N-CSRS 1 main.htm

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-649

Fidelity Puritan Trust
 (Exact name of registrant as specified in charter)

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

Eric D. Roiter, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:

August 31

Date of reporting period:

February 29, 2008

Item 1. Reports to Stockholders

Fidelity®
Balanced
Fund

Semiannual Report

February 29, 2008

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

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

Investments

<Click Here>

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

Financial Statements

<Click Here>

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

Notes

<Click Here>

Notes to the financial statements.

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

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

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

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

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

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

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Continuation of a credit squeeze, flat consumer spending and a potential recession weighed heavily on stocks in the opening months of 2008, though positive results in investment-grade bonds and money markets offered some comfort to investors. Financial markets are always unpredictable, but there are a number of time-tested principles that can put the historical odds in your favor.

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

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

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

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

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2007 to February 29, 2008).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Semiannual Report

Beginning
Account Value
September 1, 2007

Ending
Account Value
February 29, 2008

Expenses Paid
During Period*
September 1, 2007
to February 29, 2008

Actual

$ 1,000.00

$ 958.60

$ 2.97

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,021.83

$ 3.07

* Expenses are equal to the Fund's annualized expense ratio of .61%; multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report

Investment Changes

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

Top Five Stocks as of February 29, 2008

% of fund's
net assets

% of fund's net assets
6 months ago

National Oilwell Varco, Inc.

2.5

2.9

AT&T, Inc.

1.4

1.6

Valero Energy Corp.

1.3

1.3

JPMorgan Chase & Co.

1.0

0.9

Bank of America Corp.

0.9

1.1

7.1

Top Five Bond Issuers as of February 29, 2008

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

U.S. Treasury Obligations

9.3

7.5

Fannie Mae

8.5

9.3

Freddie Mac

4.2

3.4

Government National Mortgage Association

1.5

0.4

Wachovia Bank Commercial Mortgage Trust

0.3

0.2

23.8

Top Five Market Sectors as of February 29, 2008

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

16.4

17.4

Energy

11.6

10.8

Information Technology

8.5

9.9

Industrials

8.4

8.3

Consumer Discretionary

6.1

6.3

Asset Allocation (% of fund's net assets)

As of February 29, 2008 *

As of August 31, 2007 **

Stocks 63.9%

Stocks 65.1%

Bonds 41.4%

Bonds 39.0%

Convertible
Securities 0.5%

Convertible
Securities 0.4%

Other Investments 0.2%

Other Investments 0.0%

Short-Term
Investments and
Net Other Assets(dagger) (6.0)%

Short-Term
Investments and
Net Other Assets (dagger) (4.5)%

* Foreign investments

11.3%

** Foreign investments

11.2%

* Short-Term Investments and Net Other Assets are not included in the pie chart.

Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.

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

Semiannual Report

Investments February 29, 2008 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 63.9%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 5.2%

Auto Components - 0.1%

ArvinMeritor, Inc.

332,800

$ 3,757

Gentex Corp.

461,700

7,443

Johnson Controls, Inc.

230,400

7,571

The Goodyear Tire & Rubber Co. (a)

342,500

9,282

TRW Automotive Holdings Corp. (a)

226,600

5,003

33,056

Automobiles - 0.3%

Bajaj Auto Ltd.

248,193

14,001

Daimler AG

202,600

16,854

Fiat SpA

921,500

19,457

Renault SA

152,100

16,250

Winnebago Industries, Inc.

322,142

6,465

73,027

Diversified Consumer Services - 0.3%

Carriage Services, Inc. Class A (a)

685,450

5,415

H&R Block, Inc.

867,000

16,170

Regis Corp.

934,134

23,400

Service Corp. International

1,993,900

21,534

Stewart Enterprises, Inc. Class A

3,180,356

18,987

85,506

Hotels, Restaurants & Leisure - 0.7%

Boyd Gaming Corp. (f)

46,200

974

Brinker International, Inc.

970,700

17,900

Darden Restaurants, Inc.

281,000

8,663

IHOP Corp.

277,347

12,697

McCormick & Schmick's Seafood Restaurants (a)

401,361

4,351

McDonald's Corp.

1,825,050

98,753

MTR Gaming Group, Inc. (a)(f)

355,575

2,005

Royal Caribbean Cruises Ltd.

362,200

12,681

Ruth's Chris Steak House, Inc. (a)

705,200

4,929

Texas Roadhouse, Inc. Class A (a)

276,500

2,571

WMS Industries, Inc. (a)(f)

421,850

16,018

181,542

Household Durables - 0.5%

Beazer Homes USA, Inc. (f)

1,112,600

7,899

Black & Decker Corp.

300,600

20,672

Centex Corp.

286,100

6,349

La-Z-Boy, Inc.

1,082,300

9,124

Snap-On, Inc.

378,400

18,890

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Standard Pacific Corp. (f)

2,236,300

$ 9,191

The Stanley Works

210,500

10,218

Whirlpool Corp.

445,200

37,562

119,905

Leisure Equipment & Products - 0.2%

Brunswick Corp.

698,200

11,374

Callaway Golf Co.

304,974

4,648

Eastman Kodak Co.

878,900

14,924

MarineMax, Inc. (a)

637,746

7,832

Mattel, Inc.

982,300

18,978

57,756

Media - 1.3%

Belo Corp. Series A

295,900

3,483

Cinemark Holdings, Inc.

694,700

10,031

Clear Channel Communications, Inc.

783,000

25,056

Comcast Corp. Class A

972,900

19,010

E.W. Scripps Co. Class A

975,924

40,764

Grupo Televisa SA de CV (CPO) sponsored ADR

918,000

20,196

Liberty Global, Inc. Class A (a)

487,607

18,334

Live Nation, Inc. (a)

3,245,762

38,527

Naspers Ltd. Class N sponsored ADR

699,600

13,257

News Corp. Class A

1,573,500

28,968

R.H. Donnelley Corp. (a)(f)

287,600

2,039

The DIRECTV Group, Inc. (a)

548,000

13,727

Time Warner, Inc.

5,041,200

78,693

Valassis Communications, Inc. (a)(f)

1,398,166

15,687

327,772

Multiline Retail - 0.3%

Family Dollar Stores, Inc.

999,000

19,131

Sears Holdings Corp. (a)(f)

310,600

29,700

Target Corp.

418,700

22,028

Tuesday Morning Corp.

973,346

5,246

76,105

Specialty Retail - 1.4%

Advance Auto Parts, Inc.

723,400

24,263

American Eagle Outfitters, Inc.

50,100

1,071

AnnTaylor Stores Corp. (a)

1,174,700

28,216

Asbury Automotive Group, Inc.

725,877

10,177

Christopher & Banks Corp.

693,800

7,493

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Collective Brands, Inc. (a)

2,143,597

$ 33,805

Foot Locker, Inc.

1,712,800

21,067

Home Depot, Inc.

732,500

19,448

OfficeMax, Inc.

682,100

14,508

Pacific Sunwear of California, Inc. (a)(f)

827,825

9,239

PetSmart, Inc. (f)

1,055,123

22,717

Ross Stores, Inc.

922,421

25,689

Select Comfort Corp. (a)

300,100

1,284

Staples, Inc.

1,697,466

37,769

Talbots, Inc. (f)

838,200

6,856

The Children's Place Retail Stores, Inc. (a)

1,111,221

23,736

The Men's Wearhouse, Inc.

1,137,511

26,208

TJX Companies, Inc.

314,700

10,070

Tween Brands, Inc. (a)

926,565

27,426

Williams-Sonoma, Inc.

300,600

7,022

358,064

Textiles, Apparel & Luxury Goods - 0.1%

Adidas-Salomon AG

232,600

14,758

Coach, Inc. (a)

400,700

12,149

Polo Ralph Lauren Corp. Class A

46,200

2,873

Timberland Co. Class A (a)

110,210

1,655

31,435

TOTAL CONSUMER DISCRETIONARY

1,344,168

CONSUMER STAPLES - 3.6%

Beverages - 0.2%

Cott Corp. (a)

3,100,400

7,089

Fomento Economico Mexicano SA de CV sponsored ADR

610,400

24,416

Remy Cointreau SA

284,614

17,880

49,385

Food & Staples Retailing - 0.7%

CVS Caremark Corp.

2,064,346

83,358

Rite Aid Corp. (a)

4,096,200

10,937

SUPERVALU, Inc.

956,270

25,102

Sysco Corp.

649,600

18,228

The Pantry, Inc. (a)

258,787

6,226

Winn-Dixie Stores, Inc. (a)(f)

2,590,886

42,361

186,212

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Food Products - 0.8%

BioMar Holding AS

124,850

$ 4,600

Campbell Soup Co.

276,500

8,928

Cermaq ASA

1,074,500

14,459

Chiquita Brands International, Inc. (a)

879,367

18,001

Corn Products International, Inc.

811,765

29,800

Dean Foods Co.

138,200

2,974

Global Bio-Chem Technology Group Co. Ltd.

19,370,000

7,979

Groupe Danone

78,500

6,025

Leroy Seafood Group ASA

887,750

18,413

Lighthouse Caledonia ASA (f)(g)

2,148,916

1,772

Marine Harvest ASA (a)

62,219,900

36,857

McCormick & Co., Inc. (non-vtg.)

572,500

19,723

Nestle SA (Reg.)

37,155

17,686

TreeHouse Foods, Inc. (a)

202,700

4,494

Tyson Foods, Inc. Class A

1,474,300

21,245

212,956

Household Products - 0.9%

Central Garden & Pet Co. (g)

1,757,820

8,666

Central Garden & Pet Co. Class A (non-vtg.) (a)

2,311,755

10,172

Energizer Holdings, Inc. (a)

207,500

19,262

Procter & Gamble Co.

3,029,832

200,514

238,614

Personal Products - 0.2%

Avon Products, Inc.

1,511,100

57,512

Dabur India Ltd.

690,469

1,702

Marico Ltd.

1,200,500

1,869

61,083

Tobacco - 0.8%

Altria Group, Inc.

2,090,565

152,904

British American Tobacco PLC

466,900

17,586

ITC Ltd.

435,581

2,180

Japan Tobacco, Inc.

3,687

18,625

191,295

TOTAL CONSUMER STAPLES

939,545

ENERGY - 10.6%

Energy Equipment & Services - 5.3%

BJ Services Co.

571,100

14,814

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Energy Equipment & Services - continued

Cameron International Corp. (a)

464,000

$ 19,711

Compagnie Generale de Geophysique SA sponsored ADR (a)

290,300

14,114

ENGlobal Corp. (a)

602,724

5,569

Expro International Group PLC

3,522,810

87,487

Exterran Holdings, Inc. (a)

381,412

26,565

FMC Technologies, Inc. (a)

235,800

13,360

Global Industries Ltd. (a)

277,288

5,105

Grey Wolf, Inc. (a)

2,169,084

13,448

Helix Energy Solutions Group, Inc. (a)

452,100

15,923

Nabors Industries Ltd. (a)

438,800

13,835

National Oilwell Varco, Inc. (a)

10,259,104

639,145

Noble Corp.

723,600

35,565

Oceaneering International, Inc. (a)

188,600

11,316

Parker Drilling Co. (a)

3,690,726

24,470

Pride International, Inc. (a)

3,121,443

110,624

Smith International, Inc.

1,759,000

110,870

Superior Energy Services, Inc. (a)

697,000

28,361

Transocean, Inc. (a)

286,714

40,286

Weatherford International Ltd. (a)

1,939,426

133,665

1,364,233

Oil, Gas & Consumable Fuels - 5.3%

Alpha Natural Resources, Inc. (a)

648,732

26,300

Apache Corp.

185,300

21,256

Arch Coal, Inc.

631,100

32,243

Aurora Oil & Gas Corp. (a)(g)

6,359,116

4,197

Boardwalk Pipeline Partners, LP

250,662

5,946

Cabot Oil & Gas Corp.

649,400

32,308

Canadian Natural Resources Ltd.

310,400

23,266

Chesapeake Energy Corp.

1,380,000

62,404

Cimarex Energy Co.

157,200

8,284

Concho Resources, Inc.

367,800

8,570

ConocoPhillips

231,200

19,123

Denbury Resources, Inc. (a)

608,000

19,389

El Paso Corp.

231,000

3,765

El Paso Pipeline Partners LP

369,400

8,659

Ellora Energy, Inc. (a)(h)

1,529,700

16,888

Energy Transfer Equity LP

507,700

16,886

EOG Resources, Inc.

585,300

69,645

Evergreen Energy, Inc. (a)(f)

3,512,366

7,552

Forest Oil Corp. (a)

442,200

21,814

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Foundation Coal Holdings, Inc.

612,800

$ 35,401

Goodrich Petroleum Corp. (a)(f)

686,700

16,570

Hess Corp.

244,800

22,810

International Coal Group, Inc. (a)

3,111,601

19,354

James River Coal Co. (a)(f)

887,122

15,019

Kodiak Oil & Gas Corp. (a)

2,899,730

6,408

Mariner Energy, Inc. (a)

784,500

21,754

Massey Energy Co.

95,700

3,661

OPTI Canada, Inc. (a)

1,248,500

21,949

Peabody Energy Corp.

306,700

17,365

Petrohawk Energy Corp. (a)

2,457,300

44,428

Petroleum Development Corp. (a)

162,100

11,308

Plains Exploration & Production Co. (a)

519,200

28,037

Quicksilver Resources, Inc. (a)

1,305,600

44,913

Range Resources Corp.

1,399,760

85,637

Southwestern Energy Co. (a)

779,863

50,870

Suncor Energy, Inc.

254,300

26,230

Tesoro Corp.

293,900

10,915

Ultra Petroleum Corp. (a)

874,300

68,606

Uranium One, Inc. (a)

1,674,800

8,833

Valero Energy Corp.

5,827,200

336,637

Western Refining, Inc.

82,300

1,639

Williams Companies, Inc.

925,800

33,347

XTO Energy, Inc.

465,125

28,703

1,368,889

TOTAL ENERGY

2,733,122

FINANCIALS - 12.9%

Capital Markets - 3.1%

Affiliated Managers Group, Inc. (a)(f)

110,900

10,685

Ameriprise Financial, Inc.

398,640

20,187

Ares Capital Corp.

2,497,296

32,015

Bank of New York Mellon Corp.

1,784,658

78,293

Charles Schwab Corp.

695,000

13,629

EFG International

212,760

7,149

Fortress Investment Group LLC (f)

811,237

11,357

Franklin Resources, Inc.

586,037

55,304

Goldman Sachs Group, Inc.

449,300

76,215

Greenhill & Co., Inc.

383,780

24,950

Janus Capital Group, Inc.

571,100

13,832

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Julius Baer Holding AG

472,175

$ 34,864

Legg Mason, Inc.

694,300

45,852

Lehman Brothers Holdings, Inc.

4,028,727

205,425

Merrill Lynch & Co., Inc.

1,130,108

56,008

MF Global Ltd.

1,145,500

20,104

State Street Corp.

340,356

26,735

T. Rowe Price Group, Inc.

963,808

48,701

The Blackstone Group LP

438,600

7,237

788,542

Commercial Banks - 1.3%

Bank of Montreal

138,400

6,990

Colonial Bancgroup, Inc. (f)

894,100

10,801

First Community Bancorp, California

323,300

9,214

M&T Bank Corp. (f)

192,800

15,825

National Bank of Canada

342,000

16,884

PNC Financial Services Group, Inc.

1,110,800

68,236

Prosperity Bancshares, Inc. (f)

294,600

7,777

Sterling Financial Corp., Washington

1,015,545

15,121

SunTrust Banks, Inc. (f)

330,300

19,200

Synovus Financial Corp.

277,400

3,198

UCBH Holdings, Inc. (f)

2,078,703

23,469

UniCredit SpA

2,201,400

16,187

UnionBanCal Corp.

13,800

643

Wachovia Corp.

1,419,086

43,452

Wells Fargo & Co.

1,652,001

48,288

Wintrust Financial Corp.

386,337

13,039

Zions Bancorp

220,294

10,519

328,843

Consumer Finance - 0.2%

American Express Co.

544,100

23,015

Capital One Financial Corp.

377,600

17,381

Discover Financial Services

1,155,400

17,435

57,831

Diversified Financial Services - 3.3%

Bank of America Corp.

5,731,317

227,763

Bolsa de Mercadorias & Futuros - BM&F SA

1,883,400

20,392

Bovespa Holding SA

997,000

15,883

Citigroup, Inc.

8,147,224

193,171

Deutsche Boerse AG

133,500

21,158

JPMorgan Chase & Co.

6,345,800

257,957

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Diversified Financial Services - continued

Kotak Mahindra Bank Ltd. sponsored GDR (h)

121,376

$ 2,433

Maiden Holdings Ltd. (h)

954,900

7,639

MarketAxess Holdings, Inc. (a)

312,814

2,931

Onex Corp. (sub. vtg.)

225,400

7,831

PICO Holdings, Inc. (a)

2,541,128

86,856

844,014

Insurance - 2.3%

ACE Ltd.

1,019,700

57,348

Admiral Group PLC

300,000

6,000

AFLAC, Inc.

258,609

16,140

American International Group, Inc.

4,240,323

198,702

Argo Group International Holdings, Ltd. (a)

138,800

5,194

Aspen Insurance Holdings Ltd.

920,600

26,642

Assured Guaranty Ltd.

161,800

4,150

Hartford Financial Services Group, Inc.

573,800

40,109

IPC Holdings Ltd.

312,000

8,461

LandAmerica Financial Group, Inc.

237,917

8,760

MBIA, Inc. (f)

1,552,243

20,133

MetLife, Inc.

701,500

40,869

Montpelier Re Holdings Ltd.

791,000

12,585

National Financial Partners Corp.

811,620

19,292

Platinum Underwriters Holdings Ltd.

412,400

14,228

Principal Financial Group, Inc.

710,400

39,235

Prudential Financial, Inc.

722,500

52,721

Stewart Information Services Corp.

151,696

4,516

T&D Holdings, Inc.

331,400

16,945

W.R. Berkley Corp.

93,700

2,698

Willis Group Holdings Ltd.

105,900

3,479

598,207

Real Estate Investment Trusts - 1.3%

Alexandria Real Estate Equities, Inc.

185,800

17,056

American Financial Realty Trust (SBI)

296,040

2,288

Annaly Capital Management, Inc.

1,214,900

25,136

British Land Co. PLC

746,600

14,005

CapitalSource, Inc. (f)

578,600

9,165

Chimera Investment Corp.

382,306

6,335

Developers Diversified Realty Corp.

765,100

29,502

Duke Realty LP

790,700

18,123

Friedman, Billings, Ramsey Group, Inc. Class A

311,800

776

General Growth Properties, Inc.

729,200

25,748

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

HCP, Inc.

822,300

$ 23,995

Healthcare Realty Trust, Inc.

499,200

11,876

Highwoods Properties, Inc. (SBI)

393,000

11,586

Home Properties, Inc.

101,700

4,680

MFA Mortgage Investments, Inc.

924,400

8,837

Public Storage

167,600

13,636

Senior Housing Properties Trust (SBI)

361,300

7,685

Simon Property Group, Inc.

91,900

7,701

SL Green Realty Corp.

119,400

10,925

Sovran Self Storage, Inc.

160,400

6,183

Tanger Factory Outlet Centers, Inc.

184,900

6,564

UDR, Inc.

1,358,176

30,355

Unibail-Rodamco

5,600

1,364

Vornado Realty Trust

290,200

24,249

317,770

Real Estate Management & Development - 0.3%

CB Richard Ellis Group, Inc. Class A (a)

2,460,241

49,352

Forestar Real Estate Group, Inc. (a)

866,184

21,118

The St. Joe Co.

394,771

15,179

85,649

Thrifts & Mortgage Finance - 1.1%

Countrywide Financial Corp.

2,891,993

18,248

Fannie Mae

2,949,420

81,551

Freddie Mac

2,303,500

58,002

Hudson City Bancorp, Inc.

2,955,693

46,907

IndyMac Bancorp, Inc. (f)

506,652

3,116

MGIC Investment Corp. (f)

457,267

6,772

New York Community Bancorp, Inc. (f)

1,446,700

23,625

NewAlliance Bancshares, Inc. (f)

731,576

8,325

People's United Financial, Inc.

1,311,020

22,104

Washington Federal, Inc.

1,020,581

23,167

291,817

TOTAL FINANCIALS

3,312,673

HEALTH CARE - 4.9%

Biotechnology - 0.9%

Amgen, Inc. (a)

1,172,300

53,363

Biogen Idec, Inc. (a)

457,900

26,723

Cephalon, Inc. (a)

586,230

35,373

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Biotechnology - continued

Cubist Pharmaceuticals, Inc. (a)

414,514

$ 7,544

DOV Pharmaceutical, Inc. warrants 6/2/09 (a)

34

0

DUSA Pharmaceuticals, Inc. (a)(g)

1,747,429

3,373

Genentech, Inc. (a)

269,436

20,410

Gilead Sciences, Inc. (a)

633,600

29,982

MannKind Corp. (a)(f)

1,457,519

10,305

PDL BioPharma, Inc. (a)

280,168

4,477

Theravance, Inc. (a)

1,054,196

17,342

Vertex Pharmaceuticals, Inc. (a)

818,200

14,319

223,211

Health Care Equipment & Supplies - 1.2%

Alcon, Inc.

159,200

23,041

American Medical Systems Holdings, Inc. (a)

2,684,900

39,173

ArthroCare Corp. (a)

379,658

15,243

Aspect Medical Systems, Inc. (a)(f)

743,285

9,269

Boston Scientific Corp. (a)

739,550

9,311

C.R. Bard, Inc.

44,795

4,246

Covidien Ltd.

902,650

38,624

Hillenbrand Industries, Inc.

946,909

49,684

Integra LifeSciences Holdings Corp. (a)(f)

670,017

27,766

Inverness Medical Innovations, Inc. (a)

641,555

18,701

Medtronic, Inc.

393,500

19,423

Micrus Endovascular Corp. (a)

474,600

6,716

Orthofix International NV (a)

276,356

11,068

Quidel Corp. (a)

263,670

4,332

Smith & Nephew PLC

1,336,500

17,476

Sonova Holding AG

262,859

24,913

318,986

Health Care Providers & Services - 1.2%

Acibadem Saglik Hizmetleri AS

1,943,246

13,693

Brookdale Senior Living, Inc. (f)

692,200

18,059

Cardinal Health, Inc. (f)

115,500

6,831

DaVita, Inc. (a)

336,200

16,686

Health Net, Inc. (a)

436,700

19,189

HealthSouth Corp. (a)(f)

832,961

13,394

Henry Schein, Inc. (a)

73,900

4,421

Humana, Inc. (a)

240,800

16,454

McKesson Corp.

492,300

28,928

Patterson Companies, Inc. (a)

308,100

10,845

PSS World Medical, Inc. (a)

115,600

2,023

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

Sunrise Senior Living, Inc. (a)

727,648

$ 19,923

Tenet Healthcare Corp. (a)

2,126,185

10,227

UnitedHealth Group, Inc.

1,511,112

70,236

Universal American Financial Corp. (a)

1,045,450

17,961

Universal Health Services, Inc. Class B

110,580

5,907

VCA Antech, Inc. (a)

826,400

26,536

301,313

Health Care Technology - 0.3%

Allscripts Healthcare Solutions, Inc. (a)(f)

1,053,300

11,239

Cerner Corp. (a)

264,604

11,497

HLTH Corp. (a)

1,615,200

19,124

IMS Health, Inc.

924,860

20,819

62,679

Life Sciences Tools & Services - 0.3%

Applera Corp. - Applied Biosystems Group

129,100

4,352

Bruker BioSciences Corp. (a)

1,289,234

17,624

Charles River Laboratories International, Inc. (a)

455,200

26,666

Pharmaceutical Product Development, Inc.

546,400

24,626

Thermo Fisher Scientific, Inc. (a)

227,200

12,707

85,975

Pharmaceuticals - 1.0%

Alpharma, Inc. Class A (a)

857,910

21,602

Barr Pharmaceuticals, Inc. (a)

649,300

30,614

Cipla Ltd.

667,579

3,424

Jazz Pharmaceuticals, Inc. (f)

942,825

11,276

Johnson & Johnson

233,800

14,486

Merck & Co., Inc.

1,296,200

57,422

Schering-Plough Corp.

1,658,100

35,981

Teva Pharmaceutical Industries Ltd. sponsored ADR

50,800

2,493

Wyeth

1,510,500

65,888

XenoPort, Inc. (a)

258,900

13,248

256,434

TOTAL HEALTH CARE

1,248,598

INDUSTRIALS - 7.9%

Aerospace & Defense - 1.3%

Finmeccanica SpA

346,700

10,661

General Dynamics Corp.

769,900

63,016

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Aerospace & Defense - continued

Hexcel Corp. (a)

1,591,200

$ 32,126

Honeywell International, Inc.

642,300

36,958

Orbital Sciences Corp. (a)

990,700

21,449

Raytheon Co.

565,500

36,667

Rockwell Collins, Inc.

322,900

19,019

Spirit AeroSystems Holdings, Inc. Class A (a)

923,300

24,948

Triumph Group, Inc.

133,900

7,577

United Technologies Corp.

1,161,700

81,911

334,332

Air Freight & Logistics - 0.4%

C.H. Robinson Worldwide, Inc.

175,500

8,910

Expeditors International of Washington, Inc.

9,200

362

FedEx Corp.

234,900

20,702

Forward Air Corp.

886,986

26,033

United Parcel Service, Inc. Class B

420,700

29,550

UTI Worldwide, Inc.

988,927

16,594

102,151

Airlines - 0.2%

AirTran Holdings, Inc. (a)(f)

2,246,200

16,218

Delta Air Lines, Inc. (a)

994,896

13,282

easyJet PLC (a)

257,600

2,077

Frontier Airlines Holdings, Inc. (a)(f)

889,464

2,606

Northwest Airlines Corp. (a)

1,307,700

17,562

US Airways Group, Inc. (a)

632,500

7,843

59,588

Commercial Services & Supplies - 1.0%

ACCO Brands Corp. (a)

1,262,077

17,505

Allied Waste Industries, Inc. (a)

2,810,300

29,059

CDI Corp.

128,610

2,926

Clean Harbors, Inc. (a)

467,633

28,769

Consolidated Graphics, Inc. (a)

36,997

1,968

Covanta Holding Corp. (a)

857,300

24,587

Diamond Management & Technology Consultants, Inc.

515,447

3,057

EnergySolutions, Inc.

161,200

3,514

Equifax, Inc.

513,280

17,564

GeoEye, Inc. (a)

369,707

11,169

IHS, Inc. Class A (a)

138,000

8,508

Kenexa Corp. (a)

143,100

2,899

Manpower, Inc.

64,700

3,668

Monster Worldwide, Inc. (a)

101,500

2,699

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Commercial Services & Supplies - continued

R.R. Donnelley & Sons Co.

225,800

$ 7,187

Robert Half International, Inc.

434,500

11,710

The Brink's Co.

704,300

47,139

Waste Management, Inc.

686,400

22,535

246,463

Construction & Engineering - 2.0%

AMEC PLC

1,707,500

26,046

Chicago Bridge & Iron Co. NV (NY Shares)

2,598,600

120,887

Fluor Corp.

591,900

82,422

Great Lakes Dredge & Dock Corp.

2,854,893

17,443

Shaw Group, Inc. (a)

2,401,000

154,576

URS Corp. (a)

2,659,560

107,127

508,501

Electrical Equipment - 0.6%

ABB Ltd. sponsored ADR

727,400

18,214

Acuity Brands, Inc.

382,300

16,978

Belden, Inc.

369,800

14,533

Cooper Industries Ltd. Class A

581,100

24,366

JA Solar Holdings Co. Ltd. ADR

1,946,700

27,818

Renewable Energy Corp. AS (a)

1,237,236

30,259

Rockwell Automation, Inc.

101,500

5,553

Vestas Wind Systems AS (a)

203,400

20,618

158,339

Industrial Conglomerates - 0.5%

3M Co.

140,500

11,015

General Electric Co.

399,165

13,228

McDermott International, Inc. (a)

826,800

43,175

Siemens AG sponsored ADR

350,700

44,770

Walter Industries, Inc.

147,600

8,063

120,251

Machinery - 1.0%

Bucyrus International, Inc. Class A

498,666

49,807

CIRCOR International, Inc.

538,151

24,513

Cummins, Inc.

437,700

22,051

Danaher Corp.

230,100

17,062

Eaton Corp.

87,500

7,055

Flowserve Corp.

238,700

25,994

Force Protection, Inc. (a)(f)(g)

4,000,291

16,441

Gardner Denver, Inc. (a)

68,800

2,539

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Machinery - continued

IDEX Corp.

284,254

$ 8,573

Ingersoll-Rand Co. Ltd. Class A

725,800

30,382

Japan Steel Works Ltd.

389,000

6,322

Navistar International Corp. (a)

194,300

10,968

NGK Insulators Ltd.

217,000

4,928

Oshkosh Co.

345,000

13,824

Sulzer AG (Reg.)

8,257

9,480

Terex Corp. (a)

18,400

1,241

251,180

Marine - 0.3%

Alexander & Baldwin, Inc.

774,343

34,102

American Commercial Lines, Inc. (a)(f)

2,317,205

39,392

Navios Maritime Holdings, Inc.

1,272,400

14,136

Ultrapetrol (Bahamas) Ltd. (a)

46,202

647

88,277

Road & Rail - 0.5%

Burlington Northern Santa Fe Corp.

216,200

18,978

Con-way, Inc.

208,040

9,426

J.B. Hunt Transport Services, Inc.

254,264

6,959

Ryder System, Inc.

323,800

18,654

Union Pacific Corp.

236,800

29,543

Universal Truckload Services, Inc. (a)(g)

1,085,798

20,283

YRC Worldwide, Inc. (a)(f)

1,145,477

15,762

119,605

Trading Companies & Distributors - 0.1%

WESCO International, Inc. (a)

812,400

32,496

TOTAL INDUSTRIALS

2,021,183

INFORMATION TECHNOLOGY - 8.3%

Communications Equipment - 1.1%

Adtran, Inc.

1,965,083

36,197

Alcatel-Lucent SA sponsored ADR

2,862,830

16,805

Cisco Systems, Inc. (a)

2,985,800

72,764

Corning, Inc.

161,900

3,761

Dycom Industries, Inc. (a)

1,049,500

12,006

Finisar Corp. (a)

5,689,316

9,160

Harris Corp.

994,400

48,557

Juniper Networks, Inc. (a)

763,820

20,486

MasTec, Inc. (a)

1,360,367

11,849

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Motorola, Inc.

2,463,000

$ 24,556

Powerwave Technologies, Inc. (a)(f)

4,506,300

12,888

Sandvine Corp. (a)

3,238,400

9,675

Sandvine Corp. (U.K.) (a)

389,300

1,175

279,879

Computers & Peripherals - 0.9%

Diebold, Inc.

648,200

15,635

Hewlett-Packard Co.

1,527,400

72,964

Hutchinson Technology, Inc. (a)

795,000

13,356

Intermec, Inc. (a)

277,400

6,114

NCR Corp. (a)

1,609,500

35,667

Network Appliance, Inc. (a)

1,316,000

28,452

Seagate Technology

552,093

11,909

Teradata Corp. (a)

714,400

18,024

Western Digital Corp. (a)

1,063,500

32,830

234,951

Electronic Equipment & Instruments - 1.3%

Agilent Technologies, Inc. (a)

53,500

1,638

Amphenol Corp. Class A

1,835,500

67,858

Arrow Electronics, Inc. (a)

579,225

18,889

Avnet, Inc. (a)

947,700

31,947

Bell Microproducts, Inc. (a)

485,551

1,627

Cogent, Inc. (a)

1,382,252

13,823

Flextronics International Ltd. (a)

2,495,900

25,308

Ibiden Co. Ltd.

128,700

6,146

Ingram Micro, Inc. Class A (a)

1,618,300

24,711

Itron, Inc. (a)(f)

1,093,690

104,261

Tyco Electronics Ltd.

917,050

30,171

326,379

Internet Software & Services - 0.6%

Google, Inc. Class A (sub. vtg.) (a)

119,590

56,348

LoopNet, Inc. (a)(f)

1,234,410

14,776

Open Text Corp. (a)

584,500

18,835

TheStreet.com, Inc.

419,307

3,799

ValueClick, Inc. (a)

488,730

9,437

VeriSign, Inc. (a)

1,095,400

38,120

Yahoo!, Inc. (a)

862,100

23,949

165,264

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

IT Services - 0.9%

Accenture Ltd. Class A

119,700

$ 4,219

CACI International, Inc. Class A (a)

480,661

20,986

Cognizant Technology Solutions Corp. Class A (a)

311,900

9,422

MoneyGram International, Inc.

273,339

1,000

NeuStar, Inc. Class A (a)

1,096,300

28,131

Patni Computer Systems Ltd. sponsored ADR

590,941

7,156

Paychex, Inc.

369,911

11,637

Perot Systems Corp. Class A (a)

1,631,143

22,493

Sapient Corp. (a)

2,245,000

16,568

Satyam Computer Services Ltd. sponsored ADR

786,500

19,647

SI International, Inc. (a)

166,400

4,140

SRA International, Inc. Class A (a)

653,700

15,689

The Western Union Co.

1,126,300

23,427

Unisys Corp. (a)

6,732,683

27,806

WNS Holdings Ltd. ADR (a)

531,696

7,896

220,217

Office Electronics - 0.1%

Xerox Corp.

1,620,400

23,820

Semiconductors & Semiconductor Equipment - 2.5%

Advanced Micro Devices, Inc. (a)(f)

3,951,900

28,493

Altera Corp.

811,400

13,883

AMIS Holdings, Inc. (a)

2,354,645

16,059

Analog Devices, Inc.

910,300

24,505

Applied Materials, Inc.

1,026,100

19,670

ASAT Holdings Ltd.

88,719

3

ASAT Holdings Ltd. warrants 7/24/11 (a)

2,416

4

Atmel Corp. (a)

17,176,784

55,825

Axcelis Technologies, Inc. (a)

3,445,300

19,810

Cymer, Inc. (a)

468,200

13,264

Cypress Semiconductor Corp. (a)

2,550,400

55,446

Fairchild Semiconductor International, Inc. (a)

2,374,600

26,477

FormFactor, Inc. (a)

754,322

13,525

Hittite Microwave Corp. (a)

578,619

19,158

Integrated Device Technology, Inc. (a)

2,907,400

24,393

Intersil Corp. Class A

500,688

11,651

LTX Corp. (a)(g)

3,819,221

12,412

Maxim Integrated Products, Inc.

3,671,200

67,073

Microchip Technology, Inc.

837,300

25,772

National Semiconductor Corp.

2,028,300

33,406

NEC Electronics Corp. (a)

277,200

5,611

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Rudolph Technologies, Inc. (a)

856,784

$ 7,463

Samsung Electronics Co. Ltd.

12,463

7,305

Semitool, Inc. (a)(f)

1,272,714

10,004

Spansion, Inc. Class A (a)

1,842,218

5,066

Teradyne, Inc. (a)

3,382,500

40,556

Varian Semiconductor Equipment Associates, Inc. (a)

2,181,700

73,698

Xilinx, Inc.

843,280

18,856

Zoran Corp. (a)

207,200

2,845

652,233

Software - 0.9%

Activision, Inc. (a)

332,900

9,072

Cadence Design Systems, Inc. (a)

92,100

978

Electronic Arts, Inc. (a)

327,300

15,478

Fair Isaac Corp.

379,400

8,802

McAfee, Inc. (a)

500,600

16,655

Microsoft Corp.

781,600

21,275

Misys PLC

4,780,900

14,079

Nintendo Co. Ltd.

97,500

48,672

Oracle Corp. (a)

903,100

16,978

Quest Software, Inc. (a)

1,863,880

26,523

Sourcefire, Inc. (f)(g)

1,572,750

9,437

Take-Two Interactive Software, Inc. (a)(f)

803,750

21,299

THQ, Inc. (a)

989,560

18,515

Ubisoft Entertainment SA (a)

161,826

13,600

241,363

TOTAL INFORMATION TECHNOLOGY

2,144,106

MATERIALS - 4.4%

Chemicals - 2.2%

Airgas, Inc.

393,141

19,103

Albemarle Corp.

465,200

17,650

Arkema sponsored ADR (a)

454,900

26,111

Ashland, Inc.

193,500

8,547

Calgon Carbon Corp. (a)(f)

1,151,296

18,812

Celanese Corp. Class A

1,563,700

60,828

Chemtura Corp.

3,163,857

26,133

Georgia Gulf Corp. (f)

488,095

2,958

Hercules, Inc.

1,975,476

36,191

Israel Chemicals Ltd.

1,781,718

25,169

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Chemicals - continued

Linde AG

90,200

$ 12,000

Monsanto Co.

823,000

95,205

Rockwood Holdings, Inc. (a)

50,700

1,556

Spartech Corp.

1,206,033

17,089

Syngenta AG (Switzerland)

4,610

1,321

The Mosaic Co. (a)

1,492,000

166,060

Tokai Carbon Co. Ltd.

714,000

6,082

Tronox, Inc.:

Class A

1,464,762

6,547

Class B (g)

1,609,310

7,097

Valspar Corp.

156,800

3,401

W.R. Grace & Co. (a)

46,300

983

558,843

Containers & Packaging - 0.1%

Rock-Tenn Co. Class A

46,100

1,237

Smurfit-Stone Container Corp. (a)

1,755,500

13,956

Temple-Inland, Inc.

1,269,584

17,431

32,624

Metals & Mining - 2.1%

Alamos Gold, Inc. (a)

1,573,900

11,980

Alcoa, Inc.

2,188,300

81,273

Allegheny Technologies, Inc.

280,878

21,726

Anglo Platinum Ltd.

106,600

16,712

ArcelorMittal SA (NY Reg.) Class A

281,367

21,390

Carpenter Technology Corp.

551,000

34,619

Eldorado Gold Corp. (a)

1,656,900

11,500

Fording Canadian Coal Trust

41,600

2,056

Freeport-McMoRan Copper & Gold, Inc. Class B

18,300

1,846

Gabriel Resources Ltd. (a)

2,088,800

3,927

IAMGOLD Corp.

115,100

931

Ivanhoe Mines Ltd. (a)

2,124,300

27,697

Labrador Iron Ore Royal, Inc. Fund

9,200

502

Lihir Gold Ltd. (a)

3,838,023

14,864

Lundin Mining Corp. (a)

421,500

3,602

Newcrest Mining Ltd.

1,132,979

39,390

Nucor Corp.

82,500

5,327

Polymet Mining Corp. (a)

592,000

2,094

Reliance Steel & Aluminum Co.

768,200

42,604

Silver Wheaton Corp. (a)

115,100

1,988

Steel Dynamics, Inc.

198,901

11,588

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Metals & Mining - continued

Stillwater Mining Co. (a)(f)

1,543,310

$ 31,684

Titanium Metals Corp.

4,492,482

92,635

Yamana Gold, Inc.

3,076,921

55,376

537,311

TOTAL MATERIALS

1,128,778

TELECOMMUNICATION SERVICES - 2.7%

Diversified Telecommunication Services - 2.3%

AT&T, Inc.

9,942,597

346,301

Cincinnati Bell, Inc. (a)

6,379,764

24,753

Cogent Communications Group, Inc. (a)

425,200

8,283

Covad Communications Group, Inc. (a)

10,932,040

10,057

Level 3 Communications, Inc. (a)(f)

1,902,200

4,242

Qwest Communications International, Inc.

6,522,700

35,223

Verizon Communications, Inc.

4,465,800

162,198

591,057

Wireless Telecommunication Services - 0.4%

America Movil SAB de CV Series L sponsored ADR

303,500

18,350

American Tower Corp. Class A (a)

1,092,091

41,980

Crown Castle International Corp. (a)

380,500

13,732

NII Holdings, Inc. (a)

341,900

13,584

Vivo Participacoes SA (PN) sponsored ADR

1,200,300

7,286

94,932

TOTAL TELECOMMUNICATION SERVICES

685,989

UTILITIES - 3.4%

Electric Utilities - 1.4%

Allegheny Energy, Inc.

447,500

22,675

DPL, Inc.

990,700

25,273

E.ON AG

169,600

31,800

Edison International

552,300

27,284

Electricite de France

55,500

5,176

Entergy Corp.

369,700

37,983

Exelon Corp.

119,700

8,960

FirstEnergy Corp.

217,800

14,721

Pepco Holdings, Inc.

696,000

17,588

PPL Corp.

1,111,100

50,422

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Public Power Corp. of Greece

272,900

$ 11,589

Reliant Energy, Inc. (a)

4,370,019

99,636

353,107

Gas Utilities - 0.2%

Atmos Energy Corp.

230,351

5,989

Equitable Resources, Inc.

477,300

29,411

Gaz de France

142,500

8,152

Questar Corp.

286,500

15,829

59,381

Independent Power Producers & Energy Traders - 1.5%

AES Corp. (a)

4,068,317

73,148

Constellation Energy Group, Inc.

1,032,500

91,221

International Power PLC

695,700

5,227

NRG Energy, Inc. (a)

5,008,998

206,721

376,317

Multi-Utilities - 0.3%

CMS Energy Corp.

1,441,200

20,739

OGE Energy Corp.

233,987

7,598

Public Service Enterprise Group, Inc.

951,000

41,939

Sempra Energy

231,100

12,278

Wisconsin Energy Corp.

212,400

9,265

91,819

TOTAL UTILITIES

880,624

TOTAL COMMON STOCKS

(Cost $15,138,621)

16,438,786

Convertible Preferred Stocks - 0.3%

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

McMoRan Exploration Co. 6.75%

46,200

5,494

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

Citigroup, Inc. Series T, 6.50%

369,828

18,352

Convertible Preferred Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Thrifts & Mortgage Finance - 0.0%

Washington Mutual, Inc. Series R, 7.75%

9,300

$ 8,729

TOTAL FINANCIALS

27,081

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

ASAT Holdings Ltd. 13.00% (a)

2,416

0

MATERIALS - 0.2%

Metals & Mining - 0.2%

Freeport-McMoRan Copper & Gold, Inc. 6.75%

249,500

36,753

TOTAL CONVERTIBLE PREFERRED STOCKS

(Cost $57,451)

69,328

Corporate Bonds - 2.7%

Principal Amount (000s)

Convertible Bonds - 0.2%

ENERGY - 0.1%

Oil, Gas & Consumable Fuels - 0.1%

Chesapeake Energy Corp. 2.75% 11/15/35

$ 1,000

1,317

Evergreen Energy, Inc. 8% 8/1/12 (h)

8,780

5,937

McMoRan Exploration Co. 6% 7/2/08

11,050

13,303

20,557

HEALTH CARE - 0.1%

Health Care Equipment & Supplies - 0.1%

Inverness Medical Innovations, Inc. 3% 5/15/16 (h)

9,274

8,949

Pharmaceuticals - 0.0%

Alpharma, Inc. 2.125% 3/15/27

7,380

7,540

TOTAL HEALTH CARE

16,489

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

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

748

504

Cypress Semiconductor Corp. 1% 9/15/09 (h)

4,610

5,316

5,820

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Convertible Bonds - continued

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

Cogent Communications Group, Inc. 1% 6/15/27 (h)

$ 9,250

$ 7,136

Covad Communications Group, Inc. 3% 3/15/24 (h)

5,000

4,884

Level 3 Communications, Inc. 5.25% 12/15/11 (h)

1,980

1,627

13,647

TOTAL CONVERTIBLE BONDS

56,513

Nonconvertible Bonds - 2.5%

CONSUMER DISCRETIONARY - 0.4%

Auto Components - 0.0%

Tenneco, Inc. 8.625% 11/15/14

685

671

The Goodyear Tire & Rubber Co.:

8.625% 12/1/11

84

88

9% 7/1/15

104

109

868

Automobiles - 0.0%

Ford Motor Co. 7.45% 7/16/31

880

601

General Motors Corp.:

8.25% 7/15/23

120

91

8.375% 7/15/33

800

616

1,308

Diversified Consumer Services - 0.0%

Carriage Services, Inc. 7.875% 1/15/15

430

417

Education Management LLC/Education Management Finance Corp. 8.75% 6/1/14

340

296

Service Corp. International:

6.75% 4/1/15

450

444

7.5% 4/1/27

450

394

1,551

Hotels, Restaurants & Leisure - 0.1%

Carrols Corp. 9% 1/15/13

730

657

Fontainebleau Las Vegas Holdings LLC/Fontainebleau Las Vegas Capital Corp. 10.25% 6/15/15 (h)

240

167

Host Marriott LP 7.125% 11/1/13

1,000

980

Landry's Restaurants, Inc. 9.5% 12/15/14

775

748

MGM Mirage, Inc.:

5.875% 2/27/14

3,880

3,429

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

MGM Mirage, Inc.: - continued

7.5% 6/1/16

$ 450

$ 421

Mohegan Tribal Gaming Authority 6.875% 2/15/15

105

88

OSI Restaurant Partners, Inc. 10% 6/15/15 (h)

1,045

627

Penn National Gaming, Inc. 6.875% 12/1/11

1,400

1,344

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

170

151

Six Flags, Inc.:

8.875% 2/1/10

900

644

9.625% 6/1/14

845

524

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625% 12/1/14

1,480

1,421

11,201

Household Durables - 0.0%

Fortune Brands, Inc. 5.875% 1/15/36

1,780

1,544

Jarden Corp. 7.5% 5/1/17

175

153

K. Hovnanian Enterprises, Inc. 6.25% 1/15/15

175

116

1,813

Leisure Equipment & Products - 0.0%

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

110

90

Media - 0.3%

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

4,975

5,304

Cablevision Systems Corp. 9.6444% 4/1/09 (m)

780

780

Cadmus Communications Corp. 8.375% 6/15/14

275

226

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

1,800

1,710

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

2,055

1,449

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. Series B, 10.25% 9/15/10

785

720

Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:

8% 4/30/12 (h)

3,210

3,033

8.375% 4/30/14 (h)

115

105

Comcast Corp. 6.45% 3/15/37

4,360

4,151

CSC Holdings, Inc. 7.625% 4/1/11

1,600

1,590

EchoStar Communications Corp. 7.125% 2/1/16

2,420

2,378

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Liberty Media Corp.:

5.7% 5/15/13

$ 2,430

$ 2,163

8.25% 2/1/30

6,315

5,262

News America Holdings, Inc. 7.75% 12/1/45

15,780

16,991

News America, Inc. 6.2% 12/15/34

1,720

1,644

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

1,110

944

PanAmSat Corp. 9% 6/15/16

910

910

Paxson Communications Corp. 7.5075% 1/15/12 (h)(m)

1,495

1,405

R.H. Donnelley Corp. 8.875% 10/15/17 (h)

760

448

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

1,830

1,308

Time Warner Cable, Inc. 6.55% 5/1/37

6,111

5,894

Time Warner, Inc. 6.5% 11/15/36

3,450

3,217

TL Acquisitions, Inc.:

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

650

478

10.5% 1/15/15 (h)

3,210

2,905

Valassis Communications, Inc. 8.25% 3/1/15

2,750

2,296

Videotron Ltee 6.875% 1/15/14

990

960

68,271

Multiline Retail - 0.0%

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

675

650

Specialty Retail - 0.0%

Asbury Automotive Group, Inc.:

7.625% 3/15/17

470

371

8% 3/15/14

1,820

1,511

GSC Holdings Corp./Gamestop, Inc. 8% 10/1/12

940

986

Michaels Stores, Inc. 10% 11/1/14

905

794

Sally Holdings LLC:

9.25% 11/15/14

1,910

1,843

10.5% 11/15/16

295

268

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

1,270

1,156

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

1,075

796

United Auto Group, Inc. 7.75% 12/15/16

1,000

850

8,575

Textiles, Apparel & Luxury Goods - 0.0%

Hanesbrands, Inc. 8.2038% 12/15/14 (h)(m)

190

167

TOTAL CONSUMER DISCRETIONARY

94,494

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - 0.1%

Beverages - 0.1%

Constellation Brands, Inc.:

7.25% 5/15/17

$ 3,445

$ 3,299

8.375% 12/15/14

2,640

2,686

Diageo Capital PLC 5.2% 1/30/13

3,300

3,424

9,409

Food & Staples Retailing - 0.0%

Couche Tard U.S. LP/Couche Tard Financing Corp. 7.5% 12/15/13

920

915

Rite Aid Corp. 9.5% 6/15/17

1,665

1,274

Stater Brothers Holdings, Inc. 7.75% 4/15/15

655

626

SUPERVALU, Inc. 7.5% 11/15/14

1,170

1,164

3,979

Food Products - 0.0%

Dean Foods Co.:

6.9% 10/15/17

480

410

7% 6/1/16

1,335

1,168

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

1,475

1,313

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

300

284

3,175

Tobacco - 0.0%

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

7,970

7,816

TOTAL CONSUMER STAPLES

24,379

ENERGY - 0.3%

Energy Equipment & Services - 0.0%

Bristow Group, Inc. 7.5% 9/15/17 (h)

410

410

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

410

395

Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (h)

620

615

Hornbeck Offshore Services, Inc. 6.125% 12/1/14

880

829

Pride International, Inc. 7.375% 7/15/14

480

499

2,748

Oil, Gas & Consumable Fuels - 0.3%

Chaparral Energy, Inc. 8.875% 2/1/17

510

426

Chesapeake Energy Corp.:

6.5% 8/15/17

2,500

2,394

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Chesapeake Energy Corp.: - continued

6.625% 1/15/16

$ 15

$ 15

6.875% 1/15/16

10

10

7% 8/15/14

20

20

7.5% 6/15/14

430

441

7.625% 7/15/13

835

852

Duke Capital LLC 6.75% 2/15/32

8,145

7,765

Duke Energy Field Services 6.45% 11/3/36 (h)

8,650

8,258

Forest Oil Corp. 7.25% 6/15/19 (h)

1,160

1,160

Foundation Pennsylvania Coal Co. 7.25% 8/1/14

530

525

Kinder Morgan Energy Partners LP 5.125% 11/15/14

12,250

12,139

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

510

492

Massey Energy Co. 6.875% 12/15/13

740

718

National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (h)

2,855

2,700

Nexen, Inc.:

5.875% 3/10/35

1,565

1,417

6.4% 5/15/37

5,235

5,066

OPTI Canada, Inc. 8.25% 12/15/14 (h)

2,225

2,192

Peabody Energy Corp. 7.375% 11/1/16

1,545

1,591

Petrohawk Energy Corp. 9.125% 7/15/13

1,455

1,484

Plains All American Pipeline LP:

6.125% 1/15/17

1,940

2,006

6.65% 1/15/37

4,940

4,871

Plains Exploration & Production Co. 7% 3/15/17

1,280

1,222

Range Resources Corp. 7.375% 7/15/13

765

767

Ras Laffan Liquid Natural Gas Co. Ltd. III 6.332% 9/30/27 (h)

5,910

5,548

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

2,310

2,345

Southwestern Energy Co. 7.5% 2/1/18 (h)

380

391

Talisman Energy, Inc. yankee 6.25% 2/1/38

3,280

3,066

Teekay Corp. 8.875% 7/15/11

1,110

1,166

Valero Energy Corp. 6.625% 6/15/37

2,170

2,138

Williams Partners LP/Williams Partners Finance Corp. 7.25% 2/1/17

430

440

73,625

TOTAL ENERGY

76,373

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - 0.5%

Capital Markets - 0.1%

Bear Stearns Companies, Inc. 6.95% 8/10/12

$ 12,700

$ 12,919

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

11,195

10,452

JPMorgan Chase Capital XX 6.55% 9/29/36

11,840

10,636

34,007

Commercial Banks - 0.1%

Bank of America NA 6% 10/15/36

7,045

6,712

Credit Suisse First Boston 6% 2/15/18

11,975

12,220

HSBC Holdings PLC:

6.5% 5/2/36

6,175

5,930

6.5% 9/15/37

10,625

10,065

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

2,371

2,459

37,386

Consumer Finance - 0.2%

Ford Motor Credit Co. LLC:

7.8% 6/1/12

450

388

8% 12/15/16

265

212

8.7075% 4/15/12 (m)

390

376

9.875% 8/10/11

2,090

1,935

General Electric Capital Corp. 5.625% 9/15/17

21,610

22,225

General Motors Acceptance Corp.:

6.75% 12/1/14

1,580

1,232

6.875% 9/15/11

155

130

6.875% 8/28/12

680

543

8% 11/1/31

275

210

GMAC LLC 6.625% 5/15/12

450

356

SLM Corp.:

3.4913% 7/26/10 (m)

22,788

19,661

4.5% 7/26/10

1,355

1,255

48,523

Diversified Financial Services - 0.0%

Hilcorp Energy I LP/Hilcorp Finance Co.:

7.75% 11/1/15 (h)

320

298

9% 6/1/16 (h)

370

370

NSG Holdings II, LLC 7.75% 12/15/25 (h)

490

483

1,151

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - 0.0%

USI Holdings Corp.:

6.94% 11/15/14 (h)(m)

$ 260

$ 198

9.75% 5/15/15 (h)

100

75

273

Real Estate Investment Trusts - 0.1%

Duke Realty LP:

5.5% 3/1/16

3,075

2,732

5.625% 8/15/11

2,695

2,652

Host Hotels & Resorts LP 6.875% 11/1/14

750

726

Rouse Co. 7.2% 9/15/12

240

212

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

2,645

2,275

Senior Housing Properties Trust 7.875% 4/15/15

278

279

Ventas Realty LP:

6.5% 6/1/16

2,675

2,608

6.75% 4/1/17

330

325

11,809

Real Estate Management & Development - 0.0%

Realogy Corp. 10.5% 4/15/14

1,885

1,320

Thrifts & Mortgage Finance - 0.0%

Residential Capital Corp. 7.875% 6/30/10

555

316

Residential Capital LLC 6.1925% 5/22/09 (m)

670

456

772

TOTAL FINANCIALS

135,241

HEALTH CARE - 0.1%

Health Care Equipment & Supplies - 0.0%

Bausch & Lomb, Inc. 9.875% 11/1/15 (h)

590

600

LVB Acquisition Merger Sub, Inc. 10% 10/15/17 (h)

250

258

858

Health Care Providers & Services - 0.1%

AMR HoldCo, Inc./EmCare HoldCo, Inc. 10% 2/15/15

460

490

Community Health Systems, Inc. 8.875% 7/15/15

1,490

1,464

DaVita, Inc.:

6.625% 3/15/13

745

726

7.25% 3/15/15

885

881

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

HCA, Inc.:

6.5% 2/15/16

$ 1,085

$ 911

9.125% 11/15/14

945

963

9.25% 11/15/16

2,560

2,618

9.625% 11/15/16 pay-in-kind

1,000

1,033

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

1,550

1,527

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

190

200

Tenet Healthcare Corp.:

9.25% 2/1/15

530

482

9.875% 7/1/14

1,640

1,533

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

465

459

United Surgical Partners International, Inc. 9.25% 5/1/17 pay-in-kind

640

566

Universal Hospital Services, Inc.:

8.2875% 6/1/15 (m)

250

225

8.5% 6/1/15 pay-in-kind

210

209

14,287

Pharmaceuticals - 0.0%

AstraZeneca PLC 6.45% 9/15/37

2,307

2,480

TOTAL HEALTH CARE

17,625

INDUSTRIALS - 0.2%

Aerospace & Defense - 0.1%

Bombardier, Inc.:

6.3% 5/1/14 (h)

2,965

2,817

7.45% 5/1/34 (h)

3,000

2,835

8% 11/15/14 (h)

3,470

3,565

DRS Technologies, Inc. 7.625% 2/1/18

900

896

Esterline Technologies Corp. 6.625% 3/1/17

900

909

TransDigm, Inc. 7.75% 7/15/14

180

180

11,202

Airlines - 0.0%

Continental Airlines, Inc.:

6.903% 4/19/22

100

83

7.339% 4/19/14

160

141

Delta Air Lines, Inc. 8.3% 12/15/29 (a)

4,940

198

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

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

$ 5,010

$ 5,027

Northwest Airlines, Inc. pass thru trust certificates 7.691% 4/1/17

403

375

5,824

Building Products - 0.0%

Building Materials Corp. of America 7.75% 8/1/14

820

607

Nortek, Inc. 8.5% 9/1/14

510

397

1,004

Commercial Services & Supplies - 0.0%

Allied Waste North America, Inc. 7.125% 5/15/16

1,880

1,861

ARAMARK Corp.:

6.7394% 2/1/15 (m)

1,120

980

8.5% 2/1/15

1,980

1,960

Cenveo Corp. 7.875% 12/1/13

2,895

2,468

Corrections Corp. of America 6.25% 3/15/13

1,055

1,052

Deluxe Corp. 7.375% 6/1/15

895

864

IKON Office Solutions, Inc. 7.75% 9/15/15

140

139

Rental Service Corp. 9.5% 12/1/14

260

212

United Rentals North America, Inc. 7% 2/15/14

200

159

9,695

Electrical Equipment - 0.0%

Baldor Electric Co. 8.625% 2/15/17

245

240

General Cable Corp.:

7.0556% 4/1/15 (m)

305

262

7.125% 4/1/17

80

77

579

Industrial Conglomerates - 0.1%

Covidien International Finance SA:

5.45% 10/15/12 (h)

4,120

4,326

6.55% 10/15/37 (h)

4,505

4,654

General Electric Co. 5.25% 12/6/17

23,650

23,736

32,716

Machinery - 0.0%

Commercial Vehicle Group, Inc. 8% 7/1/13

230

193

Esco Corp. 8.625% 12/15/13 (h)

105

102

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Machinery - continued

RBS Global, Inc. / Rexnord Corp. 9.5% 8/1/14

$ 130

$ 117

SPX Corp. 7.625% 12/15/14 (h)

900

925

1,337

Marine - 0.0%

Britannia Bulk PLC 11% 12/1/11

130

131

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

550

536

667

Road & Rail - 0.0%

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:

5.565% 5/15/14 (m)

60

48

7.625% 5/15/14

250

216

Hertz Corp. 8.875% 1/1/14

1,650

1,555

1,819

Trading Companies & Distributors - 0.0%

Ashtead Capital, Inc. 9% 8/15/16 (h)

250

205

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

150

120

VWR Funding, Inc. 10.25% 7/15/15

2,495

2,320

2,645

TOTAL INDUSTRIALS

67,488

INFORMATION TECHNOLOGY - 0.1%

Communications Equipment - 0.0%

Lucent Technologies, Inc.:

6.45% 3/15/29

1,160

858

6.5% 1/15/28

365

270

Nortel Networks Corp.:

8.5075% 7/15/11 (m)

555

480

10.125% 7/15/13

390

367

10.75% 7/15/16

1,855

1,762

3,737

Electronic Equipment & Instruments - 0.1%

Jabil Circuit, Inc. 8.25% 3/15/18 (h)

1,275

1,275

NXP BV:

7.0075% 10/15/13 (m)

1,135

914

7.875% 10/15/14

450

403

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - continued

Texas Competitive Electric Holdings Co. LLC Series A, 10.25% 11/1/15 (h)

$ 2,435

$ 2,374

Tyco Electronics Group SA 7.125% 10/1/37 (h)

2,405

2,500

7,466

IT Services - 0.0%

First Data Corp. 9.875% 9/24/15 (h)

500

425

Iron Mountain, Inc.:

6.625% 1/1/16

115

109

8.625% 4/1/13

160

161

SunGard Data Systems, Inc. 9.125% 8/15/13

2,590

2,629

3,324

Office Electronics - 0.0%

Xerox Capital Trust I 8% 2/1/27

2,920

2,905

Semiconductors & Semiconductor Equipment - 0.0%

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

470

456

Avago Technologies Finance Ltd. 10.125% 12/1/13

820

861

Freescale Semiconductor, Inc.:

8.8656% 12/15/14 (m)

885

631

8.875% 12/15/14

2,230

1,817

9.125% 12/15/14 pay-in-kind

2,590

1,955

5,720

Software - 0.0%

Activant Solutions, Inc. 9.5% 5/1/16

140

118

Serena Software, Inc. 10.375% 3/15/16

255

232

350

TOTAL INFORMATION TECHNOLOGY

23,502

MATERIALS - 0.1%

Chemicals - 0.0%

Agrium, Inc. 7.125% 5/23/36

4,900

5,252

Georgia Gulf Corp.:

9.5% 10/15/14

575

437

10.75% 10/15/16

450

293

Momentive Performance Materials, Inc. 9.75% 12/1/14

1,625

1,450

NOVA Chemicals Corp. 6.5% 1/15/12

520

490

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

290

274

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

PolyOne Corp. 8.875% 5/1/12

$ 900

$ 909

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

180

180

9,285

Containers & Packaging - 0.0%

Berry Plastics Holding Corp. 8.875% 9/15/14

1,250

1,106

BWAY Corp. 10% 10/15/10

820

800

Graphic Packaging International, Inc. 8.5% 8/15/11

350

338

Owens-Illinois, Inc. 7.35% 5/15/08

1,560

1,560

Rock-Tenn Co. 9.25% 3/15/16 (h)

220

223

Smurfit-Stone Container Enterprises, Inc. 8% 3/15/17

900

806

4,833

Metals & Mining - 0.1%

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

550

462

FMG Finance Property Ltd.:

10% 9/1/13 (h)

360

386

10.625% 9/1/16 (h)

1,030

1,177

Freeport-McMoRan Copper & Gold, Inc.:

8.25% 4/1/15

450

474

8.375% 4/1/17

1,390

1,472

8.3944% 4/1/15 (m)

445

429

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

440

460

Novelis, Inc. 7.25% 2/15/15

915

814

PNA Group, Inc. 10.75% 9/1/16

180

155

Steel Dynamics, Inc. 7.375% 11/1/12 (h)

760

768

United States Steel Corp. 6.65% 6/1/37

5,765

4,817

11,414

Paper & Forest Products - 0.0%

Georgia-Pacific Corp.:

7% 1/15/15 (h)

1,300

1,225

7.125% 1/15/17 (h)

1,300

1,219

8.125% 5/15/11

1,000

988

9.5% 12/1/11

826

843

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Paper & Forest Products - continued

NewPage Corp.:

10% 5/1/12 (h)

$ 1,080

$ 1,080

10% 5/1/12

150

150

5,505

TOTAL MATERIALS

31,037

TELECOMMUNICATION SERVICES - 0.4%

Diversified Telecommunication Services - 0.4%

AT&T, Inc.:

6.3% 1/15/38

12,550

12,364

6.8% 5/15/36

15,241

15,946

BellSouth Capital Funding Corp. 7.875% 2/15/30

1,655

1,875

BellSouth Corp. 6.55% 6/15/34

4,340

4,361

British Telecommunications PLC 9.125% 12/15/30

4,565

5,938

Intelsat Ltd.:

9.25% 6/15/16

1,820

1,829

11.25% 6/15/16

1,085

1,093

Level 3 Financing, Inc.:

6.7044% 2/15/15 (m)

450

312

8.75% 2/15/17

1,450

1,097

9.25% 11/1/14

2,480

2,009

PAETEC Holding Corp. 9.5% 7/15/15

155

144

Qwest Capital Funding, Inc. 7% 8/3/09

1,340

1,337

Qwest Communications International, Inc.:

7.5% 2/15/14

315

304

7.5% 2/15/14

1,000

990

Qwest Corp.:

8.2406% 6/15/13 (m)

1,260

1,210

8.875% 3/15/12

700

731

Sprint Capital Corp. 6.875% 11/15/28

15,445

10,966

Telecom Italia Capital SA 7.2% 7/18/36

2,670

2,765

Telefonica Emisiones SAU 7.045% 6/20/36

8,498

9,138

Verizon Communications, Inc.:

6.25% 4/1/37

4,611

4,543

6.4% 2/15/38

9,165

9,163

Verizon Global Funding Corp. 7.75% 12/1/30

4,445

5,064

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

295

298

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Windstream Corp.:

7% 3/15/19

$ 800

$ 736

8.125% 8/1/13

295

295

8.625% 8/1/16

635

651

95,159

Wireless Telecommunication Services - 0.0%

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

320

323

Cricket Communications, Inc. 9.375% 11/1/14

610

540

Digicel Group Ltd.:

8.875% 1/15/15 (h)

565

492

9.125% 1/15/15 pay-in-kind (h)

2,979

2,577

DirecTV Holdings LLC/DirecTV Financing, Inc. 6.375% 6/15/15

960

893

MetroPCS Wireless, Inc. 9.25% 11/1/14

710

632

5,457

TOTAL TELECOMMUNICATION SERVICES

100,616

UTILITIES - 0.3%

Electric Utilities - 0.2%

Appalachian Power Co. 6.375% 4/1/36

5,500

5,404

Edison Mission Energy 7.2% 5/15/19

3,085

3,031

Enel Finance International SA 6.8% 9/15/37 (h)

13,809

14,146

Energy Future Holdings:

10.875% 11/1/17 (h)

1,510

1,491

11.25% 11/1/17 pay-in-kind (h)

260

255

Mirant Americas Generation LLC 8.3% 5/1/11

800

808

Nevada Power Co. 6.5% 5/15/18

5,290

5,369

Pacific Gas & Electric Co. 5.8% 3/1/37

3,555

3,415

Reliant Energy, Inc. 7.875% 6/15/17

3,365

3,331

Tampa Electric Co. 6.15% 5/15/37

4,486

4,303

41,553

Gas Utilities - 0.0%

Dynegy Holdings, Inc. 7.75% 6/1/19

1,285

1,169

NiSource Finance Corp. 5.45% 9/15/20

1,990

1,804

2,973

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Independent Power Producers & Energy Traders - 0.0%

AES Corp.:

8% 10/15/17

$ 1,250

$ 1,277

8.75% 5/15/13 (h)

708

738

9.375% 9/15/10

1,143

1,196

9.5% 6/1/09

2,802

2,879

Allegheny Energy Supply Co. LLC 8.25% 4/15/12 (h)

1,255

1,360

Mirant North America LLC 7.375% 12/31/13

250

251

NRG Energy, Inc.:

7.25% 2/1/14

1,260

1,229

7.375% 2/1/16

1,705

1,645

7.375% 1/15/17

1,700

1,632

12,207

Multi-Utilities - 0.1%

CMS Energy Corp. 8.5% 4/15/11

2,200

2,354

Dominion Resources, Inc. 6.3% 9/30/66 (m)

8,775

8,066

MidAmerican Energy Holdings, Co. 6.5% 9/15/37

8,075

8,378

18,798

TOTAL UTILITIES

75,531

TOTAL NONCONVERTIBLE BONDS

646,286

TOTAL CORPORATE BONDS

(Cost $734,482)

702,799

U.S. Government and Government Agency Obligations - 11.1%

U.S. Government Agency Obligations - 2.1%

Fannie Mae:

2.5% 4/9/10

5,210

5,220

4.625% 10/15/13 (f)

20,000

21,123

4.75% 12/15/10 (f)

40,000

42,142

4.875% 4/15/09

9,535

9,803

5.5% 3/15/11

8,904

9,563

6.125% 3/15/12

11,499

12,803

6.625% 9/15/09

87,159

92,860

Freddie Mac:

4.5% 1/15/14 (f)

45,570

47,810

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - continued

Freddie Mac: - continued

4.75% 3/5/09 (k)

$ 75,667

$ 77,478

4.875% 11/15/13 (f)

23,130

24,727

5.25% 5/21/09 (k)

102,184

105,784

5.25% 7/18/11

36,920

39,652

5.625% 3/15/11 (f)

23,295

25,095

5.75% 1/15/12 (f)

25,000

27,433

Tennessee Valley Authority 5.375% 4/1/56

5,098

5,338

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

546,831

U.S. Treasury Inflation Protected Obligations - 2.6%

U.S. Treasury Inflation-Indexed Notes:

1.625% 1/15/15 (k)

106,701

113,008

2% 1/15/14 (f)(k)

109,127

118,454

2.375% 4/15/11

73,604

79,624

2.375% 1/15/17

39,579

44,216

2.375% 1/15/27

42,703

47,113

2.5% 7/15/16 (f)

145,608

164,025

2.625% 7/15/17

95,262

108,676

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

675,116

U.S. Treasury Obligations - 6.4%

U.S. Treasury Bonds:

5% 5/15/37 (f)(j)

11,090

12,157

6.125% 8/15/29 (f)

80,177

99,357

U.S. Treasury Notes:

2.75% 2/28/13 (i)

147,006

148,550

2.875% 1/31/13 (i)

4,903

4,987

3.375% 11/30/12 (f)(k)

360,000

374,400

3.875% 10/31/12 (f)

150,000

159,363

4.125% 8/31/12 (f)

80,000

85,825

4.25% 9/30/12 (f)

49,078

52,939

4.25% 11/15/14 (k)

10,045

10,828

4.5% 4/30/12 (f)(k)

148,717

161,707

4.5% 5/15/17 (f)

76,350

82,249

4.625% 7/31/12 (f)(k)

89,018

97,329

4.625% 11/15/16 (f)

70,000

76,311

4.75% 5/31/12

35,000

38,421

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

5.125% 6/30/11 (j)(k)

$ 22,133

$ 24,358

5.125% 5/15/16 (f)

182,689

205,782

TOTAL U.S. TREASURY OBLIGATIONS

1,634,563

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,674,514)

2,856,510

U.S. Government Agency - Mortgage Securities - 2.5%

Fannie Mae - 1.6%

5.5% 1/1/33 to 1/1/37

26,501

27,040

5.5% 3/1/38 (i)

140,000

140,915

5.638% 7/1/37 (m)

2,212

2,279

6% 6/1/30 to 2/1/38

161,095

165,151

6.03% 4/1/36 (m)

1,613

1,673

6.158% 4/1/36 (m)

3,886

4,029

6.224% 6/1/36 (m)

587

602

6.307% 4/1/36 (m)

1,494

1,549

6.5% 11/1/29 to 1/1/36

64,459

67,378

TOTAL FANNIE MAE

410,616

Freddie Mac - 0.2%

5.762% 10/1/35 (m)

1,040

1,072

5.848% 6/1/36 (m)

1,859

1,921

6.027% 6/1/36 (m)

1,798

1,856

6.03% 7/1/37 (m)

9,516

9,783

6.093% 4/1/36 (m)

2,852

2,951

6.1% 6/1/36 (m)

1,689

1,747

6.5% 11/1/34 to 3/1/36

31,680

33,113

TOTAL FREDDIE MAC

52,443

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Government National Mortgage Association - 0.7%

5.5% 3/20/38 (i)

$ 170,000

$ 173,874

6.5% 3/15/34

11,655

12,347

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

186,221

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $642,664)

649,280

Asset-Backed Securities - 0.2%

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 3.435% 7/25/36 (m)

3,850

1,535

Series 2006-NC4 Class M1, 3.435% 10/25/36 (m)

3,255

1,029

Citigroup Mortgage Loan Trust Series 2006-WF2 Class A2B, 5.735% 5/25/36

3,961

3,960

JPMorgan Mortgage Acquisition Trust Series 2006-NC2 Class M2, 3.435% 7/25/36 (m)

2,980

915

Long Beach Mortgage Loan Trust:

Series 2006-2 Class 2A2, 3.265% 3/25/36 (m)

7,395

7,341

Series 2006-4 Class 2A2, 3.235% 5/25/36 (m)

1,910

1,884

MASTR Asset Backed Securities Trust Series 2006-WMC3 Class A2, 3.185% 8/25/36 (m)

1,831

1,808

Merna Reinsurance Ltd. Series 2007-1 Class B, 6.58% 6/30/12 (h)(m)

4,135

4,018

Morgan Stanley ABS Capital I Trust Series 2007-HE2 Class M1, 3.385% 1/25/37 (m)

3,825

904

Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 3.185% 11/25/36 (m)

884

869

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

1,537

1,526

NovaStar Mortgage Funding Trust Series 2006-5 Class A2A, 3.205% 11/25/36 (m)

963

944

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1 Class 1A1, 3.205% 9/25/36 (m)

5,148

5,105

Securitized Asset Backed Receivables LLC Trust:

Series 2006-FR4 Class A2A, 3.215% 8/25/36 (m)

2,371

2,292

Series 2006-WM4 Class A2A, 3.215% 11/25/36 (m)

1,397

1,352

Asset-Backed Securities - continued

Principal Amount (000s)

Value (000s)

Securitized Asset Backed Receivables LLC Trust: - continued

Series 2007-NC1 Class A2A, 3.185% 12/25/36 (m)

$ 1,678

$ 1,639

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

1,859

1,857

TOTAL ASSET-BACKED SECURITIES

(Cost $47,411)

38,978

Collateralized Mortgage Obligations - 0.2%

Private Sponsor - 0.0%

Bayview Commercial Asset Trust Series 2006-3A Class IO, 1.1688% 10/25/36 (m)(o)

49,426

4,819

U.S. Government Agency - 0.2%

Fannie Mae subordinate REMIC pass-thru certificates sequential payer:

Series 2002-57 Class BT, 6% 11/25/31

16,189

16,635

Series 2006-78 Class CD, 4.5% 10/25/18

22,300

22,594

TOTAL U.S. GOVERNMENT AGENCY

39,229

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $44,729)

44,048

Commercial Mortgage Securities - 0.0%

Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-47 Class C, 4.227% 10/16/27

3,187

3,217

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.8335% 12/10/41 (m)(o)

2,814

49

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $3,236)

3,266

Floating Rate Loans - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Diversified Consumer Services - 0.0%

Thomson Learning, Inc. term loan 6.205% 7/5/14 (m)

998

868

Floating Rate Loans - continued

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - 0.1%

Charter Communications Operating LLC Tranche B 1LN, term loan 5.26% 3/6/14 (m)

$ 3,290

$ 2,862

CSC Holdings, Inc. Tranche B, term loan 6.8963% 3/31/13 (m)

995

918

Univision Communications, Inc.:

Tranche 1LN, term loan 5.4905% 9/29/14 (m)

2,281

1,899

Tranche DD 1LN, term loan 9/29/14 (p)

79

66

5,745

Multiline Retail - 0.0%

Neiman Marcus Group, Inc. term loan 6.6024% 4/6/13 (m)

370

344

Specialty Retail - 0.0%

Michaels Stores, Inc. term loan 5.432% 10/31/13 (m)

992

846

TOTAL CONSUMER DISCRETIONARY

7,803

CONSUMER STAPLES - 0.0%

Food & Staples Retailing - 0.0%

Rite Aid Corp. Tranche ABL, term loan 4.9067% 6/4/14 (m)

1,000

893

HEALTH CARE - 0.0%

Health Care Equipment & Supplies - 0.0%

Bausch & Lomb, Inc. term loan:

6.5106% 4/26/15 (m)(p)

78

74

8.08% 4/26/15 (m)

312

296

370

Health Care Providers & Services - 0.0%

Community Health Systems, Inc.:

term loan 5.335% 7/25/14 (m)

923

840

Tranche DD, term loan 7/25/14 (p)

46

42

DaVita, Inc. Tranche B1, term loan 5.3364% 10/5/12 (m)

250

234

HCA, Inc. Tranche B, term loan 7.08% 11/17/13 (m)

3,244

2,985

4,101

TOTAL HEALTH CARE

4,471

Floating Rate Loans - continued

Principal Amount (000s)

Value (000s)

INDUSTRIALS - 0.0%

Commercial Services & Supplies - 0.0%

ARAMARK Corp.:

term loan 6.705% 1/26/14 (m)

$ 920

$ 846

6.705% 1/26/14 (m)

58

54

RSC Equipment Rental Tranche 2LN, term loan 8.4164% 11/30/13 (m)

500

421

1,321

Industrial Conglomerates - 0.0%

Sequa Corp. term loan 8.08% 12/3/14 (m)

350

333

TOTAL INDUSTRIALS

1,654

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Instruments - 0.0%

Flextronics International Ltd. Tranche B-B, term loan 7.455% 10/1/12 (m)

998

928

Texas Competitive Electric Holdings Co. LLC:

Tranche B1, term loan 6.5687% 10/10/14 (m)

735

669

Tranche B2, term loan 6.5793% 10/10/14 (m)

2,804

2,558

4,155

IT Services - 0.0%

First Data Corp. Tranche B1, term loan 7.63% 9/24/14 (m)

1,017

925

TOTAL INFORMATION TECHNOLOGY

5,080

MATERIALS - 0.0%

Chemicals - 0.0%

MacDermid, Inc. Tranche B, term loan 6.83% 4/12/14 (m)

125

104

Paper & Forest Products - 0.0%

Boise Paper Holdings LLC Tranche B 1LN, term loan 7.5% 2/22/14 (m)

420

407

TOTAL MATERIALS

511

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

Level 3 Communications, Inc. term loan 6.2731% 3/13/14 (m)

120

104

Floating Rate Loans - continued

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - 0.0%

MetroPCS Wireless, Inc. Tranche B, term loan 6.0965% 11/3/13 (m)

$ 109

$ 100

TOTAL TELECOMMUNICATION SERVICES

204

UTILITIES - 0.0%

Independent Power Producers & Energy Traders - 0.0%

Calpine Corp. Tranche D, term loan 7.705% 3/29/14 (m)

2,840

2,528

TOTAL FLOATING RATE LOANS

(Cost $24,880)

23,144

Fixed-Income Funds - 19.9%

Shares

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

3,862,272

347,334

Fidelity 2-5 Year Duration Securitized Bond Central Fund (n)

4,984,207

464,079

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

15,628,176

1,566,881

Fidelity Mortgage Backed Securities Central Fund (n)

18,693,036

1,876,033

Fidelity Ultra-Short Central Fund (n)

10,145,182

870,355

TOTAL FIXED-INCOME FUNDS

(Cost $5,293,404)

5,124,682

Money Market Funds - 1.8%

Fidelity Cash Central Fund, 3.24% (b)

251,412,343

251,412

Fidelity Securities Lending Cash Central Fund, 3.25% (b)(d)

221,123,787

221,124

TOTAL MONEY MARKET FUNDS

(Cost $472,536)

472,536

Cash Equivalents - 7.3%

Maturity Amount (000s)

Value (000s)

Investments in repurchase agreements in a joint trading account at 3.18%, dated 2/29/08 due 3/3/08:

(Collateralized by U.S. Government Obligations) # (c)

$ 1,867,694

$ 1,867,199

(Collateralized by U.S. Government Obligations) #

11,465

11,462

TOTAL CASH EQUIVALENTS

(Cost $1,878,661)

1,878,661

TOTAL INVESTMENT PORTFOLIO - 110.0%

(Cost $27,012,589)

28,302,018

NET OTHER ASSETS - (10.0)%

(2,573,468)

NET ASSETS - 100%

$ 25,728,550

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Treasury Contracts

715 UST 5 YR Index Contracts

July 2008

$ 81,689

$ 1,466

The face value of futures purchased as a percentage of net assets - 0.3%

Swap Agreements

Notional Amount (000s)

Value (000s)

Credit Default Swaps

Receive from Citibank upon credit event of Bristol-Myers Squibb Co., par value of the notional amount of Bristol-Myers Squibb Co. 5.25% 8/15/13, and pay quarterly notional amount multiplied by .32%

Sept. 2017

$ 2,500

$ 46

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 2.6% 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-R8 Class M9, 8.07% 9/25/34

Oct. 2034

$ 1,527

$ (780)

Receive monthly notional amount multiplied by 3.05% 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 2006-HE3 Class B3, 7.22% 4/25/36

May 2036

3,200

(2,791)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay JPMorgan Chase, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-01 Index, par value of the proportional notional amount (l)

Sept. 2037

1,800

(1,341)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-01 Index, par value of the proportional notional amount (l)

Sept. 2037

16,700

(12,442)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-01 Index, par value of the proportional notional amount (l)

Sept. 2037

13,600

(10,132)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Lehman Brothers, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (l)

Sept. 2037

5,800

(4,321)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Lehman Brothers, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (l)

Sept. 2037

20,600

(15,347)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Morgan Stanley, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (l)

Sept. 2037

$ 13,600

$ (10,132)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (l)

Sept. 2037

13,100

(9,760)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (l)

Sept. 2037

11,500

(8,568)

Receive monthly notional amount multiplied by 1.32% and pay Goldman Sachs upon credit event of Securitized Asset Backed Receivables LLC Trust, par value of the notional amount of Securitized Asset Backed Receivables LLC Trust Series 2006-OP1 Class B2, 6.72% 10/25/35

Nov. 2035

4,800

(4,211)

Receive monthly notional amount multiplied by 2.36% and pay Morgan Stanley, Inc. upon credit event of GE-WMC Mortgage Securities, LLC, par value of the notional amount of GE-WMC Mortgage Securities, LLC Series 2006-01 Class B3, 7.13% 8/25/36

Sept. 2036

600

(545)

Receive monthly notional amount multiplied by 2.5% 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-R11 Class M9, 6.102% 11/25/34

Dec. 2034

2,014

(933)

Receive monthly notional amount multiplied by 2.5% 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 M9, 8.07% 9/25/34

Oct. 2034

1,527

(781)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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

August 2035

$ 3,000

$ (1,428)

Receive monthly notional amount multiplied by 3.66% 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 M9, 7.2% 5/25/35

June 2035

4,800

(3,018)

Receive monthly notional amount multiplied by 3.83% 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 M9, 7.2% 5/25/35

June 2035

1,600

(1,004)

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

August 2036

3,000

(2,495)

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

Oct. 2036

3,000

(2,025)

TOTAL CREDIT DEFAULT SWAPS

128,268

(92,008)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 4.9585% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

May 2012

60,000

5,102

Receive semi-annually a fixed rate equal to 5.147% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Jan. 2012

100,000

7,684

Receive semi-annually a fixed rate equal to 5.263% and pay quarterly a floating rate based on 3-month LIBOR with Morgan Stanley, Inc.

Feb. 2012

80,000

6,608

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps - continued

Receive semi-annually a fixed rate equal to 5.2965% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank

Jan. 2012

$ 70,000

$ 5,870

Receive semi-annually a fixed rate equal to 5.458% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

June 2017

120,000

12,398

Receive semi-annually a fixed rate equal to 5.53% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America

June 2012

105,000

9,953

Receive semi-annually a fixed rate equal to 5.629% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank

May 2016

100,000

13,137

TOTAL INTEREST RATE SWAPS

635,000

60,752

Total Return Swaps

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Lehman Brothers, Inc.

May 2008

36,700

(2,017)

Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 15 basis points with Lehman Brothers, Inc.

May 2008

37,100

(1,423)

TOTAL TOTAL RETURN SWAPS

73,800

(3,440)

$ 837,068

$ (34,696)

Legend

(a) Non-income producing

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

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

(d) Investment made with cash collateral received from securities on loan.

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

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

(g) Affiliated company

(h) 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 $156,114,000 or 0.6% of net assets.

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

(j) 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 $773,000.

(k) 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 $38,202,000.

(l) Represents a tradable index of credit default swaps on home equity asset-backed debt securities.

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

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

(o) 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.

(p) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $165,000 and $145,000, respectively. The coupon rate will be determined at time of settlement.

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$1,867,199,000 due 3/03/08 at 3.18%

Banc of America Securities LLC

$ 1,063,623

Bank of America, NA

664,765

Barclays Capital, Inc.

138,811

$ 1,867,199

$11,462,000 due 3/03/08 at 3.18%

BNP Paribas Securities Corp.

$ 4,248

Banc of America Securities LLC

3,178

Societe Generale, New York Branch

4,036

$ 11,462

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 10,586

Fidelity 2-5 Year Duration Securitized Bond Central Fund

13,010

Fidelity Cash Central Fund

18,996

Fidelity Corporate Bond 1-10 Year Central Fund

46,248

Fidelity Mortgage Backed Securities Central Fund

52,592

Fidelity Securities Lending Cash Central Fund

1,382

Fidelity Ultra-Short Central Fund

20,095

Total

$ 162,909

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

Fund
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value, end of period

% ownership, end of period

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 450,220

$ 10,586

$ 89,865

$ 347,334

17.8%

Fidelity 2-5 Year Duration Securitized Bond Central Fund

474,235

13,010

-

464,079

14.0%

Fidelity Corporate Bond 1-10 Year Central Fund

1,603,006

136,275

194,686

1,566,881

20.4%

Fidelity Mortgage Backed Securities Central Fund

2,074,537

52,593

289,778

1,876,033

20.7%

Fidelity Ultra-Short Central Fund

742,656

296,841

92,050

870,355

12.5%

Total

$ 5,344,654

$ 509,305

$ 666,379

$ 5,124,682

Other Affiliated Issuers

An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliate
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

Aspect Medical Systems, Inc.

$ 10,733

$ -

$ 1,293

$ -

$ -

Aurora Oil & Gas Corp.

10,747

-

-

-

4,197

Central Garden & Pet Co.

22,500

-

-

-

8,666

DUSA Pharmaceuticals, Inc.

3,216

503

-

-

3,373

Force Protection, Inc.

-

55,275

-

-

16,441

Frontier Airlines Holdings, Inc.

11,950

-

7,234

-

-

Lighthouse Caledonia ASA

-

1,566

-

-

1,772

LTX Corp.

15,301

263

-

-

12,412

Sourcefire, Inc.

10,526

4,593

259

-

9,437

Tronox, Inc. Class B

-

10,302

-

95

7,097

Universal Truckload Services, Inc.

22,324

-

-

-

20,283

Washington Group International, Inc.

134,028

2,681

152,743

-

-

Total

$ 241,325

$ 75,183

$ 161,529

$ 95

$ 83,678

Other Information

The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited):

U.S. Government and U.S. Government Agency Obligations

23.5%

AAA,AA,A

8.4%

BBB

5.3%

BB

0.4%

B

0.3%

CCC,CC,C

0.0%

Not Rated

0.1%

Equities

64.2%

Short-Term Investments and Net Other Assets

(2.2)%

100.0%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades.

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

United States of America

88.7%

United Kingdom

1.7%

Canada

1.6%

Others (individually less than 1%)

8.0%

100.0%

The information in the above tables is based on the combined investments of the Fund and its pro-rata shares of the investments in each Fidelity Fixed-Income Central Fund.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amount)

February 29, 2008 (Unaudited)

Assets

Investment in securities, at value (including securities loaned of $2,032,391 and repurchase agreements of $1,878,661) - See accompanying schedule:

Unaffiliated issuers (cost $21,072,377)

$ 22,621,122

Fidelity Central Funds (cost $5,765,940)

5,597,218

Other affiliated issuers (cost $174,272)

83,678

Total Investments (cost $27,012,589)

$ 28,302,018

Cash

427

Foreign currency held at value (cost $978)

971

Receivable for investments sold

507,902

Receivable for swap agreements

97

Receivable for fund shares sold

39,771

Dividends receivable

12,195

Interest receivable

41,481

Distributions receivable from Fidelity Central Funds

22,462

Receivable for daily variation on futures contracts

760

Prepaid expenses

71

Other receivables

891

Total assets

28,929,046

Liabilities

Payable for investments purchased
Regular delivery

$ 276,981

Delayed delivery

767,703

Payable for fund shares redeemed

18,741

Swap agreements, at value

34,696

Accrued management fee

8,768

Other affiliated payables

4,187

Other payables and accrued expenses

1,097

Collateral on securities loaned, at value

2,088,323

Total liabilities

3,200,496

Net Assets

$ 25,728,550

Net Assets consist of:

Paid in capital

$ 24,016,482

Undistributed net investment income

88,760

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

347,762

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

1,275,546

Net Assets, for 1,389,653 shares outstanding

$ 25,728,550

Net Asset Value, offering price and redemption price per share ($25,728,550 ÷ 1,389,653 shares)

$ 18.51

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

Semiannual Report

Financial Statements - continued

Statement of Operations

Amounts in thousands

Six months ended February 29, 2008 (Unaudited)

Investment Income

Dividends (including $95 earned from other affiliated issuers)

$ 119,046

Interest

85,791

Income from Fidelity Central Funds

162,909

Total income

367,746

Expenses

Management fee

$ 54,361

Transfer agent fees

24,199

Accounting and security lending fees

1,150

Custodian fees and expenses

244

Independent trustees' compensation

55

Registration fees

338

Audit

91

Legal

81

Interest

11

Miscellaneous

729

Total expenses before reductions

81,259

Expense reductions

(852)

80,407

Net investment income (loss)

287,339

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers (net of foreign taxes of $1)

588,169

Fidelity Central Funds

(22,632)

Other affiliated issuers

37,640

Foreign currency transactions

(165)

Futures contracts

5,062

Swap agreements

2,424

Total net realized gain (loss)

610,498

Change in net unrealized appreciation (depreciation) on:

Investment securities

(2,013,873)

Assets and liabilities in foreign currencies

56

Futures contracts

1,296

Swap agreements

(11,628)

Delayed delivery commitments

2,743

Total change in net unrealized appreciation (depreciation)

(2,021,406)

Net gain (loss)

(1,410,908)

Net increase (decrease) in net assets resulting from operations

$ (1,123,569)

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

Semiannual Report

Statement of Changes in Net Assets

Amounts in thousands

Six months ended February 29, 2008 (Unaudited)

Year ended
August 31,
2007

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 287,339

$ 521,874

Net realized gain (loss)

610,498

1,495,846

Change in net unrealized appreciation (depreciation)

(2,021,406)

946,213

Net increase (decrease) in net assets resulting
from operations

(1,123,569)

2,963,933

Distributions to shareholders from net investment income

(304,992)

(500,718)

Distributions to shareholders from net realized gain

(1,526,676)

(1,099,842)

Total distributions

(1,831,668)

(1,600,560)

Share transactions
Proceeds from sales of shares

3,590,818

7,100,264

Reinvestment of distributions

1,796,418

1,571,307

Cost of shares redeemed

(2,894,726)

(4,193,671)

Net increase (decrease) in net assets resulting from share transactions

2,492,510

4,477,900

Total increase (decrease) in net assets

(462,727)

5,841,273

Net Assets

Beginning of period

26,191,277

20,350,004

End of period (including undistributed net investment income of $88,760 and $106,413, respectively)

$ 25,728,550

$ 26,191,277

Other Information

Shares

Sold

181,873

354,152

Issued in reinvestment of distributions

88,170

82,343

Redeemed

(148,400)

(208,826)

Net increase (decrease)

121,643

227,669

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

Semiannual Report

Financial Highlights

Six months ended February 29, 2008

Years ended August 31,

(Unaudited)

2007

2006 G

2006 J

2005 J

2004 J

2003 J

Selected Per-Share Data

Net asset value, beginning of period

$ 20.66

$ 19.56

$ 19.16

$ 18.73

$ 16.57

$ 14.92

$ 13.28

Income from Investment Operations

Net investment income (loss) D

.21

.44

.04

.36

.29

.27

.30

Net realized and unrealized gain (loss)

(.95)

2.13

.36

1.01

2.60

1.64

1.63

Total from investment operations

(.74)

2.57

.40

1.37

2.89

1.91

1.93

Distributions from net investment income

(.23)

(.43)

-

(.31)

(.29)

(.26)

(.29)

Distributions from net realized gain

(1.18)

(1.04)

-

(.63)

(.44)

-

-

Total distributions

(1.41)

(1.47)

-

(.94)

(.73)

(.26)

(.29)

Net asset value, end of period

$ 18.51

$ 20.66

$ 19.56

$ 19.16

$ 18.73

$ 16.57

$ 14.92

Total Return B, C

(4.14)%

13.96%

2.09%

7.54%

18.04%

12.82%

14.78%

Ratios to Average Net Assets E, H

Expenses before reductions

.61% A

.61%

.64% A

.64%

.65%

.67%

.70%

Expenses net of fee waivers, if any

.61% A

.61%

.64% A

.64%

.65%

.67%

.70%

Expenses net of all reductions

.60% A

.60%

.63% A

.63%

.64%

.66%

.67%

Net investment income (loss)

2.15% A

2.20%

2.35% A

1.90%

1.68%

1.63%

2.17%

Supplemental Data

Net assets, end of period (in millions)

$ 25,729

$ 26,191

$ 20,350

$ 19,800

$ 14,610

$ 10,784

$ 7,905

Portfolio turnover rate F

69% A

89% I

65% A

61%

82%

99%

137%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the one month period ended August 31. The Fund changed its fiscal year end from July 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. I Portfolio turnover rate excludes securities received or delivered in-kind. J For the period ended July 31.

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

Semiannual Report

Notes to Financial Statements

For the period ended February 29, 2008 (Unaudited)

(Amounts in thousands except ratios)

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment
Manager

Investment
Objective

Investment
Practices

Fidelity 1-3 Year Duration Securitized Bond Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity 2-5 Year Duration Securitized Bond Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Corporate Bond 1-10 Year Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.

Repurchase Agreements

Restricted Securities Swap Agreements

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment
Manager

Investment
Objective

Investment
Practices

Fidelity Mortgage Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.

Delayed Delivery & When Issued Securities

Mortgage Dollar Rolls

Repurchase Agreements

Swap Agreements

Fidelity Ultra-Short Central Fund

FIMM

Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

The Central Funds may have direct or indirect exposure to structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.

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

3. Significant Accounting Policies.

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

Security Valuation. Investments are valued and net asset value (NAV) per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by

Semiannual Report

3. Significant Accounting Policies - continued

Security Valuation - continued

an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices. 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.

When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. For example, when developments occur between the close of a market and the close of the NYSE that may materially affect the value of some or all of the securities, or when trading in a security is halted, those securities may be fair valued. Factors used in the determination of fair value may include monitoring news to identify significant market or security specific events such as changes in the value of U.S. securities markets, reviewing developments in foreign markets and evaluating the performance of ADRs, futures contracts and exchange-traded funds and monitoring current market trading activity, interest rates, credit quality and default rates for debt instruments. Because the Fund's utilization of fair value pricing depends on market activity, the frequency with which fair value pricing is used cannot be predicted and may be utilized to a significant extent. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Actual prices received at disposition may differ.

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

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

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

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

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the Fund's federal tax

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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

Book-tax differences are primarily due to the short-term gain distributions from the Fidelity Central Funds, futures transactions, swap agreements, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions, and losses deferred due to wash sales.

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

Unrealized appreciation

$ 3,585,370

Unrealized depreciation

(2,322,062)

Net unrealized appreciation (depreciation)

$ 1,263,308

Cost for federal income tax purposes

$ 27,038,710

New Accounting Pronouncements. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and results in expanded disclosures about fair value measurements.

In addition, in March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for fiscal years beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the affect derivatives have on financial performance. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies.

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

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

Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value

Semiannual Report

4. Operating Policies - continued

Futures Contracts - continued

of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

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

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

Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.

Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty.

Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Swap Agreements - continued

(such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value.

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

Mortgage Dollar Rolls. The Fund may enter into dollar rolls in which the Fund sells mortgage-backed securities, realizing a gain or loss, and simultaneously agrees to repurchase substantially similar securities at a future date. In addition, the Fund may enter into reverse dollar rolls in which the Fund purchases and simultaneously agrees to sell substantially similar securities at a future date. During the period between the sale and repurchase in a dollar roll transaction, the Fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities that are permissible investments of the Fund. During the period between the purchase and subsequent sale in a reverse dollar roll transaction the Fund is entitled to interest and principal payments on the securities purchased. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited.

Semiannual Report

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $6,452,448 and $5,378,585, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .15% of the Fund's average net assets and a group fee rate that averaged .26% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .41% of the Fund's average net assets.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Prior to January 1, 2008, Fidelity Service Company, Inc. (FSC), also an affiliate of FMR was the Fund's transfer agent. For the period the transfer agent fees were equivalent to an annualized rate of .18% of average net assets.

Accounting and Security Lending Fees. FSC maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $51 for the period.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $33 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except ratios)

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents and or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Net income from lending portfolio securities during the period, presented in the Statement of Operations as a component of interest income, amounted to $3,663. Net income from Fidelity Securities Lending Cash Central Fund, presented in the Statement of Operations as a component of interest income from Fidelity Central Funds, amounted to $1,382.

9. Bank Borrowings.

The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. The average daily loan balance during the period for which loans were outstanding amounted to $76,572. The weighted average interest rate was 5.25%. The interest expense amounted to $11 under the bank borrowing program. At period end, there were no bank borrowings outstanding.

10. Expense Reductions.

Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $196 for the period. In addition, through arrangements with the Fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody and transfer agent expenses by $18 and $638, respectively.

Semiannual Report

11. Other.

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

In December 2006, the Independent Trustees, with the assistance of independent counsel, completed an investigation regarding gifts, gratuities and business entertainment provided by certain brokers to certain individuals who were employed on FMR's domestic equity trading desk during the period 2002 to 2004. The Independent Trustees and FMR agreed that, despite the absence of proof that the Fidelity mutual funds experienced diminished execution quality as a result of the improper receipt of gifts and business entertainment, the conduct at issue was serious and was worthy of redress. Accordingly, the Independent Trustees requested, and FMR agreed to make, a payment of $42 million plus accrued interest, which equaled approximately $7.3 million, to certain Fidelity mutual funds.

Subsequent to period end, the Trustees approved a method for allocating this payment among the funds and, in total, FMR paid the fund $820.

In a related administrative order dated March 5, 2008, the U.S. Securities and Exchange Commission ("SEC") announced a settlement with FMR and FMR Co., Inc. (an affiliate of FMR) involving the SEC's regulatory rules for investment advisers and the improper receipt of gifts, gratuities and business entertainment. Without admitting or denying the SEC's findings, FMR agreed to pay an $8 million civil penalty to the United States Treasury.

Semiannual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)

Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555

Press

1   For mutual fund and brokerage trading.

2   For quotes.*

3   For account balances and holdings.

4   To review orders and mutual
fund activity.

5   To change your PIN.

*0   To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)

Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.

Semiannual Report

To Write Fidelity

We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.

(letter_graphic)

Making Changes
To Your Account

(such as changing name, address, bank, etc.)

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002

(letter_graphic)

For Non-Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

(letter_graphic)

For Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

Semiannual Report

To Visit Fidelity

For directions and hours,
please call 1-800-544-9797.

Arizona

7001 West Ray Road
Chandler, AZ

15445 N. Scottsdale Road
Scottsdale, AZ

California

815 East Birch Street
Brea, CA

1411 Chapin Avenue
Burlingame, CA

851 East Hamilton Avenue
Campbell, CA

19200 Von Karman Avenue
Irvine, CA

601 Larkspur Landing Circle
Larkspur, CA

2000 Avenue of the Stars
Los Angeles, CA

27101 Puerta Real
Mission Viejo, CA

73-575 El Paseo
Palm Desert, CA

251 University Avenue
Palo Alto, CA

123 South Lake Avenue
Pasadena, CA

16656 Bernardo Ctr. Drive
Rancho Bernardo, CA

1220 Roseville Parkway
Roseville, CA

1740 Arden Way
Sacramento, CA

7676 Hazard Center Drive
San Diego, CA

11943 El Camino Real
San Diego, CA

8 Montgomery Street
San Francisco, CA

3793 State Street
Santa Barbara, CA

1200 Wilshire Boulevard
Santa Monica, CA

398 West El Camino Real
Sunnyvale, CA

111 South Westlake Blvd
Thousand Oaks, CA

21701 Hawthorne Boulevard
Torrance, CA

2001 North Main Street
Walnut Creek, CA

6326 Canoga Avenue
Woodland Hills, CA

Colorado

281 East Flatiron Circle
Broomfield, CO

1625 Broadway
Denver, CO

9185 Westview Road
Lone Tree, CO

Connecticut

48 West Putnam Avenue
Greenwich, CT

265 Church Street
New Haven, CT

300 Atlantic Street
Stamford, CT

29 South Main Street
West Hartford, CT

Delaware

400 Delaware Avenue
Wilmington, DE

Florida

175 East Altamonte Drive
Altamonte Springs, FL

4400 N. Federal Highway
Boca Raton, FL

121 Alhambra Plaza
Coral Gables, FL

2948 N. Federal Highway
Ft. Lauderdale, FL

4671 Town Center Parkway
Jacksonville, FL

8880 Tamiami Trail, North
Naples, FL

230 Royal Palm Way
Palm Beach, FL

3501 PGA Boulevard
Palm Beach Gardens, FL

3550 Tamiami Trail, South
Sarasota, FL

1502 N. Westshore Blvd.
Tampa, FL

2465 State Road 7
Wellington, FL

Georgia

3445 Peachtree Road, N.E.
Atlanta, GA

1000 Abernathy Road
Atlanta, GA

Illinois

One North LaSalle Street
Chicago, IL

401 North Michigan Avenue
Chicago, IL

One Skokie Valley Road
Highland Park, IL

1415 West 22nd Street
Oak Brook, IL

15105 S LaGrange Road
Orland Park, IL

1572 East Golf Road
Schaumburg, IL

Indiana

4729 East 82nd Street
Indianapolis, IN

8480 Keystone Crossing
Indianapolis, IN

Kansas

5400 College Boulevard
Overland Park, KS

Maine

Three Canal Plaza
Portland, ME

Maryland

7315 Wisconsin Avenue
Bethesda, MD

610 York Road
Towson, MD

Massachusetts

801 Boylston Street
Boston, MA

155 Congress Street
Boston, MA

300 Granite Street
Braintree, MA

44 Mall Road
Burlington, MA

238 Main Street
Cambridge, MA

200 Endicott Street
Danvers, MA

Semiannual Report

405 Cochituate Road
Framingham, MA

551 Boston Turnpike
Shrewsbury, MA

Michigan

500 E. Eisenhower Pkwy.
Ann Arbor, MI

280 Old N. Woodward Ave.
Birmingham, MI

30200 Northwestern Hwy.
Farmington Hills, MI

43420 Grand River Avenue
Novi, MI

Minnesota

7740 France Avenue South
Edina, MN

8342 3rd Street North
Oakdale, MN

Missouri

1524 South Lindbergh Blvd.
St. Louis, MO

Nevada

2225 Village Walk Drive
Henderson, NV

New Jersey

501 Route 73 South
Marlton, NJ

150 Essex Street
Millburn, NJ

35 Morris Street
Morristown, NJ

396 Route 17, North
Paramus, NJ

3518 Route 1 North
Princeton, NJ

530 Broad Street
Shrewsbury, NJ

New Mexico

2261 Q Street NE
Albuquerque, NM

New York

1130 Franklin Avenue
Garden City, NY

37 West Jericho Turnpike
Huntington Station, NY

1271 Avenue of the Americas
New York, NY

980 Madison Avenue
New York, NY

61 Broadway
New York, NY

350 Park Avenue
New York, NY

200 Fifth Avenue
New York, NY

733 Third Avenue
New York, NY

11 Penn Plaza
New York, NY

2070 Broadway
New York, NY

1075 Northern Blvd.
Roslyn, NY

799 Central Park Avenue
Scarsdale, NY

North Carolina

4611 Sharon Road
Charlotte, NC

7011 Fayetteville Road
Durham, NC

Ohio

3805 Edwards Road
Cincinnati, OH

1324 Polaris Parkway
Columbus, OH

1800 Crocker Road
Westlake, OH

28699 Chagrin Boulevard
Woodmere Village, OH

Oregon

7493 SW Bridgeport Road
Tigard, OR

Pennsylvania

600 West DeKalb Pike
King of Prussia, PA

1735 Market Street
Philadelphia, PA

12001 Perry Highway
Wexford, PA

Rhode Island

10 Memorial Boulevard
Providence, RI

Tennessee

3018 Peoples Street
Johnson City, TN

7628 West Farmington Blvd.
Germantown, TN

2035 Mallory Lane
Franklin, TN

Texas

10000 Research Boulevard
Austin, TX

4001 Northwest Parkway
Dallas, TX

12532 Memorial Drive
Houston, TX

2701 Drexel Drive
Houston, TX

6560 Fannin Street
Houston, TX

1701 Lake Robbins Drive
The Woodlands, TX

6500 N. MacArthur Blvd.
Irving, TX

6005 West Park Boulevard
Plano, TX

14100 San Pedro
San Antonio, TX

1576 East Southlake Blvd.
Southlake, TX

Utah

279 West South Temple
Salt Lake City, UT

Virginia

1861 International Drive
McLean, VA

Washington

10500 NE 8th Street
Bellevue, WA

1518 6th Avenue
Seattle, WA

Washington, DC

1900 K Street, N.W.
Washington, DC

Wisconsin

16020 West Bluemound Road
Brookfield, WI

Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC

Semiannual Report

Semiannual Report

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

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Advisers (U.K.) Limited

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Fidelity Distributors Corporation

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New York, NY

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

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and Account Assistance 1-800-544-6666

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(8 a.m. - 9 p.m.)

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(automated graphic)    Automated line for quickest service

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

Fidelity®
Puritan®
Fund

Semiannual Report

February 29, 2008

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

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

Investments

<Click Here>

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

Financial Statements

<Click Here>

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

Notes

<Click Here>

Notes to the financial statements.

Report of Independent Registered Public Accounting Firm

<Click Here>

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

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

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

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

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

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

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Continuation of a credit squeeze, flat consumer spending and a potential recession weighed heavily on stocks in the opening months of 2008, though positive results in investment-grade bonds and money markets offered some comfort to investors. Financial markets are always unpredictable, but there are a number of time-tested principles that can put the historical odds in your favor.

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

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

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

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

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2007 to February 29, 2008).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Semiannual Report

Beginning
Account Value
September 1, 2007

Ending
Account Value
February 29, 2008

Expenses Paid
During Period *
September 1, 2007
to February 29, 2008

Actual

$ 1,000.00

$ 954.20

$ 2.92

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,021.88

$ 3.02

* Expenses are equal to the Fund's annualized expense ratio of .60%; multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report

Investment Changes

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

Top Five Stocks as of February 29, 2008

% of fund's
net assets

% of fund's net assets
6 months ago

Exxon Mobil Corp.

2.5

3.4

Microsoft Corp.

1.5

0.4

Hewlett-Packard Co.

1.3

0.8

Procter & Gamble Co.

1.1

0.4

Verizon Communications, Inc.

1.1

0.7

7.5

Top Five Bond Issuers as of February 29, 2008

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

Fannie Mae

6.8

7.5

U.S. Treasury Obligations

5.8

5.0

Freddie Mac

3.5

3.5

Government National Mortgage Association

1.2

0.4

Freescale Semiconductor, Inc.

0.3

0.2

17.6

Top Five Market Sectors as of February 29, 2008

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

13.1

10.5

Financials

13.3

19.0

Health Care

10.6

7.4

Energy

9.8

11.0

Industrials

8.1

7.4

Asset Allocation (% of fund's net assets)

As of February 29, 2008 *

As of August 31, 2007 **

Stocks 61.6%

Stocks 64.3%

Bonds 38.3%

Bonds 37.9%

Convertible
Securities 0.3%

Convertible
Securities 0.9%

Other Investments 1.5%

Other Investments 1.8%

Short-Term
Investments and
Net Other Assets (dagger) (1.7)%

Short-Term
Investments and
Net Other Assets (dagger) (4.9)%

* Foreign investments

13.3%

** Foreign investments

9.2%

(dagger) Short-Term Investments and Net Other Assets are not included in the pie chart.

Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.

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

Semiannual Report

Investments February 29, 2008

Showing Percentage of Net Assets

Common Stocks - 61.1%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 4.1%

Diversified Consumer Services - 0.0%

Service Corp. International

1,082,100

$ 11,687

Hotels, Restaurants & Leisure - 0.8%

Burger King Holdings, Inc. (h)

1,615,600

41,456

McDonald's Corp.

1,273,200

68,893

Vail Resorts, Inc. (a)(h)

873,600

39,530

Yum! Brands, Inc.

859,500

29,610

179,489

Household Durables - 0.4%

Lennar Corp. Class A

327,700

6,098

Pulte Homes, Inc.

2,704,600

36,620

Whirlpool Corp.

470,983

39,737

82,455

Internet & Catalog Retail - 0.0%

eDiets.com, Inc. (a)(h)

1,103,526

5,142

Media - 1.6%

Clear Channel Communications, Inc.

1,297,900

41,533

Grupo Televisa SA de CV (CPO) sponsored ADR

1,884,900

41,468

Live Nation, Inc. (a)

275,725

3,273

News Corp. Class B

5,059,596

96,689

Playboy Enterprises, Inc. Class B (non-vtg.) (a)

945,600

7,622

The Walt Disney Co.

1,524,990

49,425

Time Warner, Inc.

7,781,260

121,465

Virgin Media, Inc.

308,760

4,631

366,106

Multiline Retail - 0.4%

Kohl's Corp. (a)

513,100

22,802

Macy's, Inc.

1,799,300

44,407

Target Corp.

575,800

30,293

97,502

Specialty Retail - 0.5%

Guess?, Inc.

607,800

24,999

Home Depot, Inc.

499,700

13,267

J. Crew Group, Inc. (a)

633,674

25,379

Lowe's Companies, Inc.

2,048,600

49,105

112,750

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - 0.4%

Iconix Brand Group, Inc. (a)

1,173,700

$ 24,389

Polo Ralph Lauren Corp. Class A

973,700

60,554

84,943

TOTAL CONSUMER DISCRETIONARY

940,074

CONSUMER STAPLES - 4.8%

Beverages - 0.4%

Molson Coors Brewing Co. Class B

1,201,100

64,811

PepsiCo, Inc.

538,500

37,458

102,269

Food & Staples Retailing - 0.9%

Costco Wholesale Corp.

585,700

36,267

CVS Caremark Corp.

4,050,500

163,559

Rite Aid Corp. (a)

1,798,200

4,801

Winn-Dixie Stores, Inc. (a)

911,183

14,898

219,525

Food Products - 0.5%

Lighthouse Caledonia ASA

224,303

185

Lindt & Spruengli AG (participation certificate)

17,104

56,966

Marine Harvest ASA (a)

26,391,400

15,633

Nestle SA sponsored ADR

265,000

31,535

104,319

Household Products - 1.7%

Colgate-Palmolive Co.

1,788,100

136,057

Procter & Gamble Co.

3,859,522

255,423

391,480

Personal Products - 0.3%

Avon Products, Inc.

2,017,930

76,802

Tobacco - 1.0%

Altria Group, Inc.

3,083,740

225,545

TOTAL CONSUMER STAPLES

1,119,940

ENERGY - 8.0%

Energy Equipment & Services - 0.8%

Diamond Offshore Drilling, Inc.

121,700

14,705

National Oilwell Varco, Inc. (a)

1,008,400

62,823

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Energy Equipment & Services - continued

Schlumberger Ltd. (NY Shares)

675,180

$ 58,369

Transocean, Inc. (a)

376,331

52,878

188,775

Oil, Gas & Consumable Fuels - 7.2%

Chesapeake Energy Corp.

2,898,017

131,048

CONSOL Energy, Inc.

726,500

55,199

EOG Resources, Inc.

1,276,900

151,938

Exxon Mobil Corp.

6,564,624

571,173

Hess Corp.

1,003,500

93,506

Peabody Energy Corp.

1,395,100

78,991

Petrohawk Energy Corp. (a)

1,810,500

32,734

Plains Exploration & Production Co. (a)

779,500

42,093

Range Resources Corp.

1,040,108

63,634

Southwestern Energy Co. (a)

680,300

44,376

Suncor Energy, Inc.

294,900

30,418

Ultra Petroleum Corp. (a)

322,926

25,340

Valero Energy Corp.

3,237,480

187,029

Williams Companies, Inc.

2,420,800

87,197

XTO Energy, Inc.

1,367,050

84,361

1,679,037

TOTAL ENERGY

1,867,812

FINANCIALS - 9.6%

Capital Markets - 2.9%

Charles Schwab Corp.

1,680,900

32,962

EFG International

326,480

10,970

Franklin Resources, Inc.

231,800

21,875

Goldman Sachs Group, Inc.

761,000

129,088

Greenhill & Co., Inc. (h)

394,700

25,659

Julius Baer Holding AG

434,890

32,111

KKR Private Equity Investors, LP

923,600

13,623

KKR Private Equity Investors, LP Restricted Depositary Units (j)

977,300

14,415

Lehman Brothers Holdings, Inc.

2,990,822

152,502

Merrill Lynch & Co., Inc.

603,200

29,895

Nomura Holdings, Inc.

874,900

13,701

State Street Corp.

2,538,067

199,365

676,166

Commercial Banks - 0.7%

PNC Financial Services Group, Inc.

505,861

31,075

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Standard Chartered PLC (United Kingdom)

1,003,000

$ 33,044

UCBH Holdings, Inc.

378,100

4,269

Wachovia Corp.

1,195,452

36,605

Wells Fargo & Co.

2,518,500

73,616

178,609

Consumer Finance - 0.1%

Capital One Financial Corp.

401,801

18,495

Diversified Financial Services - 2.9%

Bank of America Corp.

5,359,925

213,003

Bovespa Holding SA

1,468,000

23,387

Citigroup, Inc.

4,348,792

103,110

CME Group, Inc.

127,952

65,678

Deutsche Boerse AG

124,600

19,748

JPMorgan Chase & Co.

5,912,952

240,361

MSCI, Inc. Class A

87,200

2,592

667,879

Insurance - 2.9%

ACE Ltd.

2,113,922

118,887

American International Group, Inc.

3,217,437

150,769

Berkshire Hathaway, Inc. Class B (a)

15,380

71,894

Hartford Financial Services Group, Inc.

864,800

60,450

MetLife, Inc.

2,459,700

143,302

Principal Financial Group, Inc.

1,523,700

84,154

Willis Group Holdings Ltd.

1,246,100

40,934

The First American Corp.

131,800

4,591

674,981

Real Estate Investment Trusts - 0.1%

Annaly Capital Management, Inc.

1,170,011

24,208

TOTAL FINANCIALS

2,240,338

HEALTH CARE - 9.3%

Biotechnology - 2.5%

Acadia Pharmaceuticals, Inc. (a)

820,645

8,141

Alexion Pharmaceuticals, Inc. (a)

542,600

32,887

Biogen Idec, Inc. (a)

1,511,600

88,217

Celgene Corp. (a)

667,200

37,610

Cephalon, Inc. (a)

874,773

52,784

CSL Ltd.

7,201,639

241,539

Genentech, Inc. (a)

1,131,700

85,726

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Biotechnology - continued

PDL BioPharma, Inc. (a)

1,722,000

$ 27,518

Theravance, Inc. (a)

612,900

10,082

Vanda Pharmaceuticals, Inc. (a)

811,100

3,699

588,203

Health Care Equipment & Supplies - 2.5%

Alcon, Inc.

474,300

68,645

Align Technology, Inc. (a)

1,154,371

14,256

Baxter International, Inc.

1,197,800

70,694

Becton, Dickinson & Co.

1,058,600

95,719

C.R. Bard, Inc.

821,400

77,861

Covidien Ltd.

1,327,306

56,795

Gen-Probe, Inc. (a)

359,500

17,188

Mindray Medical International Ltd. sponsored ADR

1,025,300

37,629

Sonova Holding AG

829,358

78,605

St. Jude Medical, Inc. (a)

1,229,400

52,840

570,232

Health Care Providers & Services - 0.6%

Henry Schein, Inc. (a)

577,500

34,546

McKesson Corp.

501,500

29,468

Medco Health Solutions, Inc. (a)

1,492,100

66,115

WellPoint, Inc. (a)

144,300

10,113

140,242

Health Care Technology - 0.1%

HLTH Corp. (a)

1,425,400

16,877

Life Sciences Tools & Services - 0.8%

AMAG Pharmaceuticals, Inc.

252,300

11,043

Applera Corp. - Applied Biosystems Group

490,600

16,538

Illumina, Inc. (a)

652,800

47,269

QIAGEN NV (a)

2,828,200

62,192

Thermo Fisher Scientific, Inc. (a)

1,084,700

60,667

197,709

Pharmaceuticals - 2.8%

Abbott Laboratories

1,776,200

95,116

Allergan, Inc.

1,416,200

83,882

Auxilium Pharmaceuticals, Inc. (a)

939,000

30,086

BMP Sunstone Corp. (a)(h)

510,300

4,404

BMP Sunstone Corp. warrants 8/21/12 (a)(r)

59,000

65

Merck & Co., Inc.

5,552,000

245,954

Schering-Plough Corp.

3,146,584

68,281

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Pharmaceuticals - continued

Shire PLC sponsored ADR

468,300

$ 27,367

ULURU, Inc. (a)(i)

3,871,407

10,104

Wyeth

1,446,300

63,088

XenoPort, Inc. (a)

529,900

27,115

655,462

TOTAL HEALTH CARE

2,168,725

INDUSTRIALS - 7.1%

Aerospace & Defense - 3.0%

General Dynamics Corp.

325,000

26,601

Honeywell International, Inc.

3,700,800

212,944

Lockheed Martin Corp.

1,469,600

151,663

Raytheon Co.

1,831,100

118,729

Spirit AeroSystems Holdings, Inc. Class A (a)

1,329,800

35,931

The Boeing Co.

119,200

9,869

United Technologies Corp.

2,003,300

141,253

696,990

Air Freight & Logistics - 0.2%

United Parcel Service, Inc. Class B

615,300

43,219

Airlines - 0.3%

Delta Air Lines, Inc. (a)

1,496,368

19,977

Northwest Airlines Corp. (a)

2,277,240

30,583

US Airways Group, Inc. (a)

973,700

12,074

62,634

Commercial Services & Supplies - 0.2%

The Brink's Co.

639,800

42,822

Construction & Engineering - 0.1%

Shaw Group, Inc. (a)

244,900

15,767

URS Corp. (a)

421,828

16,991

32,758

Electrical Equipment - 0.8%

ABB Ltd. sponsored ADR

1,867,269

46,756

Composite Technology Corp. (a)

1,571,000

1,477

Cooper Industries Ltd. Class A

1,094,300

45,884

Emerson Electric Co.

1,257,668

64,091

Rockwell Automation, Inc.

263,500

14,416

Vestas Wind Systems AS (a)

138,200

14,009

186,633

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Industrial Conglomerates - 1.1%

General Electric Co.

3,429,800

$ 113,664

Siemens AG sponsored ADR

868,600

110,885

Tyco International Ltd.

728,606

29,188

253,737

Machinery - 0.8%

Deere & Co.

233,700

19,914

Eaton Corp.

198,500

16,005

Ingersoll-Rand Co. Ltd. Class A

496,300

20,775

SPX Corp.

796,205

81,452

Sulzer AG (Reg.)

45,840

52,629

190,775

Road & Rail - 0.4%

Ryder System, Inc.

223,800

12,893

Union Pacific Corp.

680,300

84,874

97,767

Transportation Infrastructure - 0.2%

Grupo Aeroportuario del Pacifico SA de CV sponsored ADR

790,500

36,339

TOTAL INDUSTRIALS

1,643,674

INFORMATION TECHNOLOGY - 11.8%

Communications Equipment - 2.7%

Ciena Corp. (a)

789,900

20,403

Cisco Systems, Inc. (a)

9,948,900

242,455

Corning, Inc.

1,484,800

34,492

Harris Corp.

713,400

34,835

Juniper Networks, Inc. (a)

1,694,100

45,436

Nokia Corp. sponsored ADR

3,136,700

112,953

QUALCOMM, Inc.

2,414,200

102,290

Research In Motion Ltd. (a)

384,900

39,953

632,817

Computers & Peripherals - 2.0%

Apple, Inc. (a)

701,200

87,664

EMC Corp. (a)

781,700

12,148

Hewlett-Packard Co.

6,345,402

303,120

Network Appliance, Inc. (a)

680,300

14,708

Seagate Technology

677,100

14,605

Western Digital Corp. (a)

1,161,900

35,868

468,113

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - 0.5%

Amphenol Corp. Class A

1,266,624

$ 46,827

Jabil Circuit, Inc.

752,200

9,718

Tyco Electronics Ltd.

1,906,856

62,736

119,281

Internet Software & Services - 0.7%

Akamai Technologies, Inc. (a)

178,100

6,262

Alibaba.com Ltd.

806,000

1,954

Google, Inc. Class A (sub. vtg.) (a)

214,700

101,162

Internet Brands, Inc. Class A

732,420

5,837

ValueClick, Inc. (a)

241,600

4,665

Yahoo!, Inc. (a)

1,775,000

49,310

169,190

IT Services - 0.7%

Cognizant Technology Solutions Corp. Class A (a)

3,327,100

100,512

Genpact Ltd.

2,803,200

42,749

Satyam Computer Services Ltd. sponsored ADR

653,000

16,312

WNS Holdings Ltd. ADR (a)

454,000

6,742

166,315

Semiconductors & Semiconductor Equipment - 1.8%

Applied Materials, Inc.

3,774,600

72,359

Himax Technologies, Inc. sponsored ADR

1,896,330

10,202

Infineon Technologies AG sponsored ADR (a)

1,884,800

15,210

Intel Corp.

4,327,540

86,334

Intersil Corp. Class A

345,000

8,028

Marvell Technology Group Ltd. (a)

2,597,500

29,378

National Semiconductor Corp.

1,991,089

32,793

NVIDIA Corp. (a)

802,700

17,170

Skyworks Solutions, Inc. (a)

4,349,300

35,925

Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR

1,582,000

15,409

Texas Instruments, Inc.

2,171,100

65,046

Xilinx, Inc.

805,500

18,011

405,865

Software - 3.4%

Activision, Inc. (a)

2,839,500

77,376

Adobe Systems, Inc. (a)

1,119,400

37,668

Check Point Software Technologies Ltd. (a)

571,500

12,527

Informatica Corp. (a)

588,400

10,273

Microsoft Corp.

12,822,113

349,018

Nintendo Co. Ltd.

186,100

92,901

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Software - continued

Nuance Communications, Inc. (a)

947,400

$ 15,585

Oracle Corp. (a)

3,041,600

57,182

Parametric Technology Corp. (a)

781,300

11,962

Salesforce.com, Inc. (a)

355,100

21,207

Ubisoft Entertainment SA (a)

853,400

71,719

VMware, Inc. Class A

470,894

27,627

785,045

TOTAL INFORMATION TECHNOLOGY

2,746,626

MATERIALS - 2.6%

Chemicals - 2.0%

Airgas, Inc.

870,900

42,317

Albemarle Corp.

701,000

26,596

Celanese Corp. Class A

1,241,900

48,310

Dow Chemical Co.

415,200

15,649

E.I. du Pont de Nemours & Co.

846,700

39,304

Linde AG

138,121

18,375

Monsanto Co.

971,100

112,337

Potash Corp. of Saskatchewan, Inc.

61,500

9,772

Praxair, Inc.

486,500

39,056

Rohm & Haas Co.

592,500

31,764

The Mosaic Co. (a)

666,000

74,126

457,606

Metals & Mining - 0.6%

Carpenter Technology Corp.

583,400

36,655

Freeport-McMoRan Copper & Gold, Inc. Class B

637,600

64,308

Newcrest Mining Ltd.

1,213,511

42,190

143,153

TOTAL MATERIALS

600,759

TELECOMMUNICATION SERVICES - 2.1%

Diversified Telecommunication Services - 1.8%

AT&T, Inc.

3,862,636

134,536

Qwest Communications International, Inc.

4,161,000

22,469

Verizon Communications, Inc.

6,948,795

252,380

409,385

Wireless Telecommunication Services - 0.3%

American Tower Corp. Class A (a)

741,100

28,488

Common Stocks - continued

Shares

Value (000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

DigitalGlobe, Inc. (a)(j)

15,842

$ 40

Vodafone Group PLC sponsored ADR

1,335,775

43,052

71,580

TOTAL TELECOMMUNICATION SERVICES

480,965

UTILITIES - 1.7%

Electric Utilities - 0.8%

Entergy Corp.

745,500

76,593

Exelon Corp.

631,800

47,290

Portland General Electric Co.

13,771

321

PPL Corp.

307,800

13,968

Reliant Energy, Inc. (a)

2,288,500

52,178

190,350

Gas Utilities - 0.1%

Questar Corp.

316,900

17,509

Independent Power Producers & Energy Traders - 0.7%

AES Corp. (a)

3,130,921

56,294

Constellation Energy Group, Inc.

650,200

57,445

NRG Energy, Inc. (a)

980,500

40,465

154,204

Multi-Utilities - 0.1%

Sempra Energy

430,900

22,894

TOTAL UTILITIES

384,957

TOTAL COMMON STOCKS

(Cost $12,437,303)

14,193,870

Preferred Stocks - 0.2%

Convertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.0%

Hotels, Restaurants & Leisure - 0.0%

Six Flags, Inc. 7.25% PIERS

44,858

583

Preferred Stocks - continued

Shares

Value (000s)

Convertible Preferred Stocks - continued

ENERGY - 0.1%

Oil, Gas & Consumable Fuels - 0.1%

Chesapeake Energy Corp. 4.50%

56,300

$ 6,601

El Paso Corp. 4.99%

9,100

12,309

18,910

UTILITIES - 0.0%

Electric Utilities - 0.0%

AES Trust III 6.75%

76,937

3,561

Independent Power Producers & Energy Traders - 0.0%

NRG Energy, Inc. Series A, 5.75%

23,200

8,227

TOTAL UTILITIES

11,788

TOTAL CONVERTIBLE PREFERRED STOCKS

31,281

Nonconvertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

Spanish Broadcasting System, Inc. Class B, 10.75%

478

354

TELECOMMUNICATION SERVICES - 0.1%

Diversified Telecommunication Services - 0.0%

PTV, Inc. Series A, 10.00%

187

0

Wireless Telecommunication Services - 0.1%

Rural Cellular Corp. 12.25% pay-in-kind

8,043

10,054

TOTAL NONCONVERTIBLE PREFERRED STOCKS

10,408

TOTAL PREFERRED STOCKS

(Cost $36,275)

41,689

Corporate Bonds - 8.5%

Principal Amount (000s)

Value (000s)

Convertible Bonds - 0.2%

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

Liberty Media Corp.:

3.5% 1/15/31

$ 516

$ 417

3.5% 1/15/31 (j)

3,810

3,080

3,497

CONSUMER STAPLES - 0.0%

Food & Staples Retailing - 0.0%

The Great Atlantic & Pacific Tea Co. 6.75% 12/15/12

3,547

3,494

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.1%

Alliant Techsystems, Inc.:

2.75% 2/15/24

7,950

10,992

3% 8/15/24

2,000

2,990

13,982

Marine - 0.0%

Horizon Lines, Inc. 4.25% 8/15/12 (j)

6,209

5,607

TOTAL INDUSTRIALS

19,589

INFORMATION TECHNOLOGY - 0.1%

Semiconductors & Semiconductor Equipment - 0.0%

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

6,000

4,041

Software - 0.1%

Symantec Corp. 1% 6/15/13

6,900

7,567

TOTAL INFORMATION TECHNOLOGY

11,608

UTILITIES - 0.0%

Multi-Utilities - 0.0%

CMS Energy Corp. 3.375% 7/15/23

4,500

6,194

TOTAL CONVERTIBLE BONDS

44,382

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - 8.3%

CONSUMER DISCRETIONARY - 1.7%

Auto Components - 0.0%

The Goodyear Tire & Rubber Co. 8.625% 12/1/11

$ 1,007

$ 1,052

Visteon Corp. 8.25% 8/1/10

6,000

5,040

6,092

Automobiles - 0.3%

General Motors Corp.:

6.375% 5/1/08

720

716

7.2% 1/15/11

36,735

33,245

8.375% 7/15/33

6,010

4,628

General Motors Nova Scotia Finance Co. 6.85% 10/15/08

28,140

27,718

66,307

Diversified Consumer Services - 0.0%

Affinion Group, Inc. 10.125% 10/15/13

7,000

6,965

Education Management LLC/Education Management Finance Corp.:

8.75% 6/1/14

1,945

1,692

10.25% 6/1/16

2,110

1,772

Service Corp. International 7.5% 4/1/27

1,265

1,107

11,536

Hotels, Restaurants & Leisure - 0.3%

Carrols Corp. 9% 1/15/13

5,860

5,274

Chukchansi Economic Development Authority:

8% 11/15/13 (j)

1,890

1,739

8.2375% 11/15/12 (j)(o)

1,140

992

Harrah's Operating Co., Inc. 5.5% 7/1/10

10,025

8,847

Herbst Gaming, Inc. 7% 11/15/14

725

174

MGM Mirage, Inc.:

6.625% 7/15/15

3,660

3,257

6.75% 9/1/12

2,000

1,875

6.75% 4/1/13

7,520

6,994

7.5% 6/1/16

12,910

12,071

7.625% 1/15/17

4,070

3,816

OSI Restaurant Partners, Inc. 10% 6/15/15 (j)

2,420

1,452

Park Place Entertainment Corp. 7.875% 3/15/10

2,755

2,562

San Pasqual Casino Development Group, Inc. 8% 9/15/13 (j)

1,080

994

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

2,270

2,020

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Six Flags, Inc. 9.625% 6/1/14

$ 11,230

$ 6,963

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

0% 1/15/13 (f)

1,610

934

9% 1/15/12

2,940

2,293

Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (j)

1,967

1,770

64,027

Household Durables - 0.0%

Fortune Brands, Inc. 5.875% 1/15/36

1,500

1,301

Leisure Equipment & Products - 0.0%

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

3,520

2,886

Media - 0.9%

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

8,625

8,194

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

17,730

12,500

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

Series B, 10.25% 9/15/10

7,240

6,643

10.25% 9/15/10

12,244

11,264

Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:

8% 4/30/12 (j)

1,500

1,418

8.375% 4/30/14 (j)

10,000

9,150

Comcast Corp. 6.45% 3/15/37

4,155

3,956

Dex Media West LLC/Dex Media West Finance Co. 9.875% 8/15/13

1,865

1,632

Dex Media, Inc.:

0% 11/15/13 (f)

295

218

8% 11/15/13

1,750

1,278

EchoStar Communications Corp.:

6.625% 10/1/14

3,000

2,880

7.125% 2/1/16

5,000

4,913

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

2,515

2,301

Lamar Media Corp. 7.25% 1/1/13

1,290

1,264

LBI Media Holdings, Inc. 0% 10/15/13 (f)

4,450

3,694

LBI Media, Inc. 8.5% 8/1/17 (j)

6,320

5,498

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Liberty Media Corp.:

5.7% 5/15/13

$ 2,055

$ 1,829

8.25% 2/1/30

18,280

15,231

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

1,170

1,193

Muzak LLC/Muzak Finance Corp. 10% 2/15/09

5,455

5,141

News America Holdings, Inc. 7.75% 12/1/45

18,112

19,502

News America, Inc. 6.2% 12/15/34

5,885

5,626

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

8,000

6,800

Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc. 0% 4/1/13 (f)

6,310

6,152

PanAmSat Corp.:

9% 8/15/14

4,264

4,253

9% 6/15/16

3,000

3,000

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

4,005

3,164

Rainbow National LLC & RNS Co. Corp.:

8.75% 9/1/12 (j)

4,000

4,050

10.375% 9/1/14 (j)

7,775

8,125

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

9,530

6,814

Time Warner Cable, Inc. 6.55% 5/1/37

5,264

5,077

Time Warner, Inc. 6.5% 11/15/36

3,295

3,072

TL Acquisitions, Inc. 10.5% 1/15/15 (j)

25,170

22,779

Valassis Communications, Inc. 8.25% 3/1/15

7,630

6,371

Vertis, Inc.:

10.875% 6/15/09

1,875

619

13.5% 12/7/09 (j)

5,635

564

206,165

Specialty Retail - 0.2%

GSC Holdings Corp./Gamestop, Inc. 8% 10/1/12

11,125

11,667

Michaels Stores, Inc.:

10% 11/1/14

11,235

9,859

11.375% 11/1/16

5,980

4,904

Sally Holdings LLC:

9.25% 11/15/14

2,050

1,978

10.5% 11/15/16

6,535

5,947

Toys 'R' US, Inc.:

7.375% 10/15/18

3,290

2,270

7.875% 4/15/13

6,585

4,873

41,498

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - 0.0%

Levi Strauss & Co. 8.875% 4/1/16

$ 6,000

$ 5,655

TOTAL CONSUMER DISCRETIONARY

405,467

CONSUMER STAPLES - 0.2%

Beverages - 0.0%

Beverages & More, Inc. 9.25% 3/1/12 (j)

3,870

3,754

Diageo Capital PLC 5.2% 1/30/13

2,590

2,687

6,441

Food & Staples Retailing - 0.1%

Stater Brothers Holdings, Inc. 7.75% 4/15/15

9,010

8,605

Food Products - 0.1%

Dean Foods Co. 7% 6/1/16

8,335

7,293

Pierre Foods, Inc. 9.875% 7/15/12

11,190

5,595

12,888

Personal Products - 0.0%

Revlon Consumer Products Corp. 9.5% 4/1/11

1,600

1,392

Tobacco - 0.0%

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

6,485

6,360

TOTAL CONSUMER STAPLES

35,686

ENERGY - 1.1%

Energy Equipment & Services - 0.0%

Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (j)

5,420

5,379

Pride International, Inc. 7.375% 7/15/14

3,000

3,120

8,499

Oil, Gas & Consumable Fuels - 1.1%

Arch Western Finance LLC 6.75% 7/1/13

4,960

4,886

Atlas Energy Operating Co. LLC/Financing Corp. 10.75% 2/1/18 (j)

8,430

8,620

Atlas Pipeline Partners LP 8.125% 12/15/15

3,520

3,467

Chaparral Energy, Inc.:

8.5% 12/1/15

3,120

2,636

8.875% 2/1/17

10,730

8,960

Chesapeake Energy Corp.:

6.375% 6/15/15

4,000

3,880

6.5% 8/15/17

14,280

13,673

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Colorado Interstate Gas Co. 5.95% 3/15/15

$ 7,000

$ 6,945

Connacher Oil and Gas Ltd. 10.25% 12/15/15 (j)

5,990

5,945

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

7,020

6,458

Duke Capital LLC 6.75% 2/15/32

2,454

2,340

Duke Energy Field Services 6.45% 11/3/36 (j)

8,320

7,943

Encore Acquisition Co. 7.25% 12/1/17

6,000

5,670

Energy Partners Ltd. 9.75% 4/15/14

10,970

9,133

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

1,120

1,078

Forest Oil Corp. 7.25% 6/15/19 (j)

9,250

9,250

Kinder Morgan Energy Partners LP 5.125% 11/15/14

10,945

10,846

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

2,100

2,027

Massey Energy Co. 6.875% 12/15/13

10,565

10,248

National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (j)

3,700

3,500

Nexen, Inc.:

5.875% 3/10/35

2,365

2,142

6.4% 5/15/37

4,230

4,093

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

5,000

4,875

Peabody Energy Corp. 7.875% 11/1/26

9,925

9,925

Petrohawk Energy Corp. 9.125% 7/15/13

22,000

22,440

Petroleum Development Corp. 12% 2/15/18 (j)

5,500

5,541

Plains All American Pipeline LP:

6.125% 1/15/17

1,880

1,944

6.65% 1/15/37

4,780

4,713

Plains Exploration & Production Co.:

7% 3/15/17

4,400

4,202

7.75% 6/15/15

6,000

6,015

Range Resources Corp.:

7.375% 7/15/13

1,330

1,333

7.5% 5/15/16

3,240

3,345

Ras Laffan Liquid Natural Gas Co. Ltd. III 6.332% 9/30/27 (j)

5,710

5,360

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

10,070

10,221

Southwestern Energy Co. 7.5% 2/1/18 (j)

3,340

3,440

Stone Energy Corp. 6.75% 12/15/14

11,580

10,451

Talisman Energy, Inc. yankee 6.25% 2/1/38

2,650

2,477

Teekay Corp. 8.875% 7/15/11

10,030

10,532

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Valero Energy Corp. 6.625% 6/15/37

$ 1,755

$ 1,729

Williams Companies, Inc. 8.125% 3/15/12

6,285

6,851

249,134

TOTAL ENERGY

257,633

FINANCIALS - 0.9%

Capital Markets - 0.1%

Bear Stearns Companies, Inc. 6.95% 8/10/12

10,270

10,447

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

8,835

8,249

JPMorgan Chase Capital XX 6.55% 9/29/36

11,345

10,192

Nuveen Investments, Inc. 10.5% 11/15/15 (j)

6,070

5,402

34,290

Commercial Banks - 0.1%

Bank of America NA 6% 10/15/36

2,235

2,129

Credit Suisse First Boston 6% 2/15/18

8,345

8,515

HSBC Holdings PLC:

6.5% 5/2/36

6,610

6,348

6.5% 9/15/37

8,400

7,957

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

1,847

1,916

26,865

Consumer Finance - 0.4%

Ford Motor Credit Co. LLC:

6.625% 6/16/08

6,000

5,975

8.7075% 4/15/12 (o)

4,005

3,865

General Electric Capital Corp. 5.625% 9/15/17

16,980

17,463

General Motors Acceptance Corp.:

5.125% 5/9/08

31,780

31,527

6.0338% 9/23/08 (o)

4,100

3,936

GMAC LLC 6% 12/15/11

5,220

4,150

SLM Corp.:

3.4913% 7/26/10 (o)

19,186

16,554

4% 1/15/09

5,300

5,110

4.5% 7/26/10

1,100

1,018

Triad Acquisition Corp. 11.125% 5/1/13

2,125

1,169

90,767

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - 0.1%

Hilcorp Energy I LP/Hilcorp Finance Co.:

7.75% 11/1/15 (j)

$ 9,370

$ 8,738

9% 6/1/16 (j)

5,690

5,690

NSG Holdings II, LLC 7.75% 12/15/25 (j)

6,750

6,649

21,077

Insurance - 0.0%

HUB International Holdings, Inc. 9% 12/15/14 (j)

7,420

5,788

USI Holdings Corp. 9.75% 5/15/15 (j)

1,240

930

6,718

Real Estate Investment Trusts - 0.1%

Duke Realty LP:

5.5% 3/1/16

2,930

2,603

5.625% 8/15/11

2,570

2,529

Omega Healthcare Investors, Inc. 7% 1/15/16

4,090

3,926

Senior Housing Properties Trust 8.625% 1/15/12

5,910

6,146

15,204

Real Estate Management & Development - 0.0%

Realogy Corp. 10.5% 4/15/14

16,145

11,302

Thrifts & Mortgage Finance - 0.1%

Residential Capital Corp.:

7.3275% 4/17/09 (j)(o)

4,200

2,016

7.625% 11/21/08 (g)

1,405

1,085

8% 4/17/13

12,370

6,680

Residential Capital LLC 5.6463% 6/9/08 (o)

1,865

1,641

11,422

TOTAL FINANCIALS

217,645

HEALTH CARE - 0.9%

Health Care Equipment & Supplies - 0.1%

Bausch & Lomb, Inc. 9.875% 11/1/15 (j)

2,930

2,981

FMC Finance III SA 6.875% 7/15/17

9,330

9,377

LVB Acquisition Merger Sub, Inc.:

10% 10/15/17 (j)

3,820

3,935

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

LVB Acquisition Merger Sub, Inc.: - continued

11.625% 10/15/17 (j)

$ 7,715

$ 7,561

ReAble Therapeutics Finance LLC/ReAble Therapeutics Finance Corp. 10.875% 11/15/14 (j)

6,245

5,886

29,740

Health Care Providers & Services - 0.8%

AMR HoldCo, Inc./EmCare HoldCo, Inc. 10% 2/15/15

4,520

4,814

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

25,070

20,307

Community Health Systems, Inc. 8.875% 7/15/15

10,435

10,252

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

2,190

2,212

DaVita, Inc. 6.625% 3/15/13

20,205

19,700

HCA, Inc. 9.25% 11/15/16

22,430

22,935

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

12,000

11,820

NMH Holdings, Inc. 12.1156% 6/15/14 pay-in-kind (j)(o)

6,603

5,840

Rural/Metro Corp.:

0% 3/15/16 (f)

4,830

3,526

9.875% 3/15/15

8,730

8,010

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

7,855

8,248

Sun Healthcare Group, Inc. 9.125% 4/15/15

7,630

7,344

Surgical Care Affiliates LLC 8.875% 7/15/15 pay-in-kind (j)

9,350

7,574

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

6,460

6,331

Tenet Healthcare Corp.:

6.5% 6/1/12

2,005

1,754

7.375% 2/1/13

15,600

13,494

9.25% 2/1/15

8,000

7,280

United Surgical Partners International, Inc.:

8.875% 5/1/17

10,745

10,261

9.25% 5/1/17 pay-in-kind

5,950

5,266

US Oncology Holdings, Inc. 10.7594% 3/15/12 pay-in-kind (o)

7,670

5,523

Viant Holdings, Inc. 10.125% 7/15/17 (j)

374

305

182,796

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Pharmaceuticals - 0.0%

AstraZeneca PLC 6.45% 9/15/37

$ 1,853

$ 1,992

TOTAL HEALTH CARE

214,528

INDUSTRIALS - 0.7%

Aerospace & Defense - 0.1%

Bombardier, Inc.:

6.3% 5/1/14 (j)

10,420

9,899

7.45% 5/1/34 (j)

2,340

2,211

8% 11/15/14 (j)

8,765

9,006

DRS Technologies, Inc.:

6.625% 2/1/16

3,760

3,675

7.625% 2/1/18

1,830

1,821

Orbimage Holdings, Inc. 14.2175% 7/1/12 (o)

2,180

2,245

TransDigm, Inc. 7.75% 7/15/14

2,350

2,350

31,207

Airlines - 0.1%

AMR Corp. 10.2% 3/15/20

3,445

3,006

Continental Airlines, Inc. 7.339% 4/19/14

2,050

1,804

Continental Airlines, Inc. pass thru trust certificates:

8.388% 5/1/22

101

94

9.798% 4/1/21

6,640

6,540

Delta Air Lines, Inc.:

7.9% 12/15/09 (a)

27,035

1,081

8.3% 12/15/29 (a)

15,711

628

10.375% 2/1/11 (a)

8,640

410

Delta Air Lines, Inc. pass thru trust certificates:

7.57% 11/18/10

4,430

4,445

7.779% 1/2/12

1,797

1,707

19,715

Building Products - 0.0%

Masonite International Corp. 11% 4/6/15

6,000

4,215

Commercial Services & Supplies - 0.1%

ARAMARK Corp. 8.5% 2/1/15

7,670

7,593

Browning-Ferris Industries, Inc. 9.25% 5/1/21

1,350

1,357

FTI Consulting, Inc.:

7.625% 6/15/13

920

948

7.75% 10/1/16

1,800

1,888

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Commercial Services & Supplies - continued

IKON Office Solutions, Inc. 9.9263% 1/1/12 (j)(o)

$ 3,060

$ 3,014

Interface, Inc. 9.5% 2/1/14

1,525

1,556

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

5,400

5,130

21,486

Electrical Equipment - 0.1%

Coleman Cable, Inc. 9.875% 10/1/12

1,560

1,365

General Cable Corp.:

7.0556% 4/1/15 (o)

2,680

2,305

7.125% 4/1/17

1,020

979

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

11,608

10,795

15,444

Industrial Conglomerates - 0.1%

Covidien International Finance SA:

5.45% 10/15/12 (j)

3,245

3,407

6.55% 10/15/37 (j)

3,560

3,678

General Electric Co. 5.25% 12/6/17

18,535

18,603

25,688

Machinery - 0.0%

Columbus McKinnon Corp. 8.875% 11/1/13

590

602

Commercial Vehicle Group, Inc. 8% 7/1/13

1,730

1,453

2,055

Marine - 0.1%

Britannia Bulk PLC 11% 12/1/11

7,450

7,525

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

6,000

5,850

13,375

Road & Rail - 0.1%

Kansas City Southern de Mexico, SA de CV 7.625% 12/1/13

2,390

2,235

Kansas City Southern Railway Co.:

7.5% 6/15/09

8,005

8,085

9.5% 10/1/08

460

472

TFM SA de CV 9.375% 5/1/12

4,220

4,389

15,181

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Trading Companies & Distributors - 0.0%

VWR Funding, Inc. 10.25% 7/15/15

$ 9,330

$ 8,677

TOTAL INDUSTRIALS

157,043

INFORMATION TECHNOLOGY - 0.9%

Communications Equipment - 0.1%

Lucent Technologies, Inc. 6.45% 3/15/29

10,900

8,066

Nortel Networks Corp. 10.125% 7/15/13

7,880

7,407

15,473

Electronic Equipment & Instruments - 0.1%

Itron, Inc. 7.75% 5/15/12

860

830

NXP BV:

7.875% 10/15/14

8,000

7,160

9.5% 10/15/15

2,480

2,040

Texas Competitive Electric Holdings Co. LLC Series A, 10.25% 11/1/15 (j)

12,880

12,558

Tyco Electronics Group SA 7.125% 10/1/37 (j)

1,952

2,029

24,617

IT Services - 0.3%

Ceridian Corp. 11.25% 11/15/15 (j)

6,930

5,613

Iron Mountain, Inc.:

6.625% 1/1/16

7,000

6,650

7.75% 1/15/15

20,930

20,982

8.25% 7/1/11

815

814

8.625% 4/1/13

370

373

8.75% 7/15/18

2,345

2,445

SunGard Data Systems, Inc.:

4.875% 1/15/14

12,355

10,872

9.125% 8/15/13

10,630

10,789

10.25% 8/15/15

20,970

21,075

79,613

Semiconductors & Semiconductor Equipment - 0.3%

Amkor Technology, Inc.:

7.125% 3/15/11

4,000

3,770

9.25% 6/1/16

8,795

8,531

Avago Technologies Finance Ltd.:

10.125% 12/1/13

1,420

1,491

10.6238% 6/1/13 (o)

1,200

1,218

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Avago Technologies Finance Ltd.: - continued

11.875% 12/1/15

$ 7,500

$ 7,950

Freescale Semiconductor, Inc.:

8.875% 12/15/14

6,770

5,518

9.125% 12/15/14 pay-in-kind

45,765

34,553

10.125% 12/15/16

13,405

9,417

72,448

Software - 0.1%

Activant Solutions, Inc. 9.5% 5/1/16

1,590

1,336

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

1,300

1,027

SS&C Technologies, Inc. 11.75% 12/1/13

9,570

9,379

11,742

TOTAL INFORMATION TECHNOLOGY

203,893

MATERIALS - 0.4%

Chemicals - 0.1%

Agrium, Inc. 7.125% 5/23/36

5,105

5,472

Georgia Gulf Corp.:

9.5% 10/15/14

3,440

2,614

10.75% 10/15/16

3,745

2,434

Koppers, Inc. 9.875% 10/15/13

722

758

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

740

651

11,929

Containers & Packaging - 0.1%

BWAY Corp. 10% 10/15/10

840

819

Crown Americas LLC/Crown Americas Capital Corp.:

7.625% 11/15/13

4,000

4,040

7.75% 11/15/15

4,000

4,090

Jefferson Smurfit Corp. U.S. 8.25% 10/1/12

2,750

2,530

Owens-Brockway Glass Container, Inc. 6.75% 12/1/14

2,390

2,384

Owens-Illinois, Inc.:

7.5% 5/15/10

770

789

7.8% 5/15/18

350

350

Rock-Tenn Co. 9.25% 3/15/16 (j)

1,760

1,784

Smurfit-Stone Container Enterprises, Inc. 8% 3/15/17

5,605

5,016

21,802

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - 0.2%

Aleris International, Inc. 9% 12/15/14

$ 4,080

$ 3,040

FMG Finance Property Ltd. 10.625% 9/1/16 (j)

7,000

7,998

Freeport-McMoRan Copper & Gold, Inc. 8.375% 4/1/17

23,725

25,119

Noranda Aluminium Holding Corp. 10.4875% 11/15/14 pay-in-kind (j)(o)

3,500

2,398

RathGibson, Inc. 11.25% 2/15/14

4,385

4,210

Tube City IMS Corp. 9.75% 2/1/15

560

493

United States Steel Corp. 6.65% 6/1/37

4,975

4,157

47,415

Paper & Forest Products - 0.0%

Catalyst Paper Corp. 7.375% 3/1/14

4,268

3,158

NewPage Corp. 10% 5/1/12 (j)

7,360

7,360

10,518

TOTAL MATERIALS

91,664

TELECOMMUNICATION SERVICES - 0.8%

Diversified Telecommunication Services - 0.7%

AT&T, Inc.:

6.3% 1/15/38

9,775

9,630

6.8% 5/15/36

13,429

14,050

BellSouth Capital Funding Corp. 7.875% 2/15/30

1,845

2,090

BellSouth Corp. 6.55% 6/15/34

4,075

4,094

British Telecommunications PLC 9.125% 12/15/30

3,080

4,006

Broadview Networks Holdings, Inc. 11.375% 9/1/12

6,610

6,412

Intelsat Ltd.:

9.25% 6/15/16

9,000

9,045

11.25% 6/15/16

7,145

7,199

Level 3 Financing, Inc.:

8.75% 2/15/17

1,685

1,274

9.25% 11/1/14

11,945

9,675

Qwest Corp.:

7.5% 10/1/14

7,000

6,930

7.625% 6/15/15

10,930

10,821

8.875% 3/15/12

16,520

17,243

Sprint Capital Corp. 6.875% 11/15/28

12,283

8,721

Telecom Italia Capital SA 7.2% 7/18/36

3,975

4,117

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telefonica Emisiones SAU 7.045% 6/20/36

$ 8,220

$ 8,839

U.S. West Communications:

6.875% 9/15/33

8,020

7,038

7.2% 11/10/26

845

752

7.25% 9/15/25

840

762

Verizon Communications, Inc.:

6.25% 4/1/37

3,729

3,674

6.4% 2/15/38

6,365

6,364

Verizon Global Funding Corp. 7.75% 12/1/30

4,320

4,922

Windstream Corp. 8.625% 8/1/16

5,380

5,515

153,173

Wireless Telecommunication Services - 0.1%

Digicel Group Ltd.:

8.875% 1/15/15 (j)

10,715

9,335

9.125% 1/15/15 pay-in-kind (j)

6,269

5,422

9.25% 9/1/12 (j)

4,120

4,161

Orascom Telecom Finance SCA 7.875% 2/8/14 (j)

1,510

1,412

Rural Cellular Corp.:

8.1238% 6/1/13 (o)

4,500

4,545

8.25% 3/15/12

2,590

2,674

27,549

TOTAL TELECOMMUNICATION SERVICES

180,722

UTILITIES - 0.7%

Electric Utilities - 0.5%

Appalachian Power Co. 6.375% 4/1/36

6,000

5,895

Enel Finance International SA 6.8% 9/15/37 (j)

10,928

11,194

Energy Future Holdings:

10.875% 11/1/17 (j)

26,170

25,843

11.25% 11/1/17 pay-in-kind (j)

10,710

10,496

Intergen NV 9% 6/30/17 (j)

19,645

20,529

Mirant Americas Generation LLC 8.3% 5/1/11

6,000

6,060

Nevada Power Co. 6.5% 5/15/18

5,100

5,177

Pacific Gas & Electric Co. 5.8% 3/1/37

3,230

3,103

Reliant Energy, Inc.:

6.75% 12/15/14

9,645

9,741

Corporate Bonds - continued

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

Reliant Energy, Inc.: - continued

7.875% 6/15/17

$ 10,400

$ 10,296

Tampa Electric Co. 6.15% 5/15/37

3,871

3,713

112,047

Gas Utilities - 0.0%

NiSource Finance Corp. 5.45% 9/15/20

1,915

1,736

Independent Power Producers & Energy Traders - 0.2%

AES Corp.:

7.75% 10/15/15

4,660

4,742

8% 10/15/17

9,340

9,538

9.375% 9/15/10

5,451

5,703

9.5% 6/1/09

1,357

1,394

Enron Corp.:

6.4% 7/15/06 (e)

3,600

639

6.625% 11/15/05 (e)

2,155

383

6.75% 9/1/04 (e)

1,425

260

9.125% 4/1/03 (e)

4,315

766

NRG Energy, Inc.:

7.25% 2/1/14

4,530

4,417

7.375% 2/1/16

9,560

9,225

7.375% 1/15/17

3,000

2,880

39,947

Multi-Utilities - 0.0%

Dominion Resources, Inc. 6.3% 9/30/66 (o)

9,860

9,064

MidAmerican Energy Holdings, Co. 6.5% 9/15/37

6,515

6,759

15,823

TOTAL UTILITIES

169,553

TOTAL NONCONVERTIBLE BONDS

1,933,834

TOTAL CORPORATE BONDS

(Cost $2,093,310)

1,978,216

U.S. Government and Government Agency Obligations - 7.6%

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 2.0%

Fannie Mae:

4.375% 7/17/13

$ 20,070

$ 20,965

4.625% 10/15/13 (h)

30,000

31,684

4.75% 12/15/10 (h)

60,000

63,213

5.5% 3/15/11

18,100

19,439

6.125% 3/15/12

1,502

1,672

6.625% 9/15/09

27,133

28,908

Freddie Mac:

4.5% 1/15/14

5,885

6,174

4.875% 11/15/13 (h)

17,515

18,724

5.25% 7/18/11 (m)

53,350

57,297

5.625% 3/15/11 (h)

187,620

202,117

Tennessee Valley Authority 5.375% 4/1/56

5,573

5,835

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

456,028

U.S. Treasury Inflation Protected Obligations - 2.2%

U.S. Treasury Inflation-Indexed Notes:

1.625% 1/15/15 (m)

33,000

34,951

2% 1/15/14 (h)(m)

170,511

185,085

2.375% 4/15/11

41,873

45,299

2.375% 1/15/27

34,371

37,921

2.5% 7/15/16 (h)

140,408

158,167

2.625% 7/15/17

45,604

52,026

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

513,449

U.S. Treasury Obligations - 3.4%

U.S. Treasury Bills, yield at date of purchase 2.36% 4/17/08 (l)

11,000

10,972

U.S. Treasury Bonds:

5% 5/15/37 (m)

8,740

9,581

6.125% 8/15/29 (h)

44,540

55,195

U.S. Treasury Notes:

2.875% 1/31/13 (k)

146,165

148,594

3.375% 11/30/12 (h)

150,183

156,190

3.5% 2/15/10 (m)

6,806

7,048

4.25% 9/30/12 (h)

38,280

41,292

4.25% 11/15/14 (m)

14,850

16,008

4.5% 5/15/17 (h)

36,465

39,283

4.625% 7/31/12 (m)

20,000

21,867

4.75% 8/15/17 (h)

24,203

26,533

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

5.125% 5/15/16 (h)(m)

$ 208,243

$ 234,566

6% 8/15/09 (m)

22,835

24,289

TOTAL U.S. TREASURY OBLIGATIONS

791,418

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,642,315)

1,760,895

U.S. Government Agency - Mortgage Securities - 2.2%

Fannie Mae - 1.4%

5.5% 1/1/33 to 1/1/37

37,264

38,018

5.5% 3/1/38 (k)

105,000

105,686

5.638% 7/1/37 (o)

1,779

1,834

6% 6/1/30 to 1/1/38

127,761

130,997

6.03% 4/1/36 (o)

1,296

1,344

6.158% 4/1/36 (o)

3,129

3,245

6.224% 6/1/36 (o)

475

487

6.307% 4/1/36 (o)

1,200

1,245

6.5% 11/1/29 to 1/1/36

48,536

50,730

TOTAL FANNIE MAE

333,586

Freddie Mac - 0.2%

5.762% 10/1/35 (o)

834

860

5.848% 6/1/36 (o)

1,499

1,549

6.027% 6/1/36 (o)

1,450

1,497

6.03% 7/1/37 (o)

7,670

7,885

6.093% 4/1/36 (o)

2,302

2,382

6.1% 6/1/36 (o)

1,357

1,404

6.5% 11/1/34 to 3/1/36

25,341

26,488

TOTAL FREDDIE MAC

42,065

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value (000s)

Government National Mortgage Association - 0.6%

5.5% 3/20/38 (k)

$ 120,000

$ 122,735

6.5% 3/15/34

9,211

9,758

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

132,493

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $502,953)

508,144

Asset-Backed Securities - 0.1%

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 3.435% 7/25/36 (o)

3,500

1,396

Series 2006-NC4 Class M1, 3.435% 10/25/36 (o)

2,570

813

Citigroup Mortgage Loan Trust Series 2006-WF2 Class A2B, 5.735% 5/25/36

2,991

2,990

JPMorgan Mortgage Acquisition Trust Series 2006-NC2 Class M2, 3.435% 7/25/36 (o)

2,355

723

Long Beach Mortgage Loan Trust:

Series 2006-2 Class 2A2, 3.265% 3/25/36 (o)

5,777

5,734

Series 2006-4 Class 2A2, 3.235% 5/25/36 (o)

1,490

1,470

MASTR Asset Backed Securities Trust Series 2006-WMC3 Class A2, 3.185% 8/25/36 (o)

1,430

1,412

Merna Reinsurance Ltd. Series 2007-1 Class B, 6.58% 6/30/12 (j)(o)

3,365

3,269

Morgan Stanley ABS Capital I Trust Series 2007-HE2 Class M1, 3.385% 1/25/37 (o)

3,030

716

Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 3.185% 11/25/36 (o)

692

681

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

1,201

1,193

NovaStar Mortgage Funding Trust Series 2006-5 Class A2A, 3.205% 11/25/36 (o)

728

714

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1 Class 1A1, 3.205% 9/25/36 (o)

4,023

3,989

Securitized Asset Backed Receivables LLC Trust:

Series 2006-FR4 Class A2A, 3.215% 8/25/36 (o)

1,933

1,869

Series 2006-WM4 Class A2A, 3.215% 11/25/36 (o)

1,094

1,059

Series 2007-NC1 Class A2A, 3.185% 12/25/36 (o)

1,265

1,236

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

1,452

1,450

TOTAL ASSET-BACKED SECURITIES

(Cost $37,651)

30,714

Collateralized Mortgage Obligations - 0.2%

Principal Amount (000s)

Value (000s)

Private Sponsor - 0.0%

Bayview Commercial Asset Trust Series 2006-3A
Class IO, 1.1688% 10/25/36 (o)(q)

$ 47,702

$ 4,651

U.S. Government Agency - 0.2%

Fannie Mae subordinate REMIC pass-thru certificates sequential payer:

Series 2002-57 Class BT, 6% 11/25/31

12,236

12,574

Series 2006-78 Class CD, 4.5% 10/25/18

20,838

21,113

TOTAL U.S. GOVERNMENT AGENCY

33,687

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $39,081)

38,338

Commercial Mortgage Securities - 0.0%

Berkeley Federal Bank & Trust FSB Series 1994-1
Class B, 14.2154% 8/1/24 (j)(o)

595

506

First Chicago/Lennar Trust I Series 1997-CHL1 Class E, 8.0598% 4/29/39 (j)(o)

772

772

Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-47 Class C, 4.227% 10/16/27

8,468

8,547

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.8335% 12/10/41 (o)(q)

4,824

83

LB Multi-family Mortgage Trust Series 1991-4 Class A1, 7.0935% 4/25/21 (j)(o)

145

130

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $9,816)

10,038

Floating Rate Loans - 1.5%

CONSUMER DISCRETIONARY - 0.5%

Automobiles - 0.0%

AM General LLC term loan 8.8675% 4/17/12 (o)

18,288

13,167

Hotels, Restaurants & Leisure - 0.2%

Fantasy Springs Resort Casino term loan 10.64% 8/6/12 (o)

7,650

7,115

Intrawest Resorts term loan 6.3801% 4/24/08 (o)

25,965

24,927

PITG Gaming Investor Holdings LLC term loan 9.9588% 5/15/08 (o)

6,570

6,143

Floating Rate Loans - continued

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Six Flags, Inc. Tranche B, term loan 5.3738% 4/30/15 (o)

$ 1,065

$ 900

Southwest Sports Group, Inc. Tranche B, term loan 5.75% 12/22/10 (o)

7,000

6,720

Tropicana Entertainment term loan 5.3719% 7/3/08 (o)

335

307

46,112

Media - 0.1%

Discovery Communications, Inc. term loan 6.83% 5/14/14 (o)

1,542

1,419

Hicks Sports Group LLC Tranche 2LN, term loan 8.75% 12/22/11 (o)

11,000

9,900

Lamar Media Corp. Tranche F, term loan 4.625% 3/31/14 (o)

360

333

PanAmSat Corp. Tranche B2, term loan 5.1438% 1/3/14 (o)

7,960

7,164

The Reader's Digest Association, Inc. term loan 7.187% 3/2/14 (o)

794

651

Tribune Co. term loan 7.3963% 6/4/09 (o)

3,248

2,939

22,406

Multiline Retail - 0.1%

Dollar General Corp. Tranche B2, term loan 6.8615% 7/6/14 (o)

16,000

13,200

Specialty Retail - 0.1%

GNC Corp. term loan 7.0352% 9/16/13 (o)

794

651

Toys 'R' US, Inc. term loan 6.2638% 12/9/08 (o)

18,725

16,946

17,597

Textiles, Apparel & Luxury Goods - 0.0%

Levi Strauss & Co. term loan 5.4313% 4/4/14 (o)

4,290

3,475

TOTAL CONSUMER DISCRETIONARY

115,957

CONSUMER STAPLES - 0.0%

Household Products - 0.0%

KIK Custom Products, Inc. Tranche 2LN, term loan 10.2025% 11/30/14 (o)

12,000

4,200

ENERGY - 0.1%

Energy Equipment & Services - 0.0%

Express Energy Services LLC term loan 8.33% 2/23/13 (o)

9,928

9,134

Floating Rate Loans - continued

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - 0.1%

Antero Resources Corp. Tranche 2LN, term loan 9.33% 4/12/14 (o)

$ 11,000

$ 10,010

Coffeyville Resources LLC:

Credit-Linked Deposit 7.9788% 12/28/10 (o)

786

731

Tranche D, term loan 7.9818% 12/28/13 (o)

2,559

2,379

SandRidge Energy, Inc. term loan 8.625% 4/1/15 (o)

6,610

6,379

Venoco, Inc. Tranche 2LN, term loan 7.125% 5/7/14 (o)

610

525

20,024

TOTAL ENERGY

29,158

FINANCIALS - 0.1%

Consumer Finance - 0.1%

DaimlerChrysler Financial Services:

Tranche 1LN, term loan 9% 8/3/12 (o)

1,855

1,596

Tranche 2LN, term loan 11.5% 8/3/13 (o)

20,725

15,544

17,140

Diversified Financial Services - 0.0%

CCO Holdings, LLC Tranche 3LN, term loan 7.3425% 9/6/14 (o)

7,000

5,600

LandSource Communities Development LLC Tranche 2LN, term loan 9.5% 2/27/14 (o)

1,120

336

MGM Holdings II, Inc. Tranche B, term loan 8.1075% 4/8/12 (o)

2,535

2,079

Tempus Public Foundation Generation Holdings LLC Tranche 2LN, term loan 9.08% 12/15/14 (o)

10,000

8,700

16,715

TOTAL FINANCIALS

33,855

HEALTH CARE - 0.3%

Health Care Equipment & Supplies - 0.0%

Fenwal, Inc. Tranche 2LN, term loan 8.335% 8/28/14 (o)

9,000

7,200

Health Care Providers & Services - 0.2%

Concentra Operating Corp. Tranche 2LN, term loan 10.33% 6/25/15 (o)

15,000

10,875

Genoa Healthcare Group LLC Tranche 2, term loan 12.8613% 2/4/13 (o)

2,500

2,200

Floating Rate Loans - continued

Principal Amount (000s)

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

Golden Gate National Senior Care LLC Tranche 2, term loan 10.8719% 9/14/11 (o)

$ 10,000

$ 9,000

Renal Advantage, Inc. Tranche B, term loan 7.4663% 9/30/12 (o)

225

199

Rural/Metro Corp.:

Credit-Linked Deposit 5.2% 3/4/11 (o)

2,285

2,125

term loan 7.9133% 3/4/11 (o)

4,215

3,920

Sheridan Healthcare, Inc. Tranche 2LN, term loan 9.805% 6/15/15 (o)

12,500

10,625

38,944

Pharmaceuticals - 0.1%

Graceway Pharmaceuticals LLC Tranche B 2LN, term loan 11.33% 5/3/13 (o)

15,000

12,150

TOTAL HEALTH CARE

58,294

INDUSTRIALS - 0.0%

Aerospace & Defense - 0.0%

McKechnie Aerospace Holdings Ltd. Tranche 2LN, term loan 9.83% 5/11/15 pay-in-kind (o)

110

91

Airlines - 0.0%

Delta Air Lines, Inc. Tranche 2LN, term loan 8.0819% 4/30/14 (o)

876

727

Commercial Services & Supplies - 0.0%

Big Dumpster Merger Sub, Inc. (Wastequip, Inc.) Tranche B, term loan 7.08% 2/5/13 (o)

420

336

Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 9.2375% 2/7/15 (o)

985

778

1,114

Machinery - 0.0%

Dresser, Inc. Tranche 2LN, term loan 8.82% 5/4/15 pay-in-kind (o)

5,990

5,196

Navistar International Corp.:

term loan 6.5013% 1/19/12 (o)

352

299

Credit-Linked Deposit 6.8812% 1/19/12 (o)

128

114

5,609

TOTAL INDUSTRIALS

7,541

Floating Rate Loans - continued

Principal Amount (000s)

Value (000s)

INFORMATION TECHNOLOGY - 0.2%

Communications Equipment - 0.1%

IPC Systems, Inc. Tranche 2LN, term loan 10.0925% 5/31/15 (o)

$ 6,000

$ 4,380

SafeNet, Inc. Tranche 2LN, term loan 10.6269% 4/12/15 (o)

7,500

5,981

10,361

IT Services - 0.0%

SunGard Data Systems, Inc. term loan 5.1619% 2/28/14 (o)

426

396

Software - 0.1%

Kronos, Inc. Tranche 2LN, term loan 10.58% 6/11/15 (o)

33,085

24,814

Serena Software, Inc. term loan 7.175% 3/10/13 (o)

288

258

SS&C Technologies, Inc. term loan 6.83% 11/23/12 (o)

462

416

25,488

TOTAL INFORMATION TECHNOLOGY

36,245

MATERIALS - 0.0%

Chemicals - 0.0%

Solutia, Inc. term loan 8.5% 2/28/14 (o)

1,600

1,456

Paper & Forest Products - 0.0%

Boise Paper Holdings LLC Tranche 2LN, term loan 12.5% 2/22/15 (o)

9,005

8,375

TOTAL MATERIALS

9,831

TELECOMMUNICATION SERVICES - 0.2%

Diversified Telecommunication Services - 0.2%

Intelsat Bermuda Ltd. term loan 5.6438% 1/12/14 (o)

2,830

2,802

Intelsat Ltd. Tranche B, term loan 4.8938% 7/3/13 (o)

27,902

25,949

Paetec Communications, Inc. Tranche B, term loan 5.6219% 2/28/13 (o)

456

412

Wind Telecomunicazioni SpA term loan 11.2013% 12/12/11 pay-in-kind (o)

13,466

12,078

41,241

Wireless Telecommunication Services - 0.0%

Leap Wireless International, Inc. Tranche B, term loan 7.83% 6/16/13 (o)

3,771

3,582

TOTAL TELECOMMUNICATION SERVICES

44,823

Floating Rate Loans - continued

Principal Amount (000s)

Value (000s)

UTILITIES - 0.1%

Electric Utilities - 0.0%

Bicent Power LLC Tranche 2LN, term loan 8.83% 12/31/14 (o)

$ 810

$ 745

LS Power Acquisition Corp. Tranche 2LN, term loan 8.58% 11/1/14 (o)

5,141

5,038

5,783

Independent Power Producers & Energy Traders - 0.1%

Nebraska Energy, Inc. Tranche 2LN, term loan 9.4375% 5/1/14 (o)

11,280

8,460

TOTAL UTILITIES

14,243

TOTAL FLOATING RATE LOANS

(Cost $412,702)

354,147

Fixed-Income Funds - 15.3%

Shares

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

2,680,493

241,057

Fidelity 2-5 Year Duration Securitized Bond Central Fund (p)

3,461,518

322,302

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

10,745,415

1,077,335

Fidelity Mortgage Backed Securities Central Fund (p)

12,988,727

1,303,549

Fidelity Ultra-Short Central Fund (p)

7,016,563

601,951

TOTAL FIXED-INCOME FUNDS

(Cost $3,679,651)

3,546,194

Money Market Funds - 4.9%

Fidelity Cash Central Fund, 3.24% (b)

1,094,839,965

1,094,840

Fidelity Securities Lending Cash Central Fund, 3.25% (b)(d)

52,650,050

52,650

TOTAL MONEY MARKET FUNDS

(Cost $1,147,490)

1,147,490

Cash Equivalents - 5.2%

Maturity Amount (000s)

Value (000s)

Investments in repurchase agreements in a joint trading account at 3.18%, dated 2/29/08 due 3/3/08:

(Collateralized by U.S. Government Obligations) # (c)

$ 1,200,533

$ 1,200,215

(Collateralized by U.S. Government Obligations) #

8,759

8,757

TOTAL CASH EQUIVALENTS

(Cost $1,208,972)

1,208,972

TOTAL INVESTMENT PORTFOLIO - 106.8%

(Cost $23,247,519)

24,818,707

NET OTHER ASSETS - (6.8)%

(1,586,465)

NET ASSETS - 100%

$ 23,232,242

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

1,336 S&P 500 E-Mini Index Contracts

March 2008

$ 88,931

$ 87

The face value of futures purchased as a percentage of net assets - 0.4%

Swap Agreements

Notional Amount (000s)

Value (000s)

Credit Default Swaps

Receive from Citibank upon credit event of Bristol-Myers Squibb Co., par value of the notional amount of Bristol-Myers Squibb Co. 5.25% 8/15/13, and pay quarterly notional amount multiplied by .32%

Sept. 2017

$ 2,100

$ 39

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

Oct. 2034

4,600

(1,105)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay JPMorgan Chase, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (n)

Sept. 2037

$ 2,500

$ (1,863)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional amount (n)

Sept. 2037

13,300

(9,909)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (n)

Sept. 2037

10,900

(8,121)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Lehman Brothers, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (n)

Sept. 2037

16,500

(12,293)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Lehman Brothers, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (n)

Sept. 2037

4,500

(3,353)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Morgan Stanley, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (n)

Sept. 2037

10,900

(8,121)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (n)

Sept. 2037

10,600

(7,897)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (n)

Sept. 2037

$ 9,100

$ (6,780)

Receive monthly notional amount multiplied by 1.45% and pay UBS upon credit event of ACE Securities Corp., par value of the notional amount of ACE Securities Corp. Series 2006-NC2 Class M9, 7.03% 7/25/36

August 2036

8,500

(7,460)

Receive monthly notional amount multiplied by 2.37% and pay Bank of America upon credit event of JP Morgan Mortgage Acquisition Corp., par value of the notional amount of JP Morgan Mortgage Acquisition Corp. Series 2006-CW2 Class MV9, 7.1244% 8/25/36

Sept. 2036

4,600

(3,881)

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

Dec. 2034

1,880

(865)

Receive monthly notional amount multiplied by 2.87% and pay Bank of America upon credit event of Morgan Stanley ABS Capital I, Inc. Trust, par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Trust Series 2006-HE3 Class B3, 7.22% 4/25/36

May 2036

5,304

(4,637)

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

August 2035

2,700

(1,285)

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 3.05% and pay JPMorgan Chase, Inc. upon credit event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-7 Class M9, 7.13% 8/25/36

Sept. 2036

$ 4,600

$ (4,107)

Receive monthly notional amount multiplied by 3.12% and pay Bank of America upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2006-B Class M9, 7.23% 8/25/36

Sept. 2036

4,600

(4,158)

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

August 2036

2,700

(2,245)

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

Oct. 2036

2,700

(1,822)

TOTAL CREDIT DEFAULT SWAPS

122,584

(89,863)

Interest Rate Swaps

Receive quarterly a fixed rate equal to 4.898% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

July 2014

58,025

4,141

Receive semi-annually a fixed rate equal to 4.945% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank

March 2012

120,000

9,718

Receive semi-annually a fixed rate equal to 4.947% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

March 2012

100,000

8,101

Receive semi-annually a fixed rate equal to 5.15% and pay quarterly a floating rate based on 3-month LIBOR with Morgan Stanley, Inc.

Jan. 2012

100,000

7,696

Swap Agreements - continued

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps - continued

Receive semi-annually a fixed rate equal to 5.458% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

June 2017

$ 50,000

$ 5,166

Receive semi-annually a fixed rate equal to 5.53% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America

June 2012

70,000

6,635

Receive semi-annually a fixed rate equal to 5.61% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

June 2012

95,500

9,328

TOTAL INTEREST RATE SWAPS

593,525

50,785

Total Return Swaps

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Lehman Brothers, Inc.

May 2008

33,300

(1,830)

Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 15 basis points with Lehman Brothers, Inc.

May 2008

32,900

(1,260)

TOTAL TOTAL RETURN SWAPS

66,200

(3,090)

$ 782,309

$ (42,168)

Security Type Abbreviation

PIERS - Preferred Income Equity Redeemable Securities

Legend

(a) Non-income producing

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

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

(d) Investment made with cash collateral received from securities on loan.

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

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

(g) 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.

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

(i) Affiliated company

(j) 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 $421,110,000 or 1.8% of net assets.

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

(l) 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 $5,985,000.

(m) 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 $62,937,000.

(n) Represents a tradable index of credit default swaps on home equity asset-backed debt securities.

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

(p) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

(q) 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.

(r) 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 $65,000 or 0.0% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

BMP Sunstone Corp. warrants 8/21/12

8/17/07

$ 7

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$1,200,215,000 due 3/03/08 at 3.18%

Banc of America Securities LLC

$ 683,686

Bank of America, NA

427,303

Barclays Capital, Inc.

89,226

$ 1,200,215

$8,757,000 due 3/03/08 at 3.18%

BNP Paribas Securities Corp.

$ 3,246

Banc of America Securities LLC

2,428

Societe Generale, New York Branch

3,083

$ 8,757

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 8,340

Fidelity 2-5 Year Duration Securitized Bond Central Fund

10,241

Fidelity Cash Central Fund

12,082

Fidelity Corporate Bond 1-10 Year Central Fund

35,907

Fidelity Mortgage Backed Securities Central Fund

40,974

Fidelity Securities Lending Cash Central Fund

817

Fidelity Ultra-Short Central Fund

15,604

Total

$ 123,965

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

Fund
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value, end of period

% ownership, end of period

Fidelity 1-3 Year Duration Securitized Bond Central Fund

$ 364,865

$ 8,340

$ 114,128

$ 241,057

12.4%

Fidelity 2-5 Year Duration Securitized Bond Central Fund

387,841

10,241

59,968

322,302

9.8%

Fidelity Corporate Bond 1-10 Year Central Fund

1,297,361

95,926

333,789

1,077,335

14.0%

Fidelity Mortgage Backed Securities Central Fund

1,681,620

40,974

449,674

1,303,549

14.4%

Fidelity Ultra-Short Central Fund

599,599

236,584

175,256

601,951

8.6%

Total

$ 4,331,286

$ 392,065

$ 1,132,815

$ 3,546,194

Other Affiliated Issuers

An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliate
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

ULURU, Inc.

$ -

$ 16,024

$ -

$ -

$ 10,104

Other Information

The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited):

U.S. Government and U.S. Government Agency Obligations

17.3%

AAA,AA,A

6.8%

BBB

3.2%

BB

1.9%

B

4.1%

CCC,CC,C

2.5%

Not Rated

0.5%

Equities

61.7%

Short-Term Investments and
Net Other Assets

2.0%

100.0%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Percentages are adjusted for the effect of futures contracts, if applicable.

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

United States of America

86.7%

Bermuda

1.9%

Switzerland

1.5%

Australia

1.3%

United Kingdom

1.3%

Canada

1.1%

Others (individually less than 1%)

6.2%

100.0%

The information in the above tables is based on the combined investments of the Fund and its pro-rata shares of the investments of Fidelity's Fixed-Income Central Funds.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amount)

February 29, 2008

Assets

Investment in securities, at value (including securities loaned of $1,218,426 and repurchase agreements of $1,208,972) - See accompanying schedule:

Unaffiliated issuers (cost $18,404,354)

$ 20,114,919

Fidelity Central Funds (cost $4,827,141)

4,693,684

Other affiliated issuers (cost $16,024)

10,104

Total Investments (cost $23,247,519)

$ 24,818,707

Receivable for investments sold

148,057

Receivable for swap agreements

116

Receivable for fund shares sold

16,257

Dividends receivable

19,146

Interest receivable

69,308

Distributions receivable from Fidelity Central Funds

17,821

Prepaid expenses

68

Other receivables

2,335

Total assets

25,091,815

Liabilities

Payable to custodian bank

$ 4,030

Payable for investments purchased
Regular delivery

156,667

Delayed delivery

373,492

Payable for fund shares redeemed

15,044

Swap agreements, at value

42,168

Accrued management fee

7,957

Payable for daily variation on futures contracts

2,305

Other affiliated payables

3,758

Other payables and accrued expenses

1,287

Collateral on securities loaned, at value

1,252,865

Total liabilities

1,859,573

Net Assets

$ 23,232,242

Net Assets consist of:

Paid in capital

$ 21,197,339

Undistributed net investment income

126,247

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

363,863

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

1,544,793

Net Assets, for 1,303,237 shares outstanding

$ 23,232,242

Net Asset Value, offering price and redemption price per share ($23,232,242 ÷ 1,303,237 shares)

$ 17.83

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

Semiannual Report

Statement of Operations

Amounts in thousands

Six months ended February 29, 2008

Investment Income

Dividends

$ 133,557

Interest

162,718

Income from Fidelity Central Funds

123,965

Total income

420,240

Expenses

Management fee

$ 51,187

Transfer agent fees

21,975

Accounting and security lending fees

1,112

Custodian fees and expenses

211

Independent trustees' compensation

53

Registration fees

68

Audit

131

Legal

82

Interest

8

Miscellaneous

699

Total expenses before reductions

75,526

Expense reductions

(806)

74,720

Net investment income (loss)

345,520

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

1,151,772

Fidelity Central Funds

(26,694)

Foreign currency transactions

(287)

Futures contracts

7,244

Swap agreements

1,175

Total net realized gain (loss)

1,133,210

Change in net unrealized appreciation (depreciation) on:

Investment securities

(2,585,145)

Assets and liabilities in foreign currencies

47

Futures contracts

87

Swap agreements

(8,216)

Delayed delivery commitments

2,229

Total change in net unrealized appreciation (depreciation)

(2,590,998)

Net gain (loss)

(1,457,788)

Net increase (decrease) in net assets resulting from operations

$ (1,112,268)

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

Amounts in thousands

Six months ended February 29,
2008

Year ended
August 31,
2007

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 345,520

$ 749,916

Net realized gain (loss)

1,133,210

1,550,137

Change in net unrealized appreciation (depreciation)

(2,590,998)

607,149

Net increase (decrease) in net assets resulting
from operations

(1,112,268)

2,907,202

Distributions to shareholders from net investment income

(380,047)

(744,559)

Distributions to shareholders from net realized gain

(2,042,154)

(1,047,681)

Total distributions

(2,422,201)

(1,792,240)

Share transactions
Proceeds from sales of shares

1,050,441

3,003,924

Reinvestment of distributions

2,327,535

1,718,316

Cost of shares redeemed

(2,330,256)

(4,073,244)

Net increase (decrease) in net assets resulting from share transactions

1,047,720

648,996

Total increase (decrease) in net assets

(2,486,749)

1,763,958

Net Assets

Beginning of period

25,718,991

23,955,033

End of period (including undistributed net investment income of $126,247 and undistributed net investment income of $160,774, respectively)

$ 23,232,242

$ 25,718,991

Other Information

Shares

Sold

54,459

148,709

Issued in reinvestment of distributions

117,631

87,567

Redeemed

(121,067)

(200,797)

Net increase (decrease)

51,023

35,479

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

Semiannual Report

Financial Highlights

Six months ended
February 29,

Years ended
August 31,

2008

2007

2006 G

2006 J

2005 J

2004 J

2003 J

Selected Per-Share Data

Net asset value, beginning of period

$ 20.54

$ 19.69

$ 19.34

$ 19.13

$ 18.44

$ 16.96

$ 15.96

Income from Investment Operations

Net investment income (loss) D

.27

.59

.06

.55

.47

.45

.48

Net realized and unrealized gain (loss)

(1.06)

1.70

.29

.80

1.39

1.79

.99

Total from investment operations

(.79)

2.29

.35

1.35

1.86

2.24

1.47

Distributions from net investment income

(.30)

(.59)

-

(.55)

(.45)

(.46)

(.47)

Distributions from net realized gain

(1.62)

(.85)

-

(.59)

(.72)

(.30)

-

Total distributions

(1.92)

(1.44)

-

(1.14)

(1.17)

(.76)

(.47)

Net asset value, end of period

$ 17.83

$ 20.54

$ 19.69

$ 19.34

$ 19.13

$ 18.44

$ 16.96

Total Return B, C

(4.58)%

12.18%

1.81%

7.36%

10.51%

13.43%

9.45%

Ratios to Average Net Assets E, H

Expenses before reductions

.60% A

.60%

.63% A

.62%

.63%

.65%

.66%

Expenses net of fee waivers, if any

.60% A

.60%

.62% A

.62%

.63%

.65%

.66%

Expenses net of all reductions

.59% A

.59%

.62% A

.61%

.62%

.64%

.66%

Net investment income (loss)

2.74% A

2.91%

3.97% A

2.90%

2.53%

2.46%

3.03%

Supplemental Data

Net assets, end of period (in millions)

$ 23,232

$ 25,719

$ 23,955

$ 23,558

$ 24,276

$ 22,054

$ 19,611

Portfolio turnover rate F

121% A

70% I

78% A

44%

75%

67%

86%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the one month period ended August 31. The Fund changed its fiscal year end from July 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. I Portfolio turnover rate excludes securities received or delivered in-kind. J For the period ended July 31.

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

Semiannual Report

Notes to Financial Statements

For the period ended February 29, 2008

(Amounts in thousands except ratios)

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity 1-3 Year Duration Securitized Bond Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity 2-5 Year Duration Securitized Bond Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.

Repurchase Agreements

Restricted Securities

Swap Agreements

Semiannual Report

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment Manager

Investment Objective

Investment Practices

Fidelity Corporate Bond 1-10 Year Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity Mortgage Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.

Delayed Delivery & When Issued Securities

Mortgage Dollar Rolls

Repurchase Agreements

Swap Agreements

Fidelity Ultra-Short Central Fund

FIMM

Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities.

Futures

Repurchase Agreements

Restricted Securities

Swap Agreements

The Central Funds may have direct or indirect exposure to structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.

A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

Semiannual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies.

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

Security Valuation. Investments are valued and net asset value (NAV) per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices. 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.

When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. For example, when developments occur between the close of a market and the close of the NYSE that may materially affect the value of some or all of the securities, or when trading in a security is halted, those securities may be fair valued. Factors used in the determination of fair value may include monitoring news to identify significant market or security specific events such as changes in the value of U.S. securities markets, reviewing developments in foreign markets and evaluating the performance of ADRs, futures contracts and exchange-traded funds, and monitoring current market trading activity, interest rates, credit quality and default rates for debt instruments. Because the Fund's utilization of fair value pricing depends on market activity, the frequency with which fair value pricing is used cannot be predicted and may be utilized to a significant extent. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Actual prices received at disposition may differ.

Semiannual Report

3. Significant Accounting Policies - continued

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

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

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

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

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

Semiannual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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

Distributions are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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

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

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

Unrealized appreciation

$ 2,619,036

Unrealized depreciation

(1,121,554)

Net unrealized appreciation (depreciation)

$ 1,497,482

Cost for federal income tax purposes

$ 23,321,225

Semiannual Report

3. Significant Accounting Policies - continued

New Accounting Pronouncements. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and results in expanded disclosures about fair value measurements.

In addition, in March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for fiscal years beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the affect derivatives have on financial performance. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

4. Operating Policies.

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

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the

Semiannual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities - continued

Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Futures Contracts. The Fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

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

Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of

Semiannual Report

4. Operating Policies - continued

Loans and Other Direct Debt Instruments - continued

insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.

Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.

Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty.

Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value.

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation).

Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the

Semiannual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Swap Agreements - continued

underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."

Mortgage Dollar Rolls. The Fund may enter into dollar rolls in which the Fund sells mortgage-backed securities, realizing a gain or loss, and simultaneously agrees to repurchase substantially similar securities at a future date. In addition, the Fund may enter into reverse dollar rolls in which the Fund purchases and simultaneously agrees to sell substantially similar securities at a future date. During the period between the sale and repurchase in a dollar roll transaction, the Fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities that are permissible investments of the Fund. During the period between the purchase and subsequent sale in a reverse dollar roll transaction the Fund is entitled to interest and principal payments on the securities purchased. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $12,495,696 and $14,347,926, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .15% of the Fund's average net assets and a group fee rate that averaged .26% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .41% of the Fund's average net assets.

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC) an affiliate of FMR, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Prior to January 1, 2008, Fidelity Service Company, Inc. (FSC), also an affiliate of FMR was the Fund's transfer agent. For the period the transfer agent fees were equivalent to an annualized rate of .17% of average net assets.

Accounting and Security Lending Fees. FSC maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $86 for the period.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $32 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents and or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities.

Semiannual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

8. Security Lending - continued

Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Net income from lending portfolio securities during the period, presented in the Statement of Operations as a component of interest income, amounted to $1,973. Net income from Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $817.

9. Bank Borrowings.

The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. The average daily loan balance during the period for which loans were outstanding amounted to $21,596. The weighted average interest rate was 4.67%. The interest expense amounted to $8 under the bank borrowing program. At period end, there were no bank borrowings outstanding.

10. Expense Reductions.

Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $263 for the period. In addition, through arrangements with the Fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody and transfer agent expenses by $24 and $519, respectively.

11. Other.

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

Semiannual Report

11. Other - continued

In December 2006, the Independent Trustees, with the assistance of independent counsel, completed an investigation regarding gifts, gratuities and business entertainment provided by certain brokers to certain individuals who were employed on FMR's domestic equity trading desk during the period 2002 to 2004. The Independent Trustees and FMR agreed that, despite the absence of proof that the Fidelity mutual funds experienced diminished execution quality as a result of the improper receipt of gifts and business entertainment, the conduct at issue was serious and was worthy of redress. Accordingly, the Independent Trustees requested, and FMR agreed to make, a payment of $42 million plus accrued interest, which equaled approximately $7.3 million, to certain Fidelity mutual funds.

Subsequent to period end, the Trustees approved a method for allocating this payment among the funds and, in total, FMR paid the fund $606.

In a related administrative order dated March 5, 2008, the U.S. Securities and Exchange Commission ("SEC") announced a settlement with FMR and FMR Co., Inc. (an affiliate of FMR) involving the SEC's regulatory rules for investment advisers and the improper receipt of gifts, gratuities and business entertainment. Without admitting or denying the SEC's findings, FMR agreed to pay an $8 million civil penalty to the United States Treasury.

Semiannual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Puritan Trust and the Shareholders of Fidelity Puritan Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Puritan Fund (a fund of Fidelity Puritan Trust) at February 29, 2008, the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Puritan Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

April 25, 2008

Semiannual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)

Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555

Press

1   For mutual fund and brokerage trading.

2   For quotes.*

3   For account balances and holdings.

4   To review orders and mutual
fund activity.

5   To change your PIN.

*0   To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)

Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.

Semiannual Report

To Visit Fidelity

For directions and hours,
please call 1-800-544-9797.

Arizona

7001 West Ray Road
Chandler, AZ

15445 N. Scottsdale Road
Scottsdale, AZ

California

815 East Birch Street
Brea, CA

1411 Chapin Avenue
Burlingame, CA

851 East Hamilton Avenue
Campbell, CA

19200 Von Karman Avenue
Irvine, CA

601 Larkspur Landing Circle
Larkspur, CA

2000 Avenue of the Stars
Los Angeles, CA

27101 Puerta Real
Mission Viejo, CA

73-575 El Paseo
Palm Desert, CA

251 University Avenue
Palo Alto, CA

123 South Lake Avenue
Pasadena, CA

16656 Bernardo Ctr. Drive
Rancho Bernardo, CA

1220 Roseville Parkway
Roseville, CA

1740 Arden Way
Sacramento, CA

7676 Hazard Center Drive
San Diego, CA

11943 El Camino Real
San Diego, CA

8 Montgomery Street
San Francisco, CA

3793 State Street
Santa Barbara, CA

1200 Wilshire Boulevard
Santa Monica, CA

398 West El Camino Real
Sunnyvale, CA

111 South Westlake Blvd
Thousand Oaks, CA

21701 Hawthorne Boulevard
Torrance, CA

2001 North Main Street
Walnut Creek, CA

6326 Canoga Avenue
Woodland Hills, CA

Colorado

281 East Flatiron Circle
Broomfield, CO

1625 Broadway
Denver, CO

9185 Westview Road
Lone Tree, CO

Connecticut

48 West Putnam Avenue
Greenwich, CT

265 Church Street
New Haven, CT

300 Atlantic Street
Stamford, CT

29 South Main Street
West Hartford, CT

Delaware

400 Delaware Avenue
Wilmington, DE

Florida

175 East Altamonte Drive
Altamonte Springs, FL

4400 N. Federal Highway
Boca Raton, FL

121 Alhambra Plaza
Coral Gables, FL

2948 N. Federal Highway
Ft. Lauderdale, FL

4671 Town Center Parkway
Jacksonville, FL

8880 Tamiami Trail, North
Naples, FL

230 Royal Palm Way
Palm Beach, FL

3501 PGA Boulevard
Palm Beach Gardens, FL

3550 Tamiami Trail, South
Sarasota, FL

1502 N. Westshore Blvd.
Tampa, FL

2465 State Road 7
Wellington, FL

Georgia

3445 Peachtree Road, N.E.
Atlanta, GA

1000 Abernathy Road
Atlanta, GA

Illinois

One North LaSalle Street
Chicago, IL

401 North Michigan Avenue
Chicago, IL

One Skokie Valley Road
Highland Park, IL

1415 West 22nd Street
Oak Brook, IL

15105 S LaGrange Road
Orland Park, IL

1572 East Golf Road
Schaumburg, IL

Indiana

4729 East 82nd Street
Indianapolis, IN

8480 Keystone Crossing
Indianapolis, IN

Kansas

5400 College Boulevard
Overland Park, KS

Maine

Three Canal Plaza
Portland, ME

Maryland

7315 Wisconsin Avenue
Bethesda, MD

610 York Road
Towson, MD

Massachusetts

801 Boylston Street
Boston, MA

155 Congress Street
Boston, MA

300 Granite Street
Braintree, MA

44 Mall Road
Burlington, MA

238 Main Street
Cambridge, MA

200 Endicott Street
Danvers, MA

Semiannual Report

405 Cochituate Road
Framingham, MA

551 Boston Turnpike
Shrewsbury, MA

Michigan

500 E. Eisenhower Pkwy.
Ann Arbor, MI

280 Old N. Woodward Ave.
Birmingham, MI

30200 Northwestern Hwy.
Farmington Hills, MI

43420 Grand River Avenue
Novi, MI

Minnesota

7740 France Avenue South
Edina, MN

8342 3rd Street North
Oakdale, MN

Missouri

1524 South Lindbergh Blvd.
St. Louis, MO

Nevada

2225 Village Walk Drive
Henderson, NV

New Jersey

501 Route 73 South
Marlton, NJ

150 Essex Street
Millburn, NJ

35 Morris Street
Morristown, NJ

396 Route 17, North
Paramus, NJ

3518 Route 1 North
Princeton, NJ

530 Broad Street
Shrewsbury, NJ

New Mexico

2261 Q Street NE
Albuquerque, NM

New York

1130 Franklin Avenue
Garden City, NY

37 West Jericho Turnpike
Huntington Station, NY

1271 Avenue of the Americas
New York, NY

980 Madison Avenue
New York, NY

61 Broadway
New York, NY

350 Park Avenue
New York, NY

200 Fifth Avenue
New York, NY

733 Third Avenue
New York, NY

11 Penn Plaza
New York, NY

2070 Broadway
New York, NY

1075 Northern Blvd.
Roslyn, NY

799 Central Park Avenue
Scarsdale, NY

North Carolina

4611 Sharon Road
Charlotte, NC

7011 Fayetteville Road
Durham, NC

Ohio

3805 Edwards Road
Cincinnati, OH

1324 Polaris Parkway
Columbus, OH

1800 Crocker Road
Westlake, OH

28699 Chagrin Boulevard
Woodmere Village, OH

Oregon

7493 SW Bridgeport Road
Tigard, OR

Pennsylvania

600 West DeKalb Pike
King of Prussia, PA

1735 Market Street
Philadelphia, PA

12001 Perry Highway
Wexford, PA

Rhode Island

10 Memorial Boulevard
Providence, RI

Tennessee

3018 Peoples Street
Johnson City, TN

7628 West Farmington Blvd.
Germantown, TN

2035 Mallory Lane
Franklin, TN

Texas

10000 Research Boulevard
Austin, TX

4001 Northwest Parkway
Dallas, TX

12532 Memorial Drive
Houston, TX

2701 Drexel Drive
Houston, TX

6560 Fannin Street
Houston, TX

1701 Lake Robbins Drive
The Woodlands, TX

6500 N. MacArthur Blvd.
Irving, TX

6005 West Park Boulevard
Plano, TX

14100 San Pedro
San Antonio, TX

1576 East Southlake Blvd.
Southlake, TX

Utah

279 West South Temple
Salt Lake City, UT

Virginia

1861 International Drive
McLean, VA

Washington

10500 NE 8th Street
Bellevue, WA

1518 6th Avenue
Seattle, WA

Washington, DC

1900 K Street, N.W.
Washington, DC

Wisconsin

16020 West Bluemound Road
Brookfield, WI

Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Research & Analysis Company

Fidelity Management & Research
(U.K.) Inc.

Fidelity Investments Money Management, Inc.

Fidelity Investments Japan Limited

Fidelity International Investment Advisers

Fidelity International Investment Advisers (U.K.) Limited

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JP Morgan Chase Bank

New York, NY

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

Exchanges/Redemptions
and Account Assistance 1-800-544-6666

Product Information 1-800-544-6666

Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)

TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)

Fidelity Automated Service
Telephone (FAST®) (automated graphic)    1-800-544-5555

(automated graphic)    Automated line for quickest service

PUR-USAN-0408
1.789289.104

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

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Puritan Trust's Board of Trustees.

Item 11. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Puritan Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 12. Exhibits

(a)

(1)

Not applicable.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Puritan Trust

By:

/s/Kimberley Monasterio

Kimberley Monasterio

President and Treasurer

Date:

May 7, 2008

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Kimberley Monasterio

Kimberley Monasterio

President and Treasurer

Date:

May 7, 2008

By:

/s/Joseph B. Hollis

Joseph B. Hollis

Chief Financial Officer

Date:

May 7, 2008