N-CSR 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)

Scott C. Goebel, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:

August 31

 

 

Date of reporting period:

August 31, 2008

Item 1. Reports to Stockholders

Fidelity®
Balanced
Fund -

Balanced
Class K

Annual Report

August 31, 2008

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion

<Click Here>

The managers' review of fund performance, strategy and outlook.

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>

 

Trustees and Officers

<Click Here>

 

Distributions

<Click Here>

 

Proxy Voting Results

<Click Here>

 

Board Approval of Investment Advisory Contracts and Management Fees

<Click Here>

 

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

Annual Report

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.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Most domestic and international equity indexes continued to dwell in negative territory, pressured by unfavorable
credit-market conditions, particularly in the United States. On the upside,
investment-grade bonds and money markets generally have served investors well so far this year. 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

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended August 31, 2008

Past 1
year

Past 5
years

Past 10
years

Balanced

-7.28%

8.37%

8.38%

Class K A

-7.21%

8.39%

8.39%

A The initial offering of Class K shares took place on May 9, 2008. Returns prior to May 9, 2008 are those of Balanced, the original class of the fund.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Balanced, a class of the fund, on August 31, 1998. The chart shows how the value of your investment would have changed, and also shows how the Standard & Poor's 500SM Index (S&P 500®) performed over the same period.


fid49889

Annual Report

Management's Discussion of Fund Performance

Comments from Lawrence Rakers, who managed the equity subportfolio of Fidelity® Balanced Fund for the period covered by this report, and George Fischer, manager of the investment-grade bond subportfolio

Riskier investments such as stocks and high-yield debt faltered during the year ending August 31, 2008, as a meltdown in the subprime mortgage market led to a broader credit crisis. In response, investors fled to investment-grade bonds, particularly Treasuries. The U.S. equity market, as measured by the Standard & Poor's 500SM Index, fell 11.14%. Stocks opened the period with a two-month winning streak, but subsequently fell. Meanwhile, energy prices skyrocketed and pressured consumer spending - a major driver of economic growth. As inflation fears soared, the S&P 500® lost nearly 8.5% in June alone. Other major equity benchmarks struggled as well during the year, with the Dow Jones Industrial AverageSM falling 11.35% and the NASDAQ Composite® Index dropping 8.13%. Investment-grade bonds, as measured by the Lehman Brothers® U.S. Aggregate Index, rose 5.86%.

Balanced returned -7.28% during the year, versus -5.10% for the Fidelity Balanced Hybrid Composite Index. (For specific results for the fund's new Class K shares, please see the performance section of this report.) Overweighting stocks and underweighting bonds detracted. Security selection in investment-grade bonds also hurt, mainly due to exposure - both directly and indirectly through Fidelity fixed-income central funds - to asset-backed securities backed by subprime mortgages. A small allocation to high-yield bonds detracted as well. Within the equity subportfolio, which modestly outperformed its Russell blended benchmark, our overall positioning in energy helped, as did favorable picks in materials and consumer discretionary. National Oilwell Varco, fertilizer maker Mosaic, Petrohawk Energy and an underweighting in General Electric added value. Conversely, our positioning in consumer staples and poor picks in financials and utilities hurt. Lehman Brothers, Fannie Mae, Freddie Mac - which I sold - and Valero Energy all detracted. In bonds, underweighting traditional mortgage-backed securities, an out-of-index exposure to Treasury Inflation-Protected Securities (TIPS) and our yield-curve positioning helped.

Note to shareholders: Robert Stansky, head of Fidelity's Multi-Manager Group, will become co-portfolio manager on September 9, 2008, replacing Larry Rakers. On October 1, 2008, the equity portion of the Composite benchmark will change from the Russell 3000® Value/Russell 3000 mix to the S&P 500 to reflect a new "core" approach to managing the equity subportfolio.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual 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 actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2008 to August 31, 2008) for Balanced and for the entire period (May 9, 2008 to August 31, 2008) for Class K. The hypothetical expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2008 to August 31, 2008).

Actual Expenses

The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. 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 for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. 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.

Annual Report

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.

 

Beginning
Account Value

Ending
Account Value
August 31, 2008

Expenses Paid
During Period

Balanced

 

 

 

Actual

$ 1,000.00

$ 967.20

$ 3.02B

HypotheticalA

$ 1,000.00

$ 1,022.07

$ 3.10C

Class K

 

 

 

Actual

$ 1,000.00

$ 932.60

$ 1.46B

HypotheticalA

$ 1,000.00

$ 1,022.72

$ 2.44C

A 5% return per year before expenses

B Actual expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period) for Balanced and multiplied by 115/366 (to reflect the period May 9, 2008 to August 31, 2008) for Class K.

C Hypothetical expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

Annualized
Expense Ratio

Balanced

.61%

Class K

.48%

Annual Report

Investment Changes (Unaudited)

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 non-money market Fidelity Central Fund.

Top Five Stocks as of August 31, 2008

 

% of fund's
net assets

% of fund's net assets
6 months ago

National Oilwell Varco, Inc.

2.8

2.5

AT&T, Inc.

1.2

1.4

Bank of America Corp.

1.0

0.9

Valero Energy Corp.

0.9

1.3

JPMorgan Chase & Co.

0.8

1.0

 

6.7

 

Top Five Bond Issuers as of August 31, 2008

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

Fannie Mae

8.8

8.5

U.S. Treasury Obligations

4.9

9.3

Freddie Mac

3.4

4.2

Government National Mortgage Association

2.3

1.5

General Electric Capital Corp.

0.2

0.2

 

19.6

 

Top Five Market Sectors as of August 31, 2008

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

15.9

16.4

Energy

11.8

11.6

Information Technology

9.2

8.5

Industrials

8.6

8.4

Consumer Discretionary

7.2

6.1

Asset Allocation (% of fund's net assets)

As of August 31, 2008 *

As of February 29, 2008 **

fid49891

Stocks and Investment Companies 64.5%

 

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Stocks and Investment Companies 63.9%

 

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Bonds 39.1%

 

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Bonds 41.4%

 

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Convertible
Securities 0.8%

 

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Convertible
Securities 0.5%

 

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Other Investments 0.1%

 

fid49900

Other Investments 0.2%

 

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

 

fid49903

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

 


fid49906

* Foreign investments

10.4%

 

** Foreign investments

11.3%

 

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

Percentages are adjusted for the effect of futures and swaps 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.

Annual Report

Investments August 31, 2008

Showing Percentage of Net Assets

Common Stocks - 64.4%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 6.2%

Auto Components - 0.3%

ArvinMeritor, Inc.

332,800

$ 4,995

BorgWarner, Inc.

213,900

8,845

Gentex Corp.

440,900

7,024

Johnson Controls, Inc.

1,185,400

36,653

The Goodyear Tire & Rubber Co. (a)

389,400

7,636

TRW Automotive Holdings Corp. (a)

179,600

3,445

 

68,598

Automobiles - 0.3%

Bajaj Auto Ltd.

90,005

1,207

Daimler AG

284,300

16,597

Fiat SpA

1,024,800

15,914

Harley-Davidson, Inc.

196,650

7,823

Renault SA

214,700

18,037

Winnebago Industries, Inc.

325,142

3,690

 

63,268

Distributors - 0.0%

LKQ Corp. (a)

205,200

3,843

Diversified Consumer Services - 0.6%

Carriage Services, Inc. Class A (a)

685,453

2,982

H&R Block, Inc.

934,100

23,857

Hillenbrand, Inc.

2,170,293

51,610

Navitas Ltd.

1,507,420

3,080

Princeton Review, Inc. (a)

760,612

5,902

Regis Corp.

969,534

26,623

Service Corp. International

1,993,900

20,358

Stewart Enterprises, Inc. Class A

3,226,156

30,197

 

164,609

Hotels, Restaurants & Leisure - 0.6%

Brinker International, Inc.

1,100,700

20,825

Darden Restaurants, Inc.

409,600

11,997

DineEquity, Inc.

527,386

10,474

McCormick & Schmick's Seafood Restaurants (a)

401,361

3,937

McDonald's Corp.

791,655

49,122

Ruth's Chris Steak House, Inc. (a)(d)

954,302

4,342

Sonic Corp. (a)

568,900

8,243

Vail Resorts, Inc. (a)(d)

476,400

20,957

WMS Industries, Inc. (a)(d)

301,250

10,122

 

140,019

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Household Durables - 0.6%

Beazer Homes USA, Inc. (d)

818,600

$ 5,697

Black & Decker Corp.

339,500

21,473

Centex Corp.

371,700

6,029

Jarden Corp. (a)

387,600

9,950

La-Z-Boy, Inc.

449,600

3,403

Newell Rubbermaid, Inc.

873,200

15,805

Pulte Homes, Inc.

937,500

13,603

Snap-On, Inc.

340,800

19,432

Standard Pacific Corp. (d)(e)

4,630,520

14,818

Stanley Furniture Co., Inc.

240,760

1,986

The Stanley Works

210,500

10,093

Whirlpool Corp.

458,300

37,287

 

159,576

Leisure Equipment & Products - 0.3%

Eastman Kodak Co.

2,735,600

44,289

Hasbro, Inc.

557,700

20,858

 

65,147

Media - 1.6%

Aegis Group PLC

1,915,000

3,909

Cinemark Holdings, Inc.

759,300

11,154

Comcast Corp.:

Class A

1,752,600

37,120

Class A (special) (non-vtg.)

792,270

16,749

Grupo Televisa SA de CV (CPO) sponsored ADR

918,000

21,279

Informa PLC

778,200

6,038

Lamar Advertising Co. Class A (a)(d)

260,200

9,666

Liberty Global, Inc. Class A (a)(d)

503,607

17,717

Liberty Media Corp. - Entertainment Class A (a)

324,300

9,012

Live Nation, Inc. (a)(d)

3,080,862

49,448

News Corp. Class A

1,596,500

22,606

Scripps Networks Interactive, Inc. Class A

975,924

40,540

The DIRECTV Group, Inc. (a)

733,400

20,689

Time Warner, Inc.

6,822,950

111,692

Valassis Communications, Inc. (a)(d)

1,552,366

14,608

Virgin Media, Inc.

1,276,300

14,550

Vivendi

204,803

7,944

WPP Group PLC

940,600

9,153

 

423,874

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Multiline Retail - 0.1%

Target Corp.

491,000

$ 26,033

Tuesday Morning Corp. (a)

993,446

4,182

 

30,215

Specialty Retail - 1.7%

Advance Auto Parts, Inc.

754,500

32,474

AnnTaylor Stores Corp. (a)

1,174,700

28,522

Asbury Automotive Group, Inc.

794,977

9,651

bebe Stores, Inc.

1,420,250

13,776

Collective Brands, Inc. (a)(d)

2,266,597

32,911

Foot Locker, Inc. (d)

1,628,600

26,530

Group 1 Automotive, Inc.

109,300

2,313

Home Depot, Inc.

703,400

19,076

Lowe's Companies, Inc.

318,600

7,850

MarineMax, Inc. (a)(d)(e)

1,040,068

8,237

OfficeMax, Inc.

1,036,415

12,686

PetSmart, Inc.

988,923

26,671

Ross Stores, Inc.

922,421

37,091

Sherwin-Williams Co.

337,700

19,772

Sonic Automotive, Inc. Class A (sub. vtg.)

710,400

7,644

Staples, Inc.

2,102,366

50,877

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

836,921

35,109

The Game Group PLC

1,667,902

8,199

The Men's Wearhouse, Inc.

1,158,711

25,376

Tween Brands, Inc. (a)(e)

2,312,565

25,114

Williams-Sonoma, Inc.

300,600

5,318

 

435,197

Textiles, Apparel & Luxury Goods - 0.1%

Adidas-Salomon AG

117,100

6,880

American Apparel, Inc. (a)

294,300

2,634

Coach, Inc. (a)

555,600

16,107

Deckers Outdoor Corp. (a)

13,700

1,558

NIKE, Inc. Class B

27,400

1,661

Polo Ralph Lauren Corp. Class A

27,300

2,072

VF Corp.

77,500

6,142

 

37,054

TOTAL CONSUMER DISCRETIONARY

1,591,400

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - 3.4%

Beverages - 0.0%

Cott Corp. (a)

2,978,000

$ 5,665

The Coca-Cola Co.

100,100

5,212

 

10,877

Food & Staples Retailing - 0.8%

CVS Caremark Corp.

2,245,846

82,198

Rite Aid Corp. (a)

4,096,200

4,956

Safeway, Inc.

195,700

5,155

SUPERVALU, Inc.

924,970

21,450

Sysco Corp.

692,700

22,049

The Pantry, Inc. (a)(e)

1,717,356

31,496

Winn-Dixie Stores, Inc. (a)(d)

2,649,386

37,409

 

204,713

Food Products - 1.0%

Bunge Ltd.

238,700

21,330

Campbell Soup Co.

264,200

9,725

Cermaq ASA

1,141,100

11,047

Corn Products International, Inc.

881,965

39,503

Flowers Foods, Inc.

45,600

1,206

Global Bio-Chem Technology Group Co. Ltd.

20,198,000

7,686

Leroy Seafood Group ASA (d)

916,150

13,557

Lighthouse Caledonia ASA (e)

2,319,916

2,310

Marine Harvest ASA (a)(d)

73,691,900

51,635

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

361,200

14,611

Nestle SA (Reg.)

398,621

17,593

Ralcorp Holdings, Inc. (a)

113,800

6,987

Smithfield Foods, Inc. (a)(d)

1,369,400

27,539

TreeHouse Foods, Inc. (a)

155,100

4,306

Tyson Foods, Inc. Class A

2,074,000

30,114

 

259,149

Household Products - 0.9%

Central Garden & Pet Co. (a)(e)

1,757,820

9,861

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

2,311,755

12,252

Clorox Co.

127,400

7,529

Energizer Holdings, Inc. (a)

384,200

32,634

Kimberly-Clark Corp.

227,500

14,032

Procter & Gamble Co.

2,090,832

145,877

 

222,185

Personal Products - 0.4%

Avon Products, Inc.

1,511,100

64,720

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Personal Products - continued

Dabur India Ltd.

777,540

$ 1,621

Estee Lauder Companies, Inc. Class A

476,400

23,710

 

90,051

Tobacco - 0.3%

Imperial Tobacco Group PLC

471,900

15,583

Philip Morris International, Inc.

1,189,865

63,896

 

79,479

TOTAL CONSUMER STAPLES

866,454

ENERGY - 10.8%

Energy Equipment & Services - 5.3%

AMEC PLC

829,800

12,778

BJ Services Co.

1,246,000

33,455

ENGlobal Corp. (a)

391,617

6,779

ENSCO International, Inc.

192,443

13,044

Exterran Holdings, Inc. (a)

436,312

19,944

Global Industries Ltd. (a)

1,957,488

18,929

Halliburton Co.

794,200

34,897

Helix Energy Solutions Group, Inc. (a)

454,200

13,976

Hercules Offshore, Inc. (a)

204,800

4,520

Nabors Industries Ltd. (a)

438,800

15,621

National Oilwell Varco, Inc. (a)

9,764,304

719,922

Noble Corp.

295,600

14,866

Oceaneering International, Inc. (a)

174,900

10,916

Parker Drilling Co. (a)

3,776,243

35,006

Petroleum Geo-Services ASA (a)

1,064,600

23,017

Pride International, Inc. (a)

2,233,555

85,791

Smith International, Inc.

1,237,200

86,233

Superior Energy Services, Inc. (a)

727,300

34,212

Tidewater, Inc. (d)

693,233

42,058

Weatherford International Ltd. (a)

2,989,852

115,348

 

1,341,312

Oil, Gas & Consumable Fuels - 5.5%

Alpha Natural Resources, Inc. (a)

158,332

15,691

Arch Coal, Inc.

474,600

25,742

Aurora Oil & Gas Corp. (a)(e)

6,359,116

1,272

Boardwalk Pipeline Partners, LP

449,149

11,036

Cabot Oil & Gas Corp.

659,300

29,299

Canadian Natural Resources Ltd.

322,800

27,552

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Chesapeake Energy Corp.

2,656,014

$ 128,551

Comstock Resources, Inc. (a)

290,300

18,852

Concho Resources, Inc.

379,600

12,402

Concho Resources, Inc. (n)

607,780

17,871

Denbury Resources, Inc. (a)

689,300

17,157

El Paso Pipeline Partners LP

374,100

6,910

Ellora Energy, Inc. (a)(f)

1,529,700

15,819

Encore Acquisition Co. (a)

257,966

13,301

Energy Transfer Equity LP

601,900

17,365

ENI SpA

178,200

5,780

Evergreen Energy, Inc. (a)(d)

3,512,366

6,322

Forest Oil Corp. (a)

442,200

25,170

Foundation Coal Holdings, Inc.

612,800

36,247

GMX Resources, Inc. (a)(d)

136,900

9,287

Goodrich Petroleum Corp. (a)(d)

768,100

39,058

Hess Corp.

544,800

57,046

James River Coal Co. (a)(d)

356,268

15,024

Kodiak Oil & Gas Corp. (a)

2,644,330

7,669

McMoRan Exploration Co. (a)(d)

775,438

21,208

Nexen, Inc.

1,076,900

33,749

OAO Gazprom sponsored ADR

355,419

13,808

OPTI Canada, Inc. (a)

1,269,500

23,012

Peabody Energy Corp.

275,600

17,349

Penn Virginia Corp.

218,500

14,460

Petrohawk Energy Corp. (a)(d)

4,395,205

152,118

Plains Exploration & Production Co. (a)

728,900

39,288

Quicksilver Gas Services LP

92,900

1,983

Quicksilver Resources, Inc. (a)

1,239,500

29,984

Range Resources Corp.

1,341,260

62,261

Reliance Industries Ltd.

196,267

9,557

Southwestern Energy Co. (a)

1,470,826

56,436

Sunoco, Inc.

933,700

41,438

Talisman Energy, Inc.

227,500

4,021

Tesoro Corp.

409,400

7,594

Ultra Petroleum Corp. (a)

748,000

50,976

Uranium One, Inc. (a)

685,400

2,937

Valero Energy Corp.

6,777,762

235,595

Western Gas Partners LP

82,200

1,255

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Western Refining, Inc. (d)

1,951,674

$ 17,643

Williams Companies, Inc.

418,200

12,918

 

1,410,013

TOTAL ENERGY

2,751,325

FINANCIALS - 12.0%

Capital Markets - 2.7%

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

314,300

29,928

Ameriprise Financial, Inc.

398,640

17,919

Bank of New York Mellon Corp.

3,111,058

107,674

Bank Sarasin & Co. Ltd. Series B (Reg.)

410,575

17,710

Charles Schwab Corp.

615,900

14,775

Cohen & Steers, Inc. (d)

305,200

8,881

EFG International

484,779

14,748

Fortress Investment Group LLC (d)

1,581,303

15,892

Franklin Resources, Inc.

612,437

64,000

GLG Partners, Inc. (d)

611,600

5,070

Goldman Sachs Group, Inc.

500,010

81,987

Julius Baer Holding AG

555,630

33,957

Legg Mason, Inc.

392,300

17,469

Lehman Brothers Holdings, Inc.

3,312,908

53,305

Merrill Lynch & Co., Inc.

1,418,400

40,212

Morgan Stanley

839,300

34,269

State Street Corp.

840,756

56,894

T. Rowe Price Group, Inc.

984,708

58,452

The Blackstone Group LP

1,002,300

17,921

 

691,063

Commercial Banks - 1.7%

Associated Banc-Corp.

414,700

7,257

Banco do Brasil SA

210,000

3,057

Capitol Bancorp Ltd. (d)(e)

1,106,586

17,008

Center Financial Corp., California

461,248

6,213

Fifth Third Bancorp

5,941,441

93,756

Huntington Bancshares, Inc.

765,600

5,604

M&T Bank Corp.

128,100

9,139

Mitsubishi UFJ Financial Group, Inc.

2,366,600

17,990

PacWest Bancorp

259,700

5,890

PNC Financial Services Group, Inc.

685,400

49,315

Prosperity Bancshares, Inc. (d)

294,600

9,418

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Sterling Financial Corp., Washington

1,015,545

$ 10,348

Sumitomo Mitsui Financial Group, Inc.

2,914

17,643

UCBH Holdings, Inc.

3,424,006

20,030

Union Bank of India

250,308

850

Wachovia Corp.

8,933,386

141,952

Wilshire Bancorp, Inc.

182,849

2,481

Wintrust Financial Corp.

538,697

12,525

 

430,476

Consumer Finance - 0.4%

ACOM Co. Ltd.

614,390

17,113

American Express Co.

302,600

12,007

Capital One Financial Corp. (d)

766,400

33,829

Discover Financial Services

1,007,400

16,572

Promise Co. Ltd. (d)

737,300

16,525

SLM Corp. (a)

503,300

8,309

 

104,355

Diversified Financial Services - 2.8%

Bajaj Holdings & Investment Ltd.

248,193

2,766

Bank of America Corp.

8,240,662

256,614

BM&F BOVESPA SA

3,303,981

25,297

CIT Group, Inc.

2,972,520

30,647

CME Group, Inc.

95,853

32,147

Deutsche Boerse AG

141,600

13,464

IntercontinentalExchange, Inc. (a)

191,700

16,875

JPMorgan Chase & Co.

5,120,000

197,069

Kotak Mahindra Bank Ltd. sponsored GDR (f)

170,876

2,354

Onex Corp. (sub. vtg.)

225,400

6,060

PICO Holdings, Inc. (a)

2,541,128

121,059

 

704,352

Insurance - 1.8%

ACE Ltd.

296,200

15,583

Admiral Group PLC

329,900

5,841

AMBAC Financial Group, Inc.

1,383,100

9,903

American International Group, Inc.

7,207,523

154,890

Argo Group International Holdings, Ltd. (a)

17,400

654

Assured Guaranty Ltd.

159,300

2,590

Hartford Financial Services Group, Inc.

600,400

37,873

IPC Holdings Ltd.

256,100

8,111

LandAmerica Financial Group, Inc. (d)(e)

986,726

16,912

Maiden Holdings Ltd. (f)

954,900

6,226

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Insurance - continued

MBIA, Inc. (d)

1,685,543

$ 27,340

MetLife, Inc.

550,000

29,810

Montpelier Re Holdings Ltd.

661,100

10,703

National Financial Partners Corp. (d)

600,120

12,104

Principal Financial Group, Inc.

628,300

28,770

Prudential Financial, Inc.

479,900

35,373

T&D Holdings, Inc.

331,400

17,390

XL Capital Ltd. Class A

1,046,700

21,039

 

441,112

Real Estate Investment Trusts - 1.5%

Alexandria Real Estate Equities, Inc.

185,800

20,013

Annaly Capital Management, Inc.

2,236,651

33,460

CapitalSource, Inc. (d)

3,313,800

41,688

Chimera Investment Corp.

365,506

2,321

Developers Diversified Realty Corp.

818,400

27,425

Duke Realty LP

790,700

19,791

General Growth Properties, Inc.

1,254,500

32,529

HCP, Inc.

410,100

14,854

Healthcare Realty Trust, Inc.

499,200

14,312

Highwoods Properties, Inc. (SBI)

415,800

15,081

Home Properties, Inc.

101,700

5,365

MFA Mortgage Investments, Inc.

1,825,700

12,415

ProLogis Trust

241,100

10,382

Public Storage

204,300

18,044

Senior Housing Properties Trust (SBI)

361,300

7,833

Simon Property Group, Inc.

95,700

9,080

SL Green Realty Corp.

263,890

22,695

UDR, Inc.

1,358,176

33,656

Vornado Realty Trust

308,800

30,713

 

371,657

Real Estate Management & Development - 0.3%

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

2,460,241

32,155

Forestar Real Estate Group, Inc. (a)

813,484

16,400

Jones Lang LaSalle, Inc. (d)

378,100

18,829

Norwegian Property ASA

502,500

1,890

The St. Joe Co. (d)

370,971

13,826

 

83,100

Thrifts & Mortgage Finance - 0.8%

Fannie Mae

5,024,220

34,366

Hudson City Bancorp, Inc.

1,392,900

25,685

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

MGIC Investment Corp.

1,451,367

$ 12,206

New York Community Bancorp, Inc.

1,234,200

20,352

People's United Financial, Inc.

2,387,218

42,779

Washington Federal, Inc.

1,304,216

22,472

Washington Mutual, Inc.

12,591,100

50,994

 

208,854

TOTAL FINANCIALS

3,034,969

HEALTH CARE - 6.0%

Biotechnology - 1.3%

Amgen, Inc. (a)

1,851,500

116,367

Biogen Idec, Inc. (a)

470,300

23,952

Cephalon, Inc. (a)

708,430

54,280

Cubist Pharmaceuticals, Inc. (a)

749,690

16,516

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

34

0

DUSA Pharmaceuticals, Inc. (a)(e)

1,753,329

2,911

Genentech, Inc. (a)

278,036

27,456

Gilead Sciences, Inc. (a)

487,200

25,666

Myriad Genetics, Inc. (a)

255,296

17,411

Omrix Biopharmaceuticals, Inc. (a)

36,400

837

Theravance, Inc. (a)(d)

2,079,761

28,347

Vertex Pharmaceuticals, Inc. (a)

900,800

24,195

 

337,938

Health Care Equipment & Supplies - 1.4%

Alcon, Inc.

223,200

38,009

American Medical Systems Holdings, Inc. (a)

2,703,300

48,119

Baxter International, Inc.

173,600

11,763

Boston Scientific Corp. (a)

265,650

3,337

Covidien Ltd.

1,263,900

68,339

Hill-Rom Holdings, Inc.

934,592

27,982

Immucor, Inc. (a)

169,000

5,443

Integra LifeSciences Holdings Corp. (a)

738,717

35,820

Inverness Medical Innovations, Inc. (a)

594,955

21,133

Kinetic Concepts, Inc. (a)

614,400

21,602

Medtronic, Inc.

303,300

16,560

Micrus Endovascular Corp. (a)

201,782

2,542

Quidel Corp. (a)

263,670

5,155

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Smith & Nephew PLC

1,621,000

$ 19,448

Sonova Holding AG

311,741

22,647

 

347,899

Health Care Providers & Services - 1.4%

Air Methods Corp. (a)

168,810

4,874

Brookdale Senior Living, Inc.

1,412,322

31,142

Coventry Health Care, Inc. (a)

192,065

6,726

DaVita, Inc. (a)

275,200

15,794

Express Scripts, Inc. (a)

232,353

17,057

HealthSouth Corp. (a)(d)

875,461

15,750

Humana, Inc. (a)

440,800

20,453

McKesson Corp.

492,300

28,445

Medco Health Solutions, Inc. (a)

273,100

12,795

NightHawk Radiology Holdings, Inc. (a)

925,900

7,898

Patterson Companies, Inc. (a)

318,100

10,351

Pediatrix Medical Group, Inc. (a)

337,253

19,207

PSS World Medical, Inc. (a)

782,925

14,304

Sunrise Senior Living, Inc. (a)

1,190,348

24,200

Tenet Healthcare Corp. (a)

2,219,513

13,384

UnitedHealth Group, Inc.

1,279,112

38,949

Universal American Financial Corp. (a)

988,159

13,014

Universal Health Services, Inc. Class B

365,338

22,571

VCA Antech, Inc. (a)

780,700

23,999

WellPoint, Inc. (a)

429,900

22,694

 

363,607

Health Care Technology - 0.1%

Allscripts Healthcare Solutions, Inc. (a)

682,900

9,793

IMS Health, Inc.

195,499

4,344

 

14,137

Life Sciences Tools & Services - 0.4%

Bruker BioSciences Corp. (a)

1,312,134

20,259

Charles River Laboratories International, Inc. (a)

455,200

29,866

Pharmaceutical Product Development, Inc.

378,200

15,431

Thermo Fisher Scientific, Inc. (a)

308,800

18,701

Varian, Inc. (a)

195,732

9,730

 

93,987

Pharmaceuticals - 1.4%

Allergan, Inc.

406,900

22,734

Alpharma, Inc. Class A (a)(d)

1,270,510

45,357

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Pharmaceuticals - continued

Cipla Ltd.

667,579

$ 3,653

Endo Pharmaceuticals Holdings, Inc. (a)

689,818

15,673

Jazz Pharmaceuticals, Inc. (a)(d)

942,825

6,685

Merck & Co., Inc.

1,745,095

62,248

Mylan, Inc. (a)(d)

988,115

12,737

Pfizer, Inc.

1,934,200

36,963

Schering-Plough Corp.

1,230,200

23,866

Teva Pharmaceutical Industries Ltd. sponsored ADR

109,700

5,193

Wyeth

2,462,400

106,573

XenoPort, Inc. (a)

266,100

12,994

 

354,676

TOTAL HEALTH CARE

1,512,244

INDUSTRIALS - 7.9%

Aerospace & Defense - 1.5%

Curtiss-Wright Corp.

18,300

986

Finmeccanica SpA

620,400

16,646

General Dynamics Corp.

364,800

33,671

Heico Corp. Class A

338,236

9,741

Honeywell International, Inc.

832,700

41,777

Lockheed Martin Corp.

365,500

42,559

Northrop Grumman Corp.

497,700

34,267

Orbital Sciences Corp. (a)

968,800

25,615

Raytheon Co.

1,019,475

61,158

Rockwell Collins, Inc.

294,100

15,467

Spirit AeroSystems Holdings, Inc. Class A (a)

776,500

17,704

TransDigm Group, Inc. (a)

27,400

1,029

United Technologies Corp.

1,397,100

91,636

 

392,256

Air Freight & Logistics - 0.4%

C.H. Robinson Worldwide, Inc.

192,400

10,026

FedEx Corp.

352,800

29,219

Forward Air Corp.

886,986

31,302

United Parcel Service, Inc. Class B

452,000

28,982

UTI Worldwide, Inc.

273,527

5,498

 

105,027

Airlines - 0.2%

AirTran Holdings, Inc. (a)(d)

1,755,890

4,214

Delta Air Lines, Inc. (a)

2,376,200

19,319

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Airlines - continued

easyJet PLC (a)

327,900

$ 1,964

Northwest Airlines Corp. (a)

2,218,400

21,696

US Airways Group, Inc. (a)

923,200

7,838

 

55,031

Building Products - 0.1%

Masco Corp.

1,123,200

21,408

Owens Corning (a)

447,400

10,823

 

32,231

Commercial Services & Supplies - 0.9%

ACCO Brands Corp. (a)

1,461,577

12,409

Allied Waste Industries, Inc. (a)

1,199,300

16,119

Avery Dennison Corp.

365,200

17,617

Clean Harbors, Inc. (a)

201,833

16,377

Consolidated Graphics, Inc. (a)

64,016

2,488

Copart, Inc. (a)

204,800

9,013

Covanta Holding Corp. (a)

375,200

10,438

Diamond Management & Technology Consultants, Inc.

483,547

2,892

Equifax, Inc.

478,680

16,912

GeoEye, Inc. (a)

830,207

20,548

R.R. Donnelley & Sons Co.

559,100

15,588

Republic Services, Inc.

574,000

18,867

Robert Half International, Inc.

434,500

11,123

The Brink's Co.

451,500

31,506

Waste Management, Inc.

640,100

22,519

 

224,416

Construction & Engineering - 1.7%

Chicago Bridge & Iron Co. NV (NY Shares)

2,557,500

81,891

Dycom Industries, Inc. (a)

1,348,000

21,608

Fluor Corp.

605,600

48,527

Great Lakes Dredge & Dock Corp. (e)

4,657,593

34,885

Shaw Group, Inc. (a)

2,148,100

106,417

URS Corp. (a)

2,865,462

137,428

 

430,756

Electrical Equipment - 0.9%

ABB Ltd. sponsored ADR

727,400

17,872

Acuity Brands, Inc.

382,700

16,651

Cooper Industries Ltd. Class A

987,800

47,059

JA Solar Holdings Co. Ltd. ADR (a)

2,003,300

35,719

Renewable Energy Corp. AS (a)

1,237,236

38,441

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Electrical Equipment - continued

Saft Groupe SA

419,140

$ 18,292

Vestas Wind Systems AS (a)

184,100

25,059

Zumtobel AG

975,707

15,759

 

214,852

Industrial Conglomerates - 0.3%

McDermott International, Inc. (a)

701,425

24,360

Siemens AG sponsored ADR

399,700

43,487

Tyco International Ltd.

91,400

3,919

 

71,766

Machinery - 0.9%

Bucyrus International, Inc. Class A

89,332

6,240

CIRCOR International, Inc.

523,951

31,573

Colfax Corp.

268,000

6,590

Cummins, Inc.

686,100

44,706

Danaher Corp.

247,200

20,164

Eaton Corp.

218,200

15,968

Flowserve Corp.

62,400

8,244

Force Protection, Inc. (a)(d)

3,370,758

13,416

Ingersoll-Rand Co. Ltd. Class A

596,600

22,032

Navistar International Corp. (a)

620,400

34,432

Oshkosh Co. (d)

165,400

2,550

Sulzer AG (Reg.)

84,684

10,459

Vallourec SA

31,800

8,902

 

225,276

Marine - 0.2%

Alexander & Baldwin, Inc.

765,143

34,225

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

1,346,382

16,574

Navios Maritime Holdings, Inc.

1,068,800

11,297

 

62,096

Road & Rail - 0.8%

Burlington Northern Santa Fe Corp.

252,400

27,108

Canadian Pacific Railway Ltd.

283,500

17,294

Con-way, Inc.

415,340

20,393

J.B. Hunt Transport Services, Inc.

573,664

20,910

Union Pacific Corp.

515,200

43,225

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Road & Rail - continued

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

1,085,798

$ 26,743

YRC Worldwide, Inc. (a)(d)

1,965,110

35,568

 

191,241

TOTAL INDUSTRIALS

2,004,948

INFORMATION TECHNOLOGY - 9.0%

Communications Equipment - 1.2%

Adtran, Inc.

1,326,376

30,241

Alcatel-Lucent SA sponsored ADR (a)

774,030

4,784

Cisco Systems, Inc. (a)

4,430,000

106,542

Comverse Technology, Inc. (a)

1,795,700

24,799

Finisar Corp. (a)

3,864,351

5,603

Harris Corp.

938,460

49,138

Juniper Networks, Inc. (a)

1,163,520

29,902

Motorola, Inc.

3,352,300

31,579

Powerwave Technologies, Inc. (a)(d)

4,506,300

22,757

 

305,345

Computers & Peripherals - 0.9%

Apple, Inc. (a)

352,563

59,770

Diebold, Inc.

475,300

18,846

Hewlett-Packard Co.

1,371,700

64,360

NCR Corp. (a)

1,609,500

42,587

SanDisk Corp. (a)

1,143,900

16,541

Western Digital Corp. (a)(d)

1,001,800

27,309

 

229,413

Electronic Equipment & Instruments - 1.4%

Amphenol Corp. Class A

1,667,700

79,249

Arrow Electronics, Inc. (a)

746,625

24,780

Avnet, Inc. (a)

1,715,000

50,335

Bell Microproducts, Inc. (a)(e)

2,013,351

4,429

Cogent, Inc. (a)

1,503,352

16,537

Flextronics International Ltd. (a)

2,103,600

18,764

HannStar Display Corp.

683,000

181

Ingram Micro, Inc. Class A (a)

1,693,800

32,030

Itron, Inc. (a)(d)

1,084,390

112,321

Tyco Electronics Ltd.

991,350

32,625

 

371,251

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - 0.5%

Art Technology Group, Inc. (a)

1,346,456

$ 5,520

DealerTrack Holdings, Inc. (a)

382,435

7,048

Google, Inc. Class A (sub. vtg.) (a)

136,190

63,095

Open Text Corp. (a)

584,500

20,778

VeriSign, Inc. (a)

1,045,400

33,421

 

129,862

IT Services - 1.3%

Accenture Ltd. Class A

447,700

18,517

CACI International, Inc. Class A (a)

540,761

27,390

Cognizant Technology Solutions Corp. Class A (a)

369,900

10,845

Lender Processing Services, Inc.

72,800

2,424

NeuStar, Inc. Class A (a)(d)

294,000

7,059

Patni Computer Systems Ltd. sponsored ADR

618,141

6,707

Perot Systems Corp. Class A (a)

2,232,808

39,744

Sapient Corp. (a)

2,381,800

22,079

Satyam Computer Services Ltd. sponsored ADR

859,700

19,137

SRA International, Inc. Class A (a)

1,747,699

41,036

The Western Union Co.

773,600

21,367

Unisys Corp. (a)

6,225,283

25,461

Visa, Inc.

1,066,600

80,955

WNS Holdings Ltd. ADR (a)

531,696

7,226

 

329,947

Office Electronics - 0.1%

Xerox Corp.

1,620,400

22,572

Semiconductors & Semiconductor Equipment - 2.8%

Altera Corp.

834,100

18,884

Analog Devices, Inc.

871,200

24,359

Applied Materials, Inc.

1,026,100

18,388

ASAT Holdings Ltd.

88,719

3

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

2,416

2

ASML Holding NV (NY Shares)

22,900

542

Atmel Corp. (a)

17,315,184

72,551

Axcelis Technologies, Inc. (a)

4,077,464

19,286

Credence Systems Corp. (a)(e)

6,375,010

7,204

Cymer, Inc. (a)

481,500

14,416

Cypress Semiconductor Corp. (a)

2,550,400

82,684

Fairchild Semiconductor International, Inc. (a)

2,374,600

29,777

FormFactor, Inc. (a)

849,322

16,298

Hittite Microwave Corp. (a)

542,431

19,197

Intersil Corp. Class A

478,988

11,223

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Lam Research Corp. (a)

681,900

$ 25,067

LTX Corp. (a)(e)

3,819,221

6,836

Maxim Integrated Products, Inc.

3,177,000

65,287

Microchip Technology, Inc.

837,300

26,802

Micron Technology, Inc. (a)

1,530,300

6,488

National Semiconductor Corp.

1,999,800

42,856

ON Semiconductor Corp. (a)

3,421,041

32,397

Rudolph Technologies, Inc. (a)

856,784

7,231

Samsung Electronics Co. Ltd.

21,833

10,238

Semitool, Inc. (a)(d)

1,228,514

11,843

Spansion, Inc. Class A (a)

1,842,218

4,145

Teradyne, Inc. (a)

3,390,700

31,635

Varian Semiconductor Equipment Associates, Inc. (a)

2,239,100

72,323

Xilinx, Inc.

985,480

25,603

 

703,565

Software - 0.8%

Adobe Systems, Inc. (a)

287,600

12,318

CA, Inc.

705,400

16,866

Cadence Design Systems, Inc. (a)

273,100

2,182

McAfee, Inc. (a)

537,200

21,252

Misys PLC

4,780,900

14,616

Nintendo Co. Ltd.

26,700

13,051

Oracle Corp. (a)

1,398,400

30,667

Quest Software, Inc. (a)

2,041,180

30,189

Sourcefire, Inc. (a)(d)(e)

1,572,750

12,346

Symantec Corp. (a)

373,169

8,325

THQ, Inc. (a)

2,475,960

37,932

 

199,744

TOTAL INFORMATION TECHNOLOGY

2,291,699

MATERIALS - 3.7%

Chemicals - 1.9%

Airgas, Inc.

273,641

16,210

Albemarle Corp.

521,600

20,728

Arkema sponsored ADR

462,800

21,867

Ashland, Inc.

50,300

2,059

Calgon Carbon Corp. (a)(d)

1,263,496

26,950

Celanese Corp. Class A

1,553,000

59,884

CF Industries Holdings, Inc.

132,500

20,193

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Chemicals - continued

Chemtura Corp.

2,525,557

$ 16,643

Georgia Gulf Corp. (d)

488,095

1,645

Israel Chemicals Ltd.

994,818

16,654

Linde AG

22,100

2,788

Monsanto Co.

772,200

88,224

Solutia, Inc. (a)

1,301,900

21,872

Spartech Corp. (e)

1,596,233

16,808

Symrise AG

596,200

10,320

Terra Industries, Inc.

104,700

5,261

The Mosaic Co.

1,034,700

110,444

Tokai Carbon Co. Ltd.

811,000

8,315

Valspar Corp.

817,000

19,330

W.R. Grace & Co. (a)

224,070

5,891

 

492,086

Containers & Packaging - 0.3%

Pactiv Corp. (a)

910,200

24,457

Rock-Tenn Co. Class A

667,351

24,478

Temple-Inland, Inc.

1,893,584

31,642

 

80,577

Metals & Mining - 1.5%

Alamos Gold, Inc. (a)

2,905,100

16,824

Alcoa, Inc.

1,032,500

33,174

Anglo Platinum Ltd.

106,600

13,489

ArcelorMittal SA (NY Shares) Class A

281,367

22,121

Century Aluminum Co. (a)

500,800

24,419

Compass Minerals International, Inc.

22,800

1,579

Eldorado Gold Corp. (a)

1,527,400

12,139

Freeport-McMoRan Copper & Gold, Inc. Class B

419,100

37,434

Gabriel Resources Ltd. (a)

2,088,800

4,406

IAMGOLD Corp.

273,200

1,801

Ivanhoe Mines Ltd. (a)

2,124,300

23,905

Labrador Iron Ore Royal, Inc. Fund

36,700

1,926

Lihir Gold Ltd. (a)

3,838,023

7,875

New Gold, Inc. (a)

318,600

1,680

Newcrest Mining Ltd.

924,077

21,738

Polymet Mining Corp. (a)

570,100

1,879

Reliance Steel & Aluminum Co.

337,500

19,241

Silver Wheaton Corp. (a)

427,800

4,955

Steel Dynamics, Inc.

327,762

8,138

Stillwater Mining Co. (a)(d)

1,005,610

7,492

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Metals & Mining - continued

Ternium SA sponsored ADR

31,900

$ 1,063

Timminco Ltd. (a)(d)

469,600

6,589

Titanium Metals Corp. (d)

3,373,282

48,609

United States Steel Corp.

127,600

16,980

Yamana Gold, Inc.

2,836,821

30,800

 

370,256

TOTAL MATERIALS

942,919

TELECOMMUNICATION SERVICES - 2.2%

Diversified Telecommunication Services - 2.1%

AT&T, Inc.

9,621,797

307,801

Cincinnati Bell, Inc. (a)

6,229,764

24,296

Qwest Communications International, Inc.

7,015,100

26,517

Telefonica SA

496,800

12,274

Verizon Communications, Inc.

4,164,600

146,261

 

517,149

Wireless Telecommunication Services - 0.1%

American Tower Corp. Class A (a)

384,991

15,912

NII Holdings, Inc. (a)

250,000

13,130

Vivo Participacoes SA (PN) sponsored ADR

414,400

2,167

 

31,209

TOTAL TELECOMMUNICATION SERVICES

548,358

UTILITIES - 3.2%

Electric Utilities - 1.0%

Allegheny Energy, Inc.

447,500

20,285

E.ON AG

366,400

21,419

Edison International

515,700

23,681

Entergy Corp.

405,400

41,914

Exelon Corp.

967,741

73,510

FirstEnergy Corp.

241,100

17,514

PPL Corp.

1,111,100

48,633

Public Power Corp. of Greece

339,400

8,584

 

255,540

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Gas Utilities - 0.2%

Equitable Resources, Inc.

575,700

$ 28,733

Questar Corp.

261,900

13,590

 

42,323

Independent Power Producers & Energy Traders - 1.6%

AES Corp. (a)

3,675,517

56,088

Constellation Energy Group, Inc.

1,043,900

69,639

NRG Energy, Inc. (a)(d)

5,039,698

189,694

Reliant Energy, Inc. (a)

4,370,019

74,421

 

389,842

Multi-Utilities - 0.4%

CMS Energy Corp.

1,441,200

19,557

OGE Energy Corp.

233,987

7,885

Public Service Enterprise Group, Inc.

951,000

38,772

RWE AG

166,700

18,006

Sempra Energy

247,700

14,347

Wisconsin Energy Corp.

247,700

11,585

 

110,152

TOTAL UTILITIES

797,857

TOTAL COMMON STOCKS

(Cost $15,546,153)

16,342,173

Convertible Preferred Stocks - 0.6%

 

 

 

 

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

McMoRan Exploration Co. 6.75%

46,200

8,520

FINANCIALS - 0.5%

Capital Markets - 0.1%

Legg Mason, Inc. 7.00%

366,200

15,594

Commercial Banks - 0.2%

East West Bancorp, Inc. Series A, 8.00%

4,600

3,789

Huntington Bancshares, Inc. 8.50%

24,600

19,526

KeyCorp Series A, 7.75%

205,000

20,594

Wachovia Corp. 7.50%

17,400

14,287

 

58,196

Diversified Financial Services - 0.1%

CIT Group, Inc. Series C, 8.75%

261,200

13,844

Convertible Preferred Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Thrifts & Mortgage Finance - 0.1%

Fannie Mae 8.75%

1,477,900

$ 24,570

Washington Mutual, Inc. Series R, 7.75%

9,300

3,460

 

28,030

TOTAL FINANCIALS

115,664

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

ASAT Holdings Ltd. 13.00% (a)

2,416

0

MATERIALS - 0.1%

Metals & Mining - 0.1%

Freeport-McMoRan Copper & Gold, Inc. 6.75%

189,700

24,693

TOTAL CONVERTIBLE PREFERRED STOCKS

(Cost $205,391)

148,877

Investment Companies - 0.1%

 

 

 

 

Ares Capital Corp.
(Cost $49,103)

2,914,585

35,237

Corporate Bonds - 2.4%

 

Principal Amount (000s)

 

Convertible Bonds - 0.2%

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Evergreen Energy, Inc. 8% 8/1/12 (f)

$ 8,780

4,538

HEALTH CARE - 0.1%

Health Care Equipment & Supplies - 0.1%

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

9,274

9,274

Pharmaceuticals - 0.0%

Alpharma, Inc. 2.125% 3/15/27

7,380

9,018

TOTAL HEALTH CARE

18,292

INDUSTRIALS - 0.1%

Electrical Equipment - 0.1%

JA Solar Holdings Co. Ltd. 4.5% 5/15/13

9,150

8,029

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Convertible Bonds - continued

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

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

$ 4,610

$ 6,460

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

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

1,980

1,943

TOTAL CONVERTIBLE BONDS

39,262

Nonconvertible Bonds - 2.2%

CONSUMER DISCRETIONARY - 0.2%

Household Durables - 0.0%

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

1,780

1,442

Media - 0.2%

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

4,975

4,978

Comcast Corp.:

5.7% 5/15/18

4,830

4,590

6.45% 3/15/37

4,360

4,021

Liberty Media Corp.:

5.7% 5/15/13

1,430

1,269

8.25% 2/1/30

6,315

5,337

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

15,780

16,243

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

1,720

1,563

Time Warner Cable, Inc. 7.3% 7/1/38

2,509

2,521

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

3,450

3,048

 

43,570

TOTAL CONSUMER DISCRETIONARY

45,012

CONSUMER STAPLES - 0.1%

Beverages - 0.0%

Diageo Capital PLC 5.2% 1/30/13

3,300

3,339

Food & Staples Retailing - 0.0%

Wal-Mart Stores, Inc. 6.2% 4/15/38

9,030

8,933

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Tobacco - 0.1%

Philip Morris International, Inc. 6.375% 5/16/38

$ 6,500

$ 6,393

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

7,970

7,855

 

14,248

TOTAL CONSUMER STAPLES

26,520

ENERGY - 0.3%

Oil, Gas & Consumable Fuels - 0.3%

Duke Capital LLC 6.75% 2/15/32

8,145

7,624

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

8,650

7,853

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

12,250

11,744

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

2,855

2,661

Nexen, Inc.:

5.875% 3/10/35

1,565

1,326

6.4% 5/15/37

5,235

4,695

Plains All American Pipeline LP:

6.125% 1/15/17

1,940

1,892

6.65% 1/15/37

4,940

4,465

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

5,910

5,363

Suncor Energy, Inc.:

6.1% 6/1/18

8,185

8,128

6.85% 6/1/39

8,895

8,907

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

3,280

2,827

XTO Energy, Inc. 6.5% 12/15/18

7,500

7,478

 

74,963

FINANCIALS - 0.6%

Capital Markets - 0.2%

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

12,700

13,191

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

11,195

9,850

JPMorgan Chase Capital XX 6.55% 9/29/36

11,840

9,742

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

12,067

11,235

 

44,018

Commercial Banks - 0.1%

Bank of America NA 6% 10/15/36

7,045

6,084

Credit Suisse First Boston 6% 2/15/18

11,975

11,489

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

HSBC Holdings PLC:

6.5% 5/2/36

$ 6,175

$ 5,700

6.5% 9/15/37

10,625

9,688

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

2,371

2,279

 

35,240

Consumer Finance - 0.2%

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

21,610

21,122

SLM Corp.:

2.96% 7/26/10 (k)

22,788

20,541

4.5% 7/26/10

1,355

1,233

 

42,896

Diversified Financial Services - 0.1%

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

14,487

14,528

Real Estate Investment Trusts - 0.0%

Duke Realty LP:

5.5% 3/1/16

3,075

2,793

5.625% 8/15/11

2,695

2,638

 

5,431

Thrifts & Mortgage Finance - 0.0%

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

12,067

11,754

TOTAL FINANCIALS

153,867

HEALTH CARE - 0.0%

Pharmaceuticals - 0.0%

AstraZeneca PLC 6.45% 9/15/37

2,307

2,366

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.0%

Bombardier, Inc.:

6.3% 5/1/14 (f)

2,615

2,510

7.45% 5/1/34 (f)

3,000

2,865

 

5,375

Airlines - 0.0%

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

5,010

4,722

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Industrial Conglomerates - 0.1%

Covidien International Finance SA:

5.45% 10/15/12

$ 4,120

$ 4,185

6.55% 10/15/37

4,505

4,583

General Electric Co. 5.25% 12/6/17

23,650

22,856

 

31,624

TOTAL INDUSTRIALS

41,721

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Instruments - 0.0%

Tyco Electronics Group SA 7.125% 10/1/37

2,405

2,422

MATERIALS - 0.2%

Chemicals - 0.0%

Agrium, Inc. 7.125% 5/23/36

4,900

5,213

Metals & Mining - 0.2%

Nucor Corp.:

5.85% 6/1/18

6,980

7,041

6.4% 12/1/37

5,600

5,526

Rio Tinto Finance Ltd.:

5.875% 7/15/13

7,242

7,303

6.5% 7/15/18

7,242

7,286

7.125% 7/15/28

9,574

9,702

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

5,765

4,893

 

41,751

TOTAL MATERIALS

46,964

TELECOMMUNICATION SERVICES - 0.4%

Diversified Telecommunication Services - 0.4%

AT&T, Inc.:

6.3% 1/15/38

12,550

11,834

6.8% 5/15/36

15,241

15,149

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

1,655

1,782

BellSouth Corp. 6.55% 6/15/34

4,340

4,199

British Telecommunications PLC 9.125% 12/15/30

4,565

5,379

Sprint Capital Corp. 6.875% 11/15/28

15,445

13,128

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telecom Italia Capital SA:

6.999% 6/4/18

$ 7,245

$ 7,087

7.2% 7/18/36

2,670

2,455

7.721% 6/4/38

7,245

7,065

Telefonica Emisiones SAU 7.045% 6/20/36

8,498

8,629

Verizon Communications, Inc.:

6.1% 4/15/18

4,164

4,153

6.25% 4/1/37

4,611

4,235

6.4% 2/15/38

9,165

8,528

6.9% 4/15/38

5,585

5,530

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

4,445

4,730

 

103,883

UTILITIES - 0.3%

Electric Utilities - 0.2%

Appalachian Power Co. 6.375% 4/1/36

5,500

5,102

Duke Energy Carolinas LLC 6.05% 4/15/38

3,407

3,321

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

13,809

14,041

Florida Power Corp.:

5.65% 6/15/18

3,630

3,694

6.4% 6/15/38

8,735

8,889

Nevada Power Co. 6.5% 5/15/18

5,290

5,290

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

3,555

3,313

Tampa Electric Co. 6.15% 5/15/37

4,486

4,058

 

47,708

Multi-Utilities - 0.1%

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

8,775

7,971

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

8,075

8,056

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities - continued

NiSource Finance Corp.:

5.45% 9/15/20

$ 1,990

$ 1,699

6.8% 1/15/19

6,000

5,836

 

23,562

TOTAL UTILITIES

71,270

TOTAL NONCONVERTIBLE BONDS

568,988

TOTAL CORPORATE BONDS

(Cost $635,786)

608,250

U.S. Government and Government Agency Obligations - 6.2%

 

U.S. Government Agency Obligations - 1.7%

Fannie Mae:

2.5% 4/9/10

985

976

3.25% 8/12/10

3,541

3,548

3.375% 5/19/11

14,965

14,937

3.625% 8/15/11

19,295

19,338

4.625% 10/15/13 (d)

20,000

20,538

4.875% 4/15/09

9,535

9,641

6% 5/15/11

6,070

6,467

6.125% 3/15/12

11,499

12,386

6.625% 9/15/09

87,159

90,166

Freddie Mac:

3.25% 7/16/10

20,800

20,842

3.875% 6/29/11

11,708

11,832

4.5% 1/15/14

45,570

46,491

4.75% 3/5/09 (i)

75,667

76,320

4.875% 11/15/13 (d)

23,130

24,024

5.25% 7/18/11 (d)

36,920

38,646

5.75% 1/15/12 (d)

25,000

26,638

Tennessee Valley Authority 5.375% 4/1/56

5,098

5,230

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

428,020

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Inflation Protected Obligations - 2.9%

U.S. Treasury Inflation-Indexed Notes:

0.625% 4/15/13

$ 16,559

$ 16,124

1.625% 1/15/15

111,122

112,595

1.625% 1/15/18

16,706

16,646

2% 4/15/12

10,408

10,740

2% 1/15/14 (i)

113,650

117,791

2.375% 4/15/11

76,654

79,375

2.375% 1/15/17

41,219

43,686

2.375% 1/15/27 (i)

61,828

63,786

2.5% 7/15/16

151,641

162,152

2.625% 7/15/17

99,210

107,506

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

730,401

U.S. Treasury Obligations - 1.6%

U.S. Treasury Notes:

3.375% 11/30/12 (d)(i)

143,424

145,934

4.5% 4/30/12 (d)(i)

126,387

133,842

5.125% 5/15/16 (d)

122,689

135,811

TOTAL U.S. TREASURY OBLIGATIONS

415,587

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,516,753)

1,574,008

U.S. Government Agency - Mortgage Securities - 5.7%

 

Fannie Mae - 3.3%

5% 8/1/33 to 6/1/38

80,663

77,929

5% 9/11/38 (g)

80,000

76,842

5% 9/11/38 (g)(h)

160,000

153,684

5.5% 1/1/33 to 1/1/38

309,506

307,004

5.616% 7/1/37 (k)

1,943

1,977

6% 6/1/30 to 12/1/36

147,607

150,112

6.028% 4/1/36 (k)

1,484

1,519

6.157% 4/1/36 (k)

3,502

3,585

6.252% 6/1/36 (k)

514

523

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

6.309% 4/1/36 (k)

$ 1,442

$ 1,480

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

58,584

60,821

TOTAL FANNIE MAE

835,476

Freddie Mac - 0.7%

5% 3/1/19

27,432

27,568

5% 9/11/38 (g)

100,000

95,990

5.735% 10/1/35 (k)

932

946

5.853% 6/1/36 (k)

1,742

1,774

5.984% 7/1/37 (k)

8,667

8,842

6.045% 6/1/36 (k)

1,641

1,675

6.063% 4/1/36 (k)

2,696

2,752

6.11% 6/1/36 (k)

1,648

1,683

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

29,476

30,545

TOTAL FREDDIE MAC

171,775

Government National Mortgage Association - 1.7%

5.5% 11/20/37

23,832

23,639

5.5% 9/1/38 (g)

46,000

45,906

5.5% 9/1/38 (g)

8,000

7,984

5.5% 9/1/38 (g)

15,000

14,969

5.5% 9/1/38 (g)

47,000

46,904

5.5% 9/1/38 (g)(h)

75,000

74,846

5.5% 9/1/38 (g)

72,000

71,852

5.5% 9/1/38 (g)

36,000

35,926

5.5% 10/1/38 (g)

15,000

14,925

5.5% 10/22/38 (g)

70,000

69,649

6% 2/15/34

21,713

22,179

6.5% 3/15/34

10,431

10,958

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

439,737

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,439,687)

1,446,988

Asset-Backed Securities - 0.1%

 

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 2.7719% 7/25/36 (k)

3,850

706

Series 2006-NC4 Class M1, 2.7719% 10/25/36 (k)

3,255

586

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 2,075

$ 2,053

JPMorgan Mortgage Acquisition Trust Series 2006-NC2 Class M2, 2.7719% 7/25/36 (k)

2,980

398

Long Beach Mortgage Loan Trust Series 2006-2 Class 2A2, 2.6019% 3/25/36 (k)

3,437

3,366

Merna Reinsurance Ltd. Series 2007-1 Class B, 4.5506% 6/30/12 (f)(k)

4,135

3,972

Morgan Stanley ABS Capital I Trust Series 2007-HE2 Class M1, 2.7219% 1/25/37 (k)

3,825

403

Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 2.5219% 11/25/36 (k)

582

570

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

368

364

NovaStar Mortgage Funding Trust Series 2006-5 Class A2A, 2.5419% 11/25/36 (k)

173

172

Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 4.3519% 5/25/35 (k)

3,000

296

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1 Class 1A1, 2.5419% 9/25/36 (k)

3,414

3,309

Securitized Asset Backed Receivables LLC Trust:

Series 2006-FR4 Class A2A, 2.5519% 8/25/36 (k)

1,757

1,633

Series 2007-NC1 Class A2A, 2.5219% 12/25/36 (k)

1,247

1,156

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

834

815

Structured Asset Securities Corp. Series 2007-BC4 Class A3, 2.7219% 11/25/37 (k)

10,223

9,060

TOTAL ASSET-BACKED SECURITIES

(Cost $40,958)

28,859

Collateralized Mortgage Obligations - 0.1%

 

Private Sponsor - 0.0%

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

47,137

4,054

JPMorgan Mortgage Trust Series 2006-A2 Class 5A1, 3.7741% 11/25/33 (k)

3,494

3,294

TOTAL PRIVATE SPONSOR

7,348

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - 0.1%

Fannie Mae subordinate REMIC pass-thru certificates sequential payer:

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

$ 12,751

$ 13,033

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

19,099

19,119

TOTAL U.S. GOVERNMENT AGENCY

32,152

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $41,523)

39,500

Commercial Mortgage Securities - 0.2%

 

Banc of America Commercial Mortgage, Inc. sequential payer Series 2007-1 Class A2, 5.381% 1/15/49

3,695

3,558

Citigroup Commercial Mortgage Trust sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49

9,115

8,328

Credit Suisse Commercial Mortgage Trust sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (k)

9,295

8,980

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

2,719

2,717

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.6614% 12/10/41 (k)(m)

2,666

38

JPMorgan Chase Commercial Mortgage Securities Trust Series 2005-LDP3 Class A3, 4.959% 8/15/42

9,850

9,508

Wachovia Bank Commercial Mortgage Trust:

sequential payer Series 2007-C32 Class A2, 5.7357% 6/15/49 (k)

3,005

2,914

Series 2006-C23 Class A5, 5.416% 1/15/45 (k)

7,210

6,625

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $41,921)

42,668

Municipal Securities - 0.1%

 

Montgomery County Gen. Oblig. Series A, 5% 1/1/13

5,440

5,938

North Carolina Gen. Oblig. Series A, 5.5% 3/1/13

5,000

5,571

Ohio Gen. Oblig. (Common Schools Proj.) Series E, 5% 9/15/12

5,700

6,188

TOTAL MUNICIPAL SECURITIES

(Cost $17,654)

17,697

Fixed-Income Funds - 20.0%

Shares

Value (000s)

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

3,362,255

$ 283,606

Fidelity Commercial Mortgage-Backed Securities Central Fund (l)

5,120,922

454,738

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

15,751,513

1,517,973

Fidelity High Income Central Fund 2 (l)

4,058,293

400,269

Fidelity Mortgage Backed Securities Central Fund (l)

17,956,254

1,762,588

Fidelity Ultra-Short Central Fund (l)

8,056,207

658,434

TOTAL FIXED-INCOME FUNDS

(Cost $5,405,560)

5,077,608

Money Market Funds - 4.5%

 

 

 

 

Fidelity Cash Central Fund, 2.31% (b)

794,379,363

794,379

Fidelity Securities Lending Cash Central Fund, 2.35% (b)(c)

338,870,396

338,870

TOTAL MONEY MARKET FUNDS

(Cost $1,133,249)

1,133,249

Cash Equivalents - 1.4%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 2.14%, dated 8/29/08 due 9/2/08 (Collateralized by U.S. Government Obligations) # (c)
(Cost $368,589)

$ 368,677

368,589

TOTAL INVESTMENT PORTFOLIO - 105.8%

(Cost $26,442,327)

26,863,703

NET OTHER ASSETS - (5.8)%

(1,483,839)

NET ASSETS - 100%

$ 25,379,864

Swap Agreements

 

Expiration Date

Notional Amount (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

16

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

$ 1,099

$ (986)

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

(3,083)

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 (j)

Sept. 2037

16,700

(15,197)

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 (j)

Sept. 2037

13,600

(12,376)

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 (j)

Sept. 2037

1,800

(1,638)

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 (j)

Sept. 2037

5,800

(5,278)

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 (j)

Sept. 2037

20,600

(18,746)

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 (j)

Sept. 2037

$ 13,600

$ (12,376)

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 (j)

Sept. 2037

13,100

(11,921)

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 (j)

Sept. 2037

11,500

(10,465)

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 2006-0P1 Class B2, 6.72% 10/25/35

Nov. 2035

4,800

(4,377)

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

624

(539)

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

1,099

(987)

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

(2,653)

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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

$ 1,800

$ (1,655)

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

(1,469)

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

(2,755)

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 Class M9, 7.17% 9/25/36

Oct. 2036

3,000

(2,711)

TOTAL CREDIT DEFAULT SWAPS

122,422

(109,196)

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

3,193

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

3,972

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

3,578

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

9,904

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps - continued

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

$ 6,764

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

10,033

TOTAL INTEREST RATE SWAPS

535,000

37,444

 

$ 657,422

$ (71,752)

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

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

(e) Affiliated company

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $85,879,000 or 0.3% of net assets.

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

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

(i) 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 $60,546,000.

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

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

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

(m) 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.

(n) 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 $17,871,000 or 0.1% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Concho Resources, Inc.

6/6/08

$ 18,300

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$368,589,000 due 9/02/08 at 2.14%

Banc of America Securities LLC

$ 117,231

Bank of America, NA

251,358

 

$ 368,589

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

$ 16,967

Fidelity Cash Central Fund

25,046

Fidelity Commercial Mortgage-Backed Securities Central Fund

25,473

Fidelity Corporate Bond 1-10 Year Central Fund

88,766

Fidelity High Income Central Fund 2

13,622

Fidelity Mortgage Backed Securities Central Fund

101,256

Fidelity Securities Lending Cash Central Fund

5,049

Fidelity Ultra-Short Central Fund

31,244

Total

$ 307,423

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

$ 16,967

$ 138,847

$ 283,606

18.8%

Fidelity Commercial Mortgage-Backed Securities Central Fund

474,235

25,473

-

454,738

13.1%

Fidelity Corporate Bond 1-10 Year Central Fund

1,603,006

178,793

224,805

1,517,973

19.2%

Fidelity High Income Central Fund 2

-

406,034*

-

400,269

91.8%

Fidelity Mortgage Backed Securities Central Fund

2,074,537

101,256

409,458

1,762,588

19.6%

Fidelity Ultra-Short Central Fund

742,656

296,841

263,844

658,434

18.5%

Total

$ 5,344,654

$ 1,025,364

$ 1,036,954

$ 5,077,608

* Includes the value of shares received through in-kind contributions.

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

$ -

$ 6,177

$ -

$ -

Aurora Oil & Gas Corp.

10,747

-

-

-

1,272

Bell Microproducts, Inc.

-

6,876

-

-

4,429

Capitol Bancorp Ltd.

-

15,643

-

55

17,008

Central Garden & Pet Co.

22,500

-

-

-

9,861

Credence Systems Corp.

-

8,263

-

-

7,204

DUSA Pharmaceuticals, Inc.

3,216

515

-

-

2,911

Force Protection, Inc.

-

55,275

1,195

-

-

Frontier Airlines Holdings, Inc.

11,950

-

8,055

-

-

Great Lakes Dredge & Dock Corp.

23,378

11,055

-

173

34,885

LandAmerica Financial Group, Inc.

-

28,928

-

261

16,912

Lighthouse Caledonia ASA

-

1,768

-

-

2,310

LTX Corp.

15,301

263

-

-

6,836

MarineMax, Inc.

11,696

2,052

-

-

8,237

Sourcefire, Inc.

10,526

4,593

259

-

12,346

Spartech Corp.

-

23,013

-

441

16,808

Standard Pacific Corp.

9,926

15,372

725

-

14,818

The Pantry, Inc.

9,862

20,781

5,414

-

31,496

Tronox, Inc. Class B

-

11,753

572

95

-

Tween Brands, Inc.

18,873

30,231

-

-

25,114

Universal Truckload Services, Inc.

22,324

-

-

-

26,743

Washington Group International, Inc.

134,028

2,681

152,743

-

-

Total

$ 315,060

$ 239,062

$ 175,140

$ 1,025

$ 239,190

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

22.3%

AAA,AA,A

8.2%

BBB

4.2%

BB

0.7%

B

1.0%

CCC,CC,C

0.1%

D

0.0%

Not Rated

0.0%

Equities

65.1%

Short-Term Investments and
Net Other Assets

(1.6)%

 

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: (Unaudited)

United States of America

89.6%

Canada

1.6%

Bermuda

1.1%

United Kingdom

1.0%

Switzerland

1.0%

Others (individually less than 1%)

5.7%

 

100.0%

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

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

Annual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)

August 31, 2008

Assets

Investment in securities, at value (including securities loaned of $669,987 and repurchase agreements of $368,589) - See accompanying schedule:

Unaffiliated issuers (cost $19,561,012)

$ 20,413,656

 

Fidelity Central Funds (cost $6,538,809)

6,210,857

 

Other affiliated issuers (cost $342,506)

239,190

 

Total Investments (cost $26,442,327)

 

$ 26,863,703

Commitment to sell securities on a delayed delivery basis

(129,077)

Receivable for securities sold on a delayed delivery basis

129,105

28

Receivable for investments sold, regular delivery

134,252

Foreign currency held at value (cost $2,426)

2,426

Receivable for foreign currency contracts

14,283

Receivable for swap agreements

84

Receivable for fund shares sold

33,579

Dividends receivable

15,671

Interest receivable

30,562

Distributions receivable from Fidelity Central Funds

24,527

Unrealized appreciation on swap agreements

37,460

Prepaid expenses

23

Other receivables

500

Total assets

27,157,098

Liabilities

Payable to custodian bank

$ 10,504

Payable for investments purchased
Regular delivery

192,663

Delayed delivery

717,333

Payable for foreign currency contracts

13,716

Payable for fund shares redeemed

12,952

Unrealized depreciation on swap agreements

109,212

Accrued management fee

8,533

Other affiliated payables

4,139

Other payables and accrued expenses

722

Collateral on securities loaned, at value

707,460

Total liabilities

1,777,234

Net Assets

$ 25,379,864

Net Assets consist of:

 

Paid in capital

$ 24,819,681

Undistributed net investment income

102,779

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

90,272

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

367,132

Net Assets

$ 25,379,864

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

Annual Report

Statement of Assets and Liabilities - continued

Amounts in thousands (except per-share amounts)

August 31, 2008

 

 

 

Balanced:
Net Asset Value, offering price and redemption price
per share ($25,362,595 ÷ 1,431,927 shares)

$ 17.71

 

 

 

Class K:
Net Asset Value, offering price and redemption price per
share ($17,151 ÷ 968 shares)

$ 17.72

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

Annual Report

Financial Statements - continued

Statement of Operations

Amounts in thousands

Year ended August 31, 2008

Investment Income

 

 

Dividends (including $1,171 earned from other affiliated issuers)

 

$ 252,492

Interest

 

184,404

Income from Fidelity Central Funds

 

307,423

Total income

 

744,319

 

 

 

Expenses

Management fee

$ 107,294

Transfer agent fees

48,310

Accounting and security lending fees

2,307

Custodian fees and expenses

534

Independent trustees' compensation

112

Depreciation in deferred trustee compensation account

(1)

Registration fees

528

Audit

197

Legal

144

Interest

14

Miscellaneous

1,771

Total expenses before reductions

161,210

Expense reductions

(1,329)

159,881

Net investment income (loss)

584,438

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers (net of foreign taxes of $160)

422,302

Fidelity Central Funds

(71,311)

 

Other affiliated issuers

(21,396)

 

Investment not meeting investment restrictions

451

Foreign currency transactions

25

Futures contracts

4,565

Swap agreements

12,032

 

Total net realized gain (loss)

 

346,668

Change in net unrealized appreciation (depreciation) on:

Investment securities (net of decrease in deferred foreign taxes of $79)

(2,881,847)

Assets and liabilities in foreign currencies

(74)

Futures contracts

(170)

Swap agreements

(50,500)

Delayed delivery commitments

2,771

 

Total change in net unrealized appreciation (depreciation)

 

(2,929,820)

Net gain (loss)

(2,583,152)

Net increase (decrease) in net assets resulting from operations

$ (1,998,714)

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

Annual Report

Statement of Changes in Net Assets

Amounts in thousands

Year ended
August 31,
2008

Year ended
August 31,
2007

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 584,438

$ 521,874

Net realized gain (loss)

346,668

1,495,846

Change in net unrealized appreciation (depreciation)

(2,929,820)

946,213

Net increase (decrease) in net assets resulting
from operations

(1,998,714)

2,963,933

Distributions to shareholders from net investment income

(581,560)

(500,718)

Distributions to shareholders from net realized gain

(1,526,672)

(1,099,842)

Total distributions

(2,108,232)

(1,600,560)

Share transactions - net increase (decrease)

3,295,533

4,477,900

Total increase (decrease) in net assets

(811,413)

5,841,273

 

 

 

Net Assets

Beginning of period

26,191,277

20,350,004

End of period (including undistributed net investment income of $102,779 and undistributed net investment income of $106,413, respectively)

$ 25,379,864

$ 26,191,277

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

Annual Report

Financial Highlights - Balanced

Years ended August 31,
2008
2007
2006G
2006I
2005I
2004I

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.66

$ 19.56

$ 19.16

$ 18.73

$ 16.57

$ 14.92

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  .42

  .44

  .04

  .36

  .29

  .27

Net realized and unrealized gain (loss)

  (1.76)

  2.13

  .36

  1.01

  2.60

  1.64

Total from investment operations

  (1.34)

  2.57

  .40

  1.37

  2.89

  1.91

Distributions from net investment income

  (.43)

  (.43)

  -

  (.31)

  (.29)

  (.26)

Distributions from net realized gain

  (1.18)

  (1.04)

  -

  (.63)

  (.44)

  -

Total distributions

  (1.61)

  (1.47)

  -

  (.94)

  (.73)

  (.26)

Net asset value,
end of period

$ 17.71

$ 20.66

$ 19.56

$ 19.16

$ 18.73

$ 16.57

Total Return B, C

  (7.28)%

  13.96%

  2.09%

  7.54%

  18.04%

  12.82%

Ratios to Average Net Assets E, H

 

 

 

 

 

Expenses before reductions

  .61%

  .61%

  .64%A

  .64%

  .65%

  .67%

Expenses net of fee waivers, if any

  .61%

  .61%

  .64%A

  .64%

  .65%

  .67%

Expenses net of all reductions

  .61%

  .60%

  .63%A

  .63%

  .64%

  .66%

Net investment income (loss)

  2.22%

  2.20%

  2.35%A

  1.90%

  1.68%

  1.63%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 25,363

$ 26,191

$ 20,350

$ 19,800

$ 14,610

$ 10,784

Portfolio turnover rate F

  73%J

  89%J

  65%A

  61%

  82%

  99%

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 from July 31 to August 31, effective August 31, 2006.

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

I For the period ended July 31.

J Portfolio turnover rate excludes securities received or delivered in-kind.

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

Annual Report

Financial Highlights - Class K

Year ended August 31,
2008 G

Selected Per-Share Data

 

Net asset value, beginning of period

$ 19.12

Income from Investment Operations

 

Net investment income (loss) D

  .12

Net realized and unrealized gain (loss)

  (1.41)

Total from investment operations

  (1.29)

Distributions from net investment income

  (.11)

Net asset value, end of period

$ 17.72

Total Return B, C

  (6.74)%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .48% A

Expenses net of fee waivers, if any

  .48% A

Expenses net of all reductions

  .48% A

Net investment income (loss)

  2.45% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 17,151

Portfolio turnover rate F

  73% I

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 period May 9, 2008 (commencement of sale of shares) to August 31, 2008.

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

I Portfolio turnover rate excludes securities received or delivered in-kind.

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

Annual Report

Notes to Financial Statements

For the period ended August 31, 2008

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. On January 17, 2008, the Board of Trustees of the Fund approved the creation of an additional class of shares. The Fund commenced sale of Class K shares and the existing class was designated Balanced on May 9, 2008. The Fund offers Balanced and Class K shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. After the commencement of Class K, the fund began offering conversion privileges between Balanced and Class K to eligible shareholders of Balanced. In order to disclose class level financial information dollar amounts presented in the notes are unrounded. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions also differ by class.

2. Investments in Fidelity Central Funds.

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

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

Annual Report

Notes to Financial Statements - continued

2. Investments in Fidelity Central Funds - continued

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 Commercial Mortgage-Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed 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.

Delayed Delivery & When Issued Securities

Repurchase Agreements

Restricted Securities

Swap Agreements

Fidelity High Income Central Fund 2

Fidelity Management & Research Company, Inc. (FMRC)

Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities.

Loans & Direct Debt Instruments

Repurchase Agreements

Restricted Securities

 

Annual Report

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

Futures

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

An unaudited 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 unaudited 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.

Exchange-In-Kind. On March 28, 2008, the Fund completed a non-taxable exchange of securities with a value, including accrued interest, of $381,222,504 (which included $15,265,812 of unrealized depreciation) for 3,812,225 shares (each then valued at $100.00 per share) of the Fidelity High Income Central Fund 2, an affiliated entity. This is considered a non-taxable exchange for federal income tax purposes, with no gain or loss recognized by the Fund or its shareholders.

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:

Annual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.

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.

Annual Report

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 per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE),normally 4:00 pm Eastern time and 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

Annual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

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 (IRS). 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 dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund will claim 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 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 and losses deferred due to wash sales.

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:

Unrealized appreciation

$ 3,231,376,142

Unrealized depreciation

(2,837,410,438)

Net unrealized appreciation (depreciation)

393,965,704

Undistributed ordinary income

101,810,817

Undistributed long-term capital gain

36,391,707

 

 

Cost for federal income tax purposes

$ 26,469,737,247

The tax character of distributions paid was as follows:

 

August 31, 2008

August 31, 2007

Ordinary Income

$ 878,687,603

$ 618,861,850

Long-term Capital Gains

1,229,544,238

981,698,144

Total

$ 2,108,231,841

$ 1,600,559,994

Annual 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 reporting periods 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 effect derivatives have on financial performance.

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

Annual Report

Notes to Financial Statements - continued

4. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities - continued

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. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms.

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.

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.

Annual Report

4. Operating Policies - continued

Swap Agreements - continued

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.

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

Annual Report

Notes to Financial Statements - continued

4. Operating Policies - continued

Mortgage Dollar Rolls - continued

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, U.S. government securities and in-kind transactions, aggregated $12,958,914,500 and $10,936,276,789, respectively.

The Fund realized a gain on the sale of an investment not meeting the investment restrictions of the Fund.

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 annual 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 transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to account size and type of account of the shareholders of Balanced and asset-based fees of .05% of average net assets for Class K. 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 transfer agent for Balanced. For the period, the transfer agent fees for Balanced were equivalent to an annualized rate of .18% of average net assets.

For the period, the total transfer agent fees paid by each class were as follows:

 

Amount

Balanced

$ 48,309,652

Class K

296

Annual Report

6. Fees and Other Transactions with Affiliates - continued

Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, 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 $110,255 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 $50,217 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 or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities at period end is 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 $5,172,126. Net income from the 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 $5,049,398.

Annual Report

Notes to Financial Statements - continued

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 $24,413,800. The weighted average interest rate was 4.17%. The interest expense amounted to $14,146 under the bank borrowing program. At period end, there were no bank borrowings outstanding.

10. Expense Reductions.

FMR voluntarily agreed to reimburse a portion Balanced's operation expenses. During the period, the reimbursement reduced the class' expenses by $12,763. 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 $366,456 for the period. In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $37,437. During the period, credits reduced each class' transfer agent expense as noted in the table below.

 

Transfer Agent
expense reduction

Balanced

$ 912,821

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.

Annual Report

11. Other - continued

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.

In March 2008, the Trustees approved a method for allocating this payment among the funds and, in total, FMR paid the fund $820,045 which is recorded in the accompanying Statement of Operations.

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.

Subsequent to period end, Lehman Brothers Holdings, Inc. (LBHI) and certain of its affiliates sought protection under the insolvency laws of their jurisdictions of organization, including the United States, the United Kingdom and Japan. During this period, the Fund had outstanding securities trades and other transactions with counterparties affiliated with LBHI, which may include interest rate and credit default swap agreements, and commitments to purchase securities on a delayed delivery or when-issued basis. As a result of these events, LBHI's affiliates are unable to fulfill their commitments and, in certain cases, the Fund may have terminated its trades and related agreements with the relevant entities and, where appropriate, is in the process of initiating claims for damages. FMR believes that the financial impact to the Fund relating to these events is immaterial.

12. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Years ended August 31,

2008 A

2007

From net investment income

 

 

Balanced

$ 581,559,348

$ 500,718,013

Class K

570

-

Total

$ 581,559,918

$ 500,718,013

From net realized gain

 

 

Balanced

$ 1,526,671,923

$ 1,099,841,982

A Distributions for Class K are for the period May 9, 2008 (commencement of sale of shares) to August 31, 2008.

Annual Report

Notes to Financial Statements - continued

13. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

 

Years ended
August 31,
2008 A

Years ended
August 31,
2007

Years ended
August 31,
2008 A

Years ended
August 31,
2007

Balanced

 

 

 

 

Shares sold

342,702,362

354,152,013

$ 6,544,290,400

$ 7,100,263,945

Conversion to Class K

(959,723)

-

(16,766,361)

-

Reinvestment of distributions

103,189,062

82,342,696

2,066,916,739

1,571,306,818

Shares redeemed

(281,013,909)

(208,826,134)

(5,315,835,781)

(4,193,671,015)

Net increase (decrease)

163,917,792

227,668,575

$ 3,278,604,997

$ 4,477,899,748

Class K

 

 

 

 

Shares sold

15,171

-

$ 276,121

$ -

Conversion from Balanced

959,174

-

16,766,361

-

Reinvestment of distributions

33

-

570

-

Shares redeemed

(6,530)

-

(114,733)

-

Net increase (decrease)

967,848

-

$ 16,928,319

$ -

A Share transactions for Class K are for the period May 9, 2008 (commencement of sale of shares) to August 31, 2008.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Puritan Trust and the Shareholders of Fidelity Balanced 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 Balanced Fund (a fund of Fidelity Puritan Trust) at August 31, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended 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 Balanced 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 August 31, 2008 by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

October 23, 2008

Annual Report

Trustees and Officers

The Trustees, Member of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for Edward C. Johnson 3d and James C. Curvey, each of the Trustees oversees 218 funds advised by FMR or an affiliate. Messrs. Johnson and Curvey oversee 376 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Member hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (78)

 

Year of Election or Appointment: 1984

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR LLC; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman and a Director of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of FIL Limited. Previously, Mr. Johnson served as President of FMR LLC (2006-2007).

James C. Curvey (73)

 

Year of Election or Appointment: 2007

Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2006-
present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University.

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR. FMR Corp. merged with and into FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

Dennis J. Dirks (60)

 

Year of Election or Appointment: 2005

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), and as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present).

Alan J. Lacy (54)

 

Year of Election or Appointment: 2008

Mr. Lacy serves as Senior Adviser (2007-present) of Oak Hill Capital Partners, L.P. (a private equity firm). Mr. Lacy also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). In addition, Mr. Lacy serves as a member of the Board of Directors of The Western Union Company (global money transfer, 2006-present) and Bristol-Myers Squibb (global pharmaceuticals, 2007-present). Mr. Lacy is a Trustee of the National Parks Conservation Association and The Field Museum of Natural History.

Ned C. Lautenbach (64)

 

Year of Election or Appointment: 2000

Mr. Lautenbach is Chairman of the Independent Trustees (2006-present). Mr. Lautenbach is an Advisory Partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm). Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations. Previously, Mr. Lautenbach served as a Director of Sony Corporation (2006-2007).

Joseph Mauriello (63)

 

Year of Election or Appointment: 2008

Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services firm, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Capital Ltd. (global insurance and re-insurance company, 2006-present) and of Arcadia Resources Inc. (health care services and products, 2007-present). He also served as a Director of the Hamilton Funds of the Bank of New York (2006-2007).

Cornelia M. Small (64)

 

Year of Election or Appointment: 2005

Ms. Small is a member of the Investment Committee, and Chair (2008-present) and a member of the Board of Trustees of Smith College. Ms. Small also serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson of the Investment Committee (2002-2008) of Smith College and as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy. In addition, she served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.

William S. Stavropoulos (69)

 

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President (1993-2000; 2002-
2003), CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, he is a Director of Teradata Corporation (data warehousing and technology solutions, 2008-present), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment firm, 2005-present). He is a special advisor to Clayton, Dubilier & Rice, Inc. (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science.

David M. Thomas (59)

 

Year of Election or Appointment: 2008

Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions). In addition, Mr. Thomas serves as a member of the Board of Directors of Fortune Brands, Inc. (consumer products holding company), and Interpublic Group of Companies, Inc. (marketing communication, 2004-present).

Michael E. Wiley (57)

 

Year of Election or Appointment: 2008

Mr. Wiley also serves as a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-present). He serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), and a Director of Bill Barrett Corporation (exploration and production company, 2005-present). In addition, he also serves as a Director of Post Oak Bank (privately-held bank, 2004-present). Previously, Mr. Wiley served as a Sr. Energy Advisor of Katzenbach Partners, LLC (consulting firm, 2006-2007), as an Advisory Director of Riverstone Holdings (private investment firm), Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services company, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production company, 2001-2005).

Advisory Board Member and Executive Officers**:

Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Peter S. Lynch (64)

 

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Puritan Trust. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund.

Kenneth B. Robins (39)

 

Year of Election or Appointment: 2008

President and Treasurer of the fund. Mr. Robins also serves as President and Treasurer of Fidelity's Equity and High Income Funds (2008-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004).

Walter C. Donovan (46)

 

Year of Election or Appointment: 2007

Vice President of the fund. Mr. Donovan also serves as Vice President of Fidelity's Equity Funds, President of FMR and FMR Co., Inc., and Executive Vice President of Fidelity Investments Money Management, Inc. (2007-present). Previously, Mr. Donovan served as Executive Vice President of FMR and FMR Co., Inc. (2005-2007) and Senior Vice President of FMR (2003-2005) and FMR Co., Inc. (2004-2005).

Eric M. Wetlaufer (46)

 

Year of Election or Appointment: 2006

Vice President of the fund. Mr. Wetlaufer also serves as Vice President of certain International Equity Funds (2006-present) and Group Chief Investments Officer of FMR. Mr. Wetlaufer is Chairman and Chief Executive Officer (2007-present) and President and a Director (2006-present) of Fidelity Management & Research (U.K.) Inc. and President and a Director of Fidelity Research & Analysis Company (2006-present). Before joining Fidelity Investments in 2005, Mr. Wetlaufer was a partner in Oxhead Capital Management (2004-2005) and a Chief Investment Officer of Putnam Investments (1997-2003).

Scott C. Goebel (40)

 

Year of Election or Appointment: 2008

Secretary and Chief Legal Officer (CLO) of the fund. Mr. Goebel also serves as Secretary and CLO of other Fidelity funds (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present); and Deputy General Counsel of FMR LLC. Previously, Mr. Goebel served as Assistant Secretary of the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).

John B. McGinty, Jr. (46)

 

Year of Election or Appointment: 2008

Assistant Secretary of the fund. Mr. McGinty also serves as Assistant Secretary of Fidelity's other Equity and High Income Funds (2008-present) and is an employee of FMR LLC (2004-present). Mr. McGinty also serves as Senior Vice President, Secretary, and Chief Legal Officer of FDC (2007-present). Before joining Fidelity Investments, Mr. McGinty practiced law at Ropes & Gray, LLP.

Holly C. Laurent (54)

 

Year of Election or Appointment: 2008

Anti-Money Laundering (AML) Officer of the fund. Ms. Laurent also serves as AML Officer of other Fidelity funds (2008-present) and is an employee of FMR LLC. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006).

Christine Reynolds (49)

 

Year of Election or Appointment: 2008

Chief Financial Officer of the fund. Ms. Reynolds also serves as Chief Financial Officer of other Fidelity funds (2008-present). Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. She served as Chief Operating Officer of FPCMS from 2007 through July 2008. Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was an audit partner with PwC's investment management practice.

Kenneth A. Rathgeber (61)

 

Year of Election or Appointment: 2004

Chief Compliance Officer of the fund. Mr. Rathgeber also serves as Chief Compliance Officer of Fidelity's Equity and High Income Funds (2004-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present).

Bryan A. Mehrmann (47)

 

Year of Election or Appointment: 2005

Deputy Treasurer of the fund. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004).

Adrien E. Deberghes (41)

 

Year of Election or Appointment: 2008

Deputy Treasurer of the fund. Mr. Deberghes also serves as Deputy Treasurer of Fidelity's Equity and High Income Funds (2008-present) and is an employee of FMR (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).

Robert G. Byrnes (41)

 

Year of Election or Appointment: 2005

Assistant Treasurer of the fund. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003).

Peter L. Lydecker (54)

 

Year of Election or Appointment: 2004

Assistant Treasurer of the fund. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004-present) and is an employee of FMR.

Paul M. Murphy (61)

 

Year of Election or Appointment: 2007

Assistant Treasurer of the fund. Mr. Murphy also serves as Assistant Treasurer of other Fidelity funds (2007-present) and is an employee of FMR (2007-present). Previously, Mr. Murphy served as Chief Financial Officer of the Fidelity Funds (2005-2006), Vice President and Associate General Counsel of FMR (2007), and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (1994-2007).

Gary W. Ryan (50)

 

Year of Election or Appointment: 2005

Assistant Treasurer of the fund. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005).

** FMR Corp. merged with and into FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Annual Report

Distributions (Unaudited)

The Board of Trustees of Fidelity Balanced Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities, and dividends derived from net investment income:

 

Pay Date

Record Date

Dividends

Capital Gains

Balanced

10/06/08

10/03/08

$0.106

$0.03

Class K

10/06/08

10/03/08

$0.114

$0.03

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2008, $244,272,916, or, if subsequently determined to be different, the net capital gain of such year.

A total of 4.57% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $331,076,494 of distributions paid during the period January 1, 2008 to August 31, 2008 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

A percentage of the dividends distributed during the fiscal year qualify for the dividends-received deduction for corporate shareholders.

 

Balanced

Class K

October 2007

4%

0%

December 2007

25%

0%

April 2008

47%

0%

July 2008

47%

45%

A percentage of the dividends distributed during the fiscal year may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

 

Balanced

Class K

October 2007

5%

0%

December 2007

29%

0%

April 2008

52%

0%

July 2008

52%

51%

The fund will notify shareholders in January 2009 of amounts for use in preparing 2008 income tax returns.

Annual Report

Proxy Voting Results

A special meeting of the fund's shareholders was held on May 14, 2008. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To elect a Board of Trustees.A

 

# of
Votes

% of
Votes

James C. Curvey

Affirmative

38,893,618,130.91

95.292

Withheld

1,921,468,292.47

4.708

TOTAL

40,815,086,423.38

100.000

Dennis J. Dirks

Affirmative

39,036,714,022.41

95.643

Withheld

1,778,372,400.97

4.357

TOTAL

40,815,086,423.38

100.000

Edward C. Johnson 3d

Affirmative

38,770,875,445.41

94.992

Withheld

2,044,210,977.97

5.008

TOTAL

40,815,086,423.38

100.000

Alan J. Lacy

Affirmative

39,018,612,450.11

95.599

Withheld

1,796,473,973.27

4.401

TOTAL

40,815,086,423.38

100.000

Ned C. Lautenbach

Affirmative

39,005,366,044.67

95.566

Withheld

1,809,720,378.71

4.434

TOTAL

40,815,086,423.38

100.000

Joseph Mauriello

Affirmative

39,002,419,694.54

95.559

Withheld

1,812,666,728.84

4.441

TOTAL

40,815,086,423.38

100.000

Cornelia M. Small

Affirmative

39,016,299,097.15

95.593

Withheld

1,798,787,326.23

4.407

TOTAL

40,815,086,423.38

100.000

William S. Stavropoulos

Affirmative

38,884,332,972.41

95.270

Withheld

1,930,753,450.97

4.730

TOTAL

40,815,086,423.38

100.000

 

# of
Votes

% of
Votes

David M. Thomas

Affirmative

39,018,357,287.78

95.598

Withheld

1,796,729,135.60

4.402

TOTAL

40,815,086,423.38

100.000

Michael E. Wiley

Affirmative

38,997,698,287.11

95.547

Withheld

1,817,388,136.27

4.453

TOTAL

40,815,086,423.38

100.000

PROPOSAL 2

To amend the Declaration of Trust to reduce the required quorum for future shareholder meetings.A

 

# of
Votes

% of
Votes

Affirmative

30,025,572,570.64

73.565

Against

7,083,880,474.69

17.356

Abstain

2,182,438,936.42

5.347

Broker
Non-Votes

1,523,194,441.63

3.732

TOTAL

40,815,086,423.38

100.000

A Denotes trust-wide proposal and voting results.

Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Balanced Fund

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

The Board meets regularly and, acting directly and through its separate committees, requests and receives information concerning, and considers at each of its meetings factors that are relevant to, its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. At the time of the renewal, the Board had 12 standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has a written charter outlining the structure and purposes of the committee. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts.

At its July 2008 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders. The Board also approved agreements with foreign sub-advisers Fidelity Management & Research (Japan) Inc. and Fidelity Management & Research (Hong Kong) Limited, as well as amendments to the fund's agreement with Fidelity Management & Research (U.K.) Inc.

In considering whether to renew the Advisory Contracts for the fund, the Board ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. The Board's decision to renew the Advisory Contracts was not based on any single factor noted above, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.

Annual Report

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

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

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

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

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying a sales charge. The Board noted that Fidelity has taken a number of actions over the previous year that benefited particular funds, including (i) dedicating additional resources to investment research and to restructure the investment research teams; (ii) contractually agreeing to reduce the management fees on Fidelity's Institutional Money Market Funds and launching Class IV and Institutional Class of certain of these funds; (iii) reducing the transfer agent fees for the Fidelity Select Portfolios and Investor Class of the VIP funds; and (iv) launching Class K of 29 equity funds as a lower-fee class available to certain employer-sponsored retirement plans.

Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2007, the fund's cumulative total returns, the cumulative total returns of a proprietary custom index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. (The fund did not offer Class K as of December 31, 2007.) The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund. The fund's proprietary custom index is an index developed by FMR that represents the performance of the fund's general investment categories in both equity and bond securities.

Annual Report

Fidelity Balanced Fund

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The Board reviewed the fund's relative investment performance against its peer group and stated that the performance of the fund was in the first quartile for all the periods shown. The Board also stated that the investment performance of the fund compared favorably to its benchmark for all the periods shown.

The Board considered that FMR has taken steps to refocus and strengthen equity research, equity portfolio management, and compliance.

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

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared. The Board also considered supplemental information about how the fund's management fee and total expenses ranked relative to groups based on Lipper classifications, which take into account a fund's market capitalization and style.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 8% means that 92% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.

Fidelity Balanced Fund

fid49910

The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2007.

Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.

Annual Report

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

The Board noted that the fund's total expenses ranked below its competitive median for 2007.

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

Based on its review, the Board concluded that the fund's total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

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

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

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

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

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

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

Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total fund assets under FMR's management increase, and for higher group fee rates as total fund assets under FMR's management decrease. FMR determines the group fee rates based on a tiered asset "breakpoint" schedule. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

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

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including (i) fund performance trends and actions to be taken by FMR to improve certain funds' overall performance; (ii) portfolio manager changes that have occurred during the past year; (iii) Fidelity's fund profitability methodology, the profitability of certain fund service providers, and profitability trends for certain funds; (iv) Fidelity's compensation structure for portfolio managers and key personnel, including its effects on fund profitability and the extent to which portfolio manager compensation is linked to fund performance; (v) Fidelity's fee structures and rationale for recommending different fees among categories of funds; and (vi) Fidelity's rationale for recommending which funds should have a performance adjustment component as part of their management fees.

Annual Report

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

Annual 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

fid49912For mutual fund and brokerage trading.

fid49914For quotes.*

fid49916For account balances and holdings.

fid49918To review orders and mutual
fund activity.

fid49920To change your PIN.

fid49922fid49924To 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.

Annual 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

Annual 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

Annual 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

Annual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Investments
Money Management, Inc.

Fidelity Research & Analysis Company

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

Fidelity Investments Japan Limited

FIL Investment Advisors

FIL Investment Advisors (U.K.) Ltd.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

Citibank, N.A.

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®) fid49926 1-800-544-5555

fid49926 Automated line for quickest service 

BAL-UANN-1008
1.789243.105

fid49929

Fidelity®
Puritan®
Fund -

Puritan
Class K

Annual Report

August 31, 2008

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion

<Click Here>

The managers' review of fund performance, strategy and outlook

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>

 

Trustees and Officers

<Click Here>

 

Distributions

<Click Here>

 

Proxy Voting Results

<Click Here>

 

Board Approval of Investment Advisory Contracts and Management Fees

<Click Here>

 

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

Annual Report

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.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Most domestic and international equity indexes continued to dwell in negative territory, pressured by unfavorable
credit-market conditions, particularly in the United States. On the upside,
investment-grade bonds and money markets generally have served investors well so far this year. 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

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended August 31, 2008

Past 1
year

Past 5
years

Past 10
years

Puritan

-7.35%

6.91%

6.23%

Class K A

-7.34%

6.91%

6.23%

A The initial offering of Class K shares took place on May 9, 2008. Returns prior to May 9, 2008 are those of Puritan, the original class of the fund.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Puritan®, a class of the fund, on August 31, 1998. The chart shows how the value of your investment would have changed, and also shows how the Standard & Poor's 500SM Index performed over the same period.


fid49944

Annual Report

Management's Discussion of Fund Performance

Comments from Ramin Arani and George Fischer, Co-Portfolio Managers of Fidelity® Puritan® Fund

Riskier investments such as stocks and high-yield debt faltered during the 12-month period ending August 31, 2008, as a meltdown in the subprime mortgage market led to an unnerving credit crisis. In response, investors fled to investment-grade bonds, particularly Treasuries. The U.S. equity market, as measured by the Standard & Poor's 500SM Index, fell 11.14% during the past year. Stocks opened the period with a two-month winning streak, but five consecutive months of losses followed, as the subprime mortgage crisis worsened along with the subsequent credit crunch. Meanwhile, energy prices continued to skyrocket and pressured consumer spending - a major driver of economic growth. As inflation fears soared, the S&P 500® lost nearly 8.5% in June alone. Other major equity benchmarks also had sizable losses for the 12-month period, including the Dow Jones Industrial AverageSM, which fell 11.35%, and the NASDAQ Composite® Index, which dropped 8.13%. The investment-grade bond market, as measured by the Lehman Brothers® U.S. Aggregate Index, rose 5.86% during the past year, paced by the particularly strong performance of Treasury securities.

The fund's Retail Class shares declined 7.35% during the past year, trailing the 7.14% decline of the Fidelity Puritan Composite Index. Until June 30, 2008, the index comprised a hypothetical combination of the total returns of the Russell 3000® Value Index and the Lehman Brothers U.S. Aggregate Index, using a weighting of 60% and 40%, respectively. Beginning July 1, 2008, the Russell 3000 Value Index was replaced with the S&P 500 to provide a better performance comparison for the fund's equity component. (For specific performance results for the fund's new Class K shares, please see the performance section of this report.) While good stock selection helped the equity subportfolio solidly outpace its index, the fund's fixed-income holdings, particularly those securities backed by subprime mortgages, hurt overall performance versus the Composite benchmark. Asset allocation - specifically, emphasizing stocks and high-yield securities rather than better-performing investment-grade debt - also detracted. Within equities, underweighting financial services companies such as Citigroup, Wachovia and Bank of America - which were all hammered by widespread credit deterioration, housing asset deflation and a looming crisis of confidence - helped results the most. Conversely, with energy prices spiking and oil companies doing so well, underweighting large producers such as Chevron and ConocoPhillips detracted. Some stocks mentioned here were sold from the portfolio.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual 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 actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2008 to August 31, 2008) for Puritan and for the entire period (May 9, 2008 to August 31, 2008) for Class K. The hypothetical expense Example is based on an investment of $1,000 invested for the one half year period (March 1, 2008 to August 31, 2008).

Actual Expenses

The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. 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 for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. 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.

Annual Report

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.

 

Beginning
Account Value

Ending
Account Value
August 31, 2008

Expenses Paid
During Period

Puritan

 

 

 

Actual

$ 1,000.00

$ 970.90

$ 3.02 B

Hypothetical A

$ 1,000.00

$ 1,022.07

$ 3.10 C

Class K

 

 

 

Actual

$ 1,000.00

$ 944.00

$ 1.47B

Hypothetical A

$ 1,000.00

$ 1,022.72

$ 2.44C

A 5% return per year before expenses

B Actual expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period) for Puritan and multiplied by 115/366 (to reflect the period May 9, 2008 to August 31, 2008) for Class K.

C Hypothetical expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

Annualized
Expense Ratio

Puritan

.61%

Class K

.48%

Annual Report

Investment Changes (Unaudited)

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 non-money market Fidelity Central Fund.

Top Five Stocks as of August 31, 2008

 

% of fund's
net assets

% of fund's net assets 6 months ago

Exxon Mobil Corp.

2.1

2.5

Wal-Mart Stores, Inc.

1.3

0.0

Apple, Inc.

1.2

0.4

Cisco Systems, Inc.

1.1

1.0

International Business Machines Corp.

1.1

0.0

 

6.8

 

Top Five Bond Issuers as of August 31, 2008

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets 6 months ago

Fannie Mae

9.5

6.8

Freddie Mac

3.8

3.5

U.S. Treasury Obligations

3.7

5.8

Government National Mortgage Association

2.3

1.2

Freescale Semiconductor, Inc.

0.2

0.3

 

19.5

 

Top Five Market Sectors as of August 31, 2008

 

% of fund's
net assets

% of fund's net assets 6 months ago

Information Technology

13.3

13.1

Financials

11.9

13.3

Health Care

10.5

10.6

Energy

10.1

9.8

Consumer Discretionary

8.4

6.6

Asset Allocation (% of fund's net assets)

As of August 31, 2008 *

As of February 29, 2008 **

fid49891

Stocks 61.4%

 

fid49947

Stocks and
Equity Futures 61.6%

 

fid49894

Bonds 39.8%

 

fid49950

Bonds 38.3%

 

fid49897

Convertible
Securities 0.7%

 

fid49953

Convertible
Securities 0.3%

 

fid49900

Other Investments 1.4%

 

fid49956

Other Investments 1.5%

 

fid49958

Short-Term
Investments and
Net Other Assets† (3.3)%

 

fid49960

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

 

* Foreign investments

9.2%

 

** Foreign investments

13.3%

 


fid49962

† 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.

Annual Report

Investments August 31, 2008

Showing Percentage of Net Assets

Common Stocks - 61.4%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 6.3%

Auto Components - 0.2%

Johnson Controls, Inc.

1,329,500

$ 41,108

Automobiles - 0.1%

Toyota Motor Corp. sponsored ADR

199,200

17,846

Hotels, Restaurants & Leisure - 1.3%

Burger King Holdings, Inc.

1,796,600

44,592

McDonald's Corp.

2,347,400

145,656

Penn National Gaming, Inc. (a)

651,300

22,027

Starwood Hotels & Resorts Worldwide, Inc.

403,100

14,612

Vail Resorts, Inc. (a)(h)

1,000,600

44,016

 

270,903

Household Durables - 0.4%

Lennar Corp. Class A

327,700

4,309

Pulte Homes, Inc.

3,200,700

46,442

Whirlpool Corp.

470,983

38,319

 

89,070

Media - 2.0%

Comcast Corp. Class A (special) (non-vtg.)

6,698,100

141,598

Grupo Televisa SA de CV (CPO) sponsored ADR

1,884,900

43,692

Interpublic Group of Companies, Inc. (a)

2,263,400

21,276

News Corp. Class B

2,872,796

41,253

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

945,600

4,028

The Walt Disney Co.

1,036,790

33,540

Time Warner, Inc.

7,180,360

117,542

VisionChina Media, Inc. ADR (h)

1,910,100

36,101

 

439,030

Multiline Retail - 0.2%

Macy's, Inc.

1,799,300

37,461

Specialty Retail - 1.3%

Advance Auto Parts, Inc.

1,077,700

46,384

Best Buy Co., Inc.

726,600

32,530

Guess?, Inc.

157,800

5,881

J. Crew Group, Inc. (a)(h)

1,309,074

34,573

Lowe's Companies, Inc. (h)

3,057,500

75,337

Lumber Liquidators, Inc.

100,000

1,291

Talbots, Inc. (h)

1,828,100

24,990

TJX Companies, Inc.

1,417,100

51,356

 

272,342

Textiles, Apparel & Luxury Goods - 0.8%

Iconix Brand Group, Inc. (a)(h)

1,173,700

15,176

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - continued

NIKE, Inc. Class B

966,100

$ 58,555

Polo Ralph Lauren Corp. Class A

1,313,400

99,661

 

173,392

TOTAL CONSUMER DISCRETIONARY

1,341,152

CONSUMER STAPLES - 5.5%

Beverages - 0.4%

Molson Coors Brewing Co. Class B

581,400

27,704

PepsiCo, Inc.

853,400

58,441

 

86,145

Food & Staples Retailing - 1.9%

Costco Wholesale Corp.

479,000

32,122

CVS Caremark Corp.

2,969,700

108,691

Wal-Mart Stores, Inc.

4,668,900

275,792

 

416,605

Food Products - 0.5%

Bunge Ltd.

250,600

22,394

Lindt & Spruengli AG (participation certificate)

17,104

43,878

Marine Harvest ASA (a)

26,391,400

18,492

Nestle SA sponsored ADR

662,500

29,289

 

114,053

Household Products - 1.4%

Colgate-Palmolive Co.

1,021,000

77,627

Procter & Gamble Co.

3,131,922

218,514

 

296,141

Personal Products - 0.4%

Avon Products, Inc.

1,269,430

54,370

Estee Lauder Companies, Inc. Class A

444,800

22,138

 

76,508

Tobacco - 0.9%

Philip Morris International, Inc.

3,397,140

182,426

TOTAL CONSUMER STAPLES

1,171,878

ENERGY - 8.3%

Energy Equipment & Services - 1.8%

Baker Hughes, Inc.

609,000

48,726

Halliburton Co.

1,697,300

74,579

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Energy Equipment & Services - continued

Hercules Offshore, Inc. (a)

973,200

$ 21,479

National Oilwell Varco, Inc. (a)

1,033,200

76,178

Schlumberger Ltd. (NY Shares)

1,175,380

110,744

Smith International, Inc.

717,600

50,017

 

381,723

Oil, Gas & Consumable Fuels - 6.5%

Arch Coal, Inc.

292,100

15,844

Chesapeake Energy Corp.

3,106,617

150,360

Comstock Resources, Inc. (a)

379,800

24,664

ConocoPhillips

1,607,900

132,668

CONSOL Energy, Inc.

26,500

1,794

Denbury Resources, Inc. (a)

470,400

11,708

Energy Transfer Equity LP

538,700

15,541

Exxon Mobil Corp.

5,492,924

439,489

Hess Corp.

553,500

57,957

Peabody Energy Corp.

1,395,100

87,822

Petrohawk Energy Corp. (a)

2,599,300

89,962

Petroleo Brasileiro SA - Petrobras sponsored ADR

744,300

39,254

Plains Exploration & Production Co. (a)

416,700

22,460

Range Resources Corp.

934,608

43,385

Southwestern Energy Co. (a)

1,301,800

49,950

Sunoco, Inc.

577,600

25,634

Ultra Petroleum Corp. (a)

556,300

37,912

Valero Energy Corp.

2,067,280

71,859

Williams Companies, Inc.

2,420,800

74,779

 

1,393,042

TOTAL ENERGY

1,774,765

FINANCIALS - 8.3%

Capital Markets - 3.3%

Bank of New York Mellon Corp.

1,950,800

67,517

Charles Schwab Corp.

3,359,400

80,592

EFG International

1,425,112

43,354

Franklin Resources, Inc.

231,800

24,223

Goldman Sachs Group, Inc.

377,200

61,849

Julius Baer Holding AG

398,473

24,353

KKR Private Equity Investors, LP

923,600

11,306

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

977,300

11,963

Morgan Stanley

3,997,100

163,202

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Nomura Holdings, Inc.

874,900

$ 11,603

State Street Corp.

3,102,567

209,951

 

709,913

Commercial Banks - 1.0%

PNC Financial Services Group, Inc.

273,600

19,686

Standard Chartered PLC (United Kingdom)

383,900

10,431

Sumitomo Mitsui Financial Group, Inc.

2,065

12,503

U.S. Bancorp, Delaware

1,550,000

49,383

Wachovia Corp.

760,552

12,085

Wells Fargo & Co.

3,826,900

115,840

 

219,928

Consumer Finance - 0.2%

Capital One Financial Corp. (h)

401,801

17,735

SLM Corp. (a)

1,624,000

26,812

 

44,547

Diversified Financial Services - 1.7%

Bank of America Corp.

7,018,825

218,566

BM&F BOVESPA SA

2,091,689

16,015

CIT Group, Inc.

1,032,100

10,641

Citigroup, Inc.

1,374,492

26,102

JPMorgan Chase & Co.

2,610,252

100,469

MSCI, Inc. Class A

87,200

2,603

 

374,396

Insurance - 1.8%

ACE Ltd.

2,693,222

141,690

American International Group, Inc.

1,222,337

26,268

Berkshire Hathaway, Inc. Class B (a)

15,380

60,013

Hartford Financial Services Group, Inc.

623,700

39,343

MetLife, Inc.

629,400

34,113

Principal Financial Group, Inc.

1,142,200

52,301

Willis Group Holdings Ltd.

659,600

22,703

 

376,431

Real Estate Investment Trusts - 0.3%

Vornado Realty Trust

600,400

59,716

Thrifts & Mortgage Finance - 0.0%

Washington Mutual, Inc.

281,428

1,140

TOTAL FINANCIALS

1,786,071

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - 9.3%

Biotechnology - 3.4%

Alexion Pharmaceuticals, Inc. (a)

1,085,200

$ 48,921

Amgen, Inc. (a)

1,298,200

81,592

Biogen Idec, Inc. (a)

1,878,600

95,677

BioMarin Pharmaceutical, Inc. (a)

1,293,300

38,980

Celgene Corp. (a)

991,000

68,676

Cephalon, Inc. (a)

810,612

62,109

CSL Ltd.

3,782,743

133,317

Genentech, Inc. (a)

1,633,600

161,318

ImClone Systems, Inc. (a)

388,300

25,007

United Therapeutics Corp. (a)

204,600

21,714

 

737,311

Health Care Equipment & Supplies - 2.4%

Alcon, Inc.

735,600

125,265

Baxter International, Inc.

2,341,500

158,660

Covidien Ltd.

2,328,606

125,908

Gen-Probe, Inc. (a)

359,500

21,480

Masimo Corp.

668,000

26,700

Medtronic, Inc.

351,800

19,208

Sonova Holding AG

497,026

36,108

 

513,329

Health Care Providers & Services - 0.5%

BMP Sunstone Corp. warrants 8/19/12 (a)(r)

59,000

45

Medco Health Solutions, Inc. (a)

1,089,800

51,057

UnitedHealth Group, Inc.

1,844,600

56,168

 

107,270

Health Care Technology - 0.1%

HLTH Corp. (a)

1,425,400

17,746

Life Sciences Tools & Services - 0.5%

AMAG Pharmaceuticals, Inc. (a)

370,400

14,331

Illumina, Inc. (a)

764,180

65,819

QIAGEN NV (a)

1,506,900

31,916

 

112,066

Pharmaceuticals - 2.4%

Abbott Laboratories

2,608,400

149,800

Allergan, Inc.

534,800

29,879

Alpharma, Inc. Class A (a)

380,000

13,566

Auxilium Pharmaceuticals, Inc. (a)(h)

1,113,600

43,776

Biodel, Inc. (a)(h)

322,400

5,761

Elan Corp. PLC sponsored ADR (a)

1,031,100

13,806

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Pharmaceuticals - continued

Merck & Co., Inc.

2,020,700

$ 72,078

Sepracor, Inc. (a)

745,900

13,725

ULURU, Inc. (a)(i)

3,871,407

5,614

Wyeth

2,994,600

129,606

XenoPort, Inc. (a)

529,900

25,875

 

503,486

TOTAL HEALTH CARE

1,991,208

INDUSTRIALS - 7.1%

Aerospace & Defense - 2.8%

DigitalGlobe, Inc. (a)(j)

15,842

40

Honeywell International, Inc.

3,700,800

185,669

Lockheed Martin Corp.

1,469,600

171,120

Raytheon Co.

1,831,100

109,848

United Technologies Corp.

2,144,600

140,664

 

607,341

Air Freight & Logistics - 0.5%

United Parcel Service, Inc. Class B

1,486,600

95,321

Airlines - 0.2%

AMR Corp. (a)

1,332,100

13,761

Delta Air Lines, Inc. (a)

1,496,368

12,165

Northwest Airlines Corp. (a)

2,277,371

22,273

 

48,199

Commercial Services & Supplies - 0.4%

The Brink's Co.

1,084,500

75,676

Electrical Equipment - 0.7%

Alstom SA

137,800

14,077

AMETEK, Inc.

317,700

15,421

Composite Technology Corp. (a)

1,571,000

1,697

Cooper Industries Ltd. Class A

975,900

46,492

Emerson Electric Co.

348,168

16,294

JA Solar Holdings Co. Ltd. ADR (a)

616,700

10,996

Vestas Wind Systems AS (a)

342,800

46,661

 

151,638

Industrial Conglomerates - 0.3%

Siemens AG sponsored ADR

390,200

42,454

Tyco International Ltd.

635,106

27,233

 

69,687

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Machinery - 1.2%

Caterpillar, Inc.

1,304,500

$ 92,267

Cummins, Inc.

733,900

47,821

Eaton Corp.

239,600

17,534

SPX Corp.

414,105

49,382

Sulzer AG (Reg.)

344,020

42,487

 

249,491

Road & Rail - 0.9%

Norfolk Southern Corp.

1,360,200

100,016

Union Pacific Corp.

1,140,100

95,654

 

195,670

Trading Companies & Distributors - 0.1%

Watsco, Inc. (h)

588,400

30,120

TOTAL INDUSTRIALS

1,523,143

INFORMATION TECHNOLOGY - 12.2%

Communications Equipment - 2.6%

Cisco Systems, Inc. (a)

9,930,100

238,819

Corning, Inc.

1,484,800

30,498

Harris Corp.

713,400

37,354

Juniper Networks, Inc. (a)

1,058,500

27,203

Motorola, Inc.

2,270,100

21,384

Nokia Corp. sponsored ADR

61,200

1,540

QUALCOMM, Inc.

3,515,500

185,091

Research In Motion Ltd. (a)

116,400

14,154

 

556,043

Computers & Peripherals - 3.1%

Apple, Inc. (a)

1,536,000

260,398

EMC Corp. (a)

2,138,300

32,673

Hewlett-Packard Co.

2,953,502

138,578

International Business Machines Corp.

1,900,000

231,287

 

662,936

Electronic Equipment & Instruments - 0.5%

Amphenol Corp. Class A

1,266,624

60,190

Tyco Electronics Ltd.

1,344,556

44,249

 

104,439

Internet Software & Services - 0.6%

Alibaba.com Ltd.

806,000

1,028

eBay, Inc. (a)

524,900

13,086

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Google, Inc. Class A (sub. vtg.) (a)

190,600

$ 88,303

Yahoo!, Inc. (a)

1,254,700

24,316

 

126,733

IT Services - 1.7%

Cognizant Technology Solutions Corp. Class A (a)

1,801,100

52,808

Genpact Ltd.

2,803,200

39,665

MasterCard, Inc. Class A

404,900

98,208

Visa, Inc.

2,271,500

172,407

WNS Holdings Ltd. ADR (a)

454,000

6,170

 

369,258

Semiconductors & Semiconductor Equipment - 1.6%

Applied Materials, Inc.

1,231,800

22,074

Applied Micro Circuits Corp. (a)

1,269,100

10,102

Infineon Technologies AG sponsored ADR (a)

1,218,400

10,369

Intel Corp.

9,012,340

206,112

Lam Research Corp. (a)

703,700

25,868

Skyworks Solutions, Inc. (a)

3,535,200

34,291

Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR

2,682,155

26,044

Texas Instruments, Inc. (h)

587,200

14,392

 

349,252

Software - 2.1%

Activision Blizzard, Inc. (a)

1,927,400

63,257

Adobe Systems, Inc. (a)

1,284,400

55,011

Informatica Corp. (a)

588,400

9,926

Microsoft Corp.

5,773,813

157,567

Nintendo Co. Ltd.

22,037

10,772

Nuance Communications, Inc. (a)

947,400

14,969

Oracle Corp. (a)

4,400,500

96,503

Parametric Technology Corp. (a)

781,300

15,689

Ubisoft Entertainment SA (a)

203,900

19,122

VMware, Inc. Class A

270,894

10,754

 

453,570

TOTAL INFORMATION TECHNOLOGY

2,622,231

MATERIALS - 2.3%

Chemicals - 1.5%

Airgas, Inc.

446,700

26,463

Albemarle Corp.

867,300

34,467

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Chemicals - continued

Celanese Corp. Class A

1,151,581

$ 44,405

E.I. du Pont de Nemours & Co.

1,238,100

55,021

Monsanto Co.

642,600

73,417

Praxair, Inc.

443,900

39,880

The Mosaic Co.

503,000

53,690

 

327,343

Metals & Mining - 0.8%

Agnico-Eagle Mines Ltd.

237,700

13,643

Barrick Gold Corp.

999,700

34,784

Freeport-McMoRan Copper & Gold, Inc. Class B

709,100

63,337

Newcrest Mining Ltd.

1,551,799

36,505

United States Steel Corp.

206,400

27,466

 

175,735

TOTAL MATERIALS

503,078

TELECOMMUNICATION SERVICES - 1.3%

Diversified Telecommunication Services - 1.3%

AT&T, Inc.

2,955,936

94,560

Verizon Communications, Inc.

5,078,395

178,353

 

272,913

UTILITIES - 0.8%

Electric Utilities - 0.5%

Entergy Corp.

471,800

48,779

Exelon Corp.

610,000

46,336

Portland General Electric Co.

13,771

353

PPL Corp.

307,800

13,472

 

108,940

Gas Utilities - 0.1%

Questar Corp.

485,800

25,208

Independent Power Producers & Energy Traders - 0.2%

NRG Energy, Inc. (a)

980,500

36,906

TOTAL UTILITIES

171,054

TOTAL COMMON STOCKS

(Cost $11,778,107)

13,157,493

Preferred Stocks - 0.4%

Shares

Value (000s)

Convertible Preferred Stocks - 0.4%

ENERGY - 0.1%

Oil, Gas & Consumable Fuels - 0.1%

Chesapeake Energy Corp. 4.50%

56,300

$ 6,876

El Paso Corp. 4.99%

8,100

11,055

 

17,931

FINANCIALS - 0.2%

Diversified Financial Services - 0.0%

CIT Group, Inc. Series C, 8.75%

191,800

10,165

Insurance - 0.2%

American International Group, Inc. Series A, 8.50%

800,000

39,790

TOTAL FINANCIALS

49,955

INFORMATION TECHNOLOGY - 0.0%

Internet Software & Services - 0.0%

wetpaint.com, Inc. Series C (r)

497,017

5,000

UTILITIES - 0.1%

Electric Utilities - 0.0%

AES Trust III 6.75%

126,300

5,747

Independent Power Producers & Energy Traders - 0.1%

NRG Energy, Inc. Series A, 5.75%

20,000

6,329

TOTAL UTILITIES

12,076

TOTAL CONVERTIBLE PREFERRED STOCKS

84,962

Nonconvertible Preferred Stocks - 0.0%

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

PTV, Inc. Series A, 10.00%

187

0

Wireless Telecommunication Services - 0.0%

Rural Cellular Corp. 12.25% pay-in-kind (a)

8,043

11,059

TOTAL PREFERRED STOCKS

(Cost $109,560)

96,021

Corporate Bonds - 8.5%

 

Principal Amount (000s)

Value (000s)

Convertible Bonds - 0.3%

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

Liberty Media Corp.:

3.5% 1/15/31

$ 514

$ 334

3.5% 1/15/31 (j)

3,798

2,466

 

2,800

Specialty Retail - 0.0%

Sonic Automotive, Inc. 4.25% 11/30/15 (g)

5,780

4,736

TOTAL CONSUMER DISCRETIONARY

7,536

CONSUMER STAPLES - 0.1%

Food & Staples Retailing - 0.1%

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

17,480

14,206

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.0%

Alliant Techsystems, Inc. 2.75% 2/15/24

4,630

6,359

Airlines - 0.1%

AMR Corp. 4.5% 2/15/24

12,100

11,237

Marine - 0.0%

Horizon Lines, Inc. 4.25% 8/15/12 (j)

6,209

5,122

TOTAL INDUSTRIALS

22,718

INFORMATION TECHNOLOGY - 0.1%

Semiconductors & Semiconductor Equipment - 0.0%

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

6,000

3,403

Spansion, Inc. 2.25% 6/15/16 (j)

1,480

519

 

3,922

Software - 0.1%

Symantec Corp. 1% 6/15/13

6,900

8,792

TOTAL INFORMATION TECHNOLOGY

12,714

UTILITIES - 0.0%

Multi-Utilities - 0.0%

CMS Energy Corp. 3.375% 7/15/23

4,500

5,876

TOTAL CONVERTIBLE BONDS

63,050

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - 8.2%

CONSUMER DISCRETIONARY - 1.4%

Auto Components - 0.0%

Tenneco, Inc. 8.125% 11/15/15

$ 5,925

$ 5,318

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

1,007

1,030

 

6,348

Automobiles - 0.2%

Ford Motor Co.:

7.125% 11/15/25

165

78

7.4% 11/1/46

1,040

468

7.45% 7/16/31

13,850

7,133

7.5% 8/1/26

470

223

7.75% 6/15/43

1,735

798

8.875% 1/15/22

890

481

8.9% 1/15/32

400

200

General Motors Corp. 8.375% 7/15/33

10,395

5,198

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

19,140

18,996

 

33,575

Diversified Consumer Services - 0.0%

Education Management LLC/Education Management Finance Corp.:

8.75% 6/1/14

1,945

1,770

10.25% 6/1/16

2,110

1,857

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

5,400

5,130

 

8,757

Hotels, Restaurants & Leisure - 0.2%

Carrols Corp. 9% 1/15/13

5,860

4,908

Chukchansi Economic Development Authority:

6.3275% 11/15/12 (j)(o)

1,140

923

8% 11/15/13 (j)

1,890

1,531

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

10,025

8,421

MGM Mirage, Inc.:

6.75% 4/1/13

5,520

4,692

7.5% 6/1/16

5,910

4,846

OSI Restaurant Partners, Inc. 10% 6/15/15

2,420

1,331

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

1,080

950

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

2,270

1,861

Six Flags Operations, Inc. 12.25% 7/15/16 (j)

3,060

2,861

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

$ 6,858

$ 3,909

Station Casinos, Inc.:

6% 4/1/12

7,405

5,109

7.75% 8/15/16

1,735

1,171

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

1,851

1,536

 

44,049

Household Durables - 0.0%

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

1,500

1,215

K. Hovnanian Enterprises, Inc. 11.5% 5/1/13 (j)

300

306

 

1,521

Media - 0.8%

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

8,625

7,482

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

17,730

13,209

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

Series B, 10.25% 9/15/10

7,240

6,932

10.25% 9/15/10

12,244

11,632

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

8% 4/30/12 (j)

1,500

1,433

8.375% 4/30/14 (j)

10,000

9,550

Clear Channel Communications, Inc.:

4.4% 5/15/11

1,800

1,323

5% 3/15/12

1,070

666

6.25% 3/15/11

2,510

1,989

Comcast Corp.:

5.7% 5/15/18

3,560

3,383

6.45% 3/15/37

4,155

3,832

EchoStar Communications Corp.:

6.625% 10/1/14

3,000

2,760

7.125% 2/1/16

5,000

4,600

7.75% 5/31/15

3,705

3,538

Lamar Media Corp. 7.25% 1/1/13

1,290

1,226

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

4,450

3,649

LBI Media, Inc. 8.5% 8/1/17 (j)

6,320

4,582

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

$ 1,824

8.25% 2/1/30

10,280

8,688

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

5,455

4,834

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

18,112

18,643

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

5,885

5,348

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

8,000

6,480

Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc. 11.375% 4/1/13

4,033

3,630

Nielsen Finance LLC/Nielsen Finance Co. 10% 8/1/14

3,040

3,070

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

4,005

3,454

Rainbow National LLC & RNS Co. Corp.:

8.75% 9/1/12 (j)

4,000

4,080

10.375% 9/1/14 (j)

7,775

8,203

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

9,530

5,623

Time Warner Cable, Inc. 7.3% 7/1/38

1,848

1,857

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

3,295

2,911

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

18,170

15,581

Vertis, Inc. 10.875% 6/15/09 (e)

1,875

220

Videotron Ltd. 9.125% 4/15/18 (j)

3,045

3,197

 

179,429

Specialty Retail - 0.2%

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

11,125

11,570

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

7,940

5,915

Sally Holdings LLC:

9.25% 11/15/14

2,050

2,060

10.5% 11/15/16

6,535

6,600

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

6,585

5,186

 

31,331

Textiles, Apparel & Luxury Goods - 0.0%

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

6,000

5,175

TOTAL CONSUMER DISCRETIONARY

310,185

CONSUMER STAPLES - 0.2%

Beverages - 0.0%

Diageo Capital PLC 5.2% 1/30/13

2,590

2,620

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food & Staples Retailing - 0.1%

Rite Aid Corp. 10.375% 7/15/16

$ 7,215

$ 6,899

Wal-Mart Stores, Inc. 6.2% 4/15/38

6,660

6,588

 

13,487

Food Products - 0.1%

Dean Foods Co. 7% 6/1/16

8,335

7,710

Pierre Foods, Inc. 9.875% 7/15/12 (e)

11,190

895

Pilgrims Pride Corp. 7.625% 5/1/15

7,125

6,234

Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. 9.25% 4/1/15

4,025

3,512

 

18,351

Tobacco - 0.0%

Philip Morris International, Inc. 6.375% 5/16/38

6,000

5,901

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

6,485

6,392

 

12,293

TOTAL CONSUMER STAPLES

46,751

ENERGY - 1.2%

Energy Equipment & Services - 0.0%

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

5,420

5,400

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

3,000

3,030

 

8,430

Oil, Gas & Consumable Fuels - 1.2%

Arch Western Finance LLC 6.75% 7/1/13

4,960

4,923

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

9,170

9,216

Chaparral Energy, Inc.:

8.5% 12/1/15

3,120

2,707

8.875% 2/1/17

11,050

9,558

Chesapeake Energy Corp.:

6.5% 8/15/17

14,280

13,209

7.25% 12/15/18

4,080

3,963

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

7,000

6,829

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

5,990

6,185

Drummond Co., Inc. 7.375% 2/15/16 (j)

8,000

6,940

Duke Capital LLC 6.75% 2/15/32

2,454

2,297

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

8,320

7,554

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Encore Acquisition Co. 7.25% 12/1/17

$ 3,000

$ 2,760

Energy Partners Ltd. 9.75% 4/15/14

10,970

9,736

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

5,585

5,529

Forest Oil Corp. 7.25% 6/15/19

9,250

8,487

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

10,945

10,493

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

2,100

1,916

Massey Energy Co. 6.875% 12/15/13

10,565

10,301

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

3,700

3,449

Nexen, Inc.:

5.875% 3/10/35

2,365

2,004

6.4% 5/15/37

4,230

3,794

OPTI Canada, Inc. 7.875% 12/15/14

5,000

4,944

Peabody Energy Corp. 7.875% 11/1/26

7,925

7,885

Petrohawk Energy Corp. 9.125% 7/15/13

17,000

16,830

Petroleum Development Corp. 12% 2/15/18

5,500

5,775

Plains All American Pipeline LP:

6.125% 1/15/17

1,880

1,834

6.65% 1/15/37

4,780

4,320

Plains Exploration & Production Co.:

7% 3/15/17

4,400

3,949

7.625% 6/1/18

7,415

6,877

7.75% 6/15/15

6,000

5,715

Range Resources Corp. 7.375% 7/15/13

1,330

1,330

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

5,710

5,182

SandRidge Energy, Inc. 8.625% 4/1/15 pay-in-kind (j)

6,610

6,412

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

10,070

9,969

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

3,340

3,382

Stone Energy Corp. 6.75% 12/15/14

5,580

4,806

Suncor Energy, Inc.:

6.1% 6/1/18

6,120

6,078

6.85% 6/1/39

6,550

6,559

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

2,650

2,284

Teekay Corp. 8.875% 7/15/11

10,030

10,582

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

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

$ 6,285

$ 6,678

XTO Energy, Inc. 6.5% 12/15/18

5,000

4,985

 

258,226

TOTAL ENERGY

266,656

FINANCIALS - 1.0%

Capital Markets - 0.2%

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

10,270

10,667

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

8,835

7,774

JPMorgan Chase Capital XX 6.55% 9/29/36

11,345

9,335

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

8,895

8,281

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

6,070

5,220

 

41,277

Commercial Banks - 0.1%

Bank of America NA 6% 10/15/36

2,235

1,930

Credit Suisse First Boston 6% 2/15/18

8,345

8,007

HSBC Holdings PLC:

6.5% 5/2/36

6,610

6,102

6.5% 9/15/37

8,400

7,659

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

1,847

1,775

 

25,473

Consumer Finance - 0.3%

Ford Motor Credit Co. LLC 7.2406% 4/15/12 (o)

11,485

10,796

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

16,980

16,596

General Motors Acceptance Corp.:

3.9513% 9/23/08 (o)

4,100

4,082

7% 2/1/12

9,390

5,626

8% 11/1/31

6,425

3,502

GMAC LLC 6% 12/15/11

5,220

3,106

SLM Corp.:

2.96% 7/26/10 (o)

19,186

17,294

4% 1/15/09

5,300

5,260

4.5% 7/26/10

1,100

1,001

Triad Acquisition Corp. 11.125% 5/1/13

2,125

1,296

 

68,559

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - 0.2%

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

$ 10,671

$ 10,702

Hilcorp Energy I LP/Hilcorp Finance Co.:

7.75% 11/1/15 (j)

9,370

8,480

9% 6/1/16 (j)

5,690

5,519

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

6,750

6,480

 

31,181

Insurance - 0.0%

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

7,420

6,650

USI Holdings Corp. 6.6794% 11/15/14 (j)(o)

2,920

2,278

 

8,928

Real Estate Investment Trusts - 0.1%

Duke Realty LP:

5.5% 3/1/16

2,930

2,661

5.625% 8/15/11

2,570

2,516

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

4,090

3,814

Rouse Co. 3.625% 3/15/09

8,195

7,826

Senior Housing Properties Trust 8.625% 1/15/12

5,910

6,028

 

22,845

Thrifts & Mortgage Finance - 0.1%

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

8,894

8,663

Residential Capital LLC 8.5% 5/15/10 (j)

4,501

3,083

 

11,746

TOTAL FINANCIALS

210,009

HEALTH CARE - 0.8%

Health Care Equipment & Supplies - 0.2%

Accellent, Inc. 10.5% 12/1/13

9,830

9,240

Biomet, Inc.:

10% 10/15/17

6,820

7,349

11.625% 10/15/17

11,820

12,441

 

29,030

Health Care Providers & Services - 0.6%

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

8,830

7,373

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

10,435

10,422

DaVita, Inc. 6.625% 3/15/13

20,205

19,750

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

HCA, Inc. 9.25% 11/15/16

$ 17,430

$ 17,975

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

9,000

9,045

NMH Holdings, Inc. 9.9013% 6/15/14 pay-in-kind (j)(o)

5

4

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

4,835

4,352

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

7,630

7,630

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

6,230

5,420

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

6,460

6,686

Tenet Healthcare Corp.:

6.5% 6/1/12

2,005

1,915

7.375% 2/1/13

15,600

14,781

9.25% 2/1/15

8,000

8,080

United Surgical Partners International, Inc.:

8.875% 5/1/17

10,745

9,348

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

2,990

2,579

US Oncology Holdings, Inc. 7.9494% 3/15/12 pay-in-kind (o)

8,081

6,169

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

2,389

2,019

 

133,548

Health Care Technology - 0.0%

DJO Finance LLC / DJO Finance Corp. 10.875% 11/15/14

6,245

6,292

Pharmaceuticals - 0.0%

AstraZeneca PLC 6.45% 9/15/37

1,853

1,900

TOTAL HEALTH CARE

170,770

INDUSTRIALS - 0.8%

Aerospace & Defense - 0.1%

Bombardier, Inc.:

6.3% 5/1/14 (j)

10,420

10,003

7.45% 5/1/34 (j)

2,340

2,235

8% 11/15/14 (j)

8,765

9,028

DRS Technologies, Inc.:

6.625% 2/1/16

3,760

3,873

7.625% 2/1/18

1,830

1,926

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Aerospace & Defense - continued

Orbimage Holdings, Inc. 12.6538% 7/1/12 (o)

$ 2,180

$ 2,245

TransDigm, Inc. 7.75% 7/15/14

2,350

2,291

 

31,601

Airlines - 0.1%

AMR Corp. 10.2% 3/15/20

3,445

1,946

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

2,050

1,548

Continental Airlines, Inc. pass-thru trust certificates:

8.388% 5/1/22

99

79

9.798% 4/1/21

6,501

5,461

Delta Air Lines, Inc.:

7.9% 12/15/09 (a)

27,035

338

8.3% 12/15/29 (a)

15,711

196

10.375% 2/1/11 (a)

8,640

130

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

7.57% 11/18/10

4,430

4,175

7.779% 1/2/12

1,797

1,555

 

15,428

Building Products - 0.1%

Masonite International Corp. 11% 4/6/15

6,000

2,250

Nortek, Inc. 10% 12/1/13 (j)

10,880

9,955

Ply Gem Industries, Inc. 11.75% 6/15/13 (j)

5,495

4,918

 

17,123

Commercial Services & Supplies - 0.2%

ARAMARK Corp. 8.5% 2/1/15

7,670

7,728

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

1,350

1,350

Cenveo Corp. 10.5% 8/15/16 (j)

2,590

2,551

FTI Consulting, Inc.:

7.625% 6/15/13

920

952

7.75% 10/1/16

1,800

1,863

Intelsat Corp. 9.25% 8/15/14 (j)

5,190

5,158

Iron Mountain, Inc.:

6.625% 1/1/16

7,000

6,598

7.75% 1/15/15

10,930

10,930

8.625% 4/1/13

370

372

 

37,502

Electrical Equipment - 0.1%

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

11,608

11,376

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Industrial Conglomerates - 0.1%

Covidien International Finance SA:

5.45% 10/15/12

$ 3,245

$ 3,296

6.55% 10/15/37

3,560

3,621

General Electric Co. 5.25% 12/6/17

18,535

17,913

 

24,830

Machinery - 0.0%

Columbus McKinnon Corp. 8.875% 11/1/13

590

609

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

1,730

1,496

 

2,105

Road & Rail - 0.1%

Kansas City Southern Railway Co.:

7.5% 6/15/09

8,005

8,105

8% 6/1/15

2,450

2,499

TFM SA de CV 9.375% 5/1/12

4,220

4,399

 

15,003

Trading Companies & Distributors - 0.0%

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

9,330

8,490

TOTAL INDUSTRIALS

163,458

INFORMATION TECHNOLOGY - 0.7%

Communications Equipment - 0.1%

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

10,065

6,945

Nortel Networks Corp.:

10.125% 7/15/13

7,880

7,328

10.75% 7/15/16 (j)

4,900

4,533

 

18,806

Electronic Equipment & Instruments - 0.1%

Itron, Inc. 7.75% 5/15/12

860

862

NXP BV 7.875% 10/15/14

8,000

6,560

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

8,880

8,858

Tyco Electronics Group SA 7.125% 10/1/37

1,952

1,965

 

18,245

IT Services - 0.2%

Iron Mountain, Inc.:

8% 6/15/20

5,495

5,330

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

IT Services - continued

Iron Mountain, Inc.: - continued

8.75% 7/15/18

$ 2,345

$ 2,398

Lender Processing Services, Inc. 8.125% 7/1/16 (j)

1,760

1,786

SunGard Data Systems, Inc.:

4.875% 1/15/14

12,355

10,857

10.25% 8/15/15

14,610

14,701

 

35,072

Semiconductors & Semiconductor Equipment - 0.3%

Amkor Technology, Inc.:

7.125% 3/15/11

4,000

3,840

9.25% 6/1/16

3,505

3,409

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

8,150

8,802

Freescale Semiconductor, Inc.:

8.875% 12/15/14

6,770

5,493

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

36,765

28,541

10.125% 12/15/16

5,875

4,494

Spansion LLC 11.25% 1/15/16 (j)

7,320

4,575

 

59,154

Software - 0.0%

Open Solutions, Inc. 9.75% 2/1/15 (j)

1,300

910

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

9,570

10,096

 

11,006

TOTAL INFORMATION TECHNOLOGY

142,283

MATERIALS - 0.6%

Chemicals - 0.1%

Agrium, Inc. 7.125% 5/23/36

5,105

5,431

Airgas, Inc. 7.125% 10/1/18 (j)

2,190

2,206

Georgia Gulf Corp.:

9.5% 10/15/14

3,440

2,511

10.75% 10/15/16

3,745

1,873

Koppers, Inc. 9.875% 10/15/13

722

758

MacDermid, Inc. 9.5% 4/15/17 (j)

740

677

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

Momentive Performance Materials, Inc.:

9.75% 12/1/14

$ 3,670

$ 3,266

10.875% 12/1/14 pay-in-kind

3,660

3,087

 

19,809

Containers & Packaging - 0.1%

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

10,450

8,621

BWAY Corp. 10% 10/15/10

840

836

Crown Americas LLC/Crown Americas Capital Corp.:

7.625% 11/15/13

4,000

4,090

7.75% 11/15/15

4,000

4,130

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

2,390

2,366

Owens-Illinois, Inc.:

7.5% 5/15/10

770

789

7.8% 5/15/18

350

354

 

21,186

Metals & Mining - 0.4%

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

7,000

7,840

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

23,725

25,149

Noranda Aluminium Holding Corp. 8.5775% 11/15/14 pay-in-kind (o)

3,500

2,739

Nucor Corp.:

5.85% 6/1/18

5,135

5,180

6.4% 12/1/37

4,120

4,066

RathGibson, Inc. 11.25% 2/15/14

4,385

4,221

Rio Tinto Finance Ltd.:

5.875% 7/15/13

5,333

5,378

6.5% 7/15/18

5,332

5,365

7.125% 7/15/28

7,050

7,144

Steel Dynamics, Inc. 7.75% 4/15/16 (j)

6,770

6,584

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

560

524

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

4,975

4,223

 

78,413

Paper & Forest Products - 0.0%

Catalyst Paper Corp. 7.375% 3/1/14

4,268

2,988

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Paper & Forest Products - continued

International Paper Co.:

7.4% 6/15/14

$ 3,650

$ 3,702

7.95% 6/15/18

5,485

5,573

 

12,263

TOTAL MATERIALS

131,671

TELECOMMUNICATION SERVICES - 0.8%

Diversified Telecommunication Services - 0.5%

AT&T, Inc.:

6.3% 1/15/38

9,775

9,217

6.8% 5/15/36

13,429

13,348

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

1,845

1,987

BellSouth Corp. 6.55% 6/15/34

4,075

3,943

British Telecommunications PLC 9.125% 12/15/30

3,080

3,629

Intelsat Ltd. 11.25% 6/15/16

7,145

7,502

Level 3 Financing, Inc. 9.25% 11/1/14

6,000

5,505

Sprint Capital Corp.:

6.875% 11/15/28

12,283

10,441

6.9% 5/1/19

10,840

10,054

8.375% 3/15/12

7,330

7,385

Telecom Italia Capital SA:

6.999% 6/4/18

5,335

5,218

7.2% 7/18/36

3,975

3,655

7.721% 6/4/38

5,335

5,203

Telefonica Emisiones SAU 7.045% 6/20/36

8,220

8,347

Verizon Communications, Inc.:

6.1% 4/15/18

2,979

2,971

6.25% 4/1/37

3,729

3,425

6.4% 2/15/38

6,365

5,922

6.9% 4/15/38

3,995

3,956

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

4,320

4,597

 

116,305

Wireless Telecommunication Services - 0.3%

Cricket Communications, Inc.:

9.375% 11/1/14

660

654

10% 7/15/15 (j)

4,320

4,363

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Digicel Group Ltd.:

8.875% 1/15/15 (j)

$ 13,265

$ 12,370

9.125% 1/15/15 pay-in-kind (j)(o)

7,359

6,862

9.25% 9/1/12 (j)

4,120

4,223

DIRECTV Holdings LLC/DIRECTV Financing, Inc. 7.625% 5/15/16 (j)

8,200

8,180

Intelsat Jackson Holdings Ltd.:

9.5% 6/15/16 (j)

6,745

6,762

11.5% 6/15/16 (j)

665

695

Intelsat Subsidiary Holding Co. Ltd. 8.875% 1/15/15 (j)

6,035

5,967

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

1,510

1,382

Rural Cellular Corp.:

5.6819% 6/1/13 (o)

4,500

4,590

8.25% 3/15/12

2,590

2,681

Vimpel Communications:

8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (j)

3,575

3,468

9.125% 4/30/18 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (j)

2,890

2,760

 

64,957

TOTAL TELECOMMUNICATION SERVICES

181,262

UTILITIES - 0.7%

Electric Utilities - 0.5%

Appalachian Power Co. 6.375% 4/1/36

6,000

5,566

Duke Energy Carolinas LLC 6.05% 4/15/38

2,510

2,446

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

10,928

11,112

Energy Future Holdings:

10.875% 11/1/17 (j)

24,170

24,714

11.25% 11/1/17 pay-in-kind (j)(o)

10,710

10,496

Florida Power Corp.:

5.65% 6/15/18

2,710

2,758

6.4% 6/15/38

6,435

6,548

Intergen NV 9% 6/30/17 (j)

14,645

14,938

IPALCO Enterprises, Inc. 7.25% 4/1/16 (j)

3,625

3,589

Mirant Americas Generation LLC 8.3% 5/1/11

6,000

6,105

Nevada Power Co. 6.5% 5/15/18

5,100

5,100

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

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

$ 3,230

$ 3,010

Tampa Electric Co. 6.15% 5/15/37

3,871

3,502

 

99,884

Independent Power Producers & Energy Traders - 0.1%

AES Corp. 7.75% 10/15/15

4,660

4,602

Enron Corp.:

6.4% 7/15/06 (e)

3,600

59

6.625% 11/15/05 (e)

2,155

35

6.75% 9/1/04 (e)

1,425

29

9.125% 4/1/03 (e)

4,315

70

NRG Energy, Inc. 7.375% 2/1/16

9,560

9,393

Reliant Energy, Inc. 6.75% 12/15/14

9,645

9,741

 

23,929

Multi-Utilities - 0.1%

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

9,860

8,957

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

6,515

6,500

NiSource Finance Corp.:

5.45% 9/15/20

1,915

1,635

6.8% 1/15/19

4,000

3,890

 

20,982

TOTAL UTILITIES

144,795

TOTAL NONCONVERTIBLE BONDS

1,767,840

TOTAL CORPORATE BONDS

(Cost $1,939,693)

1,830,890

U.S. Government and Government Agency Obligations - 5.4%

 

U.S. Government Agency Obligations - 2.1%

Fannie Mae:

3.375% 5/19/11

95,623

95,442

3.625% 8/15/11

14,335

14,367

4.375% 7/17/13

20,070

20,322

4.625% 10/15/13 (h)

30,000

30,807

6% 5/15/11 (m)

38,785

41,321

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - continued

Fannie Mae: - continued

6.125% 3/15/12

$ 1,502

$ 1,618

6.625% 9/15/09

27,133

28,069

Freddie Mac:

3.25% 7/16/10

53,800

53,910

3.875% 6/29/11

73,807

74,589

4.5% 1/15/14

5,885

6,004

4.875% 11/15/13 (h)

17,515

18,192

5.25% 7/18/11 (h)(m)

53,350

55,845

Tennessee Valley Authority 5.375% 4/1/56

5,573

5,717

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

446,203

U.S. Treasury Inflation Protected Obligations - 2.6%

U.S. Treasury Inflation-Indexed Notes:

0.625% 4/15/13

12,419

12,093

1.625% 1/15/15 (m)

34,368

34,823

1.625% 1/15/18

12,530

12,484

2% 4/15/12

7,664

7,909

2% 1/15/14 (m)

177,578

184,048

2.375% 4/15/11

43,609

45,157

2.375% 1/15/27

48,812

50,358

2.5% 7/15/16

146,225

156,361

2.625% 7/15/17

47,494

51,466

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

554,699

U.S. Treasury Obligations - 0.7%

U.S. Treasury Notes:

3.375% 11/30/12 (h)

22,883

23,283

5.125% 5/15/16 (h)(m)

113,093

125,189

TOTAL U.S. TREASURY OBLIGATIONS

148,472

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,112,914)

1,149,374

U.S. Government Agency - Mortgage Securities - 5.0%

 

Principal Amount (000s)

Value (000s)

Fannie Mae - 3.0%

5% 8/1/33 to 6/1/38

$ 60,088

$ 58,044

5% 9/11/38 (k)

60,000

57,631

5% 9/11/38 (k)

120,000

115,263

5.5% 1/1/33 to 1/1/38 (l)

240,785

238,873

5.616% 7/1/37 (o)

1,563

1,591

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

115,814

117,844

6.028% 4/1/36 (o)

1,192

1,220

6.157% 4/1/36 (o)

2,820

2,887

6.252% 6/1/36 (o)

416

423

6.309% 4/1/36 (o)

1,159

1,189

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

43,857

45,529

TOTAL FANNIE MAE

640,494

Freddie Mac - 0.5%

5% 3/1/19

25,603

25,730

5% 9/11/38 (k)

60,000

57,594

5.735% 10/1/35 (o)

747

759

5.853% 6/1/36 (o)

1,404

1,430

5.984% 7/1/37 (o)

6,985

7,127

6.045% 6/1/36 (o)

1,324

1,351

6.063% 4/1/36 (o)

2,177

2,222

6.11% 6/1/36 (o)

1,324

1,353

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

23,577

24,432

TOTAL FREDDIE MAC

121,998

Government National Mortgage Association - 1.5%

5.5% 11/20/37

17,706

17,562

5.5% 9/1/38 (k)

27,000

26,945

5.5% 9/1/38 (k)

7,000

6,986

5.5% 9/1/38 (k)

10,000

9,979

5.5% 9/1/38 (k)

27,000

26,945

5.5% 9/1/38 (k)

31,000

30,936

5.5% 9/1/38 (k)

18,000

17,963

5.5% 9/1/38 (k)(l)

86,000

85,824

5.5% 10/1/38 (k)

11,000

10,945

5.5% 10/22/38 (k)

60,000

59,699

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Government National Mortgage Association - continued

6% 2/15/34

$ 15,078

$ 15,401

6.5% 3/15/34

8,243

8,660

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

317,845

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,075,749)

1,080,337

Asset-Backed Securities - 0.1%

 

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 2.7719% 7/25/36 (o)

3,500

641

Series 2006-NC4 Class M1, 2.7719% 10/25/36 (o)

2,570

463

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

1,566

1,550

JPMorgan Mortgage Acquisition Trust Series 2006-NC2 Class M2, 2.7719% 7/25/36 (o)

2,355

315

Long Beach Mortgage Loan Trust Series 2006-2 Class 2A2, 2.6019% 3/25/36 (o)

2,685

2,630

Merna Reinsurance Ltd. Series 2007-1 Class B, 4.5506% 6/30/12 (j)(o)

3,365

3,232

Morgan Stanley ABS Capital I Trust:

Series 2006-HE3 Class B3, 4.3719% 4/25/36 (o)

1,500

35

Series 2007-HE2 Class M1, 2.7219% 1/25/37 (o)

3,030

319

Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 2.5219% 11/25/36 (o)

456

446

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

287

284

NovaStar Mortgage Funding Trust Series 2006-5 Class A2A, 2.5419% 11/25/36 (o)

131

130

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1 Class 1A1, 2.5419% 9/25/36 (o)

2,668

2,586

Securitized Asset Backed Receivables LLC Trust:

Series 2006-FR4 Class A2A, 2.5519% 8/25/36 (o)

1,432

1,331

Series 2007-NC1 Class A2A, 2.5219% 12/25/36 (o)

941

872

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 651

$ 637

Structured Asset Securities Corp. Series 2007-BC4 Class A3, 2.7219% 11/25/37 (o)

7,666

6,794

TOTAL ASSET-BACKED SECURITIES

(Cost $31,831)

22,265

Collateralized Mortgage Obligations - 0.2%

 

Private Sponsor - 0.1%

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

45,493

3,912

JPMorgan Mortgage Trust Series 2006-A2 Class 5A1, 3.7741% 11/25/33 (o)

2,617

2,467

TOTAL PRIVATE SPONSOR

6,379

U.S. Government Agency - 0.1%

Fannie Mae subordinate REMIC pass-thru certificates sequential payer:

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

9,638

9,851

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

17,847

17,866

TOTAL U.S. GOVERNMENT AGENCY

27,717

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $36,057)

34,096

Commercial Mortgage Securities - 0.2%

 

Banc of America Commercial Mortgage, Inc. sequential payer Series 2007-1 Class A2, 5.381% 1/15/49

2,565

2,470

Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 1.8407% 8/1/24 (j)(o)

595

416

Citigroup Commercial Mortgage Trust sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49

6,330

5,783

Credit Suisse Commercial Mortgage Trust sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (o)

6,455

6,236

First Chicago/Lennar Trust I Series 1997-CHL1 Class E, 7.9571% 4/29/39 (j)(o)

582

582

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

7,223

7,219

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.6614% 12/10/41 (o)(q)

$ 4,571

$ 65

JPMorgan Chase Commercial Mortgage Securities Trust Series 2005-LDP3 Class A3, 4.959% 8/15/42

6,840

6,603

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

140

126

Wachovia Bank Commercial Mortgage Trust:

sequential payer Series 2007-C32 Class A2, 5.7357% 6/15/49 (o)

2,090

2,027

Series 2006-C23 Class A5, 5.416% 1/15/45 (o)

5,005

4,599

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $35,629)

36,126

Municipal Securities - 0.1%

 

Montgomery County Gen. Oblig. Series A, 5% 1/1/13

3,800

4,148

North Carolina Gen. Oblig. Series A, 5.5% 3/1/13

3,400

3,788

Ohio Gen. Oblig. (Common Schools Proj.) Series E, 5% 9/15/12

3,910

4,245

TOTAL MUNICIPAL SECURITIES

(Cost $12,151)

12,181

Floating Rate Loans - 1.4%

 

CONSUMER DISCRETIONARY - 0.4%

Automobiles - 0.1%

AM General LLC term loan 8.22% 4/17/12 (o)

16,863

13,490

Hotels, Restaurants & Leisure - 0.2%

Fantasy Springs Resort Casino term loan 9.94% 8/6/12 (o)

7,650

6,732

Intrawest Resorts term loan 5.7% 10/23/08 (o)

25,286

24,021

Southwest Sports Group, Inc. Tranche B, term loan 5.313% 12/22/10 (o)

7,000

6,020

 

36,773

Media - 0.1%

Discovery Communications, Inc. term loan 4.8006% 5/14/14 (o)

1,535

1,498

Hicks Sports Group LLC Tranche 2LN, term loan 8.3125% 12/22/11 (o)

11,000

8,800

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Newsday LLC term loan 9.75% 8/1/13 (o)

$ 7,000

$ 7,000

Tribune Co. term loan 5.5413% 6/4/09 (o)

1,375

1,320

 

18,618

Multiline Retail - 0.0%

Dollar General Corp. Tranche B2, term loan 5.2188% 7/6/14 (o)

13,000

11,505

Specialty Retail - 0.0%

GNC Corp. term loan 4.9455% 9/16/13 (o)

790

719

Textiles, Apparel & Luxury Goods - 0.0%

Levi Strauss & Co. term loan 4.7131% 4/4/14 (o)

4,290

3,475

TOTAL CONSUMER DISCRETIONARY

84,580

CONSUMER STAPLES - 0.0%

Household Products - 0.0%

KIK Custom Products, Inc. Tranche 2LN, term loan 7.4719% 11/30/14 (o)

12,000

5,160

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Antero Resources Corp. Tranche 2LN, term loan 7.3% 4/12/14 (o)

11,000

9,790

Venoco, Inc. Tranche 2LN, term loan 6.8125% 5/7/14 (o)

610

567

 

10,357

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

LandSource Communities Development LLC Tranche 2LN, term loan 10.55% 2/27/14 (e)(o)

1,120

101

MGM Holdings II, Inc.:

term loan 6.0506% 4/8/12 (o)

7,000

5,320

Tranche B, term loan 6.0506% 4/8/12 (o)

2,522

1,917

Tempus Public Foundation Generation Holdings LLC Tranche 2LN, term loan 7.0506% 12/15/14 (o)

10,000

8,950

 

16,288

HEALTH CARE - 0.3%

Health Care Providers & Services - 0.2%

Concentra Operating Corp. Tranche 2LN, term loan 8.3006% 6/25/15 (o)

18,825

11,295

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

Genoa Healthcare Group LLC Tranche 2, term loan 11.5% 2/4/13 (o)

$ 2,500

$ 2,225

Golden Gate National Senior Care LLC Tranche 2, term loan 10.2188% 9/14/11 (o)

10,000

9,100

Renal Advantage, Inc. Tranche B, term loan 5.2796% 9/30/12 (o)

212

198

Rural/Metro Corp.:

Credit-Linked Deposit 6% 3/4/11 (o)

2,285

2,165

term loan 6.2366% 3/4/11 (o)

3,961

3,753

Sheridan Healthcare, Inc. Tranche 2LN, term loan 8.5406% 6/15/15 (o)

17,840

14,986

 

43,722

Pharmaceuticals - 0.1%

Graceway Pharmaceuticals LLC Tranche B 2LN, term loan 9.3006% 5/3/13 (o)

15,000

11,250

TOTAL HEALTH CARE

54,972

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.0%

McKechnie Aerospace Holdings Ltd. Tranche 2LN, term loan 7.47% 5/11/15 pay-in-kind (o)

110

88

Airlines - 0.1%

Delta Air Lines, Inc. Tranche 2LN, term loan 5.7188% 4/30/14 (o)

8,486

6,237

Northwest Airlines, Inc. term loan 4.4855% 8/21/13 (o)

7,197

6,009

 

12,246

Commercial Services & Supplies - 0.0%

Big Dumpster Merger Sub, Inc. (Wastequip, Inc.) Tranche B, term loan 5.0506% 2/5/13 (o)

418

340

Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 8.8125% 2/7/15 (o)

985

916

 

1,256

Machinery - 0.0%

Dresser, Inc. Tranche 2LN, term loan 8.5569% 5/4/15 pay-in-kind (o)

10,990

10,578

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Machinery - continued

Navistar International Corp.:

term loan 6.1914% 1/19/12 (o)

$ 352

$ 322

Credit-Linked Deposit 6.0463% 1/19/12 (o)

128

117

 

11,017

TOTAL INDUSTRIALS

24,607

INFORMATION TECHNOLOGY - 0.2%

Communications Equipment - 0.1%

IPC Systems, Inc. Tranche 2LN, term loan 8.0625% 5/31/15 (o)

6,000

3,840

SafeNet, Inc. Tranche 2LN, term loan 9.2881% 4/12/15 (o)

7,500

5,925

 

9,765

Software - 0.1%

Kronos, Inc. Tranche 2LN, term loan 8.5506% 6/11/15 (o)

33,730

28,165

Serena Software, Inc. term loan 4.68% 3/10/13 (o)

288

263

SS&C Technologies, Inc. term loan 4.7808% 11/23/12 (o)

460

430

 

28,858

TOTAL INFORMATION TECHNOLOGY

38,623

MATERIALS - 0.0%

Containers & Packaging - 0.0%

Anchor Glass Container Corp. term loan 7.75% 6/20/14 (o)

7,314

7,168

TELECOMMUNICATION SERVICES - 0.2%

Diversified Telecommunication Services - 0.2%

Intelsat Ltd. Tranche B, term loan 5.2875% 7/3/13 (o)

24,749

23,821

Paetec Communications, Inc. Tranche B, term loan 4.9688% 2/28/13 (o)

445

405

Wind Telecomunicazioni SpA term loan 10.035% 12/12/11 pay-in-kind (o)

16,387

15,176

 

39,402

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - 0.0%

Leap Wireless International, Inc. Tranche B, term loan 6.3006% 6/16/13 (o)

$ 3,752

$ 3,705

TOTAL TELECOMMUNICATION SERVICES

43,107

UTILITIES - 0.1%

Electric Utilities - 0.0%

Bicent Power LLC Tranche 2LN, term loan 6.7% 12/31/14 (o)

810

664

Independent Power Producers & Energy Traders - 0.1%

Nebraska Energy, Inc. Tranche 2LN, term loan 7.125% 5/1/14 (o)

11,280

10,265

TOTAL UTILITIES

10,929

TOTAL FLOATING RATE LOANS

(Cost $338,244)

295,791

Fixed-Income Funds - 15.6%

Shares

 

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

2,333,551

196,835

Fidelity Commercial Mortgage-Backed Securities Central Fund (p)

3,556,466

315,814

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

11,046,852

1,064,585

Fidelity Mortgage Backed Securities Central Fund (p)

13,334,966

1,308,960

Fidelity Ultra-Short Central Fund (p)

5,571,808

455,384

TOTAL FIXED-INCOME FUNDS

(Cost $3,572,857)

3,341,578

Money Market Funds - 4.8%

 

 

 

 

Fidelity Cash Central Fund, 2.31% (b)

906,234,330

906,234

Fidelity Securities Lending Cash Central Fund, 2.35% (b)(d)

114,831,025

114,831

TOTAL MONEY MARKET FUNDS

(Cost $1,021,065)

1,021,065

Cash Equivalents - 1.1%

Maturity Amount (000s)

Value (000s)

Investments in repurchase agreements in a joint trading account at:

2.01%, dated 8/29/08 due 9/2/08 (Collateralized by U.S. Treasury Obligations) #

$ 2,294

$ 2,293

2.14%, dated 8/29/08 due 9/2/08 (Collateralized by U.S. Government Obligations) # (c)

240,066

240,009

TOTAL CASH EQUIVALENTS

(Cost $242,302)

242,302

TOTAL INVESTMENT PORTFOLIO - 104.2%

(Cost $21,306,159)

22,319,519

NET OTHER ASSETS - (4.2)%

(893,014)

NET ASSETS - 100%

$ 21,426,505

Swap Agreements

 

Expiration Date

Notional Amount (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

13

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

1,501

(1,271)

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 (n)

Sept. 2037

13,300

(12,103)

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 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 (n)

Sept. 2037

$ 10,900

$ (9,919)

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 (n)

Sept. 2037

2,500

(2,275)

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

(4,095)

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

(15,015)

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

(9,919)

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

(9,646)

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

(8,281)

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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

$ (8,069)

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

Sept. 2036

4,600

(4,249)

Receive monthly notional amount multiplied by 2.80% 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

1,697

(1,462)

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

3,804

(3,666)

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

(2,387)

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

(4,416)

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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

August 2036

$ 2,700

$ (2,480)

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

(2,440)

TOTAL CREDIT DEFAULT SWAPS

 

113,202

(101,680)

Interest Rate Swaps

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

6,694

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

5,553

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

4,684

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

4,127

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

4,509

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

6,509

TOTAL INTEREST RATE SWAPS

 

535,500

32,076

 

 

$ 648,702

$ (69,604)

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 $387,034,000 or 1.8% of net assets.

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

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

(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 $79,928,000.

(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 unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. 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 $5,045,000 or 0.0% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

BMP Sunstone Corp. warrants 8/19/12

8/17/07

$ 7

wetpaint.com, Inc. Series C

5/14/08

$ 5,000

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$2,293,000 due 9/02/08 at 2.01%

BNP Paribas Securities Corp.

$ 843

Banc of America Securities LLC

455

Barclays Capital, Inc.

638

Deutsche Bank Securities, Inc.

357

 

$ 2,293

$240,009,000 due 9/02/08 at 2.14%

Banc of America Securities LLC

$ 76,335

Bank of America, NA

163,674

 

$ 240,009

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

$ 12,769

Fidelity Cash Central Fund

21,549

Fidelity Commercial Mortgage-Backed Securities Central Fund

18,898

Fidelity Corporate Bond 1-10 Year Central Fund

65,249

Fidelity Mortgage Backed Securities Central Fund

75,115

Fidelity Securities Lending Cash Central Fund

2,193

Fidelity Ultra-Short Central Fund

23,315

Total

$ 219,088

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

$ 12,769

$ 148,116

$ 196,835

13.1%

Fidelity Commercial Mortgage-Backed Securities Central Fund

387,841

18,897

59,968

315,814

9.1%

Fidelity Corporate Bond 1-10 Year Central Fund

1,297,361

125,268

333,789

1,064,585

13.5%

Fidelity Mortgage Backed Securities Central Fund

1,681,620

75,116

449,674

1,308,960

14.6%

Fidelity Ultra-Short Central Fund

599,599

236,584

294,071

455,384

12.8%

Total

$ 4,331,286

$ 468,634

$ 1,285,618

$ 3,341,578

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

$ -

$ -

$ 5,614

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

19.7%

AAA,AA,A

6.7%

BBB

3.8%

BB

1.6%

B

3.5%

CCC,CC,C

2.4%

Not Rated

0.5%

Equities

61.8%

Short-Term Investments and
Net Other Assets

0.0%

 

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.

The information in the above table 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.

Annual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

August 31, 2008

Assets

Investment in securities, at value (including securities loaned of $345,147 and repurchase agreements of $242,302) - See accompanying schedule:

Unaffiliated issuers (cost $16,696,213)

$ 17,951,262

 

Fidelity Central Funds (cost $4,593,922)

4,362,643

 

Other affiliated issuers (cost $16,024)

5,614

 

Total Investments (cost $21,306,159)

 

$ 22,319,519

Commitment to sell securities on a delayed delivery basis

(99,357)

Receivable for securities sold on a delayed delivery basis

99,379

22

Foreign currency held at value (cost $8,133)

8,133

Receivable for investments sold
Regular delivery

 

73,119

Delayed delivery

 

105

Receivable for swap agreements

102

Receivable for fund shares sold

13,122

Dividends receivable

20,247

Interest receivable

55,631

Distributions receivable from Fidelity Central Funds

16,518

Unrealized appreciation on swap agreements

32,089

Prepaid expenses

22

Other receivables

1,401

Total assets

22,540,030

 

 

 

Liabilities

Payable to custodian bank

$ 7,589

Payable for investments purchased
Regular delivery

120,640

Delayed delivery

502,048

Payable for swap agreements

3,262

Payable for fund shares redeemed

11,927

Unrealized depreciation on swap agreements

101,693

Accrued management fee

7,277

Other affiliated payables

3,486

Other payables and accrued expenses

763

Collateral on securities loaned, at value

354,840

Total liabilities

1,113,525

 

 

 

Net Assets

$ 21,426,505

Net Assets consist of:

 

Paid in capital

$ 20,353,026

Undistributed net investment income

112,147

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

3,201

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

958,131

Net Assets

$ 21,426,505

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

Annual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

 Amounts in thousands (except per-share amounts)

August 31, 2008

 

 

 

Puritan:
Net Asset Value, offering price and redemption price per share ($21,417,812 ÷ 1,254,497.62 shares)

$ 17.07

 

 

 

Class K:
Net Asset Value, offering price and redemption price per share ($8,693 ÷ 509.11 shares)

$ 17.07

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

Annual Report

Statement of Operations

 Amounts in thousands

Year ended August 31, 2008

 

Amounts in thousands   

Amounts in thousands   

Investment Income

Amounts in thousands   

Amounts in thousands   

Dividends

 

$ 250,199

Interest

 

321,424

Income from Fidelity Central Funds

 

219,088

Total income

 

790,711

 

 

 

Expenses

Management fee

$ 96,839

Transfer agent fees

42,166

Accounting and security lending fees

2,175

Custodian fees and expenses

423

Independent trustees' compensation

102

Depreciation in deferred trustee compensation account

(3)

Registration fees

92

Audit

281

Legal

148

Interest

16

Miscellaneous

1,942

Total expenses before reductions

144,181

Expense reductions

(1,292)

142,889

Net investment income (loss)

647,822

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

818,718

Fidelity Central Funds

(57,249)

 

Foreign currency transactions

(616)

Futures contracts

7,205

Swap agreements

3,325

 

Total net realized gain (loss)

 

771,383

Change in net unrealized appreciation (depreciation) on:

Investment securities

(3,142,973)

Assets and liabilities in foreign currencies

15

Swap agreements

(36,953)

Delayed delivery commitments

2,251

 

Total change in net unrealized appreciation (depreciation)

 

(3,177,660)

Net gain (loss)

(2,406,277)

Net increase (decrease) in net assets resulting from operations

$ (1,758,455)

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

Annual Report

Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Year ended
August 31,
2008

Year ended
August 31,
2007

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 647,822

$ 749,916

Net realized gain (loss)

771,383

1,550,137

Change in net unrealized appreciation (depreciation)

(3,177,660)

607,149

Net increase (decrease) in net assets resulting
from operations

(1,758,455)

2,907,202

Distributions to shareholders from net investment income

(690,835)

(744,559)

Distributions to shareholders from net realized gain

(2,042,154)

(1,047,681)

Total distributions

(2,732,989)

(1,792,240)

Share transactions - net increase (decrease)

198,958

648,996

Total increase (decrease) in net assets

(4,292,486)

1,763,958

 

 

 

Net Assets

Beginning of period

25,718,991

23,955,033

End of period (including undistributed net investment income of $112,147 and undistributed net investment income of $160,774, respectively)

$ 21,426,505

$ 25,718,991

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

Annual Report

Financial Highlights - Puritan

Years ended August 31,
2008
2007
2006 G
2006 I
2005 I
2004 I

Selected Per-Share Data

 

 

 

 

 

 

Net asset value, beginning of period

$ 20.54

$ 19.69

$ 19.34

$ 19.13

$ 18.44

$ 16.96

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  .50

  .59

  .06

  .55

  .47

  .45

Net realized and unrealized gain (loss)

  (1.80)

  1.70

  .29

  .80

  1.39

  1.79

Total from investment operations

  (1.30)

  2.29

  .35

  1.35

  1.86

  2.24

Distributions from net investment income

  (.55)

  (.59)

  -

  (.55)

  (.45)

  (.46)

Distributions from net realized gain

  (1.62)

  (.85)

  -

  (.59)

  (.72)

  (.30)

Total distributions

  (2.17)

  (1.44)

  -

  (1.14)

  (1.17)

  (.76)

Net asset value, end of period

$ 17.07

$ 20.54

$ 19.69

$ 19.34

$ 19.13

$ 18.44

Total Return B, C

  (7.35)%

  12.18%

  1.81%

  7.36%

  10.51%

  13.43%

Ratios to Average Net Assets E, H

 

 

 

 

 

Expenses before reductions

  .61%

  .60%

  .63% A

  .62%

  .63%

  .65%

Expenses net of fee waivers, if any

  .61%

  .60%

  .62% A

  .62%

  .63%

  .65%

Expenses net of all reductions

  .60%

  .59%

  .62% A

  .61%

  .62%

  .64%

Net investment income (loss)

  2.72%

  2.91%

  3.97% A

  2.90%

  2.53%

  2.46%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 21,418

$ 25,719

$ 23,955

$ 23,558

$ 24,276

$ 22,054

Portfolio turnover rate F

  115%

  70% J

  78% A

  44%

  75%

  67%

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 from July 31 to August 31, effective August 31, 2006.

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

I For the period ended July 31.

J Portfolio turnover rate excludes securities received or delivered in-kind.

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

Annual Report

Financial Highlights - Class K

Year ended August 31,
2008 G

Selected Per-Share Data

 

Net asset value, beginning of period

$ 18.22

Income from Investment Operations

 

Net investment income (loss) D

  .14

Net realized and unrealized gain (loss)

  (1.16)

Total from investment operations

  (1.02)

Distributions from net investment income

  (.13)

Net asset value, end of period

$ 17.07

Total Return B, C

  (5.60)%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .48% A

Expenses net of fee waivers, if any

  .48% A

Expenses net of all reductions

  .48% A

Net investment income (loss)

  3.21% A

Supplemental Data

 

Net assets, end of period (in millions)

$ 9

Portfolio turnover rate F

  115%

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 period May 9, 2008 (commencement of sale of shares) to August 31, 2008.

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

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

Annual Report

Notes to Financial Statements

For the period ended August 31, 2008

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. On January 17, 2008, the Board of Trustees of the Fund approved the creation of an additional class of shares. The Fund commenced sale of Class K shares and the existing class was designated Puritan on May 9, 2008. The Fund offers Puritan and Class K shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. After the commencement of Class K, the fund began offering conversion privileges between Puritan and Class K to eligible shareholders of Puritan. In order to disclose class level financial information, dollar amounts presented in the notes are unrounded. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions also differ by class.

2. Investments in Fidelity Central Funds.

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

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

Annual Report

2. Investments in Fidelity Central Funds - continued

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 Commercial Mortgage-Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed 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.

Delayed Delivery & When Issued 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

Futures

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

An unaudited 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

Annual Report

Notes to Financial Statements - continued

2. Investments in Fidelity Central Funds - continued

fidelity.com. A complete unaudited 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 as of 4:00 p.m. Eastern time on the last calendar day of the period. 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, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.

Annual 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 per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 pm Eastern time and 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.

Annual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

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 returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service (IRS). 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 dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund will claim 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 futures transactions, swap agreements, foreign currency transactions, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, and losses deferred due to wash sales.

Annual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:

Unrealized appreciation

$ 2,131,956,460

Unrealized depreciation

(1,216,831,056)

Net unrealized appreciation (depreciation)

915,125,404

Undistributed ordinary income

105,156,321

Undistributed long-term capital gain

13,095,043

 

 

Cost for federal income tax purposes

$ 21,404,393,506

The tax character of distributions paid was as follows:

 

August 31, 2008

August 31, 2007

Ordinary Income

$ 690,835,372

$ 769,915,945

Long-term Capital Gains

2,042,154,277

1,022,324,536

Total

$ 2,732,989,649

$ 1,792,240,481

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 effect 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

Annual Report

Notes to Financial Statements - continued

4. Operating Policies - continued

Repurchase Agreements - continued

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. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the fund's Statement of Assets and Liabilities under the caption "Delayed delivery." 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. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms.

Annual Report

4. Operating Policies - continued

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 (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.

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

Annual Report

Notes to Financial Statements - continued

4. Operating Policies - continued

Swap Agreements - continued

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.

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 $21,217,876,986 and $23,552,798,533 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 annual management fee rate was .41% of the Fund's average net assets.

Annual 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 transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to account size and type of account of the shareholders of Puritan and asset-based fees of .05% of average net assets for Class K. 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 transfer agent for Puritan. For the period, the transfer agent fees for Puritan were equivalent to an annual rate of .18% of average net assets.

For the period, the total transfer agent fees paid by each class were as follows:

Puritan

$ 42,165,428

Class K

88

Total

$ 42,165,516

Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, 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 $179,185 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 $46,436 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

Annual Report

Notes to Financial Statements - continued

8. Security Lending - continued

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 $2,932,112. 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 $2,193,225.

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 $26,387,571. The weighted average interest rate was 3.16%. The interest expense amounted to $16,189 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 $531,472 for the period. In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $40,979. During the period, credits reduced each class' transfer agent expense as noted in the table below.

 

Transfer Agent
expense reduction

Puritan

$ 706,850

FMR voluntarily agreed to reimburse a portion of Puritan's operating expenses. During the period, this reimbursement reduced the class' expenses by $12,763.

Annual 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.

In March 2008, the Trustees approved a method for allocating this payment among the funds and, in total, FMR paid the fund $605,555, which is recorded in the accompanying Statement of Operations.

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.

Subsequent to period end, Lehman Brothers Holdings, Inc. (LBHI) and certain of its affiliates sought protection under the insolvency laws of their jurisdictions of organization, including the United States, the United Kingdom and Japan. During this period, the Fund had outstanding securities trades and other transactions with counterparties affiliated with LBHI, which may include interest rate and credit default swap agreements, and commitments to purchase securities on a delayed delivery or when-issued basis. As a result of these events, LBHI affiliates are unable to fulfill their commitments and, in certain cases, the Fund may have terminated its trades and related agreements with the relevant entities and, where appropriate, is in the process of initiating claims for damages. FMR believes that the financial impact to the Fund relating to these events is immaterial.

Annual Report

Notes to Financial Statements - continued

12. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Years ended August 31,

2008A

2007

From net investment income

 

 

Puritan

$ 690,834,669

$ 744,559,200

Class K

703

-

Total

$ 690,835,372

$ 744,559,200

From net realized gain

 

 

Puritan

$ 2,042,154,277

$ 1,047,681,281

A Distributions for Class K are for the period May 9, 2008 (commencement of sale of shares) to August 31, 2008.

13. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

Years ended August 31,

2008A

2007

2008A

2007

Puritan

 

 

 

 

Shares sold

100,604,414

148,708,890

$ 1,863,774,728

$ 3,003,920,910

Conversion to Class K

(504,580)

-

(8,618,229)

-

Reinvestment of distributions

134,689,399

87,566,847

2,624,144,864

1,718,315,834

Shares redeemed

(232,505,275)

(200,796,645)

(4,289,044,484)

(4,073,243,528)

Net increase (decrease)

2,283,958

35,479,092

$ 190,256,879

$ 648,993,216

Class K

 

 

 

 

Shares sold

5,496

-

$ 100,133

$ -

Conversion from Puritan

504,580

-

8,618,229

 

Reinvestment of distributions

42

-

703

-

Shares redeemed

(1,008)

-

(17,286)

-

Net increase (decrease)

509,110

-

$ 8,701,779

$ -

A Share transactions for Class K are for the period May 9, 2008 (commencement of sale of shares) to August 31, 2008.

Annual 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 August 31, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended 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 August 31, 2008 by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

October 23, 2008

Annual Report

Trustees and Officers

The Trustees, Member of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for Edward C. Johnson 3d and James C. Curvey, each of the Trustees oversees 218 funds advised by FMR or an affiliate. Messrs. Johnson and Curvey oversee 377 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Member hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (78)

 

Year of Election or Appointment: 1984

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR LLC; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman and a Director of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of FIL Limited. Previously, Mr. Johnson served as President of FMR LLC (2006-2007).

James C. Curvey (73)

 

Year of Election or Appointment: 2007

Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2006- present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University.

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR. FMR Corp. merged with and into FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

Dennis J. Dirks (60)

 

Year of Election or Appointment: 2005

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), and as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present).

Alan J. Lacy (54)

 

Year of Election or Appointment: 2008

Mr. Lacy serves as Senior Adviser (2007-present) of Oak Hill Capital Partners, L.P. (a private equity firm). Mr. Lacy also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). In addition, Mr. Lacy serves as a member of the Board of Directors of The Western Union Company (global money transfer, 2006-present) and Bristol-Myers Squibb (global pharmaceuticals, 2007-present). Mr. Lacy is a Trustee of the National Parks Conservation Association and The Field Museum of Natural History.

Ned C. Lautenbach (64)

 

Year of Election or Appointment: 2000

Mr. Lautenbach is Chairman of the Independent Trustees (2006-present). Mr. Lautenbach is an Advisory Partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm). Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations. Previously, Mr. Lautenbach served as a Director of Sony Corporation (2006-2007).

Joseph Mauriello (63)

 

Year of Election or Appointment: 2008

Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services firm, 1965- 2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Capital Ltd. (global insurance and re-insurance company, 2006-present) and of Arcadia Resources Inc. (health care services and products, 2007-present). He also served as a Director of the Hamilton Funds of the Bank of New York (2006-2007).

Cornelia M. Small (64)

 

Year of Election or Appointment: 2005

Ms. Small is a member of the Investment Committee, and Chair (2008-present) and a member of the Board of Trustees of Smith College. Ms. Small also serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson of the Investment Committee (2002-2008) of Smith College and as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy. In addition, she served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.

William S. Stavropoulos (69)

 

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President (1993-2000; 2002- 2003), CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, he is a Director of Teradata Corporation (data warehousing and technology solutions, 2008-present), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment firm, 2005-present). He is a special advisor to Clayton, Dubilier & Rice, Inc. (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science.

David M. Thomas (59)

 

Year of Election or Appointment: 2008

Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions). In addition, Mr. Thomas serves as a member of the Board of Directors of Fortune Brands, Inc. (consumer products holding company), and Interpublic Group of Companies, Inc. (marketing communication, 2004-present).

Michael E. Wiley (57)

 

Year of Election or Appointment: 2008

Mr. Wiley also serves as a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-present). He serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005- present), and a Director of Bill Barrett Corporation (exploration and production company, 2005-present). In addition, he also serves as a Director of Post Oak Bank (privately-held bank, 2004-present). Previously, Mr. Wiley served as a Sr. Energy Advisor of Katzenbach Partners, LLC (consulting firm, 2006-2007), as an Advisory Director of Riverstone Holdings (private investment firm), Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services company, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production company, 2001-2005).

Advisory Board Member and Executive Officers**:

Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Peter S. Lynch (64)

 

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Puritan Trust. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund.

Kenneth B. Robins (39)

 

Year of Election or Appointment : 2008

President and Treasurer of Fidelity Puritan Trust. Mr. Robins also serves as President and Treasurer of Fidelity's Equity and High Income Funds (2008-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004).

Walter C. Donovan (46)

 

Year of Election or Appointment: 2007

Vice President of the fund. Mr. Donovan also serves as Vice President of Fidelity's Equity Funds, President of FMR and FMR Co., Inc., and Executive Vice President of Fidelity Investments Money Management, Inc. (2007-present). Previously, Mr. Donovan served as Executive Vice President of FMR and FMR Co., Inc. (2005-2007) and Senior Vice President of FMR (2003-2005) and FMR Co., Inc. (2004-2005).

Bruce T. Herring (43)

 

Year of Election or Appointment: 2006

Vice President of the fund. Mr. Herring also serves as Vice President of certain Equity Funds (2006-present) and Group Chief Investments Officer of FMR. Previously, Mr. Herring served as a portfolio manager for Fidelity U.S. Equity Funds.

Scott C. Goebel (40)

 

Year of Election or Appointment: 2008

Secretary and Chief Legal Officer (CLO) of the fund. Mr. Goebel also serves as Secretary and CLO of other Fidelity funds (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008- present); and Deputy General Counsel of FMR LLC. Previously, Mr. Goebel served as Assistant Secretary of the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).

John B. McGinty, Jr. (46)

 

Year of Election or Appointment: 2008

Assistant Secretary of the fund. Mr. McGinty also serves as Assistant Secretary of Fidelity's other Equity and High Income Funds (2008- present) and is an employee of FMR LLC (2004-present). Mr. McGinty also serves as Senior Vice President, Secretary, and Chief Legal Officer of FDC (2007-present). Before joining Fidelity Investments, Mr. McGinty practiced law at Ropes & Gray, LLP.

Holly C. Laurent (54)

 

Year of Election or Appointment: 2008

Anti-Money Laundering (AML) Officer of the fund. Ms. Laurent also serves as AML Officer of other Fidelity funds (2008-present) and is an employee of FMR LLC. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006- 2008), Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006).

Christine Reynolds (49)

 

Year of Election or Appointment: 2008

Chief Financial Officer of the fund. Ms. Reynolds also serves as Chief Financial Officer of other Fidelity funds (2008-present). Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. She served as Chief Operating Officer of FPCMS from 2007 through July 2008. Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980- 2002), where she was an audit partner with PwC's investment management practice.

Kenneth A. Rathgeber (61)

 

Year of Election or Appointment: 2004

Chief Compliance Officer of the fund. Mr. Rathgeber also serves as Chief Compliance Officer of Fidelity's Equity and High Income Funds (2004-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005- present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present).

Bryan A. Mehrmann (47)

 

Year of Election or Appointment: 2005

Deputy Treasurer of the fund. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004).

Adrien E. Deberghes (41)

 

Year of Election or Appointment: 2008

Deputy Treasurer of the fund. Mr. Deberghes also serves as Deputy Treasurer of Fidelity's Equity and High Income Funds (2008-present) and is an employee of FMR (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).

Robert G. Byrnes (41)

 

Year of Election or Appointment: 2005

Assistant Treasurer of the fund. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003).

Peter L. Lydecker (54)

 

Year of Election or Appointment: 2004

Assistant Treasurer of the fund. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004-present) and is an employee of FMR.

Paul M. Murphy (61)

 

Year of Election or Appointment: 2007

Assistant Treasurer of the fund. Mr. Murphy also serves as Assistant Treasurer of other Fidelity funds (2007-present) and is an employee of FMR (2007-present). Previously, Mr. Murphy served as Chief Financial Officer of the Fidelity Funds (2005-2006), Vice President and Associate General Counsel of FMR (2007), and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (1994-2007).

Gary W. Ryan (50)

 

Year of Election or Appointment: 2005

Assistant Treasurer of the fund. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005).

** FMR Corp. merged with and into FMR LLC on October 1, 2007. Any references to FMR LLC for prior periods are deemed to be references to the prior entity.

Annual Report

Distributions (Unaudited)

The Board of Trustees of Fidelity Puritan Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities, and dividends derived from net investment income:

 

Pay Date

Record Date

Dividends

Capital Gains

Puritan

10/06/08

10/03/08

$.122

$.01

Class K

10/06/08

10/03/08

$.13

$.01

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2008, $827,906,149, or, if subsequently determined to be different, the net capital gain of such year.

A total of 3.92% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $331,977,789 of distributions paid during the period January 1, 2008 to August 31, 2008 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

A percentage of the dividends distributed during the fiscal year qualify for the dividends-received deduction for corporate shareholders.

 

Puritan

Class K

October 2007

6%

-%

December 2007

37%

-%

April 2008

41%

-%

July 2008

41%

40%

A percentage of the dividends distributed during the fiscal year may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

 

Puritan

Class K

October 2007

7%

-%

December 2007

41%

-%

April 2008

46%

-%

July 2008

46%

45%

The fund will notify shareholders in January 2009 of amounts for use in preparing 2008 income tax returns.

Annual Report

Proxy Voting Results

A special meeting of the fund's shareholders was held on May 14, 2008. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To elect a Board of Trustees.A

 

# of
Votes

% of
Votes

James C. Curvey

Affirmative

38,893,618,130.91

95.292

Withheld

1,921,468,292.47

4.708

TOTAL

40,815,086,423.38

100.000

Dennis J. Dirks

Affirmative

39,036,714,022.41

95.643

Withheld

1,778,372,400.97

4.357

TOTAL

40,815,086,423.38

100.000

Edward C. Johnson 3d

Affirmative

38,770,875,445.41

94.992

Withheld

2,044,210,977.97

5.008

TOTAL

40,815,086,423.38

100.000

Alan J. Lacy

Affirmative

39,018,612,450.11

95.599

Withheld

1,796,473,973.27

4.401

TOTAL

40,815,086,423.38

100.000

Ned C. Lautenbach

Affirmative

39,005,366,044.67

95.566

Withheld

1,809,720,378.71

4.434

TOTAL

40,815,086,423.38

100.000

Joseph Mauriello

Affirmative

39,002,419,694.54

95.559

Withheld

1,812,666,728.84

4.441

TOTAL

40,815,086,423.38

100.000

Cornelia M. Small

Affirmative

39,016,299,097.15

95.593

Withheld

1,798,787,326.23

4.407

TOTAL

40,815,086,423.38

100.000

William S. Stavropoulos

Affirmative

38,884,332,972.41

95.270

Withheld

1,930,753,450.97

4.730

TOTAL

40,815,086,423.38

100.000

 

# of
Votes

% of
Votes

David M. Thomas

Affirmative

39,018,357,287.78

95.598

Withheld

1,796,729,135.60

4.402

TOTAL

40,815,086,423.38

100.000

Michael E. Wiley

Affirmative

38,997,698,287.11

95.547

Withheld

1,817,388,136.27

4.453

TOTAL

40,815,086,423.38

100.000

PROPOSAL 2

To amend the Declaration of Trust to reduce the required quorum for future shareholder meetings.A

 

# of
Votes

% of
Votes

Affirmative

30,025,572,570.64

73.565

Against

7,083,880,474.69

17.356

Abstain

2,182,438,936.42

5.347

Broker
Non-Votes

1,523,194,441.63

3.732

TOTAL

40,815,086,423.38

100.000

PROPOSAL 3

Shareholder proposal concerning "oversight procedures to screen out investments in companies that, in the judgment of the Board, substantially contribute to genocide, patterns of extraordinary and egregious violations of human rights, or crimes against humanity."

 

# of
Votes

% of
Votes

Affirmative

3,487,581,419.70

27.855

Against

7,840,132,972.43

62.618

Abstain

788,747,537.24

6.300

Broker
Non-Votes

404,017,088.63

3.227

TOTAL

12,520,479,018.00

100.000

A Denotes trust-wide proposal and voting results.

Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Puritan Fund

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

The Board meets regularly and, acting directly and through its separate committees, requests and receives information concerning, and considers at each of its meetings factors that are relevant to, its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. At the time of the renewal, the Board had 12 standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has a written charter outlining the structure and purposes of the committee. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts.

At its July 2008 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders. The Board also approved agreements with foreign sub-advisers Fidelity Management & Research (Japan) Inc. and Fidelity Management & Research (Hong Kong) Limited, as well as amendments to the fund's agreement with Fidelity Management & Research (U.K.) Inc.

In considering whether to renew the Advisory Contracts for the fund, the Board ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. The Board's decision to renew the Advisory Contracts was not based on any single factor noted above, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

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

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

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

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

Annual Report

Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying a sales charge. The Board noted that Fidelity has taken a number of actions over the previous year that benefited particular funds, including (i) dedicating additional resources to investment research and to restructure the investment research teams; (ii) contractually agreeing to reduce the management fees on Fidelity's Institutional Money Market Funds and launching Class IV and Institutional Class of certain of these funds; (iii) reducing the transfer agent fees for the Fidelity Select Portfolios and Investor Class of the VIP funds; and (iv) launching Class K of 29 equity funds as a lower-fee class available to certain employer-sponsored retirement plans.

Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2007, the fund's cumulative total returns, the cumulative total returns of a proprietary custom index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. (The fund did not offer Class K as of December 31, 2007.) The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund. The fund's proprietary custom index is an index developed by FMR that represents the performance of the fund's general investment categories in both equity and bond securities.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Fidelity Puritan Fund

fid49964

The Board reviewed the fund's relative investment performance against its peer group and stated that the performance of the fund was in the second quartile for the one-year period and the first quartile for the three- and five-year periods. The Board also stated that the investment performance of the fund compared favorably to its benchmark for all the periods shown.

The Board considered that FMR has taken steps to refocus and strengthen equity research, equity portfolio management, and compliance.

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

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared. The Board also considered supplemental information about how the fund's management fee and total expenses ranked relative to groups based on Lipper classifications, which take into account a fund's market capitalization and style.

Annual Report

The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 8% means that 92% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.

Fidelity Puritan Fund

fid49966

The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2007.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.

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

The Board noted that the fund's total expenses ranked below its competitive median for 2007.

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

Based on its review, the Board concluded that the fund's total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

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

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

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

Annual Report

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

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

Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total fund assets under FMR's management increase, and for higher group fee rates as total fund assets under FMR's management decrease. FMR determines the group fee rates based on a tiered asset "breakpoint" schedule. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

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

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including (i) fund performance trends and actions to be taken by FMR to improve certain funds' overall performance; (ii) portfolio manager changes that have occurred during the past year; (iii) Fidelity's fund profitability methodology, the profitability of certain fund service providers, and profitability trends for certain funds; (iv) Fidelity's compensation structure for portfolio managers and key personnel, including its effects on fund profitability and the extent to which portfolio manager compensation is linked to fund performance; (v) Fidelity's fee structures and rationale for recommending different fees among categories of funds; and (vi) Fidelity's rationale for recommending which funds should have a performance adjustment component as part of their management fees.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

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

Annual 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

fid49912For mutual fund and brokerage trading.

fid49914For quotes.*

fid49916For account balances and holdings.

fid49918To review orders and mutual
fund activity.

fid49920To change your PIN.

fid49922fid49924To 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.

Annual 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

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

Annual 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

Annual 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

Annual 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

FIL Investment Advisers

FIL Investment Advisers
(U.K.) Ltd.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan), Inc.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JP Morgan Chase Bank

New York, NY 

PUR-UANN-1008
1.789251.105

fid49929

Item 2. Code of Ethics

As of the end of the period, August 31, 2008, Fidelity Puritan Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert

The Board of Trustees of the trust has determined that Joseph Mauriello is an audit committee financial expert, as defined in Item 3 of Form N-CSR.   Mr. Mauriello is independent for purposes of Item 3 of Form N-CSR.  

Item 4. Principal Accountant Fees and Services

Fees and Services

The following table presents fees billed by PricewaterhouseCoopers LLP ("PwC") in each of the last two fiscal years for services rendered to Fidelity Balanced Fund and Fidelity Puritan Fund (the "Funds"):

Services Billed by PwC

August 31, 2008 FeesA

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity Balanced Fund

$ 148,000

$ -

$ 10,900

$ 17,400

Fidelity Puritan Fund

$ 249,000

$ -

$ 12,000

$ 15,800

August 31, 2007 FeesA

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity Balanced Fund

$ 141,000

$ -

$ 4,800

$ 16,100

Fidelity Puritan Fund

$ 245,000

$ -

$ 4,800

$ 17,500

A Amounts may reflect rounding.

The following table presents fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Funds and that are rendered on behalf of Fidelity Management & Research Company ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Funds ("Fund Service Providers"):

Services Billed by PwC

 

August 31, 2008A

August 31, 2007A

Audit-Related Fees

$ 1,295,000

$ -

Tax Fees

$ -

$ -

All Other Fees

$ 185,000

$ 275,000

A Amounts may reflect rounding.

"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.

"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.

"All Other Fees" represent fees billed for assurance services provided to the fund or Fund Service Provider that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.

Assurance services must be performed by an independent public accountant.

* * *

The aggregate non-audit fees billed by PwC for services rendered to the Funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Funds are as follows:

Billed By

August 31, 2008 A

August 31, 2007 A

PwC

$2,510,000

$1,430,000

A Amounts may reflect rounding.

The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its audit of the Funds, taking into account representations from PwC, in accordance with Independence Standards Board Standard No. 1, regarding its independence from the Funds and their related entities and FMR's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.

Audit Committee Pre-Approval Policies and Procedures

The Fidelity fund's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.

The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund ("Covered Service") are subject to approval by the Audit Committee before such service is provided.

All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.

Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.

Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")

There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Funds' last two fiscal years relating to services provided to (i) the Funds or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Funds.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Investments

(a) Not applicable.

(b) 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 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 trust's 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)

Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

(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/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

October 29, 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/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

October 29, 2008

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

October 29, 2008