

(Cost $905,757,069)

907,854,362

NET OTHER ASSETS - (4.1)%

(36,050,823)

NET ASSETS - 100%

$ 871,803,539

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 $2,760,289 or 0.3% 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 July 31, 2005, the aggregate cost of investment securities for income tax purposes was $905,933,507. Net unrealized appreciation aggregated $1,920,855, of which $9,234,091 related to appreciated investment securities and $7,313,236 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 High Income
Advantage Fund
Class A
Class T
Class B
Class C
Institutional Class

July 31, 2005

1.804847.101

HY-QTLY-0905

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 74.5%

Principal Amount (000s)

Value
(000s)

Convertible Bonds - 0.9%

Cable TV - 0.7%

Charter Communications, Inc. 5.875% 11/16/09 (f)

$ 22,580

$ 16,895

Electric Utilities - 0.2%

Mirant Corp. 5.75% 7/15/07 (c)

5,000

4,500

TOTAL CONVERTIBLE BONDS

21,395

Nonconvertible Bonds - 73.6%

Aerospace - 0.2%

Orbimage Holdings, Inc. 13.19% 7/1/12 (f)(h)

3,710

3,951

Air Transportation - 4.3%

American Airlines, Inc. pass thru trust certificates:

6.817% 5/23/11

13,320

12,754

6.977% 11/23/22

739

689

7.377% 5/23/19

14,510

10,882

7.379% 5/23/16

8,235

6,176

7.8% 4/1/08

9,740

9,399

10.18% 1/2/13

5,055

3,640

Delta Air Lines, Inc.:

7.9% 12/15/09

25,370

6,850

8% 12/15/07 (f)

7,900

3,042

8.3% 12/15/29

99,585

22,905

9.5% 11/18/08 (f)

2,065

1,652

10% 8/15/08

41,705

12,094

Delta Air Lines, Inc. pass thru trust certificates:

7.299% 9/18/06

75

33

7.779% 11/18/05

95

57

7.779% 1/2/12

1,903

837

Northwest Airlines Corp. 10% 2/1/09

6,034

2,866

Northwest Airlines, Inc.:

7.875% 3/15/08

11,925

5,187

8.7% 3/15/07

715

358

9.875% 3/15/07

800

416

10.5% 4/1/09

13,548

6,165

Northwest Airlines, Inc. pass thru trust certificates 9.179% 10/1/11

1,753

736

106,738

Automotive - 1.7%

Accuride Corp. 8.5% 2/1/15

4,780

4,971

Altra Industrial Motion, Inc. 9% 12/1/11 (f)

2,460

2,325

American Tire Distributors, Inc. 10.75% 4/1/13 (f)

6,930

6,653

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

Automotive - continued

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

$ 2,940

$ 2,264

General Motors Acceptance Corp. 6.75% 12/1/14

8,730

8,223

General Motors Corp. 8.375% 7/15/33

17,490

15,785

Tenneco Automotive, Inc. 8.625% 11/15/14

2,870

2,978

43,199

Building Materials - 1.0%

Goodman Global Holdings, Inc. 7.875% 12/15/12 (f)

13,870

13,177

MAXX Corp. 9.75% 6/15/12

8,700

8,243

U.S. Concrete, Inc. 8.375% 4/1/14

2,940

2,830

24,250

Cable TV - 5.7%

Cablevision Systems Corp. 8% 4/15/12

20,000

20,050

Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.:

8.625% 4/1/09

21,564

17,251

9.625% 11/15/09

26,970

21,509

9.92% 4/1/11

32,570

25,323

10% 4/1/09

25,840

21,189

10% 5/15/11

8,700

6,677

10.25% 1/15/10

14,290

11,289

10.75% 10/1/09

17,570

14,451

11.125% 1/15/11

2,200

1,760

139,499

Capital Goods - 1.6%

Ashtead Holdings PLC 8.625% 8/1/15 (f)(g)

2,500

2,588

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

3,450

3,614

Hawk Corp. 8.75% 11/1/14

2,770

2,812

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

7,590

7,552

Park-Ohio Industries, Inc. 8.375% 11/15/14 (f)

16,195

15,223

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

1,800

1,683

Thermadyne Holdings Corp. 9.25% 2/1/14

5,710

5,310

38,782

Chemicals - 4.1%

BCP Crystal U.S. Holdings Corp. 9.625% 6/15/14

6,090

6,882

Borden US Finance Corp./Nova Scotia Finance ULC 8.3488% 7/15/10 (f)(h)

4,990

4,940

Crompton Corp. 9.875% 8/1/12

4,290

4,934

Crystal US Holding 3 LLC/Crystal US Sub 3 Corp.:

Series A, 0% 10/1/14 (d)

7,785

5,586

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

Chemicals - continued

Crystal US Holding 3 LLC/Crystal US Sub 3 Corp.: - continued

Series B, 0% 10/1/14 (d)

$ 8,301

$ 5,977

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

5,920

6,586

Hercules, Inc.:

6.5% 6/30/29

6,070

4,765

6.5% 6/30/29 unit

5,500

4,617

Huntsman LLC 11.625% 10/15/10

5,972

6,987

Phibro Animal Health Corp.:

Series AO, 13% 12/1/07 unit

604

640

13% 12/1/07 unit

2,800

2,968

Resolution Performance Products LLC/RPP Capital Corp. 13.5% 11/15/10

28,415

30,688

Rhodia SA 8.875% 6/1/11

15,210

14,754

Rockwood Specialties Group, Inc. 7.5% 11/15/14 (f)

950

955

101,279

Consumer Products - 0.5%

Revlon Consumer Products Corp. 9.5% 4/1/11

12,120

11,635

Containers - 2.0%

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

6,050

3,812

Constar International, Inc. 11% 12/1/12

3,315

2,669

Graham Packaging Co. LP/ GPC Capital Corp. 9.875% 10/15/14 (f)

14,530

14,893

Huntsman Packaging Corp. 13% 6/1/10

11,250

9,113

Owens-Brockway Glass Container, Inc.:

6.75% 12/1/14

4,410

4,476

8.25% 5/15/13

8,535

9,239

Pliant Corp. 13% 6/1/10

6,340

5,135

49,337

Diversified Financial Services - 0.2%

Triad Acquisition Corp. 11.125% 5/1/13 (f)

4,170

4,295

Electric Utilities - 2.5%

Allegheny Energy Supply Co. LLC 8.25% 4/15/12 (f)

19,380

21,803

Chivor SA E.S.P. 9.75% 12/30/14 (f)

2,900

3,081

Mirant Americas Generation LLC:

8.5% 10/1/21 (c)

13,295

15,223

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

Electric Utilities - continued

Mirant Americas Generation LLC: - continued

9.125% 5/1/31 (c)

$ 14,475

$ 17,153

Southern Energy, Inc. New York 7.9% 7/15/09 (c)(f)

5,000

4,750

62,010

Energy - 8.5%

Aventine Renewable Energy Holdings, Inc. 9.41% 12/15/11 (f)(h)

15,780

15,701

El Paso Corp.:

7% 5/15/11

38,000

38,285

7.875% 6/15/12

12,620

13,188

El Paso Energy Corp.:

6.75% 5/15/09

10,935

10,976

7.375% 12/15/12

22,275

22,581

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

6,500

6,906

Hanover Compressor Co.:

0% 3/31/07

22,830

19,862

9% 6/1/14

1,105

1,204

Ocean Rig Norway AS 8.375% 7/1/13 (f)

2,190

2,289

Petroleum Geo-Services ASA 10% 11/5/10

4,245

4,585

The Coastal Corp.:

6.5% 6/1/08

10,390

10,325

6.95% 6/1/28

15,800

14,260

7.75% 6/15/10

42,465

43,686

7.75% 10/15/35

1,970

1,901

Venoco, Inc. 8.75% 12/15/11

3,670

3,743

209,492

Entertainment/Film - 0.0%

Livent, Inc. yankee 9.375% 10/15/04 (c)

11,100

333

Environmental - 1.7%

Aleris International, Inc. 9% 11/15/14

1,070

1,118

Allied Waste North America, Inc.:

7.25% 3/15/15 (f)

27,340

26,998

7.375% 4/15/14

15,310

14,353

42,469

Food and Drug Retail - 3.1%

Ahold Finance USA, Inc.:

6.875% 5/1/29

21,921

20,825

8.25% 7/15/10

39,237

42,965

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

Food and Drug Retail - continued

AmeriQual Group LLC/AmeriQual Finance Corp. 9% 4/1/12 (f)

$ 6,000

$ 6,180

Nutritional Sourcing Corp. 10.125% 8/1/09

7,424

5,605

75,575

Food/Beverage/Tobacco - 0.6%

Doane Pet Care Co.:

9.75% 5/15/07

3,730

3,674

10.75% 3/1/10

6,605

7,133

Pierre Foods, Inc. 9.875% 7/15/12

2,240

2,341

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

880

752

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

695

733

14,633

Gaming - 0.4%

Virgin River Casino Corp./RBG LLC/B&BB, Inc.:

0% 1/15/13 (d)(f)

2,990

2,123

9% 1/15/12 (f)

1,760

1,848

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625% 12/1/14

6,680

6,513

10,484

Healthcare - 4.5%

AMR HoldCo, Inc./ EmCare HoldCo, Inc. 10% 2/15/15 (f)

4,260

4,558

Athena Neurosciences Finance LLC 7.25% 2/21/08

3,065

2,912

DaVita, Inc. 7.25% 3/15/15 (f)

14,070

14,562

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

10,770

11,685

Spheris, Inc. 11% 12/15/12 (f)

3,870

3,754

Tenet Healthcare Corp.:

6.375% 12/1/11

11,625

11,015

6.5% 6/1/12

20,240

19,228

7.375% 2/1/13

25,500

24,799

9.25% 2/1/15 (f)

11,960

12,379

9.875% 7/1/14

6,675

7,159

112,051

Homebuilding/Real Estate - 0.7%

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

6,495

6,560

Champion Home Builders Co. 11.25% 4/15/07

9,905

10,697

Integrated Electrical Services, Inc. 9.375% 2/1/09

1,820

1,365

18,622

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

Insurance - 1.8%

Provident Companies, Inc.:

7% 7/15/18

$ 3,650

$ 3,668

7.25% 3/15/28

17,830

17,188

UnumProvident Corp.:

6.75% 12/15/28

11,350

10,612

7.19% 2/1/28

3,250

2,974

7.375% 6/15/32

9,190

9,190

43,632

Leisure - 4.3%

Equinox Holdings Ltd. 9% 12/15/09

1,000

1,040

Six Flags, Inc.:

8.875% 2/1/10

1,330

1,313

9.625% 6/1/14

65,320

63,360

9.75% 4/15/13

40,010

39,010

104,723

Paper - 0.3%

Jefferson Smurfit Corp. U.S. 7.5% 6/1/13

6,960

6,673

Publishing/Printing - 1.3%

CBD Media Holdings LLC/CBD Holdings Finance, Inc. 9.25% 7/15/12

6,140

6,324

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

12,830

8,981

Vertis, Inc.:

10.875% 6/15/09

13,265

12,867

13.5% 12/7/09 (f)

4,455

3,430

31,602

Railroad - 0.6%

TFM SA de CV:

9.375% 5/1/12 (f)

6,565

7,025

12.5% 6/15/12

6,680

7,816

14,841

Restaurants - 0.4%

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

5,220

5,116

Uno Restaurant Corp. 10% 2/15/11 (f)

4,780

4,613

9,729

Services - 1.2%

Cornell Companies, Inc. 10.75% 7/1/12

4,100

4,254

FTI Consulting, Inc. 7.625% 6/15/13 (f)

1,510

1,533

Hydrochem Industrial Services, Inc. 9.25% 2/15/13 (f)

5,150

4,893

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

Services - continued

Integrated Electrical Services, Inc. 9.375% 2/1/09

$ 5,566

$ 4,175

Language Line, Inc. 11.125% 6/15/12

4,610

4,310

Muzak LLC/Muzak Finance Corp. 10% 2/15/09

6,005

5,367

Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12 (f)

4,350

4,502

29,034

Shipping - 0.5%

American Commercial Lines LLC/ACL Finance Corp. 9.5% 2/15/15

1,800

1,962

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

11,965

11,456

13,418

Steels - 0.5%

Chaparral Steel Co. 10% 7/15/13 (f)

6,105

6,349

Edgen Acquisition Corp. 9.875% 2/1/11

5,980

5,920

12,269

Super Retail - 1.3%

Brown Shoe Co., Inc. 8.75% 5/1/12

4,770

5,080

Dillard's, Inc.:

6.625% 1/15/18

3,700

3,552

7% 12/1/28

9,583

8,888

7.13% 8/1/18

7,200

7,074

7.75% 7/15/26

1,450

1,421

7.75% 5/15/27

3,680

3,620

7.875% 1/1/23

1,940

1,945

31,580

Technology - 4.0%

Amkor Technology, Inc.:

7.125% 3/15/11

4,265

3,721

7.75% 5/15/13

16,730

14,304

Danka Business Systems PLC 11% 6/15/10

7,240

5,720

Freescale Semiconductor, Inc. 7.125% 7/15/14

4,460

4,772

MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co.:

6.66% 12/15/11 (f)(h)

3,840

3,840

6.875% 12/15/11 (f)

2,465

2,440

8% 12/15/14 (f)

5,715

5,529

New ASAT Finance Ltd. 9.25% 2/1/11

9,425

7,634

Semiconductor Note Participation Trust 0% 8/4/11 (f)

6,625

9,938

STATS ChipPAC Ltd. 7.5% 7/19/10 (f)

1,080

1,091

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

Technology - continued

SunGard Data Systems, Inc.:

9.125% 8/15/13 (f)(g)

$ 11,080

$ 11,496

10.25% 8/15/15 (f)(g)

15,470

16,050

Viasystems, Inc. 10.5% 1/15/11

12,680

12,426

98,961

Telecommunications - 10.7%

Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13

5,000

5,625

Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 (h)

6,680

7,164

Cincinnati Bell, Inc. 8.375% 1/15/14

3,095

3,165

Digicel Ltd. 9.25% 9/1/12 (f)

1,220

1,258

Dobson Communications Corp. 8.875% 10/1/13

4,265

4,244

Eschelon Operating Co. 8.375% 3/15/10

3,880

3,570

Intelsat Ltd. 6.5% 11/1/13

6,070

4,939

Nextel Partners, Inc.:

8.125% 7/1/11

23,705

25,838

12.5% 11/15/09

2,223

2,412

Primus Telecommunications Group, Inc. 12.75% 10/15/09

1,840

672

Qwest Capital Funding, Inc.:

7% 8/3/09

22,120

21,567

7.25% 2/15/11

4,000

3,860

7.625% 8/3/21

3,210

2,889

7.75% 2/15/31

29,425

25,232

Qwest Communications International, Inc. 7.5% 2/15/14 (f)

14,000

13,440

Qwest Services Corp. 13.5% 12/15/10

42,420

48,783

Rogers Communications, Inc.:

6.375% 3/1/14

12,190

12,434

7.5% 3/15/15

7,260

7,950

8% 12/15/12

3,130

3,376

Rural Cellular Corp. 9.75% 1/15/10

4,825

4,813

SBA Communication Corp./SBA Telcommunications, Inc. 0% 12/15/11 (d)

5,743

5,291

Time Warner Telecom Holdings, Inc. 9.25% 2/15/14 (f)

6,070

6,191

Time Warner Telecom, Inc. 10.125% 2/1/11

29,605

30,345

Corporate Bonds - continued

Principal Amount (000s)

Value
(000s)

Nonconvertible Bonds - continued

Telecommunications - continued

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

$ 5,000

$ 4,900

U.S. West Communications 6.875% 9/15/33

15,000

12,900

262,858

Textiles & Apparel - 3.4%

Levi Strauss & Co.:

9.75% 1/15/15

22,090

23,195

12.25% 12/15/12

52,945

59,695

82,890

TOTAL NONCONVERTIBLE BONDS

1,810,844

TOTAL CORPORATE BONDS

(Cost $1,818,811)

1,832,239

Common Stocks - 17.2%

Shares

Automotive - 0.0%

Exide Technologies warrants 3/18/06 (a)

15,929

0

Cable TV - 1.1%

NTL, Inc. Class A warrants 1/13/11 (a)

3

0

Pegasus Communications Corp. warrants 1/1/07 (a)

6,509

0

Telewest Global, Inc. (a)

1,256,803

28,077

28,077

Chemicals - 0.1%

Huntsman Corp.

96,480

2,022

Consumer Products - 5.4%

Revlon, Inc. Class A (sub. vtg.) (a)(e)

35,419,684

132,469

Containers - 1.2%

Owens-Illinois, Inc. (a)

1,143,900

29,341

Trivest 1992 Special Fund Ltd. (a)(i)

3,037,732

30

29,371

Electric Utilities - 1.4%

AES Corp. (a)

2,192,509

35,190

Energy - 0.9%

Chesapeake Energy Corp.

800,000

20,888

Food and Drug Retail - 0.8%

Pathmark Stores, Inc. (a)(e)

1,818,878

20,262

Pathmark Stores, Inc. warrants 9/19/10 (a)

747,828

359

20,621

Common Stocks - continued

Shares

Value
(000s)

Healthcare - 2.5%

DaVita, Inc. (a)

1,306,946

$ 61,740

Hotels - 0.2%

Wyndham International, Inc. Class A (a)

4,189,700

4,776

Metals/Mining - 1.0%

Haynes International, Inc. (a)(e)(f)

1,140,617

23,383

Paper - 0.6%

Temple-Inland, Inc.

365,678

14,550

Shipping - 1.5%

Teekay Shipping Corp.

793,800

36,523

Technology - 0.4%

STATS ChipPAC Ltd. sponsored ADR (a)

261,000

1,788

Viasystems Group, Inc. (a)(i)

1,026,780

8,214

10,002

Telecommunications - 0.1%

Choice One Communications, Inc. (a)(i)

571,711

2,258

Covad Communications Group, Inc. (a)

1,948

3

2,261

Textiles & Apparel - 0.0%

Arena Brands Holding Corp. Class B (i)

42,253

437

Pillowtex Corp. (a)

490,256

1

438

TOTAL COMMON STOCKS

(Cost $304,366)

422,311

Preferred Stocks - 0.8%

Convertible Preferred Stocks - 0.6%

Energy - 0.4%

El Paso Corp. 4.99% (f)

10,000

11,062

Leisure - 0.2%

Six Flags, Inc. 7.25% PIERS

200,000

4,280

TOTAL CONVERTIBLE PREFERRED STOCKS

15,342

Nonconvertible Preferred Stocks - 0.2%

Broadcasting - 0.2%

Spanish Broadcasting System, Inc. Class B, 10.75%

3,671

4,020

TOTAL PREFERRED STOCKS

(Cost $18,032)

19,362

Floating Rate Loans - 2.4%

Principal Amount (000s)

Value
(000s)

Energy - 0.3%

Coffeyville Resources LLC Tranche 2, term loan 10.3125% 7/8/13 (h)

$ 6,510

$ 6,705

Homebuilding/Real Estate - 0.2%

General Growth Properties, Inc. Tranche A, term loan 5.59% 11/12/07 (h)

5,787

5,838

Metals/Mining - 0.0%

Trout Coal Holdings LLC / Dakota Tranche 2, term loan 8.5% 3/23/12 (h)

550

550

Telecommunications - 1.9%

Choice One Communications, Inc. Tranche C, term loan 8.49% 11/30/10 (h)

5,294

4,936

Level 3 Communications, Inc. term loan 10.3375% 12/2/11 (h)

15,345

16,074

McLeodUSA, Inc.:

revolver loan 8.8867% 5/31/07 (c)(h)

9,402

2,162

Tranche A, term loan 8.8864% 5/31/07 (c)(h)

8,808

2,026

Tranche B, term loan 9.59% 5/30/08 (c)(h)

92,732

21,328

46,526

TOTAL FLOATING RATE LOANS

(Cost $106,392)

59,619

Money Market Funds - 2.8%

Shares

Fidelity Cash Central Fund, 3.31% (b)
(Cost $68,752)

68,751,662

68,752

Cash Equivalents - 0.1%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 3.27%, dated 7/29/05 due 8/1/05)
(Cost $2,066)

$ 2,067

2,066

TOTAL INVESTMENT PORTFOLIO - 97.8%

(Cost $2,318,419)

2,404,349

NET OTHER ASSETS - 2.2%

54,897

NET ASSETS - 100%

$ 2,459,246

Security Type Abbreviation

PIERS - Preferred Income Equity
Redeemable Securities

Legend

(a) Non-income producing

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

(c) Non-income producing - issuer filed for bankruptcy or is in default of interest payments.

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

(e) Affiliated company

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $359,844,000 or 14.6% of net assets.

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

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

(i) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $10,939,000 or 0.4% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Arena Brands Holding Corp. Class B

6/18/97 - 7/13/98

$ 1,538

Choice One Communications, Inc.

11/18/04

$ 2,390

Trivest 1992 Special Fund Ltd.

7/30/92

$ -

Viasystems Group, Inc.

2/13/04

$ 20,664

Other Information

An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Companies which are affiliates of the fund at period-end are noted in the fund's Schedule of Investments. Transactions during the period with companies which are or were affiliates are as follows:

Affiliates
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value,
end of
period

Haynes International, Inc.

$ 19,412

$ -

$ 9,919

$ -

$ 23,383

Pathmark Stores, Inc.

8,701

-

1,239

-

20,262

Revlon, Inc. Class A
(sub. vtg.)

89,856

-

4,964

-

132,469

Total

$ 117,969

$ -

$ 16,122

$ -

$ 176,114

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $2,288,270,000. Net unrealized appreciation aggregated $116,079,000, of which $288,180,000 related to appreciated investment securities and $172,101,000 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 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
High Income Fund
Class A
Class T
Class B
Class C
Institutional Class

July 31, 2005

1.804861.101

AHI-QTLY-0905

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 84.3%

Principal Amount

Value

Convertible Bonds - 0.1%

Services - 0.1%

FTI Consulting, Inc. 3.75% 7/15/12 (d)

$ 558,000

$ 571,615

Nonconvertible Bonds - 84.2%

Aerospace - 1.5%

L-3 Communications Corp.:

6.375% 10/15/15 (d)

1,650,000

1,668,563

7.625% 6/15/12

1,390,000

1,487,300

Orbimage Holdings, Inc. 13.19% 7/1/12 (d)(e)

750,000

798,750

Orbital Sciences Corp. 9% 7/15/11

2,330,000

2,528,050

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

1,135,000

1,203,100

7,685,763

Air Transportation - 0.9%

American Airlines, Inc. pass thru trust certificates:

6.817% 5/23/11

1,275,000

1,220,813

7.324% 4/15/11

485,000

441,350

7.377% 5/23/19

941,749

706,311

7.379% 5/23/16

411,104

308,328

7.8% 4/1/08

1,155,000

1,114,575

AMR Corp. 10.2% 3/15/20

15,000

10,500

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

525,000

488,223

4,290,100

Automotive - 1.4%

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

1,450,000

1,116,500

Ford Motor Credit Co. 6.625% 6/16/08

1,810,000

1,810,000

Navistar International Corp.:

6.25% 3/1/12

1,110,000

1,093,350

7.5% 6/15/11

790,000

809,750

9.375% 6/1/06

585,000

605,475

Tenneco Automotive, Inc. 8.625% 11/15/14

1,545,000

1,602,938

7,038,013

Banks and Thrifts - 0.7%

Western Financial Bank 9.625% 5/15/12

3,065,000

3,371,500

Broadcasting - 0.4%

Emmis Communications Corp. 9.3144% 6/15/12 (d)(e)

730,000

739,125

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

950,000

1,035,500

1,774,625

Building Materials - 1.5%

Anixter International, Inc. 5.95% 3/1/15

1,020,000

994,500

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

Building Materials - continued

Goodman Global Holdings, Inc.:

6.41% 6/15/12 (d)(e)

$ 1,370,000

$ 1,370,000

7.875% 12/15/12 (d)

1,035,000

983,250

Maax Holdings, Inc. 0% 12/15/12 (c)(d)

2,795,000

1,383,525

Nortek, Inc. 8.5% 9/1/14

1,450,000

1,406,500

NTK Holdings, Inc. 0% 3/1/14 (c)(d)

1,680,000

949,200

Ply Gem Industries, Inc. 9% 2/15/12

295,000

259,600

Texas Industries, Inc. 7.25% 7/15/13 (d)

280,000

295,400

7,641,975

Cable TV - 3.4%

Cablevision Systems Corp. 7.88% 4/1/09 (e)

1,840,000

1,895,200

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

1,355,000

1,500,663

EchoStar DBS Corp. 5.75% 10/1/08

7,350,000

7,294,848

GCI, Inc. 7.25% 2/15/14

1,040,000

1,014,000

iesy Repository Gmbh 10.375% 2/15/15 (d)

1,100,000

1,111,000

Insight Communications, Inc. 0% 2/15/11 (c)

400,000

404,000

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

865,000

918,198

Kabel Deutschland GmbH 10.625% 7/1/14 (d)

810,000

897,075

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

2,575,000

2,060,000

17,094,984

Capital Goods - 3.0%

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

1,785,000

1,945,650

Ashtead Holdings PLC 8.625% 8/1/15 (d)

820,000

848,700

Case New Holland, Inc. 6% 6/1/09

920,000

897,000

Dresser, Inc. 9.375% 4/15/11

1,605,000

1,685,250

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

4,400,000

4,378,000

Leucadia National Corp. 7% 8/15/13

2,095,000

2,115,950

Park-Ohio Industries, Inc. 8.375% 11/15/14 (d)

1,295,000

1,217,300

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

985,000

920,975

Terex Corp.:

9.25% 7/15/11

745,000

812,050

10.375% 4/1/11

230,000

250,125

15,071,000

Chemicals - 3.7%

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC 9.0988% 7/15/10 (d)(e)

290,000

290,000

Borden US Finance Corp./Nova Scotia Finance ULC:

8.3488% 7/15/10 (d)(e)

1,315,000

1,301,850

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

Chemicals - continued

Borden US Finance Corp./Nova Scotia Finance ULC: - continued

9% 7/15/14 (d)

$ 1,005,000

$ 1,035,150

Crompton Corp. 9.875% 8/1/12

400,000

460,000

Crystal US Holding 3 LLC/Crystal US Sub 3 Corp.:

Series A, 0% 10/1/14 (c)

890,000

638,575

Series B, 0% 10/1/14 (c)

620,000

446,400

Equistar Chemicals LP 7.55% 2/15/26

1,380,000

1,290,300

Equistar Chemicals LP/Equistar Funding Corp.:

8.75% 2/15/09

965,000

1,022,900

10.125% 9/1/08

565,000

617,263

Huntsman LLC:

11.0988% 7/15/11 (e)

1,450,000

1,566,000

11.5% 7/15/12

100,000

117,500

11.625% 10/15/10

90,000

105,300

IMC Global, Inc. 10.875% 6/1/08

730,000

824,900

Methanex Corp. yankee 7.75% 8/15/05

885,000

886,106

Millennium America, Inc.:

7.625% 11/15/26

185,000

173,900

9.25% 6/15/08

3,835,000

4,189,738

Nalco Co. 7.75% 11/15/11

1,485,000

1,581,525

NOVA Chemicals Corp. 7.4% 4/1/09

995,000

1,032,313

Rhodia SA 10.25% 6/1/10

705,000

756,113

18,335,833

Consumer Products - 0.8%

ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13

130,000

125,450

Church & Dwight Co., Inc. 6% 12/15/12

410,000

411,025

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

680,000

496,400

Jostens IH Corp. 7.625% 10/1/12

550,000

559,625

Revlon Consumer Products Corp. 9.5% 4/1/11

1,430,000

1,372,800

Samsonite Corp. 8.875% 6/1/11

775,000

835,063

3,800,363

Containers - 3.0%

Berry Plastics Corp. 10.75% 7/15/12

1,050,000

1,149,750

BWAY Corp. 10% 10/15/10

2,610,000

2,766,600

Crown European Holdings SA:

9.5% 3/1/11

695,000

766,238

10.875% 3/1/13

3,510,000

4,141,800

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

Containers - continued

Owens-Brockway Glass Container, Inc.:

8.25% 5/15/13

$ 2,060,000

$ 2,229,950

8.75% 11/15/12

480,000

524,400

Owens-Illinois, Inc.:

7.35% 5/15/08

880,000

917,400

7.5% 5/15/10

2,450,000

2,557,188

15,053,326

Diversified Financial Services - 0.4%

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

490,000

529,837

Residential Capital Corp. 6.375% 6/30/10 (d)

715,000

726,284

Triad Acquisition Corp. 11.125% 5/1/13 (d)

890,000

916,700

2,172,821

Diversified Media - 1.0%

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

1,600,000

1,732,000

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

1,240,000

936,200

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

1,020,000

1,111,800

Liberty Media Corp.:

8.25% 2/1/30

910,000

918,227

8.5% 7/15/29

465,000

474,376

5,172,603

Electric Utilities - 5.9%

AES Corp.:

8.875% 2/15/11

2,689,000

2,978,068

9.375% 9/15/10

2,095,000

2,356,875

9.5% 6/1/09

2,045,000

2,267,394

AES Gener SA 7.5% 3/25/14

1,730,000

1,786,225

Allegheny Energy Supply Co. LLC 8.25% 4/15/12 (d)

245,000

275,625

Aquila, Inc. 14.875% 7/1/12

230,000

305,900

CMS Energy Corp.:

6.3% 2/1/12

895,000

905,069

7.5% 1/15/09

1,620,000

1,696,950

8.5% 4/15/11

855,000

954,394

8.9% 7/15/08

1,220,000

1,329,800

9.875% 10/15/07

1,825,000

1,998,375

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

1,320,000

1,372,800

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

315,000

338,625

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

Electric Utilities - continued

Nevada Power Co. 10.875% 10/15/09

$ 217,000

$ 241,955

NRG Energy, Inc. 8% 12/15/13

2,924,000

3,128,680

Sierra Pacific Power Co. 6.25% 4/15/12

1,370,000

1,421,375

Sierra Pacific Resources 8.625% 3/15/14

460,000

510,600

TECO Energy, Inc.:

5.37% 5/1/10 (d)(e)

1,130,000

1,155,425

7.2% 5/1/11

1,100,000

1,186,625

Tenaska Alabama Partners LP 7% 6/30/21 (d)

980,000

1,006,950

Utilicorp Canada Finance Corp. 7.75% 6/15/11

1,745,000

1,819,163

Utilicorp United, Inc. 9.95% 2/1/11 (e)

345,000

379,500

29,416,373

Energy - 6.4%

Chesapeake Energy Corp. 7.75% 1/15/15

1,700,000

1,844,500

El Paso Corp. 7.625% 8/16/07 (d)

560,000

578,200

Gazstream SA 5.625% 7/22/13 (d)

710,000

713,550

Hanover Compressor Co.:

0% 3/31/07

1,685,000

1,465,950

8.625% 12/15/10

630,000

667,800

9% 6/1/14

660,000

719,400

Hanover Equipment Trust 8.75% 9/1/11

245,000

261,538

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

1,150,000

1,276,500

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

574,000

579,740

Newfield Exploration Co. 6.625% 9/1/14

1,290,000

1,351,275

Ocean Rig Norway AS 8.375% 7/1/13 (d)

450,000

470,250

Parker Drilling Co.:

8.08% 9/1/10 (e)

2,500,000

2,600,000

9.625% 10/1/13

420,000

478,800

9.625% 10/1/13 (d)

740,000

843,600

Pride International, Inc. 7.375% 7/15/14

2,045,000

2,239,275

Range Resources Corp.:

6.375% 3/15/15 (Reg. S)

1,270,000

1,276,350

7.375% 7/15/13

2,250,000

2,396,250

Sonat, Inc.:

6.625% 2/1/08

320,000

320,400

7.625% 7/15/11

1,920,000

1,975,200

Stone Energy Corp. 6.75% 12/15/14

1,600,000

1,588,000

The Coastal Corp.:

6.375% 2/1/09

3,120,000

3,073,200

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

Energy - continued

The Coastal Corp.: - continued

6.5% 6/1/08

$ 735,000

$ 730,406

6.7% 2/15/27

835,000

844,394

7.625% 9/1/08

465,000

476,044

7.75% 6/15/10

3,030,000

3,117,113

31,887,735

Environmental - 0.3%

Allied Waste North America, Inc.:

5.75% 2/15/11

885,000

836,325

8.875% 4/1/08

535,000

564,425

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

25,000

24,750

1,425,500

Food and Drug Retail - 0.9%

Rite Aid Corp.:

6.875% 8/15/13

445,000

389,375

8.125% 5/1/10

165,000

170,156

9.5% 2/15/11

415,000

445,606

Stater Brothers Holdings, Inc.:

6.91% 6/15/10 (e)

1,875,000

1,889,063

8.125% 6/15/12

1,340,000

1,350,050

4,244,250

Food/Beverage/Tobacco - 2.3%

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

610,000

648,125

RJ Reynolds Tobacco Holdings, Inc.:

6.5% 7/15/10 (d)

1,360,000

1,358,300

7.3% 7/15/15 (d)

460,000

455,400

Smithfield Foods, Inc.:

7% 8/1/11

545,000

573,613

7.625% 2/15/08

1,640,000

1,713,800

7.75% 5/15/13

1,196,000

1,315,600

8% 10/15/09

2,635,000

2,845,800

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

1,625,000

1,389,375

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

1,006,000

1,061,330

11,361,343

Gaming - 5.7%

Mandalay Resort Group:

9.375% 2/15/10

1,410,000

1,575,675

10.25% 8/1/07

820,000

896,916

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

Gaming - continued

MGM MIRAGE:

6% 10/1/09

$ 3,695,000

$ 3,704,238

6.75% 9/1/12

2,935,000

3,030,388

Mohegan Tribal Gaming Authority:

6.125% 2/15/13

640,000

648,800

6.375% 7/15/09

3,550,000

3,607,865

7.125% 8/15/14

645,000

677,250

8% 4/1/12

365,000

389,638

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

1,365,000

1,484,438

Pinnacle Entertainment, Inc. 8.25% 3/15/12

1,325,000

1,397,875

Scientific Games Corp. 6.25% 12/15/12 (d)

1,260,000

1,278,900

Seneca Gaming Corp.:

7.25% 5/1/12 (Reg. S) (d)

1,450,000

1,504,375

7.25% 5/1/12

1,580,000

1,639,250

Station Casinos, Inc. 6.875% 3/1/16 (d)

1,955,000

2,013,650

Virgin River Casino Corp./RBG LLC/B&BB, Inc.:

0% 1/15/13 (c)(d)

590,000

418,900

9% 1/15/12 (d)

1,380,000

1,449,000

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

2,630,000

2,787,800

28,504,958

Healthcare - 4.9%

AmerisourceBergen Corp. 7.25% 11/15/12

2,675,000

2,942,500

AMR HoldCo, Inc./ EmCare HoldCo, Inc. 10% 2/15/15 (d)

840,000

898,800

CDRV Investors, Inc. 0% 1/1/15 (c)

4,580,000

2,267,100

Concentra Operating Corp.:

9.125% 6/1/12

1,415,000

1,499,900

9.5% 8/15/10

450,000

479,250

DaVita, Inc. 6.625% 3/15/13 (d)

1,540,000

1,593,900

HCA, Inc. 5.5% 12/1/09

2,720,000

2,704,523

Mylan Laboratories, Inc.:

5.75% 8/15/10 (d)

1,620,000

1,620,000

6.375% 8/15/15 (d)

770,000

771,925

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

1,860,000

1,892,550

PerkinElmer, Inc. 8.875% 1/15/13

2,255,000

2,514,325

Psychiatric Solutions, Inc. 7.75% 7/15/15 (d)

1,270,000

1,301,750

Senior Housing Properties Trust 8.625% 1/15/12

2,325,000

2,621,438

Service Corp. International (SCI):

7.7% 4/15/09 (Reg. S)

700,000

747,250

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

Healthcare - continued

Service Corp. International (SCI): - continued

7.7% 4/15/09

$ 245,000

$ 261,231

Ventas Realty LP/Ventas Capital Corp. 6.75% 6/1/10 (d)

200,000

208,500

24,324,942

Homebuilding/Real Estate - 3.0%

American Real Estate Partners/American Real Estate Finance Corp.:

7.125% 2/15/13 (d)

970,000

970,000

8.125% 6/1/12

3,065,000

3,218,250

K. Hovnanian Enterprises, Inc.:

6% 1/15/10

380,000

377,150

8.875% 4/1/12

1,110,000

1,198,800

KB Home 7.75% 2/1/10

3,000,000

3,176,250

Standard Pacific Corp.:

5.125% 4/1/09

1,665,000

1,615,050

6.875% 5/15/11

880,000

897,600

Technical Olympic USA, Inc.:

7.5% 1/15/15

530,000

487,600

10.375% 7/1/12

255,000

269,025

WCI Communities, Inc.:

6.625% 3/15/15

855,000

795,150

7.875% 10/1/13

1,025,000

1,039,094

10.625% 2/15/11

790,000

850,238

14,894,207

Hotels - 0.8%

Grupo Posadas SA de CV 8.75% 10/4/11 (d)

1,945,000

2,076,288

Host Marriott LP 7.125% 11/1/13

1,775,000

1,857,183

3,933,471

Insurance - 0.4%

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

1,340,000

1,460,600

Fairfax Financial Holdings Ltd. 7.75% 4/26/12

370,000

357,050

1,817,650

Leisure - 2.4%

Equinox Holdings Ltd. 9% 12/15/09

700,000

728,000

Six Flags, Inc.:

9.625% 6/1/14

1,365,000

1,324,050

9.75% 4/15/13

740,000

721,500

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

190,000

196,888

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

Leisure - continued

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

$ 1,195,000

$ 824,550

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

2,285,000

2,422,100

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

3,005,000

3,452,144

Universal City Florida Holding Co. I/II 7.96% 5/1/10 (e)

2,015,000

2,105,675

11,774,907

Metals/Mining - 1.6%

Arch Western Finance LLC 6.75% 7/1/13

645,000

667,575

Century Aluminum Co. 7.5% 8/15/14

480,000

492,000

Compass Minerals International, Inc.:

0% 12/15/12 (c)

1,135,000

993,125

0% 6/1/13 (c)

1,780,000

1,486,300

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

570,000

562,163

10.125% 2/1/10

500,000

556,250

Massey Energy Co. 6.625% 11/15/10

650,000

669,500

Peabody Energy Corp. 6.875% 3/15/13

420,000

444,150

Vedanta Resources PLC 6.625% 2/22/10 (d)

1,965,000

1,945,350

7,816,413

Paper - 1.1%

Georgia-Pacific Corp.:

8% 1/15/14

1,985,000

2,183,500

8.125% 5/15/11

535,000

598,531

8.875% 2/1/10

895,000

1,009,113

9.375% 2/1/13

600,000

678,000

Norske Skog Canada Ltd. 8.625% 6/15/11

1,045,000

1,086,800

5,555,944

Publishing/Printing - 1.7%

Dex Media East LLC/Dex Media East Finance Co. 9.875% 11/15/09

485,000

531,075

Houghton Mifflin Co.:

7.2% 3/15/11

170,000

176,800

9.875% 2/1/13

1,600,000

1,744,000

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

1,980,000

1,386,000

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

4,570,000

4,684,250

8,522,125

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

Railroad - 0.5%

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

$ 1,380,000

$ 1,421,400

TFM SA de CV yankee 10.25% 6/15/07

870,000

926,550

2,347,950

Restaurants - 1.2%

Carrols Corp. 9% 1/15/13 (d)

1,905,000

1,976,438

Domino's, Inc. 8.25% 7/1/11

450,000

481,500

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

1,735,000

1,700,300

Landry's Seafood Restaurants, Inc. 7.5% 12/15/14

2,030,000

2,007,163

6,165,401

Services - 1.4%

FTI Consulting, Inc. 7.625% 6/15/13 (d)

320,000

324,800

Iron Mountain, Inc.:

7.75% 1/15/15

1,395,000

1,422,900

8.25% 7/1/11

800,000

816,000

8.625% 4/1/13

1,375,000

1,443,750

Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12 (d)

920,000

952,200

Rural/Metro Corp.:

0% 3/15/16 (c)(d)

1,540,000

831,600

9.875% 3/15/15 (d)

285,000

286,425

United Rentals North America, Inc. 7% 2/15/14

820,000

772,850

6,850,525

Shipping - 2.5%

General Maritime Corp. 10% 3/15/13

2,380,000

2,600,150

OMI Corp. 7.625% 12/1/13

3,310,000

3,367,925

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

4,555,000

4,361,413

Teekay Shipping Corp. 8.875% 7/15/11

1,635,000

1,872,075

12,201,563

Steels - 1.2%

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

1,495,000

1,584,700

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

1,110,000

1,237,650

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

1,945,000

2,149,225

Ryerson Tull, Inc. 8.25% 12/15/11

1,240,000

1,184,200

6,155,775

Super Retail - 1.8%

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

2,715,000

2,816,813

Buhrmann US, Inc. 7.875% 3/1/15 (d)

690,000

681,375

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

Super Retail - continued

JCPenney Co., Inc.:

7.375% 8/15/08

$ 810,000

$ 866,700

7.6% 4/1/07

450,000

469,688

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

1,180,000

1,123,950

Saks, Inc. 9.875% 10/1/11

1,015,000

1,083,513

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

1,930,000

1,987,900

9,029,939

Technology - 6.7%

Advanced Micro Devices, Inc. 7.75% 11/1/12

1,475,000

1,493,438

Amkor Technology, Inc.:

7.75% 5/15/13

280,000

239,400

9.25% 2/15/08

280,000

264,600

Celestica, Inc.:

7.625% 7/1/13

1,170,000

1,189,013

7.875% 7/1/11

3,305,000

3,412,413

Freescale Semiconductor, Inc. 6.875% 7/15/11

3,725,000

3,929,875

MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 6.66% 12/15/11 (d)(e)

1,420,000

1,420,000

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

2,142,858

2,132,144

New ASAT Finance Ltd. 9.25% 2/1/11

715,000

579,150

Nortel Networks Corp. 6.125% 2/15/06

1,440,000

1,447,200

Sanmina-SCI Corp.:

6.75% 3/1/13

1,320,000

1,272,150

10.375% 1/15/10

1,080,000

1,204,200

STATS ChipPAC Ltd. 7.5% 7/19/10 (d)

1,705,000

1,722,050

SunGard Data Systems, Inc.:

8.5248% 8/15/13 (d)(e)

1,220,000

1,262,700

9.125% 8/15/13 (d)

2,270,000

2,355,125

10.25% 8/15/15 (d)

280,000

290,500

Viasystems, Inc. 10.5% 1/15/11

245,000

240,100

Xerox Capital Trust I 8% 2/1/27

1,155,000

1,201,200

Xerox Corp.:

6.875% 8/15/11

4,330,000

4,535,675

7.125% 6/15/10

670,000

710,200

7.625% 6/15/13

1,115,000

1,187,475

9.75% 1/15/09

1,315,000

1,485,950

33,574,558

Telecommunications - 9.4%

American Tower Corp. 7.125% 10/15/12

515,000

544,613

American Towers, Inc. 7.25% 12/1/11

355,000

374,525

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

Telecommunications - continued

Digicel Ltd. 9.25% 9/1/12 (d)

$ 2,030,000

$ 2,093,438

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

958,000

1,082,540

Intelsat Ltd.:

5.25% 11/1/08

2,105,000

1,983,963

6.5% 11/1/13

2,490,000

2,026,238

7.625% 4/15/12

1,260,000

1,121,400

8.695% 1/15/12 (d)(e)

1,265,000

1,290,300

MCI, Inc. 8.735% 5/1/14 (e)

1,760,000

1,971,200

Millicom International Cellular SA 10% 12/1/13

2,173,000

2,254,488

Mobile Telesystems Finance SA 8% 1/28/12 (d)

1,280,000

1,312,000

New Skies Satellites BV:

8.5388% 11/1/11 (e)

1,830,000

1,903,200

9.125% 11/1/12

1,425,000

1,482,000

Nextel Communications, Inc.:

5.95% 3/15/14

1,215,000

1,256,006

6.875% 10/31/13

4,590,000

4,865,400

PanAmSat Corp. 9% 8/15/14

1,459,000

1,608,548

Qwest Capital Funding, Inc.:

7% 8/3/09

805,000

784,875

7.9% 8/15/10

950,000

952,375

Qwest Corp.:

6.6706% 6/15/13 (d)(e)

3,080,000

3,210,900

8.875% 3/15/12

3,680,000

4,029,600

Qwest Services Corp.:

13.5% 12/15/10

710,000

816,500

14% 12/15/14

290,000

350,900

Rogers Communications, Inc.:

7.25% 12/15/12

900,000

972,000

8% 12/15/12

630,000

679,613

9.625% 5/1/11

2,135,000

2,513,963

Rural Cellular Corp. 9.75% 1/15/10

415,000

413,963

SBA Communications Corp. 8.5% 12/1/12

1,675,000

1,809,000

Time Warner Telecom Holdings, Inc. 9.25% 2/15/14

190,000

193,800

Time Warner Telecom, Inc. 10.125% 2/1/11

460,000

471,500

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

2,180,000

2,136,400

U.S. West Communications 7.5% 6/15/23

275,000

253,688

46,758,936

Textiles & Apparel - 0.4%

Levi Strauss & Co.:

8.2544% 4/1/12 (e)

1,010,000

1,010,000

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

Textiles & Apparel - continued

Levi Strauss & Co.: - continued

12.25% 12/15/12

$ 465,000

$ 524,288

Tommy Hilfiger USA, Inc. 6.85% 6/1/08

465,000

467,325

2,001,613

TOTAL NONCONVERTIBLE BONDS

419,068,984

TOTAL CORPORATE BONDS

(Cost $410,292,212)

419,640,599

Commercial Mortgage Securities - 0.2%

Banc of America Commercial Mortgage, Inc.
Series 2003-2:

Class BWD, 6.947% 10/11/37 (d)

114,046

116,140

Class BWE, 7.226% 10/11/37 (d)

158,673

161,460

Class BWF, 7.55% 10/11/37 (d)

137,847

140,530

Class BWG, 8.155% 10/11/37 (d)

133,880

135,157

Class BWH, 9.073% 10/11/37 (d)

99,171

101,740

Class BWJ, 9.99% 10/11/37 (d)

114,046

116,666

Class BWK, 10.676% 10/11/37 (d)

99,171

102,008

Class BWL, 10.1596% 10/11/37 (d)

161,648

153,921

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $973,908)

1,027,622

Common Stocks - 0.2%

Shares

Automotive - 0.0%

Exide Technologies warrants 3/18/06 (a)

10

0

Chemicals - 0.2%

Huntsman Corp.

30,529

639,923

Gaming - 0.0%

Scientific Games Corp. Class A (a)

3,600

98,568

TOTAL COMMON STOCKS

(Cost $320,869)

738,491

Floating Rate Loans - 9.5%

Principal Amount

Value

Building Materials - 0.5%

Masonite International Corp. term loan 9.3838% 4/6/15 (e)

$ 2,410,000

$ 2,406,988

Cable TV - 0.5%

UPC Broadband Holding BV Tranche H2, term loan 6.2544% 9/30/12 (e)

2,480,000

2,498,600

Diversified Financial Services - 0.0%

Newkirk Master LP Tranche B term loan 5.5706% 7/31/08 (e)

80,000

80,900

Electric Utilities - 1.6%

Cogentrix Delaware Holdings, Inc. term loan 5.24% 4/14/12 (e)

2,585,100

2,614,182

Covanta Energy Corp.:

Tranche 1:

Credit-Linked Deposit 6.46% 6/24/12 (e)

1,332,358

1,352,343

term loan 6.46% 6/24/12 (e)

1,077,642

1,093,807

Tranche 2, term loan 8.96% 6/24/13 (e)

1,010,000

1,010,000

Riverside Energy Center LLC:

term loan 7.93% 6/24/11 (e)

1,863,020

1,900,280

Credit-Linked Deposit 7.93% 6/24/11 (e)

87,082

88,389

8,059,001

Energy - 2.9%

Coffeyville Resources LLC:

Credit-Linked Deposit 6.063% 7/8/11 (e)

80,000

81,500

Tranche 2, term loan 10.3125% 7/8/13 (e)

1,330,000

1,369,900

Tranche B1, term loan 6.063% 7/8/12 (e)

120,000

122,250

El Paso Corp.:

Credit-Linked Deposit 5.855% 11/22/09 (e)

2,410,300

2,431,390

term loan 6.24% 11/22/09 (e)

1,846,918

1,870,004

Kerr-McGee Corp.:

Tranche B, term loan 5.79% 5/24/11 (e)

4,810,000

4,900,188

Tranche X, term loan 5.71% 5/24/07 (e)

2,710,000

2,716,775

Magellan Midstream Holdings LP term loan 5.785% 6/30/12 (e)

700,000

711,375

14,203,382

Environmental - 0.8%

Envirocare of Utah, Inc.:

Tranche 1, term loan 6.11% 4/13/10 (e)

2,262,273

2,290,551

Tranche 2, term loan 8.86% 4/13/10 (e)

1,710,000

1,731,375

4,021,926

Floating Rate Loans - continued

Principal Amount

Value

Healthcare - 0.5%

DaVita, Inc. Tranche B, term loan LIBOR + 2.25% 7/30/12 (e)

$ 2,285,000

$ 2,322,131

Homebuilding/Real Estate - 1.3%

General Growth Properties, Inc.:

Tranche A, term loan 5.59% 11/12/07 (e)

1,047,946

1,057,115

Tranche B, term loan 5.49% 11/12/08 (e)

1,592,420

1,614,316

LNR Property Corp.:

Tranche A, term loan 7.71% 2/3/08 (e)

1,000,000

1,000,000

Tranche B, term loan:

6.3396% 2/3/08 (e)

2,008,939

2,031,539

8.46% 2/3/08 (e)

1,000,000

1,000,000

6,702,970

Technology - 1.0%

Fidelity National Information Solutions, Inc.:

Tranche A, term loan 5.1% 3/9/11 (e)

1,765,575

1,763,368

Tranche B, term loan 5.1% 3/9/13 (e)

672,600

673,441

Infor Global Solutions AG Tranche 2, term loan 10.729% 4/18/12 (e)

780,000

780,975

SunGard Data Systems, Inc. Tranche B, term loan 6.28% 2/10/13 (e)

1,540,000

1,559,250

4,777,034

Telecommunications - 0.4%

Qwest Corp. Tranche B, term loan 6.95% 6/30/10 (e)

2,125,000

2,119,688

TOTAL FLOATING RATE LOANS

(Cost $46,774,454)

47,192,620

Money Market Funds - 5.5%

Shares

Fidelity Cash Central Fund, 3.31% (b)
(Cost $27,628,930)

27,628,930

27,628,930

Cash Equivalents - 0.4%

Maturity Amount

Value

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.27%, dated 7/29/05 due 8/1/05)
(Cost $2,084,000)

$ 2,084,568

$ 2,084,000

TOTAL INVESTMENT PORTFOLIO - 100.1%

(Cost $488,074,373)

498,312,262

NET OTHER ASSETS - (0.1)%

(297,174)

NET ASSETS - 100%

$ 498,015,088

Legend

(a) Non-income producing

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

(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) 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 $75,730,238 or 15.2% of net assets.

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

(f) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $2,132,144 or 0.4% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost

Micron Technology, Inc. 6.5% 9/30/05

8/8/02 - 1/21/03

$ 1,881,250

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $487,048,425. Net unrealized appreciation aggregated $11,263,837, of which $15,216,890 related to appreciated investment securities and $3,953,053 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 Intermediate
Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

July 31, 2005

1.804849.101

LTB-QTLY-0905

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 22.4%

Principal Amount

Value

CONSUMER DISCRETIONARY - 1.3%

Automobiles - 0.3%

General Motors Corp. 8.25% 7/15/23

$ 4,535,000

$ 4,058,825

Media - 1.0%

AOL Time Warner, Inc. 6.125% 4/15/06

2,400,000

2,428,538

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

2,000,000

2,064,682

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

1,235,000

1,364,558

Hearst-Argyle Television, Inc. 7% 11/15/07

1,000,000

1,042,898

Liberty Media Corp.:

5.7% 5/15/13

1,500,000

1,388,216

8.25% 2/1/30

1,665,000

1,680,053

News America Holdings, Inc. 7.375% 10/17/08

2,000,000

2,153,710

News America, Inc. 4.75% 3/15/10

2,000,000

1,992,984

14,115,639

TOTAL CONSUMER DISCRETIONARY

18,174,464

CONSUMER STAPLES - 0.6%

Beverages - 0.1%

FBG Finance Ltd. 5.125% 6/15/15 (a)

1,620,000

1,591,742

Food Products - 0.2%

Cadbury Schweppes U.S. Finance LLC:

3.875% 10/1/08 (a)

1,675,000

1,635,641

5.125% 10/1/13 (a)

1,055,000

1,050,409

2,686,050

Tobacco - 0.3%

Philip Morris Companies, Inc. 7.65% 7/1/08

4,635,000

4,986,713

TOTAL CONSUMER STAPLES

9,264,505

ENERGY - 2.1%

Energy Equipment & Services - 0.5%

Cooper Cameron Corp. 2.65% 4/15/07

1,555,000

1,501,653

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

4,495,000

5,042,253

6,543,906

Oil, Gas & Consumable Fuels - 1.6%

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

1,965,000

1,951,813

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

1,040,000

1,097,206

Enterprise Products Operating LP:

4.625% 10/15/09

1,290,000

1,269,394

Nonconvertible Bonds - continued

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Enterprise Products Operating LP: - continued

5.6% 10/15/14

$ 380,000

$ 385,420

Kerr-McGee Corp. 6.875% 9/15/11

1,595,000

1,697,080

Kinder Morgan Energy Partners LP:

5.125% 11/15/14

2,100,000

2,094,464

5.35% 8/15/07

1,070,000

1,076,126

Nexen, Inc.:

5.05% 11/20/13

1,485,000

1,476,048

5.2% 3/10/15

1,185,000

1,175,753

Pemex Project Funding Master Trust:

6.125% 8/15/08

1,000,000

1,025,000

7.375% 12/15/14

3,000,000

3,315,000

7.875% 2/1/09 (e)

3,000,000

3,255,000

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

2,100,000

2,457,036

Williams Companies, Inc. 7.125% 9/1/11

995,000

1,084,550

23,359,890

TOTAL ENERGY

29,903,796

FINANCIALS - 10.7%

Capital Markets - 1.4%

Bank of New York Co., Inc.:

3.4% 3/15/13 (e)

1,300,000

1,253,963

4.25% 9/4/12 (e)

1,510,000

1,497,893

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

1,925,000

1,931,570

Goldman Sachs Group, Inc.:

5.25% 10/15/13

3,000,000

3,043,101

6.6% 1/15/12

3,000,000

3,273,285

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

4,235,000

4,498,671

Lehman Brothers Holdings, Inc. 7% 2/1/08

2,400,000

2,537,438

Merrill Lynch & Co., Inc. 4.25% 2/8/10

2,740,000

2,689,368

20,725,289

Commercial Banks - 1.2%

Bank of America Corp.:

6.25% 4/15/12

840,000

911,655

7.125% 9/15/06

2,000,000

2,059,772

FleetBoston Financial Corp. 3.85% 2/15/08

1,000,000

982,358

Korea Development Bank:

3.875% 3/2/09

3,850,000

3,739,413

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

Korea Development Bank: - continued

4.75% 7/20/09

$ 1,300,000

$ 1,299,697

Mellon Bank NA, Pittsburgh 7.375% 5/15/07

1,800,000

1,882,642

U.S. Bank NA, Minnesota 5.7% 12/15/08

2,000,000

2,066,416

Wachovia Bank NA 4.875% 2/1/15

2,600,000

2,580,682

Wachovia Corp. 4.875% 2/15/14

1,970,000

1,955,725

17,478,360

Consumer Finance - 2.1%

Capital One Bank 6.5% 6/13/13

2,315,000

2,509,712

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

12,000,000

12,111,708

Household Finance Corp. 4.125% 11/16/09

7,705,000

7,524,056

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

2,550,000

2,609,560

MBNA America Bank NA 4.625% 8/3/09

4,000,000

4,003,616

MBNA Corp. 6.25% 1/17/07

1,155,000

1,183,813

29,942,465

Diversified Financial Services - 1.2%

Alliance Capital Management LP 5.625% 8/15/06

1,495,000

1,505,045

CIT Group, Inc. 3.875% 11/3/08

530,000

518,264

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

2,000,000

1,974,660

JPMorgan Chase & Co.:

4.875% 3/15/14

2,190,000

2,164,874

5.75% 1/2/13

7,500,000

7,905,465

Salomon Smith Barney Holdings, Inc. 6.5% 2/15/08

2,425,000

2,540,372

16,608,680

Insurance - 0.6%

Aegon NV 4.75% 6/1/13

3,400,000

3,349,935

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

1,480,000

1,578,282

The St. Paul Travelers Companies, Inc.:
6.38%12/15/08

2,200,000

2,314,415

8.125% 4/15/10

1,750,000

1,985,548

9,228,180

Real Estate - 3.6%

AMB Property LP 7.2% 12/15/05

2,000,000

2,021,958

Archstone Smith Operating Trust 5.25% 5/1/15

1,540,000

1,538,050

Arden Realty LP:

5.2% 9/1/11

1,200,000

1,191,262

7% 11/15/07

3,460,000

3,638,840

AvalonBay Communities, Inc. 5% 8/1/07

1,380,000

1,386,951

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

2,830,000

3,012,696

Brandywine Operating Partnership LP 4.5% 11/1/09

3,310,000

3,216,615

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Real Estate - continued

BRE Properties, Inc.:

4.875% 5/15/10

$ 1,765,000

$ 1,741,917

5.95% 3/15/07

875,000

891,580

Camden Property Trust:

4.375% 1/15/10

1,450,000

1,410,013

5.875% 11/30/12

1,700,000

1,750,575

CarrAmerica Realty Corp. 5.25% 11/30/07

1,940,000

1,949,908

Colonial Properties Trust 4.75% 2/1/10

1,390,000

1,356,195

Developers Diversified Realty Corp.:

4.625% 8/1/10

2,325,000

2,269,712

5.25% 4/15/11

4,660,000

4,684,474

EOP Operating LP:

4.65% 10/1/10

6,440,000

6,317,968

4.75% 3/15/14

1,070,000

1,037,088

Gables Realty LP:

5% 3/15/10

865,000

847,044

5.75% 7/15/07

5,245,000

5,330,105

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

670,000

647,286

Post Apartment Homes LP 5.45% 6/1/12

1,800,000

1,790,226

Simon Property Group LP:

4.6% 6/15/10 (a)

1,215,000

1,195,686

5.1% 6/15/15 (a)

1,800,000

1,773,000

50,999,149

Thrifts & Mortgage Finance - 0.6%

Abbey National PLC 6.69% 10/17/05

1,020,000

1,026,064

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

1,890,000

1,798,465

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

545,000

523,916

Residential Capital Corp. 6.375% 6/30/10 (a)

1,710,000

1,736,986

Washington Mutual, Inc.:

4.375% 1/15/08

1,665,000

1,656,783

4.625% 4/1/14

1,580,000

1,507,641

8,249,855

TOTAL FINANCIALS

153,231,978

INDUSTRIALS - 1.3%

Aerospace & Defense - 0.2%

BAE Systems Holdings, Inc. 4.75% 8/15/10 (a)

1,995,000

1,978,990

Nonconvertible Bonds - continued

Principal Amount

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

Bombardier, Inc.:

6.3% 5/1/14 (a)

$ 1,515,000

$ 1,424,100

7.45% 5/1/34 (a)

60,000

52,200

3,455,290

Airlines - 0.5%

American Airlines, Inc. pass thru trust certificates:

6.855% 10/15/10

239,326

246,211

6.978% 10/1/12

568,945

591,474

7.024% 4/15/11

1,370,000

1,423,902

Continental Airlines, Inc. pass thru trust certificates:

6.648% 3/15/19

1,375,824

1,355,694

7.056% 3/15/11

1,330,000

1,380,623

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

2,020,000

1,878,494

6,876,398

Industrial Conglomerates - 0.3%

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

705,000

752,257

Hutchison Whampoa International 03/33 Ltd. 6.25% 1/24/14 (a)

3,625,000

3,828,743

4,581,000

Road & Rail - 0.3%

Canadian Pacific Railway Co. yankee 6.25% 10/15/11

2,700,000

2,897,999

Norfolk Southern Corp. 5.257% 9/17/14

1,731,000

1,769,877

4,667,876

TOTAL INDUSTRIALS

19,580,564

INFORMATION TECHNOLOGY - 0.2%

Computers & Peripherals - 0.2%

NCR Corp. 7.125% 6/15/09

2,270,000

2,419,230

MATERIALS - 0.4%

Metals & Mining - 0.4%

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

5,580,000

6,043,865

TELECOMMUNICATION SERVICES - 3.0%

Diversified Telecommunication Services - 2.7%

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

1,100,000

1,154,230

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

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

$ 3,000,000

$ 3,606,315

BellSouth Corp. 5.2% 9/15/14

3,710,000

3,762,500

British Telecommunications PLC:

8.375% 12/15/10

2,835,000

3,312,763

8.875% 12/15/30

775,000

1,087,582

Koninklijke KPN NV yankee 8% 10/1/10

2,940,000

3,352,908

SBC Communications, Inc. 4.125% 9/15/09

5,000,000

4,894,040

Sprint Capital Corp. 8.375% 3/15/12

2,050,000

2,431,212

Telecom Italia Capital:

4% 11/15/08

3,000,000

2,941,173

4% 1/15/10 (a)

1,940,000

1,871,955

4.95% 9/30/14 (a)

1,780,000

1,744,733

Telefonos de Mexico SA de CV 4.75% 1/27/10 (a)

4,695,000

4,631,679

TELUS Corp. yankee 7.5% 6/1/07

1,310,000

1,377,630

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

1,697,000

1,890,597

38,059,317

Wireless Telecommunication Services - 0.3%

America Movil SA de CV 4.125% 3/1/09

1,310,000

1,270,743

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

2,820,000

3,230,296

4,501,039

TOTAL TELECOMMUNICATION SERVICES

42,560,356

UTILITIES - 2.8%

Electric Utilities - 1.8%

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

2,265,000

2,338,864

Duke Capital LLC 6.25% 2/15/13

3,250,000

3,480,649

Exelon Corp. 6.75% 5/1/11

970,000

1,058,606

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

3,000,000

3,052,113

FirstEnergy Corp.:

5.5% 11/15/06

1,500,000

1,519,139

6.45% 11/15/11

1,480,000

1,591,551

Monongahela Power Co. 5% 10/1/06

1,370,000

1,375,735

Niagara Mohawk Power Corp. 8.875% 5/15/07

400,000

429,363

Oncor Electric Delivery Co.:

5% 9/1/07

2,000,000

2,010,884

6.375% 5/1/12

1,155,000

1,248,706

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

1,800,000

1,977,887

Nonconvertible Bonds - continued

Principal Amount

Value

UTILITIES - continued

Electric Utilities - continued

PSI Energy, Inc. 6.65% 6/15/06

$ 3,775,000

$ 3,848,775

TXU Energy Co. LLC 7% 3/15/13

1,210,000

1,338,721

25,270,993

Gas Utilities - 0.1%

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

1,010,000

1,120,524

Independent Power Producers & Energy Traders - 0.3%

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

3,052,000

3,380,462

TXU Corp. 5.55% 11/15/14 (a)

1,645,000

1,603,673

4,984,135

Multi-Utilities - 0.6%

Dominion Resources, Inc.:

4.75% 12/15/10

2,050,000

2,035,908

6.25% 6/30/12

1,795,000

1,918,780

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

3,400,000

3,538,785

Sempra Energy 7.95% 3/1/10

830,000

930,618

8,424,091

TOTAL UTILITIES

39,799,743

TOTAL NONCONVERTIBLE BONDS

(Cost $317,395,660)

320,978,501

U.S. Government and Government Agency Obligations - 30.7%

U.S. Government Agency Obligations - 13.5%

Fannie Mae:

3.25% 1/15/08

5,532,000

5,402,236

3.25% 2/15/09

28,000,000

26,996,732

4.375% 7/17/13

4,850,000

4,715,165

5.25% 8/1/12

30,000,000

30,902,310

5.5% 3/15/11

19,700,000

20,687,758

6% 5/15/11

17,655,000

18,996,162

6.25% 2/1/11

735,000

789,622

Federal Home Loan Bank 3.75% 9/28/06

375,000

372,773

Freddie Mac:

5.25% 11/5/12

1,405,000

1,403,802

5.75% 1/15/12

25,460,000

27,271,530

U.S. Government and Government Agency Obligations - continued

Principal Amount

Value

U.S. Government Agency Obligations - continued

Freddie Mac: - continued

5.875% 3/21/11

$ 2,655,000

$ 2,815,107

6.625% 9/15/09

48,400,000

52,479,926

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

192,833,123

U.S. Treasury Inflation Protected Obligations - 4.8%

U.S. Treasury Inflation-Indexed Notes:

0.875% 4/15/10

28,733,320

27,603,828

2% 1/15/14

40,191,366

40,632,076

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

68,235,904

U.S. Treasury Obligations - 12.4%

U.S. Treasury Bonds 6.25% 5/15/30

970,000

1,219,244

U.S. Treasury Notes:

3.125% 1/31/07

20,200,000

19,949,076

3.375% 10/15/09

51,000,000

49,483,923

3.625% 4/30/07

1,126,000

1,118,699

3.625% 6/30/07 (b)

1,027,000

1,019,578

4.25% 8/15/13

10,902,000

10,915,628

4.75% 5/15/14

91,560,000

94,757,454

TOTAL U.S. TREASURY OBLIGATIONS

178,463,602

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $445,368,361)

439,532,629

U.S. Government Agency - Mortgage Securities - 6.7%

Fannie Mae - 5.7%

3.463% 4/1/34 (e)

554,244

552,136

3.75% 9/1/33 (e)

1,258,547

1,234,448

3.753% 10/1/33 (e)

230,052

226,701

3.786% 12/1/34 (e)

292,937

289,704

3.793% 6/1/34 (e)

988,208

965,106

3.828% 1/1/35 (e)

237,326

235,263

3.838% 1/1/35 (e)

663,045

660,381

3.867% 1/1/35 (e)

383,343

381,217

3.876% 11/1/34 (e)

1,498,953

1,486,901

3.913% 12/1/34 (e)

201,206

199,634

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

3.97% 5/1/33 (e)

$ 77,869

$ 77,403

3.975% 1/1/35 (e)

299,472

296,587

3.981% 12/1/34 (e)

283,854

280,883

4.008% 12/1/34 (e)

1,537,394

1,534,276

4.011% 1/1/35 (e)

194,667

192,716

4.023% 2/1/35 (e)

215,364

213,507

4.03% 1/1/35 (e)

119,949

119,370

4.045% 5/1/34 (e)

101,449

101,384

4.049% 2/1/35 (e)

202,673

201,145

4.053% 10/1/18 (e)

232,281

229,984

4.079% 4/1/33 (e)

73,354

73,246

4.104% 2/1/35 (e)

139,875

139,190

4.11% 2/1/35 (e)

139,465

138,974

4.117% 2/1/35 (e)

390,312

388,787

4.118% 1/1/35 (e)

432,383

430,460

4.121% 2/1/35 (e)

801,072

797,357

4.137% 1/1/35 (e)

748,958

745,995

4.138% 2/1/35 (e)

496,604

498,450

4.144% 1/1/35 (e)

613,661

616,531

4.154% 2/1/35 (e)

397,209

396,048

4.178% 1/1/35 (e)

839,967

847,968

4.183% 1/1/35 (e)

360,338

359,993

4.189% 11/1/34 (e)

121,923

121,705

4.197% 1/1/35 (e)

462,246

459,221

4.232% 3/1/34 (e)

206,242

205,547

4.25% 2/1/35 (e)

240,356

238,996

4.258% 10/1/34 (e)

599,477

603,013

4.293% 3/1/35 (e)

232,915

232,885

4.297% 7/1/34 (e)

209,735

210,253

4.302% 1/1/35 (e)

308,680

306,778

4.306% 8/1/33 (e)

492,837

490,880

4.315% 3/1/33 (e)

109,115

108,881

4.323% 5/1/35 (e)

345,673

345,193

4.335% 2/1/35 (e)

159,689

159,280

4.349% 1/1/35 (e)

229,138

227,098

4.351% 1/1/35 (e)

235,003

234,151

4.367% 2/1/34 (e)

578,809

577,322

4.372% 4/1/35 (e)

165,485

165,201

4.401% 2/1/35 (e)

358,616

356,039

4.409% 5/1/35 (e)

704,068

704,393

4.433% 11/1/34 (e)

3,715,561

3,714,192

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

4.455% 3/1/35 (e)

$ 319,477

$ 316,694

4.467% 10/1/34 (e)

1,325,360

1,325,899

4.479% 4/1/34 (e)

407,461

408,051

4.489% 8/1/34 (e)

784,585

784,217

4.5% 8/1/33 to 3/1/35

1,698,817

1,630,310

4.5% 3/1/35 (e)

703,934

701,520

4.508% 1/1/35 (e)

413,770

416,184

4.529% 3/1/35 (e)

658,720

656,044

4.554% 7/1/35 (e)

850,000

850,398

4.564% 2/1/35 (e)

1,627,727

1,629,634

4.57% 2/1/35 (e)

253,485

254,261

4.619% 2/1/35 (e)

706,078

703,513

4.645% 2/1/35 (e)

192,308

193,385

4.649% 11/1/34 (e)

834,317

836,156

4.687% 11/1/34 (e)

817,358

818,424

4.714% 3/1/35 (e)

2,107,254

2,115,747

4.74% 7/1/34 (e)

716,062

711,317

4.741% 3/1/35 (e)

402,552

402,552

4.823% 12/1/34 (e)

669,730

672,086

4.847% 12/1/34 (e)

271,317

272,122

5.123% 2/1/35 (e)

2,112,910

2,109,200

5.137% 5/1/35 (e)

186,624

186,879

5.204% 6/1/35 (e)

1,213,645

1,229,532

5.366% 12/1/32 (e)

367,988

372,128

5.5% 9/1/10 to 5/1/25

10,006,564

10,169,065

5.817% 5/1/35 (e)

1,670,300

1,688,059

6% 5/1/16 to 4/1/17

1,605,083

1,658,650

6.5% 12/1/13 to 3/1/35

15,744,041

16,327,504

6.5% 8/1/35 (b)

2,360,481

2,443,835

7% 11/1/11 to 6/1/33

3,931,335

4,137,309

7% 8/1/20 (b)

88,453

92,572

7.5% 8/1/17 to 9/1/28

1,297,945

1,386,481

8.5% 6/1/11 to 9/1/25

174,901

189,605

9.5% 2/1/25

52,658

58,095

10.5% 8/1/20

27,801

31,572

11% 8/1/15

261,838

283,503

12.5% 12/1/13 to 4/1/15

15,805

17,685

TOTAL FANNIE MAE

82,452,961

Freddie Mac - 0.9%

4.106% 12/1/34 (e)

262,556

260,962

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Freddie Mac - continued

4.13% 12/1/34 (e)

$ 392,758

$ 390,960

4.223% 1/1/35 (e)

1,184,196

1,179,929

4.3% 5/1/35 (e)

579,197

576,234

4.311% 12/1/34 (e)

331,301

329,301

4.312% 3/1/35 (e)

339,275

338,200

4.368% 3/1/35 (e)

492,188

486,651

4.4% 2/1/35 (e)

657,605

650,412

4.404% 2/1/35 (e)

745,686

743,705

4.446% 3/1/35 (e)

294,491

291,109

4.449% 2/1/34 (e)

384,966

383,347

4.49% 3/1/35 (e)

898,915

891,050

4.497% 6/1/35 (e)

491,204

490,846

4.498% 3/1/35 (e)

2,325,000

2,309,742

4.504% 3/1/35 (e)

367,663

364,044

4.565% 2/1/35 (e)

520,308

520,999

5.036% 4/1/35 (e)

1,958,722

1,970,638

8.5% 9/1/24 to 8/1/27

172,792

188,474

10% 5/1/09

5,709

6,098

10.5% 5/1/21

38,055

40,761

11% 12/1/11

2,353

2,545

11.5% 10/1/15

7,194

7,937

11.75% 10/1/10

10,444

11,264

TOTAL FREDDIE MAC

12,435,208

Government National Mortgage Association - 0.1%

6.5% 2/15/29

463,485

484,800

7% 2/15/28 to 11/15/28

1,057,377

1,118,242

7.5% 2/15/28 to 10/15/28

13,992

14,972

8% 5/15/06 to 10/15/24

91,628

94,657

8.5% 4/15/17 to 10/15/21

149,827

164,366

11% 7/20/19 to 8/20/19

11,688

12,848

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

1,889,885

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $96,910,322)

96,778,054

Asset-Backed Securities - 7.1%

ACE Securities Corp.:

Series 2003-FM1 Class M2, 5.31% 11/25/32 (e)

955,000

966,234

Asset-Backed Securities - continued

Principal Amount

Value

ACE Securities Corp.: - continued

Series 2004-HE1:

Class M1, 3.96% 2/25/34 (e)

$ 525,000

$ 525,185

Class M2, 4.56% 2/25/34 (e)

600,000

600,301

American Express Credit Account Master Trust:

Series 2004-1 Class B, 3.6381% 9/15/11 (e)

1,430,000

1,435,627

Series 2004-C Class C, 3.8881% 2/15/12 (a)(e)

5,630,144

5,646,759

AmeriCredit Automobile Receivables Trust Series 2005-1 Class E, 5.82% 6/6/12 (a)

920,000

922,484

Ameriquest Mortgage Securities, Inc. Series 2004-R2:

Class M1, 3.89% 4/25/34 (e)

300,000

299,987

Class M2, 3.94% 4/25/34 (e)

225,000

224,991

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE2 Class A2, 3.7681% 4/15/33 (e)

264,329

264,438

Series 2003-HE7 Class A3, 3.7481% 12/15/33 (e)

1,002,670

1,006,367

Bank One Issuance Trust:

Series 2002-B1 Class B1, 3.7681% 12/15/09 (e)

1,290,000

1,295,375

Series 2002-C1 Class C1, 4.3481% 12/15/09 (e)

1,840,000

1,859,706

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

3,100,000

3,068,019

Bear Stearns Asset Backed Securities I Series 2005-HE2:

Class M1, 3.96% 2/25/35 (e)

1,555,000

1,551,323

Class M2, 4.21% 2/25/35 (e)

570,000

570,595

Capital One Master Trust:

Series 2001-1 Class B, 3.8981% 12/15/10 (e)

2,130,000

2,145,140

Series 2001-8A Class B, 3.9381% 8/17/09 (e)

3,015,000

3,030,478

Capital One Multi-Asset Execution Trust:

Series 2002-B1 Class B1, 4.0681% 7/15/08 (e)

875,000

875,345

Series 2003-B1 Class B1, 4.5581% 2/17/09 (e)

3,535,000

3,557,113

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

1,860,000

1,849,187

Series 2003-B4 Class B4, 4.1881% 7/15/11 (e)

1,680,000

1,707,087

Series 2004-6 Class B, 4.15% 7/16/12

2,560,000

2,511,300

CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 5.36% 10/25/33 (e)

824,992

839,466

Chase Credit Card Master Trust Series 2003-6 Class B, 3.7381% 2/15/11 (e)

2,435,000

2,453,370

Chase Credit Card Owner Trust Series 2004-1 Class B, 3.5881% 5/15/09 (e)

1,020,000

1,019,802

Citibank Credit Card Issuance Trust:

Series 2000-C2 Class C2, 4.2488% 10/15/07 (e)

3,500,000

3,502,270

Series 2003-C1 Class C1, 4.65% 4/7/10 (e)

1,330,000

1,357,457

Countrywide Home Loans, Inc.:

Series 2004-2 Class M1, 3.96% 5/25/34 (e)

1,275,000

1,276,648

Series 2004-3 Class M1, 3.96% 6/25/34 (e)

350,000

350,322

Asset-Backed Securities - continued

Principal Amount

Value

Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1:

Class B, 4.878% 6/15/35 (a)

$ 1,150,000

$ 1,159,209

Class C, 5.074% 6/15/35 (a)

1,044,000

1,049,220

Fieldstone Mortgage Investment Corp. Series 2003-1:

Class M1, 4.14% 11/25/33 (e)

300,000

302,019

Class M2, 5.21% 11/25/33 (e)

200,000

205,314

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 4.01% 3/25/34 (e)

100,000

100,178

Class M4, 4.36% 3/25/34 (e)

75,000

75,662

Fremont Home Loan Trust:

Series 2004-A:

Class M1, 4.01% 1/25/34 (e)

1,100,000

1,100,704

Class M2, 4.61% 1/25/34 (e)

1,275,000

1,289,617

Series 2005-A:

Class M1, 3.89% 1/25/35 (e)

375,000

374,264

Class M2, 3.92% 1/25/35 (e)

550,000

549,179

Class M3, 3.95% 1/25/35 (e)

300,000

299,987

Class M4, 4.14% 1/25/35 (e)

225,000

225,617

GSAMP Trust Series 2004-FM2:

Class M1, 3.96% 1/25/34 (e)

750,000

749,968

Class M2, 4.56% 1/25/34 (e)

400,000

399,983

Class M3, 4.76% 1/25/34 (e)

400,000

399,983

HFC Home Equity Loan Asset Backed Certificates Series 2005-2:

Class M1, 3.97% 1/20/34 (e)

705,000

705,000

Class M2, 4% 1/20/34 (e)

530,000

530,000

Home Equity Asset Trust:

Series 2003-2:

Class A2, 3.84% 8/25/33 (e)

77,722

78,018

Class M1, 4.34% 8/25/33 (e)

765,000

773,280

Series 2003-4:

Class M1, 4.26% 10/25/33 (e)

1,045,000

1,052,767

Class M2, 5.36% 10/25/33 (e)

1,240,000

1,256,279

Series 2004-3 Class M2, 4.66% 8/25/34 (e)

535,000

544,088

Long Beach Mortgage Loan Trust Series 2003-3:

Class M1, 4.21% 7/25/33 (e)

2,460,000

2,477,295

Class M2, 5.31% 7/25/33 (e)

1,260,000

1,284,624

MBNA Credit Card Master Note Trust:

Series 2003-B2 Class B2, 3.7781% 10/15/10 (e)

350,000

353,562

Series 2003-B3 Class B3, 3.7631% 1/18/11 (e)

1,685,000

1,692,996

Asset-Backed Securities - continued

Principal Amount

Value

MBNA Credit Card Master Note Trust: - continued

Series 2003-B5 Class B5, 3.7581% 2/15/11 (e)

$ 2,530,000

$ 2,549,548

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 3.96% 7/25/34 (e)

500,000

499,979

Class M2, 4.01% 7/25/34 (e)

100,000

99,996

Class M3, 4.41% 7/25/34 (e)

200,000

199,992

Class M4, 4.56% 7/25/34 (e)

125,000

124,995

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 4.56% 12/27/32 (e)

460,000

465,935

Series 2003-NC8 Class M1, 4.16% 9/25/33 (e)

665,000

668,812

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC4 Class M1, 4.46% 1/25/32 (e)

1,318,275

1,323,074

Series 2002-NC1 Class M1, 4.26% 2/25/32 (a)(e)

706,794

712,731

Series 2002-NC3 Class M1, 4.18% 8/25/32 (e)

375,000

377,880

Series 2003-NC2 Class M2, 5.46% 2/25/33 (e)

710,000

721,248

National Collegiate Student Loan Trust:

Series 2004-2 Class AIO, 9.75% 10/25/14 (g)

1,960,000

995,092

Series 2005-GT1 Class AIO, 6.75% 12/25/09 (g)

950,000

255,832

New Century Home Equity Loan Trust Series 2003-2 Class A2, 3.89% 1/25/33 (e)

117,593

117,656

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

6,810,876

6,736,957

NovaStar Home Equity Loan Series 2004-1:

Class M1, 3.91% 6/25/34 (e)

350,000

350,295

Class M4, 4.435% 6/25/34 (e)

585,000

585,997

Onyx Acceptance Owner Trust Series 2005-B Class A4, 4.34% 5/15/12

1,045,000

1,035,859

Ownit Mortgage Loan Asste-Backed Certificates Series 2005-3 Class A2A, 3.5% 6/25/36 (e)

3,580,000

3,580,000

Sears Credit Account Master Trust II Series 2002-4
Class A, 3.5181% 8/18/09 (e)

2,700,000

2,699,960

SLM Private Credit Student Loan Trust Series 2004-A Class C, 3.96% 6/15/33 (e)

1,190,000

1,215,538

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 3.8381% 3/15/11 (a)(e)

2,320,000

2,318,550

Superior Wholesale Inventory Financing Trust XII Series 2005-A12:

Class B, 3.74% 6/15/10 (e)

1,425,000

1,424,991

Class C, 4.46% 6/15/10 (e)

710,000

709,994

Volkswagen Auto Lease Trust Series 2005-A Class A4, 3.94% 10/20/10

3,815,000

3,774,997

Asset-Backed Securities - continued

Principal Amount

Value

West Penn Funding LLC Series 1999-A Class A3, 6.81% 9/25/08

$ 1,796,891

$ 1,822,600

WFS Financial Owner Trust Series 2005-1 Class D, 4.09% 8/15/12

875,000

866,525

TOTAL ASSET-BACKED SECURITIES

(Cost $101,724,396)

101,976,222

Collateralized Mortgage Obligations - 5.4%

Private Sponsor - 4.5%

Adjustable Rate Mortgage Trust floater Series 2005-2 Class 6A2, 3.74% 6/25/35 (e)

687,173

687,619

Bank of America Mortgage Securities, Inc.:

Series 2003-K:

Class 1A1, 3.3521% 12/25/33 (e)

403,286

399,631

Class 2A1, 4.1867% 12/25/33 (e)

1,431,838

1,413,932

Series 2003-L Class 2A1, 3.9876% 1/25/34 (e)

2,655,149

2,612,879

Series 2004-B:

Class 1A1, 3.4262% 3/25/34 (e)

930,787

919,276

Class 2A2, 4.1351% 3/25/34 (e)

1,023,151

1,000,776

Series 2004-C Class 1A1, 3.3726% 4/25/34 (e)

1,642,460

1,622,300

Series 2004-D:

Class 1A1, 3.5597% 5/25/34 (e)

2,015,787

1,993,684

Class 2A2, 4.2101% 5/25/34 (e)

2,627,108

2,589,750

Series 2004-G Class 2A7, 4.6058% 8/25/34 (e)

2,097,804

2,090,769

Series 2004-H Class 2A1, 4.5133% 9/25/34 (e)

2,246,382

2,224,783

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR3 Class 6A2, 3.83% 4/25/34 (e)

534,205

534,678

Series 2004-AR6 Class 9A2, 3.83% 10/25/34 (e)

916,649

917,198

Granite Mortgages PLC floater Series 2004-2 Class 1C, 4.13% 6/20/44 (e)

844,788

846,526

Master Asset Securitization Trust Series 2004-9
Class 7A1, 6.3188% 5/25/17 (e)

1,972,988

1,994,311

Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2437% 8/25/17 (e)

1,583,404

1,619,295

Merrill Lynch Mortgage Investors, Inc.:

floater Series 2005-B Class A2, 3.75% 6/25/30 (e)

2,435,863

2,435,863

Series 2003-E Class XA1, 1% 10/25/28 (g)

10,892,642

132,488

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

9,592,026

124,336

Series 2003-H Class XA1, 1% 1/25/29 (a)(g)

8,364,930

109,430

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 3.75% 6/25/35 (e)

1,411,678

1,412,505

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Residential Asset Mortgage Products, Inc. sequential pay:

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

$ 2,503,403

$ 2,548,600

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

342,753

348,205

Series 2004-SL3 Class A1, 7% 8/25/16

3,992,938

4,090,434

Residential Finance LP/Residential Finance Development Corp. floater:

Series 2003-B:

Class B3, 4.9% 7/10/35 (a)(e)

2,317,165

2,357,715

Class B4, 5.1% 7/10/35 (a)(e)

1,737,873

1,770,459

Class B5, 5.7% 7/10/35 (a)(e)

1,641,325

1,676,203

Class B6, 6.2% 7/10/35 (a)(e)

772,388

788,801

Series 2003-CB1:

Class B3, 4.8% 6/10/35 (a)(e)

810,070

824,246

Class B4, 5% 6/10/35 (a)(e)

723,277

736,838

Class B5, 5.6% 6/10/35 (a)(e)

491,828

502,279

Class B6, 6.1% 6/10/35 (a)(e)

294,132

300,383

Series 2004-B:

Class B4, 4.45% 2/10/36 (a)(e)

294,886

299,309

Class B5, 4.9% 2/10/36 (a)(e)

294,886

300,046

Class B6, 5.35% 2/10/36 (a)(e)

98,295

100,138

Series 2004-C:

Class B4, 4.3% 9/10/36 (e)

395,549

400,493

Class B5, 4.7% 9/10/36 (e)

494,436

499,998

Class B6, 5.1% 9/10/36 (e)

98,887

100,370

Residential Funding Securities Corp. Series 2003-RP2 Class A1, 3.93% 6/25/33 (a)(e)

1,059,335

1,063,424

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

34,730,047

262,354

Sequoia Mortgage Trust floater Series 2004-8 Class A2, 3.45% 9/20/34 (e)

1,862,593

1,861,632

WAMU Mortgage pass thru certificates:

sequential pay Series 2002-S6 Class A25, 6% 10/25/32

731,105

732,956

Series 2003-AR12 Class A5, 4.043% 2/25/34

5,000,000

4,898,995

Washington Mutual Mortgage Securities Corp. sequential pay:

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

305,282

316,368

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

498,899

509,795

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-T Class A1, 3.4526% 9/25/34 (e)

2,332,066

2,321,732

Series 2005-AR10 Class 2A2, 4.111% 6/25/35 (e)

3,160,012

3,115,886

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Wells Fargo Mortgage Backed Securities Trust: - continued

Series 2005-AR4 Class 2A2, 4.541% 4/25/35 (e)

$ 2,663,848

$ 2,634,953

Series 2005-AR9 Class 2A1, 4.3621% 5/25/35 (e)

1,499,063

1,488,464

TOTAL PRIVATE SPONSOR

64,533,105

U.S. Government Agency - 0.9%

Fannie Mae planned amortization class Series 2003-39 Class PV, 5.5% 9/25/22

3,045,000

3,083,063

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class Series 2702 Class WB, 5% 4/15/17

2,480,000

2,496,903

sequential pay Series 2473 Class VK, 6.5% 10/15/18

7,141,457

7,177,363

Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8918% 10/16/23 (e)

370,000

383,627

Ginnie Mae guaranteed REMIC pass thru securities planned amortization class Series 2001-45 Class GC, 6.5% 10/20/30

258,134

258,542

TOTAL U.S. GOVERNMENT AGENCY

13,399,498

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $78,867,631)

77,932,603

Commercial Mortgage Securities - 7.9%

Asset Securitization Corp.:

sequential pay Series 1995-MD4 Class A1, 7.1% 8/13/29

118,080

121,342

Series 1997-D5 Class PS1, 1.6362% 2/14/43 (e)(g)

17,377,971

857,935

Banc of America Commercial Mortgage, Inc. Series 2002-2 Class XP, 1.7831% 7/11/43 (a)(e)(g)

11,789,538

704,872

Banc of America Large Loan, Inc. floater Series 2003-BBA2:

Class C, 3.8581% 11/15/15 (a)(e)

265,000

265,969

Class D, 3.9381% 11/15/15 (a)(e)

410,000

412,339

Class F, 4.2881% 11/15/15 (a)(e)

295,000

297,072

Class H, 4.7881% 11/15/15 (a)(e)

265,000

266,574

Class J, 5.3381% 11/15/15 (a)(e)

275,000

276,650

Class K, 5.82% 11/15/15 (a)(e)

245,000

243,452

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust floater:

Series 2004-1:

Class A, 3.82% 4/25/34 (a)(e)

$ 1,580,078

$ 1,582,855

Class B, 5.36% 4/25/34 (a)(e)

166,324

168,228

Class M1, 4.02% 4/25/34 (a)(e)

166,324

167,052

Class M2, 4.66% 4/25/34 (a)(e)

83,162

84,137

Series 2004-2 Class A, 3.89% 8/25/34 (a)(e)

1,458,620

1,465,799

Series 2004-3:

Class A1, 3.83% 1/25/35 (a)(e)

1,621,770

1,627,447

Class A2, 3.88% 1/25/35 (a)(e)

238,496

239,336

Class M1, 3.96% 1/25/35 (a)(e)

286,195

286,582

Class M2, 4.46% 1/25/35 (a)(e)

190,796

191,931

Bear Stearns Commercial Mortgage Securities, Inc.:

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

770,000

772,091

Series 2003-T12 Class X2, 0.726% 8/13/39 (a)(e)(g)

6,510,351

162,750

Series 2004-ESA:

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

1,410,000

1,420,538

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

880,000

888,374

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

320,000

322,060

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

995,000

1,002,057

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

240,000

242,109

CDC Commercial Mortgage Trust Series 2002-FX1
Class XCL, 0.6669% 5/15/35 (a)(e)(g)

23,463,797

1,367,142

Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 6.275% 2/12/16 (a)(e)

980,000

1,053,592

COMM floater Series 2002-FL7 Class D, 3.9581% 11/15/14 (a)(e)

600,000

600,260

Commercial Mortgage Asset Trust sequential pay Series 1999-C2 Class A1, 7.285% 11/17/32

1,725,694

1,791,545

Commercial Mortgage pass thru certificates floater Series 2004-CNL:

Class B, 3.7881% 9/15/14 (a)(e)

440,000

440,177

Class D, 4.0281% 9/15/14 (a)(e)

135,000

135,039

Class E, 4.0881% 9/15/14 (a)(e)

185,000

185,136

Class F, 4.1881% 9/15/14 (a)(e)

145,000

145,082

Class G, 4.3681% 9/15/14 (a)(e)

330,000

330,132

Class H, 4.4681% 9/15/14 (a)(e)

355,000

355,142

Class J, 4.9881% 9/15/14 (a)(e)

120,000

120,382

Class K, 5.3881% 9/15/14 (a)(e)

190,000

190,392

Class L, 5.5881% 9/15/14 (a)(e)

155,000

154,924

Commercial Mortgage Securities - continued

Principal Amount

Value

CS First Boston Mortgage Securities Corp.:

floater Series 2004-HC1:

Class A2, 3.8881% 12/15/21 (a)(e)

$ 365,000

$ 364,999

Class B, 4.1381% 12/15/21 (a)(e)

945,000

944,998

sequential pay:

Series 1997-C2:

Class A2, 6.52% 1/17/35

126,787

127,801

Class A3, 6.55% 1/17/35

1,245,000

1,294,968

Series 1998-C1 Class A1B, 6.48% 5/17/40

2,854,607

2,984,685

Series 1999-C1 Class A2, 7.29% 9/15/41

7,550,000

8,182,578

Series 2001-CK3 Class A2, 6.04% 6/15/34

2,050,000

2,066,013

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

755,000

807,963

Series 2001-CK6 Class AX, 0.645% 9/15/18 (g)

33,683,885

1,151,662

Series 2003-TFLA Class G, 3.7357% 4/15/13 (a)(e)

110,933

110,591

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

635,000

674,970

DLJ Commercial Mortgage Corp. sequential pay:

Series 1998-CF1 Class A1B, 6.41% 2/18/31

4,421,716

4,584,501

Series 2000-CF1:

Class A1A, 7.45% 6/10/33

1,234,090

1,252,054

Class A1B, 7.62% 6/10/33

1,855,000

2,070,229

Equitable Life Assurance Society of the United States:

sequential pay Series 174 Class A1, 7.24% 5/15/06 (a)

1,500,000

1,531,734

Series 174 Class C1, 7.52% 5/15/06 (a)

1,000,000

1,021,636

First Union-Lehman Brothers Commercial Mortgage Trust sequential pay Series 1997-C2 Class A3, 6.65% 11/18/29

419,440

434,693

GE Capital Commercial Mortgage Corp. Series 2001-1 Class X1, 0.7684% 5/15/33 (a)(e)(g)

23,362,032

872,920

GGP Mall Properties Trust sequential pay Series 2001-C1A Class A2, 5.007% 11/15/11 (a)

4,828,917

4,866,130

Ginnie Mae guaranteed REMIC pass thru securities:

sequential pay:

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

2,030,000

1,959,244

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

1,685,000

1,642,389

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

3,015,000

2,959,933

Series 2003-59 Class D, 3.654% 10/16/27

3,060,000

2,888,186

Series 2003-47 Class XA, 0.1927% 6/16/43 (e)(g)

8,019,247

377,466

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.749% 12/10/41 (e)(g)

13,465,000

399,853

Greenwich Capital Commercial Funding Corp. Series 2005-GG3 Class XP, 0.8016% 8/10/42 (a)(g)

61,434,000

2,226,983

Commercial Mortgage Securities - continued

Principal Amount

Value

GS Mortgage Securities Corp. II:

sequential pay:

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

$ 2,895,000

$ 3,163,613

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

1,560,000

1,529,265

Series 2001-LIBA Class C, 6.733% 2/14/16 (a)

815,000

890,207

Series 2005-GG4 Class XP, 0.734% 7/10/39 (a)(g)

47,170,000

1,777,219

Heller Financial Commercial Mortgage Asset Corp. sequential pay Series 2000-PH1 Class A1, 7.715% 1/17/34

1,189,779

1,232,222

Hilton Hotel Pool Trust:

sequential pay Series 2000-HLTA Class A1, 7.055% 10/3/15 (a)

1,286,469

1,369,202

Series 2000-HLTA Class D, 7.555% 10/3/15 (a)

1,405,000

1,531,440

Host Marriot Pool Trust sequential pay Series 1999-HMTA Class B, 7.3% 8/3/15 (a)

530,000

577,753

J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C1 Class X2, 1.2511% 1/15/38 (a)(e)(g)

4,920,894

199,844

LB-UBS Commercial Mortgage Trust sequential pay Series 2000-C3 Class A1, 7.95% 7/15/09

1,793,785

1,869,909

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

4,000,000

3,754,800

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2003-LLFA:

Class J, 5.43% 12/16/14 (a)(e)

1,480,000

1,477,538

Class K1, 5.93% 12/16/14 (a)(e)

770,000

768,624

Morgan Stanley Capital I, Inc. Series 2005-IQ9
Class X2, 1.2036% 7/15/56 (a)(e)(g)

16,050,000

816,293

Morgan Stanley Dean Witter Capital I Trust sequential pay Series 2001-PPM Class A2, 6.4% 2/15/31

2,128,272

2,217,779

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

1,345,184

1,399,617

Nationslink Funding Corp. sequential pay Series 1999-2 Class A1C, 7.03% 6/20/31

894,636

922,262

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

2,500,000

2,606,319

Trizechahn Office Properties Trust Series 2001-TZHA:

Class C3, 6.522% 3/15/13 (a)

3,675,000

3,780,766

Class C4, 6.893% 5/15/16 (a)

8,000,000

8,754,760

Wachovia Bank Commercial Mortgage Trust sequential pay Series 2003-C8 Class A3, 4.445% 11/15/35

4,050,000

3,989,848

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $113,907,394)

113,366,955

Foreign Government and Government Agency Obligations - 1.3%

Principal Amount

Value

Chilean Republic 7.125% 1/11/12

$ 4,555,000

$ 5,125,742

Israeli State 4.625% 6/15/13

480,000

464,700

Korean Republic 4.875% 9/22/14

1,415,000

1,404,730

United Mexican States:

4.625% 10/8/08

1,760,000

1,750,320

5.875% 1/15/14

5,370,000

5,496,195

7.5% 1/14/12

3,650,000

4,077,050

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $17,375,747)

18,318,737

Fixed-Income Funds - 13.9%

Shares

Fidelity Ultra-Short Central Fund (f)
(Cost $198,493,858)

1,998,361

198,796,942

Cash Equivalents - 5.2%

Maturity Amount

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.32%, dated 7/29/05 due 8/1/05) (h)
(Cost $73,961,000)

$ 73,981,434

73,961,000

TOTAL INVESTMENT PORTFOLIO - 100.6%

(Cost $1,444,004,369)

1,441,641,643

NET OTHER ASSETS - (0.6)%

(8,569,553)

NET ASSETS - 100%

$ 1,433,072,090

Swap Agreements

Expiration Date

Notional Amount

Value

Credit Default Swap

Receive quarterly a fixed rate of .4% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 4, par value of the proportional notional amount (d)

June 2010

$ 10,000,000

$ (41,281)

Receive quarterly a fixed rate of .5% multiplied by the notional amount and pay to Merrill Lynch, 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 (c)

March 2010

6,425,000

4,887

Receive quarterly a fixed rate of .7% 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 (c)

March 2015

6,425,000

(14,179)

Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon default event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10

Sept. 2010

1,600,000

(627)

Receive quarterly notional amount multiplied by .42% and pay Morgan Stanley, Inc. upon default event of Sempra Energy, par value of the notional amount of Sempra Energy 6% 2/1/13

Sept. 2010

1,000,000

163

Receive quarterly notional amount multiplied by .47% and pay JPMorgan Chase, Inc. upon default event of Fannie Mae, par value of the notional amount of Fannie Mae 4.625% 5/1/13

June 2010

2,500,000

21,468

Receive quarterly notional amount multiplied by .6% and pay Deutsche Bank upon default event of Tyco International Group SA, par value of the notional amount of Tyco International Group SA 6% 11/15/13

June 2010

700,000

7,454

TOTAL CREDIT DEFAULT SWAP

28,650,000

(22,115)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Interest Rate Swap

Receive quarterly a fixed rate equal to 3.098% and pay quarterly a floating rate based on 3-month LIBOR with Morgan Stanley, Inc.

April 2007

$ 14,440,000

$ (293,881)

Receive quarterly a fixed rate equal to 3.1422% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

April 2007

12,300,000

(241,175)

Receive quarterly a fixed rate equal to 3.177% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

Nov. 2006

50,000,000

(697,575)

Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

March 2010

6,425,000

(23,926)

Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

March 2015

6,425,000

60,526

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

5,300,000

92,108

TOTAL INTEREST RATE SWAP

94,890,000

(1,103,923)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Total Return Swap

Receive monthly a return equal to Banc of America Securities LLC AAA 10 Yr Commercial Mortgage Backed Securities Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Bank of America

March 2006

$ 2,700,000

$ (44,274)

Receive monthly a return equal to Banc of America Securities LLC AAA 10Yr Mortgage Backed Securities Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Bank of America

July 2006

2,700,000

(21,915)

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 20 basis points with Citibank

Oct. 2005

2,700,000

(66,984)

Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 10 basis points with Citibank

Oct. 2005

1,500,000

(24,098)

Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Lehman Brothers, Inc.

March 2006

600,000

(9,429)

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 25 basis points with Bank of America

Dec. 2005

2,600,000

(41,722)

Receive quarterly a return equal to Banc of America Securities LLC AAA 10 Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 40 basis points with Bank of America

Nov. 2005

5,400,000

(21,157)

TOTAL TOTAL RETURN SWAP

18,200,000

(229,579)

$ 141,740,000

$ (1,355,617)

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 $126,843,382 or 8.9% of net assets.

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

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

(d) Dow Jones CDX N.A. Investment Grade 4 is a tradable index of credit default swaps on investment grade debt of U.S. companies.

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

(f) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete listing of the fixed-income central fund's holdings is provided at the end of this report.

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

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

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $1,441,829,584. Net unrealized depreciation aggregated $187,941, of which $13,148,281 related to appreciated investment securities and $13,336,222 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

The following is a complete listing of investments for Fidelity's
fixed-income central fund as of July 31, 2005 which
is a direct or indirect investment of
Fidelity Advisor Intermediate Bond Fund.
These underlying holdings of the Fidelity fixed-income central fund
are not included in the Schedule of Investments.

Quarterly Report

Fidelity Ultra-Short Central Fund

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 3.8%

Principal Amount

Value

CONSUMER DISCRETIONARY - 1.0%

Auto Components - 0.3%

DaimlerChrysler NA Holding Corp.:

3.8594% 9/10/07 (f)

$ 16,665,000

$ 16,698,830

3.8938% 5/24/06 (f)

4,700,000

4,713,691

21,412,521

Media - 0.7%

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

8,000,000

8,248,640

Cox Communications, Inc. (Reg. S) 3.95% 12/14/07 (f)

12,140,000

12,202,691

Liberty Media Corp. 4.91% 9/17/06 (f)

16,694,000

16,786,986

Univision Communications, Inc. 2.875% 10/15/06

8,505,000

8,315,339

45,553,656

TOTAL CONSUMER DISCRETIONARY

66,966,177

ENERGY - 0.2%

Oil, Gas & Consumable Fuels - 0.2%

Valero Energy Corp. 7.375% 3/15/06

11,550,000

11,735,435

FINANCIALS - 1.0%

Capital Markets - 0.1%

State Street Capital Trust II 3.7681% 2/15/08 (f)

10,000,000

10,002,260

Commercial Banks - 0.3%

Wells Fargo & Co. 3.4194% 3/10/08 (f)

16,600,000

16,599,452

Consumer Finance - 0.2%

General Motors Acceptance Corp. 4.87% 10/20/05 (f)

14,765,000

14,786,188

Thrifts & Mortgage Finance - 0.4%

Countrywide Financial Corp. 3.71% 4/11/07 (f)

11,025,000

11,032,034

Residential Capital Corp. 4.835% 6/29/07 (c)(f)

14,150,000

14,164,716

25,196,750

TOTAL FINANCIALS

66,584,650

TELECOMMUNICATION SERVICES - 1.3%

Diversified Telecommunication Services - 1.2%

British Telecommunications PLC 7.875% 12/15/05

18,145,000

18,397,070

France Telecom SA 7.45% 3/1/06 (a)

5,600,000

5,699,484

GTE Corp. 6.36% 4/15/06

9,000,000

9,126,405

SBC Communications, Inc. 4.389% 6/5/06 (c)

15,315,000

15,319,595

Sprint Capital Corp. 4.78% 8/17/06

6,000,000

6,020,550

Telefonica Europe BV 7.35% 9/15/05

4,500,000

4,517,537

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telefonos de Mexico SA de CV 4.5% 11/19/08

$ 10,240,000

$ 10,092,268

TELUS Corp. yankee 7.5% 6/1/07

6,500,000

6,835,569

76,008,478

Wireless Telecommunication Services - 0.1%

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

5,500,000

5,596,976

TOTAL TELECOMMUNICATION SERVICES

81,605,454

UTILITIES - 0.3%

Electric Utilities - 0.2%

Pinnacle West Energy Corp. 4.0044% 4/1/07 (c)(f)

12,800,000

12,800,794

Gas Utilities - 0.1%

NiSource Finance Corp. 7.625% 11/15/05

9,250,000

9,342,213

TOTAL UTILITIES

22,143,007

TOTAL NONCONVERTIBLE BONDS

(Cost $249,397,779)

249,034,723

U.S. Government Agency Obligations - 0.0%

Fannie Mae 0% 9/28/05 (e)
(Cost $994,579)

1,000,000

994,635

Asset-Backed Securities - 35.2%

Accredited Mortgage Loan Trust:

Series 2004-2 Class A2, 3.76% 7/25/34 (f)

7,964,683

7,978,722

Series 2004-3 Class 2A4, 3.81% 10/25/34 (f)

10,915,000

10,946,584

Series 2004-4 Class A2D, 3.81% 1/25/35 (f)

3,579,364

3,588,366

Series 2005-1:

Class M1, 3.93% 4/25/35 (f)

11,280,000

11,251,882

Class M2, 4.15% 4/25/35 (f)

5,275,000

5,276,901

ACE Securities Corp.:

Series 2002-HE1 Class M1, 4.11% 6/25/32 (f)

1,308,761

1,318,432

Series 2002-HE2 Class M1, 4.31% 8/25/32 (f)

18,631,213

18,704,611

Series 2003-FM1 Class M2, 5.31% 11/25/32 (f)

3,015,000

3,050,466

Series 2003-HS1:

Class M1, 4.21% 6/25/33 (f)

800,000

803,485

Class M2, 5.21% 6/25/33 (f)

856,000

871,093

Asset-Backed Securities - continued

Principal Amount

Value

ACE Securities Corp.: - continued

Series 2003-NC1 Class M1, 4.24% 7/25/33 (f)

$ 1,600,000

$ 1,611,660

Series 2004-HE1:

Class M1, 3.96% 2/25/34 (f)

2,193,000

2,193,772

Class M2, 4.56% 2/25/34 (f)

2,475,000

2,476,241

Series 2004-OP1:

Class M1, 3.98% 4/25/34 (f)

4,420,000

4,424,344

Class M2, 4.51% 4/25/34 (f)

6,240,000

6,251,080

Series 2005-HE2:

Class M1, 3.9% 4/25/35 (f)

1,530,000

1,527,965

Class M2, 3.91% 4/25/35 (f)

1,803,000

1,796,836

Class M3, 3.94% 4/25/35 (f)

1,040,000

1,038,647

Class M4, 4.1% 4/25/35 (f)

1,340,000

1,338,268

Series 2005-HE3:

Class A2A, 3.56% 5/25/35 (f)

8,063,511

8,063,822

Class A2B, 3.67% 5/25/35 (f)

4,370,000

4,366,352

Series 2005-SD1 Class A1, 3.86% 11/25/50 (f)

2,563,309

2,566,464

Aesop Funding II LLC Series 2005-1A Class A2, 3.49% 4/20/09 (c)(f)

8,800,000

8,765,680

American Express Credit Account Master Trust:

Series 2002-6 Class B, 3.8381% 3/15/10 (f)

5,000,000

5,030,751

Series 2004-1 Class B, 3.6381% 9/15/11 (f)

5,775,000

5,797,723

Series 2004-C Class C, 3.8881% 2/15/12 (c)(f)

17,323,520

17,374,643

Series 2005-1 Class A, 3.4181% 10/15/12 (f)

15,455,000

15,481,600

AmeriCredit Automobile Receivables Trust:

Series 2002-EM Class A4A, 3.67% 6/8/09

25,000,000

24,899,223

Series 2003-AM:

Class A3B, 3.71% 6/6/07 (f)

685,806

685,879

Class A4B, 3.81% 11/6/09 (f)

12,400,000

12,441,657

Series 2003-BX Class A4B, 3.72% 1/6/10 (f)

3,265,000

3,275,694

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

12,249,371

12,210,791

Series 2005-1 Class C, 4.73% 7/6/10

15,500,000

15,451,950

Ameriquest Mortgage Securities, Inc.:

Series 2002-3 Class M1, 4.16% 8/25/32 (f)

5,000,000

5,028,248

Series 2003-1:

Class A2, 3.87% 2/25/33 (f)

465,695

465,917

Class M1, 4.36% 2/25/33 (f)

6,150,000

6,197,846

Series 2003-3:

Class M1, 4.26% 3/25/33 (f)

1,590,000

1,603,481

Class S, 5% 9/25/05 (g)

4,457,447

17,215

Series 2003-6:

Class M1, 4.22% 8/25/33 (f)

7,560,000

7,611,224

Asset-Backed Securities - continued

Principal Amount

Value

Ameriquest Mortgage Securities, Inc.: - continued

Series 2003-6:

Class M2, 5.31% 5/25/33 (f)

$ 2,750,000

$ 2,808,476

Series 2003-AR1 Class M1, 4.61% 1/25/33 (f)

7,000,000

7,072,631

Series 2004-R2:

Class M1, 3.89% 4/25/34 (f)

1,230,000

1,229,949

Class M2, 3.94% 4/25/34 (f)

950,000

949,960

Class M3, 4.01% 4/25/34 (f)

3,500,000

3,499,854

Class M4, 4.51% 4/25/34 (f)

4,500,000

4,499,807

Series 2004-R9 Class A3, 3.78% 10/25/34 (f)

9,340,000

9,359,871

Series 2005-R1:

Class M1, 3.91% 3/25/35 (f)

5,710,000

5,691,308

Class M2, 3.94% 3/25/35 (f)

1,925,000

1,918,868

Series 2005-R2 Class M1, 3.91% 4/25/35 (f)

12,500,000

12,482,516

Amortizing Residential Collateral Trust:

Series 2002-BC3 Class A, 3.79% 6/25/32 (f)

2,411,175

2,418,495

Series 2002-BC6 Class M1, 4.21% 8/25/32 (f)

24,900,000

25,116,817

Series 2002-BC7:

Class M1, 4.1144% 10/25/32 (f)

10,000,000

10,075,000

Class M2, 4.36% 10/25/32 (f)

5,575,000

5,612,067

Series 2003-BC1 Class M2, 4.56% 1/25/32 (f)

758,836

762,333

ARG Funding Corp.:

Series 2005-1A Class A2, 3.53% 4/20/09 (c)(f)

11,000,000

10,975,938

Series 2005-2A Class A2, 3.54% 5/20/09 (c)(f)

5,200,000

5,190,453

Argent Securities, Inc.:

Series 2003-W3 Class M2, 5.26% 9/25/33 (f)

20,000,000

20,599,990

Series 2003-W7 Class A2, 3.85% 3/1/34 (f)

4,505,856

4,515,756

Series 2004-W5 Class M1, 4.06% 4/25/34 (f)

3,960,000

3,964,768

Series 2004-W7:

Class M1, 4.01% 5/25/34 (f)

4,085,000

4,084,827

Class M2, 4.06% 5/25/34 (f)

3,320,000

3,319,860

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE2:

Class A2, 3.7681% 4/15/33 (f)

1,158,706

1,159,186

Class M1, 4.2881% 4/15/33 (f)

11,365,000

11,429,103

Series 2003-HE3:

Class M1, 4.2181% 6/15/33 (f)

2,185,000

2,198,827

Class M2, 5.3881% 6/15/33 (f)

10,000,000

10,182,465

Series 2003-HE4 Class M2, 5.3881% 8/15/33 (f)

5,695,000

5,798,650

Series 2003-HE5 Class A2A, 3.7481% 8/15/33 (f)

1,380,797

1,381,390

Series 2003-HE6 Class M1, 4.11% 11/25/33 (f)

3,475,000

3,490,373

Series 2004-HE2 Class M1, 4.01% 4/25/34 (f)

6,060,000

6,070,769

Series 2004-HE3:

Class M1, 4% 6/25/34 (f)

1,450,000

1,454,353

Asset-Backed Securities - continued

Principal Amount

Value

Asset Backed Securities Corp. Home Equity Loan Trust: - continued

Series 2004-HE3:

Class M2, 4.58% 6/25/34 (f)

$ 3,350,000

$ 3,386,297

Series 2004-HE6 Class A2, 3.82% 6/25/34 (f)

17,398,791

17,435,568

Series 2005-HE2:

Class M1, 3.91% 3/25/35 (f)

8,250,000

8,235,989

Class M2, 3.96% 3/25/35 (f)

2,065,000

2,065,671

Series 2005-HE6 Class A2B, 3.76% 8/25/35 (d)(f)

10,000,000

10,000,000

Bank One Issuance Trust:

Series 2002-B1 Class B1, 3.7681% 12/15/09 (f)

20,655,000

20,741,067

Series 2002-B2 Class B2, 3.7281% 5/15/08 (f)

15,000,000

15,001,929

Series 2002-B3 Class B, 3.7481% 8/15/08 (f)

14,500,000

14,505,871

Series 2002-C1 Class C1, 4.3481% 12/15/09 (f)

7,980,000

8,065,464

Series 2002-C2 Class C2, 4.3781% 5/15/08 (f)

35,785,000

35,817,626

Bayview Financial Acquisition Trust Series 2004-C Class A1, 3.9013% 5/28/44 (f)

8,416,440

8,415,509

Bayview Financial Asset Trust Series 2000-F Class A, 3.9813% 9/28/43 (f)

9,618,786

9,632,318

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.9313% 2/28/44 (f)

5,760,012

5,771,599

Bear Stearns Asset Backed Securities I:

Series 2005-HE2:

Class M1, 3.96% 2/25/35 (f)

6,655,000

6,639,262

Class M2, 4.21% 2/25/35 (f)

2,430,000

2,432,538

Series 2005-HE5 Class 1A1, 3.4244% 6/25/35 (f)

10,884,395

10,884,395

Capital Auto Receivables Asset Trust:

Series 2002-5 Class B, 2.8% 4/15/08

2,894,887

2,868,235

Series 2003-1 Class B, 3.8581% 6/15/10 (c)(f)

5,781,229

5,797,579

Series 2003-2 Class B, 3.6681% 1/15/09 (f)

2,741,542

2,746,505

Series 2005-1 Class B, 3.7631% 6/15/10 (f)

5,725,000

5,730,367

Capital One Auto Finance Trust:

Series 2003-A Class A4B, 3.6681% 1/15/10 (f)

9,630,000

9,654,568

Series 2004-B Class A4, 3.4981% 8/15/11 (f)

16,300,000

16,303,123

Capital One Master Trust:

Series 1999-3 Class B, 3.8681% 9/15/09 (f)

5,000,000

5,004,082

Series 2001-1 Class B, 3.8981% 12/15/10 (f)

19,500,000

19,638,608

Series 2001-8A Class B, 3.9381% 8/17/09 (f)

9,585,000

9,634,206

Series 2002-4A Class B, 3.8881% 3/15/10 (f)

6,000,000

6,028,221

Capital One Multi-Asset Execution Trust:

Series 2002-B1 Class B1, 4.0681% 7/15/08 (f)

17,705,000

17,711,976

Series 2003-B1 Class B1, 4.5581% 2/17/09 (f)

15,470,000

15,566,773

Capital Trust Ltd. Series 2004-1:

Class A2, 3.88% 7/20/39 (c)(f)

2,968,000

2,968,000

Asset-Backed Securities - continued

Principal Amount

Value

Capital Trust Ltd. Series 2004-1: - continued

Class B, 4.18% 7/20/39 (c)(f)

$ 1,550,000

$ 1,550,000

Class C, 4.53% 7/20/39 (c)(f)

1,994,000

1,994,000

CDC Mortgage Capital Trust:

Series 2001-HE1 Class M1, 4.49% 1/25/32 (f)

4,244,221

4,254,278

Series 2002-HE2 Class M1, 4.16% 1/25/33 (f)

9,278,431

9,309,123

Series 2002-HE3:

Class M1, 4.56% 3/25/33 (f)

21,339,884

21,627,815

Class M2, 5.71% 3/25/33 (f)

9,968,976

10,143,974

Series 2003-HE1:

Class M1, 4.36% 8/25/33 (f)

1,989,998

1,997,574

Class M2, 5.41% 8/25/33 (f)

4,369,996

4,422,084

Series 2003-HE2 Class A, 3.81% 10/25/33 (f)

1,634,377

1,635,405

Series 2003-HE3:

Class M1, 4.16% 11/25/33 (f)

2,254,989

2,271,960

Class M2, 5.21% 11/25/33 (f)

1,719,992

1,753,552

Series 2004-HE2 Class M2, 4.66% 7/26/34 (f)

2,345,000

2,365,939

Chase Credit Card Owner Trust:

Series 2001-6 Class B, 3.8681% 3/16/09 (f)

1,305,000

1,311,169

Series 2002-6 Class B, 3.7381% 1/15/08 (f)

11,850,000

11,852,472

Series 2004-1 Class B, 3.5881% 5/15/09 (f)

4,105,000

4,104,204

Citibank Credit Card Issuance Trust:

Series 2000-C2 Class C2, 4.2488% 10/15/07 (f)

17,500,000

17,511,349

Series 2001-B2 Class B2, 3.8494% 12/10/08 (f)

11,945,000

11,995,341

Series 2002-B1 Class B1, 3.8% 6/25/09 (f)

9,010,000

9,038,878

Series 2002-C1 Class C1, 4.2185% 2/9/09 (f)

17,500,000

17,686,918

Series 2003-B1 Class B1, 3.66% 3/7/08 (f)

25,000,000

25,022,693

Series 2003-C1 Class C1, 4.65% 4/7/10 (f)

17,785,000

18,152,159

Citigroup Mortgage Loan Trust Series 2003-HE4 Class A, 3.87% 12/25/33 (c)(f)

7,985,107

7,985,935

CNH Wholesale Master Note Trust Series 2005-1:

Class A, 3.43% 6/15/11 (f)

18,000,000

18,000,000

Class B, 3.72% 6/15/11 (f)

2,280,000

2,280,000

Countrywide Home Loans, Inc.:

Series 2002-6 Class AV1, 3.89% 5/25/33 (f)

1,499,863

1,503,470

Series 2003-BC1 Class M2, 5.46% 9/25/32 (f)

11,065,000

11,199,451

Series 2003-SD3 Class A1, 3.88% 12/25/32 (c)(f)

927,188

931,926

Series 2004-2 Class M1, 3.96% 5/25/34 (f)

5,200,000

5,206,719

Series 2004-3:

Class 3A4, 3.71% 8/25/34 (f)

530,752

528,596

Class M1, 3.96% 6/25/34 (f)

1,475,000

1,476,356

Series 2004-4:

Class A, 3.83% 8/25/34 (f)

2,524,088

2,526,278

Asset-Backed Securities - continued

Principal Amount

Value

Countrywide Home Loans, Inc.: - continued

Series 2004-4:

Class M1, 3.94% 7/25/34 (f)

$ 3,650,000

$ 3,653,189

Class M2, 3.99% 6/25/34 (f)

4,395,000

4,398,536

Series 2005-1:

Class 1AV2, 3.66% 7/25/35 (f)

8,780,000

8,775,114

Class M1, 3.88% 8/25/35 (f)

19,600,000

19,563,654

Class MV1, 3.86% 7/25/35 (f)

3,135,000

3,130,219

Class MV2, 3.9% 7/25/35 (f)

3,765,000

3,754,147

Class MV3, 3.94% 7/25/35 (f)

1,560,000

1,557,748

Series 2005-3 Class MV1, 3.88% 8/25/35 (f)

11,125,000

11,103,934

Series 2005-AB1 Class A2, 3.67% 8/25/35 (f)

17,520,000

17,514,797

Series 2005-IM1 Class A1, 3.56% 8/25/34 (d)(f)

17,915,000

17,915,000

CS First Boston Mortgage Securities Corp.:

Series 2003-8 Class A2, 3.85% 4/25/34 (f)

2,663,075

2,674,762

Series 2004-FRE1:

Class A2, 3.81% 4/25/34 (f)

2,689,397

2,689,291

Class M3, 4.11% 4/25/34 (f)

5,885,000

5,884,751

Discover Card Master Trust I Series 2003-4 Class B1, 3.7181% 5/16/11 (f)

8,155,000

8,196,815

Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5 Class AB3, 3.8305% 5/28/35 (f)

6,957,460

6,959,877

Fieldstone Mortgage Investment Corp.:

Series 2003-1:

Class M1, 4.14% 11/25/33 (f)

1,300,000

1,308,748

Class M2, 5.21% 11/25/33 (f)

700,000

718,600

Series 2004-1 Class M2, 4.56% 1/25/35 (f)

3,700,000

3,741,581

Series 2004-2 Class M2, 4.61% 7/25/34 (f)

9,890,000

9,889,579

Series 2004-3 Class M5, 4.91% 8/25/34 (f)

2,000,000

2,033,830

Series 2005-2 Class 2A1, 3.5% 7/25/36 (d)(f)

16,935,000

16,935,000

First Franklin Mortgage Loan Asset Backed Certificates:

Series 2005-FF2 Class A2A, 3.55% 3/25/35 (f)

7,354,604

7,354,604

Series 2005-FF2 Class M6, 4.16% 3/25/35 (f)

6,950,000

6,950,000

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 4.01% 3/25/34 (f)

400,000

400,711

Class M4, 4.36% 3/25/34 (f)

300,000

302,647

First USA Credit Card Master Trust Series 2001-4 Class B, 3.75% 1/12/09 (f)

15,000,000

15,026,199

First USA Secured Note Trust Series 2001-3 Class C, 4.4669% 11/19/08 (c)(f)

11,580,000

11,661,421

Ford Credit Auto Owner Trust Series 2003-B Class B2, 3.8181% 10/15/07 (f)

19,600,000

19,671,950

Asset-Backed Securities - continued

Principal Amount

Value

Ford Credit Floorplan Master Owner Trust Series 2005-1:

Class A, 3.5381% 5/17/10 (f)

$ 9,590,000

$ 9,589,981

Class B, 3.6563% 5/17/10 (f)

2,625,000

2,624,992

Fremont Home Loan Trust:

Series 2004-1:

Class 1A1, 3.68% 2/25/34 (f)

2,669,337

2,669,232

Class M1, 3.91% 2/25/34 (f)

750,000

749,968

Class M2, 3.96% 2/25/34 (f)

800,000

799,966

Series 2004-C Class 2A2, 4.01% 8/25/34 (f)

10,000,000

10,101,993

Series 2005-2 Class 2A1, 3.5913% 6/25/35 (f)

15,380,000

15,375,194

Series 2005-A:

Class 2A2, 3.7% 2/25/35 (f)

11,850,000

11,865,657

Class M1, 3.89% 1/25/35 (f)

1,603,000

1,599,854

Class M2, 3.92% 1/25/35 (f)

2,325,000

2,321,531

Class M3, 3.95% 1/25/35 (f)

1,250,000

1,249,947

Class M4, 4.14% 1/25/35 (f)

925,000

927,535

GE Business Loan Trust Series 2003-1 Class A, 3.8181% 4/15/31 (c)(f)

5,499,865

5,531,421

GE Capital Credit Card Master Note Trust Series 2005-2 Class B, 3.5736% 6/15/11 (f)

6,475,000

6,473,058

Gracechurch Card Funding PLC:

Series 5:

Class B, 3.6181% 8/15/08 (f)

1,520,000

1,521,351

Class C, 4.3181% 8/15/08 (f)

5,580,000

5,601,142

Series 6 Class B, 3.5781% 2/17/09 (f)

1,030,000

1,030,901

Series 8 Class C, 3.6721% 6/15/10 (f)

18,450,000

18,450,000

GSAMP Trust:

Series 2002-HE Class M1, 4.68% 11/20/32 (f)

2,882,888

2,928,737

Series 2002-NC1:

Class A2, 3.78% 7/25/32 (f)

54,777

55,099

Class M1, 4.1% 7/25/32 (f)

8,861,000

8,920,491

Series 2003-FM1 Class M1, 4.25% 3/20/33 (f)

15,000,000

15,136,310

Series 2004-FM1:

Class M1, 4.11% 11/25/33 (f)

2,865,000

2,864,879

Class M2, 4.86% 11/25/33 (f)

1,975,000

2,005,597

Series 2004-FM2:

Class M1, 3.96% 1/25/34 (f)

3,500,000

3,499,853

Class M2, 4.56% 1/25/34 (f)

1,500,000

1,499,936

Class M3, 4.76% 1/25/34 (f)

1,500,000

1,499,935

Series 2004-HE1:

Class M1, 4.01% 5/25/34 (f)

4,045,000

4,044,829

Class M2, 4.61% 5/25/34 (f)

1,750,000

1,766,258

Asset-Backed Securities - continued

Principal Amount

Value

GSAMP Trust: - continued

Series 2005-9 Class 2A1, 3.5287% 8/25/35 (f)

$ 17,530,000

$ 17,530,000

Series 2005-FF2 Class M5, 4.09% 3/25/35 (f)

3,500,000

3,500,000

Series 2005-HE2 Class M, 3.89% 3/25/35 (f)

8,780,000

8,749,867

Series 2005-NC1 Class M1, 3.91% 2/25/35 (f)

9,010,000

8,987,296

Guggenheim Structured Real Estate Funding Ltd. Series 2005-1 Class C, 4.3944% 5/25/30 (c)(f)

14,000,000

13,986,652

HFC Home Equity Loan Asset Backed Certificates Series 2005-2:

Class M1, 3.97% 1/20/34 (f)

3,225,000

3,225,000

Class M2, 4% 1/20/34 (f)

2,415,000

2,415,000

Home Equity Asset Trust:

Series 2002-2 Class M1, 4.26% 6/25/32 (f)

10,000,000

10,017,090

Series 2002-3 Class A5, 3.9% 2/25/33 (f)

854,528

855,194

Series 2002-4 Class A3, 3.94% 3/25/33 (f)

1,237,388

1,238,074

Series 2002-5:

Class A3, 3.98% 5/25/33 (f)

2,866,793

2,872,821

Class M1, 4.66% 5/25/33 (f)

13,800,000

13,966,276

Series 2003-1:

Class A2, 3.93% 6/25/33 (f)

4,229,596

4,233,111

Class M1, 4.46% 6/25/33 (f)

8,335,000

8,375,317

Series 2003-2:

Class A2, 3.84% 8/25/33 (f)

228,269

229,139

Class M1, 4.34% 8/25/33 (f)

2,245,000

2,269,298

Series 2003-3:

Class A2, 3.82% 8/25/33 (f)

1,624,262

1,630,339

Class M1, 4.32% 8/25/33 (f)

8,185,000

8,266,814

Series 2003-4:

Class M1, 4.26% 10/25/33 (f)

3,415,000

3,440,384

Class M2, 5.36% 10/25/33 (f)

4,040,000

4,093,038

Series 2003-5:

Class A2, 3.81% 12/25/33 (f)

5,822,876

5,843,440

Class M1, 4.16% 12/25/33 (f)

3,175,000

3,192,660

Class M2, 5.19% 12/25/33 (f)

1,345,000

1,377,487

Series 2003-7 Class A2, 3.84% 3/25/34 (f)

3,430,379

3,438,503

Series 2004-2 Class A2, 3.75% 7/25/34 (f)

6,172,348

6,172,139

Series 2004-3:

Class M1, 4.03% 8/25/34 (f)

2,015,000

2,019,636

Class M2, 4.66% 8/25/34 (f)

2,200,000

2,237,373

Series 2004-4 Class A2, 3.78% 10/25/34 (f)

8,318,527

8,347,783

Series 2004-6 Class A2, 3.81% 12/25/34 (f)

9,249,309

9,278,715

Series 2004-7 Class A3, 3.85% 1/25/35 (f)

2,916,946

2,929,856

Asset-Backed Securities - continued

Principal Amount

Value

Home Equity Asset Trust: - continued

Series 2005-1:

Class M1, 3.89% 5/25/35 (f)

$ 9,705,000

$ 9,697,565

Class M2, 3.91% 5/25/35 (f)

5,780,000

5,763,067

Class M3, 3.96% 5/25/35 (f)

5,825,000

5,808,344

Series 2005-2:

Class 2A2, 3.66% 7/25/35 (f)

13,170,000

13,163,182

Class M1, 3.91% 7/25/35 (f)

10,085,000

10,075,362

Series 2005-3 Class M1, 3.87% 8/25/35 (f)

9,450,000

9,434,700

Series 2005-5 Class 2A2, 3.65% 11/25/35 (d)(f)

15,000,000

14,968,605

Household Affinity Credit Card Master Note Trust I Series 2003-3 Class B, 3.6781% 8/15/08 (f)

10,000,000

10,018,071

Household Credit Card Master Trust I Series 2002-1 Class B, 4.0381% 7/15/08 (f)

22,589,000

22,608,682

Household Home Equity Loan Trust:

Series 2002-2 Class A, 3.73% 4/20/32 (f)

3,295,048

3,298,089

Series 2002-3 Class A, 3.88% 7/20/32 (f)

2,678,218

2,681,775

Series 2003-1 Class M, 4.06% 10/20/32 (f)

770,987

771,866

Series 2003-2:

Class A, 3.76% 9/20/33 (f)

2,892,082

2,897,777

Class M, 4.01% 9/20/33 (f)

1,360,000

1,362,941

Series 2004-1 Class M, 3.95% 9/20/33 (f)

2,708,464

2,713,597

Household Mortgage Loan Trust:

Series 2003-HC1 Class M, 4.08% 2/20/33 (f)

1,742,776

1,748,262

Series 2004-HC1:

Class A, 3.78% 2/20/34 (f)

5,083,992

5,096,702

Class M, 3.93% 2/20/34 (f)

3,073,800

3,073,443

Household Private Label Credit Card Master Note Trust I:

Series 2002-1 Class B, 3.9381% 1/18/11 (f)

8,850,000

8,867,619

Series 2002-2:

Class A, 3.5581% 1/18/11 (f)

9,000,000

9,012,218

Class B, 3.9381% 1/18/11 (f)

14,275,000

14,355,952

Series 2002-3 Class B, 4.6381% 9/15/09 (f)

4,150,000

4,159,262

Ikon Receivables Funding LLC Series 2003-1 Class A3A, 3.6213% 12/17/07 (f)

2,781,207

2,781,863

IXIS Real Estate Capital Trust Series 2005-HE1:

Class A1, 3.71% 6/25/35 (f)

11,646,350

11,645,706

Class M1, 3.93% 6/25/35 (f)

4,100,000

4,094,813

Class M2, 3.95% 6/25/35 (f)

2,775,000

2,766,003

Class M3, 3.98% 6/25/35 (f)

1,975,000

1,972,566

Keycorp Student Loan Trust Series 1999-A Class A2, 3.8% 12/27/09 (f)

16,169,548

16,224,493

Asset-Backed Securities - continued

Principal Amount

Value

Long Beach Mortgage Loan Trust:

Series 2003-2:

Class AV, 3.78% 6/25/33 (f)

$ 253,078

$ 253,185

Class M1, 4.28% 6/25/33 (f)

19,500,000

19,626,153

Series 2003-3 Class M1, 4.21% 7/25/33 (f)

7,770,000

7,824,625

Series 2004-2:

Class M1, 3.99% 6/25/34 (f)

4,275,000

4,285,404

Class M2, 4.54% 6/25/34 (f)

1,400,000

1,416,723

Series 2005-2 Class 2A2, 3.64% 4/25/35 (f)

12,000,000

11,996,998

MASTR Asset Backed Securities Trust:

Series 2003-NC1:

Class M1, 4.19% 4/25/33 (f)

3,500,000

3,519,270

Class M2, 5.31% 4/25/33 (f)

1,500,000

1,534,429

Series 2004-FRE1 Class M1, 4.01% 7/25/34 (f)

5,223,000

5,238,948

MBNA Asset Backed Note Trust Series 2000-K Class C, 4.1881% 3/17/08 (c)(f)

7,250,000

7,258,700

MBNA Credit Card Master Note Trust:

Series 2001-B1 Class B1, 3.7631% 10/15/08 (f)

30,000,000

30,042,072

Series 2001-B2 Class B2, 3.7481% 1/15/09 (f)

30,353,000

30,429,933

Series 2002-B2 Class B2, 3.7681% 10/15/09 (f)

20,000,000

20,086,600

Series 2002-B3 Class B3, 3.7881% 1/15/08 (f)

15,000,000

15,000,470

Series 2002-B4 Class B4, 3.8881% 3/15/10 (f)

14,800,000

14,916,873

Series 2003-B2 Class B2, 3.7781% 10/15/10 (f)

1,530,000

1,545,569

Series 2003-B3 Class B3, 3.7631% 1/18/11 (f)

1,130,000

1,135,362

Series 2003-B5 Class B5, 3.7581% 2/15/11 (f)

705,000

710,447

MBNA Master Credit Card Trust II:

Series 1998-E Class B, 3.9288% 9/15/10 (f)

7,800,000

7,846,570

Series 1998-G Class B, 3.7881% 2/17/09 (f)

20,000,000

20,043,574

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 3.96% 7/25/34 (f)

2,125,000

2,124,911

Class M2, 4.01% 7/25/34 (f)

375,000

374,985

Class M3, 4.41% 7/25/34 (f)

775,000

774,967

Class M4, 4.56% 7/25/34 (f)

525,000

524,978

Merrill Lynch Mortgage Investors, Inc. Series 2003-HE1 Class M1, 4.16% 7/25/34 (f)

2,321,000

2,330,928

Morgan Stanley ABS Capital I, Inc.:

Series 2002-NC6 Class M2, 5.56% 11/25/32 (f)

2,370,000

2,441,680

Series 2003-NC5 Class M2, 5.46% 4/25/33 (f)

2,800,000

2,834,138

Series 2003-NC6 Class M2, 5.41% 6/27/33 (f)

12,835,000

13,180,825

Series 2003-NC7 Class M1, 4.16% 6/25/33 (f)

1,785,000

1,791,357

Series 2003-NC8 Class M1, 4.16% 9/25/33 (f)

2,350,000

2,363,472

Series 2004-HE6 Class A2, 3.8% 8/25/34 (f)

7,193,690

7,217,222

Series 2004-NC2 Class M1, 4.01% 12/25/33 (f)

2,595,000

2,599,359

Asset-Backed Securities - continued

Principal Amount

Value

Morgan Stanley ABS Capital I, Inc.: - continued

Series 2004-NC6 Class A2, 3.8% 7/25/34 (f)

$ 3,163,358

$ 3,170,145

Series 2005-1:

Class M2, 3.93% 12/25/34 (f)

4,425,000

4,417,835

Class M3, 3.98% 12/25/34 (f)

4,000,000

3,998,266

Series 2005-HE1:

Class A3B, 3.68% 12/25/34 (f)

3,885,000

3,889,266

Class M1, 3.91% 12/25/34 (f)

1,100,000

1,102,253

Class M2, 3.93% 12/25/34 (f)

2,970,000

2,966,369

Series 2005-HE2:

Class M1, 3.86% 1/25/35 (f)

2,665,000

2,670,502

Class M2, 3.9% 1/25/35 (f)

1,900,000

1,893,810

Series 2005-NC1:

Class M1, 3.9% 1/25/35 (f)

2,425,000

2,432,731

Class M2, 3.93% 1/25/35 (f)

2,425,000

2,421,056

Class M3, 3.97% 1/25/35 (f)

2,425,000

2,425,850

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-AM1:

Class M1, 4.31% 2/25/32 (f)

1,510,288

1,513,954

Class M2, 4.86% 2/25/32 (f)

7,146,795

7,171,201

Series 2001-NC4:

Class M1, 4.46% 1/25/32 (f)

3,827,881

3,841,816

Series 2002-AM3 Class A3, 3.95% 2/25/33 (f)

1,426,624

1,430,581

Series 2002-HE1 Class M1, 4.06% 7/25/32 (f)

5,860,000

5,893,149

Series 2002-HE2 Class M1, 4.16% 8/25/32 (f)

9,925,000

9,970,606

Series 2002-NC3 Class A3, 3.8% 8/25/32 (f)

396,299

397,573

Series 2002-OP1 Class M1, 4.21% 9/25/32 (f)

3,894,745

3,917,849

Series 2003-NC1:

Class M1, 4.51% 11/25/32 (f)

2,555,000

2,572,380

Class M2, 5.51% 11/25/32 (f)

1,880,000

1,899,041

New Century Home Equity Loan Trust:

Series 2003-2:

Class A2, 3.89% 1/25/33 (f)

341,254

341,436

Class M2, 5.46% 1/25/33 (f)

4,600,000

4,667,174

Series 2003-6 Class M1, 4.18% 1/25/34 (f)

5,180,000

5,202,952

Series 2005-1:

Class M1, 3.91% 3/25/35 (f)

4,395,000

4,392,950

Class M2, 3.94% 3/25/35 (f)

4,395,000

4,384,834

Class M3, 3.98% 3/25/35 (f)

2,120,000

2,120,796

Nissan Auto Lease Trust:

Series 2003-A Class A3A, 3.5281% 6/15/09 (f)

13,621,752

13,633,434

Series 2004-A Class A4A, 3.4581% 6/15/10 (f)

10,570,000

10,582,978

Asset-Backed Securities - continued

Principal Amount

Value

NovaStar Home Equity Loan Series 2004-1:

Class M1, 3.91% 6/25/34 (f)

$ 1,450,000

$ 1,451,222

Class M4, 4.435% 6/25/34 (f)

2,435,000

2,439,150

Ocala Funding LLC Series 2005-1A Class A, 4.93% 3/20/10 (c)(f)

3,675,000

3,675,000

Ownit Mortgage Loan Asste-Backed Certificates Series 2005-3 Class A2A, 3.5% 6/25/36 (f)

15,500,000

15,500,000

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M1, 4.09% 9/25/34 (f)

3,745,000

3,756,721

Class M2, 4.14% 9/25/34 (f)

1,755,000

1,764,326

Class M3, 4.71% 9/25/34 (f)

3,355,000

3,396,745

Class M4, 4.91% 9/25/34 (f)

4,700,000

4,767,614

Series 2004-WCW2 Class A2, 3.84% 10/25/34 (f)

7,952,623

7,976,111

Series 2005-WCH1:

Class A3B, 3.68% 1/25/35 (f)

2,775,000

2,779,908

Class M2, 3.98% 1/25/35 (f)

4,175,000

4,166,539

Class M3, 4.02% 1/25/35 (f)

3,290,000

3,292,599

Class M5, 4.34% 1/25/35 (f)

3,095,000

3,104,620

Series 2005-WHQ2 Class M7, 4.71% 5/25/35 (f)

5,950,000

5,930,787

People's Choice Home Loan Securities Trust Series 2005-2:

Class A1, 3.57% 9/25/24 (f)

7,475,790

7,475,790

Class M4, 4.09% 5/25/35 (f)

6,000,000

6,000,000

Providian Gateway Master Trust Series 2002-B Class A, 4.0881% 6/15/09 (c)(f)

15,000,000

15,039,393

Residental Asset Securities Corp.:

Series 2005-KS4 Class M2, 4.04% 4/25/35 (f)

1,040,000

1,037,610

Series 2005-KS7 Class A1, 3.4781% 8/25/35 (f)

10,515,000

10,512,897

Residential Asset Mortgage Products, Inc. Series 2004-RS10 Class MII2, 4.71% 10/25/34 (f)

5,500,000

5,566,857

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 3.86% 4/25/33 (f)

818,316

822,076

Saxon Asset Securities Trust:

Series 2004-1 Class M1, 3.99% 3/25/35 (f)

4,415,000

4,413,887

Series 2004-2 Class MV1, 4.04% 8/25/35 (f)

4,495,000

4,501,043

Sears Credit Account Master Trust II:

Series 2001-1 Class B, 3.8131% 2/15/10 (f)

10,000,000

9,987,143

Series 2002-4:

Class A, 3.5181% 8/18/09 (f)

27,000,000

26,999,603

Class B, 3.8131% 8/18/09 (f)

33,300,000

33,301,149

Series 2002-5 Class B, 4.6381% 11/17/09 (f)

30,000,000

30,062,976

Asset-Backed Securities - continued

Principal Amount

Value

Securitized Asset Backed Receivables LLC Trust Series 2004-NC1 Class M1, 3.98% 2/25/34 (f)

$ 2,910,000

$ 2,909,256

Specialty Underwriting & Residential Finance Series 2003-BC4 Class M1, 4.06% 11/25/34 (f)

1,810,000

1,818,452

Structured Asset Securities Corp. Series 2004-GEL1 Class A, 3.82% 2/25/34 (f)

1,043,424

1,043,422

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 3.8381% 3/15/11 (c)(f)

10,835,000

10,828,228

Superior Wholesale Inventory Financing Trust XII Series 2005-A12 Class C, 4.46% 6/15/10 (f)

6,840,000

6,839,945

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 3.89% 9/25/34 (f)

2,878,990

2,894,593

Series 2003-6HE Class A1, 3.93% 11/25/33 (f)

1,784,384

1,788,543

Series 2005-14HE Class AF1, 3.9753% 7/25/36 (d)(f)

8,635,000

8,633,296

TOTAL ASSET-BACKED SECURITIES

(Cost $2,293,954,229)

2,300,747,332

Collateralized Mortgage Obligations - 16.9%

Private Sponsor - 13.7%

Adjustable Rate Mortgage Trust floater:

Series 2004-2 Class 7A3, 3.86% 2/25/35 (f)

9,374,471

9,396,037

Series 2004-4 Class 5A2, 3.86% 3/25/35 (f)

3,780,419

3,787,953

Series 2005-1 Class 5A2, 3.79% 5/25/35 (f)

6,187,250

6,191,166

Series 2005-2:

Class 6A2, 3.74% 6/25/35 (f)

2,930,592

2,932,491

Class 6M2, 3.94% 6/25/35 (f)

10,145,000

10,145,010

Series 2005-3 Class 8A2, 3.7% 7/25/35 (f)

19,199,197

19,211,695

Series 2005-4 Class 7A2, 3.69% 8/25/35 (f)

9,011,457

9,003,527

Series 2005-8 Class 7A2, 3.77% 11/25/35 (f)

7,660,000

7,660,000

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 3.74% 1/25/35 (f)

20,354,186

20,354,186

Series 2005-2 Class 1A1, 3.71% 3/25/35 (f)

14,961,065

14,961,065

Series 2005-5 Class 1A1, 3.68% 7/25/35 (f)

18,707,862

18,696,170

Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 3.86% 5/25/33 (f)

5,545,033

5,548,017

Countrywide Home Loans, Inc. floater:

Series 2004-16 Class A1, 3.86% 9/25/34 (f)

10,335,456

10,325,843

Series 2005-1 Class 2A1, 3.75% 3/25/35 (f)

14,617,171

14,617,171

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR2 Class 6A1, 3.86% 3/25/34 (f)

5,338,263

5,334,945

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

CS First Boston Mortgage Securities Corp. floater: - continued

Series 2004-AR3 Class 6A2, 3.83% 4/25/34 (f)

$ 2,226,193

$ 2,228,162

Series 2004-AR4 Class 5A2, 3.83% 5/25/34 (f)

2,066,310

2,065,052

Series 2004-AR5 Class 11A2, 3.83% 6/25/34 (f)

2,987,552

2,981,472

Series 2004-AR6 Class 9A2, 3.83% 10/25/34 (f)

3,981,028

3,983,412

Series 2004-AR7 Class 6A2, 3.84% 8/25/34 (f)

5,801,660

5,806,785

Series 2004-AR8 Class 8A2, 3.84% 9/25/34 (f)

4,630,225

4,638,807

First Horizon Mortgage Passthru Trust floater Series 2004-FL1 Class 2A1, 3.95% 12/25/34 (f)

4,384,853

4,379,779

Granite Master Issuer PLC floater:

Series 2005-1:

Class A3, 3.51% 12/21/24 (f)

5,300,000

5,299,006

Class B1, 3.56% 12/20/54 (f)

7,050,000

7,047,577

Class M1, 3.66% 12/20/54 (f)

5,300,000

5,298,178

Series 2005-2 Class C1, 3.7857% 12/20/54 (f)

7,975,000

7,972,508

Granite Mortgages PLC floater:

Series 2004-1:

Class 1B, 3.64% 3/20/44 (f)

1,415,000

1,414,844

Class 1C, 4.33% 3/20/44 (f)

4,075,000

4,091,219

Class 1M, 3.84% 3/20/44 (f)

4,935,000

4,938,751

Series 2004-2:

Class 1A2, 3.5% 6/20/28 (f)

5,384,259

5,384,932

Class 1B, 3.6% 6/20/44 (f)

1,018,055

1,018,309

Class 1C, 4.13% 6/20/44 (f)

3,706,295

3,713,918

Class 1M, 3.71% 6/20/44 (f)

2,722,846

2,724,205

Series 2004-3:

Class 1B, 3.59% 9/20/44 (f)

2,100,000

2,100,210

Class 1C, 4.02% 9/20/44 (f)

5,415,000

5,426,913

Class 1M, 3.7% 9/20/44 (f)

1,200,000

1,200,360

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 3.6369% 5/19/35 (f)

11,690,145

11,648,134

Holmes Financing No. 7 PLC floater Series 2 Class M, 4.3988% 7/15/40 (f)

2,560,000

2,564,912

Holmes Financing No. 8 PLC floater Series 2:

Class A, 3.6788% 4/15/11 (f)

25,000,000

25,000,000

Class B, 3.7688% 7/15/40 (f)

2,695,000

2,696,684

Class C, 4.3188% 7/15/40 (f)

10,280,000

10,328,193

Home Equity Asset Trust floater Series 2005-3 Class 2A1, 3.55% 8/25/35 (f)

7,268,025

7,266,230

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 3.91% 10/25/34 (f)

4,495,430

4,509,337

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Impac CMB Trust floater:

Series 2004-11 Class 2A2, 3.83% 3/25/35 (f)

$ 8,638,669

$ 8,636,982

Series 2004-6 Class 1A2, 3.85% 10/25/34 (f)

3,481,529

3,487,748

Series 2005-1:

Class M1, 3.92% 4/25/35 (f)

3,223,929

3,220,529

Class M2, 3.96% 4/25/35 (f)

5,644,146

5,639,516

Class M3, 3.99% 4/25/35 (f)

1,384,927

1,383,466

Class M4, 4.21% 4/25/35 (f)

817,334

818,164

Class M5, 4.23% 4/25/35 (f)

817,334

817,174

Class M6, 4.28% 4/25/35 (f)

1,307,734

1,307,479

Series 2005-2 Class 1A2, 3.77% 4/25/35 (f)

13,211,515

13,201,194

Series 2005-3 Class A1, 3.7% 8/25/35 (f)

15,176,045

15,149,962

Series 2005-4 Class 1B1, 4.76% 6/25/35 (f)

5,306,886

5,282,839

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 3.67% 9/26/45 (c)(f)

16,153,164

16,153,164

MASTR Adjustable Rate Mortgages Trust:

floater Series 2005-1 Class 1A1, 3.73% 3/25/35 (f)

13,405,372

13,396,993

Series 2004-6 Class 4A2, 4.1729% 7/25/34 (f)

5,969,000

5,946,582

Merrill Lynch Mortgage Investors, Inc. floater:

Series 2003-A Class 2A1, 3.85% 3/25/28 (f)

8,079,308

8,122,924

Series 2003-B Class A1, 3.8% 4/25/28 (f)

7,852,610

7,898,403

Series 2003-D Class A, 3.77% 8/25/28 (f)

7,479,616

7,494,804

Series 2003-E Class A2, 3.4425% 10/25/28 (f)

10,687,128

10,687,143

Series 2003-F Class A2, 3.7075% 10/25/28 (f)

12,892,959

12,891,486

Series 2004-A Class A2, 3.6175% 4/25/29 (f)

11,584,437

11,556,917

Series 2004-B Class A2, 3.79% 6/25/29 (f)

8,952,030

8,930,464

Series 2004-C Class A2, 3.95% 7/25/29 (f)

12,856,157

12,825,407

Series 2004-D Class A2, 3.4725% 9/25/29 (f)

9,971,432

9,974,033

Series 2004-E:

Class A2B, 3.7275% 11/25/29 (f)

8,523,921

8,502,874

Class A2D, 3.9175% 11/25/29 (f)

1,982,307

1,991,830

Series 2004-G Class A2, 3.95% 11/25/29 (f)

3,854,828

3,854,422

Series 2005-A Class A2, 3.38% 2/25/30 (f)

10,800,867

10,785,319

Mortgage Asset Backed Securities Trust floater Series 2002-NC1 Class M1, 4.31% 10/25/32 (f)

4,538,551

4,555,535

MortgageIT Trust floater:

Series 2004-2:

Class A1, 3.83% 12/25/34 (f)

4,920,628

4,927,758

Class A2, 3.91% 12/25/34 (f)

6,656,800

6,696,298

Series 2005-2 Class 1A1, 3.72% 5/25/35 (f)

5,093,718

5,097,498

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 3.75% 6/25/35 (f)

19,112,336

19,123,533

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Permanent Financing No. 1 PLC floater Series 1 Class 2C, 4.5594% 6/10/42 (f)

$ 1,745,000

$ 1,749,384

Permanent Financing No. 3 PLC floater Series 2 Class C, 4.4294% 6/10/42 (f)

4,845,000

4,893,450

Permanent Financing No. 4 PLC floater Series 2 Class C, 4.0994% 6/10/42 (f)

15,400,000

15,475,306

Permanent Financing No. 5 PLC floater:

Series 2 Class C, 4.0294% 6/10/42 (f)

4,215,000

4,234,760

Series 3 Class C, 4.1994% 6/10/42 (f)

8,890,000

8,967,788

Permanent Financing No. 6 PLC floater Series 6:

Class 1C, 3.7294% 6/10/42 (f)

4,000,000

4,000,572

Class 2C, 3.8294% 6/10/42 (f)

5,350,000

5,352,343

Permanent Financing No. 7 PLC floater Series 7:

Class 1B, 3.4694% 6/10/42 (f)

2,000,000

1,999,375

Class 1C, 3.6594% 6/10/42 (f)

3,840,000

3,838,800

Class 2C, 3.7094% 6/10/42 (f)

8,065,000

8,054,919

Permanent Financing No. 8 PLC floater Series 8:

Class 1C, 3.7475% 6/10/42 (f)

7,165,000

7,162,621

Class 2C, 3.8175% 6/10/42 (f)

9,945,000

9,941,688

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

4,643,507

4,727,342

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

Class B4, 5.15% 3/10/35 (c)(f)

5,492,986

5,575,381

Class B5, 5.7% 3/10/35 (c)(f)

5,684,725

5,811,417

Residential Funding Securities Corp.:

Series 2003-RP1 Class A1, 3.96% 11/25/34 (f)

2,829,110

2,840,739

Series 2003-RP2 Class A1, 3.93% 6/25/33 (c)(f)

3,866,185

3,881,108

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 3.41% 9/20/33 (f)

10,999,101

10,996,236

Series 2003-7 Class A2, 2.885% 1/20/34 (f)

9,577,708

9,569,385

Series 2004-1 Class A, 4.15% 2/20/34 (f)

6,379,791

6,373,993

Series 2004-10 Class A4, 3.6681% 11/20/34 (f)

10,424,803

10,408,138

Series 2004-3 Class A, 3.5463% 5/20/34 (f)

10,662,486

10,588,333

Series 2004-4 Class A, 3.5881% 5/20/34 (f)

13,430,919

13,399,990

Series 2004-5 Class A3, 3.77% 6/20/34 (f)

8,904,038

8,897,082

Series 2004-6:

Class A3A, 4.1475% 6/20/35 (f)

8,182,127

8,176,739

Class A3B, 3.16% 7/20/34 (f)

1,022,766

1,021,950

Series 2004-7:

Class A3A, 3.2275% 8/20/34 (f)

7,642,675

7,636,475

Class A3B, 3.4525% 7/20/34 (f)

1,375,260

1,380,167

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Sequoia Mortgage Trust floater: - continued

Series 2004-8 Class A2, 3.45% 9/20/34 (f)

$ 14,155,710

$ 14,148,404

Series 2005-1 Class A2, 3.68% 2/20/35 (f)

7,355,282

7,354,362

Series 2005-2 Class A2, 3.36% 3/20/35 (f)

13,876,523

13,876,523

Series 2005-3 Class A1, 3.46% 5/20/35 (f)

9,217,677

9,217,677

Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 3.77% 7/25/35 (f)

11,201,095

11,201,095

Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 3.86% 9/25/33 (c)(f)

2,553,470

2,555,084

Thornburg Mortgage Securities Trust floater Series 2004-3 Class A, 3.83% 9/25/34 (f)

22,068,069

22,129,394

WAMU Mortgage pass thru certificates:

floater Series 2005-AR6 Class 2A-1A, 3.5448% 4/25/45 (f)

6,133,307

6,133,607

Series 2005 AR11 Class A1C1, 3.6675% 8/25/40 (d)(f)

14,400,000

14,400,000

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-M Class A3, 4.7024% 8/25/34 (f)

19,880,000

19,789,156

Series 2005-AR12 Class 2A1, 4.322% 7/25/35 (f)

31,674,772

31,407,532

TOTAL PRIVATE SPONSOR

895,419,920

U.S. Government Agency - 3.2%

Fannie Mae:

floater:

Series 2000-38 Class F, 3.76% 11/18/30 (f)

1,103,802

1,112,055

Series 2000-40 Class FA, 3.8144% 7/25/30 (f)

2,487,156

2,498,099

Series 2002-89 Class F, 3.6144% 1/25/33 (f)

3,630,895

3,636,484

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

4,732,822

4,849,182

Fannie Mae guaranteed REMIC pass thru certificates:

floater:

Series 2001-34 Class FR, 3.66% 8/18/31 (f)

2,500,934

2,508,899

Series 2001-44 Class FB, 3.6144% 9/25/31 (f)

2,262,040

2,268,738

Series 2001-46 Class F, 3.66% 9/18/31 (f)

6,514,676

6,552,090

Series 2002-11 Class QF, 3.8144% 3/25/32 (f)

4,517,951

4,551,812

Series 2002-36 Class FT, 3.8144% 6/25/32 (f)

1,503,724

1,516,521

Series 2002-64 Class FE, 3.61% 10/18/32 (f)

2,256,514

2,266,981

Series 2002-65 Class FA, 3.6144% 10/25/17 (f)

2,585,370

2,590,545

Series 2002-74 Class FV, 3.7644% 11/25/32 (f)

8,360,131

8,420,920

Series 2003-11:

Class DF, 3.7644% 2/25/33 (f)

3,173,455

3,195,574

Class EF, 3.7644% 2/25/33 (f)

2,602,157

2,612,658

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Fannie Mae guaranteed REMIC pass thru certificates: - continued

floater:

Series 2003-63 Class F1, 3.6144% 11/25/27 (f)

$ 6,387,368

$ 6,390,916

planned amortization class:

Series 1998-63 Class PG, 6% 3/25/27

1,212,661

1,212,198

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

4,183,652

4,194,964

Series 2001-76 Class UB, 5.5% 10/25/13

1,378,221

1,379,002

Series 2002-16 Class QD, 5.5% 6/25/14

345,479

346,552

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

4,950,777

4,957,813

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

3,569,878

3,584,870

Freddie Mac:

floater Series 2510 Class FE, 3.7881% 10/15/32 (f)

5,998,150

6,032,418

planned amortization class:

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

1,286,641

1,286,029

Series 2353 Class PC, 6.5% 9/15/15

1,363,169

1,366,992

Freddie Mac Manufactured Housing participation certificates guaranteed floater Series 2338 Class FJ, 3.5881% 7/15/31 (f)

5,197,631

5,199,968

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2474 Class FJ, 3.7381% 7/15/17 (f)

4,556,922

4,564,198

Series 2526 Class FC, 3.7881% 11/15/32 (f)

3,597,778

3,616,182

Series 2538 Class FB, 3.7881% 12/15/32 (f)

6,607,741

6,651,155

Series 2551 Class FH, 3.8381% 1/15/33 (f)

3,358,821

3,373,027

planned amortization class:

Series 2136 Class PE, 6% 1/15/28

12,190,349

12,248,248

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

1,550,172

1,553,415

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

5,961,413

6,000,327

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

372,760

373,347

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

2,168,673

2,179,211

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

2,595,889

2,604,122

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

2,962,497

2,977,827

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

2,737,118

2,773,721

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

257,483

257,163

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

1,861,588

1,861,466

Series 2556 Class PM, 5.5% 2/15/16

1,160,963

1,159,984

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

7,104,375

367,384

Series 2828 Class JA, 4.5% 1/15/10

11,880,000

11,903,044

sequential pay:

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

648,803

649,120

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

871,905

871,370

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

Series 2406:

Class FP, 4.3681% 1/15/32 (f)

$ 10,270,000

$ 10,502,819

Class PF, 4.3681% 12/15/31 (f)

8,125,000

8,337,955

Series 2410 Class PF, 4.3681% 2/15/32 (f)

18,644,444

19,070,154

Ginnie Mae guaranteed REMIC pass thru securities floater:

Series 2001-46 Class FB, 3.7381% 5/16/23 (f)

2,988,811

3,001,292

Series 2001-50 Class FV, 3.5881% 9/16/27 (f)

9,114,548

9,113,939

Series 2002-24 Class FX, 3.9381% 4/16/32 (f)

2,630,687

2,652,779

Series 2002-31 Class FW, 3.7881% 6/16/31 (f)

3,614,097

3,633,687

Series 2002-5 Class KF, 3.7881% 8/16/26 (f)

617,815

618,278

TOTAL U.S. GOVERNMENT AGENCY

207,447,494

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $1,104,119,465)

1,102,867,414

Commercial Mortgage Securities - 5.8%

1301 Avenue of The Americas Trust Series 2000-1301:

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

5,025,000

5,024,881

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

6,695,000

6,694,844

Banc of America Large Loan, Inc. floater:

Series 2003-BBA2 Class A3, 3.7081% 11/15/15 (c)(f)

5,038,226

5,041,400

Series 2005-BOCA:

Class H, 4.3381% 12/15/16 (c)(f)

2,065,000

2,061,834

Class J, 4.4881% 12/15/16 (c)(f)

1,020,000

1,018,438

Class K, 4.7381% 12/15/16 (c)(f)

6,659,000

6,650,611

Bayview Commercial Asset Trust floater:

Series 2003-1 Class A, 4.04% 8/25/33 (c)(f)

6,644,316

6,723,250

Series 2003-2:

Class A, 4.04% 12/25/33 (c)(f)

13,522,369

13,687,661

Class M1, 4.31% 12/25/33 (c)(f)

2,200,548

2,236,841

Series 2004-1:

Class A, 3.82% 4/25/34 (c)(f)

6,403,472

6,414,728

Class B, 5.36% 4/25/34 (c)(f)

665,296

672,910

Class M1, 4.02% 4/25/34 (c)(f)

582,134

584,681

Class M2, 4.66% 4/25/34 (c)(f)

498,972

504,819

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust floater: - continued

Series 2004-2:

Class A, 3.89% 8/25/34 (c)(f)

$ 6,299,807

$ 6,330,814

Class M1, 4.04% 8/25/34 (c)(f)

2,031,330

2,039,265

Series 2004-3:

Class A1, 3.83% 1/25/35 (c)(f)

6,582,479

6,605,519

Class A2, 3.88% 1/25/35 (c)(f)

914,869

918,092

Class M1, 3.96% 1/25/35 (c)(f)

1,097,080

1,098,564

Class M2, 4.46% 1/25/35 (c)(f)

715,487

719,742

Series 2005-2A:

Class M1, 3.73% 8/25/35 (c)(f)

1,297,812

1,297,812

Class M2, 3.78% 8/25/35 (c)(f)

2,136,399

2,136,399

Class M3, 3.8% 8/25/35 (c)(f)

1,183,006

1,183,006

Class M4, 3.91% 8/25/35 (c)(f)

1,088,166

1,088,166

Bear Stearns Commercial Mortgage Securities, Inc. floater:

Series 2003-BA1A:

Class JFCM, 4.98% 4/14/15 (c)(f)

1,344,296

1,350,087

Class JMM, 4.88% 4/14/15 (c)(f)

1,384,053

1,385,065

Class KFCM, 5.23% 4/14/15 (c)(f)

1,436,661

1,443,179

Class KMM, 5.13% 4/14/15 (c)(f)

1,253,767

1,254,776

Class LFCM, 5.63% 4/14/15 (c)(f)

1,601,905

1,602,545

Class MFCM, 5.93% 4/14/15 (c)(f)

2,218,251

2,219,234

Series 2004-BBA3 Class E, 4.0881% 6/15/17 (c)(f)

10,415,000

10,415,949

Chase Commercial Mortgage Securities Corp. floater Series 2000-FL1A:

Class B, 3.81% 12/12/13 (c)(f)

896,672

897,536

Class C, 4.16% 12/12/13 (c)(f)

1,793,345

1,801,374

COMM floater:

Series 2001-FL5A Class E, 4.8881% 11/15/13 (c)(f)

3,049,546

3,048,573

Series 2002-FL6:

Class F, 4.8381% 6/14/14 (c)(f)

11,163,000

11,190,451

Class G, 5.2881% 6/14/14 (c)(f)

5,000,000

5,000,444

Series 2003-FL9 Class B, 3.8881% 11/15/15 (c)(f)

10,354,700

10,383,149

Commercial Mortgage pass thru certificates floater:

Series 2004-CNL:

Class A2, 3.6881% 9/15/14 (c)(f)

3,570,000

3,573,440

Class G, 4.3681% 9/15/14 (c)(f)

1,345,000

1,345,538

Class H, 4.4681% 9/15/14 (c)(f)

1,430,000

1,430,571

Class J, 4.9881% 9/15/14 (c)(f)

490,000

491,560

Class K, 5.3881% 9/15/14 (c)(f)

770,000

771,587

Class L, 5.5881% 9/15/14 (c)(f)

625,000

624,693

Commercial Mortgage Securities - continued

Principal Amount

Value

Commercial Mortgage pass thru certificates floater: - continued

Series 2004-HTL1:

Class B, 3.8381% 7/15/16 (c)(f)

$ 495,379

$ 495,732

Class D, 3.9381% 7/15/16 (c)(f)

1,125,628

1,125,788

Class E, 4.1381% 7/15/16 (c)(f)

805,726

806,031

Class F, 4.1881% 7/15/16 (c)(f)

852,671

853,207

Class H, 4.6881% 7/15/16 (c)(f)

2,472,312

2,473,143

Class J, 4.8381% 7/15/16 (c)(f)

950,314

950,633

Class K, 5.7381% 7/15/16 (c)(f)

1,069,720

1,069,257

Commercial Mortgage Pass-Through Certificates floater Series 2005-F10A:

Class B, 3.6181% 4/15/17 (c)(f)

7,080,000

7,080,000

Class C, 3.6581% 4/15/17 (c)(f)

3,006,000

3,006,000

Class D, 3.6981% 4/15/17 (c)(f)

2,440,000

2,440,000

Class E, 3.7581% 4/15/17 (c)(f)

1,821,000

1,821,000

Class F, 3.7981% 4/15/17 (c)(f)

1,035,000

1,035,000

Class G, 3.9381% 4/15/17 (c)(f)

1,035,000

1,035,000

Class H, 4.0081% 4/15/17 (c)(f)

1,035,000

1,035,000

Class I, 4.2381% 4/15/17 (c)(f)

335,000

335,000

Class MOA3, 3.6881% 3/15/20 (c)(f)

4,590,000

4,590,000

CS First Boston Mortgage Securities Corp.:

floater:

Series 2001-TFLA Class G, 5.1381% 12/15/11 (c)(f)

3,720,000

3,702,795

Series 2002-TFLA Class C, 3.9688% 11/18/12 (c)(f)

3,675,000

3,674,923

Series 2003-TF2A Class A2, 3.7081% 11/15/14 (c)(f)

9,500,000

9,507,100

Series 2004-FL1 Class B, 3.8381% 5/15/14 (c)(f)

11,230,000

11,235,571

Series 2004-HC1:

Class A2, 3.8881% 12/15/21 (c)(f)

1,475,000

1,474,997

Class B, 4.1381% 12/15/21 (c)(f)

3,835,000

3,834,992

Series 2004-TF2A Class E, 3.8081% 11/15/19 (c)(f)

4,450,000

4,456,884

Series 2004-TFL1:

Class A2, 3.5781% 2/15/14 (c)(f)

7,005,000

7,007,087

Class E, 3.9381% 2/15/14 (c)(f)

2,800,000

2,806,033

Class F, 3.9881% 2/15/14 (c)(f)

2,325,000

2,330,394

Class G, 4.2381% 2/15/14 (c)(f)

1,875,000

1,880,617

Class H, 4.4881% 2/15/14 (c)(f)

1,400,000

1,403,733

Class J, 4.7881% 2/15/14 (c)(f)

750,000

753,724

Commercial Mortgage Securities - continued

Principal Amount

Value

CS First Boston Mortgage Securities Corp.: - continued

Series 2005-TF2A Class F, 3.8881% 11/15/19 (c)(f)

$ 1,540,000

$ 1,542,381

Series 2005-TFLA:

Class C, 3.6281% 2/15/20 (c)(f)

5,650,000

5,649,989

Class E, 3.7181% 2/15/20 (c)(f)

3,955,000

3,954,992

Class F, 3.7681% 2/15/20 (c)(f)

1,745,000

1,744,997

Class G, 3.9081% 2/15/20 (c)(f)

505,000

504,998

Class H, 4.1381% 2/15/20 (c)(f)

715,000

714,998

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

518,675

522,823

Series 2003-TFLA Class G, 3.7357% 4/15/13 (c)(f)

446,933

445,553

GMAC Commercial Mortgage Securities, Inc. floater Series 2001-FL1A Class E, 4.2% 2/11/11 (c)(f)

264,524

264,175

GS Mortgage Securities Corp. II floater Series 2005-FL7A Class A1, 3.5% 11/6/19 (c)(f)

10,526,054

10,527,180

ISTAR Asset Receivables Trust floater Series 2002-1A Class A2, 3.8613% 5/28/20 (c)(f)

2,727,545

2,728,117

John Hancock Tower Mortgage Trust floater Series 2003-C5A Class B, 5.6585% 4/10/15 (c)(f)

8,245,000

8,150,339

JP Morgan Chase Commercial Mortgage Security Corp.:

floater Series 2005-FL1A:

Class WH, 3.97% 6/15/19 (c)(f)

3,325,000

3,325,100

Class WJ, 4.17% 6/15/19 (c)(f)

2,045,000

2,045,061

Class WK, 4.57% 6/15/19 (c)(f)

3,065,000

3,065,092

Series 2005-FL1A Class WX1, 1.2068% 6/15/19 (c)(f)(g)

240,000,000

2,596,800

Lehman Brothers Floating Rate Commercial Mortgage Trust:

floater:

Series 2003-C4A:

Class F, 5.6% 7/11/15 (c)(f)

813,387

813,822

Class H, 6.35% 7/11/15 (c)(f)

8,267,264

8,287,932

Series 2003-LLFA:

Class A2, 3.77% 12/16/14 (c)(f)

11,700,000

11,707,744

Class B, 3.98% 12/16/14 (c)(f)

4,615,000

4,626,299

Class C, 4.08% 12/16/14 (c)(f)

4,982,000

4,997,311

Series 2005-LLFA Class FAIR, 5.1138% 7/15/19 (c)(d)(f)

4,360,000

4,360,000

Morgan Stanley Dean Witter Capital I Trust floater Series 2002-XLF Class F, 5.49% 8/5/14 (c)(f)

7,603,983

7,603,972

Commercial Mortgage Securities - continued

Principal Amount

Value

Salomon Brothers Mortgage Securities VII, Inc.:

floater:

Series 2001-CDCA:

Class C, 4.1881% 2/15/13 (c)(f)

$ 10,495,000

$ 10,291,568

Class D, 4.1881% 2/15/13 (c)(f)

4,000,000

3,891,288

Series 2003-CDCA:

Class HEXB, 5.2881% 2/15/15 (c)(f)

770,000

771,001

Class JEXB, 5.4881% 2/15/15 (c)(f)

1,300,000

1,301,690

Class KEXB, 5.8881% 2/15/15 (c)(f)

960,000

961,248

Series 2000-NL1 Class E, 7.0607% 10/15/30 (c)(f)

3,657,956

3,672,236

SDG Macerich Properties LP floater Series 2000-1 Class A3, 3.7281% 5/15/09 (c)(f)

18,000,000

18,008,086

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 3.78% 3/24/18 (c)(f)

7,263,029

7,263,029

Wachovia Bank Commercial Mortgage Trust floater:

Series 2004-WHL3:

Class A2, 3.5681% 3/15/14 (c)(f)

3,510,000

3,511,290

Class E, 3.8881% 3/15/14 (c)(f)

2,190,000

2,192,749

Class F, 3.9381% 3/15/14 (c)(f)

1,755,000

1,757,120

Class G, 4% 3/15/14 (c)(f)

875,000

876,363

Series 2005-WL5A:

Class KHP1, 3.7381% 1/15/18 (c)(f)

1,745,000

1,745,000

Class KHP2, 3.9381% 1/15/18 (c)(f)

1,745,000

1,745,000

Class KHP3, 4.2381% 1/15/18 (c)(f)

2,060,000

2,060,000

Class KHP4, 4.3381% 1/15/18 (c)(f)

1,600,000

1,600,000

Class KHP5, 4.5381% 1/15/18 (c)(f)

1,855,000

1,855,000

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $378,363,353)

378,866,012

Interfund Loans - 0.1%

With Fidelity Equity-Income Fund, at 3.43442% due 8/1/05 (b) (Cost $8,443,000)

8,443,000

8,443,000

Cash Equivalents - 40.4%

Maturity
Amount

Value

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.32%, dated 7/29/05 due 8/1/05) (i)

$ 2,354,814,398

$ 2,354,164,000

With Goldman Sachs & Co. at 3.41%, dated 7/1/05 due 8/23/05 (Collateralized by Mortgage Loan Obligations valued at $295,800,001, 0.9%- 10.36%, 4/18/17 - 6/25/44) (f)(h)

291,455,881

289,998,492

TOTAL CASH EQUIVALENTS

(Cost $2,644,164,000)

2,644,162,492

TOTAL INVESTMENT PORTFOLIO - 102.2%

(Cost $6,679,436,405)

6,685,115,608

NET OTHER ASSETS - (2.2)%

(140,968,200)

NET ASSETS - 100%

$ 6,544,147,408

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Sold

Eurodollar Contracts

73 Eurodollar 90 Day Index Contracts

Dec. 2005

$ 72,221,638

$ 34,806

49 Eurodollar 90 Day Index Contracts

March 2006

48,464,675

28,036

32 Eurodollar 90 Day Index Contracts

June 2006

31,645,600

16,247

27 Eurodollar 90 Day Index Contracts

Sept. 2006

26,698,612

16,355

26 Eurodollar 90 Day Index Contracts

Dec. 2006

25,707,500

14,421

24 Eurodollar 90 Day Index Contracts

March 2007

23,729,700

12,329

17 Eurodollar 90 Day Index Contracts

June 2007

16,807,688

5,970

16 Eurodollar 90 Day Index Contracts

Sept. 2007

15,818,200

5,711

15 Eurodollar 90 Day Index Contracts

Dec. 2007

14,828,250

5,590

15 Eurodollar 90 Day Index Contracts

March 2008

14,827,875

5,015

8 Eurodollar 90 Day Index Contracts

June 2008

7,907,800

7,518

7 Eurodollar 90 Day Index Contracts

Sept. 2008

6,918,888

6,885

TOTAL EURODOLLAR CONTRACTS

158,883

Swap Agreements

Notional Amount

Value

Credit Default Swap

Receive from Citibank, upon default event of DaimlerChrysler NA Holding Corp., par value of the notional amount of DaimlerChrysler NA Holding Corp. 6.5% 11/15/13, and pay quarterly notional amount multiplied by .8%

June 2007

$ 14,000,000

$ (135,972)

Receive quarterly notional amount multiplied by 1.12% and pay Morgan Stanley, Inc. upon default of Comcast Cable Communications, Inc., par value of the notional amount of Comcast Cable Communications, Inc. 6.75% 1/30/11

June 2006

10,000,000

102,057

TOTAL CREDIT DEFAULT SWAP

24,000,000

(33,915)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Total Return Swap

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

Oct. 2005

$ 48,200,000

$ 46,335

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

Dec. 2005

30,000,000

32,511

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 30 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

August 2005

35,100,000

33,945

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 22 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

Jan. 2006

$ 35,100,000

$ 32,229

Receive monthly a return equal to Lehman Brothers ABS Floating Rate Index and pay monthly a floating rate based on the 1- month LIBOR minus 11.1 basis points with Lehman Brothers, Inc.

Nov. 2005

30,000,000

0

TOTAL TOTAL RETURN SWAP

178,400,000

145,020

$ 202,400,000

$ 111,105

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) Affiliated entity

(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 period end, the value of these securities amounted to $586,119,417 or 9.0% of net assets.

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

(e) 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 $994,635.

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

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

(h) The maturity amount is based on the rate at period end.

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

Repurchase Agreement/
Counterparty

Value

$2,354,164,000 due 8/1/05 at 3.32%

Banc of America Securities LLC.

$ 471,596,247

Bank of America, National Association

244,985,063

Barclays Capital Inc.

979,940,254

Countrywide Securities Corporation

244,985,063

Morgan Stanley & Co. Incorporated.

351,411,107

UBS Securities LLC

61,246,266

$ 2,354,164,000

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $6,679,021,266. Net unrealized appreciation aggregated $6,094,342, of which $11,067,257 related to appreciated investment securities and $4,972,915 related to depreciated investment securities.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Advisor Mortgage
Securities Fund
Class A
Class T
Class B
Class C
Institutional Class

July 31, 2005

1.804866.101

AMOR-QTLY-0905

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 77.7%

Principal Amount (000s)

Value
(000s)

Fannie Mae - 57.1%

3.463% 4/1/34 (c)

$ 865

$ 861

3.734% 1/1/35 (c)

518

512

3.753% 10/1/33 (c)

345

340

3.786% 12/1/34 (c)

451

446

3.793% 6/1/34 (c)

1,550

1,513

3.801% 12/1/34 (c)

100

99

3.828% 1/1/35 (c)

345

342

3.838% 1/1/35 (c)

1,006

1,002

3.867% 1/1/35 (c)

586

583

3.876% 11/1/34 (c)

2,189

2,171

3.88% 6/1/33 (c)

1,437

1,423

3.913% 12/1/34 (c)

313

311

3.937% 10/1/34 (c)

420

417

3.937% 12/1/34 (c)

627

624

3.967% 11/1/34 (c)

682

676

3.97% 5/1/33 (c)

125

124

3.975% 1/1/35 (c)

449

445

3.981% 12/1/34 (c)

415

411

4% 6/1/18 to 5/1/19

22,518

21,750

4% 8/1/20 (b)

26,053

25,125

4.008% 12/1/34 (c)

2,328

2,323

4.011% 1/1/35 (c)

281

278

4.014% 12/1/34 (c)

345

341

4.023% 2/1/35 (c)

311

308

4.03% 1/1/35 (c)

606

600

4.03% 1/1/35 (c)

168

167

4.032% 12/1/34 (c)

219

219

4.045% 5/1/34 (c)

152

152

4.049% 2/1/35 (c)

293

291

4.053% 10/1/18 (c)

372

368

4.054% 1/1/35 (c)

292

289

4.079% 4/1/33 (c)

119

119

4.098% 1/1/35 (c)

659

662

4.104% 2/1/35 (c)

233

232

4.11% 2/1/35 (c)

232

232

4.117% 2/1/35 (c)

597

595

4.118% 1/1/35 (c)

651

648

4.121% 2/1/35 (c)

1,213

1,207

4.124% 1/1/35 (c)

640

642

4.137% 1/1/35 (c)

1,126

1,121

4.138% 2/1/35 (c)

722

725

4.144% 1/1/35 (c)

944

949

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

4.15% 11/1/34 (c)

$ 544

$ 541

4.154% 2/1/35 (c)

631

629

4.178% 1/1/35 (c)

1,239

1,251

4.183% 1/1/35 (c)

541

540

4.189% 11/1/34 (c)

174

174

4.197% 1/1/35 (c)

716

712

4.232% 3/1/34 (c)

337

336

4.25% 2/1/35 (c)

361

358

4.258% 10/1/34 (c)

921

926

4.293% 3/1/35 (c)

349

349

4.297% 7/1/34 (c)

324

325

4.302% 1/1/35 (c)

475

472

4.306% 8/1/33 (c)

776

773

4.315% 3/1/33 (c)

171

171

4.323% 5/1/35 (c)

543

542

4.332% 12/1/34 (c)

233

233

4.335% 2/1/35 (c)

251

250

4.349% 1/1/35 (c)

367

363

4.351% 1/1/35 (c)

353

351

4.367% 2/1/34 (c)

895

892

4.372% 4/1/35 (c)

236

236

4.401% 2/1/35 (c)

550

546

4.409% 5/1/35 (c)

1,086

1,086

4.433% 11/1/34 (c)

5,434

5,432

4.451% 6/1/33 (c)

262

259

4.455% 3/1/35 (c)

492

487

4.467% 10/1/34 (c)

2,017

2,018

4.479% 4/1/34 (c)

636

637

4.489% 8/1/34 (c)

1,211

1,210

4.5% 4/1/19 to 4/1/35

317,534

307,385

4.5% 8/1/20 (b)

72,000

70,808

4.5% 3/1/35 (c)

1,092

1,089

4.508% 1/1/35 (c)

632

635

4.529% 3/1/35 (c)

1,025

1,021

4.538% 8/1/34 (c)

732

736

4.554% 7/1/35 (c)

1,325

1,326

4.564% 2/1/35 (c)

2,509

2,512

4.57% 2/1/35 (c)

401

403

4.619% 2/1/35 (c)

1,097

1,093

4.645% 2/1/35 (c)

299

301

4.649% 11/1/34 (c)

1,293

1,296

4.687% 11/1/34 (c)

1,271

1,273

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

4.74% 7/1/34 (c)

$ 1,114

$ 1,106

4.741% 3/1/35 (c)

616

616

4.823% 12/1/34 (c)

1,039

1,043

4.847% 12/1/34 (c)

430

431

5% 9/1/16 to 12/1/34

74,909

74,926

5% 8/1/20 (b)

35,000

35,098

5% 8/1/35 (b)

200,574

197,503

5.123% 2/1/35 (c)

3,275

3,269

5.137% 5/1/35 (c)

373

374

5.204% 6/1/35 (c)

1,858

1,882

5.366% 12/1/32 (c)

552

558

5.5% 1/1/09 to 12/1/33

185,474

188,389

5.5% 8/1/35 (b)

33,048

33,234

5.5% 8/11/35 (b)

22,250

22,375

5.817% 5/1/35 (c)

2,566

2,593

6% 4/1/06 to 1/1/34

111,745

115,108

6.5% 6/1/23 to 3/1/35

36,282

37,638

6.5% 8/1/35 (b)

40,721

42,159

7% 3/1/17 to 7/1/33

8,825

9,301

7.5% 4/1/22 to 9/1/32

4,483

4,779

8% 9/1/07 to 12/1/29

32

34

8.25% 1/1/13

4

4

8.5% 1/1/16 to 7/1/31

540

575

8.75% 11/1/08

1

1

9% 6/1/09 to 10/1/30

1,045

1,149

9.5% 11/1/06 to 8/1/22

223

243

11% 8/1/10

116

127

12.25% 5/1/13 to 5/1/15

52

58

12.5% 8/1/15 to 3/1/16

57

64

12.75% 2/1/15

5

6

13.5% 9/1/14 to 12/1/14

34

39

1,258,302

Freddie Mac - 15.5%

4% 4/1/19

6,120

5,903

4.106% 12/1/34 (c)

416

413

4.13% 12/1/34 (c)

611

608

4.223% 1/1/35 (c)

562

560

4.3% 5/1/35 (c)

917

912

4.311% 12/1/34 (c)

521

517

4.312% 3/1/35 (c)

520

519

4.351% 1/1/35 (c)

1,255

1,257

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Freddie Mac - continued

4.368% 3/1/35 (c)

$ 763

$ 754

4.4% 2/1/35 (c)

1,047

1,036

4.404% 2/1/35 (c)

1,129

1,126

4.446% 3/1/35 (c)

466

461

4.449% 2/1/34 (c)

586

583

4.49% 3/1/35 (c)

1,385

1,373

4.497% 6/1/35 (c)

786

785

4.498% 3/1/35 (c)

3,595

3,571

4.5% 8/1/33

5,130

4,922

4.504% 3/1/35 (c)

564

558

4.565% 2/1/35 (c)

804

805

5% 7/1/33 to 7/1/35

42,966

42,313

5% 8/1/35 (b)

91,431

90,002

5.036% 4/1/35 (c)

3,148

3,167

5.223% 8/1/33 (c)

242

247

5.5% 7/1/23 to 7/1/35

133,680

134,714

6% 5/1/16 to 10/1/34

13,241

13,557

6.5% 1/1/24 to 12/1/33

14,565

15,108

7.5% 2/1/08 to 7/1/32

13,996

14,879

8% 10/1/07 to 4/1/21

82

87

8.5% 7/1/09 to 9/1/20

231

248

9% 9/1/08 to 5/1/21

647

694

10% 1/1/09 to 5/1/19

198

215

10.5% 8/1/10 to 2/1/16

17

18

12.25% 6/1/14

15

17

12.5% 5/1/12 to 12/1/14

113

125

13% 12/1/13 to 6/1/15

161

180

342,234

Government National Mortgage Association - 5.1%

6% 10/20/33 to 1/20/34

97,039

99,632

6.5% 5/15/28 to 7/15/34

2,853

2,982

7% 2/15/24 to 7/15/32

4,776

5,047

7.5% 11/15/05 to 4/15/32

2,469

2,644

8% 6/15/06 to 12/15/25

1,076

1,155

8.5% 7/15/16 to 10/15/28

1,691

1,856

9% 11/20/17

2

2

9.5% 12/15/24

5

5

10.5% 12/20/15 to 2/20/18

88

98

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Government National Mortgage Association - continued

13% 10/15/13

$ 30

$ 34

13.5% 7/15/11 to 10/15/14

18

20

113,475

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,719,222)

1,714,011

Asset-Backed Securities - 0.8%

ACE Securities Corp. Series 2003-FM1 Class M2, 5.31% 11/25/32 (c)

1,450

1,467

CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 5.36% 10/25/33 (c)

1,265

1,287

Home Equity Residual Distributions Trust Series 2002-1 Class A, 12.25% 11/25/05 (a)

300

300

Long Beach Mortgage Loan Trust Series 2003-3:

Class M1, 4.21% 7/25/33 (c)

3,770

3,797

Class M2, 5.31% 7/25/33 (c)

2,600

2,651

Morgan Stanley ABS Capital I, Inc. Series 2003-NC6 Class M2, 5.41% 6/27/33 (c)

6,165

6,331

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

1,313

1,290

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (a)

1,252

1,208

TOTAL ASSET-BACKED SECURITIES

(Cost $18,113)

18,331

Collateralized Mortgage Obligations - 6.9%

Private Sponsor - 0.9%

Adjustable Rate Mortgage Trust floater Series 2004-4 Class 5A2, 3.86% 3/25/35 (c)

1,366

1,369

Countrywide Home Loans, Inc. sequential pay Series 2002-25 Class 2A1, 5.5% 11/27/17

1,439

1,441

Credit Suisse First Boston Mortgage Acceptance Corp. sequential pay Series 2003-1 Class 3A8, 6% 1/25/33

4,764

4,777

CS First Boston Mortgage Securities Corp. Series 2002-15R Class A1, 6.7802% 1/28/32 (a)(c)

760

753

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

Private Sponsor - continued

Master Alternative Loan Trust Series 2003-2 Class 4A1, 6.5% 4/25/18

$ 8,115

$ 8,216

Residential Asset Mortgage Products, Inc. sequential pay:

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

1,673

1,703

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

443

450

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

1,018

1,020

TOTAL PRIVATE SPONSOR

19,729

U.S. Government Agency - 6.0%

Fannie Mae:

planned amortization class:

Series 1993-187 Class L, 6.5% 7/25/23

2,992

3,073

Series 1999-1 Class PJ, 6.5% 2/25/29

10,049

10,531

Series 1999-15 Class PC, 6% 9/25/18

4,079

4,153

Series 2003-26 Class KI, 5% 12/25/15 (e)

5,244

498

Series 2003-39 Class IA, 5.5% 10/25/22 (c)(e)

3,605

630

Fannie Mae guaranteed REMIC pass thru certificates:

planned amortization class:

Series 1999-51 Class LK, 6.5% 8/25/29

10,000

10,420

Series 2002-11 Class QB, 5.5% 3/25/15

1,657

1,669

Series 2003-73 Class GA, 3.5% 5/25/31

13,770

13,161

sequential pay:

Series 2001-82 Class VB, 6.5% 3/25/16

103

103

Series 2002-9 Class C, 6.5% 6/25/30

5,000

5,097

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

3,544

3,588

Series 2005-55 Class LY, 5.5% 7/25/25

6,595

6,636

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

424

430

Series 2003-42 Class HS, 3.7856% 12/25/17 (c)(e)

14,496

980

Series 2005-15 Class AZ, 5% 3/25/35

3,451

3,441

Series 2005-21 Class ZA, 5% 3/25/35

991

989

Series 2005-28 Class AZ, 5% 4/25/35

2,391

2,386

Series 2005-44 Class Z, 5% 8/25/34

1,350

1,325

Series 2005-50 Class DZ, 5% 6/25/35

3,257

3,244

Freddie Mac:

planned amortization class:

Series 2512 Class PG, 5.5% 10/15/22

5,100

5,149

Series 70 Class C, 9% 9/15/20

257

257

sequential pay:

Series 2114 Class ZM, 6% 1/15/29

1,310

1,344

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

681

685

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28

$ 2,277

$ 2,372

Freddie Mac Multi-class participation certificates Series 3007 Class ZN 4.5% 7/15/25

3,285

3,244

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 2763 Class PD, 4.5% 12/15/17

4,360

4,278

Series 2780 Class OC, 4.5% 3/15/17

2,175

2,154

Series 2802 Class OB, 6% 5/15/34

3,375

3,539

Series 2810 Class PD, 6% 6/15/33

2,540

2,617

Series 2885 Class PC, 4.5% 3/15/18

2,845

2,812

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

2,329

2,139

Series 1658 Class GZ, 7% 1/15/24

4,388

4,571

Series 2406:

Class FP, 4.3681% 1/15/32 (c)

3,455

3,533

Class PF, 4.3681% 12/15/31 (c)

2,735

2,807

Series 2410 Class PF, 4.3681% 2/15/32 (c)

6,270

6,413

Series 2907 Class HZ, 5% 12/15/34

2,706

2,683

Series 2937 Class ZG, 5% 2/15/35

4,989

4,957

Series 2950 Class ZQ, 5.5% 3/15/35

3,145

3,131

Series 2978 Class EZ, 5.5% 11/15/34

974

967

Ginnie Mae guaranteed REMIC pass thru securities planned amortization class Series 2001-53 Class TA, 6% 12/20/30

264

264

TOTAL U.S. GOVERNMENT AGENCY

132,270

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $150,441)

151,999

Commercial Mortgage Securities - 3.4%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.6362% 2/14/43 (c)(e)

39,812

1,965

Bear Stearns Commercial Mortgage Securities, Inc. Series 2004-ESA:

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

560

564

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

1,165

1,176

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

425

428

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

1,315

1,324

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

315

318

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

CDC Commercial Mortgage Trust Series 2002-FX1
Class XCL, 0.6669% 5/15/35 (a)(c)(e)

$ 32,093

$ 1,870

Chase Commercial Mortgage Securities Corp.
Series 1999-2:

Class E, 7.734% 1/15/32

1,110

1,213

Class F, 7.734% 1/15/32

600

650

COMM floater Series 2001-FL5A Class E, 4.8881% 11/15/13 (a)(c)

3,050

3,049

Commercial Mortgage pass thru certificates floater Series 2004-CNL:

Class D, 4.0281% 9/15/14 (a)(c)

185

185

Class E, 4.0881% 9/15/14 (a)(c)

250

250

Class F, 4.1881% 9/15/14 (a)(c)

200

200

Class G, 4.3681% 9/15/14 (a)(c)

455

455

Class H, 4.4681% 9/15/14 (a)(c)

485

485

Class J, 4.9881% 9/15/14 (a)(c)

165

166

Class K, 5.3881% 9/15/14 (a)(c)

260

261

Class L, 5.5881% 9/15/14 (a)(c)

210

210

CS First Boston Mortgage Securities Corp.:

sequential pay:

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

173

174

Series 1999-C1 Class A2, 7.29% 9/15/41

6,100

6,611

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

5,175

5,538

Series 1998-C1 Class D, 7.17% 5/17/40

3,360

3,710

Series 2003-TFLA Class G, 3.7357% 4/15/13 (a)(c)

149

149

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

1,390

1,477

Fannie Mae sequential pay:

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

4,511

4,870

Series 2000-7 Class MB, 7.5259% 2/17/24 (c)

5,413

5,675

Fannie Mae guaranteed REMIC pass thru certificates Series 1998-49 Class MI, 0.8693% 6/17/38 (c)(e)

92,155

3,967

Greenwich Capital Commercial Funding Corp. Series 2002-C1 Class SWDB, 5.857% 11/11/19 (a)

2,600

2,580

GS Mortgage Securities Corp. II Series 1998-GLII
Class E, 7.1906% 4/13/31 (c)

390

412

Host Marriot Pool Trust sequential pay Series 1999-HMTA Class B, 7.3% 8/3/15 (a)

785

856

LB-UBS Commercial Mortgage Trust sequential pay Series 2000-C3 Class A2, 7.95% 1/15/10

2,790

3,135

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

10,815

9,077

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Morgan Stanley Capital I, Inc. Series 1997-RR Class C, 7.4092% 4/30/39 (a)(c)

$ 2,760

$ 2,832

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

7,895

8,196

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $76,628)

74,028

Fixed-Income Funds - 20.3%

Shares

Fidelity Ultra-Short Central Fund (d)
(Cost $446,441)

4,499,023

447,563

Cash Equivalents - 14.8%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.32%, dated 7/29/05 due 8/1/05) (f)
(Cost $327,411)

$ 327,501

327,411

TOTAL INVESTMENT PORTFOLIO - 123.9%

(Cost $2,738,256)

2,733,343

NET OTHER ASSETS - (23.9)%

(528,112)

NET ASSETS - 100%

$ 2,205,231

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 $36,892,000 or 1.7% of net assets.

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

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

(d) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete listing of the fixed-income fund's holdings is provided at the end of this report.

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

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

Repurchase Agreement/
Counterparty

Value
(000s)

$327,411,000 due 8/1/05 at 3.32%

Banc of America Securities LLC.

$65,588

Bank of America, National Association

34,072

Barclays Capital Inc.

136,288

Countrywide Securities Corporation

34,072

Morgan Stanley & Co. Incorporated.

48,873

UBS Securities LLC

8,518

$ 327,411

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $2,745,664,000. Net unrealized depreciation aggregated $12,321,000, of which $7,556,000 related to appreciated investment securities and $19,877,000 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 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 ® Mortgage Securities Fund

(A Class of Fidelity Advisor
Mortgage Securities Fund)

July 31, 2005

1.804979.101

MOR-QTLY-0905

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 77.7%

Principal Amount (000s)

Value
(000s)

Fannie Mae - 57.1%

3.463% 4/1/34 (c)

$ 865

$ 861

3.734% 1/1/35 (c)

518

512

3.753% 10/1/33 (c)

345

340

3.786% 12/1/34 (c)

451

446

3.793% 6/1/34 (c)

1,550

1,513

3.801% 12/1/34 (c)

100

99

3.828% 1/1/35 (c)

345

342

3.838% 1/1/35 (c)

1,006

1,002

3.867% 1/1/35 (c)

586

583

3.876% 11/1/34 (c)

2,189

2,171

3.88% 6/1/33 (c)

1,437

1,423

3.913% 12/1/34 (c)

313

311

3.937% 10/1/34 (c)

420

417

3.937% 12/1/34 (c)

627

624

3.967% 11/1/34 (c)

682

676

3.97% 5/1/33 (c)

125

124

3.975% 1/1/35 (c)

449

445

3.981% 12/1/34 (c)

415

411

4% 6/1/18 to 5/1/19

22,518

21,750

4% 8/1/20 (b)

26,053

25,125

4.008% 12/1/34 (c)

2,328

2,323

4.011% 1/1/35 (c)

281

278

4.014% 12/1/34 (c)

345

341

4.023% 2/1/35 (c)

311

308

4.03% 1/1/35 (c)

606

600

4.03% 1/1/35 (c)

168

167

4.032% 12/1/34 (c)

219

219

4.045% 5/1/34 (c)

152

152

4.049% 2/1/35 (c)

293

291

4.053% 10/1/18 (c)

372

368

4.054% 1/1/35 (c)

292

289

4.079% 4/1/33 (c)

119

119

4.098% 1/1/35 (c)

659

662

4.104% 2/1/35 (c)

233

232

4.11% 2/1/35 (c)

232

232

4.117% 2/1/35 (c)

597

595

4.118% 1/1/35 (c)

651

648

4.121% 2/1/35 (c)

1,213

1,207

4.124% 1/1/35 (c)

640

642

4.137% 1/1/35 (c)

1,126

1,121

4.138% 2/1/35 (c)

722

725

4.144% 1/1/35 (c)

944

949

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

4.15% 11/1/34 (c)

$ 544

$ 541

4.154% 2/1/35 (c)

631

629

4.178% 1/1/35 (c)

1,239

1,251

4.183% 1/1/35 (c)

541

540

4.189% 11/1/34 (c)

174

174

4.197% 1/1/35 (c)

716

712

4.232% 3/1/34 (c)

337

336

4.25% 2/1/35 (c)

361

358

4.258% 10/1/34 (c)

921

926

4.293% 3/1/35 (c)

349

349

4.297% 7/1/34 (c)

324

325

4.302% 1/1/35 (c)

475

472

4.306% 8/1/33 (c)

776

773

4.315% 3/1/33 (c)

171

171

4.323% 5/1/35 (c)

543

542

4.332% 12/1/34 (c)

233

233

4.335% 2/1/35 (c)

251

250

4.349% 1/1/35 (c)

367

363

4.351% 1/1/35 (c)

353

351

4.367% 2/1/34 (c)

895

892

4.372% 4/1/35 (c)

236

236

4.401% 2/1/35 (c)

550

546

4.409% 5/1/35 (c)

1,086

1,086

4.433% 11/1/34 (c)

5,434

5,432

4.451% 6/1/33 (c)

262

259

4.455% 3/1/35 (c)

492

487

4.467% 10/1/34 (c)

2,017

2,018

4.479% 4/1/34 (c)

636

637

4.489% 8/1/34 (c)

1,211

1,210

4.5% 4/1/19 to 4/1/35

317,534

307,385

4.5% 8/1/20 (b)

72,000

70,808

4.5% 3/1/35 (c)

1,092

1,089

4.508% 1/1/35 (c)

632

635

4.529% 3/1/35 (c)

1,025

1,021

4.538% 8/1/34 (c)

732

736

4.554% 7/1/35 (c)

1,325

1,326

4.564% 2/1/35 (c)

2,509

2,512

4.57% 2/1/35 (c)

401

403

4.619% 2/1/35 (c)

1,097

1,093

4.645% 2/1/35 (c)

299

301

4.649% 11/1/34 (c)

1,293

1,296

4.687% 11/1/34 (c)

1,271

1,273

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

4.74% 7/1/34 (c)

$ 1,114

$ 1,106

4.741% 3/1/35 (c)

616

616

4.823% 12/1/34 (c)

1,039

1,043

4.847% 12/1/34 (c)

430

431

5% 9/1/16 to 12/1/34

74,909

74,926

5% 8/1/20 (b)

35,000

35,098

5% 8/1/35 (b)

200,574

197,503

5.123% 2/1/35 (c)

3,275

3,269

5.137% 5/1/35 (c)

373

374

5.204% 6/1/35 (c)

1,858

1,882

5.366% 12/1/32 (c)

552

558

5.5% 1/1/09 to 12/1/33

185,474

188,389

5.5% 8/1/35 (b)

33,048

33,234

5.5% 8/11/35 (b)

22,250

22,375

5.817% 5/1/35 (c)

2,566

2,593

6% 4/1/06 to 1/1/34

111,745

115,108

6.5% 6/1/23 to 3/1/35

36,282

37,638

6.5% 8/1/35 (b)

40,721

42,159

7% 3/1/17 to 7/1/33

8,825

9,301

7.5% 4/1/22 to 9/1/32

4,483

4,779

8% 9/1/07 to 12/1/29

32

34

8.25% 1/1/13

4

4

8.5% 1/1/16 to 7/1/31

540

575

8.75% 11/1/08

1

1

9% 6/1/09 to 10/1/30

1,045

1,149

9.5% 11/1/06 to 8/1/22

223

243

11% 8/1/10

116

127

12.25% 5/1/13 to 5/1/15

52

58

12.5% 8/1/15 to 3/1/16

57

64

12.75% 2/1/15

5

6

13.5% 9/1/14 to 12/1/14

34

39

1,258,302

Freddie Mac - 15.5%

4% 4/1/19

6,120

5,903

4.106% 12/1/34 (c)

416

413

4.13% 12/1/34 (c)

611

608

4.223% 1/1/35 (c)

562

560

4.3% 5/1/35 (c)

917

912

4.311% 12/1/34 (c)

521

517

4.312% 3/1/35 (c)

520

519

4.351% 1/1/35 (c)

1,255

1,257

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Freddie Mac - continued

4.368% 3/1/35 (c)

$ 763

$ 754

4.4% 2/1/35 (c)

1,047

1,036

4.404% 2/1/35 (c)

1,129

1,126

4.446% 3/1/35 (c)

466

461

4.449% 2/1/34 (c)

586

583

4.49% 3/1/35 (c)

1,385

1,373

4.497% 6/1/35 (c)

786

785

4.498% 3/1/35 (c)

3,595

3,571

4.5% 8/1/33

5,130

4,922

4.504% 3/1/35 (c)

564

558

4.565% 2/1/35 (c)

804

805

5% 7/1/33 to 7/1/35

42,966

42,313

5% 8/1/35 (b)

91,431

90,002

5.036% 4/1/35 (c)

3,148

3,167

5.223% 8/1/33 (c)

242

247

5.5% 7/1/23 to 7/1/35

133,680

134,714

6% 5/1/16 to 10/1/34

13,241

13,557

6.5% 1/1/24 to 12/1/33

14,565

15,108

7.5% 2/1/08 to 7/1/32

13,996

14,879

8% 10/1/07 to 4/1/21

82

87

8.5% 7/1/09 to 9/1/20

231

248

9% 9/1/08 to 5/1/21

647

694

10% 1/1/09 to 5/1/19

198

215

10.5% 8/1/10 to 2/1/16

17

18

12.25% 6/1/14

15

17

12.5% 5/1/12 to 12/1/14

113

125

13% 12/1/13 to 6/1/15

161

180

342,234

Government National Mortgage Association - 5.1%

6% 10/20/33 to 1/20/34

97,039

99,632

6.5% 5/15/28 to 7/15/34

2,853

2,982

7% 2/15/24 to 7/15/32

4,776

5,047

7.5% 11/15/05 to 4/15/32

2,469

2,644

8% 6/15/06 to 12/15/25

1,076

1,155

8.5% 7/15/16 to 10/15/28

1,691

1,856

9% 11/20/17

2

2

9.5% 12/15/24

5

5

10.5% 12/20/15 to 2/20/18

88

98

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Government National Mortgage Association - continued

13% 10/15/13

$ 30

$ 34

13.5% 7/15/11 to 10/15/14

18

20

113,475

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,719,222)

1,714,011

Asset-Backed Securities - 0.8%

ACE Securities Corp. Series 2003-FM1 Class M2, 5.31% 11/25/32 (c)

1,450

1,467

CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 5.36% 10/25/33 (c)

1,265

1,287

Home Equity Residual Distributions Trust Series 2002-1 Class A, 12.25% 11/25/05 (a)

300

300

Long Beach Mortgage Loan Trust Series 2003-3:

Class M1, 4.21% 7/25/33 (c)

3,770

3,797

Class M2, 5.31% 7/25/33 (c)

2,600

2,651

Morgan Stanley ABS Capital I, Inc. Series 2003-NC6 Class M2, 5.41% 6/27/33 (c)

6,165

6,331

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

1,313

1,290

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (a)

1,252

1,208

TOTAL ASSET-BACKED SECURITIES

(Cost $18,113)

18,331

Collateralized Mortgage Obligations - 6.9%

Private Sponsor - 0.9%

Adjustable Rate Mortgage Trust floater Series 2004-4 Class 5A2, 3.86% 3/25/35 (c)

1,366

1,369

Countrywide Home Loans, Inc. sequential pay Series 2002-25 Class 2A1, 5.5% 11/27/17

1,439

1,441

Credit Suisse First Boston Mortgage Acceptance Corp. sequential pay Series 2003-1 Class 3A8, 6% 1/25/33

4,764

4,777

CS First Boston Mortgage Securities Corp. Series 2002-15R Class A1, 6.7802% 1/28/32 (a)(c)

760

753

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

Private Sponsor - continued

Master Alternative Loan Trust Series 2003-2 Class 4A1, 6.5% 4/25/18

$ 8,115

$ 8,216

Residential Asset Mortgage Products, Inc. sequential pay:

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

1,673

1,703

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

443

450

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

1,018

1,020

TOTAL PRIVATE SPONSOR

19,729

U.S. Government Agency - 6.0%

Fannie Mae:

planned amortization class:

Series 1993-187 Class L, 6.5% 7/25/23

2,992

3,073

Series 1999-1 Class PJ, 6.5% 2/25/29

10,049

10,531

Series 1999-15 Class PC, 6% 9/25/18

4,079

4,153

Series 2003-26 Class KI, 5% 12/25/15 (e)

5,244

498

Series 2003-39 Class IA, 5.5% 10/25/22 (c)(e)

3,605

630

Fannie Mae guaranteed REMIC pass thru certificates:

planned amortization class:

Series 1999-51 Class LK, 6.5% 8/25/29

10,000

10,420

Series 2002-11 Class QB, 5.5% 3/25/15

1,657

1,669

Series 2003-73 Class GA, 3.5% 5/25/31

13,770

13,161

sequential pay:

Series 2001-82 Class VB, 6.5% 3/25/16

103

103

Series 2002-9 Class C, 6.5% 6/25/30

5,000

5,097

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

3,544

3,588

Series 2005-55 Class LY, 5.5% 7/25/25

6,595

6,636

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

424

430

Series 2003-42 Class HS, 3.7856% 12/25/17 (c)(e)

14,496

980

Series 2005-15 Class AZ, 5% 3/25/35

3,451

3,441

Series 2005-21 Class ZA, 5% 3/25/35

991

989

Series 2005-28 Class AZ, 5% 4/25/35

2,391

2,386

Series 2005-44 Class Z, 5% 8/25/34

1,350

1,325

Series 2005-50 Class DZ, 5% 6/25/35

3,257

3,244

Freddie Mac:

planned amortization class:

Series 2512 Class PG, 5.5% 10/15/22

5,100

5,149

Series 70 Class C, 9% 9/15/20

257

257

sequential pay:

Series 2114 Class ZM, 6% 1/15/29

1,310

1,344

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

681

685

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28

$ 2,277

$ 2,372

Freddie Mac Multi-class participation certificates Series 3007 Class ZN 4.5% 7/15/25

3,285

3,244

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 2763 Class PD, 4.5% 12/15/17

4,360

4,278

Series 2780 Class OC, 4.5% 3/15/17

2,175

2,154

Series 2802 Class OB, 6% 5/15/34

3,375

3,539

Series 2810 Class PD, 6% 6/15/33

2,540

2,617

Series 2885 Class PC, 4.5% 3/15/18

2,845

2,812

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

2,329

2,139

Series 1658 Class GZ, 7% 1/15/24

4,388

4,571

Series 2406:

Class FP, 4.3681% 1/15/32 (c)

3,455

3,533

Class PF, 4.3681% 12/15/31 (c)

2,735

2,807

Series 2410 Class PF, 4.3681% 2/15/32 (c)

6,270

6,413

Series 2907 Class HZ, 5% 12/15/34

2,706

2,683

Series 2937 Class ZG, 5% 2/15/35

4,989

4,957

Series 2950 Class ZQ, 5.5% 3/15/35

3,145

3,131

Series 2978 Class EZ, 5.5% 11/15/34

974

967

Ginnie Mae guaranteed REMIC pass thru securities planned amortization class Series 2001-53 Class TA, 6% 12/20/30

264

264

TOTAL U.S. GOVERNMENT AGENCY

132,270

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $150,441)

151,999

Commercial Mortgage Securities - 3.4%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.6362% 2/14/43 (c)(e)

39,812

1,965

Bear Stearns Commercial Mortgage Securities, Inc. Series 2004-ESA:

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

560

564

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

1,165

1,176

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

425

428

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

1,315

1,324

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

315

318

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

CDC Commercial Mortgage Trust Series 2002-FX1
Class XCL, 0.6669% 5/15/35 (a)(c)(e)

$ 32,093

$ 1,870

Chase Commercial Mortgage Securities Corp.
Series 1999-2:

Class E, 7.734% 1/15/32

1,110

1,213

Class F, 7.734% 1/15/32

600

650

COMM floater Series 2001-FL5A Class E, 4.8881% 11/15/13 (a)(c)

3,050

3,049

Commercial Mortgage pass thru certificates floater Series 2004-CNL:

Class D, 4.0281% 9/15/14 (a)(c)

185

185

Class E, 4.0881% 9/15/14 (a)(c)

250

250

Class F, 4.1881% 9/15/14 (a)(c)

200

200

Class G, 4.3681% 9/15/14 (a)(c)

455

455

Class H, 4.4681% 9/15/14 (a)(c)

485

485

Class J, 4.9881% 9/15/14 (a)(c)

165

166

Class K, 5.3881% 9/15/14 (a)(c)

260

261

Class L, 5.5881% 9/15/14 (a)(c)

210

210

CS First Boston Mortgage Securities Corp.:

sequential pay:

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

173

174

Series 1999-C1 Class A2, 7.29% 9/15/41

6,100

6,611

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

5,175

5,538

Series 1998-C1 Class D, 7.17% 5/17/40

3,360

3,710

Series 2003-TFLA Class G, 3.7357% 4/15/13 (a)(c)

149

149

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

1,390

1,477

Fannie Mae sequential pay:

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

4,511

4,870

Series 2000-7 Class MB, 7.5259% 2/17/24 (c)

5,413

5,675

Fannie Mae guaranteed REMIC pass thru certificates Series 1998-49 Class MI, 0.8693% 6/17/38 (c)(e)

92,155

3,967

Greenwich Capital Commercial Funding Corp. Series 2002-C1 Class SWDB, 5.857% 11/11/19 (a)

2,600

2,580

GS Mortgage Securities Corp. II Series 1998-GLII
Class E, 7.1906% 4/13/31 (c)

390

412

Host Marriot Pool Trust sequential pay Series 1999-HMTA Class B, 7.3% 8/3/15 (a)

785

856

LB-UBS Commercial Mortgage Trust sequential pay Series 2000-C3 Class A2, 7.95% 1/15/10

2,790

3,135

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

10,815

9,077

Commercial Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Morgan Stanley Capital I, Inc. Series 1997-RR Class C, 7.4092% 4/30/39 (a)(c)

$ 2,760

$ 2,832

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

7,895

8,196

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $76,628)

74,028

Fixed-Income Funds - 20.3%

Shares

Fidelity Ultra-Short Central Fund (d)
(Cost $446,441)

4,499,023

447,563

Cash Equivalents - 14.8%

Maturity Amount (000s)

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.32%, dated 7/29/05 due 8/1/05) (f)
(Cost $327,411)

$ 327,501

327,411

TOTAL INVESTMENT PORTFOLIO - 123.9%

(Cost $2,738,256)

2,733,343

NET OTHER ASSETS - (23.9)%

(528,112)

NET ASSETS - 100%

$ 2,205,231

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 $36,892,000 or 1.7% of net assets.

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

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

(d) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete listing of the fixed-income fund's holdings is provided at the end of this report.

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

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

Repurchase Agreement/
Counterparty

Value
(000s)

$327,411,000 due 8/1/05 at 3.32%

Banc of America Securities LLC.

$65,588

Bank of America, National Association

34,072

Barclays Capital Inc.

136,288

Countrywide Securities Corporation

34,072

Morgan Stanley & Co. Incorporated.

48,873

UBS Securities LLC

8,518

$ 327,411

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $2,745,664,000. Net unrealized depreciation aggregated $12,321,000, of which $7,556,000 related to appreciated investment securities and $19,877,000 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

The following is a complete listing of investments for Fidelity's
fixed-income central fund as of July 31, 2005 which
is a direct or indirect investment of Fidelity Mortgage Securities.
These underlying holdings of the Fidelity fixed-income central fund
are not included in the Schedule of Investments.

Quarterly Report

Fidelity Ultra-Short Central Fund

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 3.8%

Principal Amount

Value

CONSUMER DISCRETIONARY - 1.0%

Auto Components - 0.3%

DaimlerChrysler NA Holding Corp.:

3.8594% 9/10/07 (f)

$ 16,665,000

$ 16,698,830

3.8938% 5/24/06 (f)

4,700,000

4,713,691

21,412,521

Media - 0.7%

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

8,000,000

8,248,640

Cox Communications, Inc. (Reg. S) 3.95% 12/14/07 (f)

12,140,000

12,202,691

Liberty Media Corp. 4.91% 9/17/06 (f)

16,694,000

16,786,986

Univision Communications, Inc. 2.875% 10/15/06

8,505,000

8,315,339

45,553,656

TOTAL CONSUMER DISCRETIONARY

66,966,177

ENERGY - 0.2%

Oil, Gas & Consumable Fuels - 0.2%

Valero Energy Corp. 7.375% 3/15/06

11,550,000

11,735,435

FINANCIALS - 1.0%

Capital Markets - 0.1%

State Street Capital Trust II 3.7681% 2/15/08 (f)

10,000,000

10,002,260

Commercial Banks - 0.3%

Wells Fargo & Co. 3.4194% 3/10/08 (f)

16,600,000

16,599,452

Consumer Finance - 0.2%

General Motors Acceptance Corp. 4.87% 10/20/05 (f)

14,765,000

14,786,188

Thrifts & Mortgage Finance - 0.4%

Countrywide Financial Corp. 3.71% 4/11/07 (f)

11,025,000

11,032,034

Residential Capital Corp. 4.835% 6/29/07 (c)(f)

14,150,000

14,164,716

25,196,750

TOTAL FINANCIALS

66,584,650

TELECOMMUNICATION SERVICES - 1.3%

Diversified Telecommunication Services - 1.2%

British Telecommunications PLC 7.875% 12/15/05

18,145,000

18,397,070

France Telecom SA 7.45% 3/1/06 (a)

5,600,000

5,699,484

GTE Corp. 6.36% 4/15/06

9,000,000

9,126,405

SBC Communications, Inc. 4.389% 6/5/06 (c)

15,315,000

15,319,595

Sprint Capital Corp. 4.78% 8/17/06

6,000,000

6,020,550

Telefonica Europe BV 7.35% 9/15/05

4,500,000

4,517,537

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telefonos de Mexico SA de CV 4.5% 11/19/08

$ 10,240,000

$ 10,092,268

TELUS Corp. yankee 7.5% 6/1/07

6,500,000

6,835,569

76,008,478

Wireless Telecommunication Services - 0.1%

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

5,500,000

5,596,976

TOTAL TELECOMMUNICATION SERVICES

81,605,454

UTILITIES - 0.3%

Electric Utilities - 0.2%

Pinnacle West Energy Corp. 4.0044% 4/1/07 (c)(f)

12,800,000

12,800,794

Gas Utilities - 0.1%

NiSource Finance Corp. 7.625% 11/15/05

9,250,000

9,342,213

TOTAL UTILITIES

22,143,007

TOTAL NONCONVERTIBLE BONDS

(Cost $249,397,779)

249,034,723

U.S. Government Agency Obligations - 0.0%

Fannie Mae 0% 9/28/05 (e)
(Cost $994,579)

1,000,000

994,635

Asset-Backed Securities - 35.2%

Accredited Mortgage Loan Trust:

Series 2004-2 Class A2, 3.76% 7/25/34 (f)

7,964,683

7,978,722

Series 2004-3 Class 2A4, 3.81% 10/25/34 (f)

10,915,000

10,946,584

Series 2004-4 Class A2D, 3.81% 1/25/35 (f)

3,579,364

3,588,366

Series 2005-1:

Class M1, 3.93% 4/25/35 (f)

11,280,000

11,251,882

Class M2, 4.15% 4/25/35 (f)

5,275,000

5,276,901

ACE Securities Corp.:

Series 2002-HE1 Class M1, 4.11% 6/25/32 (f)

1,308,761

1,318,432

Series 2002-HE2 Class M1, 4.31% 8/25/32 (f)

18,631,213

18,704,611

Series 2003-FM1 Class M2, 5.31% 11/25/32 (f)

3,015,000

3,050,466

Series 2003-HS1:

Class M1, 4.21% 6/25/33 (f)

800,000

803,485

Class M2, 5.21% 6/25/33 (f)

856,000

871,093

Asset-Backed Securities - continued

Principal Amount

Value

ACE Securities Corp.: - continued

Series 2003-NC1 Class M1, 4.24% 7/25/33 (f)

$ 1,600,000

$ 1,611,660

Series 2004-HE1:

Class M1, 3.96% 2/25/34 (f)

2,193,000

2,193,772

Class M2, 4.56% 2/25/34 (f)

2,475,000

2,476,241

Series 2004-OP1:

Class M1, 3.98% 4/25/34 (f)

4,420,000

4,424,344

Class M2, 4.51% 4/25/34 (f)

6,240,000

6,251,080

Series 2005-HE2:

Class M1, 3.9% 4/25/35 (f)

1,530,000

1,527,965

Class M2, 3.91% 4/25/35 (f)

1,803,000

1,796,836

Class M3, 3.94% 4/25/35 (f)

1,040,000

1,038,647

Class M4, 4.1% 4/25/35 (f)

1,340,000

1,338,268

Series 2005-HE3:

Class A2A, 3.56% 5/25/35 (f)

8,063,511

8,063,822

Class A2B, 3.67% 5/25/35 (f)

4,370,000

4,366,352

Series 2005-SD1 Class A1, 3.86% 11/25/50 (f)

2,563,309

2,566,464

Aesop Funding II LLC Series 2005-1A Class A2, 3.49% 4/20/09 (c)(f)

8,800,000

8,765,680

American Express Credit Account Master Trust:

Series 2002-6 Class B, 3.8381% 3/15/10 (f)

5,000,000

5,030,751

Series 2004-1 Class B, 3.6381% 9/15/11 (f)

5,775,000

5,797,723

Series 2004-C Class C, 3.8881% 2/15/12 (c)(f)

17,323,520

17,374,643

Series 2005-1 Class A, 3.4181% 10/15/12 (f)

15,455,000

15,481,600

AmeriCredit Automobile Receivables Trust:

Series 2002-EM Class A4A, 3.67% 6/8/09

25,000,000

24,899,223

Series 2003-AM:

Class A3B, 3.71% 6/6/07 (f)

685,806

685,879

Class A4B, 3.81% 11/6/09 (f)

12,400,000

12,441,657

Series 2003-BX Class A4B, 3.72% 1/6/10 (f)

3,265,000

3,275,694

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

12,249,371

12,210,791

Series 2005-1 Class C, 4.73% 7/6/10

15,500,000

15,451,950

Ameriquest Mortgage Securities, Inc.:

Series 2002-3 Class M1, 4.16% 8/25/32 (f)

5,000,000

5,028,248

Series 2003-1:

Class A2, 3.87% 2/25/33 (f)

465,695

465,917

Class M1, 4.36% 2/25/33 (f)

6,150,000

6,197,846

Series 2003-3:

Class M1, 4.26% 3/25/33 (f)

1,590,000

1,603,481

Class S, 5% 9/25/05 (g)

4,457,447

17,215

Series 2003-6:

Class M1, 4.22% 8/25/33 (f)

7,560,000

7,611,224

Asset-Backed Securities - continued

Principal Amount

Value

Ameriquest Mortgage Securities, Inc.: - continued

Series 2003-6:

Class M2, 5.31% 5/25/33 (f)

$ 2,750,000

$ 2,808,476

Series 2003-AR1 Class M1, 4.61% 1/25/33 (f)

7,000,000

7,072,631

Series 2004-R2:

Class M1, 3.89% 4/25/34 (f)

1,230,000

1,229,949

Class M2, 3.94% 4/25/34 (f)

950,000

949,960

Class M3, 4.01% 4/25/34 (f)

3,500,000

3,499,854

Class M4, 4.51% 4/25/34 (f)

4,500,000

4,499,807

Series 2004-R9 Class A3, 3.78% 10/25/34 (f)

9,340,000

9,359,871

Series 2005-R1:

Class M1, 3.91% 3/25/35 (f)

5,710,000

5,691,308

Class M2, 3.94% 3/25/35 (f)

1,925,000

1,918,868

Series 2005-R2 Class M1, 3.91% 4/25/35 (f)

12,500,000

12,482,516

Amortizing Residential Collateral Trust:

Series 2002-BC3 Class A, 3.79% 6/25/32 (f)

2,411,175

2,418,495

Series 2002-BC6 Class M1, 4.21% 8/25/32 (f)

24,900,000

25,116,817

Series 2002-BC7:

Class M1, 4.1144% 10/25/32 (f)

10,000,000

10,075,000

Class M2, 4.36% 10/25/32 (f)

5,575,000

5,612,067

Series 2003-BC1 Class M2, 4.56% 1/25/32 (f)

758,836

762,333

ARG Funding Corp.:

Series 2005-1A Class A2, 3.53% 4/20/09 (c)(f)

11,000,000

10,975,938

Series 2005-2A Class A2, 3.54% 5/20/09 (c)(f)

5,200,000

5,190,453

Argent Securities, Inc.:

Series 2003-W3 Class M2, 5.26% 9/25/33 (f)

20,000,000

20,599,990

Series 2003-W7 Class A2, 3.85% 3/1/34 (f)

4,505,856

4,515,756

Series 2004-W5 Class M1, 4.06% 4/25/34 (f)

3,960,000

3,964,768

Series 2004-W7:

Class M1, 4.01% 5/25/34 (f)

4,085,000

4,084,827

Class M2, 4.06% 5/25/34 (f)

3,320,000

3,319,860

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE2:

Class A2, 3.7681% 4/15/33 (f)

1,158,706

1,159,186

Class M1, 4.2881% 4/15/33 (f)

11,365,000

11,429,103

Series 2003-HE3:

Class M1, 4.2181% 6/15/33 (f)

2,185,000

2,198,827

Class M2, 5.3881% 6/15/33 (f)

10,000,000

10,182,465

Series 2003-HE4 Class M2, 5.3881% 8/15/33 (f)

5,695,000

5,798,650

Series 2003-HE5 Class A2A, 3.7481% 8/15/33 (f)

1,380,797

1,381,390

Series 2003-HE6 Class M1, 4.11% 11/25/33 (f)

3,475,000

3,490,373

Series 2004-HE2 Class M1, 4.01% 4/25/34 (f)

6,060,000

6,070,769

Series 2004-HE3:

Class M1, 4% 6/25/34 (f)

1,450,000

1,454,353

Asset-Backed Securities - continued

Principal Amount

Value

Asset Backed Securities Corp. Home Equity Loan Trust: - continued

Series 2004-HE3:

Class M2, 4.58% 6/25/34 (f)

$ 3,350,000

$ 3,386,297

Series 2004-HE6 Class A2, 3.82% 6/25/34 (f)

17,398,791

17,435,568

Series 2005-HE2:

Class M1, 3.91% 3/25/35 (f)

8,250,000

8,235,989

Class M2, 3.96% 3/25/35 (f)

2,065,000

2,065,671

Series 2005-HE6 Class A2B, 3.76% 8/25/35 (d)(f)

10,000,000

10,000,000

Bank One Issuance Trust:

Series 2002-B1 Class B1, 3.7681% 12/15/09 (f)

20,655,000

20,741,067

Series 2002-B2 Class B2, 3.7281% 5/15/08 (f)

15,000,000

15,001,929

Series 2002-B3 Class B, 3.7481% 8/15/08 (f)

14,500,000

14,505,871

Series 2002-C1 Class C1, 4.3481% 12/15/09 (f)

7,980,000

8,065,464

Series 2002-C2 Class C2, 4.3781% 5/15/08 (f)

35,785,000

35,817,626

Bayview Financial Acquisition Trust Series 2004-C Class A1, 3.9013% 5/28/44 (f)

8,416,440

8,415,509

Bayview Financial Asset Trust Series 2000-F Class A, 3.9813% 9/28/43 (f)

9,618,786

9,632,318

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.9313% 2/28/44 (f)

5,760,012

5,771,599

Bear Stearns Asset Backed Securities I:

Series 2005-HE2:

Class M1, 3.96% 2/25/35 (f)

6,655,000

6,639,262

Class M2, 4.21% 2/25/35 (f)

2,430,000

2,432,538

Series 2005-HE5 Class 1A1, 3.4244% 6/25/35 (f)

10,884,395

10,884,395

Capital Auto Receivables Asset Trust:

Series 2002-5 Class B, 2.8% 4/15/08

2,894,887

2,868,235

Series 2003-1 Class B, 3.8581% 6/15/10 (c)(f)

5,781,229

5,797,579

Series 2003-2 Class B, 3.6681% 1/15/09 (f)

2,741,542

2,746,505

Series 2005-1 Class B, 3.7631% 6/15/10 (f)

5,725,000

5,730,367

Capital One Auto Finance Trust:

Series 2003-A Class A4B, 3.6681% 1/15/10 (f)

9,630,000

9,654,568

Series 2004-B Class A4, 3.4981% 8/15/11 (f)

16,300,000

16,303,123

Capital One Master Trust:

Series 1999-3 Class B, 3.8681% 9/15/09 (f)

5,000,000

5,004,082

Series 2001-1 Class B, 3.8981% 12/15/10 (f)

19,500,000

19,638,608

Series 2001-8A Class B, 3.9381% 8/17/09 (f)

9,585,000

9,634,206

Series 2002-4A Class B, 3.8881% 3/15/10 (f)

6,000,000

6,028,221

Capital One Multi-Asset Execution Trust:

Series 2002-B1 Class B1, 4.0681% 7/15/08 (f)

17,705,000

17,711,976

Series 2003-B1 Class B1, 4.5581% 2/17/09 (f)

15,470,000

15,566,773

Capital Trust Ltd. Series 2004-1:

Class A2, 3.88% 7/20/39 (c)(f)

2,968,000

2,968,000

Asset-Backed Securities - continued

Principal Amount

Value

Capital Trust Ltd. Series 2004-1: - continued

Class B, 4.18% 7/20/39 (c)(f)

$ 1,550,000

$ 1,550,000

Class C, 4.53% 7/20/39 (c)(f)

1,994,000

1,994,000

CDC Mortgage Capital Trust:

Series 2001-HE1 Class M1, 4.49% 1/25/32 (f)

4,244,221

4,254,278

Series 2002-HE2 Class M1, 4.16% 1/25/33 (f)

9,278,431

9,309,123

Series 2002-HE3:

Class M1, 4.56% 3/25/33 (f)

21,339,884

21,627,815

Class M2, 5.71% 3/25/33 (f)

9,968,976

10,143,974

Series 2003-HE1:

Class M1, 4.36% 8/25/33 (f)

1,989,998

1,997,574

Class M2, 5.41% 8/25/33 (f)

4,369,996

4,422,084

Series 2003-HE2 Class A, 3.81% 10/25/33 (f)

1,634,377

1,635,405

Series 2003-HE3:

Class M1, 4.16% 11/25/33 (f)

2,254,989

2,271,960

Class M2, 5.21% 11/25/33 (f)

1,719,992

1,753,552

Series 2004-HE2 Class M2, 4.66% 7/26/34 (f)

2,345,000

2,365,939

Chase Credit Card Owner Trust:

Series 2001-6 Class B, 3.8681% 3/16/09 (f)

1,305,000

1,311,169

Series 2002-6 Class B, 3.7381% 1/15/08 (f)

11,850,000

11,852,472

Series 2004-1 Class B, 3.5881% 5/15/09 (f)

4,105,000

4,104,204

Citibank Credit Card Issuance Trust:

Series 2000-C2 Class C2, 4.2488% 10/15/07 (f)

17,500,000

17,511,349

Series 2001-B2 Class B2, 3.8494% 12/10/08 (f)

11,945,000

11,995,341

Series 2002-B1 Class B1, 3.8% 6/25/09 (f)

9,010,000

9,038,878

Series 2002-C1 Class C1, 4.2185% 2/9/09 (f)

17,500,000

17,686,918

Series 2003-B1 Class B1, 3.66% 3/7/08 (f)

25,000,000

25,022,693

Series 2003-C1 Class C1, 4.65% 4/7/10 (f)

17,785,000

18,152,159

Citigroup Mortgage Loan Trust Series 2003-HE4 Class A, 3.87% 12/25/33 (c)(f)

7,985,107

7,985,935

CNH Wholesale Master Note Trust Series 2005-1:

Class A, 3.43% 6/15/11 (f)

18,000,000

18,000,000

Class B, 3.72% 6/15/11 (f)

2,280,000

2,280,000

Countrywide Home Loans, Inc.:

Series 2002-6 Class AV1, 3.89% 5/25/33 (f)

1,499,863

1,503,470

Series 2003-BC1 Class M2, 5.46% 9/25/32 (f)

11,065,000

11,199,451

Series 2003-SD3 Class A1, 3.88% 12/25/32 (c)(f)

927,188

931,926

Series 2004-2 Class M1, 3.96% 5/25/34 (f)

5,200,000

5,206,719

Series 2004-3:

Class 3A4, 3.71% 8/25/34 (f)

530,752

528,596

Class M1, 3.96% 6/25/34 (f)

1,475,000

1,476,356

Series 2004-4:

Class A, 3.83% 8/25/34 (f)

2,524,088

2,526,278

Asset-Backed Securities - continued

Principal Amount

Value

Countrywide Home Loans, Inc.: - continued

Series 2004-4:

Class M1, 3.94% 7/25/34 (f)

$ 3,650,000

$ 3,653,189

Class M2, 3.99% 6/25/34 (f)

4,395,000

4,398,536

Series 2005-1:

Class 1AV2, 3.66% 7/25/35 (f)

8,780,000

8,775,114

Class M1, 3.88% 8/25/35 (f)

19,600,000

19,563,654

Class MV1, 3.86% 7/25/35 (f)

3,135,000

3,130,219

Class MV2, 3.9% 7/25/35 (f)

3,765,000

3,754,147

Class MV3, 3.94% 7/25/35 (f)

1,560,000

1,557,748

Series 2005-3 Class MV1, 3.88% 8/25/35 (f)

11,125,000

11,103,934

Series 2005-AB1 Class A2, 3.67% 8/25/35 (f)

17,520,000

17,514,797

Series 2005-IM1 Class A1, 3.56% 8/25/34 (d)(f)

17,915,000

17,915,000

CS First Boston Mortgage Securities Corp.:

Series 2003-8 Class A2, 3.85% 4/25/34 (f)

2,663,075

2,674,762

Series 2004-FRE1:

Class A2, 3.81% 4/25/34 (f)

2,689,397

2,689,291

Class M3, 4.11% 4/25/34 (f)

5,885,000

5,884,751

Discover Card Master Trust I Series 2003-4 Class B1, 3.7181% 5/16/11 (f)

8,155,000

8,196,815

Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5 Class AB3, 3.8305% 5/28/35 (f)

6,957,460

6,959,877

Fieldstone Mortgage Investment Corp.:

Series 2003-1:

Class M1, 4.14% 11/25/33 (f)

1,300,000

1,308,748

Class M2, 5.21% 11/25/33 (f)

700,000

718,600

Series 2004-1 Class M2, 4.56% 1/25/35 (f)

3,700,000

3,741,581

Series 2004-2 Class M2, 4.61% 7/25/34 (f)

9,890,000

9,889,579

Series 2004-3 Class M5, 4.91% 8/25/34 (f)

2,000,000

2,033,830

Series 2005-2 Class 2A1, 3.5% 7/25/36 (d)(f)

16,935,000

16,935,000

First Franklin Mortgage Loan Asset Backed Certificates:

Series 2005-FF2 Class A2A, 3.55% 3/25/35 (f)

7,354,604

7,354,604

Series 2005-FF2 Class M6, 4.16% 3/25/35 (f)

6,950,000

6,950,000

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 4.01% 3/25/34 (f)

400,000

400,711

Class M4, 4.36% 3/25/34 (f)

300,000

302,647

First USA Credit Card Master Trust Series 2001-4 Class B, 3.75% 1/12/09 (f)

15,000,000

15,026,199

First USA Secured Note Trust Series 2001-3 Class C, 4.4669% 11/19/08 (c)(f)

11,580,000

11,661,421

Ford Credit Auto Owner Trust Series 2003-B Class B2, 3.8181% 10/15/07 (f)

19,600,000

19,671,950

Asset-Backed Securities - continued

Principal Amount

Value

Ford Credit Floorplan Master Owner Trust Series 2005-1:

Class A, 3.5381% 5/17/10 (f)

$ 9,590,000

$ 9,589,981

Class B, 3.6563% 5/17/10 (f)

2,625,000

2,624,992

Fremont Home Loan Trust:

Series 2004-1:

Class 1A1, 3.68% 2/25/34 (f)

2,669,337

2,669,232

Class M1, 3.91% 2/25/34 (f)

750,000

749,968

Class M2, 3.96% 2/25/34 (f)

800,000

799,966

Series 2004-C Class 2A2, 4.01% 8/25/34 (f)

10,000,000

10,101,993

Series 2005-2 Class 2A1, 3.5913% 6/25/35 (f)

15,380,000

15,375,194

Series 2005-A:

Class 2A2, 3.7% 2/25/35 (f)

11,850,000

11,865,657

Class M1, 3.89% 1/25/35 (f)

1,603,000

1,599,854

Class M2, 3.92% 1/25/35 (f)

2,325,000

2,321,531

Class M3, 3.95% 1/25/35 (f)

1,250,000

1,249,947

Class M4, 4.14% 1/25/35 (f)

925,000

927,535

GE Business Loan Trust Series 2003-1 Class A, 3.8181% 4/15/31 (c)(f)

5,499,865

5,531,421

GE Capital Credit Card Master Note Trust Series 2005-2 Class B, 3.5736% 6/15/11 (f)

6,475,000

6,473,058

Gracechurch Card Funding PLC:

Series 5:

Class B, 3.6181% 8/15/08 (f)

1,520,000

1,521,351

Class C, 4.3181% 8/15/08 (f)

5,580,000

5,601,142

Series 6 Class B, 3.5781% 2/17/09 (f)

1,030,000

1,030,901

Series 8 Class C, 3.6721% 6/15/10 (f)

18,450,000

18,450,000

GSAMP Trust:

Series 2002-HE Class M1, 4.68% 11/20/32 (f)

2,882,888

2,928,737

Series 2002-NC1:

Class A2, 3.78% 7/25/32 (f)

54,777

55,099

Class M1, 4.1% 7/25/32 (f)

8,861,000

8,920,491

Series 2003-FM1 Class M1, 4.25% 3/20/33 (f)

15,000,000

15,136,310

Series 2004-FM1:

Class M1, 4.11% 11/25/33 (f)

2,865,000

2,864,879

Class M2, 4.86% 11/25/33 (f)

1,975,000

2,005,597

Series 2004-FM2:

Class M1, 3.96% 1/25/34 (f)

3,500,000

3,499,853

Class M2, 4.56% 1/25/34 (f)

1,500,000

1,499,936

Class M3, 4.76% 1/25/34 (f)

1,500,000

1,499,935

Series 2004-HE1:

Class M1, 4.01% 5/25/34 (f)

4,045,000

4,044,829

Class M2, 4.61% 5/25/34 (f)

1,750,000

1,766,258

Asset-Backed Securities - continued

Principal Amount

Value

GSAMP Trust: - continued

Series 2005-9 Class 2A1, 3.5287% 8/25/35 (f)

$ 17,530,000

$ 17,530,000

Series 2005-FF2 Class M5, 4.09% 3/25/35 (f)

3,500,000

3,500,000

Series 2005-HE2 Class M, 3.89% 3/25/35 (f)

8,780,000

8,749,867

Series 2005-NC1 Class M1, 3.91% 2/25/35 (f)

9,010,000

8,987,296

Guggenheim Structured Real Estate Funding Ltd. Series 2005-1 Class C, 4.3944% 5/25/30 (c)(f)

14,000,000

13,986,652

HFC Home Equity Loan Asset Backed Certificates Series 2005-2:

Class M1, 3.97% 1/20/34 (f)

3,225,000

3,225,000

Class M2, 4% 1/20/34 (f)

2,415,000

2,415,000

Home Equity Asset Trust:

Series 2002-2 Class M1, 4.26% 6/25/32 (f)

10,000,000

10,017,090

Series 2002-3 Class A5, 3.9% 2/25/33 (f)

854,528

855,194

Series 2002-4 Class A3, 3.94% 3/25/33 (f)

1,237,388

1,238,074

Series 2002-5:

Class A3, 3.98% 5/25/33 (f)

2,866,793

2,872,821

Class M1, 4.66% 5/25/33 (f)

13,800,000

13,966,276

Series 2003-1:

Class A2, 3.93% 6/25/33 (f)

4,229,596

4,233,111

Class M1, 4.46% 6/25/33 (f)

8,335,000

8,375,317

Series 2003-2:

Class A2, 3.84% 8/25/33 (f)

228,269

229,139

Class M1, 4.34% 8/25/33 (f)

2,245,000

2,269,298

Series 2003-3:

Class A2, 3.82% 8/25/33 (f)

1,624,262

1,630,339

Class M1, 4.32% 8/25/33 (f)

8,185,000

8,266,814

Series 2003-4:

Class M1, 4.26% 10/25/33 (f)

3,415,000

3,440,384

Class M2, 5.36% 10/25/33 (f)

4,040,000

4,093,038

Series 2003-5:

Class A2, 3.81% 12/25/33 (f)

5,822,876

5,843,440

Class M1, 4.16% 12/25/33 (f)

3,175,000

3,192,660

Class M2, 5.19% 12/25/33 (f)

1,345,000

1,377,487

Series 2003-7 Class A2, 3.84% 3/25/34 (f)

3,430,379

3,438,503

Series 2004-2 Class A2, 3.75% 7/25/34 (f)

6,172,348

6,172,139

Series 2004-3:

Class M1, 4.03% 8/25/34 (f)

2,015,000

2,019,636

Class M2, 4.66% 8/25/34 (f)

2,200,000

2,237,373

Series 2004-4 Class A2, 3.78% 10/25/34 (f)

8,318,527

8,347,783

Series 2004-6 Class A2, 3.81% 12/25/34 (f)

9,249,309

9,278,715

Series 2004-7 Class A3, 3.85% 1/25/35 (f)

2,916,946

2,929,856

Asset-Backed Securities - continued

Principal Amount

Value

Home Equity Asset Trust: - continued

Series 2005-1:

Class M1, 3.89% 5/25/35 (f)

$ 9,705,000

$ 9,697,565

Class M2, 3.91% 5/25/35 (f)

5,780,000

5,763,067

Class M3, 3.96% 5/25/35 (f)

5,825,000

5,808,344

Series 2005-2:

Class 2A2, 3.66% 7/25/35 (f)

13,170,000

13,163,182

Class M1, 3.91% 7/25/35 (f)

10,085,000

10,075,362

Series 2005-3 Class M1, 3.87% 8/25/35 (f)

9,450,000

9,434,700

Series 2005-5 Class 2A2, 3.65% 11/25/35 (d)(f)

15,000,000

14,968,605

Household Affinity Credit Card Master Note Trust I Series 2003-3 Class B, 3.6781% 8/15/08 (f)

10,000,000

10,018,071

Household Credit Card Master Trust I Series 2002-1 Class B, 4.0381% 7/15/08 (f)

22,589,000

22,608,682

Household Home Equity Loan Trust:

Series 2002-2 Class A, 3.73% 4/20/32 (f)

3,295,048

3,298,089

Series 2002-3 Class A, 3.88% 7/20/32 (f)

2,678,218

2,681,775

Series 2003-1 Class M, 4.06% 10/20/32 (f)

770,987

771,866

Series 2003-2:

Class A, 3.76% 9/20/33 (f)

2,892,082

2,897,777

Class M, 4.01% 9/20/33 (f)

1,360,000

1,362,941

Series 2004-1 Class M, 3.95% 9/20/33 (f)

2,708,464

2,713,597

Household Mortgage Loan Trust:

Series 2003-HC1 Class M, 4.08% 2/20/33 (f)

1,742,776

1,748,262

Series 2004-HC1:

Class A, 3.78% 2/20/34 (f)

5,083,992

5,096,702

Class M, 3.93% 2/20/34 (f)

3,073,800

3,073,443

Household Private Label Credit Card Master Note Trust I:

Series 2002-1 Class B, 3.9381% 1/18/11 (f)

8,850,000

8,867,619

Series 2002-2:

Class A, 3.5581% 1/18/11 (f)

9,000,000

9,012,218

Class B, 3.9381% 1/18/11 (f)

14,275,000

14,355,952

Series 2002-3 Class B, 4.6381% 9/15/09 (f)

4,150,000

4,159,262

Ikon Receivables Funding LLC Series 2003-1 Class A3A, 3.6213% 12/17/07 (f)

2,781,207

2,781,863

IXIS Real Estate Capital Trust Series 2005-HE1:

Class A1, 3.71% 6/25/35 (f)

11,646,350

11,645,706

Class M1, 3.93% 6/25/35 (f)

4,100,000

4,094,813

Class M2, 3.95% 6/25/35 (f)

2,775,000

2,766,003

Class M3, 3.98% 6/25/35 (f)

1,975,000

1,972,566

Keycorp Student Loan Trust Series 1999-A Class A2, 3.8% 12/27/09 (f)

16,169,548

16,224,493

Asset-Backed Securities - continued

Principal Amount

Value

Long Beach Mortgage Loan Trust:

Series 2003-2:

Class AV, 3.78% 6/25/33 (f)

$ 253,078

$ 253,185

Class M1, 4.28% 6/25/33 (f)

19,500,000

19,626,153

Series 2003-3 Class M1, 4.21% 7/25/33 (f)

7,770,000

7,824,625

Series 2004-2:

Class M1, 3.99% 6/25/34 (f)

4,275,000

4,285,404

Class M2, 4.54% 6/25/34 (f)

1,400,000

1,416,723

Series 2005-2 Class 2A2, 3.64% 4/25/35 (f)

12,000,000

11,996,998

MASTR Asset Backed Securities Trust:

Series 2003-NC1:

Class M1, 4.19% 4/25/33 (f)

3,500,000

3,519,270

Class M2, 5.31% 4/25/33 (f)

1,500,000

1,534,429

Series 2004-FRE1 Class M1, 4.01% 7/25/34 (f)

5,223,000

5,238,948

MBNA Asset Backed Note Trust Series 2000-K Class C, 4.1881% 3/17/08 (c)(f)

7,250,000

7,258,700

MBNA Credit Card Master Note Trust:

Series 2001-B1 Class B1, 3.7631% 10/15/08 (f)

30,000,000

30,042,072

Series 2001-B2 Class B2, 3.7481% 1/15/09 (f)

30,353,000

30,429,933

Series 2002-B2 Class B2, 3.7681% 10/15/09 (f)

20,000,000

20,086,600

Series 2002-B3 Class B3, 3.7881% 1/15/08 (f)

15,000,000

15,000,470

Series 2002-B4 Class B4, 3.8881% 3/15/10 (f)

14,800,000

14,916,873

Series 2003-B2 Class B2, 3.7781% 10/15/10 (f)

1,530,000

1,545,569

Series 2003-B3 Class B3, 3.7631% 1/18/11 (f)

1,130,000

1,135,362

Series 2003-B5 Class B5, 3.7581% 2/15/11 (f)

705,000

710,447

MBNA Master Credit Card Trust II:

Series 1998-E Class B, 3.9288% 9/15/10 (f)

7,800,000

7,846,570

Series 1998-G Class B, 3.7881% 2/17/09 (f)

20,000,000

20,043,574

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 3.96% 7/25/34 (f)

2,125,000

2,124,911

Class M2, 4.01% 7/25/34 (f)

375,000

374,985

Class M3, 4.41% 7/25/34 (f)

775,000

774,967

Class M4, 4.56% 7/25/34 (f)

525,000

524,978

Merrill Lynch Mortgage Investors, Inc. Series 2003-HE1 Class M1, 4.16% 7/25/34 (f)

2,321,000

2,330,928

Morgan Stanley ABS Capital I, Inc.:

Series 2002-NC6 Class M2, 5.56% 11/25/32 (f)

2,370,000

2,441,680

Series 2003-NC5 Class M2, 5.46% 4/25/33 (f)

2,800,000

2,834,138

Series 2003-NC6 Class M2, 5.41% 6/27/33 (f)

12,835,000

13,180,825

Series 2003-NC7 Class M1, 4.16% 6/25/33 (f)

1,785,000

1,791,357

Series 2003-NC8 Class M1, 4.16% 9/25/33 (f)

2,350,000

2,363,472

Series 2004-HE6 Class A2, 3.8% 8/25/34 (f)

7,193,690

7,217,222

Series 2004-NC2 Class M1, 4.01% 12/25/33 (f)

2,595,000

2,599,359

Asset-Backed Securities - continued

Principal Amount

Value

Morgan Stanley ABS Capital I, Inc.: - continued

Series 2004-NC6 Class A2, 3.8% 7/25/34 (f)

$ 3,163,358

$ 3,170,145

Series 2005-1:

Class M2, 3.93% 12/25/34 (f)

4,425,000

4,417,835

Class M3, 3.98% 12/25/34 (f)

4,000,000

3,998,266

Series 2005-HE1:

Class A3B, 3.68% 12/25/34 (f)

3,885,000

3,889,266

Class M1, 3.91% 12/25/34 (f)

1,100,000

1,102,253

Class M2, 3.93% 12/25/34 (f)

2,970,000

2,966,369

Series 2005-HE2:

Class M1, 3.86% 1/25/35 (f)

2,665,000

2,670,502

Class M2, 3.9% 1/25/35 (f)

1,900,000

1,893,810

Series 2005-NC1:

Class M1, 3.9% 1/25/35 (f)

2,425,000

2,432,731

Class M2, 3.93% 1/25/35 (f)

2,425,000

2,421,056

Class M3, 3.97% 1/25/35 (f)

2,425,000

2,425,850

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-AM1:

Class M1, 4.31% 2/25/32 (f)

1,510,288

1,513,954

Class M2, 4.86% 2/25/32 (f)

7,146,795

7,171,201

Series 2001-NC4:

Class M1, 4.46% 1/25/32 (f)

3,827,881

3,841,816

Series 2002-AM3 Class A3, 3.95% 2/25/33 (f)

1,426,624

1,430,581

Series 2002-HE1 Class M1, 4.06% 7/25/32 (f)

5,860,000

5,893,149

Series 2002-HE2 Class M1, 4.16% 8/25/32 (f)

9,925,000

9,970,606

Series 2002-NC3 Class A3, 3.8% 8/25/32 (f)

396,299

397,573

Series 2002-OP1 Class M1, 4.21% 9/25/32 (f)

3,894,745

3,917,849

Series 2003-NC1:

Class M1, 4.51% 11/25/32 (f)

2,555,000

2,572,380

Class M2, 5.51% 11/25/32 (f)

1,880,000

1,899,041

New Century Home Equity Loan Trust:

Series 2003-2:

Class A2, 3.89% 1/25/33 (f)

341,254

341,436

Class M2, 5.46% 1/25/33 (f)

4,600,000

4,667,174

Series 2003-6 Class M1, 4.18% 1/25/34 (f)

5,180,000

5,202,952

Series 2005-1:

Class M1, 3.91% 3/25/35 (f)

4,395,000

4,392,950

Class M2, 3.94% 3/25/35 (f)

4,395,000

4,384,834

Class M3, 3.98% 3/25/35 (f)

2,120,000

2,120,796

Nissan Auto Lease Trust:

Series 2003-A Class A3A, 3.5281% 6/15/09 (f)

13,621,752

13,633,434

Series 2004-A Class A4A, 3.4581% 6/15/10 (f)

10,570,000

10,582,978

Asset-Backed Securities - continued

Principal Amount

Value

NovaStar Home Equity Loan Series 2004-1:

Class M1, 3.91% 6/25/34 (f)

$ 1,450,000

$ 1,451,222

Class M4, 4.435% 6/25/34 (f)

2,435,000

2,439,150

Ocala Funding LLC Series 2005-1A Class A, 4.93% 3/20/10 (c)(f)

3,675,000

3,675,000

Ownit Mortgage Loan Asste-Backed Certificates Series 2005-3 Class A2A, 3.5% 6/25/36 (f)

15,500,000

15,500,000

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M1, 4.09% 9/25/34 (f)

3,745,000

3,756,721

Class M2, 4.14% 9/25/34 (f)

1,755,000

1,764,326

Class M3, 4.71% 9/25/34 (f)

3,355,000

3,396,745

Class M4, 4.91% 9/25/34 (f)

4,700,000

4,767,614

Series 2004-WCW2 Class A2, 3.84% 10/25/34 (f)

7,952,623

7,976,111

Series 2005-WCH1:

Class A3B, 3.68% 1/25/35 (f)

2,775,000

2,779,908

Class M2, 3.98% 1/25/35 (f)

4,175,000

4,166,539

Class M3, 4.02% 1/25/35 (f)

3,290,000

3,292,599

Class M5, 4.34% 1/25/35 (f)

3,095,000

3,104,620

Series 2005-WHQ2 Class M7, 4.71% 5/25/35 (f)

5,950,000

5,930,787

People's Choice Home Loan Securities Trust Series 2005-2:

Class A1, 3.57% 9/25/24 (f)

7,475,790

7,475,790

Class M4, 4.09% 5/25/35 (f)

6,000,000

6,000,000

Providian Gateway Master Trust Series 2002-B Class A, 4.0881% 6/15/09 (c)(f)

15,000,000

15,039,393

Residental Asset Securities Corp.:

Series 2005-KS4 Class M2, 4.04% 4/25/35 (f)

1,040,000

1,037,610

Series 2005-KS7 Class A1, 3.4781% 8/25/35 (f)

10,515,000

10,512,897

Residential Asset Mortgage Products, Inc. Series 2004-RS10 Class MII2, 4.71% 10/25/34 (f)

5,500,000

5,566,857

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 3.86% 4/25/33 (f)

818,316

822,076

Saxon Asset Securities Trust:

Series 2004-1 Class M1, 3.99% 3/25/35 (f)

4,415,000

4,413,887

Series 2004-2 Class MV1, 4.04% 8/25/35 (f)

4,495,000

4,501,043

Sears Credit Account Master Trust II:

Series 2001-1 Class B, 3.8131% 2/15/10 (f)

10,000,000

9,987,143

Series 2002-4:

Class A, 3.5181% 8/18/09 (f)

27,000,000

26,999,603

Class B, 3.8131% 8/18/09 (f)

33,300,000

33,301,149

Series 2002-5 Class B, 4.6381% 11/17/09 (f)

30,000,000

30,062,976

Asset-Backed Securities - continued

Principal Amount

Value

Securitized Asset Backed Receivables LLC Trust Series 2004-NC1 Class M1, 3.98% 2/25/34 (f)

$ 2,910,000

$ 2,909,256

Specialty Underwriting & Residential Finance Series 2003-BC4 Class M1, 4.06% 11/25/34 (f)

1,810,000

1,818,452

Structured Asset Securities Corp. Series 2004-GEL1 Class A, 3.82% 2/25/34 (f)

1,043,424

1,043,422

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 3.8381% 3/15/11 (c)(f)

10,835,000

10,828,228

Superior Wholesale Inventory Financing Trust XII Series 2005-A12 Class C, 4.46% 6/15/10 (f)

6,840,000

6,839,945

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 3.89% 9/25/34 (f)

2,878,990

2,894,593

Series 2003-6HE Class A1, 3.93% 11/25/33 (f)

1,784,384

1,788,543

Series 2005-14HE Class AF1, 3.9753% 7/25/36 (d)(f)

8,635,000

8,633,296

TOTAL ASSET-BACKED SECURITIES

(Cost $2,293,954,229)

2,300,747,332

Collateralized Mortgage Obligations - 16.9%

Private Sponsor - 13.7%

Adjustable Rate Mortgage Trust floater:

Series 2004-2 Class 7A3, 3.86% 2/25/35 (f)

9,374,471

9,396,037

Series 2004-4 Class 5A2, 3.86% 3/25/35 (f)

3,780,419

3,787,953

Series 2005-1 Class 5A2, 3.79% 5/25/35 (f)

6,187,250

6,191,166

Series 2005-2:

Class 6A2, 3.74% 6/25/35 (f)

2,930,592

2,932,491

Class 6M2, 3.94% 6/25/35 (f)

10,145,000

10,145,010

Series 2005-3 Class 8A2, 3.7% 7/25/35 (f)

19,199,197

19,211,695

Series 2005-4 Class 7A2, 3.69% 8/25/35 (f)

9,011,457

9,003,527

Series 2005-8 Class 7A2, 3.77% 11/25/35 (f)

7,660,000

7,660,000

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 3.74% 1/25/35 (f)

20,354,186

20,354,186

Series 2005-2 Class 1A1, 3.71% 3/25/35 (f)

14,961,065

14,961,065

Series 2005-5 Class 1A1, 3.68% 7/25/35 (f)

18,707,862

18,696,170

Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 3.86% 5/25/33 (f)

5,545,033

5,548,017

Countrywide Home Loans, Inc. floater:

Series 2004-16 Class A1, 3.86% 9/25/34 (f)

10,335,456

10,325,843

Series 2005-1 Class 2A1, 3.75% 3/25/35 (f)

14,617,171

14,617,171

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR2 Class 6A1, 3.86% 3/25/34 (f)

5,338,263

5,334,945

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

CS First Boston Mortgage Securities Corp. floater: - continued

Series 2004-AR3 Class 6A2, 3.83% 4/25/34 (f)

$ 2,226,193

$ 2,228,162

Series 2004-AR4 Class 5A2, 3.83% 5/25/34 (f)

2,066,310

2,065,052

Series 2004-AR5 Class 11A2, 3.83% 6/25/34 (f)

2,987,552

2,981,472

Series 2004-AR6 Class 9A2, 3.83% 10/25/34 (f)

3,981,028

3,983,412

Series 2004-AR7 Class 6A2, 3.84% 8/25/34 (f)

5,801,660

5,806,785

Series 2004-AR8 Class 8A2, 3.84% 9/25/34 (f)

4,630,225

4,638,807

First Horizon Mortgage Passthru Trust floater Series 2004-FL1 Class 2A1, 3.95% 12/25/34 (f)

4,384,853

4,379,779

Granite Master Issuer PLC floater:

Series 2005-1:

Class A3, 3.51% 12/21/24 (f)

5,300,000

5,299,006

Class B1, 3.56% 12/20/54 (f)

7,050,000

7,047,577

Class M1, 3.66% 12/20/54 (f)

5,300,000

5,298,178

Series 2005-2 Class C1, 3.7857% 12/20/54 (f)

7,975,000

7,972,508

Granite Mortgages PLC floater:

Series 2004-1:

Class 1B, 3.64% 3/20/44 (f)

1,415,000

1,414,844

Class 1C, 4.33% 3/20/44 (f)

4,075,000

4,091,219

Class 1M, 3.84% 3/20/44 (f)

4,935,000

4,938,751

Series 2004-2:

Class 1A2, 3.5% 6/20/28 (f)

5,384,259

5,384,932

Class 1B, 3.6% 6/20/44 (f)

1,018,055

1,018,309

Class 1C, 4.13% 6/20/44 (f)

3,706,295

3,713,918

Class 1M, 3.71% 6/20/44 (f)

2,722,846

2,724,205

Series 2004-3:

Class 1B, 3.59% 9/20/44 (f)

2,100,000

2,100,210

Class 1C, 4.02% 9/20/44 (f)

5,415,000

5,426,913

Class 1M, 3.7% 9/20/44 (f)

1,200,000

1,200,360

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 3.6369% 5/19/35 (f)

11,690,145

11,648,134

Holmes Financing No. 7 PLC floater Series 2 Class M, 4.3988% 7/15/40 (f)

2,560,000

2,564,912

Holmes Financing No. 8 PLC floater Series 2:

Class A, 3.6788% 4/15/11 (f)

25,000,000

25,000,000

Class B, 3.7688% 7/15/40 (f)

2,695,000

2,696,684

Class C, 4.3188% 7/15/40 (f)

10,280,000

10,328,193

Home Equity Asset Trust floater Series 2005-3 Class 2A1, 3.55% 8/25/35 (f)

7,268,025

7,266,230

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 3.91% 10/25/34 (f)

4,495,430

4,509,337

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Impac CMB Trust floater:

Series 2004-11 Class 2A2, 3.83% 3/25/35 (f)

$ 8,638,669

$ 8,636,982

Series 2004-6 Class 1A2, 3.85% 10/25/34 (f)

3,481,529

3,487,748

Series 2005-1:

Class M1, 3.92% 4/25/35 (f)

3,223,929

3,220,529

Class M2, 3.96% 4/25/35 (f)

5,644,146

5,639,516

Class M3, 3.99% 4/25/35 (f)

1,384,927

1,383,466

Class M4, 4.21% 4/25/35 (f)

817,334

818,164

Class M5, 4.23% 4/25/35 (f)

817,334

817,174

Class M6, 4.28% 4/25/35 (f)

1,307,734

1,307,479

Series 2005-2 Class 1A2, 3.77% 4/25/35 (f)

13,211,515

13,201,194

Series 2005-3 Class A1, 3.7% 8/25/35 (f)

15,176,045

15,149,962

Series 2005-4 Class 1B1, 4.76% 6/25/35 (f)

5,306,886

5,282,839

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 3.67% 9/26/45 (c)(f)

16,153,164

16,153,164

MASTR Adjustable Rate Mortgages Trust:

floater Series 2005-1 Class 1A1, 3.73% 3/25/35 (f)

13,405,372

13,396,993

Series 2004-6 Class 4A2, 4.1729% 7/25/34 (f)

5,969,000

5,946,582

Merrill Lynch Mortgage Investors, Inc. floater:

Series 2003-A Class 2A1, 3.85% 3/25/28 (f)

8,079,308

8,122,924

Series 2003-B Class A1, 3.8% 4/25/28 (f)

7,852,610

7,898,403

Series 2003-D Class A, 3.77% 8/25/28 (f)

7,479,616

7,494,804

Series 2003-E Class A2, 3.4425% 10/25/28 (f)

10,687,128

10,687,143

Series 2003-F Class A2, 3.7075% 10/25/28 (f)

12,892,959

12,891,486

Series 2004-A Class A2, 3.6175% 4/25/29 (f)

11,584,437

11,556,917

Series 2004-B Class A2, 3.79% 6/25/29 (f)

8,952,030

8,930,464

Series 2004-C Class A2, 3.95% 7/25/29 (f)

12,856,157

12,825,407

Series 2004-D Class A2, 3.4725% 9/25/29 (f)

9,971,432

9,974,033

Series 2004-E:

Class A2B, 3.7275% 11/25/29 (f)

8,523,921

8,502,874

Class A2D, 3.9175% 11/25/29 (f)

1,982,307

1,991,830

Series 2004-G Class A2, 3.95% 11/25/29 (f)

3,854,828

3,854,422

Series 2005-A Class A2, 3.38% 2/25/30 (f)

10,800,867

10,785,319

Mortgage Asset Backed Securities Trust floater Series 2002-NC1 Class M1, 4.31% 10/25/32 (f)

4,538,551

4,555,535

MortgageIT Trust floater:

Series 2004-2:

Class A1, 3.83% 12/25/34 (f)

4,920,628

4,927,758

Class A2, 3.91% 12/25/34 (f)

6,656,800

6,696,298

Series 2005-2 Class 1A1, 3.72% 5/25/35 (f)

5,093,718

5,097,498

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 3.75% 6/25/35 (f)

19,112,336

19,123,533

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Permanent Financing No. 1 PLC floater Series 1 Class 2C, 4.5594% 6/10/42 (f)

$ 1,745,000

$ 1,749,384

Permanent Financing No. 3 PLC floater Series 2 Class C, 4.4294% 6/10/42 (f)

4,845,000

4,893,450

Permanent Financing No. 4 PLC floater Series 2 Class C, 4.0994% 6/10/42 (f)

15,400,000

15,475,306

Permanent Financing No. 5 PLC floater:

Series 2 Class C, 4.0294% 6/10/42 (f)

4,215,000

4,234,760

Series 3 Class C, 4.1994% 6/10/42 (f)

8,890,000

8,967,788

Permanent Financing No. 6 PLC floater Series 6:

Class 1C, 3.7294% 6/10/42 (f)

4,000,000

4,000,572

Class 2C, 3.8294% 6/10/42 (f)

5,350,000

5,352,343

Permanent Financing No. 7 PLC floater Series 7:

Class 1B, 3.4694% 6/10/42 (f)

2,000,000

1,999,375

Class 1C, 3.6594% 6/10/42 (f)

3,840,000

3,838,800

Class 2C, 3.7094% 6/10/42 (f)

8,065,000

8,054,919

Permanent Financing No. 8 PLC floater Series 8:

Class 1C, 3.7475% 6/10/42 (f)

7,165,000

7,162,621

Class 2C, 3.8175% 6/10/42 (f)

9,945,000

9,941,688

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

4,643,507

4,727,342

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

Class B4, 5.15% 3/10/35 (c)(f)

5,492,986

5,575,381

Class B5, 5.7% 3/10/35 (c)(f)

5,684,725

5,811,417

Residential Funding Securities Corp.:

Series 2003-RP1 Class A1, 3.96% 11/25/34 (f)

2,829,110

2,840,739

Series 2003-RP2 Class A1, 3.93% 6/25/33 (c)(f)

3,866,185

3,881,108

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 3.41% 9/20/33 (f)

10,999,101

10,996,236

Series 2003-7 Class A2, 2.885% 1/20/34 (f)

9,577,708

9,569,385

Series 2004-1 Class A, 4.15% 2/20/34 (f)

6,379,791

6,373,993

Series 2004-10 Class A4, 3.6681% 11/20/34 (f)

10,424,803

10,408,138

Series 2004-3 Class A, 3.5463% 5/20/34 (f)

10,662,486

10,588,333

Series 2004-4 Class A, 3.5881% 5/20/34 (f)

13,430,919

13,399,990

Series 2004-5 Class A3, 3.77% 6/20/34 (f)

8,904,038

8,897,082

Series 2004-6:

Class A3A, 4.1475% 6/20/35 (f)

8,182,127

8,176,739

Class A3B, 3.16% 7/20/34 (f)

1,022,766

1,021,950

Series 2004-7:

Class A3A, 3.2275% 8/20/34 (f)

7,642,675

7,636,475

Class A3B, 3.4525% 7/20/34 (f)

1,375,260

1,380,167

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Sequoia Mortgage Trust floater: - continued

Series 2004-8 Class A2, 3.45% 9/20/34 (f)

$ 14,155,710

$ 14,148,404

Series 2005-1 Class A2, 3.68% 2/20/35 (f)

7,355,282

7,354,362

Series 2005-2 Class A2, 3.36% 3/20/35 (f)

13,876,523

13,876,523

Series 2005-3 Class A1, 3.46% 5/20/35 (f)

9,217,677

9,217,677

Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 3.77% 7/25/35 (f)

11,201,095

11,201,095

Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 3.86% 9/25/33 (c)(f)

2,553,470

2,555,084

Thornburg Mortgage Securities Trust floater Series 2004-3 Class A, 3.83% 9/25/34 (f)

22,068,069

22,129,394

WAMU Mortgage pass thru certificates:

floater Series 2005-AR6 Class 2A-1A, 3.5448% 4/25/45 (f)

6,133,307

6,133,607

Series 2005 AR11 Class A1C1, 3.6675% 8/25/40 (d)(f)

14,400,000

14,400,000

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-M Class A3, 4.7024% 8/25/34 (f)

19,880,000

19,789,156

Series 2005-AR12 Class 2A1, 4.322% 7/25/35 (f)

31,674,772

31,407,532

TOTAL PRIVATE SPONSOR

895,419,920

U.S. Government Agency - 3.2%

Fannie Mae:

floater:

Series 2000-38 Class F, 3.76% 11/18/30 (f)

1,103,802

1,112,055

Series 2000-40 Class FA, 3.8144% 7/25/30 (f)

2,487,156

2,498,099

Series 2002-89 Class F, 3.6144% 1/25/33 (f)

3,630,895

3,636,484

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

4,732,822

4,849,182

Fannie Mae guaranteed REMIC pass thru certificates:

floater:

Series 2001-34 Class FR, 3.66% 8/18/31 (f)

2,500,934

2,508,899

Series 2001-44 Class FB, 3.6144% 9/25/31 (f)

2,262,040

2,268,738

Series 2001-46 Class F, 3.66% 9/18/31 (f)

6,514,676

6,552,090

Series 2002-11 Class QF, 3.8144% 3/25/32 (f)

4,517,951

4,551,812

Series 2002-36 Class FT, 3.8144% 6/25/32 (f)

1,503,724

1,516,521

Series 2002-64 Class FE, 3.61% 10/18/32 (f)

2,256,514

2,266,981

Series 2002-65 Class FA, 3.6144% 10/25/17 (f)

2,585,370

2,590,545

Series 2002-74 Class FV, 3.7644% 11/25/32 (f)

8,360,131

8,420,920

Series 2003-11:

Class DF, 3.7644% 2/25/33 (f)

3,173,455

3,195,574

Class EF, 3.7644% 2/25/33 (f)

2,602,157

2,612,658

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Fannie Mae guaranteed REMIC pass thru certificates: - continued

floater:

Series 2003-63 Class F1, 3.6144% 11/25/27 (f)

$ 6,387,368

$ 6,390,916

planned amortization class:

Series 1998-63 Class PG, 6% 3/25/27

1,212,661

1,212,198

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

4,183,652

4,194,964

Series 2001-76 Class UB, 5.5% 10/25/13

1,378,221

1,379,002

Series 2002-16 Class QD, 5.5% 6/25/14

345,479

346,552

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

4,950,777

4,957,813

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

3,569,878

3,584,870

Freddie Mac:

floater Series 2510 Class FE, 3.7881% 10/15/32 (f)

5,998,150

6,032,418

planned amortization class:

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

1,286,641

1,286,029

Series 2353 Class PC, 6.5% 9/15/15

1,363,169

1,366,992

Freddie Mac Manufactured Housing participation certificates guaranteed floater Series 2338 Class FJ, 3.5881% 7/15/31 (f)

5,197,631

5,199,968

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2474 Class FJ, 3.7381% 7/15/17 (f)

4,556,922

4,564,198

Series 2526 Class FC, 3.7881% 11/15/32 (f)

3,597,778

3,616,182

Series 2538 Class FB, 3.7881% 12/15/32 (f)

6,607,741

6,651,155

Series 2551 Class FH, 3.8381% 1/15/33 (f)

3,358,821

3,373,027

planned amortization class:

Series 2136 Class PE, 6% 1/15/28

12,190,349

12,248,248

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

1,550,172

1,553,415

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

5,961,413

6,000,327

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

372,760

373,347

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

2,168,673

2,179,211

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

2,595,889

2,604,122

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

2,962,497

2,977,827

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

2,737,118

2,773,721

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

257,483

257,163

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

1,861,588

1,861,466

Series 2556 Class PM, 5.5% 2/15/16

1,160,963

1,159,984

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

7,104,375

367,384

Series 2828 Class JA, 4.5% 1/15/10

11,880,000

11,903,044

sequential pay:

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

648,803

649,120

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

871,905

871,370

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

Series 2406:

Class FP, 4.3681% 1/15/32 (f)

$ 10,270,000

$ 10,502,819

Class PF, 4.3681% 12/15/31 (f)

8,125,000

8,337,955

Series 2410 Class PF, 4.3681% 2/15/32 (f)

18,644,444

19,070,154

Ginnie Mae guaranteed REMIC pass thru securities floater:

Series 2001-46 Class FB, 3.7381% 5/16/23 (f)

2,988,811

3,001,292

Series 2001-50 Class FV, 3.5881% 9/16/27 (f)

9,114,548

9,113,939

Series 2002-24 Class FX, 3.9381% 4/16/32 (f)

2,630,687

2,652,779

Series 2002-31 Class FW, 3.7881% 6/16/31 (f)

3,614,097

3,633,687

Series 2002-5 Class KF, 3.7881% 8/16/26 (f)

617,815

618,278

TOTAL U.S. GOVERNMENT AGENCY

207,447,494

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $1,104,119,465)

1,102,867,414

Commercial Mortgage Securities - 5.8%

1301 Avenue of The Americas Trust Series 2000-1301:

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

5,025,000

5,024,881

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

6,695,000

6,694,844

Banc of America Large Loan, Inc. floater:

Series 2003-BBA2 Class A3, 3.7081% 11/15/15 (c)(f)

5,038,226

5,041,400

Series 2005-BOCA:

Class H, 4.3381% 12/15/16 (c)(f)

2,065,000

2,061,834

Class J, 4.4881% 12/15/16 (c)(f)

1,020,000

1,018,438

Class K, 4.7381% 12/15/16 (c)(f)

6,659,000

6,650,611

Bayview Commercial Asset Trust floater:

Series 2003-1 Class A, 4.04% 8/25/33 (c)(f)

6,644,316

6,723,250

Series 2003-2:

Class A, 4.04% 12/25/33 (c)(f)

13,522,369

13,687,661

Class M1, 4.31% 12/25/33 (c)(f)

2,200,548

2,236,841

Series 2004-1:

Class A, 3.82% 4/25/34 (c)(f)

6,403,472

6,414,728

Class B, 5.36% 4/25/34 (c)(f)

665,296

672,910

Class M1, 4.02% 4/25/34 (c)(f)

582,134

584,681

Class M2, 4.66% 4/25/34 (c)(f)

498,972

504,819

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust floater: - continued

Series 2004-2:

Class A, 3.89% 8/25/34 (c)(f)

$ 6,299,807

$ 6,330,814

Class M1, 4.04% 8/25/34 (c)(f)

2,031,330

2,039,265

Series 2004-3:

Class A1, 3.83% 1/25/35 (c)(f)

6,582,479

6,605,519

Class A2, 3.88% 1/25/35 (c)(f)

914,869

918,092

Class M1, 3.96% 1/25/35 (c)(f)

1,097,080

1,098,564

Class M2, 4.46% 1/25/35 (c)(f)

715,487

719,742

Series 2005-2A:

Class M1, 3.73% 8/25/35 (c)(f)

1,297,812

1,297,812

Class M2, 3.78% 8/25/35 (c)(f)

2,136,399

2,136,399

Class M3, 3.8% 8/25/35 (c)(f)

1,183,006

1,183,006

Class M4, 3.91% 8/25/35 (c)(f)

1,088,166

1,088,166

Bear Stearns Commercial Mortgage Securities, Inc. floater:

Series 2003-BA1A:

Class JFCM, 4.98% 4/14/15 (c)(f)

1,344,296

1,350,087

Class JMM, 4.88% 4/14/15 (c)(f)

1,384,053

1,385,065

Class KFCM, 5.23% 4/14/15 (c)(f)

1,436,661

1,443,179

Class KMM, 5.13% 4/14/15 (c)(f)

1,253,767

1,254,776

Class LFCM, 5.63% 4/14/15 (c)(f)

1,601,905

1,602,545

Class MFCM, 5.93% 4/14/15 (c)(f)

2,218,251

2,219,234

Series 2004-BBA3 Class E, 4.0881% 6/15/17 (c)(f)

10,415,000

10,415,949

Chase Commercial Mortgage Securities Corp. floater Series 2000-FL1A:

Class B, 3.81% 12/12/13 (c)(f)

896,672

897,536

Class C, 4.16% 12/12/13 (c)(f)

1,793,345

1,801,374

COMM floater:

Series 2001-FL5A Class E, 4.8881% 11/15/13 (c)(f)

3,049,546

3,048,573

Series 2002-FL6:

Class F, 4.8381% 6/14/14 (c)(f)

11,163,000

11,190,451

Class G, 5.2881% 6/14/14 (c)(f)

5,000,000

5,000,444

Series 2003-FL9 Class B, 3.8881% 11/15/15 (c)(f)

10,354,700

10,383,149

Commercial Mortgage pass thru certificates floater:

Series 2004-CNL:

Class A2, 3.6881% 9/15/14 (c)(f)

3,570,000

3,573,440

Class G, 4.3681% 9/15/14 (c)(f)

1,345,000

1,345,538

Class H, 4.4681% 9/15/14 (c)(f)

1,430,000

1,430,571

Class J, 4.9881% 9/15/14 (c)(f)

490,000

491,560

Class K, 5.3881% 9/15/14 (c)(f)

770,000

771,587

Class L, 5.5881% 9/15/14 (c)(f)

625,000

624,693

Commercial Mortgage Securities - continued

Principal Amount

Value

Commercial Mortgage pass thru certificates floater: - continued

Series 2004-HTL1:

Class B, 3.8381% 7/15/16 (c)(f)

$ 495,379

$ 495,732

Class D, 3.9381% 7/15/16 (c)(f)

1,125,628

1,125,788

Class E, 4.1381% 7/15/16 (c)(f)

805,726

806,031

Class F, 4.1881% 7/15/16 (c)(f)

852,671

853,207

Class H, 4.6881% 7/15/16 (c)(f)

2,472,312

2,473,143

Class J, 4.8381% 7/15/16 (c)(f)

950,314

950,633

Class K, 5.7381% 7/15/16 (c)(f)

1,069,720

1,069,257

Commercial Mortgage Pass-Through Certificates floater Series 2005-F10A:

Class B, 3.6181% 4/15/17 (c)(f)

7,080,000

7,080,000

Class C, 3.6581% 4/15/17 (c)(f)

3,006,000

3,006,000

Class D, 3.6981% 4/15/17 (c)(f)

2,440,000

2,440,000

Class E, 3.7581% 4/15/17 (c)(f)

1,821,000

1,821,000

Class F, 3.7981% 4/15/17 (c)(f)

1,035,000

1,035,000

Class G, 3.9381% 4/15/17 (c)(f)

1,035,000

1,035,000

Class H, 4.0081% 4/15/17 (c)(f)

1,035,000

1,035,000

Class I, 4.2381% 4/15/17 (c)(f)

335,000

335,000

Class MOA3, 3.6881% 3/15/20 (c)(f)

4,590,000

4,590,000

CS First Boston Mortgage Securities Corp.:

floater:

Series 2001-TFLA Class G, 5.1381% 12/15/11 (c)(f)

3,720,000

3,702,795

Series 2002-TFLA Class C, 3.9688% 11/18/12 (c)(f)

3,675,000

3,674,923

Series 2003-TF2A Class A2, 3.7081% 11/15/14 (c)(f)

9,500,000

9,507,100

Series 2004-FL1 Class B, 3.8381% 5/15/14 (c)(f)

11,230,000

11,235,571

Series 2004-HC1:

Class A2, 3.8881% 12/15/21 (c)(f)

1,475,000

1,474,997

Class B, 4.1381% 12/15/21 (c)(f)

3,835,000

3,834,992

Series 2004-TF2A Class E, 3.8081% 11/15/19 (c)(f)

4,450,000

4,456,884

Series 2004-TFL1:

Class A2, 3.5781% 2/15/14 (c)(f)

7,005,000

7,007,087

Class E, 3.9381% 2/15/14 (c)(f)

2,800,000

2,806,033

Class F, 3.9881% 2/15/14 (c)(f)

2,325,000

2,330,394

Class G, 4.2381% 2/15/14 (c)(f)

1,875,000

1,880,617

Class H, 4.4881% 2/15/14 (c)(f)

1,400,000

1,403,733

Class J, 4.7881% 2/15/14 (c)(f)

750,000

753,724

Commercial Mortgage Securities - continued

Principal Amount

Value

CS First Boston Mortgage Securities Corp.: - continued

Series 2005-TF2A Class F, 3.8881% 11/15/19 (c)(f)

$ 1,540,000

$ 1,542,381

Series 2005-TFLA:

Class C, 3.6281% 2/15/20 (c)(f)

5,650,000

5,649,989

Class E, 3.7181% 2/15/20 (c)(f)

3,955,000

3,954,992

Class F, 3.7681% 2/15/20 (c)(f)

1,745,000

1,744,997

Class G, 3.9081% 2/15/20 (c)(f)

505,000

504,998

Class H, 4.1381% 2/15/20 (c)(f)

715,000

714,998

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

518,675

522,823

Series 2003-TFLA Class G, 3.7357% 4/15/13 (c)(f)

446,933

445,553

GMAC Commercial Mortgage Securities, Inc. floater Series 2001-FL1A Class E, 4.2% 2/11/11 (c)(f)

264,524

264,175

GS Mortgage Securities Corp. II floater Series 2005-FL7A Class A1, 3.5% 11/6/19 (c)(f)

10,526,054

10,527,180

ISTAR Asset Receivables Trust floater Series 2002-1A Class A2, 3.8613% 5/28/20 (c)(f)

2,727,545

2,728,117

John Hancock Tower Mortgage Trust floater Series 2003-C5A Class B, 5.6585% 4/10/15 (c)(f)

8,245,000

8,150,339

JP Morgan Chase Commercial Mortgage Security Corp.:

floater Series 2005-FL1A:

Class WH, 3.97% 6/15/19 (c)(f)

3,325,000

3,325,100

Class WJ, 4.17% 6/15/19 (c)(f)

2,045,000

2,045,061

Class WK, 4.57% 6/15/19 (c)(f)

3,065,000

3,065,092

Series 2005-FL1A Class WX1, 1.2068% 6/15/19 (c)(f)(g)

240,000,000

2,596,800

Lehman Brothers Floating Rate Commercial Mortgage Trust:

floater:

Series 2003-C4A:

Class F, 5.6% 7/11/15 (c)(f)

813,387

813,822

Class H, 6.35% 7/11/15 (c)(f)

8,267,264

8,287,932

Series 2003-LLFA:

Class A2, 3.77% 12/16/14 (c)(f)

11,700,000

11,707,744

Class B, 3.98% 12/16/14 (c)(f)

4,615,000

4,626,299

Class C, 4.08% 12/16/14 (c)(f)

4,982,000

4,997,311

Series 2005-LLFA Class FAIR, 5.1138% 7/15/19 (c)(d)(f)

4,360,000

4,360,000

Morgan Stanley Dean Witter Capital I Trust floater Series 2002-XLF Class F, 5.49% 8/5/14 (c)(f)

7,603,983

7,603,972

Commercial Mortgage Securities - continued

Principal Amount

Value

Salomon Brothers Mortgage Securities VII, Inc.:

floater:

Series 2001-CDCA:

Class C, 4.1881% 2/15/13 (c)(f)

$ 10,495,000

$ 10,291,568

Class D, 4.1881% 2/15/13 (c)(f)

4,000,000

3,891,288

Series 2003-CDCA:

Class HEXB, 5.2881% 2/15/15 (c)(f)

770,000

771,001

Class JEXB, 5.4881% 2/15/15 (c)(f)

1,300,000

1,301,690

Class KEXB, 5.8881% 2/15/15 (c)(f)

960,000

961,248

Series 2000-NL1 Class E, 7.0607% 10/15/30 (c)(f)

3,657,956

3,672,236

SDG Macerich Properties LP floater Series 2000-1 Class A3, 3.7281% 5/15/09 (c)(f)

18,000,000

18,008,086

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 3.78% 3/24/18 (c)(f)

7,263,029

7,263,029

Wachovia Bank Commercial Mortgage Trust floater:

Series 2004-WHL3:

Class A2, 3.5681% 3/15/14 (c)(f)

3,510,000

3,511,290

Class E, 3.8881% 3/15/14 (c)(f)

2,190,000

2,192,749

Class F, 3.9381% 3/15/14 (c)(f)

1,755,000

1,757,120

Class G, 4% 3/15/14 (c)(f)

875,000

876,363

Series 2005-WL5A:

Class KHP1, 3.7381% 1/15/18 (c)(f)

1,745,000

1,745,000

Class KHP2, 3.9381% 1/15/18 (c)(f)

1,745,000

1,745,000

Class KHP3, 4.2381% 1/15/18 (c)(f)

2,060,000

2,060,000

Class KHP4, 4.3381% 1/15/18 (c)(f)

1,600,000

1,600,000

Class KHP5, 4.5381% 1/15/18 (c)(f)

1,855,000

1,855,000

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $378,363,353)

378,866,012

Interfund Loans - 0.1%

With Fidelity Equity-Income Fund, at 3.43442% due 8/1/05 (b) (Cost $8,443,000)

8,443,000

8,443,000

Cash Equivalents - 40.4%

Maturity
Amount

Value

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.32%, dated 7/29/05 due 8/1/05) (i)

$ 2,354,814,398

$ 2,354,164,000

With Goldman Sachs & Co. at 3.41%, dated 7/1/05 due 8/23/05 (Collateralized by Mortgage Loan Obligations valued at $295,800,001, 0.9%- 10.36%, 4/18/17 - 6/25/44) (f)(h)

291,455,881

289,998,492

TOTAL CASH EQUIVALENTS

(Cost $2,644,164,000)

2,644,162,492

TOTAL INVESTMENT PORTFOLIO - 102.2%

(Cost $6,679,436,405)

6,685,115,608

NET OTHER ASSETS - (2.2)%

(140,968,200)

NET ASSETS - 100%

$ 6,544,147,408

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Sold

Eurodollar Contracts

73 Eurodollar 90 Day Index Contracts

Dec. 2005

$ 72,221,638

$ 34,806

49 Eurodollar 90 Day Index Contracts

March 2006

48,464,675

28,036

32 Eurodollar 90 Day Index Contracts

June 2006

31,645,600

16,247

27 Eurodollar 90 Day Index Contracts

Sept. 2006

26,698,612

16,355

26 Eurodollar 90 Day Index Contracts

Dec. 2006

25,707,500

14,421

24 Eurodollar 90 Day Index Contracts

March 2007

23,729,700

12,329

17 Eurodollar 90 Day Index Contracts

June 2007

16,807,688

5,970

16 Eurodollar 90 Day Index Contracts

Sept. 2007

15,818,200

5,711

15 Eurodollar 90 Day Index Contracts

Dec. 2007

14,828,250

5,590

15 Eurodollar 90 Day Index Contracts

March 2008

14,827,875

5,015

8 Eurodollar 90 Day Index Contracts

June 2008

7,907,800

7,518

7 Eurodollar 90 Day Index Contracts

Sept. 2008

6,918,888

6,885

TOTAL EURODOLLAR CONTRACTS

158,883

Swap Agreements

Notional Amount

Value

Credit Default Swap

Receive from Citibank, upon default event of DaimlerChrysler NA Holding Corp., par value of the notional amount of DaimlerChrysler NA Holding Corp. 6.5% 11/15/13, and pay quarterly notional amount multiplied by .8%

June 2007

$ 14,000,000

$ (135,972)

Receive quarterly notional amount multiplied by 1.12% and pay Morgan Stanley, Inc. upon default of Comcast Cable Communications, Inc., par value of the notional amount of Comcast Cable Communications, Inc. 6.75% 1/30/11

June 2006

10,000,000

102,057

TOTAL CREDIT DEFAULT SWAP

24,000,000

(33,915)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Total Return Swap

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

Oct. 2005

$ 48,200,000

$ 46,335

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

Dec. 2005

30,000,000

32,511

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 30 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

August 2005

35,100,000

33,945

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 22 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

Jan. 2006

$ 35,100,000

$ 32,229

Receive monthly a return equal to Lehman Brothers ABS Floating Rate Index and pay monthly a floating rate based on the 1- month LIBOR minus 11.1 basis points with Lehman Brothers, Inc.

Nov. 2005

30,000,000

0

TOTAL TOTAL RETURN SWAP

178,400,000

145,020

$ 202,400,000

$ 111,105

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) Affiliated entity

(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 period end, the value of these securities amounted to $586,119,417 or 9.0% of net assets.

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

(e) 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 $994,635.

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

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

(h) The maturity amount is based on the rate at period end.

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

Repurchase Agreement/
Counterparty

Value

$2,354,164,000 due 8/1/05 at 3.32%

Banc of America Securities LLC.

$ 471,596,247

Bank of America, National Association

244,985,063

Barclays Capital Inc.

979,940,254

Countrywide Securities Corporation

244,985,063

Morgan Stanley & Co. Incorporated.

351,411,107

UBS Securities LLC

61,246,266

$ 2,354,164,000

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $6,679,021,266. Net unrealized appreciation aggregated $6,094,342, of which $11,067,257 related to appreciated investment securities and $4,972,915 related to depreciated investment securities.

Quarterly Report

Quarterly Holdings Report

for

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

July 31, 2005

1.804870.101

HIM-QTLY-0905

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

Municipal Bonds - 100.2%

Principal Amount

Value

Alabama - 0.3%

Oxford Gen. Oblig. 5.75% 5/1/25 (AMBAC Insured)

$ 1,000,000

$ 1,093,600

Phenix City Gen. Oblig. 5.65% 8/1/21 (AMBAC Insured)

1,000,000

1,110,380

2,203,980

Alaska - 0.2%

Alaska Student Ln. Corp. Student Ln. Rev. Series A, 5.45% 7/1/09 (AMBAC Insured) (c)

1,500,000

1,560,630

Arizona - 1.0%

Arizona Student Ln. Acquisition Auth. Student Ln. Rev. Series A1, 5.875% 5/1/18 (c)

1,300,000

1,391,871

Glendale Indl. Dev. Auth. Hosp. Rev. (John C. Lincoln Health Network Proj.) 5% 12/1/29

1,575,000

1,585,001

Phoenix Civic Impt. Corp. Wtr. Sys. Rev. 5% 7/1/29 (MBIA Insured)

1,000,000

1,063,440

Phoenix Indl. Dev. Auth. Single Family Mtg. Rev. 0% 12/1/14 (Escrowed to Maturity) (d)

3,750,000

2,582,288

6,622,600

Arkansas - 0.2%

Little Rock School District Series 2001 C, 5.25% 2/1/33 (FSA Insured)

1,000,000

1,051,540

California - 9.0%

California Dept. of Wtr. Resources Pwr. Supply Rev.:

Series 2002 A:

5.125% 5/1/18 (FGIC Insured)

1,000,000

1,074,140

5.75% 5/1/17

800,000

891,128

Series A:

5.5% 5/1/15 (AMBAC Insured)

1,000,000

1,111,790

5.875% 5/1/16

2,100,000

2,362,584

California Econ. Recovery:

Series 2004 A, 5% 7/1/16

1,400,000

1,494,262

Series A, 5.25% 7/1/13 (MBIA Insured)

1,080,000

1,201,694

California Gen. Oblig.:

5.25% 2/1/11

2,300,000

2,497,202

5.25% 2/1/14

2,400,000

2,636,256

5.25% 2/1/15

1,200,000

1,313,796

5.25% 2/1/16

1,000,000

1,093,390

5.25% 2/1/24

1,000,000

1,070,680

5.25% 2/1/28

1,200,000

1,279,776

5.5% 3/1/11

3,500,000

3,848,075

5.5% 4/1/30

500,000

552,875

5.5% 11/1/33

3,700,000

4,083,542

Municipal Bonds - continued

Principal Amount

Value

California - continued

California Gen. Oblig.: - continued

5.625% 5/1/20

$ 600,000

$ 659,238

California Poll. Cont. Fing. Auth. Ctfs. of Prtn. (Pacific Gas & Elec. Co. Proj.) Series 2004 B, 3.5%, tender 6/1/07 (FGIC Insured) (b)(c)

1,200,000

1,208,004

California Pub. Works Board Lease Rev.:

(Richmond Lab., Phase III Office Bldg. Proj.) Series B, 5.25% 11/1/25 (XL Cap. Assurance, Inc. Insured)

2,585,000

2,804,441

Series 2005 A, 5.25% 6/1/30

2,000,000

2,127,760

California Statewide Cmntys. Dev. Auth. Rev. (Kaiser Fund Hosp./Health Place, Inc. Proj.) Series 2002 C, 3.85%, tender 6/1/12 (b)

500,000

499,085

Central Valley Fing. Auth. Cogeneration Proj. Rev. (Carson Ice Gen. Proj.) 6% 7/1/09

335,000

336,045

Foothill/Eastern Trans. Corridor Agcy. Toll Road Rev.:

Series A, 5% 1/1/35 (MBIA Insured)

700,000

718,060

5% 1/15/16 (MBIA Insured)

400,000

424,208

5.75% 1/15/40

600,000

611,982

Golden State Tobacco Securitization Corp.:

Series 2003 A1, 6.75% 6/1/39

1,200,000

1,379,160

Series 2003 B, 5.75% 6/1/23

1,800,000

1,919,538

Series A, 5% 6/1/45 (a)

800,000

821,472

Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev.:

Series 2001 A, 5.125% 7/1/41

4,000,000

4,145,120

Series A, 5.125% 7/1/41 (MBIA Insured)

1,300,000

1,353,339

Los Angeles Unified School District Series A:

5.375% 7/1/17 (MBIA Insured)

1,800,000

2,001,168

5.375% 7/1/18 (MBIA Insured)

1,000,000

1,107,430

North City West School Facilities Fing. Auth. Spl. Tax Series C, 5% 9/1/10 (AMBAC Insured) (a)

1,290,000

1,359,776

Sacramento Pwr. Auth. Cogeneration Proj. Rev. 6.5% 7/1/08 (Pre-Refunded to 7/1/06 @ 102) (d)

300,000

316,263

San Diego Unified School District (Election of 1998 Proj.) Series E2, 5.5% 7/1/26 (FSA Insured)

2,300,000

2,709,768

San Joaquin Hills Trans. Corridor Agcy. Toll Road Rev. Series A, 0% 1/15/12 (MBIA Insured)

1,300,000

1,017,822

Univ. of California Revs. (UCLA Med. Ctr. Proj.) Series A:

5.5% 5/15/18 (AMBAC Insured)

1,755,000

1,929,938

5.5% 5/15/20 (AMBAC Insured)

2,000,000

2,199,360

58,160,167

Municipal Bonds - continued

Principal Amount

Value

Colorado - 2.1%

Colorado Springs Arpt. Rev. Series C, 0% 1/1/08 (MBIA Insured)

$ 870,000

$ 800,748

Colorado Wtr. Resources and Pwr. Dev. Auth. Clean Wtr. Rev. Series 2001 A:

5.625% 9/1/13

235,000

262,939

5.625% 9/1/13 (Pre-Refunded to 9/1/11 @ 100) (d)

1,375,000

1,543,273

5.625% 9/1/14

230,000

256,942

5.625% 9/1/14 (Pre-Refunded to 9/1/11 @ 100) (d)

1,515,000

1,700,406

Colorado Wtr. Resources and Pwr. Dev. Auth. Wtr. Resources Rev. (Parker Wtr. and Sanitation District Proj.) Series D, 5.25% 9/1/43 (MBIA Insured)

4,600,000

4,914,732

Dawson Ridge Metropolitan District # 1 Series B, 0% 10/1/22 (Escrowed to Maturity) (d)

2,000,000

898,640

E-470 Pub. Hwy. Auth. Rev. Series 2000 A, 5.75% 9/1/29 (MBIA Insured)

1,200,000

1,341,720

Mesa County Residual Rev. 0% 12/1/11 (Escrowed to Maturity) (d)

2,275,000

1,786,125

13,505,525

Connecticut - 0.5%

Eastern Connecticut Resources Recovery Auth. Solid Waste Rev. (Wheelabrator Lisbon Proj.) Series A, 5.5% 1/1/20 (c)

3,350,000

3,359,648

District Of Columbia - 2.1%

District of Columbia Gen. Oblig.:

Series A, 6% 6/1/07 (Escrowed to Maturity) (d)

150,000

154,332

Series B:

0% 6/1/12 (MBIA Insured)

1,200,000

915,060

5.25% 6/1/26 (FSA Insured)

6,000,000

6,324,480

District of Columbia Rev.:

(George Washington Univ. Proj.) Series A, 5.75% 9/15/20 (MBIA Insured)

1,490,000

1,633,353

(Georgetown Univ. Proj.) Series A, 5.95% 4/1/14 (MBIA Insured)

2,000,000

2,171,060

(Nat'l. Academy of Sciences Proj.) Series A, 5% 1/1/19 (AMBAC Insured)

2,500,000

2,629,150

13,827,435

Florida - 1.0%

Dade County Aviation Rev. Series D, 5.75% 10/1/09 (AMBAC Insured) (c)

5,000,000

5,120,250

Municipal Bonds - continued

Principal Amount

Value

Florida - continued

Florida Board of Ed. Cap. Outlay Series B, 5.5% 6/1/16 (FGIC Insured)

$ 1,000,000

$ 1,112,900

Seminole County School Board Ctfs. of Prtn. Series A, 5% 7/1/20 (MBIA Insured)

500,000

532,975

6,766,125

Georgia - 2.9%

Atlanta Arpt. Rev. Series F, 5.25% 1/1/13 (FSA Insured) (c)

1,000,000

1,079,450

Atlanta Wtr. & Wastewtr. Rev.:

5% 11/1/37 (FSA Insured)

2,100,000

2,204,475

5% 11/1/43 (FSA Insured)

10,600,000

11,069,898

Augusta Wtr. & Swr. Rev. 5.25% 10/1/39 (FSA Insured)

2,200,000

2,374,042

College Park Bus. & Indl. Dev. Auth. Civic Ctr. Proj. Rev. Series 2000, 5.75% 9/1/20 (AMBAC Insured)

1,100,000

1,227,182

Private Colleges & Univs. Auth. Rev. (Emory Univ. Proj.) Series 1999 A, 5.5% 11/1/31

500,000

539,505

Richmond County Dev. Auth. Rev. Series C, 0% 12/1/21 (Escrowed to Maturity) (d)

1,165,000

545,919

19,040,471

Hawaii - 0.2%

Hawaii Arpts. Sys. Rev. Series 2000 B, 8% 7/1/11 (FGIC Insured) (c)

1,300,000

1,574,313

Illinois - 12.0%

Chicago Board of Ed. Series A:

0% 12/1/16 (FGIC Insured)

1,300,000

798,421

5.5% 12/1/27 (AMBAC Insured)

1,000,000

1,179,050

Chicago Gen. Oblig.:

(City Colleges Proj.):

0% 1/1/16 (FGIC Insured)

6,120,000

3,929,958

0% 1/1/24 (FGIC Insured)

6,110,000

2,588,318

0% 1/1/28 (FGIC Insured)

5,000,000

1,723,250

(Neighborhoods Alive 21 Prog.):

Series A, 6% 1/1/28 (FGIC Insured)

1,210,000

1,356,156

5.5% 1/1/17 (Pre-Refunded to 1/1/11 @ 100) (d)

2,265,000

2,508,827

Series 2000 C, 5.5% 1/1/40 (FGIC Insured)

1,410,000

1,522,871

Series A:

5% 1/1/41 (Pre-Refunded to 1/1/15 @ 100) (d)

1,000,000

1,073,400

5% 1/1/42 (AMBAC Insured)

1,700,000

1,756,066

5.25% 1/1/33 (MBIA Insured)

1,100,000

1,159,235

5.5% 1/1/38 (MBIA Insured)

1,000,000

1,085,450

Municipal Bonds - continued

Principal Amount

Value

Illinois - continued

Chicago Midway Arpt. Rev.:

Series A, 5.5% 1/1/29 (MBIA Insured)

$ 1,500,000

$ 1,558,980

Series B, 6% 1/1/09 (MBIA Insured) (c)

300,000

313,932

Chicago O'Hare Int'l. Arpt. Rev.:

Series A:

5.5% 1/1/16 (AMBAC Insured) (c)

900,000

940,662

5.5% 1/1/16 (Pre-Refunded to 1/1/07 @ 102) (c)(d)

100,000

105,415

6.25% 1/1/09 (AMBAC Insured) (c)

3,325,000

3,524,434

5.5% 1/1/09 (AMBAC Insured) (c)

1,250,000

1,331,338

Chicago Park District Series 2001 A, 5.5% 1/1/19 (FGIC Insured)

1,000,000

1,092,110

Chicago Transit Auth. Cap. Grant Receipts Rev. (Douglas Branch Proj.) Series 2003 B, 4.25% 6/1/08 (AMBAC Insured)

1,400,000

1,405,642

Coles & Cumberland Counties Cmnty. Unit School District #2 5.8% 2/1/17 (FGIC Insured)

1,000,000

1,109,310

Cook County Gen. Oblig. Series C, 5% 11/15/25 (AMBAC Insured)

1,100,000

1,151,843

DuPage County Cmnty. High School District #108, Lake Park 5.6% 1/1/17 (FSA Insured)

3,190,000

3,562,114

Evanston Gen. Oblig. Series C, 5.25% 1/1/20

1,500,000

1,634,250

Illinois Edl. Facilities Auth. Revs. (Northwestern Univ. Proj.) 5% 12/1/38

1,650,000

1,706,678

Illinois Gen. Oblig.:

First Series:

5.5% 8/1/19 (MBIA Insured)

2,500,000

2,773,475

5.75% 12/1/18 (MBIA Insured)

1,000,000

1,106,400

5.5% 4/1/17 (MBIA Insured)

1,000,000

1,083,040

5.6% 4/1/21 (MBIA Insured)

1,000,000

1,084,170

Illinois Health Facilities Auth. Rev.:

(Condell Med. Ctr. Proj.) 6.5% 5/15/30

3,000,000

3,219,360

(Decatur Memorial Hosp. Proj.) Series 2001, 5.75% 10/1/24

2,100,000

2,214,324

(Lake Forest Hosp. Proj.) 6% 7/1/33

1,000,000

1,074,760

(Riverside Health Sys. Proj.) 6.8% 11/15/20 (Pre-Refunded to 11/15/10 @ 101) (d)

1,500,000

1,761,960

Illinois Sales Tax Rev.:

First Series 2001, 5.5% 6/15/13

3,250,000

3,577,405

6% 6/15/20

600,000

667,128

Kane County School District #129, Aurora West Side Series A:

5.75% 2/1/16 (FGIC Insured)

1,000,000

1,118,610

Municipal Bonds - continued

Principal Amount

Value

Illinois - continued

Kane County School District #129, Aurora West Side Series A: - continued

5.75% 2/1/18 (FGIC Insured)

$ 2,000,000

$ 2,227,460

Kane, McHenry, Cook & DeKalb Counties Cmnty. Unit School District #300, Carpentersville 5.5% 12/1/16 (MBIA Insured)

1,000,000

1,098,890

Lake Co. Cmnty. High School District #117, Antioch Series B, 0% 12/1/20 (FGIC Insured)

1,805,000

900,298

Lake County Warren Township High School District #121, Gurnee Series C, 5.5% 3/1/23 (AMBAC Insured)

1,795,000

2,002,987

Metropolitan Pier & Exposition Auth. Dedicated State Tax Rev. (McCormick Place Expansion Proj.):

Series 2002 A:

0% 12/15/32 (MBIA Insured)

2,000,000

534,560

5.75% 6/15/41 (MBIA Insured)

3,300,000

3,696,165

Series A:

0% 6/15/16 (FGIC Insured)

2,370,000

1,489,521

0% 6/15/22 (MBIA Insured)

1,000,000

465,130

0% 12/15/24 (MBIA Insured)

3,075,000

1,262,472

Ogle Lee & DeKalb Counties Township High School District #212 6% 12/1/16 (MBIA Insured)

1,000,000

1,140,140

Univ. of Illinois Auxiliary Facilities Sys. Rev. 0% 4/1/15 (MBIA Insured)

3,700,000

2,452,989

Will County Forest Preservation District Series B, 0% 12/1/14 (FGIC Insured)

1,000,000

674,900

77,743,854

Indiana - 2.0%

Anderson Ind. School Bldg. Corp. 5.5% 7/15/23 (FSA Insured)

1,330,000

1,473,547

Franklin Township Independent School Bldg. Corp., Marion County 5.25% 7/15/16 (MBIA Insured)

1,790,000

1,972,150

Indiana Health Facility Fing. Auth. Rev. (Sisters of Saint Francis Health Svc. Proj.) 5.5% 11/1/31

1,500,000

1,581,315

Muncie School Bldg. Corp. 5.25% 7/10/13 (MBIA Insured)

1,670,000

1,840,540

New Albany Floyd County Independent School Bldg. Corp. 5.75% 7/15/17 (Pre-Refunded to 7/15/12
@ 100) (d)

1,000,000

1,139,050

Petersburg Poll. Cont. Rev. 5.95% 12/1/29 (c)

2,000,000

2,107,180

Municipal Bonds - continued

Principal Amount

Value

Indiana - continued

Portage Township Multi-School Bldg. Corp. 5.25% 7/15/26 (MBIA Insured)

$ 1,195,000

$ 1,294,137

South Harrison School Bldg. Corp. Series A, 5.25% 1/15/25 (FSA Insured)

1,150,000

1,226,717

12,634,636

Iowa - 1.0%

Iowa Fin. Auth. Hosp. Facilities Rev. 5.875% 2/15/30 (AMBAC Insured)

1,870,000

2,049,202

Tobacco Settlement Auth. Tobacco Settlement Rev. 5.3% 6/1/25

4,000,000

4,098,280

6,147,482

Kansas - 1.4%

Burlington Envir. Impt. Rev. (Kansas City Pwr. & Lt. Co. Proj.) Series A, 4.75%, tender 10/1/07 (b)

1,000,000

1,027,020

Kansas Dev. Fin. Auth. Health Facilities Rev. (Sisters of Charity of Leavenworth Health Svcs. Corp. Proj.)
Series J, 6.25% 12/1/28

1,500,000

1,663,305

Kansas Dev. Fin. Auth. Rev. (Sisters of Charity of Leavenworth Health Svcs. Corp. Proj.):

5% 12/1/13 (MBIA Insured)

2,390,000

2,507,277

5% 12/1/14 (MBIA Insured)

500,000

524,120

5.25% 12/1/09 (MBIA Insured)

1,420,000

1,508,239

5.25% 12/1/11 (MBIA Insured)

1,750,000

1,852,410

9,082,371

Kentucky - 1.4%

Louisville & Jefferson County Metropolitan Swr. District Swr. & Drain Sys. Rev. Series A:

5.25% 5/15/37 (FGIC Insured)

2,170,000

2,345,857

5.75% 5/15/33 (FGIC Insured)

6,050,000

6,651,552

8,997,409

Maine - 1.6%

Maine Tpk. Auth. Tpk. Rev.:

Series 2000, 5.75% 7/1/28 (Pre-Refunded to 7/1/10 @ 101) (d)

8,100,000

9,073,377

5.25% 7/1/30 (FSA Insured)

1,000,000

1,075,800

10,149,177

Municipal Bonds - continued

Principal Amount

Value

Maryland - 0.5%

Maryland Health & Higher Edl. Facilities Auth. Rev. (Good Samaritan Hosp. Proj.) 5.75% 7/1/13 (Escrowed to Maturity) (d)

$ 2,680,000

$ 3,005,406

Massachusetts - 4.9%

Massachusetts Bay Trans. Auth. Series A, 5.75% 3/1/26

2,000,000

2,171,220

Massachusetts Gen. Oblig.:

Series 2005 A, 5% 3/1/22

3,500,000

3,753,050

Series C, 5.25% 11/1/30 (Pre-Refunded to 11/1/12 @ 100) (d)

1,000,000

1,096,990

Series D, 5.25% 10/1/22 (Pre-Refunded to 10/1/13 @ 100) (d)

1,200,000

1,328,148

Massachusetts Health & Edl. Facilities Auth. Rev. (New England Med. Ctr. Hosp. Proj.) Series G, 5.375% 7/1/24 (MBIA Insured)

500,000

511,090

Massachusetts Indl. Fin. Agcy. Rev. (Massachusetts Biomedical Research Corp. Proj.) Series A2:

0% 8/1/08

800,000

719,568

0% 8/1/10

4,500,000

3,715,965

Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Series A:

5% 8/15/23 (FSA Insured) (a)

5,000,000

5,341,600

5% 8/15/30 (FSA Insured) (a)

3,500,000

3,703,770

Massachusetts Wtr. Poll. Abatement Trust Wtr. Poll. Abatement Rev. (MWRA Ln. Prog.) Series A, 5.25% 8/1/13

10,000

10,639

Massachusetts Wtr. Resources Auth. Series A, 5.75% 8/1/39 (Pre-Refunded to 8/1/10 @ 101) (d)

5,300,000

5,907,274

Springfield Gen. Oblig. 5% 8/1/20 (MBIA Insured)

3,335,000

3,570,618

31,829,932

Michigan - 1.3%

Detroit Wtr. Supply Sys. Rev. Series 2001 A, 5.25% 7/1/33 (FGIC Insured)

1,065,000

1,128,101

Ferris State Univ. Rev. 5% 10/1/19 (MBIA Insured)

1,440,000

1,544,904

Michigan Hosp. Fin. Auth. Hosp. Rev.:

(Ascension Health Cr. Group Proj.) Series A, 6.125% 11/15/26 (Pre-Refunded to 11/15/09 @ 101) (d)

300,000

336,183

(McLaren Health Care Corp. Proj.) Series A, 5% 6/1/19

2,000,000

2,069,120

Municipal Bonds - continued

Principal Amount

Value

Michigan - continued

Royal Oak Hosp. Fin. Auth. Hosp. Rev. (William Beaumont Hosp. Proj.) 6.25% 1/1/09

$ 2,310,000

$ 2,507,089

Willow Run Cmnty. Schools County of Washtenaw 5% 5/1/20 (FSA Insured)

1,000,000

1,072,470

8,657,867

Minnesota - 1.3%

Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Healthspan Corp. Proj.) Series A, 4.75% 11/15/18 (AMBAC Insured)

1,800,000

1,812,042

Minneapolis Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2002 A, 6% 11/15/23

1,000,000

1,111,210

Minnesota Hsg. Fin. Agcy. (Single Family Mtg. Prog.) Series D, 6.4% 7/1/15 (c)

425,000

430,725

Rochester Health Care Facilities Rev. (Mayo Foundation Proj.) Series A, 5.5% 11/15/27

590,000

626,197

Saint Cloud Health Care Rev. (Saint Cloud Hosp. Group Oblig. Proj.) Series A, 5.875% 5/1/30 (FSA Insured)

2,000,000

2,216,340

Saint Paul Port Auth. Lease Rev.:

(HealthEast Midway Campus Proj.) Series 2003 A, 5.875% 5/1/30

1,400,000

1,395,450

Series 2003 11, 5.25% 12/1/18

1,000,000

1,098,140

8,690,104

Missouri - 0.2%

Missouri Envir. Impt. & Energy Resources Auth. Wtr. Poll. Cont. & Drinking Wtr. Rev. (State Revolving Fund Prog.) Series 2003 A, 5.125% 1/1/21

1,010,000

1,087,588

Montana - 0.3%

Forsyth Poll. Cont. Rev. (Portland Gen. Elec. Co. Projs.) Series A, 5.2%, tender 5/1/09 (b)

1,100,000

1,153,999

Montana Board of Regents Higher Ed. Rev. (Montana State Univ. Proj.) 5% 11/15/34 (AMBAC Insured)

1,000,000

1,046,810

2,200,809

Nevada - 0.8%

Clark County Arpt. Rev. Series C, 5.375% 7/1/22 (AMBAC Insured) (c)

1,000,000

1,062,450

Clark County Gen. Oblig. Series 2000, 5.5% 7/1/30 (MBIA Insured)

500,000

537,735

Clark County School District Series C, 5.375% 6/15/15 (Pre-Refunded to 6/15/12 @ 100) (d)

1,000,000

1,114,820

Municipal Bonds - continued

Principal Amount

Value

Nevada - continued

Las Vegas Valley Wtr. District Series B:

5.25% 6/1/16 (MBIA Insured)

$ 1,000,000

$ 1,095,950

5.25% 6/1/17 (MBIA Insured)

1,000,000

1,089,930

4,900,885

New Hampshire - 0.2%

New Hampshire Bus. Fin. Auth. Poll. Cont. Rev. (United Illumination Co.) Series A, 3.65%, tender 2/1/10 (AMBAC Insured) (b)(c)

1,000,000

993,450

New Jersey - 1.5%

New Jersey Econ. Dev. Auth. Rev. Series 2005 K, 5.5% 12/15/19 (AMBAC Insured)

1,500,000

1,738,635

New Jersey Gen. Oblig. Series 2005 N, 5.25% 7/15/10 (FGIC Insured) (a)

1,000,000

1,075,950

New Jersey Tpk. Auth. Tpk. Rev. Series A, 5.6% 1/1/22 (Pre-Refunded to 1/1/10 @ 100) (d)

300,000

329,004

New Jersey Trans. Trust Fund Auth. Series B, 5.25% 12/15/22 (AMBAC Insured)

1,000,000

1,140,480

North Hudson Swr. Auth. Swr. Rev. Series A, 5.25% 8/1/17 (FGIC Insured)

2,000,000

2,185,640

Tobacco Settlement Fing. Corp.:

4.375% 6/1/19

465,000

469,766

6.125% 6/1/24

1,100,000

1,262,294

6.125% 6/1/42

1,600,000

1,722,944

9,924,713

New Mexico - 1.2%

Albuquerque Arpt. Rev.:

6.7% 7/1/18 (AMBAC Insured) (c)

3,970,000

4,282,399

6.75% 7/1/09 (AMBAC Insured) (c)

450,000

500,747

6.75% 7/1/11 (AMBAC Insured) (c)

1,805,000

2,062,916

New Mexico Edl. Assistance Foundation Student Ln. Rev. Series IV A2, 6.65% 3/1/07

1,000,000

1,023,250

7,869,312

New York - 8.6%

Erie County Indl. Dev. Agcy. School Facility Rev. (Buffalo City School District Proj.):

5.75% 5/1/16 (FSA Insured)

1,500,000

1,704,240

5.75% 5/1/21 (FSA Insured)

1,200,000

1,343,292

5.75% 5/1/21 (FSA Insured)

4,900,000

5,604,914

5.75% 5/1/25 (FSA Insured)

600,000

682,488

Municipal Bonds - continued

Principal Amount

Value

New York - continued

Metropolitan Trans. Auth. Rev.:

Series 2002 A, 5.75% 11/15/32

$ 4,300,000

$ 4,837,586

Series F, 5.25% 11/15/27 (MBIA Insured)

500,000

538,795

Metropolitan Trans. Auth. Svc. Contract Rev.:

Series 7, 5.625% 7/1/16 (Escrowed to Maturity) (d)

1,000,000

1,002,940

Series O, 5.75% 7/1/13 (Escrowed to Maturity) (d)

700,000

780,808

Metropolitan Trans. Auth. Transit Facilities Rev. Series C, 4.75% 7/1/16 (Pre-Refunded to 1/1/12 @ 100) (d)

150,000

161,753

Nassau County Gen. Oblig. Series Z, 5% 9/1/11
(FGIC Insured)

300,000

321,600

New York City Gen. Oblig.:

Series 2003 I, 5.75% 3/1/16

715,000

799,542

Series 2005 J, 5% 3/1/20

2,000,000

2,118,560

Series A, 5.25% 11/1/14 (MBIA Insured)

600,000

658,986

Series C:

5.75% 3/15/27 (FSA Insured)

375,000

419,036

5.75% 3/15/27 (Pre-Refunded to 3/15/12
@ 100) (d)

125,000

142,429

Series E, 6% 8/1/11

25,000

26,083

New York City Indl. Dev. Agcy. Indl. Dev. Rev. (Japan Airlines Co. Ltd. Proj.) Series 1991, 6% 11/1/15
(FSA Insured) (c)

750,000

789,750

New York City Indl. Dev. Agcy. Spl. Facilities Rev. (Term. One Group Assoc. Proj.) 5.9% 1/1/06 (c)

8,680,000

8,804,992

New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:

Series 2002 A, 5.125% 6/15/34 (FSA Insured)

500,000

528,230

Series A, 5.125% 6/15/34 (MBIA Insured)

2,000,000

2,112,920

New York City Trust Cultural Resources Rev. (Museum of Modern Art Proj.) Series 2001 D, 5.125% 7/1/31 (AMBAC Insured)

1,000,000

1,054,950

New York State Dorm. Auth. Revs.:

(City Univ. Sys. Consolidation Proj.):

Series A, 5.75% 7/1/13

1,500,000

1,670,010

Series C, 7.5% 7/1/10

435,000

483,355

(The Jamaica Hosp. Proj.) Series F, 5.2% 2/15/14 (MBIA Insured)

6,150,000

6,546,060

Series 2002 A, 5.75% 10/1/17 (MBIA Insured)

1,000,000

1,129,890

New York State Envir. Facilities Corp. Clean Wtr. & Drinking Wtr. Rev. Series F:

4.875% 6/15/18

870,000

903,913

4.875% 6/15/20

795,000

823,572

5% 6/15/15

305,000

320,979

Municipal Bonds - continued

Principal Amount

Value

New York - continued

New York State Thruway Auth. Svc. Contract Rev. 5.5% 4/1/16

$ 305,000

$ 335,811

New York Transitional Fin. Auth. Rev. Series A, 5.75% 2/15/16

400,000

441,724

Sales Tax Asset Receivables Corp. Series A, 5.25% 10/15/27 (AMBAC Insured)

1,500,000

1,639,425

Tobacco Settlement Fing. Corp. Series A1:

5.25% 6/1/21 (AMBAC Insured)

1,000,000

1,079,760

5.25% 6/1/22 (AMBAC Insured)

950,000

1,024,442

5.5% 6/1/16

4,700,000

5,087,938

55,920,773

New York & New Jersey - 0.3%

Port Auth. of New York & New Jersey 124th Series, 5% 8/1/13 (FGIC Insured) (c)

500,000

521,440

Port Auth. of New York & New Jersey Spl. Oblig. Rev. (JFK Int'l. Air Term. Spl. Proj.) Series 6, 6.25% 12/1/13 (MBIA Insured) (c)

1,400,000

1,591,408

2,112,848

North Carolina - 3.1%

Charlotte Ctfs. of Prtn. (2003 Govt. Facilities Projs.) Series G, 5% 6/1/33

1,000,000

1,043,350

Dare County Ctfs. of Prtn. 5.25% 6/1/15 (AMBAC Insured)

1,195,000

1,322,913

North Carolina Cap. Facilities Fin. Agcy. Rev. (Duke Univ. Proj.) Series A:

5.125% 10/1/41

1,720,000

1,792,206

5.125% 7/1/42

5,155,000

5,401,512

5.25% 7/1/42

1,300,000

1,376,167

North Carolina Eastern Muni. Pwr. Agcy. Pwr. Sys. Rev.:

Series A, 5.5% 1/1/11

1,500,000

1,606,185

Series B:

5.875% 1/1/21 (MBIA Insured)

3,050,000

3,223,423

7.25% 1/1/07

1,000,000

1,051,430

Series C, 5.5% 1/1/07

700,000

719,285

Series D, 6.7% 1/1/19

1,115,000

1,240,649

North Carolina Infrastructure Fin. Corp. Ctfs. of Prtn. (North Carolina Correctional Facilities Proj.) Series A, 5% 2/1/18

1,000,000

1,072,160

19,849,280

Municipal Bonds - continued

Principal Amount

Value

Ohio - 0.7%

Cincinnati Student Ln. Fdg. Corp. Student Ln. Rev.
Series B, 8.875% 8/1/08 (c)

$ 1,005,000

$ 1,008,930

Fairborn City School District (School Impt. Proj.) 5.75% 12/1/26 (FSA Insured)

1,000,000

1,115,210

Franklin County Hosp. Rev. 5.5% 5/1/21 (AMBAC Insured)

1,455,000

1,600,325

Plain Local School District 6% 12/1/25 (FGIC Insured)

410,000

462,898

4,187,363

Oklahoma - 1.6%

Oklahoma City Pub. Property Auth. Hotel Tax Rev. 5.5% 10/1/21 (FGIC Insured)

1,695,000

1,890,484

Oklahoma Industries Auth. Rev. (Health Sys. Oblig. Group Proj.) Series A:

5.75% 8/15/29 (MBIA Insured)

865,000

936,968

5.75% 8/15/29 (Pre-Refunded to 8/15/09
@ 101) (d)

635,000

702,666

6% 8/15/19 (MBIA Insured)

1,740,000

1,916,610

6% 8/15/19 (Pre-Refunded to 8/15/09 @ 101) (d)

1,260,000

1,406,110

Tulsa Indl. Auth. Rev. (Univ. of Tulsa Proj.) Series 2000 A, 5.75% 10/1/25 (MBIA Insured)

3,000,000

3,299,670

10,152,508

Oregon - 1.0%

Oregon Dept. Administrative Svcs. Ctfs. of Prtn.
Series A, 5.375% 5/1/15 (AMBAC Insured)

1,715,000

1,894,029

Tri-County Metropolitan Trans. District Rev. Series A:

5.75% 8/1/18 (Pre-Refunded to 8/1/10 @ 100) (d)

1,000,000

1,110,990

5.75% 8/1/19 (Pre-Refunded to 8/1/10 @ 100) (d)

2,080,000

2,310,859

Yamhill County School District #029J Newberg 5.5% 6/15/19 (FGIC Insured)

1,000,000

1,156,100

6,471,978

Pennsylvania - 3.0%

Allegheny County Arpt. Rev. (Pittsburgh Int'l. Arpt. Proj.) Series A1, 5.75% 1/1/07 (MBIA Insured) (c)

1,000,000

1,030,960

Annville-Cleona School District 5.5% 3/1/22 (FSA Insured)

1,250,000

1,406,400

Canon McMillan School District:

Series 2001 B, 5.75% 12/1/33 (FGIC Insured)

1,000,000

1,107,420

Series 2002 B, 5.75% 12/1/35 (FGIC Insured)

1,595,000

1,790,053

Delaware County Auth. College Rev. (Haverford College Proj.) 5.75% 11/15/29

3,500,000

3,866,555

Municipal Bonds - continued

Principal Amount

Value

Pennsylvania - continued

Montgomery County Higher Ed. & Health Auth. Hosp. Rev. (Abington Memorial Hosp. Proj.) Series A, 6% 6/1/16 (AMBAC Insured)

$ 1,860,000

$ 2,187,788

Pennsylvania Econ. Dev. Fing. Auth. Exempt Facilities Rev. (Amtrak Proj.) Series 2001 A, 6.25% 11/1/31 (c)

2,000,000

2,153,920

Pennsylvania Higher Edl. Facilities Auth. Rev. (Lafayette College Proj.) 6% 5/1/30

3,065,000

3,397,093

Westmoreland County Muni. Auth. Muni. Svc. Rev. Series A, 0% 8/15/21 (FGIC Insured)

5,000,000

2,404,000

19,344,189

Puerto Rico - 0.5%

Puerto Rico Commonwealth Infrastructure Fing. Auth.:

Series 2000 A, 5.5% 10/1/32 (Escrowed to Maturity) (d)

945,000

1,042,089

Series C, 5.5% 7/1/20 (FGIC Insured)

2,000,000

2,344,260

3,386,349

Rhode Island - 0.9%

Rhode Island Health & Edl. Bldg. Corp. Rev. Series A, 5.25% 9/15/17 (AMBAC Insured)

1,000,000

1,096,260

Rhode Island Port Auth. & Econ. Dev. Corp. Arpt. Rev. Series A, 7% 7/1/14 (FSA Insured) (c)

4,000,000

4,678,000

5,774,260

South Carolina - 0.8%

South Carolina Ed. Assistance Auth. Rev. (Guaranteed Student Ln. Prog.) Series B, 5.7% 9/1/05 (c)

1,000,000

1,001,590

South Carolina Jobs Econ. Dev. Auth. Hosp. Facilities Rev. (Palmetto Health Alliance Proj.) Series A, 7.375% 12/15/21 (Pre-Refunded to 12/15/10 @ 102) (d)

1,000,000

1,205,190

South Carolina Pub. Svc. Auth. Rev.:

(Santee Cooper Proj.) Series 2005 B, 5% 1/1/18 (MBIA Insured) (a)

1,000,000

1,072,000

Series A, 5.5% 1/1/16 (FGIC Insured) (a)

1,000,000

1,135,780

Tobacco Settlement Rev. Mgmt. Auth. Series 2001 B, 6.375% 5/15/28

545,000

582,763

4,997,323

Municipal Bonds - continued

Principal Amount

Value

Tennessee - 0.7%

Metropolitan Govt. Nashville & Davidson County Health & Edl. Facilities Board Rev. (Ascension Health Cr. Group Proj.) Series A:

5.875% 11/15/28 (Pre-Refunded to 11/15/09
@ 101) (d)

$ 400,000

$ 444,284

6% 11/15/30 (Pre-Refunded to 11/15/09 @ 101) (d)

600,000

669,396

Shelby County Health Edl. & Hsg. Facility Board Hosp. Rev. (Methodist Hosp. Proj.) 6.5% 9/1/26
(Pre-Refunded to 9/1/12 @ 100) (d)

3,000,000

3,553,620

4,667,300

Texas - 15.5%

Abilene Independent School District 5% 2/15/19 (a)

1,090,000

1,172,993

Aldine Independent School District 5.5% 2/15/13

3,150,000

3,461,063

Aledo Independent School District Series A, 5.125% 2/15/33

1,000,000

1,057,540

Alvin Independent School District 5.75% 8/15/21

1,000,000

1,100,580

Austin Independent School District 5.25% 8/1/14 (a)

1,000,000

1,076,840

Boerne Independent School District 5.25% 2/1/35

1,100,000

1,175,064

Canyon Independent School District Series A, 5.5% 2/15/18

1,575,000

1,750,046

Corpus Christi Util. Sys. Rev. 5.25% 7/15/18 (FSA Insured)

1,000,000

1,114,780

Corsicana Independent School District 5.125% 2/15/28

1,015,000

1,084,822

Cypress-Fairbanks Independent School District:

Series A:

0% 2/15/14

3,200,000

2,253,856

0% 2/15/16

1,400,000

889,742

5.75% 2/15/21

1,000,000

1,111,260

Dallas Independent School District Series 5, 5.25% 8/15/13

1,000,000

1,106,850

Fort Worth Wtr. & Swr. Rev. 5% 2/15/16 (FSA Insured)

1,000,000

1,079,930

Garland Independent School District 5.5% 2/15/19

2,500,000

2,699,175

Grand Praire Independent School District 5.375% 2/15/16 (FSA Insured)

1,000,000

1,103,010

Grapevine Gen. Oblig. 5.75% 8/15/18 (Pre-Refunded to 8/15/10 @ 100) (d)

1,250,000

1,392,775

Guadalupe-Blanco River Auth. Contract Rev. (Western Canyon Reg'l. Wtr. Supply Proj.) 5.25% 4/15/20 (MBIA Insured)

1,000,000

1,084,150

Harris County Gen. Oblig.:

0% 10/1/17 (MBIA Insured)

2,500,000

1,474,325

Municipal Bonds - continued

Principal Amount

Value

Texas - continued

Harris County Gen. Oblig.: - continued

0% 8/15/24 (MBIA Insured)

$ 1,000,000

$ 409,980

Harris County Health Facilities Dev. Corp. Rev. (Saint Luke's Episcopal Hosp. Proj.):

Series 2001 A, 5.5% 2/15/12

1,000,000

1,090,310

5.75% 2/15/21

1,310,000

1,419,254

Hays Consolidated Independent School District Series A, 5.125% 8/15/30

1,000,000

1,067,480

Houston Arpt. Sys. Rev.:

Series A, 5.625% 7/1/19 (FSA Insured) (c)

1,000,000

1,084,670

Series B, 5.5% 7/1/30 (FSA Insured)

1,400,000

1,507,618

Houston Independent School District 0% 8/15/13

1,300,000

940,537

Humble Independent School District Series 2005 B, 5.25% 2/15/20 (FGIC Insured)

1,800,000

1,969,398

Hurst Euless Bedford Independent School District 0% 8/15/11

1,000,000

795,410

Kennedale Independent School District 5.5% 2/15/29

1,100,000

1,204,126

Lewisville Independent School District 0% 8/15/19

2,340,000

1,251,409

Los Fresnos Independent School District:

5.75% 8/15/13

1,040,000

1,153,703

5.75% 8/15/14

1,100,000

1,218,107

Lower Colorado River Auth. Transmission Contract Rev. (LCRA Transmission Services Corp. Proj.) Series C, 5.25% 5/15/19 (AMBAC Insured)

1,000,000

1,088,420

Mansfield Independent School District:

5.375% 2/15/26

1,000,000

1,073,790

5.5% 2/15/17

2,000,000

2,202,340

Montgomery County Muni. Util. District #46 5% 3/1/21 (FSA Insured)

1,040,000

1,090,440

Mount Pleasant Independent School District 5.5% 2/15/22

2,590,000

2,825,379

North Central Health Facilities Dev. Corp. Rev. (Children's Med. Ctr. of Dallas Proj.) 5.5% 8/15/16 (AMBAC Insured)

1,230,000

1,353,025

Northside Independent School District:

5.5% 2/15/15

940,000

1,029,855

5.5% 2/15/15 (Pre-Refunded to 2/15/11 @ 100) (d)

1,060,000

1,176,483

Northwest Texas Independent School District 5.5% 8/15/21

3,185,000

3,514,839

Sabine River Auth. Poll. Cont. Rev. (Texas Utils. Elec. Co. Proj.) Series B, 5.75%, tender 11/1/11 (b)(c)

4,000,000

4,270,480

San Antonio Elec. & Gas Systems Rev. 5.5% 2/1/20 (Pre-Refunded to 2/1/07 @ 101) (d)

75,000

78,607

Municipal Bonds - continued

Principal Amount

Value

Texas - continued

San Marcos Consolidated Independent School District:

5% 8/1/14 (a)

$ 1,145,000

$ 1,249,756

5% 8/1/20 (a)

1,525,000

1,630,927

Southwest Higher Ed. Auth. Rev. (Southern Methodist Univ. Proj.) 5.5% 10/1/14 (AMBAC Insured)

2,245,000

2,513,547

Spring Branch Independent School District 5.375% 2/1/18

1,000,000

1,080,530

Tarrant County Health Facilities Dev. Corp. Hosp. Rev. 5.375% 11/15/20

1,000,000

1,038,410

Texas Muni. Pwr. Agcy. Rev.:

0% 9/1/11 (AMBAC Insured)

4,715,000

3,746,303

0% 9/1/11 (Escrowed to Maturity) (d)

35,000

27,959

0% 9/1/15 (MBIA Insured)

1,100,000

717,156

Texas Pub. Fin. Auth. Bldg. Rev. (Texas Technical College Proj.) 6.25% 8/1/09 (MBIA Insured)

1,000,000

1,053,850

Texas Tpk. Auth. Central Tpk. Sys. Rev.:

5.5% 8/15/39 (AMBAC Insured)

4,050,000

4,398,503

5.75% 8/15/38 (AMBAC Insured)

3,775,000

4,215,656

Texas Tpk. Auth. Dallas North Tollway Rev. 5.25% 1/1/23 (FGIC Insured)

2,600,000

2,674,542

Texas Wtr. Dev. Board Rev. Series A, 5.5% 7/15/21

1,000,000

1,073,170

Travis County Health Facilities Dev. Corp. Rev. (Ascension Health Cr. Prog.) Series A, 6.25% 11/15/19 (Pre-Refunded to 11/15/09 @ 101) (d)

4,000,000

4,510,840

Tyler Health Facilities Dev. Corp. Hosp. Rev. (Mother Frances Hosp. Reg'l. Health Care Ctr. Proj.) 6% 7/1/27

1,000,000

1,055,390

White Settlement Independent School District 5.75% 8/15/34

1,340,000

1,497,303

Williamson County Gen. Oblig.:

5.5% 2/15/19 (FSA Insured)

35,000

38,144

5.5% 2/15/19 (Pre-Refunded to 2/15/11 @ 100) (d)

1,320,000

1,465,055

6% 8/15/19 (Pre-Refunded to 8/15/10 @ 100) (d)

1,000,000

1,125,740

Yselta Independent School District 0% 8/15/09

4,065,000

3,525,737

100,642,979

Utah - 1.9%

Intermountain Pwr. Agcy. Pwr. Supply Rev.:

Series A:

6.5% 7/1/09 (AMBAC Insured)

365,000

407,373

6.5% 7/1/09 (Escrowed to Maturity) (d)

635,000

712,680

Series B:

5.75% 7/1/16 (MBIA Insured)

2,500,000

2,665,700

Municipal Bonds - continued

Principal Amount

Value

Utah - continued

Intermountain Pwr. Agcy. Pwr. Supply Rev.: - continued

6% 7/1/16 (MBIA Insured)

$ 7,000,000

$ 7,331,170

Salt Lake City School District Series B, 5% 3/1/12

1,380,000

1,501,495

12,618,418

Vermont - 0.2%

Vermont Edl. & Health Bldgs. Fing. Agcy. Rev. (Fletcher Allen Health Care, Inc. Proj.):

Series 2000 A, 6.125% 12/1/27 (AMBAC Insured)

1,000,000

1,127,560

Series A, 5.75% 12/1/18 (AMBAC Insured)

400,000

444,848

1,572,408

Virginia - 0.2%

Virginia Resources Auth. Clean Wtr. State Revolving Fund Rev. 5.625% 10/1/22 (Pre-Refunded to 10/1/10 @ 100) (d)

1,250,000

1,388,700

Washington - 8.8%

Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A:

0% 6/1/17 (MBIA Insured)

1,000,000

584,640

0% 6/1/29 (MBIA Insured)

2,000,000

615,140

Clark County School District #114, Evergreen 5.375% 12/1/14 (FSA Insured)

3,040,000

3,367,803

Energy Northwest Elec. Rev. (#1 Proj.) Series B, 6% 7/1/17 (MBIA Insured)

4,000,000

4,556,360

Grant County Pub. Util. District #2 (Priest Rapids Hydro-Elec. Proj.) Second Series B, 5.375% 1/1/16 (MBIA Insured) (c)

1,715,000

1,832,443

Grant County Pub. Util. District #2 Wanapum Hydro Elec. Rev. Series B, 5.25% 1/1/22 (FGIC Insured) (c)

1,950,000

2,065,733

King County Swr. Rev. Series B:

5.125% 1/1/33 (FSA Insured)

2,800,000

2,920,176

5.5% 1/1/21 (FSA Insured)

1,615,000

1,763,144

Port of Seattle Passenger Facilities Charge Rev. Series B, 5.25% 12/1/14 (AMBAC Insured) (c)

3,000,000

3,151,470

Seattle Wtr. Sys. Rev. Series B, 5.75% 7/1/23 (FGIC Insured)

1,000,000

1,094,110

Spokane County School District #81 5.25% 12/1/18 (FSA Insured)

1,000,000

1,090,960

Spokane Gen. Oblig. 5.25% 12/1/24 (AMBAC Insured)

1,000,000

1,079,480

Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. 5.75% 12/1/24 (MBIA Insured)

1,000,000

1,134,980

Municipal Bonds - continued

Principal Amount

Value

Washington - continued

Tacoma Elec. Sys. Rev.:

Series 2001 A, 5.75% 1/1/20 (FSA Insured)

$ 1,000,000

$ 1,106,820

Series A, 5.625% 1/1/21 (FSA Insured)

1,300,000

1,424,280

Tumwater School District #33, Thurston County Series 1996 B, 0% 12/1/10 (FGIC Insured)

4,000,000

3,279,960

Washington Gen. Oblig.:

Series 2000 A, 5.625% 7/1/24 (Pre-Refunded to 7/1/09 @ 100) (d)

2,000,000

2,180,760

Series 2001 C, 5.25% 1/1/16

1,000,000

1,083,510

Series C, 5.25% 1/1/26 (FSA Insured)

1,000,000

1,067,260

Series R 97A, 0% 7/1/19 (MBIA Insured)

1,200,000

640,884

Washington Health Care Facilities Auth. Rev. (Providence Health Systems Proj.) Series 2001 A, 5.5% 10/1/13 (MBIA Insured)

3,000,000

3,293,190

Washington Pub. Pwr. Supply Sys. Nuclear Proj. #2 Rev. 5.4% 7/1/12

16,000,000

17,675,671

57,008,774

Wisconsin - 1.3%

Badger Tobacco Asset Securitization Corp. 6.125% 6/1/27

890,000

956,786

Douglas County Gen. Oblig. 5.5% 2/1/18 (FGIC Insured)

335,000

367,689

Menasha Joint School District:

5.5% 3/1/17 (FSA Insured)

65,000

71,455

5.5% 3/1/17 (Pre-Refunded to 3/1/12 @ 100) (d)

1,095,000

1,227,429

Wisconsin Gen. Oblig. Series 1, 5.25% 5/1/12 (MBIA Insured) (a)

1,000,000

1,082,860

Wisconsin Health & Edl. Facilities Auth. Rev.:

(Marshfield Clinic Proj.) Series B, 6% 2/15/25

1,500,000

1,609,455

(Wheaton Franciscan Svcs., Inc. Proj.):

Series A, 5.5% 8/15/16

1,000,000

1,080,060

5.75% 8/15/30

1,500,000

1,603,125

6.25% 8/15/22

600,000

662,982

8,661,841

TOTAL INVESTMENT PORTFOLIO - 100.2%

(Cost $618,743,012)

650,344,720

NET OTHER ASSETS - (0.2)%

(1,537,744)

NET ASSETS - 100%

$ 648,806,976

Legend

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

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

(c) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

(d) Security collateralized by an amount sufficient to pay interest and principal.

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $618,386,648. Net unrealized appreciation aggregated $31,958,072, of which $32,592,062 related to appreciated investment securities and $633,990 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 Short
Fixed-Income Fund
Class A
Class T
Class B
Class C
Institutional Class

July 31, 2005

1.804867.101

SFI-QTLY-0905

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 20.8%

Principal Amount

Value

CONSUMER DISCRETIONARY - 2.6%

Auto Components - 0.2%

DaimlerChrysler NA Holding Corp. 3.8938% 5/24/06 (f)

$ 2,800,000

$ 2,808,156

Media - 2.4%

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

2,350,000

2,426,001

Continental Cablevision, Inc.:

8.3% 5/15/06

3,200,000

3,299,456

9% 9/1/08

1,400,000

1,567,614

Cox Communications, Inc.:

3.875% 10/1/08

2,680,000

2,600,951

6.4% 8/1/08

795,000

820,436

7.75% 8/15/06

2,600,000

2,685,488

Hearst-Argyle Television, Inc. 7% 11/15/07

1,500,000

1,564,347

Lenfest Communications, Inc. 10.5% 6/15/06

1,225,000

1,286,250

Liberty Media Corp.:

4.91% 9/17/06 (f)

3,203,000

3,220,841

7.75% 7/15/09

2,350,000

2,486,204

News America, Inc. 6.625% 1/9/08

3,000,000

3,134,637

TCI Communications, Inc. 8% 8/1/05

3,610,000

3,610,000

Univision Communications, Inc.:

3.5% 10/15/07

535,000

519,685

3.875% 10/15/08

1,095,000

1,056,459

30,278,369

TOTAL CONSUMER DISCRETIONARY

33,086,525

CONSUMER STAPLES - 0.6%

Food Products - 0.3%

Kraft Foods, Inc. 5.25% 6/1/07

3,265,000

3,309,561

Tobacco - 0.3%

Altria Group, Inc. 5.625% 11/4/08

2,000,000

2,052,672

Philip Morris Companies, Inc. 6.375% 2/1/06

2,000,000

2,019,114

4,071,786

TOTAL CONSUMER STAPLES

7,381,347

ENERGY - 1.5%

Energy Equipment & Services - 0.1%

Cooper Cameron Corp. 2.65% 4/15/07

1,335,000

1,289,200

Nonconvertible Bonds - continued

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - 1.4%

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

$ 1,865,000

$ 1,852,484

Delek & Avner Yam Tethys Ltd. 5.326% 8/1/13 (b)

2,464,128

2,429,162

Enterprise Products Operating LP:

4% 10/15/07

2,775,000

2,728,685

4.625% 10/15/09

3,070,000

3,020,960

Kinder Morgan Energy Partners LP 5.35% 8/15/07

1,400,000

1,408,015

Pemex Project Funding Master Trust 6.125% 8/15/08

4,535,000

4,648,375

Petroleum Export Ltd.:

4.623% 6/15/10 (b)

1,515,000

1,510,243

4.633% 6/15/10 (b)

910,000

907,143

18,505,067

TOTAL ENERGY

19,794,267

FINANCIALS - 7.7%

Capital Markets - 0.7%

Bank of New York Co., Inc.:

3.4% 3/15/13 (f)

2,750,000

2,652,614

4.25% 9/4/12 (f)

1,285,000

1,274,697

Goldman Sachs Group LP 7.2% 11/1/06 (b)

500,000

517,021

Lehman Brothers Holdings, Inc.:

3.5% 8/7/08

105,000

101,690

4% 1/22/08

195,000

192,932

6.25% 5/15/06

2,795,000

2,837,920

6.625% 2/5/06

120,000

121,522

Merrill Lynch & Co., Inc. 3.7% 4/21/08

1,400,000

1,372,402

9,070,798

Commercial Banks - 0.8%

Australia & New Zealand Banking Group Ltd. yankee 7.55% 9/15/06

405,000

419,205

Bank of America Corp.:

7.125% 9/15/06

1,750,000

1,802,301

7.4% 1/15/11

275,000

312,318

Bank One Corp. 6% 8/1/08

975,000

1,014,203

Corporacion Andina de Fomento yankee 7.25% 3/1/07

965,000

1,001,354

First National Boston Corp. 7.375% 9/15/06

1,145,000

1,182,337

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

Korea Development Bank:

3.875% 3/2/09

$ 2,700,000

$ 2,622,445

4.75% 7/20/09

1,500,000

1,499,651

9,853,814

Consumer Finance - 2.0%

American General Finance Corp. 4.5% 11/15/07

1,115,000

1,112,054

Ford Motor Credit Co.:

4.95% 1/15/08

1,990,000

1,916,481

6.5% 1/25/07

8,430,000

8,518,195

General Motors Acceptance Corp.:

4.87% 10/20/05 (f)

915,000

916,313

6.75% 1/15/06

3,425,000

3,451,934

Household Finance Corp.:

4.125% 12/15/08

705,000

693,146

4.75% 5/15/09

1,563,000

1,565,105

6.4% 6/17/08

2,070,000

2,170,277

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

2,025,000

2,072,298

HSBC Finance Corp. 4.125% 3/11/08

4,145,000

4,099,670

26,515,473

Diversified Financial Services - 0.3%

CC Funding Trust I 6.9% 2/16/07

2,040,000

2,108,564

J.P. Morgan & Co., Inc. 6.25% 1/15/09

1,075,000

1,128,258

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

1,000,000

1,029,077

4,265,899

Insurance - 0.3%

The St. Paul Travelers Companies, Inc.:

5.01% 8/16/07

1,905,000

1,915,937

5.75% 3/15/07

1,070,000

1,085,989

Travelers Property Casualty Corp. 3.75% 3/15/08

530,000

517,365

3,519,291

Real Estate - 2.8%

AMB Property LP 7.2% 12/15/05

1,000,000

1,010,979

Arden Realty LP 8.5% 11/15/10

2,050,000

2,369,577

AvalonBay Communities, Inc. 5% 8/1/07

915,000

919,609

Brandywine Operating Partnership LP 4.5% 11/1/09

1,020,000

991,223

BRE Properties, Inc.:

5.95% 3/15/07

575,000

585,895

7.2% 6/15/07

1,775,000

1,853,769

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Real Estate - continued

Camden Property Trust:

4.375% 1/15/10

$ 1,385,000

$ 1,346,806

5.875% 6/1/07

580,000

588,114

CarrAmerica Realty Corp. 5.25% 11/30/07

2,170,000

2,181,082

Colonial Properties Trust:

4.75% 2/1/10

1,330,000

1,297,654

7% 7/14/07

1,260,000

1,303,755

Developers Diversified Realty Corp.:

3.875% 1/30/09

755,000

726,708

5% 5/3/10

1,310,000

1,304,478

7% 3/19/07

2,095,000

2,164,104

EOP Operating LP:

6.763% 6/15/07

1,625,000

1,683,750

7.75% 11/15/07

1,650,000

1,756,392

8.375% 3/15/06

1,500,000

1,537,277

Gables Realty LP:

5% 3/15/10

810,000

793,186

5.75% 7/15/07

2,720,000

2,764,135

7.25% 2/15/06

700,000

710,674

JDN Realty Corp. 6.95% 8/1/07

855,000

883,262

Simon Property Group LP:

4.6% 6/15/10 (b)

1,130,000

1,112,038

4.875% 8/15/10

2,460,000

2,446,755

6.875% 11/15/06

3,785,000

3,872,407

36,203,629

Thrifts & Mortgage Finance - 0.8%

Abbey National PLC 6.69% 10/17/05

200,000

201,189

Countrywide Home Loans, Inc.:

3.8175% 6/2/06 (f)

1,250,000

1,253,670

5.5% 8/1/06

1,290,000

1,304,639

5.625% 5/15/07

745,000

758,613

Residential Capital Corp. 4.835% 6/29/07 (b)(f)

3,960,000

3,964,118

Washington Mutual, Inc. 4.375% 1/15/08

2,700,000

2,686,676

10,168,905

TOTAL FINANCIALS

99,597,809

Nonconvertible Bonds - continued

Principal Amount

Value

INDUSTRIALS - 0.8%

Aerospace & Defense - 0.2%

Northrop Grumman Corp. 4.079% 11/16/06

$ 2,900,000

$ 2,878,711

Air Freight & Logistics - 0.0%

Federal Express Corp. pass thru trust certificates 7.53% 9/23/06

302,435

305,517

Airlines - 0.3%

American Airlines, Inc. pass thru trust certificates:

6.855% 10/15/10

225,038

231,512

6.978% 10/1/12

122,772

127,634

Continental Airlines, Inc. pass thru trust certificates:

6.32% 11/1/08

3,080,000

3,113,056

7.056% 3/15/11

355,000

368,512

Delta Air Lines, Inc. pass thru trust certificates 7.379% 5/18/10

683,464

642,456

4,483,170

Industrial Conglomerates - 0.3%

Tyco International Group SA yankee 5.8% 8/1/06

3,360,000

3,406,328

TOTAL INDUSTRIALS

11,073,726

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.5%

Motorola, Inc. 4.608% 11/16/07

6,000,000

5,998,398

MATERIALS - 0.2%

Containers & Packaging - 0.1%

Sealed Air Corp. 6.95% 5/15/09 (b)

855,000

911,174

Paper & Forest Products - 0.1%

Boise Cascade Corp. 8% 2/24/06

745,000

763,625

International Paper Co. 4.25% 1/15/09

435,000

425,119

1,188,744

TOTAL MATERIALS

2,099,918

TELECOMMUNICATION SERVICES - 3.9%

Diversified Telecommunication Services - 3.5%

ALLTEL Corp. 4.656% 5/17/07

2,720,000

2,728,628

BellSouth Corp. 4.2% 9/15/09

1,775,000

1,746,873

British Telecommunications PLC 7.875% 12/15/05

4,775,000

4,841,334

Deutsche Telekom International Finance BV 3.875% 7/22/08

2,425,000

2,381,365

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

France Telecom SA 7.45% 3/1/06 (a)

$ 3,160,000

$ 3,216,137

Koninklijke KPN NV yankee 8% 10/1/10

2,850,000

3,250,268

Sprint Capital Corp. 6% 1/15/07

3,240,000

3,301,009

Telecom Italia Capital 4% 11/15/08

7,140,000

6,999,992

Telefonica Europe BV 7.35% 9/15/05

180,000

180,701

Telefonos de Mexico SA de CV:

4.5% 11/19/08

2,470,000

2,434,365

4.75% 1/27/10 (b)

3,355,000

3,309,751

TELUS Corp. yankee 7.5% 6/1/07

4,220,000

4,437,862

Verizon Global Funding Corp.:

6.125% 6/15/07

2,140,000

2,206,100

7.25% 12/1/10

4,205,000

4,684,715

45,719,100

Wireless Telecommunication Services - 0.4%

America Movil SA de CV 4.125% 3/1/09

3,925,000

3,807,380

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

1,000,000

1,017,632

4,825,012

TOTAL TELECOMMUNICATION SERVICES

50,544,112

UTILITIES - 3.0%

Electric Utilities - 2.3%

American Electric Power Co., Inc. 4.709% 8/16/07

3,685,000

3,691,309

DTE Energy Co. 6.45% 6/1/06

1,750,000

1,778,856

Duke Capital LLC:

4.37% 3/1/09

2,045,000

2,026,472

7.5% 10/1/09

2,700,000

2,959,062

Exelon Corp. 4.45% 6/15/10

3,750,000

3,692,483

FirstEnergy Corp. 5.5% 11/15/06

5,095,000

5,160,007

FPL Group Capital, Inc. 3.25% 4/11/06

705,000

700,612

Monongahela Power Co. 5% 10/1/06

2,015,000

2,023,435

Progress Energy, Inc.:

5.85% 10/30/08

1,025,000

1,057,519

6.75% 3/1/06

2,695,000

2,731,078

7.1% 3/1/11

2,285,000

2,510,817

Southwestern Public Service Co. 5.125% 11/1/06

650,000

654,896

TXU Energy Co. LLC 6.125% 3/15/08

935,000

964,393

29,950,939

Nonconvertible Bonds - continued

Principal Amount

Value

UTILITIES - continued

Gas Utilities - 0.1%

NiSource Finance Corp. 3.2% 11/1/06

$ 1,085,000

$ 1,070,854

Independent Power Producers & Energy Traders - 0.2%

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

1,335,000

1,372,495

Duke Capital LLC 4.331% 11/16/06

1,630,000

1,626,808

2,999,303

Multi-Utilities - 0.4%

Dominion Resources, Inc. 4.125% 2/15/08

2,610,000

2,577,017

MidAmerican Energy Holdings, Inc. 4.625% 10/1/07

705,000

704,457

Sempra Energy 4.621% 5/17/07

2,120,000

2,119,294

5,400,768

TOTAL UTILITIES

39,421,864

TOTAL NONCONVERTIBLE BONDS

(Cost $270,618,180)

268,997,966

U.S. Government and Government Agency Obligations - 18.8%

U.S. Government Agency Obligations - 9.3%

Fannie Mae:

3.125% 12/15/07

9,435,000

9,198,502

3.25% 8/15/08

6,089,000

5,909,649

3.625% 3/15/07

5,255,000

5,212,161

3.75% 5/17/07

6,925,000

6,868,056

4.75% 1/2/07

9,798,000

9,861,197

6% 5/15/08

45,782,000

47,828,547

Federal Home Loan Bank 3.8% 12/22/06

3,650,000

3,625,965

Freddie Mac:

2.7% 3/16/07

18,000,000

17,572,014

2.875% 12/15/06

13,742,000

13,508,359

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

119,584,450

U.S. Treasury Obligations - 9.5%

U.S. Treasury Bonds 12% 8/15/13

17,526,000

21,439,906

U.S. Treasury Notes:

2.375% 8/31/06 (d)

7,625,000

7,500,796

3.5% 11/15/06

185,000

183,981

3.625% 4/30/07

11,092,000

11,020,079

U.S. Government and Government Agency Obligations - continued

Principal Amount

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

3.625% 6/30/07 (c)

$ 10,101,000

$ 10,028,000

3.75% 5/15/08

73,580,000

72,982,148

TOTAL U.S. TREASURY OBLIGATIONS

123,154,910

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $245,795,186)

242,739,360

U.S. Government Agency - Mortgage Securities - 10.7%

Fannie Mae - 9.2%

3.463% 4/1/34 (f)

509,904

507,965

3.734% 1/1/35 (f)

333,083

329,697

3.753% 10/1/33 (f)

210,881

207,809

3.786% 12/1/34 (f)

270,403

267,419

3.793% 6/1/34 (f)

943,289

921,237

3.801% 12/1/34 (f)

63,361

62,769

3.828% 1/1/35 (f)

215,751

213,875

3.838% 1/1/35 (f)

617,318

614,838

3.867% 1/1/35 (f)

360,793

358,793

3.88% 6/1/33 (f)

934,657

925,958

3.913% 12/1/34 (f)

201,206

199,634

3.937% 10/1/34 (f)

280,160

278,077

3.937% 12/1/34 (f)

394,995

393,012

3.967% 11/1/34 (f)

441,233

437,547

3.97% 5/1/33 (f)

77,869

77,403

3.975% 1/1/35 (f)

278,081

275,403

3.981% 12/1/34 (f)

262,019

259,277

4.008% 12/1/34 (f)

1,471,505

1,468,521

4.011% 1/1/35 (f)

173,038

171,303

4.014% 12/1/34 (f)

215,338

213,057

4.023% 2/1/35 (f)

191,435

189,784

4.03% 1/1/35 (f)

485,302

481,522

4.032% 12/1/34 (f)

153,439

153,128

4.045% 5/1/34 (f)

76,087

76,038

4.049% 2/1/35 (f)

202,673

201,145

4.053% 10/1/18 (f)

216,795

214,652

4.054% 1/1/35 (f)

202,276

200,380

4.079% 4/1/33 (f)

73,354

73,246

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

4.098% 1/1/35 (f)

$ 431,968

$ 433,591

4.104% 2/1/35 (f)

139,875

139,190

4.11% 2/1/35 (f)

139,465

138,974

4.117% 2/1/35 (f)

367,353

365,917

4.118% 1/1/35 (f)

410,978

409,150

4.121% 2/1/35 (f)

778,184

774,576

4.124% 1/1/35 (f)

419,012

420,930

4.137% 1/1/35 (f)

712,645

709,826

4.138% 2/1/35 (f)

474,031

475,793

4.144% 1/1/35 (f)

590,058

592,818

4.15% 11/1/34 (f)

355,490

353,553

4.154% 2/1/35 (f)

373,844

372,751

4.178% 1/1/35 (f)

797,969

805,569

4.183% 1/1/35 (f)

337,816

337,493

4.189% 11/1/34 (f)

104,506

104,319

4.197% 1/1/35 (f)

439,133

436,260

4.232% 3/1/34 (f)

187,493

186,861

4.25% 2/1/35 (f)

216,320

215,097

4.258% 10/1/34 (f)

578,067

581,477

4.293% 3/1/35 (f)

209,623

209,596

4.297% 7/1/34 (f)

209,735

210,253

4.302% 1/1/35 (f)

284,936

283,180

4.306% 8/1/33 (f)

468,196

466,336

4.315% 3/1/33 (f)

109,115

108,881

4.323% 5/1/35 (f)

321,668

321,221

4.332% 12/1/34 (f)

139,686

139,821

4.335% 2/1/35 (f)

136,877

136,526

4.349% 1/1/35 (f)

206,224

204,388

4.351% 1/1/35 (f)

211,503

210,736

4.367% 2/1/34 (f)

548,741

547,331

4.372% 4/1/35 (f)

141,844

141,601

4.401% 2/1/35 (f)

334,709

332,303

4.409% 5/1/35 (f)

634,653

634,946

4.451% 6/1/33 (f)

169,679

167,804

4.455% 3/1/35 (f)

294,902

292,333

4.467% 10/1/34 (f)

1,250,339

1,250,848

4.479% 4/1/34 (f)

374,864

375,407

4.489% 8/1/34 (f)

739,751

739,405

4.5% 8/1/20 (c)

38,250,000

37,616,484

4.5% 3/1/35 (f)

679,660

677,329

4.508% 1/1/35 (f)

370,215

372,375

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

4.529% 3/1/35 (f)

$ 634,323

$ 631,746

4.538% 8/1/34 (f)

468,934

471,556

4.554% 7/1/35 (f)

775,000

775,363

4.564% 2/1/35 (f)

1,537,298

1,539,099

4.57% 2/1/35 (f)

232,361

233,072

4.619% 2/1/35 (f)

673,128

670,682

4.645% 2/1/35 (f)

170,941

171,898

4.649% 11/1/34 (f)

799,002

800,763

4.687% 11/1/34 (f)

794,654

795,690

4.714% 3/1/35 (f)

1,996,589

2,004,635

4.74% 7/1/34 (f)

696,171

691,558

4.741% 3/1/35 (f)

378,872

378,872

4.823% 12/1/34 (f)

623,541

625,735

4.847% 12/1/34 (f)

248,708

249,445

5.123% 2/1/35 (f)

2,000,156

1,996,644

5.137% 5/1/35 (f)

186,624

186,879

5.204% 6/1/35 (f)

1,089,804

1,104,070

5.366% 12/1/32 (f)

344,989

348,870

5.5% 7/1/13 to 5/1/25

21,406,943

21,805,917

5.817% 5/1/35 (f)

1,500,849

1,516,806

6.5% 2/1/08 to 3/1/35

15,699,652

16,292,783

7% 8/1/15 to 6/1/32

1,315,679

1,382,466

7% 8/1/20 (c)

1,101,056

1,152,324

7.5% 5/1/12 to 10/1/14

182,284

192,862

11.5% 11/1/15

81,833

91,184

TOTAL FANNIE MAE

119,177,657

Freddie Mac - 1.4%

4.106% 12/1/34 (f)

240,676

239,215

4.13% 12/1/34 (f)

349,118

347,520

4.223% 1/1/35 (f)

1,125,771

1,121,715

4.3% 5/1/35 (f)

555,064

552,224

4.311% 12/1/34 (f)

331,301

329,301

4.312% 3/1/35 (f)

316,656

315,654

4.368% 3/1/35 (f)

467,713

462,451

4.4% 2/1/35 (f)

639,664

632,668

4.404% 2/1/35 (f)

703,075

701,208

4.446% 3/1/35 (f)

294,491

291,109

4.449% 2/1/34 (f)

351,491

350,013

4.49% 3/1/35 (f)

850,325

842,885

4.497% 6/1/35 (f)

491,204

490,846

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Freddie Mac - continued

4.498% 3/1/35 (f)

$ 2,105,000

$ 2,091,186

4.504% 3/1/35 (f)

343,152

339,774

4.565% 2/1/35 (f)

496,657

497,317

5.036% 4/1/35 (f)

1,869,166

1,880,537

5.223% 8/1/33 (f)

161,492

164,984

5.5% 7/1/23 to 4/1/24

5,189,904

5,255,877

8.5% 5/1/26 to 7/1/28

249,501

272,127

12% 11/1/19

17,257

19,029

TOTAL FREDDIE MAC

17,197,640

Government National Mortgage Association - 0.1%

7% 1/15/25 to 6/15/32

1,299,615

1,373,687

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $138,455,430)

137,748,984

Asset-Backed Securities - 21.1%

Accredited Mortgage Loan Trust:

Series 2003-2 Class A1, 4.23% 10/25/33

1,316,331

1,274,007

Series 2003-3 Class A1, 4.46% 1/25/34

1,233,277

1,202,781

Series 2004-2 Class A2, 3.76% 7/25/34 (f)

1,602,650

1,605,475

Series 2004-4 Class A2D, 3.81% 1/25/35 (f)

865,975

868,153

ACE Securities Corp.:

Series 2003-HE1:

Class A2, 3.87% 11/25/33 (f)

695,922

696,775

Class M1, 4.11% 11/25/33 (f)

430,000

431,795

Class M2, 5.16% 11/25/33 (f)

270,000

274,316

Series 2004-HE1 Class A2B, 3.91% 2/25/34 (f)

879,993

880,638

Aesop Funding II LLC Series 2005-1A Class A1, 3.95% 4/20/08 (b)

2,000,000

1,973,823

American Express Credit Account Master Trust Series 2004-C Class C, 3.8881% 2/15/12 (b)(f)

2,858,381

2,866,816

AmeriCredit Automobile Receivables Trust:

Series 2001-B Class A4, 5.37% 6/12/08

891,259

893,515

Series 2003-CF Class A4, 3.48% 5/6/10

1,810,000

1,792,419

Series 2004-1:

Class A3, 3.22% 7/6/08

870,000

863,967

Class B, 3.7% 1/6/09

150,000

148,198

Class C, 4.22% 7/6/09

155,000

153,487

Class D, 5.07% 7/6/10

1,105,000

1,103,261

Asset-Backed Securities - continued

Principal Amount

Value

AmeriCredit Automobile Receivables Trust: - continued

Series 2004-CA Class A4, 3.61% 5/6/11

$ 630,000

$ 617,582

Series 2005-1 Class D, 5.04% 5/6/11

2,500,000

2,489,750

Ameriquest Mortgage Securities, Inc.:

Series 2002-AR1 Class M1, 4.17% 9/25/32 (f)

1,075,986

1,076,860

Series 2003-3 Class S, 5% 9/25/05 (h)

1,188,298

4,589

Series 2003-7 Class M1, 4.31% 8/25/33 (f)

625,000

634,792

Series 2004-R10 Class M1, 4.16% 11/25/34 (f)

1,370,000

1,376,622

Series 2004-R11 Class M1, 4.12% 11/25/34 (f)

2,040,000

2,048,472

Series 2004-R9:

Class A3, 3.78% 10/25/34 (f)

2,140,000

2,144,553

Class M2, 4.11% 10/25/34 (f)

1,515,000

1,518,447

Class M4, 4.63% 10/25/34 (f)

1,945,000

1,975,315

Amortizing Residential Collateral Trust:

Series 2002-BC3 Class A, 3.79% 6/25/32 (f)

265,229

266,034

Series 2002-BC7 Class M1, 4.1144% 10/25/32 (f)

1,100,000

1,108,250

ARG Funding Corp. Series 2005-1A Class A1, 4.02% 4/20/09 (b)

4,100,000

4,045,933

Argent Securities, Inc.:

Series 2003-W3:

Class AV1B, 3.91% 9/25/33 (f)

105,349

105,917

Class AV2, 3.86% 9/25/33 (f)

82,859

83,151

Class M2, 5.26% 9/25/33 (f)

3,100,000

3,192,998

Series 2003-W6 Class AV2, 3.83% 1/25/34 (f)

834,672

835,644

Series 2003-W7:

Class A2, 3.85% 3/1/34 (f)

1,045,359

1,047,655

Class M1, 4.15% 3/1/34 (f)

2,500,000

2,513,549

Series 2003-W9 Class M1, 4.15% 3/25/34 (f)

1,800,000

1,809,801

Series 2004-W5 Class M1, 4.06% 4/25/34 (f)

830,000

830,999

Asset Backed Funding Certificates Series 2004-HE1 Class M2, 4.61% 1/25/34 (f)

485,000

492,265

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE2 Class A2, 3.7681% 4/15/33 (f)

207,123

207,209

Series 2003-HE3 Class A2, 3.7381% 6/15/33 (f)

33,229

33,232

Series 2003-HE5 Class A2B, 4% 8/15/33

224,937

217,851

Series 2003-HE7 Class A3, 3.7481% 12/15/33 (f)

883,460

886,717

Series 2004-HE3 Class M2, 4.58% 6/25/34 (f)

700,000

707,584

Series 2004-HE6 Class A2, 3.82% 6/25/34 (f)

3,805,365

3,813,409

Series 2005-HE2:

Class M1, 3.91% 3/25/35 (f)

1,830,000

1,826,892

Class M2, 3.96% 3/25/35 (f)

460,000

460,149

Bank One Issuance Trust:

Series 2002-B2 Class B2, 3.7281% 5/15/08 (f)

1,100,000

1,100,141

Asset-Backed Securities - continued

Principal Amount

Value

Bank One Issuance Trust: - continued

Series 2002-C2 Class C2, 4.3781% 5/15/08 (f)

$ 7,345,000

$ 7,351,697

Bayview Financial Acquisition Trust Series 2004-C
Class A1, 3.9013% 5/28/44 (f)

1,910,674

1,910,463

Bayview Financial Asset Trust Series 2000-F Class A, 3.9813% 9/28/43 (f)

1,683,288

1,685,656

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.9313% 2/28/44 (f)

1,206,374

1,208,801

Bear Stearns Asset Backed Securities I:

Series 2004-BO1:

Class M2, 4.21% 9/25/34 (f)

794,000

799,222

Class M3, 4.51% 9/25/34 (f)

540,000

543,511

Class M4, 4.66% 9/25/34 (f)

460,000

465,646

Class M5, 4.86% 9/25/34 (f)

435,000

441,722

Series 2004-HE8:

Class M1, 4.11% 9/25/34 (f)

1,800,000

1,798,651

Class M2, 4.66% 9/25/34 (f)

890,000

887,509

BMW Vehicle Owner Trust Series 2005-A Class B, 4.42% 4/25/11

1,035,000

1,032,702

Capital Auto Receivables Asset Trust:

Series 2002-4, Class CTFS, 2.62% 3/17/08

449,725

445,516

Series 2002-5 Class B, 2.8% 4/15/08

463,182

458,918

Series 2005-1 Class B, 3.7631% 6/15/10 (f)

1,240,000

1,241,163

Capital One Auto Finance Trust:

Series 2002-A Class A4, 4.79% 1/15/09

1,348,675

1,351,445

Series 2005-A Class A3, 4.28% 7/15/09

2,165,000

2,159,804

Series 2005-BSS:

Class B, 4.32% 5/17/10

1,430,000

1,418,193

Series D, 4.8% 9/15/12

1,220,000

1,205,122

Capital One Master Trust:

Series 1999-3 Class B, 3.8681% 9/15/09 (f)

1,000,000

1,000,816

Series 2001-1 Class B, 3.8981% 12/15/10 (f)

1,700,000

1,712,084

Series 2001-8A Class A, 4.6% 8/17/09

1,390,000

1,394,700

Capital One Multi-Asset Execution Trust Series 2003-B1 Class B1, 4.5581% 2/17/09 (f)

5,715,000

5,750,750

Capital Trust Ltd. Series 2004-1:

Class A2, 3.88% 7/20/39 (b)(f)

645,000

645,000

Class B, 4.18% 7/20/39 (b)(f)

340,000

340,000

Class C, 4.53% 7/20/39 (b)(f)

435,000

435,000

CDC Mortgage Capital Trust Series 2002-HE2 Class M1, 4.16% 1/25/33 (f)

835,059

837,821

Chase Credit Card Master Trust Series 2003-6 Class B, 3.7381% 2/15/11 (f)

2,150,000

2,166,220

Asset-Backed Securities - continued

Principal Amount

Value

Chase Credit Card Owner Trust Series 2004-1 Class B, 3.5881% 5/15/09 (f)

$ 875,000

$ 874,830

Chase Issuance Trust Series 2004-C3 Class C3, 3.8581% 6/15/12 (f)

3,305,000

3,308,847

Citibank Credit Card Issuance Trust:

Series 2000-C2 Class C2, 4.2488% 10/15/07 (f)

3,000,000

3,001,946

Series 2002-C1 Class C1, 4.2185% 2/9/09 (f)

3,000,000

3,032,043

Series 2003-C1 Class C1, 4.65% 4/7/10 (f)

2,600,000

2,653,675

Citigroup Mortgage Loan Trust Series 2003-HE4
Class A, 3.87% 12/25/33 (b)(f)

1,717,484

1,717,662

Countrywide Home Loans, Inc.:

Series 2003-BC1 Class M2, 5.46% 9/25/32 (f)

2,410,000

2,439,284

Series 2004-2:

Class 3A4, 3.71% 7/25/34 (f)

1,209,480

1,210,365

Class M1, 3.96% 5/25/34 (f)

1,075,000

1,076,389

Series 2004-3 Class 3A4, 3.71% 8/25/34 (f)

2,045,606

2,037,298

Series 2004-4:

Class A, 3.83% 8/25/34 (f)

531,387

531,848

Class M1, 3.94% 7/25/34 (f)

775,000

775,677

Class M2, 3.99% 6/25/34 (f)

920,000

920,740

Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1
Class C, 5.074% 6/15/35 (b)

974,000

978,870

CS First Boston Mortgage Securities Corp.:

Series 2004-FRE1:

Class A2, 3.81% 4/25/34 (f)

600,072

600,048

Class B1, 5.26% 4/25/34 (f)

1,295,000

1,294,943

Class M3, 4.11% 4/25/34 (f)

1,315,000

1,314,944

Series 2005-FIX1 Class A2, 4.31% 5/25/35

2,090,000

2,057,353

Discover Card Master Trust I Series 2003-4 Class B1, 3.7181% 5/16/11 (f)

1,775,000

1,784,101

Diversified REIT Trust Series 2000-1A Class A2, 6.971% 3/8/10 (b)

1,500,000

1,583,017

Drive Auto Receivables Trust Series 2005-1 Class A3, 3.75% 4/15/09 (b)

1,035,000

1,023,024

Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5:

Class AB1, 3.674% 5/28/35 (f)

1,970,726

1,969,341

Class AB3, 3.8305% 5/28/35 (f)

1,624,796

1,625,361

Class AB8, 3.784% 5/28/35 (f)

1,722,815

1,723,625

First USA Secured Note Trust Series 2001-3 Class C, 4.4669% 11/19/08 (b)(f)

2,645,000

2,663,598

Ford Credit Auto Owner Trust Series 2005-A:

Class A4, 3.72% 10/15/09

4,100,000

4,037,077

Asset-Backed Securities - continued

Principal Amount

Value

Ford Credit Auto Owner Trust Series 2005-A: - continued

Class B, 3.88% 1/15/10

$ 590,000

$ 577,982

Fremont Home Loan Trust:

Series 2004-1:

Class M1, 3.91% 2/25/34 (f)

150,000

149,994

Class M2, 3.96% 2/25/34 (f)

150,000

149,994

Series 2004-A Class M2, 4.61% 1/25/34 (f)

1,100,000

1,112,611

Series 2004-C:

Class M1, 4.11% 8/25/34 (f)

1,120,000

1,124,005

Class M3, 4.61% 8/25/34 (f)

3,000,000

3,056,973

Series 2004-D:

Class M4, 4.41% 11/25/34 (f)

295,000

295,907

Class M5, 4.46% 11/25/34 (f)

245,000

245,663

Series 2005-A Class 2A2, 3.7% 2/25/35 (f)

3,215,000

3,219,248

GE Business Loan Trust Series 2004-2 Class A, 0.8454% 12/15/08 (b)(h)

87,317,000

1,565,637

Greenpoint Credit LLC Series 2001-1 Class 1A, 3.77% 4/20/32 (f)

860,556

858,302

GSAMP Trust:

Series 2002-NC1 Class A2, 3.78% 7/25/32 (f)

4,389

4,414

Series 2003-HE1 Class M2, 5.33% 6/20/33 (f)

1,810,000

1,847,014

Series 2003-HE2 Class M1, 4.11% 8/25/33 (f)

650,000

652,883

Guggenheim Structured Real Estate Funding Ltd. Series 2005-1 Class C, 4.3944% 5/25/30 (b)(f)

3,050,000

3,047,092

Harwood Street Funding I LLC Series 2004-1A
Class CTFS, 5.43% 9/20/09 (b)(f)

4,400,000

4,400,000

HFC Home Equity Loan Asset Backed Certificates Series 2005-2:

Class M1, 3.97% 1/20/34 (f)

640,000

640,000

Class M2, 4% 1/20/34 (f)

480,000

480,000

Home Equity Asset Trust:

Series 2002-2 Class A4, 3.81% 6/25/32 (f)

5,664

5,670

Series 2002-5 Class A3, 3.98% 5/25/33 (f)

289,392

290,001

Series 2003-3 Class A4, 3.92% 2/25/33 (f)

152,550

153,232

Series 2003-5 Class A2, 3.81% 12/25/33 (f)

1,027,998

1,031,629

Series 2003-7 Class A2, 3.84% 3/25/34 (f)

1,276,828

1,279,852

Series 2003-8 Class M1, 4.18% 4/25/34 (f)

845,000

849,372

Series 2004-1 Class M2, 4.66% 6/25/34 (f)

655,000

659,705

Series 2004-2 Class A2, 3.75% 7/25/34 (f)

720,107

720,083

Series 2004-3:

Class M1, 4.03% 8/25/34 (f)

425,000

425,978

Class M2, 4.66% 8/25/34 (f)

465,000

472,899

Asset-Backed Securities - continued

Principal Amount

Value

Home Equity Asset Trust: - continued

Series 2004-6 Class A2, 3.81% 12/25/34 (f)

$ 2,642,660

$ 2,651,061

Household Automotive Trust Series 2004-1 Class A4, 3.93% 7/18/11

1,170,000

1,149,234

Household Home Equity Loan Trust:

Series 2002-3 Class A, 3.88% 7/20/32 (f)

392,805

393,327

Series 2003-2 Class M, 4.01% 9/20/33 (f)

294,513

295,149

Household Mortgage Loan Trust:

Series 2003-HC2 Class M, 4.03% 6/20/33 (f)

497,911

498,419

Series 2004-HC1 Class A, 3.78% 2/20/34 (f)

1,170,228

1,173,154

Household Private Label Credit Card Master Note Trust I:

Series 2002-2 Class B, 3.9381% 1/18/11 (f)

1,000,000

1,005,671

Series 2002-3 Class B, 4.6381% 9/15/09 (f)

1,215,000

1,217,712

Hyundai Auto Receivables Trust Series 2005-A:

Class B, 4.2% 2/15/12

1,115,000

1,102,735

Class C, 4.22% 2/15/12

185,000

183,317

MASTR Asset Backed Securities Trust Series 2004-FRE1 Class M1, 4.01% 7/25/34 (f)

1,146,000

1,149,499

MBNA Credit Card Master Note Trust:

Series 2001-B1 Class B1, 3.7631% 10/15/08 (f)

1,350,000

1,351,893

Series 2001-B2 Class B2, 3.7481% 1/15/09 (f)

4,750,000

4,762,039

Series 2002-B1 Class B1, 5.15% 7/15/09

1,025,000

1,035,537

Series 2002-B2 Class B2, 3.7681% 10/15/09 (f)

3,600,000

3,615,588

Series 2002-B3 Class B3, 3.7881% 1/15/08 (f)

1,100,000

1,100,034

MBNA Master Credit Card Trust II:

Series 1998-E Class B, 3.9288% 9/15/10 (f)

1,500,000

1,508,956

Series 1998-G Class B, 3.7881% 2/17/09 (f)

1,550,000

1,553,377

Series 2000-L Class B, 3.8881% 4/15/10 (f)

650,000

654,450

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 3.96% 7/25/34 (f)

425,000

424,982

Merrill Lynch Mortgage Investors, Inc.:

Series 2003-OPT1 Class M1, 4.11% 7/25/34 (f)

1,145,000

1,150,086

Series 2004-CB6 Class A1, 3.79% 7/25/35 (f)

1,318,783

1,322,824

Series 2004-FM1 Class M2, 4.61% 1/25/35 (f)

300,000

305,024

Morgan Stanley ABS Capital I, Inc.:

Series 2003-NC5 Class M2, 5.46% 4/25/33 (f)

575,000

582,011

Series 2004-HE6 Class A2, 3.8% 8/25/34 (f)

2,397,897

2,405,741

Series 2004-NC6 Class A2, 3.8% 7/25/34 (f)

693,408

694,896

Series 2004-NC7 Class A3, 3.76% 7/25/34 (f)

5,000,000

5,006,258

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-NC1 Class M2, 4.53% 10/25/31 (f)

96,580

96,580

Series 2002-AM3 Class A3, 3.95% 2/25/33 (f)

161,684

162,133

Series 2002-HE2 Class M1, 4.16% 8/25/32 (f)

1,150,000

1,155,284

Asset-Backed Securities - continued

Principal Amount

Value

Morgan Stanley Dean Witter Capital I Trust: - continued

Series 2002-NC1 Class M1, 4.26% 2/25/32 (b)(f)

$ 616,912

$ 622,095

Series 2003-NC1 Class M1, 4.51% 11/25/32 (f)

535,000

538,639

Series 2003-NC2 Class M2, 5.46% 2/25/33 (f)

615,000

624,743

National Collegiate Funding LLC Series 2004-GT1
Class IO1, 7.87% 6/25/10 (b)(f)(h)

1,725,000

583,038

National Collegiate Student Loan Trust:

Series 2004-2 Class AIO, 9.75% 10/25/14 (h)

1,885,000

957,015

Series 2005-2 Class AIO, 7.73% 3/25/12 (h)

1,265,000

400,499

Series 2005-GT1 Class AIO, 6.75% 12/25/09 (h)

900,000

242,367

Navistar Financial Corp. Owner Trust:

Series 2001-B Class B, 4.83% 11/17/08

1,015,283

1,013,593

Series 2005-A Class A4, 4.43% 1/15/14

1,165,000

1,159,492

Nissan Auto Receivables OwnerTrust Series 2005-A Class A4, 3.82% 7/15/10

1,210,000

1,190,862

Onyx Acceptance Owner Trust:

Series 2002-C Class A4, 4.07% 4/15/09

661,947

660,831

Series 2005-A Class A3, 3.69% 5/15/09

890,000

880,773

Park Place Securities NIM Trust Series 2004-WHQN2 Class A, 4% 2/25/35 (b)

1,422,919

1,412,247

Park Place Securities, Inc.:

Series 2004 WWF1 Class M4, 4.56% 1/25/35 (f)

1,905,000

1,944,240

Series 2004-WCW1:

Class M1, 4.09% 9/25/34 (f)

640,000

642,003

Class M2, 4.14% 9/25/34 (f)

380,000

382,019

Class M3, 4.71% 9/25/34 (f)

730,000

739,083

Class M4, 4.91% 9/25/34 (f)

1,000,000

1,014,386

Series 2004-WCW2 Class A2, 3.84% 10/25/34 (f)

1,839,786

1,845,220

Series 2004-WHQ2 Class A3E, 3.88% 2/25/35 (f)

1,705,062

1,710,083

Providian Gateway Master Trust Series 2002-B Class A, 4.0881% 6/15/09 (b)(f)

1,400,000

1,403,677

Residential Asset Mortgage Products, Inc.:

Series 2003-RZ2 Class A1, 3.6% 4/25/33

648,460

636,917

Series 2004-RS10 Class MII2, 4.71% 10/25/34 (f)

2,600,000

2,631,605

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (b)

642,929

620,433

Saxon Asset Securities Trust Series 2004-2 Class MV1, 4.04% 8/25/35 (f)

980,000

981,317

Sears Credit Account Master Trust II:

Series 2002-4 Class B, 3.8131% 8/18/09 (f)

1,100,000

1,100,038

Series 2002-5 Class B, 4.6381% 11/17/09 (f)

2,200,000

2,204,618

Asset-Backed Securities - continued

Principal Amount

Value

Securitized Asset Backed Receivables LLC Trust Series 2004-NC1:

Class A2, 3.71% 2/25/34 (f)

$ 1,143,375

$ 1,143,373

Class M1, 3.98% 2/25/34 (f)

610,000

609,844

SLM Private Credit Student Loan Trust:

Series 2004 B Class A2, 3.21% 6/15/21 (f)

1,800,000

1,811,249

Series 2004-A:

Class B, 3.59% 6/15/33 (f)

400,000

407,532

Class C, 3.96% 6/15/33 (f)

1,020,000

1,041,890

Series 2004-B Class C, 3.88% 9/15/33 (f)

1,900,000

1,899,506

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 3.8381% 3/15/11 (b)(f)

2,520,000

2,518,425

Superior Wholesale Inventory Financing Trust XII Series 2005-A12 Class C, 4.46% 6/15/10 (f)

1,405,000

1,404,989

Terwin Mortgage Trust Series 2003-4HE Class A1, 3.89% 9/25/34 (f)

1,209,176

1,215,729

Triad Auto Receivables Owner Trust Series 2002-A
Class A4, 3.24% 8/12/09

1,374,565

1,365,494

Volkswagen Auto Lease Trust:

Series 2004-A Class A3, 2.84% 7/20/07

2,610,000

2,580,309

Series 2005-A Class A4, 3.94% 10/20/10

3,625,000

3,586,989

WFS Financial Owner Trust:

Series 2004-3:

Class A4, 3.93% 2/17/12

5,000,000

4,920,095

Class D, 4.07% 2/17/12

1,098,656

1,089,917

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

940,993

928,862

Series 2005-1:

Class A3, 3.59% 10/19/09

3,465,000

3,423,404

Class D, 4.09% 8/15/12

830,000

821,961

Series 2005-3 Class C, 4.54% 5/17/13

850,000

849,774

World Omni Auto Receivables Trust Series 2005-A
Class A3, 3.54% 6/12/09

1,080,000

1,066,800

TOTAL ASSET-BACKED SECURITIES

(Cost $273,333,729)

273,276,912

Collateralized Mortgage Obligations - 11.9%

Private Sponsor - 9.2%

Adjustable Rate Mortgage Trust floater:

Series 2004-1 Class 9A2, 3.86% 1/25/34 (f)

1,086,185

1,088,778

Series 2004-2 Class 7A3, 3.86% 2/25/35 (f)

2,163,339

2,168,316

Series 2004-4 Class 5A2, 3.86% 3/25/35 (f)

915,570

917,395

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 3.74% 1/25/35 (f)

$ 1,118,835

$ 1,118,835

Series 2005-2 Class 1A1, 3.71% 3/25/35 (f)

3,163,197

3,163,197

Series 2005-5 Class 1A1, 3.68% 7/25/35 (f)

1,870,786

1,869,617

Countrywide Home Loans, Inc.:

floater Series 2004-16 Class A1, 3.86% 9/25/34 (f)

2,273,800

2,271,686

sequential pay:

Series 2002-25 Class 2A1, 5.5% 11/27/17

789,657

790,692

Series 2002-32 Class 2A3, 5% 1/25/18

145,163

145,235

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR4 Class 5A2, 3.83% 5/25/34 (f)

428,115

427,854

Series 2004-AR5 Class 11A2, 3.83% 6/25/34 (f)

602,234

601,008

Series 2004-AR8 Class 8A2, 3.84% 9/25/34 (f)

1,061,266

1,063,233

Granite Master Issuer PLC floater Series 2005-2
Class C1, 3.7857% 12/20/54 (f)

1,800,000

1,799,438

Granite Mortgages PLC floater:

Series 2004-1 Class 1C, 4.33% 3/20/44 (f)

875,000

878,483

Series 2004-2 Class 1C, 4.13% 6/20/44 (f)

737,118

738,634

Holmes Financing No. 8 PLC floater Series 2:

Class B, 3.7688% 7/15/40 (f)

565,000

565,353

Class C, 4.3188% 7/15/40 (f)

1,295,000

1,301,071

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 3.91% 10/25/34 (f)

2,288,583

2,295,662

Impac CMB Trust floater:

Series 2004-6 Class 1A2, 3.85% 10/25/34 (f)

778,810

780,201

Series 2004-9:

Class M2, 4.11% 1/25/35 (f)

840,448

844,134

Class M3, 4.16% 1/25/35 (f)

623,019

624,674

Class M4, 4.51% 1/25/35 (f)

317,781

318,712

Series 2005-1:

Class M1, 3.92% 4/25/35 (f)

726,519

725,753

Class M2, 3.96% 4/25/35 (f)

1,253,246

1,252,218

Class M3, 3.99% 4/25/35 (f)

308,771

308,445

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 3.67% 9/26/45 (b)(f)

2,081,082

2,081,082

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

323,062

326,697

Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2437% 8/25/17 (f)

1,477,373

1,510,860

MASTR Adjustable Rate Mortgages Trust floater Series 2005-1 Class 1A1, 3.73% 3/25/35 (f)

3,079,668

3,077,743

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Merrill Lynch Mortgage Investors, Inc.:

floater:

Series 2003-A Class 2A1, 3.85% 3/25/28 (f)

$ 2,082,324

$ 2,093,566

Series 2003-F Class A2, 3.7075% 10/25/28 (f)

2,836,451

2,836,127

Series 2004-B Class A2, 3.79% 6/25/29 (f)

3,652,953

3,644,153

Series 2004-C Class A2, 3.95% 7/25/29 (f)

2,589,678

2,583,484

Series 2004-D Class A2, 3.4725% 9/25/29 (f)

2,306,824

2,307,426

Series 2003-E Class XA1, 1% 10/25/28 (f)(h)

9,684,691

117,796

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

8,463,136

109,703

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

7,395,225

96,744

Mortgage Asset Backed Securities Trust floater Series 2002-NC1 Class M1, 4.31% 10/25/32 (f)

1,452,336

1,457,771

MortgageIT Trust floater Series 2004-2:

Class A1, 3.83% 12/25/34 (f)

1,195,832

1,197,565

Class A2, 3.91% 12/25/34 (f)

1,616,588

1,626,180

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 3.75% 6/25/35 (f)

2,982,419

2,984,166

Permanent Financing No. 3 PLC floater Series 2 Class C, 4.4294% 6/10/42 (f)

605,000

611,050

Permanent Financing No. 4 PLC floater Series 2:

Class C, 4.0994% 6/10/42 (f)

1,495,000

1,502,311

Class M, 3.7094% 6/10/42 (f)

345,000

345,864

Permanent Financing No. 5 PLC floater:

Series 2 Class C, 4.0294% 6/10/42 (f)

915,000

919,290

Series 3 Class C, 4.1994% 6/10/42 (f)

1,935,000

1,951,931

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

1,063,946

1,083,155

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

30,670,996

231,692

Sequoia Mortgage Trust:

floater:

Series 2003-5 Class A2, 3.41% 9/20/33 (f)

824,933

824,718

Series 2003-6 Class A2, 3.6581% 11/20/33 (f)

1,839,616

1,837,734

Series 2003-7 Class A2, 2.885% 1/20/34 (f)

2,211,300

2,209,378

Series 2004-2 Class A, 3.35% 3/20/34 (f)

937,860

938,194

Series 2004-3 Class A, 3.5463% 5/20/34 (f)

2,224,703

2,209,231

Series 2004-4 Class A, 3.5881% 5/20/34 (f)

1,831,489

1,827,271

Series 2004-5 Class A3, 3.77% 6/20/34 (f)

1,780,808

1,779,416

Series 2004-6 Class A3A, 4.1475% 6/20/35 (f)

1,568,241

1,567,208

Series 2004-7 Class A3A, 3.2275% 8/20/34 (f)

1,701,497

1,700,117

Series 2004-8 Class A2, 3.45% 9/20/34 (f)

2,421,371

2,420,122

Series 2005-1 Class A2, 3.68% 2/20/35 (f)

1,608,968

1,608,767

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Sequoia Mortgage Trust: - continued

Series 2003-7 Class X1, 0.8% 1/20/34 (f)(h)

$ 80,544,938

$ 717,551

Series 2003-8 Class X1, 0.8% 1/20/34 (f)(h)

43,973,464

426,481

Series 2004-1 Class X1, 0.8% 2/20/34 (h)

10,322,181

110,769

Structured Adjustable Rate Mortgage Loan Trust floater Series 2005-10 Class A1, 3.66% 6/25/35 (f)

1,896,627

1,896,627

Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 3.86% 9/25/33 (b)(f)

556,838

557,190

WAMU Mortgage pass thru certificates Series 2005 AR11 Class A1C1, 3.8413% 8/25/45 (c)

2,850,000

2,850,000

Washington Mutual Mortgage Securities Corp. sequential pay:

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

275,739

285,751

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

472,409

482,726

Wells Fargo Mortgage Backed Securities Trust:

Series 2003-14 Class 1A1, 4.75% 12/25/18

1,868,220

1,843,700

Series 2004-M Class A3, 4.7024% 8/25/34 (f)

4,330,000

4,310,214

Series 2005-AR2 Class 2A2, 4.57% 3/25/35

5,717,412

5,653,383

Series 2005-AR4 Class 2A2, 4.541% 4/25/35 (f)

9,496,169

9,393,164

Series 2005-AR9 Class 2A1, 4.3621% 5/25/35 (f)

9,497,166

9,430,018

TOTAL PRIVATE SPONSOR

119,634,710

U.S. Government Agency - 2.7%

Fannie Mae planned amortization class:

Series 1993-187 Class L, 6.5% 7/25/23

1,618,818

1,662,441

Series 1994-30 Class JA, 5% 7/25/23

1,062,433

1,064,666

Fannie Mae guaranteed REMIC pass thru certificates:

planned amortization class:

Series 2003-16 Class PA, 4.5% 11/25/09

110,323

110,217

Series 2003-19 Class MJ, 4.25% 5/25/30

1,663,111

1,640,943

sequential pay Series 2001-40 Class Z, 6% 8/25/31

1,537,292

1,581,692

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

1,320,002

47,377

Freddie Mac sequential pay Series 2114 Class ZM, 6% 1/15/29

836,308

857,558

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Seires 2625 Class QX, 2.25% 3/15/22

428,503

417,686

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

542,756

544,477

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

618,947

622,150

Series 2489 Class PD, 6% 2/15/31

1,185,946

1,198,298

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

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

$ 3,668,194

$ 3,682,942

Series 2640 Class QG, 2% 4/15/22

550,698

534,519

Series 2660 Class ML, 3.5% 7/15/22

12,165,000

11,975,243

Series 2810 Class PD, 6% 6/15/33

1,490,000

1,535,434

sequential pay:

Series 2388 Class ZA, 6% 12/15/31

2,050,872

2,098,780

Series 2523 Class JB, 5% 6/15/15

1,836,270

1,848,460

Series 2609 Class UJ, 6% 2/15/17

1,992,486

2,076,484

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

345,256

352,077

Ginnie Mae guaranteed REMIC pass thru securities planned amortization class:

Series 2001-53 Class TA, 6% 12/20/30

133,269

133,372

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

824,779

840,190

TOTAL U.S. GOVERNMENT AGENCY

34,825,006

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $155,064,324)

154,459,716

Commercial Mortgage Securities - 9.5%

1301 Avenue of The Americas Trust Series 2000-1301:

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

1,155,000

1,154,973

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

1,545,000

1,544,964

280 Park Avenue Trust floater Series 2001-280
Class X1, 1.0124% 2/3/11 (b)(f)(h)

15,346,632

662,318

Asset Securitization Corp.:

sequential pay Series 1995-MD4 Class A1, 7.1% 8/13/29

81,032

83,271

Series 1997-D5 Class PS1, 1.6362% 2/14/43 (f)(h)

10,453,968

516,103

Banc of America Commercial Mortgage, Inc.:

sequential pay Series 2005-1 Class A2, 4.64% 11/10/42

2,930,000

2,933,767

Series 2002-2 Class XP, 1.7831% 7/11/43 (b)(f)(h)

7,829,474

468,108

Series 2003-2 Class XP, 0.3734% 3/11/41 (b)(f)(h)

31,441,016

355,884

Series 2004-6 Class XP, 0.6391% 12/10/42 (f)(h)

14,460,334

368,553

Banc of America Large Loan, Inc. floater Series 2003-BBA2:

Class A3, 3.7081% 11/15/15 (b)(f)

1,145,000

1,145,721

Class C, 3.8581% 11/15/15 (b)(f)

235,000

235,859

Commercial Mortgage Securities - continued

Principal Amount

Value

Banc of America Large Loan, Inc. floater Series 2003-BBA2: - continued

Class D, 3.9381% 11/15/15 (b)(f)

$ 365,000

$ 367,082

Class F, 4.2881% 11/15/15 (b)(f)

260,000

261,826

Class H, 4.7881% 11/15/15 (b)(f)

235,000

236,395

Class J, 5.3381% 11/15/15 (b)(f)

245,000

246,470

Class K, 5.82% 11/15/15 (b)(f)

220,000

218,610

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class A, 4.04% 12/25/33 (b)(f)

3,099,105

3,136,988

Series 2004-1:

Class A, 3.82% 4/25/34 (b)(f)

1,330,592

1,332,931

Class B, 5.36% 4/25/34 (b)(f)

166,324

168,228

Class M1, 4.02% 4/25/34 (b)(f)

83,162

83,526

Class M2, 4.66% 4/25/34 (b)(f)

83,162

84,137

Series 2004-2:

Class A, 3.89% 8/25/34 (b)(f)

1,373,609

1,380,369

Class M1, 4.04% 8/25/34 (b)(f)

442,955

444,686

Series 2004-3:

Class A1, 3.83% 1/25/35 (b)(f)

1,526,372

1,531,715

Class A2, 3.88% 1/25/35 (b)(f)

238,496

239,336

Series 2004-1 Class IO, 1.25% 4/25/34 (b)(h)

14,384,289

843,306

Bear Stearns Commercial Mortgage Securities, Inc.:

floater Series 2004-BBA3 Class E, 4.0881% 6/15/17 (b)(f)

2,265,000

2,265,206

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

625,000

626,697

Series 2002-TOP8 Class X2, 2.3239% 8/15/38 (b)(f)(h)

8,392,586

657,688

Series 2003-PWR2 Class X2, 0.6512% 5/11/39 (b)(f)(h)

22,016,715

511,508

Series 2003-T12 Class X2, 0.726% 8/13/39 (b)(f)(h)

20,962,771

524,042

Series 2004-PWR6 Class X2, 0.7315% 11/11/41 (b)(f)(h)

8,605,000

288,186

CDC Commercial Mortgage Trust Series 2002-FX1
Class XCL, 0.6669% 5/15/35 (b)(f)(h)

43,912,636

2,558,614

Chase Commercial Mortgage Securities Corp.:

floater Series 2000-FL1A Class B, 3.81% 12/12/13 (b)(f)

215,201

215,409

sequential pay:

Series 1999-2 Class A1, 7.032% 1/15/32

466,603

483,170

Series 2000-3 Class A1, 7.093% 10/15/32

759,886

795,102

Commercial Mortgage Securities - continued

Principal Amount

Value

Citigroup Commercial Mortgage Trust:

sequential pay Series 2005-EMG Class A2, 4.2211% 9/20/51 (b)

$ 985,000

$ 961,876

Series 2004-C2 Class XP, 1.1874% 10/15/41 (b)(f)(h)

9,958,519

447,105

COMM:

floater:

Series 2002-FL6 Class G, 5.2881% 6/14/14 (b)(f)

800,000

800,071

Series 2002-FL7:

Class D, 3.9581% 11/15/14 (b)(f)

520,000

520,226

Class H, 5.6381% 11/15/14 (b)(f)

1,232,000

1,232,631

Series 2003-FL9 Class B, 3.8881% 11/15/15 (b)(f)

2,318,745

2,325,116

Series 2004-LBN2 Class X2, 1.0846% 3/10/39 (b)(f)(h)

3,449,238

128,140

Commercial Mortgage Acceptance Corp. Series 1998-C2 Class B, 6.2857% 9/15/30 (f)

3,420,000

3,566,525

Commercial Mortgage Asset Trust sequential pay Series 1999-C1 Class A3, 6.64% 1/17/32

675,000

717,456

Commercial Mortgage pass thru certificates:

floater:

Series 2004-CNL:

Class G, 4.3681% 9/15/14 (b)(f)

310,000

310,124

Class H, 4.4681% 9/15/14 (b)(f)

330,000

330,132

Class J, 4.9881% 9/15/14 (b)(f)

115,000

115,366

Class K, 5.3881% 9/15/14 (b)(f)

180,000

180,371

Class L, 5.5881% 9/15/14 (b)(f)

145,000

144,929

Series 2004-HTL1:

Class B, 3.8381% 7/15/16 (b)(f)

106,579

106,655

Class D, 3.9381% 7/15/16 (b)(f)

247,297

247,332

Class E, 4.1381% 7/15/16 (b)(f)

174,787

174,853

Class F, 4.1881% 7/15/16 (b)(f)

187,588

187,706

Class H, 4.6881% 7/15/16 (b)(f)

537,088

537,269

Class J, 4.8381% 7/15/16 (b)(f)

208,813

208,883

Class K, 5.7381% 7/15/16 (b)(f)

234,401

234,299

Series 2004-CNL Class X1, 2.29% 9/15/14 (b)(f)(h)

23,140,000

367,926

Series 2005-LP5 Class XP, 0.3958% 5/10/43 (f)(h)

18,895,000

349,558

CS First Boston Mortgage Securities Corp.:

floater:

Series 2003-TF2A:

Class A2, 3.7081% 11/15/14 (b)(f)

1,200,000

1,200,897

Class C, 3.9381% 11/15/14 (b)(f)

240,000

240,542

Class E, 4.3381% 11/15/14 (b)(f)

190,000

190,693

Class H, 5.2881% 11/15/14 (b)(f)

235,000

235,825

Commercial Mortgage Securities - continued

Principal Amount

Value

CS First Boston Mortgage Securities Corp.: - continued

floater:

Series 2003-TF2A:

Class K, 6.4881% 11/15/14 (b)(f)

$ 350,000

$ 351,878

Series 2004-HC1:

Class A2, 3.8881% 12/15/21 (b)(f)

350,000

349,999

Class B, 4.1381% 12/15/21 (b)(f)

915,000

914,998

Series 2005-TFLA:

Class C, 3.6281% 2/15/20 (b)(f)

1,210,000

1,209,998

Class E, 3.7181% 2/15/20 (b)(f)

440,000

439,999

Class F, 3.7681% 2/15/20 (b)(f)

375,000

374,999

Class G, 3.9081% 2/15/20 (b)(f)

110,000

110,000

Class H, 4.1381% 2/15/20 (b)(f)

155,000

155,000

sequential pay:

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

127,556

128,576

Series 1999-C1 Class A2, 7.29% 9/15/41

3,000,000

3,251,356

Series 2001-CK3 Class A2, 6.04% 6/15/34

1,050,000

1,058,202

Series 2001-CK6 Class AX, 0.645% 9/15/18 (h)

19,247,934

658,093

Series 2003-C3 Class ASP, 2.063% 5/15/38 (b)(f)(h)

23,826,557

1,484,302

Series 2003-C4 Class ASP, 0.6849% 8/15/36 (b)(f)(h)

17,984,547

298,651

Series 2004-C1 Class ASP, 1.1073% 1/15/37 (b)(f)(h)

16,474,773

597,224

Series 2005-C1 Class ASP, 0.5844% 2/15/38 (b)(f)(h)

20,300,000

390,493

Series 2005-C2 Class ASP, 0.7725% 4/15/37 (b)(f)(h)

16,211,000

490,756

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

975,000

1,036,370

DLJ Commercial Mortgage Corp. sequential pay Series 2000-CF1:

Class A1A, 7.45% 6/10/33

673,140

682,939

Class A1B, 7.62% 6/10/33

1,770,000

1,975,367

EQI Financing Partnership I LP Series 1997-1 Class B, 7.37% 12/20/15 (b)

418,754

430,895

Equitable Life Assurance Society of the United States:

sequential pay Series 174 Class A1, 7.24% 5/15/06 (b)

1,000,000

1,021,156

Series 174 Class B1, 7.33% 5/15/06 (b)

500,000

510,503

First Union-Lehman Brothers Commercial Mortgage Trust sequential pay Series 1997-C2 Class A3, 6.65% 11/18/29

2,320,672

2,405,063

GE Capital Commercial Mortgage Corp. Series 2001-1 Class X1, 0.7684% 5/15/33 (b)(f)(h)

11,681,016

436,460

Commercial Mortgage Securities - continued

Principal Amount

Value

GE Commercial Mortgage Corp.:

sequential pay Series 2004-C3 Class A2, 4.433% 7/10/39

$ 1,805,000

$ 1,790,903

Series 2005-C1 Class XP, 0.5437% 6/10/48 (h)

17,685,000

447,694

GGP Mall Properties Trust:

floater Series 2001-C1A Class A3, 4.0881% 2/15/14 (b)(f)

452,048

452,247

sequential pay Series 2001-C1A Class A2, 5.007% 11/15/11 (b)

1,270,005

1,279,792

GMAC Commercial Mortgage Securities, Inc.:

sequential pay:

Series 1997-C2 Class A3, 6.566% 4/15/29

1,019,101

1,056,748

Series 2005-C1 Class A2, 4.471% 5/10/43 (f)

1,515,000

1,498,941

Series 2003-C3 Class X2, 0.7514% 12/10/38 (b)(f)(h)

20,202,614

565,114

Series 2004-C3 Class X2, 0.749% 12/10/41 (f)(h)

13,590,000

403,565

Greenwich Capital Commercial Funding Corp.:

Series 2002-C1 Class SWDB, 5.857% 11/11/19 (b)

1,150,000

1,141,088

Series 2003-C1 Class XP, 2.0978% 7/5/35 (b)(f)(h)

12,056,266

868,404

Series 2003-C2 Class XP, 1.0805% 1/5/36 (b)(f)(h)

23,799,950

910,696

Series 2005-GG3 Class XP, 0.8016% 8/10/42 (b)(h)

58,435,000

2,118,269

GS Mortgage Securities Corp. II:

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

1,705,000

1,671,409

Series 2004-C1 Class X2, 1.0214% 10/10/28 (b)(f)(h)

48,065,000

1,385,930

Hilton Hotel Pool Trust:

sequential pay Series 2000-HLTA Class A1, 7.055% 10/3/15 (b)

643,234

684,601

Series 2000-HLTA Class D, 7.555% 10/3/15 (b)

1,275,000

1,389,741

Host Marriot Pool Trust sequential pay Series 1999-HMTA:

Class A, 6.98% 8/3/15 (b)

499,314

522,882

Class B, 7.3% 8/3/15 (b)

505,000

550,501

Class D, 7.97% 8/3/15 (b)

425,000

460,402

J.P. Morgan Chase Commercial Mortgage Securities Corp.:

Series 2002-C3 Class X2, 1.2844% 7/12/35 (b)(f)(h)

6,600,777

253,483

Series 2003-CB7 Class X2, 0.8035% 1/12/38 (b)(f)(h)

4,639,376

141,050

Series 2003-LN1 Class X2, 0.8783% 10/15/37 (b)(f)(h)

27,972,092

720,265

Series 2004-C1 Class X2, 1.2511% 1/15/38 (b)(f)(h)

4,253,093

172,724

Commercial Mortgage Securities - continued

Principal Amount

Value

J.P. Morgan Chase Commercial Mortgage Securities Corp.: - continued

Series 2004-CB8 Class X2, 1.1626% 1/12/39 (b)(f)(h)

$ 5,202,200

$ 238,665

LB Commercial Conduit Mortgage Trust sequential pay Series 1998-C4 Class A1B, 6.21% 10/15/35

2,730,000

2,852,840

LB UBS Westfield Trust Series 2001-WM Class X, 0.7812% 7/14/16 (b)(f)(h)

12,393,666

372,805

LB-UBS Commercial Mortgage Trust:

sequential pay Series 2003-C3 Class A2, 3.086% 5/15/27

1,465,000

1,409,707

Series 2002-C4 Class XCP, 1.6943% 10/15/35 (b)(f)(h)

13,355,000

614,923

Series 2002-C7 Class XCP, 1.1897% 1/15/36 (b)(h)

13,827,213

413,590

Series 2003-C1 Class XCP, 1.5605% 12/15/36 (b)(f)(h)

7,017,081

306,396

Series 2004-C2 Class XCP, 1.4108% 3/1/36 (b)(h)

11,355,047

503,921

Series 2004-C6 Class XCP, 0.929% 8/15/36 (b)(f)(h)

16,330,000

471,494

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2003-LLFA:

Class A2, 3.77% 12/16/14 (b)(f)

970,000

970,642

Class E, 4.28% 12/16/14 (b)(f)

2,080,000

2,089,060

Class J, 5.43% 12/16/14 (b)(f)

1,420,000

1,417,638

Class K1, 5.93% 12/16/14 (b)(f)

730,000

728,695

Merrill Lynch Mortgage Trust:

Series 2002-MW1 Class XP, 1.8262% 7/12/34 (b)(f)(h)

5,473,083

271,101

Series 2005-MCP1 Class XP, 0.597% 5/12/43 (f)(h)

15,752,000

531,977

Series 2005-MKB2 Class XP, 0.4708% 9/12/42 (f)(h)

7,830,000

119,535

Morgan Stanley Capital I, Inc.:

sequential pay:

Series 1999-CAM1 Class A2, 6.76% 3/15/32

73,761

75,937

Series 1999-LIFE Class A1, 6.97% 4/15/33

475,823

492,809

Series 1997-RR:

Class B, 7.2792% 4/30/39 (b)(f)

334,152

335,316

Class C, 7.4092% 4/30/39 (b)(f)

1,275,066

1,308,130

Series 1999-1NYP Class F, 7.2465% 5/3/30 (b)(f)

1,690,000

1,706,476

Series 2003-IQ5 Class X2, 1.2299% 4/15/38 (b)(f)(h)

10,090,000

366,398

Series 2003-IQ6 Class X2, 0.7567% 12/15/41 (b)(f)(h)

16,995,000

466,810

Series 2005-HQ5 Class X2, 0.5433% 1/14/42 (f)(h)

17,785,000

291,850

Series 2005-IQ9 Class X2, 1.2036% 7/15/56 (b)(f)(h)

15,190,000

772,554

Commercial Mortgage Securities - continued

Principal Amount

Value

Morgan Stanley Capital I, Inc.: - continued

Series 2005-TOP17 Class X2, 0.8078% 12/13/41 (f)(h)

$ 11,610,000

$ 383,108

Morgan Stanley Dean Witter Capital I Trust:

floater Series 2002-XLF:

Class D, 4.24% 8/5/14 (b)(f)

1,036,651

1,041,729

Class F, 5.49% 8/5/14 (b)(f)

1,900,996

1,900,993

Series 2003-HQ2 Class X2, 1.3992% 3/12/35 (b)(f)(h)

12,600,323

732,782

Series 2003-TOP9 Class X2, 1.6728% 11/13/36 (b)(f)(h)

8,393,006

482,344

Mortgage Capital Funding, Inc. sequential pay:

Series 1996-MC1 Class A2B, 7.9% 2/15/06

184,018

186,357

Series 1998-MC2 Class A2, 6.423% 6/18/30

1,265,351

1,316,553

Nationslink Funding Corp. sequential pay Series 1999-2 Class A1C, 7.03% 6/20/31

479,269

494,069

Salomon Brothers Mortgage Securities VII, Inc. floater Series 2001-CDCA Class C, 4.1881% 2/15/13 (b)(f)

1,364,000

1,337,561

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 3.78% 3/24/18 (b)(f)

1,514,565

1,514,565

Trizechahn Office Properties Trust Series 2001-TZHA:

Class C3, 6.522% 3/15/13 (b)

1,050,000

1,080,219

Class E3, 7.253% 3/15/13 (b)

1,555,000

1,614,205

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2004-WHL3:

Class A2, 3.5681% 3/15/14 (b)(f)

735,000

735,270

Class E, 3.8881% 3/15/14 (b)(f)

460,000

460,577

Class F, 3.9381% 3/15/14 (b)(f)

365,000

365,441

Class G, 4% 3/15/14 (b)(f)

185,000

185,288

Series 2005-WL5A:

Class KHP1, 3.7381% 1/15/18 (b)(f)

375,000

375,000

Class KHP2, 3.9381% 1/15/18 (b)(f)

375,000

375,000

Class KHP3, 4.2381% 1/15/18 (b)(f)

440,000

440,000

Class KHP4, 4.3381% 1/15/18 (b)(f)

345,000

345,000

Class KHP5, 4.5381% 1/15/18 (b)(f)

400,000

400,000

Series 2003-C8 Class XP, 0.8188% 11/15/35 (b)(f)(h)

12,646,545

258,156

Series 2003-C9 Class XP, 0.8514% 12/15/35 (b)(f)(h)

8,537,378

194,386

Commercial Mortgage Securities - continued

Principal Amount

Value

Wachovia Bank Commercial Mortgage Trust: - continued

Series 2004-WHL3X Class 1A, 1.255% 3/15/14 (b)(f)(h)

$ 39,952,487

$ 172,747

Series 2005-C18 Class XP, 0.533% 4/15/42 (f)(h)

23,520,000

462,408

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $123,554,062)

122,266,007

Foreign Government and Government Agency Obligations - 0.3%

Chilean Republic 5.625% 7/23/07

740,000

755,910

United Mexican States 4.625% 10/8/08

3,190,000

3,172,455

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $3,904,708)

3,928,365

Fixed-Income Funds - 9.5%

Shares

Fidelity Ultra-Short Central Fund (g)
(Cost $122,005,038)

1,229,074

122,268,282

Cash Equivalents - 1.2%

Maturity Amount

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.32%, dated 7/29/05 due 8/1/05)
(Cost $15,270,000)

$ 15,274,219

15,270,000

TOTAL INVESTMENT PORTFOLIO - 103.8%

(Cost $1,348,000,657)

1,340,955,592

NET OTHER ASSETS - (3.8)%

(48,656,801)

NET ASSETS - 100%

$ 1,292,298,791

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Eurodollar Contracts

153 Eurodollar 90 Day Index Contracts

Sept. 2005

$ 151,479,563

$ (159,298)

153 Eurodollar 90 Day Index Contracts

Dec. 2005

151,368,638

(182,593)

153 Eurodollar 90 Day Index Contracts

March 2006

151,328,475

(149,280)

142 Eurodollar 90 Day Index Contracts

June 2006

140,427,350

(50,560)

109 Eurodollar 90 Day Index Contracts

Sept. 2006

107,783,288

(53,762)

59 Eurodollar 90 Day Index Contracts

Dec. 2006

58,336,250

12,124

31 Eurodollar 90 Day Index Contracts

March 2007

30,650,863

46,764

7 Eurodollar 90 Day Index Contracts

June 2007

6,920,813

11,685

TOTAL EURODOLLAR CONTRACTS

(524,920)

Sold

Eurodollar Contracts

44 Eurodollar 90 Day Index Contracts

Sept. 2007

43,500,050

26,224

84 Eurodollar 90 Day Index Contracts

Dec. 2007

83,038,200

32,989

83 Eurodollar 90 Day Index Contracts

March 2008

82,047,575

17,068

63 Eurodollar 90 Day Index Contracts

June 2008

62,273,925

3,748

46 Eurodollar 90 Day Index Contracts

Sept. 2008

45,466,975

(5,059)

35 Eurodollar 90 Day Index Contracts

Dec. 2008

34,590,938

(8,028)

24 Eurodollar 90 Day Index Contracts

March 2009

23,718,600

(8,021)

TOTAL EURODOLLAR CONTRACTS

58,921

$ (465,999)

Swap Agreements

Expiration Date

Notional
Amount

Value

Credit Default Swap

Receive quarterly 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

$ 6,000,000

$ 4,564

Receive quarterly 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

6,000,000

4,564

Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13

March 2009

1,300,000

5,015

Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13

March 2009

500,000

1,929

Receive quarterly notional amount multiplied by .39% and pay JPMorgan Chase, Inc. upon default event of Fannie Mae, par value of the notional amount of Fannie Mae 4.625% 5/1/13

June 2010

1,200,000

5,962

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

March 2009

1,000,000

5,922

Receive quarterly notional amount multiplied by .47% and pay JPMorgan Chase, Inc. upon default event of Fannie Mae, par value of the notional amount of Fannie Mae 4.625% 5/1/13

June 2010

2,100,000

18,033

Receive quarterly notional amount multiplied by .48% and pay JPMorgan Chase, Inc. upon default event of Fannie Mae, par value of the notional amount of Fannie Mae 4.625% 5/1/13

June 2010

2,100,000

18,983

Receive quarterly notional amount multiplied by .5% and pay Merrill Lynch, Inc. upon default event of EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13

June 2009

1,500,000

12,140

Swap Agreements - continued

Expiration Date

Notional
Amount

Value

Receive quarterly notional amount multiplied by .52% and pay JPMorgan Chase, Inc. upon default event of Fannie Mae, par value of the notional amount of Fannie Mae 4.625% 5/1/13

June 2010

$ 1,100,000

$ 11,934

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

4,500,000

80,701

TOTAL CREDIT DEFAULT SWAP

27,300,000

169,747

Total Return Swap

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Citibank

Sept. 2005

10,000,000

0

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

Dec. 2005

3,420,000

3,706

Receive monthly a return equal to Lehman Brothers ABS Floating Rate Index and pay monthly a floating rate based on the 1- month LIBOR minus 11.1 basis points with Lehman Brothers, Inc.

Nov. 2005

4,100,000

0

Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 10 basis points with Citibank

Oct. 2005

14,170,000

(227,648)

Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR with Goldman Sachs

August 2005

10,000,000

(151,811)

Swap Agreements - continued

Expiration Date

Notional
Amount

Value

Total Return Swap - continued

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 25 basis points with Bank of America

Dec. 2005

$ 6,645,000

$ (106,632)

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

Sept. 2005

7,000,000

(85,476)

TOTAL TOTAL RETURN SWAP

55,335,000

(567,861)

$ 82,635,000

$ (398,114)

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 $140,724,432 or 10.9% 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 $1,967,422.

(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 fixed-income central fund's holdings is provided at the end of this report.

(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.

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $1,346,733,679. Net unrealized depreciation aggregated $5,778,087, of which $4,201,407 related to appreciated investment securities and $9,979,494 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

The following is a complete listing of investments for Fidelity's
fixed-income central fund as of July 31, 2005 which
is a direct or indirect investment of
Fidelity Advisor Short Fixed-Income Fund.
These underlying holdings of the Fidelity fixed-income central fund
are not included in the Schedule of Investments.

Quarterly Report

Fidelity Ultra-Short Central Fund

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 3.8%

Principal Amount

Value

CONSUMER DISCRETIONARY - 1.0%

Auto Components - 0.3%

DaimlerChrysler NA Holding Corp.:

3.8594% 9/10/07 (f)

$ 16,665,000

$ 16,698,830

3.8938% 5/24/06 (f)

4,700,000

4,713,691

21,412,521

Media - 0.7%

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

8,000,000

8,248,640

Cox Communications, Inc. (Reg. S) 3.95% 12/14/07 (f)

12,140,000

12,202,691

Liberty Media Corp. 4.91% 9/17/06 (f)

16,694,000

16,786,986

Univision Communications, Inc. 2.875% 10/15/06

8,505,000

8,315,339

45,553,656

TOTAL CONSUMER DISCRETIONARY

66,966,177

ENERGY - 0.2%

Oil, Gas & Consumable Fuels - 0.2%

Valero Energy Corp. 7.375% 3/15/06

11,550,000

11,735,435

FINANCIALS - 1.0%

Capital Markets - 0.1%

State Street Capital Trust II 3.7681% 2/15/08 (f)

10,000,000

10,002,260

Commercial Banks - 0.3%

Wells Fargo & Co. 3.4194% 3/10/08 (f)

16,600,000

16,599,452

Consumer Finance - 0.2%

General Motors Acceptance Corp. 4.87% 10/20/05 (f)

14,765,000

14,786,188

Thrifts & Mortgage Finance - 0.4%

Countrywide Financial Corp. 3.71% 4/11/07 (f)

11,025,000

11,032,034

Residential Capital Corp. 4.835% 6/29/07 (c)(f)

14,150,000

14,164,716

25,196,750

TOTAL FINANCIALS

66,584,650

TELECOMMUNICATION SERVICES - 1.3%

Diversified Telecommunication Services - 1.2%

British Telecommunications PLC 7.875% 12/15/05

18,145,000

18,397,070

France Telecom SA 7.45% 3/1/06 (a)

5,600,000

5,699,484

GTE Corp. 6.36% 4/15/06

9,000,000

9,126,405

SBC Communications, Inc. 4.389% 6/5/06 (c)

15,315,000

15,319,595

Sprint Capital Corp. 4.78% 8/17/06

6,000,000

6,020,550

Telefonica Europe BV 7.35% 9/15/05

4,500,000

4,517,537

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telefonos de Mexico SA de CV 4.5% 11/19/08

$ 10,240,000

$ 10,092,268

TELUS Corp. yankee 7.5% 6/1/07

6,500,000

6,835,569

76,008,478

Wireless Telecommunication Services - 0.1%

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

5,500,000

5,596,976

TOTAL TELECOMMUNICATION SERVICES

81,605,454

UTILITIES - 0.3%

Electric Utilities - 0.2%

Pinnacle West Energy Corp. 4.0044% 4/1/07 (c)(f)

12,800,000

12,800,794

Gas Utilities - 0.1%

NiSource Finance Corp. 7.625% 11/15/05

9,250,000

9,342,213

TOTAL UTILITIES

22,143,007

TOTAL NONCONVERTIBLE BONDS

(Cost $249,397,779)

249,034,723

U.S. Government Agency Obligations - 0.0%

Fannie Mae 0% 9/28/05 (e)
(Cost $994,579)

1,000,000

994,635

Asset-Backed Securities - 35.2%

Accredited Mortgage Loan Trust:

Series 2004-2 Class A2, 3.76% 7/25/34 (f)

7,964,683

7,978,722

Series 2004-3 Class 2A4, 3.81% 10/25/34 (f)

10,915,000

10,946,584

Series 2004-4 Class A2D, 3.81% 1/25/35 (f)

3,579,364

3,588,366

Series 2005-1:

Class M1, 3.93% 4/25/35 (f)

11,280,000

11,251,882

Class M2, 4.15% 4/25/35 (f)

5,275,000

5,276,901

ACE Securities Corp.:

Series 2002-HE1 Class M1, 4.11% 6/25/32 (f)

1,308,761

1,318,432

Series 2002-HE2 Class M1, 4.31% 8/25/32 (f)

18,631,213

18,704,611

Series 2003-FM1 Class M2, 5.31% 11/25/32 (f)

3,015,000

3,050,466

Series 2003-HS1:

Class M1, 4.21% 6/25/33 (f)

800,000

803,485

Class M2, 5.21% 6/25/33 (f)

856,000

871,093

Asset-Backed Securities - continued

Principal Amount

Value

ACE Securities Corp.: - continued

Series 2003-NC1 Class M1, 4.24% 7/25/33 (f)

$ 1,600,000

$ 1,611,660

Series 2004-HE1:

Class M1, 3.96% 2/25/34 (f)

2,193,000

2,193,772

Class M2, 4.56% 2/25/34 (f)

2,475,000

2,476,241

Series 2004-OP1:

Class M1, 3.98% 4/25/34 (f)

4,420,000

4,424,344

Class M2, 4.51% 4/25/34 (f)

6,240,000

6,251,080

Series 2005-HE2:

Class M1, 3.9% 4/25/35 (f)

1,530,000

1,527,965

Class M2, 3.91% 4/25/35 (f)

1,803,000

1,796,836

Class M3, 3.94% 4/25/35 (f)

1,040,000

1,038,647

Class M4, 4.1% 4/25/35 (f)

1,340,000

1,338,268

Series 2005-HE3:

Class A2A, 3.56% 5/25/35 (f)

8,063,511

8,063,822

Class A2B, 3.67% 5/25/35 (f)

4,370,000

4,366,352

Series 2005-SD1 Class A1, 3.86% 11/25/50 (f)

2,563,309

2,566,464

Aesop Funding II LLC Series 2005-1A Class A2, 3.49% 4/20/09 (c)(f)

8,800,000

8,765,680

American Express Credit Account Master Trust:

Series 2002-6 Class B, 3.8381% 3/15/10 (f)

5,000,000

5,030,751

Series 2004-1 Class B, 3.6381% 9/15/11 (f)

5,775,000

5,797,723

Series 2004-C Class C, 3.8881% 2/15/12 (c)(f)

17,323,520

17,374,643

Series 2005-1 Class A, 3.4181% 10/15/12 (f)

15,455,000

15,481,600

AmeriCredit Automobile Receivables Trust:

Series 2002-EM Class A4A, 3.67% 6/8/09

25,000,000

24,899,223

Series 2003-AM:

Class A3B, 3.71% 6/6/07 (f)

685,806

685,879

Class A4B, 3.81% 11/6/09 (f)

12,400,000

12,441,657

Series 2003-BX Class A4B, 3.72% 1/6/10 (f)

3,265,000

3,275,694

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

12,249,371

12,210,791

Series 2005-1 Class C, 4.73% 7/6/10

15,500,000

15,451,950

Ameriquest Mortgage Securities, Inc.:

Series 2002-3 Class M1, 4.16% 8/25/32 (f)

5,000,000

5,028,248

Series 2003-1:

Class A2, 3.87% 2/25/33 (f)

465,695

465,917

Class M1, 4.36% 2/25/33 (f)

6,150,000

6,197,846

Series 2003-3:

Class M1, 4.26% 3/25/33 (f)

1,590,000

1,603,481

Class S, 5% 9/25/05 (g)

4,457,447

17,215

Series 2003-6:

Class M1, 4.22% 8/25/33 (f)

7,560,000

7,611,224

Asset-Backed Securities - continued

Principal Amount

Value

Ameriquest Mortgage Securities, Inc.: - continued

Series 2003-6:

Class M2, 5.31% 5/25/33 (f)

$ 2,750,000

$ 2,808,476

Series 2003-AR1 Class M1, 4.61% 1/25/33 (f)

7,000,000

7,072,631

Series 2004-R2:

Class M1, 3.89% 4/25/34 (f)

1,230,000

1,229,949

Class M2, 3.94% 4/25/34 (f)

950,000

949,960

Class M3, 4.01% 4/25/34 (f)

3,500,000

3,499,854

Class M4, 4.51% 4/25/34 (f)

4,500,000

4,499,807

Series 2004-R9 Class A3, 3.78% 10/25/34 (f)

9,340,000

9,359,871

Series 2005-R1:

Class M1, 3.91% 3/25/35 (f)

5,710,000

5,691,308

Class M2, 3.94% 3/25/35 (f)

1,925,000

1,918,868

Series 2005-R2 Class M1, 3.91% 4/25/35 (f)

12,500,000

12,482,516

Amortizing Residential Collateral Trust:

Series 2002-BC3 Class A, 3.79% 6/25/32 (f)

2,411,175

2,418,495

Series 2002-BC6 Class M1, 4.21% 8/25/32 (f)

24,900,000

25,116,817

Series 2002-BC7:

Class M1, 4.1144% 10/25/32 (f)

10,000,000

10,075,000

Class M2, 4.36% 10/25/32 (f)

5,575,000

5,612,067

Series 2003-BC1 Class M2, 4.56% 1/25/32 (f)

758,836

762,333

ARG Funding Corp.:

Series 2005-1A Class A2, 3.53% 4/20/09 (c)(f)

11,000,000

10,975,938

Series 2005-2A Class A2, 3.54% 5/20/09 (c)(f)

5,200,000

5,190,453

Argent Securities, Inc.:

Series 2003-W3 Class M2, 5.26% 9/25/33 (f)

20,000,000

20,599,990

Series 2003-W7 Class A2, 3.85% 3/1/34 (f)

4,505,856

4,515,756

Series 2004-W5 Class M1, 4.06% 4/25/34 (f)

3,960,000

3,964,768

Series 2004-W7:

Class M1, 4.01% 5/25/34 (f)

4,085,000

4,084,827

Class M2, 4.06% 5/25/34 (f)

3,320,000

3,319,860

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE2:

Class A2, 3.7681% 4/15/33 (f)

1,158,706

1,159,186

Class M1, 4.2881% 4/15/33 (f)

11,365,000

11,429,103

Series 2003-HE3:

Class M1, 4.2181% 6/15/33 (f)

2,185,000

2,198,827

Class M2, 5.3881% 6/15/33 (f)

10,000,000

10,182,465

Series 2003-HE4 Class M2, 5.3881% 8/15/33 (f)

5,695,000

5,798,650

Series 2003-HE5 Class A2A, 3.7481% 8/15/33 (f)

1,380,797

1,381,390

Series 2003-HE6 Class M1, 4.11% 11/25/33 (f)

3,475,000

3,490,373

Series 2004-HE2 Class M1, 4.01% 4/25/34 (f)

6,060,000

6,070,769

Series 2004-HE3:

Class M1, 4% 6/25/34 (f)

1,450,000

1,454,353

Asset-Backed Securities - continued

Principal Amount

Value

Asset Backed Securities Corp. Home Equity Loan Trust: - continued

Series 2004-HE3:

Class M2, 4.58% 6/25/34 (f)

$ 3,350,000

$ 3,386,297

Series 2004-HE6 Class A2, 3.82% 6/25/34 (f)

17,398,791

17,435,568

Series 2005-HE2:

Class M1, 3.91% 3/25/35 (f)

8,250,000

8,235,989

Class M2, 3.96% 3/25/35 (f)

2,065,000

2,065,671

Series 2005-HE6 Class A2B, 3.76% 8/25/35 (d)(f)

10,000,000

10,000,000

Bank One Issuance Trust:

Series 2002-B1 Class B1, 3.7681% 12/15/09 (f)

20,655,000

20,741,067

Series 2002-B2 Class B2, 3.7281% 5/15/08 (f)

15,000,000

15,001,929

Series 2002-B3 Class B, 3.7481% 8/15/08 (f)

14,500,000

14,505,871

Series 2002-C1 Class C1, 4.3481% 12/15/09 (f)

7,980,000

8,065,464

Series 2002-C2 Class C2, 4.3781% 5/15/08 (f)

35,785,000

35,817,626

Bayview Financial Acquisition Trust Series 2004-C Class A1, 3.9013% 5/28/44 (f)

8,416,440

8,415,509

Bayview Financial Asset Trust Series 2000-F Class A, 3.9813% 9/28/43 (f)

9,618,786

9,632,318

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.9313% 2/28/44 (f)

5,760,012

5,771,599

Bear Stearns Asset Backed Securities I:

Series 2005-HE2:

Class M1, 3.96% 2/25/35 (f)

6,655,000

6,639,262

Class M2, 4.21% 2/25/35 (f)

2,430,000

2,432,538

Series 2005-HE5 Class 1A1, 3.4244% 6/25/35 (f)

10,884,395

10,884,395

Capital Auto Receivables Asset Trust:

Series 2002-5 Class B, 2.8% 4/15/08

2,894,887

2,868,235

Series 2003-1 Class B, 3.8581% 6/15/10 (c)(f)

5,781,229

5,797,579

Series 2003-2 Class B, 3.6681% 1/15/09 (f)

2,741,542

2,746,505

Series 2005-1 Class B, 3.7631% 6/15/10 (f)

5,725,000

5,730,367

Capital One Auto Finance Trust:

Series 2003-A Class A4B, 3.6681% 1/15/10 (f)

9,630,000

9,654,568

Series 2004-B Class A4, 3.4981% 8/15/11 (f)

16,300,000

16,303,123

Capital One Master Trust:

Series 1999-3 Class B, 3.8681% 9/15/09 (f)

5,000,000

5,004,082

Series 2001-1 Class B, 3.8981% 12/15/10 (f)

19,500,000

19,638,608

Series 2001-8A Class B, 3.9381% 8/17/09 (f)

9,585,000

9,634,206

Series 2002-4A Class B, 3.8881% 3/15/10 (f)

6,000,000

6,028,221

Capital One Multi-Asset Execution Trust:

Series 2002-B1 Class B1, 4.0681% 7/15/08 (f)

17,705,000

17,711,976

Series 2003-B1 Class B1, 4.5581% 2/17/09 (f)

15,470,000

15,566,773

Capital Trust Ltd. Series 2004-1:

Class A2, 3.88% 7/20/39 (c)(f)

2,968,000

2,968,000

Asset-Backed Securities - continued

Principal Amount

Value

Capital Trust Ltd. Series 2004-1: - continued

Class B, 4.18% 7/20/39 (c)(f)

$ 1,550,000

$ 1,550,000

Class C, 4.53% 7/20/39 (c)(f)

1,994,000

1,994,000

CDC Mortgage Capital Trust:

Series 2001-HE1 Class M1, 4.49% 1/25/32 (f)

4,244,221

4,254,278

Series 2002-HE2 Class M1, 4.16% 1/25/33 (f)

9,278,431

9,309,123

Series 2002-HE3:

Class M1, 4.56% 3/25/33 (f)

21,339,884

21,627,815

Class M2, 5.71% 3/25/33 (f)

9,968,976

10,143,974

Series 2003-HE1:

Class M1, 4.36% 8/25/33 (f)

1,989,998

1,997,574

Class M2, 5.41% 8/25/33 (f)

4,369,996

4,422,084

Series 2003-HE2 Class A, 3.81% 10/25/33 (f)

1,634,377

1,635,405

Series 2003-HE3:

Class M1, 4.16% 11/25/33 (f)

2,254,989

2,271,960

Class M2, 5.21% 11/25/33 (f)

1,719,992

1,753,552

Series 2004-HE2 Class M2, 4.66% 7/26/34 (f)

2,345,000

2,365,939

Chase Credit Card Owner Trust:

Series 2001-6 Class B, 3.8681% 3/16/09 (f)

1,305,000

1,311,169

Series 2002-6 Class B, 3.7381% 1/15/08 (f)

11,850,000

11,852,472

Series 2004-1 Class B, 3.5881% 5/15/09 (f)

4,105,000

4,104,204

Citibank Credit Card Issuance Trust:

Series 2000-C2 Class C2, 4.2488% 10/15/07 (f)

17,500,000

17,511,349

Series 2001-B2 Class B2, 3.8494% 12/10/08 (f)

11,945,000

11,995,341

Series 2002-B1 Class B1, 3.8% 6/25/09 (f)

9,010,000

9,038,878

Series 2002-C1 Class C1, 4.2185% 2/9/09 (f)

17,500,000

17,686,918

Series 2003-B1 Class B1, 3.66% 3/7/08 (f)

25,000,000

25,022,693

Series 2003-C1 Class C1, 4.65% 4/7/10 (f)

17,785,000

18,152,159

Citigroup Mortgage Loan Trust Series 2003-HE4 Class A, 3.87% 12/25/33 (c)(f)

7,985,107

7,985,935

CNH Wholesale Master Note Trust Series 2005-1:

Class A, 3.43% 6/15/11 (f)

18,000,000

18,000,000

Class B, 3.72% 6/15/11 (f)

2,280,000

2,280,000

Countrywide Home Loans, Inc.:

Series 2002-6 Class AV1, 3.89% 5/25/33 (f)

1,499,863

1,503,470

Series 2003-BC1 Class M2, 5.46% 9/25/32 (f)

11,065,000

11,199,451

Series 2003-SD3 Class A1, 3.88% 12/25/32 (c)(f)

927,188

931,926

Series 2004-2 Class M1, 3.96% 5/25/34 (f)

5,200,000

5,206,719

Series 2004-3:

Class 3A4, 3.71% 8/25/34 (f)

530,752

528,596

Class M1, 3.96% 6/25/34 (f)

1,475,000

1,476,356

Series 2004-4:

Class A, 3.83% 8/25/34 (f)

2,524,088

2,526,278

Asset-Backed Securities - continued

Principal Amount

Value

Countrywide Home Loans, Inc.: - continued

Series 2004-4:

Class M1, 3.94% 7/25/34 (f)

$ 3,650,000

$ 3,653,189

Class M2, 3.99% 6/25/34 (f)

4,395,000

4,398,536

Series 2005-1:

Class 1AV2, 3.66% 7/25/35 (f)

8,780,000

8,775,114

Class M1, 3.88% 8/25/35 (f)

19,600,000

19,563,654

Class MV1, 3.86% 7/25/35 (f)

3,135,000

3,130,219

Class MV2, 3.9% 7/25/35 (f)

3,765,000

3,754,147

Class MV3, 3.94% 7/25/35 (f)

1,560,000

1,557,748

Series 2005-3 Class MV1, 3.88% 8/25/35 (f)

11,125,000

11,103,934

Series 2005-AB1 Class A2, 3.67% 8/25/35 (f)

17,520,000

17,514,797

Series 2005-IM1 Class A1, 3.56% 8/25/34 (d)(f)

17,915,000

17,915,000

CS First Boston Mortgage Securities Corp.:

Series 2003-8 Class A2, 3.85% 4/25/34 (f)

2,663,075

2,674,762

Series 2004-FRE1:

Class A2, 3.81% 4/25/34 (f)

2,689,397

2,689,291

Class M3, 4.11% 4/25/34 (f)

5,885,000

5,884,751

Discover Card Master Trust I Series 2003-4 Class B1, 3.7181% 5/16/11 (f)

8,155,000

8,196,815

Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5 Class AB3, 3.8305% 5/28/35 (f)

6,957,460

6,959,877

Fieldstone Mortgage Investment Corp.:

Series 2003-1:

Class M1, 4.14% 11/25/33 (f)

1,300,000

1,308,748

Class M2, 5.21% 11/25/33 (f)

700,000

718,600

Series 2004-1 Class M2, 4.56% 1/25/35 (f)

3,700,000

3,741,581

Series 2004-2 Class M2, 4.61% 7/25/34 (f)

9,890,000

9,889,579

Series 2004-3 Class M5, 4.91% 8/25/34 (f)

2,000,000

2,033,830

Series 2005-2 Class 2A1, 3.5% 7/25/36 (d)(f)

16,935,000

16,935,000

First Franklin Mortgage Loan Asset Backed Certificates:

Series 2005-FF2 Class A2A, 3.55% 3/25/35 (f)

7,354,604

7,354,604

Series 2005-FF2 Class M6, 4.16% 3/25/35 (f)

6,950,000

6,950,000

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 4.01% 3/25/34 (f)

400,000

400,711

Class M4, 4.36% 3/25/34 (f)

300,000

302,647

First USA Credit Card Master Trust Series 2001-4 Class B, 3.75% 1/12/09 (f)

15,000,000

15,026,199

First USA Secured Note Trust Series 2001-3 Class C, 4.4669% 11/19/08 (c)(f)

11,580,000

11,661,421

Ford Credit Auto Owner Trust Series 2003-B Class B2, 3.8181% 10/15/07 (f)

19,600,000

19,671,950

Asset-Backed Securities - continued

Principal Amount

Value

Ford Credit Floorplan Master Owner Trust Series 2005-1:

Class A, 3.5381% 5/17/10 (f)

$ 9,590,000

$ 9,589,981

Class B, 3.6563% 5/17/10 (f)

2,625,000

2,624,992

Fremont Home Loan Trust:

Series 2004-1:

Class 1A1, 3.68% 2/25/34 (f)

2,669,337

2,669,232

Class M1, 3.91% 2/25/34 (f)

750,000

749,968

Class M2, 3.96% 2/25/34 (f)

800,000

799,966

Series 2004-C Class 2A2, 4.01% 8/25/34 (f)

10,000,000

10,101,993

Series 2005-2 Class 2A1, 3.5913% 6/25/35 (f)

15,380,000

15,375,194

Series 2005-A:

Class 2A2, 3.7% 2/25/35 (f)

11,850,000

11,865,657

Class M1, 3.89% 1/25/35 (f)

1,603,000

1,599,854

Class M2, 3.92% 1/25/35 (f)

2,325,000

2,321,531

Class M3, 3.95% 1/25/35 (f)

1,250,000

1,249,947

Class M4, 4.14% 1/25/35 (f)

925,000

927,535

GE Business Loan Trust Series 2003-1 Class A, 3.8181% 4/15/31 (c)(f)

5,499,865

5,531,421

GE Capital Credit Card Master Note Trust Series 2005-2 Class B, 3.5736% 6/15/11 (f)

6,475,000

6,473,058

Gracechurch Card Funding PLC:

Series 5:

Class B, 3.6181% 8/15/08 (f)

1,520,000

1,521,351

Class C, 4.3181% 8/15/08 (f)

5,580,000

5,601,142

Series 6 Class B, 3.5781% 2/17/09 (f)

1,030,000

1,030,901

Series 8 Class C, 3.6721% 6/15/10 (f)

18,450,000

18,450,000

GSAMP Trust:

Series 2002-HE Class M1, 4.68% 11/20/32 (f)

2,882,888

2,928,737

Series 2002-NC1:

Class A2, 3.78% 7/25/32 (f)

54,777

55,099

Class M1, 4.1% 7/25/32 (f)

8,861,000

8,920,491

Series 2003-FM1 Class M1, 4.25% 3/20/33 (f)

15,000,000

15,136,310

Series 2004-FM1:

Class M1, 4.11% 11/25/33 (f)

2,865,000

2,864,879

Class M2, 4.86% 11/25/33 (f)

1,975,000

2,005,597

Series 2004-FM2:

Class M1, 3.96% 1/25/34 (f)

3,500,000

3,499,853

Class M2, 4.56% 1/25/34 (f)

1,500,000

1,499,936

Class M3, 4.76% 1/25/34 (f)

1,500,000

1,499,935

Series 2004-HE1:

Class M1, 4.01% 5/25/34 (f)

4,045,000

4,044,829

Class M2, 4.61% 5/25/34 (f)

1,750,000

1,766,258

Asset-Backed Securities - continued

Principal Amount

Value

GSAMP Trust: - continued

Series 2005-9 Class 2A1, 3.5287% 8/25/35 (f)

$ 17,530,000

$ 17,530,000

Series 2005-FF2 Class M5, 4.09% 3/25/35 (f)

3,500,000

3,500,000

Series 2005-HE2 Class M, 3.89% 3/25/35 (f)

8,780,000

8,749,867

Series 2005-NC1 Class M1, 3.91% 2/25/35 (f)

9,010,000

8,987,296

Guggenheim Structured Real Estate Funding Ltd. Series 2005-1 Class C, 4.3944% 5/25/30 (c)(f)

14,000,000

13,986,652

HFC Home Equity Loan Asset Backed Certificates Series 2005-2:

Class M1, 3.97% 1/20/34 (f)

3,225,000

3,225,000

Class M2, 4% 1/20/34 (f)

2,415,000

2,415,000

Home Equity Asset Trust:

Series 2002-2 Class M1, 4.26% 6/25/32 (f)

10,000,000

10,017,090

Series 2002-3 Class A5, 3.9% 2/25/33 (f)

854,528

855,194

Series 2002-4 Class A3, 3.94% 3/25/33 (f)

1,237,388

1,238,074

Series 2002-5:

Class A3, 3.98% 5/25/33 (f)

2,866,793

2,872,821

Class M1, 4.66% 5/25/33 (f)

13,800,000

13,966,276

Series 2003-1:

Class A2, 3.93% 6/25/33 (f)

4,229,596

4,233,111

Class M1, 4.46% 6/25/33 (f)

8,335,000

8,375,317

Series 2003-2:

Class A2, 3.84% 8/25/33 (f)

228,269

229,139

Class M1, 4.34% 8/25/33 (f)

2,245,000

2,269,298

Series 2003-3:

Class A2, 3.82% 8/25/33 (f)

1,624,262

1,630,339

Class M1, 4.32% 8/25/33 (f)

8,185,000

8,266,814

Series 2003-4:

Class M1, 4.26% 10/25/33 (f)

3,415,000

3,440,384

Class M2, 5.36% 10/25/33 (f)

4,040,000

4,093,038

Series 2003-5:

Class A2, 3.81% 12/25/33 (f)

5,822,876

5,843,440

Class M1, 4.16% 12/25/33 (f)

3,175,000

3,192,660

Class M2, 5.19% 12/25/33 (f)

1,345,000

1,377,487

Series 2003-7 Class A2, 3.84% 3/25/34 (f)

3,430,379

3,438,503

Series 2004-2 Class A2, 3.75% 7/25/34 (f)

6,172,348

6,172,139

Series 2004-3:

Class M1, 4.03% 8/25/34 (f)

2,015,000

2,019,636

Class M2, 4.66% 8/25/34 (f)

2,200,000

2,237,373

Series 2004-4 Class A2, 3.78% 10/25/34 (f)

8,318,527

8,347,783

Series 2004-6 Class A2, 3.81% 12/25/34 (f)

9,249,309

9,278,715

Series 2004-7 Class A3, 3.85% 1/25/35 (f)

2,916,946

2,929,856

Asset-Backed Securities - continued

Principal Amount

Value

Home Equity Asset Trust: - continued

Series 2005-1:

Class M1, 3.89% 5/25/35 (f)

$ 9,705,000

$ 9,697,565

Class M2, 3.91% 5/25/35 (f)

5,780,000

5,763,067

Class M3, 3.96% 5/25/35 (f)

5,825,000

5,808,344

Series 2005-2:

Class 2A2, 3.66% 7/25/35 (f)

13,170,000

13,163,182

Class M1, 3.91% 7/25/35 (f)

10,085,000

10,075,362

Series 2005-3 Class M1, 3.87% 8/25/35 (f)

9,450,000

9,434,700

Series 2005-5 Class 2A2, 3.65% 11/25/35 (d)(f)

15,000,000

14,968,605

Household Affinity Credit Card Master Note Trust I Series 2003-3 Class B, 3.6781% 8/15/08 (f)

10,000,000

10,018,071

Household Credit Card Master Trust I Series 2002-1 Class B, 4.0381% 7/15/08 (f)

22,589,000

22,608,682

Household Home Equity Loan Trust:

Series 2002-2 Class A, 3.73% 4/20/32 (f)

3,295,048

3,298,089

Series 2002-3 Class A, 3.88% 7/20/32 (f)

2,678,218

2,681,775

Series 2003-1 Class M, 4.06% 10/20/32 (f)

770,987

771,866

Series 2003-2:

Class A, 3.76% 9/20/33 (f)

2,892,082

2,897,777

Class M, 4.01% 9/20/33 (f)

1,360,000

1,362,941

Series 2004-1 Class M, 3.95% 9/20/33 (f)

2,708,464

2,713,597

Household Mortgage Loan Trust:

Series 2003-HC1 Class M, 4.08% 2/20/33 (f)

1,742,776

1,748,262

Series 2004-HC1:

Class A, 3.78% 2/20/34 (f)

5,083,992

5,096,702

Class M, 3.93% 2/20/34 (f)

3,073,800

3,073,443

Household Private Label Credit Card Master Note Trust I:

Series 2002-1 Class B, 3.9381% 1/18/11 (f)

8,850,000

8,867,619

Series 2002-2:

Class A, 3.5581% 1/18/11 (f)

9,000,000

9,012,218

Class B, 3.9381% 1/18/11 (f)

14,275,000

14,355,952

Series 2002-3 Class B, 4.6381% 9/15/09 (f)

4,150,000

4,159,262

Ikon Receivables Funding LLC Series 2003-1 Class A3A, 3.6213% 12/17/07 (f)

2,781,207

2,781,863

IXIS Real Estate Capital Trust Series 2005-HE1:

Class A1, 3.71% 6/25/35 (f)

11,646,350

11,645,706

Class M1, 3.93% 6/25/35 (f)

4,100,000

4,094,813

Class M2, 3.95% 6/25/35 (f)

2,775,000

2,766,003

Class M3, 3.98% 6/25/35 (f)

1,975,000

1,972,566

Keycorp Student Loan Trust Series 1999-A Class A2, 3.8% 12/27/09 (f)

16,169,548

16,224,493

Asset-Backed Securities - continued

Principal Amount

Value

Long Beach Mortgage Loan Trust:

Series 2003-2:

Class AV, 3.78% 6/25/33 (f)

$ 253,078

$ 253,185

Class M1, 4.28% 6/25/33 (f)

19,500,000

19,626,153

Series 2003-3 Class M1, 4.21% 7/25/33 (f)

7,770,000

7,824,625

Series 2004-2:

Class M1, 3.99% 6/25/34 (f)

4,275,000

4,285,404

Class M2, 4.54% 6/25/34 (f)

1,400,000

1,416,723

Series 2005-2 Class 2A2, 3.64% 4/25/35 (f)

12,000,000

11,996,998

MASTR Asset Backed Securities Trust:

Series 2003-NC1:

Class M1, 4.19% 4/25/33 (f)

3,500,000

3,519,270

Class M2, 5.31% 4/25/33 (f)

1,500,000

1,534,429

Series 2004-FRE1 Class M1, 4.01% 7/25/34 (f)

5,223,000

5,238,948

MBNA Asset Backed Note Trust Series 2000-K Class C, 4.1881% 3/17/08 (c)(f)

7,250,000

7,258,700

MBNA Credit Card Master Note Trust:

Series 2001-B1 Class B1, 3.7631% 10/15/08 (f)

30,000,000

30,042,072

Series 2001-B2 Class B2, 3.7481% 1/15/09 (f)

30,353,000

30,429,933

Series 2002-B2 Class B2, 3.7681% 10/15/09 (f)

20,000,000

20,086,600

Series 2002-B3 Class B3, 3.7881% 1/15/08 (f)

15,000,000

15,000,470

Series 2002-B4 Class B4, 3.8881% 3/15/10 (f)

14,800,000

14,916,873

Series 2003-B2 Class B2, 3.7781% 10/15/10 (f)

1,530,000

1,545,569

Series 2003-B3 Class B3, 3.7631% 1/18/11 (f)

1,130,000

1,135,362

Series 2003-B5 Class B5, 3.7581% 2/15/11 (f)

705,000

710,447

MBNA Master Credit Card Trust II:

Series 1998-E Class B, 3.9288% 9/15/10 (f)

7,800,000

7,846,570

Series 1998-G Class B, 3.7881% 2/17/09 (f)

20,000,000

20,043,574

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 3.96% 7/25/34 (f)

2,125,000

2,124,911

Class M2, 4.01% 7/25/34 (f)

375,000

374,985

Class M3, 4.41% 7/25/34 (f)

775,000

774,967

Class M4, 4.56% 7/25/34 (f)

525,000

524,978

Merrill Lynch Mortgage Investors, Inc. Series 2003-HE1 Class M1, 4.16% 7/25/34 (f)

2,321,000

2,330,928

Morgan Stanley ABS Capital I, Inc.:

Series 2002-NC6 Class M2, 5.56% 11/25/32 (f)

2,370,000

2,441,680

Series 2003-NC5 Class M2, 5.46% 4/25/33 (f)

2,800,000

2,834,138

Series 2003-NC6 Class M2, 5.41% 6/27/33 (f)

12,835,000

13,180,825

Series 2003-NC7 Class M1, 4.16% 6/25/33 (f)

1,785,000

1,791,357

Series 2003-NC8 Class M1, 4.16% 9/25/33 (f)

2,350,000

2,363,472

Series 2004-HE6 Class A2, 3.8% 8/25/34 (f)

7,193,690

7,217,222

Series 2004-NC2 Class M1, 4.01% 12/25/33 (f)

2,595,000

2,599,359

Asset-Backed Securities - continued

Principal Amount

Value

Morgan Stanley ABS Capital I, Inc.: - continued

Series 2004-NC6 Class A2, 3.8% 7/25/34 (f)

$ 3,163,358

$ 3,170,145

Series 2005-1:

Class M2, 3.93% 12/25/34 (f)

4,425,000

4,417,835

Class M3, 3.98% 12/25/34 (f)

4,000,000

3,998,266

Series 2005-HE1:

Class A3B, 3.68% 12/25/34 (f)

3,885,000

3,889,266

Class M1, 3.91% 12/25/34 (f)

1,100,000

1,102,253

Class M2, 3.93% 12/25/34 (f)

2,970,000

2,966,369

Series 2005-HE2:

Class M1, 3.86% 1/25/35 (f)

2,665,000

2,670,502

Class M2, 3.9% 1/25/35 (f)

1,900,000

1,893,810

Series 2005-NC1:

Class M1, 3.9% 1/25/35 (f)

2,425,000

2,432,731

Class M2, 3.93% 1/25/35 (f)

2,425,000

2,421,056

Class M3, 3.97% 1/25/35 (f)

2,425,000

2,425,850

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-AM1:

Class M1, 4.31% 2/25/32 (f)

1,510,288

1,513,954

Class M2, 4.86% 2/25/32 (f)

7,146,795

7,171,201

Series 2001-NC4:

Class M1, 4.46% 1/25/32 (f)

3,827,881

3,841,816

Series 2002-AM3 Class A3, 3.95% 2/25/33 (f)

1,426,624

1,430,581

Series 2002-HE1 Class M1, 4.06% 7/25/32 (f)

5,860,000

5,893,149

Series 2002-HE2 Class M1, 4.16% 8/25/32 (f)

9,925,000

9,970,606

Series 2002-NC3 Class A3, 3.8% 8/25/32 (f)

396,299

397,573

Series 2002-OP1 Class M1, 4.21% 9/25/32 (f)

3,894,745

3,917,849

Series 2003-NC1:

Class M1, 4.51% 11/25/32 (f)

2,555,000

2,572,380

Class M2, 5.51% 11/25/32 (f)

1,880,000

1,899,041

New Century Home Equity Loan Trust:

Series 2003-2:

Class A2, 3.89% 1/25/33 (f)

341,254

341,436

Class M2, 5.46% 1/25/33 (f)

4,600,000

4,667,174

Series 2003-6 Class M1, 4.18% 1/25/34 (f)

5,180,000

5,202,952

Series 2005-1:

Class M1, 3.91% 3/25/35 (f)

4,395,000

4,392,950

Class M2, 3.94% 3/25/35 (f)

4,395,000

4,384,834

Class M3, 3.98% 3/25/35 (f)

2,120,000

2,120,796

Nissan Auto Lease Trust:

Series 2003-A Class A3A, 3.5281% 6/15/09 (f)

13,621,752

13,633,434

Series 2004-A Class A4A, 3.4581% 6/15/10 (f)

10,570,000

10,582,978

Asset-Backed Securities - continued

Principal Amount

Value

NovaStar Home Equity Loan Series 2004-1:

Class M1, 3.91% 6/25/34 (f)

$ 1,450,000

$ 1,451,222

Class M4, 4.435% 6/25/34 (f)

2,435,000

2,439,150

Ocala Funding LLC Series 2005-1A Class A, 4.93% 3/20/10 (c)(f)

3,675,000

3,675,000

Ownit Mortgage Loan Asste-Backed Certificates Series 2005-3 Class A2A, 3.5% 6/25/36 (f)

15,500,000

15,500,000

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M1, 4.09% 9/25/34 (f)

3,745,000

3,756,721

Class M2, 4.14% 9/25/34 (f)

1,755,000

1,764,326

Class M3, 4.71% 9/25/34 (f)

3,355,000

3,396,745

Class M4, 4.91% 9/25/34 (f)

4,700,000

4,767,614

Series 2004-WCW2 Class A2, 3.84% 10/25/34 (f)

7,952,623

7,976,111

Series 2005-WCH1:

Class A3B, 3.68% 1/25/35 (f)

2,775,000

2,779,908

Class M2, 3.98% 1/25/35 (f)

4,175,000

4,166,539

Class M3, 4.02% 1/25/35 (f)

3,290,000

3,292,599

Class M5, 4.34% 1/25/35 (f)

3,095,000

3,104,620

Series 2005-WHQ2 Class M7, 4.71% 5/25/35 (f)

5,950,000

5,930,787

People's Choice Home Loan Securities Trust Series 2005-2:

Class A1, 3.57% 9/25/24 (f)

7,475,790

7,475,790

Class M4, 4.09% 5/25/35 (f)

6,000,000

6,000,000

Providian Gateway Master Trust Series 2002-B Class A, 4.0881% 6/15/09 (c)(f)

15,000,000

15,039,393

Residental Asset Securities Corp.:

Series 2005-KS4 Class M2, 4.04% 4/25/35 (f)

1,040,000

1,037,610

Series 2005-KS7 Class A1, 3.4781% 8/25/35 (f)

10,515,000

10,512,897

Residential Asset Mortgage Products, Inc. Series 2004-RS10 Class MII2, 4.71% 10/25/34 (f)

5,500,000

5,566,857

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 3.86% 4/25/33 (f)

818,316

822,076

Saxon Asset Securities Trust:

Series 2004-1 Class M1, 3.99% 3/25/35 (f)

4,415,000

4,413,887

Series 2004-2 Class MV1, 4.04% 8/25/35 (f)

4,495,000

4,501,043

Sears Credit Account Master Trust II:

Series 2001-1 Class B, 3.8131% 2/15/10 (f)

10,000,000

9,987,143

Series 2002-4:

Class A, 3.5181% 8/18/09 (f)

27,000,000

26,999,603

Class B, 3.8131% 8/18/09 (f)

33,300,000

33,301,149

Series 2002-5 Class B, 4.6381% 11/17/09 (f)

30,000,000

30,062,976

Asset-Backed Securities - continued

Principal Amount

Value

Securitized Asset Backed Receivables LLC Trust Series 2004-NC1 Class M1, 3.98% 2/25/34 (f)

$ 2,910,000

$ 2,909,256

Specialty Underwriting & Residential Finance Series 2003-BC4 Class M1, 4.06% 11/25/34 (f)

1,810,000

1,818,452

Structured Asset Securities Corp. Series 2004-GEL1 Class A, 3.82% 2/25/34 (f)

1,043,424

1,043,422

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 3.8381% 3/15/11 (c)(f)

10,835,000

10,828,228

Superior Wholesale Inventory Financing Trust XII Series 2005-A12 Class C, 4.46% 6/15/10 (f)

6,840,000

6,839,945

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 3.89% 9/25/34 (f)

2,878,990

2,894,593

Series 2003-6HE Class A1, 3.93% 11/25/33 (f)

1,784,384

1,788,543

Series 2005-14HE Class AF1, 3.9753% 7/25/36 (d)(f)

8,635,000

8,633,296

TOTAL ASSET-BACKED SECURITIES

(Cost $2,293,954,229)

2,300,747,332

Collateralized Mortgage Obligations - 16.9%

Private Sponsor - 13.7%

Adjustable Rate Mortgage Trust floater:

Series 2004-2 Class 7A3, 3.86% 2/25/35 (f)

9,374,471

9,396,037

Series 2004-4 Class 5A2, 3.86% 3/25/35 (f)

3,780,419

3,787,953

Series 2005-1 Class 5A2, 3.79% 5/25/35 (f)

6,187,250

6,191,166

Series 2005-2:

Class 6A2, 3.74% 6/25/35 (f)

2,930,592

2,932,491

Class 6M2, 3.94% 6/25/35 (f)

10,145,000

10,145,010

Series 2005-3 Class 8A2, 3.7% 7/25/35 (f)

19,199,197

19,211,695

Series 2005-4 Class 7A2, 3.69% 8/25/35 (f)

9,011,457

9,003,527

Series 2005-8 Class 7A2, 3.77% 11/25/35 (f)

7,660,000

7,660,000

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 3.74% 1/25/35 (f)

20,354,186

20,354,186

Series 2005-2 Class 1A1, 3.71% 3/25/35 (f)

14,961,065

14,961,065

Series 2005-5 Class 1A1, 3.68% 7/25/35 (f)

18,707,862

18,696,170

Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 3.86% 5/25/33 (f)

5,545,033

5,548,017

Countrywide Home Loans, Inc. floater:

Series 2004-16 Class A1, 3.86% 9/25/34 (f)

10,335,456

10,325,843

Series 2005-1 Class 2A1, 3.75% 3/25/35 (f)

14,617,171

14,617,171

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR2 Class 6A1, 3.86% 3/25/34 (f)

5,338,263

5,334,945

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

CS First Boston Mortgage Securities Corp. floater: - continued

Series 2004-AR3 Class 6A2, 3.83% 4/25/34 (f)

$ 2,226,193

$ 2,228,162

Series 2004-AR4 Class 5A2, 3.83% 5/25/34 (f)

2,066,310

2,065,052

Series 2004-AR5 Class 11A2, 3.83% 6/25/34 (f)

2,987,552

2,981,472

Series 2004-AR6 Class 9A2, 3.83% 10/25/34 (f)

3,981,028

3,983,412

Series 2004-AR7 Class 6A2, 3.84% 8/25/34 (f)

5,801,660

5,806,785

Series 2004-AR8 Class 8A2, 3.84% 9/25/34 (f)

4,630,225

4,638,807

First Horizon Mortgage Passthru Trust floater Series 2004-FL1 Class 2A1, 3.95% 12/25/34 (f)

4,384,853

4,379,779

Granite Master Issuer PLC floater:

Series 2005-1:

Class A3, 3.51% 12/21/24 (f)

5,300,000

5,299,006

Class B1, 3.56% 12/20/54 (f)

7,050,000

7,047,577

Class M1, 3.66% 12/20/54 (f)

5,300,000

5,298,178

Series 2005-2 Class C1, 3.7857% 12/20/54 (f)

7,975,000

7,972,508

Granite Mortgages PLC floater:

Series 2004-1:

Class 1B, 3.64% 3/20/44 (f)

1,415,000

1,414,844

Class 1C, 4.33% 3/20/44 (f)

4,075,000

4,091,219

Class 1M, 3.84% 3/20/44 (f)

4,935,000

4,938,751

Series 2004-2:

Class 1A2, 3.5% 6/20/28 (f)

5,384,259

5,384,932

Class 1B, 3.6% 6/20/44 (f)

1,018,055

1,018,309

Class 1C, 4.13% 6/20/44 (f)

3,706,295

3,713,918

Class 1M, 3.71% 6/20/44 (f)

2,722,846

2,724,205

Series 2004-3:

Class 1B, 3.59% 9/20/44 (f)

2,100,000

2,100,210

Class 1C, 4.02% 9/20/44 (f)

5,415,000

5,426,913

Class 1M, 3.7% 9/20/44 (f)

1,200,000

1,200,360

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 3.6369% 5/19/35 (f)

11,690,145

11,648,134

Holmes Financing No. 7 PLC floater Series 2 Class M, 4.3988% 7/15/40 (f)

2,560,000

2,564,912

Holmes Financing No. 8 PLC floater Series 2:

Class A, 3.6788% 4/15/11 (f)

25,000,000

25,000,000

Class B, 3.7688% 7/15/40 (f)

2,695,000

2,696,684

Class C, 4.3188% 7/15/40 (f)

10,280,000

10,328,193

Home Equity Asset Trust floater Series 2005-3 Class 2A1, 3.55% 8/25/35 (f)

7,268,025

7,266,230

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 3.91% 10/25/34 (f)

4,495,430

4,509,337

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Impac CMB Trust floater:

Series 2004-11 Class 2A2, 3.83% 3/25/35 (f)

$ 8,638,669

$ 8,636,982

Series 2004-6 Class 1A2, 3.85% 10/25/34 (f)

3,481,529

3,487,748

Series 2005-1:

Class M1, 3.92% 4/25/35 (f)

3,223,929

3,220,529

Class M2, 3.96% 4/25/35 (f)

5,644,146

5,639,516

Class M3, 3.99% 4/25/35 (f)

1,384,927

1,383,466

Class M4, 4.21% 4/25/35 (f)

817,334

818,164

Class M5, 4.23% 4/25/35 (f)

817,334

817,174

Class M6, 4.28% 4/25/35 (f)

1,307,734

1,307,479

Series 2005-2 Class 1A2, 3.77% 4/25/35 (f)

13,211,515

13,201,194

Series 2005-3 Class A1, 3.7% 8/25/35 (f)

15,176,045

15,149,962

Series 2005-4 Class 1B1, 4.76% 6/25/35 (f)

5,306,886

5,282,839

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 3.67% 9/26/45 (c)(f)

16,153,164

16,153,164

MASTR Adjustable Rate Mortgages Trust:

floater Series 2005-1 Class 1A1, 3.73% 3/25/35 (f)

13,405,372

13,396,993

Series 2004-6 Class 4A2, 4.1729% 7/25/34 (f)

5,969,000

5,946,582

Merrill Lynch Mortgage Investors, Inc. floater:

Series 2003-A Class 2A1, 3.85% 3/25/28 (f)

8,079,308

8,122,924

Series 2003-B Class A1, 3.8% 4/25/28 (f)

7,852,610

7,898,403

Series 2003-D Class A, 3.77% 8/25/28 (f)

7,479,616

7,494,804

Series 2003-E Class A2, 3.4425% 10/25/28 (f)

10,687,128

10,687,143

Series 2003-F Class A2, 3.7075% 10/25/28 (f)

12,892,959

12,891,486

Series 2004-A Class A2, 3.6175% 4/25/29 (f)

11,584,437

11,556,917

Series 2004-B Class A2, 3.79% 6/25/29 (f)

8,952,030

8,930,464

Series 2004-C Class A2, 3.95% 7/25/29 (f)

12,856,157

12,825,407

Series 2004-D Class A2, 3.4725% 9/25/29 (f)

9,971,432

9,974,033

Series 2004-E:

Class A2B, 3.7275% 11/25/29 (f)

8,523,921

8,502,874

Class A2D, 3.9175% 11/25/29 (f)

1,982,307

1,991,830

Series 2004-G Class A2, 3.95% 11/25/29 (f)

3,854,828

3,854,422

Series 2005-A Class A2, 3.38% 2/25/30 (f)

10,800,867

10,785,319

Mortgage Asset Backed Securities Trust floater Series 2002-NC1 Class M1, 4.31% 10/25/32 (f)

4,538,551

4,555,535

MortgageIT Trust floater:

Series 2004-2:

Class A1, 3.83% 12/25/34 (f)

4,920,628

4,927,758

Class A2, 3.91% 12/25/34 (f)

6,656,800

6,696,298

Series 2005-2 Class 1A1, 3.72% 5/25/35 (f)

5,093,718

5,097,498

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 3.75% 6/25/35 (f)

19,112,336

19,123,533

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Permanent Financing No. 1 PLC floater Series 1 Class 2C, 4.5594% 6/10/42 (f)

$ 1,745,000

$ 1,749,384

Permanent Financing No. 3 PLC floater Series 2 Class C, 4.4294% 6/10/42 (f)

4,845,000

4,893,450

Permanent Financing No. 4 PLC floater Series 2 Class C, 4.0994% 6/10/42 (f)

15,400,000

15,475,306

Permanent Financing No. 5 PLC floater:

Series 2 Class C, 4.0294% 6/10/42 (f)

4,215,000

4,234,760

Series 3 Class C, 4.1994% 6/10/42 (f)

8,890,000

8,967,788

Permanent Financing No. 6 PLC floater Series 6:

Class 1C, 3.7294% 6/10/42 (f)

4,000,000

4,000,572

Class 2C, 3.8294% 6/10/42 (f)

5,350,000

5,352,343

Permanent Financing No. 7 PLC floater Series 7:

Class 1B, 3.4694% 6/10/42 (f)

2,000,000

1,999,375

Class 1C, 3.6594% 6/10/42 (f)

3,840,000

3,838,800

Class 2C, 3.7094% 6/10/42 (f)

8,065,000

8,054,919

Permanent Financing No. 8 PLC floater Series 8:

Class 1C, 3.7475% 6/10/42 (f)

7,165,000

7,162,621

Class 2C, 3.8175% 6/10/42 (f)

9,945,000

9,941,688

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

4,643,507

4,727,342

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

Class B4, 5.15% 3/10/35 (c)(f)

5,492,986

5,575,381

Class B5, 5.7% 3/10/35 (c)(f)

5,684,725

5,811,417

Residential Funding Securities Corp.:

Series 2003-RP1 Class A1, 3.96% 11/25/34 (f)

2,829,110

2,840,739

Series 2003-RP2 Class A1, 3.93% 6/25/33 (c)(f)

3,866,185

3,881,108

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 3.41% 9/20/33 (f)

10,999,101

10,996,236

Series 2003-7 Class A2, 2.885% 1/20/34 (f)

9,577,708

9,569,385

Series 2004-1 Class A, 4.15% 2/20/34 (f)

6,379,791

6,373,993

Series 2004-10 Class A4, 3.6681% 11/20/34 (f)

10,424,803

10,408,138

Series 2004-3 Class A, 3.5463% 5/20/34 (f)

10,662,486

10,588,333

Series 2004-4 Class A, 3.5881% 5/20/34 (f)

13,430,919

13,399,990

Series 2004-5 Class A3, 3.77% 6/20/34 (f)

8,904,038

8,897,082

Series 2004-6:

Class A3A, 4.1475% 6/20/35 (f)

8,182,127

8,176,739

Class A3B, 3.16% 7/20/34 (f)

1,022,766

1,021,950

Series 2004-7:

Class A3A, 3.2275% 8/20/34 (f)

7,642,675

7,636,475

Class A3B, 3.4525% 7/20/34 (f)

1,375,260

1,380,167

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Sequoia Mortgage Trust floater: - continued

Series 2004-8 Class A2, 3.45% 9/20/34 (f)

$ 14,155,710

$ 14,148,404

Series 2005-1 Class A2, 3.68% 2/20/35 (f)

7,355,282

7,354,362

Series 2005-2 Class A2, 3.36% 3/20/35 (f)

13,876,523

13,876,523

Series 2005-3 Class A1, 3.46% 5/20/35 (f)

9,217,677

9,217,677

Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 3.77% 7/25/35 (f)

11,201,095

11,201,095

Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 3.86% 9/25/33 (c)(f)

2,553,470

2,555,084

Thornburg Mortgage Securities Trust floater Series 2004-3 Class A, 3.83% 9/25/34 (f)

22,068,069

22,129,394

WAMU Mortgage pass thru certificates:

floater Series 2005-AR6 Class 2A-1A, 3.5448% 4/25/45 (f)

6,133,307

6,133,607

Series 2005 AR11 Class A1C1, 3.6675% 8/25/40 (d)(f)

14,400,000

14,400,000

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-M Class A3, 4.7024% 8/25/34 (f)

19,880,000

19,789,156

Series 2005-AR12 Class 2A1, 4.322% 7/25/35 (f)

31,674,772

31,407,532

TOTAL PRIVATE SPONSOR

895,419,920

U.S. Government Agency - 3.2%

Fannie Mae:

floater:

Series 2000-38 Class F, 3.76% 11/18/30 (f)

1,103,802

1,112,055

Series 2000-40 Class FA, 3.8144% 7/25/30 (f)

2,487,156

2,498,099

Series 2002-89 Class F, 3.6144% 1/25/33 (f)

3,630,895

3,636,484

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

4,732,822

4,849,182

Fannie Mae guaranteed REMIC pass thru certificates:

floater:

Series 2001-34 Class FR, 3.66% 8/18/31 (f)

2,500,934

2,508,899

Series 2001-44 Class FB, 3.6144% 9/25/31 (f)

2,262,040

2,268,738

Series 2001-46 Class F, 3.66% 9/18/31 (f)

6,514,676

6,552,090

Series 2002-11 Class QF, 3.8144% 3/25/32 (f)

4,517,951

4,551,812

Series 2002-36 Class FT, 3.8144% 6/25/32 (f)

1,503,724

1,516,521

Series 2002-64 Class FE, 3.61% 10/18/32 (f)

2,256,514

2,266,981

Series 2002-65 Class FA, 3.6144% 10/25/17 (f)

2,585,370

2,590,545

Series 2002-74 Class FV, 3.7644% 11/25/32 (f)

8,360,131

8,420,920

Series 2003-11:

Class DF, 3.7644% 2/25/33 (f)

3,173,455

3,195,574

Class EF, 3.7644% 2/25/33 (f)

2,602,157

2,612,658

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Fannie Mae guaranteed REMIC pass thru certificates: - continued

floater:

Series 2003-63 Class F1, 3.6144% 11/25/27 (f)

$ 6,387,368

$ 6,390,916

planned amortization class:

Series 1998-63 Class PG, 6% 3/25/27

1,212,661

1,212,198

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

4,183,652

4,194,964

Series 2001-76 Class UB, 5.5% 10/25/13

1,378,221

1,379,002

Series 2002-16 Class QD, 5.5% 6/25/14

345,479

346,552

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

4,950,777

4,957,813

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

3,569,878

3,584,870

Freddie Mac:

floater Series 2510 Class FE, 3.7881% 10/15/32 (f)

5,998,150

6,032,418

planned amortization class:

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

1,286,641

1,286,029

Series 2353 Class PC, 6.5% 9/15/15

1,363,169

1,366,992

Freddie Mac Manufactured Housing participation certificates guaranteed floater Series 2338 Class FJ, 3.5881% 7/15/31 (f)

5,197,631

5,199,968

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2474 Class FJ, 3.7381% 7/15/17 (f)

4,556,922

4,564,198

Series 2526 Class FC, 3.7881% 11/15/32 (f)

3,597,778

3,616,182

Series 2538 Class FB, 3.7881% 12/15/32 (f)

6,607,741

6,651,155

Series 2551 Class FH, 3.8381% 1/15/33 (f)

3,358,821

3,373,027

planned amortization class:

Series 2136 Class PE, 6% 1/15/28

12,190,349

12,248,248

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

1,550,172

1,553,415

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

5,961,413

6,000,327

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

372,760

373,347

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

2,168,673

2,179,211

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

2,595,889

2,604,122

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

2,962,497

2,977,827

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

2,737,118

2,773,721

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

257,483

257,163

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

1,861,588

1,861,466

Series 2556 Class PM, 5.5% 2/15/16

1,160,963

1,159,984

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

7,104,375

367,384

Series 2828 Class JA, 4.5% 1/15/10

11,880,000

11,903,044

sequential pay:

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

648,803

649,120

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

871,905

871,370

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

Series 2406:

Class FP, 4.3681% 1/15/32 (f)

$ 10,270,000

$ 10,502,819

Class PF, 4.3681% 12/15/31 (f)

8,125,000

8,337,955

Series 2410 Class PF, 4.3681% 2/15/32 (f)

18,644,444

19,070,154

Ginnie Mae guaranteed REMIC pass thru securities floater:

Series 2001-46 Class FB, 3.7381% 5/16/23 (f)

2,988,811

3,001,292

Series 2001-50 Class FV, 3.5881% 9/16/27 (f)

9,114,548

9,113,939

Series 2002-24 Class FX, 3.9381% 4/16/32 (f)

2,630,687

2,652,779

Series 2002-31 Class FW, 3.7881% 6/16/31 (f)

3,614,097

3,633,687

Series 2002-5 Class KF, 3.7881% 8/16/26 (f)

617,815

618,278

TOTAL U.S. GOVERNMENT AGENCY

207,447,494

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $1,104,119,465)

1,102,867,414

Commercial Mortgage Securities - 5.8%

1301 Avenue of The Americas Trust Series 2000-1301:

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

5,025,000

5,024,881

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

6,695,000

6,694,844

Banc of America Large Loan, Inc. floater:

Series 2003-BBA2 Class A3, 3.7081% 11/15/15 (c)(f)

5,038,226

5,041,400

Series 2005-BOCA:

Class H, 4.3381% 12/15/16 (c)(f)

2,065,000

2,061,834

Class J, 4.4881% 12/15/16 (c)(f)

1,020,000

1,018,438

Class K, 4.7381% 12/15/16 (c)(f)

6,659,000

6,650,611

Bayview Commercial Asset Trust floater:

Series 2003-1 Class A, 4.04% 8/25/33 (c)(f)

6,644,316

6,723,250

Series 2003-2:

Class A, 4.04% 12/25/33 (c)(f)

13,522,369

13,687,661

Class M1, 4.31% 12/25/33 (c)(f)

2,200,548

2,236,841

Series 2004-1:

Class A, 3.82% 4/25/34 (c)(f)

6,403,472

6,414,728

Class B, 5.36% 4/25/34 (c)(f)

665,296

672,910

Class M1, 4.02% 4/25/34 (c)(f)

582,134

584,681

Class M2, 4.66% 4/25/34 (c)(f)

498,972

504,819

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust floater: - continued

Series 2004-2:

Class A, 3.89% 8/25/34 (c)(f)

$ 6,299,807

$ 6,330,814

Class M1, 4.04% 8/25/34 (c)(f)

2,031,330

2,039,265

Series 2004-3:

Class A1, 3.83% 1/25/35 (c)(f)

6,582,479

6,605,519

Class A2, 3.88% 1/25/35 (c)(f)

914,869

918,092

Class M1, 3.96% 1/25/35 (c)(f)

1,097,080

1,098,564

Class M2, 4.46% 1/25/35 (c)(f)

715,487

719,742

Series 2005-2A:

Class M1, 3.73% 8/25/35 (c)(f)

1,297,812

1,297,812

Class M2, 3.78% 8/25/35 (c)(f)

2,136,399

2,136,399

Class M3, 3.8% 8/25/35 (c)(f)

1,183,006

1,183,006

Class M4, 3.91% 8/25/35 (c)(f)

1,088,166

1,088,166

Bear Stearns Commercial Mortgage Securities, Inc. floater:

Series 2003-BA1A:

Class JFCM, 4.98% 4/14/15 (c)(f)

1,344,296

1,350,087

Class JMM, 4.88% 4/14/15 (c)(f)

1,384,053

1,385,065

Class KFCM, 5.23% 4/14/15 (c)(f)

1,436,661

1,443,179

Class KMM, 5.13% 4/14/15 (c)(f)

1,253,767

1,254,776

Class LFCM, 5.63% 4/14/15 (c)(f)

1,601,905

1,602,545

Class MFCM, 5.93% 4/14/15 (c)(f)

2,218,251

2,219,234

Series 2004-BBA3 Class E, 4.0881% 6/15/17 (c)(f)

10,415,000

10,415,949

Chase Commercial Mortgage Securities Corp. floater Series 2000-FL1A:

Class B, 3.81% 12/12/13 (c)(f)

896,672

897,536

Class C, 4.16% 12/12/13 (c)(f)

1,793,345

1,801,374

COMM floater:

Series 2001-FL5A Class E, 4.8881% 11/15/13 (c)(f)

3,049,546

3,048,573

Series 2002-FL6:

Class F, 4.8381% 6/14/14 (c)(f)

11,163,000

11,190,451

Class G, 5.2881% 6/14/14 (c)(f)

5,000,000

5,000,444

Series 2003-FL9 Class B, 3.8881% 11/15/15 (c)(f)

10,354,700

10,383,149

Commercial Mortgage pass thru certificates floater:

Series 2004-CNL:

Class A2, 3.6881% 9/15/14 (c)(f)

3,570,000

3,573,440

Class G, 4.3681% 9/15/14 (c)(f)

1,345,000

1,345,538

Class H, 4.4681% 9/15/14 (c)(f)

1,430,000

1,430,571

Class J, 4.9881% 9/15/14 (c)(f)

490,000

491,560

Class K, 5.3881% 9/15/14 (c)(f)

770,000

771,587

Class L, 5.5881% 9/15/14 (c)(f)

625,000

624,693

Commercial Mortgage Securities - continued

Principal Amount

Value

Commercial Mortgage pass thru certificates floater: - continued

Series 2004-HTL1:

Class B, 3.8381% 7/15/16 (c)(f)

$ 495,379

$ 495,732

Class D, 3.9381% 7/15/16 (c)(f)

1,125,628

1,125,788

Class E, 4.1381% 7/15/16 (c)(f)

805,726

806,031

Class F, 4.1881% 7/15/16 (c)(f)

852,671

853,207

Class H, 4.6881% 7/15/16 (c)(f)

2,472,312

2,473,143

Class J, 4.8381% 7/15/16 (c)(f)

950,314

950,633

Class K, 5.7381% 7/15/16 (c)(f)

1,069,720

1,069,257

Commercial Mortgage Pass-Through Certificates floater Series 2005-F10A:

Class B, 3.6181% 4/15/17 (c)(f)

7,080,000

7,080,000

Class C, 3.6581% 4/15/17 (c)(f)

3,006,000

3,006,000

Class D, 3.6981% 4/15/17 (c)(f)

2,440,000

2,440,000

Class E, 3.7581% 4/15/17 (c)(f)

1,821,000

1,821,000

Class F, 3.7981% 4/15/17 (c)(f)

1,035,000

1,035,000

Class G, 3.9381% 4/15/17 (c)(f)

1,035,000

1,035,000

Class H, 4.0081% 4/15/17 (c)(f)

1,035,000

1,035,000

Class I, 4.2381% 4/15/17 (c)(f)

335,000

335,000

Class MOA3, 3.6881% 3/15/20 (c)(f)

4,590,000

4,590,000

CS First Boston Mortgage Securities Corp.:

floater:

Series 2001-TFLA Class G, 5.1381% 12/15/11 (c)(f)

3,720,000

3,702,795

Series 2002-TFLA Class C, 3.9688% 11/18/12 (c)(f)

3,675,000

3,674,923

Series 2003-TF2A Class A2, 3.7081% 11/15/14 (c)(f)

9,500,000

9,507,100

Series 2004-FL1 Class B, 3.8381% 5/15/14 (c)(f)

11,230,000

11,235,571

Series 2004-HC1:

Class A2, 3.8881% 12/15/21 (c)(f)

1,475,000

1,474,997

Class B, 4.1381% 12/15/21 (c)(f)

3,835,000

3,834,992

Series 2004-TF2A Class E, 3.8081% 11/15/19 (c)(f)

4,450,000

4,456,884

Series 2004-TFL1:

Class A2, 3.5781% 2/15/14 (c)(f)

7,005,000

7,007,087

Class E, 3.9381% 2/15/14 (c)(f)

2,800,000

2,806,033

Class F, 3.9881% 2/15/14 (c)(f)

2,325,000

2,330,394

Class G, 4.2381% 2/15/14 (c)(f)

1,875,000

1,880,617

Class H, 4.4881% 2/15/14 (c)(f)

1,400,000

1,403,733

Class J, 4.7881% 2/15/14 (c)(f)

750,000

753,724

Commercial Mortgage Securities - continued

Principal Amount

Value

CS First Boston Mortgage Securities Corp.: - continued

Series 2005-TF2A Class F, 3.8881% 11/15/19 (c)(f)

$ 1,540,000

$ 1,542,381

Series 2005-TFLA:

Class C, 3.6281% 2/15/20 (c)(f)

5,650,000

5,649,989

Class E, 3.7181% 2/15/20 (c)(f)

3,955,000

3,954,992

Class F, 3.7681% 2/15/20 (c)(f)

1,745,000

1,744,997

Class G, 3.9081% 2/15/20 (c)(f)

505,000

504,998

Class H, 4.1381% 2/15/20 (c)(f)

715,000

714,998

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

518,675

522,823

Series 2003-TFLA Class G, 3.7357% 4/15/13 (c)(f)

446,933

445,553

GMAC Commercial Mortgage Securities, Inc. floater Series 2001-FL1A Class E, 4.2% 2/11/11 (c)(f)

264,524

264,175

GS Mortgage Securities Corp. II floater Series 2005-FL7A Class A1, 3.5% 11/6/19 (c)(f)

10,526,054

10,527,180

ISTAR Asset Receivables Trust floater Series 2002-1A Class A2, 3.8613% 5/28/20 (c)(f)

2,727,545

2,728,117

John Hancock Tower Mortgage Trust floater Series 2003-C5A Class B, 5.6585% 4/10/15 (c)(f)

8,245,000

8,150,339

JP Morgan Chase Commercial Mortgage Security Corp.:

floater Series 2005-FL1A:

Class WH, 3.97% 6/15/19 (c)(f)

3,325,000

3,325,100

Class WJ, 4.17% 6/15/19 (c)(f)

2,045,000

2,045,061

Class WK, 4.57% 6/15/19 (c)(f)

3,065,000

3,065,092

Series 2005-FL1A Class WX1, 1.2068% 6/15/19 (c)(f)(g)

240,000,000

2,596,800

Lehman Brothers Floating Rate Commercial Mortgage Trust:

floater:

Series 2003-C4A:

Class F, 5.6% 7/11/15 (c)(f)

813,387

813,822

Class H, 6.35% 7/11/15 (c)(f)

8,267,264

8,287,932

Series 2003-LLFA:

Class A2, 3.77% 12/16/14 (c)(f)

11,700,000

11,707,744

Class B, 3.98% 12/16/14 (c)(f)

4,615,000

4,626,299

Class C, 4.08% 12/16/14 (c)(f)

4,982,000

4,997,311

Series 2005-LLFA Class FAIR, 5.1138% 7/15/19 (c)(d)(f)

4,360,000

4,360,000

Morgan Stanley Dean Witter Capital I Trust floater Series 2002-XLF Class F, 5.49% 8/5/14 (c)(f)

7,603,983

7,603,972

Commercial Mortgage Securities - continued

Principal Amount

Value

Salomon Brothers Mortgage Securities VII, Inc.:

floater:

Series 2001-CDCA:

Class C, 4.1881% 2/15/13 (c)(f)

$ 10,495,000

$ 10,291,568

Class D, 4.1881% 2/15/13 (c)(f)

4,000,000

3,891,288

Series 2003-CDCA:

Class HEXB, 5.2881% 2/15/15 (c)(f)

770,000

771,001

Class JEXB, 5.4881% 2/15/15 (c)(f)

1,300,000

1,301,690

Class KEXB, 5.8881% 2/15/15 (c)(f)

960,000

961,248

Series 2000-NL1 Class E, 7.0607% 10/15/30 (c)(f)

3,657,956

3,672,236

SDG Macerich Properties LP floater Series 2000-1 Class A3, 3.7281% 5/15/09 (c)(f)

18,000,000

18,008,086

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 3.78% 3/24/18 (c)(f)

7,263,029

7,263,029

Wachovia Bank Commercial Mortgage Trust floater:

Series 2004-WHL3:

Class A2, 3.5681% 3/15/14 (c)(f)

3,510,000

3,511,290

Class E, 3.8881% 3/15/14 (c)(f)

2,190,000

2,192,749

Class F, 3.9381% 3/15/14 (c)(f)

1,755,000

1,757,120

Class G, 4% 3/15/14 (c)(f)

875,000

876,363

Series 2005-WL5A:

Class KHP1, 3.7381% 1/15/18 (c)(f)

1,745,000

1,745,000

Class KHP2, 3.9381% 1/15/18 (c)(f)

1,745,000

1,745,000

Class KHP3, 4.2381% 1/15/18 (c)(f)

2,060,000

2,060,000

Class KHP4, 4.3381% 1/15/18 (c)(f)

1,600,000

1,600,000

Class KHP5, 4.5381% 1/15/18 (c)(f)

1,855,000

1,855,000

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $378,363,353)

378,866,012

Interfund Loans - 0.1%

With Fidelity Equity-Income Fund, at 3.43442% due 8/1/05 (b) (Cost $8,443,000)

8,443,000

8,443,000

Cash Equivalents - 40.4%

Maturity
Amount

Value

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.32%, dated 7/29/05 due 8/1/05) (i)

$ 2,354,814,398

$ 2,354,164,000

With Goldman Sachs & Co. at 3.41%, dated 7/1/05 due 8/23/05 (Collateralized by Mortgage Loan Obligations valued at $295,800,001, 0.9%- 10.36%, 4/18/17 - 6/25/44) (f)(h)

291,455,881

289,998,492

TOTAL CASH EQUIVALENTS

(Cost $2,644,164,000)

2,644,162,492

TOTAL INVESTMENT PORTFOLIO - 102.2%

(Cost $6,679,436,405)

6,685,115,608

NET OTHER ASSETS - (2.2)%

(140,968,200)

NET ASSETS - 100%

$ 6,544,147,408

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Sold

Eurodollar Contracts

73 Eurodollar 90 Day Index Contracts

Dec. 2005

$ 72,221,638

$ 34,806

49 Eurodollar 90 Day Index Contracts

March 2006

48,464,675

28,036

32 Eurodollar 90 Day Index Contracts

June 2006

31,645,600

16,247

27 Eurodollar 90 Day Index Contracts

Sept. 2006

26,698,612

16,355

26 Eurodollar 90 Day Index Contracts

Dec. 2006

25,707,500

14,421

24 Eurodollar 90 Day Index Contracts

March 2007

23,729,700

12,329

17 Eurodollar 90 Day Index Contracts

June 2007

16,807,688

5,970

16 Eurodollar 90 Day Index Contracts

Sept. 2007

15,818,200

5,711

15 Eurodollar 90 Day Index Contracts

Dec. 2007

14,828,250

5,590

15 Eurodollar 90 Day Index Contracts

March 2008

14,827,875

5,015

8 Eurodollar 90 Day Index Contracts

June 2008

7,907,800

7,518

7 Eurodollar 90 Day Index Contracts

Sept. 2008

6,918,888

6,885

TOTAL EURODOLLAR CONTRACTS

158,883

Swap Agreements

Notional Amount

Value

Credit Default Swap

Receive from Citibank, upon default event of DaimlerChrysler NA Holding Corp., par value of the notional amount of DaimlerChrysler NA Holding Corp. 6.5% 11/15/13, and pay quarterly notional amount multiplied by .8%

June 2007

$ 14,000,000

$ (135,972)

Receive quarterly notional amount multiplied by 1.12% and pay Morgan Stanley, Inc. upon default of Comcast Cable Communications, Inc., par value of the notional amount of Comcast Cable Communications, Inc. 6.75% 1/30/11

June 2006

10,000,000

102,057

TOTAL CREDIT DEFAULT SWAP

24,000,000

(33,915)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Total Return Swap

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

Oct. 2005

$ 48,200,000

$ 46,335

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

Dec. 2005

30,000,000

32,511

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 30 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

August 2005

35,100,000

33,945

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 22 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

Jan. 2006

$ 35,100,000

$ 32,229

Receive monthly a return equal to Lehman Brothers ABS Floating Rate Index and pay monthly a floating rate based on the 1- month LIBOR minus 11.1 basis points with Lehman Brothers, Inc.

Nov. 2005

30,000,000

0

TOTAL TOTAL RETURN SWAP

178,400,000

145,020

$ 202,400,000

$ 111,105

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) Affiliated entity

(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 period end, the value of these securities amounted to $586,119,417 or 9.0% of net assets.

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

(e) 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 $994,635.

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

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

(h) The maturity amount is based on the rate at period end.

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

Repurchase Agreement/
Counterparty

Value

$2,354,164,000 due 8/1/05 at 3.32%

Banc of America Securities LLC.

$ 471,596,247

Bank of America, National Association

244,985,063

Barclays Capital Inc.

979,940,254

Countrywide Securities Corporation

244,985,063

Morgan Stanley & Co. Incorporated.

351,411,107

UBS Securities LLC

61,246,266

$ 2,354,164,000

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $6,679,021,266. Net unrealized appreciation aggregated $6,094,342, of which $11,067,257 related to appreciated investment securities and $4,972,915 related to depreciated investment securities.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Advisor Value Fund
Class A
Class T
Class B
Class C
Institutional Class

July 31, 2005

1.804833.101

FAV-QTLY-0905

Investments July 31, 2005 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 92.3%

Shares

Value

CONSUMER DISCRETIONARY - 12.8%

Auto Components - 0.3%

BorgWarner, Inc.

2,400

$ 139,608

Automobiles - 0.1%

Monaco Coach Corp.

1,600

28,000

Diversified Consumer Services - 0.1%

Service Corp. International (SCI)

3,700

32,079

Hotels, Restaurants & Leisure - 3.2%

Brinker International, Inc. (a)

7,720

315,748

CBRL Group, Inc.

908

35,566

Domino's Pizza, Inc.

1,100

27,522

Harrah's Entertainment, Inc.

854

67,244

Hilton Hotels Corp.

3,660

90,585

Outback Steakhouse, Inc.

6,550

305,099

Royal Caribbean Cruises Ltd.

11,960

543,582

Wendy's International, Inc.

4,320

223,344

1,608,690

Household Durables - 0.6%

Jarden Corp. (a)

125

4,795

Matsushita Electric Industrial Co. Ltd.

3,000

48,660

Newell Rubbermaid, Inc.

8,690

216,120

Sony Corp. sponsored ADR

1,100

35,761

305,336

Leisure Equipment & Products - 1.4%

Brunswick Corp.

4,530

210,917

Eastman Kodak Co.

16,400

438,536

K2, Inc. (a)

5,060

67,298

716,751

Media - 2.2%

E.W. Scripps Co. Class A

2,540

128,346

Emmis Communications Corp. Class A (a)

4,520

92,796

Gannett Co., Inc.

2,100

153,216

Lamar Advertising Co. Class A (a)

2,100

92,421

The New York Times Co. Class A

4,900

154,448

The Reader's Digest Association, Inc. (non-vtg.)

10,210

165,810

Tribune Co.

4,300

156,950

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

4,225

141,495

1,085,482

Multiline Retail - 1.0%

Big Lots, Inc. (a)

16,680

216,340

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Multiline Retail - continued

Family Dollar Stores, Inc.

10,700

$ 276,060

Nordstrom, Inc.

80

2,961

495,361

Specialty Retail - 3.1%

AnnTaylor Stores Corp. (a)

8,400

216,468

AutoNation, Inc. (a)

4,390

94,780

Blockbuster, Inc. Class A

167

1,448

Gap, Inc.

5,400

113,994

Linens 'N Things, Inc. (a)

5,100

133,875

Office Depot, Inc. (a)

3,660

103,871

OfficeMax, Inc.

2,200

65,340

Pier 1 Imports, Inc.

18,530

263,497

Select Comfort Corp. (a)

230

4,901

Sports Authority, Inc. (a)

6,400

203,520

Stage Stores, Inc. (a)

590

26,060

TBC Corp. New (a)

3,495

99,153

Tiffany & Co., Inc.

7,300

248,419

1,575,326

Textiles, Apparel & Luxury Goods - 0.8%

Liz Claiborne, Inc.

7,740

322,061

Warnaco Group, Inc. (a)

2,900

70,615

392,676

TOTAL CONSUMER DISCRETIONARY

6,379,309

CONSUMER STAPLES - 2.5%

Beverages - 0.4%

Coca-Cola Enterprises, Inc.

3,875

91,063

Cott Corp. (a)

4,500

103,978

195,041

Food & Staples Retailing - 0.8%

Safeway, Inc.

17,020

413,586

Food Products - 0.7%

Corn Products International, Inc.

3,800

91,466

Dean Foods Co. (a)

6,290

224,553

Diamond Foods, Inc.

100

2,215

Global Bio-Chem Technology Group Co. Ltd.

20,000

10,034

TreeHouse Foods, Inc. (a)

1,178

36,023

364,291

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Household Products - 0.5%

Colgate-Palmolive Co.

4,900

$ 259,406

Personal Products - 0.1%

NBTY, Inc. (a)

1,200

29,040

TOTAL CONSUMER STAPLES

1,261,364

ENERGY - 8.3%

Energy Equipment & Services - 7.7%

Baker Hughes, Inc.

5,300

299,662

BJ Services Co.

3,370

205,536

Cooper Cameron Corp. (a)

5,050

358,449

ENSCO International, Inc.

3,970

160,309

FMC Technologies, Inc. (a)

3,830

138,838

GlobalSantaFe Corp.

3,800

170,962

Grant Prideco, Inc. (a)

7,425

238,343

Halliburton Co.

8,500

476,425

Helmerich & Payne, Inc.

5,230

298,738

Nabors Industries Ltd. (a)

3,220

210,749

National Oilwell Varco, Inc. (a)

4,550

238,193

Noble Corp.

4,690

315,074

Pride International, Inc. (a)

3,190

83,004

Smith International, Inc.

3,000

203,820

Transocean, Inc. (a)

4,730

266,914

Weatherford International Ltd. (a)

2,960

187,309

3,852,325

Oil, Gas & Consumable Fuels - 0.6%

Marathon Oil Corp.

317

18,500

McMoRan Exploration Co. (a)

2,300

40,618

Premcor, Inc.

1,670

127,989

Valero Energy Corp.

1,640

135,759

322,866

TOTAL ENERGY

4,175,191

FINANCIALS - 11.5%

Capital Markets - 1.9%

Charles Schwab Corp.

2,110

28,907

Janus Capital Group, Inc.

12,630

189,703

Lehman Brothers Holdings, Inc.

2,520

264,928

Merrill Lynch & Co., Inc.

4,800

282,144

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

Nuveen Investments, Inc. Class A

1,800

$ 68,400

State Street Corp.

2,200

109,428

943,510

Commercial Banks - 1.3%

Bank of America Corp.

3,568

155,565

UnionBanCal Corp.

2,950

210,453

Wachovia Corp.

5,050

254,419

620,437

Consumer Finance - 0.1%

Capital One Financial Corp.

700

57,750

Diversified Financial Services - 0.1%

Citigroup, Inc.

900

39,150

Insurance - 3.7%

AFLAC, Inc.

8,650

390,115

AMBAC Financial Group, Inc.

3,060

219,830

Genworth Financial, Inc. Class A (non-vtg.)

900

28,224

Marsh & McLennan Companies, Inc.

1,820

52,725

MBIA, Inc.

4,690

284,871

MetLife, Inc.

4,960

243,734

MetLife, Inc. unit

2,968

82,125

Prudential Financial, Inc.

2,700

180,630

Scottish Re Group Ltd.

2,370

56,999

The St. Paul Travelers Companies, Inc.

5,930

261,039

Willis Group Holdings Ltd.

1,500

49,740

1,850,032

Real Estate - 3.3%

Alexandria Real Estate Equities, Inc.

1,700

136,765

CenterPoint Properties Trust (SBI)

2,980

130,703

Digital Realty Trust, Inc.

700

13,258

Duke Realty Corp.

3,690

125,312

Education Realty Trust, Inc.

3,900

77,337

Equity Office Properties Trust

3,500

124,075

Equity Residential (SBI)

2,600

105,040

General Growth Properties, Inc.

5,720

263,006

GMH Communities Trust

3,700

55,463

Kimco Realty Corp.

1,400

91,924

Reckson Associates Realty Corp.

3,900

136,968

Trizec Properties, Inc.

4,300

94,471

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate - continued

United Dominion Realty Trust, Inc. (SBI)

4,500

$ 114,525

Vornado Realty Trust

2,220

196,781

1,665,628

Thrifts & Mortgage Finance - 1.1%

Countrywide Financial Corp.

6,860

246,960

Fannie Mae

1,140

63,680

Freddie Mac

3,270

206,926

Hudson City Bancorp, Inc.

3,500

41,405

558,971

TOTAL FINANCIALS

5,735,478

HEALTH CARE - 13.6%

Biotechnology - 0.9%

Biogen Idec, Inc. (a)

2,500

98,225

Cephalon, Inc. (a)

3,400

142,460

CSL Ltd.

88

2,324

MedImmune, Inc. (a)

1,800

51,138

Millennium Pharmaceuticals, Inc. (a)

9,790

101,131

ONYX Pharmaceuticals, Inc. (a)

1,300

30,485

425,763

Health Care Equipment & Supplies - 3.8%

Baxter International, Inc.

18,150

712,751

Becton, Dickinson & Co.

3,870

214,282

CONMED Corp. (a)

1,181

35,560

Dade Behring Holdings, Inc.

3,350

253,930

Fisher Scientific International, Inc. (a)

4,320

289,656

Hospira, Inc. (a)

900

34,425

Varian, Inc. (a)

7,600

284,772

Waters Corp. (a)

1,300

58,864

1,884,240

Health Care Providers & Services - 7.7%

AmerisourceBergen Corp.

7,200

516,888

Community Health Systems, Inc. (a)

11,410

440,540

HCA, Inc.

7,240

356,570

Health Net, Inc. (a)

7,400

287,120

Laboratory Corp. of America Holdings (a)

2,000

101,340

McKesson Corp.

13,000

585,000

Omnicare, Inc.

4,700

216,670

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

PacifiCare Health Systems, Inc. (a)

370

$ 28,194

Pediatrix Medical Group, Inc. (a)

2,920

228,986

Quest Diagnostics, Inc.

5,960

305,986

Sunrise Senior Living, Inc. (a)

2,400

127,200

Triad Hospitals, Inc. (a)

4,370

217,058

Universal Health Services, Inc. Class B

6,370

331,495

WebMD Corp. (a)

11,630

123,394

3,866,441

Pharmaceuticals - 1.2%

Forest Laboratories, Inc. (a)

900

35,928

Schering-Plough Corp.

26,590

553,604

Wyeth

620

28,365

617,897

TOTAL HEALTH CARE

6,794,341

INDUSTRIALS - 10.8%

Aerospace & Defense - 1.2%

EADS NV

5,460

183,580

Honeywell International, Inc.

4,040

158,691

Lockheed Martin Corp.

730

45,552

Precision Castparts Corp.

2,170

195,257

583,080

Airlines - 0.5%

ACE Aviation Holdings, Inc. Class A (a)

2,300

71,685

Ryanair Holdings PLC sponsored ADR (a)

3,510

164,303

Southwest Airlines Co.

1,500

21,285

257,273

Building Products - 0.8%

Masco Corp.

11,670

395,730

Commercial Services & Supplies - 1.0%

Aramark Corp. Class B

4,700

130,848

Manpower, Inc.

3,550

169,690

Navigant Consulting, Inc. (a)

5,300

106,000

Steelcase, Inc. Class A

6,480

94,867

501,405

Construction & Engineering - 2.2%

Dycom Industries, Inc. (a)

10,830

264,252

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Construction & Engineering - continued

EMCOR Group, Inc. (a)

2,000

$ 103,000

Fluor Corp.

11,270

719,015

1,086,267

Electrical Equipment - 0.1%

A.O. Smith Corp.

2,200

59,400

Industrial Conglomerates - 0.8%

Tyco International Ltd.

12,350

376,305

Machinery - 2.8%

Albany International Corp. Class A

6,850

240,024

Briggs & Stratton Corp.

4,300

160,691

Crane Co.

2,470

76,941

Harsco Corp.

3,170

190,993

Kennametal, Inc.

5,840

277,575

SPX Corp.

7,450

364,156

Wabash National Corp.

4,420

95,074

1,405,454

Road & Rail - 1.4%

Canadian National Railway Co.

3,705

245,568

CSX Corp.

4,580

208,573

Laidlaw International, Inc.

9,925

255,073

709,214

Transportation Infrastructure - 0.0%

Macquarie Infrastructure Co. Trust

200

5,680

TOTAL INDUSTRIALS

5,379,808

INFORMATION TECHNOLOGY - 19.2%

Communications Equipment - 1.8%

Alcatel SA sponsored ADR (a)

12,380

151,036

Andrew Corp. (a)

7,630

83,854

Avaya, Inc. (a)

13,800

142,554

Motorola, Inc.

12,650

267,927

Nokia Corp. sponsored ADR

5,400

86,130

Powerwave Technologies, Inc. (a)

12,100

138,787

870,288

Computers & Peripherals - 3.3%

Maxtor Corp. (a)

31,380

185,142

Seagate Technology

20,500

397,085

Storage Technology Corp. (a)

9,190

337,549

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

UNOVA, Inc. (a)

5,030

$ 138,577

Western Digital Corp. (a)

40,450

606,346

1,664,699

Electronic Equipment & Instruments - 5.6%

Agilent Technologies, Inc. (a)

11,100

291,264

Arrow Electronics, Inc. (a)

8,880

266,578

Avnet, Inc. (a)

16,200

424,116

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

30,110

350,199

Flextronics International Ltd. (a)

39,570

535,778

Mettler-Toledo International, Inc. (a)

4,960

260,400

Molex, Inc.

6,500

183,560

Solectron Corp. (a)

32,290

123,994

Symbol Technologies, Inc.

28,170

327,899

Tektronix, Inc.

1,770

44,356

2,808,144

Internet Software & Services - 0.0%

MatrixOne, Inc. (a)

2,261

11,169

IT Services - 2.4%

Accenture Ltd. Class A (a)

4,600

115,184

Affiliated Computer Services, Inc. Class A (a)

7,050

352,289

BearingPoint, Inc. (a)

16,600

136,286

Ceridian Corp. (a)

24,130

505,041

Iron Mountain, Inc. (a)

1,000

34,290

The BISYS Group, Inc. (a)

4,700

73,931

1,217,021

Office Electronics - 1.2%

Xerox Corp. (a)

45,970

607,264

Semiconductors & Semiconductor Equipment - 3.5%

Agere Systems, Inc. (a)

3,639

40,720

AMIS Holdings, Inc. (a)

5,820

74,263

Applied Materials, Inc.

13,800

254,748

ASML Holding NV (NY Shares) (a)

13,400

235,840

DSP Group, Inc. (a)

769

19,187

Exar Corp. (a)

3,131

49,861

Fairchild Semiconductor International, Inc. (a)

11,490

193,721

Freescale Semiconductor, Inc.:

Class A

3,500

89,320

Class B

7,000

180,250

Microsemi Corp. (a)

4,100

87,535

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

National Semiconductor Corp.

11,400

$ 281,694

Novellus Systems, Inc. (a)

7,940

229,069

1,736,208

Software - 1.4%

Borland Software Corp. (a)

8,286

55,599

Cadence Design Systems, Inc. (a)

11,500

185,035

Hyperion Solutions Corp. (a)

1,685

79,296

JDA Software Group, Inc. (a)

1,600

22,736

Quest Software, Inc. (a)

5,800

82,650

Secure Computing Corp. (a)

1,125

13,905

Siebel Systems, Inc.

14,200

119,280

Sybase, Inc. (a)

2,800

59,584

Symantec Corp. (a)

1,699

37,327

TIBCO Software, Inc. (a)

6,000

46,140

701,552

TOTAL INFORMATION TECHNOLOGY

9,616,345

MATERIALS - 6.4%

Chemicals - 3.0%

Albemarle Corp.

1,400

53,340

Ashland, Inc.

4,180

256,861

Celanese Corp. Class A

2,500

47,050

Chemtura Corp.

11,904

187,369

Cytec Industries, Inc.

4,600

208,748

Dow Chemical Co.

1,120

53,704

Ferro Corp.

5,150

115,875

Georgia Gulf Corp.

900

28,557

Lyondell Chemical Co.

6,440

179,934

NOVA Chemicals Corp.

920

32,266

OM Group, Inc. (a)

1,200

28,116

OMNOVA Solutions, Inc. (a)

7,780

45,980

PolyOne Corp. (a)

11,780

84,109

Spartech Corp.

6,100

114,253

Valspar Corp.

1,700

83,402

1,519,564

Construction Materials - 0.2%

Vulcan Materials Co.

1,300

91,312

Containers & Packaging - 1.1%

Owens-Illinois, Inc. (a)

15,480

397,062

Common Stocks - continued

Shares

Value

MATERIALS - continued

Containers & Packaging - continued

Packaging Corp. of America

5,610

$ 119,213

Smurfit-Stone Container Corp. (a)

870

10,553

526,828

Metals & Mining - 1.7%

Agnico-Eagle Mines Ltd.

4,610

56,404

Alcan, Inc.

7,850

265,439

Alcoa, Inc.

9,270

260,024

Grupo Mexico SA de CV Series B

5,967

10,204

Newmont Mining Corp.

2,680

100,634

Nucor Corp.

2,800

155,260

847,965

Paper & Forest Products - 0.4%

Aracruz Celulose SA (PN-B) sponsored ADR

950

35,350

MeadWestvaco Corp.

3,750

109,575

Votorantim Celulose e Papel SA sponsored ADR (non-vtg.)

4,600

55,430

200,355

TOTAL MATERIALS

3,186,024

TELECOMMUNICATION SERVICES - 2.5%

Diversified Telecommunication Services - 1.9%

Alaska Communication Systems Group, Inc.

2,300

22,701

ALLTEL Corp.

2,800

186,200

BellSouth Corp.

4,210

116,196

CenturyTel, Inc.

2,660

91,424

Citizens Communications Co.

12,830

168,586

Cogent Communications Group, Inc. (a)

4,200

30,450

Iowa Telecommunication Services, Inc.

3,500

66,430

New Skies Satellites Holdings Ltd.

1,100

22,770

SBC Communications, Inc.

4,270

104,402

Verizon Communications, Inc.

3,640

124,597

933,756

Wireless Telecommunication Services - 0.6%

Crown Castle International Corp. (a)

4,100

89,216

Dobson Communications Corp. Class A (a)

7,000

49,350

SpectraSite, Inc. (a)

2,280

186,276

324,842

TOTAL TELECOMMUNICATION SERVICES

1,258,598

Common Stocks - continued

Shares

Value

UTILITIES - 4.7%

Electric Utilities - 2.7%

Edison International

8,260

$ 337,669

Entergy Corp.

3,270

254,864

Exelon Corp.

3,700

198,024

ITC Holdings Corp.

100

2,800

PG&E Corp.

6,300

237,069

PPL Corp.

4,110

253,094

Westar Energy, Inc.

3,200

77,856

1,361,376

Independent Power Producers & Energy Traders - 1.6%

AES Corp. (a)

9,530

152,957

Constellation Energy Group, Inc.

2,500

150,525

NRG Energy, Inc. (a)

4,900

187,915

TXU Corp.

3,640

315,370

806,767

Multi-Utilities - 0.4%

CMS Energy Corp. (a)

2,300

36,432

Public Service Enterprise Group, Inc.

2,400

154,320

190,752

TOTAL UTILITIES

2,358,895

TOTAL COMMON STOCKS

(Cost $40,671,179)

46,145,353

Preferred Stocks - 0.9%

Convertible Preferred Stocks - 0.8%

CONSUMER DISCRETIONARY - 0.2%

Automobiles - 0.2%

General Motors Corp. Series A, 4.50%

3,100

76,198

Hotels, Restaurants & Leisure - 0.0%

Six Flags, Inc. 7.25% PIERS

250

5,350

TOTAL CONSUMER DISCRETIONARY

81,548

FINANCIALS - 0.0%

Insurance - 0.0%

Hartford Financial Services Group, Inc. 6.00%

160

11,446

Preferred Stocks - continued

Shares

Value

Convertible Preferred Stocks - continued

HEALTH CARE - 0.2%

Health Care Equipment & Supplies - 0.2%

Baxter International, Inc. 7.00%

1,580

$ 89,444

MATERIALS - 0.2%

Containers & Packaging - 0.2%

Owens-Illinois, Inc. 4.75%

2,670

109,470

UTILITIES - 0.2%

Multi-Utilities - 0.2%

Dominion Resources, Inc. 8.75%

1,590

86,847

TOTAL CONVERTIBLE PREFERRED STOCKS

378,755

Nonconvertible Preferred Stocks - 0.1%

FINANCIALS - 0.1%

Thrifts & Mortgage Finance - 0.1%

Fannie Mae 7.00%

800

44,480

TOTAL PREFERRED STOCKS

(Cost $403,694)

423,235

Nonconvertible Bonds - 0.1%

Principal Amount

CONSUMER DISCRETIONARY - 0.0%

Leisure Equipment & Products - 0.0%

K2, Inc. 7.375% 7/1/14

$ 10,000

10,475

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.1%

Tenet Healthcare Corp. 6.375% 12/1/11

30,000

28,425

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Instruments - 0.0%

Celestica, Inc. 7.875% 7/1/11

20,000

20,650

TOTAL NONCONVERTIBLE BONDS

(Cost $56,621)

59,550

Money Market Funds - 6.0%

Shares

Value

Fidelity Cash Central Fund, 3.31% (b)
(Cost $3,005,611)

3,005,611

$ 3,005,611

TOTAL INVESTMENT PORTFOLIO - 99.3%

(Cost $44,137,105)

49,633,749

NET OTHER ASSETS - 0.7%

362,031

NET ASSETS - 100%

$ 49,995,780

Security Type Abbreviation

PIERS - Preferred Income Equity
Redeemable Securities

Legend

(a) Non-income producing

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

Income Tax Information

At July 31, 2005, the aggregate cost of investment securities for income tax purposes was $44,150,454. Net unrealized appreciation aggregated $5,483,295, of which $6,430,462 related to appreciated investment securities and $947,167 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

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II'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 Advisor Series II

By:

/s/Christine Reynolds

Christine Reynolds

President and Treasurer

Date:

September 20, 2005

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Christine Reynolds

Christine Reynolds

President and Treasurer

Date:

September 20, 2005

By:

/s/Timothy F. Hayes

Timothy F. Hayes

Chief Financial Officer

Date:

September 20, 2005