N-CSRS 1 main.htm

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-4707

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:

December 31

Date of reporting period:

June 30, 2007

Item 1. Reports to Stockholders

(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor

Strategic Income
Fund - Class A, Class T, Class B
and Class C

Semiannual Report

June 30, 2007

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets,
as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

<Click Here>

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

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

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

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

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

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

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Stocks are currently on pace to register their fifth-straight year of positive returns, although gains could be trimmed if the U.S. economy continues to slow. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

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

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

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

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

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2007 to June 30, 2007).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

Semiannual Report

Investments - continued

Beginning
Account Value
January 1, 2007

Ending
Account Value
June 30, 2007

Expenses Paid
During Period*
January 1, 2007
to June 30, 2007

Class A

Actual

$ 1,000.00

$ 1,016.40

$ 5.05

HypotheticalA

$ 1,000.00

$ 1,019.79

$ 5.06

Class T

Actual

$ 1,000.00

$ 1,016.40

$ 5.00

HypotheticalA

$ 1,000.00

$ 1,019.84

$ 5.01

Class B

Actual

$ 1,000.00

$ 1,012.70

$ 8.73

HypotheticalA

$ 1,000.00

$ 1,016.12

$ 8.75

Class C

Actual

$ 1,000.00

$ 1,012.50

$ 8.98

HypotheticalA

$ 1,000.00

$ 1,015.87

$ 9.00

Institutional Class

Actual

$ 1,000.00

$ 1,017.40

$ 3.90

HypotheticalA

$ 1,000.00

$ 1,020.93

$ 3.91

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Annualized
Expense Ratio

Class A

1.01%

Class T

1.00%

Class B

1.75%

Class C

1.80%

Institutional Class

.78%

Semiannual Report

Investment Changes

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

Top Five Holdings as of June 30, 2007

(by issuer, excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

U.S. Treasury Obligations

12.1

13.2

Fannie Mae

10.3

10.8

Freddie Mac

7.3

4.3

French Republic

3.0

3.7

Japan Government

2.2

2.5

34.9

Top Five Market Sectors as of June 30, 2007

% of fund's
net assets

% of fund's net assets
6 months ago

Consumer Discretionary

9.3

8.7

Financials

7.2

6.0

Telecommunication Services

5.4

5.9

Information Technology

4.3

4.6

Energy

4.1

5.1

Quality Diversification (% of fund's net assets) as of June 30, 2007

As of June 30, 2007*

As of December 31, 2006**

U.S.Government
and U.S.Government Agency
Obligations 29.9%

U.S.Government
and U.S.Government Agency
Obligations 28.9%

AAA,AA,A 13.7%

AAA,AA,A 14.1%

BBB 5.0%

BBB 4.7%

BB 15.5%

BB 17.7%

B 17.7%

B 19.2%

CCC,CC,C 6.1%

CCC,CC,C 4.7%

D 0.0%

D 0.1%

Not Rated 4.0%

Not Rated 3.0%

Equities 0.6%

Equities 0.5%

Short-Term
Investments and
Net Other Assets 7.5%

Short-Term
Investments and
Net Other Assets 7.1%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings.

Asset Allocation (% of fund's net assets)

As of June 30, 2007

As of December 31, 2006

Preferred Securities 0.8%

Preferred Securities 0.0%

Corporate Bonds 30.6%

Corporate Bonds 33.9%

U.S. Government
and U.S. Government Agency
Obligations 29.9%

U.S. Government
and U.S. Government Agency
Obligations 28.9%

Foreign Government & Government Agency Obligations 18.9%

Foreign Government & Government Agency Obligations 21.9%

Floating Rate Loans 10.3%

Floating Rate Loans 6.8%

Stocks 0.6%

Stocks 0.5%

Other Investments 1.4%

Other Investments 0.9%

Short-Term
Investments and
Net Other Assets 7.5%

Short-Term
Investments and
Net Other Assets 7.1%

* Foreign
investments

28.5%

** Foreign
investments

32.7%

* Swaps

1.7%

** Swaps

0.0%

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

Semiannual Report

Investments June 30, 2007 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 30.1%

Principal Amount (000s)(d)

Value (000s)

Convertible Bonds - 0.2%

CONSUMER DISCRETIONARY - 0.1%

Media - 0.1%

Liberty Media Corp. (Sprint Corp. PCS Series 1) 3.75% 2/15/30

$ 6,685

$ 4,153

INFORMATION TECHNOLOGY - 0.1%

Semiconductors & Semiconductor Equipment - 0.1%

Advanced Micro Devices, Inc. 6% 5/1/15 (g)

9,390

9,038

ON Semiconductor Corp. 0% 4/15/24

450

543

9,581

TOTAL CONVERTIBLE BONDS

13,734

Nonconvertible Bonds - 29.9%

CONSUMER DISCRETIONARY - 5.1%

Auto Components - 0.1%

Affinia Group, Inc. 9% 11/30/14

2,950

2,884

Delco Remy International, Inc.:

9.375% 4/15/12 (c)

590

596

11% 5/1/09 (c)

695

716

Visteon Corp. 7% 3/10/14

4,185

3,620

7,816

Automobiles - 0.4%

General Motors Corp.:

8.375% 7/5/33

EUR

1,000

1,266

8.375% 7/15/33

21,450

19,466

20,732

Diversified Consumer Services - 0.1%

Affinion Group, Inc. 11.5% 10/15/15

2,990

3,229

Hotels, Restaurants & Leisure - 1.0%

Carrols Corp. 9% 1/15/13

4,095

4,023

Gaylord Entertainment Co.:

6.75% 11/15/14

3,690

3,616

8% 11/15/13

920

941

Landry's Seafood Restaurants, Inc. 7.5% 12/15/14

2,935

2,847

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Mandalay Resort Group:

6.375% 12/15/11

$ 4,220

$ 4,209

6.5% 7/31/09

1,995

2,005

MGM Mirage, Inc.:

6% 10/1/09

1,050

1,038

6.625% 7/15/15

1,595

1,463

6.75% 9/1/12

1,310

1,269

6.75% 4/1/13

1,020

978

6.875% 4/1/16

1,935

1,804

7.5% 6/1/16

1,965

1,847

8.5% 9/15/10

435

458

Mohegan Tribal Gaming Authority 6.875% 2/15/15

2,140

2,081

Scientific Games Corp. 6.25% 12/15/12

660

632

Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (g)

1,540

1,540

Six Flags, Inc.:

9.625% 6/1/14

1,095

1,013

9.75% 4/15/13

7,360

6,918

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

3,495

3,425

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

3,328

3,062

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

2,555

2,708

Vail Resorts, Inc. 6.75% 2/15/14

5,060

4,934

Virgin River Casino Corp./RBG LLC/B&BB, Inc.:

0% 1/15/13 (e)

1,070

819

9% 1/15/12

575

592

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

413

432

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

735

744

55,398

Household Durables - 0.0%

Urbi, Desarrollos Urbanos, SA de CV 8.5% 4/19/16 (g)

1,660

1,746

Leisure Equipment & Products - 0.0%

Riddell Bell Holdings, Inc. 8.375% 10/1/12

720

709

Media - 2.7%

AMC Entertainment, Inc. 11% 2/1/16

2,610

2,923

Cablemas SA de CV (Reg. S) 9.375% 11/15/15

5,010

5,486

CanWest Media, Inc. 8% 9/15/12

860

860

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15

$ 9,708

$ 10,059

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.:

Series B, 10.25% 9/15/10

3,850

4,033

10.25% 9/15/10

2,720

2,836

CSC Holdings, Inc.:

7.25% 4/15/12

7,060

6,866

7.625% 4/1/11

2,580

2,561

7.625% 7/15/18

10,760

10,222

7.875% 2/15/18

12,905

12,357

EchoStar Communications Corp.:

6.375% 10/1/11

3,705

3,640

6.625% 10/1/14

9,095

8,731

7% 10/1/13

3,800

3,743

7.125% 2/1/16

4,615

4,523

Haights Cross Communications, Inc. 0% 8/15/11 (e)

1,550

1,163

iesy Repository GmbH 10.375% 2/15/15 (g)

2,090

2,153

Liberty Media Corp.:

8.25% 2/1/30

5,895

5,717

8.5% 7/15/29

13,390

13,372

Livent, Inc. yankee 9.375% 10/15/04 (c)

300

3

MediMedia USA, Inc. 11.375% 11/15/14 (g)

850

893

PanAmSat Corp.:

6.375% 1/15/08

490

488

9% 8/15/14

2,860

2,982

9% 6/15/16

2,240

2,358

Rainbow National LLC & RNS Co. Corp.:

8.75% 9/1/12 (g)

3,280

3,428

10.375% 9/1/14 (g)

14,415

15,857

Sun Media Corp. Canada 7.625% 2/15/13

635

640

The Reader's Digest Association, Inc. 9% 2/15/17 (g)

3,000

2,805

TL Acquisitions, Inc.:

0% 7/15/15 (e)(g)

10,390

7,805

10.5% 1/15/15 (g)

10,480

10,166

Videotron Ltee 6.875% 1/15/14

550

534

149,204

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Multiline Retail - 0.2%

Dollar General Corp. 10.625% 7/15/15 (g)

$ 13,060

$ 12,538

Specialty Retail - 0.4%

AutoNation, Inc. 7.3556% 4/15/13 (h)

1,000

1,003

Claire's Stores, Inc. 10.5% 6/1/17 (g)

2,110

1,946

Michaels Stores, Inc.:

0% 11/1/16 (e)(g)

445

284

10% 11/1/14 (g)

4,990

5,152

11.375% 11/1/16 (g)

4,820

5,025

Sally Holdings LLC:

9.25% 11/15/14 (g)

1,460

1,460

10.5% 11/15/16 (g)

4,840

4,852

19,722

Textiles, Apparel & Luxury Goods - 0.2%

Levi Strauss & Co.:

8.875% 4/1/16

7,535

7,723

9.75% 1/15/15

3,880

4,190

11,913

TOTAL CONSUMER DISCRETIONARY

283,007

CONSUMER STAPLES - 0.5%

Beverages - 0.0%

Cerveceria Nacional Dominicana C por A 16% 3/27/12 (g)

1,560

1,728

Food & Staples Retailing - 0.1%

Rite Aid Corp.:

9.375% 12/15/15 (g)

2,870

2,762

9.5% 6/15/17 (g)

4,310

4,154

6,916

Food Products - 0.3%

Bertin Ltda 10.25% 10/5/16 (g)

1,685

1,849

Gruma SA de CV 7.75%

5,310

5,390

Hines Nurseries, Inc. 10.25% 10/1/11

370

297

Michael Foods, Inc. 8% 11/15/13

420

422

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

900

927

Reddy Ice Holdings, Inc. 0% 11/1/12 (e)

3,250

3,023

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

Smithfield Foods, Inc. 7.75% 7/1/17

$ 2,810

$ 2,789

Swift & Co. 10.125% 10/1/09

915

942

15,639

Household Products - 0.0%

Central Garden & Pet Co. 9.125% 2/1/13

260

267

Personal Products - 0.0%

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

470

475

Tobacco - 0.1%

BAT Holdings BV 4.375% 9/15/14

EUR

1,500

1,925

TOTAL CONSUMER STAPLES

26,950

ENERGY - 3.3%

Energy Equipment & Services - 0.4%

Allis-Chalmers Energy, Inc. 8.5% 3/1/17

1,200

1,199

CHC Helicopter Corp. 7.375% 5/1/14

3,185

3,105

Complete Production Services, Inc. 8% 12/15/16 (g)

4,670

4,717

Hanover Compressor Co.:

7.5% 4/15/13

530

531

8.625% 12/15/10

490

505

9% 6/1/14

4,260

4,505

Ocean Rig Norway AS 8.375% 7/1/13 (g)

1,020

1,061

Petroliam Nasional BHD (Petronas) 7.625% 10/15/26 (Reg. S)

2,920

3,432

Seabulk International, Inc. 9.5% 8/15/13

3,290

3,516

22,571

Oil, Gas & Consumable Fuels - 2.9%

ANR Pipeline, Inc. 7.375% 2/15/24

2,165

2,306

Atlas Pipeline Partners LP 8.125% 12/15/15

4,710

4,739

Berry Petroleum Co. 8.25% 11/1/16

2,930

2,952

Chaparral Energy, Inc.:

8.5% 12/1/15

2,530

2,473

8.875% 2/1/17 (g)

2,070

2,044

Chesapeake Energy Corp.:

6.5% 8/15/17

8,855

8,390

6.875% 11/15/20

7,280

6,971

7% 8/15/14

865

860

7.5% 6/15/14

850

867

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Chesapeake Energy Corp.: - continued

7.625% 7/15/13

$ 8,300

$ 8,508

Colorado Interstate Gas Co. 6.8% 11/15/15

5,320

5,466

Drummond Co., Inc. 7.375% 2/15/16 (g)

4,000

3,760

Encore Acquisition Co. 6.25% 4/15/14

1,500

1,343

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

570

564

Forest Oil Corp. 8% 12/15/11

480

492

Gaz Capital SA (Luxembourg) 6.58% 10/31/13

GBP

900

1,784

Harvest Operations Corp. 7.875% 10/15/11

1,170

1,147

InterNorth, Inc. 9.625% 3/16/06 (c)

935

276

Mariner Energy, Inc. 8% 5/15/17

1,420

1,452

Massey Energy Co. 6.875% 12/15/13

6,330

5,760

Northwest Pipeline Corp. 6.625% 12/1/07

285

285

OPTI Canada, Inc. 7.875% 12/15/14 (g)

5,250

5,263

Pan American Energy LLC 7.75% 2/9/12 (g)

6,265

6,296

Peabody Energy Corp.:

7.375% 11/1/16

5,640

5,767

7.875% 11/1/26

5,640

5,866

Pemex Project Funding Master Trust:

5.5% 2/24/25 (g)

EUR

750

988

6.625% 6/15/35

6,020

6,110

Petrohawk Energy Corp. 9.125% 7/15/13

6,000

6,345

Petroleos de Venezuela SA 5.25% 4/12/17

3,385

2,564

Petrozuata Finance, Inc.:

7.63% 4/1/09 (g)

7,420

7,291

8.22% 4/1/17 (g)

6,748

6,579

Pogo Producing Co.:

6.875% 10/1/17

4,290

4,247

7.875% 5/1/13

2,605

2,664

Range Resources Corp. 7.375% 7/15/13

2,190

2,206

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

7,015

7,225

Southern Star Central Corp. 6.75% 3/1/16

1,560

1,513

Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 (g)

1,220

1,238

Tennessee Gas Pipeline Co.:

7% 10/15/28

550

561

7.5% 4/1/17

7,600

8,132

7.625% 4/1/37

1,035

1,128

8.375% 6/15/32

1,155

1,346

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Transcontinental Gas Pipe Line Corp.:

7% 8/15/11

$ 330

$ 343

8.875% 7/15/12

1,455

1,630

Venoco, Inc. 8.75% 12/15/11

1,470

1,525

W&T Offshore, Inc. 8.25% 6/15/14 (g)

5,300

5,221

YPF SA 10% 11/2/28

4,335

5,478

159,965

TOTAL ENERGY

182,536

FINANCIALS - 6.1%

Capital Markets - 0.2%

E*TRADE Financial Corp. 7.375% 9/15/13

4,570

4,707

Mizuho Capital Investment Europe 1 Ltd. 5.02% (h)

EUR

800

1,070

Morgan Stanley 4.279% 7/20/12 (h)

EUR

2,880

3,891

9,668

Commercial Banks - 1.4%

Banca Popolare di Bergamo 8.364% (h)

EUR

1,000

1,490

Banca Popolare di Lodi Investor Trust III 6.742% (h)

EUR

1,300

1,839

Banco Nacional de Desenvolvimento Economico e Social 5.84% 6/16/08 (h)

18,175

18,039

Bank of Tokyo-Mitsubishi Ltd. 3.5% 12/16/15 (h)

EUR

1,150

1,483

BBVA Bancomer SA (Cayman Islands) (Reg. S) 4.799% 5/17/17 (h)

EUR

1,725

2,289

Caja Madrid SA 4.24% 10/17/16 (h)

EUR

1,500

2,030

Credit Agricole SA 4.184% 9/30/08 (h)

EUR

1,000

1,353

Development Bank of Philippines 8.375% (h)

5,155

5,490

DnB NOR Bank ASA 4.5971% 8/11/09 (h)

CAD

1,500

1,413

Export-Import Bank of India 1.1944% 6/7/12 (h)

JPY

320,000

2,594

HBOS Treasury Services PLC 4.5571% 1/19/10 (h)

CAD

1,500

1,412

JPMorgan Chase Bank 4.375% 11/30/21 (h)

EUR

1,500

1,894

Korea Development Bank (Reg.) 0.87% 6/28/10

JPY

600,000

4,784

Kyivstar GSM:

7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (g)

3,260

3,309

10.375% 8/17/09 (Issued by Dresdner Bank AG for Kyivstar GSM) (g)

7,090

7,551

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Santander Finance Preferred SA Unipersonal 7.005% (h)

GBP

800

$ 1,597

Santander Issuances SA Unipersonal 5.75% 1/31/18 (h)

GBP

800

1,550

SMFG Finance Ltd. 6.164% (h)

GBP

600

1,136

Standard Chartered Bank:

3.625% 2/3/17 (f)

EUR

385

491

4.462% 3/28/18 (h)

EUR

1,250

1,693

Sumitomo Mitsui Banking Corp.:

(Reg. S) 4.375% (h)

EUR

2,000

2,501

1.6413% (h)

JPY

100,000

819

TuranAlem Finance BV 6.25% 9/27/11

EUR

1,750

2,306

UniCredito Italiano Capital Trust I 4.028% (h)

EUR

2,750

3,341

Vimpel Communications:

8% 2/11/10 (Issued by UBS Luxembourg SA for Vimpel Communications)

3,940

4,056

8.25% 5/23/16 (Issued by UBS Luxembourg SA for Vimpel Communications)

3,170

3,309

79,769

Consumer Finance - 1.3%

ACE Cash Express, Inc. 10.25% 10/1/14 (g)

1,420

1,438

Ford Credit Europe PLC 5.164% 9/30/09 (h)

EUR

1,500

2,002

Ford Motor Credit Co. LLC 9.875% 8/10/11

7,610

7,988

General Motors Acceptance Corp.:

6.75% 12/1/14

9,520

9,092

6.875% 9/15/11

5,190

5,073

6.875% 8/28/12

6,460

6,314

8% 11/1/31

32,045

32,686

HSBC Finance Corp. 4.875% 5/30/17

EUR

2,450

3,221

SLM Corp.:

4.295% 6/15/09 (h)

EUR

550

726

4.345% 12/15/10 (h)

EUR

1,100

1,405

69,945

Diversified Financial Services - 1.9%

BA Covered Bond 4.125% 4/5/12

EUR

11,350

14,946

Caisse d'Amort de la Dette Societe 4.125% 4/25/17

EUR

11,500

14,833

Canada Housing Trust No.1 4.65% 9/15/09

CAD

16,600

15,561

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

4,520

4,588

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

CEMEX Finance Europe BV 4.75% 3/5/14

EUR

1,250

$ 1,627

Cerro Negro Finance Ltd.:

(Reg. S) 7.33% 12/1/09

1,845

1,817

7.33% 12/1/09 (g)

1,788

1,761

CHR Intermediate Holding Corp. 12.61% 6/1/13 pay-in-kind (g)(h)

1,340

1,335

Citigroup, Inc. 4.25% 2/25/30 (h)

EUR

1,500

1,748

DaimlerChrysler NA Holding Corp. 4.375% 3/16/10

EUR

1,350

1,802

ExIm Ukraine 7.65% 9/7/11 (Issued by Credit Suisse London Branch for ExIm Ukraine)

5,305

5,405

Getin Finance PLC 6.036% 5/13/09 (h)

EUR

650

884

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

2,056

2,133

Hyundai Capital Services, Inc. 1.6% 3/14/08

JPY

300,000

2,443

IFIL Finanziaria di Partecipazioni SpA 5.375% 6/12/17

EUR

1,450

1,931

Imperial Tobacco Finance 4.375% 11/22/13

EUR

900

1,165

KAR Holdings, Inc.:

8.75% 5/1/14 (g)

1,990

1,950

10% 5/1/15 (g)

2,100

2,048

Pakistan International Sukuk Co. Ltd. 7.6% 1/27/10 (h)

5,110

5,219

Red Arrow International Leasing PLC 8.375% 3/31/12

RUB

37,575

1,514

ROSBANK (OJSC JSCB) 8% 9/30/09 (Issued by Dali Capital PLC for ROSBANK (OJSC JSCB))

RUB

26,200

1,034

OAO TMK 8.5% 9/29/09 (Issued by TMK Capital SA for OAO TMK)

12,400

12,710

TransCapitalInvest Ltd. (Reg. S) 5.381% 6/27/12

EUR

1,400

1,881

WaMu Covered Bond Program 4.375% 5/19/14

EUR

3,900

5,141

105,476

Insurance - 0.2%

Amlin PLC 6.5% 12/19/26 (h)

GBP

1,000

1,867

Eureko BV 5.125% (h)

EUR

1,500

1,967

Fukoku Mutual Life Insurance Co. 4.5% 9/28/25 (h)

EUR

1,200

1,503

Muenchener Rueckversicherungs-Gesellschaft AG 5.767% (h)

EUR

1,800

2,393

Novae Group plc 8.375% 4/27/17 (h)

GBP

450

894

Old Mutual plc 4.5% 1/18/17 (h)

EUR

1,000

1,313

Wuerttembergische Lebens AG 5.375% 6/1/26 (h)

EUR

800

1,029

10,966

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - 0.3%

BF Saul REIT 7.5% 3/1/14

$ 3,400

$ 3,400

Rouse Co. LP/TRC, Inc. 6.75% 5/1/13 (g)

6,640

6,574

Senior Housing Properties Trust 7.875% 4/15/15

6,211

6,428

16,402

Real Estate Management & Development - 0.8%

American Real Estate Partners/American Real Estate Finance Corp.:

7.125% 2/15/13

3,265

3,126

8.125% 6/1/12

2,590

2,577

Inversiones y Representaciones SA 8.5% 2/2/17 (g)

5,590

5,338

Realogy Corp.:

10.5% 4/15/14 (g)

16,525

15,781

11% 4/15/14 pay-in-kind (g)

11,595

10,928

12.375% 4/15/15 (g)

5,060

4,624

WT Finance (Aust) Pty Ltd./Westfield Europe Finance PLC/WEA Finance 3.625% 6/27/12

EUR

1,250

1,584

43,958

Thrifts & Mortgage Finance - 0.0%

China Development Bank 5% 10/15/15

175

166

Residential Capital Corp. 6.375% 5/17/13

GBP

500

939

1,105

TOTAL FINANCIALS

337,289

HEALTH CARE - 1.0%

Health Care Equipment & Supplies - 0.0%

Invacare Corp. 9.75% 2/15/15 (g)

1,530

1,538

Health Care Providers & Services - 0.9%

Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind (g)

5,520

5,396

CRC Health Group, Inc. 10.75% 2/1/16

1,880

2,059

Fresenius Medical Care Capital Trust IV 7.875% 6/15/11

1,000

1,028

HCA, Inc.:

9.125% 11/15/14 (g)

4,310

4,536

9.25% 11/15/16 (g)

8,660

9,223

9.625% 11/15/16 pay-in-kind (g)

10,995

11,833

Rural/Metro Corp. 9.875% 3/15/15

1,355

1,396

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

Skilled Healthcare Group, Inc. 11% 1/15/14

$ 3,652

$ 4,054

Sun Healthcare Group, Inc. 9.125% 4/15/15 (g)

310

321

Team Finance LLC/Health Finance Corp. 11.25% 12/1/13

3,040

3,291

U.S. Oncology, Inc. 9% 8/15/12

1,300

1,333

Vanguard Health Holding Co. II LLC 9% 10/1/14

7,390

7,279

51,749

Life Sciences Tools & Services - 0.0%

Bio-Rad Laboratories, Inc. 7.5% 8/15/13

1,770

1,788

Pharmaceuticals - 0.1%

Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11

1,585

1,597

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

1,885

1,772

Mylan Laboratories, Inc. 6.375% 8/15/15

640

653

4,022

TOTAL HEALTH CARE

59,097

INDUSTRIALS - 2.0%

Aerospace & Defense - 0.2%

Alion Science & Technology Corp. 10.25% 2/1/15

800

830

Hawker Beechcraft Acquisition Co. LLC:

8.5% 4/1/15 (g)

2,790

2,888

8.875% 4/1/15 pay-in-kind (g)

2,790

2,853

9.75% 4/1/17 (g)

2,790

2,909

Hexcel Corp. 6.75% 2/1/15

2,350

2,268

Orbimage Holdings, Inc. 14.8669% 7/1/12 (h)

1,720

1,892

13,640

Airlines - 0.1%

Continental Airlines, Inc. 6.903% 4/19/22

820

802

Delta Air Lines, Inc.:

7.9% 12/15/09 (a)

16,400

1,148

10% 8/15/08 (a)

1,255

88

Northwest Airlines Corp. 10% 2/1/09 (a)

1,895

237

Northwest Airlines Trust 10.23% 6/21/14

229

234

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

Northwest Airlines, Inc.:

7.875% 3/15/08 (a)

$ 1,365

$ 177

8.875% 6/1/06 (a)

1,355

166

2,852

Building Products - 0.0%

Compagnie de St. Gobain 4.196% 4/11/12 (h)

EUR

1,250

1,689

Commercial Services & Supplies - 0.5%

ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13

160

159

Allied Security Escrow Corp. 11.375% 7/15/11

2,255

2,255

Allied Waste North America, Inc.:

6.5% 11/15/10

830

817

7.125% 5/15/16

5,645

5,525

Browning-Ferris Industries, Inc.:

7.4% 9/15/35

3,085

2,807

9.25% 5/1/21

680

721

FTI Consulting, Inc.:

7.625% 6/15/13

720

727

7.75% 10/1/16

1,390

1,423

Mac-Gray Corp. 7.625% 8/15/15

680

690

NCO Group, Inc. 11.875% 11/15/14 (g)

2,930

2,989

R.H. Donnelley Finance Corp. I 10.875% 12/15/12 (g)

550

587

West Corp.:

9.5% 10/15/14

5,850

5,974

11% 10/15/16

2,875

2,990

27,664

Construction & Engineering - 0.0%

Blount, Inc. 8.875% 8/1/12

1,250

1,263

Electrical Equipment - 0.1%

Coleman Cable, Inc. 9.875% 10/1/12 (g)

1,040

1,092

General Cable Corp. 7.125% 4/1/17 (g)

680

680

Polypore International, Inc. 0% 10/1/12 (e)

1,950

1,892

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

900

923

4,587

Industrial Conglomerates - 0.0%

Siemens Financieringsmaatschap NV 6.125% 9/14/66 (h)

GBP

1,075

2,048

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Machinery - 0.3%

Chart Industries, Inc. 9.125% 10/15/15

$ 1,160

$ 1,218

Cummins, Inc. 7.125% 3/1/28

2,250

2,239

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

56

59

RBS Global, Inc. / Rexnord Corp.:

8.875% 9/1/16

800

824

9.5% 8/1/14

4,100

4,346

11.75% 8/1/16

4,895

5,433

14,119

Marine - 0.2%

CMA CGM SA (Reg. S) 5.5% 5/16/12

EUR

875

1,143

H-Lines Finance Holding Corp. 0% 4/1/13 (e)

1,424

1,367

Navios Maritime Holdings, Inc. 9.5% 12/15/14 (g)

4,460

4,683

Ultrapetrol (Bahamas) Ltd. 9% 11/24/14

1,795

1,849

US Shipping Partners LP 13% 8/15/14

3,185

3,472

12,514

Road & Rail - 0.3%

Kansas City Southern de Mexico, SA de CV:

7.375% 6/1/14 (g)

3,480

3,445

7.625% 12/1/13 (g)

1,700

1,700

Kansas City Southern Railway Co.:

7.5% 6/15/09

3,165

3,165

9.5% 10/1/08

1,350

1,404

TFM SA de CV 9.375% 5/1/12

6,450

6,885

16,599

Trading Companies & Distributors - 0.3%

Glencore Finance (Europe) SA:

5.375% 9/30/11

EUR

800

1,085

6.5% 2/27/19

GBP

600

1,152

Neff Corp. 10% 6/1/15 (g)

1,530

1,522

Penhall International Corp. 12% 8/1/14 (g)

1,515

1,636

VWR Funding, Inc. 10.25% 7/15/15 (g)

8,530

8,530

13,925

TOTAL INDUSTRIALS

110,900

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - 3.3%

Communications Equipment - 0.7%

Hughes Network Systems LLC / HNS Finance Corp. 9.5% 4/15/14

$ 6,290

$ 6,573

Lucent Technologies, Inc.:

6.45% 3/15/29

17,840

15,432

6.5% 1/15/28

6,810

5,959

Nortel Networks Corp.:

9.6056% 7/15/11 (g)(h)

3,760

3,995

10.125% 7/15/13 (g)

3,730

4,000

10.75% 7/15/16 (g)

3,760

4,127

40,086

Electronic Equipment & Instruments - 0.1%

Celestica, Inc. 7.875% 7/1/11

2,960

2,849

IT Services - 0.6%

Iron Mountain, Inc.:

6.625% 1/1/16

10,955

10,024

7.75% 1/15/15

4,830

4,721

8.25% 7/1/11

535

535

8.625% 4/1/13

2,900

2,929

8.75% 7/15/18

5,160

5,315

SunGard Data Systems, Inc.:

9.125% 8/15/13

5,280

5,392

10.25% 8/15/15

3,620

3,810

32,726

Office Electronics - 0.5%

Xerox Capital Trust I 8% 2/1/27

4,585

4,654

Xerox Corp.:

6.4% 3/15/16

8,000

8,032

7.2% 4/1/16

3,345

3,445

7.625% 6/15/13

12,425

12,906

29,037

Semiconductors & Semiconductor Equipment - 1.4%

Amkor Technology, Inc. 9.25% 6/1/16

8,085

8,287

ASML Holding NV 5.75% 6/13/17

EUR

2,000

2,653

Avago Technologies Finance Ltd.:

10.86% 6/1/13 (h)

4,560

4,685

11.875% 12/1/15

8,045

8,950

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Freescale Semiconductor, Inc.:

8.875% 12/15/14 (g)

$ 12,640

$ 12,119

9.125% 12/15/14 pay-in-kind (g)

22,855

21,571

10.125% 12/15/16 (g)

14,445

13,578

MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 8.61% 12/15/11 (h)

735

671

New ASAT Finance Ltd. 9.25% 2/1/11

2,100

1,796

Viasystems, Inc. 10.5% 1/15/11

4,065

4,126

78,436

Software - 0.0%

Open Solutions, Inc. 9.75% 2/1/15 (g)

870

870

TOTAL INFORMATION TECHNOLOGY

184,004

MATERIALS - 2.9%

Chemicals - 0.7%

America Rock Salt Co. LLC 9.5% 3/15/14

3,940

4,009

Bayer AG:

4.044% 4/10/10 (h)

EUR

1,250

1,691

5.625% 5/23/18

GBP

750

1,417

Huntsman LLC 11.625% 10/15/10

466

500

JohnsonDiversey Holdings, Inc. 10.67% 5/15/13

6,095

6,278

MacDermid, Inc. 9.5% 4/15/17 (g)

500

503

Momentive Performance Materials, Inc.:

9.75% 12/1/14 (g)

4,390

4,401

10.125% 12/1/14 pay-in-kind (g)

4,655

4,643

11.5% 12/1/16 (g)

10,895

10,977

Phibro Animal Health Corp. 10% 8/1/13 (g)

685

716

SABIC Europe BV 4.5% 11/28/13

EUR

1,250

1,603

Sterling Chemicals, Inc. 10.25% 4/1/15 (g)

1,600

1,656

38,394

Construction Materials - 0.0%

Imerys 5% 4/18/17

EUR

1,450

1,898

Containers & Packaging - 0.5%

AEP Industries, Inc. 7.875% 3/15/13

640

640

BWAY Corp. 10% 10/15/10

1,175

1,218

Constar International, Inc. 11% 12/1/12

2,530

2,391

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Containers & Packaging - continued

Crown Cork & Seal, Inc.:

7.375% 12/15/26

$ 355

$ 339

7.5% 12/15/96

3,685

3,095

8% 4/15/23

2,980

2,920

Owens-Brockway Glass Container, Inc.:

6.75% 12/1/14

895

868

7.75% 5/15/11

320

328

8.25% 5/15/13

3,390

3,509

8.875% 2/15/09

1,029

1,042

Tekni-Plex, Inc. 10.875% 8/15/12

980

1,095

Vitro SAB de CV:

8.625% 2/1/12 (g)

7,760

7,876

9.125% 2/1/17 (g)

2,210

2,262

27,583

Metals & Mining - 1.6%

Aleris International, Inc. 9% 12/15/14 (g)

2,790

2,818

CAP SA 7.375% 9/15/36 (g)

1,730

1,722

Compass Minerals International, Inc.:

0% 12/15/12 (e)

1,330

1,370

0% 6/1/13 (e)

2,260

2,249

Corporacion Nacional del Cobre (Codelco) 6.15% 10/24/36 (g)

9,190

9,111

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

5,830

6,544

Evraz Group SA (Reg. S) 8.25% 11/10/15

5,200

5,317

Evraz Securities SA 10.875% 8/3/09

3,600

3,890

FMG Finance Property Ltd.:

10% 9/1/13 (g)

2,285

2,516

10.625% 9/1/16 (g)

2,285

2,688

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

4,200

4,295

8.25% 4/1/15

4,070

4,284

8.375% 4/1/17

11,870

12,642

8.5463% 4/1/15 (h)

6,945

7,292

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

1,335

1,402

Gerdau SA 8.875% (g)

2,590

2,720

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

10,550

10,946

Ispat Inland ULC 9.75% 4/1/14

932

1,025

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

PNA Intermediate Holding Corp. 12.36% 2/15/13 pay-in-kind (g)(h)

$ 1,680

$ 1,697

RathGibson, Inc. 11.25% 2/15/14

5,905

6,215

90,743

Paper & Forest Products - 0.1%

Glatfelter 7.125% 5/1/16

550

547

NewPage Corp. 11.6063% 5/1/12 (h)

1,770

1,938

2,485

TOTAL MATERIALS

161,103

TELECOMMUNICATION SERVICES - 4.6%

Diversified Telecommunication Services - 3.5%

British Telecommunications plc 5.25% 6/23/14

EUR

1,550

2,094

Citizens Communications Co.:

7.875% 1/15/27

3,700

3,714

9% 8/15/31

8,370

8,621

Deutsche Telekom International Finance BV 4.5% 10/25/13

EUR

750

976

Embarq Corp.:

7.082% 6/1/16

1,116

1,122

7.995% 6/1/36

16,780

17,029

Eschelon Operating Co. 8.375% 3/15/10

2,196

2,122

France Telecom SA 4.375% 2/21/12

EUR

550

724

Intelsat Ltd.:

9.25% 6/15/16

2,240

2,369

11.25% 6/15/16

8,860

9,923

Level 3 Financing, Inc.:

8.75% 2/15/17 (g)

8,590

8,472

12.25% 3/15/13

9,580

10,969

MobiFon Holdings BV 12.5% 7/31/10

7,225

7,695

Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (g)

5,425

5,778

NTL Cable PLC:

8.75% 4/15/14

6,865

7,088

9.125% 8/15/16

3,065

3,218

PT Indosat International Finance Co. BV 7.125% 6/22/12 (g)

1,845

1,859

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Qwest Capital Funding, Inc.:

7.625% 8/3/21

$ 370

$ 348

7.75% 2/15/31

370

357

Qwest Corp.:

7.5% 10/1/14

760

777

7.875% 9/1/11

2,980

3,107

8.61% 6/15/13 (h)

9,470

10,370

8.875% 3/15/12

24,535

26,436

Telecom Egypt SAE:

9.672% 2/4/10 (h)

EGP

3,565

619

10.95% 2/4/10

EGP

3,565

638

Telefonica de Argentina SA 9.125% 11/7/10

2,817

2,972

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

6,992

6,590

U.S. West Capital Funding, Inc.:

6.5% 11/15/18

285

257

6.875% 7/15/28

1,855

1,621

U.S. West Communications:

6.875% 9/15/33

27,138

25,510

7.125% 11/15/43

220

210

7.2% 11/10/26

875

886

7.25% 9/15/25

1,780

1,776

7.25% 10/15/35

5,830

5,619

7.5% 6/15/23

1,880

1,871

Wind Acquisition Finance SA 10.75% 12/1/15 (g)

7,315

8,412

192,149

Wireless Telecommunication Services - 1.1%

American Tower Corp. 7.125% 10/15/12

10,745

10,987

Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13

7,015

7,524

Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14

6,050

6,186

Digicel Ltd. 9.25% 9/1/12 (g)

1,880

1,976

MetroPCS Wireless, Inc. 9.25% 11/1/14 (g)

5,800

5,974

Millicom International Cellular SA 10% 12/1/13

8,835

9,575

Mobile Telesystems Finance SA 8.375% 10/14/10 (g)

6,290

6,560

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (g)

$ 3,565

$ 3,645

Telecom Personal SA 9.25% 12/22/10 (g)

8,390

8,820

61,247

TOTAL TELECOMMUNICATION SERVICES

253,396

UTILITIES - 1.1%

Electric Utilities - 0.6%

Abu Dhabi National Energy Co. Pjsc 4.375% 10/28/13

EUR

1,250

1,619

AES Gener SA 7.5% 3/25/14

3,410

3,546

Chivor SA E.S.P. 9.75% 12/30/14 (g)

3,255

3,694

Compania de Transporte de Energia Electica de Alta Tension Transener SA 8.875% 12/15/16 (g)

3,385

3,368

Edison Mission Energy:

7.5% 6/15/13

7,300

7,227

7.75% 6/15/16

3,710

3,678

National Power Corp. 6.875% 11/2/16 (g)

1,715

1,706

Reliant Energy, Inc.:

7.625% 6/15/14

4,630

4,514

7.875% 6/15/17

3,680

3,588

32,940

Gas Utilities - 0.3%

Southern Natural Gas Co.:

7.35% 2/15/31

7,350

7,718

8% 3/1/32

4,170

4,670

Transportadora de Gas del Sur SA 7.875% 5/14/17 (g)

4,135

3,964

16,352

Independent Power Producers & Energy Traders - 0.2%

Enron Corp.:

Series A, 8.375% 5/23/05 (c)

2,500

725

6.4% 7/15/06 (c)

9,815

2,895

6.625% 11/15/05 (c)

2,200

649

6.725% 11/17/08 (c)(h)

684

205

6.75% 8/1/09 (c)

550

162

6.875% 10/15/07 (c)

1,330

392

6.95% 7/15/28 (c)

1,204

361

7.125% 5/15/49 (c)

235

69

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Independent Power Producers & Energy Traders - continued

Enron Corp.: - continued

7.375% 5/15/19 (c)

$ 1,400

$ 417

7.875% 6/15/03 (c)

235

69

9.125% 4/1/03 (c)

50

15

9.875% 6/5/03 (c)

4,720

1,392

Tenaska Alabama Partners LP 7% 6/30/21 (g)

1,108

1,130

8,481

Multi-Utilities - 0.0%

Aquila, Inc. 14.875% 7/1/12

1,615

2,043

Utilicorp United, Inc. 9.95% 2/1/11 (h)

39

42

2,085

TOTAL UTILITIES

59,858

TOTAL NONCONVERTIBLE BONDS

1,658,140

TOTAL CORPORATE BONDS

(Cost $1,642,298)

1,671,874

U.S. Government and Government Agency Obligations - 20.8%

U.S. Government Agency Obligations - 8.7%

Fannie Mae:

3.25% 1/15/08

89,580

88,580

3.25% 2/15/09

40

39

4.125% 5/15/10

6,500

6,316

4.25% 5/15/09

4,940

4,859

4.75% 12/15/10

71,058

70,057

4.875% 4/15/09

13,935

13,856

5.125% 9/2/08

7,695

7,681

5.375% 6/12/17

21,150

20,983

6% 5/15/11

6,400

6,568

6.375% 6/15/09

1,650

1,686

6.625% 9/15/09

12,448

12,814

7.25% 1/15/10

17,761

18,615

Federal Home Loan Bank:

4.5% 10/14/08

5,975

5,919

5.8% 9/2/08

1,680

1,690

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)(d)

Value (000s)

U.S. Government Agency Obligations - continued

Freddie Mac:

3.625% 9/15/08

$ 49,805

$ 48,858

4% 8/17/07

521

520

4.125% 10/18/10

67,500

65,324

4.75% 3/5/09

49,987

49,612

4.875% 2/17/09

2,851

2,835

5.125% 4/18/08

14,000

13,976

5.125% 4/18/11

2,380

2,371

5.625% 3/15/11

15,000

15,200

5.75% 3/15/09

15,000

15,125

Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23

4,750

4,712

Private Export Funding Corp.:

secured 5.685% 5/15/12

1,285

1,307

4.974% 8/15/13

1,515

1,488

Small Business Administration guaranteed development participation certificates Series 2003 P10B, 5.136% 8/10/13

1,128

1,107

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

482,098

U.S. Treasury Inflation Protected Obligations - 0.7%

U.S. Treasury Inflation-Indexed Notes:

1.875% 7/15/13

17,417

16,700

2.375% 4/15/11

13,170

13,022

2.5% 7/15/16

7,674

7,591

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

37,313

U.S. Treasury Obligations - 11.4%

U.S. Treasury Bonds:

6.125% 8/15/29

100,150

112,340

6.25% 8/15/23

61,500

68,289

U.S. Treasury Notes:

4.25% 8/15/14

67,500

64,568

4.5% 11/15/15

30,500

29,418

4.625% 11/15/16

55,100

53,400

4.75% 2/28/09

63,000

62,808

4.75% 5/31/12 (m)

167,602

166,293

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)(d)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

4.875% 4/30/08

$ 61,537

$ 61,455

5.125% 5/15/16

17,000

17,096

TOTAL U.S. TREASURY OBLIGATIONS

635,667

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,171,241)

1,155,078

U.S. Government Agency - Mortgage Securities - 7.0%

Fannie Mae - 4.8%

3.585% 9/1/33 (h)

814

800

3.72% 6/1/33 (h)

2,502

2,497

3.75% 4/1/34 (h)

2,593

2,549

3.783% 6/1/33 (h)

2,981

2,987

3.902% 5/1/34 (h)

1,365

1,345

3.91% 5/1/33 (h)

904

909

3.918% 9/1/33 (h)

2,460

2,439

3.944% 5/1/34 (h)

1,052

1,037

3.962% 9/1/33 (h)

1,882

1,862

3.998% 4/1/34 (h)

2,399

2,366

4% 9/1/13 to 5/1/20

5,040

4,710

4.003% 8/1/33 (h)

1,155

1,141

4.031% 3/1/34 (h)

4,503

4,445

4.036% 6/1/34 (h)

1,928

1,901

4.068% 3/1/35 (h)

3,537

3,503

4.12% 4/1/34 (h)

2,975

2,941

4.126% 5/1/34 (h)

2,377

2,351

4.188% 11/1/34 (h)

2,587

2,599

4.205% 6/1/34 (h)

2,112

2,085

4.288% 6/1/34 (h)

2,339

2,318

4.355% 10/1/19 (h)

261

258

4.4% 8/1/34 (h)

5,380

5,403

4.419% 8/1/34 (h)

5,588

5,529

4.482% 1/1/35 (h)

1,240

1,223

4.484% 12/1/34 (h)

97

96

4.485% 11/1/33 (h)

304

302

4.5% 5/1/18 to 12/1/18

7,695

7,333

4.638% 8/1/35 (h)

1,308

1,302

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)(d)

Value (000s)

Fannie Mae - continued

4.655% 10/1/34 (h)

$ 733

$ 726

4.688% 2/1/35 (h)

3,630

3,590

4.733% 12/1/35 (h)

8,706

8,652

4.784% 12/1/35 (h)

926

924

4.79% 6/1/35 (h)

1,524

1,506

4.799% 4/1/35 (h)

2,413

2,416

4.8% 7/1/35 (h)

1,046

1,033

4.809% 1/1/36 (h)

5,203

5,149

4.812% 11/1/35 (h)

2,003

2,008

4.848% 7/1/35 (h)

2,191

2,165

4.878% 7/1/34 (h)

1,234

1,229

4.883% 10/1/35 (h)

285

284

4.893% 5/1/35 (h)

348

344

4.896% 11/1/35 (h)

2,154

2,153

4.946% 8/1/34 (h)

1,189

1,186

5% 1/1/14 to 7/1/35

31,074

30,124

5.004% 2/1/34 (h)

1,839

1,817

5.016% 5/1/35 (h)

2,868

2,847

5.047% 12/1/32 (h)

1,763

1,756

5.092% 5/1/35 (h)

373

376

5.102% 10/1/35 (h)

1,640

1,626

5.108% 10/1/35 (h)

884

877

5.114% 1/1/36 (h)

3,241

3,212

5.135% 7/1/34 (h)

453

452

5.136% 8/1/36 (h)

6,221

6,228

5.152% 7/1/35 (h)

3,457

3,436

5.167% 3/1/36 (h)

2,797

2,783

5.26% 5/1/35 (h)

1,118

1,114

5.263% 11/1/36 (h)

528

529

5.273% 4/1/36 (h)

1,127

1,137

5.311% 3/1/36 (h)

7,478

7,450

5.365% 2/1/36 (h)

1,854

1,859

5.371% 2/1/36 (h)

193

194

5.379% 12/1/36 (h)

712

711

5.394% 7/1/35 (h)

522

521

5.407% 2/1/37 (h)

688

688

5.439% 2/1/37 (h)

3,260

3,266

5.483% 6/1/47 (h)

540

541

5.5% 5/1/11 to 3/1/20

23,487

23,242

5.533% 11/1/36 (h)

1,047

1,050

5.612% 2/1/36 (h)

781

782

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)(d)

Value (000s)

Fannie Mae - continued

5.668% 4/1/36 (h)

$ 2,752

$ 2,759

5.672% 6/1/36 (h)

1,810

1,815

5.672% 4/1/37 (h)

2,982

2,996

5.755% 4/1/36 (h)

1,456

1,461

5.797% 3/1/36 (h)

1,960

1,969

5.807% 5/1/36 (h)

723

727

5.816% 1/1/36 (h)

408

408

5.834% 3/1/36 (h)

1,559

1,567

5.839% 5/1/36 (h)

4,312

4,334

5.847% 6/1/35 (h)

2,683

2,697

5.895% 12/1/36 (h)

1,046

1,051

5.925% 6/1/36 (h)

15,800

15,899

5.937% 6/1/36 (h)

3,882

3,908

5.946% 5/1/36 (h)

1,875

1,888

6% 10/1/08 to 1/1/26

2,639

2,655

6.044% 4/1/36 (h)

11,302

11,399

6.226% 3/1/37 (h)

330

333

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

3,565

3,625

7% 9/1/25

4

4

7.5% 1/1/28 to 5/1/37

1,038

1,076

TOTAL FANNIE MAE

262,785

Freddie Mac - 2.2%

3.378% 7/1/33 (h)

1,862

1,845

4% 5/1/19 to 11/1/20

5,497

5,097

4.004% 5/1/33 (h)

3,773

3,765

4.179% 1/1/35 (h)

3,592

3,559

4.5% 2/1/18 to 8/1/33

4,527

4,285

4.569% 6/1/33 (h)

1,179

1,179

4.663% 2/1/35 (h)

9,011

8,870

4.701% 9/1/36 (h)

749

745

4.705% 9/1/35 (h)

4,517

4,501

4.794% 2/1/36 (h)

315

310

4.842% 5/1/35 (h)

6,127

6,041

4.873% 10/1/35 (h)

1,500

1,501

4.924% 10/1/36 (h)

3,780

3,769

5% 3/1/18 to 7/1/19

6,467

6,275

5.013% 7/1/35 (h)

3,655

3,625

5.021% 4/1/35 (h)

103

101

5.126% 7/1/35 (h)

1,015

1,005

5.289% 2/1/36 (h)

63

62

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)(d)

Value (000s)

Freddie Mac - continued

5.362% 3/1/37 (h)

$ 500

$ 498

5.489% 2/1/37 (h)

2,722

2,703

5.498% 1/1/36 (h)

851

848

5.5% 8/1/14 to 11/1/19

7,863

7,765

5.586% 3/1/36 (h)

4,614

4,604

5.625% 5/1/37 (h)

2,410

2,383

5.673% 8/1/36 (h)

4,824

4,818

5.732% 4/1/36 (h)

11,518

11,526

5.806% 5/1/37 (h)

5,606

5,613

5.858% 5/1/37 (h)

540

542

5.863% 5/1/37 (h)

3,355

3,364

6% 7/1/16 to 2/1/19

2,873

2,889

6.084% 2/1/37 (h)

5,250

5,283

6.157% 12/1/36 (h)

5,772

5,802

6.5% 10/1/10 to 3/1/22

7,591

7,731

8.5% 3/1/20

11

12

TOTAL FREDDIE MAC

122,916

Government National Mortgage Association - 0.0%

6% 1/15/09 to 5/15/09

25

25

6.5% 4/15/26 to 5/15/26

47

48

7% 9/15/25 to 8/15/31

85

88

7.5% 2/15/22 to 8/15/28

149

156

8% 9/15/26 to 12/15/26

33

35

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

352

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $387,808)

386,053

Asset-Backed Securities - 0.5%

Amstel Corp. Loan Offering BV:

Series 2006-1 Class C, 4.566% 5/25/16 (h)

EUR

500

678

Series 2007-1:

Class B, 4.429% 3/25/17 (h)

EUR

1,100

1,489

Class C, 4.609% 3/25/17 (h)

EUR

800

1,083

Auto ABS Compartiment Series 2006-1 Class B, 4.242% 7/25/17 (h)

EUR

1,000

1,354

Clock Finance BV Series 2007-1:

Class B2, 4.256% 2/25/15 (h)

EUR

700

947

Asset-Backed Securities - continued

Principal Amount (000s)(d)

Value (000s)

Clock Finance BV Series 2007-1: - continued

Class C2, 4.436% 2/25/15 (h)

EUR

400

$ 541

Driver One GmbH Series 1 Class B, 4.343% 5/21/10 (h)

EUR

176

239

FCC SPARC Series 2007-1 Class D, 0% 7/15/10 (h)

EUR

500

677

Geldilux Ltd. Series 2007-TS Class C, 4.517% 9/8/14 (h)

EUR

400

541

GLS Ltd. Series 2006-1 Class C, 4.257% 7/15/14 (h)

EUR

500

677

Greene King Finance PLC Series A1, 6.23% 6/15/31 (h)

GBP

1,000

2,001

Lambda Finance BV Series 2005-1X Class C1, 6.374% 11/15/29 (h)

GBP

500

1,008

Leek Finance PLC Series 18X Class BC, 4.292% 9/21/38 (h)

EUR

600

812

Mermaid Secured Finance Ltd. Series 2007-1:

Class C, 4.416% 1/30/40 (h)

EUR

400

542

Class D, 4.616% 1/30/40 (h)

EUR

550

745

Prime Bricks Series 2007-1:

Class B, 4.416% 1/30/40 (h)

EUR

550

745

Class C, 4.616% 1/30/40 (h)

EUR

450

609

Promise K 2006-1 GmbH Series I 2006-1 Class D, 4.805% 3/20/17 (h)

EUR

1,000

1,354

Provide Bricks Series 2007-1 Class B, 4.365% 1/30/40 (h)

EUR

1,400

1,895

Punch Taverns Finance PLC 5.92% 4/15/09 (h)

GBP

410

822

Sedna Finance Corp.:

4.779% 12/23/14 (h)

EUR

500

677

4.895% 3/15/16 (h)

EUR

1,150

1,560

Stichting Mars Series 2006 Class C, 4.163% 8/28/14 (h)

EUR

1,000

1,353

Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27

GBP

60

117

Whinstone Capital Management Ltd. Series 2005-1X Class B1, 6.5963% 10/25/45 (h)

GBP

1,168

2,356

TOTAL ASSET-BACKED SECURITIES

(Cost $23,720)

24,822

Collateralized Mortgage Obligations - 2.3%

Private Sponsor - 0.2%

EPIC PLC Series BROD Class D, 4.465% 1/22/16 (h)

EUR

400

541

Granite Mortgages PLC 4.349% 1/20/43 (h)

EUR

341

463

Collateralized Mortgage Obligations - continued

Principal Amount (000s)(d)

Value (000s)

Private Sponsor - continued

Holmes Financing No. 8 PLC floater Series 3 Class C, 4.818% 7/15/40 (h)

EUR

500

$ 680

RMAC PLC Series 2005-NS4X Class M2A, 6.3675% 12/12/43 (h)

GBP

1,700

3,409

RMAC Securities PLC 2006 floater Series 2006-NS4X Class M1A, 6.1075% 6/12/44 (h)

GBP

1,250

2,509

Shield BV Series 1 Class C, 4.369% 1/20/14 (h)

EUR

1,500

2,037

TOTAL PRIVATE SPONSOR

9,639

U.S. Government Agency - 2.1%

Fannie Mae planned amortization class Series 2002-83 Class ME, 5% 12/25/17

8,925

8,633

Fannie Mae Grantor Trust sequential payer Series 2005-93 Class HD, 4.5% 11/25/19

272

263

Fannie Mae subordinate REMIC pass-thru certificates:

floater Series 2005-45 Class XA, 5.66% 6/25/35 (h)

7,424

7,417

planned amortization class:

Series 2002-11 Class UC, 6% 3/25/17

2,787

2,807

Series 2003-113:

Class PD, 4% 2/25/17

4,890

4,622

Class PE, 4% 11/25/18

1,515

1,356

Series 2003-128 Class NE, 4% 12/25/16

2,550

2,409

Series 2003-70 Class BJ, 5% 7/25/33

890

812

Series 2003-85 Class GD, 4.5% 9/25/18

1,225

1,159

Series 2004-80 Class LD, 4% 1/25/19

1,980

1,850

Series 2004-81:

Class KC, 4.5% 4/25/17

1,395

1,360

Class KD, 4.5% 7/25/18

3,035

2,894

Series 2006-4 Class PB, 6% 9/25/35

6,570

6,570

sequential payer:

Series 2002-58 Class HC, 5.5% 9/25/17

13

13

Series 2003-18 Class EY, 5% 6/25/17

3,771

3,711

Series 2004-95 Class AN, 5.5% 1/25/25

2,260

2,240

Series 2005-117, Class JN, 4.5% 1/25/36

808

692

Series 2005-29 Class KA, 4.5% 2/25/35

2,857

2,740

Series 2005-47 Class AK, 5% 6/25/20

7,595

7,237

Freddie Mac planned amortization class Series 2115 Class PE, 6% 1/15/14

215

215

Freddie Mac Multi-class participation certificates guaranteed:

floater Series 2630 Class FL, 5.82% 6/15/18 (h)

104

105

Collateralized Mortgage Obligations - continued

Principal Amount (000s)(d)

Value (000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

Series 2378 Class PE, 5.5% 11/15/16

$ 2,927

$ 2,921

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

9,410

8,918

Series 2628 Class OP, 3.5% 11/15/13

1,869

1,853

Series 2649 Class TQ, 3.5% 12/15/21

1,178

1,168

Series 2695 Class DG, 4% 10/15/18

3,865

3,522

Series 2743 Class HE, 4.5% 2/15/19

4,390

4,126

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

14,395

13,553

Series 2831 Class PB, 5% 7/15/19

3,990

3,839

Series 2996 Class MK, 5.5% 6/15/35

942

936

Series 3013 Class AF, 5.57% 5/15/35 (h)

8,995

8,989

sequential payer:

Series 2570 Class CU, 4.5% 7/15/17

386

375

Series 2572 Class HK, 4% 2/15/17

580

561

Series 2617 Class GW, 3.5% 6/15/16

554

544

Series 2627:

Class BG, 3.25% 6/15/17

256

240

Class KP, 2.87% 12/15/16

268

251

Series 2685 Class ND, 4% 10/15/18

1,745

1,554

Series 2773 Class TA, 4% 11/15/17

3,195

3,058

Series 2849 Class AL, 5% 5/15/18

1,541

1,506

Series 2860 Class CP, 4% 10/15/17

506

490

Series 2937 Class HJ, 5% 10/15/19

1,822

1,787

Series 2863 Class DB, 4% 9/15/14

266

250

TOTAL U.S. GOVERNMENT AGENCY

119,546

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $129,305)

129,185

Commercial Mortgage Securities - 0.4%

Broadgate PLC 6.435% 10/5/25 (h)

GBP

955

1,889

Bruntwood Alpha PLC Series 2007-1 Class C, 6.09% 1/15/17 (h)

GBP

700

1,406

Canary Wharf Finance II plc Series 3MUK Class C2, 6.2244% 10/22/37 (h)

GBP

1,000

2,007

European Property Capital Series 4 Class C, 5.9494% 7/20/14 (h)

GBP

442

888

Commercial Mortgage Securities - continued

Principal Amount (000s)(d)

Value (000s)

German Residential Asset Note Distributor PLC Series 1 Class A, 4.219% 7/20/16 (h)

EUR

1,371

$ 1,862

JLOC 36 LLC Reg. S:

Class A1, 0.9348% 2/16/16 (h)

JPY

100,000

812

Class B, 1.1048% 2/16/16 (h)

JPY

100,000

812

JLOC 37 LLC (Reg. S) 0% 1/15/15 (h)

JPY

110,000

893

Opera Finance (CMH) PLC Class B, 4.268% 1/15/15 (h)

EUR

1,100

1,488

Opera Finance PLC 5.9763% 7/31/13 (h)

GBP

991

1,992

Paris Prime Community Real Estate Series 2006-1 Class B, 4.235% 4/22/14 (g)(h)

EUR

1,000

1,352

Real Estate Capital Foundation Ltd. Series 3 Class A, 5.8% 7/15/16 (h)

GBP

2,000

4,009

Rivoli Pan Europe PLC Series 2006-1 Class B 4.297% 8/3/18 (h)

EUR

650

879

Skyline BV Series 2007-1 Class D, 0% 7/22/43 (h)

EUR

1,100

1,489

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $20,700)

21,778

Foreign Government and Government Agency Obligations - 18.9%

Arab Republic 8.6002% 10/9/07

EGP

5,150

888

Argentine Republic:

discount (with partial capitalization through 12/31/13) 8.28% 12/31/33

9,218

8,992

5.475% 8/3/12 (h)

13,114

12,458

7% 3/28/11

10,620

10,365

7% 9/12/13

18,845

17,536

10.4173% 3/5/08 (h)

ARS

5,964

1,938

Austrian Republic 5% 12/20/24 (g)

CAD

2,000

1,894

Banco Central del Uruguay:

value recovery A rights 1/2/21 (a) (j)

1,000,000

0

value recovery B rights 1/2/21 (a) (j)

750,000

0

Brazilian Federative Republic:

6% 9/15/13

1,842

1,840

7.125% 1/20/37

4,355

4,721

8.25% 1/20/34

5,500

6,765

8.75% 2/4/25

5,440

6,773

10% 1/1/10

BRL

3,682

1,879

11% 8/17/40

20,355

26,706

12.25% 3/6/30

8,910

15,102

12.75% 1/15/20

4,685

7,262

Bulgarian Republic 8.25% 1/15/15 (Reg. S)

180

207

Foreign Government and Government Agency Obligations - continued

Principal Amount (000s)(d)

Value (000s)

Canadian Government:

4% 6/1/17

CAD

20,000

$ 17,954

4.5% 9/1/07

CAD

27,000

25,336

5.25% 6/1/12

CAD

50,300

48,645

5.5% 6/1/09

CAD

15,500

14,792

5.75% 6/1/29

CAD

9,750

10,704

Central Bank of Nigeria:

promissory note 5.092% 1/5/10

3,058

2,945

warrants 11/15/20 (a)(j)

2,750

641

Colombian Republic:

7.375% 9/18/37

8,075

8,992

11.75% 2/25/20

1,825

2,687

Dominican Republic:

Brady 6.3125% 8/30/09 (h)

1,603

1,605

6.25% 8/30/24 (h)

12,873

12,854

9.04% 1/23/18 (g)

4,585

5,188

9.5% 9/27/11

3,429

3,639

Ecuador Republic:

10% 8/15/30 (Reg. S)

9,525

7,811

euro par 5% 2/28/25

1,580

1,130

Finnish Government 3.875% 9/15/17

EUR

49,700

63,208

French Republic:

3% 1/12/10

EUR

800

1,044

3.5% 7/12/11

EUR

88,350

115,057

3.75% 4/25/17

EUR

33,730

42,575

4% 4/25/55

EUR

750

882

5.5% 4/25/29

EUR

4,200

6,256

German Federal Republic:

3.75% 12/12/08

EUR

5,175

6,934

4% 4/13/12

EUR

3,920

5,186

4% 7/4/16

EUR

1,300

1,690

Indonesian Republic:

6.625% 2/17/37 (g)

4,125

3,960

6.75% 3/10/14

3,275

3,341

Islamic Republic of Pakistan:

6.75% 2/19/09

1,050

1,050

7.125% 3/31/16 (g)

2,125

2,104

Japan Government:

0.78% 7/20/20 (h)

JPY

825,000

6,261

0.9% 12/22/08

JPY

1,370,000

11,121

0.9% 11/20/20 (h)

JPY

1,300,000

10,090

1.4% 3/21/11

JPY

2,275,000

18,547

Foreign Government and Government Agency Obligations - continued

Principal Amount (000s)(d)

Value (000s)

Japan Government: - continued

1.5% 3/20/14

JPY

1,865,000

$ 15,006

1.8% 3/20/16

JPY

1,872,000

15,205

2.4% 12/20/34

JPY

1,500,000

12,089

Real Return Bond 1.1% 12/10/16

JPY

3,871,630

31,037

Lebanese Republic:

7.125% 3/5/10

1,140

1,100

7.875% 5/20/11 (Reg. S)

4,320

4,169

8.625% 6/20/13

1,540

1,509

8.63% 11/30/09 (g)(h)

2,180

2,166

8.63% 11/30/09 (h)

9,170

9,113

Peruvian Republic:

3% 3/7/27 (f)

900

646

6.1425% 3/7/27 (h)

1,545

1,541

euro Brady past due interest 6.125% 3/7/17 (h)

8,497

8,497

Philippine Republic:

8.25% 1/15/14

7,120

7,788

8.875% 3/17/15

3,120

3,569

9% 2/15/13

4,645

5,197

9.5% 2/2/30

1,305

1,701

9.875% 1/15/19

6,125

7,733

10.625% 3/16/25

4,275

5,958

Polish Government 5% 10/19/15

180

170

Republic of Fiji 6.875% 9/13/11

2,635

2,477

Republic of Hungary 4.75% 2/3/15

180

169

Republic of Iraq 5.8% 1/15/28 (g)

3,780

2,306

Republic of Serbia 3.75% 11/1/24 (f)(g)

2,700

2,548

Russian Federation:

7.5% 3/31/30 (g)

3,881

4,273

7.5% 3/31/30 (Reg. S)

40,407

44,498

12.75% 6/24/28 (Reg. S)

7,145

12,629

South African Republic 6.5% 6/2/14

180

186

Turkish Republic:

Indexed Linked CPI 10% 2/15/12

TRY

2,353

1,841

6.875% 3/17/36

7,625

7,234

7% 9/26/16

14,275

14,446

7.375% 2/5/25

5,265

5,407

11% 1/14/13

11,625

13,956

11.875% 1/15/30

7,575

11,618

Ukraine Cabinet of Ministers 6.58% 11/21/16 (g)

11,430

11,370

United Kingdom, Great Britain & Northern Ireland:

4.25% 3/7/11

GBP

5,570

10,618

Foreign Government and Government Agency Obligations - continued

Principal Amount (000s)(d)

Value (000s)

United Kingdom, Great Britain & Northern Ireland: - continued

4.25% 6/7/32

GBP

850

$ 1,542

4.25% 3/7/36

GBP

18,380

33,599

4.75% 9/7/15

GBP

5,145

9,805

5% 3/7/18

GBP

450

874

5% 3/7/25

GBP

7,370

14,519

8% 6/7/21

GBP

11,790

29,775

United Mexican States:

6.75% 9/27/34

1,725

1,841

7.5% 4/8/33

7,695

8,926

8.3% 8/15/31

12,285

15,433

9% 12/20/12

MXN

18,350

1,797

Uruguay Republic:

5% 9/14/18

UYU

37,816

1,778

8% 11/18/22

6,292

7,078

Venezuelan Republic:

oil recovery rights 4/15/20 (j)

3,260

119

6% 12/9/20

3,050

2,471

6.355% 4/20/11 (h)

9,110

8,818

7.65% 4/21/25

6,305

5,722

8.5% 10/8/14

3,190

3,238

9.25% 9/15/27

8,485

8,846

9.375% 1/13/34

3,730

3,907

10.75% 9/19/13

7,788

8,684

13.625% 8/15/18

6,305

8,638

Vietnamese Socialist Republic Brady par 4% 3/12/28 (f)

1,890

1,578

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,016,291)

1,048,313

Supranational Obligations - 0.2%

European Investment Bank:
4% 10/15/37

EUR

2,600

3,064

4.75% 10/15/17

EUR

5,875

7,940

Inter-American Development Bank 6.625% 4/17/17

PEN

8,000

2,668

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $13,668)

13,672

Common Stocks - 0.4%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 0.2%

Auto Components - 0.0%

Intermet Corp. (a)(k)

113,725

$ 206

Diversified Consumer Services - 0.1%

Coinmach Service Corp. unit

330,000

6,557

Hotels, Restaurants & Leisure - 0.1%

Centerplate, Inc. unit

165,925

2,912

Media - 0.0%

Virgin Media, Inc. warrants 1/10/11 (a)

6

0

TOTAL CONSUMER DISCRETIONARY

9,675

INDUSTRIALS - 0.2%

Airlines - 0.2%

Delta Air Lines, Inc. (a)

593,040

11,683

Northwest Airlines Corp. (a)

113,943

2,530

14,213

TELECOMMUNICATION SERVICES - 0.0%

Wireless Telecommunication Services - 0.0%

DigitalGlobe, Inc. (a)(g)

895

2

UTILITIES - 0.0%

Electric Utilities - 0.0%

Portland General Electric Co.

7,275

200

TOTAL COMMON STOCKS

(Cost $20,287)

24,090

Preferred Stocks - 0.2%

Convertible Preferred Stocks - 0.0%

MATERIALS - 0.0%

Chemicals - 0.0%

Celanese Corp. 4.25%

6,600

331

Nonconvertible Preferred Stocks - 0.2%

CONSUMER DISCRETIONARY - 0.1%

Media - 0.1%

Spanish Broadcasting System, Inc. Class B, 10.75%

1,690

1,834

Preferred Stocks - continued

Shares

Value (000s)

Nonconvertible Preferred Stocks - continued

HEALTH CARE - 0.0%

Health Care Providers & Services - 0.0%

Fresenius Medical Care Capital Trust II 7.875% (a)

1,260

$ 1,288

TELECOMMUNICATION SERVICES - 0.1%

Diversified Telecommunication Services - 0.0%

PTV, Inc. Series A, 10.00%

119

1

Wireless Telecommunication Services - 0.1%

Rural Cellular Corp. 12.25% pay-in-kind

5,078

6,195

TOTAL TELECOMMUNICATION SERVICES

6,196

TOTAL NONCONVERTIBLE PREFERRED STOCKS

9,318

TOTAL PREFERRED STOCKS

(Cost $8,873)

9,649

Floating Rate Loans - 4.9%

Principal Amount (000s)(d)

CONSUMER DISCRETIONARY - 1.7%

Auto Components - 0.2%

Dana Corp. term loan 7.88% 4/13/08 (h)

$ 2,390

2,387

Delphi Corp. term loan 8.125% 12/31/07 (h)

2,220

2,220

Lear Corp. term loan:

7.832% 4/25/12 (h)

2,463

2,419

The Goodyear Tire & Rubber Co. Tranche 3, term loan 8.82% 3/1/11 (h)

3,550

3,550

10,576

Automobiles - 0.6%

AM General LLC:

Tranche B, term loan 8.38% 9/30/13 (h)

3,835

3,855

8.32% 9/30/12 (h)

132

133

Ford Motor Co. term loan 8.36% 12/15/13 (h)

25,004

25,036

General Motors Corp. term loan 7.725% 11/29/13 (h)

978

980

30,004

Diversified Consumer Services - 0.1%

Affinion Group Holdings, Inc. term loan 11.6596% 3/1/12 (h)

4,150

4,109

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - 0.0%

Green Valley Ranch Gaming LLC Tranche 1LN, term loan 7.36% 2/16/14 (h)

$ 144

$ 144

OSI Restaurant Partners, Inc.:

term loan 7.625% 6/14/14 (h)

499

500

7.61% 6/14/13 (h)

41

41

Six Flags, Inc. Tranche B, term loan 7.61% 4/30/15 (h)

730

721

1,406

Household Durables - 0.0%

Yankee Candle Co., Inc. term loan 7.36% 2/6/14 (h)

279

280

Media - 0.4%

Advanstar, Inc. Tranche 2LN, term loan 10.32% 11/30/14 (h)

380

380

Charter Communications Operating LLC Tranche B 1LN, term loan:

7.32% 3/6/14 (h)

6,242

6,180

7.36% 3/6/14 (h)

4,210

4,168

CSC Holdings, Inc. Tranche B, term loan 7.07% 3/29/13 (h)

6,316

6,308

Discovery Communications, Inc. term loan 7.36% 5/14/14 (h)

1,050

1,053

Riverdeep Interactive Learning USA, Inc. term loan:

8.11% 12/20/13 (h)

816

817

12.06% 12/21/07 (h)

848

847

19,753

Multiline Retail - 0.0%

Neiman Marcus Group, Inc. term loan 7.3577% 4/6/13 (h)

2,100

2,100

Specialty Retail - 0.3%

Claire's Stores, Inc. term loan 8.11% 5/29/14 (h)

4,450

4,339

Michaels Stores, Inc. term loan 7.625% 10/31/13 (h)

5,150

5,073

Sally Holdings LLC Tranche B, term loan 7.86% 11/16/13 (h)

744

750

Toys 'R' US, Inc. term loan 8.32% 12/9/08 (h)

6,110

6,141

16,303

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - 0.1%

Hanesbrands, Inc.:

term loan 9.105% 3/5/14 (h)

$ 1,650

$ 1,677

Tranche B 1LN, term loan 7.105% 9/5/13 (h)

4,917

4,936

6,613

TOTAL CONSUMER DISCRETIONARY

91,144

CONSUMER STAPLES - 0.1%

Beverages - 0.0%

Constellation Brands, Inc. Tranche B, term loan 6.875% 6/5/13 (h)

1,142

1,145

Food & Staples Retailing - 0.0%

Rite Aid Corp. Tranche ABL, term loan 7.07% 6/4/14 (h)

2,700

2,700

Household Products - 0.1%

Spectrum Brands, Inc.:

Tranche B1, term loan 9.3449% 3/30/13 (h)

3,169

3,169

Tranche B2, term loan 9.32% 3/30/13 (h)

564

564

9.17% 3/30/13 (h)

157

157

3,890

TOTAL CONSUMER STAPLES

7,735

ENERGY - 0.2%

Energy Equipment & Services - 0.0%

Compagnie Generale de Geophysique SA term loan 7.36% 1/12/14 (h)

573

576

Oil, Gas & Consumable Fuels - 0.2%

Coffeyville Resources LLC:

Credit-Linked Deposit 8.2494% 12/28/13 (h)

532

535

Tranche D, term loan 8.3495% 12/28/13 (h)

2,741

2,755

Helix Energy Solutions Group, Inc. term loan 7.3297% 7/1/13 (h)

1,360

1,363

Sandridge Energy, Inc. term loan 8.625% 4/1/15

4,370

4,463

Targa Resources, Inc./Targa Resources Finance Corp.:

Credit-Linked Deposit 7.235% 10/31/12 (h)

540

540

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Targa Resources, Inc./Targa Resources Finance Corp.: - continued

term loan 7.3565% 10/31/12 (h)

$ 2,211

$ 2,211

Venoco, Inc. Tranche 2LN, term loan 9.36% 5/7/14 (h)

410

410

12,277

TOTAL ENERGY

12,853

FINANCIALS - 0.4%

Diversified Financial Services - 0.1%

MGM Holdings II, Inc. Tranche B, term loan 8.61% 4/8/12 (h)

2,281

2,281

The NASDAQ Stock Market, Inc.:

Tranche B, term loan 7.07% 4/18/12 (h)

3,512

3,512

Tranche C, term loan 7.07% 4/18/12 (h)

2,036

2,036

7,829

Real Estate Investment Trusts - 0.1%

Capital Automotive (REIT) Tranche B, term loan 7.07% 12/16/10 (h)

3,554

3,567

Real Estate Management & Development - 0.2%

Realogy Corp.:

Tranche B, term loan 8.35% 10/10/13 (h)

6,721

6,653

8.32% 10/10/13 (h)

1,809

1,791

8,444

TOTAL FINANCIALS

19,840

HEALTH CARE - 0.5%

Health Care Providers & Services - 0.5%

Community Health Systems, Inc.:

term loan 7.57% 6/28/14 (h)

6,145

6,145

Tranche DD, term loan 6/28/14 (l)

405

405

DaVita, Inc. Tranche B1, term loan 6.85% 10/5/12 (h)

3,576

3,571

HCA, Inc. Tranche B, term loan 7.61% 11/17/13 (h)

14,547

14,565

Health Management Associates, Inc. Tranche B, term loan 7.11% 2/28/14 (h)

958

956

25,642

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

INDUSTRIALS - 0.3%

Aerospace & Defense - 0.1%

DeCrane Aircraft Holdings, Inc.:

Tranche 1LN, term loan 8.104% 2/21/13 (h)

$ 90

$ 90

Tranche 2LN, term loan 14.25% 2/21/14 (h)

140

141

Hawker Beechcraft Corp.:

term loan 7.35% 3/26/14 (h)

3,384

3,376

7.35% 3/26/14 (h)

287

286

Wesco Aircraft Hardware Corp.:

Tranche 1LN, term loan 7.61% 9/29/13 (h)

167

168

Tranche 2LN, term loan 11.11% 3/28/14 (h)

70

71

4,132

Commercial Services & Supplies - 0.1%

Allied Waste Industries, Inc.:

Credit-Linked Deposit 7.07% 3/28/14 (h)

212

212

term loan 7.1006% 3/28/14 (h)

390

391

Aramark Corp.:

term loan 7.36% 1/26/14 (h)

2,021

2,019

7.445% 1/26/14 (h)

158

158

Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 11.375% 2/7/15 (h)

650

652

3,432

Electrical Equipment - 0.0%

Baldor Electric Co. term loan 7.125% 1/31/14 (h)

337

337

Industrial Conglomerates - 0.0%

Walter Industries, Inc. term loan 7.097% 10/3/12 (h)

98

97

Machinery - 0.1%

Chart Industries, Inc. Tranche B, term loan 7.375% 10/17/12 (h)

53

53

Dresser, Inc.:

Tranche 2LN, term loan 11.11% 5/4/15 pay-in-kind (h)

4,050

4,101

Tranche B 1LN, term loan 7.86% 5/4/14 (h)

540

540

Navistar International Corp.:

term loan 8.6099% 1/19/12 (h)

2,310

2,322

Credit-Linked Deposit 8.5907% 1/19/12 (h)

840

844

7,860

Road & Rail - 0.0%

Laidlaw International, Inc. Tranche B, term loan 7.07% 7/31/13 (h)

695

696

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

INDUSTRIALS - continued

Trading Companies & Distributors - 0.0%

Neff Corp. Tranche 2LN, term loan 8.895% 11/30/14 (h)

$ 810

$ 812

VWR Funding, Inc. term loan 7.86% 6/27/14 (h)

1,440

1,437

2,249

TOTAL INDUSTRIALS

18,803

INFORMATION TECHNOLOGY - 0.4%

IT Services - 0.2%

Affiliated Computer Services, Inc. Tranche B2, term loan 7.32% 3/20/13 (h)

3,623

3,628

SunGard Data Systems, Inc. term loan 7.3556% 2/28/14 (h)

5,536

5,543

9,171

Semiconductors & Semiconductor Equipment - 0.1%

Advanced Micro Devices, Inc. term loan 7.36% 12/31/13 (h)

3,285

3,281

Freescale Semiconductor, Inc. term loan 7.11% 12/1/13 (h)

5,104

5,015

8,296

Software - 0.1%

Kronos, Inc. Tranche 1LN, term loan 7.61% 6/11/14 (h)

3,960

3,945

Open Solutions, Inc. term loan 7.445% 1/23/14 (h)

239

239

4,184

TOTAL INFORMATION TECHNOLOGY

21,651

MATERIALS - 0.6%

Chemicals - 0.2%

Berry Plastics Group, Inc. term loan 11.61% 6/5/14 (h)

5,330

5,090

Celanese Holding LLC:

Revolving Credit-Linked Deposit 7.07% 4/2/13 (h)

206

206

term loan 7.0994% 4/2/14 (h)

1,134

1,134

Lyondell Chemical Co. term loan 6.8563% 8/16/13 (h)

4,943

4,936

Momentive Performance Materials, Inc. Tranche B1, term loan 7.625% 12/4/13 (h)

1,035

1,032

Solutia, Inc. Tranche B, term loan 8.36% 3/31/08 (h)

180

180

12,578

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

MATERIALS - continued

Containers & Packaging - 0.1%

Berry Plastics Holding Corp. Tranche C, term loan 7.35% 4/3/15 (h)

$ 4,898

$ 4,861

Metals & Mining - 0.1%

Aleris International, Inc. term loan 7.375% 12/19/13 (h)

2,813

2,778

Paper & Forest Products - 0.2%

Georgia-Pacific Corp. Tranche B1, term loan 7.11% 12/23/12 (h)

11,702

11,702

TOTAL MATERIALS

31,919

TELECOMMUNICATION SERVICES - 0.4%

Diversified Telecommunication Services - 0.4%

Intelsat Bermuda Ltd. term loan 7.855% 1/12/14 (h)

1,880

1,880

Level 3 Communications, Inc. term loan 7.605% 3/13/14 (h)

8,440

8,429

Paetec Communications, Inc. Tranche B, term loan 8.82% 2/28/13 (h)

479

479

Wind Telecomunicazioni SpA:

term loan 12.6088% 12/12/11 pay-in-kind (h)

3,535

3,534

Tranche 2, term loan 11.59% 3/21/15 (h)

2,840

2,883

Tranche B, term loan 7.84% 9/21/13 (h)

1,420

1,424

Tranche C, term loan 8.59% 9/21/14 (h)

1,420

1,424

20,053

Wireless Telecommunication Services - 0.0%

American Cellular Corp.:

term loan 3/15/14 (l)

64

64

Tranche B, term loan 7.32% 3/15/14 (h)

595

594

Leap Wireless International, Inc. Tranche B, term loan 7.36% 6/16/13 (h)

624

624

MetroPCS Wireless, Inc. Tranche B, term loan 7.625% 11/3/13 (h)

1,449

1,451

2,733

TOTAL TELECOMMUNICATION SERVICES

22,786

UTILITIES - 0.3%

Independent Power Producers & Energy Traders - 0.3%

Boston Generating LLC:

Credit-Linked Deposit 7.485% 12/20/13 (h)

219

220

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

UTILITIES - continued

Independent Power Producers & Energy Traders - continued

Boston Generating LLC: - continued

Tranche 1LN, revolver loan 7.485% 12/20/13 (h)

$ 61

$ 61

Tranche 2LN, term loan 9.61% 6/20/14 (h)

210

213

Tranche B 1LN, term loan 7.61% 12/20/13 (h)

985

987

Calpine Corp. Tranche D, term loan 7.61% 3/29/09 (h)

7,771

7,771

NRG Energy, Inc.:

term loan:

6/8/14 (l)

1,581

1,573

7.07% 2/1/13 (h)

4,951

4,945

7.07% 2/1/13 (h)

2,055

2,053

17,823

TOTAL FLOATING RATE LOANS

(Cost $270,513)

270,196

Sovereign Loan Participations - 0.1%

Indonesian Republic loan participation:

- Barclays Bank 6.25% 3/28/13 (h)

174

172

- Citibank:

6.25% 3/28/13 (h)

610

604

6.25% 12/14/19 (h)

1,417

1,375

- Credit Suisse First Boston 6.25% 3/28/13 (h)

2,739

2,712

- Deutsche Bank:

1.407% 3/28/13 (h)

JPY

75,124

575

6.25% 3/28/13 (h)

784

776

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $5,887)

6,214

Commercial Paper - 0.1%

Asscher Finance Ltd. 4.11% 7/10/07
(Cost $4,035)

EUR

3,000

4,055

Fixed-Income Funds - 5.9%

Shares

Fidelity Floating Rate Central Fund (i)
(Cost $329,491)

3,273,798

328,834

Preferred Securities - 0.8%

Principal Amount (000s)(d)

Value (000s)

CONSUMER DISCRETIONARY - 0.4%

Media - 0.4%

Globo Comunicacoes e Participacoes SA 9.375%

$ 13,600

$ 14,172

Net Servicos de Comunicacao SA 9.25% (g)

6,710

6,893

21,065

ENERGY - 0.3%

Oil, Gas & Consumable Fuels - 0.3%

Pemex Project Funding Master Trust 7.75%

17,588

18,079

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

MUFG Capital Finance 2 Ltd. 4.85% (h)

1,300

1,688

MUFG Capital Finance 3 Ltd. 2.68% (h)

JPY 150,000

1,212

2,900

TOTAL PREFERRED SECURITIES

(Cost $41,400)

42,044

Other - 0.0%

Delta Airlines ALPA Claim (a)
(Cost $96)

8,380

503

Money Market Funds - 10.2%

Shares

Fidelity Cash Central Fund, 5.32% (b)
(Cost $567,196)

567,196,409

567,196

TOTAL INVESTMENT PORTFOLIO - 102.8%

(Cost $5,652,809)

5,703,556

NET OTHER ASSETS - (2.8)%

(156,686)

NET ASSETS - 100%

$ 5,546,870

Swap Agreements

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed equal to 5.484% with Deutsche Bank

June 2010

$ 30,000

$ (70)

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.254% with Credit Suisse First Boston

June 2009

16,000

35

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.35% with Bank of America

April 2037

3,875

152

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.51% with Morgan Stanley, Inc.

June 2009

25,000

(64)

Receive semi-annually a fixed rate equal to 4.8825% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America

April 2010

21,000

272

Receive semi-annually a fixed rate equal to 5.364% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

July 2009

15,000

(1)

Receive semi-annually a fixed rate equal to 5.418% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

July 2010

27,000

14

Receive semi-annually a fixed rate equal to 5.467% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

July 2011

5,000

4

Receive semi-annually a fixed rate equal to 5.505% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

July 2012

40,000

23

Receive semi-annually a fixed rate equal to 5.706% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank

July 2017

15,000

43

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps - continued

Receive semi-annually a fixed rate equal to 5.76% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

June 2016

$ 8,000

$ 68

Receive semi-annually a fixed rate equal to 5.79% and pay quarterly a floating rate based on 3-month LIBOR with Goldman Sachs

July 2016

39,770

425

$ 245,645

$ 901

Currency Abbreviations

ARS

-

Argentine peso

BRL

-

Brazilian real

CAD

-

Canadian dollar

EGP

-

Egyptian pound

EUR

-

European Monetary Unit

GBP

-

British pound

JPY

-

Japanese yen

MXN

-

Mexican peso

PEN

-

Peruvian new sol

RUB

-

Russian ruble

TRY

-

New Turkish Lira

UYU

-

Uruguay peso

Legend

(a) Non-income producing

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

(c) Non-income producing - Issuer is in default.

(d) Principal amount is stated in United States dollars unless otherwise noted.

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

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

(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $512,242,000 or 9.2% of net assets.

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

(i) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site, or upon request.

(j) Quantity represents share amount.

(k) 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 $206,000 or 0.0% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Intermet Corp.

11/9/05

$ 2,153

(l) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $2,050,000 and $2,042,000, respectively. The coupon rate will be determined at time of settlement.

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

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 9,929

Fidelity Floating Rate Central Fund

9,358

Total

$ 19,287

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

Fund
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value,
end of
period

% ownership, end of
period

Fidelity Floating Rate Central Fund

$ 138,003

$ 191,912

$ -

$ 328,834

13.8%

Other Information

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

United States of America

71.5%

France

3.3%

Canada

2.9%

United Kingdom

2.9%

Japan

2.3%

Brazil

2.0%

Argentina

1.6%

Venezuela

1.4%

Russia

1.3%

Finland

1.1%

Mexico

1.0%

Turkey

1.0%

Others (individually less than 1%)

7.7%

100.0%

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

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)

June 30, 2007 (Unaudited)

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $4,756,122)

$ 4,807,526

Fidelity Central Funds (cost $896,687)

896,030

Total Investments (cost $5,652,809)

$ 5,703,556

Cash

1,213

Foreign currency held at value (cost $273)

273

Receivable for investments sold

12,078

Receivable for fund shares sold

18,725

Dividends receivable

47

Interest receivable

69,596

Distributions receivable from Fidelity Central Funds

4,168

Swap agreements, at value

901

Prepaid expenses

9

Receivable from investment adviser for expense reductions

7

Other receivables

69

Total assets

5,810,642

Liabilities

Payable for investments purchased:

Regular delivery

$ 75,955

Delayed delivery

166,636

Payable for fund shares redeemed

12,602

Distributions payable

3,140

Accrued management fee

2,592

Distribution fees payable

1,638

Other affiliated payables

840

Other payables and accrued expenses

369

Total liabilities

263,772

Net Assets

$ 5,546,870

Net Assets consist of:

Paid in capital

$ 5,465,721

Undistributed net investment income

13,390

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

15,841

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

51,918

Net Assets

$ 5,546,870

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

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

Amounts in thousands (except per-share amounts)

June 30, 2007 (Unaudited)

Calculation of Maximum Offering Price
Class A:
Net Asset Value and redemption price per share
($1,231,331 ÷ 105,772 shares)

$ 11.64

Maximum offering price per share (100/96.00 of $11.64)

$ 12.13

Class T:
Net Asset Value and redemption price per share ($2,358,403 ÷ 202,659 shares)

$ 11.64

Maximum offering price per share (100/96.00 of $11.64)

$ 12.13

Class B:
Net Asset Value and offering price per share ($333,396 ÷ 28,579 shares)A

$ 11.67

Class C:
Net Asset Value and offering price per share ($781,051 ÷ 67,202 shares)A

$ 11.62

Institutional Class:
Net Asset Value, offering price and redemption price per share ($842,689 ÷ 71,779 shares)

$ 11.74

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

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

Semiannual Report

Statement of Operations

Amounts in thousands

Six months ended June 30, 2007 (Unaudited)

Investment Income

Dividends

$ 4,477

Interest

135,422

Income from Fidelity Central Funds

19,287

Total income

159,186

Expenses

Management fee

$ 14,635

Transfer agent fees

4,172

Distribution fees

9,113

Accounting fees and expenses

687

Custodian fees and expenses

152

Independent trustees' compensation

8

Registration fees

158

Audit

59

Legal

18

Miscellaneous

21

Total expenses before reductions

29,023

Expense reductions

(77)

28,946

Net investment income

130,240

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

21,733

Foreign currency transactions

270

Swap agreements

(96)

Total net realized gain (loss)

21,907

Change in net unrealized appreciation (depreciation) on:

Investment securities

(78,050)

Assets and liabilities in foreign currencies

104

Swap agreements

901

Total change in net unrealized appreciation (depreciation)

(77,045)

Net gain (loss)

(55,138)

Net increase (decrease) in net assets resulting from operations

$ 75,102

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

Amounts in thousands

Six months ended June 30, 2007
(Unaudited)

Year ended
December 31, 2006

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 130,240

$ 200,671

Net realized gain (loss)

21,907

25,569

Change in net unrealized appreciation (depreciation)

(77,045)

65,522

Net increase (decrease) in net assets resulting
from operations

75,102

291,762

Distributions to shareholders from net investment income

(125,000)

(195,256)

Distributions to shareholders from net realized gain

(8,244)

(17,694)

Total distributions

(133,244)

(212,950)

Share transactions - net increase (decrease)

922,103

1,127,698

Total increase (decrease) in net assets

863,961

1,206,510

Net Assets

Beginning of period

4,682,909

3,476,399

End of period (including undistributed net investment income of $13,390 and undistributed net investment income of $8,150, respectively)

$ 5,546,870

$ 4,682,909

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

Semiannual Report

Financial Highlights - Class A

Six months ended June 30, 2007

Years ended December 31,

(Unaudited)

2006

2005

2004

2003

2002

Selected Per-Share Data

Net asset value, beginning of period

$ 11.76

$ 11.54

$ 11.93

$ 11.63

$ 10.34

$ 10.11

Income from Investment Operations

Net investment income E

.304

.600

.571

.600

.617

.668

Net realized and unrealized gain (loss)

(.111)

.248

(.255)

.445

1.321

.214

Total from investment operations

.193

.848

.316

1.045

1.938

.882

Distributions from net investment income

(.293)

(.583)

(.551)

(.575)

(.648)

(.652)

Distributions from net realized gain

(.020)

(.045)

(.155)

(.170)

-

-

Total distributions

(.313)

(.628)

(.706)

(.745)

(.648)

(.652)

Net asset value, end of period

$ 11.64

$ 11.76

$ 11.54

$ 11.93

$ 11.63

$ 10.34

Total Return B, C, D

1.64%

7.54%

2.75%

9.31%

19.20%

9.09%

Ratios to Average Net Assets F, H

Expenses before reductions

1.01% A

.97%

.99%

1.00%

1.01%

1.04%

Expenses net of fee waivers, if any

1.01% A

.97%

.99%

1.00%

1.01%

1.04%

Expenses net of all reductions

1.00% A

.97%

.99%

1.00%

1.00%

1.04%

Net investment income

5.22% A

5.18%

4.92%

5.20%

5.58%

6.65%

Supplemental Data

Net assets, end of period (in millions)

$ 1,231

$ 954

$ 647

$ 372

$ 187

$ 57

Portfolio turnover rate G

80% A

81%

109%

94%

153%

111%

A Annualized

B Total returns for periods of less than one year are not annualized.

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

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

E Calculated based on average shares outstanding during the period.

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

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

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

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

Semiannual Report

Financial Highlights - Class T

Six months ended June 30, 2007

Years ended December 31,

(Unaudited)

2006

2005

2004

2003

2002

Selected Per-Share Data

Net asset value, beginning of period

$ 11.76

$ 11.54

$ 11.92

$ 11.62

$ 10.33

$ 10.11

Income from Investment Operations

Net investment income E

.304

.594

.564

.593

.604

.660

Net realized and unrealized gain (loss)

(.111)

.248

(.245)

.443

1.322

.203

Total from investment operations

.193

.842

.319

1.036

1.926

.863

Distributions from net investment income

(.293)

(.577)

(.544)

(.566)

(.636)

(.643)

Distributions from net realized gain

(.020)

(.045)

(.155)

(.170)

-

-

Total distributions

(.313)

(.622)

(.699)

(.736)

(.636)

(.643)

Net asset value, end of period

$ 11.64

$ 11.76

$ 11.54

$ 11.92

$ 11.62

$ 10.33

Total Return B, C, D

1.64%

7.49%

2.77%

9.23%

19.09%

8.89%

Ratios to Average Net Assets F,H

Expenses before reductions

1.00% A

1.02%

1.05%

1.07%

1.11%

1.13%

Expenses net of fee waivers, if any

1.00% A

1.02%

1.05%

1.07%

1.11%

1.13%

Expenses net of all reductions

1.00% A

1.02%

1.05%

1.07%

1.11%

1.13%

Net investment income

5.22% A

5.13%

4.86%

5.13%

5.47%

6.57%

Supplemental Data

Net assets, end of period (in millions)

$ 2,358

$ 2,049

$ 1,427

$ 808

$ 515

$ 279

Portfolio turnover rate G

80% A

81%

109%

94%

153%

111%

A Annualized

B Total returns for periods of less than one year are not annualized.

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

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

E Calculated based on average shares outstanding during the period.

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

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

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

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

Semiannual Report

Financial Highlights - Class B

Six months ended June 30, 2007

Years ended December 31,

(Unaudited)

2006

2005

2004

2003

2002

Selected Per-Share Data

Net asset value, beginning of period

$ 11.79

$ 11.57

$ 11.95

$ 11.65

$ 10.35

$ 10.12

Income from Investment Operations

Net investment income E

.261

.511

.486

.513

.533

.595

Net realized and unrealized gain (loss)

(.112)

.247

(.249)

.441

1.330

.212

Total from investment operations

.149

.758

.237

.954

1.863

.807

Distributions from net investment income

(.249)

(.493)

(.462)

(.484)

(.563)

(.577)

Distributions from net realized gain

(.020)

(.045)

(.155)

(.170)

-

-

Total distributions

(.269)

(.538)

(.617)

(.654)

(.563)

(.577)

Net asset value, end of period

$ 11.67

$ 11.79

$ 11.57

$ 11.95

$ 11.65

$ 10.35

Total Return B, C, D

1.27%

6.70%

2.06%

8.45%

18.38%

8.28%

Ratios to Average Net Assets F, H

Expenses before reductions

1.76% A

1.76%

1.78%

1.78%

1.77%

1.78%

Expenses net of fee waivers, if any

1.75% A

1.75%

1.75%

1.78%

1.77%

1.78%

Expenses net of all reductions

1.75% A

1.75%

1.75%

1.78%

1.77%

1.78%

Net investment income

4.47% A

4.40%

4.16%

4.42%

4.81%

5.91%

Supplemental Data

Net assets, end of period (in millions)

$ 333

$ 342

$ 342

$ 319

$ 287

$ 147

Portfolio turnover rate G

80% A

81%

109%

94%

153%

111%

A Annualized

B Total returns for periods of less than one year are not annualized.

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

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

E Calculated based on average shares outstanding during the period.

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

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

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

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

Semiannual Report

Financial Highlights - Class C

Six months ended June 30, 2007

Years ended December 31,

(Unaudited)

2006

2005

2004

2003

2002

Selected Per-Share Data

Net asset value, beginning of period

$ 11.74

$ 11.53

$ 11.91

$ 11.61

$ 10.32

$ 10.10

Income from Investment Operations

Net investment income E

.257

.503

.475

.505

.525

.585

Net realized and unrealized gain (loss)

(.111)

.238

(.246)

.444

1.320

.204

Total from investment operations

.146

.741

.229

.949

1.845

.789

Distributions from net investment income

(.246)

(.486)

(.454)

(.479)

(.555)

(.569)

Distributions from net realized gain

(.020)

(.045)

(.155)

(.170)

-

-

Total distributions

(.266)

(.531)

(.609)

(.649)

(.555)

(.569)

Net asset value, end of period

$ 11.62

$ 11.74

$ 11.53

$ 11.91

$ 11.61

$ 10.32

Total Return B, C, D

1.25%

6.57%

1.99%

8.43%

18.24%

8.10%

Ratios to Average Net Assets F, H

Expenses before reductions

1.80% A

1.81%

1.82%

1.82%

1.84%

1.87%

Expenses net of fee waivers, if any

1.80% A

1.81%

1.82%

1.82%

1.84%

1.87%

Expenses net of all reductions

1.80% A

1.81%

1.82%

1.82%

1.84%

1.87%

Net investment income

4.42% A

4.34%

4.09%

4.37%

4.74%

5.83%

Supplemental Data

Net assets, end of period (in millions)

$ 781

$ 683

$ 540

$ 405

$ 277

$ 68

Portfolio turnover rate G

80% A

81%

109%

94%

153%

111%

A Annualized

B Total returns for periods of less than one year are not annualized.

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

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

E Calculated based on average shares outstanding during the period.

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

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

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

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

Semiannual Report

Financial Highlights - Institutional Class

Six months ended June 30,2007

Years ended December 31,

(Unaudited)

2006

2005

2004

2003

2002

Selected Per-Share Data

Net asset value, beginning of period

$ 11.86

$ 11.63

$ 12.02

$ 11.71

$ 10.40

$ 10.17

Income from Investment Operations

Net investment income D

.320

.627

.599

.627

.635

.685

Net realized and unrealized gain (loss)

(.114)

.252

(.262)

.449

1.338

.210

Total from investment operations

.206

.879

.337

1.076

1.973

.895

Distributions from net investment income

(.306)

(.604)

(.572)

(.596)

(.663)

(.665)

Distributions from net realized gain

(.020)

(.045)

(.155)

(.170)

-

-

Total distributions

(.326)

(.649)

(.727)

(.766)

(.663)

(.665)

Net asset value, end of period

$ 11.74

$ 11.86

$ 11.63

$ 12.02

$ 11.71

$ 10.40

Total Return B, C

1.74%

7.76%

2.91%

9.53%

19.44%

9.17%

Ratios to Average Net Assets E, G

Expenses before reductions

.78% A

.79%

.81%

.81%

.87%

.92%

Expenses net of fee waivers, if any

.78% A

.79%

.81%

.81%

.87%

.92%

Expenses net of all reductions

.77% A

.79%

.80%

.81%

.87%

.92%

Net investment income

5.45% A

5.36%

5.10%

5.38%

5.71%

6.78%

Supplemental Data

Net assets, end of period (in millions)

$ 843

$ 655

$ 520

$ 424

$ 291

$ 120

Portfolio turnover rate F

80% A

81%

109%

94%

153%

111%

A Annualized

B Total returns for periods of less than one year are not annualized.

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

D Calculated based on average shares outstanding during the period.

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

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

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

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

Semiannual Report

Notes to Financial Statements

For the period ended June 30, 2007 (Unaudited)

(Amounts in thousands except ratios)

1. Organization.

Fidelity Advisor Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

The Fund offers Class A, Class T, Class B, Class C, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity Floating Rate Central Fund

Fidelity Management & Research Company, Inc. (FMRC)

Seeks a high level of income by normally investing in floating rate loans and other floating rate securities.

Loans & Direct Debt Instruments,

Repurchase Agreements,

Restricted Securities

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

2. Investments in Fidelity Central Funds - continued

A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at advisor.fidelity.com. A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price.

When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

Semiannual Report

3. Significant Accounting Policies - continued

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

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

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

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. The Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund adopted the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes, on June 29, 2007. FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the three year period ended June 29, 2007, remains subject to examination by the Internal Revenue Service. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to foreign currency transactions, prior period premium and discount on debt securities, defaulted bonds, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions, losses deferred due to wash sales and excise tax regulations.

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

Unrealized appreciation

$ 119,456

Unrealized depreciation

(61,879)

Net unrealized appreciation (depreciation)

$ 57,577

Cost for federal income tax purposes

$ 5,645,979

New Accounting Pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.

Semiannual Report

4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

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

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

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $1,388,032 and $876,272, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .57% of the Fund's average net assets.

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

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

Distribution and Service Plan - continued

the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:

Distribution
Fee

Service
Fee

Paid to
FDC

Retained
by FDC

Class A

0%

.25%

$ 1,074

$ 93

Class T

0%

.25%

2,841

166

Class B

.65%

.25%

1,524

1,114

Class C

.75%

.25%

3,674

1,058

$ 9,113

$ 2,431

On January 18, 2007, the Board of Trustees approved an increase in Class A's Service Fee from.15% to.25%, effective April 1, 2007.

Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A and Class T shares (4.75% for Class A and 3.50% for Class T shares prior to April 1, 2007), some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, 1.00% to.50% for certain purchases of Class A shares and.25% for certain purchases of Class T shares.

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

Retained
by FDC

Class A

$ 322

Class T

91

Class B*

376

Class C*

56

$ 845

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

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

6. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

reports, except proxy statements. For the period, the total transfer agent fees paid by each class to FIIOC, were as follows:

Amount

% of Average
Net Assets*

Class A

$ 981

.19

Class T

1,545

.14

Class B

397

.24

Class C

646

.18

Institutional Class

603

.16

$ 4,172

* Annualized

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The fee is based on the level of average net assets for the month.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $6 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Expense Reductions.

FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

Expense
Limitations

Reimbursement
from adviser

Class B

1.75%

$ 15

Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses.

Semiannual Report

8. Expense Reductions - continued

During the period, these credits reduced the Fund's custody expenses by $33. During the period, credits reduced each class' transfer agent expense as noted in the table below.

Transfer Agent
expense reduction

Class A

$ 9

Class T

2

Class C

1

Institutional Class

3

$ 15

9. Credit Risk.

The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.

10. Other.

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

In September 2006, FIIOC, the Fund's transfer agent notified the Fund that the Fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund which did not result in a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.

The United States Securities and Exchange Commission ("SEC") is conducting an investigation of FMR (covering the years 2002 to 2004) arising from gifts, gratuities and business entertainment provided by certain brokers to certain individuals who were employed on FMR's domestic equity trading desk during that period. FMR is in discussions with the SEC

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

10. Other - continued

staff regarding the possible resolution of the matter, but as of period-end no final resolution has been reached.

In December 2006, the Independent Trustees completed their own investigation of the matter with the assistance of independent counsel. The Independent Trustees and FMR agree that, despite the absence of proof that the Fidelity mutual funds experienced diminished execution quality as a result of the improper receipt of gifts and business entertainment, the conduct at issue was serious and is worthy of redress. Accordingly, the Independent Trustees have requested and FMR has agreed to pay $42 million to Fidelity mutual funds, plus interest to be determined at the time that payment is made. A method of allocating this payment among the funds has not yet been determined. The total payment to the Fund is not anticipated to have a material impact on the Fund's net assets. In addition, FMR reimbursed related legal expenses which are recorded in the accompanying Statement of Operations as an expense reduction.

11. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
June 30,
2007

Year ended
December 31,
2006

From net investment income

Class A

$ 26,352

$ 39,561

Class T

56,593

85,776

Class B

7,159

14,254

Class C

15,389

25,171

Institutional Class

19,507

30,494

Total

$ 125,000

$ 195,256

From net realized gain

Class A

$ 1,682

$ 3,611

Class T

3,631

7,750

Class B

578

1,297

Class C

1,193

2,586

Institutional Class

1,160

2,450

Total

$ 8,244

$ 17,694

Semiannual Report

12. Share Transactions.

Transactions for each class of shares were as follows:

Shares

Dollars

Six months ended June 30,
2007

Year ended
December 31, 2006

Six months ended June 30,
2007

Year ended
December 31, 2006

Class A

Shares sold

33,858

40,212

$ 397,677

$ 466,984

Reinvestment of distributions

1,979

3,038

23,267

35,402

Shares redeemed

(11,187)

(18,183)

(131,637)

(210,949)

Net increase (decrease)

24,650

25,067

$ 289,307

$ 291,437

Class T

Shares sold

48,739

77,408

$ 574,030

$ 898,907

Reinvestment of distributions

4,871

7,566

57,269

88,116

Shares redeemed

(25,208)

(34,402)

(296,044)

(398,985)

Net increase (decrease)

28,402

50,572

$ 335,255

$ 588,038

Class B

Shares sold

3,184

6,165

$ 37,558

$ 71,729

Reinvestment of distributions

486

980

5,726

11,432

Shares redeemed

(4,119)

(7,683)

(48,572)

(89,296)

Net increase (decrease)

(449)

(538)

$ (5,288)

$ (6,135)

Class C

Shares sold

13,807

20,716

$ 162,292

$ 240,191

Reinvestment of distributions

1,018

1,708

11,951

19,867

Shares redeemed

(5,753)

(11,121)

(67,592)

(128,793)

Net increase (decrease)

9,072

11,303

$ 106,651

$ 131,265

Institutional Class

Shares sold

20,879

32,933

$ 247,758

$ 385,367

Reinvestment of distributions

1,312

2,240

15,564

26,269

Shares redeemed

(5,656)

(24,654)

(67,144)

(288,543)

Net increase (decrease)

16,535

10,519

$ 196,178

$ 123,093

Semiannual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Advisor Strategic Income Fund

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

The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. At the time of the renewal, the Board had 12 standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such committee, the Fixed-Income Contract Committee, meets periodically as needed throughout the year to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the Independent Trustees concerning, the approval and annual review of the Advisory Contracts.

At its June 2007 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the management fee and total expenses of the fund; (iii) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders. The Board also approved amendments to the fund's agreements with foreign sub-advisers to clarify that each sub-adviser provides services as an independent contractor.

In determining whether to renew the Advisory Contracts for the fund, the Board ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

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

Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services. The Board also considered that Fidelity voluntarily pays for market data out of its own resources. The Board also considered the agreement reached between the Independent Trustees and Fidelity in December 2006 following an independent review of matters relating to receipt of travel, entertainment, gifts and gratuities in violation of Fidelity policies.

Semiannual Report

The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.

Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying a sales charge. The Board noted that, since the last Advisory Contract renewals in June 2006, Fidelity has taken a number of actions that benefited particular funds, including (i) dedicating additional resources to investment research and to restructure the investment research teams; (ii) contractually agreeing to reduce the management fee on Fidelity Advisor Floating Rate High Income Fund; (iii) contractually agreeing to reduce the management fees on Fidelity's California, Massachusetts, New Jersey, and New York AMT Tax-Free Money Market Funds, launching new Institutional Classes and Service Classes of these funds, and contractually agreeing to impose expense limitations on these funds; (iv) eliminating the exchange fee on the Fidelity Select Portfolios and reducing the pricing and bookkeeping fee rates for these funds; (v) reducing the maximum transfer agency fee rates on high income funds and certain equity funds; (vi) proposing amended management contracts that, if approved by shareholders, will add a performance adjustment component to the management fees paid by 18 Fidelity Advisor equity funds; (vii) contractually agreeing to reduce fees for Ultra-Short Central Fund and the money market Central Funds; (viii) waiving the Fidelity Advisor funds' contingent deferred sales charge on certain redemptions made through systematic withdrawal programs; and (ix) amending the management contracts for equity and fixed-income funds whose management contracts incorporate a "group fee" structure by adding four new fee "breakpoints" to the group fee rate schedules.

Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2006, the cumulative total returns of Institutional Class (Class I) and Class C of the fund, the cumulative total returns of a proprietary custom index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Morningstar, Inc. as having an investment style similar to that of the fund based on underlying portfolio holdings. The returns of Institutional Class (Class I) and Class C show the performance of the highest and lowest performing classes, respectively (based on three-year performance). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the class indicated. The fund's proprietary custom index is an index developed by FMR that represents the performance of the fund's four general investment categories according to their respective weightings in the fund's neutral mix.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Fidelity Advisor Strategic Income Fund

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

Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided to the fund will benefit the fund's shareholders, particularly in light of the Board's view that the fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.

Semiannual Report

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

The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 28% means that 72% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Fidelity Advisor Strategic Income Fund

The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2006. Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.

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

The Board noted that the total expenses of each of Class A, Class T, and Class B ranked below its competitive median for 2006, the total expenses of Institutional Class ranked equal to its competitive median for 2006, and the total expenses of Class C ranked above its competitive median for 2006. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expenses of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.

Semiannual Report

In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.

Based on its review, the Board concluded that the total expenses of each class of the fund were reasonable, although in one case above the median of the universe presented for comparison, in light of the services that the fund and its shareholders receive and the other factors considered.

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

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

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

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

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.

Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total fund assets under FMR's management increase, and for higher group fee rates as total fund assets under FMR's management decrease. FMR determines the group fee rates based on a tiered asset "breakpoint" schedule. In connection with the renewal of the fund's management contract, the Board approved amendments to the fund's management contract that added four new fee breakpoints to the group fee rate schedule for assets under FMR's management above $1,386 billion. The Board considered that the group fee rate declines under both the present and amended schedules, but that under the amended schedule, the group fee rate declines faster as assets under FMR's management exceed $1,386 billion. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

The Board further concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on several topics, including (i) Fidelity's fund profitability methodology, profitability by investment discipline, and profitability trends within certain funds; (ii) Fidelity's compensation structure relative to competitors and its effect on profitability; (iii) funds and accounts managed by Fidelity other than the Fidelity funds, including fee arrangements; (iv) the total expenses of certain funds and classes relative to competitors; (v) fund performance trends; (vi) fall-out benefits received by certain Fidelity affiliates; and (vii) Fidelity's fee structures.

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

Semiannual Report

Semiannual Report

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Research & Analysis Company

Fidelity Investments Japan Limited

Fidelity International Investment Advisors

Fidelity International Investment Advisors (U.K.) Limited

Fidelity Investments Money Management, Inc.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

The Bank of New York

New York, NY

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

SI-USAN-0807
1.787775.104

(Fidelity Investment logo)(registered trademark)
Fidelity ® Advisor

Strategic Income
Fund - Institutional Class

Semiannual Report

June 30, 2007

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets,
as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

<Click Here>

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

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

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

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

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

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

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Stocks are currently on pace to register their fifth-straight year of positive returns, although gains could be trimmed if the U.S. economy continues to slow. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

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

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

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

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

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2007 to June 30, 2007).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

Semiannual Report

Investments - continued

Beginning
Account Value
January 1, 2007

Ending
Account Value
June 30, 2007

Expenses Paid
During Period*
January 1, 2007
to June 30, 2007

Class A

Actual

$ 1,000.00

$ 1,016.40

$ 5.05

HypotheticalA

$ 1,000.00

$ 1,019.79

$ 5.06

Class T

Actual

$ 1,000.00

$ 1,016.40

$ 5.00

HypotheticalA

$ 1,000.00

$ 1,019.84

$ 5.01

Class B

Actual

$ 1,000.00

$ 1,012.70

$ 8.73

HypotheticalA

$ 1,000.00

$ 1,016.12

$ 8.75

Class C

Actual

$ 1,000.00

$ 1,012.50

$ 8.98

HypotheticalA

$ 1,000.00

$ 1,015.87

$ 9.00

Institutional Class

Actual

$ 1,000.00

$ 1,017.40

$ 3.90

HypotheticalA

$ 1,000.00

$ 1,020.93

$ 3.91

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Annualized
Expense Ratio

Class A

1.01%

Class T

1.00%

Class B

1.75%

Class C

1.80%

Institutional Class

.78%

Semiannual Report

Investment Changes

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

Top Five Holdings as of June 30, 2007

(by issuer, excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

U.S. Treasury Obligations

12.1

13.2

Fannie Mae

10.3

10.8

Freddie Mac

7.3

4.3

French Republic

3.0

3.7

Japan Government

2.2

2.5

34.9

Top Five Market Sectors as of June 30, 2007

% of fund's
net assets

% of fund's net assets
6 months ago

Consumer Discretionary

9.3

8.7

Financials

7.2

6.0

Telecommunication Services

5.4

5.9

Information Technology

4.3

4.6

Energy

4.1

5.1

Quality Diversification (% of fund's net assets) as of June 30, 2007

As of June 30, 2007*

As of December 31, 2006**

U.S.Government
and U.S.Government Agency
Obligations 29.9%

U.S.Government
and U.S.Government Agency
Obligations 28.9%

AAA,AA,A 13.7%

AAA,AA,A 14.1%

BBB 5.0%

BBB 4.7%

BB 15.5%

BB 17.7%

B 17.7%

B 19.2%

CCC,CC,C 6.1%

CCC,CC,C 4.7%

D 0.0%

D 0.1%

Not Rated 4.0%

Not Rated 3.0%

Equities 0.6%

Equities 0.5%

Short-Term
Investments and
Net Other Assets 7.5%

Short-Term
Investments and
Net Other Assets 7.1%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings.

Asset Allocation (% of fund's net assets)

As of June 30, 2007

As of December 31, 2006

Preferred Securities 0.8%

Preferred Securities 0.0%

Corporate Bonds 30.6%

Corporate Bonds 33.9%

U.S. Government
and U.S. Government Agency
Obligations 29.9%

U.S. Government
and U.S. Government Agency
Obligations 28.9%

Foreign Government & Government Agency Obligations 18.9%

Foreign Government & Government Agency Obligations 21.9%

Floating Rate Loans 10.3%

Floating Rate Loans 6.8%

Stocks 0.6%

Stocks 0.5%

Other Investments 1.4%

Other Investments 0.9%

Short-Term
Investments and
Net Other Assets 7.5%

Short-Term
Investments and
Net Other Assets 7.1%

* Foreign
investments

28.5%

** Foreign
investments

32.7%

* Swaps

1.7%

** Swaps

0.0%

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

Semiannual Report

Investments June 30, 2007 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 30.1%

Principal Amount (000s)(d)

Value (000s)

Convertible Bonds - 0.2%

CONSUMER DISCRETIONARY - 0.1%

Media - 0.1%

Liberty Media Corp. (Sprint Corp. PCS Series 1) 3.75% 2/15/30

$ 6,685

$ 4,153

INFORMATION TECHNOLOGY - 0.1%

Semiconductors & Semiconductor Equipment - 0.1%

Advanced Micro Devices, Inc. 6% 5/1/15 (g)

9,390

9,038

ON Semiconductor Corp. 0% 4/15/24

450

543

9,581

TOTAL CONVERTIBLE BONDS

13,734

Nonconvertible Bonds - 29.9%

CONSUMER DISCRETIONARY - 5.1%

Auto Components - 0.1%

Affinia Group, Inc. 9% 11/30/14

2,950

2,884

Delco Remy International, Inc.:

9.375% 4/15/12 (c)

590

596

11% 5/1/09 (c)

695

716

Visteon Corp. 7% 3/10/14

4,185

3,620

7,816

Automobiles - 0.4%

General Motors Corp.:

8.375% 7/5/33

EUR

1,000

1,266

8.375% 7/15/33

21,450

19,466

20,732

Diversified Consumer Services - 0.1%

Affinion Group, Inc. 11.5% 10/15/15

2,990

3,229

Hotels, Restaurants & Leisure - 1.0%

Carrols Corp. 9% 1/15/13

4,095

4,023

Gaylord Entertainment Co.:

6.75% 11/15/14

3,690

3,616

8% 11/15/13

920

941

Landry's Seafood Restaurants, Inc. 7.5% 12/15/14

2,935

2,847

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Mandalay Resort Group:

6.375% 12/15/11

$ 4,220

$ 4,209

6.5% 7/31/09

1,995

2,005

MGM Mirage, Inc.:

6% 10/1/09

1,050

1,038

6.625% 7/15/15

1,595

1,463

6.75% 9/1/12

1,310

1,269

6.75% 4/1/13

1,020

978

6.875% 4/1/16

1,935

1,804

7.5% 6/1/16

1,965

1,847

8.5% 9/15/10

435

458

Mohegan Tribal Gaming Authority 6.875% 2/15/15

2,140

2,081

Scientific Games Corp. 6.25% 12/15/12

660

632

Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (g)

1,540

1,540

Six Flags, Inc.:

9.625% 6/1/14

1,095

1,013

9.75% 4/15/13

7,360

6,918

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

3,495

3,425

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

3,328

3,062

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

2,555

2,708

Vail Resorts, Inc. 6.75% 2/15/14

5,060

4,934

Virgin River Casino Corp./RBG LLC/B&BB, Inc.:

0% 1/15/13 (e)

1,070

819

9% 1/15/12

575

592

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

413

432

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

735

744

55,398

Household Durables - 0.0%

Urbi, Desarrollos Urbanos, SA de CV 8.5% 4/19/16 (g)

1,660

1,746

Leisure Equipment & Products - 0.0%

Riddell Bell Holdings, Inc. 8.375% 10/1/12

720

709

Media - 2.7%

AMC Entertainment, Inc. 11% 2/1/16

2,610

2,923

Cablemas SA de CV (Reg. S) 9.375% 11/15/15

5,010

5,486

CanWest Media, Inc. 8% 9/15/12

860

860

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15

$ 9,708

$ 10,059

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.:

Series B, 10.25% 9/15/10

3,850

4,033

10.25% 9/15/10

2,720

2,836

CSC Holdings, Inc.:

7.25% 4/15/12

7,060

6,866

7.625% 4/1/11

2,580

2,561

7.625% 7/15/18

10,760

10,222

7.875% 2/15/18

12,905

12,357

EchoStar Communications Corp.:

6.375% 10/1/11

3,705

3,640

6.625% 10/1/14

9,095

8,731

7% 10/1/13

3,800

3,743

7.125% 2/1/16

4,615

4,523

Haights Cross Communications, Inc. 0% 8/15/11 (e)

1,550

1,163

iesy Repository GmbH 10.375% 2/15/15 (g)

2,090

2,153

Liberty Media Corp.:

8.25% 2/1/30

5,895

5,717

8.5% 7/15/29

13,390

13,372

Livent, Inc. yankee 9.375% 10/15/04 (c)

300

3

MediMedia USA, Inc. 11.375% 11/15/14 (g)

850

893

PanAmSat Corp.:

6.375% 1/15/08

490

488

9% 8/15/14

2,860

2,982

9% 6/15/16

2,240

2,358

Rainbow National LLC & RNS Co. Corp.:

8.75% 9/1/12 (g)

3,280

3,428

10.375% 9/1/14 (g)

14,415

15,857

Sun Media Corp. Canada 7.625% 2/15/13

635

640

The Reader's Digest Association, Inc. 9% 2/15/17 (g)

3,000

2,805

TL Acquisitions, Inc.:

0% 7/15/15 (e)(g)

10,390

7,805

10.5% 1/15/15 (g)

10,480

10,166

Videotron Ltee 6.875% 1/15/14

550

534

149,204

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Multiline Retail - 0.2%

Dollar General Corp. 10.625% 7/15/15 (g)

$ 13,060

$ 12,538

Specialty Retail - 0.4%

AutoNation, Inc. 7.3556% 4/15/13 (h)

1,000

1,003

Claire's Stores, Inc. 10.5% 6/1/17 (g)

2,110

1,946

Michaels Stores, Inc.:

0% 11/1/16 (e)(g)

445

284

10% 11/1/14 (g)

4,990

5,152

11.375% 11/1/16 (g)

4,820

5,025

Sally Holdings LLC:

9.25% 11/15/14 (g)

1,460

1,460

10.5% 11/15/16 (g)

4,840

4,852

19,722

Textiles, Apparel & Luxury Goods - 0.2%

Levi Strauss & Co.:

8.875% 4/1/16

7,535

7,723

9.75% 1/15/15

3,880

4,190

11,913

TOTAL CONSUMER DISCRETIONARY

283,007

CONSUMER STAPLES - 0.5%

Beverages - 0.0%

Cerveceria Nacional Dominicana C por A 16% 3/27/12 (g)

1,560

1,728

Food & Staples Retailing - 0.1%

Rite Aid Corp.:

9.375% 12/15/15 (g)

2,870

2,762

9.5% 6/15/17 (g)

4,310

4,154

6,916

Food Products - 0.3%

Bertin Ltda 10.25% 10/5/16 (g)

1,685

1,849

Gruma SA de CV 7.75%

5,310

5,390

Hines Nurseries, Inc. 10.25% 10/1/11

370

297

Michael Foods, Inc. 8% 11/15/13

420

422

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

900

927

Reddy Ice Holdings, Inc. 0% 11/1/12 (e)

3,250

3,023

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

Smithfield Foods, Inc. 7.75% 7/1/17

$ 2,810

$ 2,789

Swift & Co. 10.125% 10/1/09

915

942

15,639

Household Products - 0.0%

Central Garden & Pet Co. 9.125% 2/1/13

260

267

Personal Products - 0.0%

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

470

475

Tobacco - 0.1%

BAT Holdings BV 4.375% 9/15/14

EUR

1,500

1,925

TOTAL CONSUMER STAPLES

26,950

ENERGY - 3.3%

Energy Equipment & Services - 0.4%

Allis-Chalmers Energy, Inc. 8.5% 3/1/17

1,200

1,199

CHC Helicopter Corp. 7.375% 5/1/14

3,185

3,105

Complete Production Services, Inc. 8% 12/15/16 (g)

4,670

4,717

Hanover Compressor Co.:

7.5% 4/15/13

530

531

8.625% 12/15/10

490

505

9% 6/1/14

4,260

4,505

Ocean Rig Norway AS 8.375% 7/1/13 (g)

1,020

1,061

Petroliam Nasional BHD (Petronas) 7.625% 10/15/26 (Reg. S)

2,920

3,432

Seabulk International, Inc. 9.5% 8/15/13

3,290

3,516

22,571

Oil, Gas & Consumable Fuels - 2.9%

ANR Pipeline, Inc. 7.375% 2/15/24

2,165

2,306

Atlas Pipeline Partners LP 8.125% 12/15/15

4,710

4,739

Berry Petroleum Co. 8.25% 11/1/16

2,930

2,952

Chaparral Energy, Inc.:

8.5% 12/1/15

2,530

2,473

8.875% 2/1/17 (g)

2,070

2,044

Chesapeake Energy Corp.:

6.5% 8/15/17

8,855

8,390

6.875% 11/15/20

7,280

6,971

7% 8/15/14

865

860

7.5% 6/15/14

850

867

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Chesapeake Energy Corp.: - continued

7.625% 7/15/13

$ 8,300

$ 8,508

Colorado Interstate Gas Co. 6.8% 11/15/15

5,320

5,466

Drummond Co., Inc. 7.375% 2/15/16 (g)

4,000

3,760

Encore Acquisition Co. 6.25% 4/15/14

1,500

1,343

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

570

564

Forest Oil Corp. 8% 12/15/11

480

492

Gaz Capital SA (Luxembourg) 6.58% 10/31/13

GBP

900

1,784

Harvest Operations Corp. 7.875% 10/15/11

1,170

1,147

InterNorth, Inc. 9.625% 3/16/06 (c)

935

276

Mariner Energy, Inc. 8% 5/15/17

1,420

1,452

Massey Energy Co. 6.875% 12/15/13

6,330

5,760

Northwest Pipeline Corp. 6.625% 12/1/07

285

285

OPTI Canada, Inc. 7.875% 12/15/14 (g)

5,250

5,263

Pan American Energy LLC 7.75% 2/9/12 (g)

6,265

6,296

Peabody Energy Corp.:

7.375% 11/1/16

5,640

5,767

7.875% 11/1/26

5,640

5,866

Pemex Project Funding Master Trust:

5.5% 2/24/25 (g)

EUR

750

988

6.625% 6/15/35

6,020

6,110

Petrohawk Energy Corp. 9.125% 7/15/13

6,000

6,345

Petroleos de Venezuela SA 5.25% 4/12/17

3,385

2,564

Petrozuata Finance, Inc.:

7.63% 4/1/09 (g)

7,420

7,291

8.22% 4/1/17 (g)

6,748

6,579

Pogo Producing Co.:

6.875% 10/1/17

4,290

4,247

7.875% 5/1/13

2,605

2,664

Range Resources Corp. 7.375% 7/15/13

2,190

2,206

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

7,015

7,225

Southern Star Central Corp. 6.75% 3/1/16

1,560

1,513

Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 (g)

1,220

1,238

Tennessee Gas Pipeline Co.:

7% 10/15/28

550

561

7.5% 4/1/17

7,600

8,132

7.625% 4/1/37

1,035

1,128

8.375% 6/15/32

1,155

1,346

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Transcontinental Gas Pipe Line Corp.:

7% 8/15/11

$ 330

$ 343

8.875% 7/15/12

1,455

1,630

Venoco, Inc. 8.75% 12/15/11

1,470

1,525

W&T Offshore, Inc. 8.25% 6/15/14 (g)

5,300

5,221

YPF SA 10% 11/2/28

4,335

5,478

159,965

TOTAL ENERGY

182,536

FINANCIALS - 6.1%

Capital Markets - 0.2%

E*TRADE Financial Corp. 7.375% 9/15/13

4,570

4,707

Mizuho Capital Investment Europe 1 Ltd. 5.02% (h)

EUR

800

1,070

Morgan Stanley 4.279% 7/20/12 (h)

EUR

2,880

3,891

9,668

Commercial Banks - 1.4%

Banca Popolare di Bergamo 8.364% (h)

EUR

1,000

1,490

Banca Popolare di Lodi Investor Trust III 6.742% (h)

EUR

1,300

1,839

Banco Nacional de Desenvolvimento Economico e Social 5.84% 6/16/08 (h)

18,175

18,039

Bank of Tokyo-Mitsubishi Ltd. 3.5% 12/16/15 (h)

EUR

1,150

1,483

BBVA Bancomer SA (Cayman Islands) (Reg. S) 4.799% 5/17/17 (h)

EUR

1,725

2,289

Caja Madrid SA 4.24% 10/17/16 (h)

EUR

1,500

2,030

Credit Agricole SA 4.184% 9/30/08 (h)

EUR

1,000

1,353

Development Bank of Philippines 8.375% (h)

5,155

5,490

DnB NOR Bank ASA 4.5971% 8/11/09 (h)

CAD

1,500

1,413

Export-Import Bank of India 1.1944% 6/7/12 (h)

JPY

320,000

2,594

HBOS Treasury Services PLC 4.5571% 1/19/10 (h)

CAD

1,500

1,412

JPMorgan Chase Bank 4.375% 11/30/21 (h)

EUR

1,500

1,894

Korea Development Bank (Reg.) 0.87% 6/28/10

JPY

600,000

4,784

Kyivstar GSM:

7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (g)

3,260

3,309

10.375% 8/17/09 (Issued by Dresdner Bank AG for Kyivstar GSM) (g)

7,090

7,551

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Santander Finance Preferred SA Unipersonal 7.005% (h)

GBP

800

$ 1,597

Santander Issuances SA Unipersonal 5.75% 1/31/18 (h)

GBP

800

1,550

SMFG Finance Ltd. 6.164% (h)

GBP

600

1,136

Standard Chartered Bank:

3.625% 2/3/17 (f)

EUR

385

491

4.462% 3/28/18 (h)

EUR

1,250

1,693

Sumitomo Mitsui Banking Corp.:

(Reg. S) 4.375% (h)

EUR

2,000

2,501

1.6413% (h)

JPY

100,000

819

TuranAlem Finance BV 6.25% 9/27/11

EUR

1,750

2,306

UniCredito Italiano Capital Trust I 4.028% (h)

EUR

2,750

3,341

Vimpel Communications:

8% 2/11/10 (Issued by UBS Luxembourg SA for Vimpel Communications)

3,940

4,056

8.25% 5/23/16 (Issued by UBS Luxembourg SA for Vimpel Communications)

3,170

3,309

79,769

Consumer Finance - 1.3%

ACE Cash Express, Inc. 10.25% 10/1/14 (g)

1,420

1,438

Ford Credit Europe PLC 5.164% 9/30/09 (h)

EUR

1,500

2,002

Ford Motor Credit Co. LLC 9.875% 8/10/11

7,610

7,988

General Motors Acceptance Corp.:

6.75% 12/1/14

9,520

9,092

6.875% 9/15/11

5,190

5,073

6.875% 8/28/12

6,460

6,314

8% 11/1/31

32,045

32,686

HSBC Finance Corp. 4.875% 5/30/17

EUR

2,450

3,221

SLM Corp.:

4.295% 6/15/09 (h)

EUR

550

726

4.345% 12/15/10 (h)

EUR

1,100

1,405

69,945

Diversified Financial Services - 1.9%

BA Covered Bond 4.125% 4/5/12

EUR

11,350

14,946

Caisse d'Amort de la Dette Societe 4.125% 4/25/17

EUR

11,500

14,833

Canada Housing Trust No.1 4.65% 9/15/09

CAD

16,600

15,561

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

4,520

4,588

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

CEMEX Finance Europe BV 4.75% 3/5/14

EUR

1,250

$ 1,627

Cerro Negro Finance Ltd.:

(Reg. S) 7.33% 12/1/09

1,845

1,817

7.33% 12/1/09 (g)

1,788

1,761

CHR Intermediate Holding Corp. 12.61% 6/1/13 pay-in-kind (g)(h)

1,340

1,335

Citigroup, Inc. 4.25% 2/25/30 (h)

EUR

1,500

1,748

DaimlerChrysler NA Holding Corp. 4.375% 3/16/10

EUR

1,350

1,802

ExIm Ukraine 7.65% 9/7/11 (Issued by Credit Suisse London Branch for ExIm Ukraine)

5,305

5,405

Getin Finance PLC 6.036% 5/13/09 (h)

EUR

650

884

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

2,056

2,133

Hyundai Capital Services, Inc. 1.6% 3/14/08

JPY

300,000

2,443

IFIL Finanziaria di Partecipazioni SpA 5.375% 6/12/17

EUR

1,450

1,931

Imperial Tobacco Finance 4.375% 11/22/13

EUR

900

1,165

KAR Holdings, Inc.:

8.75% 5/1/14 (g)

1,990

1,950

10% 5/1/15 (g)

2,100

2,048

Pakistan International Sukuk Co. Ltd. 7.6% 1/27/10 (h)

5,110

5,219

Red Arrow International Leasing PLC 8.375% 3/31/12

RUB

37,575

1,514

ROSBANK (OJSC JSCB) 8% 9/30/09 (Issued by Dali Capital PLC for ROSBANK (OJSC JSCB))

RUB

26,200

1,034

OAO TMK 8.5% 9/29/09 (Issued by TMK Capital SA for OAO TMK)

12,400

12,710

TransCapitalInvest Ltd. (Reg. S) 5.381% 6/27/12

EUR

1,400

1,881

WaMu Covered Bond Program 4.375% 5/19/14

EUR

3,900

5,141

105,476

Insurance - 0.2%

Amlin PLC 6.5% 12/19/26 (h)

GBP

1,000

1,867

Eureko BV 5.125% (h)

EUR

1,500

1,967

Fukoku Mutual Life Insurance Co. 4.5% 9/28/25 (h)

EUR

1,200

1,503

Muenchener Rueckversicherungs-Gesellschaft AG 5.767% (h)

EUR

1,800

2,393

Novae Group plc 8.375% 4/27/17 (h)

GBP

450

894

Old Mutual plc 4.5% 1/18/17 (h)

EUR

1,000

1,313

Wuerttembergische Lebens AG 5.375% 6/1/26 (h)

EUR

800

1,029

10,966

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - 0.3%

BF Saul REIT 7.5% 3/1/14

$ 3,400

$ 3,400

Rouse Co. LP/TRC, Inc. 6.75% 5/1/13 (g)

6,640

6,574

Senior Housing Properties Trust 7.875% 4/15/15

6,211

6,428

16,402

Real Estate Management & Development - 0.8%

American Real Estate Partners/American Real Estate Finance Corp.:

7.125% 2/15/13

3,265

3,126

8.125% 6/1/12

2,590

2,577

Inversiones y Representaciones SA 8.5% 2/2/17 (g)

5,590

5,338

Realogy Corp.:

10.5% 4/15/14 (g)

16,525

15,781

11% 4/15/14 pay-in-kind (g)

11,595

10,928

12.375% 4/15/15 (g)

5,060

4,624

WT Finance (Aust) Pty Ltd./Westfield Europe Finance PLC/WEA Finance 3.625% 6/27/12

EUR

1,250

1,584

43,958

Thrifts & Mortgage Finance - 0.0%

China Development Bank 5% 10/15/15

175

166

Residential Capital Corp. 6.375% 5/17/13

GBP

500

939

1,105

TOTAL FINANCIALS

337,289

HEALTH CARE - 1.0%

Health Care Equipment & Supplies - 0.0%

Invacare Corp. 9.75% 2/15/15 (g)

1,530

1,538

Health Care Providers & Services - 0.9%

Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind (g)

5,520

5,396

CRC Health Group, Inc. 10.75% 2/1/16

1,880

2,059

Fresenius Medical Care Capital Trust IV 7.875% 6/15/11

1,000

1,028

HCA, Inc.:

9.125% 11/15/14 (g)

4,310

4,536

9.25% 11/15/16 (g)

8,660

9,223

9.625% 11/15/16 pay-in-kind (g)

10,995

11,833

Rural/Metro Corp. 9.875% 3/15/15

1,355

1,396

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

Skilled Healthcare Group, Inc. 11% 1/15/14

$ 3,652

$ 4,054

Sun Healthcare Group, Inc. 9.125% 4/15/15 (g)

310

321

Team Finance LLC/Health Finance Corp. 11.25% 12/1/13

3,040

3,291

U.S. Oncology, Inc. 9% 8/15/12

1,300

1,333

Vanguard Health Holding Co. II LLC 9% 10/1/14

7,390

7,279

51,749

Life Sciences Tools & Services - 0.0%

Bio-Rad Laboratories, Inc. 7.5% 8/15/13

1,770

1,788

Pharmaceuticals - 0.1%

Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11

1,585

1,597

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

1,885

1,772

Mylan Laboratories, Inc. 6.375% 8/15/15

640

653

4,022

TOTAL HEALTH CARE

59,097

INDUSTRIALS - 2.0%

Aerospace & Defense - 0.2%

Alion Science & Technology Corp. 10.25% 2/1/15

800

830

Hawker Beechcraft Acquisition Co. LLC:

8.5% 4/1/15 (g)

2,790

2,888

8.875% 4/1/15 pay-in-kind (g)

2,790

2,853

9.75% 4/1/17 (g)

2,790

2,909

Hexcel Corp. 6.75% 2/1/15

2,350

2,268

Orbimage Holdings, Inc. 14.8669% 7/1/12 (h)

1,720

1,892

13,640

Airlines - 0.1%

Continental Airlines, Inc. 6.903% 4/19/22

820

802

Delta Air Lines, Inc.:

7.9% 12/15/09 (a)

16,400

1,148

10% 8/15/08 (a)

1,255

88

Northwest Airlines Corp. 10% 2/1/09 (a)

1,895

237

Northwest Airlines Trust 10.23% 6/21/14

229

234

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

Northwest Airlines, Inc.:

7.875% 3/15/08 (a)

$ 1,365

$ 177

8.875% 6/1/06 (a)

1,355

166

2,852

Building Products - 0.0%

Compagnie de St. Gobain 4.196% 4/11/12 (h)

EUR

1,250

1,689

Commercial Services & Supplies - 0.5%

ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13

160

159

Allied Security Escrow Corp. 11.375% 7/15/11

2,255

2,255

Allied Waste North America, Inc.:

6.5% 11/15/10

830

817

7.125% 5/15/16

5,645

5,525

Browning-Ferris Industries, Inc.:

7.4% 9/15/35

3,085

2,807

9.25% 5/1/21

680

721

FTI Consulting, Inc.:

7.625% 6/15/13

720

727

7.75% 10/1/16

1,390

1,423

Mac-Gray Corp. 7.625% 8/15/15

680

690

NCO Group, Inc. 11.875% 11/15/14 (g)

2,930

2,989

R.H. Donnelley Finance Corp. I 10.875% 12/15/12 (g)

550

587

West Corp.:

9.5% 10/15/14

5,850

5,974

11% 10/15/16

2,875

2,990

27,664

Construction & Engineering - 0.0%

Blount, Inc. 8.875% 8/1/12

1,250

1,263

Electrical Equipment - 0.1%

Coleman Cable, Inc. 9.875% 10/1/12 (g)

1,040

1,092

General Cable Corp. 7.125% 4/1/17 (g)

680

680

Polypore International, Inc. 0% 10/1/12 (e)

1,950

1,892

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

900

923

4,587

Industrial Conglomerates - 0.0%

Siemens Financieringsmaatschap NV 6.125% 9/14/66 (h)

GBP

1,075

2,048

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Machinery - 0.3%

Chart Industries, Inc. 9.125% 10/15/15

$ 1,160

$ 1,218

Cummins, Inc. 7.125% 3/1/28

2,250

2,239

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

56

59

RBS Global, Inc. / Rexnord Corp.:

8.875% 9/1/16

800

824

9.5% 8/1/14

4,100

4,346

11.75% 8/1/16

4,895

5,433

14,119

Marine - 0.2%

CMA CGM SA (Reg. S) 5.5% 5/16/12

EUR

875

1,143

H-Lines Finance Holding Corp. 0% 4/1/13 (e)

1,424

1,367

Navios Maritime Holdings, Inc. 9.5% 12/15/14 (g)

4,460

4,683

Ultrapetrol (Bahamas) Ltd. 9% 11/24/14

1,795

1,849

US Shipping Partners LP 13% 8/15/14

3,185

3,472

12,514

Road & Rail - 0.3%

Kansas City Southern de Mexico, SA de CV:

7.375% 6/1/14 (g)

3,480

3,445

7.625% 12/1/13 (g)

1,700

1,700

Kansas City Southern Railway Co.:

7.5% 6/15/09

3,165

3,165

9.5% 10/1/08

1,350

1,404

TFM SA de CV 9.375% 5/1/12

6,450

6,885

16,599

Trading Companies & Distributors - 0.3%

Glencore Finance (Europe) SA:

5.375% 9/30/11

EUR

800

1,085

6.5% 2/27/19

GBP

600

1,152

Neff Corp. 10% 6/1/15 (g)

1,530

1,522

Penhall International Corp. 12% 8/1/14 (g)

1,515

1,636

VWR Funding, Inc. 10.25% 7/15/15 (g)

8,530

8,530

13,925

TOTAL INDUSTRIALS

110,900

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - 3.3%

Communications Equipment - 0.7%

Hughes Network Systems LLC / HNS Finance Corp. 9.5% 4/15/14

$ 6,290

$ 6,573

Lucent Technologies, Inc.:

6.45% 3/15/29

17,840

15,432

6.5% 1/15/28

6,810

5,959

Nortel Networks Corp.:

9.6056% 7/15/11 (g)(h)

3,760

3,995

10.125% 7/15/13 (g)

3,730

4,000

10.75% 7/15/16 (g)

3,760

4,127

40,086

Electronic Equipment & Instruments - 0.1%

Celestica, Inc. 7.875% 7/1/11

2,960

2,849

IT Services - 0.6%

Iron Mountain, Inc.:

6.625% 1/1/16

10,955

10,024

7.75% 1/15/15

4,830

4,721

8.25% 7/1/11

535

535

8.625% 4/1/13

2,900

2,929

8.75% 7/15/18

5,160

5,315

SunGard Data Systems, Inc.:

9.125% 8/15/13

5,280

5,392

10.25% 8/15/15

3,620

3,810

32,726

Office Electronics - 0.5%

Xerox Capital Trust I 8% 2/1/27

4,585

4,654

Xerox Corp.:

6.4% 3/15/16

8,000

8,032

7.2% 4/1/16

3,345

3,445

7.625% 6/15/13

12,425

12,906

29,037

Semiconductors & Semiconductor Equipment - 1.4%

Amkor Technology, Inc. 9.25% 6/1/16

8,085

8,287

ASML Holding NV 5.75% 6/13/17

EUR

2,000

2,653

Avago Technologies Finance Ltd.:

10.86% 6/1/13 (h)

4,560

4,685

11.875% 12/1/15

8,045

8,950

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Freescale Semiconductor, Inc.:

8.875% 12/15/14 (g)

$ 12,640

$ 12,119

9.125% 12/15/14 pay-in-kind (g)

22,855

21,571

10.125% 12/15/16 (g)

14,445

13,578

MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 8.61% 12/15/11 (h)

735

671

New ASAT Finance Ltd. 9.25% 2/1/11

2,100

1,796

Viasystems, Inc. 10.5% 1/15/11

4,065

4,126

78,436

Software - 0.0%

Open Solutions, Inc. 9.75% 2/1/15 (g)

870

870

TOTAL INFORMATION TECHNOLOGY

184,004

MATERIALS - 2.9%

Chemicals - 0.7%

America Rock Salt Co. LLC 9.5% 3/15/14

3,940

4,009

Bayer AG:

4.044% 4/10/10 (h)

EUR

1,250

1,691

5.625% 5/23/18

GBP

750

1,417

Huntsman LLC 11.625% 10/15/10

466

500

JohnsonDiversey Holdings, Inc. 10.67% 5/15/13

6,095

6,278

MacDermid, Inc. 9.5% 4/15/17 (g)

500

503

Momentive Performance Materials, Inc.:

9.75% 12/1/14 (g)

4,390

4,401

10.125% 12/1/14 pay-in-kind (g)

4,655

4,643

11.5% 12/1/16 (g)

10,895

10,977

Phibro Animal Health Corp. 10% 8/1/13 (g)

685

716

SABIC Europe BV 4.5% 11/28/13

EUR

1,250

1,603

Sterling Chemicals, Inc. 10.25% 4/1/15 (g)

1,600

1,656

38,394

Construction Materials - 0.0%

Imerys 5% 4/18/17

EUR

1,450

1,898

Containers & Packaging - 0.5%

AEP Industries, Inc. 7.875% 3/15/13

640

640

BWAY Corp. 10% 10/15/10

1,175

1,218

Constar International, Inc. 11% 12/1/12

2,530

2,391

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Containers & Packaging - continued

Crown Cork & Seal, Inc.:

7.375% 12/15/26

$ 355

$ 339

7.5% 12/15/96

3,685

3,095

8% 4/15/23

2,980

2,920

Owens-Brockway Glass Container, Inc.:

6.75% 12/1/14

895

868

7.75% 5/15/11

320

328

8.25% 5/15/13

3,390

3,509

8.875% 2/15/09

1,029

1,042

Tekni-Plex, Inc. 10.875% 8/15/12

980

1,095

Vitro SAB de CV:

8.625% 2/1/12 (g)

7,760

7,876

9.125% 2/1/17 (g)

2,210

2,262

27,583

Metals & Mining - 1.6%

Aleris International, Inc. 9% 12/15/14 (g)

2,790

2,818

CAP SA 7.375% 9/15/36 (g)

1,730

1,722

Compass Minerals International, Inc.:

0% 12/15/12 (e)

1,330

1,370

0% 6/1/13 (e)

2,260

2,249

Corporacion Nacional del Cobre (Codelco) 6.15% 10/24/36 (g)

9,190

9,111

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

5,830

6,544

Evraz Group SA (Reg. S) 8.25% 11/10/15

5,200

5,317

Evraz Securities SA 10.875% 8/3/09

3,600

3,890

FMG Finance Property Ltd.:

10% 9/1/13 (g)

2,285

2,516

10.625% 9/1/16 (g)

2,285

2,688

Freeport-McMoRan Copper & Gold, Inc.:

6.875% 2/1/14

4,200

4,295

8.25% 4/1/15

4,070

4,284

8.375% 4/1/17

11,870

12,642

8.5463% 4/1/15 (h)

6,945

7,292

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

1,335

1,402

Gerdau SA 8.875% (g)

2,590

2,720

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

10,550

10,946

Ispat Inland ULC 9.75% 4/1/14

932

1,025

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

PNA Intermediate Holding Corp. 12.36% 2/15/13 pay-in-kind (g)(h)

$ 1,680

$ 1,697

RathGibson, Inc. 11.25% 2/15/14

5,905

6,215

90,743

Paper & Forest Products - 0.1%

Glatfelter 7.125% 5/1/16

550

547

NewPage Corp. 11.6063% 5/1/12 (h)

1,770

1,938

2,485

TOTAL MATERIALS

161,103

TELECOMMUNICATION SERVICES - 4.6%

Diversified Telecommunication Services - 3.5%

British Telecommunications plc 5.25% 6/23/14

EUR

1,550

2,094

Citizens Communications Co.:

7.875% 1/15/27

3,700

3,714

9% 8/15/31

8,370

8,621

Deutsche Telekom International Finance BV 4.5% 10/25/13

EUR

750

976

Embarq Corp.:

7.082% 6/1/16

1,116

1,122

7.995% 6/1/36

16,780

17,029

Eschelon Operating Co. 8.375% 3/15/10

2,196

2,122

France Telecom SA 4.375% 2/21/12

EUR

550

724

Intelsat Ltd.:

9.25% 6/15/16

2,240

2,369

11.25% 6/15/16

8,860

9,923

Level 3 Financing, Inc.:

8.75% 2/15/17 (g)

8,590

8,472

12.25% 3/15/13

9,580

10,969

MobiFon Holdings BV 12.5% 7/31/10

7,225

7,695

Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (g)

5,425

5,778

NTL Cable PLC:

8.75% 4/15/14

6,865

7,088

9.125% 8/15/16

3,065

3,218

PT Indosat International Finance Co. BV 7.125% 6/22/12 (g)

1,845

1,859

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Qwest Capital Funding, Inc.:

7.625% 8/3/21

$ 370

$ 348

7.75% 2/15/31

370

357

Qwest Corp.:

7.5% 10/1/14

760

777

7.875% 9/1/11

2,980

3,107

8.61% 6/15/13 (h)

9,470

10,370

8.875% 3/15/12

24,535

26,436

Telecom Egypt SAE:

9.672% 2/4/10 (h)

EGP

3,565

619

10.95% 2/4/10

EGP

3,565

638

Telefonica de Argentina SA 9.125% 11/7/10

2,817

2,972

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

6,992

6,590

U.S. West Capital Funding, Inc.:

6.5% 11/15/18

285

257

6.875% 7/15/28

1,855

1,621

U.S. West Communications:

6.875% 9/15/33

27,138

25,510

7.125% 11/15/43

220

210

7.2% 11/10/26

875

886

7.25% 9/15/25

1,780

1,776

7.25% 10/15/35

5,830

5,619

7.5% 6/15/23

1,880

1,871

Wind Acquisition Finance SA 10.75% 12/1/15 (g)

7,315

8,412

192,149

Wireless Telecommunication Services - 1.1%

American Tower Corp. 7.125% 10/15/12

10,745

10,987

Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13

7,015

7,524

Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14

6,050

6,186

Digicel Ltd. 9.25% 9/1/12 (g)

1,880

1,976

MetroPCS Wireless, Inc. 9.25% 11/1/14 (g)

5,800

5,974

Millicom International Cellular SA 10% 12/1/13

8,835

9,575

Mobile Telesystems Finance SA 8.375% 10/14/10 (g)

6,290

6,560

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (g)

$ 3,565

$ 3,645

Telecom Personal SA 9.25% 12/22/10 (g)

8,390

8,820

61,247

TOTAL TELECOMMUNICATION SERVICES

253,396

UTILITIES - 1.1%

Electric Utilities - 0.6%

Abu Dhabi National Energy Co. Pjsc 4.375% 10/28/13

EUR

1,250

1,619

AES Gener SA 7.5% 3/25/14

3,410

3,546

Chivor SA E.S.P. 9.75% 12/30/14 (g)

3,255

3,694

Compania de Transporte de Energia Electica de Alta Tension Transener SA 8.875% 12/15/16 (g)

3,385

3,368

Edison Mission Energy:

7.5% 6/15/13

7,300

7,227

7.75% 6/15/16

3,710

3,678

National Power Corp. 6.875% 11/2/16 (g)

1,715

1,706

Reliant Energy, Inc.:

7.625% 6/15/14

4,630

4,514

7.875% 6/15/17

3,680

3,588

32,940

Gas Utilities - 0.3%

Southern Natural Gas Co.:

7.35% 2/15/31

7,350

7,718

8% 3/1/32

4,170

4,670

Transportadora de Gas del Sur SA 7.875% 5/14/17 (g)

4,135

3,964

16,352

Independent Power Producers & Energy Traders - 0.2%

Enron Corp.:

Series A, 8.375% 5/23/05 (c)

2,500

725

6.4% 7/15/06 (c)

9,815

2,895

6.625% 11/15/05 (c)

2,200

649

6.725% 11/17/08 (c)(h)

684

205

6.75% 8/1/09 (c)

550

162

6.875% 10/15/07 (c)

1,330

392

6.95% 7/15/28 (c)

1,204

361

7.125% 5/15/49 (c)

235

69

Corporate Bonds - continued

Principal Amount (000s)(d)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Independent Power Producers & Energy Traders - continued

Enron Corp.: - continued

7.375% 5/15/19 (c)

$ 1,400

$ 417

7.875% 6/15/03 (c)

235

69

9.125% 4/1/03 (c)

50

15

9.875% 6/5/03 (c)

4,720

1,392

Tenaska Alabama Partners LP 7% 6/30/21 (g)

1,108

1,130

8,481

Multi-Utilities - 0.0%

Aquila, Inc. 14.875% 7/1/12

1,615

2,043

Utilicorp United, Inc. 9.95% 2/1/11 (h)

39

42

2,085

TOTAL UTILITIES

59,858

TOTAL NONCONVERTIBLE BONDS

1,658,140

TOTAL CORPORATE BONDS

(Cost $1,642,298)

1,671,874

U.S. Government and Government Agency Obligations - 20.8%

U.S. Government Agency Obligations - 8.7%

Fannie Mae:

3.25% 1/15/08

89,580

88,580

3.25% 2/15/09

40

39

4.125% 5/15/10

6,500

6,316

4.25% 5/15/09

4,940

4,859

4.75% 12/15/10

71,058

70,057

4.875% 4/15/09

13,935

13,856

5.125% 9/2/08

7,695

7,681

5.375% 6/12/17

21,150

20,983

6% 5/15/11

6,400

6,568

6.375% 6/15/09

1,650

1,686

6.625% 9/15/09

12,448

12,814

7.25% 1/15/10

17,761

18,615

Federal Home Loan Bank:

4.5% 10/14/08

5,975

5,919

5.8% 9/2/08

1,680

1,690

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)(d)

Value (000s)

U.S. Government Agency Obligations - continued

Freddie Mac:

3.625% 9/15/08

$ 49,805

$ 48,858

4% 8/17/07

521

520

4.125% 10/18/10

67,500

65,324

4.75% 3/5/09

49,987

49,612

4.875% 2/17/09

2,851

2,835

5.125% 4/18/08

14,000

13,976

5.125% 4/18/11

2,380

2,371

5.625% 3/15/11

15,000

15,200

5.75% 3/15/09

15,000

15,125

Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23

4,750

4,712

Private Export Funding Corp.:

secured 5.685% 5/15/12

1,285

1,307

4.974% 8/15/13

1,515

1,488

Small Business Administration guaranteed development participation certificates Series 2003 P10B, 5.136% 8/10/13

1,128

1,107

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

482,098

U.S. Treasury Inflation Protected Obligations - 0.7%

U.S. Treasury Inflation-Indexed Notes:

1.875% 7/15/13

17,417

16,700

2.375% 4/15/11

13,170

13,022

2.5% 7/15/16

7,674

7,591

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

37,313

U.S. Treasury Obligations - 11.4%

U.S. Treasury Bonds:

6.125% 8/15/29

100,150

112,340

6.25% 8/15/23

61,500

68,289

U.S. Treasury Notes:

4.25% 8/15/14

67,500

64,568

4.5% 11/15/15

30,500

29,418

4.625% 11/15/16

55,100

53,400

4.75% 2/28/09

63,000

62,808

4.75% 5/31/12 (m)

167,602

166,293

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)(d)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

4.875% 4/30/08

$ 61,537

$ 61,455

5.125% 5/15/16

17,000

17,096

TOTAL U.S. TREASURY OBLIGATIONS

635,667

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,171,241)

1,155,078

U.S. Government Agency - Mortgage Securities - 7.0%

Fannie Mae - 4.8%

3.585% 9/1/33 (h)

814

800

3.72% 6/1/33 (h)

2,502

2,497

3.75% 4/1/34 (h)

2,593

2,549

3.783% 6/1/33 (h)

2,981

2,987

3.902% 5/1/34 (h)

1,365

1,345

3.91% 5/1/33 (h)

904

909

3.918% 9/1/33 (h)

2,460

2,439

3.944% 5/1/34 (h)

1,052

1,037

3.962% 9/1/33 (h)

1,882

1,862

3.998% 4/1/34 (h)

2,399

2,366

4% 9/1/13 to 5/1/20

5,040

4,710

4.003% 8/1/33 (h)

1,155

1,141

4.031% 3/1/34 (h)

4,503

4,445

4.036% 6/1/34 (h)

1,928

1,901

4.068% 3/1/35 (h)

3,537

3,503

4.12% 4/1/34 (h)

2,975

2,941

4.126% 5/1/34 (h)

2,377

2,351

4.188% 11/1/34 (h)

2,587

2,599

4.205% 6/1/34 (h)

2,112

2,085

4.288% 6/1/34 (h)

2,339

2,318

4.355% 10/1/19 (h)

261

258

4.4% 8/1/34 (h)

5,380

5,403

4.419% 8/1/34 (h)

5,588

5,529

4.482% 1/1/35 (h)

1,240

1,223

4.484% 12/1/34 (h)

97

96

4.485% 11/1/33 (h)

304

302

4.5% 5/1/18 to 12/1/18

7,695

7,333

4.638% 8/1/35 (h)

1,308

1,302

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)(d)

Value (000s)

Fannie Mae - continued

4.655% 10/1/34 (h)

$ 733

$ 726

4.688% 2/1/35 (h)

3,630

3,590

4.733% 12/1/35 (h)

8,706

8,652

4.784% 12/1/35 (h)

926

924

4.79% 6/1/35 (h)

1,524

1,506

4.799% 4/1/35 (h)

2,413

2,416

4.8% 7/1/35 (h)

1,046

1,033

4.809% 1/1/36 (h)

5,203

5,149

4.812% 11/1/35 (h)

2,003

2,008

4.848% 7/1/35 (h)

2,191

2,165

4.878% 7/1/34 (h)

1,234

1,229

4.883% 10/1/35 (h)

285

284

4.893% 5/1/35 (h)

348

344

4.896% 11/1/35 (h)

2,154

2,153

4.946% 8/1/34 (h)

1,189

1,186

5% 1/1/14 to 7/1/35

31,074

30,124

5.004% 2/1/34 (h)

1,839

1,817

5.016% 5/1/35 (h)

2,868

2,847

5.047% 12/1/32 (h)

1,763

1,756

5.092% 5/1/35 (h)

373

376

5.102% 10/1/35 (h)

1,640

1,626

5.108% 10/1/35 (h)

884

877

5.114% 1/1/36 (h)

3,241

3,212

5.135% 7/1/34 (h)

453

452

5.136% 8/1/36 (h)

6,221

6,228

5.152% 7/1/35 (h)

3,457

3,436

5.167% 3/1/36 (h)

2,797

2,783

5.26% 5/1/35 (h)

1,118

1,114

5.263% 11/1/36 (h)

528

529

5.273% 4/1/36 (h)

1,127

1,137

5.311% 3/1/36 (h)

7,478

7,450

5.365% 2/1/36 (h)

1,854

1,859

5.371% 2/1/36 (h)

193

194

5.379% 12/1/36 (h)

712

711

5.394% 7/1/35 (h)

522

521

5.407% 2/1/37 (h)

688

688

5.439% 2/1/37 (h)

3,260

3,266

5.483% 6/1/47 (h)

540

541

5.5% 5/1/11 to 3/1/20

23,487

23,242

5.533% 11/1/36 (h)

1,047

1,050

5.612% 2/1/36 (h)

781

782

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)(d)

Value (000s)

Fannie Mae - continued

5.668% 4/1/36 (h)

$ 2,752

$ 2,759

5.672% 6/1/36 (h)

1,810

1,815

5.672% 4/1/37 (h)

2,982

2,996

5.755% 4/1/36 (h)

1,456

1,461

5.797% 3/1/36 (h)

1,960

1,969

5.807% 5/1/36 (h)

723

727

5.816% 1/1/36 (h)

408

408

5.834% 3/1/36 (h)

1,559

1,567

5.839% 5/1/36 (h)

4,312

4,334

5.847% 6/1/35 (h)

2,683

2,697

5.895% 12/1/36 (h)

1,046

1,051

5.925% 6/1/36 (h)

15,800

15,899

5.937% 6/1/36 (h)

3,882

3,908

5.946% 5/1/36 (h)

1,875

1,888

6% 10/1/08 to 1/1/26

2,639

2,655

6.044% 4/1/36 (h)

11,302

11,399

6.226% 3/1/37 (h)

330

333

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

3,565

3,625

7% 9/1/25

4

4

7.5% 1/1/28 to 5/1/37

1,038

1,076

TOTAL FANNIE MAE

262,785

Freddie Mac - 2.2%

3.378% 7/1/33 (h)

1,862

1,845

4% 5/1/19 to 11/1/20

5,497

5,097

4.004% 5/1/33 (h)

3,773

3,765

4.179% 1/1/35 (h)

3,592

3,559

4.5% 2/1/18 to 8/1/33

4,527

4,285

4.569% 6/1/33 (h)

1,179

1,179

4.663% 2/1/35 (h)

9,011

8,870

4.701% 9/1/36 (h)

749

745

4.705% 9/1/35 (h)

4,517

4,501

4.794% 2/1/36 (h)

315

310

4.842% 5/1/35 (h)

6,127

6,041

4.873% 10/1/35 (h)

1,500

1,501

4.924% 10/1/36 (h)

3,780

3,769

5% 3/1/18 to 7/1/19

6,467

6,275

5.013% 7/1/35 (h)

3,655

3,625

5.021% 4/1/35 (h)

103

101

5.126% 7/1/35 (h)

1,015

1,005

5.289% 2/1/36 (h)

63

62

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)(d)

Value (000s)

Freddie Mac - continued

5.362% 3/1/37 (h)

$ 500

$ 498

5.489% 2/1/37 (h)

2,722

2,703

5.498% 1/1/36 (h)

851

848

5.5% 8/1/14 to 11/1/19

7,863

7,765

5.586% 3/1/36 (h)

4,614

4,604

5.625% 5/1/37 (h)

2,410

2,383

5.673% 8/1/36 (h)

4,824

4,818

5.732% 4/1/36 (h)

11,518

11,526

5.806% 5/1/37 (h)

5,606

5,613

5.858% 5/1/37 (h)

540

542

5.863% 5/1/37 (h)

3,355

3,364

6% 7/1/16 to 2/1/19

2,873

2,889

6.084% 2/1/37 (h)

5,250

5,283

6.157% 12/1/36 (h)

5,772

5,802

6.5% 10/1/10 to 3/1/22

7,591

7,731

8.5% 3/1/20

11

12

TOTAL FREDDIE MAC

122,916

Government National Mortgage Association - 0.0%

6% 1/15/09 to 5/15/09

25

25

6.5% 4/15/26 to 5/15/26

47

48

7% 9/15/25 to 8/15/31

85

88

7.5% 2/15/22 to 8/15/28

149

156

8% 9/15/26 to 12/15/26

33

35

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

352

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $387,808)

386,053

Asset-Backed Securities - 0.5%

Amstel Corp. Loan Offering BV:

Series 2006-1 Class C, 4.566% 5/25/16 (h)

EUR

500

678

Series 2007-1:

Class B, 4.429% 3/25/17 (h)

EUR

1,100

1,489

Class C, 4.609% 3/25/17 (h)

EUR

800

1,083

Auto ABS Compartiment Series 2006-1 Class B, 4.242% 7/25/17 (h)

EUR

1,000

1,354

Clock Finance BV Series 2007-1:

Class B2, 4.256% 2/25/15 (h)

EUR

700

947

Asset-Backed Securities - continued

Principal Amount (000s)(d)

Value (000s)

Clock Finance BV Series 2007-1: - continued

Class C2, 4.436% 2/25/15 (h)

EUR

400

$ 541

Driver One GmbH Series 1 Class B, 4.343% 5/21/10 (h)

EUR

176

239

FCC SPARC Series 2007-1 Class D, 0% 7/15/10 (h)

EUR

500

677

Geldilux Ltd. Series 2007-TS Class C, 4.517% 9/8/14 (h)

EUR

400

541

GLS Ltd. Series 2006-1 Class C, 4.257% 7/15/14 (h)

EUR

500

677

Greene King Finance PLC Series A1, 6.23% 6/15/31 (h)

GBP

1,000

2,001

Lambda Finance BV Series 2005-1X Class C1, 6.374% 11/15/29 (h)

GBP

500

1,008

Leek Finance PLC Series 18X Class BC, 4.292% 9/21/38 (h)

EUR

600

812

Mermaid Secured Finance Ltd. Series 2007-1:

Class C, 4.416% 1/30/40 (h)

EUR

400

542

Class D, 4.616% 1/30/40 (h)

EUR

550

745

Prime Bricks Series 2007-1:

Class B, 4.416% 1/30/40 (h)

EUR

550

745

Class C, 4.616% 1/30/40 (h)

EUR

450

609

Promise K 2006-1 GmbH Series I 2006-1 Class D, 4.805% 3/20/17 (h)

EUR

1,000

1,354

Provide Bricks Series 2007-1 Class B, 4.365% 1/30/40 (h)

EUR

1,400

1,895

Punch Taverns Finance PLC 5.92% 4/15/09 (h)

GBP

410

822

Sedna Finance Corp.:

4.779% 12/23/14 (h)

EUR

500

677

4.895% 3/15/16 (h)

EUR

1,150

1,560

Stichting Mars Series 2006 Class C, 4.163% 8/28/14 (h)

EUR

1,000

1,353

Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27

GBP

60

117

Whinstone Capital Management Ltd. Series 2005-1X Class B1, 6.5963% 10/25/45 (h)

GBP

1,168

2,356

TOTAL ASSET-BACKED SECURITIES

(Cost $23,720)

24,822

Collateralized Mortgage Obligations - 2.3%

Private Sponsor - 0.2%

EPIC PLC Series BROD Class D, 4.465% 1/22/16 (h)

EUR

400

541

Granite Mortgages PLC 4.349% 1/20/43 (h)

EUR

341

463

Collateralized Mortgage Obligations - continued

Principal Amount (000s)(d)

Value (000s)

Private Sponsor - continued

Holmes Financing No. 8 PLC floater Series 3 Class C, 4.818% 7/15/40 (h)

EUR

500

$ 680

RMAC PLC Series 2005-NS4X Class M2A, 6.3675% 12/12/43 (h)

GBP

1,700

3,409

RMAC Securities PLC 2006 floater Series 2006-NS4X Class M1A, 6.1075% 6/12/44 (h)

GBP

1,250

2,509

Shield BV Series 1 Class C, 4.369% 1/20/14 (h)

EUR

1,500

2,037

TOTAL PRIVATE SPONSOR

9,639

U.S. Government Agency - 2.1%

Fannie Mae planned amortization class Series 2002-83 Class ME, 5% 12/25/17

8,925

8,633

Fannie Mae Grantor Trust sequential payer Series 2005-93 Class HD, 4.5% 11/25/19

272

263

Fannie Mae subordinate REMIC pass-thru certificates:

floater Series 2005-45 Class XA, 5.66% 6/25/35 (h)

7,424

7,417

planned amortization class:

Series 2002-11 Class UC, 6% 3/25/17

2,787

2,807

Series 2003-113:

Class PD, 4% 2/25/17

4,890

4,622

Class PE, 4% 11/25/18

1,515

1,356

Series 2003-128 Class NE, 4% 12/25/16

2,550

2,409

Series 2003-70 Class BJ, 5% 7/25/33

890

812

Series 2003-85 Class GD, 4.5% 9/25/18

1,225

1,159

Series 2004-80 Class LD, 4% 1/25/19

1,980

1,850

Series 2004-81:

Class KC, 4.5% 4/25/17

1,395

1,360

Class KD, 4.5% 7/25/18

3,035

2,894

Series 2006-4 Class PB, 6% 9/25/35

6,570

6,570

sequential payer:

Series 2002-58 Class HC, 5.5% 9/25/17

13

13

Series 2003-18 Class EY, 5% 6/25/17

3,771

3,711

Series 2004-95 Class AN, 5.5% 1/25/25

2,260

2,240

Series 2005-117, Class JN, 4.5% 1/25/36

808

692

Series 2005-29 Class KA, 4.5% 2/25/35

2,857

2,740

Series 2005-47 Class AK, 5% 6/25/20

7,595

7,237

Freddie Mac planned amortization class Series 2115 Class PE, 6% 1/15/14

215

215

Freddie Mac Multi-class participation certificates guaranteed:

floater Series 2630 Class FL, 5.82% 6/15/18 (h)

104

105

Collateralized Mortgage Obligations - continued

Principal Amount (000s)(d)

Value (000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

Series 2378 Class PE, 5.5% 11/15/16

$ 2,927

$ 2,921

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

9,410

8,918

Series 2628 Class OP, 3.5% 11/15/13

1,869

1,853

Series 2649 Class TQ, 3.5% 12/15/21

1,178

1,168

Series 2695 Class DG, 4% 10/15/18

3,865

3,522

Series 2743 Class HE, 4.5% 2/15/19

4,390

4,126

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

14,395

13,553

Series 2831 Class PB, 5% 7/15/19

3,990

3,839

Series 2996 Class MK, 5.5% 6/15/35

942

936

Series 3013 Class AF, 5.57% 5/15/35 (h)

8,995

8,989

sequential payer:

Series 2570 Class CU, 4.5% 7/15/17

386

375

Series 2572 Class HK, 4% 2/15/17

580

561

Series 2617 Class GW, 3.5% 6/15/16

554

544

Series 2627:

Class BG, 3.25% 6/15/17

256

240

Class KP, 2.87% 12/15/16

268

251

Series 2685 Class ND, 4% 10/15/18

1,745

1,554

Series 2773 Class TA, 4% 11/15/17

3,195

3,058

Series 2849 Class AL, 5% 5/15/18

1,541

1,506

Series 2860 Class CP, 4% 10/15/17

506

490

Series 2937 Class HJ, 5% 10/15/19

1,822

1,787

Series 2863 Class DB, 4% 9/15/14

266

250

TOTAL U.S. GOVERNMENT AGENCY

119,546

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $129,305)

129,185

Commercial Mortgage Securities - 0.4%

Broadgate PLC 6.435% 10/5/25 (h)

GBP

955

1,889

Bruntwood Alpha PLC Series 2007-1 Class C, 6.09% 1/15/17 (h)

GBP

700

1,406

Canary Wharf Finance II plc Series 3MUK Class C2, 6.2244% 10/22/37 (h)

GBP

1,000

2,007

European Property Capital Series 4 Class C, 5.9494% 7/20/14 (h)

GBP

442

888

Commercial Mortgage Securities - continued

Principal Amount (000s)(d)

Value (000s)

German Residential Asset Note Distributor PLC Series 1 Class A, 4.219% 7/20/16 (h)

EUR

1,371

$ 1,862

JLOC 36 LLC Reg. S:

Class A1, 0.9348% 2/16/16 (h)

JPY

100,000

812

Class B, 1.1048% 2/16/16 (h)

JPY

100,000

812

JLOC 37 LLC (Reg. S) 0% 1/15/15 (h)

JPY

110,000

893

Opera Finance (CMH) PLC Class B, 4.268% 1/15/15 (h)

EUR

1,100

1,488

Opera Finance PLC 5.9763% 7/31/13 (h)

GBP

991

1,992

Paris Prime Community Real Estate Series 2006-1 Class B, 4.235% 4/22/14 (g)(h)

EUR

1,000

1,352

Real Estate Capital Foundation Ltd. Series 3 Class A, 5.8% 7/15/16 (h)

GBP

2,000

4,009

Rivoli Pan Europe PLC Series 2006-1 Class B 4.297% 8/3/18 (h)

EUR

650

879

Skyline BV Series 2007-1 Class D, 0% 7/22/43 (h)

EUR

1,100

1,489

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $20,700)

21,778

Foreign Government and Government Agency Obligations - 18.9%

Arab Republic 8.6002% 10/9/07

EGP

5,150

888

Argentine Republic:

discount (with partial capitalization through 12/31/13) 8.28% 12/31/33

9,218

8,992

5.475% 8/3/12 (h)

13,114

12,458

7% 3/28/11

10,620

10,365

7% 9/12/13

18,845

17,536

10.4173% 3/5/08 (h)

ARS

5,964

1,938

Austrian Republic 5% 12/20/24 (g)

CAD

2,000

1,894

Banco Central del Uruguay:

value recovery A rights 1/2/21 (a) (j)

1,000,000

0

value recovery B rights 1/2/21 (a) (j)

750,000

0

Brazilian Federative Republic:

6% 9/15/13

1,842

1,840

7.125% 1/20/37

4,355

4,721

8.25% 1/20/34

5,500

6,765

8.75% 2/4/25

5,440

6,773

10% 1/1/10

BRL

3,682

1,879

11% 8/17/40

20,355

26,706

12.25% 3/6/30

8,910

15,102

12.75% 1/15/20

4,685

7,262

Bulgarian Republic 8.25% 1/15/15 (Reg. S)

180

207

Foreign Government and Government Agency Obligations - continued

Principal Amount (000s)(d)

Value (000s)

Canadian Government:

4% 6/1/17

CAD

20,000

$ 17,954

4.5% 9/1/07

CAD

27,000

25,336

5.25% 6/1/12

CAD

50,300

48,645

5.5% 6/1/09

CAD

15,500

14,792

5.75% 6/1/29

CAD

9,750

10,704

Central Bank of Nigeria:

promissory note 5.092% 1/5/10

3,058

2,945

warrants 11/15/20 (a)(j)

2,750

641

Colombian Republic:

7.375% 9/18/37

8,075

8,992

11.75% 2/25/20

1,825

2,687

Dominican Republic:

Brady 6.3125% 8/30/09 (h)

1,603

1,605

6.25% 8/30/24 (h)

12,873

12,854

9.04% 1/23/18 (g)

4,585

5,188

9.5% 9/27/11

3,429

3,639

Ecuador Republic:

10% 8/15/30 (Reg. S)

9,525

7,811

euro par 5% 2/28/25

1,580

1,130

Finnish Government 3.875% 9/15/17

EUR

49,700

63,208

French Republic:

3% 1/12/10

EUR

800

1,044

3.5% 7/12/11

EUR

88,350

115,057

3.75% 4/25/17

EUR

33,730

42,575

4% 4/25/55

EUR

750

882

5.5% 4/25/29

EUR

4,200

6,256

German Federal Republic:

3.75% 12/12/08

EUR

5,175

6,934

4% 4/13/12

EUR

3,920

5,186

4% 7/4/16

EUR

1,300

1,690

Indonesian Republic:

6.625% 2/17/37 (g)

4,125

3,960

6.75% 3/10/14

3,275

3,341

Islamic Republic of Pakistan:

6.75% 2/19/09

1,050

1,050

7.125% 3/31/16 (g)

2,125

2,104

Japan Government:

0.78% 7/20/20 (h)

JPY

825,000

6,261

0.9% 12/22/08

JPY

1,370,000

11,121

0.9% 11/20/20 (h)

JPY

1,300,000

10,090

1.4% 3/21/11

JPY

2,275,000

18,547

Foreign Government and Government Agency Obligations - continued

Principal Amount (000s)(d)

Value (000s)

Japan Government: - continued

1.5% 3/20/14

JPY

1,865,000

$ 15,006

1.8% 3/20/16

JPY

1,872,000

15,205

2.4% 12/20/34

JPY

1,500,000

12,089

Real Return Bond 1.1% 12/10/16

JPY

3,871,630

31,037

Lebanese Republic:

7.125% 3/5/10

1,140

1,100

7.875% 5/20/11 (Reg. S)

4,320

4,169

8.625% 6/20/13

1,540

1,509

8.63% 11/30/09 (g)(h)

2,180

2,166

8.63% 11/30/09 (h)

9,170

9,113

Peruvian Republic:

3% 3/7/27 (f)

900

646

6.1425% 3/7/27 (h)

1,545

1,541

euro Brady past due interest 6.125% 3/7/17 (h)

8,497

8,497

Philippine Republic:

8.25% 1/15/14

7,120

7,788

8.875% 3/17/15

3,120

3,569

9% 2/15/13

4,645

5,197

9.5% 2/2/30

1,305

1,701

9.875% 1/15/19

6,125

7,733

10.625% 3/16/25

4,275

5,958

Polish Government 5% 10/19/15

180

170

Republic of Fiji 6.875% 9/13/11

2,635

2,477

Republic of Hungary 4.75% 2/3/15

180

169

Republic of Iraq 5.8% 1/15/28 (g)

3,780

2,306

Republic of Serbia 3.75% 11/1/24 (f)(g)

2,700

2,548

Russian Federation:

7.5% 3/31/30 (g)

3,881

4,273

7.5% 3/31/30 (Reg. S)

40,407

44,498

12.75% 6/24/28 (Reg. S)

7,145

12,629

South African Republic 6.5% 6/2/14

180

186

Turkish Republic:

Indexed Linked CPI 10% 2/15/12

TRY

2,353

1,841

6.875% 3/17/36

7,625

7,234

7% 9/26/16

14,275

14,446

7.375% 2/5/25

5,265

5,407

11% 1/14/13

11,625

13,956

11.875% 1/15/30

7,575

11,618

Ukraine Cabinet of Ministers 6.58% 11/21/16 (g)

11,430

11,370

United Kingdom, Great Britain & Northern Ireland:

4.25% 3/7/11

GBP

5,570

10,618

Foreign Government and Government Agency Obligations - continued

Principal Amount (000s)(d)

Value (000s)

United Kingdom, Great Britain & Northern Ireland: - continued

4.25% 6/7/32

GBP

850

$ 1,542

4.25% 3/7/36

GBP

18,380

33,599

4.75% 9/7/15

GBP

5,145

9,805

5% 3/7/18

GBP

450

874

5% 3/7/25

GBP

7,370

14,519

8% 6/7/21

GBP

11,790

29,775

United Mexican States:

6.75% 9/27/34

1,725

1,841

7.5% 4/8/33

7,695

8,926

8.3% 8/15/31

12,285

15,433

9% 12/20/12

MXN

18,350

1,797

Uruguay Republic:

5% 9/14/18

UYU

37,816

1,778

8% 11/18/22

6,292

7,078

Venezuelan Republic:

oil recovery rights 4/15/20 (j)

3,260

119

6% 12/9/20

3,050

2,471

6.355% 4/20/11 (h)

9,110

8,818

7.65% 4/21/25

6,305

5,722

8.5% 10/8/14

3,190

3,238

9.25% 9/15/27

8,485

8,846

9.375% 1/13/34

3,730

3,907

10.75% 9/19/13

7,788

8,684

13.625% 8/15/18

6,305

8,638

Vietnamese Socialist Republic Brady par 4% 3/12/28 (f)

1,890

1,578

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,016,291)

1,048,313

Supranational Obligations - 0.2%

European Investment Bank:
4% 10/15/37

EUR

2,600

3,064

4.75% 10/15/17

EUR

5,875

7,940

Inter-American Development Bank 6.625% 4/17/17

PEN

8,000

2,668

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $13,668)

13,672

Common Stocks - 0.4%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 0.2%

Auto Components - 0.0%

Intermet Corp. (a)(k)

113,725

$ 206

Diversified Consumer Services - 0.1%

Coinmach Service Corp. unit

330,000

6,557

Hotels, Restaurants & Leisure - 0.1%

Centerplate, Inc. unit

165,925

2,912

Media - 0.0%

Virgin Media, Inc. warrants 1/10/11 (a)

6

0

TOTAL CONSUMER DISCRETIONARY

9,675

INDUSTRIALS - 0.2%

Airlines - 0.2%

Delta Air Lines, Inc. (a)

593,040

11,683

Northwest Airlines Corp. (a)

113,943

2,530

14,213

TELECOMMUNICATION SERVICES - 0.0%

Wireless Telecommunication Services - 0.0%

DigitalGlobe, Inc. (a)(g)

895

2

UTILITIES - 0.0%

Electric Utilities - 0.0%

Portland General Electric Co.

7,275

200

TOTAL COMMON STOCKS

(Cost $20,287)

24,090

Preferred Stocks - 0.2%

Convertible Preferred Stocks - 0.0%

MATERIALS - 0.0%

Chemicals - 0.0%

Celanese Corp. 4.25%

6,600

331

Nonconvertible Preferred Stocks - 0.2%

CONSUMER DISCRETIONARY - 0.1%

Media - 0.1%

Spanish Broadcasting System, Inc. Class B, 10.75%

1,690

1,834

Preferred Stocks - continued

Shares

Value (000s)

Nonconvertible Preferred Stocks - continued

HEALTH CARE - 0.0%

Health Care Providers & Services - 0.0%

Fresenius Medical Care Capital Trust II 7.875% (a)

1,260

$ 1,288

TELECOMMUNICATION SERVICES - 0.1%

Diversified Telecommunication Services - 0.0%

PTV, Inc. Series A, 10.00%

119

1

Wireless Telecommunication Services - 0.1%

Rural Cellular Corp. 12.25% pay-in-kind

5,078

6,195

TOTAL TELECOMMUNICATION SERVICES

6,196

TOTAL NONCONVERTIBLE PREFERRED STOCKS

9,318

TOTAL PREFERRED STOCKS

(Cost $8,873)

9,649

Floating Rate Loans - 4.9%

Principal Amount (000s)(d)

CONSUMER DISCRETIONARY - 1.7%

Auto Components - 0.2%

Dana Corp. term loan 7.88% 4/13/08 (h)

$ 2,390

2,387

Delphi Corp. term loan 8.125% 12/31/07 (h)

2,220

2,220

Lear Corp. term loan:

7.832% 4/25/12 (h)

2,463

2,419

The Goodyear Tire & Rubber Co. Tranche 3, term loan 8.82% 3/1/11 (h)

3,550

3,550

10,576

Automobiles - 0.6%

AM General LLC:

Tranche B, term loan 8.38% 9/30/13 (h)

3,835

3,855

8.32% 9/30/12 (h)

132

133

Ford Motor Co. term loan 8.36% 12/15/13 (h)

25,004

25,036

General Motors Corp. term loan 7.725% 11/29/13 (h)

978

980

30,004

Diversified Consumer Services - 0.1%

Affinion Group Holdings, Inc. term loan 11.6596% 3/1/12 (h)

4,150

4,109

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - 0.0%

Green Valley Ranch Gaming LLC Tranche 1LN, term loan 7.36% 2/16/14 (h)

$ 144

$ 144

OSI Restaurant Partners, Inc.:

term loan 7.625% 6/14/14 (h)

499

500

7.61% 6/14/13 (h)

41

41

Six Flags, Inc. Tranche B, term loan 7.61% 4/30/15 (h)

730

721

1,406

Household Durables - 0.0%

Yankee Candle Co., Inc. term loan 7.36% 2/6/14 (h)

279

280

Media - 0.4%

Advanstar, Inc. Tranche 2LN, term loan 10.32% 11/30/14 (h)

380

380

Charter Communications Operating LLC Tranche B 1LN, term loan:

7.32% 3/6/14 (h)

6,242

6,180

7.36% 3/6/14 (h)

4,210

4,168

CSC Holdings, Inc. Tranche B, term loan 7.07% 3/29/13 (h)

6,316

6,308

Discovery Communications, Inc. term loan 7.36% 5/14/14 (h)

1,050

1,053

Riverdeep Interactive Learning USA, Inc. term loan:

8.11% 12/20/13 (h)

816

817

12.06% 12/21/07 (h)

848

847

19,753

Multiline Retail - 0.0%

Neiman Marcus Group, Inc. term loan 7.3577% 4/6/13 (h)

2,100

2,100

Specialty Retail - 0.3%

Claire's Stores, Inc. term loan 8.11% 5/29/14 (h)

4,450

4,339

Michaels Stores, Inc. term loan 7.625% 10/31/13 (h)

5,150

5,073

Sally Holdings LLC Tranche B, term loan 7.86% 11/16/13 (h)

744

750

Toys 'R' US, Inc. term loan 8.32% 12/9/08 (h)

6,110

6,141

16,303

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - 0.1%

Hanesbrands, Inc.:

term loan 9.105% 3/5/14 (h)

$ 1,650

$ 1,677

Tranche B 1LN, term loan 7.105% 9/5/13 (h)

4,917

4,936

6,613

TOTAL CONSUMER DISCRETIONARY

91,144

CONSUMER STAPLES - 0.1%

Beverages - 0.0%

Constellation Brands, Inc. Tranche B, term loan 6.875% 6/5/13 (h)

1,142

1,145

Food & Staples Retailing - 0.0%

Rite Aid Corp. Tranche ABL, term loan 7.07% 6/4/14 (h)

2,700

2,700

Household Products - 0.1%

Spectrum Brands, Inc.:

Tranche B1, term loan 9.3449% 3/30/13 (h)

3,169

3,169

Tranche B2, term loan 9.32% 3/30/13 (h)

564

564

9.17% 3/30/13 (h)

157

157

3,890

TOTAL CONSUMER STAPLES

7,735

ENERGY - 0.2%

Energy Equipment & Services - 0.0%

Compagnie Generale de Geophysique SA term loan 7.36% 1/12/14 (h)

573

576

Oil, Gas & Consumable Fuels - 0.2%

Coffeyville Resources LLC:

Credit-Linked Deposit 8.2494% 12/28/13 (h)

532

535

Tranche D, term loan 8.3495% 12/28/13 (h)

2,741

2,755

Helix Energy Solutions Group, Inc. term loan 7.3297% 7/1/13 (h)

1,360

1,363

Sandridge Energy, Inc. term loan 8.625% 4/1/15

4,370

4,463

Targa Resources, Inc./Targa Resources Finance Corp.:

Credit-Linked Deposit 7.235% 10/31/12 (h)

540

540

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Targa Resources, Inc./Targa Resources Finance Corp.: - continued

term loan 7.3565% 10/31/12 (h)

$ 2,211

$ 2,211

Venoco, Inc. Tranche 2LN, term loan 9.36% 5/7/14 (h)

410

410

12,277

TOTAL ENERGY

12,853

FINANCIALS - 0.4%

Diversified Financial Services - 0.1%

MGM Holdings II, Inc. Tranche B, term loan 8.61% 4/8/12 (h)

2,281

2,281

The NASDAQ Stock Market, Inc.:

Tranche B, term loan 7.07% 4/18/12 (h)

3,512

3,512

Tranche C, term loan 7.07% 4/18/12 (h)

2,036

2,036

7,829

Real Estate Investment Trusts - 0.1%

Capital Automotive (REIT) Tranche B, term loan 7.07% 12/16/10 (h)

3,554

3,567

Real Estate Management & Development - 0.2%

Realogy Corp.:

Tranche B, term loan 8.35% 10/10/13 (h)

6,721

6,653

8.32% 10/10/13 (h)

1,809

1,791

8,444

TOTAL FINANCIALS

19,840

HEALTH CARE - 0.5%

Health Care Providers & Services - 0.5%

Community Health Systems, Inc.:

term loan 7.57% 6/28/14 (h)

6,145

6,145

Tranche DD, term loan 6/28/14 (l)

405

405

DaVita, Inc. Tranche B1, term loan 6.85% 10/5/12 (h)

3,576

3,571

HCA, Inc. Tranche B, term loan 7.61% 11/17/13 (h)

14,547

14,565

Health Management Associates, Inc. Tranche B, term loan 7.11% 2/28/14 (h)

958

956

25,642

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

INDUSTRIALS - 0.3%

Aerospace & Defense - 0.1%

DeCrane Aircraft Holdings, Inc.:

Tranche 1LN, term loan 8.104% 2/21/13 (h)

$ 90

$ 90

Tranche 2LN, term loan 14.25% 2/21/14 (h)

140

141

Hawker Beechcraft Corp.:

term loan 7.35% 3/26/14 (h)

3,384

3,376

7.35% 3/26/14 (h)

287

286

Wesco Aircraft Hardware Corp.:

Tranche 1LN, term loan 7.61% 9/29/13 (h)

167

168

Tranche 2LN, term loan 11.11% 3/28/14 (h)

70

71

4,132

Commercial Services & Supplies - 0.1%

Allied Waste Industries, Inc.:

Credit-Linked Deposit 7.07% 3/28/14 (h)

212

212

term loan 7.1006% 3/28/14 (h)

390

391

Aramark Corp.:

term loan 7.36% 1/26/14 (h)

2,021

2,019

7.445% 1/26/14 (h)

158

158

Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 11.375% 2/7/15 (h)

650

652

3,432

Electrical Equipment - 0.0%

Baldor Electric Co. term loan 7.125% 1/31/14 (h)

337

337

Industrial Conglomerates - 0.0%

Walter Industries, Inc. term loan 7.097% 10/3/12 (h)

98

97

Machinery - 0.1%

Chart Industries, Inc. Tranche B, term loan 7.375% 10/17/12 (h)

53

53

Dresser, Inc.:

Tranche 2LN, term loan 11.11% 5/4/15 pay-in-kind (h)

4,050

4,101

Tranche B 1LN, term loan 7.86% 5/4/14 (h)

540

540

Navistar International Corp.:

term loan 8.6099% 1/19/12 (h)

2,310

2,322

Credit-Linked Deposit 8.5907% 1/19/12 (h)

840

844

7,860

Road & Rail - 0.0%

Laidlaw International, Inc. Tranche B, term loan 7.07% 7/31/13 (h)

695

696

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

INDUSTRIALS - continued

Trading Companies & Distributors - 0.0%

Neff Corp. Tranche 2LN, term loan 8.895% 11/30/14 (h)

$ 810

$ 812

VWR Funding, Inc. term loan 7.86% 6/27/14 (h)

1,440

1,437

2,249

TOTAL INDUSTRIALS

18,803

INFORMATION TECHNOLOGY - 0.4%

IT Services - 0.2%

Affiliated Computer Services, Inc. Tranche B2, term loan 7.32% 3/20/13 (h)

3,623

3,628

SunGard Data Systems, Inc. term loan 7.3556% 2/28/14 (h)

5,536

5,543

9,171

Semiconductors & Semiconductor Equipment - 0.1%

Advanced Micro Devices, Inc. term loan 7.36% 12/31/13 (h)

3,285

3,281

Freescale Semiconductor, Inc. term loan 7.11% 12/1/13 (h)

5,104

5,015

8,296

Software - 0.1%

Kronos, Inc. Tranche 1LN, term loan 7.61% 6/11/14 (h)

3,960

3,945

Open Solutions, Inc. term loan 7.445% 1/23/14 (h)

239

239

4,184

TOTAL INFORMATION TECHNOLOGY

21,651

MATERIALS - 0.6%

Chemicals - 0.2%

Berry Plastics Group, Inc. term loan 11.61% 6/5/14 (h)

5,330

5,090

Celanese Holding LLC:

Revolving Credit-Linked Deposit 7.07% 4/2/13 (h)

206

206

term loan 7.0994% 4/2/14 (h)

1,134

1,134

Lyondell Chemical Co. term loan 6.8563% 8/16/13 (h)

4,943

4,936

Momentive Performance Materials, Inc. Tranche B1, term loan 7.625% 12/4/13 (h)

1,035

1,032

Solutia, Inc. Tranche B, term loan 8.36% 3/31/08 (h)

180

180

12,578

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

MATERIALS - continued

Containers & Packaging - 0.1%

Berry Plastics Holding Corp. Tranche C, term loan 7.35% 4/3/15 (h)

$ 4,898

$ 4,861

Metals & Mining - 0.1%

Aleris International, Inc. term loan 7.375% 12/19/13 (h)

2,813

2,778

Paper & Forest Products - 0.2%

Georgia-Pacific Corp. Tranche B1, term loan 7.11% 12/23/12 (h)

11,702

11,702

TOTAL MATERIALS

31,919

TELECOMMUNICATION SERVICES - 0.4%

Diversified Telecommunication Services - 0.4%

Intelsat Bermuda Ltd. term loan 7.855% 1/12/14 (h)

1,880

1,880

Level 3 Communications, Inc. term loan 7.605% 3/13/14 (h)

8,440

8,429

Paetec Communications, Inc. Tranche B, term loan 8.82% 2/28/13 (h)

479

479

Wind Telecomunicazioni SpA:

term loan 12.6088% 12/12/11 pay-in-kind (h)

3,535

3,534

Tranche 2, term loan 11.59% 3/21/15 (h)

2,840

2,883

Tranche B, term loan 7.84% 9/21/13 (h)

1,420

1,424

Tranche C, term loan 8.59% 9/21/14 (h)

1,420

1,424

20,053

Wireless Telecommunication Services - 0.0%

American Cellular Corp.:

term loan 3/15/14 (l)

64

64

Tranche B, term loan 7.32% 3/15/14 (h)

595

594

Leap Wireless International, Inc. Tranche B, term loan 7.36% 6/16/13 (h)

624

624

MetroPCS Wireless, Inc. Tranche B, term loan 7.625% 11/3/13 (h)

1,449

1,451

2,733

TOTAL TELECOMMUNICATION SERVICES

22,786

UTILITIES - 0.3%

Independent Power Producers & Energy Traders - 0.3%

Boston Generating LLC:

Credit-Linked Deposit 7.485% 12/20/13 (h)

219

220

Floating Rate Loans - continued

Principal Amount (000s)(d)

Value (000s)

UTILITIES - continued

Independent Power Producers & Energy Traders - continued

Boston Generating LLC: - continued

Tranche 1LN, revolver loan 7.485% 12/20/13 (h)

$ 61

$ 61

Tranche 2LN, term loan 9.61% 6/20/14 (h)

210

213

Tranche B 1LN, term loan 7.61% 12/20/13 (h)

985

987

Calpine Corp. Tranche D, term loan 7.61% 3/29/09 (h)

7,771

7,771

NRG Energy, Inc.:

term loan:

6/8/14 (l)

1,581

1,573

7.07% 2/1/13 (h)

4,951

4,945

7.07% 2/1/13 (h)

2,055

2,053

17,823

TOTAL FLOATING RATE LOANS

(Cost $270,513)

270,196

Sovereign Loan Participations - 0.1%

Indonesian Republic loan participation:

- Barclays Bank 6.25% 3/28/13 (h)

174

172

- Citibank:

6.25% 3/28/13 (h)

610

604

6.25% 12/14/19 (h)

1,417

1,375

- Credit Suisse First Boston 6.25% 3/28/13 (h)

2,739

2,712

- Deutsche Bank:

1.407% 3/28/13 (h)

JPY

75,124

575

6.25% 3/28/13 (h)

784

776

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $5,887)

6,214

Commercial Paper - 0.1%

Asscher Finance Ltd. 4.11% 7/10/07
(Cost $4,035)

EUR

3,000

4,055

Fixed-Income Funds - 5.9%

Shares

Fidelity Floating Rate Central Fund (i)
(Cost $329,491)

3,273,798

328,834

Preferred Securities - 0.8%

Principal Amount (000s)(d)

Value (000s)

CONSUMER DISCRETIONARY - 0.4%

Media - 0.4%

Globo Comunicacoes e Participacoes SA 9.375%

$ 13,600

$ 14,172

Net Servicos de Comunicacao SA 9.25% (g)

6,710

6,893

21,065

ENERGY - 0.3%

Oil, Gas & Consumable Fuels - 0.3%

Pemex Project Funding Master Trust 7.75%

17,588

18,079

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

MUFG Capital Finance 2 Ltd. 4.85% (h)

1,300

1,688

MUFG Capital Finance 3 Ltd. 2.68% (h)

JPY 150,000

1,212

2,900

TOTAL PREFERRED SECURITIES

(Cost $41,400)

42,044

Other - 0.0%

Delta Airlines ALPA Claim (a)
(Cost $96)

8,380

503

Money Market Funds - 10.2%

Shares

Fidelity Cash Central Fund, 5.32% (b)
(Cost $567,196)

567,196,409

567,196

TOTAL INVESTMENT PORTFOLIO - 102.8%

(Cost $5,652,809)

5,703,556

NET OTHER ASSETS - (2.8)%

(156,686)

NET ASSETS - 100%

$ 5,546,870

Swap Agreements

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed equal to 5.484% with Deutsche Bank

June 2010

$ 30,000

$ (70)

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.254% with Credit Suisse First Boston

June 2009

16,000

35

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.35% with Bank of America

April 2037

3,875

152

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.51% with Morgan Stanley, Inc.

June 2009

25,000

(64)

Receive semi-annually a fixed rate equal to 4.8825% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America

April 2010

21,000

272

Receive semi-annually a fixed rate equal to 5.364% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

July 2009

15,000

(1)

Receive semi-annually a fixed rate equal to 5.418% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

July 2010

27,000

14

Receive semi-annually a fixed rate equal to 5.467% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

July 2011

5,000

4

Receive semi-annually a fixed rate equal to 5.505% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

July 2012

40,000

23

Receive semi-annually a fixed rate equal to 5.706% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank

July 2017

15,000

43

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps - continued

Receive semi-annually a fixed rate equal to 5.76% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

June 2016

$ 8,000

$ 68

Receive semi-annually a fixed rate equal to 5.79% and pay quarterly a floating rate based on 3-month LIBOR with Goldman Sachs

July 2016

39,770

425

$ 245,645

$ 901

Currency Abbreviations

ARS

-

Argentine peso

BRL

-

Brazilian real

CAD

-

Canadian dollar

EGP

-

Egyptian pound

EUR

-

European Monetary Unit

GBP

-

British pound

JPY

-

Japanese yen

MXN

-

Mexican peso

PEN

-

Peruvian new sol

RUB

-

Russian ruble

TRY

-

New Turkish Lira

UYU

-

Uruguay peso

Legend

(a) Non-income producing

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

(c) Non-income producing - Issuer is in default.

(d) Principal amount is stated in United States dollars unless otherwise noted.

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

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

(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $512,242,000 or 9.2% of net assets.

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

(i) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site, or upon request.

(j) Quantity represents share amount.

(k) 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 $206,000 or 0.0% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Intermet Corp.

11/9/05

$ 2,153

(l) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $2,050,000 and $2,042,000, respectively. The coupon rate will be determined at time of settlement.

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

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 9,929

Fidelity Floating Rate Central Fund

9,358

Total

$ 19,287

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

Fund
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value,
end of
period

% ownership, end of
period

Fidelity Floating Rate Central Fund

$ 138,003

$ 191,912

$ -

$ 328,834

13.8%

Other Information

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

United States of America

71.5%

France

3.3%

Canada

2.9%

United Kingdom

2.9%

Japan

2.3%

Brazil

2.0%

Argentina

1.6%

Venezuela

1.4%

Russia

1.3%

Finland

1.1%

Mexico

1.0%

Turkey

1.0%

Others (individually less than 1%)

7.7%

100.0%

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

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)

June 30, 2007 (Unaudited)

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $4,756,122)

$ 4,807,526

Fidelity Central Funds (cost $896,687)

896,030

Total Investments (cost $5,652,809)

$ 5,703,556

Cash

1,213

Foreign currency held at value (cost $273)

273

Receivable for investments sold

12,078

Receivable for fund shares sold

18,725

Dividends receivable

47

Interest receivable

69,596

Distributions receivable from Fidelity Central Funds

4,168

Swap agreements, at value

901

Prepaid expenses

9

Receivable from investment adviser for expense reductions

7

Other receivables

69

Total assets

5,810,642

Liabilities

Payable for investments purchased:

Regular delivery

$ 75,955

Delayed delivery

166,636

Payable for fund shares redeemed

12,602

Distributions payable

3,140

Accrued management fee

2,592

Distribution fees payable

1,638

Other affiliated payables

840

Other payables and accrued expenses

369

Total liabilities

263,772

Net Assets

$ 5,546,870

Net Assets consist of:

Paid in capital

$ 5,465,721

Undistributed net investment income

13,390

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

15,841

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

51,918

Net Assets

$ 5,546,870

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

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

Amounts in thousands (except per-share amounts)

June 30, 2007 (Unaudited)

Calculation of Maximum Offering Price
Class A:
Net Asset Value and redemption price per share
($1,231,331 ÷ 105,772 shares)

$ 11.64

Maximum offering price per share (100/96.00 of $11.64)

$ 12.13

Class T:
Net Asset Value and redemption price per share ($2,358,403 ÷ 202,659 shares)

$ 11.64

Maximum offering price per share (100/96.00 of $11.64)

$ 12.13

Class B:
Net Asset Value and offering price per share ($333,396 ÷ 28,579 shares)A

$ 11.67

Class C:
Net Asset Value and offering price per share ($781,051 ÷ 67,202 shares)A

$ 11.62

Institutional Class:
Net Asset Value, offering price and redemption price per share ($842,689 ÷ 71,779 shares)

$ 11.74

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

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

Semiannual Report

Statement of Operations

Amounts in thousands

Six months ended June 30, 2007 (Unaudited)

Investment Income

Dividends

$ 4,477

Interest

135,422

Income from Fidelity Central Funds

19,287

Total income

159,186

Expenses

Management fee

$ 14,635

Transfer agent fees

4,172

Distribution fees

9,113

Accounting fees and expenses

687

Custodian fees and expenses

152

Independent trustees' compensation

8

Registration fees

158

Audit

59

Legal

18

Miscellaneous

21

Total expenses before reductions

29,023

Expense reductions

(77)

28,946

Net investment income

130,240

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

21,733

Foreign currency transactions

270

Swap agreements

(96)

Total net realized gain (loss)

21,907

Change in net unrealized appreciation (depreciation) on:

Investment securities

(78,050)

Assets and liabilities in foreign currencies

104

Swap agreements

901

Total change in net unrealized appreciation (depreciation)

(77,045)

Net gain (loss)

(55,138)

Net increase (decrease) in net assets resulting from operations

$ 75,102

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

Amounts in thousands

Six months ended June 30, 2007
(Unaudited)

Year ended
December 31, 2006

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 130,240

$ 200,671

Net realized gain (loss)

21,907

25,569

Change in net unrealized appreciation (depreciation)

(77,045)

65,522

Net increase (decrease) in net assets resulting
from operations

75,102

291,762

Distributions to shareholders from net investment income

(125,000)

(195,256)

Distributions to shareholders from net realized gain

(8,244)

(17,694)

Total distributions

(133,244)

(212,950)

Share transactions - net increase (decrease)

922,103

1,127,698

Total increase (decrease) in net assets

863,961

1,206,510

Net Assets

Beginning of period

4,682,909

3,476,399

End of period (including undistributed net investment income of $13,390 and undistributed net investment income of $8,150, respectively)

$ 5,546,870

$ 4,682,909

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

Semiannual Report

Financial Highlights - Class A

Six months ended June 30, 2007

Years ended December 31,

(Unaudited)

2006

2005

2004

2003

2002

Selected Per-Share Data

Net asset value, beginning of period

$ 11.76

$ 11.54

$ 11.93

$ 11.63

$ 10.34

$ 10.11

Income from Investment Operations

Net investment income E

.304

.600

.571

.600

.617

.668

Net realized and unrealized gain (loss)

(.111)

.248

(.255)

.445

1.321

.214

Total from investment operations

.193

.848

.316

1.045

1.938

.882

Distributions from net investment income

(.293)

(.583)

(.551)

(.575)

(.648)

(.652)

Distributions from net realized gain

(.020)

(.045)

(.155)

(.170)

-

-

Total distributions

(.313)

(.628)

(.706)

(.745)

(.648)

(.652)

Net asset value, end of period

$ 11.64

$ 11.76

$ 11.54

$ 11.93

$ 11.63

$ 10.34

Total Return B, C, D

1.64%

7.54%

2.75%

9.31%

19.20%

9.09%

Ratios to Average Net Assets F, H

Expenses before reductions

1.01% A

.97%

.99%

1.00%

1.01%

1.04%

Expenses net of fee waivers, if any

1.01% A

.97%

.99%

1.00%

1.01%

1.04%

Expenses net of all reductions

1.00% A

.97%

.99%

1.00%

1.00%

1.04%

Net investment income

5.22% A

5.18%

4.92%

5.20%

5.58%

6.65%

Supplemental Data

Net assets, end of period (in millions)

$ 1,231

$ 954

$ 647

$ 372

$ 187

$ 57

Portfolio turnover rate G

80% A

81%

109%

94%

153%

111%

A Annualized

B Total returns for periods of less than one year are not annualized.

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

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

E Calculated based on average shares outstanding during the period.

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

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

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

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

Semiannual Report

Financial Highlights - Class T

Six months ended June 30, 2007

Years ended December 31,

(Unaudited)

2006

2005

2004

2003

2002

Selected Per-Share Data

Net asset value, beginning of period

$ 11.76

$ 11.54

$ 11.92

$ 11.62

$ 10.33

$ 10.11

Income from Investment Operations

Net investment income E

.304

.594

.564

.593

.604

.660

Net realized and unrealized gain (loss)

(.111)

.248

(.245)

.443

1.322

.203

Total from investment operations

.193

.842

.319

1.036

1.926

.863

Distributions from net investment income

(.293)

(.577)

(.544)

(.566)

(.636)

(.643)

Distributions from net realized gain

(.020)

(.045)

(.155)

(.170)

-

-

Total distributions

(.313)

(.622)

(.699)

(.736)

(.636)

(.643)

Net asset value, end of period

$ 11.64

$ 11.76

$ 11.54

$ 11.92

$ 11.62

$ 10.33

Total Return B, C, D

1.64%

7.49%

2.77%

9.23%

19.09%

8.89%

Ratios to Average Net Assets F,H

Expenses before reductions

1.00% A

1.02%

1.05%

1.07%

1.11%

1.13%

Expenses net of fee waivers, if any

1.00% A

1.02%

1.05%

1.07%

1.11%

1.13%

Expenses net of all reductions

1.00% A

1.02%

1.05%

1.07%

1.11%

1.13%

Net investment income

5.22% A

5.13%

4.86%

5.13%

5.47%

6.57%

Supplemental Data

Net assets, end of period (in millions)

$ 2,358

$ 2,049

$ 1,427

$ 808

$ 515

$ 279

Portfolio turnover rate G

80% A

81%

109%

94%

153%

111%

A Annualized

B Total returns for periods of less than one year are not annualized.

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

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

E Calculated based on average shares outstanding during the period.

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

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

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

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

Semiannual Report

Financial Highlights - Class B

Six months ended June 30, 2007

Years ended December 31,

(Unaudited)

2006

2005

2004

2003

2002

Selected Per-Share Data

Net asset value, beginning of period

$ 11.79

$ 11.57

$ 11.95

$ 11.65

$ 10.35

$ 10.12

Income from Investment Operations

Net investment income E

.261

.511

.486

.513

.533

.595

Net realized and unrealized gain (loss)

(.112)

.247

(.249)

.441

1.330

.212

Total from investment operations

.149

.758

.237

.954

1.863

.807

Distributions from net investment income

(.249)

(.493)

(.462)

(.484)

(.563)

(.577)

Distributions from net realized gain

(.020)

(.045)

(.155)

(.170)

-

-

Total distributions

(.269)

(.538)

(.617)

(.654)

(.563)

(.577)

Net asset value, end of period

$ 11.67

$ 11.79

$ 11.57

$ 11.95

$ 11.65

$ 10.35

Total Return B, C, D

1.27%

6.70%

2.06%

8.45%

18.38%

8.28%

Ratios to Average Net Assets F, H

Expenses before reductions

1.76% A

1.76%

1.78%

1.78%

1.77%

1.78%

Expenses net of fee waivers, if any

1.75% A

1.75%

1.75%

1.78%

1.77%

1.78%

Expenses net of all reductions

1.75% A

1.75%

1.75%

1.78%

1.77%

1.78%

Net investment income

4.47% A

4.40%

4.16%

4.42%

4.81%

5.91%

Supplemental Data

Net assets, end of period (in millions)

$ 333

$ 342

$ 342

$ 319

$ 287

$ 147

Portfolio turnover rate G

80% A

81%

109%

94%

153%

111%

A Annualized

B Total returns for periods of less than one year are not annualized.

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

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

E Calculated based on average shares outstanding during the period.

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

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

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

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

Semiannual Report

Financial Highlights - Class C

Six months ended June 30, 2007

Years ended December 31,

(Unaudited)

2006

2005

2004

2003

2002

Selected Per-Share Data

Net asset value, beginning of period

$ 11.74

$ 11.53

$ 11.91

$ 11.61

$ 10.32

$ 10.10

Income from Investment Operations

Net investment income E

.257

.503

.475

.505

.525

.585

Net realized and unrealized gain (loss)

(.111)

.238

(.246)

.444

1.320

.204

Total from investment operations

.146

.741

.229

.949

1.845

.789

Distributions from net investment income

(.246)

(.486)

(.454)

(.479)

(.555)

(.569)

Distributions from net realized gain

(.020)

(.045)

(.155)

(.170)

-

-

Total distributions

(.266)

(.531)

(.609)

(.649)

(.555)

(.569)

Net asset value, end of period

$ 11.62

$ 11.74

$ 11.53

$ 11.91

$ 11.61

$ 10.32

Total Return B, C, D

1.25%

6.57%

1.99%

8.43%

18.24%

8.10%

Ratios to Average Net Assets F, H

Expenses before reductions

1.80% A

1.81%

1.82%

1.82%

1.84%

1.87%

Expenses net of fee waivers, if any

1.80% A

1.81%

1.82%

1.82%

1.84%

1.87%

Expenses net of all reductions

1.80% A

1.81%

1.82%

1.82%

1.84%

1.87%

Net investment income

4.42% A

4.34%

4.09%

4.37%

4.74%

5.83%

Supplemental Data

Net assets, end of period (in millions)

$ 781

$ 683

$ 540

$ 405

$ 277

$ 68

Portfolio turnover rate G

80% A

81%

109%

94%

153%

111%

A Annualized

B Total returns for periods of less than one year are not annualized.

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

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

E Calculated based on average shares outstanding during the period.

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

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

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

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

Semiannual Report

Financial Highlights - Institutional Class

Six months ended June 30,2007

Years ended December 31,

(Unaudited)

2006

2005

2004

2003

2002

Selected Per-Share Data

Net asset value, beginning of period

$ 11.86

$ 11.63

$ 12.02

$ 11.71

$ 10.40

$ 10.17

Income from Investment Operations

Net investment income D

.320

.627

.599

.627

.635

.685

Net realized and unrealized gain (loss)

(.114)

.252

(.262)

.449

1.338

.210

Total from investment operations

.206

.879

.337

1.076

1.973

.895

Distributions from net investment income

(.306)

(.604)

(.572)

(.596)

(.663)

(.665)

Distributions from net realized gain

(.020)

(.045)

(.155)

(.170)

-

-

Total distributions

(.326)

(.649)

(.727)

(.766)

(.663)

(.665)

Net asset value, end of period

$ 11.74

$ 11.86

$ 11.63

$ 12.02

$ 11.71

$ 10.40

Total Return B, C

1.74%

7.76%

2.91%

9.53%

19.44%

9.17%

Ratios to Average Net Assets E, G

Expenses before reductions

.78% A

.79%

.81%

.81%

.87%

.92%

Expenses net of fee waivers, if any

.78% A

.79%

.81%

.81%

.87%

.92%

Expenses net of all reductions

.77% A

.79%

.80%

.81%

.87%

.92%

Net investment income

5.45% A

5.36%

5.10%

5.38%

5.71%

6.78%

Supplemental Data

Net assets, end of period (in millions)

$ 843

$ 655

$ 520

$ 424

$ 291

$ 120

Portfolio turnover rate F

80% A

81%

109%

94%

153%

111%

A Annualized

B Total returns for periods of less than one year are not annualized.

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

D Calculated based on average shares outstanding during the period.

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

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

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

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

Semiannual Report

Notes to Financial Statements

For the period ended June 30, 2007 (Unaudited)

(Amounts in thousands except ratios)

1. Organization.

Fidelity Advisor Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

The Fund offers Class A, Class T, Class B, Class C, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity Floating Rate Central Fund

Fidelity Management & Research Company, Inc. (FMRC)

Seeks a high level of income by normally investing in floating rate loans and other floating rate securities.

Loans & Direct Debt Instruments,

Repurchase Agreements,

Restricted Securities

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

2. Investments in Fidelity Central Funds - continued

A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at advisor.fidelity.com. A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price.

When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

Semiannual Report

3. Significant Accounting Policies - continued

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

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

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

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. The Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund adopted the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes, on June 29, 2007. FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the three year period ended June 29, 2007, remains subject to examination by the Internal Revenue Service. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to foreign currency transactions, prior period premium and discount on debt securities, defaulted bonds, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions, losses deferred due to wash sales and excise tax regulations.

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

Unrealized appreciation

$ 119,456

Unrealized depreciation

(61,879)

Net unrealized appreciation (depreciation)

$ 57,577

Cost for federal income tax purposes

$ 5,645,979

New Accounting Pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.

Semiannual Report

4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

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

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

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $1,388,032 and $876,272, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .57% of the Fund's average net assets.

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

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

Distribution and Service Plan - continued

the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:

Distribution
Fee

Service
Fee

Paid to
FDC

Retained
by FDC

Class A

0%

.25%

$ 1,074

$ 93

Class T

0%

.25%

2,841

166

Class B

.65%

.25%

1,524

1,114

Class C

.75%

.25%

3,674

1,058

$ 9,113

$ 2,431

On January 18, 2007, the Board of Trustees approved an increase in Class A's Service Fee from.15% to.25%, effective April 1, 2007.

Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A and Class T shares (4.75% for Class A and 3.50% for Class T shares prior to April 1, 2007), some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, 1.00% to.50% for certain purchases of Class A shares and.25% for certain purchases of Class T shares.

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

Retained
by FDC

Class A

$ 322

Class T

91

Class B*

376

Class C*

56

$ 845

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

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

6. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

reports, except proxy statements. For the period, the total transfer agent fees paid by each class to FIIOC, were as follows:

Amount

% of Average
Net Assets*

Class A

$ 981

.19

Class T

1,545

.14

Class B

397

.24

Class C

646

.18

Institutional Class

603

.16

$ 4,172

* Annualized

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The fee is based on the level of average net assets for the month.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $6 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Expense Reductions.

FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

Expense
Limitations

Reimbursement
from adviser

Class B

1.75%

$ 15

Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses.

Semiannual Report

8. Expense Reductions - continued

During the period, these credits reduced the Fund's custody expenses by $33. During the period, credits reduced each class' transfer agent expense as noted in the table below.

Transfer Agent
expense reduction

Class A

$ 9

Class T

2

Class C

1

Institutional Class

3

$ 15

9. Credit Risk.

The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.

10. Other.

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

In September 2006, FIIOC, the Fund's transfer agent notified the Fund that the Fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund which did not result in a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.

The United States Securities and Exchange Commission ("SEC") is conducting an investigation of FMR (covering the years 2002 to 2004) arising from gifts, gratuities and business entertainment provided by certain brokers to certain individuals who were employed on FMR's domestic equity trading desk during that period. FMR is in discussions with the SEC

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

10. Other - continued

staff regarding the possible resolution of the matter, but as of period-end no final resolution has been reached.

In December 2006, the Independent Trustees completed their own investigation of the matter with the assistance of independent counsel. The Independent Trustees and FMR agree that, despite the absence of proof that the Fidelity mutual funds experienced diminished execution quality as a result of the improper receipt of gifts and business entertainment, the conduct at issue was serious and is worthy of redress. Accordingly, the Independent Trustees have requested and FMR has agreed to pay $42 million to Fidelity mutual funds, plus interest to be determined at the time that payment is made. A method of allocating this payment among the funds has not yet been determined. The total payment to the Fund is not anticipated to have a material impact on the Fund's net assets. In addition, FMR reimbursed related legal expenses which are recorded in the accompanying Statement of Operations as an expense reduction.

11. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
June 30,
2007

Year ended
December 31,
2006

From net investment income

Class A

$ 26,352

$ 39,561

Class T

56,593

85,776

Class B

7,159

14,254

Class C

15,389

25,171

Institutional Class

19,507

30,494

Total

$ 125,000

$ 195,256

From net realized gain

Class A

$ 1,682

$ 3,611

Class T

3,631

7,750

Class B

578

1,297

Class C

1,193

2,586

Institutional Class

1,160

2,450

Total

$ 8,244

$ 17,694

Semiannual Report

12. Share Transactions.

Transactions for each class of shares were as follows:

Shares

Dollars

Six months ended June 30,
2007

Year ended
December 31, 2006

Six months ended June 30,
2007

Year ended
December 31, 2006

Class A

Shares sold

33,858

40,212

$ 397,677

$ 466,984

Reinvestment of distributions

1,979

3,038

23,267

35,402

Shares redeemed

(11,187)

(18,183)

(131,637)

(210,949)

Net increase (decrease)

24,650

25,067

$ 289,307

$ 291,437

Class T

Shares sold

48,739

77,408

$ 574,030

$ 898,907

Reinvestment of distributions

4,871

7,566

57,269

88,116

Shares redeemed

(25,208)

(34,402)

(296,044)

(398,985)

Net increase (decrease)

28,402

50,572

$ 335,255

$ 588,038

Class B

Shares sold

3,184

6,165

$ 37,558

$ 71,729

Reinvestment of distributions

486

980

5,726

11,432

Shares redeemed

(4,119)

(7,683)

(48,572)

(89,296)

Net increase (decrease)

(449)

(538)

$ (5,288)

$ (6,135)

Class C

Shares sold

13,807

20,716

$ 162,292

$ 240,191

Reinvestment of distributions

1,018

1,708

11,951

19,867

Shares redeemed

(5,753)

(11,121)

(67,592)

(128,793)

Net increase (decrease)

9,072

11,303

$ 106,651

$ 131,265

Institutional Class

Shares sold

20,879

32,933

$ 247,758

$ 385,367

Reinvestment of distributions

1,312

2,240

15,564

26,269

Shares redeemed

(5,656)

(24,654)

(67,144)

(288,543)

Net increase (decrease)

16,535

10,519

$ 196,178

$ 123,093

Semiannual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Advisor Strategic Income Fund

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

The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. At the time of the renewal, the Board had 12 standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such committee, the Fixed-Income Contract Committee, meets periodically as needed throughout the year to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the Independent Trustees concerning, the approval and annual review of the Advisory Contracts.

At its June 2007 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the management fee and total expenses of the fund; (iii) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders. The Board also approved amendments to the fund's agreements with foreign sub-advisers to clarify that each sub-adviser provides services as an independent contractor.

In determining whether to renew the Advisory Contracts for the fund, the Board ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

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

Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services. The Board also considered that Fidelity voluntarily pays for market data out of its own resources. The Board also considered the agreement reached between the Independent Trustees and Fidelity in December 2006 following an independent review of matters relating to receipt of travel, entertainment, gifts and gratuities in violation of Fidelity policies.

Semiannual Report

The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.

Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying a sales charge. The Board noted that, since the last Advisory Contract renewals in June 2006, Fidelity has taken a number of actions that benefited particular funds, including (i) dedicating additional resources to investment research and to restructure the investment research teams; (ii) contractually agreeing to reduce the management fee on Fidelity Advisor Floating Rate High Income Fund; (iii) contractually agreeing to reduce the management fees on Fidelity's California, Massachusetts, New Jersey, and New York AMT Tax-Free Money Market Funds, launching new Institutional Classes and Service Classes of these funds, and contractually agreeing to impose expense limitations on these funds; (iv) eliminating the exchange fee on the Fidelity Select Portfolios and reducing the pricing and bookkeeping fee rates for these funds; (v) reducing the maximum transfer agency fee rates on high income funds and certain equity funds; (vi) proposing amended management contracts that, if approved by shareholders, will add a performance adjustment component to the management fees paid by 18 Fidelity Advisor equity funds; (vii) contractually agreeing to reduce fees for Ultra-Short Central Fund and the money market Central Funds; (viii) waiving the Fidelity Advisor funds' contingent deferred sales charge on certain redemptions made through systematic withdrawal programs; and (ix) amending the management contracts for equity and fixed-income funds whose management contracts incorporate a "group fee" structure by adding four new fee "breakpoints" to the group fee rate schedules.

Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2006, the cumulative total returns of Institutional Class (Class I) and Class C of the fund, the cumulative total returns of a proprietary custom index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Morningstar, Inc. as having an investment style similar to that of the fund based on underlying portfolio holdings. The returns of Institutional Class (Class I) and Class C show the performance of the highest and lowest performing classes, respectively (based on three-year performance). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the class indicated. The fund's proprietary custom index is an index developed by FMR that represents the performance of the fund's four general investment categories according to their respective weightings in the fund's neutral mix.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Fidelity Advisor Strategic Income Fund

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

Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided to the fund will benefit the fund's shareholders, particularly in light of the Board's view that the fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.

Semiannual Report

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

The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 28% means that 72% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Fidelity Advisor Strategic Income Fund

The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2006. Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.

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

The Board noted that the total expenses of each of Class A, Class T, and Class B ranked below its competitive median for 2006, the total expenses of Institutional Class ranked equal to its competitive median for 2006, and the total expenses of Class C ranked above its competitive median for 2006. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expenses of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.

Semiannual Report

In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.

Based on its review, the Board concluded that the total expenses of each class of the fund were reasonable, although in one case above the median of the universe presented for comparison, in light of the services that the fund and its shareholders receive and the other factors considered.

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

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

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

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

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.

Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total fund assets under FMR's management increase, and for higher group fee rates as total fund assets under FMR's management decrease. FMR determines the group fee rates based on a tiered asset "breakpoint" schedule. In connection with the renewal of the fund's management contract, the Board approved amendments to the fund's management contract that added four new fee breakpoints to the group fee rate schedule for assets under FMR's management above $1,386 billion. The Board considered that the group fee rate declines under both the present and amended schedules, but that under the amended schedule, the group fee rate declines faster as assets under FMR's management exceed $1,386 billion. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

The Board further concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on several topics, including (i) Fidelity's fund profitability methodology, profitability by investment discipline, and profitability trends within certain funds; (ii) Fidelity's compensation structure relative to competitors and its effect on profitability; (iii) funds and accounts managed by Fidelity other than the Fidelity funds, including fee arrangements; (iv) the total expenses of certain funds and classes relative to competitors; (v) fund performance trends; (vi) fall-out benefits received by certain Fidelity affiliates; and (vii) Fidelity's fee structures.

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

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Semiannual Report

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Semiannual Report

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Research & Analysis Company

Fidelity Investments Japan Limited

Fidelity International Investment Advisors

Fidelity International Investment Advisors (U.K.) Limited

Fidelity Investments Money Management, Inc.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

The Bank of New York

New York, NY

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

SII-USAN-0807
1.787776.104

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II's Board of Trustees.

Item 11. 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 12. Exhibits

(a)

(1)

Not applicable.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Advisor Series II

By:

/s/Kimberley Monasterio

Kimberley Monasterio

President and Treasurer

Date:

August 23, 2007

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/Kimberley Monasterio

Kimberley Monasterio

President and Treasurer

Date:

August 23, 2007

By:

/s/Joseph B. Hollis

Joseph B. Hollis

Chief Financial Officer

Date:

August 23, 2007