N-Q 1 main.htm

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-4707

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

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

Scott C. Goebel, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:

August 31

 

 

Date of reporting period:

November 30, 2008

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity Advisor Intermediate Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

November 30, 2008
 

1.813046.104

LTB-QTLY-0109

Investments November 30, 2008 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 11.0%

 

Principal Amount

Value

CONSUMER DISCRETIONARY - 0.4%

Household Durables - 0.0%

Newell Rubbermaid, Inc. 6.25% 4/15/18

$ 385,000

$ 290,368

Media - 0.4%

Time Warner Cable, Inc.:

5.85% 5/1/17

1,328,000

1,114,906

6.75% 7/1/18

1,250,000

1,096,295

Viacom, Inc. 6.125% 10/5/17

905,000

735,941

 

2,947,142

TOTAL CONSUMER DISCRETIONARY

3,237,510

CONSUMER STAPLES - 1.2%

Beverages - 0.3%

Diageo Capital PLC 5.75% 10/23/17

1,678,000

1,516,444

PepsiCo, Inc. 7.9% 11/1/18

840,000

937,305

 

2,453,749

Food & Staples Retailing - 0.2%

CVS Caremark Corp. 6.302% 6/1/37 (h)

2,510,000

1,305,200

Food Products - 0.2%

General Mills, Inc. 5.2% 3/17/15

867,000

788,802

Kraft Foods, Inc. 6.125% 2/1/18

1,012,000

932,810

 

1,721,612

Tobacco - 0.5%

Altria Group, Inc. 9.7% 11/10/18

1,160,000

1,173,824

Philip Morris International, Inc.:

4.875% 5/16/13

851,000

814,044

5.65% 5/16/18

807,000

724,301

Reynolds American, Inc. 7.25% 6/15/37

1,575,000

1,015,006

 

3,727,175

TOTAL CONSUMER STAPLES

9,207,736

ENERGY - 1.0%

Energy Equipment & Services - 0.1%

Weatherford International Ltd. 5.15% 3/15/13

1,345,000

1,188,044

Oil, Gas & Consumable Fuels - 0.9%

Anadarko Petroleum Corp. 6.45% 9/15/36

540,000

417,922

Gazstream SA 5.625% 7/22/13 (b)

1,685,785

1,400,044

Nexen, Inc. 6.4% 5/15/37

1,015,000

733,576

NGPL PipeCo LLC 6.514% 12/15/12 (b)

800,000

745,321

Nonconvertible Bonds - continued

 

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petro-Canada:

6.05% 5/15/18

$ 435,000

$ 342,165

6.8% 5/15/38

285,000

202,682

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

975,000

822,684

TEPPCO Partners LP 6.65% 4/15/18

588,000

480,411

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

1,138,000

968,051

Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16

525,000

475,760

Valero Energy Corp. 6.625% 6/15/37

745,000

558,335

 

7,146,951

TOTAL ENERGY

8,334,995

FINANCIALS - 5.4%

Capital Markets - 0.9%

BlackRock, Inc. 6.25% 9/15/17

1,720,000

1,531,036

Goldman Sachs Group, Inc. 6.75% 10/1/37

1,280,000

820,584

Lehman Brothers Holdings, Inc. 6.875% 5/2/18 (a)

760,000

76,000

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

812,000

749,779

6.15% 4/25/13

360,000

340,360

6.875% 4/25/18

62,000

58,382

Morgan Stanley:

4.57% 1/9/12 (h)

900,000

713,179

5.45% 1/9/17

200,000

157,906

5.95% 12/28/17

400,000

321,853

6.625% 4/1/18

1,200,000

995,239

Northern Trust Corp. 5.5% 8/15/13

215,000

211,581

UBS AG Stamford Branch 5.75% 4/25/18

1,420,000

1,204,789

 

7,180,688

Commercial Banks - 1.3%

American Express Bank FSB 5.5% 4/16/13

1,861,000

1,649,518

Credit Suisse First Boston 6% 2/15/18

1,505,000

1,272,614

Credit Suisse First Boston New York Branch 5% 5/15/13

712,000

671,341

HBOS PLC 6.75% 5/21/18 (b)

1,040,000

864,281

National City Bank, Cleveland 4.15% 8/1/09

1,523,000

1,459,709

Standard Chartered Bank 6.4% 9/26/17 (b)

2,781,000

2,265,747

Wells Fargo & Co. 5.625% 12/11/17

2,063,000

1,957,028

 

10,140,238

Consumer Finance - 1.4%

American General Finance Corp. 6.9% 12/15/17

960,000

396,570

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Consumer Finance - continued

General Electric Capital Corp.:

4.8% 5/1/13

$ 5,300,000

$ 5,050,259

5.625% 9/15/17

1,130,000

1,046,012

6.375% 11/15/67 (h)

1,700,000

1,087,509

SLM Corp.:

3.675% 7/27/09 (h)

531,000

490,557

3.695% 7/26/10 (h)

2,025,000

1,584,415

4% 1/15/09

465,000

455,026

4.5% 7/26/10

1,025,000

863,883

 

10,974,231

Diversified Financial Services - 0.6%

Citigroup, Inc.:

5.3% 10/17/12

590,000

538,518

5.5% 4/11/13

260,000

236,620

6.125% 5/15/18

260,000

237,636

GlaxoSmithKline Capital, Inc. 5.65% 5/15/18

670,000

645,769

International Lease Finance Corp. 5.65% 6/1/14

2,025,000

1,215,000

TECO Finance, Inc. 7% 5/1/12

1,500,000

1,396,722

ZFS Finance USA Trust V 6.5% 5/9/67 (b)(h)

805,000

426,650

 

4,696,915

Insurance - 0.4%

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

840,000

755,700

Pennsylvania Mutual Life Insurance Co. 6.65% 6/15/34 (b)

3,000,000

2,561,691

The Chubb Corp. 5.75% 5/15/18

415,000

361,764

 

3,679,155

Real Estate Investment Trusts - 0.4%

Duke Realty LP:

5.4% 8/15/14

530,000

328,600

5.875% 8/15/12

90,000

60,300

5.95% 2/15/17

110,000

56,100

6.25% 5/15/13

1,550,000

945,500

6.5% 1/15/18

855,000

427,500

Liberty Property LP 6.625% 10/1/17

735,000

441,000

UDR, Inc. 5.5% 4/1/14

1,470,000

984,900

 

3,243,900

Real Estate Management & Development - 0.1%

ERP Operating LP:

5.375% 8/1/16

270,000

173,958

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Real Estate Management & Development - continued

ERP Operating LP: - continued

5.5% 10/1/12

$ 395,000

$ 325,716

5.75% 6/15/17

790,000

502,202

 

1,001,876

Thrifts & Mortgage Finance - 0.3%

Bank of America Corp.:

4.9% 5/1/13

892,000

852,765

5.65% 5/1/18

1,500,000

1,390,373

 

2,243,138

TOTAL FINANCIALS

43,160,141

HEALTH CARE - 0.2%

Pharmaceuticals - 0.2%

AstraZeneca PLC:

5.9% 9/15/17

930,000

922,748

6.45% 9/15/37

695,000

664,103

 

1,586,851

INDUSTRIALS - 1.0%

Aerospace & Defense - 0.1%

Bombardier, Inc. 6.3% 5/1/14 (b)

1,575,000

1,189,125

Airlines - 0.5%

American Airlines, Inc. pass-thru trust certificates 7.324% 4/15/11

500,000

420,000

Delta Air Lines, Inc. pass-thru trust certificates 7.57% 11/18/10

2,520,000

2,041,200

United Air Lines, Inc. pass-thru trust certificates:

7.032% 4/1/12

403,228

370,970

7.186% 10/1/12

1,003,634

923,344

 

3,755,514

Industrial Conglomerates - 0.4%

General Electric Co. 5.25% 12/6/17

3,100,000

2,840,685

Road & Rail - 0.0%

CSX Corp. 6.25% 4/1/15

310,000

289,120

TOTAL INDUSTRIALS

8,074,444

Nonconvertible Bonds - continued

 

Principal Amount

Value

MATERIALS - 0.1%

Metals & Mining - 0.1%

Rio Tinto Finance Ltd. 6.5% 7/15/18

$ 780,000

$ 536,057

TELECOMMUNICATION SERVICES - 0.1%

Diversified Telecommunication Services - 0.1%

Verizon Communications, Inc. 6.1% 4/15/18

700,000

610,733

Wireless Telecommunication Services - 0.0%

Sprint Nextel Corp. 6% 12/1/16

230,000

127,650

TOTAL TELECOMMUNICATION SERVICES

738,383

UTILITIES - 1.6%

Electric Utilities - 1.0%

Commonwealth Edison Co.:

5.4% 12/15/11

927,000

883,379

5.8% 3/15/18

1,300,000

1,133,116

Duke Energy Carolinas LLC 5.25% 1/15/18

710,000

672,305

EDP Finance BV 6% 2/2/18 (b)

1,295,000

1,101,549

Enel Finance International SA 6.25% 9/15/17 (b)

679,000

592,750

Nevada Power Co. 6.5% 5/15/18

3,950,000

3,436,500

 

7,819,599

Independent Power Producers & Energy Traders - 0.4%

PPL Energy Supply LLC:

6.3% 7/15/13

2,000,000

1,823,800

6.5% 5/1/18

865,000

662,696

TXU Corp. 5.55% 11/15/14

1,645,000

855,400

 

3,341,896

Multi-Utilities - 0.2%

CMS Energy Corp. 6.55% 7/17/17

1,740,000

1,354,035

TOTAL UTILITIES

12,515,530

TOTAL NONCONVERTIBLE BONDS

(Cost $104,963,084)

87,391,647

U.S. Government and Government Agency Obligations - 12.8%

 

Principal Amount

Value

U.S. Government Agency Obligations - 4.4%

Fannie Mae:

4.375% 7/17/13

$ 4,850,000

$ 5,099,693

5% 2/16/12

28,035,000

29,760,905

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

34,860,598

U.S. Treasury Inflation Protected Obligations - 8.4%

U.S. Treasury Inflation-Indexed Notes:

2% 1/15/14 (e)

33,391,902

30,047,670

2% 7/15/14

30,178,980

26,925,343

2.625% 7/15/17

10,556,600

10,026,937

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

66,999,950

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $108,478,208)

101,860,548

U.S. Government Agency - Mortgage Securities - 17.9%

 

Fannie Mae - 8.9%

3.781% 6/1/34 (h)

600,554

584,117

3.915% 7/1/35 (h)

438,525

427,767

3.933% 1/1/34 (h)

100,101

100,232

4% 8/1/18

2,391,316

2,363,759

4.173% 1/1/35 (h)

249,871

246,815

4.185% 8/1/33 (h)

150,858

147,879

4.205% 1/1/35 (h)

119,672

117,318

4.233% 1/1/34 (h)

272,944

271,099

4.25% 2/1/35 (h)

124,880

123,733

4.296% 5/1/33 (h)

27,677

27,792

4.303% 3/1/33 (h)

57,689

57,178

4.326% 7/1/35 (h)

384,041

386,223

4.331% 1/1/35 (h)

149,213

147,812

4.387% 2/1/35 (h)

223,808

222,000

4.388% 12/1/33 (h)

5,031,032

4,946,730

4.407% 4/1/33 (h)

241,890

235,685

4.422% 2/1/34 (h)

206,213

204,844

4.425% 5/1/35 (h)

69,013

69,614

4.432% 3/1/35 (h)

197,496

195,676

4.435% 6/1/35 (h)

503,496

509,171

4.436% 2/1/35 (h)

418,296

416,577

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Fannie Mae - continued

4.449% 8/1/34 (h)

$ 317,544

$ 314,812

4.477% 3/1/35 (h)

431,565

424,136

4.5% 4/1/20 to 3/1/35

1,906,735

1,897,040

4.506% 3/1/35 (h)

400,069

397,173

4.537% 7/1/35 (h)

49,458

49,443

4.544% 5/1/35 (h)

296,187

291,467

4.545% 11/1/34 (h)

353,273

348,143

4.548% 10/1/33 (h)

94,694

93,889

4.551% 3/1/35 (h)

661,919

659,397

4.556% 2/1/35 (h)

1,554,914

1,540,965

4.56% 2/1/35 (h)

1,322,097

1,312,401

4.568% 2/1/35 (h)

29,442

29,418

4.584% 2/1/35 (h)

330,457

327,743

4.588% 6/1/33 (h)

36,768

37,208

4.6% 10/1/33 (h)

120,096

119,115

4.612% 2/1/33 (h)

102,787

102,569

4.634% 4/1/33 (h)

14,752

14,803

4.646% 2/1/35 (h)

3,169,187

3,127,859

4.653% 11/1/34 (h)

403,626

400,208

4.658% 10/1/35 (h)

278,933

279,707

4.664% 10/1/33 (h)

43,203

43,148

4.687% 12/1/34 (h)

271,252

267,916

4.689% 10/1/34 (h)

435,764

429,573

4.706% 7/1/34 (h)

338,299

334,017

4.753% 12/1/34 (h)

110,900

109,544

4.759% 8/1/34 (h)

80,847

78,942

4.766% 4/1/35 (h)

47,377

47,963

4.804% 8/1/33 (h)

126,286

125,121

4.806% 11/1/34 (h)

340,561

336,935

4.855% 10/1/34 (h)

1,454,015

1,436,814

4.88% 4/1/36 (h)

1,593,900

1,568,836

4.891% 10/1/35 (h)

41,858

42,300

4.907% 7/1/34 (h)

2,689,696

2,709,608

4.926% 8/1/34 (h)

1,111,146

1,098,903

4.974% 7/1/34 (h)

53,732

53,281

5% 9/1/33 (h)

412,169

417,178

5.061% 9/1/34 (h)

893,546

884,241

5.089% 10/1/33 (h)

2,114,316

2,140,330

5.09% 9/1/34 (h)

114,696

113,515

5.092% 1/1/36 (h)

645,790

643,107

5.121% 3/1/35 (h)

27,880

27,931

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Fannie Mae - continued

5.125% 5/1/35 (h)

$ 449,458

$ 446,894

5.143% 5/1/35 (h)

1,306,758

1,299,545

5.152% 5/1/35 (h)

83,179

84,605

5.157% 6/1/35 (h)

447,395

447,908

5.16% 10/1/18 (h)

53,153

53,351

5.185% 3/1/35 (h)

60,884

60,426

5.19% 5/1/35 (h)

1,465,734

1,458,534

5.252% 11/1/36 (h)

466,230

466,781

5.279% 3/1/35 (h)

73,622

72,545

5.31% 12/1/34 (h)

152,189

151,122

5.348% 2/1/36 (h)

161,244

159,104

5.457% 2/1/36 (h)

2,247,149

2,253,681

5.489% 2/1/35 (h)

23,132

23,004

5.5% 9/1/10 to 12/1/14

1,674,526

1,719,454

5.509% 11/1/36 (h)

810,746

809,212

5.564% 1/1/36 (h)

675,821

678,270

5.593% 7/1/37 (h)

348,013

350,155

5.797% 1/1/36 (h)

468,534

472,894

5.823% 3/1/36 (h)

1,481,567

1,492,615

5.823% 7/1/46 (h)

4,065,574

4,103,240

6% 5/1/16 to 4/1/17

607,071

624,084

6.022% 4/1/36 (h)

272,675

274,981

6.049% 3/1/33 (h)

44,492

44,624

6.069% 1/1/35 (h)

89,868

90,266

6.217% 2/1/35 (h)

68,967

69,382

6.243% 6/1/36 (h)

126,627

125,758

6.328% 4/1/36 (h)

275,524

278,872

6.5% 12/1/13 to 3/1/35

11,898,809

12,326,201

6.532% 9/1/36 (h)

1,657,909

1,681,721

7% 2/1/09 to 6/1/33

1,588,843

1,662,381

7.5% 8/1/17 to 9/1/28

534,870

561,063

8.5% 5/1/21 to 9/1/25

94,388

101,805

9.5% 2/1/25

15,953

17,504

10.5% 8/1/20

19,040

22,769

11% 8/1/15

31,180

32,425

12.5% 12/1/13 to 4/1/15

10,733

12,583

TOTAL FANNIE MAE

71,008,479

Freddie Mac - 2.7%

4.183% 1/1/34 (h)

1,116,073

1,107,564

4.275% 6/1/35 (h)

181,788

183,251

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Freddie Mac - continued

4.316% 12/1/34 (h)

$ 149,035

$ 147,585

4.327% 3/1/35 (h)

260,144

257,348

4.362% 2/1/35 (h)

338,267

334,061

4.407% 3/1/35 (h)

190,056

187,777

4.449% 2/1/34 (h)

119,819

116,488

4.455% 3/1/35 (h)

174,036

172,010

4.527% 2/1/35 (h)

321,175

318,019

5% 3/1/19

6,138,390

6,240,536

5% 12/11/38 (c)

1,000,000

1,005,391

5.141% 4/1/35 (h)

833,218

828,133

5.364% 3/1/35 (h)

115,680

113,543

5.527% 1/1/36 (h)

1,012,471

1,013,117

5.577% 2/1/35 (h)

219,222

215,797

5.735% 10/1/35 (h)

239,449

239,878

5.842% 1/1/35 (h)

229,859

225,164

5.86% 6/1/36 (h)

316,236

318,077

5.997% 7/1/37 (h)

1,598,506

1,615,127

6.024% 6/1/36 (h)

295,616

297,587

6.053% 4/1/36 (h)

502,600

505,857

6.097% 6/1/36 (h)

306,240

307,935

6.399% 3/1/33 (h)

28,710

28,854

6.626% 1/1/37 (h)

1,966,475

1,991,798

6.671% 10/1/36 (h)

1,555,973

1,576,965

6.839% 10/1/36 (h)

2,237,297

2,289,939

8.5% 9/1/24 to 8/1/27

76,155

82,957

10% 5/1/09

4

4

10.5% 5/1/21

1,935

1,967

11% 12/1/11

572

607

11.5% 10/1/15

5,248

6,066

11.75% 10/1/10

3,776

3,989

TOTAL FREDDIE MAC

21,733,391

Government National Mortgage Association - 6.3%

4.25% 7/20/34 (h)

313,873

294,362

5.5% 12/18/38 (c)(d)

5,000,000

5,087,500

5.5% 12/18/38 (c)(d)

6,000,000

6,105,000

5.5% 12/18/38 (c)

8,000,000

8,140,000

5.5% 12/18/38 (c)(d)

4,000,000

4,070,000

5.5% 12/18/38 (c)(d)

5,000,000

5,087,500

5.5% 1/21/39 (c)

6,000,000

6,091,172

5.5% 1/21/39 (c)

4,000,000

4,060,781

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Government National Mortgage Association - continued

5.5% 1/21/39 (c)

$ 5,000,000

$ 5,075,977

5.5% 1/21/39 (c)

5,000,000

5,075,977

7% 7/15/28 to 11/15/28

391,530

406,366

7.5% 2/15/28 to 10/15/28

6,819

7,077

8% 6/15/24 to 10/15/24

6,900

7,488

8.5% 5/15/17 to 10/15/21

96,905

106,931

11% 7/20/19 to 8/20/19

4,858

5,763

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

49,621,894

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $141,114,328)

142,363,764

Asset-Backed Securities - 0.7%

 

Advanta Business Card Master Trust:

Series 2006-A7 Class A7, 1.4725% 10/20/12 (h)

550,000

423,500

Series 2007-D1 Class D, 2.8525% 1/22/13 (b)(h)

1,420,000

213,000

Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 2.145% 2/25/35 (h)

570,000

377,739

Carrington Mortgage Loan Trust Series 2006-NC3 Class M10, 3.395% 8/25/36 (b)(h)

215,000

6,343

DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (b)

715,000

457,936

Ford Credit Auto Owner Trust:

Series 2006-B Class D, 7.26% 2/15/13 (b)

850,000

425,000

Series 2006-C Class D, 6.89% 5/15/13 (b)

585,000

292,500

Series 2007-A Class D, 7.05% 12/15/13 (b)

310,000

155,000

GS Auto Loan Trust Series 2006-1 Class D, 6.25% 1/15/14 (b)

479,536

268,540

GSAMP Trust Series 2004-AR1 Class B4, 5% 6/25/34 (b)(h)

142,877

37,148

Merna Reinsurance Ltd. Series 2007-1 Class B, 5.5119% 6/30/12 (b)(h)

1,695,000

1,570,757

Onyx Acceptance Owner Trust Series 2005-B Class A4, 4.34% 5/15/12

966,170

859,379

Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 2.645% 5/25/35 (h)

409,000

24,655

Wachovia Auto Loan Owner Trust Series 2006-2A Class E, 7.05% 5/20/14 (b)

955,000

283,049

Asset-Backed Securities - continued

 

Principal Amount

Value

WaMu Asset-Backed Certificates Series 2006-HE5 Class B1, 3.895% 10/25/36 (b)(h)

$ 543,176

$ 47,229

WaMu Master Note Trust Series 2007-A4A Class A4, 5.2% 10/15/14 (b)

420,000

323,400

TOTAL ASSET-BACKED SECURITIES

(Cost $10,068,150)

5,765,175

Collateralized Mortgage Obligations - 4.0%

 

Private Sponsor - 0.7%

Chase Mortgage Finance Trust Series 2007-A1 Class 1A5, 4.8511% 2/25/37 (h)

252,374

189,932

Countrywide Home Loans, Inc. Series 2003-46 Class 4A1, 4.6979% 1/19/34 (h)

2,111,317

1,551,112

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 4.5901% 11/25/34 (h)

539,409

409,699

JPMorgan Mortgage Trust:

Series 2004-A5 Class 2A1, 4.6192% 12/25/34 (h)

301,076

298,865

Series 2006-A2 Class 5A1, 4.7753% 11/25/33 (h)

492,175

343,359

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.6291% 10/25/35 (h)

973,256

734,343

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B Class B6, 4.6175% 7/10/35 (b)(h)

662,839

384,115

Series 2003-CB1:

Class B4, 3.4175% 6/10/35 (b)(h)

508,803

303,196

Class B5, 4.0175% 6/10/35 (b)(h)

345,986

202,402

Class B6, 4.5175% 6/10/35 (b)(h)

206,913

116,554

Structured Asset Securities Corp. floater Series 2006-BC5 Class B, 3.895% 12/25/36 (b)(h)

650,000

12,454

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-H Class A1, 4.5293% 6/25/34 (h)

403,284

297,422

Series 2005-AR10 Class 2A2, 4.2066% 6/25/35 (h)

244,061

162,253

Series 2005-AR12 Class 2A6, 4.3445% 7/25/35 (h)

174,505

116,199

Series 2005-AR3 Class 2A1, 4.4116% 3/25/35 (h)

487,947

326,279

TOTAL PRIVATE SPONSOR

5,448,184

U.S. Government Agency - 3.3%

Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 1.645% 10/25/35 (h)

4,050,653

3,870,883

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

U.S. Government Agency - continued

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

Series 2001-68 Class QZ, 5.5% 12/25/16

$ 1,160,481

$ 1,178,773

Series 2002-9 Class PC, 6% 3/25/17

175,258

179,436

Series 2003-84 Class GC, 4.5% 5/25/15

1,438,417

1,448,494

Series 2005-67 Class HD, 5.5% 12/25/30

2,835,000

2,901,006

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

2,367,706

2,421,385

sequential payer:

Series 2002-56 Class MC, 5.5% 9/25/17

627,573

641,500

Series 2004-3 Class BA, 4% 7/25/17

104,885

104,762

Series 2004-45 Class AV, 4.5% 10/25/22

324,470

323,907

Series 2004-86 Class KC, 4.5% 5/25/19

480,504

484,684

Freddie Mac planned amortization class Series 2104 Class PG, 6% 12/15/28

1,100,386

1,121,185

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 2356 Class GD, 6% 9/15/16

644,336

655,426

Series 2363 Class PF, 6% 9/15/16

907,265

922,409

Series 2702 Class WB, 5% 4/15/17

1,986,546

2,019,321

Series 3033 Class UD, 5.5% 10/15/30

1,075,000

1,095,373

Series 3049 Class DB, 5.5% 6/15/31

2,495,000

2,557,915

sequential payer:

Series 2528 Class HN, 5% 11/15/17

1,515,000

1,540,050

Series 2777 Class AB, 4.5% 6/15/29

2,352,782

2,353,648

Series 2809 Class UA, 4% 12/15/14

324,611

325,747

TOTAL U.S. GOVERNMENT AGENCY

26,145,904

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $33,356,601)

31,594,088

Commercial Mortgage Securities - 1.4%

 

Bear Stearns Commercial Mortgage Securities Trust Series 2003-T12 Class X2, 0.6489% 8/13/39 (b)(h)(i)

11,515,427

125,797

Citigroup Commercial Mortgage Trust Series 2007-C6 Class A1, 5.622% 12/10/49 (h)

2,173,805

1,894,520

Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2006-CD3 Class A3, 5.607% 10/15/48

3,000,000

2,002,785

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Credit Suisse Commercial Mortgage Trust sequential payer Series 2007-C2 Class A1, 5.269% 1/15/49

$ 476,168

$ 431,693

DLJ Commercial Mortgage Corp. sequential payer Series 1999-CG1 Class A1B, 6.46% 3/10/32

550,973

549,493

Ginnie Mae guaranteed Multi-family REMIC pass-thru securities sequential payer Series 2002-35 Class C, 5.872% 10/16/23 (h)

46,248

46,710

Ginnie Mae guaranteed REMIC pass-thru securities sequential payer:

Series 2003-47 Class C, 4.227% 10/16/27

1,839,014

1,830,798

Series 2003-59 Class D, 3.654% 10/16/27

3,060,000

3,000,559

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.8296% 12/10/41 (h)(i)

10,257,338

120,013

LB-UBS Commercial Mortgage Trust sequential payer:

Series 2006-C7 Class A1, 5.279% 11/15/38

308,910

280,979

Series 2007-C2 Class A1, 5.226% 2/15/40

390,961

353,722

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $12,171,668)

10,637,069

Bank Notes - 0.1%

 

National City Bank, Cleveland 2.9106% 3/1/13 (h)
(Cost $677,908)

1,000,000

760,000

Fixed-Income Funds - 50.8%

Shares

 

Fidelity 1-3 Year Duration Securitized Bond Central Fund (j)

357,953

26,137,754

Fidelity Commercial Mortgage-Backed Securities
Central Fund (j)

1,032,550

71,111,733

Fidelity Corporate Bond 1-10 Year Central Fund (j)

2,789,388

237,767,449

Fidelity Corporate Bond 1-5 Year Central Fund (j)

151,200

13,592,900

Fidelity Specialized High Income Central Fund (j)

259,025

18,098,109

Fidelity Ultra-Short Central Fund (j)

550,378

36,594,645

TOTAL FIXED-INCOME FUNDS

(Cost $514,536,017)

403,302,590

Cash Equivalents - 7.6%

Maturity Amount

Value

Investments in repurchase agreements in a joint trading account at 0.27%, dated 11/28/08 due 12/1/08 (Collateralized by U.S. Government Obligations) #
(Cost $60,336,000)

$ 60,337,361

$ 60,336,000

TOTAL INVESTMENT PORTFOLIO - 106.3%

(Cost $985,701,964)

844,010,881

NET OTHER ASSETS - (6.3)%

(49,984,645)

NET ASSETS - 100%

$ 794,026,236

Swap Agreements

 

Expiration Date

Notional Amount

 

Credit Default Swaps

Receive monthly notional amount multiplied by .52% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M6, 6.835% 9/25/34 (Rating-Baa3) (f)

Oct. 2034

$ 1,312,241

(560,356)

Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 (Rating-Baa1) (f)

Nov. 2034

409,000

(167,263)

Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-Baa3) (f)

Oct. 2034

128,249

(100,619)

Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 (Rating-Baa3) (f)

May 2033

409,000

(204,647)

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 6.25% and pay Deutsche Bank upon credit event of Residential Asset Mortgage Products, Inc., par value of the notional amount of Residential Asset Mortgage Products, Inc. Series 2006-RS5, 7.17% 9/25/36 (Rating-C) (f)

Oct. 2036

$ 700,000

$ (663,450)

Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34 (Rating-B1) (f)

Dec. 2034

248,360

(227,425)

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34 (Rating-B2) (f)

Oct. 2034

133,469

(120,807)

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7, Class B3, 7.6913% 7/25/34 (Rating-Baa3) (f)

August 2034

175,868

(162,242)

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-Baa3) (f)

Sept. 2034

119,548

(108,086)

Receive quarterly a fixed rate of .4% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each credit event of one of the issues of Dow Jones CDX N.A. Investment Grade 4 Index, par value of the proportional notional amount (Rating-Baa2) (g)

June 2010

9,760,000

(571,108)

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive quarterly a fixed rate of .5% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each credit event of one of the issues of Dow Jones CDX N.A. Investment Grade 3 Index, par value of the proportional notional amount (Rating-Baa2) (g)

March 2010

$ 6,219,400

$ (260,956)

Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WCH1 Class M6, 6.365% 1/25/35 (Rating-Baa3) (f)

Feb. 2035

600,000

(547,088)

Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-A3) (f)

August 2034

105,372

(48,105)

Receive monthly notional amount multiplied by .85% and pay Deutsche Bank upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M6, 6.105% 5/25/35 (Rating-Caa2) (f)

June 2035

600,000

(553,148)

Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (Rating-A3) (f)

Oct. 2034

199,546

(54,530)

Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 (Rating-C) (f)

June 2035

370,000

(342,748)

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Baa3) (f)

April 2032

36,015

(32,194)

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34 (Rating-Baa3) (f)

March 2034

47,522

(25,926)

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34
(Rating-Ba2) (f)

Feb. 2034

806

(748)

Receive monthly notional amount multiplied by 2.7% and pay Merrill Lynch, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.4606% 5/25/35
(Rating-C) (f)

June 2035

2,410,000

(2,265,267)

Receive monthly notional amount multiplied by 3% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2005-R4 Class M9, 7.07% 7/25/35 (Rating-Ca) (f)

August 2035

700,000

(648,865)

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 5.55% and pay Deutsche Bank upon credit event of Carrington Mortgage Loan Trust, par value of the notional amount of Carrington Mortgage Loan Trust Series 2006-FRE1 Class M10, 7.74% 7/25/36 (Rating-C) (f)

August 2036

$ 700,000

$ (643,451)

Receive quarterly a fixed rate of .45% multiplied by the notional amount and pay to Goldman Sachs, upon each credit event of one of the issues of Dow Jones CDX N.A. Investment Grade 5 Index, par value of the proportional notional amount (Rating-Baa2) (g)

Dec. 2010

14,640,000

(889,491)

TOTAL CREDIT DEFAULT SWAPS

$ 40,024,396

$ (9,198,520)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 3.475% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

Jan. 2013

25,000,000

1,016,543

Receive semi-annually a fixed rate equal to 3.567% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

May 2011

19,783,000

661,320

Receive semi-annually a fixed rate equal to 4.449% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

May 2018

6,931,000

767,208

Receive semi-annually a fixed rate equal to 4.94% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

March 2012

25,000,000

2,086,008

Receive semi-annually a fixed rate equal to 5.02% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

Nov. 2011

20,000,000

1,562,948

TOTAL INTEREST RATE SWAPS

$ 96,714,000

$ 6,094,027

 

 

$ 136,738,396

$ (3,104,493)

Legend

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $18,095,329 or 2.3% of net assets.

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

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

(e) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $2,184,317.

(f) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

(g) Represents a tradable index of credit default swaps on investment grade debt of U.S. companies. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

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

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

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

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

Repurchase Agreement / Counterparty

Value

$60,336,000 due 12/01/08 at 0.27%

Banc of America
Securities LLC

$ 29,472,350

Bank of America, NA

29,296,701

Barclays Capital, Inc.

1,566,949

 

$ 60,336,000

Affiliated Central Funds

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

Fund

Income earned

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 450,010

Fidelity Commercial Mortgage-Backed Securities Central Fund

1,351,848

Fidelity Corporate Bond 1-10 Year Central Fund

3,724,545

Fidelity Corporate Bond 1-5 Year Central Fund

216,289

Fidelity Specialized High Income Central Fund

435,550

Fidelity Ultra-Short Central Fund

442,942

Total

$ 6,621,184

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

Value, beginning of period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership, end of period

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 47,438,002

$ 450,010

$ 17,316,138

$ 26,137,754

3.2%

Fidelity Commercial Mortgage-Backed Securities Central Fund

99,633,125

1,351,848

8,644,486

71,111,733

2.9%

Fidelity Corporate Bond 1-10 Year Central Fund

275,919,248

3,724,545

9,924,090

237,767,449

3.5%

Fidelity Corporate Bond 1-5 Year Central Fund

18,814,985

216,289

4,000,768

13,592,900

2.9%

Fund

Value, beginning of period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership, end of period

Fidelity Specialized High Income Central Fund

$ 23,421,149

$ 435,551

$ -

$ 18,098,109

$ 5.7%

Fidelity Ultra-Short Central Fund

68,380,155

-

23,102,877

36,594,645

1.9%

Total

$ 533,606,664

$ 6,178,243

$ 62,988,359

$ 403,302,590

Other Information

The following is a summary of the inputs used, as of November 30, 2008, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities

$ 844,010,881

$ 403,302,590

$ 439,903,858

$ 804,433

Other Financial Instruments*

$ (3,104,493)

$ -

$ 2,859,871

$ (5,964,364)

*Other financial instruments include Swap Agreements.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

 

Investments in Securities

Other Financial Instruments

Beginning Balance

$ 215,029

$ (6,691,180)

Total Realized Gain (Loss)

1,510

-*

Total Unrealized Gain (Loss)

778,361

369,612

Cost of Purchases

259,940

-

Proceeds of Sales

(291,122)

-

Amortization/Accretion

(552,471)

-

Transfer in/out of Level 3

393,186

357,204

Ending Balance

$ 804,433

$ (5,964,364)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $65,677.

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At November 30, 2008, the aggregate cost of investment securities for income tax purposes was $985,257,889. Net unrealized depreciation aggregated $141,247,008, of which $4,363,800 related to appreciated investment securities and $145,610,808 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Debt securities, including restricted securities, 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 available dealer supplied prices. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). 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. Actual prices received at disposition may differ.

When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities.

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1 - Quoted prices in active markets for identical securities.

Level 2 - Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3 - Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

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

Swap Agreements

The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall. The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer (buyer of protection) and/or to gain credit exposure to an issuer to which it is not otherwise exposed (seller of protection). The issuer may be either a single issuer or a basket of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $40,024,396 representing 5.04% of net assets.

The value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as a seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity Advisor Mortgage
Securities Fund
Class A
Class T
Class B
Class C
Institutional Class

November 30, 2008 

1.813053.104

AMOR-QTLY-0109

Investments November 30, 2008 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 114.1%

 

Principal Amount (000s)

Value (000s)

Fannie Mae - 63.3%

4.011% 8/1/33 (g)

$ 145

$ 142

4.173% 1/1/35 (g)

387

383

4.205% 1/1/35 (g)

184

180

4.232% 6/1/33 (g)

1,581

1,564

4.25% 2/1/35 (g)

187

186

4.292% 8/1/33 (g)

639

626

4.296% 5/1/33 (g)

44

44

4.303% 3/1/33 (g)

91

90

4.326% 7/1/35 (g)

599

602

4.331% 1/1/35 (g)

224

222

4.425% 5/1/35 (g)

138

139

4.432% 3/1/35 (g)

304

301

4.449% 8/1/34 (g)

490

486

4.5% 10/1/19 to 9/1/31 (c)

23,392

23,489

4.523% 2/1/34 (g)

150

149

4.548% 10/1/33 (g)

142

141

4.568% 2/1/35 (g)

46

46

4.606% 1/1/20 (g)

871

867

4.625% 4/1/33 (g)

720

719

4.634% 4/1/33 (g)

24

24

4.706% 7/1/34 (g)

1,825

1,802

4.708% 2/1/35 (g)

1,067

1,064

4.739% 8/1/35 (g)

744

740

4.747% 1/1/35 (g)

1,339

1,324

4.753% 12/1/34 (g)

176

173

4.766% 4/1/35 (g)

68

69

4.804% 8/1/33 (g)

637

641

4.823% 10/1/34 (g)

1,700

1,681

4.833% 12/1/35 (g)

1,912

1,896

4.86% 4/1/33 (g)

1,775

1,749

4.87% 9/1/33 (g)

506

510

4.87% 7/1/35 (g)

1,086

1,086

4.933% 1/1/35 (g)

537

533

4.936% 7/1/35 (g)

46

46

5% 9/1/16 to 11/1/38 (b)(e)

103,641

104,587

5% 12/1/23 (b)(c)

2,000

2,023

5% 12/11/38 (b)

37,000

37,243

5% 12/11/38 (b)(c)

10,000

10,066

5% 1/13/39 (b)(c)

36,000

36,187

5.05% 1/1/37 (g)

1,296

1,290

5.07% 7/1/33 (g)

113

114

5.095% 7/1/34 (g)

419

414

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

5.152% 5/1/35 (g)

$ 131

$ 133

5.157% 6/1/35 (g)

685

686

5.16% 10/1/18 (g)

85

85

5.174% 8/1/34 (g)

1,098

1,092

5.205% 11/1/32 (g)

361

361

5.264% 12/1/36 (g)

554

552

5.279% 3/1/35 (g)

110

109

5.307% 7/1/35 (g)

765

767

5.326% 6/1/36 (g)

1,855

1,857

5.329% 7/1/35 (g)

459

459

5.342% 2/1/37 (g)

561

561

5.365% 1/1/32 (g)

145

143

5.482% 6/1/32 (g)

345

339

5.489% 2/1/35 (g)

39

38

5.5% 1/1/09 to 7/1/37 (c)

85,588

87,346

5.5% 12/11/38

10,000

10,167

5.5% 12/11/38 (b)

31,000

31,518

5.5% 12/11/38 (b)

10,000

10,167

5.5% 12/11/38 (b)(c)

40,000

40,669

5.573% 10/1/36 (g)

285

287

5.656% 6/1/36 (g)

1,470

1,476

5.702% 1/1/35 (g)

2,309

2,276

5.77% 3/1/36 (g)

3,309

3,330

5.797% 1/1/36 (g)

579

584

5.806% 11/1/36 (g)

889

884

5.823% 7/1/36 (g)

611

617

5.845% 3/1/36 (g)

1,877

1,898

5.845% 9/1/36 (g)

907

903

5.853% 3/1/36 (g)

1,562

1,574

5.897% 5/1/36 (g)

1,735

1,748

5.918% 1/1/35 (g)

1,970

1,939

5.952% 4/1/36 (g)

398

402

5.952% 9/1/36 (g)

931

946

5.954% 5/1/36 (g)

567

573

6% 3/1/09 to 11/1/37 (c)

113,667

116,744

6.002% 9/1/36 (c)(g)

771

783

6.013% 4/1/36 (g)

6,133

6,184

6.076% 3/1/37 (g)

997

1,011

6.087% 4/1/36 (g)

5,211

5,259

6.091% 9/1/36 (g)

640

649

6.12% 4/1/36 (g)

901

910

6.198% 5/1/37 (g)

84

85

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

6.217% 2/1/35 (g)

$ 109

$ 110

6.226% 5/1/36 (g)

1,893

1,915

6.241% 6/1/36 (g)

3,145

3,185

6.243% 6/1/36 (g)

138

137

6.245% 8/1/46 (g)

321

326

6.346% 5/1/36 (g)

1,316

1,333

6.429% 4/1/37 (g)

967

987

6.499% 12/1/36 (g)

204

209

6.5% 5/1/12 to 9/1/47 (c)

65,987

68,194

6.555% 12/1/36 (g)

286

291

6.784% 9/1/37 (g)

1,489

1,519

6.862% 9/1/37 (g)

676

690

6.946% 9/1/37 (g)

536

547

7% 12/1/15 to 7/1/37

9,224

9,631

7.124% 9/1/37 (g)

797

815

7.5% 8/1/22 to 5/1/37

13,738

14,334

8% 12/1/29 to 3/1/37

176

185

8.5% 1/1/16 to 7/1/31

220

239

9% 2/1/13 to 10/1/30

542

600

9.5% 11/1/09 to 8/1/22

85

95

11% 8/1/10

12

12

12.25% 5/1/15

16

18

12.5% 8/1/15 to 3/1/16

18

21

12.75% 2/1/15

4

5

13.5% 9/1/14

3

4

 

679,151

Freddie Mac - 37.3%

3.744% 5/1/34 (g)

32

31

4.275% 6/1/35 (g)

291

293

4.316% 12/1/34 (g)

234

232

4.407% 3/1/35 (g)

301

297

4.449% 2/1/34 (g)

182

177

4.455% 3/1/35 (g)

267

264

4.577% 6/1/33 (g)

2,071

2,094

4.591% 3/1/34 (g)

2,520

2,489

4.719% 1/1/35 (g)

2,361

2,357

4.79% 2/1/36 (g)

264

262

4.801% 3/1/35 (g)

541

534

4.897% 11/1/35 (g)

971

960

5% 6/1/18 to 8/1/36

33,806

34,082

5% 12/11/38 (b)

10,000

10,054

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

5.023% 4/1/35 (g)

$ 140

$ 140

5.163% 10/1/33 (g)

1,732

1,761

5.218% 12/1/33 (g)

1,094

1,081

5.364% 3/1/35 (g)

177

174

5.455% 4/1/37 (g)

417

417

5.5% 6/1/09 to 1/1/38

34,047

34,680

5.5% 12/11/38 (b)(c)

35,000

35,514

5.5% 12/11/38 (b)(c)

36,000

36,529

5.5% 12/11/38 (b)(c)

8,000

8,118

5.5% 12/11/38 (b)(c)

8,000

8,118

5.5% 12/11/38 (b)(c)

12,000

12,176

5.5% 12/11/38 (b)(c)

12,000

12,176

5.5% 12/11/38 (b)(c)

11,000

11,162

5.5% 1/13/39 (b)

36,000

36,470

5.5% 1/13/39 (b)

8,000

8,104

5.5% 1/13/39 (c)

4,000

4,052

5.5% 1/13/39 (b)

8,000

8,104

5.519% 11/1/31 (g)

64

63

5.54% 1/1/37 (g)

1,936

1,933

5.735% 10/1/35 (g)

257

257

5.772% 3/1/37 (g)

2,026

2,013

5.781% 4/1/37 (g)

1,991

1,987

5.808% 6/1/37 (g)

1,576

1,587

5.834% 5/1/37 (g)

585

586

5.947% 4/1/36 (g)

1,317

1,324

6% 4/1/14 to 7/1/37 (e)

38,955

40,009

6.006% 6/1/36 (g)

596

599

6.128% 10/1/36 (g)

138

140

6.142% 12/1/36 (g)

877

885

6.149% 4/1/37 (g)

708

718

6.172% 7/1/36 (g)

3,374

3,404

6.238% 5/1/36 (g)

577

583

6.244% 3/1/36 (g)

2,980

3,020

6.326% 7/1/36 (g)

642

648

6.36% 10/1/36 (g)

3,429

3,471

6.418% 6/1/37 (g)

168

170

6.422% 12/1/36 (g)

1,683

1,715

6.5% 4/1/11 to 8/1/47

27,107

27,939

6.566% 6/1/37 (g)

210

214

6.591% 6/1/36 (g)

426

434

6.592% 12/1/36 (g)

3,862

3,950

6.624% 7/1/36 (g)

2,842

2,903

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

6.626% 1/1/37 (g)

$ 2,105

$ 2,132

6.641% 8/1/37 (g)

1,183

1,202

6.671% 10/1/36 (g)

1,668

1,690

6.839% 10/1/36 (g)

2,396

2,452

7% 6/1/21 to 9/1/36

6,492

6,751

7.128% 2/1/37 (g)

256

265

7.5% 11/1/10 to 4/1/37

10,726

11,241

7.524% 4/1/37 (g)

122

126

7.7% 8/1/36 (g)

15

16

8% 11/1/16 to 1/1/37

253

270

8.5% 7/1/09 to 9/1/20

27

30

9% 7/1/13 to 5/1/21

226

248

10% 6/1/09 to 5/1/19

43

49

10.5% 8/1/10 to 2/1/16

3

4

12.5% 10/1/12 to 12/1/14

31

34

13% 12/1/13 to 6/1/15

72

83

 

400,047

Government National Mortgage Association - 13.5%

5% 5/15/36

5,121

5,174

5% 12/18/38

5,000

5,020

5.5% 12/1/38 (b)

9,000

9,141

5.5% 12/1/38 (b)

5,000

5,078

5.5% 12/18/38 (b)

5,000

5,078

5.5% 12/18/38 (b)

7,000

7,109

5.5% 12/18/38 (b)

5,000

5,078

5.5% 12/18/38 (c)

10,000

10,175

5.5% 12/18/38 (b)

1,300

1,323

5.5% 12/18/38 (b)

7,000

7,109

5.5% 12/18/38 (b)

1,000

1,018

5.5% 1/1/39 (b)

15,000

15,228

5.5% 1/21/39 (b)

12,000

12,160

5.5% 1/21/39 (b)

10,000

10,152

6% 7/15/38 to 11/15/38

8,000

8,187

6% 12/18/38 (b)

15,000

15,308

6% 12/18/38 (b)

9,000

9,185

6.5% 5/15/28 to 7/15/36

7,476

7,875

7% 2/15/24 to 7/15/32

3,426

3,544

7.5% 9/15/16 to 4/15/32

1,175

1,249

8% 6/15/21 to 12/15/25

457

496

8.5% 8/15/16 to 10/15/28

673

741

9% 11/20/17

2

2

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Government National Mortgage Association - continued

10.5% 12/20/15 to 2/20/18

$ 58

$ 67

13.5% 7/15/11

2

2

 

145,499

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,205,169)

1,224,697

Asset-Backed Securities - 6.2%

 

Ameriquest Mortgage Securities, Inc.:

Series 2005-R10 Class A2B, 1.615% 12/25/35 (g)

571

433

Series 2006-M3 Class A2A, 1.445% 10/25/36 (g)

319

304

Argent Securities, Inc. Series 2006-M2 Class A2A, 1.445% 9/25/36 (g)

916

887

Bear Stearns Asset Backed Securities I Trust:

Series 2005-AQ2 Class M7, 3.045% 9/25/35 (g)

1,965

50

Series 2005-FR1 Class M1, 1.895% 6/25/35 (g)

600

362

Series 2006-HE1 Class 1A2, 1.615% 12/25/35 (g)

3,893

3,737

Series 2007-HE3 Class 1A1, 1.515% 4/25/37 (g)

640

551

Capital Auto Receivables Asset Trust Series 2007-SN1 Class D, 6.05% 1/17/12

970

582

Citigroup Mortgage Loan Trust:

Series 2006-HE2 Class A2A, 1.445% 8/26/36 (g)

62

60

Series 2006-NC2 Class A2A, 1.435% 9/25/36 (g)

97

93

Series 2006-WF2 Class A2B, 5.735% 5/25/36

395

384

Countrywide Asset-Backed Certificates Trust:

Series 2006-13 Class 1AF1, 1.515% 1/25/37 (g)

56

54

Series 2007-11 Class 2A1, 1.455% 6/25/47 (g)

4,628

3,975

Series 2007-4 Class A1A, 1.515% 9/25/37 (g)

3,830

3,426

Series 2007-5 Class 2A1, 1.495% 4/25/29 (g)

2,302

1,913

Series 2007-BC2 Class 2A1, 1.485% 6/25/37 (g)

746

631

Credit-Based Asset Servicing and Securitization Trust Series 2006-CB7 Class A2, 1.455% 10/25/36 (g)

364

315

First Franklin Mortgage Loan Trust Series 2006-FF5 Class 2A2, 1.505% 4/25/36 (g)

488

475

Ford Credit Auto Owner Trust:

Series 2006-C Class D, 6.89% 5/15/13 (a)

715

358

Series 2007-A Class D, 7.05% 12/15/13 (a)

350

175

Fremont Home Loan Trust Series 2006-3 Class 2A1, 1.465% 2/25/37 (g)

24

23

GSAMP Trust:

Series 2004-AR1 Class B4, 5% 6/25/34 (a)(g)

160

42

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

GSAMP Trust: - continued

Series 2004-AR2 Class B1, 3.295% 8/25/34 (g)

$ 796

$ 73

GSR Mortgage Loan Trust Series 2006-6 Class AV1, 3.3288% 3/25/36 (g)

63

61

Helios Finance L.P. Series 2007-S1 Class B1, 2.1525% 10/20/14 (a)(g)

2,325

1,346

Home Equity Asset Trust Series 2006-8 Class 2A1, 1.445% 3/25/37 (g)

51

44

JPMorgan Mortgage Acquisition Trust Series 2006-WF1:

Class A1A, 5.6% 7/25/36

63

62

Class A1B, 1.495% 7/25/36 (g)

498

484

Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (a)

10,815

8,424

Long Beach Mortgage Loan Trust:

Series 2005-WL1 Class M2, 1.945% 6/25/35 (g)

1,785

1,384

Series 2006-1 Class 2A2, 1.535% 2/25/36 (g)

1

1

Series 2006-2 Class 2A2, 1.525% 3/25/36 (g)

494

479

Series 2006-8 Class 2A1, 1.435% 9/25/36 (g)

267

250

Luminent Mortgage Trust Series 2006-5 Class A1A, 1.585% 7/25/36 (g)

1,685

653

Merrill Lynch Mortgage Investors Trust Series 2006-MLN1 Class A2A, 1.465% 7/25/37 (g)

494

453

Morgan Stanley ABS Capital I Trust:

Series 2005-3 Class A3, 1.775% 8/25/35 (g)

7,184

6,465

Series 2006-HE6 Class A2A, 1.435% 9/25/36 (g)

856

808

Series 2007-HE2 Class A2A, 1.435% 1/25/37 (g)

84

73

Series 2007-HE4 Class A2A, 1.505% 2/25/37 (g)

89

77

Series 2007-NC3 Class A2A, 1.455% 5/25/37 (g)

48

39

Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 1.495% 4/25/37 (g)

1,009

848

Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 1.445% 11/25/36 (g)

126

117

National Collegiate Student Loan Trust:

Series 2006-4 Class AIO, 6.35% 2/27/12 (h)

4,205

762

Series 2007-1 Class AIO, 7.27% 4/25/12 (h)

6,370

1,297

Series 2007-2 Class AIO, 6.7% 7/25/12 (h)

4,540

976

New Century Home Equity Loan Trust Series 2005-A Class A2, 4.461% 8/25/35 (g)

4

4

Newcastle CDO VIII Series 2006-8A Class 4, 3.8588% 11/1/52 (a)(g)

5,000

850

Nomura Home Equity Loan Trust Series 2006-AF1 Class A1, 6.032% 10/25/36

196

190

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

NovaStar Mortgage Funding Trust Series 2006-6 Class A2A, 1.465% 1/25/37 (g)

$ 173

$ 148

Ocala Funding LLC Series 2006-1A Class A, 2.8525% 3/20/11 (a)(g)

2,100

840

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 1.485% 5/25/37 (g)

290

253

Series 2007-6 Class 2A1, 1.455% 7/25/37 (g)

303

264

Ownit Mortgage Loan Trust Series 2006-6 Class A2A, 1.455% 9/25/37 (g)

807

758

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1 Class 1A1, 1.465% 9/25/36 (g)

655

621

Pinnacle Capital Asset Trust Series 2006-A Class C, 5.77% 5/25/10 (a)

158

158

RAMP Trust Series 2006-RS4 Class A2, 1.505% 7/25/36 (g)

4,420

3,879

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

406

367

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 1.465% 2/25/37 (g)

359

311

Securitized Asset Backed Receivables LLC Trust:

Series 2005-FR4 Class B3, 3.115% 1/25/36 (g)

500

27

Series 2006-FR4 Class A2A, 1.475% 8/25/36 (g)

418

359

Series 2007-NC1 Class A2A, 1.445% 12/25/36 (g)

287

251

Soundview Home Loan Trust Series 2006-WF1 Class A1F, 5.998% 10/25/36

172

169

Structured Asset Securities Corp.:

Series 2005-NC2 Class M3, 1.825% 5/25/35 (g)

1,995

1,177

Series 2007-BC4 Class A3, 3.5088% 11/25/37 (g)

2,494

2,223

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 1.485% 6/25/37 (g)

5,655

4,709

WaMu Asset Holdings Corp.:

Series 2006-5 Class N1, 5.926% 7/25/46 (a)

1,148

11

Series 2006-7 Class N1, 5.926% 10/25/46 (a)

912

9

Series 2006-8 Class N1, 6.048% 10/25/46 (a)

1,160

12

WaMu Asset-Backed Certificates Series 2006-HE5 Class B1, 3.895% 10/25/36 (a)(g)

662

58

Wells Fargo Home Equity Trust:

Series 2006-2 Class A2, 1.495% 7/25/36 (g)

1,097

940

Series 2007-2 Class A1, 1.485% 4/25/37 (g)

4,169

3,836

TOTAL ASSET-BACKED SECURITIES

(Cost $86,295)

66,430

Collateralized Mortgage Obligations - 17.9%

 

Principal Amount (000s)

Value (000s)

Private Sponsor - 6.0%

American Home Mortgage Investment Trust floater Series 2004-2 Class 4A5, 4.55% 2/25/44 (g)

$ 6,360

$ 4,174

Arkle Master Issuer PLC floater:

Series 2006-1A Class 3C, 2.5388% 2/17/52 (a)(g)

910

771

Series 2006-2A Class 2C, 2.5288% 2/17/52 (a)(g)

2,250

1,713

Banc of America Mortgage Securities, Inc.:

Series 2003-J Class 2A2, 5.2947% 11/25/33 (g)

559

425

Series 2004-1 Class 2A2, 4.6819% 10/25/34 (g)

1,782

1,316

Series 2004-A:

Class 2A1, 3.555% 2/25/34 (g)

416

311

Class 2A2, 4.1069% 2/25/34 (g)

1,795

1,344

Series 2004-D Class 2A1, 3.6108% 5/25/34 (g)

216

163

Series 2004-J Class 2A1, 4.7586% 11/25/34 (g)

901

665

Series 2005-D Class 2A7, 4.7881% 5/25/35 (g)

970

576

Series 2005-H:

Class 1A1, 5.3189% 9/25/35 (g)

202

152

Class 2A2, 4.8% 9/25/35 (g)

1,043

620

Bear Stearns Adjustable Rate Mortgage Trust Series 2004-10 Class 11A1, 5.9015% 1/25/35 (g)

877

569

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 4.8511% 2/25/37 (g)

117

88

Series 2007-A2 Class 2A1, 4.8915% 7/25/37 (g)

590

439

Citigroup Mortgage Loan Trust:

Series 2004-UST1:

Class A3, 4.6606% 8/25/34 (g)

2,167

1,582

Class A4, 4.3903% 8/25/34 (g)

2,058

1,506

Series 2006-AR7 Class 1A1, 5.7644% 11/25/36 (g)

202

120

Countrywide Home Loans, Inc. sequential payer Series 2002-25 Class 2A1, 5.5% 11/27/17

21

18

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2004-4 Class 5A2,
1.795% 3/25/35 (g)

83

34

Credit Suisse First Boston Mortgage Securities Corp. Series 2002-15R Class A1, 3.4281% 1/28/32 (a)(g)

233

123

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 5.1087% 10/25/34 (g)

2,212

1,607

Fosse Master Issuer PLC floater Series 2006-1A Class C2, 4.9725% 10/18/54 (a)(g)

770

392

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 2.6875% 11/20/56 (a)(g)

1,675

849

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 5.2888% 10/11/41 (a)(g)

2,520

1,942

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 2.7675% 12/20/54 (g)

$ 700

$ 105

Series 2006-2 Class C1, 4.9725% 12/20/54 (g)

155

23

Series 2007-1:

Class 1C1, 3.5038% 12/20/54 (g)

940

141

Class 2C1, 3.6338% 12/20/54 (g)

500

75

Series 2007-2 Class 2C1, 4.98% 12/17/54 (g)

1,355

203

Granite Mortgages PLC floater Series 2003-3 Class 1B, 4.9525% 1/20/44 (g)

661

231

GSR Mortgage Loan Trust:

Series 2005-AR4 Class 3A5, 4.7717% 7/25/35 (g)

920

530

Series 2007-AR2 Class 2A1, 4.8371% 4/25/35 (g)

936

683

Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 5.1425% 7/15/40 (a)(g)

490

401

JPMorgan Mortgage Trust Series 2006-A2 Class 5A1, 4.7753% 11/25/33 (g)

1,875

1,308

Luminent Mortgage Trust floater Series 2006-1 Class A1, 1.635% 4/25/36 (g)

2,608

1,045

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 1.605% 5/25/47 (g)

1,000

408

MASTR Alternative Loan Trust Series 2003-2 Class 4A1, 6.5% 4/25/18

2,854

2,380

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1.565% 2/25/37 (g)

4,112

2,001

Merrill Lynch Floating Trust floater Series 2006-1 Class TM, 1.9225% 6/15/22 (a)(g)

4,998

3,074

Merrill Lynch Mortgage Investors Trust:

Series 2004-A4 Class A1, 4.2304% 8/25/34 (g)

3,078

2,231

Series 2006-A6 Class A4, 5.4037% 10/25/33 (g)

2,739

2,106

Permanent Financing No. 4 PLC Class 3C,
3.6169% 6/10/42 (g)

1,405

1,347

Permanent Financing No. 8 PLC floater Class 3C, 3.3369% 6/10/42 (g)

610

440

Residential Asset Mortgage Products, Inc. sequential payer:

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

759

464

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

93

80

Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.2911% 7/25/34 (g)

1,766

1,330

Structured Asset Securities Corp.:

floater Series 2006-BC5 Class B,
3.895% 12/25/36 (a)(g)

795

15

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Structured Asset Securities Corp.: - continued

Series 2003-15A Class 4A, 5.4533% 4/25/33 (g)

$ 1,566

$ 1,226

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

1,145

895

WaMu Mortgage pass-thru certificates:

sequential payer Series 2002-S6 Class A25,
6% 10/25/32

1

1

Series 2004-AR7 Class A6, 3.9394% 7/25/34 (g)

395

385

Series 2004-RA3 Class 2A, 6.3495% 8/25/38 (g)

11,797

9,240

Series 2005-AR16 Class 1A3,
5.1029% 12/25/35 (g)

2,065

1,313

Series 2005-AR3 Class A2, 4.6373% 3/25/35 (g)

3,596

2,663

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-W:

Class A1, 4.5436% 11/25/34 (g)

1,564

1,157

Class A9, 4.5436% 11/25/34 (g)

3,490

2,096

Series 2005-AR12 Class 2A6, 4.3445% 7/25/35 (g)

939

626

Series 2005-AR3 Class 2A1, 4.4116% 3/25/35 (g)

334

223

Series 2006-AR8 Class 3A1, 5.2374% 4/25/36 (g)

3,542

2,486

TOTAL PRIVATE SPONSOR

64,431

U.S. Government Agency - 11.9%

Fannie Mae:

planned amortization class:

Series 1994-23:

Class PX, 6% 8/25/23

3,397

3,479

Class PZ, 6% 2/25/24

2,647

2,671

Series 1999-15 Class PC, 6% 9/25/18

774

780

Series 2006-105 Class MD, 5.5% 6/25/35

1,145

1,141

Series 1993-165 Class SH, 15.7338% 9/25/23 (g)

162

188

Series 1999-17 Class PG, 6% 4/25/29

5,603

5,739

Series 2003-22 6% 4/25/33 (h)

4,224

656

Series 2003-26 Class KI, 5% 12/25/15 (h)

1,733

83

Series 2003-39 Class IA, 5.5% 10/25/22 (g)(h)

1,936

208

Series 2006-48 Class LF, 0% 8/25/34 (g)

33

32

Fannie Mae Stripped Mortgage-Backed Securities:

sequential payer Series 377 Class 1, 10/1/36 (i)

3,783

3,190

Series 339 Class 29, 5.5% 7/1/18 (h)

1,891

298

Series 348 Class 14, 6.5% 8/1/34 (h)

885

125

Series 351:

Class 12, 5.5% 4/1/34 (h)

671

162

Class 13, 6% 3/1/34 (h)

848

139

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Fannie Mae Stripped Mortgage-Backed Securities:
- continued

Series 359, Class 19 6% 7/1/35 (h)

$ 854

$ 198

Series 384 Class 6, 5% 7/25/37 (h)

4,532

571

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

Series 1999-32 Class PL, 6% 7/25/29

3,990

4,086

Series 2001-52 Class YZ, 6.5% 10/25/31

214

219

Series 2001-63 Class TC, 6% 12/25/31

4,065

4,082

Series 2001-72 Class NZ, 6% 12/25/31

1,178

1,195

Series 2005-14 Class ME, 5% 10/25/33

1,785

1,768

Series 2005-39 Class TE, 5% 5/25/35

1,120

1,090

Series 2005-73 Class SA, 13.923% 8/25/35 (g)

931

980

sequential payer:

Series 2001-20 Class Z, 6% 5/25/31

4,809

4,920

Series 2001-31 Class ZC, 6.5% 7/25/31

1,663

1,717

Series 2002-79 Class Z, 5.5% 11/25/22

2,178

2,147

Series 2003-80 Class CG, 6% 4/25/30

621

644

Series 2005-41 Class LA, 5.5% 5/25/35

3,208

3,236

Series 1999-33 Class PK, 6% 7/25/29

2,753

2,821

Series 2001-63 Class PG, 6% 12/25/31

2,005

2,048

Series 2001-74 Class QE, 6% 12/25/31

1,916

1,957

Series 2003-21 Class SK, 6.705% 3/25/33 (g)(h)

852

92

Series 2003-3 Class HS, 6.255% 9/25/16 (g)(h)

54

2

Series 2003-35:

Class BS, 5.605% 4/25/17 (g)(h)

583

28

Class TQ, 6.105% 5/25/18 (g)(h)

754

73

Series 2003-42:

Class HS, 5.705% 12/25/17 (g)(h)

6,986

533

Class SJ, 5.655% 11/25/22 (g)(h)

961

84

Series 2003-48 Class HI, 5% 11/25/17 (h)

2,827

238

Series 2004-54 Class SW, 4.605% 6/25/33 (g)(h)

3,811

251

Series 2006-4 Class IT, 6% 10/25/35 (h)

421

68

Series 2007-36:

Class GO, 4/25/37 (i)

504

436

Class SG, 5.205% 4/25/37 (g)(h)

6,528

557

Series 2007-57 Class SA, 32.25% 6/25/37 (g)

4,866

6,566

Series 2007-66:

Class SA, 31.23% 7/25/37 (g)

3,191

4,241

Class SB, 31.23% 7/25/37 (g)

973

1,342

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac:

floater Series 3318:

Class CY, 0% 11/15/36 (g)

$ 191

$ 176

Class GY, 0% 5/15/37 (g)

221

199

planned amortization class:

Series 2095 Class PE, 6% 11/15/28 (e)

5,035

5,120

Series 2104 Class PG, 6% 12/15/28

1,509

1,537

Series 2162 Class PH, 6% 6/15/29

345

352

Series 70 Class C, 9% 9/15/20

108

117

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

728

741

Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28

1,743

1,794

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2958 Class TF, 0% 4/15/35 (g)

500

425

Series 3129 Class MF, 0% 7/15/34 (g)

352

351

Series 3222 Class HF, 0% 9/15/36 (g)

538

537

planned amortization class:

Series 2121 Class MG, 6% 2/15/29

1,984

2,019

Series 2131 Class BG, 6% 3/15/29

7,991

8,136

Series 2137 Class PG, 6% 3/15/29

1,941

1,974

Series 2154 Class PT, 6% 5/15/29

2,965

3,015

Series 2435 Class VG, 6% 2/15/13

691

709

Series 2488 Class PR, 6% 8/15/32

1,058

1,076

Series 2585 Class KS, 6.1775% 3/15/23 (g)(h)

487

44

Series 2590 Class YR, 5.5% 9/15/32 (h)

135

26

Series 2802 Class OB, 6% 5/15/34 (d)(e)

3,375

3,371

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

2,540

2,548

Series 3077 Class TO, 4/15/35 (i)

4,107

3,272

sequential payer:

Series 2135 Class JE, 6% 3/15/29

2,284

2,310

Series 2274 Class ZM, 6.5% 1/15/31

780

808

Series 2281 Class ZB, 6% 3/15/30

952

975

Series 2388 Class ZA, 6% 12/15/31

4,921

5,018

Series 2417 Class KZ, 6% 2/15/32

1,042

1,056

Series 2502 Class ZC, 6% 9/15/32

1,671

1,677

Series 2504 Class Z, 6% 9/15/32

1,501

1,526

Series 2564 Class ES, 6.1775% 2/15/22 (g)(h)

806

58

Series 2575 Class ID, 5.5% 8/15/22 (h)

133

15

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

2,750

2,425

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

sequential payer:

Series 2817 Class SD, 5.6275% 7/15/30 (g)(h)

$ 1,436

$ 105

Series 3097 Class IA, 5.5% 3/15/33 (h)

3,795

504

Series 1658 Class GZ, 7% 1/15/24

2,193

2,268

Series 2587 Class IM, 6.5% 3/15/33 (h)

1,412

237

Series 2844:

Class SC, 37.5538% 8/15/24 (g)

101

152

Class SD, 67.9575% 8/15/24 (g)

148

294

Series 2957 Class SW, 4.5775% 4/15/35 (g)(h)

5,849

310

Series 3002 Class SN, 5.0775% 7/15/35 (g)(h)

5,891

468

Ginnie Mae guaranteed REMIC pass-thru securities:

sequential payer Series 2002-42 Class ZA,
6% 6/20/32

1,917

1,957

Series 2003-11 Class S, 5.1275% 2/16/33 (g)(h)

4,627

420

Series 2004-32 Class GS, 5.0775% 5/16/34 (g)(h)

1,332

96

TOTAL U.S. GOVERNMENT AGENCY

127,299

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $218,368)

191,730

Commercial Mortgage Securities - 1.9%

 

Asset Securitization Corp. Series 1997-D5:

Class A-6, 7.4352% 2/14/43 (g)

8,300

6,827

Class PS1, 1.5564% 2/14/43 (g)(h)

16,639

517

Bayview Commercial Asset Trust floater:

Series 2006-3A:

Class B1, 2.195% 10/25/36 (a)(g)

262

73

Class B2, 2.745% 10/25/36 (a)(g)

171

44

Class B3, 3.995% 10/25/36 (a)(g)

306

74

Class M4, 1.825% 10/25/36 (a)(g)

262

107

Class M5, 1.875% 10/25/36 (a)(g)

334

120

Class M6, 1.955% 10/25/36 (a)(g)

647

207

Series 2006-4A:

Class B1, 2.095% 12/25/36 (a)(g)

102

52

Class B2, 2.645% 12/25/36 (a)(g)

98

48

Class B3, 3.845% 12/25/36 (a)(g)

181

89

Series 2007-1:

Class B1, 2.065% 3/25/37 (a)(g)

150

50

Class B2, 2.545% 3/25/37 (a)(g)

110

33

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2007-1: - continued

Class B3, 4.745% 3/25/37 (a)(g)

$ 313

$ 91

Class M1, 1.665% 3/25/37 (a)(g)

126

73

Class M2, 1.685% 3/25/37 (a)(g)

97

54

Class M3, 1.715% 3/27/37 (a)(g)

85

46

Class M4, 1.765% 3/25/37 (a)(g)

65

30

Class M5, 1.815% 3/25/37 (a)(g)

106

44

Class M6, 1.895% 3/25/37 (a)(g)

150

56

Series 2007-2A:

Class B1, 2.995% 7/25/37 (a)(g)

117

36

Class B2, 3.645% 7/25/37 (a)(g)

99

23

Class B3, 4.745% 7/25/37 (a)(g)

112

24

Class M4, 2.045% 7/25/37 (a)(g)

144

56

Class M5, 2.145% 7/25/37 (a)(g)

130

48

Class M6, 2.395% 7/25/37 (a)(g)

162

54

Series 2007-3:

Class B1, 2.345% 7/25/37 (a)(g)

102

51

Class B2, 2.995% 7/25/37 (a)(g)

268

126

Class B3, 5.395% 7/25/37 (a)(g)

138

63

Class M1, 1.705% 7/25/37 (a)(g)

91

54

Class M2, 1.735% 7/25/37 (a)(g)

94

55

Class M3, 1.765% 7/25/37 (a)(g)

153

84

Class M4, 1.895% 7/25/37 (a)(g)

244

132

Class M5, 1.995% 7/25/37 (a)(g)

122

65

Class M6, 2.195% 7/25/37 (a)(g)

94

48

Series 2007-4A:

Class B1, 3.945% 9/25/37 (a)(g)

138

40

Class B2, 4.845% 9/25/37 (a)(g)

512

143

CDC Commercial Mortgage Trust Series 2002-FX1
Class XCL, 1.0237% 5/15/35 (a)(g)(h)

27,311

870

Chase Commercial Mortgage Securities Corp. Series 1999-2:

Class E, 7.734% 1/15/32

1,110

1,086

Class F, 7.734% 1/15/32

600

587

Credit Suisse Commercial Mortgage Trust
sequential payer:

Series 2007-C2 Class A1, 5.269% 1/15/49

596

540

Series 2007-C3 Class A1, 5.664% 6/15/39 (g)

683

621

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2006-TF2A:

Class A2, 2.9225% 7/15/19 (a)(g)

250

50

Class SHDC, 2.4225% 7/15/19 (a)(g)

119

30

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse First Boston Mortgage Securities Corp. floater: - continued

Series 2006-TFL2 Class SHDD, 2.7725% 7/15/19 (a)(g)

$ 67

$ 15

Credit Suisse Mortgage Capital Certificates
sequential payer Series 2007-C1 Class A1,
5.227% 2/15/40

731

667

GS Mortgage Securities Corp. II floater Series 2007-EOP:

Class C, 2.4975% 3/1/20 (a)(g)

780

484

Class D, 2.5475% 3/1/20 (a)(g)

235

146

Class E, 2.6175% 3/1/20 (a)(g)

390

242

Class F, 2.6575% 3/1/20 (a)(g)

195

117

Class G, 2.6975% 3/1/20 (a)(g)

95

57

Class H, 2.8275% 3/1/20 (a)(g)

160

96

Class J, 3.0275% 3/1/20 (a)(g)

230

133

GS Mortgage Securities Trust sequential payer Series 2007-GG10 Class A1, 5.69% 8/10/45

1,118

889

JPMorgan Chase Commercial Mortgage Securities Trust sequential payer Series 2007-LDP10 Class A1, 5.122% 1/15/49

671

601

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2006-C7 Class A1, 5.279% 11/15/38

420

382

Series 2007-C1 Class A1, 5.391% 2/15/40 (g)

603

548

Series 2007-C2 Class A1, 5.226% 2/15/40

532

482

Series 2004-C2 Class XCP, 1.0169% 3/1/36 (a)(g)(h)

62,797

1,268

Series 2007-C1 Class XCP, 0.6536% 2/15/40 (g)(h)

14,955

238

Merrill Lynch-CFC Commercial Mortgage Trust sequential payer:

Series 2007-5 Class A1, 4.275% 12/12/11

536

475

Series 2007-6 Class A1, 5.175% 3/12/51

598

541

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $29,973)

20,902

Cash Equivalents - 4.4%

Maturity Amount (000s)

Value (000s)

Investments in repurchase agreements in a joint trading account at 0.27%, dated 11/28/08 due 12/1/08 (Collateralized by U.S. Government Obligations) #
(Cost $47,400)

47,401

$ 47,400

TOTAL INVESTMENT PORTFOLIO - 144.5%

(Cost $1,587,205)

1,551,159

NET OTHER ASSETS - (44.5)%

(477,810)

NET ASSETS - 100%

$ 1,073,349

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Sold

Treasury Contracts

56 CBOT 2 Year U.S. Treasury Notes
Index Contracts

April 2009

$ 12,142

$ (92)

 

The face value of futures sold as a percentage of net assets - 1.1%

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

Receive monthly notional amount multiplied by 2.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 8.52% 9/25/34 (Rating-B2) (f)

Oct. 2034

$ 457

$ (417)

Receive monthly notional amount multiplied by 2.8% and pay Merrill Lynch, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.7768% 11/25/34 (Rating-B1) (f)

Dec. 2034

477

(435)

Receive monthly notional amount multiplied by 2.22% and pay JPMorgan Chase, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2005-HE3 Class B2, 6.87% 7/25/35 (Rating-Caa2) (f)

August 2035

1,000

(919)

TOTAL CREDIT DEFAULT SWAPS

1,934

(1,771)

Interest Rate Swaps

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 3.41% with Credit Suisse First Boston

Sept. 2010

57,000

(1,332)

 

 

$ 58,934

$ (3,103)

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $27,464,000 or 2.6% of net assets.

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

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

(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $170,000.

(e) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $2,721,000.

(f) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

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

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

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

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$47,400,000 due 12/01/08 at 0.27%

Banc of America Securities LLC

$ 23,153

Bank of America, NA

23,016

Barclays Capital, Inc.

1,231

 

$ 47,400

Other Information

The following is a summary of the inputs used, as of November 30, 2008, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities

$ 1,551,159

$ -

$ 1,542,045

$ 9,114

Other Financial Instruments*

$ (3,195)

$ (92)

$ (1,332)

$ (1,771)

*Other financial instruments include Futures Contracts and Swap Agreements.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

(Amounts in thousands)

Investments in Securities

Other Financial Instruments

Beginning Balance

$ 2,301

$ (804)

Total Realized Gain (Loss)

41

-*

Total Unrealized Gain (Loss)

(654)

(78)

Cost of Purchases

8,388

-

Proceeds of Sales

(1,791)

-

Amortization/Accretion

(181)

-

Transfer in/out of Level 3

1,010

(889)

Ending Balance

$ 9,114

$ (1,771)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $11,000.

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At November 30, 2008, the aggregate cost of investment securities for income tax purposes was $1,587,211,000. Net unrealized depreciation aggregated $36,052,000, of which $25,855,000 related to appreciated investment securities and $61,907,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Debt securities, including restricted securities, 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 available dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual 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. Actual prices received at disposition may differ.

When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities.

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1 - Quoted prices in active markets for identical securities.

Level 2 - Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3 - Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

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

Swap Agreements

The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall. The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer (buyer of protection) and/or to gain credit exposure to an issuer to which it is not otherwise exposed (seller of protection). The issuer may be either a single issuer or a basket of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $1,934,000 representing 0.18% of net assets.

The value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as a seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity Mortgage Securities Fund

(A Class of Fidelity® Advisor
Mortgage Securities Fund)

November 30, 2008 

1.813258.104

MOR-QTLY-0109

Investments November 30, 2008 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 114.1%

 

Principal Amount (000s)

Value (000s)

Fannie Mae - 63.3%

4.011% 8/1/33 (g)

$ 145

$ 142

4.173% 1/1/35 (g)

387

383

4.205% 1/1/35 (g)

184

180

4.232% 6/1/33 (g)

1,581

1,564

4.25% 2/1/35 (g)

187

186

4.292% 8/1/33 (g)

639

626

4.296% 5/1/33 (g)

44

44

4.303% 3/1/33 (g)

91

90

4.326% 7/1/35 (g)

599

602

4.331% 1/1/35 (g)

224

222

4.425% 5/1/35 (g)

138

139

4.432% 3/1/35 (g)

304

301

4.449% 8/1/34 (g)

490

486

4.5% 10/1/19 to 9/1/31 (c)

23,392

23,489

4.523% 2/1/34 (g)

150

149

4.548% 10/1/33 (g)

142

141

4.568% 2/1/35 (g)

46

46

4.606% 1/1/20 (g)

871

867

4.625% 4/1/33 (g)

720

719

4.634% 4/1/33 (g)

24

24

4.706% 7/1/34 (g)

1,825

1,802

4.708% 2/1/35 (g)

1,067

1,064

4.739% 8/1/35 (g)

744

740

4.747% 1/1/35 (g)

1,339

1,324

4.753% 12/1/34 (g)

176

173

4.766% 4/1/35 (g)

68

69

4.804% 8/1/33 (g)

637

641

4.823% 10/1/34 (g)

1,700

1,681

4.833% 12/1/35 (g)

1,912

1,896

4.86% 4/1/33 (g)

1,775

1,749

4.87% 9/1/33 (g)

506

510

4.87% 7/1/35 (g)

1,086

1,086

4.933% 1/1/35 (g)

537

533

4.936% 7/1/35 (g)

46

46

5% 9/1/16 to 11/1/38 (b)(e)

103,641

104,587

5% 12/1/23 (b)(c)

2,000

2,023

5% 12/11/38 (b)

37,000

37,243

5% 12/11/38 (b)(c)

10,000

10,066

5% 1/13/39 (b)(c)

36,000

36,187

5.05% 1/1/37 (g)

1,296

1,290

5.07% 7/1/33 (g)

113

114

5.095% 7/1/34 (g)

419

414

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

5.152% 5/1/35 (g)

$ 131

$ 133

5.157% 6/1/35 (g)

685

686

5.16% 10/1/18 (g)

85

85

5.174% 8/1/34 (g)

1,098

1,092

5.205% 11/1/32 (g)

361

361

5.264% 12/1/36 (g)

554

552

5.279% 3/1/35 (g)

110

109

5.307% 7/1/35 (g)

765

767

5.326% 6/1/36 (g)

1,855

1,857

5.329% 7/1/35 (g)

459

459

5.342% 2/1/37 (g)

561

561

5.365% 1/1/32 (g)

145

143

5.482% 6/1/32 (g)

345

339

5.489% 2/1/35 (g)

39

38

5.5% 1/1/09 to 7/1/37 (c)

85,588

87,346

5.5% 12/11/38

10,000

10,167

5.5% 12/11/38 (b)

31,000

31,518

5.5% 12/11/38 (b)

10,000

10,167

5.5% 12/11/38 (b)(c)

40,000

40,669

5.573% 10/1/36 (g)

285

287

5.656% 6/1/36 (g)

1,470

1,476

5.702% 1/1/35 (g)

2,309

2,276

5.77% 3/1/36 (g)

3,309

3,330

5.797% 1/1/36 (g)

579

584

5.806% 11/1/36 (g)

889

884

5.823% 7/1/36 (g)

611

617

5.845% 3/1/36 (g)

1,877

1,898

5.845% 9/1/36 (g)

907

903

5.853% 3/1/36 (g)

1,562

1,574

5.897% 5/1/36 (g)

1,735

1,748

5.918% 1/1/35 (g)

1,970

1,939

5.952% 4/1/36 (g)

398

402

5.952% 9/1/36 (g)

931

946

5.954% 5/1/36 (g)

567

573

6% 3/1/09 to 11/1/37 (c)

113,667

116,744

6.002% 9/1/36 (c)(g)

771

783

6.013% 4/1/36 (g)

6,133

6,184

6.076% 3/1/37 (g)

997

1,011

6.087% 4/1/36 (g)

5,211

5,259

6.091% 9/1/36 (g)

640

649

6.12% 4/1/36 (g)

901

910

6.198% 5/1/37 (g)

84

85

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

6.217% 2/1/35 (g)

$ 109

$ 110

6.226% 5/1/36 (g)

1,893

1,915

6.241% 6/1/36 (g)

3,145

3,185

6.243% 6/1/36 (g)

138

137

6.245% 8/1/46 (g)

321

326

6.346% 5/1/36 (g)

1,316

1,333

6.429% 4/1/37 (g)

967

987

6.499% 12/1/36 (g)

204

209

6.5% 5/1/12 to 9/1/47 (c)

65,987

68,194

6.555% 12/1/36 (g)

286

291

6.784% 9/1/37 (g)

1,489

1,519

6.862% 9/1/37 (g)

676

690

6.946% 9/1/37 (g)

536

547

7% 12/1/15 to 7/1/37

9,224

9,631

7.124% 9/1/37 (g)

797

815

7.5% 8/1/22 to 5/1/37

13,738

14,334

8% 12/1/29 to 3/1/37

176

185

8.5% 1/1/16 to 7/1/31

220

239

9% 2/1/13 to 10/1/30

542

600

9.5% 11/1/09 to 8/1/22

85

95

11% 8/1/10

12

12

12.25% 5/1/15

16

18

12.5% 8/1/15 to 3/1/16

18

21

12.75% 2/1/15

4

5

13.5% 9/1/14

3

4

 

679,151

Freddie Mac - 37.3%

3.744% 5/1/34 (g)

32

31

4.275% 6/1/35 (g)

291

293

4.316% 12/1/34 (g)

234

232

4.407% 3/1/35 (g)

301

297

4.449% 2/1/34 (g)

182

177

4.455% 3/1/35 (g)

267

264

4.577% 6/1/33 (g)

2,071

2,094

4.591% 3/1/34 (g)

2,520

2,489

4.719% 1/1/35 (g)

2,361

2,357

4.79% 2/1/36 (g)

264

262

4.801% 3/1/35 (g)

541

534

4.897% 11/1/35 (g)

971

960

5% 6/1/18 to 8/1/36

33,806

34,082

5% 12/11/38 (b)

10,000

10,054

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

5.023% 4/1/35 (g)

$ 140

$ 140

5.163% 10/1/33 (g)

1,732

1,761

5.218% 12/1/33 (g)

1,094

1,081

5.364% 3/1/35 (g)

177

174

5.455% 4/1/37 (g)

417

417

5.5% 6/1/09 to 1/1/38

34,047

34,680

5.5% 12/11/38 (b)(c)

35,000

35,514

5.5% 12/11/38 (b)(c)

36,000

36,529

5.5% 12/11/38 (b)(c)

8,000

8,118

5.5% 12/11/38 (b)(c)

8,000

8,118

5.5% 12/11/38 (b)(c)

12,000

12,176

5.5% 12/11/38 (b)(c)

12,000

12,176

5.5% 12/11/38 (b)(c)

11,000

11,162

5.5% 1/13/39 (b)

36,000

36,470

5.5% 1/13/39 (b)

8,000

8,104

5.5% 1/13/39 (c)

4,000

4,052

5.5% 1/13/39 (b)

8,000

8,104

5.519% 11/1/31 (g)

64

63

5.54% 1/1/37 (g)

1,936

1,933

5.735% 10/1/35 (g)

257

257

5.772% 3/1/37 (g)

2,026

2,013

5.781% 4/1/37 (g)

1,991

1,987

5.808% 6/1/37 (g)

1,576

1,587

5.834% 5/1/37 (g)

585

586

5.947% 4/1/36 (g)

1,317

1,324

6% 4/1/14 to 7/1/37 (e)

38,955

40,009

6.006% 6/1/36 (g)

596

599

6.128% 10/1/36 (g)

138

140

6.142% 12/1/36 (g)

877

885

6.149% 4/1/37 (g)

708

718

6.172% 7/1/36 (g)

3,374

3,404

6.238% 5/1/36 (g)

577

583

6.244% 3/1/36 (g)

2,980

3,020

6.326% 7/1/36 (g)

642

648

6.36% 10/1/36 (g)

3,429

3,471

6.418% 6/1/37 (g)

168

170

6.422% 12/1/36 (g)

1,683

1,715

6.5% 4/1/11 to 8/1/47

27,107

27,939

6.566% 6/1/37 (g)

210

214

6.591% 6/1/36 (g)

426

434

6.592% 12/1/36 (g)

3,862

3,950

6.624% 7/1/36 (g)

2,842

2,903

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

6.626% 1/1/37 (g)

$ 2,105

$ 2,132

6.641% 8/1/37 (g)

1,183

1,202

6.671% 10/1/36 (g)

1,668

1,690

6.839% 10/1/36 (g)

2,396

2,452

7% 6/1/21 to 9/1/36

6,492

6,751

7.128% 2/1/37 (g)

256

265

7.5% 11/1/10 to 4/1/37

10,726

11,241

7.524% 4/1/37 (g)

122

126

7.7% 8/1/36 (g)

15

16

8% 11/1/16 to 1/1/37

253

270

8.5% 7/1/09 to 9/1/20

27

30

9% 7/1/13 to 5/1/21

226

248

10% 6/1/09 to 5/1/19

43

49

10.5% 8/1/10 to 2/1/16

3

4

12.5% 10/1/12 to 12/1/14

31

34

13% 12/1/13 to 6/1/15

72

83

 

400,047

Government National Mortgage Association - 13.5%

5% 5/15/36

5,121

5,174

5% 12/18/38

5,000

5,020

5.5% 12/1/38 (b)

9,000

9,141

5.5% 12/1/38 (b)

5,000

5,078

5.5% 12/18/38 (b)

5,000

5,078

5.5% 12/18/38 (b)

7,000

7,109

5.5% 12/18/38 (b)

5,000

5,078

5.5% 12/18/38 (c)

10,000

10,175

5.5% 12/18/38 (b)

1,300

1,323

5.5% 12/18/38 (b)

7,000

7,109

5.5% 12/18/38 (b)

1,000

1,018

5.5% 1/1/39 (b)

15,000

15,228

5.5% 1/21/39 (b)

12,000

12,160

5.5% 1/21/39 (b)

10,000

10,152

6% 7/15/38 to 11/15/38

8,000

8,187

6% 12/18/38 (b)

15,000

15,308

6% 12/18/38 (b)

9,000

9,185

6.5% 5/15/28 to 7/15/36

7,476

7,875

7% 2/15/24 to 7/15/32

3,426

3,544

7.5% 9/15/16 to 4/15/32

1,175

1,249

8% 6/15/21 to 12/15/25

457

496

8.5% 8/15/16 to 10/15/28

673

741

9% 11/20/17

2

2

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Government National Mortgage Association - continued

10.5% 12/20/15 to 2/20/18

$ 58

$ 67

13.5% 7/15/11

2

2

 

145,499

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,205,169)

1,224,697

Asset-Backed Securities - 6.2%

 

Ameriquest Mortgage Securities, Inc.:

Series 2005-R10 Class A2B, 1.615% 12/25/35 (g)

571

433

Series 2006-M3 Class A2A, 1.445% 10/25/36 (g)

319

304

Argent Securities, Inc. Series 2006-M2 Class A2A, 1.445% 9/25/36 (g)

916

887

Bear Stearns Asset Backed Securities I Trust:

Series 2005-AQ2 Class M7, 3.045% 9/25/35 (g)

1,965

50

Series 2005-FR1 Class M1, 1.895% 6/25/35 (g)

600

362

Series 2006-HE1 Class 1A2, 1.615% 12/25/35 (g)

3,893

3,737

Series 2007-HE3 Class 1A1, 1.515% 4/25/37 (g)

640

551

Capital Auto Receivables Asset Trust Series 2007-SN1 Class D, 6.05% 1/17/12

970

582

Citigroup Mortgage Loan Trust:

Series 2006-HE2 Class A2A, 1.445% 8/26/36 (g)

62

60

Series 2006-NC2 Class A2A, 1.435% 9/25/36 (g)

97

93

Series 2006-WF2 Class A2B, 5.735% 5/25/36

395

384

Countrywide Asset-Backed Certificates Trust:

Series 2006-13 Class 1AF1, 1.515% 1/25/37 (g)

56

54

Series 2007-11 Class 2A1, 1.455% 6/25/47 (g)

4,628

3,975

Series 2007-4 Class A1A, 1.515% 9/25/37 (g)

3,830

3,426

Series 2007-5 Class 2A1, 1.495% 4/25/29 (g)

2,302

1,913

Series 2007-BC2 Class 2A1, 1.485% 6/25/37 (g)

746

631

Credit-Based Asset Servicing and Securitization Trust Series 2006-CB7 Class A2, 1.455% 10/25/36 (g)

364

315

First Franklin Mortgage Loan Trust Series 2006-FF5 Class 2A2, 1.505% 4/25/36 (g)

488

475

Ford Credit Auto Owner Trust:

Series 2006-C Class D, 6.89% 5/15/13 (a)

715

358

Series 2007-A Class D, 7.05% 12/15/13 (a)

350

175

Fremont Home Loan Trust Series 2006-3 Class 2A1, 1.465% 2/25/37 (g)

24

23

GSAMP Trust:

Series 2004-AR1 Class B4, 5% 6/25/34 (a)(g)

160

42

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

GSAMP Trust: - continued

Series 2004-AR2 Class B1, 3.295% 8/25/34 (g)

$ 796

$ 73

GSR Mortgage Loan Trust Series 2006-6 Class AV1, 3.3288% 3/25/36 (g)

63

61

Helios Finance L.P. Series 2007-S1 Class B1, 2.1525% 10/20/14 (a)(g)

2,325

1,346

Home Equity Asset Trust Series 2006-8 Class 2A1, 1.445% 3/25/37 (g)

51

44

JPMorgan Mortgage Acquisition Trust Series 2006-WF1:

Class A1A, 5.6% 7/25/36

63

62

Class A1B, 1.495% 7/25/36 (g)

498

484

Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (a)

10,815

8,424

Long Beach Mortgage Loan Trust:

Series 2005-WL1 Class M2, 1.945% 6/25/35 (g)

1,785

1,384

Series 2006-1 Class 2A2, 1.535% 2/25/36 (g)

1

1

Series 2006-2 Class 2A2, 1.525% 3/25/36 (g)

494

479

Series 2006-8 Class 2A1, 1.435% 9/25/36 (g)

267

250

Luminent Mortgage Trust Series 2006-5 Class A1A, 1.585% 7/25/36 (g)

1,685

653

Merrill Lynch Mortgage Investors Trust Series 2006-MLN1 Class A2A, 1.465% 7/25/37 (g)

494

453

Morgan Stanley ABS Capital I Trust:

Series 2005-3 Class A3, 1.775% 8/25/35 (g)

7,184

6,465

Series 2006-HE6 Class A2A, 1.435% 9/25/36 (g)

856

808

Series 2007-HE2 Class A2A, 1.435% 1/25/37 (g)

84

73

Series 2007-HE4 Class A2A, 1.505% 2/25/37 (g)

89

77

Series 2007-NC3 Class A2A, 1.455% 5/25/37 (g)

48

39

Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 1.495% 4/25/37 (g)

1,009

848

Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 1.445% 11/25/36 (g)

126

117

National Collegiate Student Loan Trust:

Series 2006-4 Class AIO, 6.35% 2/27/12 (h)

4,205

762

Series 2007-1 Class AIO, 7.27% 4/25/12 (h)

6,370

1,297

Series 2007-2 Class AIO, 6.7% 7/25/12 (h)

4,540

976

New Century Home Equity Loan Trust Series 2005-A Class A2, 4.461% 8/25/35 (g)

4

4

Newcastle CDO VIII Series 2006-8A Class 4, 3.8588% 11/1/52 (a)(g)

5,000

850

Nomura Home Equity Loan Trust Series 2006-AF1 Class A1, 6.032% 10/25/36

196

190

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

NovaStar Mortgage Funding Trust Series 2006-6 Class A2A, 1.465% 1/25/37 (g)

$ 173

$ 148

Ocala Funding LLC Series 2006-1A Class A, 2.8525% 3/20/11 (a)(g)

2,100

840

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 1.485% 5/25/37 (g)

290

253

Series 2007-6 Class 2A1, 1.455% 7/25/37 (g)

303

264

Ownit Mortgage Loan Trust Series 2006-6 Class A2A, 1.455% 9/25/37 (g)

807

758

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1 Class 1A1, 1.465% 9/25/36 (g)

655

621

Pinnacle Capital Asset Trust Series 2006-A Class C, 5.77% 5/25/10 (a)

158

158

RAMP Trust Series 2006-RS4 Class A2, 1.505% 7/25/36 (g)

4,420

3,879

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

406

367

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 1.465% 2/25/37 (g)

359

311

Securitized Asset Backed Receivables LLC Trust:

Series 2005-FR4 Class B3, 3.115% 1/25/36 (g)

500

27

Series 2006-FR4 Class A2A, 1.475% 8/25/36 (g)

418

359

Series 2007-NC1 Class A2A, 1.445% 12/25/36 (g)

287

251

Soundview Home Loan Trust Series 2006-WF1 Class A1F, 5.998% 10/25/36

172

169

Structured Asset Securities Corp.:

Series 2005-NC2 Class M3, 1.825% 5/25/35 (g)

1,995

1,177

Series 2007-BC4 Class A3, 3.5088% 11/25/37 (g)

2,494

2,223

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 1.485% 6/25/37 (g)

5,655

4,709

WaMu Asset Holdings Corp.:

Series 2006-5 Class N1, 5.926% 7/25/46 (a)

1,148

11

Series 2006-7 Class N1, 5.926% 10/25/46 (a)

912

9

Series 2006-8 Class N1, 6.048% 10/25/46 (a)

1,160

12

WaMu Asset-Backed Certificates Series 2006-HE5 Class B1, 3.895% 10/25/36 (a)(g)

662

58

Wells Fargo Home Equity Trust:

Series 2006-2 Class A2, 1.495% 7/25/36 (g)

1,097

940

Series 2007-2 Class A1, 1.485% 4/25/37 (g)

4,169

3,836

TOTAL ASSET-BACKED SECURITIES

(Cost $86,295)

66,430

Collateralized Mortgage Obligations - 17.9%

 

Principal Amount (000s)

Value (000s)

Private Sponsor - 6.0%

American Home Mortgage Investment Trust floater Series 2004-2 Class 4A5, 4.55% 2/25/44 (g)

$ 6,360

$ 4,174

Arkle Master Issuer PLC floater:

Series 2006-1A Class 3C, 2.5388% 2/17/52 (a)(g)

910

771

Series 2006-2A Class 2C, 2.5288% 2/17/52 (a)(g)

2,250

1,713

Banc of America Mortgage Securities, Inc.:

Series 2003-J Class 2A2, 5.2947% 11/25/33 (g)

559

425

Series 2004-1 Class 2A2, 4.6819% 10/25/34 (g)

1,782

1,316

Series 2004-A:

Class 2A1, 3.555% 2/25/34 (g)

416

311

Class 2A2, 4.1069% 2/25/34 (g)

1,795

1,344

Series 2004-D Class 2A1, 3.6108% 5/25/34 (g)

216

163

Series 2004-J Class 2A1, 4.7586% 11/25/34 (g)

901

665

Series 2005-D Class 2A7, 4.7881% 5/25/35 (g)

970

576

Series 2005-H:

Class 1A1, 5.3189% 9/25/35 (g)

202

152

Class 2A2, 4.8% 9/25/35 (g)

1,043

620

Bear Stearns Adjustable Rate Mortgage Trust Series 2004-10 Class 11A1, 5.9015% 1/25/35 (g)

877

569

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 4.8511% 2/25/37 (g)

117

88

Series 2007-A2 Class 2A1, 4.8915% 7/25/37 (g)

590

439

Citigroup Mortgage Loan Trust:

Series 2004-UST1:

Class A3, 4.6606% 8/25/34 (g)

2,167

1,582

Class A4, 4.3903% 8/25/34 (g)

2,058

1,506

Series 2006-AR7 Class 1A1, 5.7644% 11/25/36 (g)

202

120

Countrywide Home Loans, Inc. sequential payer Series 2002-25 Class 2A1, 5.5% 11/27/17

21

18

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2004-4 Class 5A2,
1.795% 3/25/35 (g)

83

34

Credit Suisse First Boston Mortgage Securities Corp. Series 2002-15R Class A1, 3.4281% 1/28/32 (a)(g)

233

123

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 5.1087% 10/25/34 (g)

2,212

1,607

Fosse Master Issuer PLC floater Series 2006-1A Class C2, 4.9725% 10/18/54 (a)(g)

770

392

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 2.6875% 11/20/56 (a)(g)

1,675

849

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 5.2888% 10/11/41 (a)(g)

2,520

1,942

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 2.7675% 12/20/54 (g)

$ 700

$ 105

Series 2006-2 Class C1, 4.9725% 12/20/54 (g)

155

23

Series 2007-1:

Class 1C1, 3.5038% 12/20/54 (g)

940

141

Class 2C1, 3.6338% 12/20/54 (g)

500

75

Series 2007-2 Class 2C1, 4.98% 12/17/54 (g)

1,355

203

Granite Mortgages PLC floater Series 2003-3 Class 1B, 4.9525% 1/20/44 (g)

661

231

GSR Mortgage Loan Trust:

Series 2005-AR4 Class 3A5, 4.7717% 7/25/35 (g)

920

530

Series 2007-AR2 Class 2A1, 4.8371% 4/25/35 (g)

936

683

Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 5.1425% 7/15/40 (a)(g)

490

401

JPMorgan Mortgage Trust Series 2006-A2 Class 5A1, 4.7753% 11/25/33 (g)

1,875

1,308

Luminent Mortgage Trust floater Series 2006-1 Class A1, 1.635% 4/25/36 (g)

2,608

1,045

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 1.605% 5/25/47 (g)

1,000

408

MASTR Alternative Loan Trust Series 2003-2 Class 4A1, 6.5% 4/25/18

2,854

2,380

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1.565% 2/25/37 (g)

4,112

2,001

Merrill Lynch Floating Trust floater Series 2006-1 Class TM, 1.9225% 6/15/22 (a)(g)

4,998

3,074

Merrill Lynch Mortgage Investors Trust:

Series 2004-A4 Class A1, 4.2304% 8/25/34 (g)

3,078

2,231

Series 2006-A6 Class A4, 5.4037% 10/25/33 (g)

2,739

2,106

Permanent Financing No. 4 PLC Class 3C,
3.6169% 6/10/42 (g)

1,405

1,347

Permanent Financing No. 8 PLC floater Class 3C, 3.3369% 6/10/42 (g)

610

440

Residential Asset Mortgage Products, Inc. sequential payer:

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

759

464

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

93

80

Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.2911% 7/25/34 (g)

1,766

1,330

Structured Asset Securities Corp.:

floater Series 2006-BC5 Class B,
3.895% 12/25/36 (a)(g)

795

15

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Structured Asset Securities Corp.: - continued

Series 2003-15A Class 4A, 5.4533% 4/25/33 (g)

$ 1,566

$ 1,226

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

1,145

895

WaMu Mortgage pass-thru certificates:

sequential payer Series 2002-S6 Class A25,
6% 10/25/32

1

1

Series 2004-AR7 Class A6, 3.9394% 7/25/34 (g)

395

385

Series 2004-RA3 Class 2A, 6.3495% 8/25/38 (g)

11,797

9,240

Series 2005-AR16 Class 1A3,
5.1029% 12/25/35 (g)

2,065

1,313

Series 2005-AR3 Class A2, 4.6373% 3/25/35 (g)

3,596

2,663

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-W:

Class A1, 4.5436% 11/25/34 (g)

1,564

1,157

Class A9, 4.5436% 11/25/34 (g)

3,490

2,096

Series 2005-AR12 Class 2A6, 4.3445% 7/25/35 (g)

939

626

Series 2005-AR3 Class 2A1, 4.4116% 3/25/35 (g)

334

223

Series 2006-AR8 Class 3A1, 5.2374% 4/25/36 (g)

3,542

2,486

TOTAL PRIVATE SPONSOR

64,431

U.S. Government Agency - 11.9%

Fannie Mae:

planned amortization class:

Series 1994-23:

Class PX, 6% 8/25/23

3,397

3,479

Class PZ, 6% 2/25/24

2,647

2,671

Series 1999-15 Class PC, 6% 9/25/18

774

780

Series 2006-105 Class MD, 5.5% 6/25/35

1,145

1,141

Series 1993-165 Class SH, 15.7338% 9/25/23 (g)

162

188

Series 1999-17 Class PG, 6% 4/25/29

5,603

5,739

Series 2003-22 6% 4/25/33 (h)

4,224

656

Series 2003-26 Class KI, 5% 12/25/15 (h)

1,733

83

Series 2003-39 Class IA, 5.5% 10/25/22 (g)(h)

1,936

208

Series 2006-48 Class LF, 0% 8/25/34 (g)

33

32

Fannie Mae Stripped Mortgage-Backed Securities:

sequential payer Series 377 Class 1, 10/1/36 (i)

3,783

3,190

Series 339 Class 29, 5.5% 7/1/18 (h)

1,891

298

Series 348 Class 14, 6.5% 8/1/34 (h)

885

125

Series 351:

Class 12, 5.5% 4/1/34 (h)

671

162

Class 13, 6% 3/1/34 (h)

848

139

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Fannie Mae Stripped Mortgage-Backed Securities:
- continued

Series 359, Class 19 6% 7/1/35 (h)

$ 854

$ 198

Series 384 Class 6, 5% 7/25/37 (h)

4,532

571

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

Series 1999-32 Class PL, 6% 7/25/29

3,990

4,086

Series 2001-52 Class YZ, 6.5% 10/25/31

214

219

Series 2001-63 Class TC, 6% 12/25/31

4,065

4,082

Series 2001-72 Class NZ, 6% 12/25/31

1,178

1,195

Series 2005-14 Class ME, 5% 10/25/33

1,785

1,768

Series 2005-39 Class TE, 5% 5/25/35

1,120

1,090

Series 2005-73 Class SA, 13.923% 8/25/35 (g)

931

980

sequential payer:

Series 2001-20 Class Z, 6% 5/25/31

4,809

4,920

Series 2001-31 Class ZC, 6.5% 7/25/31

1,663

1,717

Series 2002-79 Class Z, 5.5% 11/25/22

2,178

2,147

Series 2003-80 Class CG, 6% 4/25/30

621

644

Series 2005-41 Class LA, 5.5% 5/25/35

3,208

3,236

Series 1999-33 Class PK, 6% 7/25/29

2,753

2,821

Series 2001-63 Class PG, 6% 12/25/31

2,005

2,048

Series 2001-74 Class QE, 6% 12/25/31

1,916

1,957

Series 2003-21 Class SK, 6.705% 3/25/33 (g)(h)

852

92

Series 2003-3 Class HS, 6.255% 9/25/16 (g)(h)

54

2

Series 2003-35:

Class BS, 5.605% 4/25/17 (g)(h)

583

28

Class TQ, 6.105% 5/25/18 (g)(h)

754

73

Series 2003-42:

Class HS, 5.705% 12/25/17 (g)(h)

6,986

533

Class SJ, 5.655% 11/25/22 (g)(h)

961

84

Series 2003-48 Class HI, 5% 11/25/17 (h)

2,827

238

Series 2004-54 Class SW, 4.605% 6/25/33 (g)(h)

3,811

251

Series 2006-4 Class IT, 6% 10/25/35 (h)

421

68

Series 2007-36:

Class GO, 4/25/37 (i)

504

436

Class SG, 5.205% 4/25/37 (g)(h)

6,528

557

Series 2007-57 Class SA, 32.25% 6/25/37 (g)

4,866

6,566

Series 2007-66:

Class SA, 31.23% 7/25/37 (g)

3,191

4,241

Class SB, 31.23% 7/25/37 (g)

973

1,342

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac:

floater Series 3318:

Class CY, 0% 11/15/36 (g)

$ 191

$ 176

Class GY, 0% 5/15/37 (g)

221

199

planned amortization class:

Series 2095 Class PE, 6% 11/15/28 (e)

5,035

5,120

Series 2104 Class PG, 6% 12/15/28

1,509

1,537

Series 2162 Class PH, 6% 6/15/29

345

352

Series 70 Class C, 9% 9/15/20

108

117

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

728

741

Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28

1,743

1,794

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2958 Class TF, 0% 4/15/35 (g)

500

425

Series 3129 Class MF, 0% 7/15/34 (g)

352

351

Series 3222 Class HF, 0% 9/15/36 (g)

538

537

planned amortization class:

Series 2121 Class MG, 6% 2/15/29

1,984

2,019

Series 2131 Class BG, 6% 3/15/29

7,991

8,136

Series 2137 Class PG, 6% 3/15/29

1,941

1,974

Series 2154 Class PT, 6% 5/15/29

2,965

3,015

Series 2435 Class VG, 6% 2/15/13

691

709

Series 2488 Class PR, 6% 8/15/32

1,058

1,076

Series 2585 Class KS, 6.1775% 3/15/23 (g)(h)

487

44

Series 2590 Class YR, 5.5% 9/15/32 (h)

135

26

Series 2802 Class OB, 6% 5/15/34 (d)(e)

3,375

3,371

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

2,540

2,548

Series 3077 Class TO, 4/15/35 (i)

4,107

3,272

sequential payer:

Series 2135 Class JE, 6% 3/15/29

2,284

2,310

Series 2274 Class ZM, 6.5% 1/15/31

780

808

Series 2281 Class ZB, 6% 3/15/30

952

975

Series 2388 Class ZA, 6% 12/15/31

4,921

5,018

Series 2417 Class KZ, 6% 2/15/32

1,042

1,056

Series 2502 Class ZC, 6% 9/15/32

1,671

1,677

Series 2504 Class Z, 6% 9/15/32

1,501

1,526

Series 2564 Class ES, 6.1775% 2/15/22 (g)(h)

806

58

Series 2575 Class ID, 5.5% 8/15/22 (h)

133

15

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

2,750

2,425

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

sequential payer:

Series 2817 Class SD, 5.6275% 7/15/30 (g)(h)

$ 1,436

$ 105

Series 3097 Class IA, 5.5% 3/15/33 (h)

3,795

504

Series 1658 Class GZ, 7% 1/15/24

2,193

2,268

Series 2587 Class IM, 6.5% 3/15/33 (h)

1,412

237

Series 2844:

Class SC, 37.5538% 8/15/24 (g)

101

152

Class SD, 67.9575% 8/15/24 (g)

148

294

Series 2957 Class SW, 4.5775% 4/15/35 (g)(h)

5,849

310

Series 3002 Class SN, 5.0775% 7/15/35 (g)(h)

5,891

468

Ginnie Mae guaranteed REMIC pass-thru securities:

sequential payer Series 2002-42 Class ZA,
6% 6/20/32

1,917

1,957

Series 2003-11 Class S, 5.1275% 2/16/33 (g)(h)

4,627

420

Series 2004-32 Class GS, 5.0775% 5/16/34 (g)(h)

1,332

96

TOTAL U.S. GOVERNMENT AGENCY

127,299

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $218,368)

191,730

Commercial Mortgage Securities - 1.9%

 

Asset Securitization Corp. Series 1997-D5:

Class A-6, 7.4352% 2/14/43 (g)

8,300

6,827

Class PS1, 1.5564% 2/14/43 (g)(h)

16,639

517

Bayview Commercial Asset Trust floater:

Series 2006-3A:

Class B1, 2.195% 10/25/36 (a)(g)

262

73

Class B2, 2.745% 10/25/36 (a)(g)

171

44

Class B3, 3.995% 10/25/36 (a)(g)

306

74

Class M4, 1.825% 10/25/36 (a)(g)

262

107

Class M5, 1.875% 10/25/36 (a)(g)

334

120

Class M6, 1.955% 10/25/36 (a)(g)

647

207

Series 2006-4A:

Class B1, 2.095% 12/25/36 (a)(g)

102

52

Class B2, 2.645% 12/25/36 (a)(g)

98

48

Class B3, 3.845% 12/25/36 (a)(g)

181

89

Series 2007-1:

Class B1, 2.065% 3/25/37 (a)(g)

150

50

Class B2, 2.545% 3/25/37 (a)(g)

110

33

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2007-1: - continued

Class B3, 4.745% 3/25/37 (a)(g)

$ 313

$ 91

Class M1, 1.665% 3/25/37 (a)(g)

126

73

Class M2, 1.685% 3/25/37 (a)(g)

97

54

Class M3, 1.715% 3/27/37 (a)(g)

85

46

Class M4, 1.765% 3/25/37 (a)(g)

65

30

Class M5, 1.815% 3/25/37 (a)(g)

106

44

Class M6, 1.895% 3/25/37 (a)(g)

150

56

Series 2007-2A:

Class B1, 2.995% 7/25/37 (a)(g)

117

36

Class B2, 3.645% 7/25/37 (a)(g)

99

23

Class B3, 4.745% 7/25/37 (a)(g)

112

24

Class M4, 2.045% 7/25/37 (a)(g)

144

56

Class M5, 2.145% 7/25/37 (a)(g)

130

48

Class M6, 2.395% 7/25/37 (a)(g)

162

54

Series 2007-3:

Class B1, 2.345% 7/25/37 (a)(g)

102

51

Class B2, 2.995% 7/25/37 (a)(g)

268

126

Class B3, 5.395% 7/25/37 (a)(g)

138

63

Class M1, 1.705% 7/25/37 (a)(g)

91

54

Class M2, 1.735% 7/25/37 (a)(g)

94

55

Class M3, 1.765% 7/25/37 (a)(g)

153

84

Class M4, 1.895% 7/25/37 (a)(g)

244

132

Class M5, 1.995% 7/25/37 (a)(g)

122

65

Class M6, 2.195% 7/25/37 (a)(g)

94

48

Series 2007-4A:

Class B1, 3.945% 9/25/37 (a)(g)

138

40

Class B2, 4.845% 9/25/37 (a)(g)

512

143

CDC Commercial Mortgage Trust Series 2002-FX1
Class XCL, 1.0237% 5/15/35 (a)(g)(h)

27,311

870

Chase Commercial Mortgage Securities Corp. Series 1999-2:

Class E, 7.734% 1/15/32

1,110

1,086

Class F, 7.734% 1/15/32

600

587

Credit Suisse Commercial Mortgage Trust
sequential payer:

Series 2007-C2 Class A1, 5.269% 1/15/49

596

540

Series 2007-C3 Class A1, 5.664% 6/15/39 (g)

683

621

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2006-TF2A:

Class A2, 2.9225% 7/15/19 (a)(g)

250

50

Class SHDC, 2.4225% 7/15/19 (a)(g)

119

30

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse First Boston Mortgage Securities Corp. floater: - continued

Series 2006-TFL2 Class SHDD, 2.7725% 7/15/19 (a)(g)

$ 67

$ 15

Credit Suisse Mortgage Capital Certificates
sequential payer Series 2007-C1 Class A1,
5.227% 2/15/40

731

667

GS Mortgage Securities Corp. II floater Series 2007-EOP:

Class C, 2.4975% 3/1/20 (a)(g)

780

484

Class D, 2.5475% 3/1/20 (a)(g)

235

146

Class E, 2.6175% 3/1/20 (a)(g)

390

242

Class F, 2.6575% 3/1/20 (a)(g)

195

117

Class G, 2.6975% 3/1/20 (a)(g)

95

57

Class H, 2.8275% 3/1/20 (a)(g)

160

96

Class J, 3.0275% 3/1/20 (a)(g)

230

133

GS Mortgage Securities Trust sequential payer Series 2007-GG10 Class A1, 5.69% 8/10/45

1,118

889

JPMorgan Chase Commercial Mortgage Securities Trust sequential payer Series 2007-LDP10 Class A1, 5.122% 1/15/49

671

601

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2006-C7 Class A1, 5.279% 11/15/38

420

382

Series 2007-C1 Class A1, 5.391% 2/15/40 (g)

603

548

Series 2007-C2 Class A1, 5.226% 2/15/40

532

482

Series 2004-C2 Class XCP, 1.0169% 3/1/36 (a)(g)(h)

62,797

1,268

Series 2007-C1 Class XCP, 0.6536% 2/15/40 (g)(h)

14,955

238

Merrill Lynch-CFC Commercial Mortgage Trust sequential payer:

Series 2007-5 Class A1, 4.275% 12/12/11

536

475

Series 2007-6 Class A1, 5.175% 3/12/51

598

541

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $29,973)

20,902

Cash Equivalents - 4.4%

Maturity Amount (000s)

Value (000s)

Investments in repurchase agreements in a joint trading account at 0.27%, dated 11/28/08 due 12/1/08 (Collateralized by U.S. Government Obligations) #
(Cost $47,400)

47,401

$ 47,400

TOTAL INVESTMENT PORTFOLIO - 144.5%

(Cost $1,587,205)

1,551,159

NET OTHER ASSETS - (44.5)%

(477,810)

NET ASSETS - 100%

$ 1,073,349

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Sold

Treasury Contracts

56 CBOT 2 Year U.S. Treasury Notes
Index Contracts

April 2009

$ 12,142

$ (92)

 

The face value of futures sold as a percentage of net assets - 1.1%

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

Receive monthly notional amount multiplied by 2.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 8.52% 9/25/34 (Rating-B2) (f)

Oct. 2034

$ 457

$ (417)

Receive monthly notional amount multiplied by 2.8% and pay Merrill Lynch, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.7768% 11/25/34 (Rating-B1) (f)

Dec. 2034

477

(435)

Receive monthly notional amount multiplied by 2.22% and pay JPMorgan Chase, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2005-HE3 Class B2, 6.87% 7/25/35 (Rating-Caa2) (f)

August 2035

1,000

(919)

TOTAL CREDIT DEFAULT SWAPS

1,934

(1,771)

Interest Rate Swaps

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 3.41% with Credit Suisse First Boston

Sept. 2010

57,000

(1,332)

 

 

$ 58,934

$ (3,103)

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $27,464,000 or 2.6% of net assets.

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

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

(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $170,000.

(e) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $2,721,000.

(f) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

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

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

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

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$47,400,000 due 12/01/08 at 0.27%

Banc of America Securities LLC

$ 23,153

Bank of America, NA

23,016

Barclays Capital, Inc.

1,231

 

$ 47,400

Other Information

The following is a summary of the inputs used, as of November 30, 2008, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities

$ 1,551,159

$ -

$ 1,542,045

$ 9,114

Other Financial Instruments*

$ (3,195)

$ (92)

$ (1,332)

$ (1,771)

*Other financial instruments include Futures Contracts and Swap Agreements.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

(Amounts in thousands)

Investments in Securities

Other Financial Instruments

Beginning Balance

$ 2,301

$ (804)

Total Realized Gain (Loss)

41

-*

Total Unrealized Gain (Loss)

(654)

(78)

Cost of Purchases

8,388

-

Proceeds of Sales

(1,791)

-

Amortization/Accretion

(181)

-

Transfer in/out of Level 3

1,010

(889)

Ending Balance

$ 9,114

$ (1,771)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $11,000.

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At November 30, 2008, the aggregate cost of investment securities for income tax purposes was $1,587,211,000. Net unrealized depreciation aggregated $36,052,000, of which $25,855,000 related to appreciated investment securities and $61,907,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Debt securities, including restricted securities, 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 available dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual 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. Actual prices received at disposition may differ.

When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities.

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1 - Quoted prices in active markets for identical securities.

Level 2 - Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3 - Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

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

Swap Agreements

The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall. The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer (buyer of protection) and/or to gain credit exposure to an issuer to which it is not otherwise exposed (seller of protection). The issuer may be either a single issuer or a basket of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $1,934,000 representing 0.18% of net assets.

The value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as a seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Advisor Short
Fixed-Income Fund
Class A
Class T
Class B
Class C
Institutional Class

November 30, 2008 

1.813055.104

SFI-QTLY-0109

Investments November 30, 2008 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 13.5%

 

Principal Amount

Value

CONSUMER DISCRETIONARY - 0.8%

Auto Components - 0.4%

DaimlerChrysler NA Holding Corp. 5.75% 8/10/09

$ 4,820,000

$ 4,241,600

Media - 0.4%

AOL Time Warner, Inc. 6.75% 4/15/11

1,000,000

944,726

Comcast Cable Communications, Inc. 6.75% 1/30/11

2,645,000

2,610,821

Time Warner Cable, Inc. 5.4% 7/2/12

1,245,000

1,140,335

Viacom, Inc. 5.75% 4/30/11

860,000

783,668

 

5,479,550

TOTAL CONSUMER DISCRETIONARY

9,721,150

CONSUMER STAPLES - 0.4%

Food Products - 0.4%

H.J. Heinz Co. 6.428% 12/1/08 (c)(g)

2,885,000

2,885,000

Kraft Foods, Inc. 5.625% 8/11/10

2,810,000

2,798,631

 

5,683,631

ENERGY - 1.2%

Oil, Gas & Consumable Fuels - 1.2%

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

1,865,000

1,848,631

Delek & Avner-Yam Tethys Ltd. 5.326% 8/1/13 (c)

2,225,592

2,247,425

Duke Capital LLC:

4.37% 3/1/09

2,045,000

2,028,350

7.5% 10/1/09

1,525,000

1,506,458

Enterprise Products Operating LP 4.625% 10/15/09

3,070,000

2,946,070

Kinder Morgan Energy Partners LP 6.3% 2/1/09

1,640,000

1,637,563

Pemex Project Funding Master Trust 9.125% 10/13/10

1,300,000

1,352,000

Petroleum Export Ltd.:

4.623% 6/15/10 (c)

589,167

589,455

4.633% 6/15/10 (c)

353,889

354,091

 

14,510,043

FINANCIALS - 4.6%

Capital Markets - 1.1%

American Capital Strategies Ltd. 6.85% 8/1/12

2,700,000

1,519,196

Bear Stearns Companies, Inc.:

3.25% 3/25/09

1,565,000

1,551,442

5.85% 7/19/10

4,015,000

4,032,991

Credit Suisse USA, Inc. 2.0363% 6/5/09 (g)

2,875,000

2,808,447

Goldman Sachs Group, Inc. 6.875% 1/15/11

13,000

12,567

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

955,000

786,956

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley:

5.05% 1/21/11

$ 1,283,000

$ 1,211,933

6.75% 4/15/11

1,695,000

1,597,782

 

13,521,314

Commercial Banks - 1.3%

Bank of America NA 2.835% 5/12/10 (g)

2,350,000

2,169,216

Bank One Corp. 7.875% 8/1/10

885,000

910,086

Chase Manhattan Corp. 7.875% 6/15/10

1,990,000

2,037,099

HSBC Holdings PLC 7.5% 7/15/09

1,215,000

1,200,433

Korea Development Bank 3.875% 3/2/09

1,600,000

1,585,088

National Australia Bank Ltd. 8.6% 5/19/10

1,260,000

1,258,681

US Bancorp 4.5% 7/29/10

1,120,000

1,111,289

Wells Fargo & Co. 3.98% 10/29/10

5,710,000

5,636,724

 

15,908,616

Consumer Finance - 0.7%

Household Finance Corp.:

4.125% 11/16/09

2,280,000

2,184,461

4.75% 5/15/09

1,563,000

1,533,147

MBNA Capital I 8.278% 12/1/26

1,200,000

987,141

Nelnet, Inc.:

5.125% 6/1/10

550,000

331,643

7.4% 9/29/36 (g)

2,860,000

572,000

Nissan Motor Acceptance Corp. 4.625% 3/8/10 (c)

2,090,000

2,063,750

Systems 2001 Asset Trust LLC 7.156% 12/15/11 (c)

671,993

667,459

 

8,339,601

Diversified Financial Services - 0.5%

Bank of America Corp.:

7.4% 1/15/11

275,000

277,537

7.8% 2/15/10

522,000

529,075

Citigroup Funding, Inc. 1.3988% 4/23/09 (g)

1,125,000

1,107,699

Iberbond 2004 PLC 4.826% 12/24/17 (i)

2,276,956

1,707,717

ICB OJSC 6.2% 9/29/15 (Issued by Or-ICB for
ICB OJSC) (g)

270,000

224,100

JPMorgan Chase & Co. 4.891% 9/1/15 (g)

2,440,000

2,437,924

 

6,284,052

Insurance - 0.1%

Metropolitan Life Global Funding I 3.9613% 6/25/10 (c)(g)

2,105,000

1,881,834

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Real Estate Investment Trusts - 0.9%

Brandywine Operating Partnership LP 5.625% 12/15/10

$ 2,910,000

$ 2,439,697

Colonial Properties Trust 4.75% 2/1/10

1,245,000

1,131,582

Developers Diversified Realty Corp.:

3.875% 1/30/09

2,885,000

2,823,085

5% 5/3/10

1,310,000

786,000

Duke Realty LP:

5.25% 1/15/10

615,000

557,401

5.625% 8/15/11

915,000

777,750

6.95% 3/15/11

719,000

611,150

Mack-Cali Realty LP 7.25% 3/15/09

520,000

512,340

Simon Property Group LP 4.6% 6/15/10

1,130,000

992,109

 

10,631,114

Thrifts & Mortgage Finance - 0.0%

Countrywide Home Loans, Inc. 4.125% 9/15/09

63,000

60,888

Independence Community Bank Corp. 5.2638% 6/20/13 (g)

860,000

586,430

 

647,318

TOTAL FINANCIALS

57,213,849

HEALTH CARE - 0.3%

Health Care Providers & Services - 0.3%

UnitedHealth Group, Inc.:

3.75% 2/10/09

2,230,000

2,224,913

4.125% 8/15/09

675,000

659,119

5.125% 11/15/10

1,643,000

1,597,607

 

4,481,639

INDUSTRIALS - 1.6%

Aerospace & Defense - 0.2%

BAE Systems Holdings, Inc. 4.75% 8/15/10 (c)

2,600,000

2,573,490

Air Freight & Logistics - 0.3%

FedEx Corp. 5.5% 8/15/09

3,900,000

3,842,982

Airlines - 0.5%

American Airlines, Inc. pass-thru trust certificates:

6.855% 10/15/10

110,680

104,039

6.978% 10/1/12

46,555

40,968

7.024% 4/15/11

2,000,000

1,820,000

Continental Airlines, Inc. 7.056% 3/15/11

749,000

700,315

Nonconvertible Bonds - continued

 

Principal Amount

Value

INDUSTRIALS - continued

Airlines - continued

Delta Air Lines, Inc. pass-thru trust certificates 7.57% 11/18/10

$ 1,645,000

$ 1,332,450

United Air Lines, Inc. pass-thru trust certificates:

6.071% 9/1/14

266,743

248,071

6.201% 3/1/10

216,822

208,149

6.602% 9/1/13

525,364

488,588

7.186% 10/1/12

651,521

599,400

 

5,541,980

Commercial Services & Supplies - 0.3%

R.R. Donnelley & Sons Co.:

3.75% 4/1/09

1,265,000

1,229,791

5.625% 1/15/12

3,030,000

2,521,093

 

3,750,884

Industrial Conglomerates - 0.3%

Covidien International Finance SA 5.15% 10/15/10

2,900,000

2,863,225

Hutchison Whampoa International (03/33) Ltd. 5.45% 11/24/10 (c)

980,000

958,845

 

3,822,070

TOTAL INDUSTRIALS

19,531,406

MATERIALS - 0.2%

Containers & Packaging - 0.1%

Sealed Air Corp. 6.95% 5/15/09 (c)

855,000

812,250

Paper & Forest Products - 0.1%

International Paper Co. 4.25% 1/15/09

1,465,000

1,460,020

TOTAL MATERIALS

2,272,270

TELECOMMUNICATION SERVICES - 2.5%

Diversified Telecommunication Services - 1.8%

Ameritech Capital Funding Corp. 6.25% 5/18/09

1,765,000

1,786,801

BellSouth Corp. 4.2% 9/15/09

1,775,000

1,761,262

Deutsche Telekom International Financial BV
5.375% 3/23/11

4,000,000

3,782,200

Telecom Italia Capital SA 4% 1/15/10

4,770,000

4,316,850

Telefonica Emisiones SAU 5.984% 6/20/11

4,000,000

3,825,872

Telefonos de Mexico SA de CV 4.75% 1/27/10

2,455,000

2,417,502

Nonconvertible Bonds - continued

 

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Verizon Global Funding Corp. 7.25% 12/1/10

$ 3,435,000

$ 3,484,814

Verizon New England, Inc. 6.5% 9/15/11

1,475,000

1,415,162

 

22,790,463

Wireless Telecommunication Services - 0.7%

America Movil SAB de CV 4.125% 3/1/09

3,925,000

3,872,978

Vodafone Group PLC:

5.5% 6/15/11

3,380,000

3,263,894

7.75% 2/15/10

950,000

947,559

 

8,084,431

TOTAL TELECOMMUNICATION SERVICES

30,874,894

UTILITIES - 1.9%

Electric Utilities - 1.0%

Commonwealth Edison Co. 5.4% 12/15/11

992,000

945,320

Entergy Corp. 7.75% 12/15/09 (c)

2,500,000

2,380,153

Exelon Corp. 4.45% 6/15/10

3,750,000

3,573,506

Pepco Holdings, Inc. 4% 5/15/10

1,125,000

1,076,032

Progress Energy, Inc. 7.1% 3/1/11

2,181,000

2,169,467

Southern Co. 2.9175% 8/20/10 (g)

2,505,000

2,411,030

 

12,555,508

Independent Power Producers & Energy Traders - 0.3%

Constellation Energy Group, Inc. 6.125% 9/1/09

3,035,000

3,005,688

PSEG Power LLC 3.75% 4/1/09

1,415,000

1,406,350

 

4,412,038

Multi-Utilities - 0.6%

Dominion Resources, Inc.:

3.8663% 6/17/10 (g)

1,505,000

1,506,073

6.3% 9/30/66 (g)

1,680,000

823,200

DTE Energy Co. 7.05% 6/1/11

1,600,000

1,585,590

KeySpan Corp. 7.625% 11/15/10

790,000

810,151

NiSource Finance Corp. 7.875% 11/15/10

780,000

702,072

Nonconvertible Bonds - continued

 

Principal Amount

Value

UTILITIES - continued

Multi-Utilities - continued

NSTAR 8% 2/15/10

$ 715,000

$ 735,703

Sempra Energy 4.75% 5/15/09

1,055,000

1,036,801

 

7,199,590

TOTAL UTILITIES

24,167,136

TOTAL NONCONVERTIBLE BONDS

(Cost $181,139,848)

168,456,018

U.S. Government and Government Agency Obligations - 53.8%

 

U.S. Government Agency Obligations - 15.9%

Fannie Mae:

0% 9/25/09

26,920,000

26,596,879

3% 7/12/10

53,000,000

53,766,857

3.25% 2/10/10

11,000,000

11,165,352

4.75% 3/12/10 (b)

46,673,000

48,131,531

Freddie Mac 4.875% 2/9/10 (b)

55,860,000

57,710,363

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

197,370,982

U.S. Treasury Obligations - 37.9%

U.S. Treasury Notes:

1.25% 11/30/10 (k)

207,255,000

208,079,749

1.75% 11/15/11

78,812,000

79,803,297

4.625% 8/31/11

14,209,000

15,551,083

4.875% 4/30/11 (d)

50,695,000

55,352,603

4.875% 5/31/11 (e)

86,098,000

94,169,688

4.875% 7/31/11

15,901,000

17,482,402

TOTAL U.S. TREASURY OBLIGATIONS

470,438,822

TOTAL U.S. GOVERNMENT AND GOVERNMENT
AGENCY OBLIGATIONS

(Cost $657,251,722)

667,809,804

U.S. Government Agency - Mortgage Securities - 8.5%

 

Principal Amount

Value

Fannie Mae - 6.6%

3.933% 1/1/34 (g)

$ 85,801

$ 85,913

4.082% 6/1/35 (g)

258,308

258,099

4.173% 1/1/35 (g)

237,378

234,474

4.185% 8/1/33 (g)

143,315

140,485

4.196% 5/1/35 (g)

1,156,559

1,128,132

4.205% 1/1/35 (g)

110,466

108,294

4.25% 2/1/34 (g)

109,821

109,009

4.25% 2/1/35 (g)

112,392

111,360

4.262% 1/1/34 (g)

120,437

119,738

4.263% 7/1/35 (g)

214,771

215,948

4.291% 2/1/35 (g)

779,717

770,935

4.296% 5/1/33 (g)

27,677

27,792

4.303% 3/1/33 (g)

57,689

57,178

4.325% 2/1/35 (g)

1,385,546

1,380,592

4.326% 7/1/35 (g)

350,155

352,145

4.331% 1/1/35 (g)

134,292

133,030

4.363% 10/1/37 (g)

732,866

724,430

4.375% 2/1/35 (g)

949,691

940,858

4.384% 7/1/33 (g)

654,765

646,430

4.406% 8/1/34 (g)

2,362,960

2,312,353

4.406% 8/1/35 (g)

191,792

188,527

4.422% 10/1/34 (g)

549,243

544,269

4.425% 5/1/35 (g)

69,013

69,614

4.43% 6/1/35 (g)

662,395

666,604

4.432% 3/1/35 (g)

182,304

180,624

4.436% 2/1/35 (g)

395,058

393,434

4.486% 10/1/33 (g)

1,061,095

1,052,010

4.548% 10/1/33 (g)

86,803

86,065

4.554% 5/1/35 (g)

2,018,444

2,005,408

4.56% 6/1/33 (g)

1,203,781

1,198,488

4.566% 9/1/35 (g)

856,476

851,017

4.568% 2/1/35 (g)

26,171

26,149

4.569% 7/1/35 (g)

1,872,907

1,859,581

4.6% 10/1/33 (g)

105,084

104,225

4.632% 1/1/34 (g)

70,085

68,561

4.634% 4/1/33 (g)

14,752

14,803

4.658% 10/1/35 (g)

249,571

250,264

4.689% 10/1/34 (g)

592,639

584,219

4.704% 11/1/35 (g)

760,526

756,982

4.714% 7/1/35 (g)

581,073

577,954

4.739% 8/1/35 (g)

646,833

643,502

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Fannie Mae - continued

4.744% 10/1/35 (g)

$ 614,706

$ 612,006

4.753% 12/1/34 (g)

101,658

100,416

4.766% 4/1/35 (g)

40,609

41,111

4.767% 7/1/35 (g)

6,412,068

6,359,838

4.768% 1/1/35 (g)

752,710

744,371

4.785% 8/1/35 (g)

322,134

320,984

4.794% 10/1/34 (g)

595,416

583,506

4.806% 11/1/34 (g)

306,505

303,242

4.827% 1/1/35 (g)

2,126,697

2,101,775

4.852% 1/1/35 (g)

693,471

686,155

4.896% 2/1/36 (g)

9,222,936

9,177,647

4.911% 7/1/35 (g)

1,369,197

1,365,201

4.926% 8/1/34 (g)

966,863

956,209

4.933% 7/1/34 (g)

405,049

403,726

4.978% 5/1/35 (g)

305,170

305,280

5% 3/1/18 to 6/1/18

2,075,863

2,114,947

5.002% 9/1/34 (g)

1,463,775

1,448,247

5.054% 7/1/35 (g)

1,603,730

1,595,540

5.09% 9/1/34 (g)

114,696

113,515

5.109% 5/1/36 (g)

621,766

632,239

5.119% 7/1/35 (g)

2,387,556

2,365,075

5.125% 5/1/35 (g)

404,512

402,205

5.137% 3/1/37 (g)

705,261

701,254

5.152% 5/1/35 (g)

77,403

78,730

5.154% 9/1/35 (g)

3,698,835

3,696,924

5.157% 6/1/35 (g)

401,743

402,203

5.16% 10/1/18 (g)

49,609

49,794

5.161% 9/1/35 (g)

2,141,265

2,140,266

5.185% 3/1/35 (g)

60,884

60,426

5.279% 3/1/35 (g)

66,260

65,290

5.297% 2/1/36 (g)

456,672

457,624

5.33% 10/1/35 (g)

398,644

406,940

5.348% 2/1/36 (g)

136,438

134,627

5.379% 11/1/35 (g)

572,245

573,327

5.489% 2/1/35 (g)

23,132

23,004

5.5% 7/1/13 to 6/1/19

7,819,251

8,008,900

5.509% 11/1/36 (g)

719,715

718,353

5.557% 5/1/36 (g)

1,676,022

1,687,513

5.756% 1/1/36 (g)

786,472

790,395

5.796% 3/1/36 (g)

387,511

390,067

6.042% 4/1/36 (g)

247,518

249,703

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Fannie Mae - continued

6.069% 1/1/35 (g)

$ 85,419

$ 85,798

6.146% 4/1/36 (g)

495,479

500,076

6.217% 2/1/35 (g)

63,220

63,601

6.5% 6/1/11 to 3/1/35

5,627,953

5,814,959

7% 12/1/08 to 6/1/32

537,949

563,132

7.5% 5/1/12 to 10/1/14

52,340

54,810

11.5% 11/1/15

19,004

20,085

TOTAL FANNIE MAE

82,450,531

Freddie Mac - 1.8%

4.275% 6/1/35 (g)

181,788

183,251

4.316% 12/1/34 (g)

149,035

147,585

4.362% 2/1/35 (g)

175,398

173,217

4.407% 3/1/35 (g)

190,056

187,777

4.42% 4/1/35 (g)

970,764

954,694

4.449% 2/1/34 (g)

109,400

106,358

4.455% 3/1/35 (g)

162,433

160,543

4.494% 4/1/35 (g)

766,629

760,154

4.527% 2/1/35 (g)

306,576

303,563

4.591% 1/1/35 (g)

1,875,133

1,861,383

4.621% 2/1/35 (g)

134,985

132,852

4.698% 11/1/35 (g)

1,319,475

1,310,221

4.746% 4/1/35 (g)

1,142,042

1,127,184

4.771% 4/1/35 (g)

637,207

636,556

4.909% 12/1/35 (g)

869,913

852,899

4.921% 9/1/35 (g)

716,904

713,499

4.926% 11/1/35 (g)

633,384

627,987

4.976% 4/1/35 (g)

1,198,350

1,205,058

5.118% 1/1/36 (g)

582,631

588,004

5.27% 8/1/36 (g)

452,338

453,606

5.296% 6/1/35 (g)

428,257

425,850

5.346% 8/1/34 (g)

297,436

298,710

5.356% 6/1/37 (g)

812,803

812,960

5.364% 3/1/35 (g)

107,968

105,974

5.577% 2/1/35 (g)

206,695

203,466

5.577% 5/1/36 (g)

1,632,927

1,639,378

5.722% 7/1/37 (g)

583,428

583,746

5.758% 1/1/37 (g)

959,439

959,231

5.811% 1/1/36 (g)

425,518

426,213

5.835% 1/1/36 (g)

1,716,251

1,722,755

5.842% 1/1/35 (g)

218,519

214,055

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Freddie Mac - continued

5.885% 6/1/35 (g)

$ 280,883

$ 283,214

6.096% 6/1/36 (g)

465,237

467,624

6.718% 9/1/36 (g)

1,186,267

1,213,550

8.5% 5/1/26 to 7/1/28

137,154

149,293

12% 11/1/19

8,703

9,927

TOTAL FREDDIE MAC

22,002,337

Government National Mortgage Association - 0.1%

4.25% 7/20/34 (g)

313,873

294,362

7% 1/15/25 to 6/15/32

593,221

615,516

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

909,878

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $105,603,180)

105,362,746

Asset-Backed Securities - 10.0%

 

Accredited Mortgage Loan Trust:

Series 2003-3 Class A1, 4.46% 1/25/34

599,234

414,783

Series 2004-4 Class A2D, 1.745% 1/25/35 (g)

150,189

119,165

ACE Securities Corp. Home Equity Loan Trust Series 2003-HE1 Class M1, 2.37% 11/25/33 (g)

405,273

248,935

Advanta Business Card Master Trust Series 2007-B2 Class B2, 5.5% 6/20/13

2,835,000

1,701,000

American Express Credit Account Master Trust Series 2004-C Class C, 1.9225% 2/15/12 (c)(g)

132,486

117,579

AmeriCredit Automobile Receivables Trust:

Series 2005-1 Class D, 5.04% 5/6/11

2,500,000

2,326,062

Series 2005-CF Class A4, 4.63% 6/6/12

1,949,077

1,682,348

Series 2005-DA Class A4, 5.02% 11/6/12

4,150,000

3,300,105

Series 2006-1 Class D, 5.49% 4/6/12

1,115,000

892,697

AmeriCredit Prime Automobile Receivables Trust Series 2007-2M Class A3, 5.22% 4/8/10

1,240,000

1,059,382

Ameriquest Mortgage Securities, Inc.:

Series 2004-R10 Class M1, 2.095% 11/25/34 (g)

1,370,000

881,867

Series 2004-R11 Class M1, 2.055% 11/25/34 (g)

2,040,000

1,271,966

Series 2004-R9 Class M2, 2.045% 10/25/34 (g)

1,515,000

882,062

Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 1.725% 6/25/32 (g)

91,052

69,713

Asset-Backed Securities - continued

 

Principal Amount

Value

Argent Securities, Inc.:

Series 2003-W7:

Class A2, 3.6488% 3/1/34 (g)

$ 76,477

$ 57,945

Class M1, 3.9488% 3/1/34 (g)

2,500,000

1,382,548

Series 2003-W9 Class M1, 2.085% 3/25/34 (g)

1,544,402

942,285

Series 2004-W5 Class M1, 1.995% 4/25/34 (g)

830,000

571,613

Arran Funding Ltd. Series 2005-A Class C, 1.7425% 12/15/10 (g)

3,530,000

3,425,203

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE3 Class M2, 2.515% 6/25/34 (g)

574,814

358,396

Series 2004-HE6 Class A2, 1.755% 6/25/34 (g)

569,601

427,023

Bayview Financial Acquisition Trust Series 2004-C Class A1, 3.87% 5/28/44 (g)

498,763

359,259

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.915% 2/28/44 (g)

380,902

302,044

Bear Stearns Asset Backed Securities I Trust:

Series 2004-HE8 Class M1, 2.045% 9/25/34 (g)

906,926

557,912

Series 2007-HE3 Class 1A1, 1.515% 4/25/37 (g)

628,962

540,929

Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 5.03% 12/1/41

2,370,000

2,227,800

Capital Auto Receivables Asset Trust:

Series 2005-1 Class B, 1.7975% 6/15/10 (g)

1,240,000

1,207,838

Series 2006-1 Class B, 5.26% 10/15/10

500,000

478,360

Series 2007-1 Class B, 5.15% 9/17/12

1,085,000

759,500

Series 2007-SN1 Class D, 6.05% 1/17/12

750,000

450,000

Capital One Auto Finance Trust Series 2005-BSS
Class D, 4.8% 9/15/12

1,220,000

1,125,512

Capital One Multi-Asset Execution Trust Series 2007-B5 Class B5, 5.4% 5/15/13

3,410,000

2,920,880

Capital One Prime Auto Receivables Trust:

Series 2005-1 Class B, 4.58% 8/15/12

1,850,000

1,641,997

Series 2007-1 Class B1, 5.76% 12/15/13

1,060,000

875,557

Capital Trust Ltd. Series 2004-1:

Class A2, 1.9025% 7/20/39 (c)(g)

645,000

161,250

Class B, 2.2025% 7/20/39 (c)(g)

340,000

51,000

Class C, 2.5525% 7/20/39 (c)(g)

435,000

43,500

Carmax Auto Owner Trust:

Series 2006-1 Class C, 5.76% 11/15/12

6,935,000

5,623,768

Series 2006-2 Class C, 5.53% 3/15/13

1,070,000

831,198

Caterpillar Financial Asset Trust Series 2006-A Class A3, 5.57% 5/25/10

313,437

313,682

Chase Issuance Trust:

Series 2006-3 Class C, 1.6525% 6/15/11 (g)

2,905,000

2,614,500

Asset-Backed Securities - continued

 

Principal Amount

Value

Chase Issuance Trust: - continued

Series 2007-15 Class A, 4.96% 9/17/12

$ 6,510,000

$ 6,178,218

CIT Equipment Collateral Trust:

Series 2006-VT1:

Class A3, 5.13% 12/21/08

217,998

217,846

Class B, 5.23% 2/20/13

145,893

141,438

Class D, 5.48% 2/20/13

162,459

148,882

Series 2006-VT2 Class A3, 5.07% 2/20/10

1,966,539

1,962,971

Citibank Credit Card Issuance Trust:

Series 2007-B2 Class B2, 5% 4/2/12

4,320,000

3,699,366

Series 2007-B6 Class B6, 5% 11/8/12

3,410,000

2,751,510

Citigroup Mortgage Loan Trust Series 2003-HE4
Class A, 1.805% 12/25/33 (c)(g)

607,641

505,861

CNH Equipment Trust:

Series 2005-B Class B, 4.57% 7/16/12

830,000

708,685

Series 2007-A Class A3, 4.98% 10/15/10

1,676,372

1,669,982

Countrywide Home Loans, Inc.:

Series 2004-2 Class 3A4, 1.645% 7/25/34 (g)

86,799

62,075

Series 2004-3 Class 3A4, 1.645% 8/25/34 (g)

353,660

273,644

Series 2004-4 Class A, 1.765% 8/25/34 (g)

53,139

33,222

CPS Auto Receivables Trust:

Series 2006-B Class A3, 5.73% 6/15/16 (c)

224,903

224,277

Series 2007-C Class A3, 5.45% 5/15/12 (c)

934,994

786,519

Credit Suisse First Boston Mortgage Securities Corp. Series 2005-FIX1 Class A2, 4.31% 5/25/35

653,221

567,077

Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A Class C, 5.074% 6/15/35 (c)

974,000

803,876

Discover Card Master Trust I Series 2003-4 Class B1, 1.7525% 5/16/11 (g)

1,775,000

1,766,872

Diversified REIT Trust Series 2000-1A:

Class A2, 6.971% 3/8/10 (c)

130,996

98,247

Class E, 6.971% 3/8/10 (c)

865,000

827,463

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5:

Class AB1, 3.3918% 5/28/35 (g)

159,655

122,641

Class AB3, 3.5349% 5/28/35 (g)

62,502

45,132

Fieldstone Mortgage Investment Corp. Series 2006-2 Class M1, 1.705% 7/25/36 (g)(h)

1,430,000

95,524

First Franklin Mortgage Loan Trust Series 2006-FF5 Class 2A2, 1.505% 4/25/36 (g)

408,084

396,990

First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (c)

236,187

225,708

Asset-Backed Securities - continued

 

Principal Amount

Value

Ford Credit Auto Owner Trust:

Series 2006-B Class C, 5.68% 6/15/12

$ 2,040,000

$ 1,326,000

Series 2006-C Class B, 5.3% 6/15/12

750,000

525,000

Series 2007-A:

Class B, 5.6% 10/15/12

490,000

343,000

Class C, 5.8% 2/15/13

775,000

503,750

Fosse Master Issuer PLC Series 2007-1A Class C2, 5.0525% 10/18/54 (c)(g)

785,000

570,208

Franklin Auto Trust Series 2007-1:

Class A4, 5.03% 2/16/15

1,505,000

1,354,884

Class C, 5.43% 2/16/15

1,845,000

1,265,836

Fremont Home Loan Trust:

Series 2004-1:

Class M1, 2.07% 2/25/34 (g)

93,578

51,556

Class M2, 2.145% 2/25/34 (g)

150,000

113,033

Series 2004-D:

Class M4, 2.345% 11/25/34 (g)

104,293

77,209

Class M5, 2.395% 11/25/34 (g)

66,415

25,519

Series 2006-3 Class 2A1, 1.465% 2/25/37 (g)

20,105

19,490

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

1,050,150

931,725

GE Business Loan Trust:

Series 2004-2 Class A, 0.8454% 12/15/08 (c)(h)

41,199,802

103,000

Series 2005-2 Class IO, 0.5242% 9/15/17 (c)(h)

87,772,307

228,147

GE Capital Credit Card Master Note Trust Series 2007-3 Class B, 5.49% 6/15/13

3,350,000

2,853,028

Greenpoint Credit LLC Series 2001-1 Class 1A, 1.7925% 4/20/32 (g)

233,029

228,174

GSAMP Trust Series 2003-HE2 Class M1, 2.045% 8/25/33 (g)

273,482

218,653

GSR Mortgage Loan Trust Series 2005-MTR1 Class A1, 1.535% 10/25/35 (g)

438,349

403,007

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 2.475% 5/25/30 (c)(g)

944,478

425,015

Series 2006-3:

Class B, 1.795% 9/25/46 (c)(g)

700,000

140,000

Class C, 1.945% 9/25/46 (c)(g)

1,750,000

262,500

Home Equity Asset Trust:

Series 2002-2 Class A4, 2.155% 6/25/32 (g)

5,664

2,084

Series 2003-3 Class A4, 2.315% 2/25/33 (g)

493

328

Series 2003-5 Class A2, 2.095% 12/25/33 (g)

39,981

31,754

Series 2003-7 Class A2, 2.155% 3/25/34 (g)

4,243

2,530

Series 2003-8 Class M1, 2.475% 4/25/34 (g)

624,684

365,855

Series 2004-1 Class M2, 3.095% 6/25/34 (g)

371,085

240,341

Asset-Backed Securities - continued

 

Principal Amount

Value

Home Equity Asset Trust: - continued

Series 2004-3 Class M2, 3.095% 8/25/34 (g)

$ 406,838

$ 277,300

Series 2006-8 Class 2A1, 1.445% 3/25/37 (g)

43,547

37,473

HSBC Automotive Trust Series 2006-2 Class A4,
5.67% 6/17/13

3,500,000

3,317,074

HSBC Home Equity Loan Trust:

Series 2005-2:

Class M1, 1.9125% 1/20/35 (g)

196,752

124,066

Class M2, 1.9425% 1/20/35 (g)

147,564

89,834

Series 2005-3 Class A1, 1.7125% 1/20/35 (g)

1,227,261

838,182

Hyundai Auto Receivables Trust:

Series 2005-A:

Class B, 4.2% 2/15/12

504,308

484,451

Class C, 4.22% 2/15/12

38,268

36,786

Series 2006-B Class C, 5.25% 5/15/13

620,000

565,386

Series 2007-A Class A3A, 5.04% 1/17/12

2,090,000

2,025,917

JPMorgan Auto Receivables Trust Series 2006-A:

Class B, 5.36% 12/15/14 (c)

237,645

217,408

Class C, 5.61% 12/15/14 (c)

857,140

814,822

Lancer Funding Ltd. Series 2006-1A Class A3,
5.9075% 4/6/46 (c)(g)

347,882

3,479

Long Beach Mortgage Loan Trust Series 2005-WL1 Class M2, 1.945% 6/25/35 (g)

1,090,000

844,960

Marriott Vacation Club Owner Trust:

Series 2005-2 Class A, 5.25% 10/20/27 (c)

591,936

493,067

Series 2006-1A:

Class B, 5.827% 4/20/28 (c)

141,874

112,474

Class C, 6.125% 4/20/28 (c)

141,874

103,262

Merna Reinsurance Ltd. Series 2007-1 Class B, 5.5119% 6/30/12 (c)(g)

1,620,000

1,501,254

Merrill Lynch Mortgage Investors Trust Series 2003-OPT1 Class M1, 2.045% 7/25/34 (g)

878,834

743,110

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 1.735% 8/25/34 (g)

131,511

82,970

Series 2006-HE6 Class A2A, 1.435% 9/25/36 (g)

713,513

673,467

Morgan Stanley Dean Witter Capital I Trust:

Series 2002-AM3 Class A3, 2.375% 2/25/33 (g)

79,980

68,046

Series 2002-HE2 Class M1, 2.895% 8/25/32 (g)

552,844

348,370

Series 2002-NC1 Class M1, 2.595% 2/25/32 (c)(g)

469,768

345,577

Series 2003-NC1 Class M1, 2.97% 11/25/32 (g)

398,441

242,866

Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 1.495% 4/25/37 (g)

81,521

68,495

Asset-Backed Securities - continued

 

Principal Amount

Value

Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 1.445% 11/25/36 (g)

$ 110,321

$ 102,475

National Collegiate Funding LLC Series 2004-GT1
Class IO1, 7.87% 6/25/10 (c)(g)(h)

1,725,000

159,563

National Collegiate Student Loan Trust:

Series 2004-2 Class AIO, 9.75% 10/25/14 (h)

1,790,750

435,851

Series 2005-2 Class AIO, 7.73% 3/25/12 (h)

1,265,000

121,250

Series 2005-GT1 Class AIO, 6.75% 12/25/09 (h)

900,000

60,750

Series 2006-1 Class AIO, 5.5% 4/25/11 (h)

1,410,000

141,000

Series 2006-2 Class AIO, 6% 8/25/11 (h)

700,000

70,000

Series 2006-3 Class AIO, 7.1% 1/25/12 (h)

5,140,000

950,746

Series 2006-4 Class AIO, 6.35% 2/27/12 (h)

880,000

159,509

Navistar Financial Corp. Owner Trust Series 2005-A Class A4, 4.43% 1/15/14

1,165,000

1,103,291

New Century Home Equity Loan Trust Series 2005-A Class A2, 4.461% 8/25/35 (g)

3,417

3,384

Newcastle CDO VIII Series 2006-8A Class 4, 3.8588% 11/1/52 (c)(g)

1,000,000

170,000

Nissan Auto Receivables Owner Trust Series 2005-A Class A4, 3.82% 7/15/10

349,567

342,575

Nomura Home Equity Loan Trust Series 2006-AF1
Class A1, 6.032% 10/25/36

192,775

186,603

Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 4.74% 10/30/45

1,695,000

1,242,605

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M2, 2.075% 9/25/34 (g)

380,000

228,915

Class M3, 2.645% 9/25/34 (g)

730,000

317,867

Class M4, 2.845% 9/25/34 (g)

1,000,000

266,600

Series 2004-WHQ2 Class A3E, 1.815% 2/25/35 (g)

176,824

128,446

Series 2004-WWF1 Class M4, 2.495% 1/25/35 (g)

1,905,000

640,623

Series 2005-WHQ2 Class M7, 2.645% 5/25/35 (g)(h)

362,000

21,821

Pinnacle Capital Asset Trust Series 2006-A Class C, 5.77% 5/25/10 (c)

108,991

108,643

Rental Car Finance Corp. Series 2005-1A Class A2, 4.59% 6/25/11 (c)

1,420,000

1,161,546

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

200,585

181,467

Santander Drive Auto Receivables Trust Series 2007-1 Class A3, 5.05% 9/15/11

2,358,810

2,287,648

Sierra Timeshare Receivables Fund LLC Series 2006-1A Class A1, 5.84% 5/20/18 (c)

601,693

601,693

SLM Private Credit Student Loan Trust:

Series 2004 B Class A2, 3.0188% 6/15/21 (g)

1,800,000

1,404,000

Asset-Backed Securities - continued

 

Principal Amount

Value

SLM Private Credit Student Loan Trust: - continued

Series 2004-A:

Class B, 3.3988% 6/15/33 (g)

$ 400,000

$ 254,534

Class C, 3.7688% 6/15/33 (g)

1,020,000

816,000

Series 2004-B Class C, 3.6888% 9/15/33 (g)

1,900,000

1,007,000

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 1.8725% 3/15/11 (c)(g)

2,520,000

2,411,325

Swift Master Auto Receivables Trust Series 2007-2
Class A, 2.0725% 10/15/12 (g)

1,515,000

1,299,606

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.825% 9/25/34 (g)

83,246

60,730

Wachovia Auto Loan Owner Trust:

Series 2006-1 Class D, 5.42% 4/21/14 (c)

3,615,000

2,724,897

Series 2006-2A:

Class A3, 5.23% 8/22/11 (c)

2,224,662

2,193,415

Class D, 5.54% 12/20/12 (c)

2,245,000

1,144,950

Series 2007-1 Class D, 5.65% 2/20/13

2,640,000

1,362,799

WaMu Master Note Trust Series 2007-A4A Class A4, 5.2% 10/15/14 (c)

1,500,000

1,155,000

WFS Financial Owner Trust Series 2005-3 Class C, 4.54% 5/17/13

850,000

778,019

Whinstone Capital Management Ltd. Series 1A Class B3, 4.435% 10/25/44 (c)(g)

1,163,625

174,544

TOTAL ASSET-BACKED SECURITIES

(Cost $161,303,162)

124,586,601

Collateralized Mortgage Obligations - 5.5%

 

Private Sponsor - 2.7%

Banc of America Mortgage Securities, Inc.:

Series 2003-J Class 2A2, 5.2947% 11/25/33 (g)

474,961

361,278

Series 2004-A:

Class 2A1, 3.555% 2/25/34 (g)

350,000

262,102

Class 2A2, 4.1069% 2/25/34 (g)

1,507,234

1,128,713

Series 2004-D Class 2A1, 3.6108% 5/25/34 (g)

183,659

138,439

Series 2004-J Class 2A1, 4.7586% 11/25/34 (g)

637,446

470,869

Series 2005-H:

Class 1A1, 5.3189% 9/25/35 (g)

169,657

127,795

Class 2A2, 4.8% 9/25/35 (g)

233,073

138,463

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 1.675% 1/25/35 (g)

256,554

130,647

Series 2005-2 Class 1A1, 1.645% 3/25/35 (g)

592,921

316,272

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

Bear Stearns Alt-A Trust floater: - continued

Series 2005-5 Class 1A1, 1.615% 7/25/35 (g)

$ 528,195

$ 278,566

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 4.8511% 2/25/37 (g)

272,916

205,391

Series 2007-A2 Class 2A1, 4.8915% 7/25/37 (g)

658,107

489,429

Citigroup Mortgage Loan Trust Series 2004-UST1:

Class A3, 4.6606% 8/25/34 (g)

2,114,515

1,543,526

Class A4, 4.3903% 8/25/34 (g)

1,642,237

1,201,721

Countrywide Home Loans, Inc. sequential payer Series 2002-25 Class 2A1, 5.5% 11/27/17

11,431

10,038

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:

Series 2004-1 Class 9A2, 1.795% 1/25/34 (g)

77,716

39,780

Series 2004-2 Class 7A3, 1.795% 2/25/35 (g)

215,839

110,522

Series 2004-4 Class 5A2, 1.795% 3/25/35 (g)

55,665

22,600

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2004-AR4 Class 5A2, 2.135% 5/25/34 (g)

32,639

18,552

Series 2004-AR5 Class 11A2, 2.135% 6/25/34 (g)

47,316

21,389

Series 2004-AR8 Class 8A2, 1.775% 9/25/34 (g)

49,065

29,309

Series 2007-AR7 Class 2A1, 4.5901% 11/25/34 (g)

596,825

453,309

Granite Master Issuer PLC floater Series 2006-2 Class C1, 4.9725% 12/20/54 (g)

2,575,000

386,250

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8371% 4/25/35 (g)

663,559

483,735

Holmes Financing No. 8 PLC floater Series 8 Class 4A2, 4.8925% 7/15/40 (g)

3,175,000

3,170,641

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 1.845% 10/25/34 (g)

586,932

360,605

Impac CMB Trust floater Series 2004-9:

Class M2, 2.37% 1/25/35 (g)

142,180

63,223

Class M3, 2.445% 1/25/35 (g)

105,397

43,384

Class M4, 2.97% 1/25/35 (g)

53,760

20,366

JPMorgan Mortgage Trust:

Series 2006-A2 Class 5A1, 4.7753% 11/25/33 (g)

3,013,941

2,102,633

Series 2007-A1 Class 1A1, 4.1985% 7/25/35 (g)

283,661

194,665

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 1.8013% 9/26/45 (c)(g)

332,031

171,976

MASTR Adjustable Rate Mortgages Trust floater Series 2005-1 Class 1A1, 1.665% 3/25/35 (g)

80,710

50,593

MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34

191,045

144,092

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

MASTR Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2464% 8/25/17 (g)

$ 254,624

$ 214,646

Merrill Lynch Mortgage Investors Trust floater:

Series 2003-A Class 2A1, 1.785% 3/25/28 (g)

386,715

229,725

Series 2003-F Class A2, 3.805% 10/25/28 (g)

441,709

266,432

Series 2004-B Class A2, 3.0788% 6/25/29 (g)

484,414

288,650

Series 2004-C Class A2, 3.1088% 7/25/29 (g)

385,095

230,153

Series 2004-D Class A2, 3.4625% 9/25/29 (g)

384,625

230,486

MortgageIT Trust floater Series 2004-2:

Class A1, 1.765% 12/25/34 (g)

492,144

342,981

Class A2, 1.845% 12/25/34 (g)

665,306

434,539

Permanent Financing No. 4 PLC Class 3C,
3.6169% 6/10/42 (g)

1,215,000

1,164,513

Permanent Financing No. 5 PLC floater Series 3 Class C, 3.6169% 6/10/42 (g)

1,935,000

1,548,000

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.6291% 10/25/35 (g)

901,933

680,529

Residential Asset Mortgage Products, Inc.:

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

409,224

250,066

Series 2005-AR5 Class 1A1, 5.381% 9/19/35 (g)

354,136

268,255

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (c)

250,050

188,593

SBA CMBS Trust Series 2005-1A:

Class D, 6.219% 11/15/35 (c)

1,370,000

1,129,812

Class E, 6.706% 11/15/35 (c)

365,000

298,834

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 3.4663% 9/20/33 (g)

142,564

87,723

Series 2004-3 Class A, 3.635% 5/20/34 (g)

326,614

200,803

Series 2004-4 Class A, 4.4388% 5/20/34 (g)

287,398

180,314

Series 2004-5 Class A3, 3.1663% 6/20/34 (g)

317,901

210,854

Series 2004-6 Class A3A, 3.4913% 6/20/35 (g)

221,590

144,019

Series 2004-7 Class A3A, 3.4094% 8/20/34 (g)

268,876

166,628

Series 2004-8 Class A2, 3.5063% 9/20/34 (g)

408,423

250,997

Series 2005-1 Class A2, 3.3344% 2/20/35 (g)

331,162

207,800

Structured Adjustable Rate Mortgage Loan Trust floater Series 2005-10 Class A1, 1.595% 6/25/35 (g)

211,478

136,024

Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 1.795% 9/25/33 (c)(g)

147,201

128,167

Wachovia Bank Commercial Mortgage Trust Series 2004-C14 Class PP, 5.3117% 8/15/41 (c)(g)

1,517,544

854,816

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

WaMu Mortgage pass-thru certificates:

sequential payer Series 2004-RA2 Class 2A,
7% 7/25/33

$ 160,511

$ 133,160

Series 2003-AR10 Class A7, 4.6719% 10/25/33 (g)

879,256

572,417

Series 2004-AR7 Class A6, 3.9394% 7/25/34 (g)

335,000

326,165

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 4.2014% 12/25/34 (g)

1,039,620

773,380

Series 2004-V Class 1A2, 3.97% 10/25/34 (g)

665,117

488,753

Series 2005-AR12 Class 2A6, 4.3445% 7/25/35 (g)

159,963

106,516

Series 2005-AR2 Class 2A2, 4.57% 3/25/35

3,447,482

2,292,446

Series 2005-AR3 Class 2A1, 4.4116% 3/25/35 (g)

288,229

192,732

Series 2005-AR4 Class 2A2, 4.5418% 4/25/35 (g)

5,815,610

3,878,922

TOTAL PRIVATE SPONSOR

33,789,723

U.S. Government Agency - 2.8%

Fannie Mae planned amortization class:

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

626,236

644,958

Series 2006-64 Class PA, 5.5% 2/25/30

3,797,212

3,886,974

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

Series 2006-49 Class CA, 6% 2/25/31

4,888,648

4,995,638

Series 2006-54 Class PE, 6% 2/25/33

1,652,518

1,691,560

sequential payer:

Series 2001-40 Class Z, 6% 8/25/31

1,040,805

1,065,372

Series 2003-76 Class BA, 4.5% 3/25/18

2,556,012

2,580,614

Series 2004-3 Class BA, 4% 7/25/17

104,885

104,762

Freddie Mac sequential payer Series 2114 Class ZM,
6% 1/15/29

464,647

472,737

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 2535 Class PC, 6% 9/15/32

1,507,793

1,528,711

Series 2690 Class PD, 5% 2/15/27

2,687,827

2,731,195

Series 2755 Class LC, 4% 6/15/27

2,225,000

2,232,791

Series 2901 Class UM, 4.5% 1/15/30

3,525,387

3,552,414

sequential payer:

Series 2609 Class UJ, 6% 2/15/17

955,223

982,343

Series 2635 Class DG, 4.5% 1/15/18

2,931,952

2,942,845

Series 2780 Class A, 4% 12/15/14

2,464,047

2,462,295

Series 2786 Class GA, 4% 8/15/17

1,226,678

1,225,327

Series 2970 Class YA, 5% 9/15/18

977,923

995,865

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

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

$ 5,394

$ 5,387

Ginnie Mae guaranteed REMIC pass-thru securities planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31

63,689

64,113

TOTAL U.S. GOVERNMENT AGENCY

34,165,901

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $82,233,541)

67,955,624

Commercial Mortgage Securities - 4.2%

 

280 Park Avenue Trust floater Series 2001-280 Class X1, 0.9881% 2/3/11 (c)(g)(h)

14,604,540

293,069

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5564% 2/14/43 (g)(h)

4,369,221

135,855

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-5 Class A1, 5.185% 7/10/11

575,811

522,430

Series 2007-3 Class A1, 5.659% 6/10/49 (g)

1,339,246

1,066,464

Series 2006-6 Class XP, 0.6028% 10/10/45 (g)(h)

32,421,228

455,557

Banc of America Commercial Mortgage, Inc.:

Series 2002-2 Class XP, 2.0278% 7/11/43 (c)(g)(h)

5,286,301

99,762

Series 2004-6 Class XP, 0.673% 12/10/42 (g)(h)

11,808,936

112,764

Series 2005-4 Class XP, 0.3185% 7/10/45 (g)(h)

15,414,356

83,951

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class A, 1.975% 12/25/33 (c)(g)

1,006,503

840,430

Series 2004-1:

Class A, 1.755% 4/25/34 (c)(g)

461,805

341,459

Class B, 3.295% 4/25/34 (c)(g)

57,726

23,379

Class M1, 1.955% 4/25/34 (c)(g)

28,863

18,256

Class M2, 2.595% 4/25/34 (c)(g)

28,863

15,802

Series 2004-2:

Class A, 1.825% 8/25/34 (c)(g)

489,265

371,841

Class M1, 1.975% 8/25/34 (c)(g)

157,776

104,132

Series 2004-3:

Class A1, 1.765% 1/25/35 (c)(g)

594,423

444,985

Class A2, 1.815% 1/25/35 (c)(g)

92,879

68,089

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

Series 2005-4A:

Class A2, 1.785% 1/25/36 (c)(g)

$ 1,037,254

$ 707,926

Class B1, 2.795% 1/25/36 (c)(g)

64,828

22,852

Class M1, 1.845% 1/25/36 (c)(g)

324,142

188,002

Class M2, 1.865% 1/25/36 (c)(g)

129,657

70,339

Class M3, 1.895% 1/25/36 (c)(g)

129,657

66,449

Class M4, 2.005% 1/25/36 (c)(g)

64,828

30,956

Class M5, 2.045% 1/25/36 (c)(g)

64,828

29,335

Class M6, 2.095% 1/25/36 (c)(g)

64,828

26,742

Series 2007-1:

Class A2, 1.665% 3/25/37 (c)(g)

434,476

288,927

Class B1, 2.065% 3/25/37 (c)(g)

138,058

45,890

Class B2, 2.545% 3/25/37 (c)(g)

101,513

30,454

Class B3, 4.745% 3/25/37 (c)(g)

284,237

82,429

Class M1, 1.665% 3/25/37 (c)(g)

117,755

68,298

Class M2, 1.685% 3/25/37 (c)(g)

89,332

49,132

Class M3, 1.715% 3/27/37 (c)(g)

77,150

42,047

Class M4, 1.765% 3/25/37 (c)(g)

56,847

26,434

Class M5, 1.815% 3/25/37 (c)(g)

97,453

40,930

Class M6, 1.895% 3/25/37 (c)(g)

133,997

49,740

Series 2007-3:

Class B1, 2.345% 7/25/37 (c)(g)

94,450

46,715

Class B2, 2.995% 7/25/37 (c)(g)

243,995

114,678

Class B3, 5.395% 7/25/37 (c)(g)

126,170

58,038

Class M1, 1.705% 7/25/37 (c)(g)

82,644

49,528

Class M2, 1.735% 7/25/37 (c)(g)

86,579

50,224

Class M3, 1.765% 7/25/37 (c)(g)

141,675

77,482

Class M4, 1.895% 7/25/37 (c)(g)

224,318

121,132

Class M5, 1.995% 7/25/37 (c)(g)

110,191

58,677

Class M6, 2.195% 7/25/37 (c)(g)

86,579

44,155

Series 2007-4A:

Class A2, 1.945% 9/25/37 (c)(g)

987,527

524,179

Class B1, 3.945% 9/25/37 (c)(g)

133,824

38,809

Class B2, 4.845% 9/25/37 (c)(g)

507,607

142,130

Class M1, 2.345% 9/25/37 (c)(g)

124,595

54,161

Class M2, 2.445% 9/25/37 (c)(g)

124,595

49,215

Class M4, 2.995% 9/25/37 (c)(g)

332,252

115,325

Class M5, 3.145% 9/25/37 (c)(g)

332,252

104,593

Class M6, 3.345% 9/25/37 (c)(g)

332,252

96,253

Series 2004-1 Class IO, 1.25% 4/25/34 (c)(h)

5,071,394

81,142

Series 2006-2A Class IO, 1.7976% 7/25/36 (a)(c)(h)

13,590,000

815,400

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bear Stearns Commercial Mortgage Securities Trust:

sequential payer:

Series 2004-ESA Class A3, 4.741% 5/14/16 (c)

$ 625,000

$ 621,675

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

1,652,306

1,314,671

Series 2002-TOP8 Class X2, 2.2966% 8/15/38 (c)(g)(h)

5,909,417

196,089

Series 2003-PWR2 Class X2, 0.6048% 5/11/39 (c)(g)(h)

15,824,019

167,592

Series 2004-PWR6 Class X2, 0.8074% 11/11/41 (c)(g)(h)

6,942,356

113,174

Series 2005-PWR9 Class X2, 0.5555% 9/11/42 (c)(g)(h)

42,430,192

479,966

Series 2007-T28 Class A1, 5.422% 9/11/42

722,409

626,403

CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 1.0237% 5/15/35 (c)(g)(h)

37,369,660

1,190,620

Citigroup Commercial Mortgage Trust:

sequential payer Series 2005-EMG Class A2, 4.2211% 9/20/51 (c)

720,314

681,326

Series 2004-C2 Class XP, 1.0913% 10/15/41 (c)(g)(h)

8,509,688

159,987

Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD3 Class X3, 0.6152% 10/15/48 (g)(h)

60,171,351

908,208

Cobalt CMBS Commercial Mortgage Trust sequential payer Series 2007-C2 Class A1, 5.064% 9/15/11 (g)

707,638

625,225

COMM pass-thru certificates:

floater Series 2007-FL14 Class F, 1.9225% 6/15/22 (c)(g)

499,904

234,228

Series 2004-LBN2 Class X2, 0.9709% 3/10/39 (c)(g)(h)

2,207,447

34,683

Series 2005-LP5 Class XP, 0.5262% 5/10/43 (g)(h)

15,117,739

103,387

Commercial Mortgage Asset Trust sequential payer Series 1999-C1 Class A3, 6.64% 1/17/32

297,578

293,770

Credit Suisse Commercial Mortgage Trust Series 2006-C5 Class ASP, 0.8685% 12/15/39 (g)(h)

47,166,271

1,025,437

Credit Suisse First Boston Mortgage Securities Corp.:

Series 2001-CK6 Class AX, 0.645% 9/15/18 (h)

16,890,696

302,183

Series 2003-C3 Class ASP, 1.8791% 5/15/38 (c)(g)(h)

16,672,414

351,046

Series 2004-C1 Class ASP, 1.1034% 1/15/37 (c)(g)(h)

11,393,170

198,927

Series 2005-C1 Class ASP, 0.5137% 2/15/38 (c)(g)(h)

17,184,486

131,389

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Credit Suisse First Boston Mortgage Securities Corp.: - continued

Series 2005-C2 Class ASP, 0.7332% 4/15/37 (c)(g)(h)

$ 13,881,778

$ 187,112

DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33

1,693,186

1,650,184

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class D,
6.484% 3/15/33

1,360,000

908,902

GE Capital Commercial Mortgage Corp. Series 2001-1 Class X1, 1.306% 5/15/33 (c)(g)(h)

10,477,652

181,476

Global Signal Trust III Series 2006-1:

Class B, 5.588% 2/15/36

735,000

625,917

Class C, 5.707% 2/15/36

910,000

740,559

GMAC Commercial Mortgage Securities, Inc.:

sequential payer Series 2003-C2 Class A1,
4.576% 5/10/40

1,890,236

1,638,214

Series 2004-C3 Class X2, 0.8296% 12/10/41 (g)(h)

10,352,560

121,127

Series 2006-C1 Class XP, 0.2997% 11/10/45 (g)(h)

21,200,332

107,566

Greenwich Capital Commercial Funding Corp.:

Series 2003-C2 Class XP, 1.1647% 1/5/36 (c)(g)(h)

16,862,938

236,511

Series 2005-GG3 Class XP, 0.9466% 8/10/42 (c)(g)(h)

46,595,085

678,816

Series 2007-GG11 Class A1, 0.4798% 12/10/49 (c)(h)

98,860,000

1,393,926

GS Mortgage Securities Corp. II floater Series 2007-EOP:

Class C, 2.4975% 3/1/20 (c)(g)

720,000

446,400

Class D, 2.5475% 3/1/20 (c)(g)

215,000

133,300

Class E, 2.6175% 3/1/20 (c)(g)

360,000

223,200

Class F, 2.6575% 3/1/20 (c)(g)

180,000

108,000

Class G, 2.6975% 3/1/20 (c)(g)

90,000

54,000

Class H, 2.8275% 3/1/20 (c)(g)

150,000

90,000

Class J, 3.0275% 3/1/20 (c)(g)

215,000

124,700

Hilton Hotel Pool Trust:

sequential payer Series 2000-HLTA Class A1,
7.055% 10/3/15 (c)

295,978

299,323

Series 2000-HLTA Class D, 7.555% 10/3/15 (c)

1,275,000

1,308,522

Host Marriott Pool Trust sequential payer Series 1999-HMTA:

Class A, 6.98% 8/3/15 (c)

103,444

103,868

Class B, 7.3% 8/3/15 (c)

505,000

507,761

Class D, 7.97% 8/3/15 (c)

425,000

429,401

Commercial Mortgage Securities - continued

 

Principal Amount

Value

JPMorgan Chase Commercial Mortgage Securities Corp.:

sequential payer Series 2001-C1 Class A2,
5.464% 10/12/35

$ 591,653

$ 570,261

Series 2002-C3 Class X2, 1.1412% 7/12/35 (c)(g)(h)

5,073,401

47,469

Series 2003-CB7 Class X2, 0.9356% 1/12/38 (c)(g)(h)

3,434,612

40,377

Series 2003-LN1 Class X2, 0.7962% 10/15/37 (c)(g)(h)

19,040,052

201,832

Series 2004-C1 Class X2, 1.1441% 1/15/38 (c)(g)(h)

3,281,380

51,020

Series 2004-CB8 Class X2, 1.2658% 1/12/39 (c)(g)(h)

4,040,551

72,487

JPMorgan Chase Commercial Mortgage Securities Trust sequential payer Series 2006-LDP9 Class A1, 5.17% 5/15/47 (g)

1,018,090

923,800

LB Commercial Conduit Mortgage Trust sequential payer Series 1999-C1 Class A2, 6.78% 6/15/31

1,947,896

1,928,581

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2006-C6 Class A1, 5.23% 9/15/39

685,104

626,187

Series 2006-C7 Class A1, 5.279% 11/15/38

320,791

291,785

Series 2007-C1 Class A1, 5.391% 2/15/40 (g)

428,401

389,261

Series 2007-C2 Class A1, 5.226% 2/15/40

399,279

361,248

Series 2002-C4 Class XCP, 1.6166% 10/15/35 (c)(g)(h)

9,386,557

102,724

Series 2002-C7 Class XCP, 1.1835% 1/15/36 (c)(g)(h)

7,619,392

67,370

Series 2003-C1 Class XCP, 1.4714% 12/15/36 (c)(g)(h)

4,200,213

62,054

Series 2004-C2 Class XCP, 1.0169% 3/1/36 (c)(g)(h)

6,373,742

128,688

Series 2004-C6 Class XCP, 0.8342% 8/15/36 (c)(g)(h)

13,611,342

123,602

Series 2005-C7 Class XCP, 0.3652% 11/15/40 (g)(h)

73,994,079

420,235

Series 2006-C1 Class XCP, 0.5144% 2/15/41 (g)(h)

58,930,010

594,398

Series 2006-C6 Class XCP, 0.848% 9/15/39 (g)(h)

26,139,968

548,654

Series 2007-C1 Class XCP, 0.6536% 2/15/40 (g)(h)

10,776,736

171,837

Series 2007-C2 Class XCP, 0.7081% 2/15/40 (g)(h)

49,695,301

878,022

LB-UBS Westfield Trust:

Series 2001-WM Class X, 0.782% 7/14/16 (c)(g)(h)

11,856,733

117,619

Series 2001-WM, 6.754% 7/14/16 (c)

1,085,000

1,002,574

Merrill Lynch Mortgage Trust:

Series 2002-MW1 Class XP, 1.7838% 7/12/34 (c)(g)(h)

3,931,968

35,765

Series 2005-MCP1 Class XP, 0.728% 6/12/43 (g)(h)

13,528,878

216,486

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Merrill Lynch Mortgage Trust: - continued

Series 2005-MKB2 Class XP, 0.4167% 9/12/42 (g)(h)

$ 6,482,678

$ 40,250

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2007-6 Class A1, 5.175% 3/12/51

454,278

410,820

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

718,094

626,004

Series 2006-4 Class XP, 0.8153% 12/12/49 (g)(h)

21,455,484

452,159

Morgan Stanley Capital I Trust:

sequential payer:

Series 2003-IQ5 Class X2, 1.0144% 4/15/38 (c)(g)(h)

6,077,208

111,038

Series 2006-HQ8 Class A1, 5.124% 3/12/44

226,254

214,848

Series 2006-T23 Class A1, 5.682% 8/12/41

522,517

477,617

Series 2007-HQ11 Class A1, 5.246% 2/20/44

730,626

654,265

Series 2003-IQ6 Class X2, 0.7133% 12/15/41 (c)(g)(h)

13,194,419

173,166

Series 2005-HQ5 Class X2, 0.4146% 1/14/42 (g)(h)

14,114,670

87,906

Series 2005-IQ9 Class X2, 1.1684% 7/15/56 (c)(g)(h)

13,414,166

314,825

Series 2005-TOP17 Class X2, 0.7532% 12/13/41 (g)(h)

9,545,704

157,783

Morgan Stanley Dean Witter Capital I Trust:

Series 2003-HQ2 Class X2, 1.521% 3/12/35 (c)(g)(h)

9,955,515

243,433

Series 2003-TOP9 Class X2, 1.5973% 11/13/36 (c)(g)(h)

6,387,240

135,945

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 1.8788% 3/24/18 (c)(g)

324,557

266,137

Wachovia Bank Commercial Mortgage Trust:

sequential payer:

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

2,720,060

2,484,307

Series 2007-C30 Class A1, 5.031% 12/15/43

698,867

630,645

Series 2007-C31 Class A1, 5.14% 4/15/47

477,119

420,654

Series 2005-C18 Class XP, 0.4999% 4/15/42 (c)(g)(h)

19,783,275

172,971

Series 2005-C20 Class A3SF, 4.4075% 7/15/42 (g)

1,377,910

1,189,975

Series 2006-C23 Class X, 0.242% 1/15/45 (c)(g)(h)

259,571,789

1,066,529

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Wachovia Bank Commercial Mortgage Trust: - continued

Series 2006-C24 Class XP, 0.2474% 3/15/45 (c)(g)(h)

$ 44,897,525

$ 179,536

Series 2007-C30 Class XP, 0.6216% 12/15/43 (c)(g)(h)

50,509,717

804,903

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $66,013,177)

52,855,766

Commercial Paper - 0.4%

 

Banco Bilbao Vizcaya Argentaria SA (London Branch) yankee 1.46% 12/19/08

4,000,000

3,996,757

Societe Generale North America, Inc. yankee 1.5% 12/18/08

1,000,000

999,252

TOTAL COMMERCIAL PAPER

(Cost $4,996,168)

4,996,009

Fixed-Income Funds - 3.6%

Shares

 

Fidelity 1-3 Year Duration Securitized Bond Central Fund

47,460

3,465,521

Fidelity Ultra-Short Central Fund

613,869

40,816,150

TOTAL FIXED-INCOME FUNDS

(Cost $65,812,202)

44,281,671

Cash Equivalents - 9.3%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at:

0.27%, dated 11/28/08 due 12/1/08 (Collateralized by U.S. Government Obligations) #

$ 14,437,326

14,437,000

0.3%, dated 11/28/08 due 12/1/08 (Collateralized by U.S. Government Obligations) # (j)

100,889,522

100,887,000

TOTAL CASH EQUIVALENTS

(Cost $115,324,000)

115,324,000

TOTAL INVESTMENT PORTFOLIO - 108.8%

(Cost $1,439,677,000)

1,351,628,239

NET OTHER ASSETS - (8.8)%

(109,750,829)

NET ASSETS - 100%

$ 1,241,877,410

Futures Contracts

 

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Eurodollar Contracts

109 Eurodollar 90 Day Index Contracts

Dec. 2008

$ 108,420,938

$ 406,952

95 Eurodollar 90 Day Index Contracts

March 2009

94,544,000

354,170

43 Eurodollar 90 Day Index Contracts

June 2009

42,793,063

165,916

43 Eurodollar 90 Day Index Contracts

Sept. 2009

42,788,763

176,116

TOTAL EURODOLLAR CONTRACTS

$ 288,546,764

$ 1,103,154

 

Swap Agreements

 

 

Notional Amount

Value

Credit Default Swaps

Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 (Rating-Baa1) (f)

Nov. 2034

$ 362,000

$ (148,042)

Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon credit event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35 (Rating-Caa3) (f)

March 2035

266,194

(251,828)

Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-Baa3) (f)

Oct. 2034

128,249

(100,619)

Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 (Rating-Baa3) (f)

May 2033

362,000

(181,130)

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 3.3% and pay Morgan Stanley, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11, Class M9, 6.88% 11/25/34 (Rating-B1) (f)

Dec. 2034

$ 160,937

$ (146,183)

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34 (Rating-B2) (f)

Oct. 2034

118,132

(106,925)

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional anount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7, Class B3, 7.6913% 7/25/34 (Rating-Baa3) (f)

August 2034

155,658

(143,598)

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-Baa3) (f)

Sept. 2034

105,811

(95,665)

Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-A3) (f)

August 2034

93,263

(42,577)

Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (Rating-A3) (f)

Oct. 2034

176,615

(48,263)

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 (Rating-C) (f)

June 2035

$ 330,000

$ (305,694)

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Baa3) (f)

April 2032

31,876

(28,494)

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34 (Rating-Baa3) (f)

March 2034

59,547

(32,486)

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 (Rating-Ba2) (f)

Feb. 2034

1,009

(935)

Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon credit event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27 (Rating-Baa2) (f)

March 2009

1,000,000

(7,436)

Receive quarterly notional amount multiplied by .78% and pay Goldman Sachs upon credit event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 (S&P Rating-CCC) (f)

Dec. 2008

2,600,000

(16,546)

TOTAL CREDIT DEFAULT SWAPS

$ 5,951,291

$ (1,656,421)

Legend

(a) 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.

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

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $70,340,686 or 5.7% of net assets.

(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $349,400.

(e) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $1,312,500.

(f) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

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

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

(i) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,707,717 or 0.1% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost

Iberbond 2004 PLC
4.826% 12/24/17

11/30/05

$ 2,208,716

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

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

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

Repurchase Agreement / Counterparty

Value

$14,437,000 due 12/01/08 at 0.27%

Banc of America
Securities LLC

$ 7,052,047

Bank of America, NA

7,010,018

Barclays Capital, Inc.

374,935

 

$ 14,437,000

$100,887,000 due 12/01/08 at 0.30%

Barclays Capital, Inc.

$ 100,887,000

Affiliated Central Funds

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

Fund

Income earned

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 59,643

Fidelity Ultra-Short Central Fund

493,884

Total

$ 553,527

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

Value, beginning of period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership, end of period

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 6,291,778

$ 59,643

$ 2,298,181

$ 3,465,521

0.4%

Fidelity Ultra-Short Central Fund

76,202,764

-

25,703,192

40,816,150

2.1%

Total

$ 82,494,542

$ 59,643

$ 28,001,373

$ 44,281,671

Other Information

The following is a summary of the inputs used, as of November 30, 2008, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities

$ 1,351,628,239

$ 44,281,671

$ 1,300,899,494

$ 6,447,074

Other Financial Instruments*

$ (553,268)

$ 1,103,153

$ (382,579)

$ (1,273,842)

*Other financial instruments include Futures Contracts and Swap Agreements.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

 

Investments in Securities

Other Financial Instruments

Beginning Balance

$ 2,559,315

$ (1,233,143)

Total Realized Gain (Loss)

6,289

-*

Total Unrealized Gain (Loss)

(673,538)

139,108

Cost of Purchases

-

-

Proceeds of Sales

(328,950)

-

Amortization/Accretion

(25,424)

-

Transfer in/out of Level 3

4,909,382

(179,807)

Ending Balance

$ 6,447,074

$ (1,273,842)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $18,577.

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At November 30, 2008, the aggregate cost of investment securities for income tax purposes was $1,438,768,179. Net unrealized depreciation aggregated $87,139,940, of which $12,852,705 related to appreciated investment securities and $99,992,645 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Debt securities, including restricted securities, 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 available dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). 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. Actual prices received at disposition may differ.

When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities.

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1 - Quoted prices in active markets for identical securities.

Level 2 - Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3 - Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

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

Swap Agreements

The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer (buyer of protection) and/or to gain credit exposure to an issuer to which it is not otherwise exposed (seller of protection). The issuer may be either a single issuer or a basket of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $5,951,291 representing 0.48% of net assets.

The value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as a seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

Quarterly Report

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

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

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Advisor Series II

By:

/s/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

January 30, 2009

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

January 30, 2009

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

January 30, 2009