N-Q 1 main.htm

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811- 5511

Variable Insurance Products Fund II
 (Exact name of registrant as specified in charter)

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

Eric D. Roiter, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:

December 31

Date of reporting period:

September 30, 2004

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Variable Insurance Products:
Asset Manager Portfolio

September 30, 2004

1.808793.100

VIPAM-QTLY-1104

Investments September 30, 2004 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 50.1%

Shares

Value

CONSUMER DISCRETIONARY - 5.9%

Auto Components - 0.1%

Aisin Seiki Co. Ltd.

22,900

$ 566,126

Bridgestone Corp.

29,000

539,014

Exide Technologies warrants 3/18/06 (a)

16

0

NOK Corp.

4,500

138,241

Sanden Corp.

34,000

224,040

1,467,421

Automobiles - 0.1%

Honda Motor Co. Ltd.

17,600

857,472

Hyundai Motor Co. Ltd.

9,440

435,314

Renault SA

5,700

466,779

Toyota Motor Corp.

58,000

2,215,020

3,974,585

Hotels, Restaurants & Leisure - 0.2%

H.I.S. Co. Ltd.

16,800

529,843

McDonald's Corp.

173,200

4,854,796

William Hill PLC

43,100

416,660

5,801,299

Household Durables - 0.1%

Casio Computer Co. Ltd.

17,000

200,709

HTL International Holdings Ltd.

355,000

261,316

Koninklijke Philips Electronics NV

4,200

96,222

Koninklijke Philips Electronics NV
(NY Shares)

7,200

164,952

Matsushita Electric Industrial Co. Ltd.

21,000

281,820

Merry Electronics Co. Ltd.

167,322

362,030

Rinnai Corp.

7,200

219,877

SEB SA

2,940

284,451

Sony Corp.

2,500

85,975

Sumitomo Forestry Co. Ltd.

36,000

336,687

Techtronic Industries Co. Ltd.

371,500

731,355

3,025,394

Internet & Catalog Retail - 0.0%

N Brown Group PLC

88,600

179,011

Leisure Equipment & Products - 0.0%

Fuji Photo Film Co. Ltd.

7,000

230,311

Media - 2.4%

Asahi Broadcasting Corp.

400

24,794

British Sky Broadcasting Group PLC (BSkyB)

43,800

380,370

Clear Channel Communications, Inc.

1,567,168

48,848,627

ITV PLC

148,571

290,082

Maiden Group PLC

31,600

133,131

McGraw-Hill Companies, Inc.

9,500

757,055

Mediaset Spa

38,300

435,337

Modern Times Group AB (MTG)
(B Shares) (a)

10,850

202,770

News Corp. Ltd.

81,135

666,727

News Corp. Ltd. sponsored ADR

243,400

7,625,722

Shares

Value

NRJ Group

37,620

$ 748,548

PT Multimedia SGPS SA

11,100

247,781

Publishing & Broadcasting Ltd.

37,449

373,424

Reuters Group PLC

55,500

313,272

Television Broadcasts Ltd.

44,000

196,943

Time Warner, Inc. (a)

264,600

4,270,644

Tv Asahi Corp.

144

281,391

Vivendi Universal SA (a)

17,700

455,421

Wolters Kluwer NV (Certificaten Van Aandelen)

20,400

343,756

66,595,795

Multiline Retail - 0.1%

Barneys, Inc. warrants 4/1/08 (a)

1,130

68,930

Don Quijote Co. Ltd.

7,100

412,997

Hyundai Department Store Co. Ltd.

3,990

112,614

Next PLC

23,100

683,547

Ryohin Keikaku Co. Ltd.

9,400

406,671

Shinsegae Co. Ltd.

1,080

287,468

The Warehouse Group Ltd.

42,100

120,687

2,092,914

Specialty Retail - 2.8%

Bookoff Corp.

8,000

118,809

Dixons Group PLC

219,700

679,768

Esprit Holdings Ltd.

125,000

634,843

Fast Retailing Co. Ltd.

6,400

435,683

Giordano International Ltd.

330,000

181,988

Home Depot, Inc.

1,763,900

69,144,880

JB Hi-Fi Ltd.

60,821

136,347

Nishimatsuya Chain Co. Ltd.

5,000

160,418

Office Depot, Inc. (a)

35,600

535,068

Ross Stores, Inc.

7,900

185,176

Shimachu Co. Ltd.

7,000

169,234

Staples, Inc.

69,400

2,069,508

TJX Companies, Inc.

78,300

1,725,732

USS Co. Ltd.

6,290

475,073

Wyevale Garden Centres PLC

35,200

227,072

76,879,599

Textiles Apparel & Luxury Goods - 0.1%

Adidas-Salomon AG

4,100

572,846

Arena Brands Holding Corp. Class B (k)

8,445

87,406

Billabong International Ltd.

37,700

261,777

Bulgari Spa

85,700

853,678

Ted Baker PLC

97,600

740,143

2,515,850

TOTAL CONSUMER DISCRETIONARY

162,762,179

CONSUMER STAPLES - 4.0%

Beverages - 0.5%

Fosters Group Ltd.

71,000

244,434

Lion Nathan Ltd.

47,800

256,759

PepsiCo, Inc.

137,700

6,699,105

Pernod-Ricard

10,300

1,369,291

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Beverages - continued

Southcorp Ltd. (a)

52,300

$ 128,284

The Coca-Cola Co.

124,100

4,970,205

13,668,078

Food & Staples Retailing - 2.2%

Aeon Co. Ltd.

4,800

77,393

Aeon Co. Ltd. New (a)

4,800

76,608

Circle K Sunkus Co. Ltd. (a)

13,700

332,461

CVS Corp.

744,100

31,348,933

Ito Yokado Ltd.

9,200

316,074

Lawson, Inc.

9,200

319,418

Safeway, Inc. (a)

572,100

11,047,251

Wal-Mart Stores, Inc.

335,000

17,822,000

Woolworths Ltd.

13,000

128,873

61,469,011

Food Products - 0.0%

People's Food Holdings Ltd.

276,000

190,057

Pulmuone Co. Ltd.

3,350

140,953

331,010

Household Products - 0.1%

Kimberly-Clark Corp.

21,500

1,388,685

Procter & Gamble Co.

45,000

2,435,400

3,824,085

Personal Products - 0.5%

Alberto-Culver Co.

300,850

13,080,958

Amorepacific Corp.

1,590

307,230

Estee Lauder Companies, Inc. Class A

23,400

978,120

Kose Corp.

5,500

210,952

14,577,260

Tobacco - 0.7%

Altria Group, Inc.

382,100

17,973,984

TOTAL CONSUMER STAPLES

111,843,428

ENERGY - 2.3%

Energy Equipment & Services - 1.4%

Diamond Offshore Drilling, Inc.

304,800

10,055,352

ENSCO International, Inc.

214,900

7,020,783

GlobalSantaFe Corp.

308,600

9,458,590

Nabors Industries Ltd. (a)

31,000

1,467,850

Transocean, Inc. (a)

289,200

10,347,576

38,350,151

Oil & Gas - 0.9%

BP PLC

22,900

219,573

BP PLC sponsored ADR

51,500

2,962,795

ChevronTexaco Corp.

232,400

12,465,936

China Petroleum & Chemical Corp.
(H Shares)

222,000

91,131

CNOOC Ltd. sponsored ADR

5,600

294,560

ENI Spa

63,100

1,417,226

Shares

Value

Exxon Mobil Corp.

39,900

$ 1,928,367

GS Holdings Corp. (a)

3,510

75,138

Nippon Oil Corp.

46,000

290,570

Royal Dutch Petroleum Co. (Hague Registry)

24,500

1,264,200

Shell Transport & Trading Co. PLC:

ADR

22,200

988,122

(Reg.)

24,000

178,040

Total SA:

Series B

1,400

286,076

sponsored ADR

34,100

3,483,997

25,945,731

TOTAL ENERGY

64,295,882

FINANCIALS - 13.8%

Capital Markets - 1.8%

Bear Stearns Companies, Inc.

14,000

1,346,380

Credit Suisse Group (Reg.)

13,032

416,242

D. Carnegie & Co. AB

29,400

290,881

DAB Bank AG (a)

81,300

493,391

JAFCO Co. Ltd.

4,100

216,133

Lehman Brothers Holdings, Inc.

44,100

3,515,652

Macquarie Bank Ltd.

6,000

158,613

Mediobanca Spa

21,100

279,193

Merrill Lynch & Co., Inc.

255,600

12,708,432

Mitsubishi Securities Co. Ltd.

29,000

279,918

Morgan Stanley

613,600

30,250,480

Nomura Holdings, Inc.

10,000

129,100

UBS AG (NY Shares)

11,800

829,894

50,914,309

Commercial Banks - 2.3%

ABN-AMRO Holding NV

43,600

992,336

Australia & New Zealand Banking
Group Ltd.

56,800

786,323

Banca Intesa Spa

133,220

506,459

Banco Bilbao Vizcaya Argentaria SA

60,700

837,660

Bank of America Corp.

845,810

36,648,947

BNP Paribas SA

14,300

924,741

Capitalia Spa

121,800

448,201

Chinatrust Financial Holding Co.

194,967

210,061

DBS Group Holdings Ltd.

12,000

113,977

Hana Bank

10,140

241,282

HSBC Holdings PLC:

(Hong Kong) (Reg.)

14,800

236,208

sponsored ADR

19,000

1,516,200

Kookmin Bank (a)

3,810

120,603

Korea Exchange Bank (a)

18,660

108,411

Mitsubishi Tokyo Financial Group, Inc. (MTFG)

78

650,520

Mizuho Financial Group, Inc.

209

786,421

National Australia Bank

13,075

256,270

Nishi-Nippon Bank Ltd.

71,400

277,099

Nordea Bank AB

53,500

437,428

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Oversea-Chinese Banking Corp. Ltd.

30,000

$ 249,325

Royal Bank of Scotland Group PLC

25,500

737,468

Shinhan Financial Group Co. Ltd.

10,210

176,447

SouthTrust Corp.

112,002

4,666,003

St. George Bank Ltd.

8,700

138,361

Sumitomo Mitsui Financial Group, Inc.

71

406,544

Synovus Financial Corp.

146,900

3,841,435

Taishin Financial Holdings Co. Ltd.

582,281

469,664

UFJ Holdings, Inc. (a)

110

482,890

Wachovia Corp.

116,400

5,464,980

Wells Fargo & Co.

24,100

1,437,083

Westpac Banking Corp.

16,500

212,929

64,382,276

Consumer Finance - 0.3%

Aeon Credit Service Ltd.

3,800

216,896

Aiful Corp.

2,600

255,451

MBNA Corp.

263,200

6,632,640

Nippon Shinpan Co. Ltd.

59,000

174,279

Omc Card, Inc. (a)

34,000

355,065

ORIX Corp.

4,900

503,249

SFCG Co. Ltd.

2,490

490,192

STB Leasing Co. Ltd.

6,200

118,900

8,746,672

Diversified Financial Services - 2.0%

Citigroup, Inc.

833,100

36,756,372

Deutsche Boerse AG

17,494

885,886

Fortis

30,500

726,735

ING Groep NV (Certificaten Van Aandelen)

37,300

942,944

J.P. Morgan Chase & Co.

432,828

17,196,256

56,508,193

Insurance - 4.8%

AFLAC, Inc.

30,200

1,184,142

Allianz AG (Reg.)

6,400

643,840

AMBAC Financial Group, Inc.

90,500

7,235,475

American International Group, Inc.

1,211,700

82,383,467

Amlin PLC

331,200

928,734

AMP Ltd.

36,300

164,603

AXA SA

37,200

754,416

Cathay Financial Holding Co. Ltd.

59,000

111,157

Fuji Fire & Marine Insurance Co. Ltd.

35,000

111,020

Great Eastern Holdings Ltd.

12,000

83,346

Hartford Financial Services Group, Inc.

246,800

15,284,324

MBIA, Inc.

92,700

5,396,067

MetLife, Inc.

272,500

10,532,125

Millea Holdings, Inc.

42

542,059

PartnerRe Ltd.

39,300

2,149,317

Promina Group Ltd.

85,837

283,018

Prudential PLC

43,600

355,919

QBE Insurance Group Ltd.

29,432

280,629

Shares

Value

Skandia Foersaekrings AB

139,800

$ 553,268

St. Paul Travelers Companies, Inc.

89,691

2,965,184

131,942,110

Real Estate - 0.1%

CapitaLand Ltd.

128,000

136,013

Cheung Kong Holdings Ltd.

14,000

119,851

Henderson Land Development Co. Ltd.

36,000

172,216

Mitsubishi Estate Co. Ltd.

19,000

198,591

Sumitomo Realty & Development Co. Ltd.

19,000

202,908

Sun Hung Kai Properties Ltd.

24,000

226,235

Wharf Holdings Ltd.

65,000

218,829

1,274,643

Thrifts & Mortgage Finance - 2.5%

Fannie Mae

828,200

52,507,880

Greenpoint Financial Corp.

47,200

2,183,472

MGIC Investment Corp.

121,300

8,072,515

New York Community Bancorp, Inc.

265,100

5,445,154

Sovereign Bancorp, Inc.

18,600

405,852

68,614,873

TOTAL FINANCIALS

382,383,076

HEALTH CARE - 8.0%

Biotechnology - 0.0%

CSL Ltd.

21,473

443,867

Global Bio-Chem Technology Group Co. Ltd.

202,000

154,145

Global Bio-Chem Technology Group Co. Ltd. warrants 5/31/07 (a)

25,250

1,684

599,696

Health Care Equipment & Supplies - 0.4%

Axis Shield PLC (a)

65,100

227,082

Baxter International, Inc.

138,100

4,441,296

Coloplast AS Series B

4,900

474,130

Corin Group PLC

40,900

207,516

Medtronic, Inc.

38,700

2,008,530

Phonak Holding AG

23,141

744,385

ResMed, Inc. CHESS Depositary Interests (a)

36,800

178,387

Terumo Corp.

8,800

200,754

Thermo Electron Corp. (a)

42,700

1,153,754

9,635,834

Health Care Providers & Services - 1.9%

Alfresa Holdings Corp.

1,900

66,658

Cardinal Health, Inc.

1,144,900

50,112,273

DCA Group Ltd.

63,115

146,543

Fountain View, Inc. (k)

1,139

19,090

Fresenius Medical Care AG

8,900

682,455

Henry Schein, Inc. (a)

27,057

1,685,922

Ramsay Health Care Ltd.

28,200

127,257

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Service Corp. International (SCI) (a)

99,729

$ 619,317

Sonic Healthcare Ltd.

24,400

176,707

53,636,222

Pharmaceuticals - 5.7%

AstraZeneca PLC (United Kingdom)

9,200

378,396

Barr Pharmaceuticals, Inc. (a)

20,900

865,887

Chugai Pharmaceutical Co. Ltd.

22,400

323,505

GlaxoSmithKline PLC sponsored ADR

43,900

1,919,747

Johnson & Johnson

435,100

24,509,183

Merck & Co., Inc.

339,000

11,187,000

Novartis AG sponsored ADR

21,200

989,404

Novo Nordisk AS Series B

13,900

761,924

Pfizer, Inc.

1,896,000

58,017,600

Recordati Spa

45,653

906,682

Roche Holding AG (participation certificate)

12,618

1,307,355

Sanofi-Aventis

14,700

1,076,334

Schering-Plough Corp.

379,900

7,240,894

Shire Pharmaceuticals Group PLC

41,000

391,550

Takeda Pharamaceutical Co. Ltd.

14,100

640,763

Tong Ren Tang Technologies Co. Ltd.
(H Shares)

65,000

141,718

Wyeth

1,253,500

46,880,900

Yamanouchi Pharmaceutical Co. Ltd.

17,400

562,999

158,101,841

TOTAL HEALTH CARE

221,973,593

INDUSTRIALS - 3.8%

Aerospace & Defense - 0.5%

BAE Systems PLC

284,200

1,157,428

Lockheed Martin Corp.

74,600

4,161,188

Northrop Grumman Corp.

44,400

2,367,852

United Technologies Corp.

64,800

6,051,024

13,737,492

Air Freight & Logistics - 0.1%

Ryder System, Inc.

16,100

757,344

Yamato Transport Co. Ltd.

34,000

468,784

1,226,128

Commercial Services & Supplies - 0.2%

Accord Customer Care Solutions Ltd. (a)

295,000

123,460

Aramark Corp. Class B

68,100

1,643,934

ChoicePoint, Inc. (a)

91,233

3,891,087

Diamond Lease Co. Ltd.

6,900

243,327

Fullcast Co. Ltd.

58

118,082

Riso Kyoiku Co. Ltd.

103

62,909

Riso Kyoiku Co. Ltd. New (a)

206

111,215

Sumisho Lease Co. Ltd.

3,900

141,077

6,335,091

Shares

Value

Construction & Engineering - 0.0%

United Group Ltd.

78,400

$ 340,098

Industrial Conglomerates - 2.5%

General Electric Co.

1,363,300

45,779,614

Hutchison Whampoa Ltd.

34,000

265,993

Hutchison Whampoa Ltd. ADR

4,600

180,780

LG Corp.

6,519

86,335

Siemens AG (Reg.)

6,900

508,530

Tyco International Ltd.

723,100

22,170,246

Wesfarmers Ltd.

7,500

174,684

69,166,182

Machinery - 0.3%

Bradken Ltd.

64,800

152,342

Ingersoll-Rand Co. Ltd. Class A

131,300

8,924,461

Koyo Seiko Co. Ltd.

15,000

168,371

9,245,174

Road & Rail - 0.2%

ComfortDelgro Corp. Ltd.

154,000

119,759

CSX Corp.

42,700

1,417,640

East Japan Railway Co.

147

761,554

Hamakyorex Co. Ltd.

4,100

137,132

Norfolk Southern Corp.

24,000

713,760

Union Pacific Corp.

24,200

1,418,120

4,567,965

Trading Companies & Distributors - 0.0%

Hagemeyer NV (a)

169,600

316,372

Mitsui & Co. Ltd.

31,000

260,059

576,431

Transportation Infrastructure - 0.0%

Adsteam Marine Ltd.

106,700

113,386

Cosco Pacific Ltd.

152,000

253,424

Macquarie Airports Fund

164,000

309,162

675,972

TOTAL INDUSTRIALS

105,870,533

INFORMATION TECHNOLOGY - 7.3%

Communications Equipment - 1.4%

Cisco Systems, Inc. (a)

1,158,500

20,968,850

Comverse Technology, Inc. (a)

212,400

3,999,492

Motorola, Inc.

539,100

9,725,364

TANDBERG Television ASA (a)

255,600

1,914,942

Telefonaktiebolaget LM Ericsson
(B Shares) (a)

244,800

764,755

37,373,403

Computers & Peripherals - 1.1%

Dell, Inc. (a)

526,100

18,729,160

Diebold, Inc.

33,700

1,573,790

Fujitsu Ltd.

19,000

110,002

Hewlett-Packard Co.

456,200

8,553,750

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

High Tech Computer Corp.

30,000

$ 114,366

Sun Microsystems, Inc. (a)

251,100

1,014,444

30,095,512

Electronic Equipment & Instruments - 0.4%

Flextronics International Ltd. (a)

226,100

2,995,825

Hon Hai Precision Industries Co. Ltd.

13,049

44,944

Hoya Corp.

4,900

514,383

Interflex Co. Ltd.

5,576

116,217

Jabil Circuit, Inc. (a)

109,300

2,513,900

Kingboard Chemical Holdings Ltd.

60,000

123,121

Kingboard Chemical Holdings Ltd. warrants 12/31/06 (a)

6,000

0

Nippon Chemi-con Corp.

49,000

242,718

Sanmina-SCI Corp. (a)

239,000

1,684,950

Solectron Corp. (a)

817,100

4,044,645

12,280,703

Internet Software & Services - 0.0%

Easynet Group PLC (a)

146,200

194,717

Softbank Corp.

3,700

171,843

366,560

IT Services - 0.5%

Affiliated Computer Services, Inc.
Class A (a)

104,100

5,795,247

First Data Corp.

184,300

8,017,050

Nomura Research Institute Ltd.

2,100

169,298

13,981,595

Office Electronics - 0.1%

Canon, Inc.

18,800

886,608

Konica Minolta Holdings, Inc.

21,000

287,635

Ricoh Co. Ltd.

27,000

509,202

1,683,445

Semiconductors & Semiconductor Equipment - 0.8%

Analog Devices, Inc.

34,000

1,318,520

ASML Holding NV (NY Shares) (a)

24,700

317,889

Intel Corp.

595,800

11,951,748

KLA-Tencor Corp. (a)

14,000

580,720

Lam Research Corp. (a)

70,400

1,540,352

Linear Technology Corp.

21,100

764,664

Novellus Systems, Inc. (a)

15,500

412,145

Samsung Electronics Co. Ltd.

2,100

835,258

Shinko Electric Industries Co.Ltd.

7,800

236,074

Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR

283,619

2,025,040

United Microelectronics Corp. sponsored ADR (a)

523,231

1,768,521

Xilinx, Inc.

14,400

388,800

22,139,731

Software - 3.0%

BEA Systems, Inc. (a)

380,300

2,627,873

Shares

Value

F-Secure Oyj (a)

167,350

$ 341,311

Microsoft Corp.

2,743,692

75,863,084

NDS Group PLC sponsored ADR (a)

22,200

599,400

Nintendo Co. Ltd.

2,500

306,294

VERITAS Software Corp. (a)

192,400

3,424,720

83,162,682

TOTAL INFORMATION TECHNOLOGY

201,083,631

MATERIALS - 0.6%

Chemicals - 0.2%

BASF AG

11,900

701,505

Dow Chemical Co.

106,290

4,802,182

Rhodia SA (a)

170,100

236,921

Syngenta AG (Switzerland)

3,104

296,676

Toray Industries, Inc.

55,000

254,942

6,292,226

Containers & Packaging - 0.0%

Amcor Ltd.

21,500

112,358

Fuji Seal, Inc.

5,800

248,289

Rengo Co. Ltd.

4,000

17,451

378,098

Metals & Mining - 0.3%

Alcan, Inc.

99,700

4,780,543

BHP Billiton Ltd.

80,800

838,300

BHP Billiton PLC

60,500

637,493

Thyssenkrupp AG

18,100

353,169

Yanzhou Coal Mining Co. Ltd.
(H Shares) (a)

142,000

183,938

6,793,443

Paper & Forest Products - 0.1%

Bowater, Inc.

27,700

1,057,863

Carter Holt Harvey Ltd.

62,175

94,806

International Paper Co.

21,600

872,856

2,025,525

TOTAL MATERIALS

15,489,292

TELECOMMUNICATION SERVICES - 3.7%

Diversified Telecommunication Services - 3.4%

Belgacom SA

17,500

627,645

BellSouth Corp.

392,400

10,641,888

BT Group PLC

206,700

681,076

China Telecom Corp. Ltd. sponsored ADR

6,300

203,490

Completel Europe NV (a)

15,572

500,400

Deutsche Telekom AG (Reg.) (a)

36,400

679,224

France Telecom SA

12,952

323,800

Ono Finance PLC rights 5/31/09 (a)(f)

1,740

17

PCCW Ltd. (a)

171,000

112,944

Portugal Telecom SGPS SA sponsored ADR

33,000

363,000

Qwest Communications International, Inc. (a)

2,217,700

7,384,941

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

SBC Communications, Inc.

2,201,400

$ 57,126,330

TDC AS

21,700

768,809

Telecom Corp. of New Zealand Ltd.

74,900

298,975

Telewest Global, Inc. (a)

77,756

903,525

Verizon Communications, Inc.

352,800

13,893,264

94,509,328

Wireless Telecommunication Services - 0.3%

Far EasTone Telecommunications Co. Ltd.

162,250

153,318

KDDI Corp.

70

340,377

Millicom International Cellular SA unit (a)

27,600

493,047

Nextel Communications, Inc. Class A (a)

232,900

5,552,336

Telecom Italia Mobile Spa (TIM)

118,900

641,434

Vodafone Group PLC

723,200

1,743,635

8,924,147

TOTAL TELECOMMUNICATION SERVICES

103,433,475

UTILITIES - 0.7%

Electric Utilities - 0.6%

Entergy Corp.

49,400

2,994,134

FirstEnergy Corp.

156,000

6,408,480

Fortum Oyj

35,400

495,264

PG&E Corp. (a)

159,200

4,839,680

Scottish Power PLC

97,900

749,514

Tokyo Electric Power Co.

20,200

435,119

15,922,191

Gas Utilities - 0.0%

Hong Kong & China Gas Co. Ltd.

94,000

175,409

NiSource, Inc.

34,900

733,249

908,658

Multi-Utilities & Unregulated Power - 0.1%

Public Service Enterprise Group, Inc.

18,800

800,880

RWE AG

19,300

923,577

1,724,457

TOTAL UTILITIES

18,555,306

TOTAL COMMON STOCKS

(Cost $1,293,799,730)

1,387,690,395

Preferred Stocks - 0.1%

Convertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

ITV PLC

24,735

18,825

MATERIALS - 0.1%

Paper & Forest Products - 0.1%

International Paper Capital Trust 2.625%

32,500

1,629,063

Shares

Value

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

Cincinnati Bell, Inc. Series B, 6.75%

7,700

$ 323,400

TOTAL CONVERTIBLE PREFERRED STOCKS

1,971,288

Nonconvertible Preferred Stocks - 0.0%

CONSUMER DISCRETIONARY - 0.0%

Automobiles - 0.0%

Porsche AG (non-vtg.)

510

331,813

Household Durables - 0.0%

LG Electronics, Inc.

2,930

89,567

TOTAL CONSUMER DISCRETIONARY

421,380

HEALTH CARE - 0.0%

Health Care Equipment & Supplies - 0.0%

Fresenius AG

4,500

368,510

Health Care Providers & Services - 0.0%

Fresenius Medical Care AG

5,800

316,285

TOTAL HEALTH CARE

684,795

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

Samsung Electronics Co. Ltd.

690

180,664

TOTAL NONCONVERTIBLE PREFERRED STOCKS

1,286,839

TOTAL PREFERRED STOCKS

(Cost $3,092,091)

3,258,127

Corporate Bonds - 12.6%

Principal Amount

Convertible Bonds - 0.3%

CONSUMER DISCRETIONARY - 0.1%

Specialty Retail - 0.1%

Gap, Inc. 5.75% 3/15/09 (f)

$ 1,214,000

1,487,150

FINANCIALS - 0.2%

Diversified Financial Services - 0.2%

Tyco International Group SA yankee 3.125% 1/15/23

4,620,000

6,906,438

INFORMATION TECHNOLOGY - 0.0%

Communications Equipment - 0.0%

CIENA Corp. 3.75% 2/1/08

660,000

558,558

TOTAL CONVERTIBLE BONDS

8,952,146

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - 12.3%

CONSUMER DISCRETIONARY - 1.9%

Auto Components - 0.2%

DaimlerChrysler NA Holding Corp. 7.2% 9/1/09

$ 1,250,000

$ 1,406,958

Dana Corp.:

9% 8/15/11

570,000

686,850

10.125% 3/15/10

1,300,000

1,482,000

Delco Remy International, Inc. 9.375% 4/15/12

505,000

497,425

Stoneridge, Inc. 11.5% 5/1/12

45,000

51,075

Visteon Corp.:

7% 3/10/14

470,000

447,088

8.25% 8/1/10

455,000

480,025

5,051,421

Automobiles - 0.2%

General Motors Corp.:

7.2% 1/15/11

2,300,000

2,435,856

8.25% 7/15/23

2,320,000

2,440,420

8.375% 7/15/33

1,010,000

1,072,390

5,948,666

Hotels, Restaurants & Leisure - 0.4%

Argosy Gaming Co. 7% 1/15/14

380,000

393,300

Friendly Ice Cream Corp. 8.375% 6/15/12

160,000

152,800

Gaylord Entertainment Co. 8% 11/15/13

340,000

357,442

Host Marriott LP 7.125% 11/1/13

270,000

282,825

Mandalay Resort Group 6.5% 7/31/09

1,270,000

1,314,450

MGM MIRAGE:

5.875% 2/27/14

940,000

907,100

9.75% 6/1/07

90,000

100,125

Morton's Restaurant Group, Inc. 7.5% 7/1/10

250,000

238,750

NCL Corp. Ltd. 10.625% 7/15/14 (f)

665,000

696,588

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

990,000

1,014,750

Six Flags, Inc.:

8.875% 2/1/10

200,000

187,500

9.625% 6/1/14

1,245,000

1,167,188

Starwood Hotels & Resorts Worldwide, Inc. 7.375% 5/1/07

1,540,000

1,659,350

Station Casinos, Inc. 6% 4/1/12

590,000

606,225

Sun International Hotels Ltd./Sun International North America, Inc. 8.875% 8/15/11

290,000

318,275

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

380,000

380,950

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

309,000

330,630

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

705,000

745,538

10,853,786

Principal Amount

Value

Household Durables - 0.1%

Standard Pacific Corp. 9.25% 4/15/12

$ 725,000

$ 833,750

WCI Communities, Inc. 7.875% 10/1/13

400,000

423,000

1,256,750

Leisure Equipment & Products - 0.0%

K2, Inc. 7.375% 7/1/14 (f)

240,000

254,400

True Temper Sports, Inc. 8.375% 9/15/11

230,000

211,600

466,000

Media - 0.9%

Advanstar Communications, Inc. 10.75% 8/15/10

420,000

464,100

AOL Time Warner, Inc.:

7.625% 4/15/31

1,000,000

1,150,999

7.7% 5/1/32

1,500,000

1,744,196

Cablevision Systems Corp.:

5.66% 4/1/09 (f)(i)

930,000

967,200

8% 4/15/12 (f)

950,000

988,000

Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8% 4/30/12 (f)

760,000

756,200

Cox Communications, Inc. 7.125% 10/1/12

1,565,000

1,698,156

CSC Holdings, Inc.:

7.625% 4/1/11

2,100,000

2,210,250

7.625% 7/15/18

700,000

717,500

Dex Media, Inc. 8% 11/15/13

865,000

906,088

EchoStar DBS Corp. 10.375% 10/1/07

660,000

694,254

Houghton Mifflin Co. 9.875% 2/1/13

755,000

792,750

Kabel Deutschland GmbH 10.625% 7/1/14 (f)

360,000

392,400

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

1,030,000

741,600

Liberty Media Corp. 8.25% 2/1/30

3,000,000

3,329,730

Loews Cineplex Entertainment Corp. 9% 8/1/14 (f)

600,000

618,000

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

500,000

492,500

Nextmedia Operating, Inc. 10.75% 7/1/11

600,000

676,500

PanAmSat Corp. 9% 8/15/14 (f)

300,000

312,750

PRIMEDIA, Inc. 7.625% 4/1/08

2,640,000

2,613,600

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

1,430,000

1,576,575

Videotron LTEE 6.875% 1/15/14

280,000

287,000

24,130,348

Multiline Retail - 0.0%

Dillard's, Inc. 6.69% 8/1/07

1,090,000

1,128,150

Specialty Retail - 0.1%

Asbury Automotive Group, Inc. 8% 3/15/14

1,360,000

1,329,400

Blockbuster, Inc. 9% 9/1/12 (f)

450,000

464,625

CSK Automotive, Inc. 7% 1/15/14

180,000

175,500

General Nutrition Centers, Inc. 8.5% 12/1/10

230,000

235,750

Corporate Bonds - continued

Principal Amount

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Hollywood Entertainment Corp. 9.625% 3/15/11

$ 460,000

$ 496,800

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

795,000

838,725

3,540,800

TOTAL CONSUMER DISCRETIONARY

52,375,921

CONSUMER STAPLES - 0.5%

Food & Staples Retailing - 0.2%

Jean Coutu Group, Inc.:

7.625% 8/1/12 (f)

190,000

193,325

8.5% 8/1/14 (f)

480,000

475,200

Kroger Co. 6.8% 4/1/11

2,230,000

2,498,559

NeighborCare, Inc. 6.875% 11/15/13

790,000

821,600

Rite Aid Corp. 6.875% 8/15/13

490,000

427,525

Safeway, Inc. 6.5% 3/1/11

1,220,000

1,333,412

Stater Brothers Holdings, Inc.:

5.38% 6/15/10 (i)

580,000

588,700

8.125% 6/15/12

310,000

323,950

6,662,271

Food Products - 0.2%

Corn Products International, Inc. 8.25% 7/15/07

2,090,000

2,299,000

Dean Foods Co. 8.15% 8/1/07

1,730,000

1,877,050

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

190,000

201,400

Pierre Foods, Inc. 9.875% 7/15/12 (f)

250,000

257,500

United Agriculture Products, Inc. 8.25% 12/15/11 (f)

260,000

279,500

4,914,450

Household Products - 0.0%

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

170,000

186,575

Tobacco - 0.1%

Altria Group, Inc. 7% 11/4/13

1,185,000

1,236,385

Philip Morris Companies, Inc. 7.75% 1/15/27

1,500,000

1,584,456

2,820,841

TOTAL CONSUMER STAPLES

14,584,137

ENERGY - 1.3%

Energy Equipment & Services - 0.2%

Grant Prideco, Inc. 9.625% 12/1/07

770,000

868,175

Hanover Compressor Co.:

8.625% 12/15/10

220,000

238,700

9% 6/1/14

390,000

428,025

Key Energy Services, Inc. 8.375% 3/1/08

1,460,000

1,543,950

Pride International, Inc. 7.375% 7/15/14 (f)

380,000

418,475

Principal Amount

Value

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

$ 730,000

$ 755,550

SESI LLC 8.875% 5/15/11

120,000

129,900

4,382,775

Oil & Gas - 1.1%

Amerada Hess Corp.:

6.65% 8/15/11

180,000

198,738

7.125% 3/15/33

460,000

493,899

7.375% 10/1/09

405,000

455,158

Belden & Blake Corp. 8.75% 7/15/12 (f)

370,000

392,200

Chesapeake Energy Corp. 7.5% 6/15/14

460,000

501,400

El Paso Corp. 7.875% 6/15/12

2,110,000

2,078,350

El Paso Energy Corp.:

6.95% 12/15/07

430,000

430,000

7.375% 12/15/12

524,000

500,420

Empresa Nacional de Petroleo 6.75% 11/15/12 (f)

940,000

1,047,925

EnCana Corp. 6.5% 8/15/34

735,000

785,591

Enterprise Products Operating LP:

4.625% 10/15/09 (f)

270,000

272,242

5.6% 10/15/14 (f)

190,000

191,445

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

250,000

265,000

Forest Oil Corp. 8% 12/15/11

1,030,000

1,153,600

General Maritime Corp. 10% 3/15/13

1,085,000

1,231,475

GulfTerra Energy Partners LP/GulfTerra Energy Finance Corp. 10.625% 12/1/12

241,000

301,250

KCS Energy, Inc. 7.125% 4/1/12

390,000

401,700

Kinder Morgan Energy Partners LP 7.125% 3/15/12

790,000

899,893

Plains Exploration & Production Co.:

Series B, 8.75% 7/1/12

1,055,000

1,186,875

7.125% 6/15/14 (f)

360,000

392,400

Range Resources Corp. 7.375% 7/15/13

1,105,000

1,165,775

Ras Laffan Liquid Natural Gas Co. Ltd. yankee 8.294% 3/15/14 (f)

1,680,000

1,977,716

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

3,070,000

3,070,000

Teekay Shipping Corp. 8.875% 7/15/11

1,220,000

1,390,800

The Coastal Corp.:

6.5% 5/15/06

475,000

482,125

6.5% 6/1/08

785,000

761,450

7.5% 8/15/06

2,480,000

2,560,600

7.625% 9/1/08

605,000

607,269

7.75% 6/15/10

1,450,000

1,450,000

9.625% 5/15/12

1,730,000

1,812,175

Vintage Petroleum, Inc. 8.25% 5/1/12

1,015,000

1,101,275

Williams Companies, Inc.:

7.125% 9/1/11

830,000

910,925

Corporate Bonds - continued

Principal Amount

Value

ENERGY - continued

Oil & Gas - continued

Williams Companies, Inc.: - continued

7.5% 1/15/31

$ 635,000

$ 638,175

7.625% 7/15/19

150,000

164,250

31,272,096

TOTAL ENERGY

35,654,871

FINANCIALS - 3.3%

Capital Markets - 0.5%

BCP Caylux Holdings Luxembourg SCA 9.625% 6/15/14 (f)

1,210,000

1,306,800

Credit Suisse First Boston (USA), Inc. 6.5% 1/15/12

1,520,000

1,688,582

Equinox Holdings Ltd. 9% 12/15/09

110,000

113,300

Goldman Sachs Group, Inc. 6.6% 1/15/12

4,075,000

4,550,821

Merrill Lynch & Co., Inc. 4.125% 1/15/09

2,500,000

2,520,070

Morgan Stanley:

4.75% 4/1/14

3,000,000

2,904,228

6.6% 4/1/12

1,750,000

1,951,416

15,035,217

Commercial Banks - 0.3%

Bank of America Corp.:

6.25% 4/15/12

620,000

685,357

7.4% 1/15/11

1,500,000

1,748,168

Export-Import Bank of Korea:

4.125% 2/10/09 (f)

335,000

334,919

5.25% 2/10/14 (f)

1,315,000

1,332,455

Fleet Financial Group, Inc. 7.125% 4/15/06

1,190,000

1,266,716

Korea Development Bank 3.875% 3/2/09

2,000,000

1,980,372

Wachovia Corp. 4.875% 2/15/14

580,000

578,026

7,926,013

Consumer Finance - 0.5%

Capital One Bank 4.875% 5/15/08

2,070,000

2,143,971

Ford Motor Credit Co.:

7.375% 10/28/09

140,000

153,347

7.375% 2/1/11

1,000,000

1,087,512

7.875% 6/15/10

2,500,000

2,788,385

General Motors Acceptance Corp. 6.875% 9/15/11

1,240,000

1,300,789

Household Finance Corp.:

6.375% 10/15/11

1,120,000

1,234,468

7% 5/15/12

180,000

205,999

Household International, Inc. 8.875% 2/15/08

1,225,000

1,320,404

MBNA America Bank NA 6.625% 6/15/12

1,565,000

1,738,879

MBNA Corp. 7.5% 3/15/12

535,000

618,571

12,592,325

Principal Amount

Value

Diversified Financial Services - 1.6%

Ahold Finance USA, Inc. 8.25% 7/15/10

$ 1,325,000

$ 1,484,000

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

765,000

924,169

Cellu Tissue Holdings, Inc. 9.75% 3/15/10 (f)

495,000

502,425

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

0% 5/15/11 (e)

1,130,000

700,600

8.625% 4/1/09

465,000

363,863

9.625% 11/15/09

385,000

304,150

10% 5/15/11

1,000,000

770,000

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

615,000

654,975

Deutsche Telekom International Finance BV 8.75% 6/15/30

1,500,000

1,938,867

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

449,000

528,698

El Paso Energy Partners LP/El Paso Energy Partners Finance Corp. 8.5% 6/1/11

891,000

987,896

EnCana Holdings Finance Corp. 5.8% 5/1/14

525,000

557,481

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

715,000

811,525

Huntsman Advanced Materials LLC:

11% 7/15/10 (f)

520,000

601,900

11.86% 7/15/08 (f)(i)

650,000

679,250

Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (f)

390,000

410,768

Hutchison Whampoa International 03/33 Ltd.:

6.25% 1/24/14 (f)

800,000

820,950

7.45% 11/24/33 (f)

600,000

621,770

Inmarsat Finance PLC 7.625% 6/30/12 (f)

390,000

386,100

Ispat Inland ULC 9.75% 4/1/14

435,000

478,500

J.P. Morgan Chase & Co. 6.75% 2/1/11

4,605,000

5,180,883

Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (f)

930,000

959,508

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

815,000

835,375

NiSource Finance Corp. 7.875% 11/15/10

2,115,000

2,499,376

Pemex Project Funding Master Trust:

6.125% 8/15/08

2,770,000

2,908,500

7.875% 2/1/09 (i)

3,000,000

3,345,000

Petronas Capital Ltd. 7% 5/22/12 (f)

1,365,000

1,554,971

Rabobank Capital Funding Trust II 5.26% 12/31/49 (f)(i)

2,075,000

2,093,299

Refco Finance Holdings LLC/Refco Finance, Inc. 9% 8/1/12 (f)

800,000

848,000

Sprint Capital Corp. 6.875% 11/15/28

2,495,000

2,616,988

Suburban Propane Partners LP/Suburban Energy Finance Corp. 6.875% 12/15/13

240,000

246,600

Corporate Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Diversified Financial Services - continued

Telecom Italia Capital:

4.95% 9/30/14 (f)

$ 705,000

$ 688,856

5.25% 11/15/13 (f)

1,700,000

1,732,074

UGS Corp. 10% 6/1/12 (f)

390,000

423,150

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

800,000

932,000

Verizon Global Funding Corp.:

7.25% 12/1/10

2,075,000

2,392,514

7.75% 12/1/30

720,000

862,288

WH Holdings Ltd./WH Capital Corp. 9.5% 4/1/11

220,000

237,600

44,884,869

Insurance - 0.0%

Principal Life Global Funding I 6.25% 2/15/12 (f)

850,000

938,406

Real Estate - 0.3%

EOP Operating LP:

4.75% 3/15/14

1,040,000

1,003,753

7.75% 11/15/07

1,000,000

1,116,625

8.1% 8/1/10

1,000,000

1,164,939

Regency Centers LP 6.75% 1/15/12

1,990,000

2,211,823

Senior Housing Properties Trust 8.625% 1/15/12

770,000

856,625

Simon Property Group LP 5.625% 8/15/14 (f)

1,325,000

1,357,649

7,711,414

Thrifts & Mortgage Finance - 0.1%

Countrywide Home Loans, Inc. 4% 3/22/11

1,630,000

1,582,991

Independence Community Bank Corp. 3.75% 4/1/14 (i)

630,000

611,981

Washington Mutual, Inc. 4.375% 1/15/08

770,000

788,202

2,983,174

TOTAL FINANCIALS

92,071,418

HEALTH CARE - 0.3%

Health Care Equipment & Supplies - 0.0%

Medical Device Manufacturing, Inc. 10% 7/15/12 (f)

340,000

360,400

Health Care Providers & Services - 0.3%

AmeriPath, Inc. 10.5% 4/1/13

840,000

856,800

Concentra Operating Corp. 9.125% 6/1/12 (f)

140,000

153,300

Genesis HealthCare Corp. 8% 10/15/13

180,000

195,300

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

1,210,000

1,264,450

Mariner Health Care, Inc. 8.25% 12/15/13 (f)

390,000

415,350

National Nephrology Associates, Inc. 9% 11/1/11 (f)

250,000

289,075

Psychiatric Solutions, Inc. 10.625% 6/15/13

500,000

566,250

Principal Amount

Value

Tenet Healthcare Corp.:

6.375% 12/1/11

$ 600,000

$ 535,500

7.375% 2/1/13

1,150,000

1,069,500

U.S. Oncology, Inc.:

9% 8/15/12 (f)

1,470,000

1,506,750

10.75% 8/15/14 (f)

630,000

648,900

7,501,175

TOTAL HEALTH CARE

7,861,575

INDUSTRIALS - 1.0%

Aerospace & Defense - 0.2%

BE Aerospace, Inc.:

8% 3/1/08

365,000

359,525

8.875% 5/1/11

430,000

435,375

9.5% 11/1/08

1,560,000

1,616,550

Bombardier, Inc.:

6.3% 5/1/14 (f)

1,230,000

1,062,275

7.45% 5/1/34 (f)

420,000

353,346

Raytheon Co. 8.3% 3/1/10

1,450,000

1,733,405

Vought Aircraft Industries, Inc. 8% 7/15/11

600,000

577,500

6,137,976

Airlines - 0.4%

American Airlines, Inc. pass thru trust certificates:

6.817% 5/23/11

505,000

441,875

6.977% 11/23/22

95,822

83,366

7.377% 5/23/19

961,885

548,275

7.379% 5/23/16

581,927

331,698

7.8% 4/1/08

460,000

384,100

8.608% 10/1/12

850,000

718,250

10.18% 1/2/13

375,000

210,000

Continental Airlines, Inc. pass thru trust certificates:

6.795% 2/2/20

735,791

588,633

6.9% 7/2/18

1,324,188

1,019,624

7.373% 12/15/15

1,140,403

878,110

7.568% 12/1/06

425,000

301,750

7.73% 9/15/12

173,174

124,686

8.312% 10/2/12

714,250

514,260

8.388% 5/1/22

280,558

207,613

8.499% 11/1/12

334,296

244,036

Delta Air Lines, Inc. equipment trust certificates 8.54% 1/2/07

155,185

77,593

Delta Air Lines, Inc. pass thru trust certificates:

7.299% 9/18/06

170,000

64,600

7.57% 11/18/10

605,000

543,334

7.711% 9/18/11

85,000

44,200

7.779% 11/18/05

345,000

131,100

7.779% 1/2/12

1,085,293

379,853

7.92% 5/18/12

1,615,000

807,500

10.06% 1/2/16

410,000

184,500

Northwest Airlines, Inc. pass thru trust certificates:

6.81% 2/1/20

493,000

436,650

7.248% 7/2/14

721,710

497,980

7.626% 4/1/10

874,370

664,521

Corporate Bonds - continued

Principal Amount

Value

INDUSTRIALS - continued

Airlines - continued

Northwest Airlines, Inc. pass thru trust certificates: - continued

7.691% 4/1/17

$ 71,418

$ 54,992

7.95% 9/1/16

53,363

41,624

8.304% 9/1/10

516,037

392,188

NWA Trust 10.23% 6/21/14

357,385

310,925

11,227,836

Building Products - 0.1%

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

590,000

590,000

Mueller Group, Inc. 6.4438% 11/1/11 (i)

770,000

793,100

Nortek, Inc. 8.5% 9/1/14 (f)

690,000

721,050

2,104,150

Commercial Services & Supplies - 0.1%

Allied Security Escrow Corp. 11.375% 7/15/11 (f)

340,000

358,700

Allied Waste North America, Inc.:

5.75% 2/15/11

390,000

368,550

7.625% 1/1/06

2,620,000

2,731,350

American Color Graphics, Inc. 10% 6/15/10

220,000

170,500

3,629,100

Construction & Engineering - 0.0%

Great Lakes Dredge & Dock Corp. 7.75% 12/15/13

250,000

215,625

Machinery - 0.1%

Case New Holland, Inc. 9.25% 8/1/11 (f)

430,000

481,600

Cummins, Inc. 9.5% 12/1/10 (i)

450,000

517,500

Dresser, Inc. 9.375% 4/15/11

100,000

109,750

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

1,015,000

1,042,913

Terex Corp. 7.375% 1/15/14

430,000

451,500

2,603,263

Marine - 0.0%

Horizon Lines LLC/Holdings Corp. 9% 11/1/12 (f)

210,000

221,550

OMI Corp. 7.625% 12/1/13

355,000

367,425

588,975

Road & Rail - 0.1%

Kansas City Southern Railway Co. 9.5% 10/1/08

180,000

198,900

TFM SA de CV yankee 11.75% 6/15/09

1,730,000

1,738,650

1,937,550

TOTAL INDUSTRIALS

28,444,475

INFORMATION TECHNOLOGY - 0.4%

Communications Equipment - 0.1%

L-3 Communications Corp. 6.125% 1/15/14

640,000

641,600

Nortel Networks Corp. 6.125% 2/15/06

770,000

783,475

1,425,075

Principal Amount

Value

Electronic Equipment & Instruments - 0.1%

Celestica, Inc. 7.875% 7/1/11

$ 1,900,000

$ 1,980,750

Flextronics International Ltd. 6.5% 5/15/13

230,000

234,600

Sanmina-SCI Corp. 10.375% 1/15/10

675,000

774,563

2,989,913

IT Services - 0.0%

Iron Mountain, Inc. 6.625% 1/1/16

810,000

785,700

Office Electronics - 0.1%

Xerox Corp.:

7.125% 6/15/10

625,000

662,500

7.625% 6/15/13

1,190,000

1,285,200

1,947,700

Semiconductors & Semiconductor Equipment - 0.1%

Freescale Semiconductor, Inc.:

4.38% 7/15/09 (f)(i)

580,000

597,400

6.875% 7/15/11 (f)

670,000

695,125

7.125% 7/15/14 (f)

410,000

426,400

Semiconductor Note Participation Trust 0% 8/4/11 (f)

1,000,000

1,370,000

Viasystems, Inc. 10.5% 1/15/11

900,000

859,500

3,948,425

TOTAL INFORMATION TECHNOLOGY

11,096,813

MATERIALS - 0.9%

Chemicals - 0.3%

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

380,000

393,300

Berry Plastics Corp. 10.75% 7/15/12

560,000

632,800

Compass Minerals Group, Inc. 10% 8/15/11

1,350,000

1,498,500

Crompton Corp. 9.875% 8/1/12 (f)

470,000

500,550

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

1,135,000

1,288,225

Geon Co. 6.875% 12/15/05

130,000

134,550

Huntsman ICI Holdings LLC 0% 12/31/09

505,000

267,650

Innophos, Inc. 8.875% 8/15/14 (f)

140,000

148,750

JohnsonDiversey Holdings, Inc. 0% 5/15/13 (e)

480,000

396,000

Lubrizol Corp.:

4.625% 10/1/09

495,000

495,093

5.5% 10/1/14

230,000

228,427

6.5% 10/1/34

420,000

409,718

Lyondell Chemical Co. 9.625% 5/1/07

230,000

248,400

Nalco Co. 7.75% 11/15/11

470,000

500,550

PolyOne Corp.:

8.875% 5/1/12

430,000

439,675

10.625% 5/15/10

320,000

349,600

The Scotts Co. 6.625% 11/15/13

480,000

504,000

8,435,788

Construction Materials - 0.0%

U.S. Concrete, Inc. 8.375% 4/1/14

460,000

487,600

Containers & Packaging - 0.1%

BWAY Corp. 10% 10/15/10

350,000

378,000

Corporate Bonds - continued

Principal Amount

Value

MATERIALS - continued

Containers & Packaging - continued

Crown European Holdings SA 10.875% 3/1/13

$ 550,000

$ 640,750

Owens-Brockway Glass Container, Inc. 8.875% 2/15/09

1,330,000

1,443,050

Owens-Illinois, Inc.:

7.15% 5/15/05

510,000

520,200

7.35% 5/15/08

330,000

340,725

7.8% 5/15/18

140,000

137,200

8.1% 5/15/07

630,000

658,350

Sealed Air Corp. 5.625% 7/15/13 (f)

245,000

251,894

4,370,169

Metals & Mining - 0.2%

Allegheny Technologies, Inc. 8.375% 12/15/11

305,000

324,825

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

495,000

481,388

Compass Minerals International, Inc. 0% 12/15/12 (e)

1,000,000

840,000

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

870,000

872,175

Foundation Pennsylvania Coal Co. 7.25% 8/1/14 (f)

330,000

351,450

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

1,300,000

1,300,000

Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 (f)

620,000

616,900

4,786,738

Paper & Forest Products - 0.3%

Ainsworth Lumber Co. Ltd. 7.25% 10/1/12 (f)

570,000

574,275

Georgia-Pacific Corp.:

8% 1/15/24

810,000

916,313

9.5% 12/1/11

1,655,000

2,068,750

International Paper Co.:

4.25% 1/15/09

245,000

245,843

5.5% 1/15/14

615,000

629,754

Norske Skog Canada Ltd.:

7.375% 3/1/14

330,000

343,200

8.625% 6/15/11

710,000

768,575

Stone Container Corp.:

8.375% 7/1/12

510,000

566,100

9.75% 2/1/11

1,270,000

1,409,700

7,522,510

TOTAL MATERIALS

25,602,805

TELECOMMUNICATION SERVICES - 1.0%

Diversified Telecommunication Services - 0.5%

AT&T Broadband Corp. 8.375% 3/15/13

500,000

605,495

BellSouth Corp. 5.2% 9/15/14

750,000

756,993

British Telecommunications PLC 8.875% 12/15/30

1,500,000

1,970,556

Principal Amount

Value

France Telecom SA:

8.75% 3/1/11

$ 300,000

$ 359,124

9.5% 3/1/31

2,000,000

2,651,706

NTL Cable PLC 8.75% 4/15/14 (f)

435,000

469,800

Primus Telecommunications Group, Inc. 8% 1/15/14

535,000

393,225

Qwest Communications International, Inc.:

7.25% 2/15/11 (f)

155,000

146,863

7.5% 2/15/14 (f)

1,095,000

1,004,663

Qwest Corp. 9.125% 3/15/12 (f)

1,015,000

1,116,500

Qwest Services Corp. 14% 12/15/10 (f)(i)

1,460,000

1,711,850

SBC Communications, Inc. 6.45% 6/15/34

1,000,000

1,028,100

Telefonica Europe BV 7.75% 9/15/10

795,000

936,814

Triton PCS, Inc. 8.75% 11/15/11

1,020,000

683,400

13,835,089

Wireless Telecommunication Services - 0.5%

America Movil SA de CV:

4.125% 3/1/09 (f)

650,000

633,745

5.5% 3/1/14 (f)

585,000

565,393

American Cellular Corp. 10% 8/1/11

230,000

187,450

American Tower Corp. 9.375% 2/1/09

343,000

366,153

AT&T Wireless Services, Inc. 7.875% 3/1/11

400,000

473,917

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

750,000

714,375

Crown Castle International Corp.:

Series B, 7.5% 12/1/13

810,000

848,475

10.75% 8/1/11

235,000

261,438

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

550,000

628,375

Millicom International Cellular SA 10% 12/1/13 (f)

820,000

820,000

Nextel Communications, Inc.:

7.375% 8/1/15

2,050,000

2,198,625

9.5% 2/1/11

315,000

357,131

Nextel Partners, Inc. 8.125% 7/1/11

690,000

731,400

Rogers Wireless, Inc.:

6.375% 3/1/14

575,000

526,125

9.625% 5/1/11

1,650,000

1,835,625

Western Wireless Corp. 9.25% 7/15/13

980,000

999,600

12,147,827

TOTAL TELECOMMUNICATION SERVICES

25,982,916

UTILITIES - 1.7%

Electric Utilities - 0.7%

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

655,000

720,500

Cleveland Electric Illuminating Co. 5.65% 12/15/13

1,205,000

1,246,891

Corporate Bonds - continued

Principal Amount

Value

UTILITIES - continued

Electric Utilities - continued

DTE Energy Co. 7.05% 6/1/11

$ 650,000

$ 733,649

Duke Capital LLC:

4.37% 3/1/09

3,175,000

3,201,273

6.75% 2/15/32

100,000

105,368

Exelon Corp. 6.75% 5/1/11

1,500,000

1,674,852

FirstEnergy Corp. 6.45% 11/15/11

285,000

310,898

Illinois Power Co.:

7.5% 6/15/09

1,915,000

2,183,100

11.5% 12/15/10

790,000

936,150

MidAmerican Energy Holdings, Inc. 5.875% 10/1/12

1,500,000

1,583,645

Nevada Power Co. 10.875% 10/15/09

305,000

353,800

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

2,745,000

3,099,294

Sierra Pacific Power Co. 6.25% 4/15/12 (f)

240,000

244,800

Southern California Edison Co.:

5% 1/15/14

70,000

71,196

7.625% 1/15/10

1,472,000

1,709,286

TECO Energy, Inc. 6.125% 5/1/07

600,000

616,500

18,791,202

Gas Utilities - 0.2%

ANR Pipeline, Inc. 8.875% 3/15/10

450,000

504,563

Dynegy Holdings, Inc. 10.125% 7/15/13 (f)

620,000

709,900

Northwest Pipeline Corp. 8.125% 3/1/10

420,000

468,300

Sonat, Inc.:

6.75% 10/1/07

285,000

284,644

7.625% 7/15/11

155,000

151,319

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

530,000

594,263

Transcontinental Gas Pipe Line Corp.:

6.125% 1/15/05

650,000

653,250

6.25% 1/15/08

1,335,000

1,401,750

4,767,989

Multi-Utilities & Unregulated Power - 0.8%

AES Corp.:

8.75% 6/15/08

53,000

57,240

8.75% 5/15/13 (f)

2,145,000

2,407,763

8.875% 2/15/11

308,000

341,495

9.375% 9/15/10

1,024,000

1,153,280

9.5% 6/1/09

2,092,000

2,329,965

Calpine Corp. 7.35% 7/15/07 (f)(i)

1,316,700

1,145,529

Calpine Generating Co. LLC 7.35% 4/1/10 (f)(i)

155,000

148,800

CMS Energy Corp.:

7.625% 11/15/04

1,220,000

1,221,525

7.75% 8/1/10

1,250,000

1,323,438

8.5% 4/15/11

815,000

889,369

8.9% 7/15/08

1,395,000

1,518,806

9.875% 10/15/07

1,730,000

1,913,813

Constellation Energy Group, Inc. 7% 4/1/12

2,250,000

2,547,875

Principal Amount

Value

Dominion Resources, Inc.:

6.25% 6/30/12

$ 1,000,000

$ 1,086,033

8.125% 6/15/10

2,515,000

2,980,034

NRG Energy, Inc. 8% 12/15/13 (f)

830,000

888,100

Reliant Energy, Inc. 9.25% 7/15/10

325,000

351,000

Western Resources, Inc. 7.125% 8/1/09

315,000

348,075

22,652,140

TOTAL UTILITIES

46,211,331

TOTAL NONCONVERTIBLE BONDS

339,886,262

TOTAL CORPORATE BONDS

(Cost $328,976,339)

348,838,408

U.S. Government and Government
Agency Obligations - 7.8%

U.S. Government Agency Obligations - 2.4%

Fannie Mae:

2.5% 6/15/06

4,570,000

4,553,978

3.25% 8/15/08

820,000

813,136

3.25% 2/15/09

1,800,000

1,773,002

5.25% 8/1/12

960,000

997,800

5.5% 3/15/11

2,780,000

2,992,995

6.25% 2/1/11

3,220,000

3,555,093

Farm Credit Systems Financial Assistance Corp. 8.8% 6/10/05

2,000,000

2,089,444

Freddie Mac:

2.875% 5/15/07

15,000,000

14,942,865

3.625% 9/15/08

2,661,000

2,674,600

4% 6/12/13

11,318,000

10,770,096

4.5% 1/15/14

10,000,000

9,950,560

5.875% 3/21/11

7,760,000

8,423,992

U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14

2,825,000

2,938,531

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

66,476,092

U.S. Treasury Inflation Protected Obligations - 0.2%

U.S. Treasury Inflation-Indexed Notes 2% 1/15/14

6,150,540

6,297,815

U.S. Treasury Obligations - 5.2%

U.S. Treasury Bills, yield at date of purchase 1.65% 12/9/04 (h)

4,700,000

4,685,360

U.S. Treasury Bonds:

5.375% 2/15/31

1,300,000

1,392,625

6.25% 5/15/30

13,610,000

16,153,369

8% 11/15/21

5,500,000

7,560,135

U.S. Treasury Notes:

1.625% 2/28/06

25,835,000

25,571,612

3.125% 5/15/07

22,390,000

22,578,927

U.S. Government and Government
Agency Obligations - continued

Principal Amount

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

6.5% 2/15/10

$ 41,705,000

$ 47,853,235

7% 7/15/06

17,000,000

18,322,804

TOTAL U.S. TREASURY OBLIGATIONS

144,118,067

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $214,011,658)

216,891,974

U.S. Government Agency - Mortgage Securities - 8.6%

Fannie Mae - 8.0%

4% 6/1/19

7,999,999

7,806,465

4.5% 4/1/19 to 10/1/33

40,904,433

40,206,162

5% 2/1/18 to 9/1/34

31,226,374

31,393,401

5.5% 10/1/18 to 10/1/34

76,091,843

77,363,767

5.5% 10/1/34 (g)

6,000,000

6,082,500

6% 6/1/13 to 1/1/34

20,427,890

21,354,540

6.5% 9/1/08 to 9/1/32

25,360,252

26,713,559

7% 8/1/13 to 2/1/32

7,501,663

7,984,293

7.5% 7/1/16 to 11/1/31

2,947,798

3,162,813

8% 1/1/30 to 6/1/30

379,035

412,368

TOTAL FANNIE MAE

222,479,868

Freddie Mac - 0.0%

7.5% 5/1/17 to 11/1/31

1,080,771

1,161,614

8% 7/1/17 to 5/1/27

80,206

87,673

TOTAL FREDDIE MAC

1,249,287

Government National Mortgage Association - 0.6%

6% 12/15/08 to 6/15/09

555,031

582,841

6.5% 6/15/08 to 8/15/27

6,474,537

6,867,371

7% 7/15/28 to 7/15/32

4,068,554

4,342,441

7.5% 9/15/22 to 8/15/28

2,110,030

2,278,697

8% 5/15/25 to 1/15/31

593,117

647,602

8.5% 12/15/16 to 12/15/30

378,448

415,778

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

15,134,730

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $234,028,587)

238,863,885

Asset-Backed Securities - 0.6%

ACE Securities Corp. Series 2004-HE1:

Class M1, 2.34% 2/25/34 (i)

250,000

250,036

Class M2, 2.94% 2/25/34 (i)

300,000

300,085

Principal Amount

Value

Ameriquest Mortgage Securities, Inc. Series 2004-R2:

Class M1, 2.27% 4/25/34 (i)

$ 145,000

$ 145,000

Class M2, 2.32% 4/25/34 (i)

125,000

125,000

Amortizing Residential Collateral Trust Series 2003-BC1 Class M2, 2.715% 1/25/32 (i)

305,000

306,046

Argent Securities, Inc. Series 2004-W5 Class M1, 2.44% 4/25/34 (i)

475,000

475,595

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE3:

Class M1, 2.38% 6/25/34 (i)

175,000

175,070

Class M2, 2.96% 6/25/34 (i)

400,000

400,152

Capital One Master Trust Series 2001-7A Class A, 3.85% 8/15/07

810,000

810,712

Capital One Multi-Asset Execution Trust Series 2003-B4 Class B4, 2.56% 7/15/11 (i)

780,000

793,759

CDC Mortgage Capital Trust Series 2004-HE2 Class M2, 3.04% 7/26/34 (i)

265,000

264,999

Citibank Credit Card Issuance Trust:

Series 2002-B1 Class B1, 1.9% 6/25/09 (i)

1,080,000

1,083,472

Series 2002-C1 Class C1, 2.7% 2/9/09 (i)

1,750,000

1,772,913

Countrywide Home Loans, Inc.:

Series 2004-2 Class M1, 2.34% 5/25/34 (i)

625,000

624,999

Series 2004-3 Class M1, 2.34% 6/25/34 (i)

175,000

175,183

Series 2004-4:

Class A, 2.21% 8/25/34 (i)

571,338

571,337

Class M1, 2.32% 7/25/34 (i)

450,000

449,999

Class M2, 2.37% 6/25/34 (i)

525,000

525,192

Discover Card Master Trust I Series 2003-4 Class B1, 2.09% 5/16/11 (i)

1,015,000

1,018,278

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 2.39% 3/25/34 (i)

50,000

50,000

Class M4, 2.74% 3/25/34 (i)

25,000

25,000

Class M6, 3.09% 3/25/34 (i)

50,000

49,816

Fremont Home Loan Trust Series 2004-A:

Class M1, 2.39% 1/25/34 (i)

550,000

549,999

Class M2, 2.99% 1/25/34 (i)

625,000

624,999

GSAMP Trust Series 2004-FM2:

Class M1, 2.34% 1/25/34 (i)

500,000

499,999

Class M2, 2.94% 1/25/34 (i)

200,000

200,000

Class M3, 3.14% 1/25/34 (i)

200,000

199,999

Home Equity Asset Trust Series 2002-4 Class M2, 3.665% 3/25/33 (i)

225,000

228,218

Long Beach Mortgage Loan Trust Series 2004-2:

Class M1, 2.37% 6/25/34 (i)

500,000

499,564

Class M2, 2.92% 6/25/34 (i)

325,000

325,414

Asset-Backed Securities - continued

Principal Amount

Value

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 2.34% 7/25/34 (i)

$ 250,000

$ 250,000

Class M2, 2.39% 7/25/34 (i)

50,000

50,000

Class M3, 2.79% 7/25/34 (i)

100,000

100,000

Class M4, 2.94% 7/25/34 (i)

75,000

75,000

Morgan Stanley ABS Capital I, Inc.:

Series 2003-HE1 Class M2, 3.74% 5/25/33 (i)

175,000

177,697

Series 2003-NC5 Class M2, 3.84% 4/25/33 (i)

325,000

331,688

Morgan Stanley Dean Witter Capital I Trust Series 2003-NC1 Class M1, 2.89% 11/25/32 (i)

305,000

309,757

Structured Asset Securities Corp. Series 2004-GEL1 Class A, 2.2% 2/25/34 (i)

201,664

201,664

TOTAL ASSET-BACKED SECURITIES

(Cost $14,993,932)

15,016,641

Collateralized Mortgage Obligations - 0.4%

Private Sponsor - 0.1%

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR3 Class 6A2, 2.21% 4/25/34 (i)

528,058

529,086

Series 2004-AR5 Class 11A2, 2.21% 6/25/34 (i)

665,179

663,711

Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34

229,981

239,633

Residential Asset Mortgage Products, Inc. sequential pay Series 2004-SL2 Class A1, 6.5% 10/25/16

282,985

293,427

TOTAL PRIVATE SPONSOR

1,725,857

U.S. Government Agency - 0.3%

Fannie Mae:

planned amortization class:

Series 1999-54 Class PH, 6.5% 11/18/29

3,300,000

3,500,104

Series 1999-57 Class PH, 6.5% 12/25/29

2,600,000

2,742,444

sequential pay Series 1999-10 Class MZ, 6.5% 9/17/38

1,565,359

1,686,185

TOTAL U.S. GOVERNMENT AGENCY

7,928,733

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $8,718,152)

9,654,590

Commercial Mortgage Securities - 1.5%

Bayview Commercial Asset Trust floater Series 2004-1:

Class A, 2.2% 4/25/34 (f)(i)

868,290

865,509

Principal Amount

Value

Class B, 3.74% 4/25/34 (f)(i)

$ 96,477

$ 96,236

Class M1, 2.4% 4/25/34 (f)(i)

96,477

96,296

Class M2, 3.04% 4/25/34 (f)(i)

96,477

96,379

Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 1.0056% 8/1/24 (f)(i)

358,691

319,235

CBM Funding Corp. sequential pay Series 1996-1:

Class A3PI, 7.08% 11/1/07

1,877,661

1,989,659

Class B, 7.48% 2/1/08

2,320,000

2,563,220

COMM:

floater:

Series 2002-FL7 Class D, 2.17% 11/15/14 (f)(i)

295,000

295,472

Series 2003-FL9 Class B, 2.1% 11/15/15 (f)(i)

575,000

576,299

Series 2004-LBN2 Class X2, 1.2763% 3/10/39 (f)(i)(j)

2,033,682

92,252

CS First Boston Mortgage Securities Corp.:

sequential pay:

Series 1999-C1 Class A2, 7.29% 9/15/41

1,500,000

1,702,364

Series 2004-C1 Class A3, 4.321% 1/15/37

615,000

612,771

Series 1998-C1 Class D, 7.17% 5/17/40

580,000

650,440

Series 2004-C1 Class ASP, 1.2148% 1/15/37 (f)(i)(j)

9,980,000

425,516

Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31

4,350,000

4,827,141

Equitable Life Assurance Society of the United States Series 174:

Class B1, 7.33% 5/15/06 (f)

3,500,000

3,722,915

Class C1, 7.52% 5/15/06 (f)

2,300,000

2,450,025

Class D1, 7.77% 5/15/06 (f)

2,200,000

2,336,683

FMAC Loan Receivables Trust weighted average coupon Series 1997-A Class E, 0% 4/15/19 (d)(f)(i)

360,660

0

GS Mortgage Securities Corp. II:

sequential pay Series 2001-LIBA Class A2, 6.615% 2/14/16 (f)

695,000

769,833

Series 1998-GLII Class E, 7.1905% 4/13/31 (i)

1,205,000

1,278,911

Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A:

Class B, 4.13% 11/20/37 (f)

1,050,000

1,011,938

Class C, 4.13% 11/20/37 (f)

1,050,000

968,297

LTC Commercial Mortgage pass thru certificates sequential pay Series 1998-1 Class A, 6.029% 5/28/30 (f)

779,932

787,790

Morgan Stanley Capital I, Inc. sequential pay Series 2004-HQ3 Class A2, 4.05% 1/13/41

630,000

627,746

Commercial Mortgage Securities - continued

Principal Amount

Value

Thirteen Affiliates of General Growth Properties, Inc.:

sequential pay Series 1 Class A2, 6.602% 11/15/07 (f)

$ 4,200,000

$ 4,522,782

Series 1:

Class D2, 6.992% 11/15/07 (f)

4,120,000

4,492,113

Class E2, 7.224% 11/15/07 (f)

2,450,000

2,665,777

Wachovia Bank Commercial Mortgage Trust sequential pay Series 2003-C6 Class A2, 4.498% 8/15/35

1,015,000

1,036,509

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $39,699,405)

41,880,108

Foreign Government and Government
Agency Obligations - 0.2%

Chilean Republic:

5.625% 7/23/07

1,630,000

1,718,631

7.125% 1/11/12

650,000

745,875

State of Israel 4.625% 6/15/13

230,000

221,231

United Mexican States:

5.875% 1/15/14

610,000

619,150

7.5% 4/8/33

2,350,000

2,471,025

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $5,398,037)

5,775,912

Floating Rate Loans - 0.1%

TELECOMMUNICATION SERVICES - 0.1%

Diversified Telecommunication Services - 0.1%

Qwest Corp. Tranche A term loan 6.5% 6/30/07 (i)
(Cost $1,807,866)

1,800,000

1,867,500

Money Market Funds - 18.0%

Shares

Value

Fidelity Cash Central Fund, 1.74% (b)

370,369,394

$ 370,369,394

Fidelity Money Market Central Fund, 1.74% (b)

123,860,162

123,860,162

Fidelity Securities Lending Cash Central Fund, 1.71% (b)(c)

5,141,724

5,141,724

TOTAL MONEY MARKET FUNDS

(Cost $499,371,280)

499,371,280

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $2,643,897,077)

2,769,108,820

NET OTHER ASSETS - 0.0%

(872,697)

NET ASSETS - 100%

$ 2,768,236,123

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/(Depreciation)

Purchased

Equity Index Contracts

270 S&P 500 Index Contracts

Dec. 2004

$ 75,255,750

$ (787,995)

The face value of futures purchased as a percentage of net assets - 2.7%

Swap Agreements

Expiration Date

Notional
Amount

Value

Total Return Swap

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 65 basis points with Lehman Brothers, Inc.

Oct. 2004

$ 2,500,000

$ 8,283

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc.

April 2005

2,500,000

0

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 72 basis points with Bank of America

Jan. 2005

2,500,000

97,423

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 70 basis points with Bank of America

Dec. 2004

2,500,000

10,704

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America

Nov. 2004

2,500,000

86,080

TOTAL SWAP AGREEMENTS

$ 12,500,000

$ 202,490

Legend

(a) Non-income producing

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

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

(d) Non-income producing - issuer filed for bankruptcy or is in default of interest payments.

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

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $88,366,944 or 3.2% of net assets.

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

(h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $4,685,360.

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

(j) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool.

(k) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $106,496 or 0.0% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost

Arena Brands Holding Corp. Class B

6/18/97

$ 341,094

Fountain View, Inc.

8/19/03 - 1/22/04

$ 11

Income Tax Information

At September 30, 2004, the aggregate cost of investment securities for income tax purposes was $2,653,907,525. Net unrealized appreciation aggregated $115,201,295, of which $228,014,926 related to appreciated investment securities and $112,813,631 related to depreciated investment securities.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please call Fidelity at 1-800-221-5207 for a free copy of the fund's most recent prospectus and annual report.

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Variable Insurance Products:
Asset Manager Growth Portfolio

September 30, 2004

1.808789.100

VIPAMG-QTLY-1104

Investments September 30, 2004 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 71.0%

Shares

Value

CONSUMER DISCRETIONARY - 8.3%

Auto Components - 0.0%

Aisin Seiki Co. Ltd.

4,500

$ 111,247

Exide Technologies warrants 3/18/06 (a)

5

0

111,247

Automobiles - 0.2%

Fiat Spa (a)

28,000

202,309

Honda Motor Co. Ltd.

4,300

209,496

Toyota Motor Corp.

8,800

336,072

747,877

Hotels, Restaurants & Leisure - 0.4%

Enterprise Inns PLC

10,300

106,385

McDonald's Corp.

27,200

762,416

Rank Group PLC

39,100

198,029

1,066,830

Household Durables - 0.2%

LG Electronics, Inc.

3,520

202,365

Techtronic Industries Co. Ltd.

194,000

381,919

584,284

Media - 3.4%

Clear Channel Communications, Inc.

246,700

7,689,639

McGraw-Hill Companies, Inc.

1,500

119,535

News Corp. Ltd. sponsored ADR

38,200

1,196,806

NRJ Group

12,100

240,761

SKY Perfect Communications, Inc.

9

10,552

Taylor Nelson Sofres PLC

58,200

234,124

Time Warner, Inc. (a)

41,600

671,424

Tv Asahi Corp.

210

410,361

10,573,202

Multiline Retail - 0.0%

Barneys, Inc. warrants 4/1/08 (a)

170

10,370

Specialty Retail - 3.8%

Fast Retailing Co. Ltd.

2,300

156,574

Home Depot, Inc.

276,500

10,838,800

Office Depot, Inc. (a)

5,400

81,162

Ross Stores, Inc.

1,200

28,128

Staples, Inc.

10,900

325,038

TJX Companies, Inc.

12,200

268,888

11,698,590

Textiles Apparel & Luxury Goods - 0.3%

Adidas-Salomon AG

1,800

251,493

Louis Vuitton Moet Hennessy (LVMH)

3,200

213,899

The Swatch Group AG (Reg.)

11,644

321,249

786,641

TOTAL CONSUMER DISCRETIONARY

25,579,041

Shares

Value

CONSUMER STAPLES - 5.7%

Beverages - 0.7%

PepsiCo, Inc.

21,900

$ 1,065,435

Pernod-Ricard

3,500

465,293

The Coca-Cola Co.

19,400

776,970

2,307,698

Food & Staples Retailing - 3.1%

CVS Corp.

117,300

4,941,849

Safeway, Inc. (a)

90,200

1,741,762

Wal-Mart Stores, Inc.

52,800

2,808,960

9,492,571

Food Products - 0.1%

Barry Callebaut AG

633

119,477

People's Food Holdings Ltd.

201,000

138,411

257,888

Household Products - 0.2%

Kimberly-Clark Corp.

3,400

219,606

Procter & Gamble Co.

7,000

378,840

598,446

Personal Products - 0.7%

Alberto-Culver Co.

47,400

2,060,952

Estee Lauder Companies, Inc. Class A

3,600

150,480

2,211,432

Tobacco - 0.9%

Altria Group, Inc.

60,000

2,822,400

TOTAL CONSUMER STAPLES

17,690,435

ENERGY - 3.4%

Energy Equipment & Services - 1.9%

Diamond Offshore Drilling, Inc.

47,400

1,563,726

ENSCO International, Inc.

33,600

1,097,712

GlobalSantaFe Corp.

47,900

1,468,135

Nabors Industries Ltd. (a)

4,800

227,280

Transocean, Inc. (a)

44,900

1,606,522

5,963,375

Oil & Gas - 1.5%

BP PLC

26,000

249,297

Canadian Natural Resources Ltd.

16,100

644,383

ChevronTexaco Corp.

36,400

1,952,496

EnCana Corp.

14,300

661,308

ENI Spa

12,900

289,734

Exxon Mobil Corp.

6,200

299,646

Total SA Series B

2,370

484,286

4,581,150

TOTAL ENERGY

10,544,525

FINANCIALS - 19.1%

Capital Markets - 2.9%

Bear Stearns Companies, Inc.

2,200

211,574

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

Collins Stewart Tullett PLC

28,000

$ 202,950

JAFCO Co. Ltd.

3,000

158,146

Julius Baer Holding AG (Bearer)

1,270

349,363

Lehman Brothers Holdings, Inc.

6,900

550,068

Man Group PLC

8,000

172,362

Merrill Lynch & Co., Inc.

39,800

1,978,856

Morgan Stanley

96,100

4,737,730

UBS AG (Reg.)

8,509

598,438

8,959,487

Commercial Banks - 3.1%

Banca Intesa Spa

57,800

219,737

Bank of America Corp.

135,928

5,889,760

HSBC Holdings PLC (United Kingdom) (Reg.)

20,900

333,564

Societe Generale Series A

4,000

354,426

SouthTrust Corp.

17,390

724,467

Sumitomo Mitsui Financial Group, Inc.

49

280,573

Synovus Financial Corp.

22,800

596,220

UFJ Holdings, Inc. (a)

79

346,803

Wachovia Corp.

18,100

849,795

Wells Fargo & Co.

3,700

220,631

9,815,976

Consumer Finance - 0.4%

MBNA Corp.

41,200

1,038,240

SFCG Co. Ltd.

500

98,432

1,136,672

Diversified Financial Services - 2.8%

Citigroup, Inc.

130,300

5,748,836

ING Groep NV (Certificaten Van Aandelen)

9,900

250,272

J.P. Morgan Chase & Co.

67,980

2,700,845

8,699,953

Insurance - 6.5%

AFLAC, Inc.

4,800

188,208

AMBAC Financial Group, Inc.

14,100

1,127,295

American International Group, Inc.

192,700

13,101,659

Hartford Financial Services Group, Inc.

38,600

2,390,498

MBIA, Inc.

14,500

844,045

MetLife, Inc.

42,500

1,642,625

PartnerRe Ltd.

5,500

300,795

St. Paul Travelers Companies, Inc.

15,628

516,662

20,111,787

Thrifts & Mortgage Finance - 3.4%

Fannie Mae

128,300

8,134,220

Greenpoint Financial Corp.

7,400

342,324

MGIC Investment Corp.

19,000

1,264,450

Shares

Value

New York Community Bancorp, Inc.

41,533

$ 853,088

Sovereign Bancorp, Inc.

3,000

65,460

10,659,542

TOTAL FINANCIALS

59,383,417

HEALTH CARE - 11.5%

Biotechnology - 0.4%

Actelion Ltd. (Reg.) (a)

6,153

632,572

CSL Ltd.

21,942

453,562

QIAGEN NV (a)

15,600

178,620

1,264,754

Health Care Equipment & Supplies - 0.4%

Baxter International, Inc.

21,700

697,872

Medtronic, Inc.

6,100

316,590

Thermo Electron Corp. (a)

6,900

186,438

1,200,900

Health Care Providers & Services - 2.6%

Cardinal Health, Inc.

179,450

7,854,527

Fountain View, Inc. (k)

225

3,771

Henry Schein, Inc. (a)

4,200

261,702

Service Corp. International (SCI) (a)

15,898

98,727

8,218,727

Pharmaceuticals - 8.1%

Barr Pharmaceuticals, Inc. (a)

3,300

136,719

Johnson & Johnson

68,000

3,830,440

Merck & Co., Inc.

53,000

1,749,000

Novartis AG (Reg.)

11,663

544,312

Novo Nordisk AS Series B

5,200

285,036

Pfizer, Inc.

298,600

9,137,160

Recordati Spa

5,813

115,448

Roche Holding AG (participation certificate)

7,055

730,971

Schering-Plough Corp.

58,753

1,119,832

Shire Pharmaceuticals Group PLC

21,300

203,415

Wyeth

193,800

7,248,120

25,100,453

TOTAL HEALTH CARE

35,784,834

INDUSTRIALS - 5.3%

Aerospace & Defense - 0.6%

Lockheed Martin Corp.

11,500

641,470

Northrop Grumman Corp.

6,900

367,977

United Technologies Corp.

10,200

952,476

1,961,923

Air Freight & Logistics - 0.0%

Ryder System, Inc.

2,500

117,600

Building Products - 0.1%

BPB PLC

17,800

138,049

Commercial Services & Supplies - 0.4%

Adecco SA

2,661

132,510

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Aramark Corp. Class B

9,900

$ 238,986

Capita Group PLC

22,600

134,733

ChoicePoint, Inc. (a)

14,300

609,895

1,116,124

Electrical Equipment - 0.1%

ABB Ltd. (Switzerland) (Reg.) (a)

39,448

241,431

Furukawa Electric Co. Ltd. (a)

34,000

133,497

374,928

Industrial Conglomerates - 3.4%

General Electric Co.

213,280

7,161,942

Siemens AG (Reg.)

900

66,330

Tyco International Ltd.

112,900

3,461,514

10,689,786

Machinery - 0.5%

FKI PLC

44,100

95,894

Ingersoll-Rand Co. Ltd. Class A

20,600

1,400,182

1,496,076

Road & Rail - 0.2%

CSX Corp.

6,700

222,440

Norfolk Southern Corp.

3,700

110,038

Union Pacific Corp.

3,800

222,680

555,158

TOTAL INDUSTRIALS

16,449,644

INFORMATION TECHNOLOGY - 10.5%

Communications Equipment - 1.8%

Alcatel SA (RFD) (a)

13,500

158,355

Cisco Systems, Inc. (a)

179,102

3,241,746

Comverse Technology, Inc. (a)

33,100

623,273

Motorola, Inc.

84,620

1,526,545

5,549,919

Computers & Peripherals - 1.5%

Dell, Inc. (a)

82,500

2,937,000

Diebold, Inc.

5,300

247,510

Hewlett-Packard Co.

70,700

1,325,625

Sun Microsystems, Inc. (a)

39,600

159,984

4,670,119

Electronic Equipment & Instruments - 0.7%

Flextronics International Ltd. (a)

34,300

454,475

Hon Hai Precision Industries Co. Ltd.

48,000

165,322

Hoya Corp.

1,700

178,459

Jabil Circuit, Inc. (a)

16,600

381,800

Sanmina-SCI Corp. (a)

36,400

256,620

Solectron Corp. (a)

126,900

628,155

Yageo Corp. (a)

308,000

115,602

2,180,433

Shares

Value

Internet Software & Services - 0.1%

Softbank Corp.

3,700

$ 171,843

IT Services - 0.7%

Affiliated Computer Services, Inc. Class A (a)

16,400

912,988

First Data Corp.

29,000

1,261,500

2,174,488

Semiconductors & Semiconductor Equipment - 1.4%

Analog Devices, Inc.

5,300

205,534

ASM International NV (Netherlands) (a)

11,600

155,221

ASML Holding NV (a)

16,100

207,207

ASML Holding NV (NY Shares) (a)

30,600

393,822

Intel Corp.

92,400

1,853,544

KLA-Tencor Corp. (a)

2,200

91,256

Lam Research Corp. (a)

11,000

240,680

Linear Technology Corp.

3,100

112,344

Novellus Systems, Inc. (a)

2,300

61,157

Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR

43,905

313,482

Tokyo Electron Ltd.

5,100

248,916

United Microelectronics Corp. sponsored ADR (a)

82,448

278,674

Xilinx, Inc.

2,100

56,700

4,218,537

Software - 4.3%

BEA Systems, Inc. (a)

59,400

410,454

Dassault Systemes SA

5,500

257,313

Microsoft Corp.

436,075

12,057,474

Nintendo Co. Ltd.

1,500

183,776

Temenos Group AG (a)

5,154

39,326

VERITAS Software Corp. (a)

30,100

535,780

13,484,123

TOTAL INFORMATION TECHNOLOGY

32,449,462

MATERIALS - 1.0%

Chemicals - 0.2%

Dow Chemical Co.

16,500

745,470

Construction Materials - 0.1%

HeidelbergCement AG

5,163

240,455

Metals & Mining - 0.4%

Alcan, Inc.

16,500

791,163

BHP Billiton PLC

17,500

184,399

Rio Tinto PLC (Reg.)

6,600

179,273

1,154,835

Paper & Forest Products - 0.3%

Aracruz Celulose SA sponsored ADR

16,900

559,728

Bowater, Inc.

4,100

156,579

Common Stocks - continued

Shares

Value

MATERIALS - continued

Paper & Forest Products - continued

International Paper Co.

3,200

$ 129,312

Votorantim Celulose e Papel SA sponsored ADR

6,600

228,030

1,073,649

TOTAL MATERIALS

3,214,409

TELECOMMUNICATION SERVICES - 5.4%

Diversified Telecommunication Services - 4.8%

BellSouth Corp.

61,700

1,673,304

Deutsche Telekom AG (Reg.) (a)

26,200

488,892

Ono Finance PLC rights 5/31/09 (a)(f)

310

3

Qwest Communications International, Inc. (a)

349,100

1,162,503

SBC Communications, Inc.

344,900

8,950,155

Telefonica SA

15,000

224,950

Telewest Global, Inc. (a)

12,782

148,527

Verizon Communications, Inc.

55,300

2,177,714

14,826,048

Wireless Telecommunication Services - 0.6%

KDDI Corp.

45

218,814

Nextel Communications, Inc. Class A (a)

36,500

870,160

Vodafone Group PLC

334,800

807,203

1,896,177

TOTAL TELECOMMUNICATION SERVICES

16,722,225

UTILITIES - 0.8%

Electric Utilities - 0.7%

Entergy Corp.

7,700

466,697

FirstEnergy Corp.

25,400

1,043,432

PG&E Corp. (a)

24,600

747,840

2,257,969

Gas Utilities - 0.0%

NiSource, Inc.

5,500

115,555

Multi-Utilities & Unregulated Power - 0.1%

Public Service Enterprise Group, Inc.

3,000

127,800

TOTAL UTILITIES

2,501,324

TOTAL COMMON STOCKS

(Cost $208,284,742)

220,319,316

Convertible Preferred Stocks - 0.1%

MATERIALS - 0.1%

Paper & Forest Products - 0.1%

International Paper Capital Trust 2.625%

5,200

260,650

Shares

Value

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

Cincinnati Bell, Inc. Series B, 6.75%

1,300

$ 54,600

TOTAL CONVERTIBLE PREFERRED STOCKS

(Cost $302,688)

315,250

Corporate Bonds - 11.1%

Principal Amount

Convertible Bonds - 0.4%

CONSUMER DISCRETIONARY - 0.1%

Specialty Retail - 0.1%

Gap, Inc. 5.75% 3/15/09 (f)

$ 180,000

220,500

FINANCIALS - 0.3%

Diversified Financial Services - 0.3%

Tyco International Group SA yankee 3.125% 1/15/23

720,000

1,076,328

INFORMATION TECHNOLOGY - 0.0%

Communications Equipment - 0.0%

CIENA Corp. 3.75% 2/1/08

100,000

84,630

TOTAL CONVERTIBLE BONDS

1,381,458

Nonconvertible Bonds - 10.7%

CONSUMER DISCRETIONARY - 2.0%

Auto Components - 0.2%

DaimlerChrysler NA Holding Corp. 7.2% 9/1/09

50,000

56,278

Dana Corp.:

9% 8/15/11

95,000

114,475

10.125% 3/15/10

160,000

182,400

Delco Remy International, Inc. 9.375% 4/15/12

80,000

78,800

Stoneridge, Inc. 11.5% 5/1/12

10,000

11,350

Visteon Corp.:

7% 3/10/14

75,000

71,344

8.25% 8/1/10

65,000

68,575

583,222

Automobiles - 0.1%

General Motors Corp.:

7.2% 1/15/11

125,000

132,384

8.25% 7/15/23

70,000

73,633

8.375% 7/15/33

25,000

26,544

232,561

Hotels, Restaurants & Leisure - 0.6%

Argosy Gaming Co. 7% 1/15/14

70,000

72,450

Friendly Ice Cream Corp. 8.375% 6/15/12

30,000

28,650

Gaylord Entertainment Co. 8% 11/15/13

60,000

63,078

Host Marriott LP 7.125% 11/1/13

200,000

209,500

Mandalay Resort Group 6.5% 7/31/09

180,000

186,300

Corporate Bonds - continued

Principal Amount

Value

MGM MIRAGE:

5.875% 2/27/14

$ 140,000

$ 135,100

9.75% 6/1/07

15,000

16,688

Morton's Restaurant Group, Inc. 7.5% 7/1/10

40,000

38,200

NCL Corp. Ltd. 10.625% 7/15/14 (f)

110,000

115,225

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

150,000

153,750

Six Flags, Inc.:

8.875% 2/1/10

55,000

51,563

9.625% 6/1/14

155,000

145,313

Starwood Hotels & Resorts Worldwide, Inc. 7.375% 5/1/07

265,000

285,538

Station Casinos, Inc. 6% 4/1/12

90,000

92,475

Sun International Hotels Ltd./Sun International North America, Inc. 8.875% 8/15/11

25,000

27,438

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

70,000

70,175

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

55,000

58,850

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

90,000

95,175

1,845,468

Household Durables - 0.1%

Standard Pacific Corp. 9.25% 4/15/12

120,000

138,000

WCI Communities, Inc. 7.875% 10/1/13

60,000

63,450

201,450

Leisure Equipment & Products - 0.0%

K2, Inc. 7.375% 7/1/14 (f)

40,000

42,400

True Temper Sports, Inc. 8.375% 9/15/11

40,000

36,800

79,200

Media - 0.8%

Advanstar Communications, Inc. 10.75% 8/15/10

70,000

77,350

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

75,000

86,325

Cablevision Systems Corp.:

5.66% 4/1/09 (f)(i)

140,000

145,600

8% 4/15/12 (f)

135,000

140,400

Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8% 4/30/12 (f)

110,000

109,450

Cox Communications, Inc. 7.125% 10/1/12

40,000

43,403

CSC Holdings, Inc.:

7.625% 4/1/11

305,000

321,013

7.625% 7/15/18

115,000

117,875

Dex Media, Inc. 8% 11/15/13

90,000

94,275

EchoStar DBS Corp. 10.375% 10/1/07

85,000

89,412

Houghton Mifflin Co. 9.875% 2/1/13

110,000

115,500

Kabel Deutschland GmbH 10.625% 7/1/14 (f)

60,000

65,400

Principal Amount

Value

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

$ 150,000

$ 108,000

Liberty Media Corp. 8.25% 2/1/30

100,000

110,991

Loews Cineplex Entertainment Corp. 9% 8/1/14 (f)

100,000

103,000

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

90,000

88,650

Nextmedia Operating, Inc. 10.75% 7/1/11

100,000

112,750

PanAmSat Corp. 9% 8/15/14 (f)

50,000

52,125

PRIMEDIA, Inc. 7.625% 4/1/08

500,000

495,000

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

105,000

115,763

Videotron LTEE 6.875% 1/15/14

50,000

51,250

2,643,532

Multiline Retail - 0.0%

Dillard's, Inc. 6.69% 8/1/07

160,000

165,600

Specialty Retail - 0.2%

Asbury Automotive Group, Inc. 8% 3/15/14

210,000

205,275

Blockbuster, Inc. 9% 9/1/12 (f)

70,000

72,275

CSK Automotive, Inc. 7% 1/15/14

40,000

39,000

General Nutrition Centers, Inc. 8.5% 12/1/10

40,000

41,000

Hollywood Entertainment Corp. 9.625% 3/15/11

70,000

75,600

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

135,000

142,425

575,575

TOTAL CONSUMER DISCRETIONARY

6,326,608

CONSUMER STAPLES - 0.4%

Food & Staples Retailing - 0.2%

Jean Coutu Group, Inc.:

7.625% 8/1/12 (f)

40,000

40,700

8.5% 8/1/14 (f)

85,000

84,150

Kroger Co. 6.8% 4/1/11

65,000

72,828

NeighborCare, Inc. 6.875% 11/15/13

125,000

130,000

Rite Aid Corp. 6.875% 8/15/13

70,000

61,075

Safeway, Inc. 6.5% 3/1/11

35,000

38,254

Stater Brothers Holdings, Inc.:

5.38% 6/15/10 (i)

90,000

91,350

8.125% 6/15/12

40,000

41,800

560,157

Food Products - 0.2%

Corn Products International, Inc. 8.25% 7/15/07

235,000

258,500

Dean Foods Co. 8.15% 8/1/07

111,000

120,435

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

30,000

31,800

Pierre Foods, Inc. 9.875% 7/15/12 (f)

40,000

41,200

United Agriculture Products, Inc. 8.25% 12/15/11 (f)

50,000

53,750

505,685

Corporate Bonds - continued

Principal Amount

Value

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Hotels, Restaurants & Leisure - continued

Household Products - 0.0%

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

$ 30,000

$ 32,925

Tobacco - 0.0%

Altria Group, Inc. 7% 11/4/13

30,000

31,301

Philip Morris Companies, Inc. 7.75% 1/15/27

50,000

52,815

84,116

TOTAL CONSUMER STAPLES

1,182,883

ENERGY - 1.2%

Energy Equipment & Services - 0.2%

Grant Prideco, Inc. 9.625% 12/1/07

110,000

124,025

Hanover Compressor Co.:

8.625% 12/15/10

40,000

43,400

9% 6/1/14

60,000

65,850

Key Energy Services, Inc. 8.375% 3/1/08

100,000

105,750

Pride International, Inc. 7.375% 7/15/14 (f)

60,000

66,075

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

105,000

108,675

SESI LLC 8.875% 5/15/11

30,000

32,475

546,250

Oil & Gas - 1.0%

Amerada Hess Corp.:

6.65% 8/15/11

5,000

5,521

7.125% 3/15/33

15,000

16,105

7.375% 10/1/09

10,000

11,238

Belden & Blake Corp. 8.75% 7/15/12 (f)

60,000

63,600

Chesapeake Energy Corp. 7.5% 6/15/14

60,000

65,400

El Paso Corp. 7.875% 6/15/12

165,000

162,525

El Paso Energy Corp.:

6.95% 12/15/07

55,000

55,000

7.375% 12/15/12

80,000

76,400

Empresa Nacional de Petroleo 6.75% 11/15/12 (f)

25,000

27,870

EnCana Corp. 6.5% 8/15/34

5,000

5,344

Enterprise Products Operating LP:

4.625% 10/15/09 (f)

10,000

10,083

5.6% 10/15/14 (f)

5,000

5,038

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

40,000

42,400

Forest Oil Corp. 8% 12/15/11

120,000

134,400

General Maritime Corp. 10% 3/15/13

165,000

187,275

GulfTerra Energy Partners LP/GulfTerra Energy Finance Corp. 10.625% 12/1/12

41,000

51,250

KCS Energy, Inc. 7.125% 4/1/12

60,000

61,800

Principal Amount

Value

Kinder Morgan Energy Partners LP 7.125% 3/15/12

$ 15,000

$ 17,087

Plains Exploration & Production Co.:

Series B, 8.75% 7/1/12

125,000

140,625

7.125% 6/15/14 (f)

60,000

65,400

Range Resources Corp. 7.375% 7/15/13

175,000

184,625

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

460,000

460,000

Teekay Shipping Corp. 8.875% 7/15/11

175,000

199,500

The Coastal Corp.:

6.5% 5/15/06

87,000

88,305

6.5% 6/1/08

95,000

92,150

7.5% 8/15/06

440,000

454,300

7.625% 9/1/08

30,000

30,113

7.75% 6/15/10

200,000

200,000

9.625% 5/15/12

45,000

47,138

Vintage Petroleum, Inc. 8.25% 5/1/12

90,000

97,650

Williams Companies, Inc.:

7.125% 9/1/11

95,000

104,263

7.5% 1/15/31

10,000

10,050

7.625% 7/15/19

30,000

32,850

3,205,305

TOTAL ENERGY

3,751,555

FINANCIALS - 1.5%

Capital Markets - 0.2%

BCP Caylux Holdings Luxembourg SCA 9.625% 6/15/14 (f)

180,000

194,400

Credit Suisse First Boston (USA), Inc. 6.5% 1/15/12

20,000

22,218

Equinox Holdings Ltd. 9% 12/15/09

30,000

30,900

Goldman Sachs Group, Inc. 6.6% 1/15/12

125,000

139,596

Merrill Lynch & Co., Inc. 4.125% 1/15/09

75,000

75,602

Morgan Stanley:

4.75% 4/1/14

100,000

96,808

6.6% 4/1/12

40,000

44,604

604,128

Commercial Banks - 0.1%

Bank of America Corp. 6.25% 4/15/12

70,000

77,379

Export-Import Bank of Korea:

4.125% 2/10/09 (f)

10,000

9,998

5.25% 2/10/14 (f)

30,000

30,398

Fleet Financial Group, Inc. 7.125% 4/15/06

40,000

42,579

Korea Development Bank 3.875% 3/2/09

75,000

74,264

Wachovia Corp. 4.875% 2/15/14

15,000

14,949

249,567

Consumer Finance - 0.1%

Capital One Bank:

4.875% 5/15/08

50,000

51,787

Corporate Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Consumer Finance - continued

Capital One Bank: - continued

5% 6/15/09

$ 25,000

$ 25,890

Ford Motor Credit Co.:

7.375% 10/28/09

55,000

60,243

7.375% 2/1/11

100,000

108,751

Household Finance Corp.:

6.375% 10/15/11

15,000

16,533

7% 5/15/12

5,000

5,722

Household International, Inc. 8.875% 2/15/08

75,000

80,841

MBNA America Bank NA 6.625% 6/15/12

30,000

33,333

MBNA Corp. 7.5% 3/15/12

45,000

52,029

435,129

Diversified Financial Services - 1.0%

Ahold Finance USA, Inc. 8.25% 7/15/10

190,000

212,800

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

25,000

30,202

Cellu Tissue Holdings, Inc. 9.75% 3/15/10 (f)

95,000

96,425

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

0% 5/15/11 (e)

180,000

111,600

8.625% 4/1/09

175,000

136,938

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

105,000

111,825

Deutsche Telekom International Finance BV 8.75% 6/15/30

50,000

64,629

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

68,000

80,070

El Paso Energy Partners LP/El Paso Energy Partners Finance Corp. 8.5% 6/1/11

154,000

170,748

EnCana Holdings Finance Corp. 5.8% 5/1/14

35,000

37,165

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

110,000

124,850

Huntsman Advanced Materials LLC:

11% 7/15/10 (f)

80,000

92,600

11.86% 7/15/08 (f)(i)

100,000

104,500

Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (f)

10,000

10,533

Hutchison Whampoa International 03/33 Ltd.:

6.25% 1/24/14 (f)

25,000

25,655

7.45% 11/24/33 (f)

15,000

15,544

Inmarsat Finance PLC 7.625% 6/30/12 (f)

60,000

59,400

Ispat Inland ULC 9.75% 4/1/14

65,000

71,500

J.P. Morgan Chase & Co. 6.75% 2/1/11

155,000

174,384

Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (f)

30,000

30,952

Principal Amount

Value

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

$ 130,000

$ 133,250

NiSource Finance Corp. 7.875% 11/15/10

70,000

82,722

Pemex Project Funding Master Trust:

6.125% 8/15/08

50,000

52,500

7.875% 2/1/09 (i)

100,000

111,500

Petronas Capital Ltd. 7% 5/22/12 (f)

55,000

62,655

Rabobank Capital Funding Trust II 5.26% 12/31/49 (f)(i)

100,000

100,882

Refco Finance Holdings LLC/Refco Finance, Inc. 9% 8/1/12 (f)

120,000

127,200

Sprint Capital Corp. 6.875% 11/15/28

75,000

78,667

Suburban Propane Partners LP/Suburban Energy Finance Corp. 6.875% 12/15/13

40,000

41,100

Telecom Italia Capital:

4.95% 9/30/14 (f)

25,000

24,428

5.25% 11/15/13 (f)

50,000

50,943

UGS Corp. 10% 6/1/12 (f)

60,000

65,100

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

110,000

128,150

Verizon Global Funding Corp.:

7.25% 12/1/10

70,000

80,711

7.75% 12/1/30

30,000

35,929

WH Holdings Ltd./WH Capital Corp. 9.5% 4/1/11

40,000

43,200

2,981,257

Insurance - 0.0%

Principal Life Global Funding I 6.25% 2/15/12 (f)

25,000

27,600

Real Estate - 0.1%

EOP Operating LP:

4.75% 3/15/14

30,000

28,954

7.75% 11/15/07

50,000

55,831

Regency Centers LP 6.75% 1/15/12

45,000

50,016

Senior Housing Properties Trust 8.625% 1/15/12

115,000

127,938

Simon Property Group LP 5.625% 8/15/14 (f)

40,000

40,986

303,725

Thrifts & Mortgage Finance - 0.0%

Countrywide Home Loans, Inc. 4% 3/22/11

50,000

48,558

Independence Community Bank Corp. 3.75% 4/1/14 (i)

20,000

19,428

Washington Mutual, Inc. 4.375% 1/15/08

20,000

20,473

88,459

TOTAL FINANCIALS

4,689,865

HEALTH CARE - 0.4%

Health Care Equipment & Supplies - 0.0%

Medical Device Manufacturing, Inc. 10% 7/15/12 (f)

60,000

63,600

Corporate Bonds - continued

Principal Amount

Value

HEALTH CARE - continued

Health Care Providers & Services - 0.4%

AmeriPath, Inc. 10.5% 4/1/13

$ 145,000

$ 147,900

Concentra Operating Corp. 9.125% 6/1/12 (f)

20,000

21,900

Genesis HealthCare Corp. 8% 10/15/13

30,000

32,550

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

185,000

193,325

Mariner Health Care, Inc. 8.25% 12/15/13 (f)

70,000

74,550

National Nephrology Associates, Inc. 9% 11/1/11 (f)

40,000

46,252

Psychiatric Solutions, Inc. 10.625% 6/15/13

75,000

84,938

Tenet Healthcare Corp.:

6.375% 12/1/11

105,000

93,713

7.375% 2/1/13

165,000

153,450

U.S. Oncology, Inc.:

9% 8/15/12 (f)

220,000

225,500

10.75% 8/15/14 (f)

90,000

92,700

1,166,778

TOTAL HEALTH CARE

1,230,378

INDUSTRIALS - 1.2%

Aerospace & Defense - 0.2%

BE Aerospace, Inc.:

8% 3/1/08

65,000

64,025

8.875% 5/1/11

40,000

40,500

9.5% 11/1/08

255,000

264,244

Bombardier, Inc. 6.3% 5/1/14 (f)

100,000

86,364

Raytheon Co. 8.3% 3/1/10

50,000

59,773

Vought Aircraft Industries, Inc. 8% 7/15/11

90,000

86,625

601,531

Airlines - 0.6%

American Airlines, Inc. pass thru trust certificates:

6.817% 5/23/11

80,000

70,000

6.977% 11/23/22

15,332

13,338

7.377% 5/23/19

151,667

86,450

7.379% 5/23/16

102,559

58,459

7.8% 4/1/08

80,000

66,800

8.608% 10/1/12

120,000

101,400

10.18% 1/2/13

65,000

36,400

Continental Airlines, Inc. pass thru trust certificates:

6.795% 2/2/20

167,648

134,119

6.9% 7/2/18

151,878

116,946

7.373% 12/15/15

162,305

124,974

7.568% 12/1/06

60,000

42,600

7.73% 9/15/12

25,742

18,534

8.312% 10/2/12

108,220

77,918

8.388% 5/1/22

43,837

32,440

8.499% 11/1/12

52,098

38,032

Principal Amount

Value

Delta Air Lines, Inc. equipment trust certificates 8.54% 1/2/07

$ 31,037

$ 15,519

Delta Air Lines, Inc. pass thru trust certificates:

7.299% 9/18/06

30,000

11,400

7.57% 11/18/10

20,000

17,961

7.711% 9/18/11

15,000

7,800

7.779% 11/18/05

70,000

26,600

7.779% 1/2/12

171,142

59,900

7.92% 5/18/12

310,000

155,000

10.06% 1/2/16

80,000

36,000

Northwest Airlines, Inc. pass thru trust certificates:

7.248% 7/2/14

128,622

88,749

7.626% 4/1/10

135,096

102,673

7.691% 4/1/17

17,854

13,748

7.95% 9/1/16

17,788

13,875

8.304% 9/1/10

89,446

67,979

NWA Trust 10.23% 6/21/14

56,615

49,255

1,684,869

Building Products - 0.1%

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

90,000

90,000

Mueller Group, Inc. 6.4438% 11/1/11 (i)

120,000

123,600

Nortek, Inc. 8.5% 9/1/14 (f)

110,000

114,950

328,550

Commercial Services & Supplies - 0.1%

Allied Security Escrow Corp. 11.375% 7/15/11 (f)

60,000

63,300

Allied Waste North America, Inc.:

5.75% 2/15/11

60,000

56,700

6.375% 4/15/11

60,000

58,800

7.625% 1/1/06

185,000

192,863

American Color Graphics, Inc. 10% 6/15/10

40,000

31,000

402,663

Construction & Engineering - 0.0%

Great Lakes Dredge & Dock Corp. 7.75% 12/15/13

50,000

43,125

Machinery - 0.1%

Case New Holland, Inc. 9.25% 8/1/11 (f)

60,000

67,200

Cummins, Inc. 9.5% 12/1/10 (i)

80,000

92,000

Dresser, Inc. 9.375% 4/15/11

10,000

10,975

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

150,000

154,125

Terex Corp. 7.375% 1/15/14

60,000

63,000

387,300

Marine - 0.0%

Horizon Lines LLC/Holdings Corp. 9% 11/1/12 (f)

40,000

42,200

OMI Corp. 7.625% 12/1/13

60,000

62,100

104,300

Corporate Bonds - continued

Principal Amount

Value

INDUSTRIALS - continued

Road & Rail - 0.1%

Kansas City Southern Railway Co. 9.5% 10/1/08

$ 40,000

$ 44,200

TFM SA de CV yankee 11.75% 6/15/09

240,000

241,200

285,400

TOTAL INDUSTRIALS

3,837,738

INFORMATION TECHNOLOGY - 0.6%

Communications Equipment - 0.1%

L-3 Communications Corp. 6.125% 1/15/14

100,000

100,250

Nortel Networks Corp. 6.125% 2/15/06

145,000

147,538

247,788

Electronic Equipment & Instruments - 0.2%

Celestica, Inc. 7.875% 7/1/11

280,000

291,900

Flextronics International Ltd. 6.5% 5/15/13

30,000

30,600

Sanmina-SCI Corp. 10.375% 1/15/10

110,000

126,225

448,725

IT Services - 0.0%

Iron Mountain, Inc. 6.625% 1/1/16

110,000

106,700

Office Electronics - 0.1%

Xerox Corp.:

7.125% 6/15/10

75,000

79,500

7.625% 6/15/13

180,000

194,400

273,900

Semiconductors & Semiconductor Equipment - 0.2%

Freescale Semiconductor, Inc.:

4.38% 7/15/09 (f)(i)

90,000

92,700

6.875% 7/15/11 (f)

110,000

114,125

7.125% 7/15/14 (f)

70,000

72,800

Semiconductor Note Participation Trust 0% 8/4/11 (f)

155,000

212,350

Viasystems, Inc. 10.5% 1/15/11

165,000

157,575

649,550

TOTAL INFORMATION TECHNOLOGY

1,726,663

MATERIALS - 1.1%

Chemicals - 0.4%

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

65,000

67,275

Berry Plastics Corp. 10.75% 7/15/12

90,000

101,700

Compass Minerals Group, Inc. 10% 8/15/11

150,000

166,500

Crompton Corp. 9.875% 8/1/12 (f)

80,000

85,200

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

165,000

187,275

Geon Co. 6.875% 12/15/05

25,000

25,875

Huntsman ICI Holdings LLC 0% 12/31/09

85,000

45,050

Principal Amount

Value

Innophos, Inc. 8.875% 8/15/14 (f)

$ 30,000

$ 31,875

JohnsonDiversey Holdings, Inc. 0% 5/15/13 (e)

70,000

57,750

Lubrizol Corp.:

4.625% 10/1/09

15,000

15,003

5.5% 10/1/14

5,000

4,966

6.5% 10/1/34

15,000

14,633

Lyondell Chemical Co. 9.625% 5/1/07

45,000

48,600

Nalco Co. 7.75% 11/15/11

70,000

74,550

PolyOne Corp.:

8.875% 5/1/12

90,000

92,025

10.625% 5/15/10

50,000

54,625

The Scotts Co. 6.625% 11/15/13

70,000

73,500

1,146,402

Construction Materials - 0.0%

U.S. Concrete, Inc. 8.375% 4/1/14

70,000

74,200

Containers & Packaging - 0.2%

BWAY Corp. 10% 10/15/10

80,000

86,400

Crown European Holdings SA 10.875% 3/1/13

85,000

99,025

Owens-Brockway Glass Container, Inc. 8.875% 2/15/09

165,000

179,025

Owens-Illinois, Inc.:

7.15% 5/15/05

110,000

112,200

7.8% 5/15/18

30,000

29,400

8.1% 5/15/07

150,000

156,750

Sealed Air Corp. 5.625% 7/15/13 (f)

5,000

5,141

667,941

Metals & Mining - 0.2%

Allegheny Technologies, Inc. 8.375% 12/15/11

60,000

63,900

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

85,000

82,663

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

130,000

130,325

Foundation Pennsylvania Coal Co. 7.25% 8/1/14 (f)

60,000

63,900

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

190,000

190,000

Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 (f)

90,000

89,550

620,338

Paper & Forest Products - 0.3%

Ainsworth Lumber Co. Ltd. 7.25% 10/1/12 (f)

90,000

90,675

Georgia-Pacific Corp.:

8% 1/15/24

120,000

135,750

9.5% 12/1/11

245,000

306,250

International Paper Co.:

4.25% 1/15/09

5,000

5,017

5.5% 1/15/14

20,000

20,480

Norske Skog Canada Ltd.:

7.375% 3/1/14

50,000

52,000

Corporate Bonds - continued

Principal Amount

Value

MATERIALS - continued

Paper & Forest Products - continued

Norske Skog Canada Ltd.: - continued

8.625% 6/15/11

$ 140,000

$ 151,550

Stone Container Corp. 9.75% 2/1/11

205,000

227,550

989,272

TOTAL MATERIALS

3,498,153

TELECOMMUNICATION SERVICES - 0.9%

Diversified Telecommunication Services - 0.3%

AT&T Broadband Corp. 8.375% 3/15/13

50,000

60,550

BellSouth Corp. 5.2% 9/15/14

25,000

25,233

British Telecommunications PLC 8.875% 12/15/30

50,000

65,685

France Telecom SA:

8.75% 3/1/11

40,000

47,883

9.5% 3/1/31

50,000

66,293

NTL Cable PLC 8.75% 4/15/14 (f)

60,000

64,800

Primus Telecommunications Group, Inc. 8% 1/15/14

85,000

62,475

Qwest Communications International, Inc.:

7.25% 2/15/11 (f)

25,000

23,688

7.5% 2/15/14 (f)

175,000

160,563

Qwest Corp. 9.125% 3/15/12 (f)

140,000

154,000

Qwest Services Corp. 14% 12/15/10 (f)(i)

150,000

175,875

SBC Communications, Inc. 6.45% 6/15/34

25,000

25,703

Telefonica Europe BV 7.75% 9/15/10

25,000

29,460

Triton PCS, Inc. 8.75% 11/15/11

155,000

103,850

1,066,058

Wireless Telecommunication Services - 0.6%

America Movil SA de CV:

4.125% 3/1/09 (f)

20,000

19,500

5.5% 3/1/14 (f)

15,000

14,497

American Cellular Corp. 10% 8/1/11

40,000

32,600

American Tower Corp. 9.375% 2/1/09

49,000

52,308

AT&T Wireless Services, Inc. 7.875% 3/1/11

5,000

5,924

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

120,000

114,300

Crown Castle International Corp.:

Series B, 7.5% 12/1/13

120,000

125,700

10.75% 8/1/11

60,000

66,750

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

80,000

91,400

Millicom International Cellular SA 10% 12/1/13 (f)

120,000

120,000

Principal Amount

Value

Nextel Communications, Inc.:

7.375% 8/1/15

$ 390,000

$ 418,275

9.5% 2/1/11

35,000

39,681

Nextel Partners, Inc. 8.125% 7/1/11

100,000

106,000

Rogers Wireless, Inc.:

6.375% 3/1/14

90,000

82,350

9.625% 5/1/11

230,000

255,875

Western Wireless Corp. 9.25% 7/15/13

140,000

142,800

1,687,960

TOTAL TELECOMMUNICATION SERVICES

2,754,018

UTILITIES - 1.4%

Electric Utilities - 0.3%

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

100,000

110,000

Cleveland Electric Illuminating Co. 5.65% 12/15/13

30,000

31,043

DTE Energy Co. 7.05% 6/1/11

15,000

16,930

Duke Capital LLC:

6.25% 2/15/13

50,000

53,799

6.75% 2/15/32

55,000

57,952

Exelon Corp. 6.75% 5/1/11

50,000

55,828

FirstEnergy Corp. 6.45% 11/15/11

5,000

5,454

Illinois Power Co.:

7.5% 6/15/09

65,000

74,100

11.5% 12/15/10

120,000

142,200

MidAmerican Energy Holdings, Inc. 5.875% 10/1/12

50,000

52,788

Nevada Power Co. 10.875% 10/15/09

50,000

58,000

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

105,000

118,552

Sierra Pacific Power Co. 6.25% 4/15/12 (f)

40,000

40,800

Southern California Edison Co.:

5% 1/15/14

5,000

5,085

7.625% 1/15/10

120,000

139,344

TECO Energy, Inc. 6.125% 5/1/07

85,000

87,338

1,049,213

Gas Utilities - 0.3%

ANR Pipeline, Inc. 8.875% 3/15/10

70,000

78,488

Consolidated Natural Gas Co. 6.85% 4/15/11

25,000

28,187

Dynegy Holdings, Inc. 10.125% 7/15/13 (f)

90,000

103,050

Northwest Pipeline Corp. 8.125% 3/1/10

70,000

78,050

Sonat, Inc.:

6.75% 10/1/07

35,000

34,956

7.625% 7/15/11

25,000

24,406

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

90,000

100,913

Transcontinental Gas Pipe Line Corp.:

6.125% 1/15/05

100,000

100,500

6.25% 1/15/08

215,000

225,750

774,300

Corporate Bonds - continued

Principal Amount

Value

UTILITIES - continued

Multi-Utilities & Unregulated Power - 0.8%

AES Corp.:

8.75% 5/15/13 (f)

$ 300,000

$ 336,750

8.875% 2/15/11

46,000

51,003

9.375% 9/15/10

161,000

181,326

9.5% 6/1/09

248,000

276,210

Calpine Corp. 7.35% 7/15/07 (f)(i)

193,050

167,954

Calpine Generating Co. LLC 7.35% 4/1/10 (f)(i)

20,000

19,200

CMS Energy Corp.:

7.625% 11/15/04

190,000

190,238

7.75% 8/1/10

175,000

185,281

8.5% 4/15/11

40,000

43,650

8.9% 7/15/08

220,000

239,525

9.875% 10/15/07

245,000

271,031

Constellation Energy Group, Inc. 7% 4/1/12

50,000

56,619

Dominion Resources, Inc.:

6.25% 6/30/12

85,000

92,313

8.125% 6/15/10

10,000

11,849

NRG Energy, Inc. 8% 12/15/13 (f)

150,000

160,500

Reliant Energy, Inc. 9.25% 7/15/10

45,000

48,600

Western Resources, Inc. 7.125% 8/1/09

50,000

55,250

2,387,299

TOTAL UTILITIES

4,210,812

TOTAL NONCONVERTIBLE BONDS

33,208,673

TOTAL CORPORATE BONDS

(Cost $32,702,415)

34,590,131

U.S. Government and Government
Agency Obligations - 2.4%

U.S. Government Agency Obligations - 0.5%

Fannie Mae:

3.25% 8/15/08

120,000

118,995

3.25% 2/15/09

270,000

265,950

5.25% 8/1/12

28,000

29,103

5.5% 3/15/11

35,000

37,682

6.25% 2/1/11

100,000

110,407

Freddie Mac:

2.875% 5/15/07

500,000

498,096

3.625% 9/15/08

71,000

71,363

4% 6/12/13

87,000

82,788

4.5% 1/15/14

200,000

199,011

5.875% 3/21/11

170,000

184,546

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

1,597,941

U.S. Treasury Inflation Protected Obligations - 0.1%

U.S. Treasury Inflation-Indexed Notes 2% 1/15/14

205,018

209,927

Principal Amount

Value

U.S. Treasury Obligations - 1.8%

U.S. Treasury Bills, yield at date of purchase 1.65% 12/9/04 (h)

$ 600,000

$ 598,131

U.S. Treasury Bonds:

5.375% 2/15/31

50,000

53,563

6.25% 5/15/30

550,000

652,781

U.S. Treasury Notes:

1.625% 2/28/06

3,465,000

3,429,674

3.125% 5/15/07

125,000

126,055

6.5% 2/15/10

680,000

780,247

TOTAL U.S. TREASURY OBLIGATIONS

5,640,451

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $7,392,269)

7,448,319

U.S. Government Agency - Mortgage Securities - 2.4%

Fannie Mae - 2.2%

4% 7/1/19

250,000

243,952

4.5% 5/1/19 to 10/1/33

1,417,217

1,376,055

5% 7/1/18 to 6/1/34

1,201,799

1,212,604

5.5% 4/1/16 to 9/1/34

1,867,017

1,900,893

5.5% 10/1/34 (g)

430,000

435,913

6% 4/1/13 to 4/1/33

204,092

213,971

6.5% 4/1/09 to 3/1/34

1,379,885

1,453,796

7.5% 5/1/24 to 2/1/28

40,653

43,716

TOTAL FANNIE MAE

6,880,900

Freddie Mac - 0.0%

7.5% 8/1/28

9,986

10,753

Government National Mortgage Association - 0.2%

6.5% 8/15/27

100,909

106,954

7% 7/15/28 to 7/15/32

159,996

170,794

7.5% 1/15/26 to 8/15/28

96,904

104,518

8.5% 11/15/30

54,205

59,552

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

441,818

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $7,183,259)

7,333,471

Asset-Backed Securities - 0.1%

Ameriquest Mortgage Securities, Inc. Series 2004-R2 Class M1, 2.27% 4/25/34 (i)

5,000

5,000

Amortizing Residential Collateral Trust Series 2003-BC1 Class M2, 2.715% 1/25/32 (i)

10,000

10,034

Argent Securities, Inc. Series 2004-W5 Class M1, 2.44% 4/25/34 (i)

15,000

15,019

Capital One Multi-Asset Execution Trust Series 2003-B4 Class B4, 2.56% 7/15/11 (i)

25,000

25,441

Asset-Backed Securities - continued

Principal Amount

Value

CDC Mortgage Capital Trust Series 2004-HE2 Class M2, 3.04% 7/26/34 (i)

$ 10,000

$ 10,000

Citibank Credit Card Issuance Trust:

Series 2002-B1 Class B1, 1.9% 6/25/09 (i)

30,000

30,096

Series 2002-C1 Class C1, 2.7% 2/9/09 (i)

50,000

50,655

Countrywide Home Loans, Inc.:

Series 2004-2 Class M1, 2.34% 5/25/34 (i)

25,000

25,000

Series 2004-4:

Class A, 2.21% 8/25/34 (i)

22,854

22,853

Class M1, 2.32% 7/25/34 (i)

25,000

25,000

Class M2, 2.37% 6/25/34 (i)

15,000

15,005

Discover Card Master Trust I Series 2003-4 Class B1, 2.09% 5/16/11 (i)

30,000

30,097

Fremont Home Loan Trust Series 2004-A:

Class M1, 2.39% 1/25/34 (i)

25,000

25,000

Class M2, 2.99% 1/25/34 (i)

25,000

25,000

Long Beach Mortgage Loan Trust Series 2004-2 Class M1, 2.37% 6/25/34 (i)

25,000

24,978

Morgan Stanley Dean Witter Capital I Trust Series 2003-NC1 Class M1, 2.89% 11/25/32 (i)

10,000

10,156

TOTAL ASSET-BACKED SECURITIES

(Cost $348,607)

349,334

Collateralized Mortgage Obligations - 0.1%

Private Sponsor - 0.0%

CS First Boston Mortgage Securities Corp. floater:

Series 2004-AR3 Class 6A2, 2.21% 4/25/34 (i)

16,248

16,280

Series 2004-AR5 Class 11A2, 2.21% 6/25/34 (i)

22,173

22,124

TOTAL PRIVATE SPONSOR

38,404

U.S. Government Agency - 0.1%

Fannie Mae:

planned amortization class:

Series 1999-54 Class PH, 6.5% 11/18/29

100,000

106,064

Series 1999-57 Class PH, 6.5% 12/25/29

100,000

105,479

sequential pay Series 1999-10 Class MZ, 6.5% 9/17/38

43,083

46,409

TOTAL U.S. GOVERNMENT AGENCY

257,952

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $264,882)

296,356

Commercial Mortgage Securities - 0.3%

Principal Amount

Value

Asset Securitization Corp. sequential pay Series 1995-MD4 Class A1, 7.1% 8/13/29

$ 46,458

$ 48,571

CBM Funding Corp. sequential pay Series 1996-1:

Class A3PI, 7.08% 11/1/07

62,589

66,322

Class B, 7.48% 2/1/08

80,000

88,387

COMM:

floater:

Series 2002-FL7 Class D, 2.17% 11/15/14 (f)(i)

10,000

10,016

Series 2003-FL9 Class B, 2.1% 11/15/15 (f)(i)

15,000

15,034

Series 2004-LBN2 Class X2, 1.2763% 3/10/39 (f)(i)(j)

59,961

2,720

CS First Boston Mortgage Securities Corp.:

sequential pay:

Series 1999-C1 Class A2, 7.29% 9/15/41

50,000

56,745

Series 2004-C1 Class A3, 4.321% 1/15/37

20,000

19,928

Series 1998-C1 Class D, 7.17% 5/17/40

15,000

16,822

Series 2004-C1 Class ASP, 1.2148% 1/15/37 (f)(i)(j)

295,000

12,578

Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31

145,000

160,905

FMAC Loan Receivables Trust weighted average coupon Series 1997-A Class E, 0% 4/15/19 (d)(f)(i)

180,330

0

GS Mortgage Securities Corp. II:

sequential pay Series 2001-LIBA Class A2, 6.615% 2/14/16 (f)

20,000

22,153

Series 1998-GLII Class E, 7.1905% 4/13/31 (i)

45,000

47,760

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

100,000

96,375

LTC Commercial Mortgage pass thru certificates sequential pay Series 1998-1 Class A, 6.029% 5/28/30 (f)

26,810

27,080

Morgan Stanley Capital I, Inc. sequential pay Series 2004-HQ3 Class A2, 4.05% 1/13/41

20,000

19,928

Thirteen Affiliates of General Growth Properties, Inc. Series 1:

Class D2, 6.992% 11/15/07 (f)

140,000

152,645

Class E2, 7.224% 11/15/07 (f)

100,000

108,807

Wachovia Bank Commercial Mortgage Trust sequential pay Series 2003-C6 Class A2, 4.498% 8/15/35

30,000

30,636

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $1,119,584)

1,003,412

Foreign Government and Government
Agency Obligations - 0.1%

Principal Amount

Value

Chilean Republic:

5.625% 7/23/07

$ 50,000

$ 52,719

7.125% 1/11/12

15,000

17,213

United Mexican States:

5.875% 1/15/14

20,000

20,300

7.5% 4/8/33

100,000

105,150

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $181,196)

195,382

Floating Rate Loans - 0.1%

TELECOMMUNICATION SERVICES - 0.1%

Diversified Telecommunication Services - 0.1%

Qwest Corp. Tranche A term loan 6.5% 6/30/07 (i)

260,000

269,750

TOTAL FLOATING RATE LOANS

(Cost $261,139)

269,750

Money Market Funds - 12.2%

Shares

Fidelity Cash Central Fund, 1.74% (b)

36,197,058

36,197,058

Fidelity Securities Lending Cash Central Fund, 1.71% (b)(c)

1,726,136

1,726,136

TOTAL MONEY MARKET FUNDS

(Cost $37,923,194)

37,923,194

TOTAL INVESTMENT PORTFOLIO - 99.9%

(Cost $295,963,975)

310,043,915

NET OTHER ASSETS - 0.1%

373,160

NET ASSETS - 100%

$ 310,417,075

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/(Depreciation)

Purchased

Equity Index Contracts

33 S&P 500 Index Contracts

Dec. 2004

$ 9,197,925

$ (96,311)

The face value of futures purchased as a percentage of net assets - 2.9%

Swap Agreements

Expiration Date

Notional Amount

Value

Total Return Swap

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ and pay monthly a floating rate based on 1-month LIBOR minus 65 basis points with Lehman Brothers, Inc.

Oct. 2004

$ 75,000

$ 248

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc.

April 2005

75,000

0

Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Lehman Brothers, Inc.

Nov. 2004

500,000

475

Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 55 basis points with Deutsche Bank

Dec. 2004

150,000

219

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 72 basis points with Bank of America

Jan. 2005

75,000

2,923

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America

Nov. 2004

100,000

3,443

$ 975,000

$ 7,308

Legend

(a) Non-income producing

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

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

(d) Non-income producing - issuer filed for bankruptcy or is in default of interest payments.

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

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $7,568,060 or 2.4% of net assets.

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

(h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $598,131.

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

(j) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool.

(k) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $3,771 or 0.0% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost

Fountain View, Inc.

8/19/03 - 1/27/04

$ 2

Income Tax Information

At September 30, 2004, the aggregate cost of investment securities for income tax purposes was $297,832,161. Net unrealized appreciation aggregated $12,211,754, of which $30,532,782 related to appreciated investment securities and $18,321,028 related to depreciated investment securities.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please call Fidelity at 1-800-221-5207 for a free copy of the fund's most recent prospectus and annual report.

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Variable Insurance Products:
Contrafund Portfolio

September 30, 2004

1.808782.100

VIPCON-QTLY-1104

Investments September 30, 2004 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 88.0%

Shares

Value

CONSUMER DISCRETIONARY - 10.9%

Auto Components - 0.1%

Gentex Corp.

232,000

$ 8,150,160

Johnson Controls, Inc.

45,100

2,562,131

10,712,291

Automobiles - 0.5%

Harley-Davidson, Inc.

112,200

6,669,168

Honda Motor Co. Ltd.

45,200

2,202,144

Toyota Motor Corp.

1,392,300

53,171,934

62,043,246

Hotels, Restaurants & Leisure - 2.3%

Aristocrat Leisure Ltd.

1,149,644

6,484,955

Boyd Gaming Corp.

274,600

7,729,990

Buffalo Wild Wings, Inc.

71,568

2,006,767

Four Seasons Hotels, Inc.

158,300

10,144,750

Friendly Ice Cream Corp. (a)

204,600

1,974,390

Gaylord Entertainment Co. (a)

52,827

1,637,637

GTECH Holdings Corp.

317,200

8,031,504

Hilton Group PLC

1,795,398

9,003,649

International Game Technology

378,350

13,601,683

Kerzner International Ltd. (a)

175,900

7,734,323

Krispy Kreme Doughnuts, Inc. (a)

555,700

7,035,162

Life Time Fitness, Inc.

125,800

3,228,028

McDonald's Corp.

30,500

854,915

Outback Steakhouse, Inc.

157,900

6,557,587

P.F. Chang's China Bistro, Inc. (a)

61,900

3,001,531

Panera Bread Co. Class A (a)

567,996

21,322,570

Penn National Gaming, Inc. (a)

89,731

3,625,132

Pinnacle Entertainment, Inc. (a)

44,800

618,240

Red Robin Gourmet Burgers, Inc. (a)

309,686

13,523,988

Ryan's Restaurant Group, Inc. (a)

282,750

4,196,010

Shuffle Master, Inc. (a)

341,624

12,797,235

Starbucks Corp. (a)

864,000

39,277,440

Station Casinos, Inc.

717,800

35,200,912

The Cheesecake Factory, Inc. (a)

163,624

7,101,282

William Hill PLC

2,519,842

24,360,035

Wynn Resorts Ltd. (a)

185,046

9,565,028

260,614,743

Household Durables - 1.3%

Black & Decker Corp.

33,600

2,601,984

Blount International, Inc. (a)

338,500

4,434,350

Blyth, Inc.

69,000

2,132,100

D.R. Horton, Inc.

962,577

31,870,924

Fortune Brands, Inc.

242,200

17,944,598

Harman International Industries, Inc.

508,400

54,780,100

KB Home

27,100

2,289,679

Leggett & Platt, Inc.

311,500

8,753,150

LG Electronics, Inc.

115,080

6,615,972

Pulte Homes, Inc.

296,800

18,214,616

Shares

Value

Sharp Corp.

316,000

$ 4,354,065

Toll Brothers, Inc. (a)

33,800

1,565,954

155,557,492

Internet & Catalog Retail - 1.2%

Blue Nile, Inc.

105,916

3,567,251

eBay, Inc. (a)

1,220,800

112,240,352

IAC/InterActiveCorp (a)

984,067

21,669,155

137,476,758

Leisure Equipment & Products - 0.0%

RC2 Corp. (a)

63,225

2,080,103

Media - 1.5%

Citadel Broadcasting Corp. (a)

100,500

1,288,410

E.W. Scripps Co. Class A

165,200

7,893,256

Fox Entertainment Group, Inc. Class A (a)

689,900

19,137,826

Getty Images, Inc. (a)

169,100

9,351,230

Lakes Entertainment, Inc. (a)

163,100

1,709,288

McGraw-Hill Companies, Inc.

8,900

709,241

News Corp. Ltd. ADR

53,800

1,768,406

Pixar (a)

503,153

39,698,772

SBS Broadcasting SA (a)

299,800

10,091,268

Sogecable SA (a)

55,800

2,248,329

The DIRECTV Group, Inc. (a)

692,100

12,174,039

Univision Communications, Inc. Class A (a)

360,500

11,395,405

Viacom, Inc. Class B (non-vtg.)

243,136

8,159,644

Vivendi Universal SA sponsored ADR (a)

188,400

4,847,532

Washington Post Co. Class B

25,000

23,000,000

XM Satellite Radio Holdings, Inc.
Class A (a)

444,020

13,773,500

167,246,146

Multiline Retail - 0.5%

99 Cents Only Stores (a)

1,156,466

16,456,511

JCPenney Co., Inc.

523,800

18,479,664

Neiman Marcus Group, Inc. Class A

157,900

9,079,250

Next PLC

276,200

8,172,972

52,188,397

Specialty Retail - 2.6%

Advance Auto Parts, Inc. (a)

473,600

16,291,840

AnnTaylor Stores Corp. (a)

963,750

22,551,750

Bed Bath & Beyond, Inc. (a)

869,200

32,256,012

Best Buy Co., Inc.

33,400

1,811,616

Chico's FAS, Inc. (a)

857,200

29,316,240

Claire's Stores, Inc.

311,600

7,802,464

Dick's Sporting Goods, Inc. (a)

266,700

9,499,854

Guitar Center, Inc. (a)

161,300

6,984,290

Halfords Group PLC

943,366

4,991,525

Hennes & Mauritz AB (H&M) (B Shares)

90,350

2,489,306

Lowe's Companies, Inc.

92,600

5,032,810

Pacific Sunwear of California, Inc. (a)

1,166,172

24,547,921

PETCO Animal Supplies, Inc. (a)

620,600

20,268,796

PETsMART, Inc.

979,900

27,819,361

Regis Corp.

141,400

5,687,108

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Sherwin-Williams Co.

45,700

$ 2,008,972

Signet Group PLC

2,348,926

4,873,545

Staples, Inc.

963,300

28,725,606

The Pep Boys - Manny, Moe & Jack

699,800

9,797,200

TJX Companies, Inc.

851,800

18,773,672

United Auto Group, Inc.

52,600

1,319,734

Urban Outfitters, Inc. (a)

551,900

18,985,360

301,834,982

Textiles Apparel & Luxury Goods - 0.9%

Burberry Group PLC

3,022,995

20,404,872

Carter's, Inc.

76,000

2,104,440

Coach, Inc. (a)

1,290,024

54,722,818

Delta Woodside Industries, Inc. (a)

22,175

14,857

Fossil, Inc. (a)

220,000

6,806,800

Hartmarx Corp. (a)

80,200

595,084

NIKE, Inc. Class B

91,500

7,210,200

Puma AG

38,742

10,393,293

Quiksilver, Inc. (a)

165,000

4,194,300

106,446,664

TOTAL CONSUMER DISCRETIONARY

1,256,200,822

CONSUMER STAPLES - 7.1%

Beverages - 0.2%

Anheuser-Busch Companies, Inc.

151,000

7,542,450

Cott Corp. (a)

288,200

8,428,437

MGP Ingredients, Inc.

85,900

852,128

PepsiCo, Inc.

210,810

10,255,907

27,078,922

Food & Staples Retailing - 1.5%

Alimentation Couche-Tard, Inc. Class B (sub. vtg.) (a)

112,700

2,701,942

Sysco Corp.

2,381,700

71,260,464

Tesco PLC

2,821,690

14,584,956

The Pantry, Inc. (a)

202,900

5,106,993

United Natural Foods, Inc. (a)

328,652

8,742,143

Wal-Mart Stores, Inc.

176,400

9,384,480

Walgreen Co.

67,000

2,400,610

Whole Foods Market, Inc.

426,707

36,607,194

William Morrison Supermarkets PLC

7,065,450

24,645,676

175,434,458

Food Products - 0.6%

Hershey Foods Corp.

460,700

21,519,297

Kellogg Co.

521,700

22,255,722

People's Food Holdings Ltd.

324,000

223,110

SunOpta, Inc. (a)

602,100

4,633,557

Wm. Wrigley Jr. Co.

275,400

17,435,574

66,067,260

Shares

Value

Household Products - 0.9%

Colgate-Palmolive Co.

2,188,900

$ 98,894,502

Personal Products - 3.9%

Avon Products, Inc.

7,912,456

345,616,067

Gillette Co.

2,577,800

107,597,372

453,213,439

TOTAL CONSUMER STAPLES

820,688,581

ENERGY - 9.7%

Energy Equipment & Services - 1.3%

Baker Hughes, Inc.

20,600

900,632

BJ Services Co.

360,600

18,899,046

Carbo Ceramics, Inc.

113,000

8,151,820

Noble Corp. (a)

102,400

4,602,880

Oil States International, Inc. (a)

123,600

2,311,320

Pason Systems, Inc.

26,300

647,625

Schlumberger Ltd. (NY Shares)

1,053,600

70,917,816

Smith International, Inc. (a)

456,575

27,727,800

Tenaris SA sponsored ADR

165,900

7,563,381

TETRA Technologies, Inc. (a)

21,200

658,260

Varco International, Inc. (a)

90,200

2,419,164

144,799,744

Oil & Gas - 8.4%

Anadarko Petroleum Corp.

84,600

5,614,056

Apache Corp.

829,280

41,555,221

Ashland, Inc.

131,400

7,368,912

Blackrock Ventures, Inc. (a)

869,100

4,676,988

BP PLC sponsored ADR

1,709,132

98,326,364

Burlington Resources, Inc.

924,480

37,718,784

Cabot Oil & Gas Corp. Class A

93,900

4,216,110

Canadian Natural Resources Ltd.

43,400

1,737,032

Chesapeake Energy Corp.

1,336,000

21,148,880

ChevronTexaco Corp.

46,800

2,510,352

China Petroleum & Chemical Corp. sponsored ADR

524,740

21,540,577

Comstock Resources, Inc. (a)

89,600

1,874,432

ConocoPhillips

107,300

8,889,805

Denbury Resources, Inc. (a)

134,400

3,413,760

Devon Energy Corp.

33,600

2,385,936

EnCana Corp.

4,983,492

230,463,054

Encore Acquisition Co. (a)

336,500

11,609,250

ENI Spa sponsored ADR

66,200

7,434,260

EOG Resources, Inc.

142,500

9,383,625

Exxon Mobil Corp.

1,708,200

82,557,306

Forest Oil Corp. (a)

115,300

3,472,836

Houston Exploration Co. (a)

352,700

20,932,745

Magnum Hunter Resources, Inc. (a)

125,600

1,449,424

Marathon Oil Corp.

515,000

21,259,200

McMoRan Exploration Co. (a)

386,500

5,036,095

Murphy Oil Corp.

935,000

81,129,950

Noble Energy, Inc.

88,300

5,142,592

Norsk Hydro ASA sponsored ADR

33,900

2,482,836

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil & Gas - continued

Occidental Petroleum Corp.

373,100

$ 20,867,483

Patina Oil & Gas Corp.

286,300

8,465,891

PetroChina Co. Ltd. sponsored ADR

128,500

6,908,160

PetroKazakhstan, Inc. Class A

182,960

6,222,163

Pioneer Natural Resources Co.

281,050

9,690,604

Premcor, Inc. (a)

1,694,800

65,249,800

Quicksilver Resources, Inc. (a)

319,800

10,447,866

Range Resources Corp.

169,100

2,957,559

Talisman Energy, Inc.

256,610

6,668,708

Total SA sponsored ADR

534,200

54,579,214

Unocal Corp.

161,700

6,953,100

Valero Energy Corp.

64,600

5,181,566

XTO Energy, Inc.

668,025

21,697,452

971,219,948

TOTAL ENERGY

1,116,019,692

FINANCIALS - 12.5%

Capital Markets - 0.2%

Goldman Sachs Group, Inc.

47,200

4,400,928

Investors Financial Services Corp.

40,301

1,818,784

Lehman Brothers Holdings, Inc.

196,000

15,625,120

Merrill Lynch & Co., Inc.

157,700

7,840,844

SEI Investments Co.

26,000

875,680

30,561,356

Commercial Banks - 1.2%

BOK Financial Corp. (a)

30,310

1,352,129

East West Bancorp, Inc.

80,000

2,687,200

HSBC Holdings PLC sponsored ADR

152,100

12,137,580

M&T Bank Corp.

427,200

40,883,040

PrivateBancorp, Inc.

3,195

86,137

Royal Bank of Scotland Group PLC

231,395

6,692,017

SouthTrust Corp.

604,100

25,166,806

UCBH Holdings, Inc.

165,930

6,482,885

Wachovia Corp.

56,300

2,643,285

Wells Fargo & Co.

448,600

26,750,018

Westcorp

194,720

8,279,494

Wintrust Financial Corp.

105,700

6,054,496

139,215,087

Consumer Finance - 1.0%

Capital One Financial Corp.

28,200

2,083,980

First Marblehead Corp.

92,200

4,278,080

MBNA Corp.

877,900

22,123,080

SLM Corp.

1,884,700

84,057,620

112,542,760

Diversified Financial Services - 0.7%

Brascan Corp. Class A (ltd. vtg.)

310,700

9,389,333

CapitalSource, Inc.

44,400

991,896

Citigroup, Inc.

142,300

6,278,276

Shares

Value

J.P. Morgan Chase & Co.

312,572

$ 12,418,486

KKR Financial Corp. (d)

564,000

5,781,000

Moody's Corp.

629,500

46,110,875

80,969,866

Insurance - 7.8%

ACE Ltd.

487,300

19,521,238

AFLAC, Inc.

507,700

19,906,917

Allstate Corp.

953,100

45,739,269

American International Group, Inc.

2,018,114

137,211,571

Assurant, Inc.

288,300

7,495,800

Berkshire Hathaway, Inc. Class A (a)

3,772

326,843,800

Brit Insurance Holdings PLC

3,985,600

5,236,027

Brown & Brown, Inc.

53,500

2,444,950

Endurance Specialty Holdings Ltd.

548,300

17,627,845

Everest Re Group Ltd.

863,980

64,219,633

Great-West Lifeco, Inc.

67,000

2,700,178

HCC Insurance Holdings, Inc.

510,700

15,397,605

IPC Holdings Ltd.

160,300

6,093,003

Markel Corp. (a)

29,750

9,174,900

Mercury General Corp.

185,400

9,805,806

MetLife, Inc.

147,200

5,689,280

Montpelier Re Holdings Ltd.

1,449,200

53,156,656

PartnerRe Ltd.

379,100

20,732,979

Progressive Corp.

145,900

12,365,025

RenaissanceRe Holdings Ltd.

767,565

39,591,003

StanCorp Financial Group, Inc.

110,400

7,860,480

USI Holdings Corp. (a)

1,012,287

13,817,718

W.R. Berkley Corp.

401,050

16,908,268

White Mountains Insurance Group Ltd.

12,300

6,469,800

Willis Group Holdings Ltd.

828,700

30,993,380

897,003,131

Real Estate - 0.2%

CB Richard Ellis Group, Inc. Class A

102,600

2,370,060

CBL & Associates Properties, Inc.

108,200

6,594,790

Equity Residential (SBI)

192,900

5,979,900

General Growth Properties, Inc.

78,900

2,445,900

The Rouse Co.

44,720

2,990,874

20,381,524

Thrifts & Mortgage Finance - 1.4%

Countrywide Financial Corp.

596,078

23,479,512

Doral Financial Corp.

493,475

20,464,408

Golden West Financial Corp., Delaware

978,300

108,542,385

New York Community Bancorp, Inc.

295,290

6,065,257

158,551,562

TOTAL FINANCIALS

1,439,225,286

HEALTH CARE - 13.1%

Biotechnology - 2.1%

Affymetrix, Inc. (a)

38,200

1,173,122

Biogen Idec, Inc. (a)

356,100

21,782,637

Celgene Corp. (a)

5,100

296,973

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Dyax Corp. (a)

8,000

$ 61,120

Gen-Probe, Inc. (a)

465,600

18,563,472

Genentech, Inc. (a)

3,466,400

181,708,688

Idenix Pharmaceuticals, Inc.

27,600

441,600

Keryx Biopharmaceuticals, Inc. (a)

44,600

499,074

Martek Biosciences (a)

91,600

4,455,424

Millennium Pharmaceuticals, Inc. (a)

139,700

1,915,287

ONYX Pharmaceuticals, Inc. (a)

5,600

240,856

Pharmion Corp.

118,500

6,125,976

Seattle Genetics, Inc. (a)

712,300

4,679,811

241,944,040

Health Care Equipment & Supplies - 5.3%

Advanced Medical Optics, Inc. (a)

275,100

10,885,707

Advanced Neuromodulation Systems, Inc. (a)

398,450

12,092,958

Alcon, Inc.

1,259,400

101,003,880

American Medical Systems Holdings, Inc. (a)

225,900

8,193,393

Becton, Dickinson & Co.

90,800

4,694,360

Bio-Rad Laboratories, Inc. Class A (a)

211,100

10,787,210

Biomet, Inc.

72,950

3,419,896

Boston Scientific Corp. (a)

347,800

13,818,094

C.R. Bard, Inc.

339,900

19,248,537

Cooper Companies, Inc.

153,260

10,505,973

Cytyc Corp. (a)

181,600

4,385,640

DENTSPLY International, Inc.

1,663,862

86,420,992

Epix Pharmaceuticals, Inc. (a)

218,800

4,225,028

Fisher Scientific International, Inc. (a)

353,347

20,610,731

Given Imaging Ltd. (a)

175,500

6,747,975

Hospira, Inc. (a)

79,100

2,420,460

IDEXX Laboratories, Inc. (a)

306,970

15,575,658

Integra LifeSciences Holdings Corp. (a)

262,200

8,419,242

Intuitive Surgical, Inc. (a)

125,500

3,106,125

Kensey Nash Corp. (a)

67,300

1,762,587

Kinetic Concepts, Inc.

125,400

6,589,770

Medtronic, Inc.

259,640

13,475,316

Nobel Biocare Holding AG (Switzerland)

44,934

6,992,460

Ocular Sciences, Inc. (a)

65,520

3,142,994

ResMed, Inc. (a)

38,700

1,842,507

Smith & Nephew PLC

7,367,703

68,298,606

St. Jude Medical, Inc. (a)

417,776

31,446,000

Stryker Corp.

611,900

29,420,152

Synthes, Inc.

162,877

17,791,472

Waters Corp. (a)

425,000

18,742,500

Zimmer Holdings, Inc. (a)

858,171

67,829,836

613,896,059

Health Care Providers & Services - 2.9%

Aetna, Inc.

882,700

88,208,211

Anthem, Inc. (a)

79,500

6,936,375

Chemed Corp. New

33,800

1,884,012

Shares

Value

eResearchTechnology, Inc. (a)

259,024

$ 3,452,790

Merge Technologies, Inc. (a)

350,000

6,041,000

Patterson Companies, Inc. (a)

1,804,002

138,114,393

PDI, Inc. (a)

9,500

256,405

Pediatrix Medical Group, Inc. (a)

17,500

959,875

UnitedHealth Group, Inc.

986,310

72,730,499

VCA Antech, Inc. (a)

231,000

4,765,530

WellPoint Health Networks, Inc. (a)

81,400

8,554,326

331,903,416

Pharmaceuticals - 2.8%

AstraZeneca PLC sponsored ADR

388,400

15,974,892

Atherogenics, Inc. (a)

240,700

7,931,065

Connetics Corp. (a)

289,900

7,833,098

Cypress Bioscience, Inc. (a)

226,000

2,637,420

Elan Corp. PLC sponsored ADR (a)

516,500

12,086,100

First Horizon Pharmaceutical Corp. (a)

112,800

2,257,128

IVAX Corp. (a)

328,625

6,293,169

Johnson & Johnson

452,750

25,503,408

Kos Pharmaceuticals, Inc. (a)

217,900

7,759,419

Merck & Co., Inc.

448,200

14,790,600

MGI Pharma, Inc. (a)

195,400

5,215,226

Novartis AG sponsored ADR

528,900

24,683,763

Novo Nordisk AS Series B

1,319,274

72,315,564

Par Pharmaceutical Companies, Inc. (a)

13,100

470,683

Pfizer, Inc.

190,865

5,840,469

Roche Holding AG (participation certificate)

565,205

58,561,058

Schering-Plough Corp.

1,517,300

28,919,738

Teva Pharmaceutical Industries Ltd. sponsored ADR

770,100

19,984,095

319,056,895

TOTAL HEALTH CARE

1,506,800,410

INDUSTRIALS - 10.7%

Aerospace & Defense - 1.1%

L-3 Communications Holdings, Inc.

38,400

2,572,800

Lockheed Martin Corp.

1,953,035

108,940,292

Precision Castparts Corp.

230,886

13,864,704

SI International, Inc. (a)

118,300

2,591,953

127,969,749

Air Freight & Logistics - 1.0%

C.H. Robinson Worldwide, Inc.

1,141,980

52,976,452

Dynamex, Inc. (a)

76,300

1,315,412

Expeditors International of Washington, Inc.

48,900

2,528,130

Ryder System, Inc.

146,300

6,881,952

United Parcel Service, Inc. Class B

708,400

53,781,728

117,483,674

Airlines - 0.7%

ExpressJet Holdings, Inc. Class A (a)

131,021

1,311,520

JetBlue Airways Corp. (a)

1,108,643

23,192,812

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Airlines - continued

Ryanair Holdings PLC sponsored ADR (a)

1,621,551

$ 47,349,289

Southwest Airlines Co.

404,000

5,502,480

77,356,101

Building Products - 0.2%

Lennox International, Inc.

212,500

3,174,750

Masco Corp.

660,200

22,796,706

Trex Co., Inc. (a)

45,200

2,001,456

27,972,912

Commercial Services & Supplies - 0.7%

Apollo Group, Inc. Class A (a)

44,272

3,248,237

Aramark Corp. Class B

1,083,250

26,149,655

Copart, Inc. (a)

112,100

2,122,053

Corporate Executive Board Co.

23,800

1,457,512

Educate, Inc. (a)

220,800

2,603,232

Education Management Corp. (a)

59,300

1,579,752

Laureate Education, Inc. (a)

23,500

874,670

R.R. Donnelley & Sons Co.

316,100

9,900,252

Resources Connection, Inc. (a)

182,300

6,887,294

Robert Half International, Inc.

362,700

9,346,779

Strayer Education, Inc.

162,999

18,746,515

82,915,951

Construction & Engineering - 0.1%

Jacobs Engineering Group, Inc. (a)

194,620

7,452,000

Perini Corp. (a)

110,200

1,571,452

Washington Group International, Inc. (a)

43,900

1,519,818

10,543,270

Electrical Equipment - 0.4%

Cooper Industries Ltd. Class A

599,100

35,346,900

Roper Industries, Inc.

215,800

12,399,868

Ultralife Batteries, Inc. (a)

306,920

3,121,376

50,868,144

Industrial Conglomerates - 3.2%

3M Co.

4,049,420

323,832,117

Carlisle Companies, Inc.

55,700

3,560,901

Hutchison Whampoa Ltd.

1,823,000

14,261,915

Siemens AG sponsored ADR

128,300

9,455,710

Tyco International Ltd.

533,500

16,357,110

367,467,753

Machinery - 2.5%

AGCO Corp. (a)

112,800

2,551,536

Briggs & Stratton Corp.

75,500

6,130,600

Cummins, Inc.

189,300

13,987,377

Danaher Corp.

2,687,660

137,823,205

Deere & Co.

56,500

3,647,075

Eaton Corp.

33,800

2,143,258

ESCO Technologies, Inc. (a)

45,100

3,055,976

IDEX Corp.

124,500

4,228,020

Illinois Tool Works, Inc.

62,300

5,804,491

Ingersoll-Rand Co. Ltd. Class A

72,400

4,921,028

Shares

Value

ITT Industries, Inc.

28,000

$ 2,239,720

Joy Global, Inc.

376,200

12,933,756

Oshkosh Truck Co.

78,000

4,450,680

PACCAR, Inc.

987,244

68,238,305

SPX Corp.

11,400

403,560

Volvo AB ADR

385,300

13,574,119

286,132,706

Road & Rail - 0.6%

Burlington Northern Santa Fe Corp.

405,500

15,534,705

Canadian National Railway Co.

256,600

12,572,231

Heartland Express, Inc.

533,319

9,839,736

Knight Transportation, Inc. (a)

239,932

5,139,343

Laidlaw International, Inc. (a)

96,600

1,589,070

Landstar System, Inc. (a)

280,512

16,460,444

Norfolk Southern Corp.

135,100

4,017,874

65,153,403

Trading Companies & Distributors - 0.2%

Fastenal Co.

209,912

12,090,931

MSC Industrial Direct Co., Inc. Class A

387,900

13,219,632

25,310,563

TOTAL INDUSTRIALS

1,239,174,226

INFORMATION TECHNOLOGY - 13.0%

Communications Equipment - 2.4%

Adtran, Inc.

68,300

1,549,044

Carrier Access Corp. (a)

34,100

236,995

Comverse Technology, Inc. (a)

112,300

2,114,609

Ditech Communications Corp. (a)

477,400

10,688,986

Harris Corp.

491,400

26,997,516

Juniper Networks, Inc. (a)

394,905

9,319,758

Motorola, Inc.

1,002,065

18,077,253

Plantronics, Inc.

67,300

2,910,052

QUALCOMM, Inc.

2,399,800

93,688,192

Research in Motion Ltd. (a)

928,400

70,887,304

Scientific-Atlanta, Inc.

279,300

7,239,456

Telefonaktiebolaget LM Ericsson ADR (a)

1,192,009

37,238,361

280,947,526

Computers & Peripherals - 0.5%

Apple Computer, Inc. (a)

388,000

15,035,000

Dell, Inc. (a)

952,500

33,909,000

Synaptics, Inc. (a)

347,569

7,006,991

55,950,991

Electronic Equipment & Instruments - 0.7%

Amphenol Corp. Class A (a)

354,800

12,155,448

Cogent, Inc.

336,850

6,137,407

Dionex Corp. (a)

5,400

295,380

FARO Technologies, Inc. (a)

65,532

1,332,921

Flir Systems, Inc. (a)

811,500

47,472,750

LoJack Corp. (a)

14,500

162,400

Molex, Inc.

39,500

1,177,890

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - continued

National Instruments Corp.

238,957

$ 7,233,228

Symbol Technologies, Inc.

255,100

3,224,464

79,191,888

Internet Software & Services - 2.3%

Akamai Technologies, Inc. (a)

1,289,083

18,111,616

Google, Inc. Class A

285,343

36,980,453

Greenfield Online, Inc.

55,100

1,119,081

iVillage, Inc. (a)

189,800

1,138,800

Websense, Inc. (a)

146,442

6,102,238

Yahoo!, Inc. (a)

6,018,696

204,093,981

267,546,169

IT Services - 2.0%

Accenture Ltd. Class A (a)

67,400

1,823,170

Alliance Data Systems Corp. (a)

995,100

40,361,256

Anteon International Corp. (a)

554,200

20,311,430

Cognizant Technology Solutions Corp. Class A (a)

1,508,896

46,036,417

First Data Corp.

494,900

21,528,150

Global Payments, Inc.

13,900

744,345

Infosys Technologies Ltd. sponsored ADR

958,900

54,273,740

Iron Mountain, Inc. (a)

484,500

16,400,325

SRA International, Inc. Class A (a)

444,300

22,908,108

224,386,941

Office Electronics - 0.1%

Canon, Inc.

91,500

4,315,140

Zebra Technologies Corp. Class A (a)

166,170

10,138,032

14,453,172

Semiconductors & Semiconductor Equipment - 3.6%

Analog Devices, Inc.

1,742,600

67,578,028

ATI Technologies, Inc. (a)

328,100

5,039,491

Cree, Inc. (a)

379,100

11,573,923

International Rectifier Corp. (a)

969,100

33,240,130

Linear Technology Corp.

168,400

6,102,816

Marvell Technology Group Ltd. (a)

4,089,600

106,861,248

Samsung Electronics Co. Ltd.

356,310

141,719,401

Silicon Image, Inc. (a)

186,500

2,357,360

Silicon Laboratories, Inc. (a)

1,177,246

38,955,070

Tessera Technologies, Inc.

45,000

994,500

Tundra Semiconductor Corp. Ltd. (d)

14,200

159,810

Volterra Semiconductor Corp.

138,800

1,725,284

416,307,061

Software - 1.4%

Activision, Inc. (a)

313,282

4,345,221

Adobe Systems, Inc.

415,389

20,549,294

Altiris, Inc. (a)

761,839

24,112,204

Autodesk, Inc.

386,900

18,814,947

Electronic Arts, Inc. (a)

112,200

5,160,078

JAMDAT Mobile, Inc.

10,500

242,235

Kronos, Inc. (a)

156,892

6,948,747

Shares

Value

Macrovision Corp. (a)

32,400

$ 780,192

Magma Design Automation, Inc. (a)

123,011

1,855,006

Microsoft Corp.

184,600

5,104,190

NAVTEQ Corp.

319,100

11,372,724

NCsoft Corp. (a)

26,410

2,171,972

Quality Systems, Inc. (a)

26,391

1,333,009

Red Hat, Inc. (a)

179,167

2,193,004

SAP AG sponsored ADR

56,100

2,185,095

Sonic Solutions, Inc. (a)

512,799

8,368,880

Symantec Corp. (a)

722,103

39,629,013

Take-Two Interactive Software, Inc. (a)

100,000

3,285,000

THQ, Inc. (a)

7,800

151,788

158,602,599

TOTAL INFORMATION TECHNOLOGY

1,497,386,347

MATERIALS - 6.4%

Chemicals - 0.9%

Dow Chemical Co.

45,200

2,042,136

Ecolab, Inc.

1,696,800

53,347,392

Headwaters, Inc. (a)

73,000

2,252,780

Methanex Corp.

378,200

5,665,132

NOVA Chemicals Corp.

146,600

5,665,319

Potash Corp. of Saskatchewan

471,200

30,249,416

The Scotts Co. Class A (a)

31,200

2,001,480

Westlake Chemical Corp.

56,400

1,257,720

102,481,375

Construction Materials - 0.1%

Eagle Materials, Inc.

101,700

7,251,210

Lafarge North America, Inc.

45,100

2,114,739

Rinker Group Ltd.

381,402

2,395,718

Texas Industries, Inc.

29,700

1,527,768

13,289,435

Containers & Packaging - 0.0%

Ball Corp.

124,196

4,648,656

Peak International Ltd. (a)

200,000

1,040,000

5,688,656

Metals & Mining - 5.3%

Aber Diamond Corp. (a)

395,350

13,648,858

Anglo American PLC ADR

1,015,472

24,625,196

Apex Silver Mines Ltd. (a)

550,100

11,937,170

BHP Billiton Ltd. sponsored ADR

504,300

10,464,225

Carpenter Technology Corp.

87,000

4,153,380

Companhia Vale do Rio Doce
sponsored ADR

638,100

14,338,107

Compania de Minas Buenaventura SA sponsored ADR

1,412,200

33,539,750

Compass Minerals International, Inc.

189,700

4,211,340

Dofasco, Inc.

135,300

4,568,084

Eldorado Gold Corp. (a)

1,659,700

5,379,967

First Quantum Minerals Ltd. (a)

324,600

4,296,271

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

Freeport-McMoRan Copper & Gold, Inc. Class B

1,202,934

$ 48,718,827

Gabriel Resources Ltd. (a)

2,171,800

3,304,820

Gerdau SA sponsored ADR

37,500

613,125

Glamis Gold Ltd. (a)

1,914,600

35,507,541

Goldcorp, Inc.

4,183,466

58,023,107

Inco Ltd. (a)

67,800

2,654,504

International Steel Group, Inc.

190,900

6,433,330

IPSCO, Inc.

554,000

15,486,095

Ispat International NV (a)

66,900

1,940,100

Ivanhoe Mines Ltd. (a)

734,200

4,131,421

Ivanhoe Mines Ltd. warrants 12/19/05 (a)

198,450

119,534

Meridian Gold, Inc. (a)

157,700

2,624,688

Newcrest Mining Ltd.

791,800

8,754,174

Newmont Mining Corp.

2,810,351

127,955,281

Novagold Resources, Inc. (a)

778,300

4,910,060

Nucor Corp.

344,300

31,458,691

Peabody Energy Corp.

208,500

12,405,750

Phelps Dodge Corp.

77,900

7,169,137

Placer Dome, Inc.

748,800

14,955,229

POSCO sponsored ADR

373,700

14,144,545

Rio Tinto PLC (Reg.)

2,045,069

55,549,187

Southern African Resources PLC (a)

8,504,759

4,893,008

Southern Platinum Corp. (a)

244,600

401,286

SouthernEra Diamonds, Inc. Class A (a)

558,200

331,801

Steel Dynamics, Inc.

114,312

4,414,729

United States Steel Corp.

67,700

2,546,874

Xstrata PLC

339,500

5,589,010

606,198,202

Paper & Forest Products - 0.1%

Canfor Corp. (a)

90,000

1,137,706

MeadWestvaco Corp.

45,100

1,438,690

Sappi Ltd.

601,777

8,528,771

11,105,167

TOTAL MATERIALS

738,762,835

TELECOMMUNICATION SERVICES - 4.0%

Diversified Telecommunication Services - 0.0%

PT Indosat Tbk

3,790,000

1,750,498

PT Indosat Tbk sponsored ADR

126,600

3,038,400

PT Telkomunikasi Indonesia Tbk sponsored ADR

54,600

965,874

5,754,772

Wireless Telecommunication Services - 4.0%

Alamosa Holdings, Inc. (a)

176,600

1,349,224

America Movil SA de CV sponsored ADR

1,895,000

73,961,850

KDDI Corp.

1,548

7,527,198

Mobile TeleSystems OJSC sponsored ADR

141,900

20,574,081

Shares

Value

MTN Group Ltd.

447,300

$ 2,135,312

Nextel Communications, Inc. Class A (a)

5,194,100

123,827,344

Nextel Partners, Inc. Class A (a)

2,508,400

41,589,272

NII Holdings, Inc. (a)

896,953

36,963,433

Telesystem International Wireless, Inc. (a)

1,197,700

11,438,308

Vimpel Communications sponsored ADR (a)

605,200

65,845,760

Vodafone Group PLC sponsored ADR

2,721,300

65,610,543

Western Wireless Corp. Class A (a)

299,500

7,700,145

458,522,470

TOTAL TELECOMMUNICATION SERVICES

464,277,242

UTILITIES - 0.6%

Electric Utilities - 0.4%

Entergy Corp.

176,300

10,685,543

Exelon Corp.

300,800

11,036,352

FirstEnergy Corp.

147,100

6,042,868

PG&E Corp. (a)

484,500

14,728,800

TXU Corp.

33,800

1,619,696

44,113,259

Gas Utilities - 0.0%

Southern Union Co. (a)

76,545

1,569,173

Multi-Utilities & Unregulated Power - 0.2%

AES Corp. (a)

555,000

5,544,450

Dominion Resources, Inc.

73,800

4,815,450

Duke Energy Corp.

202,900

4,644,381

NRG Energy, Inc. (a)

167,100

4,501,674

Sempra Energy

31,300

1,132,747

20,638,702

TOTAL UTILITIES

66,321,134

TOTAL COMMON STOCKS

(Cost $7,327,216,388)

10,144,856,575

Convertible Preferred Stocks - 0.3%

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

Xerox Capital Trust II 7.50% (d)

197,600

15,244,050

UTILITIES - 0.2%

Electric Utilities - 0.2%

TXU Corp. 8.75% (a)

348,200

18,215,387

TOTAL CONVERTIBLE PREFERRED STOCKS

(Cost $25,343,412)

33,459,437

Convertible Bonds - 0.2%

Principal Amount

Value

CONSUMER DISCRETIONARY - 0.1%

Leisure Equipment & Products - 0.1%

Eastman Kodak Co. 3.375% 10/15/33

$ 11,960,000

$ 15,096,151

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

Tyco International Group SA yankee 3.125% 1/15/23

3,140,000

4,693,986

UTILITIES - 0.0%

Multi-Utilities & Unregulated Power - 0.0%

AES Corp. 4.5% 8/15/05

2,280,000

2,285,700

TOTAL CONVERTIBLE BONDS

(Cost $20,379,543)

22,075,837

U.S. Treasury Obligations - 1.6%

U.S. Treasury Bills, yield at date of purchase 1.34% 10/14/04

500,000

499,736

U.S. Treasury Notes:

4.25% 8/15/13

67,975,000

68,991,974

4.25% 11/15/13

55,850,000

56,569,962

4.75% 5/15/14

62,700,000

65,815,438

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $185,839,242)

191,877,110

Money Market Funds - 11.9%

Shares

Fidelity Cash Central Fund, 1.74% (b)

1,146,168,819

1,146,168,819

Fidelity Securities Lending Cash Central Fund, 1.71% (b)(c)

226,792,278

226,792,278

TOTAL MONEY MARKET FUNDS

(Cost $1,372,961,097)

1,372,961,097

TOTAL INVESTMENT PORTFOLIO - 102.0%

(Cost $8,931,739,682)

11,765,230,056

NET OTHER ASSETS - (2.0)%

(233,801,329)

NET ASSETS - 100%

$ 11,531,428,727

Legend

(a) Non-income producing

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

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

(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $21,184,860 or 0.2% of net assets.

Income Tax Information

At September 30, 2004, the aggregate cost of investment securities for income tax purposes was $8,950,267,943. Net unrealized appreciation aggregated $2,814,962,113, of which $2,968,116,419 related to appreciated investment securities and $153,154,306 related to depreciated investment securities.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please call Fidelity at 1-800-221-5207 for a free copy of the fund's most recent prospectus and annual report.

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Variable Insurance Products:
Index 500 Portfolio

September 30, 2004

1.808790.100

VIPIDX-QTLY-1104

Investments September 30, 2004 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 99.2%

Shares

Value

CONSUMER DISCRETIONARY - 11.0%

Auto Components - 0.2%

Cooper Tire & Rubber Co.

19,154

$ 386,336

Dana Corp.

38,229

676,271

Delphi Corp.

143,672

1,334,713

Goodyear Tire & Rubber Co. (a)

44,889

482,108

Johnson Controls, Inc.

48,706

2,766,988

Visteon Corp.

33,172

265,044

5,911,460

Automobiles - 0.7%

Ford Motor Co.

468,447

6,581,680

General Motors Corp.

144,582

6,141,843

Harley-Davidson, Inc.

75,544

4,490,335

17,213,858

Distributors - 0.1%

Genuine Parts Co.

44,800

1,719,424

Hotels, Restaurants & Leisure - 1.4%

Carnival Corp. unit

162,073

7,664,432

Darden Restaurants, Inc.

40,398

942,081

Harrah's Entertainment, Inc.

28,656

1,518,195

Hilton Hotels Corp.

98,550

1,856,682

International Game Technology

88,230

3,171,869

Marriott International, Inc. Class A

58,599

3,044,804

McDonald's Corp.

321,614

9,014,840

Starbucks Corp. (a)

101,755

4,625,782

Starwood Hotels & Resorts Worldwide, Inc. unit

53,294

2,473,907

Wendy's International, Inc.

29,077

976,987

Yum! Brands, Inc.

74,389

3,024,657

38,314,236

Household Durables - 0.5%

Black & Decker Corp.

20,518

1,588,914

Centex Corp.

31,638

1,596,453

Fortune Brands, Inc.

36,875

2,732,069

KB Home

11,855

1,001,629

Leggett & Platt, Inc.

49,072

1,378,923

Maytag Corp.

20,206

371,184

Newell Rubbermaid, Inc.

70,378

1,410,375

Pulte Homes, Inc.

32,493

1,994,095

Snap-On, Inc.

14,800

407,888

The Stanley Works

20,968

891,769

Whirlpool Corp.

16,996

1,021,290

14,394,589

Internet & Catalog Retail - 0.6%

eBay, Inc. (a)

169,230

15,559,006

Leisure Equipment & Products - 0.2%

Brunswick Corp.

24,469

1,119,701

Eastman Kodak Co.

73,375

2,364,143

Shares

Value

Hasbro, Inc.

45,275

$ 851,170

Mattel, Inc.

106,016

1,922,070

6,257,084

Media - 3.4%

Clear Channel Communications, Inc.

151,054

4,708,353

Comcast Corp. Class A (a)

572,145

16,157,375

Dow Jones & Co., Inc.

20,959

851,145

Gannett Co., Inc.

68,129

5,706,485

Interpublic Group of Companies, Inc. (a)

108,071

1,144,472

Knight-Ridder, Inc.

19,822

1,297,350

McGraw-Hill Companies, Inc.

48,643

3,876,361

Meredith Corp.

12,863

660,901

Omnicom Group, Inc.

47,939

3,502,423

The New York Times Co. Class A

37,589

1,469,730

Time Warner, Inc. (a)

1,170,603

18,893,532

Tribune Co.

81,484

3,353,067

Univision Communications, Inc. Class A (a)

82,580

2,610,354

Viacom, Inc. Class B (non-vtg.)

444,150

14,905,674

Walt Disney Co.

525,998

11,861,255

90,998,477

Multiline Retail - 1.1%

Big Lots, Inc. (a)

29,492

360,687

Dillard's, Inc. Class A

21,381

422,061

Dollar General Corp.

84,074

1,694,091

Family Dollar Stores, Inc.

43,082

1,167,522

Federated Department Stores, Inc.

46,033

2,091,279

JCPenney Co., Inc.

73,780

2,602,958

Kohl's Corp. (a)

87,474

4,215,372

Nordstrom, Inc.

35,950

1,374,728

Sears, Roebuck & Co.

54,279

2,163,018

Target Corp.

231,264

10,464,696

The May Department Stores Co.

74,611

1,912,280

28,468,692

Specialty Retail - 2.4%

AutoNation, Inc. (a)

68,253

1,165,761

AutoZone, Inc. (a)

21,285

1,644,266

Bed Bath & Beyond, Inc. (a)

76,951

2,855,652

Best Buy Co., Inc.

83,204

4,512,985

Boise Cascade Corp.

22,539

750,098

Circuit City Stores, Inc.

50,891

780,668

Gap, Inc.

231,373

4,326,675

Home Depot, Inc.

562,060

22,032,752

Limited Brands, Inc.

120,986

2,696,778

Lowe's Companies, Inc.

199,596

10,848,043

Office Depot, Inc. (a)

80,202

1,205,436

RadioShack Corp.

40,874

1,170,631

Sherwin-Williams Co.

36,447

1,602,210

Staples, Inc.

127,384

3,798,591

Tiffany & Co., Inc.

37,409

1,149,953

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

TJX Companies, Inc.

125,126

$ 2,757,777

Toys 'R' Us, Inc. (a)

54,779

971,779

64,270,055

Textiles Apparel & Luxury Goods - 0.4%

Coach, Inc. (a)

48,178

2,043,711

Jones Apparel Group, Inc.

31,927

1,142,987

Liz Claiborne, Inc.

27,578

1,040,242

NIKE, Inc. Class B

67,424

5,313,011

Reebok International Ltd.

15,142

556,014

VF Corp.

28,227

1,395,825

11,491,790

TOTAL CONSUMER DISCRETIONARY

294,598,671

CONSUMER STAPLES - 10.6%

Beverages - 2.3%

Adolph Coors Co. Class B

9,570

649,994

Anheuser-Busch Companies, Inc.

205,065

10,242,997

Brown-Forman Corp. Class B (non-vtg.)

31,094

1,424,105

Coca-Cola Enterprises, Inc.

120,071

2,269,342

Pepsi Bottling Group, Inc.

65,116

1,767,899

PepsiCo, Inc.

433,690

21,099,019

The Coca-Cola Co.

621,159

24,877,418

62,330,774

Food & Staples Retailing - 3.3%

Albertsons, Inc.

94,161

2,253,273

Costco Wholesale Corp.

118,065

4,906,781

CVS Corp.

102,251

4,307,835

Kroger Co. (a)

189,219

2,936,679

Safeway, Inc. (a)

114,412

2,209,296

SUPERVALU, Inc.

34,809

958,988

Sysco Corp.

163,700

4,897,904

Wal-Mart Stores, Inc.

1,086,134

57,782,329

Walgreen Co.

262,292

9,397,922

Winn-Dixie Stores, Inc. (a)

36,364

112,365

89,763,372

Food Products - 1.3%

Archer-Daniels-Midland Co.

166,647

2,829,666

Campbell Soup Co.

105,090

2,762,816

ConAgra Foods, Inc.

135,280

3,478,049

General Mills, Inc.

97,333

4,370,252

H.J. Heinz Co.

89,463

3,222,457

Hershey Foods Corp.

63,044

2,944,785

Kellogg Co.

105,839

4,515,092

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

35,093

1,205,094

Sara Lee Corp.

203,084

4,642,500

Wm. Wrigley Jr. Co.

57,540

3,642,857

33,613,568

Household Products - 2.0%

Clorox Co.

54,541

2,907,035

Shares

Value

Colgate-Palmolive Co.

135,957

$ 6,142,537

Kimberly-Clark Corp.

126,601

8,177,159

Procter & Gamble Co.

650,835

35,223,190

52,449,921

Personal Products - 0.6%

Alberto-Culver Co.

23,219

1,009,562

Avon Products, Inc.

121,059

5,287,857

Gillette Co.

256,484

10,705,642

17,003,061

Tobacco - 1.1%

Altria Group, Inc.

525,280

24,709,171

Reynolds American, Inc.

37,890

2,578,036

UST, Inc.

42,299

1,702,958

28,990,165

TOTAL CONSUMER STAPLES

284,150,861

ENERGY - 7.3%

Energy Equipment & Services - 1.0%

Baker Hughes, Inc.

85,443

3,735,568

BJ Services Co.

41,348

2,167,049

Halliburton Co.

113,036

3,808,183

Nabors Industries Ltd. (a)

38,085

1,803,325

Noble Corp. (a)

34,279

1,540,841

Rowan Companies, Inc. (a)

27,343

721,855

Schlumberger Ltd. (NY Shares)

151,175

10,175,589

Transocean, Inc. (a)

82,139

2,938,933

26,891,343

Oil & Gas - 6.3%

Amerada Hess Corp.

23,334

2,076,726

Anadarko Petroleum Corp.

64,058

4,250,889

Apache Corp.

83,460

4,182,181

Ashland, Inc.

18,194

1,020,320

Burlington Resources, Inc.

101,063

4,123,370

ChevronTexaco Corp.

545,343

29,252,199

ConocoPhillips

176,328

14,608,775

Devon Energy Corp.

61,890

4,394,809

El Paso Corp.

164,106

1,508,134

EOG Resources, Inc.

30,171

1,986,760

Exxon Mobil Corp.

1,665,487

80,492,987

Kerr-McGee Corp.

38,657

2,213,113

Kinder Morgan, Inc.

31,627

1,986,808

Marathon Oil Corp.

88,596

3,657,243

Occidental Petroleum Corp.

100,279

5,608,604

Sunoco, Inc.

19,286

1,426,778

Unocal Corp.

67,778

2,914,454

Valero Energy Corp.

32,730

2,625,273

Williams Companies, Inc.

133,734

1,618,181

169,947,604

TOTAL ENERGY

196,838,947

Common Stocks - continued

Shares

Value

FINANCIALS - 20.5%

Capital Markets - 2.7%

Bank of New York Co., Inc.

199,184

$ 5,810,197

Bear Stearns Companies, Inc.

26,387

2,537,638

Charles Schwab Corp.

349,837

3,215,002

E*TRADE Financial Corp. (a)

95,563

1,091,329

Federated Investors, Inc. Class B (non-vtg.)

27,753

789,295

Franklin Resources, Inc.

63,845

3,559,997

Goldman Sachs Group, Inc.

124,409

11,599,895

Janus Capital Group, Inc.

61,280

834,021

Lehman Brothers Holdings, Inc.

69,465

5,537,750

Mellon Financial Corp.

108,550

3,005,750

Merrill Lynch & Co., Inc.

240,513

11,958,306

Morgan Stanley

281,210

13,863,653

Northern Trust Corp.

56,276

2,296,061

State Street Corp.

86,086

3,676,733

T. Rowe Price Group, Inc.

32,579

1,659,574

71,435,201

Commercial Banks - 6.0%

AmSouth Bancorp.

90,560

2,209,664

Bank of America Corp.

1,041,357

45,121,999

BB&T Corp.

141,941

5,633,638

Comerica, Inc.

43,880

2,604,278

Fifth Third Bancorp

145,911

7,181,739

First Horizon National Corp.

31,616

1,370,870

Huntington Bancshares, Inc.

58,802

1,464,758

KeyCorp

104,148

3,291,077

M&T Bank Corp.

29,974

2,868,512

Marshall & Ilsley Corp.

57,049

2,299,075

National City Corp.

169,670

6,552,655

North Fork Bancorp, Inc., New York

79,880

3,550,666

PNC Financial Services Group, Inc.

72,288

3,910,781

Regions Financial Corp. New

118,299

3,910,965

SouthTrust Corp.

85,214

3,550,015

SunTrust Banks, Inc.

91,718

6,457,864

Synovus Financial Corp.

79,211

2,071,368

U.S. Bancorp, Delaware

481,119

13,904,339

Wachovia Corp.

335,219

15,738,532

Wells Fargo & Co.

432,316

25,779,003

Zions Bancorp

22,917

1,398,854

160,870,652

Consumer Finance - 1.3%

American Express Co.

324,572

16,702,475

Capital One Financial Corp.

61,829

4,569,163

MBNA Corp.

327,099

8,242,895

Providian Financial Corp.

74,935

1,164,490

SLM Corp.

111,614

4,977,984

35,657,007

Diversified Financial Services - 3.7%

Citigroup, Inc.

1,326,207

58,512,253

J.P. Morgan Chase & Co.

911,918

36,230,502

Shares

Value

Moody's Corp.

37,890

$ 2,775,443

Principal Financial Group, Inc.

80,237

2,886,125

100,404,323

Insurance - 4.5%

ACE Ltd.

72,712

2,912,843

AFLAC, Inc.

129,837

5,090,909

Allstate Corp.

177,413

8,514,050

AMBAC Financial Group, Inc.

27,766

2,219,892

American International Group, Inc.

667,012

45,350,146

Aon Corp.

80,860

2,323,916

Cincinnati Financial Corp.

43,089

1,776,129

Hartford Financial Services Group, Inc.

75,059

4,648,404

Jefferson-Pilot Corp.

34,938

1,735,021

Lincoln National Corp.

45,055

2,117,585

Loews Corp.

47,487

2,777,990

Marsh & McLennan Companies, Inc.

133,286

6,099,167

MBIA, Inc.

36,674

2,134,794

MetLife, Inc.

192,045

7,422,539

Progressive Corp.

55,565

4,709,134

Prudential Financial, Inc.

132,870

6,250,205

SAFECO Corp.

32,231

1,471,345

St. Paul Travelers Companies, Inc.

171,213

5,660,302

The Chubb Corp.

48,899

3,436,622

Torchmark Corp.

28,076

1,493,082

UnumProvident Corp.

75,884

1,190,620

XL Capital Ltd. Class A

35,427

2,621,244

121,955,939

Real Estate - 0.5%

Apartment Investment & Management Co. Class A

24,231

842,754

Equity Office Properties Trust

103,151

2,810,865

Equity Residential (SBI)

71,856

2,227,536

Plum Creek Timber Co., Inc.

46,933

1,644,063

ProLogis

46,546

1,640,281

Simon Property Group, Inc.

53,288

2,857,835

12,023,334

Thrifts & Mortgage Finance - 1.8%

Countrywide Financial Corp.

144,160

5,678,462

Fannie Mae

247,795

15,710,203

Freddie Mac

175,880

11,474,411

Golden West Financial Corp., Delaware

39,113

4,339,587

MGIC Investment Corp.

25,222

1,678,524

Sovereign Bancorp, Inc.

87,878

1,917,498

Washington Mutual, Inc.

223,383

8,729,808

49,528,493

TOTAL FINANCIALS

551,874,949

HEALTH CARE - 13.0%

Biotechnology - 1.3%

Amgen, Inc. (a)

324,115

18,370,838

Applera Corp. - Applied Biosystems Group

51,672

975,051

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Biogen Idec, Inc. (a)

86,633

$ 5,299,341

Chiron Corp. (a)

48,059

2,124,208

Genzyme Corp. - General Division (a)

58,368

3,175,803

Gilead Sciences, Inc. (a)

110,230

4,120,397

MedImmune, Inc. (a)

63,811

1,512,321

35,577,959

Health Care Equipment & Supplies - 2.4%

Bausch & Lomb, Inc.

13,617

904,850

Baxter International, Inc.

157,394

5,061,791

Becton, Dickinson & Co.

64,143

3,316,193

Biomet, Inc.

65,030

3,048,606

Boston Scientific Corp. (a)

215,604

8,565,947

C.R. Bard, Inc.

26,836

1,519,723

Fisher Scientific International, Inc. (a)

29,424

1,716,302

Guidant Corp.

80,536

5,318,597

Hospira, Inc. (a)

39,951

1,222,501

Medtronic, Inc.

309,625

16,069,538

Millipore Corp. (a)

12,694

607,408

PerkinElmer, Inc.

32,802

564,850

St. Jude Medical, Inc. (a)

45,314

3,410,785

Stryker Corp.

102,725

4,939,018

Thermo Electron Corp. (a)

41,803

1,129,517

Waters Corp. (a)

30,268

1,334,819

Zimmer Holdings, Inc. (a)

62,735

4,958,574

63,689,019

Health Care Providers & Services - 2.0%

Aetna, Inc.

39,315

3,928,748

AmerisourceBergen Corp.

28,786

1,546,096

Anthem, Inc. (a)

35,742

3,118,490

Cardinal Health, Inc.

110,186

4,822,841

Caremark Rx, Inc. (a)

119,299

3,825,919

CIGNA Corp.

35,208

2,451,533

Express Scripts, Inc. (a)

19,864

1,297,914

HCA, Inc.

123,567

4,714,081

Health Management Associates, Inc. Class A

62,314

1,273,075

Humana, Inc. (a)

40,805

815,284

IMS Health, Inc.

59,871

1,432,114

Manor Care, Inc.

22,389

670,774

McKesson Corp.

75,163

1,927,931

Medco Health Solutions, Inc. (a)

69,663

2,152,587

Quest Diagnostics, Inc.

26,084

2,301,130

Tenet Healthcare Corp. (a)

119,336

1,287,635

UnitedHealth Group, Inc.

170,171

12,548,410

WellPoint Health Networks, Inc. (a)

40,209

4,225,564

54,340,126

Pharmaceuticals - 7.3%

Abbott Laboratories

399,675

16,930,233

Allergan, Inc.

33,723

2,446,604

Shares

Value

Bristol-Myers Squibb Co.

497,990

$ 11,787,423

Eli Lilly & Co.

289,440

17,380,872

Forest Laboratories, Inc. (a)

94,795

4,263,879

Johnson & Johnson

759,871

42,803,533

King Pharmaceuticals, Inc. (a)

61,842

738,393

Merck & Co., Inc.

568,015

18,744,495

Mylan Laboratories, Inc.

68,799

1,238,382

Pfizer, Inc.

1,933,088

59,152,493

Schering-Plough Corp.

376,946

7,184,591

Watson Pharmaceuticals, Inc. (a)

28,021

825,499

Wyeth

341,470

12,770,978

196,267,375

TOTAL HEALTH CARE

349,874,479

INDUSTRIALS - 11.5%

Aerospace & Defense - 2.0%

General Dynamics Corp.

51,181

5,225,580

Goodrich Corp.

30,397

953,250

Honeywell International, Inc.

220,060

7,891,352

Lockheed Martin Corp.

113,896

6,353,119

Northrop Grumman Corp.

91,784

4,894,841

Raytheon Co.

115,484

4,386,082

Rockwell Collins, Inc.

45,323

1,683,296

The Boeing Co.

214,905

11,093,396

United Technologies Corp.

130,983

12,231,193

54,712,109

Air Freight & Logistics - 1.1%

FedEx Corp.

76,906

6,590,075

Ryder System, Inc.

16,485

775,454

United Parcel Service, Inc. Class B

287,854

21,853,876

29,219,405

Airlines - 0.1%

Delta Air Lines, Inc. (a)

32,157

105,797

Southwest Airlines Co.

202,296

2,755,272

2,861,069

Building Products - 0.2%

American Standard Companies, Inc. (a)

54,765

2,130,906

Masco Corp.

110,924

3,830,206

5,961,112

Commercial Services & Supplies - 1.0%

Allied Waste Industries, Inc. (a)

81,463

720,948

Apollo Group, Inc. Class A (a)

49,378

3,622,864

Avery Dennison Corp.

28,279

1,860,193

Cendant Corp.

270,270

5,837,832

Cintas Corp.

43,826

1,842,445

Deluxe Corp.

12,809

525,425

Equifax, Inc.

34,876

919,331

H&R Block, Inc.

42,213

2,086,166

Monster Worldwide, Inc. (a)

30,364

748,169

Pitney Bowes, Inc.

59,171

2,609,441

R.R. Donnelley & Sons Co.

56,092

1,756,801

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Robert Half International, Inc.

44,112

$ 1,136,766

Waste Management, Inc.

148,453

4,058,705

27,725,086

Construction & Engineering - 0.0%

Fluor Corp.

21,359

950,903

Electrical Equipment - 0.4%

American Power Conversion Corp.

51,302

892,142

Cooper Industries Ltd. Class A

24,241

1,430,219

Emerson Electric Co.

107,561

6,656,950

Power-One, Inc. (a)

21,466

139,100

Rockwell Automation, Inc.

47,191

1,826,292

10,944,703

Industrial Conglomerates - 4.6%

3M Co.

200,381

16,024,469

General Electric Co.

2,703,035

90,767,910

Textron, Inc.

35,482

2,280,428

Tyco International Ltd.

514,274

15,767,641

124,840,448

Machinery - 1.5%

Caterpillar, Inc.

87,743

7,058,924

Crane Co.

15,105

436,837

Cummins, Inc.

11,341

837,986

Danaher Corp.

78,920

4,047,018

Deere & Co.

63,530

4,100,862

Dover Corp.

52,054

2,023,339

Eaton Corp.

38,786

2,459,420

Illinois Tool Works, Inc.

77,382

7,209,681

Ingersoll-Rand Co. Ltd. Class A

44,371

3,015,897

ITT Industries, Inc.

23,624

1,889,684

Navistar International Corp. (a)

17,873

664,697

PACCAR, Inc.

44,434

3,071,278

Pall Corp.

32,027

784,021

Parker Hannifin Corp.

30,579

1,799,880

39,399,524

Road & Rail - 0.5%

Burlington Northern Santa Fe Corp.

95,337

3,652,360

CSX Corp.

54,994

1,825,801

Norfolk Southern Corp.

100,789

2,997,465

Union Pacific Corp.

66,364

3,888,930

12,364,556

Trading Companies & Distributors - 0.1%

W.W. Grainger, Inc.

23,301

1,343,303

TOTAL INDUSTRIALS

310,322,218

INFORMATION TECHNOLOGY - 15.6%

Communications Equipment - 2.7%

ADC Telecommunications, Inc. (a)

207,088

374,829

Andrew Corp. (a)

41,166

503,872

Shares

Value

Avaya, Inc. (a)

115,882

$ 1,615,395

CIENA Corp. (a)

145,714

288,514

Cisco Systems, Inc. (a)

1,731,021

31,331,480

Comverse Technology, Inc. (a)

50,085

943,101

Corning, Inc. (a)

356,787

3,953,200

JDS Uniphase Corp. (a)

368,697

1,242,509

Lucent Technologies, Inc. (a)

1,103,278

3,497,391

Motorola, Inc.

604,838

10,911,278

QUALCOMM, Inc.

416,726

16,268,983

Scientific-Atlanta, Inc.

39,212

1,016,375

Tellabs, Inc. (a)

106,556

979,250

72,926,177

Computers & Peripherals - 3.6%

Apple Computer, Inc. (a)

99,313

3,848,379

Dell, Inc. (a)

639,164

22,754,238

EMC Corp. (a)

615,625

7,104,313

Gateway, Inc. (a)

95,415

472,304

Hewlett-Packard Co.

773,130

14,496,188

International Business Machines Corp.

428,869

36,771,228

Lexmark International, Inc. Class A (a)

33,158

2,785,604

NCR Corp. (a)

24,116

1,195,912

Network Appliance, Inc. (a)

91,569

2,106,087

QLogic Corp. (a)

23,647

700,188

Sun Microsystems, Inc. (a)

851,513

3,440,113

95,674,554

Electronic Equipment & Instruments - 0.3%

Agilent Technologies, Inc. (a)

124,321

2,681,604

Jabil Circuit, Inc. (a)

51,446

1,183,258

Molex, Inc.

48,547

1,447,672

Sanmina-SCI Corp. (a)

133,420

940,611

Solectron Corp. (a)

246,198

1,218,680

Symbol Technologies, Inc.

61,276

774,529

Tektronix, Inc.

23,488

780,976

9,027,330

Internet Software & Services - 0.4%

Yahoo!, Inc. (a)

348,324

11,811,667

IT Services - 1.2%

Affiliated Computer Services, Inc.
Class A (a)

32,763

1,823,916

Automatic Data Processing, Inc.

149,551

6,179,447

Computer Sciences Corp. (a)

48,314

2,275,589

Convergys Corp. (a)

36,493

490,101

Electronic Data Systems Corp.

131,168

2,543,348

First Data Corp.

219,521

9,549,164

Fiserv, Inc. (a)

49,994

1,742,791

Paychex, Inc.

96,796

2,918,399

Sabre Holdings Corp. Class A

35,139

861,960

SunGard Data Systems, Inc. (a)

73,833

1,755,010

Unisys Corp. (a)

85,725

884,682

31,024,407

Office Electronics - 0.1%

Xerox Corp. (a)

214,821

3,024,680

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - 2.8%

Advanced Micro Devices, Inc. (a)

90,865

$ 1,181,245

Altera Corp. (a)

95,171

1,862,496

Analog Devices, Inc.

96,870

3,756,619

Applied Materials, Inc. (a)

434,767

7,169,308

Applied Micro Circuits Corp. (a)

80,168

250,926

Broadcom Corp. Class A (a)

82,458

2,250,279

Intel Corp.

1,642,316

32,944,859

KLA-Tencor Corp. (a)

50,272

2,085,283

Linear Technology Corp.

78,725

2,852,994

LSI Logic Corp. (a)

98,539

424,703

Maxim Integrated Products, Inc.

83,138

3,515,906

Micron Technology, Inc. (a)

156,546

1,883,248

National Semiconductor Corp. (a)

91,678

1,420,092

Novellus Systems, Inc. (a)

36,552

971,918

NVIDIA Corp. (a)

42,637

619,089

PMC-Sierra, Inc. (a)

45,299

399,084

Teradyne, Inc. (a)

49,698

665,953

Texas Instruments, Inc.

443,177

9,430,807

Xilinx, Inc.

88,857

2,399,139

76,083,948

Software - 4.5%

Adobe Systems, Inc.

61,387

3,036,815

Autodesk, Inc.

29,058

1,413,091

BMC Software, Inc. (a)

57,112

902,941

Citrix Systems, Inc. (a)

43,302

758,651

Computer Associates International, Inc.

149,855

3,941,187

Compuware Corp. (a)

98,868

509,170

Electronic Arts, Inc. (a)

77,745

3,575,493

Intuit, Inc. (a)

49,039

2,226,371

Mercury Interactive Corp. (a)

23,846

831,748

Microsoft Corp.

2,783,540

76,964,881

Novell, Inc. (a)

98,995

624,658

Oracle Corp. (a)

1,323,780

14,932,238

Parametric Technology Corp. (a)

68,899

363,787

PeopleSoft, Inc. (a)

93,925

1,864,411

Siebel Systems, Inc. (a)

129,412

975,766

Symantec Corp. (a)

80,682

4,427,828

VERITAS Software Corp. (a)

110,809

1,972,400

119,321,436

TOTAL INFORMATION TECHNOLOGY

418,894,199

MATERIALS - 3.1%

Chemicals - 1.6%

Air Products & Chemicals, Inc.

58,190

3,164,372

Dow Chemical Co.

240,506

10,866,061

E.I. du Pont de Nemours & Co.

255,474

10,934,287

Eastman Chemical Co.

19,930

947,672

Ecolab, Inc.

65,908

2,072,148

Shares

Value

Engelhard Corp.

31,842

$ 902,721

Great Lakes Chemical Corp.

13,003

332,877

Hercules, Inc. (a)

28,613

407,735

International Flavors & Fragrances, Inc.

24,124

921,537

Monsanto Co.

68,363

2,489,780

PPG Industries, Inc.

43,974

2,694,727

Praxair, Inc.

83,187

3,555,412

Rohm & Haas Co.

57,435

2,467,982

Sigma Aldrich Corp.

17,691

1,026,078

42,783,389

Construction Materials - 0.0%

Vulcan Materials Co.

26,176

1,333,667

Containers & Packaging - 0.2%

Ball Corp.

28,767

1,076,749

Bemis Co., Inc.

27,377

727,681

Pactiv Corp. (a)

38,476

894,567

Sealed Air Corp. (a)

21,499

996,479

Temple-Inland, Inc.

14,266

957,962

4,653,438

Metals & Mining - 0.8%

Alcoa, Inc.

222,688

7,480,090

Allegheny Technologies, Inc.

24,394

445,191

Freeport-McMoRan Copper & Gold, Inc. Class B

45,326

1,835,703

Newmont Mining Corp.

113,506

5,167,928

Nucor Corp.

20,293

1,854,171

Phelps Dodge Corp.

24,065

2,214,702

United States Steel Corp.

29,025

1,091,921

Worthington Industries, Inc.

22,352

477,215

20,566,921

Paper & Forest Products - 0.5%

Georgia-Pacific Corp.

66,096

2,376,151

International Paper Co.

124,491

5,030,681

Louisiana-Pacific Corp.

27,977

726,003

MeadWestvaco Corp.

51,665

1,648,114

Weyerhaeuser Co.

61,303

4,075,423

13,856,372

TOTAL MATERIALS

83,193,787

TELECOMMUNICATION SERVICES - 3.7%

Diversified Telecommunication Services - 3.0%

ALLTEL Corp.

78,915

4,333,223

AT&T Corp.

203,456

2,913,490

BellSouth Corp.

468,690

12,710,873

CenturyTel, Inc.

34,568

1,183,608

Citizens Communications Co.

84,884

1,136,597

Qwest Communications International, Inc. (a)

464,683

1,547,394

SBC Communications, Inc.

848,332

22,014,215

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Sprint Corp.

371,881

$ 7,485,965

Verizon Communications, Inc.

708,761

27,911,008

81,236,373

Wireless Telecommunication Services - 0.7%

AT&T Wireless Services, Inc. (a)

698,799

10,328,249

Nextel Communications, Inc. Class A (a)

285,083

6,796,379

17,124,628

TOTAL TELECOMMUNICATION SERVICES

98,361,001

UTILITIES - 2.9%

Electric Utilities - 2.0%

Allegheny Energy, Inc. (a)

32,542

519,370

Ameren Corp.

49,736

2,295,316

American Electric Power Co., Inc.

101,293

3,237,324

CenterPoint Energy, Inc.

78,735

815,695

Cinergy Corp.

46,230

1,830,708

Consolidated Edison, Inc.

61,814

2,598,661

DTE Energy Co.

44,477

1,876,485

Edison International

83,412

2,211,252

Entergy Corp.

58,092

3,520,956

Exelon Corp.

169,006

6,200,830

FirstEnergy Corp.

84,442

3,468,877

FPL Group, Inc.

47,428

3,240,281

PG&E Corp. (a)

102,637

3,120,165

Pinnacle West Capital Corp.

23,378

970,187

PPL Corp.

48,363

2,281,766

Progress Energy, Inc.

63,182

2,675,126

Southern Co.

188,982

5,665,680

TECO Energy, Inc.

50,889

688,528

TXU Corp.

75,987

3,641,297

Xcel Energy, Inc.

102,359

1,772,858

52,631,362

Gas Utilities - 0.1%

KeySpan Corp.

41,007

1,607,474

Nicor, Inc.

11,282

414,049

NiSource, Inc.

67,456

1,417,251

Peoples Energy Corp.

9,634

401,545

3,840,319

Multi-Utilities & Unregulated Power - 0.8%

AES Corp. (a)

165,490

1,653,245

Calpine Corp. (a)

113,625

329,513

CMS Energy Corp. (a)

41,289

393,071

Constellation Energy Group, Inc.

44,921

1,789,653

Dominion Resources, Inc.

84,542

5,516,366

Duke Energy Corp.

240,084

5,495,523

Dynegy, Inc. Class A (a)

97,164

484,848

Shares

Value

Public Service Enterprise Group, Inc.

60,733

$ 2,587,226

Sempra Energy

59,342

2,147,587

20,397,032

TOTAL UTILITIES

76,868,713

TOTAL COMMON STOCKS

(Cost $1,832,933,126)

2,664,977,825

U.S. Treasury Obligations - 0.2%

Principal Amount

U.S. Treasury Bills, yield at date of purchase 1.61% 1/6/05 (d)
(Cost $4,978,222)

$ 5,000,000

4,976,545

Money Market Funds - 0.5%

Shares

Fidelity Securities Lending Cash Central Fund, 1.71% (b)(c)
(Cost $14,131,840)

14,131,840

14,131,840

TOTAL INVESTMENT PORTFOLIO - 99.9%

(Cost $1,852,043,188)

2,684,086,210

NET OTHER ASSETS - 0.1%

2,428,497

NET ASSETS - 100%

$ 2,686,514,707

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/(Depreciation)

Purchased

Equity Index Contracts

80 S&P 500 Index Contracts

Dec. 2004

$ 22,298,000

$ 1,139

11 S&P 500 E-mini Index Contracts

Dec. 2004

613,195

(2,297)

TOTAL EQUITY INDEX CONTRACTS

$ 22,911,195

$ (1,158)

The face value of futures purchased as a percentage of net assets - 0.8%

Legend

(a) Non-income producing

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

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

(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $2,488,273.

Income Tax Information

At September 30, 2004, the aggregate cost of investment securities for income tax purposes was $1,858,123,472. Net unrealized appreciation aggregated $825,962,738, of which $1,063,282,418 related to appreciated investment securities and $237,319,680 related to depreciated investment securities.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please call Fidelity at 1-800-221-5207 for a free copy of the fund's most recent prospectus and annual report.

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Variable Insurance Products:
Investment Grade Bond Portfolio

September 30, 2004

1.808780.100

VIPIGB-QTLY-1104

Investments September 30, 2004 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 22.4%

Principal Amount

Value

CONSUMER DISCRETIONARY - 1.9%

Auto Components - 0.3%

DaimlerChrysler NA Holding Corp. 7.2% 9/1/09

$ 4,645,000

$ 5,228,254

Automobiles - 0.7%

General Motors Corp.:

7.2% 1/15/11

4,000,000

4,236,272

8.25% 7/15/23

2,510,000

2,640,282

8.375% 7/15/33

3,080,000

3,270,258

10,146,812

Media - 0.9%

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

2,500,000

2,877,498

Cox Communications, Inc.:

7.125% 10/1/12

1,500,000

1,627,626

7.75% 11/1/10

3,350,000

3,733,444

Liberty Media Corp. 8.25% 2/1/30

3,150,000

3,496,217

Time Warner, Inc. 6.625% 5/15/29

1,745,000

1,799,550

Viacom, Inc. 7.7% 7/30/10

1,115,000

1,297,220

14,831,555

TOTAL CONSUMER DISCRETIONARY

30,206,621

CONSUMER STAPLES - 1.0%

Food & Staples Retailing - 0.4%

Kroger Co. 6.8% 4/1/11

2,285,000

2,560,183

Safeway, Inc. 6.5% 3/1/11

3,050,000

3,333,531

5,893,714

Food Products - 0.1%

ConAgra Foods, Inc. 6.75% 9/15/11

1,870,000

2,103,997

Tobacco - 0.5%

Altria Group, Inc. 7% 11/4/13

3,125,000

3,260,509

Philip Morris Companies, Inc.:

7.65% 7/1/08

2,500,000

2,719,478

7.75% 1/15/27

1,000,000

1,056,304

7,036,291

TOTAL CONSUMER STAPLES

15,034,002

ENERGY - 1.4%

Oil & Gas - 1.4%

Amerada Hess Corp.:

6.65% 8/15/11

445,000

491,325

7.125% 3/15/33

1,145,000

1,229,378

7.375% 10/1/09

1,010,000

1,135,085

Empresa Nacional de Petroleo 6.75% 11/15/12 (a)

5,050,000

5,629,811

EnCana Corp. 6.5% 8/15/34

2,990,000

3,195,805

Enterprise Products Operating LP:

4.625% 10/15/09 (a)(b)

630,000

635,232

5.6% 10/15/14 (a)(b)

445,000

448,383

Kinder Morgan Energy Partners LP 7.125% 3/15/12

1,180,000

1,344,144

Ras Laffan Liquid Natural Gas Co. Ltd. yankee 8.294% 3/15/14 (a)

4,370,000

5,144,416

Principal Amount

Value

Williams Companies, Inc.:

7.125% 9/1/11

$ 2,320,000

$ 2,546,200

7.5% 1/15/31

505,000

507,525

22,307,304

FINANCIALS - 13.0%

Capital Markets - 1.8%

Amvescap PLC yankee 6.6% 5/15/05

1,890,000

1,933,236

Credit Suisse First Boston (USA), Inc.:

4.625% 1/15/08

3,400,000

3,512,203

6.5% 1/15/12

3,520,000

3,910,400

Goldman Sachs Group, Inc.:

5.25% 10/15/13

3,270,000

3,292,462

5.7% 9/1/12

2,935,000

3,101,350

Merrill Lynch & Co., Inc. 4.125% 1/15/09

7,285,000

7,343,484

Morgan Stanley 6.6% 4/1/12

5,695,000

6,350,466

29,443,601

Commercial Banks - 2.0%

Bank of America Corp. 7.4% 1/15/11

7,300,000

8,507,749

Bank One NA, Chicago 3.7% 1/15/08

5,075,000

5,112,636

Corporacion Andina de Fomento 5.2% 5/21/13

1,560,000

1,590,426

Export-Import Bank of Korea:

4.125% 2/10/09 (a)

845,000

844,796

5.25% 2/10/14 (a)

3,130,000

3,171,548

Fleet Financial Group, Inc. 7.125% 4/15/06

980,000

1,043,178

Korea Development Bank 3.875% 3/2/09

3,500,000

3,465,651

PNC Funding Corp. 5.75% 8/1/06

4,440,000

4,651,757

SouthTrust Corp. 5.8% 6/15/14

1,440,000

1,531,102

Wachovia Corp. 4.875% 2/15/14

1,455,000

1,450,049

Wells Fargo Bank NA, San Francisco 7.55% 6/21/10

900,000

1,054,819

32,423,711

Consumer Finance - 2.0%

American General Finance Corp. 2.75% 6/15/08

145,000

140,103

Capital One Bank 4.875% 5/15/08

4,295,000

4,448,482

Ford Motor Credit Co.:

7.375% 10/28/09

6,870,000

7,524,951

7.875% 6/15/10

1,350,000

1,505,728

General Motors Acceptance Corp. 7.75% 1/19/10

5,650,000

6,208,548

Household Finance Corp.:

6.375% 10/15/11

1,290,000

1,421,843

7% 5/15/12

840,000

961,329

Household International, Inc. 8.875% 2/15/08

3,775,000

4,069,001

MBNA Corp.:

6.25% 1/17/07

1,905,000

2,017,641

7.5% 3/15/12

3,005,000

3,474,402

31,772,028

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Diversified Financial Services - 4.9%

Alliance Capital Management LP 5.625% 8/15/06

$ 2,475,000

$ 2,589,390

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

1,920,000

2,319,483

Deutsche Telekom International Finance BV 8.75% 6/15/30

3,250,000

4,200,879

Goldman Sachs Capital I 6.345% 2/15/34

4,225,000

4,238,317

Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (a)

830,000

874,198

Hutchison Whampoa International 03/33 Ltd.:

6.25% 1/24/14 (a)

1,630,000

1,672,685

7.45% 11/24/33 (a)

1,200,000

1,243,541

J.P. Morgan Chase & Co.:

5.75% 1/2/13

3,500,000

3,726,709

6.75% 2/1/11

6,155,000

6,924,720

Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (a)

2,275,000

2,347,183

NiSource Finance Corp. 7.875% 11/15/10

6,905,000

8,159,901

Pemex Project Funding Master Trust:

6.125% 8/15/08

3,630,000

3,811,500

7.375% 12/15/14

2,000,000

2,180,000

7.875% 2/1/09 (c)

1,200,000

1,338,000

Petronas Capital Ltd. 7% 5/22/12 (a)

4,320,000

4,921,227

Rabobank Capital Funding Trust II 5.26% 12/31/49 (a)(c)

5,870,000

5,921,768

Sprint Capital Corp. 6.875% 11/15/28

4,040,000

4,237,528

Telecom Italia Capital:

4.95% 9/30/14 (a)(b)

1,175,000

1,148,093

5.25% 11/15/13 (a)

4,500,000

4,584,902

Verizon Global Funding Corp.:

7.25% 12/1/10

4,965,000

5,724,739

7.75% 12/1/30

5,000,000

5,988,110

78,152,873

Insurance - 0.1%

Principal Life Global Funding I 6.25% 2/15/12 (a)

1,350,000

1,490,409

Real Estate - 1.3%

Arden Realty LP 7% 11/15/07

5,000,000

5,519,665

AvalonBay Communities, Inc. 5% 8/1/07

2,315,000

2,418,629

EOP Operating LP:

7% 7/15/11

1,725,000

1,937,887

8.1% 8/1/10

3,450,000

4,019,040

Mack-Cali Realty LP 7.75% 2/15/11

2,700,000

3,129,465

Simon Property Group LP 5.625% 8/15/14 (a)

2,985,000

3,058,553

20,083,239

Thrifts & Mortgage Finance - 0.9%

Countrywide Home Loans, Inc.:

4% 3/22/11

2,500,000

2,427,900

Principal Amount

Value

4.125% 9/15/09

$ 4,500,000

$ 4,492,035

Independence Community Bank Corp. 3.75% 4/1/14 (c)

1,490,000

1,447,385

Washington Mutual, Inc.:

4.375% 1/15/08

2,330,000

2,385,079

4.625% 4/1/14

3,000,000

2,867,733

13,620,132

TOTAL FINANCIALS

206,985,993

INDUSTRIALS - 0.3%

Aerospace & Defense - 0.2%

Bombardier, Inc.:

6.3% 5/1/14 (a)

2,845,000

2,457,050

7.45% 5/1/34 (a)

840,000

706,692

3,163,742

Airlines - 0.1%

Delta Air Lines, Inc. pass thru trust certificates:

7.57% 11/18/10

315,000

282,893

7.92% 5/18/12

3,700,000

1,850,000

2,132,893

TOTAL INDUSTRIALS

5,296,635

MATERIALS - 0.5%

Chemicals - 0.2%

Lubrizol Corp.:

4.625% 10/1/09

1,155,000

1,155,216

5.5% 10/1/14

540,000

536,307

6.5% 10/1/34

975,000

951,130

2,642,653

Containers & Packaging - 0.2%

Sealed Air Corp.:

5.625% 7/15/13 (a)

745,000

765,964

6.875% 7/15/33 (a)

1,565,000

1,670,608

2,436,572

Paper & Forest Products - 0.1%

International Paper Co.:

4.25% 1/15/09

635,000

637,184

5.5% 1/15/14

1,595,000

1,633,266

2,270,450

TOTAL MATERIALS

7,349,675

TELECOMMUNICATION SERVICES - 1.9%

Diversified Telecommunication Services - 1.6%

BellSouth Corp. 5.2% 9/15/14

4,000,000

4,037,296

British Telecommunications PLC 8.875% 12/15/30

3,000,000

3,941,112

France Telecom SA 9.5% 3/1/31

6,550,000

8,684,337

KT Corp. 5.875% 6/24/14 (a)

1,410,000

1,474,214

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

SBC Communications, Inc. 6.45% 6/15/34

$ 5,400,000

$ 5,551,740

Telefonica Europe BV 7.75% 9/15/10

1,325,000

1,561,357

25,250,056

Wireless Telecommunication Services - 0.3%

America Movil SA de CV:

4.125% 3/1/09 (a)

1,585,000

1,545,362

5.5% 3/1/14 (a)

1,430,000

1,382,071

AT&T Wireless Services, Inc. 7.875% 3/1/11

1,070,000

1,267,727

4,195,160

TOTAL TELECOMMUNICATION SERVICES

29,445,216

UTILITIES - 2.4%

Electric Utilities - 1.7%

Cleveland Electric Illuminating Co. 5.65% 12/15/13

3,260,000

3,373,331

DTE Energy Co. 7.05% 6/1/11

2,004,000

2,261,895

Duke Capital LLC:

6.25% 2/15/13

805,000

866,170

6.75% 2/15/32

4,610,000

4,857,465

Exelon Corp. 6.75% 5/1/11

2,250,000

2,512,278

FirstEnergy Corp. 6.45% 11/15/11

830,000

905,422

MidAmerican Energy Holdings, Inc.:

4.625% 10/1/07

1,795,000

1,836,411

5.875% 10/1/12

1,955,000

2,064,017

Monongahela Power Co. 5% 10/1/06

2,260,000

2,338,395

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

4,660,000

5,261,462

Southern California Edison Co. 5% 1/15/14

165,000

167,819

26,444,665

Gas Utilities - 0.0%

Consolidated Natural Gas Co. 6.85% 4/15/11

445,000

501,729

Multi-Utilities & Unregulated Power - 0.7%

Constellation Energy Group, Inc. 7% 4/1/12

5,150,000

5,831,803

Dominion Resources, Inc.:

6.25% 6/30/12

4,220,000

4,583,059

8.125% 6/15/10

1,200,000

1,421,885

11,836,747

TOTAL UTILITIES

38,783,141

TOTAL NONCONVERTIBLE BONDS

(Cost $341,314,669)

355,408,587

U.S. Government and Government
Agency Obligations - 19.1%

Principal Amount

Value

U.S. Government Agency Obligations - 6.8%

Fannie Mae:

2.5% 6/15/06

$ 2,185,000

$ 2,177,339

5.5% 3/15/11

13,505,000

14,539,713

Freddie Mac:

2.375% 2/15/07

13,300,000

13,124,919

3.625% 9/15/08

8,515,000

8,558,520

4% 6/12/13

4,640,000

4,415,378

4.25% 7/15/09

41,820,000

42,778,514

5.75% 1/15/12

7,740,000

8,445,710

5.875% 3/21/11

6,035,000

6,551,391

6.25% 7/15/32

1,001,000

1,128,889

6.625% 9/15/09

3,000,000

3,384,042

6.75% 3/15/31

1,479,000

1,765,479

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

605,010

640,494

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

Series 1993-C, 5.2% 10/15/04

222

223

Series 1993-D, 5.23% 5/15/05

1,277

1,291

Series 1994-A, 7.12% 4/15/06

2,034

2,106

Guaranteed Trade Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank) Series 1994-B, 7.5% 1/26/06

1,837

1,927

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

107,515,935

U.S. Treasury Inflation Protected Obligations - 1.3%

U.S. Treasury Inflation-Indexed Notes 2% 1/15/14

20,501,800

20,992,716

U.S. Treasury Obligations - 11.0%

U.S. Treasury Bonds 6.25% 5/15/30

39,015,000

46,305,928

U.S. Treasury Notes:

1.625% 2/28/06

20,000,000

19,796,100

3.125% 5/15/07

14,018,000

14,136,284

3.125% 4/15/09

95,651,000

95,004,591

TOTAL U.S. TREASURY OBLIGATIONS

175,242,903

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $298,203,383)

303,751,554

U.S. Government Agency - Mortgage
Securities - 34.7%

Fannie Mae - 32.8%

4% 8/1/18 to 10/1/18

1,475,250

1,441,282

4% 10/1/19 (b)

33,309,930

32,466,772

4.5% 10/1/19 (b)

26,330,000

26,247,719

4.5% 6/1/33 to 10/1/33

18,663,582

18,019,980

U.S. Government Agency - Mortgage
Securities - continued

Principal Amount

Value

Fannie Mae - continued

5% 10/1/17 to 4/1/19

$ 43,249,635

$ 44,044,964

5% 10/1/19 to 10/1/34 (b)

113,860,997

112,824,937

5.5% 4/1/13 to 10/1/34

75,915,878

77,828,356

5.5% 10/1/34 (b)

98,771,299

100,129,404

6% 2/1/13 to 1/1/29

17,334,923

18,189,642

6% 10/1/34 (b)

339,133

350,897

6.5% 3/1/13 to 2/1/33

76,506,658

80,643,803

6.5% 10/1/19 (b)

2,075,384

2,195,367

7% 3/1/15 to 8/1/32

1,905,800

2,028,414

7.5% 8/1/08 to 11/1/31

3,793,738

4,071,889

8% 3/1/30

3,724

4,052

8.5% 3/1/25 to 6/1/25

4,751

5,233

TOTAL FANNIE MAE

520,492,711

Freddie Mac - 0.0%

8.5% 3/1/20 to 1/1/28

430,440

474,415

Government National Mortgage Association - 1.9%

6% 8/15/08 to 8/15/29

5,850,677

6,093,904

6.5% 10/15/27 to 12/15/28

1,839,200

1,948,190

6.5% 10/1/34 (b)

661,722

697,496

7% 1/15/28 to 11/15/32

13,857,116

14,786,773

7% 10/1/34 (b)

5,758,802

6,134,924

7.5% 3/15/06 to 10/15/28

939,713

1,015,831

8% 2/15/17

23,418

25,641

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

30,702,759

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $546,946,556)

551,669,885

Asset-Backed Securities - 3.7%

ACE Securities Corp. Series 2004-HE1:

Class M1, 2.34% 2/25/34 (c)

650,000

650,093

Class M2, 2.94% 2/25/34 (c)

725,000

725,205

AmeriCredit Automobile Receivables Trust Series 2003-BX Class A4B, 1.92% 1/6/10 (c)

1,570,000

1,580,179

Ameriquest Mortgage Securities, Inc. Series 2004-R2:

Class M1, 2.27% 4/25/34 (c)

360,000

359,999

Class M2, 2.32% 4/25/34 (c)

275,000

275,000

Amortizing Residential Collateral Trust Series 2003-BC1 Class M2, 2.715% 1/25/32 (c)

745,000

747,555

Argent Securities, Inc. Series 2004-W5 Class M1, 2.44% 4/25/34 (c)

1,165,000

1,166,459

Principal Amount

Value

Capital One Multi-Asset Execution Trust Series 2003-B4 Class B4, 2.56% 7/15/11 (c)

$ 2,230,000

$ 2,269,337

Chase Manhattan Auto Owner Trust Series 2001-A:

Class A4, 5.07% 2/15/08

3,399,303

3,430,786

Class CTFS, 5.06% 2/15/08

204,959

206,689

Citibank Credit Card Issuance Trust:

Series 2002-B1 Class B1, 1.9% 6/25/09 (c)

2,655,000

2,663,535

Series 2002-C1 Class C1, 2.7% 2/9/09 (c)

4,500,000

4,558,919

Countrywide Home Loans, Inc.:

Series 2004-2 Class M1, 2.34% 5/25/34 (c)

1,525,000

1,524,998

Series 2004-3 Class M1, 2.34% 6/25/34 (c)

425,000

425,445

Discover Card Master Trust I:

Series 2001-6 Class A, 5.75% 12/15/08

7,000,000

7,342,524

Series 2003-4 Class B1, 2.09% 5/16/11 (c)

2,620,000

2,628,462

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 2.39% 3/25/34 (c)

125,000

125,000

Class M4, 2.74% 3/25/34 (c)

100,000

100,000

Class M6, 3.09% 3/25/34 (c)

100,000

99,632

Fremont Home Loan Trust Series 2004-A:

Class M1, 2.39% 1/25/34 (c)

1,350,000

1,349,998

Class M2, 2.99% 1/25/34 (c)

1,550,000

1,549,996

GSAMP Trust Series 2004-FM2:

Class M1, 2.34% 1/25/34 (c)

1,000,000

999,998

Class M2, 2.94% 1/25/34 (c)

400,000

399,999

Class M3, 3.14% 1/25/34 (c)

400,000

399,999

Home Equity Asset Trust Series 2002-4 Class M2, 3.665% 3/25/33 (c)

550,000

557,867

MBNA Credit Card Master Note Trust:

Series 2001-A1 Class A1, 5.75% 10/15/08

1,800,000

1,884,856

Series 2001-B2 Class B2, 2.12% 1/15/09 (c)

12,100,000

12,142,408

Series 2003-B3 Class B3, 2.135% 1/18/11 (c)

1,810,000

1,815,050

Series 2003-B5 Class B5, 2.13% 2/15/11 (c)

725,000

730,004

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 2.34% 7/25/34 (c)

625,000

624,999

Class M2, 2.39% 7/25/34 (c)

100,000

100,000

Class M3, 2.79% 7/25/34 (c)

225,000

225,000

Class M4, 2.94% 7/25/34 (c)

150,000

150,000

Morgan Stanley ABS Capital I, Inc.:

Series 2003-HE1 Class M2, 3.74% 5/25/33 (c)

455,000

462,012

Series 2003-NC5 Class M2, 3.84% 4/25/33 (c)

825,000

841,978

Asset-Backed Securities - continued

Principal Amount

Value

Morgan Stanley Dean Witter Capital I Trust Series 2003-NC1 Class M1, 2.89% 11/25/32 (c)

$ 750,000

$ 761,696

Sears Credit Account Master Trust II Series 2000-2 Class A, 6.75% 9/16/09

2,255,000

2,342,180

Structured Asset Securities Corp. Series 2004-GEL1 Class A, 2.2% 2/25/34 (c)

494,994

494,993

TOTAL ASSET-BACKED SECURITIES

(Cost $58,024,145)

58,712,850

Collateralized Mortgage Obligations - 0.8%

Private Sponsor - 0.4%

CS First Boston Mortgage Securities Corp. floater Series 2004-AR3 Class 6A2, 2.21% 4/25/34 (c)

1,291,712

1,294,226

Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34

551,955

575,118

Residential Asset Mortgage Products, Inc. sequential pay Series 2004-SL2 Class A1, 6.5% 10/25/16

609,507

631,998

Residential Finance LP/Residential Finance Development Corp. floater Series 2003-CB1:

Class B3, 3.0238% 6/10/35 (a)(c)

1,209,592

1,231,780

Class B4, 3.2238% 6/10/35 (a)(c)

1,082,267

1,101,931

Class B5, 3.8238% 6/10/35 (a)(c)

739,467

755,177

Class B6, 4.3238% 6/10/35 (a)(c)

435,845

444,891

TOTAL PRIVATE SPONSOR

6,035,121

U.S. Government Agency - 0.4%

Fannie Mae sequential pay Series 1999-10 Class MZ, 6.5% 9/17/38

3,920,577

4,223,197

Freddie Mac Multi-class participation certificates guaranteed sequential pay Series 2750 Class ZT, 5% 2/15/34

1,997,296

1,775,362

TOTAL U.S. GOVERNMENT AGENCY

5,998,559

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $11,760,191)

12,033,680

Commercial Mortgage Securities - 5.0%

Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 6.4842% 2/12/16 (a)(c)

1,345,000

1,480,550

Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust sequential pay Series 1999-1 Class A2, 7.439% 8/15/31

5,000,000

5,723,375

Principal Amount

Value

COMM:

floater:

Series 2002-FL7 Class D, 2.17% 11/15/14 (a)(c)

$ 735,000

$ 736,175

Series 2003-FL9 Class B, 2.1% 11/15/15 (a)(c)

1,450,000

1,453,275

Series 2004-LBN2 Class X2, 1.2763% 3/10/39 (a)(c)(e)

4,991,764

226,437

Commercial Resecuritization Trust sequential pay Series 1999-ABC1 Class A, 6.74% 1/27/09 (a)

2,849,345

2,968,731

CS First Boston Mortgage Securities Corp.:

floater Series 2003-TF2A Class A2, 2.08% 11/15/14 (a)(c)

2,500,000

2,500,523

sequential pay:

Series 1997-C2 Class A3, 6.55% 1/17/35

2,075,000

2,244,431

Series 1999-C1 Class A2, 7.29% 9/15/41

3,500,000

3,972,182

Series 2000-C1 Class A2, 7.545% 4/15/62

1,100,000

1,268,167

Series 2004-C1 Class A3, 4.321% 1/15/37

1,505,000

1,499,546

Series 1997-C2 Class D, 7.27% 1/17/35

1,750,000

1,956,005

Series 1998-C1 Class C, 6.78% 5/17/40

5,000,000

5,532,540

Series 2001-CKN5 Class AX, 1.2283% 9/15/34 (a)(c)(e)

31,248,818

2,137,441

Series 2004-C1 Class ASP, 1.2148% 1/15/37 (a)(c)(e)

24,490,000

1,044,178

Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31

1,120,000

1,242,850

DLJ Commercial Mortgage Corp. sequential pay Series 2000-CF1 Class A1B, 7.62% 6/10/33

3,000,000

3,477,139

Equitable Life Assurance Society of the United States Series 174:

Class B1, 7.33% 5/15/06 (a)

500,000

531,845

Class C1, 7.52% 5/15/06 (a)

500,000

532,614

GGP Mall Properties Trust sequential pay Series 2001-C1A Class A2, 5.007% 11/15/11 (a)

3,414,298

3,528,234

Ginnie Mae guaranteed REMIC pass thru securities sequential pay:

Series 2002-83 Class B, 4.6951% 12/16/24

1,860,000

1,897,563

Series 2003-22 Class B, 3.963% 5/16/32

3,295,000

3,246,714

GS Mortgage Securities Corp. II:

sequential pay:

Series 2001-LIBA Class A2, 6.615% 2/14/16 (a)

1,645,000

1,822,123

Series 2003-C1 Class A2A, 3.59% 1/10/40

3,220,000

3,225,330

Series 1998-GLII Class E, 7.1905% 4/13/31 (c)

245,000

260,028

Commercial Mortgage Securities - continued

Principal Amount

Value

J.P. Morgan Commercial Mortgage Finance Corp. sequential pay Series 2000-C9 Class A2, 7.77% 10/15/32

$ 3,745,000

$ 4,338,529

LB-UBS Commercial Mortgage Trust sequential pay:

Series 2000-C3 Class A2, 7.95% 1/15/10

2,180,000

2,561,125

Series 2001-C3 Class A1, 6.058% 6/15/20

5,315,924

5,678,647

Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A:

Class B, 4.13% 11/20/37 (a)

2,600,000

2,505,750

Class C, 4.13% 11/20/37 (a)

2,600,000

2,397,688

Morgan Stanley Capital I, Inc. sequential pay Series 2004-HQ3 Class A2, 4.05% 1/13/41

1,480,000

1,474,706

Thirteen Affiliates of General Growth Properties, Inc. sequential pay Series 1 Class A2, 6.602% 11/15/07 (a)

2,500,000

2,692,132

Trizechahn Office Properties Trust Series 2001-TZHA Class E3, 7.253% 3/15/13 (a)

1,390,000

1,495,178

Wachovia Bank Commercial Mortgage Trust sequential pay Series 2003-C6 Class A2, 4.498% 8/15/35

2,385,000

2,435,542

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $76,908,846)

80,087,293

Foreign Government and Government
Agency Obligations - 1.3%

Chilean Republic:

5.625% 7/23/07

2,300,000

2,425,063

7.125% 1/11/12

3,470,000

3,981,825

State of Israel 4.625% 6/15/13

725,000

697,359

United Mexican States:

5.875% 1/15/14

1,295,000

1,314,425

6.75% 9/27/34

3,835,000

3,773,640

7.5% 4/8/33

8,587,000

9,029,231

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $20,261,796)

21,221,543

Supranational Obligations - 0.1%

Corporacion Andina de Fomento 6.875% 3/15/12
(Cost $1,706,548)

1,725,000

1,940,004

Fixed-Income Funds - 11.9%

Shares

Value

Fidelity Ultra-Short Central Fund (d)
(Cost $189,752,518)

1,909,521

$ 190,035,520

Cash Equivalents - 18.0%

Maturity Amount

Value

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 1.89%, dated 9/30/04 due 10/1/04) (f)
(Cost $285,653,000)

$ 285,668,014

$ 285,653,000

TOTAL INVESTMENT PORTFOLIO - 117.0%

(Cost $1,830,531,652)

1,860,513,916

NET OTHER ASSETS - (17.0)%

(270,907,071)

NET ASSETS - 100%

$ 1,589,606,845

Swap Agreements

Expiration Date

Notional Amount

Value

Credit Default Swap

Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13

March 2009

$ 1,800,000

$ 954

Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13

March 2009

700,000

371

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swap - continued

Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon default event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27

March 2009

$ 1,400,000

$ 1,914

Receive quarterly notional amount multiplied by .62% and pay Lehman Brothers, Inc. upon default event of Comcast Cable Communications, Inc., par value of the notional amount of Comcast Cable Communications, Inc. 6.75% 1/30/11

June 2009

6,000,000

10,903

Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par value of the notional amount of Raytheon Co. 5.375% 4/1/13

June 2008

5,000,000

76,592

TOTAL CREDIT DEFAULT SWAP 14,900,000

90,734

Interest Rate Swap

Receive quarterly a fixed rate equal to 2.797% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

August 2006

42,000,000

(8,274)

Receive quarterly a fixed rate equal to 2.921% and pay quarterly a floating rate based on 3-month LIBOR with Morgan Stanley, Inc.

July 2006

55,000,000

253,748

TOTAL INTEREST RATE SWAP 97,000,000

245,474

Expiration Date

Notional Amount

Value

Total Return Swap

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 65 basis points with Lehman Brothers, Inc.

Oct. 2004

$ 10,000,000

$ 33,132

Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc.

April 2005

10,000,000

0

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage- Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 72 basis points with Bank of America

Jan. 2005

10,000,000

389,693

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 70 basis points with Bank of America

Dec. 2004

10,000,000

42,814

Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America

Nov. 2004

10,000,000

344,320

TOTAL TOTAL RETURN SWAP 50,000,000

809,959

$ 161,900,000

$ 1,146,167

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $84,725,359 or 5.3% of net assets.

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

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

(d) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request.

(e) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool.

(f) Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement/
Counterparty

Value

$285,653,000 due 10/1/04 at 1.89%

Banc of America Securities LLC.

$ 47,456,666

Bank of America, National Association

25,310,222

Barclays Capital Inc.

6,327,555

Bear Stearns & Co. Inc.

31,005,022

Countrywide Securities Corporation

5,694,800

Goldman, Sachs & Co.

31,637,777

Greenwich Capital Markets, Inc.

5,062,044

J.P. Morgan Securities, Inc.

18,982,666

Morgan Stanley & Co. Incorporated.

63,275,555

UBS Securities LLC

28,754,247

Wachovia Capital Markets, LLC

22,146,446

$ 285,653,000

Income Tax Information

At September 30, 2004, the aggregate cost of investment securities for income tax purposes was $1,836,317,615. Net unrealized appreciation aggregated $24,196,301, of which $29,271,164 related to appreciated investment securities and $5,074,863 related to depreciated investment securities.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please call Fidelity at 1-800-221-5207 for a free copy of the fund's most recent prospectus and annual report.

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

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Variable Insurance Products Fund II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Variable Insurance Products Fund II

By:

/s/Christine Reynolds

Christine Reynolds

President and Treasurer

Date:

November 22, 2004

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Christine Reynolds

Christine Reynolds

President and Treasurer

Date:

November 22, 2004

By:

/s/Timothy F. Hayes

Timothy F. Hayes

Chief Financial Officer

Date:

November 22, 2004