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Fidelity Income Fund/MA – ‘N-Q’ for 10/31/06

On:  Thursday, 12/28/06, at 11:48am ET   ·   Effective:  12/28/06   ·   For:  10/31/06   ·   Accession #:  795422-6-124   ·   File #:  811-04085

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

12/28/06  Fidelity Income Fund/MA           N-Q        10/31/06    2:1.7M                                   Fidelity Adv Series IIFidelity GNMA Fund FGMNXFidelity Government Income Fund FGOVXFidelity Intermediate Government Income Fund FSTGXFidelity Ultra-Short Bond Fund 4 Classes/Contracts

Quarterly Schedule of Portfolio Holdings of a Management Investment Company   —   Form N-Q
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Quarterly Schedule of Portfolio Holdings of a       HTML   1.60M 
                          Management Investment Company                          
 2: EX-99.CERT  Miscellaneous Exhibit                               HTML     14K 


N-Q   —   Quarterly Schedule of Portfolio Holdings of a Management Investment Company


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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 811-4085

Fidelity Income Fund

(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:

July 31

Date of reporting period:

October 31, 2006

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Government Income Fund

October 31, 2006

1.809070.102

GOV-QTLY-1206

Investments October 31, 2006 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 60.3%

Principal Amount (000s)

Value
(000s)

U.S. Government Agency Obligations - 28.8%

Fannie Mae:

3.25% 1/15/08

$ 6,965

$ 6,819

3.25% 8/15/08

4,812

4,676

3.25% 2/15/09

143,050

138,049

4% 9/2/08

13,225

12,988

4.25% 5/15/09

21,500

21,200

4.5% 10/15/08

81,560

80,983

4.625% 1/15/08

121,264

120,634

4.625% 10/15/13

3,320

3,256

4.75% 12/15/10

323,801

322,229

4.875% 4/15/09

77,610

77,627

5% 9/15/08

65,545

65,637

5.125% 4/15/11

210,000

212,033

5.125% 1/2/14

19,730

19,684

6.25% 2/1/11

25,315

26,471

6.375% 6/15/09

55,710

57,757

6.625% 9/15/09

1,620

1,695

Federal Home Loan Bank:

4.5% 10/14/08

56,475

56,064

5% 9/18/09

26,920

27,058

5.375% 8/19/11

35,350

36,091

5.8% 9/2/08

26,570

26,926

Freddie Mac:

3.875% 6/15/08

2,791

2,746

4% 8/17/07

8,282

8,205

4.25% 7/15/09

40,396

39,782

4.875% 11/15/13

14,070

14,008

5% 1/30/14

25,000

24,831

5.125% 4/18/08

66,000

66,155

5.125% 4/18/11

31,220

31,530

5.25% 7/18/11

29,000

29,448

5.5% 7/18/16

19,800

20,603

5.75% 1/15/12

1,686

1,752

5.75% 6/27/16

30,000

31,315

5.875% 3/21/11

48,555

50,104

Israeli State (guaranteed by U.S. Government through Agency for International Development):

5.5% 9/18/23

110,500

115,582

6.6% 2/15/08

30,937

31,067

6.8% 2/15/12

30,000

31,830

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency Obligations - continued

Overseas Private Investment Corp. U.S. Government guaranteed participation certificates:

6.77% 11/15/13

$ 7,417

$ 7,640

6.99% 5/21/16

23,814

25,634

Private Export Funding Corp.:

secured:

5.66% 9/15/11 (c)

18,000

18,540

5.685% 5/15/12

24,035

24,910

6.49% 7/15/07

5,000

5,039

6.67% 9/15/09

3,500

3,672

7.17% 5/15/07

12,900

13,028

4.974% 8/15/13

22,940

23,023

Small Business Administration guaranteed development participation certificates:

Series 2002-20J Class 1, 4.75% 10/1/22

7,045

6,909

Series 2002-20K Class 1, 5.08% 11/1/22

16,851

16,810

Series 2003 P10B, 5.136% 8/10/13

14,362

14,367

Series 2004-20H Class 1, 5.17% 8/1/24

4,187

4,183

Tennessee Valley Authority 5.375% 4/1/56

8,429

8,690

U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A, 5.96% 8/1/09

18,380

18,555

U.S. Trade Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank) 8.17% 1/15/07

384

386

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

2,008,221

U.S. Treasury Inflation Protected Obligations - 10.9%

U.S. Treasury Inflation-Indexed Notes:

0.875% 4/15/10

113,758

107,199

1.875% 7/15/13

83,258

80,617

2% 7/15/14

43,266

42,150

2.375% 4/15/11

461,320

458,802

2.5% 7/15/16

70,570

71,573

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

760,341

U.S. Treasury Obligations - 20.6%

U.S. Treasury Bonds:

6.125% 8/15/29

253,102

299,708

6.25% 8/15/23

1,500

1,746

8% 11/15/21

146,794

196,750

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes:

3.125% 9/15/08 (b)

$ 21,500

$ 20,901

4% 11/15/12

11,000

10,673

4.25% 8/15/13 (b)

28,945

28,384

4.25% 11/15/13

37,610

36,862

4.25% 8/15/14

9,000

8,798

4.25% 11/15/14 (b)

322,185

314,722

4.25% 8/15/15

12,500

12,186

4.375% 12/15/10

5,230

5,191

4.5% 11/15/15 (b)

276,800

274,702

4.75% 5/15/14 (b)

143,431

144,865

4.875% 4/30/08

26,737

26,774

4.875% 5/15/09

3,432

3,452

4.875% 5/31/11

44,500

45,042

TOTAL U.S. TREASURY OBLIGATIONS

1,430,756

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $4,185,354)

4,199,318

U.S. Government Agency - Mortgage Securities - 23.1%

Fannie Mae - 17.5%

3.73% 10/1/33 (f)

852

836

3.732% 1/1/35 (f)

1,183

1,167

3.75% 1/1/34 (f)

798

782

3.763% 12/1/34 (f)

898

886

3.768% 10/1/33 (f)

832

817

3.786% 6/1/34 (f)

3,825

3,734

3.793% 12/1/34 (f)

185

183

3.81% 6/1/33 (f)

624

616

3.829% 1/1/35 (f)

2,262

2,230

3.835% 4/1/33 (f)

2,359

2,329

3.849% 1/1/35 (f)

705

694

3.851% 10/1/33 (f)

23,293

22,943

3.867% 1/1/35 (f)

1,378

1,362

3.881% 6/1/33 (f)

3,135

3,094

3.888% 10/1/34 (f)

855

843

3.917% 12/1/34 (f)

702

696

3.942% 11/1/34 (f)

1,446

1,423

3.951% 12/1/34 (f)

687

681

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

3.952% 5/1/33 (f)

$ 278

$ 274

3.953% 1/1/35 (f)

888

878

3.979% 5/1/34 (f)

249

253

3.995% 2/1/35 (f)

705

698

4% 1/1/18 to 6/1/20

22,736

21,615

4.001% 12/1/34 (f)

909

910

4.004% 1/1/35 (f)

613

612

4.01% 12/1/34 (f)

483

480

4.016% 12/1/34 (f)

1,339

1,340

4.02% 1/1/35 (f)

1,313

1,304

4.022% 2/1/35 (f)

638

632

4.026% 1/1/35 (f)

354

351

4.034% 10/1/18 (f)

676

667

4.036% 1/1/35 (f)

557

551

4.052% 1/1/35 (f)

1,245

1,235

4.074% 5/1/33 (f)

10,161

10,050

4.079% 2/1/35 (f)

457

453

4.081% 4/1/33 (f)

280

278

4.081% 2/1/35 (f)

1,240

1,229

4.092% 11/1/34 (f)

1,008

993

4.093% 2/1/35 (f)

446

442

4.096% 2/1/35 (f)

2,293

2,289

4.103% 1/1/35 (f)

1,329

1,318

4.106% 1/1/35 (f)

1,395

1,382

4.111% 2/1/35 (f)

1,604

1,592

4.131% 2/1/35 (f)

1,227

1,216

4.132% 1/1/35 (f)

2,282

2,262

4.144% 1/1/35 (f)

2,100

2,107

4.162% 11/1/34 (f)

301

297

4.164% 1/1/35 (f)

1,162

1,157

4.169% 1/1/35 (f)

1,756

1,720

4.177% 1/1/35 (f)

2,415

2,422

4.215% 1/1/35 (f)

721

717

4.25% 2/1/35 (f)

871

855

4.258% 1/1/34 (f)

2,445

2,414

4.27% 8/1/33 (f)

1,592

1,579

4.272% 2/1/35 (f)

452

452

4.273% 12/1/34 (f)

434

430

4.278% 3/1/35 (f)

793

786

4.286% 10/1/33 (f)

385

381

4.289% 10/1/34 (f)

219

220

4.295% 3/1/33 (f)

313

307

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

4.303% 5/1/35 (f)

$ 1,054

$ 1,046

4.31% 3/1/33 (f)

429

421

4.31% 3/1/33 (f)

1,066

1,058

4.318% 6/1/33 (f)

512

508

4.35% 1/1/35 (f)

923

907

4.362% 2/1/34 (f)

1,583

1,566

4.362% 4/1/35 (f)

508

505

4.385% 11/1/34 (f)

8,729

8,759

4.394% 10/1/34 (f)

4,824

4,759

4.401% 5/1/35 (f)

2,475

2,461

4.402% 2/1/35 (f)

1,137

1,118

4.429% 3/1/35 (f)

1,170

1,151

4.453% 8/1/34 (f)

2,457

2,433

4.472% 5/1/35 (f)

749

744

4.479% 1/1/35 (f)

1,083

1,079

4.5% 2/1/18 to 10/1/21

33,023

31,986

4.5% 11/1/21 (d)

65,015

62,895

4.5% 11/1/21 (d)(e)

27,935

27,024

4.513% 1/1/35 (f)

1,014

1,008

4.513% 2/1/35 (f)

14,497

14,375

4.515% 10/1/35 (f)

534

530

4.522% 2/1/35 (f)

5,073

5,047

4.523% 2/1/35 (f)

802

797

4.533% 7/1/35 (f)

3,099

3,079

4.543% 1/1/35 (f)

1,782

1,778

4.563% 2/1/35 (f)

513

511

4.565% 9/1/34 (f)

23,215

22,969

4.575% 7/1/35 (f)

3,693

3,670

4.58% 2/1/35 (f)

4,047

3,996

4.603% 7/1/34 (f)

33,487

33,406

4.624% 3/1/35 (f)

400

399

4.64% 1/1/33 (f)

581

581

4.654% 3/1/35 (f)

768

765

4.695% 9/1/34 (f)

312

313

4.712% 2/1/33 (f)

171

173

4.713% 10/1/32 (f)

154

154

4.725% 10/1/34 (f)

3,471

3,445

4.728% 7/1/34 (f)

2,375

2,359

4.746% 5/1/33 (f)

54

54

4.763% 10/1/32 (f)

243

244

4.763% 12/1/34 (f)

836

829

4.775% 1/1/35 (f)

146

148

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

4.803% 12/1/32 (f)

$ 1,077

$ 1,081

4.808% 8/1/34 (f)

873

874

4.81% 6/1/35 (f)

4,195

4,181

4.812% 11/1/34 (f)

2,737

2,719

4.828% 2/1/33 (f)

1,340

1,337

4.841% 10/1/35 (f)

2,432

2,418

4.869% 7/1/34 (f)

9,091

9,053

4.873% 10/1/34 (f)

9,187

9,141

4.881% 8/1/34 (f)

6,173

6,147

4.976% 2/1/35 (f)

332

331

4.988% 11/1/32 (f)

656

660

4.989% 12/1/32 (f)

98

98

5% 12/1/15 to 12/1/35

201,009

195,526

5.057% 7/1/34 (f)

438

438

5.058% 11/1/34 (f)

205

205

5.077% 5/1/35 (f)

5,285

5,287

5.079% 9/1/34 (f)

7,008

7,001

5.095% 9/1/34 (f)

872

871

5.1% 1/1/34 (f)

112

113

5.179% 8/1/33 (f)

1,253

1,255

5.181% 3/1/35 (f)

509

509

5.183% 6/1/35 (f)

3,709

3,715

5.288% 7/1/35 (f)

498

499

5.339% 12/1/34 (f)

1,369

1,373

5.492% 2/1/36 (f)

16,606

16,695

5.5% 4/1/09 to 12/1/35

403,718

401,208

5.614% 1/1/36 (f)

4,699

4,732

5.861% 6/1/35 (f)

2,555

2,584

5.902% 1/1/36 (f)

3,291

3,314

6% 9/1/17 to 2/1/34

56,607

57,228

6.5% 3/1/13 to 7/1/35

94,043

96,272

7% 7/1/13 to 7/1/32

6,613

6,840

7.5% 8/1/10 to 4/1/29

206

213

8% 1/1/22

33

33

8.5% 1/1/15 to 7/1/31

733

777

9% 11/1/11 to 5/1/14

789

792

9.5% 11/15/09 to 10/1/20

1,113

1,204

10% 8/1/10

9

9

11% 8/1/10

18

19

11.25% 5/1/14

10

11

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

11.5% 6/15/19 to 1/15/21

$ 1,720

$ 1,927

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

4

5

1,216,209

Freddie Mac - 2.6%

4.053% 12/1/34 (f)

864

853

4.107% 1/1/35 (f)

1,674

1,649

4.113% 12/1/34 (f)

1,271

1,258

4.275% 3/1/35 (f)

1,046

1,035

4.294% 5/1/35 (f)

1,893

1,868

4.298% 12/1/34 (f)

1,268

1,242

4.31% 2/1/35 (f)

2,264

2,239

4.312% 1/1/35 (f)

1,901

1,883

4.433% 2/1/34 (f)

894

884

4.434% 6/1/35 (f)

1,618

1,601

4.44% 3/1/35 (f)

1,188

1,166

4.457% 3/1/35 (f)

1,363

1,338

4.5% 11/1/18 to 9/1/19

6,710

6,499

4.548% 2/1/35 (f)

1,707

1,678

4.704% 9/1/35 (f)

30,428

30,245

4.783% 10/1/32 (f)

165

166

4.809% 3/1/33 (f)

460

458

4.99% 4/1/35 (f)

5,832

5,815

5% 1/1/09 to 9/1/35

11,222

10,857

5.12% 4/1/35 (f)

5,303

5,277

5.296% 6/1/35 (f)

4,171

4,165

5.5% 11/1/20 to 11/1/36

49,583

49,399

5.565% 1/1/36 (f)

8,022

8,040

5.614% 4/1/32 (f)

188

189

5.628% 8/1/33 (f)

504

508

6% 9/1/16 to 11/1/33

19,482

19,680

6.5% 10/1/32 to 10/1/36

20,190

20,623

7% 4/1/11

4

5

7.5% 5/1/11 to 7/1/16

2,967

3,082

8% 1/1/10 to 6/1/11

14

15

8.5% 8/1/08 to 9/1/29

285

304

9% 8/1/08 to 10/1/20

159

167

9.5% 6/1/09 to 8/1/21

453

488

9.75% 8/1/14

163

174

10% 7/1/09 to 8/1/21

52

56

11% 7/1/13 to 5/1/14

93

102

12% 8/1/13 to 3/1/15

3

4

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Freddie Mac - continued

12.25% 4/1/11 to 9/1/13

$ 7

$ 8

12.5% 2/1/10 to 6/1/19

54

60

13% 8/1/10 to 6/1/15

12

13

185,093

Government National Mortgage Association - 3.0%

3.75% 1/20/34 (f)

5,394

5,352

4.25% 7/20/34 (f)

1,300

1,288

6% 7/15/08 to 12/15/10

2,692

2,739

6.5% 2/15/24 to 10/15/36

108,612

111,722

6.5% 11/1/36 (d)

62,848

64,542

6.5% 11/1/36 (d)

21,082

21,650

7% 10/15/26 to 8/15/32

49

51

7.5% 4/15/07 to 8/15/29

193

201

8% 11/15/07 to 12/15/23

1,681

1,782

8.5% 10/15/08 to 1/15/25

25

26

9% 12/15/09

1

1

9.5% 2/15/25

1

1

10.5% 4/15/14 to 1/20/18

120

136

13.5% 7/15/11

9

10

209,501

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,621,789)

1,610,803

Asset-Backed Securities - 0.7%

Fannie Mae Grantor Trust Series 2005-T4 Class A1C, 5.47% 9/25/35 (f)
(Cost $49,655)

49,655

49,744

Collateralized Mortgage Obligations - 13.8%

U.S. Government Agency - 13.8%

Fannie Mae:

planned amortization class:

Series 1991-170 Class E, 8% 12/25/06

3

3

Series 1992-168 Class KB, 7% 10/25/22

1,776

1,826

Series 1993-109 Class NZ, 6% 7/25/08

2,183

2,185

Series 1993-187 Class L, 6.5% 7/25/23

826

840

Series 1993-207 Class H, 6.5% 11/25/23

18,360

19,039

Series 1993-240 Class PD, 6.25% 12/25/13

8,400

8,536

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Fannie Mae: - continued

planned amortization class:

Series 1994-23 Class PG, 6% 4/25/23

$ 8,228

$ 8,234

Series 1994-27 Class PJ, 6.5% 6/25/23

1,750

1,750

Series 1994-50 Class PJ, 6.5% 8/25/23

11,201

11,256

Series 1996-28 Class PK, 6.5% 7/25/25

4,114

4,282

Series 2003-24 CLass PB, 4.5% 12/25/12

11,011

10,918

Series 2003-28 Class KG, 5.5% 4/25/23

4,940

4,875

Series 2003-39 Class PV, 5.5% 9/25/22

1,845

1,843

Series 2006-45 Class OP, 6/25/36 (g)

7,261

5,573

Series 2006-62 Class KP, 4/25/36 (g)

14,411

10,552

sequential payer Series 1997-41 Class J, 7.5% 6/18/27

3,591

3,782

Fannie Mae Grantor Trust:

floater Series 2005-93:

Class MF, 5.57% 8/25/34 (f)

30,063

30,066

Class NF, 5.57% 8/25/34 (f)

18,903

18,905

planned amortization class:

Series 2005-81 Class PC, 5.5% 9/25/35

2,150

2,108

Series 2005-84 Class MB, 5.75% 10/25/35

20,386

20,598

Fannie Mae guaranteed REMIC pass thru certificates:

floater:

Series 2001-38 Class QF, 6.3% 8/25/31 (f)

924

944

Series 2002-49 Class FB, 5.92% 11/18/31 (f)

1,369

1,387

Series 2002-60 Class FV, 6.32% 4/25/32 (f)

563

576

Series 2002-68 Class FH, 5.82% 10/18/32 (f)

3,407

3,437

Series 2002-75 Class FA, 6.32% 11/25/32 (f)

1,154

1,180

Series 2003-122 Class FL, 5.67% 7/25/29 (f)

3,691

3,708

Series 2003-131 Class FM, 5.72% 12/25/29 (f)

2,662

2,671

Series 2003-15 Class WF, 5.67% 8/25/17 (f)

1,168

1,173

Series 2004-33 Class FW, 5.72% 8/25/25 (f)

6,346

6,380

Series 2004-54 Class FE, 6.47% 2/25/33 (f)

522

523

Series 2005-46 Class FW, 5.72% 6/25/36 (f)

19,292

19,355

Series 2006-79:

Class GF, 5.72% 8/25/36 (f)

14,401

14,445

Class PF, 5.72% 8/25/36 (f)

17,294

17,341

planned amortization class:

Series 2001-30 Class PL, 7% 2/25/31

285

284

Series 2002-18 Class PC, 5.5% 4/25/17

1,170

1,173

Series 2002-25 Class PD, 6.5% 3/25/31

16,008

16,085

Series 2003-113 Class PJ, 3.5% 2/25/13

1,621

1,587

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Fannie Mae guaranteed REMIC pass thru certificates: - continued

planned amortization class:

Series 2003-73 Class GA, 3.5% 5/25/31

$ 4,544

$ 4,254

Series 2003-91 Class HA, 4.5% 11/25/16

11,521

11,306

Series 2004-21 Class QE, 4.5% 11/25/32

1,500

1,405

Series 2005-102 Class CO, 11/25/35 (g)

7,216

5,348

Series 2006-12 Class BO, 10/25/35 (g)

33,378

24,968

Series 2006-37 Class OW, 5/25/36 (g)

7,297

5,604

Series 2006-49 Class CA, 6% 2/25/31

6,071

6,141

Series 2006-51 Class PB, 5.5% 8/25/33

1,555

1,545

sequential payer:

Series 2001-46 Class ZG, 6% 9/25/31

8,174

8,296

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

28,816

28,394

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

831

801

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

3,664

3,566

Series 2004-91 Class AH, 4.5% 5/25/29

7,264

7,066

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

645

573

Series 2005-41 Class WY, 5.5% 5/25/25

20,552

20,081

Series 2005-55 Class LY, 5.5% 7/25/25

2,580

2,518

Series 2002-50 Class LE, 7% 12/25/29

293

294

Freddie Mac:

floater:

Series 2344 Class FP, 6.27% 8/15/31 (f)

4,164

4,264

Series 3028 Class FM, 5.57% 9/15/35 (f)

21,123

21,130

planned amortization class:

Series 1413 Class J, 4% 11/15/07

651

646

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

745

758

Series 2512 Class PG, 5.5% 10/15/22

2,000

1,963

Series 3149 Class OD, 5/15/36 (g)

35,997

25,715

sequential payer:

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

3,043

3,088

Series 2343 Class VD, 7% 8/15/16

873

874

Series 2361 Class KB, 6.25% 1/15/28

265

265

Series 2516 Class AH, 5% 1/15/16

3,029

3,010

Freddie Mac Manufactured Housing participation certificates guaranteed:

floater Series 1686 Class FA, 6.275% 2/15/24 (f)

1,017

1,033

planned amortization class Series 1681 Class PJ, 7% 12/15/23

11,356

11,609

Series 1560 Class PN, 7% 12/15/12

11,753

11,796

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2389 Class DA, 6.22% 11/15/30 (f)

$ 1,524

$ 1,530

Series 2406:

Class FP, 6.3% 1/15/32 (f)

8,300

8,484

Class PF, 6.3% 12/15/31 (f)

8,133

8,312

Series 2410 Class PF, 6.3% 2/15/32 (f)

21,852

22,399

Series 2412 Class GF, 6.27% 2/15/32 (f)

3,440

3,513

Series 2448 Class FT, 6.32% 3/15/32 (f)

1,389

1,424

Series 2530 Class FE, 5.92% 2/15/32 (f)

791

799

Series 2608 Class FJ, 5.72% 3/15/17 (f)

10,775

10,876

Series 2638 Class FA, 5.72% 11/15/16 (f)

10,099

10,168

Series 2644 Class EF, 5.67% 2/15/18 (f)

11,525

11,595

Series 2861:

Class GF, 5.62% 1/15/21 (f)

3,587

3,593

Class JF, 5.62% 4/15/17 (f)

736

740

Series 2994 Class FB, 5.47% 6/15/20 (f)

5,103

5,099

Series 3008 Class SM, 0% 7/15/35 (f)

408

386

planned amortization class:

Series 1141 Class G, 9% 9/15/21

500

500

Series 1614 Class L, 6.5% 7/15/23

7,017

7,130

Series 1671 Class G, 6.5% 8/15/23

2,376

2,377

Series 1727 Class H, 6.5% 8/15/23

1,696

1,696

Series 2006-15 Class OP, 3/25/36 (g)

8,577

6,177

Series 2543 CLass PM, 5.5% 8/15/18

490

489

Series 2587 Class UP, 4% 8/15/25

1,473

1,467

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

2,640

2,539

Series 2625 Class QX, 2.25% 3/15/22

138

135

Series 2628 Class OE, 4.5% 6/15/18

11,000

10,532

Series 2640:

Class GE, 4.5% 7/15/18

7,310

7,026

Class QG, 2% 4/15/22

178

173

Series 2660 Class ML, 3.5% 7/15/22

10,000

9,814

Series 2682 Class LD, 4.5% 10/15/33

777

692

Series 2683 Class UH, 3% 3/15/19

787

782

Series 2690:

Class PD, 5% 2/15/27

12,900

12,803

Class TB, 4.5% 12/15/17

1,663

1,659

Series 2752 Class PW, 4% 4/15/22

3,270

3,215

Series 2755 Class LC, 4% 6/15/27

12,735

12,273

Series 2760 Class EC, 4.5% 4/15/17

8,098

7,853

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

Series 2763 Class PD, 4.5% 12/15/17

$ 12,325

$ 11,917

Series 2770 Class UD, 4.5% 5/15/17

15,620

15,130

Series 2780 Class OC, 4.5% 3/15/17

5,940

5,820

Series 2802 Class OB, 6% 5/15/34

10,455

10,627

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

995

1,007

Series 2828 Class JA, 4.5% 1/15/10

4,292

4,279

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

6,020

5,893

Series 2885 Class PC, 4.5% 3/15/18

7,970

7,765

Series 2937 Class KC, 4.5% 2/15/20

19,686

18,705

Series 2966 Class XC, 5.5% 1/15/31

25,111

25,033

Series 3077 Class TO, 4/15/35 (g)

18,863

13,805

Series 3100 Class PO, 1/15/36 (g)

8,188

6,139

Series 3102 Class OH, 1/15/36 (g)

8,560

6,480

Series 3110 Class OP, 9/15/35 (g)

17,700

12,942

Series 3119 Class PO, 2/15/36 (g)

21,321

15,325

Series 3121 Class KO, 3/15/36 (g)

7,566

5,808

Series 3122 Class OP, 3/15/36 (g)

14,911

11,034

Series 3123 Class LO, 3/15/36 (g)

13,750

9,818

Series 3140 Class XO, 3/15/36 (g)

9,882

7,377

Series 3145 Class GO, 4/15/36 (g)

12,481

8,947

Series 3151 Class PO, 5/15/36 (g)

13,300

9,537

sequential payer:

Series 2448 Class VH, 6.5% 5/15/18

895

892

Series 2492 Class A, 5.25% 5/15/29

626

625

Series 2546 Class MJ, 5.5% 3/15/23

2,861

2,801

Series 2587 Class AD, 4.71% 3/15/33

5,785

5,167

Series 2601 Class TB, 5.5% 4/15/23

869

850

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

1,847

1,803

Series 2675 Class CB, 4% 5/15/16

2,387

2,315

Series 2677 Class HG, 3% 8/15/12

2,036

1,996

Series 2683 Class JA, 4% 10/15/16

2,435

2,358

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

982

882

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

704

653

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

4,098

4,010

Series 2866 Class N, 4.5% 12/15/18

7,093

6,974

Series 2998 Class LY, 5.5% 7/15/25

2,011

1,963

Series 3007 Class EW, 5.5% 7/15/25

8,875

8,661

Series 3013 Class VJ, 5% 1/15/14

2,171

2,150

Series 2769 Class BU, 5% 3/15/34

6,521

6,150

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

target amortization class:

Series 2156 Class TC, 6.25% 5/15/29

$ 11,852

$ 12,091

Series 2877 Class JC, 5% 10/15/34

1,498

1,472

Ginnie Mae guaranteed REMIC pass thru securities planned amortization class:

Series 1997-8 Class PE, 7.5% 5/16/27

5,607

5,919

Series 2005-58 Class NJ, 4.5% 8/20/35

21,605

21,192

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $962,760)

960,293

Cash Equivalents - 15.4%

Maturity Amount (000s)

Investments in repurchase agreements in a joint trading account at 5.32%, dated 10/31/06 due 11/1/06:

(Collateralized by U.S. Government Obligations) #

$ 269,478

269,438

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

799,966

799,848

TOTAL CASH EQUIVALENTS

(Cost $1,069,286)

1,069,286

TOTAL INVESTMENT PORTFOLIO - 113.3%

(Cost $7,888,844)

7,889,444

NET OTHER ASSETS - (13.3)%

(923,110)

NET ASSETS - 100%

$ 6,966,334

Swap Agreements

Expiration Date

Notional Amount (000s)

Value
(000s)

Interest Rate Swaps

Receive quarterly a fixed rate equal to 4.508% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

August 2010

$ 8,000

$ (147)

Receive semi-annually a fixed rate equal to 4.708% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Oct. 2010

9,000

(103)

$ 17,000

$ (250)

Legend

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

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

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $18,540,000 or 0.3% of net assets.

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

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

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

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

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$269,438,000 due 11/01/06 at 5.32%

ABN AMRO Bank N.V., New York Branch

$ 3,687

BNP Paribas Securities Corp.

29,496

Banc of America Securities LLC

87,748

Bank of America, NA

16,960

Barclays Capital, Inc.

43,122

Countrywide Securities Corp.

44,244

Credit Suisse Securities (USA) LLC

2,334

HSBC Securities (USA), Inc.

7,374

Morgan Stanley & Co., Inc.

4,977

Societe Generale, New York Branch

3,687

UBS Securities LLC

22,122

WestLB AG

3,687

$ 269,438

$799,848,000 due 11/01/06 at 5.32%

Barclays Capital, Inc.

$ 799,848

Income Tax Information

At October 31, 2006, the aggregate cost of investment securities for income tax purposes was $7,888,560,000. Net unrealized appreciation aggregated $884,000, of which $58,226,000 related to appreciated investment securities and $57,342,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Swaps are marked-to-market daily based on dealer-supplied valuations. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Ginnie Mae Fund

October 31, 2006

1.809097.102

MOG-QTLY-1206

Investments October 31, 2006 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 82.9%

Principal Amount (000s)

Value
(000s)

Fannie Mae - 2.6%

3.768% 10/1/33 (b)

$ 505

$ 496

3.817% 10/1/33 (b)

4,289

4,216

3.835% 4/1/33 (b)

1,413

1,395

4.171% 3/1/35 (b)

2,063

2,056

4.258% 1/1/34 (b)

1,269

1,253

4.286% 10/1/33 (b)

206

204

4.289% 10/1/34 (b)

155

155

4.295% 3/1/33 (b)

225

220

4.31% 3/1/33 (b)

568

564

4.318% 6/1/33 (b)

269

267

4.362% 4/1/35 (b)

302

300

4.394% 10/1/34 (b)

2,506

2,472

4.401% 5/1/35 (b)

1,477

1,469

4.515% 10/1/35 (b)

178

177

4.533% 7/1/35 (b)

1,822

1,810

4.543% 1/1/35 (b)

961

958

4.58% 2/1/35 (b)

2,065

2,039

4.624% 3/1/35 (b)

212

211

4.64% 1/1/33 (b)

311

311

4.695% 9/1/34 (b)

163

163

4.712% 2/1/33 (b)

91

92

4.713% 10/1/32 (b)

83

83

4.746% 5/1/33 (b)

27

27

4.762% 1/1/35 (b)

1,730

1,716

4.763% 10/1/32 (b)

129

129

4.763% 12/1/34 (b)

499

495

4.775% 1/1/35 (b)

85

86

4.808% 8/1/34 (b)

466

467

4.828% 2/1/33 (b)

680

678

4.835% 9/1/34 (b)

863

859

4.841% 10/1/35 (b)

1,234

1,227

4.976% 2/1/35 (b)

179

178

4.988% 11/1/32 (b)

350

353

4.989% 12/1/32 (b)

53

53

4.991% 9/1/34 (b)

755

753

5.057% 7/1/34 (b)

231

231

5.058% 11/1/34 (b)

114

114

5.077% 5/1/35 (b)

3,107

3,108

5.095% 9/1/34 (b)

436

436

5.179% 8/1/33 (b)

669

671

5.181% 3/1/35 (b)

254

254

5.183% 6/1/35 (b)

2,190

2,194

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

5.209% 7/1/35 (b)

$ 2,058

$ 2,064

5.288% 7/1/35 (b)

267

268

5.339% 12/1/34 (b)

713

715

5.5% 11/1/13 to 3/1/25

24,259

24,299

6.5% 10/1/17 to 7/1/32

18,026

18,471

7% 11/1/16 to 3/1/17

2,052

2,100

7.5% 1/1/07 to 4/1/17

3,080

3,174

8.5% 12/1/27

336

363

9.5% 9/1/30

471

522

10.25% 10/1/18

13

14

11.5% 5/1/14 to 9/1/15

35

39

12.5% 11/1/13 to 7/1/16

77

87

13.25% 9/1/11

50

56

87,112

Freddie Mac - 0.8%

4.783% 10/1/32 (b)

88

89

4.809% 3/1/33 (b)

244

243

5.296% 6/1/35 (b)

2,069

2,066

5.5% 11/1/17 to 3/1/25

24,492

24,386

5.614% 4/1/32 (b)

101

102

8.5% 2/1/09 to 6/1/25

71

75

9% 7/1/08 to 7/1/21

181

187

9.5% 7/1/30 to 8/1/30

156

175

9.75% 12/1/08 to 4/1/13

9

10

10% 1/1/09 to 11/1/20

358

388

10.25% 2/1/09 to 11/1/16

165

171

10.5% 5/1/10

4

4

11.25% 2/1/10

16

16

11.75% 11/1/11

10

11

12% 5/1/10 to 2/1/17

70

78

12.5% 11/1/12 to 5/1/15

104

117

13% 5/1/14 to 11/1/14

12

14

13.5% 1/1/13 to 12/1/14

6

7

28,139

Government National Mortgage Association - 79.5%

3.5% 3/20/34

1,259

1,093

3.5% 5/20/34 (b)

1,514

1,494

3.5% 5/20/35 (b)

1,991

1,938

3.5% 6/20/35 (b)

2,122

2,065

3.75% 1/20/34 (b)

2,626

2,605

3.75% 4/20/34 (b)

6,797

6,719

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Government National Mortgage Association - continued

3.75% 5/20/34 (b)

$ 3,288

$ 3,250

3.75% 6/20/34 (b)

9,338

9,231

3.75% 5/20/35 (b)

8,918

8,717

3.75% 6/20/35 (b)

5,183

5,066

4% 11/20/33

1,585

1,431

4% 2/20/35 (b)

19,240

18,928

4% 4/20/35 (b)

3,594

3,527

4.25% 7/20/34 (b)

1,300

1,288

4.5% 4/15/18 to 4/20/34

142,102

136,238

4.5% 9/20/34 (b)

6,337

6,292

4.5% 2/20/35 (b)

27,496

27,235

4.5% 3/20/35 (b)

1,190

1,178

4.5% 6/20/35 (b)

5,731

5,702

5% 4/15/24 to 7/20/36

599,192

584,065

5% 2/20/35 (b)

145

145

5% 6/20/35 (b)

6,626

6,564

5% 6/20/35 (b)

16,401

16,351

5.5% 12/20/18 to 9/20/36

797,253

792,956

5.5% 11/1/36 (a)

30,000

29,868

5.5% 11/1/36 (a)

22,000

21,840

5.75% 8/20/35 (b)

754

757

6% 8/15/17 to 9/20/34

568,185

577,347

6.5% 4/15/23 to 8/15/36

211,776

217,947

7% 3/15/22 to 9/20/34

110,740

115,038

7.25% 9/15/27 to 12/15/30

354

370

7.395% 6/20/25 to 11/20/27

2,183

2,272

7.5% 2/15/07 to 9/20/32

52,403

54,983

8% 1/15/07 to 7/15/32

12,632

13,380

8.5% 7/15/08 to 2/15/31

4,987

5,346

9% 5/15/08 to 5/15/30

2,010

2,200

9.5% 12/20/15 to 4/20/17

671

738

10.5% 1/15/14 to 9/15/19

711

797

13% 2/15/11 to 1/15/15

163

188

13.5% 7/15/10 to 1/15/15

26

30

2,687,179

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $2,805,101)

2,802,430

Asset-Backed Securities - 0.9%

Principal Amount (000s)

Value
(000s)

Fannie Mae Grantor Trust Series 2005-T4 Class A1C, 5.47% 9/25/35 (b)
(Cost $28,756)

$ 28,756

$ 28,808

Collateralized Mortgage Obligations - 14.1%

U.S. Government Agency - 14.1%

Fannie Mae:

Series 2003-39 Class IA, 5.5% 10/25/22 (b)(c)

5,044

771

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

1,689

1,636

target amortization class Series G94-2 Class D, 6.45% 1/25/24

4,079

4,143

Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2006-51 Class PB, 5.5% 8/25/33

15,690

15,589

Freddie Mac floater Series 2344 Class FP, 6.27% 8/15/31 (b)

2,507

2,568

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2406:

Class FP, 6.3% 1/15/32 (b)

4,882

4,990

Class PF, 6.3% 12/15/31 (b)

4,783

4,888

Series 2410 Class PF, 6.3% 2/15/32 (b)

9,797

10,042

Series 2412 Class GF, 6.27% 2/15/32 (b)

2,050

2,094

Series 2861 Class JF, 5.62% 4/15/17 (b)

3,387

3,403

Series 3094 Class UF, 0% 9/15/34 (b)

694

664

planned amortization class:

Series 2220 Class PD, 8% 3/15/30

5,029

5,244

Series 2787 Class OI, 5.5% 10/15/24 (c)

6,887

298

Series 40 Class K, 6.5% 8/17/24

2,038

2,113

sequential payer:

Series 2204 Class N, 7.5% 12/20/29

8,997

9,426

Series 2601 Class TI, 5.5% 10/15/22 (c)

20,993

3,319

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

5,849

5,250

Series 2866 Class CY, 4.5% 10/15/19

4,491

4,187

Ginnie Mae guaranteed Multi-family pass thru securities sequential payer Series 2002-71 Class Z, 5.5% 10/20/32

43,796

42,829

Ginnie Mae guaranteed REMIC pass thru securities:

planned amortization class:

Series 1994-4 Class KQ, 7.9875% 7/16/24

1,354

1,444

Series 2000-26 Class PK, 7.5% 9/20/30

3,855

4,020

Series 2001-65 Class PH, 6% 11/20/28

6,323

6,353

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass thru securities: - continued

planned amortization class:

Series 2002-5 Class PD, 6.5% 5/16/31

$ 15,911

$ 16,019

Series 2003-103 Class PC, 5.5% 11/20/33

18,843

18,325

Series 2003-20 Class BI, 5.5% 5/16/27 (c)

2,282

32

Series 2003-29 Class PD, 5.5% 4/16/33

25,000

24,267

Series 2003-31 Class PI, 5.5% 4/16/30 (c)

7,013

615

Series 2003-34 Class IO, 5.5% 4/16/28 (c)

10,361

392

Series 2003-4 Class LI, 5.5% 7/16/27 (c)

4,098

125

Series 2003-7 Class IN, 5.5% 1/16/28 (c)

11,096

532

Series 2003-70 Class LE, 5% 7/20/32

44,000

42,637

Series 2004-19:

Class DJ, 4.5% 3/20/34

3,468

3,409

Class DP, 5.5% 3/20/34

3,895

3,917

Series 2004-30:

Class PC, 5% 11/20/30

19,736

19,429

Class UA, 3.5% 2/20/32

6,935

6,693

Series 2004-64 Class KE, 5.5% 12/20/33

22,978

22,811

Series 2004-98 Class IG, 5.5% 2/20/30 (c)

2,581

442

Series 2005-17 Class IA, 5.5% 8/20/33 (c)

9,459

1,486

Series 2005-24 Class TC, 5.5% 3/20/35

5,403

5,295

Series 2005-54 Class BM, 5% 7/20/35

9,658

9,425

Series 2005-57 Class PB, 5.5% 7/20/35

5,673

5,567

Series 2005-58 Class NJ, 4.5% 8/20/35

41,635

40,840

Series 2008-28 Class PC, 5.5% 4/20/34

18,652

18,687

sequential payer:

Series 1995-4 Class CQ, 8% 6/20/25

976

1,039

Series 2001-15 Class VB, 6.5% 4/20/19

457

456

Series 2002-29 Class SK, 8.25% 5/20/32 (b)

507

544

Series 2002-88 Class GZ, 5.5% 12/20/32

24,682

23,538

Series 2003-7 Class VP, 6% 11/20/13

5,479

5,543

Series 2004-65 Class VE, 5.5% 7/20/15

5,021

5,066

Series 2004-86 Class G, 6% 10/20/34

6,273

6,470

Series 2005-47 Class ZY, 6% 6/20/35

4,332

4,456

Series 2005-6 Class EX, 5.5% 11/20/34

1,001

984

Series 2005-82 Class JV, 5% 6/20/35

3,500

3,288

Series 1995-6 Class Z, 7% 9/20/25

2,836

2,968

Series 2003-24 Class PA, 5% 10/20/28

754

752

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass thru securities: - continued

planned amortization class:

Series 2005-6 Class EY, 5.5% 11/20/33

$ 1,016

$ 1,007

Series 2006-13 Class DS, 3.12% 3/20/36 (b)

49,737

42,869

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $484,693)

475,196

Commercial Mortgage Securities - 0.8%

Fannie Mae Series 1997-M1 Class N, 0.445% 10/17/36 (b)(c)

41,037

372

Fannie Mae guaranteed REMIC pass thru certificates:

Series 1998-M3 Class IB, 0.9125% 1/17/38 (b)(c)

44,041

993

Series 1998-M4 Class N, 1.119% 2/25/35 (b)(c)

16,818

366

Ginnie Mae guaranteed Multi-family pass thru securities:

sequential payer Series 2001-58 Class X, 1.3464% 9/16/41 (b)(c)

194,595

6,438

Series 2001-12 Class X, 0.9015% 7/16/40 (b)(c)

48,788

1,801

Ginnie Mae guaranteed REMIC pass thru securities:

sequential payer Series 2002-81 Class IO, 1.876% 9/16/42 (b)(c)

121,646

7,237

Series 2002-62 Class IO, 1.499% 8/16/42 (b)(c)

91,440

5,015

Series 2002-85 Class X, 1.9066% 3/16/42 (b)(c)

65,941

3,956

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $47,099)

26,178

Cash Equivalents - 2.8%

Maturity Amount (000s)

Investments in repurchase agreements in a joint trading account at 5.32%, dated 10/31/06 due 11/1/06 (Collateralized by U.S. Government Obligations) #
(Cost $95,398)

$ 95,412

95,398

TOTAL INVESTMENT PORTFOLIO - 101.5%

(Cost $3,461,047)

3,428,010

NET OTHER ASSETS - (1.5)%

(49,507)

NET ASSETS - 100%

$ 3,378,503

Legend

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

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

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

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

Repurchase Agreement / Counterparty

Value
(amounts in
thousands)

$95,398,000 due 11/01/06 at 5.32%

ABN AMRO Bank N.V., New York Branch

$ 1,305

BNP Paribas Securities Corp.

10,443

Banc of America Securities LLC

31,070

Bank of America, NA

6,005

Barclays Capital, Inc.

15,268

Countrywide Securities Corp.

15,665

Credit Suisse Securities (USA) LLC

826

HSBC Securities (USA),
Inc.

2,611

Morgan Stanley & Co.,
Inc.

1,762

Societe Generale, New York Branch

1,305

UBS Securities LLC

7,833

WestLB AG

1,305

$ 95,398

Income Tax Information

At October 31, 2006, the aggregate cost of investment securities for income tax purposes was $3,460,404,000. Net unrealized depreciation aggregated $32,394,000, of which $21,895,000 related to appreciated investment securities and $54,289,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Intermediate Government
Income Fund

October 31, 2006

1.809098.102

SLM-QTLY-1206

Investments October 31, 2006 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 75.0%

Principal Amount (000s)

Value
(000s)

U.S. Government Agency Obligations - 34.4%

Fannie Mae:

3.25% 1/15/08

$ 370

$ 362

3.25% 2/15/09

745

719

4.5% 10/15/08

2,905

2,884

4.625% 10/15/13

19,570

19,190

4.75% 12/15/10

58,500

58,216

4.875% 4/15/09

5,500

5,501

5% 9/15/08

11,335

11,351

5.125% 1/2/14

6,000

5,986

6.375% 6/15/09

11,870

12,306

Federal Home Loan Bank:

4.5% 10/14/08

1,850

1,837

5% 9/18/09

2,790

2,804

5.375% 8/19/11

16,960

17,316

5.8% 9/2/08

9,595

9,723

Freddie Mac:

4.25% 7/15/09

4,180

4,116

5.125% 4/18/08

10,000

10,023

5.125% 4/18/11

2,360

2,383

5.25% 7/18/11

42,808

43,470

5.75% 1/15/12

986

1,025

Israeli State (guaranteed by U.S. Government through Agency for International Development):

6.6% 2/15/08

8,386

8,422

6.8% 2/15/12

7,500

7,957

Private Export Funding Corp.:

secured:

5.66% 9/15/11 (c)

9,000

9,270

5.685% 5/15/12

3,915

4,058

4.974% 8/15/13

3,435

3,447

Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24

808

807

U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A, 6.06% 8/1/10

10,000

10,132

U.S. Trade Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank) 8.17% 1/15/07

322

323

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

253,628

U.S. Government and Government Agency Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Treasury Inflation Protected Obligations - 9.2%

U.S. Treasury Inflation-Indexed Notes:

0.875% 4/15/10

$ 25,830

$ 24,340

2.375% 4/15/11

44,170

43,928

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

68,268

U.S. Treasury Obligations - 31.4%

U.S. Treasury Notes:

3.375% 9/15/09

63,842

61,746

4.25% 11/15/14 (b)

29,000

28,328

4.25% 8/15/15

3,000

2,925

4.375% 12/15/10

45,060

44,724

4.75% 3/31/11

38,000

38,257

4.75% 5/15/14 (b)

19,058

19,249

4.875% 4/30/08

21,246

21,275

4.875% 5/15/09

10,000

10,057

5.125% 5/15/16

5,000

5,198

TOTAL U.S. TREASURY OBLIGATIONS

231,759

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $554,304)

553,655

U.S. Government Agency - Mortgage Securities - 10.8%

Fannie Mae - 8.3%

3.732% 1/1/35 (e)

182

180

3.763% 12/1/34 (e)

120

118

3.768% 10/1/33 (e)

104

102

3.786% 6/1/34 (e)

531

518

3.793% 12/1/34 (e)

25

24

3.81% 6/1/33 (e)

98

97

3.829% 1/1/35 (e)

343

338

3.849% 1/1/35 (e)

115

113

3.851% 10/1/33 (e)

2,510

2,472

3.867% 1/1/35 (e)

209

207

3.881% 6/1/33 (e)

489

483

3.888% 10/1/34 (e)

132

130

3.917% 12/1/34 (e)

117

116

3.942% 11/1/34 (e)

226

223

3.951% 12/1/34 (e)

100

99

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

3.952% 5/1/33 (e)

$ 36

$ 36

3.953% 1/1/35 (e)

141

139

3.979% 5/1/34 (e)

29

30

3.995% 2/1/35 (e)

103

102

4% 9/1/18

1,868

1,777

4.001% 12/1/34 (e)

141

141

4.004% 1/1/35 (e)

94

94

4.01% 12/1/34 (e)

78

77

4.016% 12/1/34 (e)

215

215

4.02% 1/1/35 (e)

199

197

4.022% 2/1/35 (e)

93

93

4.026% 1/1/35 (e)

51

50

4.034% 10/1/18 (e)

94

93

4.036% 1/1/35 (e)

81

81

4.052% 1/1/35 (e)

198

196

4.079% 2/1/35 (e)

59

59

4.081% 4/1/33 (e)

43

43

4.081% 2/1/35 (e)

188

187

4.092% 11/1/34 (e)

149

147

4.093% 2/1/35 (e)

62

61

4.096% 2/1/35 (e)

342

341

4.103% 1/1/35 (e)

207

205

4.106% 1/1/35 (e)

207

205

4.111% 2/1/35 (e)

243

241

4.131% 2/1/35 (e)

165

163

4.132% 1/1/35 (e)

344

341

4.144% 1/1/35 (e)

315

316

4.162% 11/1/34 (e)

50

49

4.164% 1/1/35 (e)

173

172

4.169% 1/1/35 (e)

248

243

4.177% 1/1/35 (e)

364

365

4.215% 1/1/35 (e)

107

107

4.25% 2/1/35 (e)

114

111

4.258% 1/1/34 (e)

278

275

4.27% 8/1/33 (e)

218

216

4.272% 2/1/35 (e)

57

56

4.273% 12/1/34 (e)

72

72

4.278% 3/1/35 (e)

103

103

4.286% 10/1/33 (e)

45

44

4.289% 10/1/34 (e)

52

52

4.303% 5/1/35 (e)

145

144

4.31% 3/1/33 (e)

63

62

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

4.31% 3/1/33 (e)

$ 124

$ 124

4.318% 6/1/33 (e)

61

60

4.35% 1/1/35 (e)

120

118

4.362% 2/1/34 (e)

261

258

4.362% 4/1/35 (e)

64

63

4.385% 11/1/34 (e)

1,584

1,589

4.394% 10/1/34 (e)

564

556

4.401% 5/1/35 (e)

328

326

4.402% 2/1/35 (e)

183

180

4.429% 3/1/35 (e)

176

173

4.453% 8/1/34 (e)

347

343

4.472% 5/1/35 (e)

136

135

4.479% 1/1/35 (e)

146

145

4.513% 1/1/35 (e)

133

132

4.513% 2/1/35 (e)

1,544

1,531

4.515% 10/1/35 (e)

89

88

4.522% 2/1/35 (e)

712

708

4.523% 2/1/35 (e)

109

108

4.533% 7/1/35 (e)

394

392

4.543% 1/1/35 (e)

208

208

4.563% 2/1/35 (e)

75

75

4.565% 9/1/34 (e)

2,654

2,626

4.575% 7/1/35 (e)

381

378

4.58% 2/1/35 (e)

454

449

4.603% 7/1/34 (e)

3,553

3,545

4.624% 3/1/35 (e)

45

45

4.64% 1/1/33 (e)

67

67

4.654% 3/1/35 (e)

867

863

4.695% 9/1/34 (e)

41

41

4.712% 2/1/33 (e)

20

21

4.713% 10/1/32 (e)

16

16

4.725% 10/1/34 (e)

377

374

4.728% 7/1/34 (e)

337

335

4.746% 5/1/33 (e)

9

9

4.749% 7/1/36 (e)

697

692

4.763% 10/1/32 (e)

30

30

4.763% 12/1/34 (e)

103

102

4.775% 1/1/35 (e)

12

12

4.803% 12/1/32 (e)

145

146

4.808% 8/1/34 (e)

101

101

4.81% 6/1/35 (e)

431

429

4.812% 11/1/34 (e)

295

293

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Fannie Mae - continued

4.828% 2/1/33 (e)

$ 140

$ 140

4.841% 10/1/35 (e)

254

253

4.873% 10/1/34 (e)

1,112

1,106

4.955% 8/1/34 (e)

897

894

4.976% 2/1/35 (e)

39

39

4.988% 11/1/32 (e)

77

77

4.989% 12/1/32 (e)

11

11

5.057% 7/1/34 (e)

51

51

5.058% 11/1/34 (e)

23

23

5.077% 5/1/35 (e)

689

689

5.079% 9/1/34 (e)

854

853

5.095% 9/1/34 (e)

87

87

5.105% 5/1/35 (e)

273

273

5.179% 8/1/33 (e)

146

146

5.181% 3/1/35 (e)

64

64

5.183% 6/1/35 (e)

480

480

5.288% 7/1/35 (e)

58

59

5.339% 12/1/34 (e)

143

143

5.492% 2/1/36 (e)

1,720

1,729

5.5% 1/1/09 to 3/1/20

12,940

12,979

5.614% 1/1/36 (e)

487

490

5.902% 1/1/36 (e)

366

368

6% 4/1/16 to 11/1/17

1,603

1,631

6% 11/1/21 (d)

36

37

6.5% 2/1/17 to 3/1/35

5,717

5,844

7% 12/1/08 to 9/1/31

517

532

9% 2/1/13

139

146

9.5% 11/15/09

171

179

10.25% 10/1/09 to 10/1/18

9

10

11% 8/1/10 to 1/1/16

400

428

11.25% 5/1/14 to 1/1/16

61

68

11.5% 9/1/11 to 6/15/19

252

279

12.25% 7/1/12 to 8/1/13

13

14

12.5% 9/1/12 to 7/1/16

186

213

12.75% 10/1/11 to 6/1/15

146

162

13% 7/1/13 to 7/1/15

83

95

13.25% 9/1/11

81

91

13.5% 11/1/14 to 12/1/14

16

19

15% 4/1/12

3

4

61,513

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Freddie Mac - 2.2%

4% 1/1/19 to 4/1/19

$ 2,083

$ 1,978

4.053% 12/1/34 (e)

115

114

4.107% 1/1/35 (e)

508

500

4.113% 12/1/34 (e)

164

163

4.275% 3/1/35 (e)

149

148

4.294% 5/1/35 (e)

259

255

4.298% 12/1/34 (e)

186

183

4.31% 2/1/35 (e)

326

322

4.433% 2/1/34 (e)

146

144

4.434% 6/1/35 (e)

211

209

4.44% 3/1/35 (e)

164

161

4.457% 3/1/35 (e)

200

197

4.548% 2/1/35 (e)

291

286

4.704% 9/1/35 (e)

4,449

4,423

4.783% 10/1/32 (e)

22

22

4.809% 3/1/33 (e)

53

53

4.99% 4/1/35 (e)

795

792

5% 9/1/35

64

62

5.058% 9/1/32 (e)

375

377

5.12% 4/1/35 (e)

645

642

5.296% 6/1/35 (e)

434

433

5.5% 11/1/20

144

144

5.565% 1/1/36 (e)

827

829

5.614% 4/1/32 (e)

22

22

5.628% 8/1/33 (e)

84

85

6.5% 5/1/08

48

49

8.5% 6/1/14 to 6/1/17

62

63

9% 11/1/09 to 8/1/16

49

52

9.5% 7/1/16 to 8/1/21

375

408

10% 7/1/09 to 3/1/21

821

896

10.5% 9/1/09 to 5/1/21

67

70

11% 2/1/11 to 9/1/20

41

46

11.25% 2/1/10 to 8/1/14

102

111

11.5% 10/1/15 to 8/1/19

58

65

11.75% 11/1/11 to 7/1/15

12

13

12% 10/1/09 to 11/1/19

178

195

12.25% 12/1/11 to 8/1/15

123

140

12.5% 10/1/09 to 6/1/19

898

1,008

12.75% 2/1/10 to 10/1/10

9

10

13% 9/1/10 to 5/1/17

132

151

13.25% 11/1/10 to 10/1/13

37

42

13.5% 11/1/10 to 8/1/11

39

44

U.S. Government Agency - Mortgage Securities - continued

Principal Amount (000s)

Value
(000s)

Freddie Mac - continued

14% 11/1/12 to 4/1/16

$ 6

$ 7

14.5% 12/1/10

1

1

14.75% 3/1/10

2

2

16.25% 7/1/11

0

0

15,917

Government National Mortgage Association - 0.3%

3.75% 1/20/34 (e)

585

581

8% 8/15/07 to 12/15/23

518

547

8.5% 6/15/16 to 2/15/17

8

9

10.5% 9/15/15 to 10/15/21

831

947

10.75% 12/15/09 to 3/15/10

13

14

11% 5/20/16 to 1/20/21

42

49

12.5% 12/15/10

2

2

13% 1/15/11 to 10/15/13

67

76

13.25% 8/15/14

10

12

13.5% 7/15/11 to 12/15/14

15

17

14% 6/15/11

7

8

17% 12/15/11

2

3

2,265

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $79,948)

79,695

Asset-Backed Securities - 0.9%

Fannie Mae Grantor Trust Series 2005-T4 Class A1C, 5.47% 9/25/35 (e)
(Cost $6,285)

6,285

6,296

Collateralized Mortgage Obligations - 11.8%

U.S. Government Agency - 11.8%

Fannie Mae:

floater Series 1994-42 Class FK, 4.21% 4/25/24 (e)

4,146

3,974

planned amortization class:

Series 1988-21 Class G, 9.5% 8/25/18

98

107

Series 1994-12 Class PH, 6.25% 1/25/09

885

888

Series 2003-24 Class PB, 4.5% 12/25/12

1,345

1,334

Series 2003-28 Class KG, 5.5% 4/25/23

725

715

Series 2003-39 Class PV, 5.5% 9/25/22

1,905

1,903

sequential payer Series 1993-238 Class C, 6.5% 12/25/08

3,955

3,965

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Fannie Mae guaranteed REMIC pass thru certificates:

floater:

Series 2001-38 Class QF, 6.3% 8/25/31 (e)

$ 864

$ 883

Series 2002-60 Class FV, 6.32% 4/25/32 (e)

282

288

Series 2002-68 Class FH, 5.82% 10/18/32 (e)

1,118

1,128

Series 2002-74 Class FV, 5.77% 11/25/32 (e)

4,229

4,254

Series 2002-75 Class FA, 6.32% 11/25/32 (e)

577

590

Series 2003-122 Class FL, 5.67% 7/25/29 (e)

467

469

Series 2003-131 Class FM, 5.72% 12/25/29 (e)

324

325

Series 2003-15 Class WF, 5.67% 8/25/17 (e)

579

582

Series 2004-33 Class FW, 5.72% 8/25/25 (e)

803

807

planned amortization class:

Series 2002-11 Class QB, 5.5% 3/25/15

219

219

Series 2002-16 Class PG, 6% 4/25/17

1,273

1,293

Series 2002-18 Class PC, 5.5% 4/25/17

1,045

1,048

Series 2003-91 Class HA, 4.5% 11/25/16

1,485

1,457

sequential payer:

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

514

514

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

3,643

3,590

Series 2005-4 Class ED, 5% 6/25/27

5,000

4,960

Series 2005-41 Class WY, 5.5% 5/25/25

2,600

2,540

Series 2002-50 Class LE, 7% 12/25/29

64

65

Freddie Mac:

floater:

Series 2344 Class FP, 6.27% 8/15/31 (e)

548

561

Series 3028 Class FM, 5.57% 9/15/35 (e)

2,813

2,814

planned amortization class Series 2356 Class GD, 6% 9/15/16

566

576

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2406:

Class FP, 6.3% 1/15/32 (e)

1,070

1,094

Class PF, 6.3% 12/15/31 (e)

1,047

1,070

Series 2410 Class PF, 6.3% 2/15/32 (e)

2,805

2,875

Series 2412 Class GF, 6.27% 2/15/32 (e)

450

460

Series 2526 Class FC, 5.72% 11/15/32 (e)

1,109

1,115

Series 2608 Class FJ, 5.72% 3/15/17 (e)

1,418

1,431

Series 2638 Class FA, 5.72% 11/15/16 (e)

1,330

1,339

Series 2644 Class EF, 5.67% 2/15/18 (e)

1,517

1,526

Series 2861 Class GF, 5.62% 1/15/21 (e)

435

436

Collateralized Mortgage Obligations - continued

Principal Amount (000s)

Value
(000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

floater:

Series 2994 Class FB, 5.47% 6/15/20 (e)

$ 647

$ 646

planned amortization class:

Series 1543 Class VK, 6.7% 1/15/23

568

569

Series 2640 Class GE, 4.5% 7/15/18

3,690

3,546

Series 2752 Class PW, 4% 4/15/22

2,600

2,556

Series 2802 Class OB, 6% 5/15/34

1,355

1,377

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

1,020

1,032

Series 2828 Class JA, 4.5% 1/15/10

641

639

sequential payer:

Series 1929 Class EZ, 7.5% 2/17/27

2,721

2,821

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

1,875

1,830

Series 2866 Class N, 4.5% 12/15/18

1,340

1,318

Series 2998 Class LY, 5.5% 7/15/25

295

288

Series 3007 Class EW, 5.5% 7/15/25

1,125

1,098

Series 3013 Class VJ, 5% 1/15/14

2,177

2,156

Series 2689 Class CN, 4.5% 2/15/23

10,000

9,740

Series 2769 Class BU, 5% 3/15/34

1,158

1,092

Ginnie Mae guaranteed REMIC pass thru securities planned amortization class Series 2005-58 Class NJ, 4.5% 8/20/35

3,465

3,399

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $88,340)

87,302

Cash Equivalents - 7.4%

Maturity Amount (000s)

Value
(000s)

Investments in repurchase agreements in a joint trading account at 5.32%, dated 10/31/06 due 11/1/06:

(Collateralized by U.S. Government Obligations) #

$ 5,670

$ 5,669

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

49,291

49,284

TOTAL CASH EQUIVALENTS

(Cost $54,953)

54,953

TOTAL INVESTMENT PORTFOLIO - 105.9%

(Cost $783,830)

781,901

NET OTHER ASSETS - (5.9)%

(43,702)

NET ASSETS - 100%

$ 738,199

Legend

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

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

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value
of these securities amounted to $9,270,000 or 1.3% of net assets.

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

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

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

Repurchase Agreement / Counterparty

Value

$5,669,000 due 11/01/06 at 5.32%

ABN AMRO Bank N.V., New York Branch

$ 78

BNP Paribas Securities Corp.

621

Banc of America Securities LLC

1,845

Bank of America, NA

357

Barclays Capital, Inc.

907

Countrywide Securities Corp.

931

Credit Suisse Securities (USA) LLC

49

HSBC Securities (USA), Inc.

155

Morgan Stanley & Co., Inc.

105

Societe Generale, New York Branch

78

UBS Securities LLC

465

WestLB AG

78

$ 5,669

$49,284,000 due 11/01/06 at 5.32%

Barclays Capital, Inc.

$ 49,284

Income Tax Information

At October 31, 2006, the aggregate cost of investment securities for income tax purposes was $782,805,000. Net unrealized depreciation aggregated $904,000, of which $4,326,000 related to appreciated investment securities and $5,230,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Ultra-Short Bond Fund

October 31, 2006

1.809108.102

ULB-QTLY-1206

Investments October 31, 2006 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 11.4%

Principal Amount

Value

CONSUMER DISCRETIONARY - 1.3%

Auto Components - 0.3%

DaimlerChrysler NA Holding Corp.:

5.82% 3/13/09 (c)

$ 1,800,000

$ 1,801,166

5.87% 9/10/07 (c)

1,230,000

1,233,071

3,034,237

Media - 1.0%

AOL Time Warner, Inc. 6.15% 5/1/07

2,480,000

2,488,970

Cox Communications, Inc. (Reg. S) 5.94% 12/14/07 (c)

2,330,000

2,340,767

Time Warner, Inc. 8.18% 8/15/07

2,000,000

2,042,798

Viacom, Inc. 5.74% 6/16/09 (c)

2,000,000

2,000,232

8,872,767

TOTAL CONSUMER DISCRETIONARY

11,907,004

ENERGY - 1.1%

Energy Equipment & Services - 0.2%

Transocean, Inc. 5.59% 9/5/08 (c)

2,400,000

2,400,583

Oil, Gas & Consumable Fuels - 0.9%

Anadarko Petroleum Corp.:

3.25% 5/1/08

850,000

823,279

5.79% 9/15/09 (c)

2,200,000

2,203,172

Devon Oei Operating, Inc. 4.375% 10/1/07

2,310,000

2,287,916

Enterprise Products Operating LP 4% 10/15/07

2,670,000

2,631,053

7,945,420

TOTAL ENERGY

10,346,003

FINANCIALS - 4.5%

Capital Markets - 0.3%

Lehman Brothers Holdings E-Capital Trust I 6.1725% 8/19/65 (c)

955,000

961,453

Merrill Lynch & Co., Inc. 5.4938% 8/14/09 (c)

2,065,000

2,065,258

3,026,711

Commercial Banks - 0.4%

Santander Issuances SA Unipersonal 5.75% 6/20/16 (a)(c)

1,500,000

1,500,663

Wells Fargo & Co. 5.43% 3/10/08 (c)

2,300,000

2,301,847

3,802,510

Consumer Finance - 1.0%

Capital One Financial Corp. 5.67% 9/10/09 (c)

2,260,000

2,266,312

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Consumer Finance - continued

MBNA Capital I 8.278% 12/1/26

$ 810,000

$ 844,702

MBNA Europe Funding PLC 5.49% 9/7/07 (a)(c)

2,720,000

2,721,972

SLM Corp. 5.5369% 7/26/10 (c)

2,770,000

2,770,094

8,603,080

Diversified Financial Services - 0.4%

CC Funding Trust I 6.9% 2/16/07

1,695,000

1,701,441

Tyco International Group SA Participation Certificate Trust 4.436% 6/15/07 (a)

1,800,000

1,787,530

3,488,971

Real Estate Investment Trusts - 1.1%

Colonial Properties Trust 7% 7/14/07

3,801,000

3,837,326

iStar Financial, Inc. 5.94% 3/16/09 (c)

2,505,000

2,521,841

Reckson Operating Partnership LP 6% 6/15/07

1,440,000

1,442,912

Simon Property Group LP 6.375% 11/15/07

2,310,000

2,329,651

10,131,730

Real Estate Management & Development - 0.3%

Chelsea GCA Realty Partnership LP 7.25% 10/21/07

880,000

887,176

Realogy Corp. 6.0738% 10/20/09 (a)(c)

1,830,000

1,829,663

2,716,839

Thrifts & Mortgage Finance - 1.0%

Countrywide Financial Corp. 5.53% 4/11/07 (c)

1,575,000

1,576,030

Residential Capital Corp. 6.7419% 6/29/07 (c)

1,995,000

2,006,146

Washington Mutual Bank 5.4613% 5/1/09 (c)

3,000,000

3,002,778

Washington Mutual, Inc. 5.54% 8/24/09 (c)

2,250,000

2,250,605

8,835,559

TOTAL FINANCIALS

40,605,400

INFORMATION TECHNOLOGY - 0.2%

Communications Equipment - 0.2%

Motorola, Inc. 4.608% 11/16/07

1,700,000

1,688,590

TELECOMMUNICATION SERVICES - 2.3%

Diversified Telecommunication Services - 2.0%

AT&T, Inc. 5.495% 5/15/08 (c)

3,000,000

3,002,205

BellSouth Corp. 5.58% 8/15/08 (c)

2,000,000

2,000,626

Deutsche Telekom International Finance BV 5.5688% 3/23/09 (c)

1,725,000

1,725,600

Telecom Italia Capital SA 5.9844% 7/18/11 (c)

3,000,000

2,993,181

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telefonica Emisiones SAU 5.69% 6/19/09 (c)

$ 3,500,000

$ 3,502,884

Telefonos de Mexico SA de CV 4.5% 11/19/08

1,605,000

1,575,017

TELUS Corp. yankee 7.5% 6/1/07

3,305,000

3,342,865

18,142,378

Wireless Telecommunication Services - 0.3%

Verizon Wireless Capital LLC 5.375% 12/15/06

700,000

699,850

Vodafone Group PLC 5.4269% 6/29/07 (c)

2,260,000

2,259,912

2,959,762

TOTAL TELECOMMUNICATION SERVICES

21,102,140

UTILITIES - 2.0%

Electric Utilities - 0.8%

Baltimore Gas & Electric Co. 5.25% 12/15/06

1,290,000

1,289,465

Pepco Holdings, Inc. 5.5% 8/15/07

2,710,000

2,710,840

Progress Energy, Inc. 6.05% 4/15/07

3,375,000

3,386,516

7,386,821

Gas Utilities - 0.3%

Consolidated Natural Gas Co. 5.375% 11/1/06

1,750,000

1,750,000

NiSource Finance Corp. 5.9681% 11/23/09 (c)

845,000

844,923

2,594,923

Independent Power Producers & Energy Traders - 0.3%

Constellation Energy Group, Inc. 6.35% 4/1/07

910,000

913,191

Duke Capital LLC 4.331% 11/16/06

1,590,000

1,589,307

2,502,498

Multi-Utilities - 0.6%

Dominion Resources, Inc.:

3.66% 11/15/06

635,000

634,602

5.6638% 9/28/07 (c)

2,470,000

2,470,768

NiSource, Inc. 3.628% 11/1/06

1,055,000

1,055,000

Sempra Energy 4.75% 5/15/09

2,000,000

1,974,574

6,134,944

TOTAL UTILITIES

18,619,186

TOTAL NONCONVERTIBLE BONDS

(Cost $104,326,720)

104,268,323

U.S. Government Agency Obligations - 4.9%

Principal Amount

Value

Fannie Mae 0% 4/27/07 (b)
(Cost $44,861,070)

$ 46,000,000

$ 44,818,372

U.S. Government Agency - Mortgage Securities - 1.0%

Fannie Mae - 1.0%

4.286% 10/1/33 (c)

46,708

46,215

4.289% 10/1/34 (c)

51,639

51,787

4.31% 3/1/33 (c)

129,128

128,196

4.318% 6/1/33 (c)

60,697

60,242

4.515% 10/1/35 (c)

89,040

88,363

4.543% 1/1/35 (c)

208,211

207,652

4.552% 9/1/34 (c)

389,228

393,048

4.594% 8/1/34 (c)

126,750

126,595

4.624% 3/1/35 (c)

47,676

47,468

4.64% 1/1/33 (c)

72,627

72,604

4.695% 9/1/34 (c)

40,743

40,862

4.712% 2/1/33 (c)

20,462

20,635

4.713% 10/1/32 (c)

19,796

19,807

4.746% 5/1/33 (c)

9,048

9,020

4.763% 10/1/32 (c)

29,513

29,568

4.775% 1/1/35 (c)

12,187

12,292

4.808% 8/1/34 (c)

105,801

105,935

4.976% 2/1/35 (c)

40,761

40,704

4.988% 11/1/32 (c)

79,460

80,021

4.989% 12/1/32 (c)

11,155

11,210

5.057% 7/1/34 (c)

53,130

53,069

5.058% 11/1/34 (c)

22,786

22,814

5.179% 8/1/33 (c)

151,076

151,391

5.288% 7/1/35 (c)

61,483

61,610

5.5% 11/1/16 to 2/1/19

3,843,438

3,856,830

6.5% 7/1/16 to 3/1/35

2,114,721

2,165,677

7% 8/1/17 to 5/1/32

1,169,607

1,199,654

TOTAL FANNIE MAE

9,103,269

Freddie Mac - 0.0%

4.783% 10/1/32 (c)

21,993

22,216

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Freddie Mac - continued

4.809% 3/1/33 (c)

$ 55,366

$ 55,089

5.614% 4/1/32 (c)

26,433

26,679

TOTAL FREDDIE MAC

103,984

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $9,359,151)

9,207,253

Asset-Backed Securities - 30.1%

Accredited Mortgage Loan Trust:

Series 2004-2 Class A2, 5.62% 7/25/34 (c)

345,530

346,709

Series 2004-3 Class 2A4, 5.67% 10/25/34 (c)

156,258

156,298

Series 2004-4 Class A2D, 5.67% 1/25/35 (c)

196,933

197,606

Series 2005-1 Class M1, 5.79% 4/25/35 (c)

1,545,000

1,552,055

ACE Securities Corp.:

Series 2002-HE2 Class M1, 6.595% 8/25/32 (c)

151,473

151,597

Series 2003-HE1:

Class M1, 5.97% 11/25/33 (c)

113,099

113,648

Class M2, 7.02% 11/25/33 (c)

75,000

75,929

Series 2003-HS1:

Class M1, 6.07% 6/25/33 (c)

50,000

50,247

Class M2, 7.07% 6/25/33 (c)

50,000

50,566

Series 2003-NC1 Class M1, 6.1% 7/25/33 (c)

100,000

100,588

Series 2004-HE1:

Class M1, 5.82% 2/25/34 (c)

150,000

150,624

Class M2, 6.42% 2/25/34 (c)

175,000

176,578

Series 2005-HE2:

Class M2, 5.77% 4/25/35 (c)

250,000

251,099

Class M3, 5.8% 4/25/35 (c)

145,000

145,947

Class M4, 5.96% 4/25/35 (c)

185,000

186,181

Series 2005-HE3:

Class A2A, 5.42% 5/25/35 (c)

87,154

87,159

Class A2B, 5.53% 5/25/35 (c)

630,000

630,423

Series 2005-SD1 Class A1, 5.72% 11/25/50 (c)

150,359

150,693

Series 2006-HE2:

Class A2C, 5.48% 5/25/36 (c)

995,000

995,988

Class M1, 5.62% 5/25/36 (c)

915,000

916,863

Class M2, 5.64% 5/25/36 (c)

305,000

305,466

Class M3, 5.66% 5/25/36 (c)

240,000

240,444

Class M4, 5.72% 5/25/36 (c)

200,000

200,364

Class M5, 5.76% 5/25/36 (c)

295,000

295,636

Asset-Backed Securities - continued

Principal Amount

Value

Aesop Funding II LLC Series 2005-1A Class A2, 5.38% 4/20/09 (a)(c)

$ 1,200,000

$ 1,200,142

American Express Credit Account Master Trust:

Series 2004-1 Class B, 5.57% 9/15/11 (c)

410,000

411,552

Series 2004-5 Class B, 5.57% 4/16/12 (c)

2,150,000

2,151,003

Series 2004-C Class C, 5.82% 2/15/12 (a)(c)

591,770

593,053

Series 2005-1 Class A, 5.35% 10/15/12 (c)

2,185,000

2,187,168

Series 2005-6 Class C, 5.57% 3/15/11 (a)(c)

2,680,000

2,683,216

AmeriCredit Automobile Receivables Trust:

Series 2003-AM Class A4B, 5.79% 11/6/09 (c)

271,320

271,666

Series 2003-BX Class A4B, 5.79% 1/6/10 (c)

70,016

70,076

Series 2005-1 Class C, 4.73% 7/6/10

2,500,000

2,476,300

Series 2006-RM Class A1, 5.37% 10/6/09

2,000,000

2,001,425

Ameriquest Mississippi, Inc. Series 2006-M3:

Class M7, 6.176% 10/25/36 (c)

705,000

705,000

Class M9, 7.326% 10/25/36 (c)

450,000

450,000

Ameriquest Mortgage Securities, Inc.:

Series 2003-1 Class M1, 6.22% 2/25/33 (c)

474,619

475,326

Series 2003-3 Class M1, 6.12% 3/25/33 (c)

3,892

3,901

Series 2003-AR1 Class M1, 6.47% 1/25/33 (c)

210,042

210,239

Series 2004-R11 Class M1, 5.98% 11/25/34 (c)

560,000

563,470

Series 2004-R2:

Class M1, 5.75% 4/25/34 (c)

85,000

84,999

Class M2, 5.8% 4/25/34 (c)

75,000

75,000

Series 2004-R8 Class M9, 8.07% 9/25/34 (c)

1,525,000

1,536,142

Series 2004-R9 Class M2, 5.97% 10/25/34 (c)

720,000

725,006

Series 2005-R1:

Class M1, 5.77% 3/25/35 (c)

770,000

772,033

Class M2, 5.8% 3/25/35 (c)

260,000

261,023

Series 2005-R2 Class M1, 5.77% 4/25/35 (c)

1,700,000

1,706,862

Amortizing Residential Collateral Trust Series 2002-BC1 Class M2, 6.42% 1/25/32 (c)

29,202

29,310

ARG Funding Corp.:

Series 2005-1A Class A2, 5.42% 4/20/09 (a)(c)

1,500,000

1,501,847

Series 2005-2A Class A2, 5.43% 5/20/09 (a)(c)

800,000

799,996

Argent Securities, Inc.:

Series 2003-W3 Class M2, 6.9289% 9/25/33 (c)

800,000

808,895

Series 2004-W5 Class M1, 5.92% 4/25/34 (c)

1,420,000

1,422,082

Series 2004-W7:

Class M1, 5.87% 5/25/34 (c)

305,000

307,132

Class M2, 5.92% 5/25/34 (c)

250,000

251,711

Series 2006-W1 Class M10, 7.82% 3/25/36 (c)

995,000

921,735

Asset-Backed Securities - continued

Principal Amount

Value

Argent Securities, Inc.: - continued

Series 2006-W4:

Class A2C, 5.48% 5/25/36 (c)

$ 1,200,000

$ 1,200,768

Class M2, 5.64% 5/25/36 (c)

1,265,000

1,265,465

Class M3, 5.66% 5/25/36 (c)

1,010,000

1,010,366

Arran Funding Ltd. Series 2005-A Class C, 5.65% 12/15/10 (c)

3,235,000

3,234,353

Asset Backed Funding Certificates Series 2004-HE1 Class M2, 6.47% 1/25/34 (c)

230,000

233,561

Asset Backed Funding Corp. Series 2006-OPT2
Class C7, 5.47% 10/25/36 (c)

780,000

779,996

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE2 Class M1, 6.22% 4/15/33 (c)

1,165,025

1,165,522

Series 2003-HE6 Class M1, 5.97% 11/25/33 (c)

215,000

216,507

Series 2003-HE7 Class A3, 5.68% 12/15/33 (c)

32,327

32,336

Series 2004-HE6 Class A2, 5.68% 6/25/34 (c)

566,793

568,213

Series 2005-HE1 Class M1, 5.82% 3/25/35 (c)

540,000

543,073

Series 2005-HE2:

Class M1, 5.77% 3/25/35 (c)

1,105,000

1,111,184

Class M2, 5.82% 3/25/35 (c)

275,000

276,969

Series 2005-HE3 Class A4, 5.52% 4/25/35 (c)

1,025,753

1,026,153

Bank of America Credit Card Trust Series 2006-C7
Class C7, 5.55% 3/15/12 (c)

1,500,000

1,500,000

Bank One Issuance Trust:

Series 2002-B1 Class B1, 5.7% 12/15/09 (c)

465,000

465,317

Series 2002-C1 Class C1, 6.28% 12/15/09 (c)

675,000

677,187

Series 2003-C4 Class C4, 6.35% 2/15/11 (c)

2,010,000

2,035,920

Series 2004-C1 Class C1, 5.82% 11/15/11 (c)

25,000

25,157

Bayview Financial Acquisition Trust Series 2004-C
Class A1, 5.74% 5/28/44 (c)

517,068

517,828

Bayview Financial Asset Trust Series 2003-F Class A, 5.82% 9/28/43 (c)

131,467

131,445

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 5.77% 2/28/44 (c)

240,024

240,396

Bayview Financial Securities Co. LLC Series 2006-A Class 2A1, 5.4481% 2/28/41 (c)

1,222,034

1,222,251

Bear Stearns Asset Backed Securities, Inc.:

Series 2004-BO1:

Class M2, 6.07% 9/25/34 (c)

390,000

395,659

Class M3, 6.37% 9/25/34 (c)

265,000

268,738

Class M4, 6.52% 9/25/34 (c)

225,000

229,502

Class M5, 6.72% 9/25/34 (c)

210,000

214,515

Series 2004-HE9 Class M2, 6.52% 11/25/34 (c)

490,000

496,240

Asset-Backed Securities - continued

Principal Amount

Value

Bear Stearns Asset Backed Securities, Inc.: - continued

Series 2005-HE2:

Class M1, 5.82% 2/25/35 (c)

$ 905,000

$ 909,684

Class M2, 6.07% 2/25/35 (c)

330,000

332,680

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 5.3778% 12/26/24 (c)

2,840,000

2,839,889

Capital Auto Receivables Asset Trust:

Series 2003-1 Class B, 5.79% 6/15/10 (a)(c)

36,927

36,930

Series 2005-1 Class B, 5.695% 6/15/10 (c)

850,000

853,741

Series 2006-SN1A Class A4B, 5.44% 3/20/10 (a)(c)

2,700,000

2,700,000

Capital One Auto Finance Trust:

Series 2003-A Class A4B, 5.6% 1/15/10 (c)

250,950

251,139

Series 2004-B Class A4, 5.43% 8/15/11 (c)

1,700,000

1,700,335

Series 2006-B Class A2, 5.53% 4/15/09

1,805,000

1,809,537

Capital One Master Trust:

Series 2001-1 Class B, 5.83% 12/15/10 (c)

500,000

501,890

Series 2001-6 Class C, 6.7% 6/15/11 (a)

2,200,000

2,252,594

Capital One Multi-Asset Execution Trust:

Series 2003-B6 Class B6, 5.85% 9/15/11 (c)

1,125,000

1,133,369

Series 2004-B1 Class B1, 5.76% 11/15/11 (c)

1,180,000

1,185,950

Series 2004-C1 Class C1, 3.4% 11/16/09

2,480,000

2,468,315

Capital Trust Ltd. Series 2004-1:

Class A2, 5.77% 7/20/39 (a)(c)

265,000

265,415

Class B, 6.07% 7/20/39 (a)(c)

140,000

141,083

Class C, 6.42% 7/20/39 (a)(c)

180,000

181,228

Carrington Mortgage Loan Trust:

Series 2006-FRE1:

Class M7, 6.27% 7/25/36 (c)

445,000

445,149

Class M9, 7.22% 7/25/36 (c)

285,000

285,091

Series 2006-NC3 Class M10, 7.37% 8/25/36 (a)(c)

125,000

112,422

Cayman ABSC NIMS Trust Series 2004-HE2 Class A1, 6.75% 4/25/34 (a)

12,813

12,749

CDC Mortgage Capital Trust Series 2003-HE3 Class M1, 6.02% 11/25/33 (c)

91,792

92,372

Cendant Timeshare Receivables Funding LLC
Series 2005 1A Class 2A2, 5.5% 5/20/17 (a)(c)

715,045

714,049

Chase Credit Card Owner Trust:

Series 2001-6 Class B, 5.8% 3/16/09 (c)

200,000

200,067

Series 2003-6 Class C, 6.12% 2/15/11 (c)

2,210,000

2,235,084

Series 2004-1 Class B, 5.52% 5/15/09 (c)

295,000

294,999

Chase Issuance Trust:

Series 2004-C3 Class C3, 5.79% 6/15/12 (c)

1,645,000

1,653,598

Series 2006-C3 Class C3, 5.55% 6/15/11 (c)

1,975,000

1,975,000

Asset-Backed Securities - continued

Principal Amount

Value

CIT Equipment Collateral Trust Series 2005-VT1:

Class C, 4.18% 11/20/12

$ 549,911

$ 544,000

Class D, 4.51% 11/20/12

221,539

219,307

Citibank Credit Card Issuance Trust:

Series 2001-B2 Class B2, 5.86% 12/10/08 (c)

615,000

615,178

Series 2002-B1 Class B1, 5.7188% 6/25/09 (c)

655,000

655,631

Series 2002-C1 Class C1, 6.47% 2/9/09 (c)

900,000

901,936

Series 2003-C1 Class C1, 6.4681% 4/7/10 (c)

1,685,000

1,707,432

Citigroup Mortgage Loan Trust Series 2006-NC2
Class A2B, 5.4838% 9/25/36 (c)

2,000,000

2,000,000

College Loan Corp. Trust I Series 2006-1 Class A7B, 5.495% 4/25/46 (a)(c)

3,195,000

3,195,000

Countrywide Home Loan Trust Series 2006-13N
Class N, 7% 8/25/37 (a)

840,941

837,329

Countrywide Home Loans, Inc.:

Series 2002-6 Class AV1, 5.75% 5/25/33 (c)

30,872

30,901

Series 2003-BC1 Class M2, 7.0745% 9/25/32 (c)

251,598

252,675

Series 2003-SD3 Class A1, 5.74% 12/25/32 (a)(c)

11,605

11,644

Series 2004-2 Class M1, 5.82% 5/25/34 (c)

375,000

376,377

Series 2004-3:

Class 3A4, 5.57% 8/25/34 (c)

2,239,452

2,243,042

Class M1, 5.82% 6/25/34 (c)

100,000

100,457

Series 2004-4 Class M2, 5.85% 6/25/34 (c)

315,000

316,489

Series 2005-1:

Class 1AV2, 5.52% 7/25/35 (c)

1,035,444

1,035,808

Class MV1, 5.72% 7/25/35 (c)

435,000

436,446

Class MV2, 5.76% 7/25/35 (c)

525,000

527,050

Series 2005-AB1 Class A2, 5.53% 8/25/35 (c)

2,378,800

2,380,744

CPS Auto Receivables Trust:

Series 2006-B Class A2, 5.71% 6/15/16 (a)

3,999,990

4,009,990

Series 2006-C Class A2, 5.31% 3/15/10 (a)

1,775,000

1,773,891

Credit Suisse First Boston Mortgage Securities Corp.:

Series 2003-8 Class A2, 5.71% 4/25/34 (c)

7,446

7,448

Series 2004-FRE1 Class B1, 7.12% 4/25/34 (c)

605,000

605,223

Discover Card Master Trust I:

Series 2003-4 Class B1, 5.65% 5/16/11 (c)

550,000

552,788

Series 2005-1 Class B, 5.47% 9/16/10 (c)

1,580,000

1,581,658

Series 2005-3 Class B, 5.51% 5/15/11 (c)

2,000,000

2,002,414

Series 2006-1 Class B1, 5.47% 8/16/11 (c)

1,845,000

1,846,649

Series 2006-2 Class B1, 5.44% 1/17/12 (c)

2,000,000

1,995,393

Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5:

Class AB1, 5.58% 5/28/35 (c)

208,621

208,686

Asset-Backed Securities - continued

Principal Amount

Value

Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5: - continued

Class AB3, 5.7235% 5/28/35 (c)

$ 46,319

$ 46,493

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 6.77% 8/25/34 (c)

1,500,000

1,503,403

Series 2005-2 Class 2A1, 5.44% 12/25/35 (c)

796,024

796,088

Series 2006-2:

Class 2A2, 5.49% 7/25/36 (c)

880,000

880,197

Class M1, 5.63% 7/25/36 (c)

1,765,000

1,766,244

First Franklin Mortgage Loan Asset Backed Certificates Trust Series 2005-FF2 Class A2A, 5.41% 3/25/35 (c)

77,407

77,412

First Franklin Mortgage Loan Trust:

Series 2004-FF2:

Class M3, 5.87% 3/25/34 (c)

25,000

25,045

Class M4, 6.22% 3/25/34 (c)

25,000

25,101

Series 2004-FF8 Class M3, 6.27% 10/25/34 (c)

1,760,000

1,786,227

Series 2006-FF14:

Class A5, 5.49% 10/25/36 (c)

990,000

990,000

Class M1, 5.59% 10/25/36 (c)

880,000

880,000

First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (a)

830,000

826,763

Ford Credit Floorplan Master Owner Trust:

Series 2005-1:

Class A, 5.47% 5/15/10 (c)

1,375,000

1,374,993

Class B, 5.76% 5/15/10 (c)

1,110,000

1,111,648

Series 2006-3:

Class A, 5.5% 6/15/11 (c)

990,000

990,512

Class B, 5.77% 6/15/11 (c)

1,405,000

1,405,559

Franklin Auto Trust Series 2006-1 Class A2, 5.2% 10/20/09

1,535,000

1,534,171

Fremont Home Loan Trust:

Series 2003-B Class M6, 9.82% 12/25/33 (c)

264,204

264,664

Series 2004-B Class M1, 5.9% 5/25/34 (c)

205,000

206,111

Series 2004-C:

Class 2A2, 5.87% 8/25/34 (c)

373,810

374,148

Class M1, 5.97% 8/25/34 (c)

540,000

544,047

Series 2004-D Class 3A2, 5.6% 11/25/34 (c)

47,275

47,310

Series 2005-A:

Class 2A2, 5.56% 2/25/35 (c)

765,433

765,930

Class M1, 5.75% 1/25/35 (c)

225,000

226,467

Class M2, 5.78% 1/25/35 (c)

325,000

326,642

Class M3, 5.81% 1/25/35 (c)

175,000

176,124

Class M4, 6% 1/25/35 (c)

125,000

126,162

Asset-Backed Securities - continued

Principal Amount

Value

Fremont Home Loan Trust: - continued

Series 2006-A:

Class M3, 5.7% 5/25/36 (c)

$ 455,000

$ 455,159

Class M4, 5.72% 5/25/36 (c)

685,000

685,482

Class M5, 5.82% 5/25/36 (c)

365,000

366,031

GE Business Loan Trust Series 2003-1 Class A, 5.75% 4/15/31 (a)(c)

195,920

196,680

GE Capital Credit Card Master Note Trust:

Series 2005-2 Class B, 5.52% 6/15/11 (c)

925,000

926,100

Series 2006-1:

Class B, 5.63% 9/17/12 (c)

585,000

584,634

Class C, 5.73% 9/17/12 (c)

455,000

454,716

Gracechurch Card Funding PLC:

Series 11 Class C, 5.6% 11/15/10 (c)

2,490,000

2,489,975

Series 6 Class B, 5.51% 2/17/09 (c)

75,000

75,023

Series 8 Class C, 5.65% 6/15/10 (c)

2,650,000

2,649,974

Series 9:

Class B, 5.47% 9/15/10 (c)

485,000

485,000

Class C, 5.63% 9/15/10 (c)

1,800,000

1,801,926

GSAMP Trust:

Series 2002-NC1 Class A2, 5.64% 7/25/32 (c)

2,606

2,641

Series 2003-FM1 Class M1, 6.55% 3/20/33 (c)

636,784

637,166

Series 2004-AHL Class A2D, 5.68% 8/25/34 (c)

585,672

587,577

Series 2004-FM1:

Class M1, 5.97% 11/25/33 (c)

168,544

168,543

Class M2, 6.72% 11/25/33 (c)

135,000

136,068

Series 2004-FM2 Class M1, 5.82% 1/25/34 (c)

249,683

249,682

Series 2004-HE1:

Class M1, 5.87% 5/25/34 (c)

320,000

319,998

Class M2, 6.47% 5/25/34 (c)

150,000

151,389

Series 2005-6:

Class A2, 5.53% 6/25/35 (c)

1,800,000

1,798,812

Class M3, 5.97% 6/25/35 (c)

1,555,000

1,552,823

Series 2005-9 Class 2A1, 5.44% 8/25/35 (c)

893,201

892,515

Series 2005-HE2 Class M, 5.75% 3/25/35 (c)

1,220,000

1,225,808

Series 2005-MTR1 Class A1, 5.46% 10/25/35 (c)

1,301,735

1,301,735

Series 2005-NC1 Class M1, 5.77% 2/25/35 (c)

1,205,000

1,211,291

Series 2006-HE5 Class M7, 6.1544% 8/25/36 (c)

1,495,000

1,494,982

Series 2006-NC2 Class M4, 5.6744% 6/25/36 (c)

1,541,000

1,541,532

Guggenheim Structured Real Estate Funding Ltd.
Series 2005-1 Class C, 6.4% 5/25/30 (a)(c)

2,880,000

2,880,000

Harwood Street Funding I LLC Series 2004-1A
Class CTFS, 7.32% 9/20/09 (a)(c)

1,700,000

1,702,217

Asset-Backed Securities - continued

Principal Amount

Value

Home Equity Asset Trust:

Series 2002-3 Class A5, 6.2% 2/25/33 (c)

$ 14

$ 14

Series 2002-5 Class M1, 7.02% 5/25/33 (c)

165,729

165,914

Series 2003-1 Class M1, 6.32% 6/25/33 (c)

524,845

525,278

Series 2003-2 Class M1, 6.2% 8/25/33 (c)

66,323

66,356

Series 2003-3 Class M1, 6.18% 8/25/33 (c)

320,568

321,284

Series 2003-4 Class M1, 6.12% 10/25/33 (c)

96,601

96,817

Series 2003-5:

Class A2, 5.67% 12/25/33 (c)

10,566

10,593

Class M1, 6.02% 12/25/33 (c)

160,000

160,758

Class M2, 7.05% 12/25/33 (c)

70,000

70,835

Series 2003-7:

Class A2, 5.7% 3/25/34 (c)

33,395

33,437

Class M1, 5.97% 3/25/34 (c)

795,000

798,306

Series 2003-8 Class M1, 6.04% 4/25/34 (c)

260,000

261,471

Series 2004-4 Class A2, 5.64% 10/25/34 (c)

110,506

110,577

Series 2004-6 Class A2, 5.67% 12/25/34 (c)

249,740

250,061

Series 2005-1:

Class M1, 5.75% 5/25/35 (c)

1,270,000

1,274,980

Class M2, 5.77% 5/25/35 (c)

1,410,000

1,415,330

Series 2005-2:

Class 2A2, 5.52% 7/25/35 (c)

1,734,880

1,735,767

Class M1, 5.77% 7/25/35 (c)

890,000

893,414

Household Home Equity Loan Trust Series 2004-1
Class M, 5.84% 9/20/33 (c)

121,197

121,733

Household Private Label Credit Card Master Note Trust I Series 2002-2 Class A, 5.49% 1/18/11 (c)

1,000,000

1,000,405

HSBC Automotive Trust:

Series 2006-1 Class A2, 5.4% 6/17/09

3,410,000

3,410,752

Series 2006-2 Class A2, 5.61% 6/17/09

1,500,000

1,502,849

HSBC Home Equity Loan Trust:

Series 2005-2:

Class M1, 5.78% 1/20/35 (c)

242,339

242,872

Class M2, 5.81% 1/20/35 (c)

180,408

181,037

Series 2005-3:

Class A1, 5.58% 1/20/35 (c)

545,602

546,098

Class M1, 5.74% 1/20/35 (c)

320,383

320,967

Series 2006-2:

Class M1, 5.64% 3/20/36 (c)

780,522

780,516

Class M2, 5.66% 3/20/36 (c)

1,288,554

1,288,545

IXIS Real Estate Capital Trust Series 2005-HE1:

Class A1, 5.57% 6/25/35 (c)

451,586

451,853

Class M1, 5.79% 6/25/35 (c)

550,000

552,064

Asset-Backed Securities - continued

Principal Amount

Value

John Deere Owner Trust Series 2006-A Class A2, 5.41% 11/17/08

$ 1,805,000

$ 1,805,162

Keycorp Student Loan Trust Series 1999-A Class A2, 5.7019% 12/27/09 (c)

208,738

209,353

Long Beach Auto Receivables Trust Series 2006-B
Class A2, 5.34% 11/15/09

1,565,000

1,565,446

Long Beach Mortgage Loan Trust:

Series 2003-2 Class M1, 6.14% 6/25/33 (c)

462,597

463,220

Series 2003-3 Class M1, 6.07% 7/25/33 (c)

337,423

338,465

Series 2006-6:

Class 2A3, 5.48% 7/25/36 (c)

1,435,000

1,435,749

Class M4, 5.69% 7/25/36 (c)

425,000

425,312

Class M5, 5.72% 7/25/36 (c)

265,000

265,095

Class M6, 5.78% 7/25/36 (c)

265,000

265,094

Series 2006-7 Class M10, 7.7185% 8/25/36 (c)

675,000

611,719

Master Asset Backed Securities Trust:

Series 2004-FRE1 Class M1, 5.87% 7/25/34 (c)

357,163

357,806

Series 2004-HE1 Class M1, 5.97% 9/25/34 (c)

685,000

689,796

MBNA Credit Card Master Note Trust:

Series 2002-B2 Class B2, 5.7% 10/15/09 (c)

1,034,000

1,035,713

Series 2002-B4 Class B4, 5.82% 3/15/10 (c)

630,000

632,491

Series 2003-B1 Class B1, 5.76% 7/15/10 (c)

1,510,000

1,517,240

Series 2003-B2 Class B2, 5.71% 10/15/10 (c)

125,000

125,616

Series 2003-B3 Class B3, 5.695% 1/18/11 (c)

1,550,000

1,556,544

Series 2003-B5 Class B5, 5.69% 2/15/11 (c)

2,000,000

2,010,815

Series 2003-C2 Class C2, 6.92% 6/15/10 (c)

2,000,000

2,034,750

Series 2005-C3 Class C, 5.59% 3/15/11 (c)

2,830,000

2,837,424

MBNA Master Credit Card Trust II Series 1998-E Class B, 5.7038% 9/15/10 (c)

200,000

200,761

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 5.82% 7/25/34 (c)

142,040

142,259

Class M2, 5.87% 7/25/34 (c)

25,000

25,047

Merrill Lynch Mortgage Investors, Inc.:

Series 2004-FM1 Class M2, 6.47% 1/25/35 (c)

150,000

150,589

Series 2004-HE2:

Class A1B, 5.79% 8/25/35 (c)

196,031

196,960

Class A2B, 5.7% 8/25/35 (c)

362,731

363,152

Morgan Stanley ABS Capital I, Inc.:

Series 2002-HE3 Class M1, 6.42% 12/27/32 (c)

125,000

126,213

Series 2003-NC10 Class M1, 6% 10/25/33 (c)

792,708

795,638

Series 2003-NC8 Class M1, 6.02% 9/25/33 (c)

119,992

120,288

Series 2004-HE6 Class A2, 5.66% 8/25/34 (c)

302,833

303,560

Series 2004-NC2 Class M1, 5.87% 12/25/33 (c)

347,703

349,669

Asset-Backed Securities - continued

Principal Amount

Value

Morgan Stanley ABS Capital I, Inc.: - continued

Series 2004-NC6 Class A2, 5.66% 7/25/34 (c)

$ 51,034

$ 51,067

Series 2005-1 Class M2, 5.79% 12/25/34 (c)

570,000

572,864

Series 2005-HE1:

Class A3B, 5.54% 12/25/34 (c)

144,459

144,547

Class M1, 5.77% 12/25/34 (c)

150,000

150,971

Class M2, 5.79% 12/25/34 (c)

385,000

387,141

Series 2005-HE2:

Class M1, 5.72% 1/25/35 (c)

370,000

372,447

Class M2, 5.76% 1/25/35 (c)

265,000

266,118

Series 2005-NC1:

Class M1, 5.76% 1/25/35 (c)

325,000

327,201

Class M2, 5.79% 1/25/35 (c)

325,000

325,992

Class M3, 5.83% 1/25/35 (c)

325,000

327,149

Series 2006-HE4:

Class M1, 5.6% 6/25/36 (c)

440,000

440,349

Class M2:

5.62% 6/25/36 (c)

770,000

770,909

5.63% 6/25/36 (c)

550,000

550,211

Class M4, 5.67% 6/25/36 (c)

1,160,000

1,160,442

Series 2006-HE5 Class B1, 6.29% 8/25/36 (c)

2,415,000

2,415,939

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-AM1 Class M1, 6.595% 2/25/32 (c)

334,289

340,656

Series 2001-NC1 Class M2, 6.925% 10/25/31 (c)

9,628

9,638

Series 2001-NC4 Class M1, 6.82% 1/25/32 (c)

54,071

54,129

Series 2002-AM3 Class A3, 5.81% 2/25/33 (c)

14,114

14,139

Series 2002-HE1 Class M1, 5.92% 7/25/32 (c)

590,000

595,975

Series 2002-NC3 Class M1, 6.04% 8/25/32 (c)

100,000

100,043

Series 2002-OP1 Class M1, 6.445% 9/25/32 (c)

415,497

415,801

Navistar Financial Dealer Note Master Trust Series 2005-1 Class A, 5.43% 2/25/13 (c)

2,050,000

2,055,029

New Century Home Equity Loan Trust Series 2005-1:

Class M1, 5.77% 3/25/35 (c)

595,000

597,376

Class M2, 5.8% 3/25/35 (c)

595,000

597,762

Class M3, 5.84% 3/25/35 (c)

290,000

292,082

Nissan Auto Lease Trust:

Series 2004-A Class A4A, 5.39% 6/15/10 (c)

1,167,321

1,167,835

Series 2005-A Class A4, 5.37% 8/15/11 (c)

2,210,000

2,209,988

Nomura Home Equity Loan, Inc. Series 2006-HE3:

Class M7, 6.13% 7/25/36 (c)

485,000

485,168

Class M8, 6.28% 7/25/36 (c)

340,000

338,300

Class M9, 7.18% 7/25/36 (c)

490,000

489,315

Asset-Backed Securities - continued

Principal Amount

Value

NovaStar Home Equity Loan Series 2004-1:

Class M1, 5.77% 6/25/34 (c)

$ 100,000

$ 100,726

Class M4, 6.295% 6/25/34 (c)

170,000

171,325

NovaStar Mortgage Funding Trust Series 2003-3
Class A3, 5.77% 12/25/33 (c)

42,722

42,866

Ocala Funding LLC Series 2006-1A Class A, 6.72% 3/20/11 (a)(c)

965,000

965,000

Option One Mortgage Loan Trust Series 2003-6
Class M1, 5.97% 11/25/33 (c)

1,025,000

1,032,921

Ownit Mortgage Loan Asset-Backed Certificates Series 2005-3 Class A2A, 5.44% 6/25/36 (c)

734,316

734,395

Park Place Securities, Inc.:

Series 2004 WWF1 Class M4, 6.42% 1/25/35 (c)

945,000

956,727

Series 2004-WCW1:

Class M1, 5.95% 9/25/34 (c)

565,000

571,740

Class M2, 6% 9/25/34 (c)

160,000

161,315

Class M3, 6.57% 9/25/34 (c)

310,000

313,331

Class M4, 6.77% 9/25/34 (c)

435,000

439,520

Series 2004-WCW2 Class A2, 5.7% 10/25/34 (c)

124,886

124,965

Series 2004-WWF1 Class A5, 5.79% 1/25/35 (c)

126,376

126,648

Series 2005-WCH1:

Class A3B, 5.54% 1/25/35 (c)

176,354

176,487

Class M2, 5.84% 1/25/35 (c)

1,130,000

1,136,313

Class M3, 5.88% 1/25/35 (c)

425,000

428,314

Class M5, 6.2% 1/25/35 (c)

400,000

403,976

Series 2005-WHQ1 Class M7, 6.57% 3/25/35 (c)

910,000

915,074

Permanent Master Issuer PLC Series 2006-1 Class 2C, 5.7744% 7/17/42 (c)

2,645,000

2,644,897

Providian Master Note Trust:

Series 2005-2 Class C2, 5.82% 11/15/12 (a)(c)

2,160,000

2,166,307

Series 2006-C1A Class C1, 5.87% 3/16/15 (a)(c)

1,575,000

1,575,000

Residential Asset Mortgage Products, Inc.:

Series 2004-RS10 Class MII2, 6.57% 10/25/34 (c)

1,300,000

1,322,863

Series 2004-RS6:

Class 2M2, 6.62% 6/25/34 (c)

250,000

249,998

Class 2M3, 6.77% 6/25/34 (c)

250,000

249,998

Series 2005-SP2 Class 1A1, 5.47% 5/25/44 (c)

646,454

646,580

Residential Asset Securities Corp.:

Series 2004-KS10 Class AI2, 5.64% 3/25/29 (c)

25,322

25,377

Series 2005-KS7 Class A1, 5.42% 8/25/35 (c)

271,164

271,180

Salomon Brothers Mortgage Securities VII, Inc.
Series 2003-HE1 Class A, 5.72% 4/25/33 (c)

1,451

1,454

Asset-Backed Securities - continued

Principal Amount

Value

Saxon Asset Securities Trust:

Series 2004-1 Class M1, 5.85% 3/25/35 (c)

$ 640,000

$ 640,536

Series 2004-2 Class MV1, 5.9% 8/25/35 (c)

415,000

415,802

Sharps SP I LLC Net Interest Margin Trust Series 2004-HE3N Class NA, 5.19% 11/25/34 (a)

3,551

3,546

Sierra Timeshare Receivables Fund LLC Series 2006-1A Class A2, 5.47% 5/20/18 (a)(c)

3,384,812

3,384,795

Sovereign Dealer Floor Plan Master LLC Series 2006-1:

Class B, 5.5% 8/15/11 (a)(c)

1,140,000

1,139,989

Class C, 5.7% 8/15/11 (a)(c)

520,000

519,995

Specialty Underwriting & Residential Finance:

Series 2003-BC3 Class M1, 5.97% 8/25/34 (c)

1,000,000

1,002,824

Series 2003-BC4 Class M1, 5.92% 11/25/34 (c)

260,000

261,826

Structured Asset Investment Loan Trust:

Series 2003-BC9 Class M1, 6.02% 8/25/33 (c)

1,135,000

1,137,181

Series 2004-8 Class M5, 6.47% 9/25/34 (c)

290,000

293,167

Series 2005-1 Class M4, 6.08% 2/25/35 (a)(c)

485,000

490,129

Structured Asset Securities Corp. Series 2004-GEL1 Class A, 5.68% 2/25/34 (c)

32,067

32,242

Superior Wholesale Inventory Financing Trust VII
Series 2003-A8 Class CTFS, 5.77% 3/15/11 (a)(c)

675,000

675,000

Superior Wholesale Inventory Financing Trust XII
Series 2005-A12 Class C, 6.52% 6/15/10 (c)

980,000

982,867

TBW Mortgage-Backed pass thru certificates
Series 2006-4 Class A3, 5.53% 9/25/36 (c)

2,255,000

2,254,989

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 5.75% 9/25/34 (c)

21,802

21,923

Series 2003-6HE Class A1, 5.79% 11/25/33 (c)

22,699

22,805

Series 2005-14HE Class AF1, 5.46% 8/25/36 (c)

432,738

432,783

Series 2006-9HGA Class A1, 5.424% 10/25/37 (c)

1,472,062

1,472,062

Triad Auto Receivables Owner Trust Series 2006-B
Class A2, 5.36% 11/12/09

2,585,000

2,584,916

Turquoise Card Backed Securities PLC Series 2006-1A Class C, 5.65% 5/16/11 (a)(c)

2,165,000

2,165,000

UPFC Auto Receivables Trust Series 2006-A Class A2, 5.46% 6/15/09

685,000

685,308

Wachovia Auto Loan Owner Trust Series 2006-1
Class A2, 5.28% 4/20/10 (a)

2,615,000

2,615,288

WaMu Asset Holdings Corp. Series 2006-5 Class N1, 5.926% 7/25/46 (a)

1,636,260

1,634,726

WaMu Master Note Trust Series 2006-A3A Class A3, 5.35% 9/16/13 (a)(c)

3,025,000

3,025,000

WaMu Mortgage pass thru certificates Series 2006-AR11 Class C1B1, 5.41% 9/25/46 (c)

1,448,029

1,448,029

Asset-Backed Securities - continued

Principal Amount

Value

WFS Financial Owner Trust:

Series 2004-3 Class D, 4.07% 2/17/12

$ 261,274

$ 258,553

Series 2004-4 Class D, 3.58% 5/17/12

239,389

235,504

Series 2005-1 Class D, 4.09% 8/15/12

252,907

249,302

Whinstone Capital Management Ltd. Series 1A Class B3, 6.2769% 10/25/44 (a)(c)

2,032,529

2,032,529

WM Asset Holdings Corp. Series 2006-7 Class N1, 5.926% 10/25/46 (a)

1,179,073

1,179,073

TOTAL ASSET-BACKED SECURITIES

(Cost $275,421,105)

275,756,922

Collateralized Mortgage Obligations - 14.6%

Private Sponsor - 10.6%

American Home Mortgage Assets Trust floater
Series 2006-1 Class 2A1, 5.51% 5/25/46 (c)

1,314,553

1,312,159

Bear Stearns Adjustable Rate Mortgage Trust floater Series 2005-6 Class 1A1, 5.0954% 8/25/35 (c)

1,854,549

1,857,119

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 5.6% 1/25/35 (c)

1,494,771

1,495,993

Series 2005-2 Class 1A1, 5.57% 3/25/35 (c)

977,419

977,436

Citigroup Mortgage Loan Trust floater Series 2006-NC1:

Class M4, 5.71% 8/25/36 (c)

1,205,000

1,205,420

Class M5, 5.74% 8/25/36 (c)

860,000

860,601

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:

Series 2004-2 Class 7A3, 5.72% 2/25/35 (c)

510,244

511,328

Series 2004-4 Class 5A2, 5.72% 3/25/35 (c)

154,449

154,672

Series 2005-1 Class 5A2, 5.65% 5/25/35 (c)

351,424

350,862

Series 2005-10 Class 5A2, 5.64% 1/25/36 (c)

1,257,666

1,260,732

Series 2005-2:

Class 6A2, 5.6% 6/25/35 (c)

141,091

141,327

Class 6M2, 5.8% 6/25/35 (c)

1,375,000

1,382,788

Series 2005-3 Class 8A2, 5.56% 7/25/35 (c)

1,196,721

1,199,215

Series 2005-5 Class 6A2, 5.55% 9/25/35 (c)

984,266

985,441

Series 2005-8 Class 7A2, 5.6% 11/25/35 (c)

626,894

628,626

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2004-AR2 Class 6A1, 5.72% 3/25/34 (c)

87,190

87,342

Series 2004-AR3 Class 6A2, 5.69% 4/25/34 (c)

42,258

42,295

Series 2004-AR5 Class 11A2, 5.69% 6/25/34 (c)

76,678

76,753

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

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

Series 2004-AR6 Class 9A2, 5.69% 10/25/34 (c)

$ 109,339

$ 109,524

Series 2004-AR7 Class 6A2, 5.7% 8/25/34 (c)

186,095

186,431

Series 2004-AR8 Class 8A2, 5.7% 9/25/34 (c)

134,869

134,979

CWALT, Inc. floater Series 2005-56 Class 3A1, 5.61% 11/25/35 (c)

638,015

639,911

First Franklin Mortgage Loan Trust floater Series 2006-FF13:

Class M7, 6.0738% 10/25/36 (c)

1,205,000

1,205,000

Class M8, 6.2738% 10/25/36 (c)

525,000

525,000

First Horizon Mortgage pass thru Trust floater
Series 2004-FL1 Class 2A1, 5.72% 12/25/34 (c)

111,730

111,820

Gracechurch Mortgage Funding PLC floater Series 1A:

Class A2B, 5.44% 10/11/41 (a)(c)

3,305,493

3,306,022

Class CB, 5.37% 10/11/41 (a)(c)

260,000

259,990

Class DB, 5.84% 10/11/41 (a)(c)

1,060,000

1,059,958

Granite Master Issuer PLC floater:

Series 2005-1:

Class A3, 5.47% 12/21/24 (c)

700,000

700,378

Class B1, 5.52% 12/20/54 (c)

950,000

949,948

Class M1, 5.62% 12/20/54 (c)

700,000

699,960

Series 2005-2 Class C1, 5.8925% 12/20/54 (c)

1,200,000

1,200,840

Series 2005-4:

Class C1, 5.8225% 12/20/54 (c)

925,000

925,108

Class M2, 5.6725% 12/20/54 (c)

1,830,000

1,830,286

Series 2006-3 Class C2, 5.9114% 12/20/54 (c)

1,230,000

1,230,000

Granite Mortgages PLC floater Series 2004-3:

Class 1B, 5.55% 9/20/44 (c)

58,209

58,213

Class 1C, 5.98% 9/20/44 (c)

269,217

269,365

Class 1M, 5.66% 9/20/44 (c)

29,105

29,108

GSAMP Trust floater Series 2004-11 Class 2A1, 5.65% 12/20/34 (c)

899,371

901,039

Holmes Financing No. 10 PLC floater Series 10A:

Class 1C, 5.6438% 7/15/40 (a)(c)

415,000

414,988

Class 2A, 5.4038% 7/15/40 (a)(c)

1,040,000

1,039,979

Class 2C, 5.8182% 7/15/40 (a)(c)

975,000

974,971

Holmes Financing No. 8 PLC floater Series 2:

Class A, 5.4538% 4/15/11 (c)

1,400,000

1,400,052

Class B, 5.5438% 7/15/40 (c)

190,000

190,038

Class C, 6.0938% 7/15/40 (c)

775,000

776,085

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 5.77% 10/25/34 (c)

$ 579,873

$ 582,853

Impac CMB Trust floater:

Series 2004-11 Class 2A2, 5.69% 3/25/35 (c)

530,748

531,316

Series 2004-6 Class 1A2, 5.71% 10/25/34 (c)

147,853

148,114

Series 2005-1:

Class M1, 5.78% 4/25/35 (c)

251,688

252,320

Class M2, 5.82% 4/25/35 (c)

445,091

446,128

Class M3, 5.85% 4/25/35 (c)

108,623

109,131

Class M4, 6.07% 4/25/35 (c)

66,234

66,526

Class M5, 6.09% 4/25/35 (c)

66,234

66,526

Class M6, 6.14% 4/25/35 (c)

103,324

103,695

Series 2005-2 Class 1A2, 5.63% 4/25/35 (c)

1,061,444

1,062,574

Series 2005-4 Class 1B1, 6.62% 5/25/35 (c)

447,587

448,356

Series 2005-7:

Class M1, 5.8% 11/25/35 (c)

188,039

188,311

Class M2, 5.84% 11/25/35 (c)

141,029

141,535

Class M3, 5.94% 11/25/35 (c)

705,145

706,931

Class M4, 5.98% 11/25/35 (c)

336,903

337,705

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.71% 9/26/45 (a)(c)

961,107

964,142

Lehman XS Trust floater:

Series 2006-12N Class A1A1, 5.4% 8/25/46 (c)

2,869,877

2,869,877

Series 2006-GP1 Class A1, 5.41% 5/25/46 (c)

2,061,670

2,060,370

Master Asset Backed Securities Trust floater:

Series 2004-11:

Class 1A4, 5.81% 11/25/34 (c)

78,300

78,452

Class 2A1, 5.7% 11/25/34 (c)

237,549

239,144

Class 2A2, 5.76% 11/25/34 (c)

52,296

52,372

Series 2005-1 Class 1A1, 5.59% 3/25/35 (c)

439,754

440,632

Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2349% 8/25/17 (c)

510,207

518,931

Merrill Lynch Mortgage Investors Trust floater Series 2006-MLN1 Class M4, 5.6844% 7/25/37 (c)

1,015,000

1,006,457

Merrill Lynch Mortgage Investors, Inc.:

floater:

Series 2003-A:

Class 2A1, 5.71% 3/25/28 (c)

137,152

137,887

Class 2A2, 5.87% 3/25/28 (c)

48,983

49,125

Series 2003-B Class A1, 5.66% 4/25/28 (c)

132,869

133,497

Series 2003-D Class A, 5.63% 8/25/28 (c)

615,117

616,173

Series 2003-E Class A2, 5.79% 10/25/28 (c)

234,333

234,693

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Merrill Lynch Mortgage Investors, Inc.: - continued

floater:

Series 2003-F Class A2, 5.76% 10/25/28 (c)

$ 249,077

$ 249,480

Series 2004-A Class A2, 5.67% 4/25/29 (c)

316,344

316,328

Series 2004-B Class A2, 5.5875% 6/25/29 (c)

330,499

330,642

Series 2004-C Class A2, 5.01% 7/25/29 (c)

438,358

437,818

Series 2004-D Class A2, 5.82% 9/25/29 (c)

456,802

457,314

Series 2004-E Class A2D, 5.97% 11/25/29 (c)

467,386

468,831

Series 2004-G Class A2, 5.8719% 11/25/29 (c)

175,222

175,304

Series 2005-A Class A2, 5.71% 2/25/30 (c)

546,443

547,080

Series 2005-B Class A2, 5.5475% 7/25/30 (c)

573,626

574,178

Series 2003-G Class XA1, 1% 1/25/29 (e)

1,441,278

10,098

MortgageIT Trust floater Series 2004-2:

Class A1, 5.69% 12/25/34 (c)

415,535

415,032

Class A2, 5.77% 12/25/34 (c)

561,282

567,066

Opteum Mortgage Acceptance Corp. floater:

Series 2005-3 Class APT, 5.61% 7/25/35 (c)

1,800,618

1,804,216

Series 2005-5 Class 1A1B, 5.52% 12/25/35 (c)

920,000

919,668

Permanent Financing No. 4 PLC floater Series 2 Class C, 6.11% 6/10/42 (c)

1,145,000

1,149,367

Permanent Financing No. 5 PLC floater:

Series 2:

Class A, 5.5% 6/10/11 (c)

5,000,000

5,002,250

Class C, 6.04% 6/10/42 (c)

390,000

391,053

Series 3 Class C, 6.19% 6/10/42 (c)

1,030,000

1,031,339

Permanent Financing No. 6 PLC floater Series 6
Class 2C, 5.84% 6/10/42 (c)

1,600,000

1,602,125

Permanent Financing No. 7 PLC floater Series 7
Class 2C, 5.72% 6/10/42 (c)

1,140,000

1,141,193

Permanent Financing No. 8 PLC floater:

Series 3C, 5.85% 6/10/42 (c)

910,000

910,564

Series 8 Class 2C, 5.79% 6/10/42 (c)

1,435,000

1,436,082

Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 5.4244% 9/25/46 (c)

2,870,198

2,870,198

Residential Asset Mortgage Products, Inc.:

sequential payer:

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

193,411

195,517

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

72,273

73,163

Series 2005-AR5 Class 1A1, 4.8316% 9/19/35 (c)

529,756

529,592

Residential Funding Securities Corp.:

Series 2003-RP1 Class A1, 5.82% 11/25/34 (c)

9,648

9,652

Series 2003-RP2 Class A1, 5.77% 6/25/33 (a)(c)

109,218

109,679

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Sequoia Mortgage Funding Trust Series 2003-A
Class AX1, 0.8% 10/21/08 (a)(e)

$ 3,873,319

$ 10,491

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 5.78% 9/20/33 (c)

209,962

210,005

Series 2003-7 Class A2, 5.6419% 1/20/34 (c)

110,021

110,067

Series 2004-1 Class A, 5.8825% 2/20/34 (c)

162,349

162,514

Series 2004-10 Class A4, 5.7469% 11/20/34 (c)

481,777

482,426

Series 2004-12 Class 1A2, 5.82% 1/20/35 (c)

772,006

774,706

Series 2004-4 Class A, 5.7288% 5/20/34 (c)

608,830

609,042

Series 2004-5 Class A3, 5.5769% 6/20/34 (c)

216,173

216,205

Series 2004-6:

Class A3A, 5.8275% 6/20/35 (c)

233,159

233,589

Class A3B, 5.1069% 7/20/34 (c)

466,317

466,800

Series 2004-7:

Class A3A, 5.775% 8/20/34 (c)

278,800

279,157

Class A3B, 6% 7/20/34 (c)

541,359

543,397

Series 2004-8 Class A2, 5.82% 9/20/34 (c)

831,479

832,721

Series 2005-1 Class A2, 5.8325% 2/20/35 (c)

403,602

404,686

Series 2005-2 Class A2, 5.7% 3/20/35 (c)

747,149

748,562

Soundview Home Equity Loan Trust floater
Series 2006-EQ1:

Class M2, 5.65% 9/25/36 (c)

640,000

640,000

Class M4, 5.7% 9/25/36 (c)

960,000

959,400

Class M7, 6.13% 9/25/36 (c)

330,000

330,000

Structured Asset Securities Corp. floater:

Series 2004-NP1 Class A, 5.72% 9/25/33 (a)(c)

107,652

107,733

Series 2005-AR1 Class B1, 7.32% 9/25/35 (a)(c)

1,155,000

989,373

Thornburg Mortgage Securities Trust floater:

Series 2004-3 Class A, 5.69% 9/25/34 (c)

1,846,532

1,855,600

Series 2005-3 Class A4, 5.6% 10/25/35 (c)

2,125,960

2,122,342

WaMu Mortgage pass thru certificates:

floater:

Series 2005-AR11 Class A1C1, 5.52% 8/25/45 (c)

362,278

362,381

Series 2005-AR13 Class A1C1, 5.51% 10/25/45 (c)

701,405

701,687

Series 2005-AR17 Class A1C1, 5.51% 12/25/45 (c)

639,819

640,222

Series 2005-AR19 Class A1C1, 5.51% 12/25/45 (c)

656,219

656,529

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

121,306

120,767

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

WaMu Mortgage Securities Corp. sequential payer Series 2003-MS9 Class 2A1, 7.5% 12/25/33

$ 53,470

$ 55,050

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-M Class A3, 4.6742% 8/25/34 (c)

1,080,436

1,073,798

Series 2005-AR10 Class 2A2, 4.109% 6/25/35 (c)

4,427,130

4,335,482

Series 2005-AR12 Class 2A1, 4.319% 7/25/35 (c)

2,670,886

2,628,038

TOTAL PRIVATE SPONSOR

97,640,474

U.S. Government Agency - 4.0%

Fannie Mae:

floater Series 2002-89 Class F, 5.62% 1/25/33 (c)

96,968

97,423

planned amortization class:

Series 1993-207 Class G, 6.15% 4/25/23

364,768

364,396

Series 2003-24 Class PB, 4.5% 12/25/12

1,508,557

1,495,765

Fannie Mae guaranteed REMIC pass thru certificates:

floater:

Series 2001-38 Class QF, 6.3% 8/25/31 (c)

878,895

897,845

Series 2002-11 Class QF, 5.82% 3/25/32 (c)

131,979

133,204

Series 2002-36 Class FT, 5.82% 6/25/32 (c)

130,565

131,427

Series 2002-49 Class FB, 5.92% 11/18/31 (c)

1,350,720

1,368,297

Series 2002-60 Class FV, 6.32% 4/25/32 (c)

291,973

298,648

Series 2002-64 Class FE, 5.67% 10/18/32 (c)

63,556

63,820

Series 2002-68 Class FH, 5.82% 10/18/32 (c)

2,537,655

2,560,537

Series 2002-74 Class FV, 5.77% 11/25/32 (c)

86,142

86,646

Series 2002-75 Class FA, 6.32% 11/25/32 (c)

598,105

611,774

Series 2003-11:

Class DF, 5.77% 2/25/33 (c)

70,925

71,329

Class EF, 5.77% 2/25/33 (c)

32,685

32,842

Series 2003-122 Class FL, 5.67% 7/25/29 (c)

484,277

486,537

Series 2003-15 Class WF, 5.67% 8/25/17 (c)

580,856

583,671

Series 2004-33 Class FW, 5.72% 8/25/25 (c)

832,311

836,777

Series 2004-54 Class FE, 6.47% 2/25/33 (c)

508,219

508,929

Series 2005-72 Class FG, 5.57% 5/25/35 (c)

6,442,746

6,446,958

planned amortization class:

Series 2002-11 Class QB, 5.5% 3/25/15

147,239

147,059

Series 2002-52 Class PA, 6% 4/25/31

7,865

7,883

Series 2002-50 Class LE, 7% 12/25/29

31,304

31,399

Series 2004-31 Class IA, 4.5% 6/25/10 (e)

146,772

1,433

Freddie Mac planned amortization class Series 2162 Class PH, 6% 6/15/29

1,329,018

1,354,066

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2389 Class DA, 6.22% 11/15/30 (c)

$ 1,514,519

$ 1,520,197

Series 2406:

Class FP, 6.3% 1/15/32 (c)

1,108,471

1,133,038

Class PF, 6.3% 12/15/31 (c)

1,085,299

1,109,310

Series 2410 Class PF, 6.3% 2/15/32 (c)

3,000,930

3,076,126

Series 2526 Class FC, 5.72% 11/15/32 (c)

18,485

18,580

Series 2538 Class FB, 5.72% 12/15/32 (c)

163,672

164,770

Series 2551 Class FH, 5.77% 1/15/33 (c)

60,628

60,992

Series 2553 Class FB, 5.82% 3/15/29 (c)

2,654,994

2,665,862

Series 2577 Class FW, 5.82% 1/15/30 (c)

1,776,650

1,785,411

Series 2650 Class FV, 5.72% 12/15/32 (c)

1,624,129

1,636,142

Series 2861 Class JF, 5.62% 4/15/17 (c)

766,336

769,912

Series 2994 Class FB, 5.47% 6/15/20 (c)

653,374

652,802

Series 3066 Class HF, 0% 1/15/34 (c)

68,741

67,846

planned amortization class:

Series 2395 Class PE, 6% 2/15/30

51,374

51,324

Series 2543 Class PM, 5.5% 8/15/18

450,049

449,379

Series 2614 Class IC, 4.5% 12/15/10 (e)

557,206

6,176

Series 2676 Class KN, 3% 12/15/13

810,696

802,138

Series 2683 Class UH, 3% 3/15/19

825,848

821,426

Series 2748 Class IB, 4.5% 3/15/10 (e)

210,600

1,096

Series 2776 Class UJ, 4.5% 5/15/20 (e)

283,973

6,364

Series 2828 Class JA, 4.5% 1/15/10

544,605

542,914

Series 1803 Class A, 6% 12/15/08

253,438

254,529

Ginnie Mae guaranteed REMIC pass thru securities:

floater Series 2001-21 Class FB, 5.72% 1/16/27 (c)

100,270

100,758

planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31

172,374

173,545

TOTAL U.S. GOVERNMENT AGENCY

36,489,302

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $134,237,153)

134,129,776

Commercial Mortgage Securities - 6.6%

Principal Amount

Value

Banc of America Large Loan, Inc.:

floater:

Series 2003-BBA2:

Class D, 5.87% 11/15/15 (a)(c)

$ 80,375

$ 80,389

Class F, 6.22% 11/15/15 (a)(c)

80,000

80,026

Class H, 6.72% 11/15/15 (a)(c)

70,000

70,091

Class J, 7.27% 11/15/15 (a)(c)

70,000

70,130

Class K, 7.92% 11/15/15 (a)(c)

65,000

65,018

Series 2005-BBA6:

Class B, 5.54% 1/15/19 (a)(c)

390,000

390,151

Class C, 5.58% 1/15/19 (a)(c)

400,000

400,155

Class D, 5.63% 1/15/19 (a)(c)

390,000

390,151

Class E, 5.67% 1/15/19 (a)(c)

245,000

245,085

Class F, 5.72% 1/15/19 (a)(c)

165,000

165,057

Class G, 5.75% 1/15/19 (a)(c)

125,000

125,048

Series 2005-ESHA:

Class F, 6.07% 7/14/20 (a)(c)

860,000

860,980

Class G, 6.2% 7/14/20 (a)(c)

585,000

585,666

Class H, 6.42% 7/14/20 (a)(c)

720,000

720,817

Series 2005-MIB1:

Class B, 5.58% 3/15/22 (a)(c)

475,000

475,155

Class C, 5.63% 3/15/22 (a)(c)

200,000

200,074

Class D, 5.68% 3/15/22 (a)(c)

205,000

205,121

Class E, 5.72% 3/15/22 (a)(c)

390,000

390,238

Class F, 5.79% 3/15/22 (a)(c)

200,000

200,122

Class G, 5.85% 3/15/22 (a)(c)

130,000

130,079

Series 2006-LAQ:

Class H, 6% 2/9/21 (a)(c)

440,000

441,587

Class J, 6.09% 2/9/21 (a)(c)

320,000

321,152

Class K, 6.32% 2/9/21 (a)(c)

880,000

882,628

Series 2005-ESHA Class X1, 0.8865% 7/14/20 (a)(c)(e)

44,830,000

274,682

Series 2006-ESH:

Class A, 6.18% 7/14/11 (a)(c)

938,219

937,603

Class B, 6.28% 7/14/11 (a)(c)

467,860

467,097

Class C, 6.43% 7/14/11 (a)(c)

936,970

936,355

Class D, 7.06% 7/14/11 (a)(c)

544,559

546,682

Bayview Commercial Asset Trust floater:

Series 2003-1 Class A, 5.9% 8/25/33 (a)(c)

190,265

190,741

Series 2003-2 Class A, 5.9% 12/25/33 (a)(c)

572,368

573,799

Series 2004-1:

Class A, 5.68% 4/25/34 (a)(c)

359,924

360,599

Class B, 7.22% 4/25/34 (a)(c)

59,987

60,550

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust floater: - continued

Series 2004-2:

Class A, 5.75% 8/25/34 (a)(c)

$ 451,879

$ 453,150

Class M1, 5.9% 8/25/34 (a)(c)

144,742

145,036

Series 2004-3:

Class A1, 5.69% 1/25/35 (a)(c)

648,162

649,479

Class A2, 5.74% 1/25/35 (a)(c)

76,254

76,540

Class M1, 5.82% 1/25/35 (a)(c)

114,382

114,739

Class M2, 6.32% 1/25/35 (a)(c)

76,254

76,707

Series 2005-2A:

Class M1, 5.75% 8/25/35 (a)(c)

165,235

165,235

Class M2, 5.8% 8/25/35 (a)(c)

276,880

277,700

Class M3, 5.82% 8/25/35 (a)(c)

151,837

152,437

Class M4, 5.93% 8/25/35 (a)(c)

138,440

139,053

Series 2005-3A:

Class A1, 5.64% 11/25/35 (a)(c)

760,476

761,857

Class M1, 5.76% 11/25/35 (a)(c)

108,639

109,330

Class M2, 5.81% 11/25/35 (a)(c)

149,379

150,668

Class M3, 5.83% 11/25/35 (a)(c)

135,799

136,970

Class M4, 5.92% 11/25/35 (a)(c)

167,486

167,902

Series 2005-4A:

Class A2, 5.71% 1/25/36 (a)(c)

1,034,817

1,036,758

Class B1, 6.72% 1/25/36 (a)(c)

94,074

95,015

Class M1, 5.77% 1/25/36 (a)(c)

376,297

377,003

Class M2, 5.79% 1/25/36 (a)(c)

94,074

94,251

Class M3, 5.82% 1/25/36 (a)(c)

188,149

188,443

Class M4, 5.93% 1/25/36 (a)(c)

94,074

94,427

Class M5, 5.97% 1/25/36 (a)(c)

94,074

94,486

Class M6, 6.02% 1/25/36 (a)(c)

94,074

94,309

Series 2006-2A:

Class A2, 5.6% 7/25/36 (a)(c)

284,289

284,289

Class B1, 6.19% 7/25/36 (a)(c)

104,239

104,239

Class B3, 8.02% 7/25/36 (a)(c)

170,573

170,573

Class M1, 5.63% 7/25/36 (a)(c)

298,504

298,504

Class M2, 5.65% 7/25/36 (a)(c)

213,217

213,217

Class M3, 5.67% 7/25/36 (a)(c)

165,835

165,835

Class M4, 5.74% 7/25/36 (a)(c)

113,716

113,716

Class M5, 5.79% 7/25/36 (a)(c)

137,406

137,406

Class M6, 5.86% 7/25/36 (a)(c)

217,955

217,955

Series 2006-3A:

Class A1, 5.57% 10/25/36 (a)(c)

1,295,590

1,295,590

Class B1, 6.12% 10/25/36 (a)(c)

153,295

153,295

Class B2, 6.67% 10/25/36 (a)(c)

98,900

98,900

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust floater: - continued

Series 2006-3A:

Class B3, 7.92% 10/25/36 (a)(c)

$ 178,020

$ 178,020

Class M4, 5.75% 10/25/36 (a)(c)

153,295

153,295

Class M5, 5.8% 10/25/36 (a)(c)

192,855

192,855

Class M6, 5.88% 10/25/36 (a)(c)

380,765

380,765

Bear Stearns Commercial Mortgage Securities, Inc. floater Series 2004-BBA3 Class E, 6.02% 6/15/17 (a)(c)

960,000

960,330

COMM floater Series 2002-FL7:

Class F, 6.63% 11/15/14 (a)(c)

1,000,000

1,005,421

Class H, 7.58% 11/15/14 (a)(c)

150,000

150,502

Commercial Mortgage pass thru certificates floater:

Series 2004-HTL1:

Class B, 5.78% 7/15/16 (a)(c)

8,103

8,105

Class D, 5.88% 7/15/16 (a)(c)

17,733

17,737

Class E, 6.08% 7/15/16 (a)(c)

12,482

12,486

Class F, 6.13% 7/15/16 (a)(c)

29,623

29,635

Class H, 6.63% 7/15/16 (a)(c)

87,041

87,166

Class J, 6.78% 7/15/16 (a)(c)

32,745

32,840

Class K, 7.68% 7/15/16 (a)(c)

565,375

566,963

Series 2005-F10A:

Class B, 5.56% 4/15/17 (a)(c)

1,005,000

1,005,070

Class C, 5.6% 4/15/17 (a)(c)

425,000

425,011

Class D, 5.64% 4/15/17 (a)(c)

345,000

345,088

Class E, 5.7% 4/15/17 (a)(c)

260,000

260,042

Class F, 5.74% 4/15/17 (a)(c)

145,000

145,010

Class G, 5.88% 4/15/17 (a)(c)

145,000

145,011

Class H, 5.95% 4/15/17 (a)(c)

145,000

145,029

Class J, 6.18% 4/15/17 (a)(c)

50,000

50,012

Class MOA3, 5.62% 3/15/20 (a)(c)

650,000

650,046

Series 2005-FL11:

Class B, 5.57% 11/15/17 (a)(c)

295,290

295,372

Class C, 5.62% 11/15/17 (a)(c)

590,580

590,744

Class D, 5.66% 11/15/17 (a)(c)

102,367

102,396

Class E, 5.71% 11/15/17 (a)(c)

157,488

157,539

Class F, 5.77% 11/15/17 (a)(c)

141,739

141,778

Class G, 5.82% 11/15/17 (a)(c)

224,420

224,482

Series 2006-CN2A Class AJFL, 5.5813% 2/5/19 (a)(c)

1,135,000

1,138,919

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2004-FL1 Class B, 5.77% 5/15/14 (a)(c)

296,157

296,190

Series 2004-TF2A Class E, 5.74% 11/15/19 (a)(c)

640,000

640,259

Commercial Mortgage Securities - continued

Principal Amount

Value

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

Series 2005-TF2A Class F, 5.82% 11/15/19 (a)(c)

$ 230,000

$ 230,098

Series 2005-TFLA:

Class E, 5.65% 2/15/20 (a)(c)

560,000

560,207

Class F, 5.7% 2/15/20 (a)(c)

250,000

250,092

Class G, 5.84% 2/15/20 (a)(c)

70,000

70,032

Class H, 6.07% 2/15/20 (a)(c)

100,000

100,044

CS First Boston Mortgage Securities Corp. floater:

Series 2005-CN2A Class A1J, 5.65% 11/15/19 (a)(c)

2,165,000

2,166,201

Series 2005-TF3A Class A2, 5.6% 11/15/20 (a)(c)

2,775,000

2,776,965

CSMC Commercial Mortgage Trust floater Series 2006-TFLA:

Class D, 5.6% 4/15/21 (a)(c)

300,000

300,083

Class E, 5.65% 4/15/21 (a)(c)

300,000

300,147

Class G, 5.74% 4/15/21 (a)(c)

300,000

300,232

Class H, 6.05% 4/15/21 (a)(c)

300,000

300,167

Class J, 6.12% 4/15/21 (a)(c)

200,000

200,055

Class K, 6.52% 4/15/21 (a)(c)

1,005,000

1,005,275

Freddie Mac Multi-class participation certificates guaranteed floater Series 2448 Class FT, 6.32% 3/15/32 (c)

1,370,455

1,405,596

Greenwich Capital Commercial Funding Corp. floater Series 2005-FL3A:

Class H-AON:

6.3213% 10/5/20 (a)(c)

180,000

180,000

6.5713% 10/5/20 (a)(c)

220,000

220,000

Class M-AON, 6.8213% 10/5/20 (a)(c)

215,000

215,000

Class N-AON, 7.1713% 10/5/20 (a)(c)

550,000

550,000

GS Mortgage Securities Corp. II floater
Series 2006-FL8A:

Class C, 5.56% 6/6/20 (a)(c)

145,000

145,000

Class D, 5.6% 6/6/20 (a)(c)

400,000

400,000

Class E, 5.69% 6/6/20 (a)(c)

800,000

800,000

Class F, 5.76% 6/6/20 (a)(c)

575,000

575,180

Guggenheim Structure Real Estate Funding Ltd. floater Series 2006-3:

Class B, 5.72% 9/25/46 (a)(c)

450,000

450,000

Class C, 5.87% 9/25/46 (a)(c)

1,150,000

1,150,000

Hilton Hotel Pool Trust floater Series 2000-HLTA Class A2, 5.7219% 10/3/15 (a)(c)

3,000,000

3,021,395

Commercial Mortgage Securities - continued

Principal Amount

Value

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2003-LLFA Class K1, 7.88% 12/16/14 (a)(c)

$ 435,000

$ 434,564

Merrill Lynch Mortgage Trust Series 2005-GGP1 Class X, 0.1416% 11/15/10 (a)(c)(e)

417,400,000

267,386

Morgan Stanley Capital I, Inc.:

floater:

Series 2005-XLF:

Class B, 5.54% 8/15/19 (a)(c)

935,000

935,380

Class C, 5.57% 8/15/19 (a)(c)

75,000

75,030

Class D, 5.59% 8/15/19 (a)(c)

270,000

270,110

Class E, 5.61% 8/15/19 (a)(c)

245,000

245,099

Class F, 5.65% 8/15/19 (a)(c)

170,000

170,069

Class G, 5.7% 8/15/19 (a)(c)

120,000

120,049

Class H, 5.72% 8/15/19 (a)(c)

100,000

100,040

Class J, 5.79% 8/15/19 (a)(c)

75,000

75,024

Series 2006-XLF:

Class D, 5.57% 7/15/19 (a)(c)

1,195,000

1,194,993

Class E, 5.61% 7/15/19 (a)(c)

1,450,000

1,450,004

Class F, 5.64% 7/15/19 (a)(c)

535,000

535,002

Class G, 5.68% 7/15/19 (a)(c)

385,000

385,920

Series 2006-XLF Class C, 6.52% 7/15/19 (a)(c)

570,000

569,996

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 5.8% 3/24/18 (a)(c)

364,238

364,921

Wachovia Bank Commercial Mortgage Trust floater:

Series 2005-WL6A:

Class A2, 5.57% 10/15/17 (a)(c)

990,000

990,382

Class B, 5.62% 10/15/17 (a)(c)

200,000

200,069

Class D, 5.75% 10/15/17 (a)(c)

400,000

400,149

Series 2006-WL7A:

Class F, 5.6638% 8/11/18 (a)(c)

1,235,000

1,235,000

Class G, 5.6838% 8/11/18 (a)(c)

1,170,000

1,170,000

Class J, 5.9238% 8/11/18 (a)(c)

260,000

260,000

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $60,275,241)

60,403,116

Certificates of Deposit - 2.6%

BNP Paribas SA yankee 5.045% 2/21/07

4,000,000

3,994,161

Deutsche Bank AG yankee 5.045% 2/21/07

4,000,000

3,994,161

HBOS Treasury Services PLC yankee 5.04% 2/21/07

4,000,000

3,994,229

Rabobank Nederland Coop. Central yankee 5.01% 2/14/07

4,000,000

3,993,969

Certificates of Deposit - continued

Principal Amount

Value

Royal Bank of Scotland PLC yankee 5.04% 2/21/07

$ 4,000,000

$ 3,994,102

Societe Generale euro 5.05% 2/21/07

4,000,000

3,994,257

TOTAL CERTIFICATES OF DEPOSIT

(Cost $23,999,608)

23,964,879

Commercial Paper - 0.2%

Rockies Express Pipeline LLC 5.58% 12/20/06 (a)
(Cost $1,984,500)

2,000,000

1,985,191

Fixed-Income Funds - 25.2%

Shares

Fidelity Ultra-Short Central Fund (d)
(Cost $230,066,386)

2,314,696

230,335,439

Cash Equivalents - 2.9%

Maturity Amount

Investments in repurchase agreements in a joint trading account at 5.32%, dated 10/31/06 due 11/1/06 (Collateralized by U.S. Government Obligations) #
(Cost $26,813,000)

$ 26,816,960

26,813,000

TOTAL INVESTMENT PORTFOLIO - 99.5%

(Cost $911,343,934)

911,682,271

NET OTHER ASSETS - 0.5%

4,359,737