UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3221
Fidelity Charles Street Trust
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | September 30 |
Date of reporting period: | September 30, 2005 |
Item 1. Reports to Stockholders
| Fidelity® Asset ManagerSM |
| Annual Report September 30, 2005 |
| Contents | ||||||
| Chairman’s Message | A-4 | Ned Johnson’s message to shareholders. | ||||
| Performance | A-5 | How the fund has done over time. | ||||
| Management’s Discussion | A-6 | The manager’s review of fund | ||||
| performance, strategy and outlook. | ||||||
| Shareholder Expense | A-7 | An example of shareholder expenses. | ||||
| Example | ||||||
| Investment Changes | A-9 | A summary of major shifts in the fund’s | ||||
| investments over the past six months. | ||||||
| Investments | A-10 | A complete list of the fund’s investments | ||||
| with their market values. | ||||||
| Financial Statements | A-26 | Statements of assets and liabilities, | ||||
| operations, and changes in net assets, | ||||||
| as well as financial highlights. | ||||||
| Notes | A-30 | Notes to the financial statements. | ||||
| Report of Independent | A-38 | |||||
| Registered Public | ||||||
| Accounting Firm | ||||||
| Trustees and Officers | A-39 | |||||
| Distributions | A-51 | |||||
| Board Approval of | A-52 | |||||
| Investment Advisory | ||||||
| Contracts and | ||||||
| Management Fees | ||||||
| Central Fund Investments | A- | 61 | Complete list of investments for Fidelity’s | |||
| Fixed-Income Central Funds. | ||||||
| To view a fund’s proxy voting guidelines and proxy voting record for the 12 month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission’s (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines. Standard & Poor’s, S&P and S&P 500 are registered service marks of The McGraw Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation. Other third party marks appearing herein are the property of their respective owners. All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company. |
Annual Report A-2
| This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus. A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N Q. Forms N Q are available on the SEC’s web site at http://www.sec.gov. A fund’s Forms N Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund’s portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity’s web site at http://www.fidelity.com/holdings. NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE Neither the fund nor Fidelity Distributors Corporation is a bank. |
| A-3 |
| Annual Report |
Chairman’s Message
(photograph of Edward C. Johnson 3d)
Dear Shareholder:
During the past year or so, much has been reported about the mutual fund industry, and much of it has been more critical than I believe is warranted. Allegations that some companies have been less than forthright with their shareholders have cast a shadow on the entire industry. I continue to find these reports disturbing, and assert that they do not create an ac curate picture of the industry overall. Therefore, I would like to remind every one where Fidelity stands on these issues. I will say two things specifically regarding allegations that some mutual fund compa nies were in violation of the Securities and Exchange Commission’s forward pricing rules or were involved in so called “market timing” activities.
First, Fidelity has no agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not a new policy. This is not to say that some one could not deceive the company through fraudulent acts. However, we are extremely diligent in preventing fraud from occurring in this manner and in every other. But I underscore again that Fidelity has no so called “agreements” that sanction illegal practices.
Second, Fidelity continues to stand on record, as we have for years, in opposition to predatory short term trading that adversely affects shareholders in a mutual fund. Back in the 1980s, we initiated a fee which is returned to the fund and, therefore, to investors to discourage this activity. Further, we took the lead several years ago in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. I am confident we will find other ways to make it more difficult for predatory traders to operate. However, this will only be achieved through close cooperation among regulators, legislators and the industry.
Yes, there have been unfortunate instances of unethical and illegal activity within the mutual fund industry from time to time. That is true of any industry. When this occurs, confessed or convicted offend ers should be dealt with appropriately. But we are still concerned about the risk of over regulation and the quick application of simplistic solutions to intricate problems. Every system can be improved, and we support and applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors’ holdings.
For nearly 60 years, Fidelity has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Today, we serve more than 18 million customers in cluding individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we real ize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.
Best regards,
/s/ Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report A-4
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund’s dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of perfor mance each year. The $10,000 table and the fund’s returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns | ||||||
| Periods ended September 30, 2005 | Past 1 | Past 5 | Past 10 | |||
| year | years | years | ||||
| Fidelity® Asset ManagerSM | 7.15% | 1.27% | 7.89% |
$10,000 Over 10 Years
Let’s say hypothetically that $10,000 was invested in Fidelityr Asset ManagerSM on September 30, 1995. The chart shows how the value of your investment would have changed, and also shows how the Standard & Poor’s 500SM Index performed over the same period.
A-5 Annual Report
A-5
Management’s Discussion of Fund Performance
Comments from Richard Habermann, Portfolio Manager of Fidelity® Asset ManagerSM
Stocks and bonds had positive returns for the 12 months ending September 30, 2005. Equities did significantly better, as the majority of bellwether stock market measures had gains in the low to mid teens, compared to low single digits for bonds. Energy and utilities were the top performing sectors and drove about a third of the stock market’s return on the strength of record high oil prices. It was a fairly conducive investment environment for equities, as continued strength in consumer spending and corporate profits led to steady economic growth. Against this backdrop, the Standard & Poor’s 500SM Index returned 12.25%, the NASDAQ Composite® Index rose 14.19% and the Dow Jones Industrial AverageSM gained 7.23% . In the bond market, a flattening yield curve surprised many. Despite eight interest rate hikes in the past year, longer term yields were relatively stable, resulting in a narrowing yield gap compared to rising short term rates. Overall, the Federal Reserve Board’s monetary policy and inflation concerns tempered debt returns, as shown by the modest 2.80% rise in the Lehman Brothersr Aggregate Bond Index.
The fund was up 7.15% during the past year, versus 7.52% for the Fidelity Asset Manager Composite Index and 11.66% for the LipperSM Flexible Portfolio Funds Average. Relative to the index, weak results from our domestic equity holdings more than offset favorable asset allocation overall and solid outperformance in the fixed income subportfolio. In an environ ment that favored riskier assets, it paid to overweight stocks and high yield securities relative to investment grade debt. Within the equity allocation, modest exposure to foreign stocks was helpful, as overseas markets easily beat their U.S. counterparts. Overweighting cash detracted slightly relative to the index, but the fund enjoyed signifi cantly higher yields than in recent periods. Our U.S. equities trailed the S&P 500® by nearly three percentage points, largely due to underweightings in the energy and utilities sectors. Stock selection in financials also hurt, as two major positions mortgage finance giant Fannie Mae and insurer American International Group wilted amid regulatory issues. Conversely, some good picks in consumer staples and health care provided most of the upside, led by pharmacy chain CVS and medical supplier Cardinal Health, respectively. In fixed income, we benefited mainly from good sector selection, and our high yield and investment grade holdings through the use of central investment portfolios comfortably outpaced the Lehman Brothers index. The strategic cash portion of the fund topped its benchmark as well.
The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
| Annual Report |
| A-6 A-6 |
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2005 to September 30, 2005).
| Actual Expenses |
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the fund, as a share holder in underlying affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated central funds. These fees and expenses are not included in the fund’s annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the share holder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the fund as a shareholder in underlying affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated central funds. These fees and expenses are not included in the fund’s annualized expense ratio used to calculate the expense estimate in the table below.
| A-7 |
| Annual Report |
Shareholder Expense Example continued
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Expenses Paid | ||||||||||
| During Period* | ||||||||||
| Beginning | Ending | April 1, 2005 | ||||||||
| Account Value | Account Value | to September 30, | ||||||||
| April 1, 2005 | September 30, 2005 | 2005 | ||||||||
| Actual | $ 1,000.00 | $ 1,038.20 | $ 3.73 | |||||||
| Hypothetical (5% return per year | ||||||||||
| before expenses) | $ 1,000.00 | $1,021.41 | $ 3.70 |
* Expenses are equal to the Fund’s annualized expense ratio of .73%; multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one half year period). The fees and expenses of the underlying affiliated central funds in which the fund invests are not included in the fund’s annualized expense ratio.
| Annual Report |
| A-8 |
Investment Changes
| Top Five Stocks as of September 30, 2005 | ||||
| % of fund’s | % of fund’s net assets | |||
| net assets | 6 months ago | |||
| Cardinal Health, Inc. | 3.1 | 2.6 | ||
| American International Group, Inc. | 2.7 | 2.2 | ||
| Home Depot, Inc. | 2.5 | 2.4 | ||
| Microsoft Corp. | 2.5 | 2.2 | ||
| Wyeth | 2.1 | 1.8 | ||
| 12.9 | ||||
| Top Five Bond Issuers as of September 30, 2005 | ||||
| (with maturities greater than one year) | % of fund’s | % of fund’s net assets | ||
| net assets | 6 months ago | |||
| Fannie Mae | 6.9 | 7.7 | ||
| U.S. Treasury Obligations | 2.3 | 2.4 | ||
| Freddie Mac | 2.0 | 2.4 | ||
| Government National Mortgage Association | 0.3 | 0.8 | ||
| United Mexican States | 0.3 | 0.4 | ||
| 11.8 | ||||
| Top Five Market Sectors as of September 30, 2005 | ||||
| % of fund’s | % of fund’s net assets | |||
| net assets | 6 months ago | |||
| Financials | 14.3 | 14.8 | ||
| Information Technology | 9.2 | 8.6 | ||
| Consumer Discretionary | 8.8 | 8.0 | ||
| Health Care | 8.8 | 8.7 | ||
| Industrials | 5.8 | 5.2 | ||
Asset allocations in the pie charts reflect the categorization of assets as defined in the fund’s prospectus in effect as of the time periods indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.
The information in the above tables is based on the combined investments of the fund and its pro rata share of the investments of Fidelity’s fixed income central funds.
A-9 Annual Report
| Investments September 30, 2005 | ||||||
| Showing Percentage of Net Assets | ||||||
| Common Stocks 49.3% | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| CONSUMER DISCRETIONARY – 6.4% | ||||||
| Auto Components 0.0% | ||||||
| Aisin Seiki Co. Ltd. | 37,600 | $ 1,074 | ||||
| Cheng Shin Rubber Industry Co. Ltd. | 437,000 | 356 | ||||
| NOK Corp. | 32,400 | 972 | ||||
| Stanley Electric Co. Ltd. | 122,100 | 1,862 | ||||
| Sumitomo Rubber Industries Ltd. | 78,000 | 934 | ||||
| Tong Yang Industry Co. Ltd. | 595,000 | 714 | ||||
| 5,912 | ||||||
| Automobiles – 0.2% | ||||||
| Honda Motor Co. Ltd. | 13,800 | 784 | ||||
| Hyundai Motor Co. | 44,730 | 3,494 | ||||
| Kia Motors Corp. | 84,880 | 1,586 | ||||
| Renault SA | 40,700 | 3,856 | ||||
| Toyota Motor Corp. | 149,900 | 6,923 | ||||
| 16,643 | ||||||
| Distributors – 0.0% | ||||||
| Doshisha Co. Ltd. | 27,600 | 566 | ||||
| Diversified Consumer Services – 0.0% | ||||||
| ABC Learning Centres Ltd. | 200,260 | 956 | ||||
| Raffles Education Corp. Ltd. | 1,483,000 | 754 | ||||
| YBM Sisa.com, Inc. | 18,565 | 311 | ||||
| 2,021 | ||||||
| Hotels, Restaurants & Leisure 0.5% | ||||||
| Carnival Corp. unit | 118,900 | 5,943 | ||||
| Hilton Group PLC | 894,600 | 4,965 | ||||
| McDonald’s Corp. | 833,200 | 27,904 | ||||
| Royal Caribbean Cruises Ltd. | 105,900 | 4,575 | ||||
| St. Marc Co. Ltd. | 2,500 | 120 | ||||
| William Hill PLC | 451,100 | 4,641 | ||||
| 48,148 | ||||||
| Household Durables – 0.2% | ||||||
| Barratt Developments PLC | 109,700 | 1,462 | ||||
| Casio Computer Co. Ltd. | 66,000 | 966 | ||||
| Chitaly Holdings Ltd. | 1,114,000 | 632 | ||||
| George Wimpey PLC | 438,700 | 3,313 | ||||
| HTL International Holdings Ltd. | 1,371,000 | 1,045 | ||||
| Koninklijke Philips Electronics NV (NY Shares) | 171,500 | 4,576 | ||||
| LG Electronics, Inc. | 13,220 | 886 | ||||
| Matsushita Electric Industrial Co. Ltd. | 109,000 | 1,865 | ||||
See accompanying notes which are an integral part of the financial statements.
Annual Report A-10
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| CONSUMER DISCRETIONARY – continued | ||||||
| Household Durables – continued | ||||||
| Sony Corp. | 33,400 | $ 1,109 | ||||
| Sumitomo Forestry Co. Ltd. | 140,000 | 1,430 | ||||
| Techtronic Industries Co. Ltd. | 782,000 | 2,001 | ||||
| Tsann Kuen Enterprise Co. Ltd. | 237,880 | 381 | ||||
| Wilson Bowden PLC | 77,000 | 1,584 | ||||
| 21,250 | ||||||
| Leisure Equipment & Products – 0.0% | ||||||
| Aruze Corp. | 30,000 | 488 | ||||
| Asia Optical Co., Inc. | 100,076 | 639 | ||||
| Li Ning Co. Ltd. | 1,296,000 | 773 | ||||
| Mars Engineering Corp. | 24,500 | 756 | ||||
| Sankyo Co. Ltd. (Gunma) | 13,600 | 722 | ||||
| Sega Sammy Holdings, Inc. | 28,000 | 1,113 | ||||
| Sega Sammy Holdings, Inc. New | 28,000 | 1,093 | ||||
| 5,584 | ||||||
| Media – 2.6% | ||||||
| Bandai Visual Co. Ltd. | 190 | 649 | ||||
| Beijing Media Corp. Ltd. (H Shares) | 126,000 | 211 | ||||
| Clear Channel Communications, Inc. | 5,653,191 | 185,933 | ||||
| Cyber Agent Ltd. | 238 | 437 | ||||
| Cyber Agent Ltd. New (a) | 238 | 424 | ||||
| E.W. Scripps Co. Class A | 124,731 | 6,233 | ||||
| ITV PLC | 2,471,958 | 4,929 | ||||
| Lagardere S.C.A. (Reg.) | 76,900 | 5,459 | ||||
| livedoor MARKETING Co. Ltd. (a) | 6,264 | 264 | ||||
| Macquarie Communications Infrastructure Group unit | 231,300 | 1,046 | ||||
| Modern Times Group AB (MTG) (B Shares) (a) | 40,650 | 1,532 | ||||
| News Corp.: | ||||||
| Class A | 1,942,100 | 30,277 | ||||
| Class B unit | 219 | 4 | ||||
| Omnicom Group, Inc. | 292,000 | 24,420 | ||||
| Oricon, Inc. | 205 | 262 | ||||
| Seek Ltd. | 450,800 | 1,014 | ||||
| Television Broadcasts Ltd. | 170,000 | 1,040 | ||||
| Yedang Entertainment Co. Ltd. (a) | 47,742 | 686 | ||||
| 264,820 | ||||||
| Multiline Retail – 0.0% | ||||||
| Don Quijote Co. Ltd. | 4,500 | 291 | ||||
See accompanying notes which are an integral part of the financial statements.
| A-11 |
| Annual Report |
| Investments continued | ||||||
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| CONSUMER DISCRETIONARY – continued | ||||||
| Specialty Retail – 2.8% | ||||||
| Esprit Holdings Ltd. | 477,000 | $ 3,566 | ||||
| Hikari Tsushin, Inc. | 16,200 | 1,035 | ||||
| Home Depot, Inc. | 6,782,700 | 258,692 | ||||
| Pertama Holdings Ltd. | 2,253,000 | 473 | ||||
| TJX Companies, Inc. | 916,400 | 18,768 | ||||
| Tsutsumi Jewelry Co. Ltd. | 20,700 | 641 | ||||
| USS Co. Ltd. | 14,220 | 1,017 | ||||
| 284,192 | ||||||
| Textiles, Apparel & Luxury Goods – 0.1% | ||||||
| Adidas Salomon AG | 11,800 | 2,051 | ||||
| Asics Corp. | 71,000 | 603 | ||||
| Billabong International Ltd. | 117,000 | 1,165 | ||||
| Ted Baker PLC | 267,600 | 2,276 | ||||
| 6,095 | ||||||
| TOTAL CONSUMER DISCRETIONARY | 655,522 | |||||
| CONSUMER STAPLES 3.7% | ||||||
| Beverages – 0.3% | ||||||
| Asahi Breweries Ltd. | 76,800 | 979 | ||||
| C&C Group PLC | 423,000 | 2,533 | ||||
| PepsiCo, Inc. | 350,570 | 19,881 | ||||
| Pernod-Ricard | 47,000 | 8,301 | ||||
| Takara Holdings, Inc. | 134,000 | 850 | ||||
| Yantai Changyu Pioneer Wine Co. (B Shares) | 423,500 | 751 | ||||
| 33,295 | ||||||
| Food & Staples Retailing – 2.2% | ||||||
| Aeon Co. Ltd. | 30,000 | 607 | ||||
| CVS Corp. | 3,504,700 | 101,671 | ||||
| Safeway, Inc. | 1,216,000 | 31,130 | ||||
| Wal-Mart Stores, Inc. | 1,963,300 | 86,032 | ||||
| Wumart Stores, Inc. (H Shares) | 102,000 | 220 | ||||
| 219,660 | ||||||
| Food Products 0.0% | ||||||
| Binggrea Co. Ltd. | 16,400 | 657 | ||||
| China Mengniu Dairy Co. Ltd. | 520,000 | 429 | ||||
| Global Bio-Chem Technology Group Co. Ltd. | 1,892,000 | 866 | ||||
| Global Bio-Chem Technology Group Co. Ltd. warrants | ||||||
| 5/31/07 (a) | 85,000 | 1 | ||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| A-12 |
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| CONSUMER STAPLES – continued | ||||||
| Food Products – continued | ||||||
| Hokuto Corp. | 16,600 | $ 291 | ||||
| Orion Corp. | 9,400 | 1,667 | ||||
| People’s Food Holdings Ltd. | 772,000 | 502 | ||||
| 4,413 | ||||||
| Household Products – 0.1% | ||||||
| Colgate-Palmolive Co. | 228,300 | 12,052 | ||||
| LG Household & Health Care Ltd. | 18,450 | 1,059 | ||||
| Uni-Charm Corp. | 10,600 | 461 | ||||
| 13,572 | ||||||
| Personal Products 0.3% | ||||||
| Alberto-Culver Co. | 617,600 | 27,638 | ||||
| Hengan International Group Co. Ltd. | 162,000 | 155 | ||||
| 27,793 | ||||||
| Tobacco 0.8% | ||||||
| Altria Group, Inc. | 1,043,100 | 76,887 | ||||
| TOTAL CONSUMER STAPLES | 375,620 | |||||
| ENERGY 2.7% | ||||||
| Energy Equipment & Services – 1.4% | ||||||
| Diamond Offshore Drilling, Inc. | 591,800 | 36,248 | ||||
| ENSCO International, Inc. | 544,300 | 25,359 | ||||
| Expro International Group PLC | 129,500 | 1,250 | ||||
| GlobalSantaFe Corp. | 910,901 | 41,555 | ||||
| Ocean RIG ASA (a) | 404,500 | 4,646 | ||||
| Petroleum Geo-Services ASA (a) | 161,600 | 5,143 | ||||
| Transocean, Inc. (a) | 563,100 | 34,524 | ||||
| WorleyParsons Ltd. | 59,600 | 465 | ||||
| 149,190 | ||||||
| Oil, Gas & Consumable Fuels – 1.3% | ||||||
| BG Group PLC | 785,600 | 7,458 | ||||
| BowLeven PLC | 104,600 | 1,347 | ||||
| CNOOC Ltd. | 2,239,000 | 1,616 | ||||
| ConocoPhillips | 416,500 | 29,118 | ||||
| Cosmo Oil Co. Ltd. | 169,000 | 922 | ||||
| ENI Spa | 537,100 | 15,909 | ||||
| ENI Spa sponsored ADR | 32,500 | 4,813 | ||||
| Exxon Mobil Corp. | 560,500 | 35,614 | ||||
| Formosa Petrochemical Corp. | 234,286 | 450 | ||||
See accompanying notes which are an integral part of the financial statements.
| A-13 |
| Annual Report |
| Investments continued | ||||||
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| ENERGY – continued | ||||||
| Oil, Gas & Consumable Fuels – continued | ||||||
| GS Holdings Corp. | 17,684 | $ 451 | ||||
| Nippon Mining Holdings, Inc. | 203,500 | 1,625 | ||||
| PetroChina Co. Ltd. (H Shares) | 1,544,000 | 1,287 | ||||
| Statoil ASA | 355,200 | 8,811 | ||||
| Total SA sponsored ADR | 159,300 | 21,636 | ||||
| 131,057 | ||||||
| TOTAL ENERGY | 280,247 | |||||
| FINANCIALS – 10.7% | ||||||
| Capital Markets 1.7% | ||||||
| Credit Suisse Group (Reg.) | 99,284 | 4,416 | ||||
| DAB Bank AG | 196,700 | 1,577 | ||||
| E*Trade Securities Co. Ltd. (d) | 180 | 797 | ||||
| Goldman Sachs Group, Inc. | 351,500 | 42,735 | ||||
| JAFCO Co. Ltd. | 15,700 | 1,035 | ||||
| kiwoom.com Securities Co. Ltd. | 28,332 | 502 | ||||
| Korea Investment Holdings Co. Ltd. | 24,650 | 720 | ||||
| Macquarie Bank Ltd. | 45,000 | 2,586 | ||||
| Merrill Lynch & Co., Inc. | 867,500 | 53,221 | ||||
| Monex Beans Holdings, Inc. (d) | 737 | 876 | ||||
| Morgan Stanley | 950,600 | 51,275 | ||||
| Nikko Cordial Corp. | 86,500 | 1,008 | ||||
| Nuveen Investments, Inc. Class A | 270,600 | 10,659 | ||||
| 171,407 | ||||||
| Commercial Banks – 1.9% | ||||||
| Banca Intesa Spa | 736,188 | 3,431 | ||||
| Banco Bilbao Vizcaya Argentaria SA | 131,600 | 2,308 | ||||
| Bank of America Corp. | 2,880,920 | 121,287 | ||||
| Hokuhoku Financial Group, Inc. | 292,000 | 1,109 | ||||
| Kookmin Bank | 24,810 | 1,462 | ||||
| Mitsui Trust Holdings, Inc. | 190,000 | 2,650 | ||||
| Mizuho Financial Group, Inc. | 464 | 2,972 | ||||
| Nishi-Nippon City Bank Ltd. (a) | 114,000 | 569 | ||||
| Shinhan Financial Group Co. Ltd. | 41,320 | 1,437 | ||||
| Standard Chartered PLC (United Kingdom) | 338,300 | 7,301 | ||||
| Sumitomo Mitsui Financial Group, Inc. | 534 | 5,069 | ||||
| Synovus Financial Corp. | 262,100 | 7,265 | ||||
| Tokyo Tomin Bank Ltd. | 24,800 | 814 | ||||
| Wachovia Corp. | 615,435 | 29,289 | ||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| A-14 |
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| FINANCIALS – continued | ||||||
| Commercial Banks – continued | ||||||
| Wells Fargo & Co. | 24,700 | $ 1,447 | ||||
| Woori Finance Holdings Co. Ltd. | 57,010 | 825 | ||||
| 189,235 | ||||||
| Consumer Finance – 0.2% | ||||||
| Capital One Financial Corp. | 79,400 | 6,314 | ||||
| Credit Saison Co. Ltd. | 27,100 | 1,197 | ||||
| MBNA Corp. | 271,600 | 6,692 | ||||
| Nissin Co. Ltd. | 592,300 | 793 | ||||
| Nissin Co. Ltd. New (a) | 592,300 | 778 | ||||
| ORIX Corp. | 14,600 | 2,655 | ||||
| SFCG Co. Ltd. | 6,740 | 1,752 | ||||
| UCS Co. Ltd. | 10,000 | 360 | ||||
| 20,541 | ||||||
| Diversified Financial Services – 0.9% | ||||||
| Banca Italease Spa | 287,100 | 6,902 | ||||
| Citigroup, Inc. | 1,630,366 | 74,214 | ||||
| Deutsche Boerse AG | 25,546 | 2,442 | ||||
| Gemina Spa (a) | 791,400 | 1,983 | ||||
| ING Groep NV (Certificaten Van Aandelen) | 135,100 | 4,025 | ||||
| OMX AB (a)(d) | 153,600 | 1,898 | ||||
| 91,464 | ||||||
| Insurance – 5.1% | ||||||
| ACE Ltd. | 623,200 | 29,334 | ||||
| AFLAC, Inc. | 114,000 | 5,164 | ||||
| Allianz AG (Reg.) | 63,200 | 8,538 | ||||
| AMBAC Financial Group, Inc. | 385,300 | 27,765 | ||||
| American International Group, Inc. | 4,509,769 | 279,425 | ||||
| Amlin PLC | 857,100 | 3,150 | ||||
| AMP Ltd. | 139,800 | 793 | ||||
| AXA SA | 122,100 | 3,361 | ||||
| Baloise Holdings AG (Reg.) | 31,017 | 1,558 | ||||
| Chaucer Holdings PLC | 2,793,400 | 2,649 | ||||
| Hartford Financial Services Group, Inc. | 1,067,680 | 82,393 | ||||
| MBIA, Inc. | 406,900 | 24,666 | ||||
| MetLife, Inc. | 712,300 | 35,494 | ||||
| Ping An Insurance (Group) Co. of China, Ltd. (H Shares) | 489,500 | 855 | ||||
| Prudential PLC | 460,600 | 4,182 | ||||
| QBE Insurance Group Ltd. | 117,685 | 1,677 | ||||
| Skandia Foersaekrings AB | 660,100 | 3,441 | ||||
See accompanying notes which are an integral part of the financial statements.
| A-15 |
| Annual Report |
| Investments continued | ||||||
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| FINANCIALS – continued | ||||||
| Insurance – continued | ||||||
| Sompo Japan Insurance, Inc | 181,000 | $ 2,414 | ||||
| T&D Holdings, Inc. | 30,500 | 1,829 | ||||
| 518,688 | ||||||
| Real Estate 0.1% | ||||||
| Ascendas Real Estate Investment Trust (A REIT) | 529,200 | 685 | ||||
| British Land Co. PLC | 249,400 | 4,139 | ||||
| CapitaLand Ltd. | 549,000 | 1,019 | ||||
| China Overseas Land & Investment Ltd. | 2,878,000 | 863 | ||||
| Japan Logistics Fund, Inc | 121 | 816 | ||||
| KK daVinci Advisors (a) | 145 | 556 | ||||
| Shun Tak Holdings Ltd. | 1,374,000 | 1,142 | ||||
| Sumitomo Realty & Development Co. Ltd. | 69,000 | 1,030 | ||||
| Wharf Holdings Ltd. | 253,000 | 987 | ||||
| 11,237 | ||||||
| Thrifts & Mortgage Finance – 0.8% | ||||||
| Fannie Mae | 1,316,100 | 58,988 | ||||
| MGIC Investment Corp. | 397,400 | 25,513 | ||||
| Washington Mutual, Inc. | 12,700 | 498 | ||||
| 84,999 | ||||||
| TOTAL FINANCIALS | 1,087,571 | |||||
| HEALTH CARE – 8.4% | ||||||
| Biotechnology – 0.0% | ||||||
| Actelion Ltd. (Reg.) (a) | 17,309 | 1,866 | ||||
| Health Care Equipment & Supplies – 0.1% | ||||||
| Axis Shield PLC (a) | 311,700 | 1,799 | ||||
| Cochlear Ltd. | 13,800 | 413 | ||||
| Miraca Holdings, Inc. | 48,500 | 1,123 | ||||
| Phonak Holding AG | 92,775 | 3,975 | ||||
| Pihsiang Machinery Manufacturing Co. | 183,820 | 297 | ||||
| ResMed, Inc. CHESS Depositary Interests (a) | 180,600 | 716 | ||||
| Sysmex Corp. | 9,200 | 321 | ||||
| Sysmex Corp. New (a) | 9,200 | 319 | ||||
| Terumo Corp. | 31,000 | 1,004 | ||||
| 9,967 | ||||||
| Health Care Providers & Services – 3.4% | ||||||
| Cardinal Health, Inc. | 4,970,480 | 315,320 | ||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| A-16 |
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| HEALTH CARE – continued | ||||||
| Health Care Providers & Services – continued | ||||||
| Sonic Healthcare Ltd. | 94,800 | $ 1,121 | ||||
| UnitedHealth Group, Inc. | 567,000 | 31,865 | ||||
| 348,306 | ||||||
| Pharmaceuticals – 4.9% | ||||||
| Astellas Pharma, Inc. | 52,900 | 2,004 | ||||
| AstraZeneca PLC sponsored ADR | 136,300 | 6,420 | ||||
| Chugai Pharmaceutical Co. Ltd. | 53,900 | 1,035 | ||||
| Eisai Co. Ltd. | 26,200 | 1,127 | ||||
| GlaxoSmithKline PLC | 277,500 | 7,115 | ||||
| GlaxoSmithKline PLC sponsored ADR | 70,500 | 3,615 | ||||
| Johnson & Johnson | 1,610,900 | 101,938 | ||||
| Novartis AG: | ||||||
| (Reg.) | 199,589 | 10,179 | ||||
| sponsored ADR | 34,800 | 1,775 | ||||
| Pfizer, Inc. | 5,399,100 | 134,816 | ||||
| Sanofi-Aventis sponsored ADR | 63,100 | 2,622 | ||||
| Takeda Pharamaceutical Co. Ltd. | 30,100 | 1,805 | ||||
| Tong Ren Tang Technologies Co. Ltd. (H Shares) | 218,000 | 415 | ||||
| Wyeth | 4,720,900 | 218,436 | ||||
| 493,302 | ||||||
| TOTAL HEALTH CARE | 853,441 | |||||
| INDUSTRIALS – 4.8% | ||||||
| Aerospace & Defense – 0.6% | �� | |||||
| BAE Systems PLC | 665,200 | 4,032 | ||||
| Honeywell International, Inc. | 645,970 | 24,224 | ||||
| Lockheed Martin Corp. | 287,700 | 17,561 | ||||
| United Technologies Corp. | 366,200 | 18,984 | ||||
| 64,801 | ||||||
| Building Products 0.0% | ||||||
| Daikin Industries Ltd. | 31,700 | 855 | ||||
| Commercial Services & Supplies – 0.2% | ||||||
| ChoicePoint, Inc. (a) | 276,856 | 11,952 | ||||
| Citiraya Industries Ltd. (a) | 716,000 | 0 | ||||
| Downer EDI Ltd. | 345,361 | 1,591 | ||||
| INSUN ENT Co. Ltd. | 22,600 | 301 | ||||
See accompanying notes which are an integral part of the financial statements.
| A-17 |
| Annual Report |
| Investments continued | ||||||
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| INDUSTRIALS – continued | ||||||
| Commercial Services & Supplies – continued | ||||||
| S1 Corp. | 12,770 | $ 616 | ||||
| Taiwan Secom Co. | 312,120 | 445 | ||||
| 14,905 | ||||||
| Construction & Engineering – 0.1% | ||||||
| Bilfinger & Berger Bau AG | 42,700 | 2,290 | ||||
| Chiyoda Corp. | 76,000 | 1,409 | ||||
| Commuture Corp. | 89,000 | 786 | ||||
| Doosan Heavy Industries & Construction Co. Ltd. | 54,260 | 1,024 | ||||
| Hyundai Engineering & Construction Co. Ltd. (a) | 23,870 | 755 | ||||
| Keangnam Enterprises (a) | 33,600 | 308 | ||||
| Paul Y ITC Construction Holdings Ltd. | 6,594,000 | 1,267 | ||||
| United Group Ltd. | 163,060 | 1,317 | ||||
| 9,156 | ||||||
| Electrical Equipment – 0.0% | ||||||
| Dongfang Electrical Machinery Co. Ltd. (H Shares) | 110,000 | 121 | ||||
| Kumho Electric Co. Ltd. | 18,017 | 1,162 | ||||
| Kumho Electric Co. Ltd. rights 11/3/05 (a) | 1,481 | 33 | ||||
| Shanghai Electric (Group) Corp. (H Shares) | 1,914,000 | 648 | ||||
| Sumitomo Electric Industries Ltd. | 98,400 | 1,336 | ||||
| 3,300 | ||||||
| Industrial Conglomerates – 3.2% | ||||||
| 3M Co. | 873,200 | 64,058 | ||||
| General Electric Co. | 5,409,660 | 182,143 | ||||
| Hutchison Whampoa Ltd. | 159,000 | 1,645 | ||||
| Keppel Corp. Ltd. | 203,000 | 1,524 | ||||
| Shanghai Industrial Holdings Ltd. Class H | 251,000 | 508 | ||||
| Tyco International Ltd. | 2,729,400 | 76,014 | ||||
| 325,892 | ||||||
| Machinery – 0.5% | ||||||
| Bradken Ltd. | 456,996 | 1,223 | ||||
| Hyundai Mipo Dockyard Co. Ltd. | 9,400 | 676 | ||||
| Ingersoll-Rand Co. Ltd. Class A | 908,200 | 34,720 | ||||
| Kinik Co. | 17,250 | 37 | ||||
| Koyo Seiko Co. Ltd. | 65,000 | 987 | ||||
| Lung Kee (Bermuda) Holdings | 164,000 | 125 | ||||
| MAN AG | 78,800 | 4,043 | ||||
| Metso Corp. | 171,200 | 4,345 | ||||
| Nittoku Engineering Co. Ltd. | 54,000 | 447 | ||||
| Taewoong Co. Ltd. | 39,300 | 544 | ||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| A-18 |
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| INDUSTRIALS – continued | ||||||
| Machinery – continued | ||||||
| TSM Tech Co. Ltd. | 70,400 | $ 874 | ||||
| Weichai Power Co. Ltd. (H Shares) | 271,000 | 603 | ||||
| 48,624 | ||||||
| Marine – 0.0% | ||||||
| Alexander & Baldwin, Inc. | 74,700 | 3,977 | ||||
| Road & Rail 0.0% | ||||||
| East Japan Railway Co | 298 | 1,713 | ||||
| Hamakyorex Co. Ltd. | 53,500 | 1,732 | ||||
| 3,445 | ||||||
| Trading Companies & Distributors – 0.1% | ||||||
| Mitsubishi Corp. | 129,500 | 2,574 | ||||
| Mitsui & Co. Ltd. | 197,000 | 2,484 | ||||
| 5,058 | ||||||
| Transportation Infrastructure 0.1% | ||||||
| ConnectEast Group unit | 1,794,807 | 1,109 | ||||
| Kamigumi Co. Ltd. | 87,000 | 699 | ||||
| Macquarie Airports unit | 272,935 | 683 | ||||
| Macquarie Infrastructure Group unit | 819,620 | 2,507 | ||||
| 4,998 | ||||||
| TOTAL INDUSTRIALS | 485,011 | |||||
| INFORMATION TECHNOLOGY – 8.6% | ||||||
| Communications Equipment – 1.7% | ||||||
| Cisco Systems, Inc. (a) | 5,679,914 | 101,841 | ||||
| Comverse Technology, Inc. (a) | 315,700 | 8,293 | ||||
| Lightron Fiber-Optic Devices, Inc. | 46,100 | 294 | ||||
| Motorola, Inc. | 126,400 | 2,792 | ||||
| Nokia Corp. sponsored ADR | 2,113,700 | 35,743 | ||||
| QUALCOMM, Inc. | 292,200 | 13,076 | ||||
| TANDBERG ASA | 144,400 | 1,929 | ||||
| TANDBERG Television ASA (a) | 631,400 | 8,216 | ||||
| 172,184 | ||||||
| Computers & Peripherals – 1.4% | ||||||
| Acer, Inc. | 465,340 | 925 | ||||
| Dell, Inc. (a) | 1,632,900 | 55,845 | ||||
| EMC Corp. (a) | 559,000 | 7,233 | ||||
| Fujitsu Ltd. | 252,000 | 1,672 | ||||
See accompanying notes which are an integral part of the financial statements.
| A-19 |
| Annual Report |
| Investments continued | ||||||
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| INFORMATION TECHNOLOGY – continued | ||||||
| Computers & Peripherals – continued | ||||||
| GES International Ltd. | 927,000 | $ | 501 | |||
| Hanny Holdings Ltd. | 970,000 | 500 | ||||
| Hewlett-Packard Co. | 302,100 | 8,821 | ||||
| International Business Machines Corp. | 806,800 | 64,721 | ||||
| 140,218 | ||||||
| Electronic Equipment & Instruments – 0.3% | ||||||
| Flextronics International Ltd. (a) | 654,400 | 8,409 | ||||
| Hon Hai Precision Industry Co. Ltd. (Foxconn) | 126,511 | 589 | ||||
| Hoya Corp. | 12,400 | 415 | ||||
| Hoya Corp. New | 37,200 | 1,274 | ||||
| Jabil Circuit, Inc. (a) | 92,400 | 2,857 | ||||
| KH Vatec Co. Ltd. | 27,065 | 668 | ||||
| Kingboard Chemical Holdings Ltd. | 458,000 | 1,142 | ||||
| Nidec Corp. | 8,100 | 485 | ||||
| Nidec Corp. New | 6,900 | 408 | ||||
| Nippon Chemi-con Corp. | 190,000 | 1,087 | ||||
| Nippon Electric Glass Co. Ltd. | 223,000 | 4,046 | ||||
| Optimax Technology Corp. | 250,910 | 408 | ||||
| Phoenix Precision Technology Corp. | 572,000 | 696 | ||||
| SFA Engineering Corp. | 70,700 | 1,755 | ||||
| Yageo Corp. (a) | 1,903,000 | 645 | ||||
| Yaskawa Electric Corp. (a) | 108,000 | 833 | ||||
| 25,717 | ||||||
| Internet Software & Services – 0.1% | ||||||
| Dip Corp. (a) | 204 | 326 | ||||
| Easynet Group PLC (a) | 1,797,900 | 3,061 | ||||
| livedoor Co. Ltd. (a) | 289,061 | 1,146 | ||||
| NHN Corp. (a) | 18,492 | 3,145 | ||||
| Softbank Corp. | 61,500 | 3,437 | ||||
| Telewave, Inc. | 135 | 739 | ||||
| Yahoo! Japan Corp | 249 | 294 | ||||
| Yahoo! Japan Corp. New | 249 | 298 | ||||
| 12,446 | ||||||
| IT Services – 0.0% | ||||||
| Computershare Ltd. | 389,900 | 1,963 | ||||
| Office Electronics – 0.0% | ||||||
| Konica Minolta Holdings, Inc. | 98,000 | 897 | ||||
| Semiconductors & Semiconductor Equipment – 1.7% | ||||||
| Advanced Semiconductor Engineering, Inc. | 877,000 | 592 | ||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| A-20 |
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| INFORMATION TECHNOLOGY – continued | ||||||
| Semiconductors & Semiconductor Equipment – continued | ||||||
| Analog Devices, Inc. | 85,000 | $ 3,157 | ||||
| Applied Materials, Inc. | 1,784,300 | 30,262 | ||||
| ASM Pacific Technology Ltd. | 117,000 | 569 | ||||
| Chipbond Technology Corp. | 615,040 | 778 | ||||
| Core Logic, Inc. | 23,094 | 863 | ||||
| Holtek Semiconductor, Inc. | 436,784 | 505 | ||||
| Intel Corp. | 3,418,300 | 84,261 | ||||
| KLA Tencor Corp. | 207,800 | 10,132 | ||||
| Lam Research Corp. (a) | 302,400 | 9,214 | ||||
| Linear Technology Corp. | 77,050 | 2,896 | ||||
| MediaTek, Inc. | 69,300 | 654 | ||||
| Novellus Systems, Inc. (a) | 191,300 | 4,798 | ||||
| Phoenix PDE Co. Ltd. | 158,600 | 830 | ||||
| Samsung Electronics Co. Ltd. | 5,570 | 3,139 | ||||
| Sanken Electric Co. Ltd. | 45,000 | 520 | ||||
| Solomon Systech Ltd. | 2,968,000 | 1,071 | ||||
| Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 637,318 | 5,239 | ||||
| United Microelectronics Corp. | 1,857,327 | 1,192 | ||||
| United Microelectronics Corp. sponsored ADR | 1,862,500 | 6,705 | ||||
| Xilinx, Inc. | 52,800 | 1,470 | ||||
| 168,847 | ||||||
| Software 3.4% | ||||||
| BEA Systems, Inc. (a) | 1,490,652 | 13,386 | ||||
| Intelligent Wave, Inc. | 538 | 1,537 | ||||
| KOEI Co. Ltd. | 8,400 | 208 | ||||
| Microsoft Corp. | 9,722,015 | 250,147 | ||||
| NCsoft Corp. (a) | 8,880 | 731 | ||||
| SAP AG | 20,700 | 3,588 | ||||
| Springsoft, Inc. | 450,149 | 757 | ||||
| Symantec Corp. (a) | 3,454,272 | 78,274 | ||||
| Trend Micro, Inc. | 21,000 | 669 | ||||
| 349,297 | ||||||
| TOTAL INFORMATION TECHNOLOGY | 871,569 | |||||
| MATERIALS 0.5% | ||||||
| Chemicals – 0.4% | ||||||
| BASF AG | 185,600 | 13,994 | ||||
| Bayer AG | 199,000 | 7,323 | ||||
| Ise Chemical Corp. | 107,000 | 597 | ||||
See accompanying notes which are an integral part of the financial statements.
| A-21 |
| Annual Report |
| Investments continued | ||||||
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| MATERIALS – continued | ||||||
| Chemicals – continued | ||||||
| JSR Corp. | 44,400 | $ 930 | ||||
| Kaneka Corp. | 21,000 | 276 | ||||
| Nitto Denko Corp. | 34,500 | 1,956 | ||||
| Praxair, Inc. | 278,900 | 13,368 | ||||
| Syngenta AG (Switzerland) | 53,851 | 5,639 | ||||
| Teijin Ltd | 235,000 | 1,380 | ||||
| 45,463 | ||||||
| Containers & Packaging – 0.0% | ||||||
| Vision Grande Group Holdings Ltd. | 738,000 | 469 | ||||
| Metals & Mining – 0.1% | ||||||
| BHP Billiton Ltd. | 325,200 | 5,558 | ||||
| Newcrest Mining Ltd. | 103,500 | 1,656 | ||||
| 7,214 | ||||||
| TOTAL MATERIALS | 53,146 | |||||
| TELECOMMUNICATION SERVICES – 3.4% | ||||||
| Diversified Telecommunication Services – 3.1% | ||||||
| BellSouth Corp. | 1,561,700 | 41,073 | ||||
| BT Group PLC | 987,500 | 3,914 | ||||
| Completel Europe NV (a) | 73,475 | 3,626 | ||||
| FASTWEB Spa (a) | 101,500 | 4,547 | ||||
| Qwest Communications International, Inc. (a) | 7,043,600 | 28,879 | ||||
| SBC Communications, Inc. | 8,645,600 | 207,235 | ||||
| Telefonica SA sponsored ADR | 50,232 | 2,477 | ||||
| Verizon Communications, Inc. | 858,000 | 28,048 | ||||
| 319,799 | ||||||
| Wireless Telecommunication Services – 0.3% | ||||||
| Far EasTone Telecommunications Co. Ltd. | 587,150 | 665 | ||||
| Millicom International Cellular SA unit (a) | 209,000 | 3,857 | ||||
| Sprint Nextel Corp. | 631,566 | 15,019 | ||||
| Vodafone Group PLC | 2,542,200 | 6,602 | ||||
| Vodafone Group PLC sponsored ADR | 196,200 | 5,095 | ||||
| 31,238 | ||||||
| TOTAL TELECOMMUNICATION SERVICES | 351,037 | |||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| A-22 |
| Common Stocks continued | ||||||||||
| Shares | Value (Note 1) | |||||||||
| (000s) | ||||||||||
| UTILITIES – 0.1% | ||||||||||
| Electric Utilities – 0.1% | ||||||||||
| E.ON AG | 80,400 | $ 7,417 | ||||||||
| Gas Utilities 0.0% | ||||||||||
| Hong Kong & China Gas Co. Ltd. | 426,000 | 879 | ||||||||
| Xinao Gas Holdings Ltd. | 722,000 | 568 | ||||||||
| 1,447 | ||||||||||
| TOTAL UTILITIES | 8,864 | |||||||||
| TOTAL COMMON STOCKS | ||||||||||
| (Cost $4,550,391) | 5,022,028 | |||||||||
| Nonconvertible Preferred Stocks 0.1% | ||||||||||
| CONSUMER DISCRETIONARY – 0.1% | ||||||||||
| Automobiles – 0.1% | ||||||||||
| Porsche AG (non-vtg.) | 7,130 | 5,484 | ||||||||
| TOTAL NONCONVERTIBLE PREFERRED STOCKS | ||||||||||
| (Cost $4,680) | 5,484 | |||||||||
| Convertible Bonds 0.0% | ||||||||||
| Principal | ||||||||||
| Amount (000s) | ||||||||||
| INFORMATION TECHNOLOGY – 0.0% | ||||||||||
| Communications Equipment – 0.0% | ||||||||||
| CIENA Corp. 3.75% 2/1/08 | $ 2,490 | 2,275 | ||||||||
| TOTAL CONVERTIBLE BONDS | ||||||||||
| (Cost $2,115) | 2,275 | |||||||||
| U.S. Treasury Obligations 0.3% | ||||||||||
| U.S. Treasury Bills, yield at date of purchase 3.17% to | ||||||||||
| 3.47% 10/13/05 to 12/22/05 (e) | ||||||||||
| (Cost $31,446) | 31,600 | 31,461 | ||||||||
See accompanying notes which are an integral part of the financial statements.
| A-23 |
| Annual Report |
| Investments continued | ||||||||
| Fixed Income Funds 31.7% | ||||||||
| Shares | Value (Note 1) | |||||||
| (000s) | ||||||||
| Fidelity Floating Rate Central Investment Portfolio (b) | 1,816,765 | $ 182,785 | ||||||
| Fidelity High Income Central Investment Portfolio 1 (b) | 5,570,762 | 542,035 | ||||||
| Fidelity Tactical Income Central Investment Portfolio (b) | 25,355,003 | 2,504,314 | ||||||
| TOTAL FIXED INCOME FUNDS | ||||||||
| (Cost $3,190,654) | 3,229,134 | |||||||
| Money Market Funds 18.5% | ||||||||
| Fidelity Cash Central Fund, 3.82% (b) | 1,461,708,632 | 1,461,709 | ||||||
| Fidelity Money Market Central Fund, 3.82% (b) | 425,013,442 | 425,013 | ||||||
| Fidelity Securities Lending Cash Central Fund, | ||||||||
| 3.84% (b)(c) | 190,575 | 191 | ||||||
| TOTAL MONEY MARKET FUNDS | ||||||||
| (Cost $1,886,913) | 1,886,913 | |||||||
| TOTAL INVESTMENT PORTFOLIO 99.9% | ||||||||
| (Cost $9,666,199) | 10,177,295 | |||||||
| NET OTHER ASSETS – 0.1% | 12,652 | |||||||
| NET ASSETS 100% | $ 10,189,947 | |||||||
| Futures Contracts | ||||||||
| Expiration | Underlying | Unrealized | ||||||
| Date | Face Amount | Appreciation/ | ||||||
| at Value (000s) | (Depreciation) | |||||||
| (000s) | ||||||||
| Purchased | ||||||||
| Equity Index Contracts | ||||||||
| 1,902 S&P 500 Index Contracts | Dec. 2005 | $ 586,910 | $ (3,608) | |||||
| The face value of futures purchased as a percentage of net assets – 5.8% | ||||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| A-24 |
| Legend (a) Non-income producing (b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the money market fund’s holdings as of its most recent quarter end is available upon request. A complete unaudited listing of the fixed-income central fund’s holdings is provided at the end of this report. (c) Investment made with cash collateral received from securities on loan. (d) Security or a portion of the security is on loan at period end. (e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $31,461,000. |
Other Information
The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited):
| U.S.Government and | ||
| U.S.Government Agency | ||
| Obligations | 11.8% | |
| AAA, AA, A | 7.5% | |
| BBB | 4.0% | |
| BB | 3.4% | |
| B | 3.2% | |
| CCC, CC, C | 0.6% | |
| Not Rated | 0.6% | |
| Equities | 55.1% | |
| Short Term Investments and Net | ||
| Other Assets | 13.8% | |
| 100.0% |
We have used ratings from Moody’s® Investors Services, Inc. Where Moody’s ratings are not available, we have used S&P® ratings. Percentages are adjusted for the effect of futures contracts, if applicable.
The information in the above table is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity’s fixed-income Central Funds.
See accompanying notes which are an integral part of the financial statements.
A-25 Annual Report
| Financial Statements | ||||||||
| Statement of Assets and Liabilities | ||||||||
| Amounts in thousands (except per share amount) | September 30, 2005 | |||||||
| Assets | ||||||||
| Investment in securities, at value (including securities | ||||||||
| loaned of $182) (cost $9,666,199) See | ||||||||
| accompanying schedule | $ | 10,177,295 | ||||||
| Receivable for investments sold | 27,071 | |||||||
| Receivable for fund shares sold | 5,639 | |||||||
| Dividends receivable | 5,711 | |||||||
| Interest receivable | 20,501 | |||||||
| Receivable for daily variation on futures contracts | 1,189 | |||||||
| Prepaid expenses | 6 | |||||||
| Other affiliated receivables | 121 | |||||||
| Other receivables | 264 | |||||||
| Total assets | 10,237,797 | |||||||
| Liabilities | ||||||||
| Payable for investments purchased | $ | 14,589 | ||||||
| Payable for fund shares redeemed | 26,471 | |||||||
| Accrued management fee | 4,450 | |||||||
| Other affiliated payables | 2,010 | |||||||
| Other payables and accrued expenses | 139 | |||||||
| Collateral on securities loaned, at value | 191 | |||||||
| Total liabilities | 47,850 | |||||||
| Net Assets | $ | 10,189,947 | ||||||
| Net Assets consist of: | ||||||||
| Paid in capital | $ | 9,418,618 | ||||||
| Undistributed net investment income | 70,280 | |||||||
| Accumulated undistributed net realized gain (loss) on | ||||||||
| investments and foreign currency transactions | 193,574 | |||||||
| Net unrealized appreciation (depreciation) on | ||||||||
| investments and assets and liabilities in foreign | ||||||||
| currencies | 507,475 | |||||||
| Net Assets, for 625,943 shares outstanding | $ | 10,189,947 | ||||||
| Net Asset Value, offering price and redemption price per | ||||||||
| share ($10,189,947 ÷ 625,943 shares) | $ | 16.28 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| A-26 |
| Statement of Operations | ||||||
| Amounts in thousands | Year ended September 30, 2005 | |||||
| Investment Income | ||||||
| Dividends | $ | 94,688 | ||||
| Special Dividends | 28,846 | |||||
| Interest | 222,176 | |||||
| Security lending | 306 | |||||
| Total income | 346,016 | |||||
| Expenses | ||||||
| Management fee | $ | 55,269 | ||||
| Transfer agent fees | 19,969 | |||||
| Accounting and security lending fees | 1,337 | |||||
| Independent trustees’ compensation | 53 | |||||
| Appreciation in deferred trustee compensation account | 7 | |||||
| Custodian fees and expenses | 352 | |||||
| Registration fees | 53 | |||||
| Audit | 215 | |||||
| Legal | 37 | |||||
| Miscellaneous | 138 | |||||
| Total expenses before reductions | 77,430 | |||||
| Expense reductions | (1,250) | 76,180 | ||||
| Net investment income (loss) | 269,836 | |||||
| Realized and Unrealized Gain (Loss) | ||||||
| Net realized gain (loss) on: | ||||||
| Investment securities | 205,425 | |||||
| Foreign currency transactions | 99 | |||||
| Futures contracts | 42,752 | |||||
| Swap agreements | 372 | |||||
| Total net realized gain (loss) | 248,648 | |||||
| Change in net unrealized appreciation (depreciation) on: | ||||||
| Investment securities | 214,359 | |||||
| Assets and liabilities in foreign currencies | (106) | |||||
| Futures contracts | 1,260 | |||||
| Swap agreements | (542) | |||||
| Total change in net unrealized appreciation | ||||||
| (depreciation) | 214,971 | |||||
| Net gain (loss) | 463,619 | |||||
| Net increase (decrease) in net assets resulting from | ||||||
| operations | $ | 733,455 | ||||
See accompanying notes which are an integral part of the financial statements.
| A-27 |
| Annual Report |
| Financial Statements continued | ||||||||
| Statement of Changes in Net Assets | ||||||||
| Year ended | Year ended | |||||||
| September 30, | September 30, | |||||||
| Amounts in thousands | 2005 | 2004 | ||||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net investment income (loss) | $ 269,836 | $ 237,534 | ||||||
| Net realized gain (loss) | 248,648 | 133,333 | ||||||
| Change in net unrealized appreciation (depreciation) . | 214,971 | 279,447 | ||||||
| Net increase (decrease) in net assets resulting | ||||||||
| from operations | 733,455 | 650,314 | ||||||
| Distributions to shareholders from net investment income . | (267,576) | (193,241) | ||||||
| Share transactions | ||||||||
| Proceeds from sales of shares | 912,849 | 1,305,615 | ||||||
| Reinvestment of distributions | 260,003 | 187,749 | ||||||
| Cost of shares redeemed | (2,352,097) | (1,859,651) | ||||||
| Net increase (decrease) in net assets resulting from | ||||||||
| share transactions | (1,179,245) | (366,287) | ||||||
| Total increase (decrease) in net assets | (713,366) | 90,786 | ||||||
| Net Assets | ||||||||
| Beginning of period | 10,903,313 | 10,812,527 | ||||||
| End of period (including undistributed net investment | ||||||||
| income of $70,280 and undistributed net investment | ||||||||
| income of $69,579, respectively) | $ 10,189,947 | $ 10,903,313 | ||||||
| Other Information | ||||||||
| Shares | ||||||||
| Sold | 56,990 | 83,085 | ||||||
| Issued in reinvestment of distributions | 16,382 | 11,877 | ||||||
| Redeemed | (147,136) | (118,489) | ||||||
| Net increase (decrease) | (73,764) | (23,527) | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| A-28 |
| Financial Highlights | ||||||||||
| Years ended September 30, | 2005 | 2004 | 2003 | 2002 | 2001 | |||||
| Selected Per Share Data | ||||||||||
| Net asset value, beginning of | ||||||||||
| period | $ 15.58 | $ 14.95 | $ 13.01 | $ 14.72 | $ 19.11 | |||||
| Income from Investment | ||||||||||
| Operations | ||||||||||
| Net investment income (loss)B | 41D | .33 | .40 | .49F | .59 | |||||
| Net realized and unrealized | ||||||||||
| gain (loss) | 69 | .57 | 1.95 | (1.62)F | (3.03) | |||||
| Total from investment operations | 1.10 | .90 | 2.35 | (1.13) | (2.44) | |||||
| Distributions from net investment | ||||||||||
| income | (.40) | (.27) | (.41) | (.58) | (.61) | |||||
| Distributions from net realized | ||||||||||
| gain | — | — | — | (1.34) | ||||||
| Total distributions | (.40) | (.27) | (.41) | (.58) | (1.95) | |||||
| Net asset value, end of period | $ 16.28 | $ 15.58 | $ 14.95 | $ 13.01 | $ 14.72 | |||||
| Total ReturnA | 7.15% | 6.00% | 18.26% | (8.17)% | (13.63)% | |||||
| Ratios to Average Net AssetsC,E | ||||||||||
| Expenses before expense | ||||||||||
| reductions | 73% | .74% | .75% | .75% | .73% | |||||
| Expenses net of voluntary | ||||||||||
| waivers, if any | 73% | .74% | .75% | .75% | .73% | |||||
| Expenses net of all reductions | 72% | .73% | .74% | .73% | .71% | |||||
| Net investment income (loss) | 2.55%D | 2.12% | 2.82% | 3.31%F | 3.51% | |||||
| Supplemental Data | ||||||||||
| Net assets, end of period (in | ||||||||||
| millions) | $10,190 | $10,903 | $10,813 | $ 9,594 | $11,177 | |||||
| Portfolio turnover rate | 32% | 78% | 120% | 129% | 133% | |||||
| A Total returns would have been lower had certain expenses not been reduced during the periods shown. B Calculated based on average shares outstanding during the period. C Amounts do not include the activity of the underlying funds. D Investment income per share reflects a special dividend which amounted to $.04 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been 2.28% . E Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions repre sent the net expenses paid by the fund. F Effective October 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per share data and ratios for periods prior to adoption have not been restated to reflect this change. |
See accompanying notes which are an integral part of the financial statements.
| A-29 |
| Annual Report |
Notes to Financial Statements
| For the period ended September 30, 2005 (Amounts in thousands except ratios) |
1. Significant Accounting Policies.
Fidelity Asset Manager (the fund) is a fund of Fidelity Charles Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open end management investment company organized as a Massachusetts business trust. The fund may invest in affiliated money market central funds (Money Market Central Funds) and fixed income Central Investment Portfolios (CIPs), collectively referred to as Central Funds, which are open end investment companies available to investment companies and other accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require manage ment to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund, which are also consistently followed by the Central Funds:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security’s value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security’s valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off exchange institutional trading may be reviewed in the course of making a good faith determination of a security’s fair value. Short term securi ties with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open end investment companies, including Central Funds, are valued at their net asset value each business day.
| Annual Report |
| A-30 |
1. Significant Accounting Policies continued
Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
Foreign denominated assets, including investment securities, and liabilities are trans lated into U.S. dollars at the exchange rate at period end. Purchases and sales of invest ment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transac tion date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. Security transactions, including the fund’s investment activity in the Central Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex dividend date, except for certain dividends from foreign securities where the ex dividend date may have passed, which are recorded as soon as the fund is informed of the ex dividend date. Non cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Large, non recurring dividends recognized by the fund are presented separately on the Statement of Operations as “Special Dividends” and the impact of these dividends is presented in the Financial Highlights. Interest income, including distributions from the Central Funds, is accrued as earned. Interest income includes coupon interest and amortization of pre mium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of the fund or are invested in a cross section of other Fidelity funds, and are marked to market. Deferred amounts remain in the fund until distributed in accordance with the Plan.
| A-31 |
| Annual Report |
| Notes to Financial Statements continued (Amounts in thousands except ratios) |
1. Significant Accounting Policies continued
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on the fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are recorded on the ex dividend date. Income and capital gain distribu tions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the fund will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book tax differences will reverse in a subsequent period.
Book tax differences are primarily due to futures transactions, swap agreements, foreign currency transactions, passive foreign investment companies (PFIC), prior period premium and discount on debt securities, market discount, partnerships (including allocations from the CIPs), non taxable dividends, deferred trustees compensation and losses deferred due to wash sales.
The tax basis components of distributable earnings and the federal tax cost as of period end were as follows:
| Unrealized appreciation | $ | 750,857 | ||
| Unrealized depreciation | (304,745) | |||
| Net unrealized appreciation (depreciation) | 446,112 | |||
| Undistributed ordinary income | 116,850 | |||
| Undistributed long term capital gain | 190,583 | |||
| Cost for federal income tax purposes | $ | 9,731,183 | ||
The tax character of distributions paid was as follows:
| September 30, | September 30, | |||||||
| 2005 | 2004 | |||||||
| Ordinary Income | $ 267,576 | $ 193,241 |
Annual Report A-32
| 2. Operating Policies. |
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Futures Contracts. The fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase a fund’s exposure to the underlying instrument, while selling futures tends to decrease a fund’s exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption “Futures Contracts.” This amount reflects each contract’s exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contracts’ terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Swap Agreements. The fund may invest in swaps for the purpose of managing its exposure to credit or market risk.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
| A-33 |
| Annual Report |
| Notes to Financial Statements continued (Amounts in thousands except ratios) 2. Operating Policies continued Swap Agreements - continued |
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a “guarantor” receiving a periodic payment that is a fixed percentage applied to a no tional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value.
Swaps are marked to market daily based on dealer supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund’s custodian in compliance with swap contracts.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short term securities and U.S. government securities and in kind transactions, aggregated $2,260,711 and $3,267,716, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the fund with investment manage ment related services for which the fund pays a monthly management fee. The manage ment fee is the sum of an individual fund fee rate that is based on an annual rate of .25% of the fund’s average net assets and a group fee rate that averaged .27% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual man agement fee rate was .52% of the fund’s average net assets.
Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund’s transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset based fees that vary according to account size and type of ac count. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .19% of average net assets.
| Annual Report |
| A-34 |
4. Fees and Other Transactions with Affiliates continued
Accounting and Security Lending Fees. FSC maintains the fund’s accounting rec ords. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Affiliated Central Funds. The fund may invest in Money Market Central Funds which seek preservation of capital and current income and are managed by Fidelity Invest ments Money Management, Inc. (FIMM), an affiliate of FMR.
The fund may also invest in CIPs managed by FIMM or Fidelity Management & Research Company, Inc. (FMRC), each an affiliate of FMR. The Ultra Short Central Fund seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment grade debt securities. The High Income Central Investment Portfolio 1 seeks a high level of income and may also seek capital appreciation by investing primarily in income producing debt securities, preferred stocks, and convertible securities, with an emphasis on lower quality debt securities. The Tactical Income Central Investment Portfolio seeks a high level of income by normally investing in medium and high quality investment grade debt securities of all types and repurchase agreements for those securities. The Floating Rate Central Invest ment Portfolio seeks a high level of income by normally investing in floating rate loans and other floating rate securities.
The fund’s Schedule of Investments lists each applicable CIP as an investment of the fund but does not include the underlying holdings of each CIP. Based on their investment objectives, each CIP may invest or participate in various investment vehicles or strate gies that are similar to those of the investing fund. In addition, the CIPs may also participate in delayed delivery and when issued securities, loans and other direct debt instruments, financing transactions and restricted securities. These strategies are consistent with the investment objectives of the fund and may involve certain economic risks, including the risk that a counterparty to one or more of these transactions may be unable or unwilling to comply with the terms of the governing agreement. This may result in a decline in value of each CIP and the fund.
A complete list of holdings for each CIP is available at the end of this report. In addition, a copy of each CIP’s financial statements is available on the EDGAR Database on the SEC’s website www.sec.gov, or at the Commission’s public reference room in Washing ton, DC.
The Central Funds do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $188,566 for the period.
| A-35 |
| Annual Report |
| Notes to Financial Statements continued (Amounts in thousands except ratios) 4. Fees and Other Transactions with Affiliates continued Affiliated Central Funds continued |
On November 12, 2004, the fund completed a non taxable exchange of securities with a value, including accrued interest, of $557,076 (which included $33,416 of unrealized appreciation) for 5,571 shares (each then valued at $100.00 per share) of the Fidelity High Income Central Investment Portfolio 1, an affiliated entity. On December 17, 2004, the fund completed a non taxable exchange of securities with a value, including accrued interest of, of $2,535,500 (which included $50,377 of unrealized appreciation) for 25,355 shares (each then valued at $100.00 per share) of the Fidelity Tactical Income Central Investment Portfolio, an affiliated entity. These are considered non taxable exchanges for federal income tax purposes, with no gain or loss recognized by the fund or its shareholders.
Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $54 for the period.
| 5. Committed Line of Credit. |
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the “line of credit”) to be utilized for temporary or emergency purposes to fund share holder redemptions or for other short term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.
| 6. Security Lending. |
The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insol vency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the fund’s Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities.
| Annual Report |
| A-36 |
| 7. Expense Reductions. |
Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $1,003 for the period. In addition, through arrangements with the fund’s custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the fund’s expenses. During the period, these credits reduced the fund’s custody and transfer agent expenses by $7 and $240, respectively.
| 8. Other. |
The fund’s organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the perfor mance of their duties to the fund. In the normal course of business, the fund may also enter into contracts that provide general indemnifications. The fund’s maximum expo sure under these arrangements is unknown as this would be dependent on future claims that may be made against the fund. The risk of material loss from such claims is consid ered remote.
| A-37 |
| Annual Report |
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Charles Street Trust and Shareholders of Fidelity Asset Manager:
We have audited the accompanying statement of assets and liabilities of Fidelity Asset Manager (the Fund), a fund of Fidelity Charles Street Trust, including the schedule of investments, as of September 30, 2005, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures in cluded confirmation of securities owned as of September 30, 2005, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Asset Manager as of September 30, 2005, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial high lights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
| /s/ Deloitte & Touche LLP |
| DELOITTE & TOUCHE LLP |
| Boston, Massachusetts |
| November 16, 2005 |
Annual Report A-38
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund’s activities, review contractual arrangements with companies that provide services to the fund, and review the fund’s performance. Except for William O. McCoy, Stephen P. Jonas, and Kenneth L. Wolfe, each of the Trustees oversees 322 funds advised by FMR or an affiliate. Mr. McCoy oversees 324 funds advised by FMR or an affiliate. Mr. Jonas and Mr. Wolfe oversee 319 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instru ment signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
| Interested Trustees*: |
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
| Name, Age; Principal Occupation Edward C. Johnson 3d (75)** |
Year of Election or Appointment: 1981
Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Di rector and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman and a Director of Fidelity Investments Money Man agement, Inc.; and Chairman (2001 present) and a Director (2000 present) of FMR Co., Inc.
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| Name, Age; Principal Occupation Abigail P. Johnson (43)** |
Year of Election or Appointment: 2001
Ms. Johnson serves as President of Fidelity Employer Services Company (FESCO) (2005 present). She is President and a Director of Fidelity In vestments Money Management, Inc. (2001 present), FMR Co., Inc. (2001 present), and a Director of FMR Corp. Previously, Ms. Johnson served as President and a Director of FMR (2001 2005), Senior Vice President of the Fidelity funds (2001 2005), and managed a number of Fidelity funds.
| Stephen P. Jonas (52) |
Year of Election or Appointment: 2005
Mr. Jonas is Senior Vice President of Asset Manager (2005 present). He also serves as Senior Vice President of other Fidelity funds (2005 present). Mr. Jonas is Executive Director of FMR (2005 present). Previously, Mr. Jonas served as President of Fidelity Enterprise Opera tions and Risk Services (2004 2005), Chief Administrative Officer (2002 2004), and Chief Financial Officer of FMR Co. (1998 2000). Mr. Jonas has been with Fidelity Investments since 1987 and has held various financial and management positions including Chief Financial Officer of FMR. In addition, he serves on the Boards of Boston Ballet (2003 present) and Simmons College (2003 present).
| Robert L. Reynolds (53) |
Year of Election or Appointment: 2003
Mr. Reynolds is a Director (2003 present) and Chief Operating Officer (2002 present) of FMR Corp. He also serves on the Board at Fidelity Investments Canada, Ltd. (2000 present). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996 2000).
* Trustees have been determined to be “Interested Trustees” by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson’s father.
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| Independent Trustees: |
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205 5235.
| Name, Age; Principal Occupation Dennis J. Dirks (57) |
Year of Election or Appointment: 2005
Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999 2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Com pany (DTC) (1999 2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999 2003). In addi tion, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001 2003) and Chief Executive Officer and Board member of the Mortgage Backed Securities Clearing Corporation (2001 2003). Mr. Dirks also serves as a Trustee of Manhattan College (2005 present).
| Robert M. Gates (62) |
Year of Election or Appointment: 1997
Dr. Gates is Vice Chairman of the Independent Trustees (2005 present). Dr. Gates is President of Texas A&M University (2002 present). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001 present), and Brinker International (restaurant management, 2003 present). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999 2001). Dr. Gates also is a Trustee of the Forum for International Policy.
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| Name, Age; Principal Occupation George H. Heilmeier (69) |
Year of Election or Appointment: 2004
Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (commu nication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineer ing and information technology support for the government), and HRL Laboratories (private research and development, 2004 present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000 present). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsyl vania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (auto motive, space, defense, and information technology, 1992 2002), Compaq (1994 2002), Automatic Data Processing, Inc. (ADP) (technology based business outsourcing, 1995 2002), INET Technolo gies Inc. (telecommunications network surveillance, 2001 2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid display.
| Marie L. Knowles (58) |
Year of Election or Appointment: 2001
Prior to Ms. Knowles’ retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996 2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare ser vice, 2002 present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.
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| Name, Age; Principal Occupation Ned C. Lautenbach (61) |
Year of Election or Appointment: 2000
Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004 present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005 present), as well as a member of the Council on Foreign Relations.
| Marvin L. Mann (72) |
Year of Election or Appointment: 1993
Mr. Mann is Chairman of the Independent Trustees (2001 present). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director’s Council of the Investment Com pany Institute. In addition, Mr. Mann is a member of the President’s Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.
| William O. McCoy (71) |
Year of Election or Appointment: 1997
Prior to his retirement in December 1994, Mr. McCoy was Vice Chair man of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Frank lin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999 2000) and a member of the Board of Visitors for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Car olina (16 school system).
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| Name, Age; Principal Occupation Cornelia M. Small (61) |
Year of Election or Appointment: 2005
Ms. Small is a member (2000 present) and Chairperson (2002 present) of the Investment Committee, and a member (2002 present) of the Board of Trustees of Smith College. Previously, she served as Chief In vestment Officer (1999 2000), Director of Global Equity Investments (1996 1999), and a member of the Board of Directors of Scudder, Ste vens & Clark (1990 1997) and Scudder Kemper Investments (1997 1998). In addition, Ms. Small served as Co Chair (2000 2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.
| William S. Stavropoulos (66) |
Year of Election or Appointment: 2001
Mr. Stavropoulos is Chairman of the Board (2000 present) and a Mem ber of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993 2000; 2002 2003), CEO (1995 2000; 2002 2004), and Chair man of the Executive Committee (2000 2004). Currently, he is a Direc tor of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corpo ration, Maersk Inc. (industrial conglomerate, 2002 present), and Metal mark Capital (private equity investment firm, 2005 present). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.
| Kenneth L. Wolfe (66) |
Year of Election or Appointment: 2005
Mr. Wolfe also serves as a Trustee (2005 present) or Member of the Advisory Board (2004 present) of other investment companies advised by FMR. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993 2001). He currently serves as a member of the boards of Adelphia Communica tions Corporation (2003 present), Bausch & Lomb, Inc., and Revlon Inc. (2004 present).
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Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Gamper may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205 5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
| Name, Age; Principal Occupation Albert R. Gamper, Jr. (63) |
Year of Election or Appointment: 2005
Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior manage ment positions, including Chairman (1987 1989; 1999 2001; 2002 2004), Chief Executive Officer (1987 2004), and President (1989 2002). He currently serves as a member of the Board of Direc tors of Public Service Enterprise Group (utilities, 2001 present), Chair man of the Board of Governors, Rutgers University (2004 present), and Chairman of the Board of Saint Barnabas Health Care System.
| Peter S. Lynch (61) |
Year of Election or Appointment: 2003
Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001 present) and a Director (2000 present) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990 2003). In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infir mary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.
| Walter C. Donovan (43) |
Year of Election or Appointment: 2005
Vice President of Asset Manager. Mr. Donovan also serves as Vice Presi dent of Fidelity’s High Income Funds (2005 present), Fidelity’s Fixed Income Funds (2005 present), certain Asset Allocation Funds (2005 present), and certain Balanced Funds (2005 present). Mr. Donovan also serves as Executive Vice President of FMR (2005 present) and FMRC (2005 present). Previously, Mr. Donovan served as Vice Pres ident and Director of Fidelity’s International Equity Trading group (1998 2005).
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Trustees and Officers - continued
| Name, Age; Principal Occupation Boyce I. Greer (49) |
Year of Election or Appointment: 2005
Vice President of Asset Manager. Mr. Greer also serves as Vice Presi dent of the Fidelity Select Portfolios (2005 present), certain Asset Allocation Funds (2005 present), a Trustee of other investment compa nies advised by FMR (2003 present), and a member of the FMR senior management team (2005 present). Previously, Mr. Greer served as a Director and Managing Director of Strategic Advisers, Inc.
(2002 2005), Executive Vice President (2000 2002), and Money Mar ket Group Leader (1997 2002) of the Fidelity Investments Fixed Income Division. He also served as Vice President of Fidelity’s Money Market Funds (1997 2002), Senior Vice President of FMR (1997 2002), and Vice President of FIMM (1998 2002).
| Charles S. Morrison (44) |
Year of Election or Appointment: 2005
Vice President of Asset Manager. Mr. Morrison also serves as Vice Presi dent of Fidelity’s Money Market Funds (2005 present) and certain Asset Allocation Funds (2002 present). Previously, he served as Vice President of Fidelity’s Bond Funds (2002 2005) and certain Balanced Funds (2002 2005). He served as Vice President (2002 2005) and Bond Group Leader (2002 2005) of Fidelity Investments Fixed Income Divi sion. Mr. Morrison is also Vice President of FIMM (2002 present) and FMR (2002 present). Mr. Morrison joined Fidelity Investments in 1987 as a Coporate Bond Analyst in the Fixed Income Research Division.
| David L. Murphy (57) |
Year of Election or Appointment: 2005
Vice President of Asset Manager. Mr. Murphy also serves as Vice Presi dent of Fidelity’s Money Market Funds (2002 present), certain Asset Allocation Funds (2003 present), Fidelity’s Investment Grade Bond Funds (2005 present), and Fidelity’s Balanced Funds (2005 present). He serves as Senior Vice President (2000 present) and Head (2004 present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of FIMM (2003 present) and a Vice President of FMR (2000 present). Previously, Mr. Murphy served as Money Market Group Leader (2002 2004), Bond Group Leader (2000 2002), and Vice Presi dent of Fidelity’s Taxable Bond Funds (2000 2002) and Fidelity’s Munici pal Bond Funds (2001 2002). Mr. Murphy joined Fidelity Investments in 1989 as a portfolio manager in the Bond Group.
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| Name, Age; Principal Occupation Thomas J. Silvia (44) |
Year of Election or Appointment: 2005
Vice President of Asset Manager. Mr. Silvia also serves as Vice President of Fidelity’s Bond Funds (2005 present) and Senior Vice President and Bond Group Leader of the Fidelity Investments Fixed Income Division (2005 present). Previously, Mr. Silvia served as Director of Fidelity’s Tax able Bond portfolio managers (2002 2004) and a portfolio manager in the Bond Group (1997 2004).
| Richard C. Habermann (65) |
Year of Election or Appointment: 1996
Vice President of Asset Manager. Mr. Habermann also serves as Vice President of other funds advised by FMR. Mr. Habermann has held sev eral positions including portfolio manager, director of research for FMRCo, division head for international equities, director of international research, and chief investment officer for Fidelity International, Limited.
| Charles A. Mangum (41) |
Year of Election or Appointment: 2001
Vice President of Asset Manager. Mr. Mangum also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Mangum has worked as a research analyst and portfolio manager.
| James Kim Miller (41) |
Year of Election or Appointment: 2004
Vice President of Asset Manager. Mr. Miller also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibi lities, Mr. Miller has worked as an analyst, bond trader and portfolio manager.
| Eric D. Roiter (56) |
Year of Election or Appointment: 1998
Secretary of Asset Manager. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001 present) and FMR; Assistant Secretary of Fidelity Man agement & Research (U.K.) Inc. (2001 present), Fidelity Management & Research (Far East) Inc. (2001 present), and Fidelity Investments Money Management, Inc. (2001 present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003 present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998 2005).
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Trustees and Officers - continued
| Name, Age; Principal Occupation |
| Stuart Fross (46) |
Year of Election or Appointment: 2003
Assistant Secretary of Asset Manager. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003 present), Vice President and Sec retary of FDC (2005 present), and is an employee of FMR.
| Christine Reynolds (47) |
Year of Election or Appointment: 2004
President, Treasurer, and Anti Money Laundering (AML) officer of Asset Manager. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980 2002), where she was most recently an audit partner with PwC’s investment management practice.
| Timothy F. Hayes (54) |
Year of Election or Appointment: 2002
Chief Financial Officer of Asset Manager. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002 present) and Presi dent of Fidelity Investment Operations (2005 present) which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he served as President (1998 2005). Mr. Hayes serves as President of Fidelity Service Company (2003 present) where he also serves as a Director. Mr. Hayes also served as President of Fidelity Investments Op erations Group (FIOG, 2002 2005).
| Kenneth A. Rathgeber (58) |
Year of Election or Appointment: 2004
Chief Compliance Officer of Asset Manager. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Execu tive Vice President of Risk Oversight for Fidelity Investments (2002). Pre viously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998 2002).
| John R. Hebble (47) |
Year of Election or Appointment: 2003
Deputy Treasurer of Asset Manager. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002 2003) and Assistant Treasurer of the Scudder Funds (1998 2003).
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| Name, Age; Principal Occupation Bryan A. Mehrmann (44) |
Year of Election or Appointment: 2005
Deputy Treasurer of Asset Manager. Mr. Mehrmann also serves as Dep uty Treasurer of other Fidelity funds (2005 present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institu tional Operations Corporation, Inc. (FIIOC) Client Services (1998 2004).
| Kimberley H. Monasterio (41) |
Year of Election or Appointment: 2004
Deputy Treasurer of Asset Manager. Ms. Monasterio also serves as Dep uty Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000 2004) and Chief Financial Officer (2002 2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Temple ton Services, LLC (2000 2004).
| Kenneth B. Robins (36) |
Year of Election or Appointment: 2005
Deputy Treasurer of Asset Manager. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2004 present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG’s department of professional practice (2002 2004) and a Senior Manager (1999 2000). In addition, Mr. Robins served as Assistant Chief Accoun tant, United States Securities and Exchange Commission (2000 2002).
| Robert G. Byrnes (38) |
Year of Election or Appointment: 2005
Assistant Treasurer of Asset Manager. Mr. Byrnes also serves as Assis tant Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2005 present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003 2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice Presi dent of the Investment Operations Group (2000 2003).
| John H. Costello (59) |
Year of Election or Appointment: 1988
Assistant Treasurer of Asset Manager. Mr. Costello also serves as Assis tant Treasurer of other Fidelity funds and is an employee of FMR.
| Peter L. Lydecker (51) |
Year of Election or Appointment: 2004
Assistant Treasurer of Asset Manager. Mr. Lydecker also serves as Assis tant Treasurer of other Fidelity funds (2004) and is an employee of FMR.
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| Name, Age; Principal Occupation Mark Osterheld (50) |
Year of Election or Appointment: 2002
Assistant Treasurer of Asset Manager. Mr. Osterheld also serves as As sistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.
| Gary W. Ryan (47) |
Year of Election or Appointment: 2005
Assistant Treasurer of Asset Manager. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2005 present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999 2005).
| Salvatore Schiavone (39) |
Year of Election or Appointment: 2005
Assistant Treasurer of Asset Manager. Mr. Schiavone also serves as As sistant Treasurer of other Fidelity funds (2005 present) and is an em ployee of FMR (2005 present). Before joining Fidelity Investments, Mr. Schiavone worked at Deutsche Asset Management, where he most recently served as Assistant Treasurer (2003 2005) of the Scudder Funds and Vice President and Head of Fund Reporting (1996 2003).
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| Distributions |
The fund hereby designates as capital gain dividends: For dividends with respect to the taxable year ended September 30, 2005, $190,583,000, or, if subsequently deter mined to be different, the net capital gain of such year, and for dividends with respect to the taxable year ended September 30, 2004, $0, or, if subsequently determined to be different, the excess of: (a) the net capital gain of such year, over (b) amounts previously designated as capital gain dividends with respect to such year.
A total of 1.60% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates 51%, 54%, and 54% of the dividends distributed in December, April, and July, respectively during the fiscal year as qualifying for the dividends received deduction for corporate shareholders.
The fund designates 52%, 60%, and 60% of the dividends distributed in December, April, and July, respectively during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2006 of amounts for use in preparing 2005 income tax returns.
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Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Asset Manager
Each year, typically in July, the Board of Trustees, including the independent Trustees (together, the Board), votes on the renewal of the management contract and sub advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and independent Trustees’ counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund’s Advisory Contracts, including the services and support provided to the fund and its shareholders by Fidelity. At the time of the renewal, the Board had 11 standing committees, each composed of independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such com mittee, the Equity Contract Committee, meets periodically during the first six months of each year and as necessary to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its July 2005 meeting, the Board of Trustees, including the independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (1) the nature, extent, and quality of the services to be provided to the fund and its shareholders by Fidelity (including the investment performance of the fund); (2) the competitiveness of the management fee and total expenses of the fund; (3) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (4) the extent to which economies of scale would be realized as the fund grows; and (5) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In determining whether to renew the Advisory Contracts for the fund, the Board ulti mately reached a determination, with the assistance of fund counsel and independent Trustees’ counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity’s fidu ciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund’s shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its
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prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board consid ered staffing within the investment adviser, FMR, and the sub advisers (together, the Investment Advisers), including the backgrounds of the fund’s portfolio managers and the fund’s investment objective and discipline. The independent Trustees also had discussions with senior management of Fidelity’s investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Fidelity Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers’ invest ment staff, their use of technology, and the Investment Advisers’ approach to recruiting, training, and retaining portfolio managers and other research, advisory, and manage ment personnel. The Board considered Fidelity’s extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity’s analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity’s portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund’s portfolio, as well as an electronic communication system that provides immediate real time access to research concerning issuers and credit enhancers.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund. The Board also considered the nature and extent of the Investment Advisers’ supervision of third party service providers, principally custodians and subcustodians. The Board reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of “soft” commission dollars to pay for research services. The Board also considered that Fidelity voluntarily decided in 2004 to stop using “soft” commission dollars to pay for market data and, instead, to pay for that data out of its own resources. The Board also considered the resources devoted to, and the record of compliance with, the fund’s compliance policies and procedures.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24 hour access to
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Board Approval of Investment Advisory Contracts and Management Fees continued
account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund’s prospectus, without paying a sales charge. The Board noted that, since the last Advisory Contract renewals in July 2004, Fidelity has taken a number of actions that benefited particular funds, including (i) voluntarily deciding in 2004 to stop using “soft” commission dollars to pay for market data and, instead, to pay for that data out of its own resources, (ii) contractually agreeing to impose management fee reductions and expense limitations on its five Spartan stock index funds and its stock index fund available through variable insurance products, (iii) contractually agreeing to eliminate the management fees on the Fidelity Freedom Funds and the Fidelity Advisor Freedom Funds, (iv) contractually agreeing to reduce the management fees on most of its investment grade taxable bond funds, and (v) contractually agreeing to impose expense limitations on its retail and Spartan investment grade taxable bond funds.
Investment Performance and Compliance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund’s absolute investment performance, as well as the fund’s relative investment performance measured against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. The following charts considered by the Board show, over the one , three , and five year periods ended December 31, 2004, the fund’s returns, the returns of a proprietary custom index (“benchmark”), and a range of returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the Lipper peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the Lipper peer group whose performance was equal to or lower than that of the fund. The fund’s proprietary custom index is an index developed by FMR that represents the fund’s three asset classes according to their respective weightings in the fund’s neutral mix.
| Annual Report |
| A-54 |
The Board reviewed the fund’s relative investment performance against its Lipper peer group and stated that the performance of the fund was in the fourth quartile for the one year period, the third quartile for the three year period, and the second quartile for the five year period. The Board also stated that the relative investment performance of the fund was lower than its benchmark over time. The Board discussed with FMR actions to be taken by FMR to improve the fund’s more recent disappointing performance.
The Board has had thorough discussions with FMR throughout the year about the Board’s and FMR’s concerns about equity research, equity fund performance, and compliance with internal policies governing gifts and entertainment. FMR has taken steps that it believes will refocus and strengthen equity research and equity portfolio management and compliance. The Board noted with favor FMR’s recent reorganization of its senior management team and FMR’s plans to dedicate additional resources to investment research, and participated in the process that led to those changes.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit the fund’s shareholders, particularly in light of the Board’s view that the fund’s shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund’s management fee and total expenses compared to “mapped groups” of competitive funds and classes. Fidelity creates “mapped groups” by combining similar Lipper investment objective categories that have comparable management fee
| A-55 |
| Annual Report |
Board Approval of Investment Advisory Contracts and Management Fees continued
characteristics. Combining Lipper investment objective categories aids the Board’s management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
The Board considered two proprietary management fee comparisons for the 12 month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the “Total Mapped Group” and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund’s standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. “TMG %” represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund’s. For example, a TMG % of 26% means that 74% of the funds in the Total Mapped Group had higher management fees than the fund. The “Asset Size Peer Group” (ASPG) comparison focuses on a fund’s standing relative to non Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile (“quadrant”) in which the fund’s management fee ranked, is also included in the chart and considered by the Board.
The Board noted that the fund’s management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2004.
| Annual Report |
| A-56 |
Based on its review, the Board concluded that the fund’s management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of the fund’s total expenses, the Board considered the fund’s management fee as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also consid ered current and historical total expenses of the fund compared to competitive fund median expenses. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that the fund’s total expenses ranked below its competitive median for 2004.
In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Based on its review, the Board concluded that the fund’s total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, market ing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity’s profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity’s profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year’s methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board’s assessment of the results of Fidelity’s profitability analysis. PwC’s engagement includes the review and assessment of Fidelity’s methodologies used in determining the revenues and expenses attributable to Fidelity’s mutual fund business, and completion of agreed upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC’s
| A-57 |
| Annual Report |
Board Approval of Investment Advisory Contracts and Management Fees continued
reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity’s profitabil ity methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity’s non fund businesses and any fall out benefits related to the mutual fund business as well as cases where Fidelity’s affiliates may benefit from or be related to the fund’s business. In addition, a special committee of the Board reviewed services provided to Fidelity by its affiliates and determined that the fees that Fidelity paid for such services were reasonable.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases.
The Board recognized that the fund’s management contract incorporates a “group fee” structure, which provides for lower fee rates as total fund assets under FMR’s manage ment increase, and for higher fee rates as total fund assets under FMR’s management decrease. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity’s costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR’s management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
The Board further concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information regarding (i) equity fund transfer agency fees; (ii) Fidelity’s fund profitability methodology and the impact of various changes in the methodology over
| Annual Report |
| A-58 |
time; (iii) benefits to shareholders from economies of scale; (iv) composition and characteristics of various fund and industry data used in comparisons; and (v) com pensation of portfolio managers and research analysts.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the existing advisory fee structures are fair and reasonable, and that the fund’s existing Advisory Contracts should be renewed.
| A-59 |
| Annual Report |
The following is a complete listing of investments for Fidelity’s fixed income central funds as of September 30, 2005 which are investments of Fidelity Asset Manager.
| Annual Report |
| A-60 |
| Fidelity Floating Rate Central Investment Portfolio Investments September 30, 2005 (Unaudited) Showing Percentage of Net Assets |
| Floating Rate Loans (c) 89.6% | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Aerospace – 0.3% | ||||||||
| Mid-Western Aircraft Systems, Inc. Tranche B, term loan | ||||||||
| 5.9606% 12/31/11 (b) | $ 1,386,525 | $ 1,409,056 | ||||||
| Air Transportation – 1.3% | ||||||||
| United Air Lines, Inc. Tranche B, term loan 7.96% | ||||||||
| 12/30/05 (b) | 2,120,000 | 2,141,200 | ||||||
| US Airways Group, Inc. Tranche 1A, term loan | ||||||||
| 12.2062% 9/30/10 (b) | 4,000,000 | 4,000,000 | ||||||
| 6,141,200 | ||||||||
| Automotive 4.2% | ||||||||
| Accuride Corp. term loan 6.1797% 1/31/12 (b) | 2,343,409 | 2,366,843 | ||||||
| AM General LLC Tranche B1, term loan 8.2044% | ||||||||
| 11/1/11 (b) | 3,747,436 | 3,916,071 | ||||||
| Goodyear Tire & Rubber Co.: | ||||||||
| Tranche 1, 4.7852% 4/30/10 (b) | 1,060,000 | 1,069,275 | ||||||
| Tranche 2, term loan 6.32% 4/30/10 (b) | 1,480,000 | 1,500,350 | ||||||
| Travelcenters of America, Inc. Tranche B, term loan | ||||||||
| 5.71% 12/1/11 (b) | 7,916,840 | 8,005,904 | ||||||
| TRW Automotive Holdings Corp. Tranche B, term loan | ||||||||
| 5.25% 6/30/12 (b) | 2,770,717 | 2,798,424 | ||||||
| 19,656,867 | ||||||||
| Broadcasting – 2.0% | ||||||||
| Entravision Communications Corp. term loan 5.55% | ||||||||
| 3/29/13 (b) | 4,000,000 | 4,035,000 | ||||||
| Nexstar Broadcasting, Inc. Tranche B, term loan | ||||||||
| 5.6644% 10/1/12 (b) | 3,828,592 | 3,852,520 | ||||||
| Spanish Broadcasting System, Inc. Tranche 1, term loan | ||||||||
| 6.03% 6/10/12 (b) | 1,567,125 | 1,590,632 | ||||||
| 9,478,152 | ||||||||
| Building Materials – 1.0% | ||||||||
| Euramax International, Inc./Euramax International | ||||||||
| Holdings BV Tranche 1, term loan 6.6297% | ||||||||
| 6/29/12 (b) | 1,845,375 | 1,859,215 | ||||||
| Goodman Global Holdings, Inc. term loan 5.875% | ||||||||
| 12/23/11 (b) | 1,210,850 | 1,227,499 | ||||||
| Masonite International Corp. term loan 5.6659% | ||||||||
| 4/5/13 (b) | 1,462,650 | 1,466,307 | ||||||
| 4,553,021 | ||||||||
| Cable TV 6.4% | ||||||||
| Adelphia Communications Corp. Tranche B, term loan | ||||||||
| 6.3041% 3/31/06 (b) | 2,450,000 | 2,462,250 | ||||||
| Century Cable Holdings LLC Tranche B, term loan 8.75% | ||||||||
| 6/30/09 (b) | 3,000,000 | 2,977,500 |
A-61 Annual Report
| Investments (Unaudited) continued | ||||||||
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Cable TV – continued | ||||||||
| Charter Communications Operating LLC: | ||||||||
| Tranche A, term loan 6.68% 4/27/10 (b) | $ 6,630,902 | $ 6,630,902 | ||||||
| Tranche B, term loan 6.93% 4/7/11 (b) | 1,987,454 | 1,997,391 | ||||||
| DIRECTV Holdings LLC Tranche B, term loan 5.3375% | ||||||||
| 4/13/13 (b) | 2,260,000 | 2,282,600 | ||||||
| NTL Investment Holdings Ltd. Tranche B, term loan 6.41% | ||||||||
| 6/13/12 (b) | 3,000,000 | 3,015,000 | ||||||
| UPC Broadband Holding BV Tranche H2, term loan | ||||||||
| 6.0044% 9/30/12 (b) | 3,940,000 | 3,984,325 | ||||||
| UPC Distribution Holdings BV Tranche F, term loan | ||||||||
| 7.19% 12/31/11 (b) | 4,000,000 | 4,065,000 | ||||||
| WideOpenWest Illinois, Inc. Tranche B, term loan | ||||||||
| 6.8036% 6/22/11 (b) | 2,586,902 | 2,612,771 | ||||||
| 30,027,739 | ||||||||
| Capital Goods 1.7% | ||||||||
| Alliance Laundry Systems LLC term loan 6.0021% | ||||||||
| 1/27/12 (b) | 1,870,000 | 1,893,375 | ||||||
| Flowserve Corp. term loan 5.8125% 8/10/12 (b) | 1,280,000 | 1,296,000 | ||||||
| GenTek, Inc. term loan 6.4034% 2/28/11 (b) | 1,939,064 | 1,939,064 | ||||||
| Hexcel Corp. Tranche B, term loan 5.3632% 3/1/12 (b) | 370,000 | 373,700 | ||||||
| Mueller Group, Inc. term loan 6.2371% 10/3/12 (b) | 670,000 | 680,050 | ||||||
| Walter Industries, Inc. term loan 6.0399% 10/3/12 (b) . | 720,000 | 729,900 | ||||||
| Wastequip, Inc. Tranche B1, term loan 6.5204% | ||||||||
| 7/15/11 (b) | 967,575 | 977,251 | ||||||
| 7,889,340 | ||||||||
| Chemicals – 1.7% | ||||||||
| Basell USA, Inc.: | ||||||||
| Tranche B2, term loan 6.3533% 8/1/13 (b) | 190,000 | 193,563 | ||||||
| Tranche C2, term loan 6.8533% 8/1/14 (b) | 190,000 | 193,563 | ||||||
| Celanese Holding LLC term loan 6.2967% 4/6/11 (b) | 2,334,674 | 2,369,695 | ||||||
| Mosaic Co. Tranche B, term loan 5.2323% 2/21/12 (b) | 1,890,500 | 1,914,131 | ||||||
| PQ Corp. term loan 6.0625% 2/11/12 (b) | 3,283,500 | 3,320,439 | ||||||
| 7,991,391 | ||||||||
| Consumer Products – 1.2% | ||||||||
| Burt’s Bees, Inc. term loan 6.2397% 3/28/10 (b) | 398,000 | 402,478 | ||||||
| Central Garden & Pet Co. Tranche B, term loan 5.5591% | ||||||||
| 5/14/09 (b) | 396,974 | 401,936 | ||||||
| Fender Musical Instrument Corp. Tranche B, term loan | ||||||||
| 5.85% 3/30/12 (b) | 807,975 | 816,055 | ||||||
| Jarden Corp. Tranche B2, term loan 5.6881% | ||||||||
| 1/24/12 (b) | 375,189 | 377,065 | ||||||
Annual Report A-62
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Consumer Products – continued | ||||||||
| Jostens IH Corp. Tranche A, term loan 6.4381% | ||||||||
| 10/4/10 (b) | $ 1,800,000 | $ 1,822,500 | ||||||
| Simmons Bedding Co. Tranche C, term loan 6.0144% | ||||||||
| 12/19/11 (b) | 1,941,162 | 1,960,574 | ||||||
| 5,780,608 | ||||||||
| Containers – 0.2% | ||||||||
| Berry Plastics Corp. term loan 6.105% 12/2/11 (b) | 947,625 | 960,655 | ||||||
| Diversified Financial Services – 0.8% | ||||||||
| Newkirk Master LP Tranche B, term loan 5.6931% | ||||||||
| 8/11/08 (b) | 644,334 | 653,999 | ||||||
| Refco Finance Holdings LLC term loan 5.8406% | ||||||||
| 8/5/11 (b) | 2,972,222 | 3,005,660 | ||||||
| 3,659,659 | ||||||||
| Diversified Media – 0.2% | ||||||||
| R.H. Donnelley Corp. Tranche A3, term loan 5.6939% | ||||||||
| 12/31/09 (b) | 1,159,682 | 1,162,582 | ||||||
| Electric Utilities – 4.5% | ||||||||
| Allegheny Energy Supply Co. LLC term loan 5.7691% | ||||||||
| 3/8/11 (b) | 3,138,340 | 3,181,492 | ||||||
| Centerpoint Energy House Electric LLC term loan | ||||||||
| 13.2425% 11/11/05 (b) | 2,000,000 | 2,025,000 | ||||||
| Covanta Energy Corp. Tranche 1: | ||||||||
| Credit-Linked Deposit 6.8628% 6/24/12 (b) | 2,211,382 | 2,244,553 | ||||||
| term loan 6.9606% 6/24/12 (b) | 1,784,146 | 1,810,909 | ||||||
| NRG Energy, Inc.: | ||||||||
| Credit-Linked Deposit 5.7953% 12/24/11 (b) | 1,706,250 | 1,714,781 | ||||||
| term loan 5.8954% 12/24/11 (b) | 2,177,297 | 2,188,183 | ||||||
| Primary Energy Finance LLC term loan 6.0204% | ||||||||
| 8/24/12 (b) | 3,030,000 | 3,075,450 | ||||||
| Reliant Energy, Inc. term loan 6.0972% 4/30/10 (b) | 1,990,000 | 2,004,925 | ||||||
| Texas Genco LLC term loan 5.8632% 12/14/11 (b) | 2,977,500 | 2,992,388 | ||||||
| 21,237,681 | ||||||||
| Energy – 7.8% | ||||||||
| Boart Longyear Holdings, Inc. Tranche 1, term loan | ||||||||
| 6.53% 7/22/12 (b) | 369,075 | 374,611 | ||||||
| Coffeyville Resources LLC: | ||||||||
| Credit-Linked Deposit 6.3604% 7/8/11 (b) | 704,000 | 715,440 | ||||||
| Tranche B1, term loan 6.57% 7/8/12 (b) | 1,056,000 | 1,073,160 | ||||||
| El Paso Corp. Credit-Linked Deposit 6.6466% | ||||||||
| 11/22/09 (b) | 6,000,000 | 6,060,000 | ||||||
| Energy Transfer Partners LP term loan 6.8125% | ||||||||
| 6/16/08 (b) | 5,000,000 | 5,056,250 |
A-63 Annual Report
| Investments (Unaudited) continued | ||||||||
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Energy – continued | ||||||||
| EPCO Holdings, Inc. Tranche B, term loan 6.0394% | ||||||||
| 8/16/10 (b) | $ 3,460,000 | $ 3,520,550 | ||||||
| Kerr-McGee Corp. Tranche B, term loan 6.3149% | ||||||||
| 5/24/11 (b) | 9,975,000 | 10,024,875 | ||||||
| Key Energy Services, Inc. Tranche B, term loan 7.02% | ||||||||
| 6/30/12 (b) | 4,230,000 | 4,293,450 | ||||||
| LB Pacific LP term loan 6.8044% 3/3/12 (b) | 3,980,000 | 4,029,750 | ||||||
| Universal Compression, Inc. term loan 7.5% | ||||||||
| 2/15/12 (b) | 1,055,500 | 1,063,416 | ||||||
| Vulcan/Plains Resources, Inc. term loan 5.8492% | ||||||||
| 8/12/11 (b) | 540,000 | 547,425 | ||||||
| 36,758,927 | ||||||||
| Entertainment/Film 1.8% | ||||||||
| MGM Holdings II, Inc. Tranche B, term loan 6.2704% | ||||||||
| 4/8/12 (b) | 8,550,000 | 8,635,500 | ||||||
| Environmental – 1.4% | ||||||||
| Allied Waste Industries, Inc.: | ||||||||
| term loan 5.8505% 1/15/12 (b) | 2,088,868 | 2,107,146 | ||||||
| Tranche A, Credit-Linked Deposit 5.105% 1/15/12 (b) | 789,324 | 796,231 | ||||||
| Envirocare of Utah, Inc. Tranche 1, term loan 6.11% | ||||||||
| 4/13/10 (b) | 3,727,273 | 3,787,841 | ||||||
| 6,691,218 | ||||||||
| Food/Beverage/Tobacco – 1.8% | ||||||||
| Centerplate, Inc. term loan 6.9252% 10/1/10 (b) | 4,895,400 | 4,932,116 | ||||||
| Commonwealth Brands, Inc. term loan 6.875% | ||||||||
| 8/28/07 (b) | 135,204 | 137,570 | ||||||
| Constellation Brands, Inc. Tranche B, term loan 5.9093% | ||||||||
| 11/30/11 (b) | 2,297,889 | 2,326,612 | ||||||
| Herbalife International, Inc. term loan 5.41% | ||||||||
| 12/21/10 (b) | 1,190,000 | 1,201,900 | ||||||
| 8,598,198 | ||||||||
| Gaming – 2.6% | ||||||||
| BLB Worldwide Holdings, Inc.: | ||||||||
| Tranche 1, term loan 6.079% 6/30/12 (b) | 870,000 | 883,050 | ||||||
| Tranche 2, term loan 7.83% 7/18/11 (b) | 1,360,000 | 1,385,500 | ||||||
| Green Valley Ranch Gaming LLC term loan 6.0204% | ||||||||
| 12/17/11 (b) | 2,176,056 | 2,197,817 | ||||||
| Herbst Gaming, Inc. term loan 6.1973% 1/7/11 (b) | 398,000 | 402,478 | ||||||
| Isle of Capri Casinos, Inc. term loan 5.4859% | ||||||||
| 2/4/11 (b) | 198,500 | 200,981 | ||||||
| Marina District Finance Co., Inc. term loan 5.5906% | ||||||||
| 10/14/11 (b) | 3,970,000 | 3,994,813 | ||||||
Annual Report A-64
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Gaming – continued | ||||||||
| Motor City Casino Tranche B, term loan 5.9333% | ||||||||
| 7/29/12 (b) | $ 1,426,425 | $ 1,438,906 | ||||||
| Resorts International Hotel & Casino, Inc. Tranche B1, | ||||||||
| term loan 6.53% 4/26/12 (b) | 783,465 | 787,382 | ||||||
| Venetian Casino Resort LLC Tranche B, term loan | ||||||||
| 5.7704% 6/15/11 (b) | 900,000 | 904,500 | ||||||
| 12,195,427 | ||||||||
| Healthcare 9.8% | ||||||||
| AMR HoldCo, Inc./ EmCare HoldCo, Inc. term loan | ||||||||
| 6.1093% 2/7/12 (b) | 3,283,500 | 3,332,753 | ||||||
| Community Health Systems, Inc. term loan 5.61% | ||||||||
| 8/19/11 (b) | 3,964,962 | 4,019,481 | ||||||
| CRC Health Corp. term loan 6.8125% 5/11/11 (b) | 947,625 | 952,363 | ||||||
| DaVita, Inc. Tranche B, term loan 4.1581% 7/30/12 (b) | 7,686,275 | 7,811,176 | ||||||
| Genoa Healthcare Group LLC Tranche 1, term loan | ||||||||
| 7.2614% 8/4/12 (b) | 1,421,000 | 1,442,315 | ||||||
| HealthSouth Corp.: | ||||||||
| Credit-Linked Deposit 6.2818% 6/14/07 (b) | 807,500 | 811,538 | ||||||
| term loan 6.53% 6/14/07 (b) | 2,985,019 | 2,999,944 | ||||||
| Lifecare Holdings, Inc. term loan 6.09% 8/11/12 (b) | 1,260,000 | 1,244,250 | ||||||
| LifePoint Hospitals, Inc. Tranche B, term loan 5.435% | ||||||||
| 4/15/12 (b) | 3,196,814 | 3,224,787 | ||||||
| Mylan Laboratories, Inc. Tranche B, term loan 5.4% | ||||||||
| 6/30/10 (b) | 480,000 | 486,600 | ||||||
| Newquest, Inc. Tranche A, term loan 6.66% 3/1/11 (b) | 475,000 | 480,938 | ||||||
| PacifiCare Health Systems, Inc. Tranche B, term loan | ||||||||
| 5.2204% 12/6/10 (b) | 6,947,500 | 6,947,500 | ||||||
| Psychiatric Solutions, Inc. term loan 5.73% 7/1/12 (b) . | 510,769 | 516,515 | ||||||
| Skilled Healthcare Group, Inc. Tranche 2, term loan | ||||||||
| 11.53% 12/15/12 (b) | 3,000,000 | 3,030,000 | ||||||
| Vicar Operating, Inc. term loan 5.375% 5/16/11 (b) | 4,644,362 | 4,690,806 | ||||||
| Warner Chilcott Corp. term loan 6.6701% 1/18/12 (b) | 3,992,057 | 4,012,017 | ||||||
| 46,002,983 | ||||||||
| Homebuilding/Real Estate – 5.7% | ||||||||
| CB Richard Ellis Services, Inc. term loan 5.1051% | ||||||||
| 3/31/10 (b) | 1,430,172 | 1,440,898 | ||||||
| General Growth Properties, Inc. Tranche B, term loan | ||||||||
| 5.85% 11/12/08 (b) | 5,961,545 | 6,050,968 | ||||||
| Lake Las Vegas LLC Tranche 1, term loan 6.3129% | ||||||||
| 11/1/09 (b) | 3,902,166 | 3,960,699 | ||||||
| Lion Gables Realty LP term loan 5.63% 9/30/06 (b) | 4,124,421 | 4,150,199 |
A-65 Annual Report
| Investments (Unaudited) continued | ||||||||
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Homebuilding/Real Estate – continued | ||||||||
| LNR Property Corp. Tranche B, term loan 6.7112% | ||||||||
| 2/3/08 (b) | $ 3,919,880 | $ 3,968,879 | ||||||
| Maguire Properties, Inc. Tranche B, term loan 5.4663% | ||||||||
| 3/15/10 (b) | 4,611,111 | 4,651,458 | ||||||
| Shea Mountain House LLC Tranche B, term loan 5.8% | ||||||||
| 5/11/11 (b) | 2,430,000 | 2,454,300 | ||||||
| 26,677,401 | ||||||||
| Hotels 1.0% | ||||||||
| Starwood Hotels & Resorts Worldwide, Inc. term loan | ||||||||
| 5.0906% 10/9/06 (b) | 4,893,939 | 4,893,939 | ||||||
| Leisure – 0.7% | ||||||||
| 24 Hour Fitness Worldwide, Inc. Tranche B, term loan | ||||||||
| 6.78% 6/8/12 (b) | 3,000,000 | 3,045,000 | ||||||
| Mega Bloks, Inc. Tranche B, term loan 5.6034% | ||||||||
| 7/26/12 (b) | 440,000 | 445,500 | ||||||
| 3,490,500 | ||||||||
| Metals/Mining – 2.6% | ||||||||
| Murray Energy Corp. Tranche 1, term loan 6.86% | ||||||||
| 1/28/10 (b) | 497,500 | 501,231 | ||||||
| Novelis, Inc. term loan 5.46% 1/7/12 (b) | 3,123,077 | 3,158,212 | ||||||
| Peabody Energy Corp. term loan 4.625% 3/21/10 (b) . | 2,947,385 | 2,965,806 | ||||||
| Trout Coal Holdings LLC / Dakota Tranche 1, term loan | ||||||||
| 6.0302% 3/23/11 (b) | 5,676,487 | 5,683,583 | ||||||
| 12,308,832 | ||||||||
| Paper 2.9% | ||||||||
| Escanaba Timber LLC term loan 6.43% 5/2/08 (b) | 520,000 | 525,850 | ||||||
| Georgia-Pacific Corp. term loan 5.3152% 7/2/09 (b) | 1,000,000 | 1,001,800 | ||||||
| Koch Cellulose LLC: | ||||||||
| term loan 5.77% 5/7/11 (b) | 1,952,469 | 1,984,197 | ||||||
| Credit-Linked Deposit 5.1931% 5/7/11 (b) | 602,945 | 612,743 | ||||||
| Smurfit-Stone Container Enterprises, Inc.: | ||||||||
| Credit-Linked Deposit 5.25% 11/1/10 (b) | 655,111 | 661,662 | ||||||
| Tranche B, term loan 5.6969% 11/1/11 (b) | 5,208,155 | 5,266,747 | ||||||
| Tranche C, term loan 5.8338% 11/1/11 (b) | 1,923,018 | 1,944,652 | ||||||
| Xerium Technologies, Inc. Tranche B, term loan 6.0204% | ||||||||
| 5/18/12 (b) | 1,496,250 | 1,514,953 | ||||||
| 13,512,604 | ||||||||
| Publishing/Printing – 3.0% | ||||||||
| Dex Media West LLC/Dex Media West Finance Co. | ||||||||
| Tranche B, term loan 5.5119% 3/9/10 (b) | 6,513,707 | 6,546,276 | ||||||
Annual Report A-66
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Publishing/Printing – continued | ||||||||
| Liberty Group Operating, Inc. Tranche B, term loan 6% | ||||||||
| 2/28/12 (b) | $ 196,513 | $ 198,478 | ||||||
| PRIMEDIA, Inc. Tranche B, term loan 6.1138% | ||||||||
| 9/30/13 (b) | 3,170,000 | 3,197,738 | ||||||
| R.H. Donnelley Corp. Tranche B2, term loan 5.6181% | ||||||||
| 6/30/11 (b) | 4,287,315 | 4,314,111 | ||||||
| 14,256,603 | ||||||||
| Railroad 1.5% | ||||||||
| Helm Holding Corp. Tranche 1, term loan 6.259% | ||||||||
| 7/8/11 (b) | 1,187,025 | 1,198,895 | ||||||
| Kansas City Southern Railway Co. Tranche B1, term loan | ||||||||
| 5.5903% 3/30/08 (b) | 2,779,000 | 2,820,685 | ||||||
| RailAmerica, Inc. term loan 5.875% 9/29/11 (b) | 3,090,201 | 3,144,280 | ||||||
| 7,163,860 | ||||||||
| Restaurants 3.3% | ||||||||
| Arby’s Restaurant Group, Inc. Tranche B, term loan | ||||||||
| 6.1446% 7/25/12 (b) | 3,990,000 | 4,019,925 | ||||||
| Burger King Corp. Tranche B, term loan 5.5% | ||||||||
| 6/30/12 (b) | 1,845,375 | 1,873,056 | ||||||
| Domino’s, Inc. term loan 5.8125% 6/25/10 (b) | 4,809,121 | 4,881,258 | ||||||
| Jack in the Box, Inc. term loan 5.4457% 1/8/11 (b) | 3,117,746 | 3,145,026 | ||||||
| Landry’s Seafood Restaurants, Inc. term loan 5.949% | ||||||||
| 12/28/10 (b) | 1,454,013 | 1,470,370 | ||||||
| 15,389,635 | ||||||||
| Services – 4.6% | ||||||||
| Coinstar, Inc. term loan 5.55% 7/1/11 (b) | 825,144 | 837,521 | ||||||
| DynCorp term loan 6.7498% 2/11/11 (b) | 1,995,000 | 2,004,975 | ||||||
| Iron Mountain, Inc.: | ||||||||
| term loan 5.625% 4/2/11 (b) | 3,712,842 | 3,749,970 | ||||||
| Tranche R, term loan 5.5313% 4/2/11 (b) | 4,962,500 | 5,012,125 | ||||||
| Knowledge Learning Corp. term loan 6.35% 1/7/12 (b) | 4,050,907 | 4,061,035 | ||||||
| Rural/Metro Corp.: | ||||||||
| Credit-Linked Deposit 6.2% 3/4/11 (b) | 520,882 | 528,044 | ||||||
| term loan 6.0439% 3/4/11 (b) | 1,904,941 | 1,931,134 | ||||||
| United Rentals, Inc.: | ||||||||
| term loan 6.0948% 2/14/11 (b) | 2,836,779 | 2,865,147 | ||||||
| Tranche B, Credit-Linked Deposit 5.4925% | ||||||||
| 2/14/11 (b) | 575,996 | 581,756 | ||||||
| 21,571,707 |
| A-67 |
| Annual Report |
| Investments (Unaudited) continued | ||||||||
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Shipping – 0.1% | ||||||||
| Baker Tanks, Inc. term loan 6.4731% 1/30/11 (b) | $ 248,750 | $ 250,616 | ||||||
| Ozburn Hessey Holding Co. LLC term loan 6.3406% | ||||||||
| 8/9/12 (b) | 370,000 | 375,550 | ||||||
| 626,166 | ||||||||
| Technology – 7.8% | ||||||||
| AMI Semiconductor, Inc. term loan 5.3406% 4/1/12 (b) | 2,090,751 | 2,095,978 | ||||||
| Fairchild Semiconductor Corp. Tranche B3, term loan | ||||||||
| 5.605% 12/31/10 (b) | 2,055,157 | 2,078,277 | ||||||
| Fidelity National Information Solutions, Inc. Tranche B, | ||||||||
| term loan 5.4771% 3/9/13 (b) | 5,471,500 | 5,498,858 | ||||||
| Infor Global Solutions AG Tranche 1, term loan 6.943% | ||||||||
| 4/18/11 (b) | 6,000,000 | 6,060,000 | ||||||
| ON Semiconductor Corp. Tranche G, term loan | ||||||||
| 7.0625% 12/15/11 (b) | 2,977,500 | 3,022,163 | ||||||
| SSA Global Technologies, Inc. term loan 5.97% | ||||||||
| 9/22/11 (b) | 2,180,000 | 2,190,900 | ||||||
| SunGard Data Systems, Inc. Tranche B, term loan 6.28% | ||||||||
| 2/10/13 (b) | 14,962,500 | 15,149,520 | ||||||
| UGS Holdings, Inc. Tranche C, term loan 5.84% | ||||||||
| 3/31/12 (b) | 464,828 | 471,219 | ||||||
| 36,566,915 | ||||||||
| Telecommunications – 5.4% | ||||||||
| AAT Communications Corp.: | ||||||||
| Tranche 2, term loan 6.61% 7/29/13 (b) | 300,000 | 305,625 | ||||||
| Tranche B1, term loan 5.61% 7/27/12 (b) | 1,850,000 | 1,875,438 | ||||||
| Alaska Communications Systems Holding term loan | ||||||||
| 6.0204% 2/1/12 (b) | 7,100,000 | 7,188,750 | ||||||
| American Tower LP Tranche C, term loan 4.9601% | ||||||||
| 8/31/11 (b) | 2,567,100 | 2,570,309 | ||||||
| Conversant Holdings, Inc. Tranche B, term loan 7.8144% | ||||||||
| 3/31/11 (b) | 1,925,000 | 1,920,188 | ||||||
| Intelsat Ltd. term loan 5.8125% 7/28/11 (b) | 3,228,410 | 3,260,694 | ||||||
| Madison River Capital LLC/Madison River Finance Corp. | ||||||||
| Tranche B, term loan 6.22% 7/29/12 (b) | 1,270,000 | 1,290,638 | ||||||
| New Skies Satellites BV term loan 5.8888% 5/2/11 (b) . | 1,327,565 | 1,347,479 | ||||||
| NTELOS, Inc.: | ||||||||
| term loan 9.03% 2/24/12 (b) | 200,000 | 199,250 | ||||||
| Tranche B, term loan 6.53% 8/24/11 (b) | 992,500 | 1,003,666 | ||||||
| Qwest Corp. Tranche A, term loan 8.53% 6/30/07 (b) . | 1,600,000 | 1,650,000 | ||||||
| Annual Report |
| A-68 |
| Floating Rate Loans (c) continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Telecommunications – continued | ||||||
| SpectraSite Communications, Inc. Tranche B, term loan | ||||||
| 5.27% 5/19/12 (b) | $ 1,985,000 | $ 1,987,481 | ||||
| Valor Telecommunications Enterprises LLC/Valor Finance | ||||||
| Corp. Tranche B, term loan 5.7754% 2/14/12 (b) | 773,333 | 783,967 | ||||
| 25,383,485 | ||||||
| Textiles & Apparel – 0.3% | ||||||
| St. John Knits International, Inc. Tranche B, term loan | ||||||
| 6.5401% 3/23/12 (b) | 497,500 | 503,719 | ||||
| William Carter Co. term loan 5.7178% 6/29/12 (b) | 796,875 | 808,828 | ||||
| 1,312,547 | ||||||
| TOTAL FLOATING RATE LOANS | ||||||
| (Cost $419,395,818) | 421,984,398 | |||||
| Nonconvertible Bonds 7.9% | ||||||
| Automotive 2.5% | ||||||
| General Motors Acceptance Corp.: | ||||||
| 4.6769% 5/18/06 (b) | 2,000,000 | 1,989,398 | ||||
| 4.87% 10/20/05 (b) | 5,000,000 | 5,000,060 | ||||
| 5.11% 9/23/08 (b) | 3,000,000 | 2,779,644 | ||||
| 6.75% 1/15/06 | 2,000,000 | 2,010,456 | ||||
| 11,779,558 | ||||||
| Diversified Financial Services – 1.1% | ||||||
| Residential Capital Corp. 5.385% 6/29/07 (a)(b) | 5,000,000 | 5,041,365 | ||||
| Super Retail – 1.1% | ||||||
| GSC Holdings Corp./Gamestop, Inc. 7.875% | ||||||
| 10/1/11 (a)(b) | 5,000,000 | 5,037,500 | ||||
| Technology – 1.3% | ||||||
| Nortel Networks Corp. 6.125% 2/15/06 | 5,000,000 | 5,025,000 | ||||
| SunGard Data Systems, Inc. 8.5248% 8/15/13 (a)(b) | 1,090,000 | 1,124,063 | ||||
| 6,149,063 | ||||||
| Telecommunications – 1.9% | ||||||
| Qwest Corp. 7.12% 6/15/13 (a)(b) | 2,840,000 | 2,953,600 | ||||
| Rogers Communications, Inc. 6.995% 12/15/10 (b) | 6,000,000 | 6,217,500 | ||||
| 9,171,100 | ||||||
| TOTAL NONCONVERTIBLE BONDS | ||||||
| (Cost $37,125,822) | 37,178,586 | |||||
| A-69 |
| Annual Report |
| Investments (Unaudited) continued | ||||||
| Cash Equivalents 7.7% | ||||||
| Maturity | Value | |||||
| Amount | ||||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||
| Government Obligations, in a joint trading account at | ||||||
| 3.89%, dated 9/30/05 due 10/3/05) | ||||||
| (Cost $36,404,000) | $ 36,415,815 | $ 36,404,000 | ||||
| TOTAL INVESTMENT PORTFOLIO 105.2% | ||||||
| (Cost $492,925,640) | 495,566,984 | |||||
| NET OTHER ASSETS – (5.2)% | (24,405,171) | |||||
| NET ASSETS 100% | $ 471,161,813 | |||||
| Legend |
| (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $14,156,528 or 3.0% of net assets. (b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (c) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
| Annual Report |
| A-70 |
| Fidelity High Income Central Investment Portfolio 1 Investments September 30, 2005 (Unaudited) Showing Percentage of Net Assets |
| Corporate Bonds 88.7% | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Convertible Bonds 0.0% | ||||||||
| Services – 0.0% | ||||||||
| FTI Consulting, Inc. 3.75% 7/15/12 (c) | $ 170,000 | $ 180,829 | ||||||
| Nonconvertible Bonds – 88.7% | ||||||||
| Aerospace – 1.6% | ||||||||
| L 3 Communications Corp.: | ||||||||
| 5.875% 1/15/15 | 1,585,000 | 1,533,488 | ||||||
| 6.375% 10/15/15 (c) | 3,520,000 | 3,546,400 | ||||||
| 7.625% 6/15/12 | 3,045,000 | 3,197,250 | ||||||
| Orbital Sciences Corp. 9% 7/15/11 | 4,470,000 | 4,849,950 | ||||||
| Primus International, Inc. 10.5% 4/15/09 (c) | 3,735,000 | 3,959,100 | ||||||
| 17,086,188 | ||||||||
| Air Transportation – 0.8% | ||||||||
| American Airlines, Inc. pass thru trust certificates: | ||||||||
| 6.817% 5/23/11 | 1,250,000 | 1,140,625 | ||||||
| 7.377% 5/23/19 | 1,854,747 | 1,251,954 | ||||||
| 7.379% 11/23/17 | 1,553,711 | 1,048,755 | ||||||
| 7.8% 4/1/08 | 2,080,000 | 1,965,600 | ||||||
| AMR Corp. 10.2% 3/15/20 | 510,000 | 295,800 | ||||||
| Continental Airlines, Inc. pass thru trust certificates | ||||||||
| 9.798% 4/1/21 | 2,360,000 | 2,336,400 | ||||||
| 8,039,134 | ||||||||
| Automotive 3.9% | ||||||||
| Delco Remy International, Inc. 9.375% 4/15/12 | 2,030,000 | 1,075,900 | ||||||
| Ford Motor Co. 7.45% 7/16/31 | 1,770,000 | 1,380,600 | ||||||
| Ford Motor Credit Co.: | ||||||||
| 6.625% 6/16/08 | 3,960,000 | 3,875,850 | ||||||
| 7% 10/1/13 | 595,000 | 551,777 | ||||||
| General Motors Acceptance Corp.: | ||||||||
| 6.75% 12/1/14 | 5,225,000 | 4,544,935 | ||||||
| 6.875% 9/15/11 | 6,745,000 | 6,135,340 | ||||||
| 8% 11/1/31 | 5,360,000 | 4,680,186 | ||||||
| General Motors Corp.: | ||||||||
| 7.125% 7/15/13 | 4,190,000 | 3,571,975 | ||||||
| 8.375% 7/15/33 | 2,960,000 | 2,308,800 | ||||||
| Goodyear Tire & Rubber Co. 9% 7/1/15 (c) | 4,250,000 | 4,186,250 | ||||||
| Navistar International Corp.: | ||||||||
| 6.25% 3/1/12 | 2,460,000 | 2,337,000 | ||||||
| 7.5% 6/15/11 | 1,225,000 | 1,237,250 |
A-71 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Automotive continued | ||||||||||
| Tenneco Automotive, Inc. 8.625% 11/15/14 | $ 2,800,000 | $ 2,800,000 | ||||||||
| Visteon Corp. 7% 3/10/14 | 2,430,000 | 2,114,100 | ||||||||
| 40,799,963 | ||||||||||
| Banks and Thrifts – 0.9% | ||||||||||
| Western Financial Bank 9.625% 5/15/12 | 8,060,000 | 9,269,000 | ||||||||
| Building Materials – 1.6% | ||||||||||
| Anixter International, Inc. 5.95% 3/1/15 | 2,260,000 | 2,096,150 | ||||||||
| Goodman Global Holdings, Inc.: | ||||||||||
| 6.41% 6/15/12 (c)(d) | 2,920,000 | 2,854,300 | ||||||||
| 7.875% 12/15/12 (c) | 1,870,000 | 1,692,350 | ||||||||
| Maax Holdings, Inc. 0% 12/15/12 (b)(c) | 5,865,000 | 2,580,600 | ||||||||
| Nortek, Inc. 8.5% 9/1/14 | 4,950,000 | 4,554,000 | ||||||||
| NTK Holdings, Inc. 0% 3/1/14 (b) | 2,920,000 | 1,657,100 | ||||||||
| Ply Gem Industries, Inc. 9% 2/15/12 | 1,605,000 | 1,332,150 | ||||||||
| 16,766,650 | ||||||||||
| Cable TV 4.1% | ||||||||||
| Cablevision Systems Corp. 7.88% 4/1/09 (d) | 5,830,000 | 5,975,750 | ||||||||
| CSC Holdings, Inc.: | ||||||||||
| 6.75% 4/15/12 (c) | 2,040,000 | 1,902,300 | ||||||||
| 7.875% 2/15/18 | 1,995,000 | 1,922,681 | ||||||||
| EchoStar DBS Corp. 5.75% 10/1/08 | 17,635,000 | 17,348,431 | ||||||||
| GCI, Inc. 7.25% 2/15/14 | 5,225,000 | 5,068,250 | ||||||||
| iesy Repository GmbH 10.375% 2/15/15 (c) | 2,360,000 | 2,466,200 | ||||||||
| Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10 | 3,680,000 | 3,873,200 | ||||||||
| Kabel Deutschland GmbH 10.625% 7/1/14 (c) | 1,330,000 | 1,469,650 | ||||||||
| Telenet Group Holding NV 0% 6/15/14 (b)(c) | 3,080,000 | 2,494,800 | ||||||||
| 42,521,262 | ||||||||||
| Capital Goods 3.3% | ||||||||||
| Amsted Industries, Inc. 10.25% 10/15/11 (c) | 4,415,000 | 4,790,275 | ||||||||
| Case New Holland, Inc.: | ||||||||||
| 6% 6/1/09 | 2,030,000 | 1,958,950 | ||||||||
| 9.25% 8/1/11 | 1,145,000 | 1,219,425 | ||||||||
| Chart Industries, Inc. 9.125% 10/15/15 (c) | 980,000 | 997,150 | ||||||||
| Columbus McKinnon Corp. 8.875% 11/1/13 (c) | 330,000 | 330,000 | ||||||||
| Dresser, Inc. 9.375% 4/15/11 | 4,465,000 | 4,710,575 | ||||||||
| Invensys PLC 9.875% 3/15/11 (c) | 12,130,000 | 12,160,325 | ||||||||
| Leucadia National Corp. 7% 8/15/13 | 3,530,000 | 3,547,650 | ||||||||
| Annual Report |
| A-72 |
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Capital Goods – continued | ||||||||||
| Park-Ohio Industries, Inc. 8.375% 11/15/14 | $ 2,735,000 | $ 2,372,613 | ||||||||
| Sensus Metering Systems, Inc. 8.625% 12/15/13 | 3,120,000 | 2,870,400 | ||||||||
| 34,957,363 | ||||||||||
| Chemicals – 3.8% | ||||||||||
| BCI US Finance Corp./Borden 2 Nova Scotia Finance | ||||||||||
| ULC 9.0988% 7/15/10 (c)(d) | 630,000 | 642,600 | ||||||||
| Borden US Finance Corp./Nova Scotia Finance ULC | ||||||||||
| 8.3488% 7/15/10 (c)(d) | 3,525,000 | 3,507,375 | ||||||||
| Crystal US Holding 3 LLC/Crystal US Sub 3 Corp.: | ||||||||||
| Series A, 0% 10/1/14 (b) | 1,970,000 | 1,398,700 | ||||||||
| Series B, 0% 10/1/14 (b) | 1,355,000 | 948,500 | ||||||||
| Equistar Chemicals LP 7.55% 2/15/26 | 1,800,000 | 1,710,000 | ||||||||
| Equistar Chemicals LP/Equistar Funding Corp.: | ||||||||||
| 8.75% 2/15/09 | 2,285,000 | 2,390,681 | ||||||||
| 10.125% 9/1/08 | 2,515,000 | 2,703,625 | ||||||||
| Huntsman LLC 11.0988% 7/15/11 (d) | 5,660,000 | 5,999,600 | ||||||||
| Millennium America, Inc.: | ||||||||||
| 7.625% 11/15/26 | 390,000 | 362,700 | ||||||||
| 9.25% 6/15/08 | 7,370,000 | 7,959,600 | ||||||||
| Nalco Co. 7.75% 11/15/11 | 2,820,000 | 2,890,500 | ||||||||
| Nell AF Sarl 8.375% 8/15/15 (c) | 3,670,000 | 3,578,250 | ||||||||
| NOVA Chemicals Corp. 7.4% 4/1/09 | 3,065,000 | 3,156,950 | ||||||||
| Rhodia SA: | ||||||||||
| 8.875% 6/1/11 | 1,000,000 | 950,000 | ||||||||
| 10.25% 6/1/10 | 1,805,000 | 1,908,788 | ||||||||
| 40,107,869 | ||||||||||
| Consumer Products – 1.1% | ||||||||||
| IKON Office Solutions, Inc. 7.75% 9/15/15 (c) | 4,830,000 | 4,775,663 | ||||||||
| Jostens Holding Corp. 0% 12/1/13 (b) | 3,135,000 | 2,312,063 | ||||||||
| Jostens IH Corp. 7.625% 10/1/12 | 530,000 | 540,600 | ||||||||
| Revlon Consumer Products Corp. 9.5% 4/1/11 (c) | 290,000 | 269,700 | ||||||||
| Samsonite Corp. 8.875% 6/1/11 | 1,675,000 | 1,779,688 | ||||||||
| Spectrum Brands, Inc. 7.375% 2/1/15 | 2,090,000 | 1,865,325 | ||||||||
| 11,543,039 | ||||||||||
| Containers – 2.2% | ||||||||||
| Berry Plastics Corp. 10.75% 7/15/12 | 3,810,000 | 4,029,075 | ||||||||
| BWAY Corp. 10% 10/15/10 | 3,370,000 | 3,563,775 | ||||||||
| Crown European Holdings SA: | ||||||||||
| 9.5% 3/1/11 | 1,285,000 | 1,403,863 | ||||||||
A-73 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Containers – continued | ||||||||||
| Crown European Holdings SA: – continued | ||||||||||
| 10.875% 3/1/13 | $ 6,380,000 | $ 7,416,750 | ||||||||
| Owens-Brockway Glass Container, Inc. 8.25% 5/15/13 | 1,475,000 | 1,534,000 | ||||||||
| Owens-Illinois, Inc.: | ||||||||||
| 7.35% 5/15/08 | 2,460,000 | 2,484,600 | ||||||||
| 7.5% 5/15/10 | 2,895,000 | 2,927,569 | ||||||||
| 23,359,632 | ||||||||||
| Diversified Financial Services – 0.7% | ||||||||||
| E*TRADE Financial Corp.: | ||||||||||
| 7.375% 9/15/13 (c) | 1,070,000 | 1,080,700 | ||||||||
| 8% 6/15/11 | 570,000 | 587,100 | ||||||||
| 8% 6/15/11 (c) | 2,250,000 | 2,328,750 | ||||||||
| Residential Capital Corp. 6.375% 6/30/10 (c) | 1,565,000 | 1,587,008 | ||||||||
| Triad Acquisition Corp. 11.125% 5/1/13 (c) | 1,970,000 | 2,029,100 | ||||||||
| 7,612,658 | ||||||||||
| Diversified Media – 1.3% | ||||||||||
| Corus Entertainment, Inc. 8.75% 3/1/12 | 3,270,000 | 3,507,075 | ||||||||
| LBI Media Holdings, Inc. 0% 10/15/13 (b) | 1,330,000 | 1,000,825 | ||||||||
| LBI Media, Inc. 10.125% 7/15/12 | 2,310,000 | 2,489,025 | ||||||||
| Liberty Media Corp.: | ||||||||||
| 8.25% 2/1/30 | 2,570,000 | 2,461,037 | ||||||||
| 8.5% 7/15/29 | 1,575,000 | 1,524,992 | ||||||||
| Videotron Ltee 6.375% 12/15/15 (c) | 2,710,000 | 2,703,225 | ||||||||
| 13,686,179 | ||||||||||
| Electric Utilities – 5.0% | ||||||||||
| AES Corp.: | ||||||||||
| 8.875% 2/15/11 | 2,334,000 | 2,544,060 | ||||||||
| 9.375% 9/15/10 | 1,509,000 | 1,663,673 | ||||||||
| 9.5% 6/1/09 | 7,037,000 | 7,661,534 | ||||||||
| AES Gener SA 7.5% 3/25/14 | 4,175,000 | 4,237,625 | ||||||||
| Allegheny Energy Supply Co. LLC 8.25% 4/15/12 (c) | 540,000 | 604,800 | ||||||||
| Aquila, Inc. 14.875% 7/1/12 | 475,000 | 650,750 | ||||||||
| CMS Energy Corp.: | ||||||||||
| 6.3% 2/1/12 | 3,990,000 | 3,990,000 | ||||||||
| 7.5% 1/15/09 | 1,280,000 | 1,332,800 | ||||||||
| 8.9% 7/15/08 | 2,760,000 | 2,984,250 | ||||||||
| MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. | ||||||||||
| 7.375% 9/1/10 | 4,090,000 | 4,243,375 | ||||||||
Annual Report A-74
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Electric Utilities – continued | ||||||||||
| MSW Energy Holdings LLC/MSW Energy Finance Co., | ||||||||||
| Inc. 8.5% 9/1/10 | $ 840,000 | $ 900,900 | ||||||||
| NRG Energy, Inc. 8% 12/15/13 | 4,335,000 | 4,595,100 | ||||||||
| Sierra Pacific Resources: | ||||||||||
| 6.75% 8/15/17 (c) | 1,420,000 | 1,427,100 | ||||||||
| 8.625% 3/15/14 | 1,535,000 | 1,703,850 | ||||||||
| TECO Energy, Inc. 5.6931% 5/1/10 (c)(d) | 2,490,000 | 2,527,350 | ||||||||
| Tenaska Alabama Partners LP 7% 6/30/21 (c) | 3,110,000 | 3,156,650 | ||||||||
| TXU Corp. 6.5% 11/15/24 | 3,410,000 | 3,213,925 | ||||||||
| Utilicorp Canada Finance Corp. 7.75% 6/15/11 | 3,825,000 | 4,016,250 | ||||||||
| Utilicorp United, Inc. 9.95% 2/1/11 (d) | 720,000 | 811,800 | ||||||||
| 52,265,792 | ||||||||||
| Energy – 7.8% | ||||||||||
| Chesapeake Energy Corp.: | ||||||||||
| 6.5% 8/15/17 (c) | 4,180,000 | 4,247,925 | ||||||||
| 7.5% 6/15/14 | 520,000 | 559,000 | ||||||||
| 7.75% 1/15/15 | 2,205,000 | 2,359,350 | ||||||||
| El Paso Corp. 7.625% 8/16/07 (c) | 1,200,000 | 1,227,000 | ||||||||
| Hanover Compressor Co.: | ||||||||||
| 0% 3/31/07 | 7,660,000 | 6,855,700 | ||||||||
| 8.625% 12/15/10 | 2,990,000 | 3,221,725 | ||||||||
| 9% 6/1/14 | 590,000 | 650,475 | ||||||||
| Hanover Equipment Trust 8.75% 9/1/11 | 535,000 | 567,100 | ||||||||
| Hilcorp Energy I LP/Hilcorp Finance Co. 10.5% | ||||||||||
| 9/1/10 (c) | 5,205,000 | 5,842,613 | ||||||||
| Markwest Energy Partners LP/ Markwest Energy Finance | ||||||||||
| Corp. 6.875% 11/1/14 (c) | 843,000 | 826,140 | ||||||||
| Newfield Exploration Co. 6.625% 9/1/14 | 2,170,000 | 2,256,800 | ||||||||
| Pacific Energy Partners LP/Pacific Energy Finance Corp. | ||||||||||
| 6.25% 9/15/15 (c) | 2,360,000 | 2,371,800 | ||||||||
| Parker Drilling Co.: | ||||||||||
| 8.62% 9/1/10 (d) | 5,195,000 | 5,363,838 | ||||||||
| 9.625% 10/1/13 | 1,225,000 | 1,387,313 | ||||||||
| 9.625% 10/1/13 (c) | 1,635,000 | 1,851,638 | ||||||||
| Pogo Producing Co. 6.875% 10/1/17 (c) | 3,970,000 | 4,039,475 | ||||||||
| Range Resources Corp.: | ||||||||||
| 6.375% 3/15/15 (Reg. S) | 2,800,000 | 2,814,000 | ||||||||
| 7.375% 7/15/13 | 5,235,000 | 5,601,450 | ||||||||
| Sonat, Inc.: | ||||||||||
| 6.625% 2/1/08 | 3,330,000 | 3,317,513 | ||||||||
A-75 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Energy – continued | ||||||||||
| Sonat, Inc.: – continued | ||||||||||
| 7.625% 7/15/11 | $ 3,820,000 | $ 3,877,300 | ||||||||
| Stone Energy Corp. 6.75% 12/15/14 | 3,365,000 | 3,322,938 | ||||||||
| The Coastal Corp.: | ||||||||||
| 6.375% 2/1/09 | 4,910,000 | 4,787,250 | ||||||||
| 6.5% 6/1/08 | 1,720,000 | 1,698,500 | ||||||||
| 7.75% 6/15/10 | 5,960,000 | 6,071,750 | ||||||||
| Williams Companies, Inc. 6.375% 10/1/10 (c) | 7,150,000 | 7,105,313 | ||||||||
| 82,223,906 | ||||||||||
| Environmental – 0.7% | ||||||||||
| Allied Waste North America, Inc. 5.75% 2/15/11 | 1,680,000 | 1,562,400 | ||||||||
| Browning-Ferris Industries, Inc. 6.375% 1/15/08 | 5,755,000 | 5,639,900 | ||||||||
| 7,202,300 | ||||||||||
| Food and Drug Retail – 0.4% | ||||||||||
| Stater Brothers Holdings, Inc.: | ||||||||||
| 7.37% 6/15/10 (d) | 2,115,000 | 2,093,850 | ||||||||
| 8.125% 6/15/12 | 2,655,000 | 2,615,175 | ||||||||
| 4,709,025 | ||||||||||
| Food/Beverage/Tobacco – 1.6% | ||||||||||
| National Beef Packing Co. LLC/National Beef Finance | ||||||||||
| Corp. 10.5% 8/1/11 | 2,540,000 | 2,641,600 | ||||||||
| RJ Reynolds Tobacco Holdings, Inc.: | ||||||||||
| 6.5% 7/15/10 (c) | 2,970,000 | 2,984,850 | ||||||||
| 7.3% 7/15/15 (c) | 980,000 | 1,004,500 | ||||||||
| Smithfield Foods, Inc.: | ||||||||||
| 7% 8/1/11 | 5,070,000 | 5,171,400 | ||||||||
| 7.75% 5/15/13 | 75,000 | 78,750 | ||||||||
| UAP Holding Corp. 0% 7/15/12 (b) | 2,700,000 | 2,295,000 | ||||||||
| United Agriculture Products, Inc. 8.25% 12/15/11 | 2,266,000 | 2,390,630 | ||||||||
| 16,566,730 | ||||||||||
| Gaming – 6.0% | ||||||||||
| Kerzner International Ltd. 6.75% 10/1/15 (c) | 4,760,000 | 4,664,800 | ||||||||
| Mandalay Resort Group: | ||||||||||
| 6.5% 7/31/09 | 1,450,000 | 1,451,813 | ||||||||
| 9.375% 2/15/10 | 1,095,000 | 1,205,869 | ||||||||
| 10.25% 8/1/07 | 2,485,000 | 2,677,588 | ||||||||
| MGM MIRAGE: | ||||||||||
| 6% 10/1/09 | 10,530,000 | 10,424,700 | ||||||||
| 6.625% 7/15/15 (c) | 2,230,000 | 2,210,488 | ||||||||
Annual Report A-76
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Gaming – continued | ||||||||||
| MGM MIRAGE: – continued | ||||||||||
| 6.75% 9/1/12 | $ 245,000 | $ 247,450 | ||||||||
| Mohegan Tribal Gaming Authority: | ||||||||||
| 6.125% 2/15/13 | 1,390,000 | 1,383,050 | ||||||||
| 6.375% 7/15/09 | 7,835,000 | 7,874,175 | ||||||||
| 7.125% 8/15/14 | 1,480,000 | 1,535,500 | ||||||||
| 8% 4/1/12 | 785,000 | 829,156 | ||||||||
| MTR Gaming Group, Inc. 9.75% 4/1/10 | 2,600,000 | 2,827,500 | ||||||||
| Scientific Games Corp. 6.25% 12/15/12 | 1,950,000 | 1,945,125 | ||||||||
| Seneca Gaming Corp.: | ||||||||||
| 7.25% 5/1/12 (Reg. S) (c) | 3,210,000 | 3,290,250 | ||||||||
| 7.25% 5/1/12 | 3,945,000 | 4,043,625 | ||||||||
| Station Casinos, Inc. 6.875% 3/1/16 (c) | 1,370,000 | 1,383,700 | ||||||||
| Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||||||||
| 0% 1/15/13 (b)(c) | 1,250,000 | 887,500 | ||||||||
| 9% 1/15/12 (c) | 2,920,000 | 3,051,400 | ||||||||
| Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 5,835,000 | 6,126,750 | ||||||||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | ||||||||||
| 6.625% 12/1/14 | 4,565,000 | 4,348,163 | ||||||||
| 62,408,602 | ||||||||||
| Healthcare 4.0% | ||||||||||
| AMR HoldCo, Inc./ EmCare HoldCo, Inc. 10% | ||||||||||
| 2/15/15 (c) | 1,070,000 | 1,158,275 | ||||||||
| CDRV Investors, Inc. 0% 1/1/15 (b) | 9,190,000 | 5,238,300 | ||||||||
| Concentra Operating Corp.: | ||||||||||
| 9.125% 6/1/12 | 2,775,000 | 2,886,000 | ||||||||
| 9.5% 8/15/10 | 2,110,000 | 2,210,225 | ||||||||
| DaVita, Inc. 6.625% 3/15/13 | 3,890,000 | 3,938,625 | ||||||||
| Mylan Laboratories, Inc.: | ||||||||||
| 5.75% 8/15/10 (c) | 1,190,000 | 1,191,488 | ||||||||
| 6.375% 8/15/15 (c) | 1,650,000 | 1,652,063 | ||||||||
| Omega Healthcare Investors, Inc. 7% 4/1/14 | 5,720,000 | 5,805,800 | ||||||||
| PerkinElmer, Inc. 8.875% 1/15/13 | 7,470,000 | 8,179,650 | ||||||||
| Psychiatric Solutions, Inc. 7.75% 7/15/15 (c) | 705,000 | 726,150 | ||||||||
| ResCare, Inc. 7.75% 10/15/13 (c) | 2,240,000 | 2,262,400 | ||||||||
| Senior Housing Properties Trust 8.625% 1/15/12 | 4,490,000 | 4,995,125 | ||||||||
| Service Corp. International (SCI) 7% 6/15/17 (c) | 1,450,000 | 1,468,125 | ||||||||
| 41,712,226 | ||||||||||
| A-77 |
| Annual Report |
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Homebuilding/Real Estate – 3.0% | ||||||||||
| American Real Estate Partners/American Real Estate | ||||||||||
| Finance Corp.: | ||||||||||
| 7.125% 2/15/13 (c) | $ 2,680,000 | $ 2,680,000 | ||||||||
| 8.125% 6/1/12 | 6,080,000 | 6,338,400 | ||||||||
| K. Hovnanian Enterprises, Inc.: | ||||||||||
| 6% 1/15/10 | 790,000 | 758,400 | ||||||||
| 8.875% 4/1/12 | 2,155,000 | 2,262,750 | ||||||||
| KB Home 7.75% 2/1/10 | 6,620,000 | 6,818,600 | ||||||||
| Standard Pacific Corp.: | ||||||||||
| 5.125% 4/1/09 | 2,640,000 | 2,508,000 | ||||||||
| 6.875% 5/15/11 | 1,915,000 | 1,886,275 | ||||||||
| Technical Olympic USA, Inc.: | ||||||||||
| 7.5% 1/15/15 | 2,145,000 | 1,892,963 | ||||||||
| 10.375% 7/1/12 | 100,000 | 104,000 | ||||||||
| WCI Communities, Inc.: | ||||||||||
| 6.625% 3/15/15 | 1,910,000 | 1,728,550 | ||||||||
| 7.875% 10/1/13 | 4,665,000 | 4,583,363 | ||||||||
| 31,561,301 | ||||||||||
| Hotels 0.5% | ||||||||||
| Grupo Posadas SA de CV 8.75% 10/4/11 (c) | 3,630,000 | 3,902,250 | ||||||||
| Host Marriott LP 7.125% 11/1/13 | 1,465,000 | 1,496,131 | ||||||||
| 5,398,381 | ||||||||||
| Insurance – 0.9% | ||||||||||
| Crum & Forster Holdings Corp. 10.375% 6/15/13 | 4,785,000 | 5,096,025 | ||||||||
| Fairfax Financial Holdings Ltd. 7.75% 4/26/12 | 4,505,000 | 4,324,800 | ||||||||
| 9,420,825 | ||||||||||
| Leisure – 1.2% | ||||||||||
| Equinox Holdings Ltd. 9% 12/15/09 | 1,530,000 | 1,587,375 | ||||||||
| Town Sports International Holdings, Inc. 0% 2/1/14 (b) . | 2,510,000 | 1,681,700 | ||||||||
| Town Sports International, Inc. 9.625% 4/15/11 | 2,345,000 | 2,438,800 | ||||||||
| Universal City Development Partners Ltd./UCDP Finance, | ||||||||||
| Inc. 11.75% 4/1/10 | 2,260,000 | 2,553,800 | ||||||||
| Universal City Florida Holding Co. I/II 8.4431% | ||||||||||
| 5/1/10 (d) | 4,260,000 | 4,473,000 | ||||||||
| 12,734,675 | ||||||||||
| Metals/Mining – 1.9% | ||||||||||
| Arch Western Finance LLC 6.75% 7/1/13 | 3,240,000 | 3,304,800 | ||||||||
| Century Aluminum Co. 7.5% 8/15/14 | 625,000 | 646,875 | ||||||||
Annual Report A-78
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Metals/Mining – continued | ||||||||||
| Compass Minerals International, Inc.: | ||||||||||
| 0% 12/15/12 (b) | $ 1,060,000 | $ 932,800 | ||||||||
| 0% 6/1/13 (b) | 9,175,000 | 7,798,750 | ||||||||
| Freeport-McMoRan Copper & Gold, Inc. 6.875% | ||||||||||
| 2/1/14 | 2,685,000 | 2,658,150 | ||||||||
| Vedanta Resources PLC 6.625% 2/22/10 (c) | 4,225,000 | 4,188,031 | ||||||||
| 19,529,406 | ||||||||||
| Paper 1.0% | ||||||||||
| Georgia-Pacific Corp.: | ||||||||||
| 8% 1/15/14 | 3,610,000 | 3,952,950 | ||||||||
| 8.125% 5/15/11 | 750,000 | 824,063 | ||||||||
| 8.875% 2/1/10 | 2,050,000 | 2,296,000 | ||||||||
| Norske Skog Canada Ltd. 8.625% 6/15/11 | 3,295,000 | 3,344,425 | ||||||||
| 10,417,438 | ||||||||||
| Publishing/Printing – 1.1% | ||||||||||
| Houghton Mifflin Co.: | ||||||||||
| 7.2% 3/15/11 | 365,000 | 379,600 | ||||||||
| 9.875% 2/1/13 | 4,835,000 | 5,125,100 | ||||||||
| The Reader’s Digest Association, Inc. 6.5% 3/1/11 | 5,850,000 | 5,937,750 | ||||||||
| 11,442,450 | ||||||||||
| Railroad 0.4% | ||||||||||
| Kansas City Southern Railway Co.: | ||||||||||
| 7.5% 6/15/09 | 4,325,000 | 4,519,625 | ||||||||
| 9.5% 10/1/08 | 220,000 | 240,900 | ||||||||
| 4,760,525 | ||||||||||
| Restaurants 1.0% | ||||||||||
| Carrols Corp. 9% 1/15/13 (c) | 2,785,000 | 2,819,813 | ||||||||
| Friendly Ice Cream Corp. 8.375% 6/15/12 | 4,185,000 | 3,975,750 | ||||||||
| Landry’s Seafood Restaurants, Inc. 7.5% 12/15/14 | 3,450,000 | 3,329,250 | ||||||||
| 10,124,813 | ||||||||||
| Services – 1.6% | ||||||||||
| Ashtead Holdings PLC 8.625% 8/1/15 (c) | 1,090,000 | 1,149,950 | ||||||||
| FTI Consulting, Inc. 7.625% 6/15/13 (c) | 2,975,000 | 3,019,625 | ||||||||
| Iron Mountain, Inc.: | ||||||||||
| 7.75% 1/15/15 | 400,000 | 406,000 | ||||||||
| 8.25% 7/1/11 | 1,750,000 | 1,785,000 | ||||||||
| 8.625% 4/1/13 | 4,815,000 | 5,007,600 | ||||||||
| A-79 |
| Annual Report |
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Services – continued | ||||||||||
| Rural/Metro Corp.: | ||||||||||
| 0% 3/15/16 (b)(c) | $ 2,860,000 | $ 1,744,600 | ||||||||
| 9.875% 3/15/15 (c) | 630,000 | 652,050 | ||||||||
| United Rentals North America, Inc. 7% 2/15/14 | 2,780,000 | 2,585,400 | ||||||||
| 16,350,225 | ||||||||||
| Shipping – 4.5% | ||||||||||
| General Maritime Corp. 10% 3/15/13 | 9,940,000 | 10,909,150 | ||||||||
| OMI Corp. 7.625% 12/1/13 | 7,645,000 | 7,893,463 | ||||||||
| Overseas Shipholding Group, Inc.: | ||||||||||
| 7.5% 2/15/24 | 195,000 | 193,050 | ||||||||
| 8.25% 3/15/13 | 855,000 | 916,988 | ||||||||
| Ship Finance International Ltd. 8.5% 12/15/13 | 17,800,000 | 17,488,478 | ||||||||
| Teekay Shipping Corp. 8.875% 7/15/11 | 8,240,000 | 9,352,400 | ||||||||
| 46,753,529 | ||||||||||
| Steels – 1.2% | ||||||||||
| Allegheny Technologies, Inc. 8.375% 12/15/11 | 3,475,000 | 3,753,000 | ||||||||
| CSN Islands VII Corp. 10.75% 9/12/08 (c) | 3,090,000 | 3,491,700 | ||||||||
| Gerdau AmeriSteel Corp./GUSAP Partners 10.375% | ||||||||||
| 7/15/11 | 4,980,000 | 5,527,800 | ||||||||
| 12,772,500 | ||||||||||
| Super Retail – 3.7% | ||||||||||
| Asbury Automotive Group, Inc. 9% 6/15/12 | 4,470,000 | 4,537,050 | ||||||||
| Buhrmann US, Inc. 7.875% 3/1/15 | 2,300,000 | 2,317,250 | ||||||||
| GSC Holdings Corp./Gamestop, Inc.: | ||||||||||
| 7.875% 10/1/11 (c)(d) | 6,800,000 | 6,851,000 | ||||||||
| 8% 10/1/12 (c) | 9,030,000 | 9,007,425 | ||||||||
| NBC Acquisition Corp. 0% 3/15/13 (b) | 6,590,000 | 4,859,927 | ||||||||
| Nebraska Book Co., Inc. 8.625% 3/15/12 | 4,490,000 | 4,220,600 | ||||||||
| Sonic Automotive, Inc. 8.625% 8/15/13 | 5,550,000 | 5,480,625 | ||||||||
| Toys ’R’ US, Inc.: | ||||||||||
| 7.375% 10/15/18 | 485,000 | 388,000 | ||||||||
| 7.875% 4/15/13 | 995,000 | 883,063 | ||||||||
| 38,544,940 | ||||||||||
| Technology – 6.2% | ||||||||||
| Advanced Micro Devices, Inc. 7.75% 11/1/12 | 2,715,000 | 2,789,663 | ||||||||
| Celestica, Inc.: | ||||||||||
| 7.625% 7/1/13 | 4,480,000 | 4,446,400 | ||||||||
| 7.875% 7/1/11 | 6,675,000 | 6,791,813 | ||||||||
| Freescale Semiconductor, Inc. 6.875% 7/15/11 | 5,350,000 | 5,577,375 | ||||||||
Annual Report A-80
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Technology – continued | ||||||||||
| Lucent Technologies, Inc.: | ||||||||||
| 6.45% 3/15/29 | $ 1,170,000 | $ 1,025,213 | ||||||||
| 6.5% 1/15/28 | 1,055,000 | 913,894 | ||||||||
| MagnaChip Semiconductor SA/MagnaChip | ||||||||||
| Semiconductor Finance Co. 7.12% 12/15/11 (d) | 4,465,000 | 4,431,513 | ||||||||
| New ASAT Finance Ltd. 9.25% 2/1/11 | 2,165,000 | 1,569,625 | ||||||||
| Sanmina SCI Corp.: | ||||||||||
| 6.75% 3/1/13 | 3,925,000 | 3,718,938 | ||||||||
| 10.375% 1/15/10 | 1,950,000 | 2,145,000 | ||||||||
| STATS ChipPAC Ltd. 7.5% 7/19/10 (c) | 5,410,000 | 5,504,675 | ||||||||
| SunGard Data Systems, Inc.: | ||||||||||
| 8.5248% 8/15/13 (c)(d) | 2,590,000 | 2,670,938 | ||||||||
| 9.125% 8/15/13 (c) | 6,090,000 | 6,242,250 | ||||||||
| Unisys Corp. 8% 10/15/12 | 3,540,000 | 3,460,350 | ||||||||
| Xerox Capital Trust I 8% 2/1/27 | 5,775,000 | 6,006,000 | ||||||||
| Xerox Corp.: | ||||||||||
| 6.875% 8/15/11 | 1,265,000 | 1,321,925 | ||||||||
| 7.125% 6/15/10 | 4,275,000 | 4,499,438 | ||||||||
| 9.75% 1/15/09 | 1,535,000 | 1,719,200 | ||||||||
| 64,834,210 | ||||||||||
| Telecommunications – 9.2% | ||||||||||
| American Tower Corp. 7.125% 10/15/12 | 1,965,000 | 2,058,338 | ||||||||
| American Towers, Inc. 7.25% 12/1/11 | 785,000 | 834,063 | ||||||||
| Digicel Ltd. 9.25% 9/1/12 (c) | 3,565,000 | 3,738,794 | ||||||||
| Intelsat Ltd.: | ||||||||||
| 5.25% 11/1/08 | 2,415,000 | 2,215,763 | ||||||||
| 6.5% 11/1/13 | 5,710,000 | 4,396,700 | ||||||||
| 7.625% 4/15/12 | 2,890,000 | 2,413,150 | ||||||||
| 8.695% 1/15/12 (c)(d) | 6,345,000 | 6,471,900 | ||||||||
| MCI, Inc. 8.735% 5/1/14 (d) | 4,155,000 | 4,643,213 | ||||||||
| Millicom International Cellular SA 10% 12/1/13 | 4,600,000 | 4,772,500 | ||||||||
| Mobile Telesystems Finance SA 8% 1/28/12 (c) | 1,880,000 | 1,992,800 | ||||||||
| New Skies Satellites BV: | ||||||||||
| 8.5388% 11/1/11 (d) | 4,145,000 | 4,258,988 | ||||||||
| 9.125% 11/1/12 | 415,000 | 425,894 | ||||||||
| Nextel Communications, Inc.: | ||||||||||
| 5.95% 3/15/14 | 2,880,000 | 2,973,600 | ||||||||
| 6.875% 10/31/13 | 7,380,000 | 7,841,250 | ||||||||
| PanAmSat Corp. 9% 8/15/14 | 2,080,000 | 2,189,200 | ||||||||
| PanAmSat Holding Corp. 0% 11/1/14 (b) | 1,095,000 | 755,550 | ||||||||
A-81 Annual Report
| Investments (Unaudited) continued | ||||||||
| Corporate Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Nonconvertible Bonds continued | ||||||||
| Telecommunications – continued | ||||||||
| Qwest Capital Funding, Inc.: | ||||||||
| 7% 8/3/09 | $ 3,240,000 | $ 3,142,800 | ||||||
| 7.25% 2/15/11 | 1,160,000 | 1,102,000 | ||||||
| 7.9% 8/15/10 | 1,450,000 | 1,439,125 | ||||||
| Qwest Corp.: | ||||||||
| 7.12% 6/15/13 (c)(d) | 6,760,000 | 7,030,400 | ||||||
| 8.875% 3/15/12 | 2,045,000 | 2,234,163 | ||||||
| Qwest Services Corp. 14% 12/15/14 | 3,315,000 | 4,011,150 | ||||||
| Rogers Communications, Inc.: | ||||||||
| 7.25% 12/15/12 | 3,670,000 | 3,881,025 | ||||||
| 8% 12/15/12 | 4,020,000 | 4,241,100 | ||||||
| 9.625% 5/1/11 | 3,350,000 | 3,869,250 | ||||||
| SBA Communications Corp. 8.5% 12/1/12 | 4,005,000 | 4,355,438 | ||||||
| Time Warner Telecom Holdings, Inc. 9.25% 2/15/14 | 390,000 | 394,875 | ||||||
| Time Warner Telecom, Inc. 10.125% 2/1/11 | 1,050,000 | 1,084,125 | ||||||
| U.S. West Capital Funding, Inc. 6.375% 7/15/08 | 5,547,000 | 5,380,590 | ||||||
| U.S. West Communications: | ||||||||
| 6.875% 9/15/33 | 2,385,000 | 2,063,025 | ||||||
| 7.5% 6/15/23 | 805,000 | 728,525 | ||||||
| 96,939,294 | ||||||||
| Textiles & Apparel – 0.5% | ||||||||
| Levi Strauss & Co.: | ||||||||
| 8.2544% 4/1/12 (d) | 2,225,000 | 2,219,438 | ||||||
| 12.25% 12/15/12 | 995,000 | 1,104,450 | ||||||
| Tommy Hilfiger USA, Inc. 6.85% 6/1/08 | 2,130,000 | 2,156,625 | ||||||
| 5,480,513 | ||||||||
| TOTAL NONCONVERTIBLE BONDS | 929,902,543 | |||||||
| TOTAL CORPORATE BONDS | ||||||||
| (Cost $917,443,848) | 930,083,372 | |||||||
| Commercial Mortgage Securities 0.1% | ||||||||
| Berkeley Federal Bank & Trust FSB Series 1994-1 Class | ||||||||
| B, 3.4233% 8/1/24 (c)(d) | ||||||||
| (Cost $969,889) | 1,228,245 | 1,059,362 | ||||||
| Annual Report |
| A-82 |
| Common Stocks 0.2% | ||||||||
| Shares | Value | |||||||
| Automotive 0.0% | ||||||||
| Exide Technologies warrants 3/18/06 (a) | 16 | $ 0 | ||||||
| Healthcare 0.0% | ||||||||
| Skilled Healthcare Group, Inc. (a)(e) | 1,364 | 156,860 | ||||||
| Textiles & Apparel – 0.2% | ||||||||
| Arena Brands Holding Corp. Class B (e) | 144,445 | 1,630,784 | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $5,834,148) | 1,787,644 | |||||||
| Floating Rate Loans 7.8% | ||||||||
| Principal | ||||||||
| Amount | ||||||||
| Air Transportation – 0.4% | ||||||||
| US Airways Group, Inc.: | ||||||||
| Tranche 1A, term loan 12.2062% 9/30/10 (d) | $ 2,834,967 | 2,834,967 | ||||||
| Tranche 2B, term loan 9.8062% 9/30/08 (d) | 1,126,439 | 1,137,703 | ||||||
| 3,972,670 | ||||||||
| Building Materials – 0.5% | ||||||||
| Masonite International Corp. term loan 9.3838% | ||||||||
| 4/6/15 (d) | 5,340,000 | 5,333,325 | ||||||
| Cable TV 0.5% | ||||||||
| UPC Broadband Holding BV Tranche H2, term loan | ||||||||
| 6.0044% 9/30/12 (d) | 5,460,000 | 5,521,425 | ||||||
| Electric Utilities – 1.5% | ||||||||
| Covanta Energy Corp.: | ||||||||
| Tranche 1: | ||||||||
| Credit-Linked Deposit 6.8628% 6/24/12 (d) | 2,913,496 | 2,957,198 | ||||||
| term loan 6.9606% 6/24/12 (d) | 2,350,613 | 2,385,872 | ||||||
| Tranche 2, term loan 9.3953% 6/24/13 (d) | 3,720,000 | 3,729,300 | ||||||
| Riverside Energy Center LLC: | ||||||||
| term loan 7.93% 6/24/11 (d) | 6,179,774 | 6,365,167 | ||||||
| Credit-Linked Deposit 7.93% 6/24/11 (d) | 288,859 | 293,192 | ||||||
| 15,730,729 | ||||||||
| Energy – 1.8% | ||||||||
| Coffeyville Resources LLC: | ||||||||
| Credit-Linked Deposit 6.3604% 7/8/11 (d) | 172,000 | 174,795 | ||||||
| Tranche 2, term loan 10.8125% 7/8/13 (d) | 2,870,000 | 2,984,800 | ||||||
| Tranche B1, term loan 6.57% 7/8/12 (d) | 258,000 | 262,193 | ||||||
| El Paso Corp.: | ||||||||
| Credit-Linked Deposit 6.6466% 11/22/09 (d) | 4,070,700 | 4,111,407 | ||||||
| A-83 |
| Annual Report |
| Investments (Unaudited) continued | ||||||
| Floating Rate Loans continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Energy – continued | ||||||
| El Paso Corp.: – continued | ||||||
| term loan 6.8125% 11/22/09 (d) | $ 2,766,661 | $ 2,794,327 | ||||
| Kerr-McGee Corp. Tranche B, term loan 6.3149% | ||||||
| 5/24/11 (d) | 8,538,600 | 8,581,293 | ||||
| 18,908,815 | ||||||
| Environmental – 0.8% | ||||||
| Envirocare of Utah, Inc.: | ||||||
| Tranche 1, term loan 6.11% 4/13/10 (d) | 4,882,727 | 4,962,072 | ||||
| Tranche 2, term loan 8.86% 4/13/10 (d) | 3,770,000 | 3,901,950 | ||||
| 8,864,022 | ||||||
| Homebuilding/Real Estate – 0.8% | ||||||
| LNR Property Corp.: | ||||||
| Tranche A, term loan 8.2109% 2/3/08 (d) | 2,150,000 | 2,160,750 | ||||
| Tranche B, term loan: | ||||||
| 6.7112% 2/3/08 (d) | 4,311,868 | 4,365,766 | ||||
| 8.9609% 2/3/08 (d) | 2,200,000 | 2,211,000 | ||||
| 8,737,516 | ||||||
| Technology – 0.7% | ||||||
| Fidelity National Information Solutions, Inc.: | ||||||
| Tranche A, term loan 5.2281% 3/9/11 (d) | 3,676,525 | 3,676,525 | ||||
| Tranche B, term loan 5.4771% 3/9/13 (d) | 1,464,950 | 1,472,275 | ||||
| Infor Global Solutions AG Tranche 2, term loan | ||||||
| 10.943% 4/18/12 (d) | 1,700,000 | 1,721,250 | ||||
| 6,870,050 | ||||||
| Telecommunications – 0.8% | ||||||
| Qwest Corp. Tranche B, term loan 6.95% 6/30/10 (d) . | 1,700,000 | 1,689,375 | ||||
| Wind Telecomunicazioni Spa: | ||||||
| Tranche 2, term loan 10.0944% 3/21/15 (d) | 3,620,000 | 3,624,525 | ||||
| Tranche B, term loan 6.75% 9/21/13 (d) | 1,565,000 | 1,549,350 | ||||
| Tranche C, term loan 7.25% 9/21/14 (d) | 1,565,000 | 1,549,350 | ||||
| 8,412,600 | ||||||
| TOTAL FLOATING RATE LOANS | ||||||
| (Cost $81,519,647) | 82,351,152 | |||||
| Annual Report |
| A-84 |
| Cash Equivalents 3.1% | ||||||
| Maturity | Value | |||||
| Amount | ||||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||
| Government Obligations, in a joint trading account at | ||||||
| 3.89%, dated 9/30/05 due 10/3/05) | $ 27,692,985 | $ 27,684,000 | ||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||
| Treasury Obligations, in a joint trading account at 3.27%, | ||||||
| dated 9/30/05 due 10/3/05) | 4,492,224 | 4,491,000 | ||||
| TOTAL CASH EQUIVALENTS | ||||||
| (Cost $32,175,000) | 32,175,000 | |||||
| TOTAL INVESTMENT PORTFOLIO 99.9% | ||||||
| (Cost $1,037,942,532) | 1,047,456,530 | |||||
| NET OTHER ASSETS – 0.1% | 641,925 | |||||
| NET ASSETS 100% | $ 1,048,098,455 | |||||
| Legend (a) Non-income producing (b) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. (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 period end, the value of these securities amounted to $205,494,256 or 19.6% of net assets. (d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (e) Restricted securities – Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,787,644 or 0.2% of net assets. |
Additional information on each holding is as follows:
| Acquisition | Acquisition | |||||
| SecurityA | Date | Cost | ||||
| Arena Brands | ||||||
| Holding Corp. | ||||||
| Class B | 6/18/97 | $ 5,834,134 | ||||
| Skilled Healthcare | 8/19/03 - 1/27/04 | |||||
| Group, Inc. | $ 13 |
AAcquired as a result of an in-kind exchange and represents the original acquisition date and cost.
A-85 Annual Report
Investments (Unaudited) continued
Other Information
Distribution of investments by country of issue, as a percentage of total net assets, is as follows:
| United States of America | 80.4% | |
| Canada | 5.2% | |
| Bermuda | 3.5% | |
| Marshall Islands | 2.7% | |
| United Kingdom | 1.7% | |
| Luxembourg | 1.4% | |
| France | 1.1% | |
| Others (individually less than 1%) . | 4.0% | |
| 100.0% |
Annual Report A-86
| Fidelity Tactical Income Central Investment Portfolio Investments September 30, 2005 (Unaudited) Showing Percentage of Net Assets |
| Nonconvertible Bonds 22.2% | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| CONSUMER DISCRETIONARY – 2.0% | ||||||||
| Automobiles – 0.6% | ||||||||
| Ford Motor Co.: | ||||||||
| 6.375% 2/1/29 | $ 1,750,000 | $ 1,255,625 | ||||||
| 6.625% 10/1/28 | 1,115,000 | 805,588 | ||||||
| 7.45% 7/16/31 | 12,780,000 | 9,968,400 | ||||||
| General Motors Corp. 8.25% 7/15/23 | 11,340,000 | 8,816,850 | ||||||
| 20,846,463 | ||||||||
| Media – 1.4% | ||||||||
| Clear Channel Communications, Inc. 5.5% 9/15/14 | 7,170,000 | 6,910,898 | ||||||
| Comcast Corp. 5.65% 6/15/35 | 2,850,000 | 2,664,066 | ||||||
| Continental Cablevision, Inc. 9% 9/1/08 | 3,850,000 | 4,271,379 | ||||||
| Cox Communications, Inc. 7.125% 10/1/12 | 4,325,000 | 4,704,674 | ||||||
| Liberty Media Corp.: | ||||||||
| 5.7% 5/15/13 | 2,980,000 | 2,719,250 | ||||||
| 8.25% 2/1/30 | 8,580,000 | 8,216,225 | ||||||
| News America Holdings, Inc. 7.75% 12/1/45 | 2,625,000 | 3,082,196 | ||||||
| News America, Inc. 6.2% 12/15/34 | 5,075,000 | 5,082,663 | ||||||
| Time Warner, Inc. 6.625% 5/15/29 | 5,700,000 | 5,962,246 | ||||||
| Univision Communications, Inc. 3.875% 10/15/08 | 1,295,000 | 1,248,649 | ||||||
| 44,862,246 | ||||||||
| TOTAL CONSUMER DISCRETIONARY | 65,708,709 | |||||||
| CONSUMER STAPLES 0.4% | ||||||||
| Beverages – 0.1% | ||||||||
| FBG Finance Ltd. 5.125% 6/15/15 (a) | 3,715,000 | 3,644,411 | ||||||
| Food Products 0.3% | ||||||||
| ConAgra Foods, Inc. 6.75% 9/15/11 | 8,710,000 | 9,365,593 | ||||||
| TOTAL CONSUMER STAPLES | 13,010,004 | |||||||
| ENERGY 2.0% | ||||||||
| Energy Equipment & Services – 0.5% | ||||||||
| Diamond Offshore Drilling, Inc. 4.875% 7/1/15 (a) | 10,270,000 | 10,031,695 | ||||||
| Petronas Capital Ltd. 7% 5/22/12 (a) | 5,725,000 | 6,388,590 | ||||||
| 16,420,285 | ||||||||
| Oil, Gas & Consumable Fuels – 1.5% | ||||||||
| Canadian Oil Sands Ltd. 4.8% 8/10/09 (a) | 5,220,000 | 5,173,834 | ||||||
| Duke Capital LLC: | ||||||||
| 4.37% 3/1/09 | 2,825,000 | 2,782,492 | ||||||
A-87 Annual Report
| Investments (Unaudited) continued | ||||||||
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| ENERGY – continued | ||||||||
| Oil, Gas & Consumable Fuels – continued | ||||||||
| Duke Capital LLC: – continued | ||||||||
| 6.25% 2/15/13 | $ 4,500,000 | $ 4,733,289 | ||||||
| Enterprise Products Operating LP 4% 10/15/07 | 3,815,000 | 3,738,711 | ||||||
| Kinder Morgan Energy Partners LP 5.8% 3/15/35 | 1,810,000 | 1,738,465 | ||||||
| Nexen, Inc. 5.875% 3/10/35 | 3,395,000 | 3,327,782 | ||||||
| Pemex Project Funding Master Trust: | ||||||||
| 6.625% 6/15/35 (a) | 1,425,000 | 1,401,488 | ||||||
| 7.375% 12/15/14 | 3,000,000 | 3,330,000 | ||||||
| 8.625% 2/1/22 | 8,725,000 | 10,709,938 | ||||||
| The Coastal Corp.: | ||||||||
| 7.75% 10/15/35 | 1,990,000 | 1,910,400 | ||||||
| 9.625% 5/15/12 | 7,730,000 | 8,541,650 | ||||||
| 47,388,049 | ||||||||
| TOTAL ENERGY | 63,808,334 | |||||||
| FINANCIALS – 11.5% | ||||||||
| Capital Markets 1.3% | ||||||||
| Bank of New York Co., Inc.: | ||||||||
| 3.4% 3/15/13 (f) | 4,370,000 | 4,227,053 | ||||||
| 4.25% 9/4/12 (f) | 4,285,000 | 4,248,093 | ||||||
| Goldman Sachs Capital I 6.345% 2/15/34 | 8,225,000 | 8,569,866 | ||||||
| Goldman Sachs Group, Inc. 5.25% 10/15/13 | 8,525,000 | 8,601,955 | ||||||
| JPMorgan Chase Capital XV 5.875% 3/15/35 | 3,505,000 | 3,430,894 | ||||||
| Lazard LLC 7.125% 5/15/15 (a) | 5,665,000 | 5,625,096 | ||||||
| Merrill Lynch & Co., Inc. 4.25% 2/8/10 | 4,590,000 | 4,487,189 | ||||||
| Nuveen Investments, Inc. 5% 9/15/10 | 2,595,000 | 2,569,182 | ||||||
| 41,759,328 | ||||||||
| Commercial Banks – 2.3% | ||||||||
| Bank of America Corp.: | ||||||||
| 7.4% 1/15/11 | 10,286,000 | 11,487,024 | ||||||
| 7.8% 2/15/10 | 14,984,000 | 16,723,597 | ||||||
| Banponce Corp. 6.75% 12/15/05 | 3,570,000 | 3,586,011 | ||||||
| Export-Import Bank of Korea: | ||||||||
| 4.125% 2/10/09 (a) | 1,485,000 | 1,451,844 | ||||||
| 5.25% 2/10/14 (a) | 2,560,000 | 2,586,007 | ||||||
| KeyCorp Capital Trust VII 5.7% 6/15/35 | 8,000,000 | 7,605,728 | ||||||
| Korea Development Bank: | ||||||||
| 3.875% 3/2/09 | 9,700,000 | 9,416,479 | ||||||
| 4.75% 7/20/09 | 3,520,000 | 3,508,419 | ||||||
Annual Report A-88
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| FINANCIALS – continued | ||||||||
| Commercial Banks – continued | ||||||||
| Rabobank Capital Funding Trust II 5.26% | ||||||||
| 12/31/49 (a)(f) | $ 6,835,000 | $ 6,854,104 | ||||||
| Wachovia Bank NA 4.875% 2/1/15 | 12,050,000 | 11,882,119 | ||||||
| 75,101,332 | ||||||||
| Consumer Finance – 0.7% | ||||||||
| General Electric Capital Corp. 3.5% 5/1/08 | 500,000 | 487,475 | ||||||
| Household Finance Corp.: | ||||||||
| 4.125% 11/16/09 | 7,450,000 | 7,255,235 | ||||||
| 5.875% 2/1/09 | 730,000 | 753,353 | ||||||
| Household International, Inc. 8.875% 2/15/08 | 8,550,000 | 8,681,405 | ||||||
| HSBC Finance Corp. 6.75% 5/15/11 | 1,575,000 | 1,713,002 | ||||||
| MBNA Corp. 6.25% 1/17/07 | 3,670,000 | 3,738,937 | ||||||
| 22,629,407 | ||||||||
| Diversified Financial Services – 1.7% | ||||||||
| JPMorgan Chase & Co. 6.75% 2/1/11 | 29,515,000 | 31,937,709 | ||||||
| JPMorgan Chase Capital XVII 5.85% 8/1/35 | 9,075,000 | 8,887,374 | ||||||
| Mizuho Financial Group Cayman Ltd. 5.79% | ||||||||
| 4/15/14 (a) | 10,065,000 | 10,483,744 | ||||||
| Prime Property Funding II 6.25% 5/15/07 (a) | 4,795,000 | 4,909,121 | ||||||
| 56,217,948 | ||||||||
| Insurance – 1.2% | ||||||||
| Axis Capital Holdings Ltd. 5.75% 12/1/14 | 10,145,000 | 10,067,299 | ||||||
| Principal Life Global Funding I 5.125% 6/28/07 (a) | 18,600,000 | 18,685,355 | ||||||
| QBE Insurance Group Ltd. 5.647% 7/1/23 (a)(f) | 9,370,000 | 9,351,091 | ||||||
| 38,103,745 | ||||||||
| Real Estate 2.7% | ||||||||
| Archstone Smith Operating Trust 5.25% 5/1/15 | 4,285,000 | 4,264,205 | ||||||
| CarrAmerica Realty Corp. 5.25% 11/30/07 | 4,275,000 | 4,285,051 | ||||||
| CenterPoint Properties Trust: | ||||||||
| 4.75% 8/1/10 | 2,950,000 | 2,917,290 | ||||||
| 5.25% 7/15/11 | 5,000,000 | 5,009,005 | ||||||
| Colonial Properties Trust: | ||||||||
| 4.75% 2/1/10 | 3,325,000 | 3,253,619 | ||||||
| 5.5% 10/1/15 | 14,200,000 | 13,954,042 | ||||||
| Developers Diversified Realty Corp.: | ||||||||
| 5% 5/3/10 | 3,280,000 | 3,260,474 | ||||||
| 5.25% 4/15/11 | 1,855,000 | 1,860,049 | ||||||
| EOP Operating LP: | ||||||||
| 4.65% 10/1/10 | 2,375,000 | 2,335,582 | ||||||
A-89 Annual Report
| Investments (Unaudited) continued | ||||
| Nonconvertible Bonds continued | ||||
| Principal | Value | |||
| Amount | ||||
| FINANCIALS – continued | ||||
| Real Estate continued | ||||
| EOP Operating LP: – continued | ||||
| 6.763% 6/15/07 | $ 10,075,000 | $ 10,378,993 | ||
| 7.75% 11/15/07 | 9,645,000 | 10,210,592 | ||
| Equity Residential 5.125% 3/15/16 | 3,435,000 | 3,383,623 | ||
| Gables Realty LP: | ||||
| 5% 3/15/10 | 2,030,000 | 1,994,160 | ||
| 5.75% 7/15/07 | 1,450,000 | 1,467,625 | ||
| Mack Cali Realty LP 7.25% 3/15/09 | 2,800,000 | 2,980,412 | ||
| Simon Property Group LP: | ||||
| 4.6% 6/15/10 | 2,865,000 | 2,825,222 | ||
| 4.875% 8/15/10 | 7,325,000 | 7,292,272 | ||
| 5.1% 6/15/15 | 4,240,000 | 4,156,001 | ||
| 85,828,217 | ||||
| Thrifts & Mortgage Finance – 1.6% | ||||
| Abbey National PLC 6.69% 10/17/05 | 5,000,000 | 5,004,475 | ||
| Independence Community Bank Corp.: | ||||
| 3.75% 4/1/14 (f) | 2,870,000 | 2,757,843 | ||
| 4.9% 9/23/10 | 13,255,000 | 13,143,154 | ||
| Residential Capital Corp. 6.375% 6/30/10 (a) | 5,860,000 | 5,942,406 | ||
| Washington Mutual, Inc.: | ||||
| 2.4% 11/3/05 | 7,355,000 | 7,344,938 | ||
| 4.3606% 9/17/12 (f) | 9,000,000 | 8,993,637 | ||
| 4.625% 4/1/14 | 7,830,000 | 7,493,020 | ||
| 50,679,473 | ||||
| TOTAL FINANCIALS | 370,319,450 | |||
| INDUSTRIALS – 1.2% | ||||
| Aerospace & Defense – 0.2% | ||||
| Bombardier, Inc.: | ||||
| 6.3% 5/1/14 (a) | 1,900,000 | 1,681,500 | ||
| 7.45% 5/1/34 (a) | 7,300,000 | 6,168,500 | ||
| 7,850,000 | ||||
| Airlines – 0.9% | ||||
| American Airlines, Inc. pass thru trust certificates: | ||||
| 6.855% 10/15/10 | 566,167 | 570,514 | ||
| 6.978% 10/1/12 | 1,380,441 | 1,398,148 | ||
| 7.024% 4/15/11 | 2,545,000 | 2,578,475 | ||
| 7.858% 4/1/13 | 10,000,000 | 10,233,249 | ||
Annual Report A-90
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| INDUSTRIALS – continued | ||||||||
| Airlines – continued | ||||||||
| Continental Airlines, Inc. pass thru trust certificates: | ||||||||
| 6.32% 11/1/08 | $ 635,000 | $ 631,636 | ||||||
| 7.056% 3/15/11 | 2,000,000 | 2,020,933 | ||||||
| Delta Air Lines, Inc. pass thru trust certificates 7.57% | ||||||||
| 11/18/10 | 11,200,000 | 10,814,583 | ||||||
| 28,247,538 | ||||||||
| Industrial Conglomerates – 0.1% | ||||||||
| Hutchison Whampoa International 03/33 Ltd. 7.45% | ||||||||
| 11/24/33 (a) | 3,400,000 | 3,927,340 | ||||||
| TOTAL INDUSTRIALS | 40,024,878 | |||||||
| INFORMATION TECHNOLOGY – 0.3% | ||||||||
| Computers & Peripherals – 0.0% | ||||||||
| NCR Corp. 7.125% 6/15/09 | 1,660,000 | 1,759,929 | ||||||
| Semiconductors & Semiconductor Equipment – 0.3% | ||||||||
| Chartered Semiconductor Manufacturing Ltd.: | ||||||||
| 5.75% 8/3/10 | 4,470,000 | 4,418,917 | ||||||
| 6.375% 8/3/15 | 4,405,000 | 4,303,231 | ||||||
| 8,722,148 | ||||||||
| TOTAL INFORMATION TECHNOLOGY | 10,482,077 | |||||||
| MATERIALS 0.4% | ||||||||
| Metals & Mining – 0.1% | ||||||||
| Corporacion Nacional del Cobre (Codelco) 6.375% | ||||||||
| 11/30/12 (a) | 2,620,000 | 2,829,621 | ||||||
| Paper & Forest Products 0.3% | ||||||||
| Boise Cascade Corp. 7.68% 3/29/06 | 9,125,000 | 9,307,500 | ||||||
| International Paper Co. 4.25% 1/15/09 | 1,075,000 | 1,051,562 | ||||||
| 10,359,062 | ||||||||
| TOTAL MATERIALS | 13,188,683 | |||||||
| TELECOMMUNICATION SERVICES – 1.7% | ||||||||
| Diversified Telecommunication Services – 1.5% | ||||||||
| KT Corp. 5.875% 6/24/14 (a) | 3,275,000 | 3,437,935 | ||||||
| Sprint Capital Corp. 8.375% 3/15/12 | 2,350,000 | 2,765,569 | ||||||
| Telecom Italia Capital: | ||||||||
| 4% 1/15/10 (a) | 10,065,000 | 9,664,564 | ||||||
A-91 Annual Report
| Investments (Unaudited) continued | ||||||||
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| TELECOMMUNICATION SERVICES – continued | ||||||||
| Diversified Telecommunication Services – continued | ||||||||
| Telecom Italia Capital: – continued | ||||||||
| 4.875% 10/1/10 | $ 3,235,000 | $ 3,204,112 | ||||||
| 5.25% 11/15/13 | 2,500,000 | 2,482,275 | ||||||
| Verizon Global Funding Corp.: | ||||||||
| 5.85% 9/15/35 | 14,490,000 | 14,250,147 | ||||||
| 7.25% 12/1/10 | 7,758,000 | 8,573,855 | ||||||
| Verizon New York, Inc. 6.875% 4/1/12 | 5,229,000 | 5,593,974 | ||||||
| 49,972,431 | ||||||||
| Wireless Telecommunication Services – 0.2% | ||||||||
| America Movil SA de CV 6.375% 3/1/35 | 4,960,000 | 4,809,320 | ||||||
| TOTAL TELECOMMUNICATION SERVICES | 54,781,751 | |||||||
| UTILITIES – 2.7% | ||||||||
| Electric Utilities – 2.1% | ||||||||
| Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 5,880,000 | 6,023,484 | ||||||
| Exelon Corp. 4.9% 6/15/15 | 11,900,000 | 11,267,003 | ||||||
| Exelon Generation Co. LLC 5.35% 1/15/14 | 10,500,000 | 10,514,385 | ||||||
| FirstEnergy Corp. 6.45% 11/15/11 | 1,185,000 | 1,261,747 | ||||||
| Monongahela Power Co. 5% 10/1/06 | 3,890,000 | 3,897,959 | ||||||
| Oncor Electric Delivery Co. 6.375% 5/1/12 | 6,200,000 | 6,644,311 | ||||||
| Progress Energy, Inc.: | ||||||||
| 7.1% 3/1/11 | 7,470,000 | 8,120,630 | ||||||
| 7.75% 3/1/31 | 12,910,000 | 15,567,627 | ||||||
| TXU Energy Co. LLC 7% 3/15/13 | 3,930,000 | 4,266,506 | ||||||
| 67,563,652 | ||||||||
| Independent Power Producers & Energy Traders – 0.2% | ||||||||
| Duke Capital LLC 5.668% 8/15/14 | 2,300,000 | 2,335,717 | ||||||
| Duke Energy Corp. 5.625% 11/30/12 | 3,565,000 | 3,680,477 | ||||||
| 6,016,194 | ||||||||
| Multi-Utilities – 0.4% | ||||||||
| Dominion Resources, Inc.: | ||||||||
| 4.75% 12/15/10 | 4,685,000 | 4,632,936 | ||||||
| Annual Report |
| A-92 |
| Nonconvertible Bonds continued | ||||
| Principal | Value | |||
| Amount | ||||
| UTILITIES – continued | ||||
| Multi-Utilities – continued | ||||
| Dominion Resources, Inc.: – continued | ||||
| 5.95% 6/15/35 | $ 6,270,000 | $ 6,125,082 | ||
| MidAmerican Energy Holdings, Inc. 4.625% 10/1/07 | 3,235,000 | 3,225,272 | ||
| 13,983,290 | ||||
| TOTAL UTILITIES | 87,563,136 | |||
| TOTAL NONCONVERTIBLE BONDS | ||||
| (Cost $727,982,026) | 718,887,022 | |||
| U.S. Government and Government Agency Obligations 14.6% | ||||
| U.S. Government Agency Obligations 5.2% | ||||
| Fannie Mae 6.25% 2/1/11 | 53,700,000 | 57,386,774 | ||
| Financing Corp. – coupon STRIPS 0% 11/30/05 | 1,666,000 | 1,655,967 | ||
| Freddie Mac: | ||||
| 5.25% 11/5/12 | 51,240,000 | 50,906,223 | ||
| 5.875% 3/21/11 | 45,055,000 | 47,462,919 | ||
| Government Loan Trusts (assets of Trust guaranteed by | ||||
| U.S. Government through Agency for International | ||||
| Development) Series 1-B, 8.5% 4/1/06 | 771,609 | 789,572 | ||
| U.S. Department of Housing and Urban Development | ||||
| Government guaranteed participation certificates | ||||
| Series 1996 A: | ||||
| 7.57% 8/1/13 | 10,040,000 | 10,140,189 | ||
| 7.63% 8/1/14 | 995,000 | 1,000,689 | ||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 169,342,333 | |||
| U.S. Treasury Inflation Protected Obligations 6.8% | ||||
| U.S. Treasury Inflation-Indexed Bonds: | ||||
| 2.375% 1/15/25 | 65,296,980 | 69,857,582 | ||
| 3.375% 4/15/32 | 46,558,764 | 61,555,761 | ||
| U.S. Treasury Inflation-Indexed Notes: | ||||
| 0.875% 4/15/10 | 20,625,400 | 20,098,483 | ||
| 1.875% 7/15/13 | 17,019,680 | 17,248,390 | ||
| 2% 1/15/14 | 50,223,650 | 51,269,306 | ||
| TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 220,029,522 | |||
| A-93 |
| Annual Report |
| Investments (Unaudited) continued | ||||
| U.S. Government and Government Agency Obligations continued | ||||
| Principal | Value | |||
| Amount | ||||
| U.S. Treasury Obligations – 2.6% | ||||
| U.S. Treasury Notes 4.75% 5/15/14 | $ 81,165,000 | $ 83,618,943 | ||
| TOTAL U.S. GOVERNMENT AND GOVERNMENT | ||||
| AGENCY OBLIGATIONS | ||||
| (Cost $470,962,584) | 472,990,798 | |||
| U.S. Government Agency Mortgage Securities 27.3% | ||||
| Fannie Mae – 24.4% | ||||
| 3.468% 4/1/34 (f) | 1,191,712 | 1,191,722 | ||
| 3.736% 1/1/35 (f) | 829,219 | 819,944 | ||
| 3.752% 10/1/33 (f) | 496,835 | 489,437 | ||
| 3.789% 12/1/34 (f) | 155,642 | 154,061 | ||
| 3.796% 6/1/34 (f) | 2,287,152 | 2,231,032 | ||
| 3.82% 1/1/35 (f) | 523,985 | 519,069 | ||
| 3.826% 6/1/33 (f) | 413,632 | 409,808 | ||
| 3.838% 1/1/35 (f) | 1,508,643 | 1,502,110 | ||
| 3.913% 12/1/34 (f) | 492,275 | 490,780 | ||
| 3.92% 10/1/34 (f) | 669,856 | 665,725 | ||
| 3.965% 5/1/33 (f) | 166,694 | 165,412 | ||
| 3.97% 5/1/34 (f) | 186,504 | 189,049 | ||
| 3.971% 1/1/35 (f) | 690,250 | 684,384 | ||
| 3.979% 12/1/34 (f) | 634,349 | 630,707 | ||
| 3.992% 1/1/35 (f) | 415,005 | 411,719 | ||
| 4% 6/1/18 to 9/1/19 | 45,129,600 | 43,481,639 | ||
| 4.006% 12/1/34 (f) | 511,323 | 508,517 | ||
| 4.008% 12/1/34 (f) | 3,471,423 | 3,463,219 | ||
| 4.017% 2/1/35 (f) | 491,884 | 486,590 | ||
| 4.02% 12/1/34 (f) | 354,820 | 353,048 | ||
| 4.026% 2/1/35 (f) | 462,493 | 457,305 | ||
| 4.03% 1/1/35 (f) | 243,178 | 241,576 | ||
| 4.057% 10/1/18 (f) | 504,106 | 498,312 | ||
| 4.059% 1/1/35 (f) | 455,273 | 449,811 | ||
| 4.064% 4/1/33 (f) | 182,793 | 181,681 | ||
| 4.07% 12/1/34 (f) | 972,800 | 967,088 | ||
| 4.096% 1/1/35 (f) | 1,001,896 | 994,450 | ||
| 4.097% 2/1/35 (f) | 323,840 | 320,932 | ||
| 4.107% 2/1/35 (f) | 341,924 | 339,728 | ||
| 4.108% 2/1/35 (f) | 1,797,088 | 1,783,159 | ||
| 4.111% 1/1/35 (f) | 990,050 | 980,405 | ||
| 4.119% 2/1/35 (f) | 853,692 | 845,950 | ||
| 4.125% 1/1/35 (f) | 996,442 | 999,502 | ||
Annual Report A-94
| U.S. Government Agency Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Fannie Mae continued | ||||||
| 4.129% 1/1/35 (f) | $ 1,701,664 | $ 1,686,498 | ||||
| 4.138% 2/1/35 (f) | 1,108,163 | 1,104,947 | ||||
| 4.139% 11/1/34 (f) | 848,223 | 841,960 | ||||
| 4.149% 2/1/35 (f) | 897,081 | 890,930 | ||||
| 4.175% 1/1/35 (f) | 1,852,372 | 1,838,675 | ||||
| 4.179% 1/1/35 (f) | 815,773 | 809,589 | ||||
| 4.182% 11/1/34 (f) | 249,182 | 247,377 | ||||
| 4.191% 1/1/35 (f) | 1,064,368 | 1,048,739 | ||||
| 4.217% 3/1/34 (f) | 459,933 | 457,323 | ||||
| 4.25% 2/1/35 (f) | 533,481 | 525,430 | ||||
| 4.295% 1/1/35 (f) | 633,879 | 633,867 | ||||
| 4.296% 8/1/33 (f) | 1,100,035 | 1,096,310 | ||||
| 4.296% 3/1/35 (f) | 519,845 | 517,236 | ||||
| 4.31% 2/1/35 (f) | 327,443 | 324,809 | ||||
| 4.315% 3/1/33 (f) | 274,446 | 270,381 | ||||
| 4.315% 5/1/35 (f) | 765,641 | 760,418 | ||||
| 4.319% 1/1/35 (f) | 531,294 | 527,901 | ||||
| 4.333% 12/1/34 (f) | 361,422 | 361,658 | ||||
| 4.353% 1/1/35 (f) | 521,564 | 514,524 | ||||
| 4.366% 4/1/35 (f) | 334,542 | 332,549 | ||||
| 4.367% 2/1/34 (f) | 1,280,731 | 1,274,128 | ||||
| 4.401% 2/1/35 (f) | 832,754 | 822,371 | ||||
| 4.412% 5/1/35 (f) | 1,550,778 | 1,546,935 | ||||
| 4.449% 3/1/35 (f) | 745,703 | 737,900 | ||||
| 4.454% 4/1/34 (f) | 859,904 | 855,774 | ||||
| 4.457% 10/1/34 (f) | 2,968,830 | 2,979,639 | ||||
| 4.483% 1/1/35 (f) | 854,289 | 856,232 | ||||
| 4.489% 8/1/34 (f) | 1,707,783 | 1,701,181 | ||||
| 4.496% 3/1/35 (f) | 1,673,155 | 1,655,635 | ||||
| 4.499% 5/1/35 (f) | 552,299 | 550,437 | ||||
| 4.5% 5/1/18 to 5/1/35 | 99,189,934 | 96,367,325 | ||||
| 4.5% 10/1/20 (b) | 65,000,000 | 63,139,063 | ||||
| 4.526% 3/1/35 (f) | 1,500,418 | 1,486,203 | ||||
| 4.532% 8/1/34 (f) | 1,047,888 | 1,048,583 | ||||
| 4.554% 7/1/35 (f) | 1,893,899 | 1,892,346 | ||||
| 4.555% 2/1/35 (f) | 3,590,561 | 3,590,771 | ||||
| 4.558% 2/1/35 (f) | 566,643 | 565,320 | ||||
| 4.585% 2/1/35 (f) | 4,926,336 | 4,884,946 | ||||
| 4.603% 2/1/35 (f) | 406,054 | 407,976 | ||||
| 4.605% 2/1/35 (f) | 1,634,353 | 1,622,741 | ||||
| 4.648% 11/1/34 (f) | 1,860,376 | 1,852,691 | ||||
A-95 Annual Report
| Investments (Unaudited) continued | ||||||
| U.S. Government Agency Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Fannie Mae continued | ||||||
| 4.679% 11/1/34 (f) | $ 1,853,703 | $ 1,841,852 | ||||
| 4.708% 3/1/35 (f) | 4,705,404 | 4,717,782 | ||||
| 4.736% 7/1/34 (f) | 1,601,266 | 1,595,144 | ||||
| 4.737% 3/1/35 (f) | 886,856 | 883,242 | ||||
| 4.818% 12/1/32 (f) | 777,636 | 781,455 | ||||
| 4.823% 12/1/34 (f) | 1,483,640 | 1,483,087 | ||||
| 4.847% 12/1/34 (f) | 590,689 | 590,383 | ||||
| 5% 2/1/18 to 6/1/34 | 63,355,675 | 63,135,122 | ||||
| 5% 10/1/35 (b) | 130,443,747 | 127,631,054 | ||||
| 5.117% 5/1/35 (f) | 3,655,191 | 3,684,346 | ||||
| 5.204% 6/1/35 (f) | 2,646,531 | 2,672,667 | ||||
| 5.297% 9/1/35 (f) | 1,023,555 | 1,028,673 | ||||
| 5.5% 2/1/11 to 9/1/35 (c) | 86,950,374 | 87,566,038 | ||||
| 5.5% 10/1/35 (b) | 71,458,541 | 71,391,549 | ||||
| 6% 6/1/13 to 1/1/34 | 37,792,611 | 38,546,484 | ||||
| 6.5% 2/1/12 to 5/1/34 | 58,218,786 | 60,058,385 | ||||
| 6.5% 10/1/35 (b) | 18,289,984 | 18,827,252 | ||||
| 7% 11/1/05 to 2/1/33 | 17,501,563 | 18,345,737 | ||||
| 7% 10/1/20 (b) | 3,757,832 | 3,926,934 | ||||
| 7.5% 10/1/09 to 11/1/31 | 7,159,256 | 7,583,726 | ||||
| 8% 6/1/10 to 6/1/29 | 8,623 | 8,951 | ||||
| 11.5% 11/1/15 | 43,151 | 47,963 | ||||
| TOTAL FANNIE MAE | 788,885,015 | |||||
| Freddie Mac – 1.5% | ||||||
| 4.081% 12/1/34 (f) | 564,206 | 558,314 | ||||
| 4.109% 12/1/34 (f) | 820,961 | 817,169 | ||||
| 4.192% 1/1/35 (f) | 841,711 | 838,873 | ||||
| 4.294% 3/1/35 (f) | 763,198 | 759,241 | ||||
| 4.3% 5/1/35 (f) | 1,301,220 | 1,296,656 | ||||
| 4.308% 12/1/34 (f) | 769,368 | 758,845 | ||||
| 4.331% 1/1/35 (f) | 1,913,182 | 1,897,099 | ||||
| 4.368% 3/1/35 (f) | 1,112,177 | 1,093,757 | ||||
| 4.39% 2/1/35 (f) | 1,462,096 | 1,460,725 | ||||
| 4.446% 3/1/35 (f) | 725,284 | 715,084 | ||||
| 4.449% 2/1/34 (f) | 851,090 | 849,999 | ||||
| 4.479% 6/1/35 (f) | 1,114,542 | 1,109,750 | ||||
| 4.489% 3/1/35 (f) | 2,064,207 | 2,051,397 | ||||
| 4.495% 3/1/35 (f) | 5,030,365 | 4,983,795 | ||||
| 4.496% 3/1/35 (f) | 829,042 | 818,646 | ||||
| 4.563% 2/1/35 (f) | 1,181,099 | 1,170,988 | ||||
Annual Report A-96
| U.S. Government Agency Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Freddie Mac continued | ||||||
| 5% 11/1/33 | $ 667,258 | $ 654,597 | ||||
| 5.028% 4/1/35 (f) | 4,333,559 | 4,344,306 | ||||
| 5.237% 8/1/33 (f) | 345,293 | 350,411 | ||||
| 5.5% 12/1/24 to 4/1/25 | 9,761,858 | 9,825,354 | ||||
| 6% 10/1/23 to 5/1/33 | 8,786,277 | 8,959,103 | ||||
| 7.5% 11/1/16 to 6/1/32 | 3,521,779 | 3,740,944 | ||||
| 8% 7/1/25 to 10/1/27 | 82,665 | 88,367 | ||||
| 8.5% 2/1/19 to 8/1/22 | 16,478 | 17,905 | ||||
| 12% 11/1/19 | 18,628 | 20,489 | ||||
| TOTAL FREDDIE MAC | 49,181,814 | |||||
| Government National Mortgage Association 1.4% | ||||||
| 6% 6/15/08 to 9/15/10 | 2,852,154 | 2,926,630 | ||||
| 6.5% 12/15/07 to 12/15/32 | 19,313,881 | 20,089,188 | ||||
| 7% 6/15/24 to 12/15/33 | 15,604,600 | 16,417,121 | ||||
| 7.5% 3/15/22 to 8/15/28 | 4,032,674 | 4,298,857 | ||||
| 8% 4/15/24 to 12/15/25 | 214,152 | 229,572 | ||||
| 8.5% 8/15/29 to 11/15/31 | 650,779 | 707,286 | ||||
| TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 44,668,654 | |||||
| TOTAL U.S. GOVERNMENT AGENCY MORTGAGE SECURITIES | ||||||
| (Cost $886,309,128) | 882,735,483 | |||||
| Asset Backed Securities 5.7% | ||||||
| Accredited Mortgage Loan Trust Series 2003 2 Class A1, | ||||||
| 4.23% 10/25/33 | 2,971,783 | 2,866,590 | ||||
| ACE Securities Corp. Series 2004-OP1: | ||||||
| Class M1, 4.35% 4/25/34 (f) | 2,390,000 | 2,392,369 | ||||
| Class M2, 4.88% 4/25/34 (f) | 3,375,000 | 3,425,027 | ||||
| Aircraft Lease Securitisation Ltd. Series 2005-1 Class C1, | ||||||
| 7.2% 9/9/30 (a)(f) | 915,000 | 934,444 | ||||
| AmeriCredit Automobile Receivables Trust: | ||||||
| Series 2003-AM Class A4B, 4.15% 11/6/09 (f) | 3,305,007 | 3,314,362 | ||||
| Series 2003-BX Class A4B, 3.9688% 1/6/10 (f) | 2,220,000 | 2,225,998 | ||||
| Ameriquest Mortgage Securities, Inc. Series 2003-3 | ||||||
| Class M1, 4.63% 3/25/33 (f) | 4,050,000 | 4,071,396 | ||||
| Amortizing Residential Collateral Trust Series 2002-BC7 | ||||||
| Class M1, 4.63% 10/25/32 (f) | 18,293,000 | 18,344,458 | ||||
| A-97 |
| Annual Report |
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Argent Securities, Inc. Series 2003-W3 Class M2, 5.63% | ||||||||
| 9/25/33 (f) | $ 5,400,000 | $ 5,560,947 | ||||||
| Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||
| Series 2003-HE2: | ||||||||
| Class A2, 4.1481% 4/15/33 (f) | 388,472 | 388,521 | ||||||
| Class M1, 4.6681% 4/15/33 (f) | 4,770,000 | 4,790,866 | ||||||
| Series 2004-HE2 Class M1, 4.38% 4/25/34 (f) | 3,320,000 | 3,332,642 | ||||||
| Bayview Financial Asset Trust Series 2000-F Class A, | ||||||||
| 4.3375% 9/28/43 (f) | 7,204,473 | 7,220,605 | ||||||
| Capital Auto Receivables Asset Trust Series 2004-2 | ||||||||
| Class A2, 3.35% 2/15/08 | 4,890,000 | 4,821,479 | ||||||
| Capital One Auto Finance Trust Series 2003 A Class A4B, | ||||||||
| 4.0481% 1/15/10 (f) | 6,505,000 | 6,519,619 | ||||||
| Capital One Multi-Asset Execution Trust: | ||||||||
| Series 2003-B1 Class B1, 4.9381% 2/17/09 (f) | 7,735,000 | 7,770,349 | ||||||
| Series 2003-B2 Class B2, 3.5% 2/17/09 | 4,070,000 | 4,046,657 | ||||||
| CDC Mortgage Capital Trust Series 2003-HE2 Class M2, | ||||||||
| 5.5413% 10/25/33 (f) | 1,774,982 | 1,803,337 | ||||||
| Cendant Timeshare Receivables Funding LLC Series | ||||||||
| 2005-1A Class A1, 4.67% 5/20/17 (a) | 2,988,788 | 2,988,573 | ||||||
| Chase Credit Card Master Trust Series 2003-6 Class B, | ||||||||
| 4.1181% 2/15/11 (f) | 4,870,000 | 4,906,972 | ||||||
| Countrywide Home Loans, Inc. Series 2002-6 Class | ||||||||
| AV1, 4.26% 5/25/33 (f) | 1,772,297 | 1,776,577 | ||||||
| Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. | ||||||||
| Series 2003-1A Class C, 6.667% 6/28/38 (a) | 4,725,000 | 4,905,702 | ||||||
| Crown Castle Towers LLC/Crown Atlantic Holdings Sub | ||||||||
| LLC/Crown Communication, Inc. Series 2005-1: | ||||||||
| Class B, 4.878% 6/15/35 (a) | 2,706,000 | 2,655,473 | ||||||
| Class C, 5.074% 6/15/35 (a) | 2,457,000 | 2,416,263 | ||||||
| Fieldstone Mortgage Investment Corp. Series 2004-2 | ||||||||
| Class M2, 4.98% 7/25/34 (f) | 5,110,000 | 5,109,869 | ||||||
| First USA Secured Note Trust Series 2001-3 Class C, | ||||||||
| 4.8394% 11/19/08 (a)(f) | 6,360,000 | 6,404,718 | ||||||
| Fremont Home Loan Trust Series 2005-A: | ||||||||
| Class M1, 4.26% 1/25/35 (f) | 900,000 | 903,033 | ||||||
| Class M2, 4.29% 1/25/35 (f) | 1,300,000 | 1,300,870 | ||||||
| Class M3, 4.32% 1/25/35 (f) | 700,000 | 701,624 | ||||||
| HSBC Home Equity Loan Trust | ||||||||
| Series 2005-2: | ||||||||
| Class M1, 4.2563% 1/20/35 (f) | 1,445,821 | 1,445,968 | ||||||
| Class M2, 4.2863% 1/20/35 (f) | 1,084,366 | 1,084,466 | ||||||
| Annual Report |
| A-98 |
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Home Equity Asset Trust: | ||||||||
| Series 2003-2: | ||||||||
| Class A2, 4.21% 8/25/33 (f) | $ 126,886 | $ 127,325 | ||||||
| Class M1, 4.71% 8/25/33 (f) | 1,780,000 | 1,801,336 | ||||||
| Series 2003-4: | ||||||||
| Class M1, 4.4413% 10/25/33 (f) | 215,000 | 216,432 | ||||||
| Class M2, 5.5413% 10/25/33 (f) | 255,000 | 257,971 | ||||||
| Household Private Label Credit Card Master Note Trust I | ||||||||
| Series 2002-3 Class B, 5.0181% 9/15/09 (f) | 4,865,000 | 4,869,645 | ||||||
| Long Beach Mortgage Loan Trust Series 2003-3: | ||||||||
| Class M1, 4.3913% 7/25/33 (f) | 5,250,000 | 5,283,694 | ||||||
| Class M2, 5.4913% 7/25/33 (f) | 2,685,000 | 2,730,992 | ||||||
| MBNA Credit Card Master Note Trust: | ||||||||
| Series 2001-B1 Class B1, 4.1431% 10/15/08 (f) | 3,400,000 | 3,403,676 | ||||||
| Series 2001-B2 Class B2, 4.1281% 1/15/09 (f) | 3,400,000 | 3,406,235 | ||||||
| Series 2002-B2 Class B2, 4.1481% 10/15/09 (f) | 3,400,000 | 3,413,688 | ||||||
| Morgan Stanley ABS Capital I, Inc.: | ||||||||
| Series 2002-HE3 Class M1, 4.93% 12/27/32 (f) | 1,010,000 | 1,024,400 | ||||||
| Series 2003-NC6 Class M2, 5.5913% 6/27/33 (f) | 8,680,000 | 8,922,689 | ||||||
| Series 2004-NC2 Class M1, 4.38% 12/25/33 (f) | 1,410,000 | 1,415,167 | ||||||
| Morgan Stanley Dean Witter Capital I Trust: | ||||||||
| Series 2001-AM1 Class M2, 5.23% 2/25/32 (f) | 379,017 | 379,450 | ||||||
| Series 2002-NC3 Class M1, 4.55% 8/25/32 (f) | 815,000 | 818,264 | ||||||
| National Collegiate Student Loan Trust: | ||||||||
| Series 2004-2 Class AIO, 9.75% 10/25/14 (h) | 5,150,000 | 2,554,503 | ||||||
| Series 2005-GT1 Class AIO, 6.75% 12/25/09 (h) | 2,300,000 | 575,920 | ||||||
| Onyx Acceptance Owner Trust Series 2005-A Class A3, | ||||||||
| 3.69% 5/15/09 | 2,265,000 | 2,238,283 | ||||||
| Ownit Mortgage Loan Asset-Backed Certificates | ||||||||
| Series 2005-3 Class A2A, 3.95% 6/25/36 (f) | 9,468,102 | 9,467,892 | ||||||
| Residential Asset Mortgage Products, Inc. | ||||||||
| Series 2003 RZ2 Class A1, 3.6% 4/25/33 | 1,625,194 | 1,589,432 | ||||||
| Salomon Brothers Mortgage Securities VII, Inc. | ||||||||
| Series 2003-UP1 Class A, 3.45% 4/25/32 (a) | 1,598,554 | 1,537,109 | ||||||
| Saxon Asset Securities Trust Series 2004-1 Class M1, | ||||||||
| 4.36% 3/25/35 (f) | 2,395,000 | 2,397,154 | ||||||
| Specialty Underwriting & Residential Finance | ||||||||
| Series 2003-BC4 Class M1, 4.43% 11/25/34 (f) | 985,000 | 990,085 |
| A-99 |
| Annual Report |
| Investments (Unaudited) continued | ||||||
| Asset Backed Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Structured Asset Securities Corp. Series 2004-GEL1 | ||||||
| Class A, 4.19% 2/25/34 (f) | $ 470,119 | $ 470,108 | ||||
| Superior Wholesale Inventory Financing Trust XII | ||||||
| Series 2005-A12 Class C, 4.9681% 6/15/10 (f) | 3,540,000 | 3,544,891 | ||||
| TOTAL ASSET BACKED SECURITIES | ||||||
| (Cost $183,129,808) | 183,866,115 | |||||
| Collateralized Mortgage Obligations 8.2% | ||||||
| Private Sponsor 3.8% | ||||||
| Adjustable Rate Mortgage Trust floater: | ||||||
| Series 2004-1 Class 9A2, 4.23% 1/25/34 (f) | 2,565,281 | 2,571,155 | ||||
| Series 2005-1 Class 5A2, 4.16% 5/25/35 (f) | 4,729,172 | 4,732,104 | ||||
| Bear Stearns Adjustable Rate Mortgage Trust Series | ||||||
| 2005-6 Class 1A1, 5.17% 8/25/35 (f) | 5,810,346 | 5,811,835 | ||||
| Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, | ||||||
| 4.11% 1/25/35 (f) | 8,031,118 | 8,036,137 | ||||
| Granite Master Issuer PLC floater Series 2005 2 Class M1, | ||||||
| 4.06% 12/20/54 (f) | 7,000,000 | 6,997,813 | ||||
| Master Alternative Loan Trust Series 2004-3 Class 3A1, | ||||||
| 6% 4/25/34 | 762,738 | 767,505 | ||||
| Merrill Lynch Mortgage Investors, Inc.: | ||||||
| floater: | ||||||
| Series 2003-A Class 2A1, 4.22% 3/25/28 (f) | 5,084,083 | 5,110,858 | ||||
| Series 2004-E Class A2B, 4.45% 11/25/29 (f) | 4,107,768 | 4,101,629 | ||||
| Series 2004-G Class A2, 3.95% 11/25/29 (f) | 2,689,719 | 2,689,004 | ||||
| Series 2005-B Class A2, 3.75% 6/25/30 (f) | 4,165,873 | 4,157,749 | ||||
| Series 2003-E Class XA1, 1% 10/25/28 (f)(h) | 21,732,888 | 252,345 | ||||
| Series 2003-G Class XA1, 1% 1/25/29 (h) | 19,232,472 | 238,654 | ||||
| Series 2003-H Class XA1, 1% 1/25/29 (a)(h) | 17,019,931 | 215,331 | ||||
| Opteum Mortgage Acceptance Corp. floater Series | ||||||
| 2005-3 Class APT, 4.12% 7/25/35 (f) | 7,445,758 | 7,450,120 | ||||
| Residential Asset Mortgage Products, Inc. sequential pay | ||||||
| Series 2003-SL1 Class A31, 7.125% 4/25/31 | 2,373,134 | 2,411,318 | ||||
| Residential Finance LP/Residential Finance Development | ||||||
| Corp. floater Series 2003-CB1: | ||||||
| Class B3, 5.1781% 6/10/35 (a)(f) | 1,710,999 | 1,740,942 | ||||
| Class B4, 5.3781% 6/10/35 (a)(f) | 1,528,364 | 1,557,021 | ||||
| Class B5, 5.9781% 6/10/35 (a)(f) | 1,038,134 | 1,060,195 | ||||
| Class B6, 6.4781% 6/10/35 (a)(f) | 624,803 | 638,080 | ||||
| Sequoia Mortgage Funding Trust Series 2003-A | ||||||
| Class AX1, 0.8% 10/21/08 (a)(h) | 68,379,915 | 481,415 | ||||
Annual Report A 100
| Collateralized Mortgage Obligations continued | ||||
| Principal | Value | |||
| Amount | ||||
| Private Sponsor continued | ||||
| Sequoia Mortgage Trust floater: | ||||
| Series 2004-12 Class 1A2, 3.93% 1/20/35 (f) | $ 9,206,052 | $ 9,203,285 | ||
| Series 2004-4 Class A, 3.5881% 5/20/34 (f) | 5,261,295 | 5,254,767 | ||
| Structured Adjustable Rate Mortgage Loan Trust floater | ||||
| Series 2001-14 Class A1, 4.14% 7/25/35 (f) | 9,838,925 | 9,838,925 | ||
| Thornburg Mortgage Securities Trust floater Series 2005 3: | ||||
| Class A2, 4.078% 8/25/45 (f) | 3,600,000 | 3,600,000 | ||
| Class A4, 4.108% 8/25/45 (f) | 8,930,000 | 8,930,000 | ||
| Washington Mutual Mortgage Securities Corp. | ||||
| sequential pay Series 2003-MS9 Class 2A1, 7.5% | ||||
| 12/25/33 | 620,933 | 638,242 | ||
| Wells Fargo Mortgage Backed Securities Trust: | ||||
| Series 2005-AR10 Class 2A2, 4.1106% 6/25/35 (f) . | 7,411,688 | 7,293,789 | ||
| Series 2005-AR2 Class 2A2, 4.57% 3/25/35 | 13,979,198 | 13,787,857 | ||
| Series 2005-AR9 Class 2A1, 4.3621% 5/25/35 (f) | 4,631,156 | 4,581,315 | ||
| TOTAL PRIVATE SPONSOR | 124,149,390 | |||
| U.S. Government Agency 4.4% | ||||
| Fannie Mae planned amortization class: | ||||
| Series 1999-54 Class PH, 6.5% 11/18/29 | 10,275,000 | 10,709,719 | ||
| Series 1999-57 Class PH, 6.5% 12/25/29 | 8,478,000 | 8,798,227 | ||
| Fannie Mae guaranteed REMIC pass thru certificates | ||||
| planned amortization class: | ||||
| Series 2001-7 Class PQ, 6% 10/25/15 | 584,439 | 589,569 | ||
| Series 2002-64 Class PC, 5.5% 12/25/26 | 2,667,432 | 2,674,169 | ||
| Series 2003-81 Class MX, 3.5% 3/25/24 | 28,965,000 | 28,400,669 | ||
| Freddie Mac Multi-class participation certificates | ||||
| guaranteed: | ||||
| planned amortization class: | ||||
| Series 2498 Class PD, 5.5% 2/15/16 | 2,310,000 | 2,332,824 | ||
| Series 2543 CLass PM, 5.5% 8/15/18 | 4,654,518 | 4,688,245 | ||
| Series 2614 Class TD, 3.5% 5/15/16 | 5,000,000 | 4,785,795 | ||
| Series 2665 Class PB, 3.5% 6/15/23 | 1,035,000 | 1,015,752 | ||
| Series 2677 Class LD, 4.5% 3/15/17 | 1,305,000 | 1,278,304 | ||
| Series 2760 Class EB, 4.5% 9/15/16 | 5,833,000 | 5,753,083 | ||
| Series 2773: | ||||
| Class ED, 4.5% 8/15/17 | 16,863,000 | 16,539,741 | ||
| Class EG, 4.5% 4/15/19 | 13,500,000 | 13,001,184 | ||
| Series 2775 Class OC, 4.5% 12/15/15 | 20,429,000 | 20,155,879 | ||
| Series 2780 Class QE, 4.5% 4/15/19 | 2,400,000 | 2,323,843 | ||
| A 101 |
| Annual Report |
| Investments (Unaudited) continued | ||||
| Collateralized Mortgage Obligations continued | ||||
| Principal | Value | |||
| Amount | ||||
| U.S. Government Agency continued | ||||
| Freddie Mac Multi-class participation certificates | ||||
| guaranteed: – continued | ||||
| planned amortization class: | ||||
| Series 2870 Class BE, 4.5% 4/15/18 | $ 10,000,000 | $ 9,713,923 | ||
| Series 2885 Class PC, 4.5% 3/15/18 | 5,430,000 | 5,342,181 | ||
| sequential pay Series 2750 Class ZT, 5% 2/15/34 | 3,960,876 | 3,586,541 | ||
| TOTAL U.S. GOVERNMENT AGENCY | 141,689,648 | |||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||
| (Cost $264,952,791) | 265,839,038 | |||
| Commercial Mortgage Securities 8.3% | ||||
| Asset Securitization Corp.: | ||||
| sequential pay Series 1995-MD4 Class A1, 7.1% | ||||
| 8/13/29 | 369,099 | 377,659 | ||
| Series 1997-D5 Class PS1, 1.6354% 2/14/43 (f)(h) . | 60,343,152 | 2,944,269 | ||
| Banc of America Commercial Mortgage, Inc. Series | ||||
| 2005-3 Series A3B, 5.09% 7/10/43 (f) | 10,415,000 | 10,434,907 | ||
| Banc of America Large Loan, Inc. floater Series | ||||
| 2003 BBA2: | ||||
| Class A3, 4.0881% 11/15/15 (a)(f) | 2,715,000 | 2,717,399 | ||
| Class C, 4.2381% 11/15/15 (a)(f) | 555,000 | 556,818 | ||
| Class D, 4.3181% 11/15/15 (a)(f) | 870,000 | 874,614 | ||
| Class F, 4.6681% 11/15/15 (a)(f) | 620,000 | 624,034 | ||
| Class H, 5.1681% 11/15/15 (a)(f) | 555,000 | 558,064 | ||
| Class J, 5.7181% 11/15/15 (a)(f) | 580,000 | 586,956 | ||
| Class K, 6.3681% 11/15/15 (a)(f) | 520,000 | 519,129 | ||
| Bayview Commercial Asset Trust floater: | ||||
| Series 2003-1 Class A, 4.2213% 8/25/33 (a)(f) | 4,093,287 | 4,141,915 | ||
| Series 2004-2 Class A, 4.26% 8/25/34 (a)(f) | 3,857,311 | 3,865,758 | ||
| Series 2004-3: | ||||
| Class A2, 4.25% 1/25/35 (a)(f) | 609,965 | 612,114 | ||
| Class M1, 4.33% 1/25/35 (a)(f) | 674,715 | 675,628 | ||
| Class M2, 4.83% 1/25/35 (a)(f) | 422,284 | 424,795 | ||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||
| Series 2004 ESA: | ||||
| Class C, 4.937% 5/14/16 (a) | 2,395,000 | 2,404,098 | ||
| Class D, 4.986% 5/14/16 (a) | 875,000 | 879,746 | ||
| Class E, 5.064% 5/14/16 (a) | 2,705,000 | 2,726,672 | ||
| Class F, 5.182% 5/14/16 (a) | 650,000 | 654,782 | ||
Annual Report A 102
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Chase Commercial Mortgage Securities Corp.: | ||||||||
| Series 1999-2: | ||||||||
| Class E, 7.734% 1/15/32 | $ 1,697,876 | $ 1,846,233 | ||||||
| Class F, 7.734% 1/15/32 | 920,000 | 989,832 | ||||||
| Series 2001-245 Class A2, 6.4842% 2/12/16 (a)(f) . | 2,080,000 | 2,218,579 | ||||||
| COMM floater Series 2002-FL7 Class D, 4.3381% | ||||||||
| 11/15/14 (a)(f) | 150,000 | 150,021 | ||||||
| Commercial Mortgage pass thru certificates floater | ||||||||
| Series 2004-CNL: | ||||||||
| Class D, 4.4081% 9/15/14 (a)(f) | 350,000 | 350,106 | ||||||
| Class E, 4.4681% 9/15/14 (a)(f) | 480,000 | 480,328 | ||||||
| Class F, 4.5681% 9/15/14 (a)(f) | 375,000 | 375,203 | ||||||
| Class G, 4.7481% 9/15/14 (a)(f) | 860,000 | 860,341 | ||||||
| Class H, 4.8481% 9/15/14 (a)(f) | 915,000 | 915,363 | ||||||
| Class J, 5.3681% 9/15/14 (a)(f) | 310,000 | 310,856 | ||||||
| Class K, 5.7681% 9/15/14 (a)(f) | 495,000 | 495,896 | ||||||
| Class L, 5.9681% 9/15/14 (a)(f) | 400,000 | 399,855 | ||||||
| CS First Boston Mortgage Securities Corp.: | ||||||||
| sequential pay: | ||||||||
| Series 1998-C1 Class A1B, 6.48% 5/17/40 | 631,860 | 656,167 | ||||||
| Series 2003-C4 Class A3, 4.7% 8/15/36 (f) | 320,000 | 317,015 | ||||||
| Series 1997-C2 Class D, 7.27% 1/17/35 | 14,470,000 | 15,428,966 | ||||||
| Series 1998-C1 Class D, 7.17% 5/17/40 | 2,205,000 | 2,416,067 | ||||||
| Series 2003-C3 Class ASP, 1.997% 5/15/38 (a)(f)(h) | 62,949,009 | 3,741,954 | ||||||
| Series 2004-C1 Class ASP, 1.107% 1/15/37 (a)(f)(h) | 41,505,216 | 1,441,663 | ||||||
| Deutsche Mortgage & Asset Receiving Corp. sequential | ||||||||
| pay Series 1998-C1 Class D, 7.231% 6/15/31 | 13,185,000 | 13,947,460 | ||||||
| DLJ Commercial Mortgage Corp. sequential pay | ||||||||
| Series 1999-CG2 Class A1A, 6.88% 6/10/32 | 5,657,360 | 5,772,766 | ||||||
| Equitable Life Assurance Society of the United States | ||||||||
| Series 174: | ||||||||
| Class B1, 7.33% 5/15/06 (a) | 11,400,000 | 11,575,505 | ||||||
| Class C1, 7.52% 5/15/06 (a) | 8,700,000 | 8,838,808 | ||||||
| Class D1, 7.77% 5/15/06 (a) | 6,800,000 | 6,892,572 | ||||||
| First Union National Bank Chase Manhattan Bank | ||||||||
| Commercial Mortgage Trust Series 1999-C2 Class C, | ||||||||
| 6.944% 6/15/31 | 6,700,000 | 7,133,318 | ||||||
| Ginnie Mae guaranteed Multi-family pass thru securities | ||||||||
| sequential pay: | ||||||||
| Series 2002-26 Class C, 5.9905% 2/16/24 (f) | 5,850,000 | 6,047,184 | ||||||
| Series 2002-35 Class C, 5.8917% 10/16/23 (f) | 795,000 | 819,802 | ||||||
| Series 2003-87 Class C, 5.244% 8/16/32 (f) | 5,000,000 | 5,068,683 |
| A 103 |
| Annual Report |
| Investments (Unaudited) continued | ||||||||||
| Commercial Mortgage Securities continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Ginnie Mae guaranteed REMIC pass thru securities: | ||||||||||
| sequential pay Series 2003-47 Class C, 4.227% | ||||||||||
| 10/16/27 | $ 6,663,271 | $ 6,530,384 | ||||||||
| Series 2003-47 Class XA, 0.0411% 6/16/43 (f)(h) | 17,252,096 | 863,871 | ||||||||
| GMAC Commercial Mortgage Securities, Inc.: | ||||||||||
| sequential pay Series 1997-C2 Class A3, 6.566% | ||||||||||
| 4/15/29 | 3,068,151 | 3,165,165 | ||||||||
| Series 2004-C3 Class X2, 0.9005% 12/10/41 (f)(h) | . | 6,825,000 | 194,367 | |||||||
| Greenwich Capital Commercial Funding Corp.: | ||||||||||
| Series 2002-C1 Class SWDB, 5.857% 11/11/19 (a) | . | 6,715,000 | 6,631,063 | |||||||
| Series 2003-C1 Class XP, 2.2976% 7/5/35 (a)(f)(h) | 31,867,475 | 2,190,341 | ||||||||
| GS Mortgage Securities Corp. II: | ||||||||||
| sequential pay: | ||||||||||
| Series 1998-GLII Class A2, 6.562% 4/13/31 | 6,070,000 | 6,313,789 | ||||||||
| Series 2001-LIBA Class A2, 6.615% 2/14/16 (a) | 5,835,000 | 6,325,619 | ||||||||
| Series 1998-GLII Class E, 7.1906% 4/13/31 (f) | 4,103,000 | 4,302,355 | ||||||||
| Hilton Hotel Pool Trust Series 2000-HLTA Class D, | ||||||||||
| 7.555% 10/3/15 (a) | 3,200,000 | 3,468,735 | ||||||||
| J.P. Morgan Commercial Mortgage Finance Corp. | ||||||||||
| sequential pay: | ||||||||||
| Series 1998-C6 Class A3, 6.613% 1/15/30 | 8,802,458 | 9,070,377 | ||||||||
| Series 1999-C7 Class A2, 6.507% 10/15/35 | 5,555,000 | 5,790,850 | ||||||||
| LB Commercial Conduit Mortgage Trust: | ||||||||||
| Series 1998-C1 Class B, 6.59% 2/18/30 | 800,000 | 829,980 | ||||||||
| Series 1999-C1 Class B, 6.93% 6/15/31 | 3,854,000 | 4,124,123 | ||||||||
| LB-UBS Commercial Mortgage Trust sequential pay: | ||||||||||
| Series 2001-C3 Class A1, 6.058% 6/15/20 | 13,982,617 | 14,363,074 | ||||||||
| Series 2003-C5 Class A2, 3.478% 7/15/27 | 1,000,000 | 968,245 | ||||||||
| Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A | ||||||||||
| Class C, 4.13% 11/20/37 (a) | 5,900,000 | 5,363,454 | ||||||||
| Morgan Stanley Capital I, Inc.: | ||||||||||
| sequential pay Series 1999-WF1 Class A2, 6.21% | ||||||||||
| 11/15/31 | 1,550,000 | 1,605,665 | ||||||||
| Series 1999-RM1 Class E, 7.2103% 12/15/31 (f) | 824,000 | 877,161 | ||||||||
| Morgan Stanley Dean Witter Capital I Trust Series | ||||||||||
| 2003-HQ2 Class X2, 1.5864% 3/12/35 (a)(f)(h) | 35,142,760 | 1,967,253 | ||||||||
| Salomon Brothers Mortgage Securities VII, Inc. sequential | ||||||||||
| pay Series 2000 C3 Class A2, 6.592% 12/18/33 | 5,060,000 | 5,400,472 | ||||||||
| Thirteen Affiliates of General Growth Properties, Inc.: | ||||||||||
| sequential pay Series 1 Class A2, 6.602% 11/15/07 (a) | 12,680,000 | 13,149,188 | ||||||||
| Series 1: | ||||||||||
| Class D2, 6.992% 11/15/07 (a) | 13,890,000 | 14,426,139 | ||||||||
| Class E2, 7.224% 11/15/07 (a) | 8,260,000 | 8,628,754 | ||||||||
Annual Report A 104
| Commercial Mortgage Securities continued | ||||
| Principal | Value | |||
| Amount | ||||
| Trizechahn Office Properties Trust Series 2001-TZHA: | ||||
| Class C4, 6.893% 5/15/16 (a) | $ 1,000,000 | $ 1,085,816 | ||
| Class E3, 7.253% 3/15/13 (a) | 5,725,000 | 5,902,904 | ||
| TOTAL COMMERCIAL MORTGAGE SECURITIES | ||||
| (Cost $269,612,714) | 269,609,044 | |||
| Municipal Securities 1.1% | ||||
| Atlanta Wtr. & Wastewtr. Rev. 5% 11/1/43 | ||||
| (FSA Insured) | 6,600,000 | 6,843,342 | ||
| Chicago Board of Ed. Series A: | ||||
| 5.5% 12/1/25 (AMBAC Insured) | 600,000 | 699,936 | ||
| 5.5% 12/1/26 (AMBAC Insured) | 3,590,000 | 4,189,817 | ||
| East Bay Muni. Util. District Wtr. Sys. Rev. Series 2005 A, | ||||
| 5% 6/1/35 (MBIA Insured) | 4,300,000 | 4,514,742 | ||
| Massachusetts Spl. Oblig. Dedicated Tax Rev. 5.5% | ||||
| 1/1/29 (FGIC Insured) | 2,300,000 | 2,662,020 | ||
| Miami-Dade County Gen. Oblig. (Bldg. Better | ||||
| Communities Prog.) 5% 7/1/33 (FGIC Insured) | 4,500,000 | 4,715,325 | ||
| New Jersey Econ. Dev. Auth. Rev. Series N1, 5.5% | ||||
| 9/1/24 (AMBAC Insured) | 4,250,000 | 4,977,983 | ||
| Phoenix Civic Impt. Corp. Excise Tax Rev. (Civic Plaza | ||||
| Expansion Proj.) Series A, 5% 7/1/41 (FGIC Insured) | 4,400,000 | 4,596,372 | ||
| Univ. of Virginia Univ. Revs. 5% 6/1/37 | 1,300,000 | 1,367,015 | ||
| TOTAL MUNICIPAL SECURITIES | ||||
| (Cost $34,957,669) | 34,566,552 | |||
| Foreign Government and Government Agency Obligations 1.7% | ||||
| Israeli State 4.625% 6/15/13 | 5,305,000 | 5,119,325 | ||
| Korean Republic 4.875% 9/22/14 | 3,000,000 | 2,969,274 | ||
| Russian Federation 8.25% 3/31/10 (Reg. S) | 5,395,000 | 5,840,088 | ||
| United Mexican States: | ||||
| 5.875% 1/15/14 | 3,690,000 | 3,815,460 | ||
| 6.75% 9/27/34 | 15,845,000 | 16,874,925 | ||
| 7.5% 4/8/33 | 18,650,000 | 21,587,375 | ||
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT | ||||
| AGENCY OBLIGATIONS | ||||
| (Cost $51,413,630) | 56,206,447 | |||
A 105 Annual Report
| Investments (Unaudited) continued | ||||||
| Fixed Income Funds 14.6% | ||||||
| Shares | Value | |||||
| Fidelity Ultra-Short Central Fund (g) | ||||||
| (Cost $472,024,582) | 4,743,231 | $ 471,904,052 | ||||
| Cash Equivalents 4.9% | ||||||
| Maturity | ||||||
| Amount | ||||||
| Investments in repurchase agreements (Collateralized by | ||||||
| U.S. Government Obligations, in a joint trading | ||||||
| account at 3.89%, dated 9/30/05 due 10/3/05) | ||||||
| (Cost $158,581,000) | $ 158,632,467 | 158,581,000 | ||||
| TOTAL INVESTMENT PORTFOLIO 108.6% | ||||||
| (Cost $3,519,925,932) | 3,515,185,551 | |||||
| NET OTHER ASSETS – (8.6)% | (277,573,642) | |||||
| NET ASSETS 100% | $ 3,237,611,909 | |||||
| Swap Agreements | ||||||
| Expiration | Notional | Value | ||||
| Date | Amount | |||||
| Credit Default Swap | ||||||
| Receive quarterly a fixed rate of .45% | ||||||
| multiplied by the notional amount and | ||||||
| pay to Lehman Brothers, Inc., upon each | ||||||
| default event of one of the issues of Dow | ||||||
| Jones CDX N.A. Investment Grade 5, par | ||||||
| value of the proportional notional | ||||||
| amount (e) | Dec. 2010 | $ 33,200,000 | $ (2,878) | |||
| Receive quarterly a fixed rate of .7% | ||||||
| multiplied by the notional amount and | ||||||
| pay to JPMorgan Chase, Inc., upon each | ||||||
| default event of one of the issues of Dow | ||||||
| Jones CDX N.A. Investment Grade 3, par | ||||||
| value of the proportional notional | ||||||
| amount (d) | March 2015 | 40,000,000 | (297,640) | |||
| Receive quarterly notional amount | ||||||
| multiplied by .31% and pay Goldman | ||||||
| Sachs upon default event of SBC | ||||||
| Communications, Inc., par value of the | ||||||
| notional amount of SBC | ||||||
| Communications, Inc. 5.875% 8/15/12 | Sept. 2010 | 7,500,000 | (5,022) | |||
Annual Report A 106
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Receive quarterly notional amount | ||||||||
| multiplied by .35% and pay Goldman | ||||||||
| Sachs upon default event of Southern | ||||||||
| California Edison Co., par value of the | ||||||||
| notional amount of Southern California | ||||||||
| Edison Co. 7.625% 1/15/10 | Sept. 2010 | $ 3,700,000 | $ (117) | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .39% and pay JPMorgan | ||||||||
| Chase, Inc. upon default event of Fannie | ||||||||
| Mae, par value of the notional amount of | ||||||||
| Fannie Mae 4.625% 5/1/13 | June 2010 | 3,750,000 | 23,943 | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .405% and pay Deutsche | ||||||||
| Bank upon default event of Sempra | ||||||||
| Energy, par value of the notional amount | ||||||||
| of Sempra Energy 6% 2/1/13 | Sept. 2010 | 5,800,000 | (17,205) | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .41% and pay Deutsche | ||||||||
| Bank upon default event of Sempra | ||||||||
| Energy, par value of the notional amount | ||||||||
| of Sempra Energy 6% 2/1/13 | Sept. 2010 | 5,800,000 | (15,911) | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .43% and pay Lehman | ||||||||
| Brothers, Inc. upon default event of | ||||||||
| Fannie Mae, par value of the notional | ||||||||
| amount of Fannie Mae 6.25% 2/1/11 | June 2010 | 15,000,000 | 121,553 | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .48% and pay Goldman | ||||||||
| Sachs upon default event of TXU Energy | ||||||||
| Co. LLC, par value of the notional | ||||||||
| amount of TXU Energy Co. LLC 7% | ||||||||
| 3/15/13 | Sept. 2008 | 10,000,000 | (60,628) | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .48% and pay JPMorgan | ||||||||
| Chase, Inc. upon default event of Fannie | ||||||||
| Mae, par value of the notional amount of | ||||||||
| Fannie Mae 4.625% 5/1/13 | June 2010 | 5,000,000 | 51,259 | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .53% and pay Lehman | ||||||||
| Brothers, Inc. upon default event of Tyco | ||||||||
| International Group SA, par value of the | ||||||||
| notional amount of Tyco International | ||||||||
| Group SA yankee 6.375% 10/15/11 | June 2010 | 5,000,000 | 16,032 | |||||
| TOTAL CREDIT DEFAULT SWAP | $ 134,750,000 | $ (186,614) | ||||||
| A 107 |
| Annual Report |
| Investments (Unaudited) continued | ||||||||
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Interest Rate Swap | ||||||||
| Receive quarterly a fixed rate equal to | ||||||||
| 3.38% and pay quarterly a floating rate | ||||||||
| based on 3-month LIBOR with Citibank | May 2006 | $ 250,000,000 | $ (1,556,925) | |||||
| Receive quarterly a fixed rate equal to | ||||||||
| 3.8915% and pay quarterly a floating | ||||||||
| rate based on 3-month LIBOR with UBS | Feb. 2008 | 40,000,000 | (605,076) | |||||
| TOTAL INTEREST RATE SWAP | $ 290,000,000 | $ (2,162,001) | ||||||
| Total Return Swap | ||||||||
| Receive monthly a return equal to Banc of | ||||||||
| America Securities LLC AAA 10 Yr | ||||||||
| Commercial Mortgage Backed Securities | ||||||||
| Daily Index and pay monthly a floating | ||||||||
| rate based on 1-month LIBOR minus 40 | ||||||||
| basis points with Bank of America | March 2006 | 12,600,000 | (306,797) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers ABS Floating Rate Index and | ||||||||
| pay monthly a floating rate based on the | ||||||||
| 1-month LIBOR minus 11.1 basis points | ||||||||
| with Lehman Brothers, Inc. | Nov. 2005 | 12,000,000 | 3,309 | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||
| monthly a floating rate based on | ||||||||
| 1-month LIBOR minus 20 basis points | ||||||||
| with Citibank | Oct. 2005 | 12,500,000 | (342,541) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||
| monthly a floating rate based on | ||||||||
| 1-month LIBOR minus 25 basis points | ||||||||
| with Citibank | Oct. 2006 | 20,000,000 | (154,536) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||
| monthly a floating rate based on | ||||||||
| 1-month LIBOR minus 25 basis points | ||||||||
| with Deutsche Bank | April 2006 | 12,500,000 | 0 | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||
| monthly a return based on 1-month | ||||||||
| LIBOR minus 50 basis points with | ||||||||
| Citibank | Jan. 2006 | 30,000,000 | (814,598) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS U.S. Aggregate Index | ||||||||
| and pay monthly a floating rate based | ||||||||
| on 1-month LIBOR minus 20 basis points | ||||||||
| with Lehman Brothers, Inc. | March 2006 | 70,000,000 | (1,141,200) | |||||
Annual Report A 108
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers Commercial Mortgage Backed | ||||||||
| Securities AAA Daily Index and pay | ||||||||
| monthly a floating rate based on | ||||||||
| 1-month LIBOR minus 25 basis points | ||||||||
| with Bank of America | Dec. 2005 | $ 20,045,000 | $ (331,526) | |||||
| Receive quarterly a return equal to Banc of | ||||||||
| America Securities LLC AAA 10 Yr | ||||||||
| Commercial Mortgage Backed Securities | ||||||||
| Daily Index and pay quarterly a floating | ||||||||
| rate based on 3-month LIBOR minus 40 | ||||||||
| basis points with Bank of America | Nov. 2005 | 14,000,000 | (132,786) | |||||
| TOTAL TOTAL RETURN SWAP | $ 203,645,000 | $ (3,220,675) | ||||||
| $ 628,395,000 | $ (5,569,290) | |||||||
| Legend (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $278,782,350 or 8.6% of net assets. (b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. (c) A portion of the security is subject to a forward commitment to sell. (d) Dow Jones CDX N.A. Investment Grade 3 is a tradable index of credit default swaps on investment grade debt of U.S. companies. (e) Dow Jones CDX N.A. Investment Grade 5 is a tradable index of credit default swaps on investment grade debt of U.S. companies. (f) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
| (g) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited listing of the fixed income central fund’s holdings is provided at the end of this report. (h) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
A 109 Annual Report
| Fidelity Ultra-Short Central Fund Investments September 30, 2005 (Unaudited) Showing Percentage of Net Assets |
| Nonconvertible Bonds 4.8% | ||||||
| Principal | Value | |||||
| Amount | ||||||
| CONSUMER DISCRETIONARY – 1.1% | ||||||
| Auto Components 0.3% | ||||||
| DaimlerChrysler NA Holding Corp.: | ||||||
| 4.3138% 9/10/07 (d) | $ 16,665,000 | $ 16,704,263 | ||||
| 4.43% 5/24/06 (d) | 4,700,000 | 4,713,090 | ||||
| 21,417,353 | ||||||
| Media – 0.8% | ||||||
| Continental Cablevision, Inc. 8.3% 5/15/06 | 8,000,000 | 8,183,384 | ||||
| Cox Communications, Inc. (Reg. S) 4.4069% 12/14/07 (d) | . 12,140,000 | 12,222,965 | ||||
| Cox Radio, Inc. 6.625% 2/15/06 | 5,575,000 | 5,612,319 | ||||
| Liberty Media Corp. 5.37% 9/17/06 (d) | 16,694,000 | 16,816,200 | ||||
| Univision Communications, Inc. 2.875% 10/15/06 | 8,505,000 | 8,336,763 | ||||
| 51,171,631 | ||||||
| TOTAL CONSUMER DISCRETIONARY | 72,588,984 | |||||
| ENERGY 0.2% | ||||||
| Oil, Gas & Consumable Fuels – 0.2% | ||||||
| Valero Energy Corp. 7.375% 3/15/06 | 11,550,000 | 11,671,298 | ||||
| FINANCIALS – 1.5% | ||||||
| Capital Markets 0.2% | ||||||
| State Street Capital Trust II 4.29% 2/15/08 (d) | 10,000,000 | 10,007,360 | ||||
| Commercial Banks – 0.2% | ||||||
| Wells Fargo & Co. 3.8738% 3/10/08 (d) | 16,600,000 | 16,600,166 | ||||
| Consumer Finance – 0.5% | ||||||
| General Motors Acceptance Corp. 4.87% 10/20/05 (d) | 14,765,000 | 14,765,177 | ||||
| MBNA Europe Funding PLC 3.97% 9/7/07 (a)(d) | 19,925,000 | 19,915,914 | ||||
| 34,681,091 | ||||||
| Thrifts & Mortgage Finance – 0.6% | ||||||
| Countrywide Financial Corp. 3.71% 4/11/07 (d) | 11,025,000 | 11,037,105 | ||||
| Residential Capital Corp. 5.385% 6/29/07 (a)(d) | 14,150,000 | 14,267,063 | ||||
| Washington Mutual Bank 3.9363% 8/25/08 (d) | 16,325,000 | 16,330,126 | ||||
| 41,634,294 | ||||||
| TOTAL FINANCIALS | 102,922,911 | |||||
| TELECOMMUNICATION SERVICES – 1.1% | ||||||
| Diversified Telecommunication Services – 1.0% | ||||||
| British Telecommunications PLC 7.875% 12/15/05 | 18,145,000 | 18,268,277 | ||||
Annual Report A 110
| Nonconvertible Bonds continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| TELECOMMUNICATION SERVICES – continued | ||||||
| Diversified Telecommunication Services – continued | ||||||
| France Telecom SA 7.2% 3/1/06 | $ 5,600,000 | $ 5,664,966 | ||||
| GTE Corp. 6.36% 4/15/06 | 9,000,000 | 9,087,354 | ||||
| SBC Communications, Inc. 4.389% 6/5/06 (a) | 15,315,000 | 15,296,316 | ||||
| Sprint Capital Corp. 4.78% 8/17/06 | 6,000,000 | 6,009,276 | ||||
| Telefonos de Mexico SA de CV 4.5% 11/19/08 | 10,240,000 | 10,107,679 | ||||
| TELUS Corp. yankee 7.5% 6/1/07 | 6,500,000 | 6,787,638 | ||||
| 71,221,506 | ||||||
| Wireless Telecommunication Services – 0.1% | ||||||
| AT&T Wireless Services, Inc. 7.35% 3/1/06 | 5,500,000 | 5,563,866 | ||||
| TOTAL TELECOMMUNICATION SERVICES | 76,785,372 | |||||
| UTILITIES – 0.9% | ||||||
| Electric Utilities – 0.2% | ||||||
| Pinnacle West Energy Corp. 4.0044% 4/1/07 (a)(d) | 12,800,000 | 12,800,000 | ||||
| Gas Utilities 0.1% | ||||||
| NiSource Finance Corp. 7.625% 11/15/05 | 9,250,000 | 9,284,012 | ||||
| Multi-Utilities – 0.6% | ||||||
| Dominion Resources, Inc. 4.27% 9/28/07 (d) | 17,150,000 | 17,145,301 | ||||
| DTE Energy Co. 6.45% 6/1/06 | 13,190,000 | 13,350,324 | ||||
| Sempra Energy 4.75% 5/15/09 | 5,500,000 | 5,461,247 | ||||
| 35,956,872 | ||||||
| TOTAL UTILITIES | 58,040,884 | |||||
| TOTAL NONCONVERTIBLE BONDS | ||||||
| (Cost $322,361,771) | 322,009,449 | |||||
| U.S. Government Agency Obligations 0.0% | ||||||
| Federal Home Loan Bank 0% 12/28/05 (c) | ||||||
| (Cost $1,981,349) | 2,000,000 | 1,981,988 | ||||
| Asset Backed Securities 33.0% | ||||||
| Accredited Mortgage Loan Trust: | ||||||
| Series 2004-2 Class A2, 4.13% 7/25/34 (d) | 7,454,076 | 7,464,885 | ||||
| Series 2004-3 Class 2A4, 4.18% 10/25/34 (d) | 10,915,000 | 10,939,272 | ||||
| Series 2004-4 Class A2D, 4.18% 1/25/35 (d) | 3,210,800 | 3,218,701 | ||||
A 111 Annual Report
| Investments (Unaudited) continued | ||||||
| Asset Backed Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Accredited Mortgage Loan Trust: – continued | ||||||
| Series 2005-1: | ||||||
| Class M1, 4.3% 4/25/35 (d) | $ 11,280,000 | $ 11,284,074 | ||||
| Class M2, 4.52% 4/25/35 (d) | 5,275,000 | 5,288,969 | ||||
| ACE Securities Corp.: | ||||||
| Series 2002-HE1 Class M1, 4.48% 6/25/32 (d) | 1,842,987 | 1,860,106 | ||||
| Series 2002-HE2 Class M1, 4.68% 8/25/32 (d) | 18,631,213 | 18,689,976 | ||||
| Series 2003-FM1 Class M2, 5.68% 11/25/32 (d) | 3,015,000 | 3,044,567 | ||||
| Series 2003-HS1: | ||||||
| Class M1, 4.58% 6/25/33 (d) | 800,000 | 803,891 | ||||
| Class M2, 5.58% 6/25/33 (d) | 856,000 | 870,466 | ||||
| Series 2003-NC1 Class M1, 4.61% 7/25/33 (d) | 1,600,000 | 1,608,662 | ||||
| Series 2004-HE1: | ||||||
| Class M1, 4.33% 2/25/34 (d) | 2,193,000 | 2,194,100 | ||||
| Class M2, 4.93% 2/25/34 (d) | 2,475,000 | 2,476,472 | ||||
| Series 2004-OP1: | ||||||
| Class M1, 4.35% 4/25/34 (d) | 4,420,000 | 4,424,381 | ||||
| Class M2, 4.88% 4/25/34 (d) | 6,240,000 | 6,332,494 | ||||
| Series 2005-HE2: | ||||||
| Class M1, 4.27% 4/25/35 (d) | 1,530,000 | 1,529,959 | ||||
| Class M2, 4.28% 4/25/35 (d) | 1,803,000 | 1,802,229 | ||||
| Class M3, 4.31% 4/25/35 (d) | 1,040,000 | 1,041,214 | ||||
| Class M4, 4.47% 4/25/35 (d) | 1,340,000 | 1,341,550 | ||||
| Series 2005-HE3: | ||||||
| Class A2A, 3.93% 5/25/35 (d) | 7,170,954 | 7,171,304 | ||||
| Class A2B, 4.04% 5/25/35 (d) | 4,370,000 | 4,367,703 | ||||
| Series 2005-SD1 Class A1, 4.23% 11/25/50 (d) | 2,337,292 | 2,340,041 | ||||
| Aesop Funding II LLC Series 2005-1A Class A2, 3.8563% | ||||||
| 4/20/09 (a)(d) | 8,800,000 | 8,800,906 | ||||
| American Express Credit Account Master Trust: | ||||||
| Series 2002-6 Class B, 4.2181% 3/15/10 (d) | 5,000,000 | 5,028,652 | ||||
| Series 2004-1 Class B, 4.0181% 9/15/11 (d) | 5,775,000 | 5,797,497 | ||||
| Series 2004-C Class C, 4.2681% 2/15/12 (a)(d) | 14,647,039 | 14,680,928 | ||||
| Series 2005-1 Class A, 3.7981% 10/15/12 (d) | 15,455,000 | 15,483,856 | ||||
| Series 2005-6 Class C, 4.0181% 3/15/11 (a)(d) | 9,085,000 | 9,087,816 | ||||
| AmeriCredit Automobile Receivables Trust: | ||||||
| Series 2002-EM Class A4A, 3.67% 6/8/09 | 25,000,000 | 24,882,623 | ||||
| Series 2003-AM Class A4B, 4.15% 11/6/09 (d) | 11,965,573 | 11,999,441 | ||||
| Series 2003-BX Class A4B, 3.9688% 1/6/10 (d) | 3,265,000 | 3,273,821 | ||||
| Series 2003-CF Class A3, 2.75% 10/9/07 | 8,861,691 | 8,837,682 | ||||
| Series 2005-1 Class C, 4.73% 7/6/10 | 15,500,000 | 15,420,941 | ||||
| Ameriquest Mortgage Securities, Inc.: | ||||||
| Series 2002-3 Class M1, 4.53% 8/25/32 (d) | 2,969,781 | 2,983,343 | ||||
Annual Report A 112
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Ameriquest Mortgage Securities, Inc.: – continued | ||||||||
| Series 2003-1: | ||||||||
| Class A2, 4.24% 2/25/33 (d) | $ 200,427 | $ 200,481 | ||||||
| Class M1, 4.73% 2/25/33 (d) | 6,150,000 | 6,188,493 | ||||||
| Series 2003-3 Class M1, 4.63% 3/25/33 (d) | 1,590,000 | 1,598,400 | ||||||
| Series 2003-6: | ||||||||
| Class M1, 4.59% 8/25/33 (d) | 7,560,000 | 7,610,158 | ||||||
| Class M2, 5.68% 5/25/33 (d) | 2,750,000 | 2,804,670 | ||||||
| Series 2003-AR1 Class M1, 4.98% 1/25/33 (d) | 7,000,000 | 7,068,037 | ||||||
| Series 2004-R2: | ||||||||
| Class M1, 4.26% 4/25/34 (d) | 1,230,000 | 1,229,969 | ||||||
| Class M2, 4.31% 4/25/34 (d) | 950,000 | 949,976 | ||||||
| Class M3, 4.38% 4/25/34 (d) | 3,500,000 | 3,499,912 | ||||||
| Class M4, 4.88% 4/25/34 (d) | 4,500,000 | 4,499,883 | ||||||
| Series 2004-R9 Class A3, 4.15% 10/25/34 (d) | 9,206,545 | 9,219,109 | ||||||
| Series 2005-R1: | ||||||||
| Class M1, 4.28% 3/25/35 (d) | 5,710,000 | 5,707,639 | ||||||
| Class M2, 4.31% 3/25/35 (d) | 1,925,000 | 1,924,232 | ||||||
| Series 2005-R2 Class M1, 4.28% 4/25/35 (d) | 12,500,000 | 12,499,668 | ||||||
| Amortizing Residential Collateral Trust: | ||||||||
| Series 2002-BC3 Class A, 4.16% 6/25/32 (d) | 2,411,175 | 2,418,320 | ||||||
| Series 2002-BC6 Class M1, 4.58% 8/25/32 (d) | 24,900,000 | 25,095,555 | ||||||
| Series 2002-BC7: | ||||||||
| Class M1, 4.63% 10/25/32 (d) | 10,000,000 | 10,028,130 | ||||||
| Class M2, 4.73% 10/25/32 (d) | 5,575,000 | 5,605,898 | ||||||
| Series 2002-BC1 Class M2, 4.93% 1/25/32 (d) | 758,836 | 762,053 | ||||||
| ARG Funding Corp.: | ||||||||
| Series 2005-1A Class A2, 3.8963% 4/20/09 (a)(d) | 11,000,000 | 10,975,938 | ||||||
| Series 2005-2A Class A2, 3.9063% 5/20/09 (a)(d) | 5,200,000 | 5,190,453 | ||||||
| Argent Securities, Inc.: | ||||||||
| Series 2003-W3 Class M2, 5.63% 9/25/33 (d) | 20,000,000 | 20,596,100 | ||||||
| Series 2003-W7 Class A2, 4.22% 3/1/34 (d) | 3,948,904 | 3,957,510 | ||||||
| Series 2004-W5 Class M1, 4.43% 4/25/34 (d) | 3,960,000 | 3,964,674 | ||||||
| Series 2004-W7: | ||||||||
| Class M1, 4.38% 5/25/34 (d) | 4,085,000 | 4,084,893 | ||||||
| Class M2, 4.43% 5/25/34 (d) | 3,320,000 | 3,319,914 | ||||||
| Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||
| Series 2003-HE2: | ||||||||
| Class A2, 4.1481% 4/15/33 (d) | 664,884 | 664,968 | ||||||
| Class M1, 4.6681% 4/15/33 (d) | 11,365,000 | 11,414,716 | ||||||
| Series 2003-HE3: | ||||||||
| Class M1, 4.5981% 6/15/33 (d) | 2,185,000 | 2,196,793 | ||||||
| Class M2, 5.7681% 6/15/33 (d) | 10,000,000 | 10,168,072 |
A 113 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Asset Backed Securities Corp. Home Equity Loan Trust: - | ||||||||
| continued | ||||||||
| Series 2003-HE4 Class M2, 5.7681% 8/15/33 (d) | $ 5,695,000 | $ 5,779,144 | ||||||
| Series 2003-HE5 Class A2A, 4.1281% 8/15/33 (d) | 347,110 | 347,153 | ||||||
| Series 2003-HE6 Class M1, 4.48% 11/25/33 (d) | 3,475,000 | 3,497,595 | ||||||
| Series 2004-HE2 Class M1, 4.38% 4/25/34 (d) | 6,060,000 | 6,083,075 | ||||||
| Series 2004-HE3: | ||||||||
| Class M1, 4.37% 6/25/34 (d) | 1,450,000 | 1,457,158 | ||||||
| Class M2, 4.95% 6/25/34 (d) | 3,350,000 | 3,391,294 | ||||||
| Series 2004-HE6 Class A2, 4.19% 6/25/34 (d) | 15,110,414 | 15,141,786 | ||||||
| Series 2005-HE2: | ||||||||
| Class M1, 4.28% 3/25/35 (d) | 8,250,000 | 8,259,768 | ||||||
| Class M2, 4.33% 3/25/35 (d) | 2,065,000 | 2,070,757 | ||||||
| Series 2005-HE3 Class A4, 4.03% 4/25/35 (d) | 11,650,000 | 11,649,725 | ||||||
| Series 2005-HE6 Class A2B, 4.08% 7/25/35 (d) | 10,000,000 | 10,009,980 | ||||||
| Bank One Issuance Trust: | ||||||||
| Series 2002-B1 Class B1, 4.1481% 12/15/09 (d) | 20,655,000 | 20,734,158 | ||||||
| Series 2002-B3 Class B, 4.1281% 8/15/08 (d) | 14,500,000 | 14,503,495 | ||||||
| Series 2002-C1 Class C1, 4.7281% 12/15/09 (d) | 7,980,000 | 8,063,633 | ||||||
| Series 2003-C4 Class C4, 4.7981% 2/15/11 (d) | 14,910,000 | 15,197,991 | ||||||
| Bayview Financial Acquisition Trust Series 2004-C | ||||||||
| Class A1, 4.2575% 5/28/44 (d) | 7,735,211 | 7,751,217 | ||||||
| Bayview Financial Asset Trust Series 2003-F Class A, | ||||||||
| 4.3375% 9/28/43 (d) | 9,005,591 | 9,025,757 | ||||||
| Bayview Financial Mortgage Loan Trust Series 2004-A Class�� | ||||||||
| A, 4.2875% 2/28/44 (d) | 5,177,035 | 5,186,096 | ||||||
| Bear Stearns Asset Backed Securities, Inc. Series 2005-3 | ||||||||
| Class A1, 4.28% 9/25/35 (d) | 4,051,990 | 4,051,990 | ||||||
| Bear Stearns Asset Backed Securities I: | ||||||||
| Series 2005-HE2: | ||||||||
| Class M1, 4.33% 2/25/35 (d) | 6,655,000 | 6,657,302 | ||||||
| Class M2, 4.58% 2/25/35 (d) | 2,430,000 | 2,438,309 | ||||||
| Series 2005-HE5 Class 1A1, 3.94% 6/25/35 (d) | 9,315,999 | 9,314,540 | ||||||
| Capital Auto Receivables Asset Trust: | ||||||||
| Series 2002-5 Class B, 2.8% 4/15/08 | 2,439,941 | 2,415,147 | ||||||
| Series 2003-1 Class B, 4.2381% 6/15/10 (a)(d) | 4,946,375 | 4,959,105 | ||||||
| Series 2003-2 Class B, 4.0481% 1/15/09 (d) | 2,369,381 | 2,373,293 | ||||||
| Series 2005-1 Class B, 4.1431% 6/15/10 (d) | 5,725,000 | 5,757,133 | ||||||
| Capital One Auto Finance Trust: | ||||||||
| Series 2003-A Class A4B, 4.0481% 1/15/10 (d) | 9,630,000 | 9,651,642 | ||||||
| Series 2004-B Class A4, 3.8781% 8/15/11 (d) | 16,300,000 | 16,304,722 | ||||||
| Annual Report |
| A 114 |
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Capital One Master Trust: | ||||||||
| Series 1999-3 Class B, 4.2481% 9/15/09 (d) | $ 5,000,000 | $ 5,001,993 | ||||||
| Series 2001-1 Class B, 4.2781% 12/15/10 (d) | 19,500,000 | 19,636,007 | ||||||
| Series 2001-8A Class B, 4.3181% 8/17/09 (d) | 9,585,000 | 9,627,823 | ||||||
| Series 2002-4A Class B, 4.2681% 3/15/10 (d) | 6,000,000 | 6,026,994 | ||||||
| Capital One Multi-Asset Execution Trust Series 2003-B1 Class | ||||||||
| B1, 4.9381% 2/17/09 (d) | 15,470,000 | 15,540,698 | ||||||
| Capital Trust Ltd. Series 2004-1: | ||||||||
| Class A2, 4.2463% 7/20/39 (a)(d) | 2,968,000 | 2,974,368 | ||||||
| Class B, 4.5463% 7/20/39 (a)(d) | 1,550,000 | 1,553,325 | ||||||
| Class C, 4.8963% 7/20/39 (a)(d) | 1,994,000 | 1,998,276 | ||||||
| CDC Mortgage Capital Trust: | ||||||||
| Series 2001-HE1 Class M1, 4.86% 1/25/32 (d) | 3,470,154 | 3,471,347 | ||||||
| Series 2002-HE2 Class M1, 4.53% 1/25/33 (d) | 9,278,431 | 9,305,483 | ||||||
| Series 2002-HE3: | ||||||||
| Class M1, 4.93% 3/25/33 (d) | 21,339,884 | 21,583,539 | ||||||
| Class M2, 5.8913% 3/25/33 (d) | 9,968,976 | 10,111,477 | ||||||
| Series 2003-HE1: | ||||||||
| Class M1, 4.5413% 8/25/33 (d) | 1,907,142 | 1,913,922 | ||||||
| Class M2, 5.5913% 8/25/33 (d) | 4,369,996 | 4,416,852 | ||||||
| Series 2003-HE2 Class A, 3.9913% 10/25/33 (d) | 1,011,328 | 1,011,776 | ||||||
| Series 2003-HE3: | ||||||||
| Class M1, 4.53% 11/25/33 (d) | 2,254,989 | 2,275,897 | ||||||
| Class M2, 5.58% 11/25/33 (d) | 1,719,992 | 1,749,395 | ||||||
| Series 2004-HE2 Class M2, 5.03% 7/26/34 (d) | 2,345,000 | 2,366,343 | ||||||
| Cendant Timeshare Receivables Funding LLC Series 2005 1A | ||||||||
| Class 2A2, 3.9763% 5/20/17 (a)(d) | 9,256,185 | 9,256,185 | ||||||
| Chase Credit Card Owner Trust: | ||||||||
| Series 2001-6 Class B, 4.2481% 3/16/09 (d) | 1,305,000 | 1,310,645 | ||||||
| Series 2002-6 Class B, 4.1181% 1/15/08 (d) | 11,850,000 | 11,850,281 | ||||||
| Series 2003-6 Class C, 4.5681% 2/15/11 (d) | 16,400,000 | 16,641,039 | ||||||
| Series 2004-1 Class B, 3.9681% 5/15/09 (d) | 4,105,000 | 4,104,601 | ||||||
| Citibank Credit Card Issuance Trust: | ||||||||
| Series 2000-C2 Class C2, 4.2488% 10/15/07 (d) | 17,500,000 | 17,499,286 | ||||||
| Series 2001-B2 Class B2, 4.3038% 12/10/08 (d) | 11,945,000 | 11,995,489 | ||||||
| Series 2002-B1 Class B1, 4.2906% 6/25/09 (d) | 9,010,000 | 9,041,853 | ||||||
| Series 2002-C1 Class C1, 4.7369% 2/9/09 (d) | 17,500,000 | 17,675,320 | ||||||
| Series 2003-B1 Class B1, 4.0763% 3/7/08 (d) | 25,000,000 | 25,035,435 | ||||||
| Series 2003-C1 Class C1, 4.65% 4/7/10 (d) | 17,785,000 | 18,159,908 | ||||||
| Citigroup Mortgage Loan Trust Series 2003-HE4 | ||||||||
| Class A, 4.24% 12/25/33 (a)(d) | 7,601,624 | 7,602,413 | ||||||
| CNH Wholesale Master Note Trust Series 2005-1: | ||||||||
| Class A, 3.8781% 6/15/11 (d) | 18,000,000 | 17,997,386 |
A 115 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| CNH Wholesale Master Note Trust Series 2005-1: - | ||||||||
| continued | ||||||||
| Class B, 4.1681% 6/15/11 (d) | $ 2,280,000 | $ 2,279,668 | ||||||
| Countrywide Home Loans, Inc.: | ||||||||
| Series 2002-6 Class AV1, 4.26% 5/25/33 (d) | 1,255,649 | 1,258,682 | ||||||
| Series 2003-BC1 Class M2, 5.83% 9/25/32 (d) | 11,065,000 | 11,184,059 | ||||||
| Series 2003-SD3 Class A1, 4.25% 12/25/32 (a)(d) | 752,994 | 756,713 | ||||||
| Series 2004-2 Class M1, 4.33% 5/25/34 (d) | 5,200,000 | 5,209,564 | ||||||
| Series 2004-3: | ||||||||
| Class 3A4, 4.08% 8/25/34 (d) | 445,702 | 444,067 | ||||||
| Class M1, 4.33% 6/25/34 (d) | 1,475,000 | 1,476,401 | ||||||
| Series 2004-4: | ||||||||
| Class A, 4.2% 8/25/34 (d) | 2,130,303 | 2,132,323 | ||||||
| Class M1, 4.31% 7/25/34 (d) | 3,650,000 | 3,660,809 | ||||||
| Class M2, 4.36% 6/25/34 (d) | 4,395,000 | 4,399,618 | ||||||
| Series 2005-1: | ||||||||
| Class 1AV2, 4.03% 7/25/35 (d) | 8,780,000 | 8,777,753 | ||||||
| Class M1, 4.25% 8/25/35 (d) | 19,600,000 | 19,586,004 | ||||||
| Class MV1, 4.23% 7/25/35 (d) | 3,135,000 | 3,133,802 | ||||||
| Class MV2, 4.27% 7/25/35 (d) | 3,765,000 | 3,762,360 | ||||||
| Class MV3, 4.31% 7/25/35 (d) | 1,560,000 | 1,561,512 | ||||||
| Series 2005-3 Class MV1, 4.25% 8/25/35 (d) | 11,125,000 | 11,116,813 | ||||||
| Series 2005-AB1 Class A2, 4.04% 8/25/35 (d) | 17,520,000 | 17,515,387 | ||||||
| Series 2005-BC1 Class 2A2, 4.03% 5/25/35 (d) | 8,375,000 | 8,376,323 | ||||||
| Series 2005-IM1 Class A1, 3.96% 11/25/35 (d) | 16,452,556 | 16,453,841 | ||||||
| CS First Boston Mortgage Securities Corp.: | ||||||||
| Series 2003-8 Class A2, 4.22% 4/25/34 (d) | 2,207,328 | 2,216,663 | ||||||
| Series 2004-FRE1: | ||||||||
| Class A2, 4.18% 4/25/34 (d) | 1,945,674 | 1,945,630 | ||||||
| Class M3, 4.48% 4/25/34 (d) | 5,885,000 | 5,884,847 | ||||||
| Discover Card Master Trust I Series 2003-4 Class B1, | ||||||||
| 4.0981% 5/16/11 (d) | 8,155,000 | 8,200,894 | ||||||
| Fannie Mae guaranteed REMIC pass thru certificates Series | ||||||||
| 2004-T5 Class AB3, 4.222% 5/28/35 (d) | 5,382,969 | 5,384,840 | ||||||
| Fieldstone Mortgage Investment Corp.: | ||||||||
| Series 2003-1: | ||||||||
| Class M1, 4.51% 11/25/33 (d) | 1,300,000 | 1,311,510 | ||||||
| Class M2, 5.58% 11/25/33 (d) | 700,000 | 718,059 | ||||||
| Series 2004-1 Class M2, 4.93% 1/25/35 (d) | 3,700,000 | 3,743,249 | ||||||
| Series 2004-2 Class M2, 4.98% 7/25/34 (d) | 9,890,000 | 9,889,746 | ||||||
| Series 2004-3 Class M5, 5.28% 8/25/34 (d) | 2,000,000 | 2,035,525 | ||||||
| Series 2005-2 Class 2A1, 3.95% 7/25/36 (d) | 16,387,547 | 16,385,833 | ||||||
Annual Report A 116
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| First Franklin Mortgage Loan Asset Backed Certificates: | ||||||||
| Series 2005-FF2 Class A2A, 3.92% 3/25/35 (d) | $ 6,441,811 | $ 6,442,575 | ||||||
| Series 2005-FF2 Class M6, 4.53% 3/25/35 (d) | 6,950,000 | 6,966,453 | ||||||
| First Franklin Mortgage Loan Trust Series 2004-FF2: | ||||||||
| Class M3, 4.38% 3/25/34 (d) | 400,000 | 400,662 | ||||||
| Class M4, 4.73% 3/25/34 (d) | 300,000 | 302,870 | ||||||
| First USA Credit Card Master Trust Series 2001-4 Class B, | ||||||||
| 4.1281% 1/12/09 (d) | 15,000,000 | 15,017,273 | ||||||
| First USA Secured Note Trust Series 2001-3 Class C, | ||||||||
| 4.8394% 11/19/08 (a)(d) | 11,580,000 | 11,661,421 | ||||||
| Ford Credit Auto Owner Trust Series 2003-B Class B2, | ||||||||
| 4.1981% 10/15/07 (d) | 19,600,000 | 19,672,465 | ||||||
| Ford Credit Floorplan Master Owner Trust Series 2005 1: | ||||||||
| Class A, 3.9181% 5/17/10 (d) | 9,590,000 | 9,586,223 | ||||||
| Class B, 4.2081% 5/17/10 (d) | 2,625,000 | 2,623,968 | ||||||
| Fremont Home Loan Trust: | ||||||||
| Series 2004-1: | ||||||||
| Class 1A1, 4.05% 2/25/34 (d) | 2,196,026 | 2,197,373 | ||||||
| Class M1, 4.28% 2/25/34 (d) | 750,000 | 750,227 | ||||||
| Class M2, 4.33% 2/25/34 (d) | 800,000 | 800,745 | ||||||
| Series 2004-C Class 2A2, 4.38% 8/25/34 (d) | 10,000,000 | 10,060,514 | ||||||
| Series 2004-D Class 3A2, 4.11% 11/25/34 (d) | 2,153,210 | 2,158,681 | ||||||
| Series 2005-2 Class 2A1, 3.94% 6/25/35 (d) | 14,216,532 | 14,212,883 | ||||||
| Series 2005 A: | ||||||||
| Class 2A2, 4.07% 2/25/35 (d) | 11,850,000 | 11,862,896 | ||||||
| Class M1, 4.26% 1/25/35 (d) | 1,603,000 | 1,608,402 | ||||||
| Class M2, 4.29% 1/25/35 (d) | 2,325,000 | 2,326,557 | ||||||
| Class M3, 4.32% 1/25/35 (d) | 1,250,000 | 1,252,900 | ||||||
| Class M4, 4.51% 1/25/35 (d) | 925,000 | 931,377 | ||||||
| GE Business Loan Trust Series 2003-1 Class A, 4.1981% | ||||||||
| 4/15/31 (a)(d) | 5,238,178 | 5,267,176 | ||||||
| GE Capital Credit Card Master Note Trust Series 2005-2 | ||||||||
| Class B, 3.9681% 6/15/11 (d) | 6,475,000 | 6,474,059 | ||||||
| Gracechurch Card Funding No. 9 PLC Series 2005-2: | ||||||||
| Class B, 3.9818% 9/15/10 (d) | 3,560,000 | 3,560,000 | ||||||
| Class C, 4.1418% 9/15/10 (d) | 13,000,000 | 13,000,000 | ||||||
| Gracechurch Card Funding PLC: | ||||||||
| Series 5: | ||||||||
| Class B, 3.9981% 8/15/08 (d) | 1,520,000 | 1,520,806 | ||||||
| Class C, 4.6981% 8/15/08 (d) | 5,580,000 | 5,600,379 | ||||||
| Series 6 Class B, 3.9581% 2/17/09 (d) | 1,030,000 | 1,030,878 | ||||||
| Series 8 Class C, 4.0981% 6/15/10 (d) | 18,450,000 | 18,485,634 |
| A 117 |
| Annual Report |
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| GSAMP Trust: | ||||||||
| Series 2002-HE Class M1, 5.0463% 11/20/32 (d) | $ 2,882,888 | $ 2,926,670 | ||||||
| Series 2002-NC1: | ||||||||
| Class A2, 4.15% 7/25/32 (d) | 54,777 | 55,120 | ||||||
| Class M1, 4.47% 7/25/32 (d) | 8,861,000 | 8,942,540 | ||||||
| Series 2003-FM1 Class M1, 4.6163% 3/20/33 (d) | 15,000,000 | 15,157,449 | ||||||
| Series 2004-FM1: | ||||||||
| Class M1, 4.48% 11/25/33 (d) | 2,865,000 | 2,864,925 | ||||||
| Class M2, 5.23% 11/25/33 (d) | 1,975,000 | 2,008,385 | ||||||
| Series 2004-FM2: | ||||||||
| Class M1, 4.33% 1/25/34 (d) | 3,500,000 | 3,499,910 | ||||||
| Class M2, 4.93% 1/25/34 (d) | 1,500,000 | 1,499,961 | ||||||
| Class M3, 5.13% 1/25/34 (d) | 1,500,000 | 1,499,961 | ||||||
| Series 2004-HE1: | ||||||||
| Class M1, 4.38% 5/25/34 (d) | 4,045,000 | 4,044,896 | ||||||
| Class M2, 4.98% 5/25/34 (d) | 1,750,000 | 1,765,219 | ||||||
| Series 2005-9 Class 2A1, 3.95% 8/25/35 (d) | 16,206,183 | 16,206,183 | ||||||
| Series 2005-FF2 Class M5, 4.46% 3/25/35 (d) | 3,500,000 | 3,506,922 | ||||||
| Series 2005-HE2 Class M, 4.26% 3/25/35 (d) | 8,780,000 | 8,776,221 | ||||||
| Series 2005-NC1 Class M1, 4.28% 2/25/35 (d) | 9,010,000 | 9,013,305 | ||||||
| Guggenheim Structured Real Estate Funding Ltd. | ||||||||
| Series 2005-1 Class C, 4.91% 5/25/30 (a)(d) | 14,000,000 | 13,987,145 | ||||||
| HSBC Home Equity Loan Trust Series 2005-2: | ||||||||
| Class M1, 4.2563% 1/20/35 (d) | 2,914,233 | 2,914,529 | ||||||
| Class M2, 4.2863% 1/20/35 (d) | 2,182,286 | 2,182,488 | ||||||
| Home Equity Asset Trust: | ||||||||
| Series 2002-2 Class M1, 4.63% 6/25/32 (d) | 10,000,000 | 10,011,960 | ||||||
| Series 2002-3 Class A5, 4.27% 2/25/33 (d) | 2,763 | 2,767 | ||||||
| Series 2002-5: | ||||||||
| Class A3, 4.35% 5/25/33 (d) | 1,901,156 | 1,905,789 | ||||||
| Class M1, 5.03% 5/25/33 (d) | 13,800,000 | 13,948,517 | ||||||
| Series 2003-1: | ||||||||
| Class A2, 4.3% 6/25/33 (d) | 3,368,416 | 3,370,517 | ||||||
| Class M1, 4.83% 6/25/33 (d) | 8,335,000 | 8,371,945 | ||||||
| Series 2003-2: | ||||||||
| Class A2, 4.21% 8/25/33 (d) | 159,893 | 160,447 | ||||||
| Class M1, 4.71% 8/25/33 (d) | 2,245,000 | 2,271,910 | ||||||
| Series 2003-3: | ||||||||
| Class A2, 4.19% 8/25/33 (d) | 1,245,521 | 1,250,195 | ||||||
| Class M1, 4.69% 8/25/33 (d) | 8,185,000 | 8,277,490 | ||||||
| Series 2003-4: | ||||||||
| Class M1, 4.4413% 10/25/33 (d) | 3,415,000 | 3,437,752 | ||||||
Annual Report A 118
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Home Equity Asset Trust: – continued | ||||||||
| Series 2003-4: | ||||||||
| Class M2, 5.5413% 10/25/33 (d) | $ 4,040,000 | $ 4,087,070 | ||||||
| Series 2003-5: | ||||||||
| Class A2, 4.18% 12/25/33 (d) | 3,793,784 | 3,806,470 | ||||||
| Class M1, 4.53% 12/25/33 (d) | 3,175,000 | 3,197,905 | ||||||
| Class M2, 5.56% 12/25/33 (d) | 1,345,000 | 1,376,130 | ||||||
| Series 2003-7 Class A2, 4.21% 3/25/34 (d) | 2,866,529 | 2,872,858 | ||||||
| Series 2004-2 Class A2, 4.12% 7/25/34 (d) | 5,111,457 | 5,111,384 | ||||||
| Series 2004-3: | ||||||||
| Class M1, 4.4% 8/25/34 (d) | 2,015,000 | 2,023,738 | ||||||
| Class M2, 5.03% 8/25/34 (d) | 2,200,000 | 2,239,606 | ||||||
| Series 2004-4 Class A2, 4.15% 10/25/34 (d) | 7,288,824 | 7,313,693 | ||||||
| Series 2004-6 Class A2, 4.18% 12/25/34 (d) | 8,069,368 | 8,094,037 | ||||||
| Series 2004-7 Class A3, 4.22% 1/25/35 (d) | 2,551,011 | 2,562,040 | ||||||
| Series 2005-1: | ||||||||
| Class M1, 4.26% 5/25/35 (d) | 9,705,000 | 9,708,301 | ||||||
| Class M2, 4.28% 5/25/35 (d) | 5,780,000 | 5,775,826 | ||||||
| Class M3, 4.33% 5/25/35 (d) | 5,825,000 | 5,820,912 | ||||||
| Series 2005-2: | ||||||||
| Class 2A2, 4.03% 7/25/35 (d) | 13,170,000 | 13,169,687 | ||||||
| Class M1, 4.28% 7/25/35 (d) | 10,085,000 | 10,084,736 | ||||||
| Series 2005-3 Class M1, 4.24% 8/25/35 (d) | 9,450,000 | 9,442,313 | ||||||
| Series 2005-5 Class 2A2, 4.08% 11/25/35 (d) | 15,000,000 | 15,024,030 | ||||||
| Household Affinity Credit Card Master Note Trust I | ||||||||
| Series 2003-3 Class B, 4.0581% 8/15/08 (d) | 10,000,000 | 10,012,255 | ||||||
| Household Credit Card Master Trust I Series 2002-1 Class B, | ||||||||
| 4.4181% 7/15/08 (d) | 22,589,000 | 22,592,725 | ||||||
| Household Home Equity Loan Trust: | ||||||||
| Series 2002-2 Class A, 4.0963% 4/20/32 (d) | 3,046,635 | 3,047,537 | ||||||
| Series 2002-3 Class A, 4.2463% 7/20/32 (d) | 2,468,824 | 2,470,761 | ||||||
| Series 2003-1 Class M, 4.4263% 10/20/32 (d) | 686,032 | 686,682 | ||||||
| Series 2003-2: | ||||||||
| Class A, 4.1263% 9/20/33 (d) | 2,534,598 | 2,539,076 | ||||||
| Class M, 4.3763% 9/20/33 (d) | 1,191,893 | 1,194,376 | ||||||
| Series 2004-1 Class M, 4.3163% 9/20/33 (d) | 2,389,256 | 2,393,972 | ||||||
| Household Mortgage Loan Trust: | ||||||||
| Series 2003-HC1 Class M, 4.4463% 2/20/33 (d) | 1,500,530 | 1,505,086 | ||||||
| Series 2004-HC1: | ||||||||
| Class A, 4.1463% 2/20/34 (d) | 4,182,768 | 4,193,747 | ||||||
| Class M, 4.2963% 2/20/34 (d) | 2,528,917 | 2,530,110 | ||||||
| Household Private Label Credit Card Master Note Trust I: | ||||||||
| Series 2002-1 Class B, 4.3181% 1/18/11 (d) | 8,850,000 | 8,865,532 |
A 119 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Household Private Label Credit Card Master Note Trust I: – | ||||||||
| continued | ||||||||
| Series 2002-2: | ||||||||
| Class A, 3.9381% 1/18/11 (d) | $ 9,000,000 | $ 9,010,691 | ||||||
| Class B, 4.3181% 1/18/11 (d) | 14,275,000 | 14,347,032 | ||||||
| Series 2002-3 Class B, 5.0181% 9/15/09 (d) | 4,150,000 | 4,153,962 | ||||||
| Ikon Receivables Funding LLC Series 2003-1 Class A3A, | ||||||||
| 4.0081% 12/17/07 (d) | 2,012,271 | 2,012,612 | ||||||
| IXIS Real Estate Capital Trust Series 2005-HE1: | ||||||||
| Class A1, 4.08% 6/25/35 (d) | 10,270,940 | 10,270,696 | ||||||
| Class M1, 4.3% 6/25/35 (d) | 4,100,000 | 4,098,296 | ||||||
| Class M2, 4.32% 6/25/35 (d) | 2,775,000 | 2,773,872 | ||||||
| Class M3, 4.35% 6/25/35 (d) | 1,975,000 | 1,977,174 | ||||||
| Keycorp Student Loan Trust Series 1999-A Class A2, 4.34% | ||||||||
| 12/27/09 (d) | 14,973,894 | 15,030,475 | ||||||
| Long Beach Mortgage Loan Trust: | ||||||||
| Series 2003-2: | ||||||||
| Class AV, 4.15% 6/25/33 (d) | 124,347 | 124,374 | ||||||
| Class M1, 4.65% 6/25/33 (d) | 19,500,000 | 19,585,995 | ||||||
| Series 2003-3 Class M1, 4.3913% 7/25/33 (d) | 7,770,000 | 7,819,867 | ||||||
| Series 2004-2: | ||||||||
| Class M1, 4.36% 6/25/34 (d) | 4,275,000 | 4,284,930 | ||||||
| Class M2, 4.91% 6/25/34 (d) | 1,400,000 | 1,415,675 | ||||||
| Series 2005-2 Class 2A2, 4.01% 4/25/35 (d) | 12,000,000 | 12,003,775 | ||||||
| MASTR Asset Backed Securities Trust: | ||||||||
| Series 2003-NC1: | ||||||||
| Class M1, 4.56% 4/25/33 (d) | 3,500,000 | 3,520,473 | ||||||
| Class M2, 5.68% 4/25/33 (d) | 1,500,000 | 1,531,476 | ||||||
| Series 2004-FRE1 Class M1, 4.38% 7/25/34 (d) | 5,223,000 | 5,243,096 | ||||||
| MBNA Asset Backed Note Trust Series 2000-K Class C, | ||||||||
| 4.5681% 3/17/08 (a)(d) | 7,250,000 | 7,251,305 | ||||||
| MBNA Credit Card Master Note Trust: | ||||||||
| Series 2001-B1 Class B1, 4.1431% 10/15/08 (d) | 30,000,000 | 30,032,436 | ||||||
| Series 2001-B2 Class B2, 4.1281% 1/15/09 (d) | 30,353,000 | 30,408,661 | ||||||
| Series 2002-B2 Class B2, 4.1481% 10/15/09 (d) | 20,000,000 | 20,080,518 | ||||||
| Series 2002-B4 Class B4, 4.2681% 3/15/10 (d) | 14,800,000 | 14,906,795 | ||||||
| Series 2003-B2 Class B2, 4.1581% 10/15/10 (d) | 1,530,000 | 1,544,849 | ||||||
| Series 2003-B3 Class B3, 4.1431% 1/18/11 (d) | 1,130,000 | 1,136,193 | ||||||
| Series 2003-B5 Class B5, 4.1381% 2/15/11 (d) | 705,000 | 710,072 | ||||||
| MBNA Master Credit Card Trust II: | ||||||||
| Series 1998-E Class B, 3.9288% 9/15/10 (d) | 7,800,000 | 7,843,689 | ||||||
| Series 1998-G Class B, 4.1681% 2/17/09 (d) | 20,000,000 | 20,034,530 | ||||||
Annual Report A 120
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Meritage Mortgage Loan Trust Series 2004-1: | ||||||||
| Class M1, 4.33% 7/25/34 (d) | $ 2,125,000 | $ 2,124,946 | ||||||
| Class M2, 4.38% 7/25/34 (d) | 375,000 | 374,991 | ||||||
| Class M3, 4.78% 7/25/34 (d) | 775,000 | 774,980 | ||||||
| Class M4, 4.93% 7/25/34 (d) | 525,000 | 524,987 | ||||||
| Merrill Lynch Mortgage Investors, Inc. Series 2003-HE1 Class | ||||||||
| M1, 4.53% 7/25/34 (d) | 2,321,000 | 2,334,630 | ||||||
| Morgan Stanley ABS Capital I, Inc.: | ||||||||
| Series 2002-NC6 Class M2, 5.93% 11/25/32 (d) | 2,370,000 | 2,430,872 | ||||||
| Series 2003-NC5 Class M2, 5.83% 4/25/33 (d) | 2,800,000 | 2,827,761 | ||||||
| Series 2003-NC6 Class M2, 5.5913% 6/27/33 (d) | 12,835,000 | 13,193,861 | ||||||
| Series 2003-NC7 Class M1, 4.53% 6/25/33 (d) | 1,785,000 | 1,790,756 | ||||||
| Series 2003-NC8 Class M1, 4.53% 9/25/33 (d) | 2,350,000 | 2,380,069 | ||||||
| Series 2004-HE6 Class A2, 4.17% 8/25/34 (d) | 6,065,683 | 6,084,818 | ||||||
| Series 2004-NC2 Class M1, 4.38% 12/25/33 (d) | 2,595,000 | 2,604,510 | ||||||
| Series 2004-NC6 Class A2, 4.17% 7/25/34 (d) | 2,716,074 | 2,721,759 | ||||||
| Series 2005-1: | ||||||||
| Class M2, 4.3% 12/25/34 (d) | 4,425,000 | 4,429,882 | ||||||
| Class M3, 4.35% 12/25/34 (d) | 4,000,000 | 4,007,356 | ||||||
| Series 2005-HE1: | ||||||||
| Class A3B, 4.05% 12/25/34 (d) | 3,885,000 | 3,889,760 | ||||||
| Class M1, 4.28% 12/25/34 (d) | 1,100,000 | 1,103,379 | ||||||
| Class M2, 4.3% 12/25/34 (d) | 2,970,000 | 2,974,441 | ||||||
| Series 2005-HE2: | ||||||||
| Class M1, 4.23% 1/25/35 (d) | 2,665,000 | 2,673,338 | ||||||
| Class M2, 4.27% 1/25/35 (d) | 1,900,000 | 1,899,216 | ||||||
| Series 2005-NC1: | ||||||||
| Class M1, 4.27% 1/25/35 (d) | 2,425,000 | 2,434,295 | ||||||
| Class M2, 4.3% 1/25/35 (d) | 2,425,000 | 2,427,680 | ||||||
| Class M3, 4.34% 1/25/35 (d) | 2,425,000 | 2,431,267 | ||||||
| Morgan Stanley Dean Witter Capital I Trust: | ||||||||
| Series 2001-AM1: | ||||||||
| Class M1, 4.68% 2/25/32 (d) | 1,510,288 | 1,511,306 | ||||||
| Class M2, 5.23% 2/25/32 (d) | 5,305,979 | 5,312,043 | ||||||
| Series 2001-NC4 Class M1, 4.83% 1/25/32 (d) | 3,827,881 | 3,838,780 | ||||||
| Series 2002-AM3 Class A3, 4.32% 2/25/33 (d) | 992,554 | 995,836 | ||||||
| Series 2002-HE1 Class M1, 4.43% 7/25/32 (d) | 5,860,000 | 5,893,166 | ||||||
| Series 2002-HE2 Class M1, 4.53% 8/25/32 (d) | 9,925,000 | 9,964,301 | ||||||
| Series 2002-NC3 Class A3, 4.17% 8/25/32 (d) | 147,864 | 148,113 | ||||||
| Series 2002-OP1 Class M1, 4.58% 9/25/32 (d) | 3,894,745 | 3,907,257 | ||||||
| Series 2003-NC1: | ||||||||
| Class M1, 4.88% 11/25/32 (d) | 2,391,382 | 2,406,740 | ||||||
| Class M2, 5.88% 11/25/32 (d) | 1,880,000 | 1,897,592 |
A 121 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| New Century Home Equity Loan Trust: | ||||||||
| Series 2003-2 Class M2, 5.83% 1/25/33 (d) | $ 4,600,000 | $ 4,665,213 | ||||||
| Series 2003-6 Class M1, 4.55% 1/25/34 (d) | 5,180,000 | 5,212,663 | ||||||
| Series 2005-1: | ||||||||
| Class M1, 4.28% 3/25/35 (d) | 4,395,000 | 4,396,544 | ||||||
| Class M2, 4.31% 3/25/35 (d) | 4,395,000 | 4,396,491 | ||||||
| Class M3, 4.35% 3/25/35 (d) | 2,120,000 | 2,126,029 | ||||||
| Nissan Auto Lease Trust: | ||||||||
| Series 2003-A Class A3A, 3.9081% 6/15/09 (d) | 11,639,609 | 11,648,579 | ||||||
| Series 2004-A Class A4A, 3.8381% 6/15/10 (d) | 10,570,000 | 10,581,156 | ||||||
| NovaStar Home Equity Loan Series 2004-1: | ||||||||
| Class M1, 4.28% 6/25/34 (d) | 1,450,000 | 1,451,161 | ||||||
| Class M4, 4.805% 6/25/34 (d) | 2,435,000 | 2,444,337 | ||||||
| Ocala Funding LLC Series 2005-1A Class A, 5.2963% | ||||||||
| 3/20/10 (a)(d) | 3,675,000 | 3,675,000 | ||||||
| Ownit Mortgage Loan Asset-Backed Certificates Series | ||||||||
| 2005 3 Class A2A, 3.95% 6/25/36 (d) | 14,975,059 | 14,974,727 | ||||||
| Park Place Securities, Inc.: | ||||||||
| Series 2004-WCW1: | ||||||||
| Class M1, 4.46% 9/25/34 (d) | 3,745,000 | 3,767,310 | ||||||
| Class M2, 4.51% 9/25/34 (d) | 1,755,000 | 1,767,858 | ||||||
| Class M3, 5.08% 9/25/34 (d) | 3,355,000 | 3,402,867 | ||||||
| Class M4, 5.28% 9/25/34 (d) | 4,700,000 | 4,776,320 | ||||||
| Series 2004-WCW2 Class A2, 4.21% 10/25/34 (d) | 6,455,574 | 6,471,464 | ||||||
| Series 2005-WCH1: | ||||||||
| Class A3B, 4.05% 1/25/35 (d) | 2,775,000 | 2,780,119 | ||||||
| Class M2, 4.35% 1/25/35 (d) | 4,175,000 | 4,178,114 | ||||||
| Class M3, 4.39% 1/25/35 (d) | 3,290,000 | 3,299,846 | ||||||
| Class M5, 4.71% 1/25/35 (d) | 3,095,000 | 3,111,984 | ||||||
| Series 2005-WHQ2 Class M7, 5.08% 5/25/35 (d) | 5,950,000 | 5,961,145 | ||||||
| People’s Choice Home Loan Securities Trust Series 2005 2: | ||||||||
| Class A1, 3.94% 9/25/24 (d) | 5,833,593 | 5,834,512 | ||||||
| Class M4, 4.46% 5/25/35 (d) | 6,000,000 | 6,025,129 | ||||||
| Providian Gateway Master Trust Series 2002-B Class A, | ||||||||
| 4.4681% 6/15/09 (a)(d) | 15,000,000 | 15,021,564 | ||||||
| Residental Asset Securities Corp.: | ||||||||
| Series 2005-KS4 Class M2, 4.41% 5/25/35 (d) | 1,040,000 | 1,044,543 | ||||||
| Series 2005-KS7 Class A1, 3.93% 8/25/35 (d) | 10,017,807 | 10,017,586 | ||||||
| Residential Asset Mortgage Products, Inc. Series 2004-RS10 | ||||||||
| Class MII2, 5.08% 10/25/34 (d) | 5,500,000 | 5,587,075 | ||||||
| Salomon Brothers Mortgage Securities VII, Inc. Series | ||||||||
| 2003-HE1 Class A, 4.23% 4/25/33 (d) | 632,314 | 635,086 | ||||||
| Annual Report |
| A 122 |
| Asset Backed Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Saxon Asset Securities Trust: | ||||||
| Series 2004-1 Class M1, 4.36% 3/25/35 (d) | $ 4,415,000 | $ 4,418,970 | ||||
| Series 2004-2 Class MV1, 4.41% 8/25/35 (d) | 4,495,000 | 4,507,503 | ||||
| Sears Credit Account Master Trust II: | ||||||
| Series 2001-1 Class B, 4.1931% 2/15/10 (d) | 10,000,000 | 9,990,039 | ||||
| Series 2002-5 Class B, 5.0181% 11/17/09 (d) | 30,000,000 | 30,025,965 | ||||
| Securitized Asset Backed Receivables LLC Trust | ||||||
| Series 2004-NC1 Class M1, 4.35% 2/25/34 (d) | 2,910,000 | 2,912,781 | ||||
| Specialty Underwriting & Residential Finance | ||||||
| Series 2003-BC4 Class M1, 4.43% 11/25/34 (d) | 1,810,000 | 1,819,343 | ||||
| Structured Asset Securities Corp. Series 2004-GEL1 Class A, | ||||||
| 4.19% 2/25/34 (d) | 901,062 | 901,041 | ||||
| Superior Wholesale Inventory Financing Trust VII Series | ||||||
| 2003-A8 Class CTFS, 4.2181% 3/15/11 (a)(d) | 10,835,000 | 10,826,536 | ||||
| Superior Wholesale Inventory Financing Trust XII Series | ||||||
| 2005-A12 Class C, 4.9681% 6/15/10 (d) | 6,840,000 | 6,849,450 | ||||
| Terwin Mortgage Trust: | ||||||
| Series 2003-4HE Class A1, 4.26% 9/25/34 (d) | 2,051,939 | 2,062,554 | ||||
| Series 2003-6HE Class A1, 4.3% 11/25/33 (d) | 1,467,936 | 1,471,055 | ||||
| Series 2005-14HE Class AF1, 3.9753% 8/25/36 (d) | 8,635,000 | 8,634,326 | ||||
| Series 2005-8HE Class A1, 3.95% 7/25/35 (a)(d) | 6,932,173 | 6,938,671 | ||||
| TOTAL ASSET BACKED SECURITIES | ||||||
| (Cost $2,188,022,238) | 2,194,887,925 | |||||
| Collateralized Mortgage Obligations 20.2% | ||||||
| Private Sponsor – 13.8% | ||||||
| Adjustable Rate Mortgage Trust floater: | ||||||
| Series 2004-2 Class 7A3, 4.23% 2/25/35 (d) | 8,271,247 | 8,288,629 | ||||
| Series 2004-4 Class 5A2, 4.23% 3/25/35 (d) | 3,344,187 | 3,351,688 | ||||
| Series 2005-1 Class 5A2, 4.16% 5/25/35 (d) | 5,517,368 | 5,520,788 | ||||
| Series 2005-10 Class 5A1, 4.101% 1/25/36 (d) | 15,000,000 | 15,000,000 | ||||
| Series 2005-2: | ||||||
| Class 6A2, 4.11% 6/25/35 (d) | 2,499,864 | 2,501,436 | ||||
| Class 6M2, 4.31% 6/25/35 (d) | 10,145,000 | 10,144,980 | ||||
| Series 2005-3 Class 8A2, 4.07% 7/25/35 (d) | 16,519,250 | 16,529,773 | ||||
| Series 2005-4 Class 7A2, 4.06% 8/25/35 (d) | 8,125,015 | 8,130,280 | ||||
| Series 2005-8 Class 7A2, 4.11% 11/25/35 (d) | 7,166,967 | 7,168,085 | ||||
| American Home Mortgage Investment Trust Series 2005-4 | ||||||
| Class 1A1, 4.18% 11/25/45 (d) | 11,080,000 | 11,080,000 | ||||
| Bear Stearns Adjustable Rate Mortgage Trust Series 2005-6 | ||||||
| Class 1A1, 5.17% 8/25/35 (d) | 17,862,312 | 17,866,889 | ||||
A 123 Annual Report
| Investments (Unaudited) continued | ||||||
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Bear Stearns Alt-A Trust floater: | ||||||
| Series 2005-1 Class A1, 4.11% 1/25/35 (d) | $ 18,993,594 | $ 19,005,465 | ||||
| Series 2005-2 Class 1A1, 4.08% 3/25/35 (d) | 13,521,981 | 13,515,643 | ||||
| Series 2005-5 Class 1A1, 4.05% 7/25/35 (d) | 17,169,385 | 17,155,972 | ||||
| Countrywide Alternative Loan Trust planned amortization | ||||||
| class Series 2003-5T2 Class A2, 4.23% 5/25/33 (d) | 5,006,668 | 5,009,604 | ||||
| CS First Boston Mortgage Securities Corp. floater: | ||||||
| Series 2004-AR2 Class 6A1, 4.23% 3/25/34 (d) | 4,681,479 | 4,678,694 | ||||
| Series 2004-AR3 Class 6A2, 4.2% 4/25/34 (d) | 1,948,417 | 1,950,279 | ||||
| Series 2004-AR4 Class 5A2, 4.2% 5/25/34 (d) | 1,821,930 | 1,820,850 | ||||
| Series 2004-AR5 Class 11A2, 4.2% 6/25/34 (d) | 2,698,314 | 2,692,965 | ||||
| Series 2004-AR6 Class 9A2, 4.2% 10/25/34 (d) | 3,422,844 | 3,424,695 | ||||
| Series 2004-AR7 Class 6A2, 4.21% 8/25/34 (d) | 4,894,739 | 4,898,151 | ||||
| Series 2004-AR8 Class 8A2, 4.21% 9/25/34 (d) | 3,798,541 | 3,805,156 | ||||
| CWALT, Inc. floater Series 2005-56 Class 3A1, 4.2494% | ||||||
| 10/25/35 (d) | 8,490,000 | 8,490,000 | ||||
| First Horizon Mortgage pass thru Trust floater Series | ||||||
| 2004-FL1 Class 2A1, 4.39% 12/25/34 (d) | 3,472,618 | 3,467,751 | ||||
| Granite Master Issuer PLC: | ||||||
| floater: | ||||||
| Series 2005-1: | ||||||
| Class A3, 3.97% 12/21/24 (d) | 5,300,000 | 5,299,172 | ||||
| Class B1, 4.02% 12/20/54 (d) | 7,050,000 | 7,047,797 | ||||
| Class M1, 4.12% 12/20/54 (d) | 5,300,000 | 5,298,344 | ||||
| Series 2005-2 Class C1, 4.39% 12/20/54 (d) | 7,975,000 | 7,972,508 | ||||
| Series 2005-4 Class M2, 4.305% 12/20/54 (d) | 6,500,000 | 6,498,731 | ||||
| Series 2005-4 Class C1, 4.455% 12/20/54 (d) | 6,800,000 | 6,798,672 | ||||
| Granite Mortgages PLC floater: | ||||||
| Series 2004-1: | ||||||
| Class 1B, 4.1% 3/20/44 (d) | 1,415,000 | 1,415,442 | ||||
| Class 1C, 4.79% 3/20/44 (d) | 4,075,000 | 4,089,008 | ||||
| Class 1M, 4.3% 3/20/44 (d) | 4,935,000 | 4,939,627 | ||||
| Series 2004-2: | ||||||
| Class 1A2, 3.96% 6/20/28 (d) | 4,162,145 | 4,162,145 | ||||
| Class 1B, 4.06% 6/20/44 (d) | 786,966 | 787,059 | ||||
| Class 1C, 4.59% 6/20/44 (d) | 2,865,029 | 2,869,506 | ||||
| Class 1M, 4.17% 6/20/44 (d) | 2,104,798 | 2,104,240 | ||||
| Series 2004-3: | ||||||
| Class 1B, 4.05% 9/20/44 (d) | 2,100,000 | 2,100,042 | ||||
| Class 1C, 4.48% 9/20/44 (d) | 5,415,000 | 5,424,314 | ||||
| Class 1M, 4.16% 9/20/44 (d) | 1,200,000 | 1,200,228 | ||||
Annual Report A 124
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Harborview Mortgage Loan Trust floater Series 2005-2 | ||||||
| Class 2A1A, 4.0094% 5/19/35 (d) | $ 11,231,269 | $ 11,199,681 | ||||
| Holmes Financing No. 7 PLC floater Series 2 Class M, | ||||||
| 4.3988% 7/15/40 (d) | 2,560,000 | 2,563,183 | ||||
| Holmes Financing No. 8 PLC floater Series 2: | ||||||
| Class A, 3.6788% 4/15/11 (d) | 25,000,000 | 25,002,930 | ||||
| Class B, 3.7688% 7/15/40 (d) | 2,695,000 | 2,696,264 | ||||
| Class C, 4.3188% 7/15/40 (d) | 10,280,000 | 10,318,550 | ||||
| Home Equity Asset Trust floater Series 2005-3 Class 2A1, | ||||||
| 3.92% 8/25/35 (d) | 5,995,565 | 5,996,642 | ||||
| Homestar Mortgage Acceptance Corp. floater Series 2004-5 | ||||||
| Class A1, 4.28% 10/25/34 (d) | 4,056,783 | 4,068,310 | ||||
| Impac CMB Trust: | ||||||
| floater: | ||||||
| Series 2004-11 Class 2A2, 4.2% 3/25/35 (d) | 7,904,651 | 7,903,107 | ||||
| Series 2004-6 Class 1A2, 4.22% 10/25/34 (d) | 3,065,340 | 3,070,216 | ||||
| Series 2005-1: | ||||||
| Class M1, 4.29% 4/25/35 (d) | 3,028,498 | 3,026,014 | ||||
| Class M2, 4.33% 4/25/35 (d) | 5,302,005 | 5,298,691 | ||||
| Class M3, 4.36% 4/25/35 (d) | 1,300,974 | 1,299,907 | ||||
| Class M4, 4.58% 4/25/35 (d) | 767,788 | 768,718 | ||||
| Class M5, 4.6% 4/25/35 (d) | 767,788 | 767,788 | ||||
| Class M6, 4.65% 4/25/35 (d) | 1,228,460 | 1,228,460 | ||||
| Series 2005-2 Class 1A2, 4.14% 4/25/35 (d) | 12,453,621 | 12,443,892 | ||||
| Series 2005-3 Class A1, 4.07% 8/25/35 (d) | 14,447,985 | 14,423,717 | ||||
| Series 2005-4 Class 1B1, 5.13% 5/25/35 (d) | 4,978,738 | 4,972,515 | ||||
| Series 2005-6 Class 1M3, 4.44% 10/25/35 (d) | 3,323,541 | 3,323,557 | ||||
| Series 2005-7: | ||||||
| Class M1, 4.208% 11/25/35 (d) | 1,765,000 | 1,765,000 | ||||
| Class M2, 4.248% 11/25/35 (d) | 1,325,000 | 1,325,000 | ||||
| Class M3, 4.348% 11/25/35 (d) | 6,615,000 | 6,615,000 | ||||
| Lehman Structured Securities Corp. floater Series 2005-1 | ||||||
| Class A2, 4.22% 9/26/45 (a)(d) | 15,180,141 | 15,180,141 | ||||
| MASTR Adjustable Rate Mortgages Trust: | ||||||
| floater Series 2005-1 Class 1A1, 4.1% 3/25/35 (d) | 11,034,855 | 11,047,023 | ||||
| Series 2004-6 Class 4A2, 4.1657% 7/25/34 (d) | 5,969,000 | 5,946,443 | ||||
| Merrill Lynch Mortgage Investors, Inc. floater: | ||||||
| Series 2003-A Class 2A1, 4.22% 3/25/28 (d) | 7,093,116 | 7,130,471 | ||||
| Series 2003-B Class A1, 4.17% 4/25/28 (d) | 7,213,924 | 7,254,849 | ||||
| Series 2003-D Class A, 4.14% 8/25/28 (d) | 6,608,802 | 6,619,465 | ||||
| Series 2003-E Class A2, 4.3831% 10/25/28 (d) | 9,116,686 | 9,126,651 | ||||
| Series 2003-F Class A2, 4.43% 10/25/28 (d) | 11,828,156 | 11,835,544 | ||||
A 125 Annual Report
| Investments (Unaudited) continued | ||||||
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Merrill Lynch Mortgage Investors, Inc. floater: - continued | ||||||
| Series 2004-A Class A2, 4.34% 4/25/29 (d) | $ 10,025,427 | $ 10,017,623 | ||||
| Series 2004-B Class A2, 3.79% 6/25/29 (d) | 7,905,839 | 7,888,355 | ||||
| Series 2004-C Class A2, 3.95% 7/25/29 (d) | 11,598,172 | 11,567,548 | ||||
| Series 2004-D Class A2, 4.4131% 9/25/29 (d) | 8,519,942 | 8,524,812 | ||||
| Series 2004-E: | ||||||
| Class A2B, 4.45% 11/25/29 (d) | 7,561,387 | 7,550,087 | ||||
| Class A2D, 4.64% 11/25/29 (d) | 1,758,462 | 1,766,187 | ||||
| Series 2004-G Class A2, 3.95% 11/25/29 (d) | 3,530,484 | 3,529,545 | ||||
| Series 2005-A Class A2, 4.3031% 2/25/30 (d) | 9,875,800 | 9,882,274 | ||||
| Mortgage Asset Backed Securities Trust floater Series | ||||||
| 2002-NC1 Class M1, 4.68% 10/25/32 (d) | 3,128,220 | 3,140,706 | ||||
| MortgageIT Trust floater: | ||||||
| Series 2004-2: | ||||||
| Class A1, 4.2% 12/25/34 (d) | 4,638,420 | 4,648,806 | ||||
| Class A2, 4.28% 12/25/34 (d) | 6,275,019 | 6,320,305 | ||||
| Series 2005-2 Class 1A1, 4.1% 5/25/35 (d) | 4,811,489 | 4,814,744 | ||||
| Opteum Mortgage Acceptance Corp. floater Series 2005-3 | ||||||
| Class APT, 4.12% 7/25/35 (d) | 18,530,057 | 18,540,914 | ||||
| Permanent Financing No. 3 PLC floater Series 2 Class C, | ||||||
| 4.8838% 6/10/42 (d) | 4,845,000 | 4,893,450 | ||||
| Permanent Financing No. 4 PLC floater Series 2 Class C, | ||||||
| 4.5538% 6/10/42 (d) | 15,400,000 | 15,474,437 | ||||
| Permanent Financing No. 5 PLC floater: | ||||||
| Series 2 Class C, 4.4838% 6/10/42 (d) | 4,215,000 | 4,240,489 | ||||
| Series 3 Class C, 4.6538% 6/10/42 (d) | 8,890,000 | 8,998,425 | ||||
| Permanent Financing No. 6 PLC floater Series 6 Class 2C, | ||||||
| 4.2888% 6/10/42 (d) | 5,350,000 | 5,344,539 | ||||
| Permanent Financing No. 7 PLC floater Series 7: | ||||||
| Class 1B, 3.9238% 6/10/42 (d) | 2,000,000 | 1,999,747 | ||||
| Class 1C, 4.1138% 6/10/42 (d) | 3,840,000 | 3,849,303 | ||||
| Class 2C, 4.1638% 6/10/42 (d) | 8,065,000 | 8,047,042 | ||||
| Permanent Financing No. 8 PLC floater Series 8: | ||||||
| Class 1C, 4.1638% 6/10/42 (d) | 7,165,000 | 7,161,740 | ||||
| Class 2C, 4.2338% 6/10/42 (d) | 9,945,000 | 9,940,465 | ||||
| Residential Asset Mortgage Products, Inc.: | ||||||
| sequential pay Series 2003-SL1 Class 3A1, 7.125% | ||||||
| 4/25/31 | 4,284,316 | 4,353,251 | ||||
| Series 2005-AR5 Class 1A1, 4.903% 9/19/35 (d) | 5,016,521 | 5,020,936 | ||||
| Annual Report |
| A 126 |
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Residential Finance LP/Residential Finance Development | ||||||
| Corp. floater Series 2003-A: | ||||||
| Class B4, 5.5281% 3/10/35 (a)(d) | $ 5,475,801 | $ 5,557,938 | ||||
| Class B5, 6.0781% 3/10/35 (a)(d) | 5,666,940 | 5,791,014 | ||||
| Residential Funding Securities Corp.: | ||||||
| Series 2003-RP1 Class A1, 4.33% 11/25/34 (d) | 2,387,142 | 2,396,787 | ||||
| Series 2003-RP2 Class A1, 4.28% 6/25/33 (a)(d) | 3,567,765 | 3,579,472 | ||||
| Sequoia Mortgage Trust floater: | ||||||
| Series 2003-5 Class A2, 4.37% 9/20/33 (d) | 9,869,908 | 9,866,749 | ||||
| Series 2003-7 Class A2, 3.835% 1/20/34 (d) | 8,292,646 | 8,287,744 | ||||
| Series 2004-1 Class A, 4.15% 2/20/34 (d) | 5,352,427 | 5,344,162 | ||||
| Series 2004-10 Class A4, 3.6681% 11/20/34 (d) | 9,021,376 | 9,016,217 | ||||
| Series 2004-3 Class A, 3.5463% 5/20/34 (d) | 9,243,861 | 9,221,165 | ||||
| Series 2004-4 Class A, 3.5881% 5/20/34 (d) | 11,574,850 | 11,560,488 | ||||
| Series 2004-5 Class A3, 3.77% 6/20/34 (d) | 7,745,333 | 7,741,702 | ||||
| Series 2004-6: | ||||||
| Class A3A, 4.3175% 6/20/35 (d) | 6,761,373 | 6,757,088 | ||||
| Class A3B, 4.08% 7/20/34 (d) | 845,172 | 844,660 | ||||
| Series 2004-7: | ||||||
| Class A3A, 4.365% 8/20/34 (d) | 6,627,084 | 6,622,167 | ||||
| Class A3B, 4.59% 7/20/34 (d) | 1,192,509 | 1,195,319 | ||||
| Series 2004-8 Class A2, 4.41% 9/20/34 (d) | 11,824,016 | 11,827,689 | ||||
| Series 2005-1 Class A2, 4.1% 2/20/35 (d) | 6,778,467 | 6,773,241 | ||||
| Series 2005-2 Class A2, 4.29% 3/20/35 (d) | 11,841,861 | 11,841,861 | ||||
| Series 2005-3 Class A1, 3.9963% 5/20/35 (d) | 8,335,848 | 8,318,878 | ||||
| Structured Adjustable Rate Mortgage Loan Trust floater | ||||||
| Series 2001-14 Class A1, 4.14% 7/25/35 (d) | 10,719,814 | 10,719,814 | ||||
| Structured Asset Securities Corp. floater Series 2004-NP1 | ||||||
| Class A, 4.23% 9/25/33 (a)(d) | 2,217,986 | 2,219,280 | ||||
| Thornburg Mortgage Securities Trust floater: | ||||||
| Series 2004-3 Class A, 4.2% 9/25/34 (d) | 20,272,244 | 20,312,652 | ||||
| Series 2005-3 Class A4, 4.108% 8/25/45 (d) | 17,180,000 | 17,180,000 | ||||
| WAMU Mortgage pass thru certificates: | ||||||
| floater: | ||||||
| Series 2005-AR11 Class A1C1, 4.03% 8/25/45 (d) | 14,112,684 | 14,112,684 | ||||
| Series 2005 AR6 Class 2A 1A, 4.06% 4/25/45 (d) | 5,975,614 | 5,955,102 | ||||
| Series 2005-AR13 Class A1C1, 4.2275% 10/25/45 (d) | 23,000,000 | 23,000,000 | ||||
| A 127 |
| Annual Report |
| Investments (Unaudited) continued | ||||||
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Wells Fargo Mortgage Backed Securities Trust: | ||||||
| Series 2004-M Class A3, 4.6963% 8/25/34 (d) | $ 19,880,000 | $ 19,778,179 | ||||
| Series 2005-AR12 Class 2A1, 4.3223% 7/25/35 (d) | 29,218,529 | 28,883,740 | ||||
| TOTAL PRIVATE SPONSOR | 919,943,859 | |||||
| U.S. Government Agency 6.4% | ||||||
| Fannie Mae: | ||||||
| floater: | ||||||
| Series 2000-38 Class F, 4.2394% 11/18/30 (d) | 1,056,182 | 1,064,379 | ||||
| Series 2000-40 Class FA, 4.32% 7/25/30 (d) | 2,281,210 | 2,291,156 | ||||
| Series 2002-89 Class F, 4.13% 1/25/33 (d) | 3,350,148 | 3,355,218 | ||||
| target amortization class Series G94-2 Class D, 6.45% | ||||||
| 1/25/24 | 4,411,824 | 4,499,998 | ||||
| Fannie Mae guaranteed REMIC pass thru certificates: | ||||||
| floater: | ||||||
| Series 2001-34 Class FR, 4.1894% 8/18/31 (d) | 2,367,009 | 2,374,326 | ||||
| Series 2001-44 Class FB, 4.13% 9/25/31 (d) | 2,114,017 | 2,120,062 | ||||
| Series 2001-46 Class F, 4.1894% 9/18/31 (d) | 6,088,369 | 6,121,939 | ||||
| Series 2002-11 Class QF, 4.32% 3/25/32 (d) | 4,222,858 | 4,259,537 | ||||
| Series 2002-36 Class FT, 4.33% 6/25/32 (d) | 1,422,268 | 1,434,270 | ||||
| Series 2002-64 Class FE, 4.1394% 10/18/32 (d) | 2,093,663 | 2,103,206 | ||||
| Series 2002-65 Class FA, 4.13% 10/25/17 (d) | 2,302,618 | 2,306,533 | ||||
| Series 2002-74 Class FV, 4.28% 11/25/32 (d) | 7,876,453 | 7,931,623 | ||||
| Series 2003-11: | ||||||
| Class DF, 4.28% 2/25/33 (d) | 2,877,518 | 2,897,926 | ||||
| Class EF, 4.28% 2/25/33 (d) | 2,080,685 | 2,088,534 | ||||
| Series 2003-119 Class FK, 4.33% 5/25/18 (d) | 2,500,000 | 2,523,405 | ||||
| Series 2003-15 Class WF, 4.18% 8/25/17 (d) | 5,404,393 | 5,425,600 | ||||
| Series 2003-63 Class F1, 4.13% 11/25/27 (d) | 5,763,648 | 5,767,740 | ||||
| Series 2005-45 Class XA, 4.17% 6/25/35 (d) | 74,298,346 | 74,267,779 | ||||
| planned amortization class: | ||||||
| Series 1998-63 Class PG, 6% 3/25/27 | 800,852 | 799,909 | ||||
| Series 2001-62 Class PG, 6.5% 10/25/30 | 2,944,838 | 2,948,170 | ||||
| Series 2001-76 Class UB, 5.5% 10/25/13 | 590,038 | 589,350 | ||||
| Series 2002-16 Class QD, 5.5% 6/25/14 | 272,009 | 272,519 | ||||
| Series 2002-28 Class PJ, 6.5% 3/25/31 | 3,732,778 | 3,734,286 | ||||
| Series 2002-8 Class PD, 6.5% 7/25/30 | 2,442,173 | 2,447,766 | ||||
| Series 2005-72 Class FG, 4.08% 5/25/35 (d) | 51,234,540 | 51,079,581 | ||||
| Annual Report |
| A 128 |
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| U.S. Government Agency continued | ||||||
| Freddie Mac: | ||||||
| floater: | ||||||
| Series 2510 Class FE, 4.1681% 10/15/32 (d) | $ 5,715,277 | $ 5,746,827 | ||||
| 0% 9/15/35 (d) | 854,545 | 828,909 | ||||
| planned amortization class: | ||||||
| Series 2091 Class PP, 6% 2/15/27 | 261,467 | 261,106 | ||||
| Series 2353 Class PC, 6.5% 9/15/15 | 967,841 | 969,335 | ||||
| Freddie Mac Manufactured Housing participation certificates | ||||||
| guaranteed floater Series 2338 Class FJ, 3.9681% | ||||||
| 7/15/31 (d) | 4,919,686 | 4,918,386 | ||||
| Freddie Mac Multi-class participation certificates guaranteed: | ||||||
| floater: | ||||||
| Series 2395 Class FA, 4.3681% 6/15/29 (d) | 1,092,096 | 1,099,242 | ||||
| Series 2406: | ||||||
| Class FP, 4.7481% 1/15/32 (d) | 10,270,000 | 10,491,773 | ||||
| Class PF, 4.7481% 12/15/31 (d) | 8,125,000 | 8,332,235 | ||||
| Series 2410 Class PF, 4.7481% 2/15/32 (d) | 18,644,444 | 19,060,741 | ||||
| Series 2474 Class FJ, 4.1181% 7/15/17 (d) | 4,331,267 | 4,353,673 | ||||
| Series 2526 Class FC, 4.1681% 11/15/32 (d) | 3,152,494 | 3,162,233 | ||||
| Series 2538 Class FB, 4.1681% 12/15/32 (d) | 6,277,777 | 6,315,699 | ||||
| Series 2551 Class FH, 4.2181% 1/15/33 (d) | 2,959,949 | 2,972,585 | ||||
| Series 2861 Class JF, 4.0681% 4/15/17 (d) | 6,852,338 | 6,850,151 | ||||
| Series 2994 Class FB, 3.9181% 6/15/20 (d) | 6,647,098 | 6,631,097 | ||||
| planned amortization class: | ||||||
| Series 2136 Class PE, 6% 1/15/28 | 10,378,825 | 10,418,016 | ||||
| Series 2394 Class ND, 6% 6/15/27 | 587,334 | 587,187 | ||||
| Series 2395 Class PE, 6% 2/15/30 | 4,447,447 | 4,468,111 | ||||
| Series 2398 Class DK, 6.5% 1/15/31 | 236,820 | 236,922 | ||||
| Series 2410 Class ML, 6.5% 12/15/30 | 1,069,946 | 1,072,088 | ||||
| Series 2420 Class BE, 6.5% 12/15/30 | 961,583 | 961,848 | ||||
| Series 2443 Class TD, 6.5% 10/15/30 | 1,793,679 | 1,798,791 | ||||
| Series 2461 Class PG, 6.5% 1/15/31 | 2,027,839 | 2,050,146 | ||||
| Series 2650 Class FV, 4.1681% 12/15/32 (d) | 14,042,153 | 14,060,363 | ||||
| Series 2776 Class UJ, 4.5% 5/15/20 (e) | 6,660,101 | 345,325 | ||||
| Series 2828 Class JA, 4.5% 1/15/10 | 10,955,858 | 10,959,149 | ||||
| Series 3013 Class AF, 4.0181% 5/15/35 (d) | 80,739,897 | 80,382,844 | ||||
| sequential pay Series 2430 Class ZE, 6.5% 8/15/27 | 328,637 | 328,381 | ||||
| Ginnie Mae guaranteed REMIC pass thru securities floater: | ||||||
| Series 2001-46 Class FB, 4.1219% 5/16/23 (d) | 2,819,644 | 2,831,835 | ||||
| Series 2001-50 Class FV, 3.9719% 9/16/27 (d) | 8,689,581 | 8,689,113 | ||||
| A 129 |
| Annual Report |
| Investments (Unaudited) continued | ||||
| Collateralized Mortgage Obligations continued | ||||
| Principal | Value | |||
| Amount | ||||
| U.S. Government Agency continued | ||||
| Ginnie Mae guaranteed REMIC pass thru securities floater: – | ||||
| continued | ||||
| Series 2002-24 Class FX, 4.3219% 4/16/32 (d) | $ 2,453,441 | $ 2,475,244 | ||
| Series 2002-31 Class FW, 4.1719% 6/16/31 (d) | 3,364,460 | 3,383,514 | ||
| Series 2002-5 Class KF, 4.1719% 8/16/26 (d) | 474,812 | 475,074 | ||
| TOTAL U.S. GOVERNMENT AGENCY | 422,222,755 | |||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||
| (Cost $1,343,654,425) | 1,342,166,614 | |||
| Commercial Mortgage Securities 5.4% | ||||
| Banc of America Large Loan, Inc. floater: | ||||
| Series 2003-BBA2 Class A3, 4.0881% 11/15/15 (a)(d) | 5,038,226 | 5,042,678 | ||
| Series 2005-BBA6: | ||||
| Class B, 3.9781% 1/15/19 (a)(d) | 2,800,000 | 2,799,998 | ||
| Class C, 4.0181% 1/15/19 (a)(d) | 2,857,948 | 2,857,946 | ||
| Class D, 4.07% 1/15/19 (a)(d) | 2,800,000 | 2,799,998 | ||
| Class E, 4.1081% 1/15/19 (a)(d) | 1,750,000 | 1,749,998 | ||
| Class F, 4.1581% 1/15/19 (a)(d) | 1,170,000 | 1,169,999 | ||
| Class G, 4.1881% 1/15/19 (a)(d) | 915,000 | 915,000 | ||
| Series 2005-BOCA: | ||||
| Class H, 4.7181% 12/15/16 (a)(d) | 2,065,000 | 2,062,371 | ||
| Class J, 4.8681% 12/15/16 (a)(d) | 1,020,000 | 1,018,703 | ||
| Class K, 5.1181% 12/15/16 (a)(d) | 6,659,000 | 6,652,116 | ||
| Bank of America Large Loan, Inc.: | ||||
| floater Series 2005-ESHA: | ||||
| Class F, 4.63% 7/14/08 (a)(b)(d) | 6,395,000 | 6,395,000 | ||
| Class G, 4.76% 7/14/08 (a)(b)(d) | 4,355,000 | 4,355,000 | ||
| Class H, 4.98% 7/14/08 (a)(b)(d) | 5,365,000 | 5,365,000 | ||
| Series 2005 ESHA Class X1, 0.696% 7/14/08 (a)(b)(d)(e) | 334,645,000 | 5,112,372 | ||
| Bayview Commercial Asset Trust floater: | ||||
| Series 2003-1 Class A, 4.2213% 8/25/33 (a)(d) | 6,317,900 | 6,392,956 | ||
| Series 2003-2: | ||||
| Class A, 4.41% 12/25/33 (a)(d) | 13,127,372 | 13,287,836 | ||
| Class M1, 4.68% 12/25/33 (a)(d) | 2,136,269 | 2,171,502 | ||
| Series 2004-1: | ||||
| Class A, 4.19% 4/25/34 (a)(d) | 6,224,975 | 6,227,901 | ||
| Class B, 5.73% 4/25/34 (a)(d) | 646,751 | 654,153 | ||
| Class M1, 4.39% 4/25/34 (a)(d) | 565,907 | 568,383 | ||
| Class M2, 5.03% 4/25/34 (a)(d) | 485,063 | 490,747 | ||
Annual Report A 130
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Bayview Commercial Asset Trust floater: – continued | ||||||||
| Series 2004-2: | ||||||||
| Class A, 4.26% 8/25/34 (a)(d) | $ 6,109,217 | $ 6,122,596 | ||||||
| Class M1, 4.41% 8/25/34 (a)(d) | 1,969,875 | 1,977,570 | ||||||
| Series 2004-3: | ||||||||
| Class A1, 4.2% 1/25/35 (a)(d) | 6,475,016 | 6,482,074 | ||||||
| Class A2, 4.25% 1/25/35 (a)(d) | 899,933 | 903,103 | ||||||
| Class M1, 4.33% 1/25/35 (a)(d) | 1,079,169 | 1,080,629 | ||||||
| Class M2, 4.83% 1/25/35 (a)(d) | 703,806 | 707,992 | ||||||
| Series 2005-2A: | ||||||||
| Class M1, 4.3% 8/25/35 (a)(d) | 1,288,534 | 1,288,534 | ||||||
| Class M2, 4.32% 8/25/35 (a)(d) | 2,121,126 | 2,121,126 | ||||||
| Class M3, 4.38% 8/25/35 (a)(d) | 1,174,549 | 1,174,549 | ||||||
| Class M4, 4.53% 8/25/35 (a)(d) | 1,080,387 | 1,080,387 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. floater: | ||||||||
| Series 2003 BA1A: | ||||||||
| Class JFCM, 5.17% 4/14/15 (a)(d) | 1,344,296 | 1,347,949 | ||||||
| Class KFCM, 5.6% 4/14/15 (a)(d) | 1,436,661 | 1,440,773 | ||||||
| Class LFCM, 6% 4/14/15 (a)(d) | 1,601,905 | 1,601,896 | ||||||
| Class MFCM, 6.3% 4/14/15 (a)(d) | 2,218,251 | 2,218,238 | ||||||
| Series 2004-BBA3 Class E, 4.4681% 6/15/17 (a)(d) | 10,415,000 | 10,416,411 | ||||||
| Chase Commercial Mortgage Securities Corp. floater | ||||||||
| Series 2000-FL1A: | ||||||||
| Class B, 4.1781% 12/12/13 (a)(d) | 896,672 | 878,739 | ||||||
| Class C, 4.5281% 12/12/13 (a)(d) | 1,793,345 | 1,793,345 | ||||||
| COMM floater: | ||||||||
| Series 2001-FL5A Class E, 5.2681% 11/15/13 (a)(d) | 3,021,068 | 3,020,103 | ||||||
| Series 2002-FL6: | ||||||||
| Class F, 5.2181% 6/14/14 (a)(d) | 11,163,000 | 11,182,139 | ||||||
| Class G, 5.6681% 6/14/14 (a)(d) | 5,000,000 | 4,999,659 | ||||||
| Series 2003-FL9 Class B, 4.2681% 11/15/15 (a)(d) | 8,579,991 | 8,604,476 | ||||||
| Commercial Mortgage pass thru certificates floater: | ||||||||
| Series 2004-CNL: | ||||||||
| Class A2, 4.0681% 9/15/14 (a)(d) | 3,570,000 | 3,573,125 | ||||||
| Class G, 4.7481% 9/15/14 (a)(d) | 1,345,000 | 1,345,534 | ||||||
| Class H, 4.8481% 9/15/14 (a)(d) | 1,430,000 | 1,430,567 | ||||||
| Class J, 5.3681% 9/15/14 (a)(d) | 490,000 | 491,353 | ||||||
| Class K, 5.7681% 9/15/14 (a)(d) | 770,000 | 771,393 | ||||||
| Class L, 5.9681% 9/15/14 (a)(d) | 625,000 | 624,774 | ||||||
| Series 2004-HTL1: | ||||||||
| Class B, 4.2181% 7/15/16 (a)(d) | 426,802 | 427,072 |
| A 131 |
| Annual Report |
| Investments (Unaudited) continued | ||||||||
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Commercial Mortgage pass thru certificates floater: - | ||||||||
| continued | ||||||||
| Series 2004-HTL1: | ||||||||
| Class D, 4.3181% 7/15/16 (a)(d) | $ 969,949 | $ 970,109 | ||||||
| Class E, 4.5181% 7/15/16 (a)(d) | 694,177 | 694,425 | ||||||
| Class F, 4.5681% 7/15/16 (a)(d) | 734,671 | 735,088 | ||||||
| Class H, 5.0681% 7/15/16 (a)(d) | 2,129,763 | 2,130,459 | ||||||
| Class J, 5.2181% 7/15/16 (a)(d) | 818,412 | 818,679 | ||||||
| Class K, 6.1181% 7/15/16 (a)(d) | 921,324 | 921,038 | ||||||
| Commercial Mortgage pass thru Certificates floater Series | ||||||||
| 2005-F10A: | ||||||||
| Class B, 3.9981% 4/15/17 (a)(d) | 7,080,000 | 7,074,591 | ||||||
| Class C, 4.0381% 4/15/17 (a)(d) | 3,006,000 | 3,000,368 | ||||||
| Class D, 4.0781% 4/15/17 (a)(d) | 2,440,000 | 2,437,663 | ||||||
| Class E, 4.1381% 4/15/17 (a)(d) | 1,821,000 | 1,819,257 | ||||||
| Class F, 4.1781% 4/15/17 (a)(d) | 1,035,000 | 1,034,719 | ||||||
| Class G, 4.3181% 4/15/17 (a)(d) | 1,035,000 | 1,034,956 | ||||||
| Class H, 4.3881% 4/15/17 (a)(d) | 1,035,000 | 1,034,365 | ||||||
| Class I, 4.6181% 4/15/17 (a)(d) | 335,000 | 334,605 | ||||||
| Class MOA3, 4.0681% 3/15/20 (a)(d) | 4,590,000 | 4,589,812 | ||||||
| CS First Boston Mortgage Securities Corp.: | ||||||||
| floater: | ||||||||
| Series 2003-TF2A Class A2, 4.0881% 11/15/14 (a)(d) . | 3,837,106 | 3,838,834 | ||||||
| Series 2004-FL1 Class B, 4.2181% 5/15/14 (a)(d) | 11,230,000 | 11,246,403 | ||||||
| Series 2004-HC1: | ||||||||
| Class A2, 4.2681% 12/15/21 (a)(d) | 1,475,000 | 1,474,997 | ||||||
| Class B, 4.5181% 12/15/21 (a)(d) | 3,835,000 | 3,834,992 | ||||||
| Series 2004-TF2A Class E, 4.1881% 11/15/19 (a)(d) | 4,450,000 | 4,456,359 | ||||||
| Series 2004-TFL1: | ||||||||
| Class A2, 3.9581% 2/15/14 (a)(d) | 7,005,000 | 7,005,853 | ||||||
| Class E, 4.3181% 2/15/14 (a)(d) | 2,800,000 | 2,802,824 | ||||||
| Class F, 4.3681% 2/15/14 (a)(d) | 2,325,000 | 2,327,963 | ||||||
| Class G, 4.6181% 2/15/14 (a)(d) | 1,875,000 | 1,879,139 | ||||||
| Class H, 4.8681% 2/15/14 (a)(d) | 1,400,000 | 1,403,371 | ||||||
| Class J, 5.1681% 2/15/14 (a)(d) | 750,000 | 753,317 | ||||||
| Series 2005-TF2A Class F, 4.2681% 11/15/19 (a)(d) | 1,540,000 | 1,542,198 | ||||||
| Series 2005-TFLA: | ||||||||
| Class C, 4.0081% 2/15/20 (a)(d) | 5,650,000 | 5,649,989 | ||||||
| Class E, 4.0981% 2/15/20 (a)(d) | 3,955,000 | 3,954,988 | ||||||
| Class F, 4.1481% 2/15/20 (a)(d) | 1,745,000 | 1,744,997 | ||||||
| Class G, 4.2881% 2/15/20 (a)(d) | 505,000 | 504,998 | ||||||
| Annual Report |
| A 132 |
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| CS First Boston Mortgage Securities Corp.: – continued | ||||||||
| Series 2005-TFLA: | ||||||||
| Class H, 4.5181% 2/15/20 (a)(d) | $ 715,000 | $ 714,998 | ||||||
| sequential pay Series 1997-C2 Class A2, 6.52% 1/17/35 | 235,680 | 236,453 | ||||||
| GMAC Commercial Mortgage Securities, Inc. floater Series | ||||||||
| 2001-FL1A Class E, 4.5781% 2/11/11 (a)(d) | 152,562 | 152,409 | ||||||
| GS Mortgage Securities Corp. II floater Series 2005-FL7A | ||||||||
| Class A1, 3.84% 11/6/19 (a)(d) | 10,128,306 | 10,129,534 | ||||||
| Impac CMB Trust Series 2005-7 Class M4, 4.388% | ||||||||
| 11/25/35 (d) | 3,169,000 | 3,169,000 | ||||||
| John Hancock Tower Mortgage Trust floater Series 2003-C5A | ||||||||
| Class B, 6.2166% 4/10/15 (a)(d) | 8,245,000 | 8,245,000 | ||||||
| Lehman Brothers Floating Rate Commercial Mortgage Trust: | ||||||||
| floater Series 2003-LLFA: | ||||||||
| Class A2, 4.14% 12/16/14 (a)(d) | 11,700,000 | 11,705,144 | ||||||
| Class B, 4.35% 12/16/14 (a)(d) | 4,615,000 | 4,623,295 | ||||||
| Class C, 4.45% 12/16/14 (a)(d) | 4,982,000 | 4,993,212 | ||||||
| Series 2005-LLFA Class FAIR, 5.4181% 7/15/18 (a)(d) | 4,360,000 | 4,360,000 | ||||||
| Morgan Stanley Capital I, Inc. Series 2005-XLF: | ||||||||
| Class B, 3.9781% 8/15/19 (a)(d) | 6,705,000 | 6,705,000 | ||||||
| Class C, 4.0081% 8/15/19 (a)(d) | 525,000 | 525,000 | ||||||
| Class D, 4.0281% 8/15/19 (a)(d) | 1,915,000 | 1,915,000 | ||||||
| Class E, 4.0481% 8/15/19 (a)(d) | 1,745,000 | 1,745,000 | ||||||
| Class F, 4.0881% 8/15/19 (a)(d) | 1,220,000 | 1,220,000 | ||||||
| Class G, 4.1381% 8/15/19 (a)(d) | 870,000 | 870,000 | ||||||
| Class H, 4.1581% 8/15/19 (a)(d) | 695,000 | 695,000 | ||||||
| Class J, 4.2281% 8/15/19 (a)(d) | 525,000 | 525,000 | ||||||
| Morgan Stanley Dean Witter Capital I Trust floater | ||||||||
| Series 2002-XLF Class F, 5.8663% 8/5/14 (a)(d) | 5,359,368 | 5,359,351 | ||||||
| Salomon Brothers Mortgage Securities VII, Inc.: | ||||||||
| floater Series 2001-CDCA: | ||||||||
| Class C, 4.5681% 2/15/13 (a)(d) | 4,711,321 | 4,701,152 | ||||||
| Class D, 4.5681% 2/15/13 (a)(d) | 4,000,000 | 3,987,882 | ||||||
| Series 2000-NL1 Class E, 7.0607% 10/15/30 (a)(d) | 3,188,867 | 3,197,433 | ||||||
| SDG Macerich Properties LP floater Series 2000-1 Class A3, | ||||||||
| 4.1081% 5/15/09 (a)(d) | 18,000,000 | 17,994,375 | ||||||
| STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A | ||||||||
| Class A, 4.31% 3/24/18 (a)(d) | 6,950,497 | 6,950,497 | ||||||
| Wachovia Bank Commercial Mortgage Trust floater: | ||||||||
| Series 2004-WHL3: | ||||||||
| Class A2, 3.9481% 3/15/14 (a)(d) | 3,510,000 | 3,510,856 | ||||||
| Class E, 4.2681% 3/15/14 (a)(d) | 2,190,000 | 2,191,761 |
| A 133 |
| Annual Report |
| Investments (Unaudited) continued | ||||||
| Commercial Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Wachovia Bank Commercial Mortgage Trust floater: - | ||||||
| continued | ||||||
| Series 2004-WHL3: | ||||||
| Class F, 4.3181% 3/15/14 (a)(d) | $ 1,755,000 | $ 1,756,359 | ||||
| Class G, 4.5481% 3/15/14 (a)(d) | 875,000 | 875,871 | ||||
| Series 2005-WL5A: | ||||||
| Class KHP1, 4.1181% 1/15/18 (a)(d) | 1,745,000 | 1,744,663 | ||||
| Class KHP2, 4.3181% 1/15/18 (a)(d) | 1,745,000 | 1,747,772 | ||||
| Class KHP3, 4.6181% 1/15/18 (a)(d) | 2,060,000 | 2,062,033 | ||||
| Class KHP4, 4.7181% 1/15/18 (a)(d) | 1,600,000 | 1,602,203 | ||||
| Class KHP5, 4.9181% 1/15/18 (a)(d) | 1,855,000 | 1,845,971 | ||||
| TOTAL COMMERCIAL MORTGAGE SECURITIES | ||||||
| (Cost $361,655,067) | 362,304,343 | |||||
| Certificates of Deposit 0.9% | ||||||
| DEPFA BANK PLC yankee 4.265% 9/1/06 | 30,000,000 | 29,964,651 | ||||
| Deutsche Bank AG yankee 4.21% 8/24/06 | 30,000,000 | 29,958,345 | ||||
| TOTAL CERTIFICATES OF DEPOSIT | ||||||
| (Cost $60,000,000) | 59,922,996 | |||||
| Commercial Paper 0.4% | ||||||
| Fortune Brands, Inc. 3.79% 10/31/05 | ||||||
| (Cost $26,416,304) | 26,500,000 | 26,417,781 | ||||
| Annual Report |
| A 134 |
| Cash Equivalents 36.3% | ||||||||
| Maturity | Value | |||||||
| Amount | ||||||||
| Investments in repurchase agreements (Collateralized by | ||||||||
| U.S. Government Obligations, in a joint trading | ||||||||
| account at 3.89%, dated 9/30/05 due 10/3/05) (g) . | $ 2,120,321,927 | $ 2,119,634,000 | ||||||
| Investments in repurchase agreements (Collateralized by | ||||||||
| U.S. Treasury Obligations, in a joint trading account at | ||||||||
| 3.27%, dated 9/30/05 due 10/3/05) (g) | 6,298,716 | 6,297,000 | ||||||
| With Goldman Sachs & Co. at 4.04%, dated 8/23/05 | ||||||||
| due 11/21/05 (Collateralized by Mortgage Loan | ||||||||
| Obligations valued at $304,500,001, 4.54%– 4.56%, | ||||||||
| 9/25/35 - 9/25/35) (d)(f) | 292,929,000 | 289,962,793 | ||||||
| TOTAL CASH EQUIVALENTS | ||||||||
| (Cost $2,415,931,000) | 2,415,893,793 | |||||||
| TOTAL INVESTMENT PORTFOLIO 101.0% | ||||||||
| (Cost $6,720,022,154) | 6,725,584,889 | |||||||
| NET OTHER ASSETS – (1.0)% | (65,032,717) | |||||||
| NET ASSETS 100% | $ 6,660,552,172 | |||||||
| Futures Contracts | ||||||||
| Expiration | Underlying | Unrealized | ||||||
| Date | Face Amount | Appreciation/ | ||||||
| at Value | (Depreciation) | |||||||
| Sold | ||||||||
| Eurodollar Contracts | ||||||||
| 73 Eurodollar 90 Day Index Contracts | Dec. 2005 | $ 72,199,738 | $ 56,706 | |||||
| 49 Eurodollar 90 Day Index Contracts | March 2006 | 48,442,625 | 50,086 | |||||
| 32 Eurodollar 90 Day Index Contracts | June 2006 | 31,631,600 | 30,247 | |||||
| 32 Eurodollar 90 Day Index Contracts | Sept. 2006 | 31,630,800 | 28,072 | |||||
| 31 Eurodollar 90 Day Index Contracts | Dec. 2006 | 30,642,725 | 23,176 | |||||
| 29 Eurodollar 90 Day Index Contracts | March 2007 | 28,668,313 | 17,947 | |||||
| 22 Eurodollar 90 Day Index Contracts | June 2007 | 21,748,925 | 8,962 | |||||
| 21 Eurodollar 90 Day Index Contracts | Sept. 2007 | 20,760,075 | 7,941 | |||||
| 20 Eurodollar 90 Day Index Contracts | Dec. 2007 | 19,770,250 | 7,370 | |||||
| 20 Eurodollar 90 Day Index Contracts | March 2008 | 19,770,000 | 6,620 | |||||
| 13 Eurodollar 90 Day Index Contracts | June 2008 | 12,850,013 | 8,836 | |||||
| 12 Eurodollar 90 Day Index Contracts | Sept. 2008 | 11,860,950 | 8,052 | |||||
| 5 Eurodollar 90 Day Index Contracts | Dec. 2008 | 4,941,625 | 1,230 | |||||
| 3 Eurodollar 90 Day Index Contracts | March 2009 | 2,964,900 | 688 | |||||
| TOTAL EURODOLLAR CONTRACTS | $ 255,933 | |||||||
A 135 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Swap Agreements | ||||||||||
| Expiration | Notional | Value | ||||||||
| Date | Amount | |||||||||
| Credit Default Swap | ||||||||||
| Receive from Citibank, upon default event | ||||||||||
| of DaimlerChrysler NA Holding Corp., | ||||||||||
| par value of the notional amount of | ||||||||||
| DaimlerChrysler NA Holding Corp. 6.5% | ||||||||||
| 11/15/13, and pay quarterly notional | ||||||||||
| amount multiplied by .8% | June 2007 | $ 14,000,000 | $ (129,454) | |||||||
| Receive quarterly notional amount | ||||||||||
| multiplied by .48% and pay Goldman | ||||||||||
| Sachs upon default event of TXU Energy | ||||||||||
| Co. LLC, par value of the notional amount | ||||||||||
| of TXU Energy Co. LLC 7% 3/15/13 | Sept. 2008 | 13,540,000 | (82,090) | |||||||
| Receive quarterly notional amount | ||||||||||
| multiplied by 1.12% and pay Morgan | ||||||||||
| Stanley, Inc. upon default of Comcast | ||||||||||
| Cable Communications, Inc., par value of | ||||||||||
| the notional amount of Comcast Cable | ||||||||||
| Communications, Inc. 6.75% 1/30/11 | June 2006 | 10,000,000 | 75,975 | |||||||
| TOTAL CREDIT DEFAULT SWAP | $ 37,540,000 | $ (135,569) | ||||||||
| Total Return Swap | ||||||||||
| Receive monthly notional amount multiplied | ||||||||||
| by the nominal spread appreciation of | ||||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||||
| gate Index adjusted by a modified dura- | ||||||||||
| tion factor plus 10 basis points and pay | ||||||||||
| monthly notional amount multiplied by | ||||||||||
| the nominal spread depreciation of the | ||||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||||
| Index adjusted by a modified duration | ||||||||||
| factor with Lehman Brothers, Inc. | Oct. 2005 | 48,200,000 | (43,480) | |||||||
| Receive monthly notional amount multiplied | ||||||||||
| by the nominal spread appreciation of the | ||||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||||
| Index adjusted by a modified duration fac | ||||||||||
| tor plus 30 basis points and pay monthly | ||||||||||
| notional amount multiplied by the nominal | ||||||||||
| spread depreciation of the Lehman Broth | ||||||||||
| ers CMBS U.S. Aggregate Index adjusted | ||||||||||
| by a modified duration factor with | ||||||||||
| Citibank | April 2006 | 67,500,000 | (31,167) | |||||||
Annual Report A 136
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Total Return Swap continued | ||||||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration fac | ||||||||
| tor plus 15 basis points and pay monthly | ||||||||
| notional amount multiplied by the nominal | ||||||||
| spread depreciation of the Lehman Broth | ||||||||
| ers CMBS U.S. Aggregate Index adjusted | ||||||||
| by a modified duration factor with Citibank | April 2006 | $ 48,200,000 | $ 0 | |||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of | ||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||
| gate Index adjusted by a modified dura- | ||||||||
| tion factor plus 25 basis points and pay | ||||||||
| monthly notional amount multiplied by | ||||||||
| the nominal spread depreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration | ||||||||
| factor with Lehman Brothers, Inc. | Dec. 2005 | 30,000,000 | (23,390) | |||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of | ||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||
| gate Index adjusted by a modified dura- | ||||||||
| tion factor plus 22 basis points and pay | ||||||||
| monthly notional amount multiplied by | ||||||||
| the nominal spread depreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration | ||||||||
| factor with Lehman Brothers, Inc. | Jan. 2006 | 35,100,000 | (27,970) | |||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of | ||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||
| gate Index adjusted by a modified dura- | ||||||||
| tion factor plus 7.5 basis points and pay | ||||||||
| monthly notional amount multiplied by | ||||||||
| the nominal spread depreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration | ||||||||
| factor with Lehman Brothers, Inc. | Nov. 2005 | 35,100,000 | (13,586) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers ABS Floating Rate Index and | ||||||||
| pay monthly a floating rate based on the | ||||||||
| 1-month LIBOR minus 11.1 basis points | ||||||||
| with Lehman Brothers, Inc. | Nov. 2005 | 30,000,000 | 8,273 | |||||
| TOTAL TOTAL RETURN SWAP | $ 294,100,000 | $ (131,320) | ||||||
| $ 331,640,000 | $ (266,889) | |||||||
A 137 Annual Report
Investments (Unaudited) continued
| Legend (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $605,971,272 or 9.1% of net assets. (b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $990,994. (d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (e) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. (f) The maturity amount is based on the rate at period end. (g) Additional information on each counterparty to the repurchase agreement is as follows: |
| Repurchase Agreement/ | Value | |||
| Counterparty | ||||
| $6,297,000 due | ||||
| 10/3/05 at 3.27% | ||||
| Banc of America | ||||
| Securities LLC. | $ 878,400 | |||
| Barclays Capital Inc. | 2,037,889 | |||
| BNP Paribas Securities | ||||
| Corp. | 2,318,977 | |||
| State Street Bank and | ||||
| Trust Company | 1,061,734 | |||
| $ 6,297,000 |
| Repurchase Agreement/ | Value | |
| Counterparty | ||
| $2,119,634,000 due | ||
| 10/3/05 at 3.89% | ||
| Banc of America | ||
| Securities LLC. | $ 406,558,229 | |
| Bank of America, | ||
| National Association | 138,994,266 | |
| Barclays Capital Inc. | 625,474,199 | |
| Bear Stearns & Co. Inc. . | 104,245,700 | |
| Countrywide Securities | ||
| Corporation | 138,994,266 | |
| Goldman Sachs & Co. | 382,234,233 | |
| Morgan Stanley & Co. | ||
| Incorporated. | 34,720,003 | |
| UBS Securities LLC | 288,413,104 | |
| $ 2,119,634,000 |
Income Tax Information
At September 30, 2005, the fund had a capital loss carryforward of approximately $4,905,519 all of which will expire on September 30, 2011.
Annual Report A 138
| Fidelity® Asset Manager: Aggressive® |
| Annual Report September 30, 2005 |
| Contents | ||||
| Chairman’s Message | 4 | Ned Johnson’s message to shareholders. | ||
| Performance | 5 | How the fund has done over time. | ||
| Management’s Discussion | 6 | The manager’s review of fund | ||
| performance, strategy and outlook. | ||||
| Shareholder Expense | 7 | An example of shareholder expenses. | ||
| Example | ||||
| Investment Changes | 9 | A summary of the fund’s investments. | ||
| Investments | 10 | A complete list of the fund’s investments | ||
| with their market values. | ||||
| Financial Statements | 20 | Statements of assets and liabilities, | ||
| operations, and changes in net assets, | ||||
| as well as financial highlights. | ||||
| Notes | 24 | Notes to the financial statements. | ||
| Report of Independent | 30 | |||
| Registered Public | ||||
| Accounting Firm | ||||
| Trustees and Officers | 31 | |||
| Distributions | 42 | |||
| Board Approval of | 43 | |||
| Investment Advisory | ||||
| Contracts and | ||||
| Management Fees | ||||
| Central Fund Investments | 52 | Complete list of investments for Fidelity’s | ||
| Fixed-Income Central Funds. | ||||
| To view a fund’s proxy voting guidelines and proxy voting record for the 12 month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission’s (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines. Standard & Poor’s, S&P and S&P 500 are registered service marks of The McGraw Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation. Other third party marks appearing herein are the property of their respective owners. All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company. |
Annual Report 2
| This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus. A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N Q. Forms N Q are available on the SEC’s web site at http://www.sec.gov. A fund’s Forms N Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund’s portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity’s web site at http://www.fidelity.com/holdings. NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE Neither the fund nor Fidelity Distributors Corporation is a bank. |
3 Annual Report
Chairman’s Message
(photograph of Edward C. Johnson 3d)
Dear Shareholder:
During the past year or so, much has been reported about the mutual fund industry, and much of it has been more critical than I believe is warranted. Allegations that some companies have been less than forthright with their shareholders have cast a shadow on the entire industry. I continue to find these reports disturbing, and assert that they do not create an ac curate picture of the industry overall. Therefore, I would like to remind every one where Fidelity stands on these issues. I will say two things specifically regarding allegations that some mutual fund companies were in violation of the Securities and Exchange Commission’s forward pricing rules or were involved in so called “market timing” activities.
First, Fidelity has no agreements that per mit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not a new policy. This is not to say that some one could not deceive the company through fraudulent acts. However, we are extremely diligent in preventing fraud from occurring in this manner and in every other. But I underscore again that Fidelity has no so called “agreements” that sanction illegal practices.
Second, Fidelity continues to stand on record, as we have for years, in opposition to predatory short term trading that adversely affects shareholders in a mutual fund. Back in the 1980s, we initiated a fee which is returned to the fund and, therefore, to investors to discourage this activity. Further, we took the lead several years ago in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. I am confident we will find other ways to make it more difficult for predatory traders to operate. However, this will only be achieved through close cooperation among regulators, legislators and the industry.
Yes, there have been unfortunate instances of unethical and illegal activity within the mutual fund industry from time to time. That is true of any industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. But we are still concerned about the risk of over regulation and the quick application of simplistic solutions to intricate problems. Every system can be improved, and we support and applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors’ holdings.
For nearly 60 years, Fidelity has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Today, we serve more than 18 million customers in cluding individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active par ticipation with your financial matters, so that your interests can be well served.
Best regards,
/s/ Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report 4
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund’s dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of perfor mance each year. The $10,000 table and the fund’s returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns | ||||||
| Periods ended September 30, 2005 | Past 1 | Past 5 | Life of | |||
| year | years | FundA | ||||
| Fidelity® Asset Manager: Aggressive® | 14.22% | 3.41% | 4.40% | |||
| A From September 24, 1999 | ||||||
| $10,000 Over Life of Fund | ||||||
Let’s say hypothetically that $10,000 was invested in Fidelity® Asset Manager: Aggressive® on September 24, 1999, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Standard & Poor’s 500® Index performed over the same period.
5 Annual Report
5
Management’s Discussion of Fund Performance
Comments from Richard Habermann, Portfolio Manager of Fidelity® Asset Manager: Aggressive®
Stocks and bonds had positive returns for the 12 months ending September 30, 2005. Equities did significantly better, as the majority of bellwether stock market measures had gains in the low to mid teens, compared to low single digits for bonds. Energy and utilities were the top performing sectors and drove about a third of the stock market’s return on the strength of record high oil prices. It was a fairly conducive investment environment for equities, as continued strength in consumer spending and corporate profits led to steady economic growth. Against this backdrop, the Standard & Poor’s 500SM Index returned 12.25%, the NASDAQ Composite® Index rose 14.19% and the Dow Jones Industrial Aver ageSM gained 7.23% . In the bond market, a flattening yield curve surprised many. Despite eight interest rate hikes in the past year, longer term yields were relatively stable, resulting in a narrowing yield gap compared to rising short term rates. Overall, the Federal Reserve Board’s monetary policy and inflation concerns tempered debt returns, as shown by the modest 2.80% rise in the Lehman Brothersr Aggregate Bond Index.
The fund gained 14.22% for the year, versus 10.85% for the Fidelity Asset Manager: Aggres sive Composite Index and 11.66% for the LipperSM Flexible Portfolio Funds Average. We had outstanding results in the equity subportfolio as well as favorable asset allocation overall and solid returns in fixed income. In a favorable environment for riskier assets, it paid to overweight stocks and high yield securities relative to the index, while avoiding investment grade debt. Within the equity allocation, a sizable stake in foreign stocks was helpful, as overseas markets trounced their U.S. counterparts. A small position in cash detracted a bit on a relative basis, but the fund enjoyed significantly higher yields than in recent periods. Our equities soundly beat the S&P 500®, mainly due to good stock picking. The biggest gains were in financials, where our emphasis on foreign banks particularly in Japan bolstered returns. Security selection in health care also helped, as did an overweighting in technology. Top contributors included biotechnology giant Genentech, coal producer Peabody Energy and tech stocks Teradyne and Seagate Technology. Conversely, our under exposure to energy and utilities stocks hurt, as did some individual names that disap pointed, among them biotech firm Biogen Idec and media concern Univision. On the bond front, our high income central investment portfolio behind a strong period for the asset class outpaced the Lehman Brothers index, a result further enhanced by good sector selection.
The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
| Annual Report |
| 6 6 |
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2005 to September 30, 2005).
| Actual Expenses |
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the fund, as a share holder in the underlying affiliated central fund, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated central fund. These fees and expenses are not included in the fund’s annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the share holder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the fund, as a shareholder in the underlying affiliated central fund, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated central fund. These fees and expenses are not included in the fund’s annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
7 Annual Report
| Shareholder Expense Example continued | ||||||||||
| Expenses Paid | ||||||||||
| During Period* | ||||||||||
| Beginning | Ending | April 1, 2005 | ||||||||
| Account Value | Account Value | to September 30, | ||||||||
| April 1, 2005 | September 30, 2005 | 2005 | ||||||||
| Actual | $ 1,000.00 | $ 1,083.40 | $ 4.80 | |||||||
| Hypothetical (5% return per year | ||||||||||
| before expenses) | $ 1,000.00 | $ 1,020.46 | $ 4.66 | |||||||
* Expenses are equal to the Fund’s annualized expense ratio of .92%; multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one half year period). The fees and expenses of the underlying affiliated central fund in which the fund invests are not included in the fund’s annualized expense ratio.
| Annual Report |
| 8 |
Investment Changes
| Top Ten Stocks as of September 30, 2005 | ||||
| % of fund’s | % of fund’s net assets | |||
| net assets | 6 months ago | |||
| Genentech, Inc. | 4.5 | 2.9 | ||
| Yahoo! Japan Corp. | 3.2 | 0.0 | ||
| Nokia Corp. sponsored ADR | 2.9 | 0.0 | ||
| Teradyne, Inc. | 2.8 | 1.8 | ||
| Symantec Corp. | 2.3 | 0.8 | ||
| Monster Worldwide, Inc. | 2.2 | 1.7 | ||
| Univision Communications, Inc. Class A | 2.1 | 2.2 | ||
| Exxon Mobil Corp. | 2.1 | 0.0 | ||
| KLA Tencor Corp. | 1.9 | 2.1 | ||
| UnitedHealth Group, Inc. | 1.9 | 0.9 | ||
| 25.9 | ||||
| Market Sectors as of September 30, 2005 | ||||
| (stocks only) | % of fund’s | % of fund’s net assets | ||
| net assets | 6 months ago | |||
| Information Technology | 31.4 | 32.5 | ||
| Energy | 13.4 | 5.2 | ||
| Consumer Discretionary | 13.2 | 16.8 | ||
| Health Care | 11.8 | 9.4 | ||
| Industrials | 6.4 | 6.8 | ||
| Financials | 6.0 | 6.6 | ||
| Materials | 4.7 | 6.5 | ||
| Consumer Staples | 0.9 | 1.4 | ||
| Utilities | 0.1 | 0.1 | ||
| Telecommunication Services | 0.0 | 3.1 | ||
Asset allocations in the pie charts reflect the categorization of assets as defined in the fund’s prospectus in effect as of the time periods indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.
The information in the above tables is based on the combined investments of the fund and its pro rata share of the investments of Fidelity’s fixed income central fund.
9 Annual Report
| Investments September 30, 2005 Showing Percentage of Net Assets |
| Common Stocks 87.9% | ||||||
| Shares | Value (Note 1) | |||||
| CONSUMER DISCRETIONARY – 13.2% | ||||||
| Auto Components 0.4% | ||||||
| Continental AG | 9,300 | $ 763,657 | ||||
| NOK Corp. | 25,000 | 749,672 | ||||
| 1,513,329 | ||||||
| Hotels, Restaurants & Leisure 3.4% | ||||||
| Ctrip.com International Ltd. sponsored ADR | 30,100 | 1,928,808 | ||||
| McDonald’s Corp. | 104,100 | 3,486,309 | ||||
| Royal Caribbean Cruises Ltd. | 36,500 | 1,576,800 | ||||
| Starbucks Corp. (a) | 109,000 | 5,460,900 | ||||
| Wynn Resorts Ltd. (a)(d) | 32,000 | 1,444,800 | ||||
| 13,897,617 | ||||||
| Household Durables – 2.2% | ||||||
| Beazer Homes USA, Inc. (d) | 18,000 | 1,056,060 | ||||
| D.R. Horton, Inc. | 23,600 | 854,792 | ||||
| Daito Trust Construction Co. | 36,700 | 1,618,218 | ||||
| Garmin Ltd. | 12,400 | 841,092 | ||||
| George Wimpey PLC | 71,800 | 542,253 | ||||
| Lennar Corp.: | ||||||
| Class A | 20,660 | 1,234,642 | ||||
| Class B | 5,420 | 300,322 | ||||
| LG Electronics, Inc. | 24,360 | 1,631,781 | ||||
| Sharp Corp. | 46,000 | 670,925 | ||||
| 8,750,085 | ||||||
| Internet & Catalog Retail 0.1% | ||||||
| Senshukai Co. Ltd. | 42,000 | 473,225 | ||||
| Media – 4.2% | ||||||
| Clear Channel Communications, Inc. | 12,300 | 404,547 | ||||
| Discovery Holding Co. Class A (a) | 1,291 | 18,642 | ||||
| McGraw Hill Companies, Inc. | 19,380 | 931,015 | ||||
| News Corp.: | ||||||
| Class A | 10,624 | 165,628 | ||||
| Class B | 57,800 | 953,700 | ||||
| Playboy Enterprises, Inc. Class B (non-vtg.) (a) | 164,500 | 2,319,450 | ||||
| Time Warner, Inc. | 189,000 | 3,422,790 | ||||
| Univision Communications, Inc. Class A (a) | 326,100 | 8,651,433 | ||||
| 16,867,205 | ||||||
| Multiline Retail – 0.4% | ||||||
| Nordstrom, Inc. | 20,800 | 713,856 | ||||
| Target Corp. | 14,500 | 752,985 | ||||
| 1,466,841 | ||||||
See accompanying notes which are an integral part of the financial statements.
Annual Report 10
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| CONSUMER DISCRETIONARY – continued | ||||||
| Specialty Retail – 1.2% | ||||||
| Best Buy Co., Inc. | 13,950 | $ 607,244 | ||||
| Foot Locker, Inc. | 50,800 | 1,114,552 | ||||
| USS Co. Ltd. | 13,740 | 982,508 | ||||
| Yamada Denki Co. Ltd. | 30,100 | 2,304,580 | ||||
| 5,008,884 | ||||||
| Textiles, Apparel & Luxury Goods – 1.3% | ||||||
| Liz Claiborne, Inc. | 45,600 | 1,792,992 | ||||
| NIKE, Inc. Class B | 35,200 | 2,875,136 | ||||
| Polo Ralph Lauren Corp. Class A | 9,300 | 467,790 | ||||
| 5,135,918 | ||||||
| TOTAL CONSUMER DISCRETIONARY | 53,113,104 | |||||
| CONSUMER STAPLES 0.9% | ||||||
| Food & Staples Retailing – 0.8% | ||||||
| Whole Foods Market, Inc. | 23,800 | 3,199,910 | ||||
| Food Products 0.1% | ||||||
| McCormick & Co., Inc. (non-vtg.) | 18,700 | 610,181 | ||||
| TOTAL CONSUMER STAPLES | 3,810,091 | |||||
| ENERGY 13.4% | ||||||
| Energy Equipment & Services – 4.8% | ||||||
| BJ Services Co. | 165,800 | 5,967,142 | ||||
| ENSCO International, Inc. | 101,740 | 4,740,067 | ||||
| GlobalSantaFe Corp. | 12,400 | 565,688 | ||||
| Grant Prideco, Inc. (a) | 4,800 | 195,120 | ||||
| Nabors Industries Ltd. (a) | 5,200 | 373,516 | ||||
| Noble Corp. | 88,300 | 6,045,018 | ||||
| Pride International, Inc. (a) | 25,700 | 732,707 | ||||
| Transocean, Inc. (a) | 8,800 | 539,528 | ||||
| 19,158,786 | ||||||
| Oil, Gas & Consumable Fuels – 8.6% | ||||||
| Arch Coal, Inc. | 45,700 | 3,084,750 | ||||
| Canadian Natural Resources Ltd. | 127,500 | 5,757,569 | ||||
| Chesapeake Energy Corp. | 12,900 | 493,425 | ||||
| Cross Timbers Royalty Trust | 99 | 5,376 | ||||
| Exxon Mobil Corp. | 130,100 | 8,266,554 | ||||
| Massey Energy Co. | 45,800 | 2,339,006 | ||||
| Peabody Energy Corp. | 52,600 | 4,436,810 | ||||
See accompanying notes which are an integral part of the financial statements.
11 Annual Report
| Investments continued | ||||
| Common Stocks continued | ||||
| Shares | Value (Note 1) | |||
| ENERGY – continued | ||||
| Oil, Gas & Consumable Fuels – continued | ||||
| Pogo Producing Co. | 47,700 | $ 2,811,438 | ||
| Teekay Shipping Corp. | 28,100 | 1,209,705 | ||
| Total SA sponsored ADR | 20,700 | 2,811,474 | ||
| Valero Energy Corp. | 31,400 | 3,550,084 | ||
| 34,766,191 | ||||
| TOTAL ENERGY | 53,924,977 | |||
| FINANCIALS – 6.0% | ||||
| Capital Markets 2.5% | ||||
| 3i Group PLC | 24,617 | 340,558 | ||
| Apollo Investment Corp. | 92,053 | 1,822,649 | ||
| Daiwa Securities Group, Inc. | 41,000 | 322,643 | ||
| E*TRADE Financial Corp. (a) | 95,700 | 1,684,320 | ||
| Goldman Sachs Group, Inc. | 13,100 | 1,592,698 | ||
| JAFCO Co. Ltd. | 8,000 | 527,343 | ||
| Nomura Holdings, Inc. | 245,200 | 3,810,408 | ||
| 10,100,619 | ||||
| Commercial Banks – 2.3% | ||||
| Mitsubishi Tokyo Financial Group, Inc. (MTFG) | 153 | 1,993,590 | ||
| Mizuho Financial Group, Inc. | 365 | 2,338,000 | ||
| Sumitomo Mitsui Financial Group, Inc. | 319 | 3,028,231 | ||
| UFJ Holdings, Inc. (a) | 219 | 1,794,885 | ||
| 9,154,706 | ||||
| Insurance – 0.6% | ||||
| Axis Capital Holdings Ltd. | 13,100 | 373,481 | ||
| Millea Holdings, Inc. | 98 | 1,582,384 | ||
| XL Capital Ltd. Class A | 5,800 | 394,574 | ||
| 2,350,439 | ||||
| Real Estate 0.2% | ||||
| Mitsubishi Estate Co. Ltd. | 16,000 | 221,158 | ||
| New York Mortgage Trust, Inc. | 78,600 | 587,142 | ||
| 808,300 | ||||
| Thrifts & Mortgage Finance – 0.4% | ||||
| Countrywide Financial Corp. | 9,992 | 329,536 | ||
| Golden West Financial Corp., Delaware | 23,000 | 1,365,970 | ||
| 1,695,506 | ||||
| TOTAL FINANCIALS | 24,109,570 | |||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 12 |
| Common Stocks continued | ||||
| Shares | Value (Note 1) | |||
| HEALTH CARE – 11.8% | ||||
| Biotechnology – 5.8% | ||||
| Amgen, Inc. (a) | 23,114 | $ 1,841,492 | ||
| Charles River Laboratories International, Inc. (a) | 37,100 | 1,618,302 | ||
| Genentech, Inc. (a) | 213,300 | 17,961,991 | ||
| OSI Pharmaceuticals, Inc. (a) | 68,600 | 2,005,864 | ||
| 23,427,649 | ||||
| Health Care Equipment & Supplies – 2.6% | ||||
| C.R. Bard, Inc. | 23,200 | 1,531,896 | ||
| Cytyc Corp. (a) | 11,700 | 314,145 | ||
| Fisher Scientific International, Inc. (a) | 80,760 | 5,011,158 | ||
| Greatbatch, Inc. (a) | 26,100 | 716,184 | ||
| Medtronic, Inc. | 33,300 | 1,785,546 | ||
| Synthes, Inc. | 9,315 | 1,089,785 | ||
| 10,448,714 | ||||
| Health Care Providers & Services – 1.9% | ||||
| UnitedHealth Group, Inc. | 135,000 | 7,587,000 | ||
| Pharmaceuticals – 1.5% | ||||
| Allergan, Inc. | 11,800 | 1,081,116 | ||
| Barr Pharmaceuticals, Inc. (a) | 50,500 | 2,773,460 | ||
| Roche Holding AG (participation certificate) | 16,552 | 2,299,706 | ||
| 6,154,282 | ||||
| TOTAL HEALTH CARE | 47,617,645 | |||
| INDUSTRIALS – 6.4% | ||||
| Aerospace & Defense – 0.1% | ||||
| Rockwell Collins, Inc. | 4,900 | 236,768 | ||
| Air Freight & Logistics – 0.6% | ||||
| C.H. Robinson Worldwide, Inc. | 14,400 | 923,328 | ||
| FedEx Corp. | 18,950 | 1,651,114 | ||
| 2,574,442 | ||||
| Airlines – 0.2% | ||||
| JetBlue Airways Corp. (a) | 36,150 | 636,240 | ||
| Commercial Services & Supplies – 3.9% | ||||
| Adecco SA sponsored ADR | 26,300 | 300,872 | ||
| Cintas Corp. | 16,300 | 669,115 | ||
| Hudson Highland Group, Inc. (a) | 6,854 | 171,144 | ||
| Monster Worldwide, Inc. (a) | 286,200 | 8,789,202 | ||
| Robert Half International, Inc. | 111,670 | 3,974,335 | ||
See accompanying notes which are an integral part of the financial statements.
13 Annual Report
| Investments continued | ||||||
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| INDUSTRIALS – continued | ||||||
| Commercial Services & Supplies – continued | ||||||
| Societe Generale de Surveillance Holding SA (SGS) (Reg.) | 496 | $ 382,703 | ||||
| Waste Management, Inc. | 46,100 | 1,318,921 | ||||
| 15,606,292 | ||||||
| Electrical Equipment – 0.1% | ||||||
| American Power Conversion Corp. | 24,100 | 624,190 | ||||
| Machinery – 0.7% | ||||||
| Caterpillar, Inc. | 29,840 | 1,753,100 | ||||
| Ishikawajima-Harima Heavy Industries Co. Ltd. (a)(d) | 242,000 | 491,661 | ||||
| THK Co. Ltd. | 17,000 | 426,825 | ||||
| 2,671,586 | ||||||
| Road & Rail 0.7% | ||||||
| Burlington Northern Santa Fe Corp. | 4,600 | 275,080 | ||||
| Landstar System, Inc. | 10,800 | 432,324 | ||||
| Norfolk Southern Corp. | 48,450 | 1,965,132 | ||||
| 2,672,536 | ||||||
| Trading Companies & Distributors – 0.1% | ||||||
| Finning International, Inc. | 18,470 | 636,108 | ||||
| TOTAL INDUSTRIALS | 25,658,162 | |||||
| INFORMATION TECHNOLOGY – 31.4% | ||||||
| Communications Equipment – 5.0% | ||||||
| Belden CDT, Inc. | 22,350 | 434,261 | ||||
| Cisco Systems, Inc. (a) | 72,800 | 1,305,304 | ||||
| Comverse Technology, Inc. (a) | 19,900 | 522,773 | ||||
| Juniper Networks, Inc. (a) | 264,900 | 6,301,971 | ||||
| Nokia Corp. sponsored ADR�� | 696,800 | 11,782,888 | ||||
| 20,347,197 | ||||||
| Computers & Peripherals – 1.9% | ||||||
| Apple Computer, Inc. (a) | 39,300 | 2,106,873 | ||||
| Hutchinson Technology, Inc. (a) | 6,891 | 179,993 | ||||
| Network Appliance, Inc. (a) | 91,300 | 2,167,462 | ||||
| Seagate Technology | 197,416 | 3,129,044 | ||||
| 7,583,372 | ||||||
| Electronic Equipment & Instruments – 3.2% | ||||||
| Amphenol Corp. Class A | 68,900 | 2,779,426 | ||||
| Flextronics International Ltd. (a) | 232,900 | 2,992,765 | ||||
| Jabil Circuit, Inc. (a) | 48,800 | 1,508,896 | ||||
| Molex, Inc. | 125,356 | 3,344,498 | ||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 14 |
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| INFORMATION TECHNOLOGY – continued | ||||||
| Electronic Equipment & Instruments – continued | ||||||
| Nichicon Corp. | 59,700 | $ 813,012 | ||||
| Solectron Corp. (a) | 65,900 | 257,669 | ||||
| Tech Data Corp. (a) | 27,200 | 998,512 | ||||
| 12,694,778 | ||||||
| Internet Software & Services – 5.3% | ||||||
| Google, Inc. Class A (sub. vtg.) (a) | 18,523 | 5,861,789 | ||||
| Homestore, Inc. (a) | 157,400 | 684,690 | ||||
| Yahoo! Japan Corp | 5,381 | 6,349,348 | ||||
| Yahoo! Japan Corp. New | 5,381 | 6,444,827 | ||||
| Yahoo!, Inc. (a) | 63,320 | 2,142,749 | ||||
| 21,483,403 | ||||||
| IT Services – 0.8% | ||||||
| Accenture Ltd. Class A (a) | 48,800 | 1,242,448 | ||||
| DST Systems, Inc. (a) | 12,900 | 707,307 | ||||
| Infosys Technologies Ltd. sponsored ADR | 14,600 | 1,084,488 | ||||
| Pegasus Solutions, Inc. (a) | 12,746 | 114,459 | ||||
| 3,148,702 | ||||||
| Semiconductors & Semiconductor Equipment – 10.1% | ||||||
| Altera Corp. (a) | 267,000 | 5,102,370 | ||||
| Analog Devices, Inc. | 48,000 | 1,782,720 | ||||
| ASML Holding NV (NY Shares) (a) | 18,500 | 305,435 | ||||
| Freescale Semiconductor, Inc. Class B (a) | 15,988 | 376,997 | ||||
| Intersil Corp. Class A | 46,269 | 1,007,739 | ||||
| KLA Tencor Corp. | 157,610 | 7,685,064 | ||||
| Microchip Technology, Inc. | 22,000 | 662,640 | ||||
| Novellus Systems, Inc. (a) | 8,100 | 203,148 | ||||
| Samsung Electronics Co. Ltd. | 8,900 | 5,015,044 | ||||
| Silicon Laboratories, Inc. (a) | 20,720 | 629,681 | ||||
| Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 26,377 | 216,819 | ||||
| Teradyne, Inc. (a) | 675,070 | 11,138,655 | ||||
| Texas Instruments, Inc. | 186,800 | 6,332,520 | ||||
| Xilinx, Inc. | 14,400 | 401,040 | ||||
| 40,859,872 | ||||||
| Software 5.1% | ||||||
| Autodesk, Inc. (a) | 18,500 | 859,140 | ||||
| BEA Systems, Inc. (a) | 702,358 | 6,307,175 | ||||
| Microsoft Corp. | 153,800 | 3,957,274 | ||||
See accompanying notes which are an integral part of the financial statements.
15 Annual Report
| Investments continued | ||||||
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| INFORMATION TECHNOLOGY – continued | ||||||
| Software – continued | ||||||
| Nippon System Development Co. Ltd. | 10,100 | $ 255,376 | ||||
| Symantec Corp. (a) | 408,133 | 9,248,294 | ||||
| 20,627,259 | ||||||
| TOTAL INFORMATION TECHNOLOGY | 126,744,583 | |||||
| MATERIALS 4.7% | ||||||
| Chemicals – 1.8% | ||||||
| Lyondell Chemical Co. | 92,200 | 2,638,764 | ||||
| Monsanto Co. | 67,700 | 4,248,175 | ||||
| Praxair, Inc. | 6,000 | 287,580 | ||||
| 7,174,519 | ||||||
| Containers & Packaging – 0.1% | ||||||
| Sealed Air Corp. (a) | 5,200 | 246,792 | ||||
| Metals & Mining – 2.8% | ||||||
| Alcan, Inc. | 4,352 | 137,942 | ||||
| Alcoa, Inc. | 64,500 | 1,575,090 | ||||
| Falconbridge Ltd. | 23,200 | 620,010 | ||||
| Inco Ltd. | 35,780 | 1,692,364 | ||||
| Newmont Mining Corp. | 33,800 | 1,594,346 | ||||
| Nippon Steel Corp. | 100,000 | 377,941 | ||||
| Nucor Corp. | 34,400 | 2,029,256 | ||||
| Phelps Dodge Corp. | 26,800 | 3,482,124 | ||||
| 11,509,073 | ||||||
| TOTAL MATERIALS | 18,930,384 | |||||
| TELECOMMUNICATION SERVICES – 0.0% | ||||||
| Wireless Telecommunication Services – 0.0% | ||||||
| NTT DoCoMo, Inc. | 109 | 195,982 | ||||
| UTILITIES – 0.1% | ||||||
| Gas Utilities 0.1% | ||||||
| Equitable Resources, Inc. | 12,400 | 484,344 | ||||
| TOTAL COMMON STOCKS | ||||||
| (Cost $306,261,129) | 354,588,842 | |||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 16 |
| Convertible Bonds 0.0% | ||||
| Principal | Value (Note 1) | |||
| Amount | ||||
| CONSUMER DISCRETIONARY – 0.0% | ||||
| Media – 0.0% | ||||
| Playboy Enterprises, Inc. 3% 3/15/25 (e) | $ 180,000 | $ 185,418 | ||
| TOTAL CONVERTIBLE BONDS | ||||
| (Cost $180,000) | 185,418 | |||
| U.S. Treasury Obligations 0.3% | ||||
| U.S. Treasury Bills, yield at date of purchase 3.33% to | ||||
| 3.49% 11/3/05 to 12/29/05 (f) | ||||
| (Cost $1,093,343) | 1,100,000 | 1,093,852 | ||
| Fixed Income Funds 6.4% | ||||
| Shares | ||||
| Fidelity High Income Central Investment Portfolio 1 (b) | ||||
| (Cost $25,339,811) | 264,212 | 25,707,798 | ||
| Money Market Funds 5.8% | ||||
| Fidelity Cash Central Fund, 3.82% (b) | 21,521,203 | 21,521,203 | ||
| Fidelity Securities Lending Cash Central Fund, 3.84% (b)(c) | 1,678,905 | 1,678,905 | ||
| TOTAL MONEY MARKET FUNDS | ||||
| (Cost $23,200,108) | 23,200,108 | |||
| TOTAL INVESTMENT PORTFOLIO 100.4% | ||||
| (Cost $356,074,391) | 404,776,018 | |||
| NET OTHER ASSETS – (0.4)% | (1,554,961) | |||
| NET ASSETS 100% | $ 403,221,057 | |||
See accompanying notes which are an integral part of the financial statements.
17 Annual Report
| Investments continued | ||||||
| Futures Contracts | ||||||
| Expiration | Underlying | Unrealized | ||||
| Date | Face Amount | Appreciation/ | ||||
| at Value | (Depreciation) | |||||
| Purchased | ||||||
| Equity Index Contracts | ||||||
| 64 S&P 500 Index Contracts | Dec. 2005 | $ 19,748,800 | $ (33,161) | |||
The face value of futures purchased as a percentage of net assets 4.9%
| Legend (a) Non-income producing (b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the money market fund’s holdings as of its most recent quarter end is available upon request. A complete unaudited listing of the fixed-income central fund’s holdings is provided at the end of this report. (c) Investment made with cash collateral received from securities on loan. (d) Security or a portion of the security is on loan at period end. (e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $185,418 or 0.0% of net assets. (f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $1,093,852. |
Other Information
The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited):
| AAA,AA,A | 0.0% | |
| BBB | 0.1% | |
| BB | 2.3% | |
| B | 3.0% | |
| CCC,CC,C | 0.7% | |
| Not Rated | 0.1% | |
| Equities | 92.8% | |
| Short Term Investments and Net | ||
| Other Assets | 1.0% | |
| 100.0% |
We have used ratings from Moody’s® Investors Services, Inc. Where Moody’s ratings are not available, we have used S&P® ratings. Percentages are adjusted for the effect of futures contracts, if applicable.
See accompanying notes which are an integral part of the financial statements.
Annual Report 18
Distribution of investments by country of issue, as a percentage of total net assets, is as follows:
| United States of America | 75.6% | |
| Japan | 9.4% | |
| Cayman Islands | 3.1% | |
| Finland | 2.9% | |
| Canada | 2.5% | |
| Korea (South) | 1.6% | |
| Others (individually less than 1%) . | 4.9% | |
| 100.0% |
The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity’s fixed-income central fund.
Income Tax Information
At September 30, 2005, the fund had a capital loss carryforward of approximately $145,355,061 of which $94,855,485 and $50,499,576 will expire on September 30, 2010 and 2011, respectively.
See accompanying notes which are an integral part of the financial statements.
19 Annual Report
| Financial Statements | ||||||||
| Statement of Assets and Liabilities | ||||||||
| September 30, 2005 | ||||||||
| Assets | ||||||||
| Investment in securities, at value (including securities | ||||||||
| loaned of $1,655,442) (cost $356,074,391) | ||||||||
| See accompanying schedule | $ | 404,776,018 | ||||||
| Cash | 2,900 | |||||||
| Receivable for investments sold | 3,205,416 | |||||||
| Receivable for fund shares sold | 504,165 | |||||||
| Dividends receivable | 146,729 | |||||||
| Interest receivable | 208,090 | |||||||
| Receivable for daily variation on futures contracts | 40,000 | |||||||
| Prepaid expenses | 190 | |||||||
| Other receivables | 28,288 | |||||||
| Total assets | 408,911,796 | |||||||
| Liabilities | ||||||||
| Payable for investments purchased | $ | 2,600,019 | ||||||
| Payable for fund shares redeemed | 1,069,508 | |||||||
| Accrued management fee | 190,225 | |||||||
| Other affiliated payables | 101,653 | |||||||
| Other payables and accrued expenses | 50,429 | |||||||
| Collateral on securities loaned, at value | 1,678,905 | |||||||
| Total liabilities | 5,690,739 | |||||||
| Net Assets | $ | 403,221,057 | ||||||
| Net Assets consist of: | ||||||||
| Paid in capital | $ | 499,567,174 | ||||||
| Undistributed net investment income | 1,038,063 | |||||||
| Accumulated undistributed net realized gain (loss) on | ||||||||
| investments and foreign currency transactions | (146,048,241) | |||||||
| Net unrealized appreciation (depreciation) on | ||||||||
| investments and assets and liabilities in foreign | ||||||||
| currencies | 48,664,061 | |||||||
| Net Assets, for 34,495,309 shares outstanding | $ | 403,221,057 | ||||||
| Net Asset Value, offering price and redemption price per | ||||||||
| share ($403,221,057 ÷ 34,495,309 shares) | $ | 11.69 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 20 |
| Statement of Operations | ||||||
| Year ended September 30, 2005 | ||||||
| Investment Income | ||||||
| Dividends | $ | 2,447,669 | ||||
| Special Dividends | 540,300 | |||||
| Interest | 2,440,829 | |||||
| Security lending | 37,914 | |||||
| Total income | 5,466,712 | |||||
| Expenses | ||||||
| Management fee | $ | 2,199,894 | ||||
| Transfer agent fees | 1,048,757 | |||||
| Accounting and security lending fees | 144,791 | |||||
| Independent trustees’ compensation | 1,875 | |||||
| Custodian fees and expenses | 25,962 | |||||
| Registration fees | 31,853 | |||||
| Audit | 56,333 | |||||
| Legal | 3,099 | |||||
| Miscellaneous | 8,303 | |||||
| Total expenses before reductions | 3,520,867 | |||||
| Expense reductions | (102,462) | 3,418,405 | ||||
| Net investment income (loss) | 2,048,307 | |||||
| Realized and Unrealized Gain (Loss) | ||||||
| Net realized gain (loss) on: | ||||||
| Investment securities | 21,168,886 | |||||
| Foreign currency transactions | (82,138) | |||||
| Futures contracts | 518,046 | |||||
| Total net realized gain (loss) | 21,604,794 | |||||
| Change in net unrealized appreciation (depreciation) on: | ||||||
| Investment securities | 26,407,038 | |||||
| Assets and liabilities in foreign currencies | (4,869) | |||||
| Futures contracts | 112,764 | |||||
| Total change in net unrealized appreciation | ||||||
| (depreciation) | 26,514,933 | |||||
| Net gain (loss) | 48,119,727 | |||||
| Net increase (decrease) in net assets resulting from | ||||||
| operations | $ | 50,168,034 | ||||
See accompanying notes which are an integral part of the financial statements.
21 Annual Report
| Financial Statements continued | ||||||||
| Statement of Changes in Net Assets | ||||||||
| Year ended | Year ended | |||||||
| September 30, | September 30, | |||||||
| 2005 | 2004 | |||||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net investment income (loss) | $ | 2,048,307 | $ | 1,731,403 | ||||
| Net realized gain (loss) | 21,604,794 | 47,555,966 | ||||||
| Change in net unrealized appreciation (depreciation) . | 26,514,933 | (19,360,023) | ||||||
| Net increase (decrease) in net assets resulting | ||||||||
| from operations | 50,168,034 | 29,927,346 | ||||||
| Distributions to shareholders from net investment income . | (2,102,362) | (1,838,362) | ||||||
| Share transactions | ||||||||
| Proceeds from sales of shares | 120,256,110 | 207,765,550 | ||||||
| Reinvestment of distributions | 2,070,868 | 1,804,616 | ||||||
| Cost of shares redeemed | (119,771,737) | (135,413,272) | ||||||
| Net increase (decrease) in net assets resulting from | ||||||||
| share transactions | 2,555,241 | 74,156,894 | ||||||
| Total increase (decrease) in net assets | 50,620,913 | 102,245,878 | ||||||
| Net Assets | ||||||||
| Beginning of period | 352,600,144 | 250,354,266 | ||||||
| End of period (including undistributed net investment | ||||||||
| income of $1,038,063 and undistributed net invest- | ||||||||
| ment income of $916,426, respectively) | $ | 403,221,057 | $ | 352,600,144 | ||||
| Other Information | ||||||||
| Shares | ||||||||
| Sold | 10,952,255 | 20,328,726 | ||||||
| Issued in reinvestment of distributions | 186,901 | 180,462 | ||||||
| Redeemed | (10,903,524) | (13,277,879) | ||||||
| Net increase (decrease) | 235,632 | 7,231,309 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 22 |
| Financial Highlights | ||||||||||||||
| Years ended September 30, | 2005 | 2004 | 2003 | 2002 | 2001 | |||||||||
| Selected Per Share Data | ||||||||||||||
| Net asset value, beginning of | ||||||||||||||
| period | $ 10.29 | $ 9.26 | $ 6.79 | $ 9.57 | $ 15.32 | |||||||||
| Income from Investment | ||||||||||||||
| Operations | ||||||||||||||
| Net investment income (loss)B | 06C | .05 | .05 | .08E | .20 | |||||||||
| Net realized and unrealized | ||||||||||||||
| gain (loss) | 1.40 | 1.04 | 2.49 | (2.64)E | (5.22) | |||||||||
| Total from investment operations | 1.46 | 1.09 | 2.54 | (2.56) | (5.02) | |||||||||
| Distributions from net investment | ||||||||||||||
| income | (.06) | (.06) | (.07) | (.22) | (.13) | |||||||||
| Distributions from net realized | ||||||||||||||
| gain | — | — | — | — | (.60) | |||||||||
| Total distributions | (.06) | (.06) | (.07) | (.22) | (.73) | |||||||||
| Net asset value, end of period | $ 11.69 | $ 10.29 | $ 9.26 | $ 6.79 | $ 9.57 | |||||||||
| Total ReturnA | 14.22% | 11.79% | 37.74% | (27.58)% | (33.98)% | |||||||||
| Ratios to Average Net AssetsD,F | ||||||||||||||
| Expenses before expense | ||||||||||||||
| reductions | 92% | .94% | 1.03% | .97% | .89% | |||||||||
| Expenses net of voluntary waiv- | ||||||||||||||
| ers, if any | 92% | .94% | 1.03% | .97% | .89% | |||||||||
| Expenses net of all reductions | 89% | .91% | 1.00% | .88% | .85% | |||||||||
| Net investment income (loss) | 53%C | .52% | .63% | .87%E | 1.55% | |||||||||
| Supplemental Data | ||||||||||||||
| Net assets, end of period | ||||||||||||||
| (000 omitted) | $403,221 | $352,600 | $250,354 | $150,176 | $264,317 | |||||||||
| Portfolio turnover rate | 71% | 86% | 131% | 240% | 255% | |||||||||
| A Total returns would have been lower had certain expenses not been reduced during the periods shown. B Calculated based on average shares outstanding during the period. C Investment income per share reflects a special dividend which amounted to $.02 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been .39%. D Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions repre sent the net expenses paid by the fund. E Effective October 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per share data and ratios for periods prior to adoption have not been restated to reflect this change. F Amounts do not include the activity of the underlying funds. |
See accompanying notes which are an integral part of the financial statements.
23 Annual Report
Notes to Financial Statements
For the period ended September 30, 2005
1. Significant Accounting Policies.
Fidelity Asset Manager: Aggressive (the fund) is a fund of Fidelity Charles Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is regis tered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open end management investment company organized as a Massachusetts business trust. The fund may invest in affiliated money market central funds (Money Market Central Funds) and fixed income Central Investment Portfolios (CIPs), collectively referred to as Central Funds, which are open end investment companies available to investment companies and other accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund, which are also consistently followed by the Central Funds:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security’s value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security’s valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off exchange institutional trading may be reviewed in the course of making a good faith determination of a security’s fair value. Short term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open end investment companies, including Central Funds, are valued at their net asset value each business day.
| Annual Report |
| 24 |
1. Significant Accounting Policies continued
Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
Foreign denominated assets, including investment securities, and liabilities are trans lated into U.S. dollars at the exchange rate at period end. Purchases and sales of invest ment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transac tion date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. Security transactions, including the fund’s investment activity in the Central Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex dividend date, except for certain dividends from foreign securities where the ex dividend date may have passed, which are recorded as soon as the fund is informed of the ex dividend date. Non cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered return of capital distribu tions or capital gain distributions. Large, non recurring dividends recognized by the fund are presented separately on the Statement of Operations as “Special Dividends” and the impact of these dividends is presented in the Financial Highlights. Interest income, including distributions from the Central Funds, is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on the fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests.
25 Annual Report
| Notes to Financial Statements continued 1. Significant Accounting Policies continued Income Tax Information and Distributions to Shareholders continued |
Distributions are recorded on the ex dividend date. Income and capital gain distribu tions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book tax differences will reverse in a subsequent period.
Book tax differences are primarily due to futures transactions, foreign currency transac tions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from the CIPs), capital loss carryforwards and losses deferred due to wash sales.
The tax basis components of distributable earnings and the federal tax cost as of period end were as follows:
| Unrealized appreciation | $ 59,794,737 | |||
| Unrealized depreciation | (11,823,855) | |||
| Net unrealized appreciation (depreciation) | 47,970,882 | |||
| Undistributed ordinary income | 1,038,063 | |||
| Capital loss carryforward | (145,355,061) | |||
| Cost for federal income tax purposes | $ 356,805,136 | |||
The tax character of distributions paid was as follows:
| September 30, | September 30, | |||||||
| 2005 | 2004 | |||||||
| Ordinary Income | $ 2,102,362 | $ 1,838,362 |
2. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Annual Report 26
2. Operating Policies continued
Futures Contracts. The fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase a fund’s exposure to the underlying instrument, while selling futures tends to decrease a fund’s exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption “Futures Contracts.” This amount reflects each contract’s exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contracts’ terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Restricted Securities. The fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transac tions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the fund’s Schedule of Investments.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short term securities, U.S. government securities and in kind transactions, aggregated $270,559,764 and $261,491,887, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the fund with investment manage ment related services for which the fund pays a monthly management fee. The manage ment fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the fund’s average net assets and a group fee rate that averaged .27% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual man agement fee rate was .57% of the fund’s average net assets.
Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund’s transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset based fees that vary according to account size and type of ac count. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .27% of average net assets.
27 Annual Report
| Notes to Financial Statements continued 4. Fees and Other Transactions with Affiliates continued |
Accounting and Security Lending Fees. FSC maintains the fund’s accounting re cords. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Affiliated Central Funds. The fund may invest in Money Market Central Funds which seek preservation of capital and current income and are managed by Fidelity Invest ments Money Management, Inc. (FIMM) an affiliate of FMR.
The fund may also invest in CIPs managed by Fidelity Management & Research Company, Inc. (FMRC), an affiliate of FMR. The High Income Central Investment Portfolio 1 seeks a high level of income and may also seek capital appreciation by investing primarily in income producing debt securities, preferred stocks, and convertible securities, with an emphasis on lower quality debt securities.
The fund’s Schedule of Investments lists the CIP as an investment of the fund but does not include the underlying holdings of the CIP. Based on its investment objectives, the CIP may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. In addition, the CIP may also participate in delayed delivery and when issued securities and loans and other direct debt instruments. These strategies are consistent with the investment objectives of the fund and may involve certain economic risks, including the risk that a counterparty to one or more of these transactions may be unable or unwilling to comply with the terms of the governing agreement. This may result in a decline in value of the CIP and the fund.
A complete list of holdings for the CIP is available at the end of this report. In addition, a copy of the CIP’s financial statements is available on the EDGAR Database on the SEC’s website www.sec.gov, or at the Commission’s public reference room in Washington, DC.
The Central Funds do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $2,207,112 for the period.
On November 12, 2004, the fund completed a non taxable exchange of securities with a value, including accrued interest, of $28,463,870, (which included $1,165,147 of unreal ized appreciation), for 284,639 shares (each then valued at $100.00 per share) of the Fidelity High Income Central Investment Portfolio 1, an affiliated entity. This is consid ered a non taxable exchange for federal income tax purposes, with no gain or loss recognized by the fund or its shareholders.
Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $8,447 for the period.
| Annual Report |
| 28 |
| 5. Committed Line of Credit. |
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the “line of credit”) to be utilized for temporary or emergency purposes to fund share holder redemptions or for other short term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.
| 6. Security Lending. |
The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insol vency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the fund’s Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities.
| 7. Expense Reductions. |
Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $98,022 for the period. In addition, through arrangements with the fund’s custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the fund’s expenses. During the period, these credits reduced the fund’s custody and transfer agent expenses by $628 and $3,812, respectively.
| 8. Other. |
The fund’s organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the perfor mance of their duties to the fund. In the normal course of business, the fund may also enter into contracts that provide general indemnifications. The fund’s maximum expo sure under these arrangements is unknown as this would be dependent on future claims that may be made against the fund. The risk of material loss from such claims is consid ered remote.
29 Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Charles Street Trust and Shareholders of Fidelity Asset Manager: Aggressive:
We have audited the accompanying statement of assets and liabilities of Fidelity Asset Manager: Aggressive (the Fund), a fund of Fidelity Charles Street Trust, including the schedule of investments, as of September 30, 2005, and the related statement of opera tions for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures in cluded confirmation of securities owned as of September 30, 2005, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Asset Manager: Aggressive as of September 30, 2005, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with account ing principles generally accepted in the United States of America.
| /s/ Deloitte & Touche LLP |
| DELOITTE & TOUCHE LLP |
| Boston, Massachusetts |
| November 16, 2005 |
Annual Report 30
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund’s activities, review contractual arrangements with companies that provide services to the fund, and review the fund’s performance. Except for William O. McCoy, Stephen P. Jonas, and Kenneth L. Wolfe, each of the Trustees oversees 322 funds advised by FMR or an affiliate. Mr. McCoy oversees 324 funds advised by FMR or an affiliate. Mr. Jonas and Mr. Wolfe oversee 319 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instru ment signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
| Name, Age; Principal Occupation Edward C. Johnson 3d (75)** |
Year of Election or Appointment: 1981
Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001 present) and a Director (2000 present) of FMR Co., Inc.
31 Annual Report
Trustees and Officers - continued
| Name, Age; Principal Occupation Abigail P. Johnson (43)** |
Year of Election or Appointment: 2001
Ms. Johnson serves as President of Fidelity Employer Services Company (FESCO) (2005 present). She is President and a Director of Fidelity Investments Money Management, Inc. (2001 present), FMR Co., Inc. (2001 present), and a Director of FMR Corp. Previously, Ms. Johnson served as President and a Director of FMR (2001 2005), Senior Vice President of the Fidelity funds (2001 2005), and managed a number of Fidelity funds.
| Stephen P. Jonas (52) |
Year of Election or Appointment: 2005
Mr. Jonas is Senior Vice President of Asset Manager: Aggressive (2005 present). He also serves as Senior Vice President of other Fidelity funds (2005 present). Mr. Jonas is Executive Director of FMR (2005 present). Previously, Mr. Jonas served as President of Fidelity Enterprise Operations and Risk Services (2004 2005), Chief Adminis trative Officer (2002 2004), and Chief Financial Officer of FMR Co. (1998 2000). Mr. Jonas has been with Fidelity Investments since 1987 and has held various financial and management positions including Chief Financial Officer of FMR. In addition, he serves on the Boards of Boston Ballet (2003 present) and Simmons College (2003 present).
| Robert L. Reynolds (53) |
Year of Election or Appointment: 2003
Mr. Reynolds is a Director (2003 present) and Chief Operating Officer (2002 present) of FMR Corp. He also serves on the Board at Fidelity Investments Canada, Ltd. (2000 present). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996 2000).
* Trustees have been determined to be “Interested Trustees” by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson’s father.
| Annual Report |
| 32 |
| Independent Trustees: |
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205 5235.
| Name, Age; Principal Occupation Dennis J. Dirks (57) |
Year of Election or Appointment: 2005
Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999 2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999 2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999 2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001 2003) and Chief Executive Officer and Board member of the Mortgage Backed Securities Clearing Corporation (2001 2003). Mr. Dirks also serves as a Trustee of Manhattan College (2005 present).
| Robert M. Gates (62) |
Year of Election or Appointment: 1997
Dr. Gates is Vice Chairman of the Independent Trustees (2005 present). Dr. Gates is President of Texas A&M University (2002 present). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001 present), and Brinker International (restaurant management, 2003 present). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999 2001). Dr. Gates also is a Trustee of the Forum for International Policy.
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Trustees and Officers - continued
| Name, Age; Principal Occupation George H. Heilmeier (69) |
Year of Election or Appointment: 2004
Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (commu nication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineer ing and information technology support for the government), and HRL Laboratories (private research and development, 2004 present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000 present). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Acad emy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992 2002), Compaq (1994 2002), Automatic Data Processing, Inc. (ADP) (technology based business outsourcing, 1995 2002), INET Technologies Inc. (telecommu nications network surveillance, 2001 2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid display.
| Marie L. Knowles (58) |
Year of Election or Appointment: 2001
Prior to Ms. Knowles’ retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996 2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper min ing and manufacturing) and McKesson Corporation (healthcare service, 2002 present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.
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| Name, Age; Principal Occupation Ned C. Lautenbach (61) |
Year of Election or Appointment: 2000
Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corpora tion (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004 present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005 present), as well as a member of the Council on Foreign Relations.
| Marvin L. Mann (72) |
Year of Election or Appointment: 1993
Mr. Mann is Chairman of the Independent Trustees (2001 present). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director’s Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President’s Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.
| William O. McCoy (71) |
Year of Election or Appointment: 1997
Prior to his retirement in December 1994, Mr. McCoy was Vice Chair man of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Frank lin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999 2000) and a member of the Board of Visitors for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16 school system).
35 Annual Report
Trustees and Officers - continued
| Name, Age; Principal Occupation Cornelia M. Small (61) |
Year of Election or Appointment: 2005
Ms. Small is a member (2000 present) and Chairperson (2002 present) of the Investment Committee, and a member (2002 present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999 2000), Director of Global Equity Investments (1996 1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990 1997) and Scudder Kemper Investments (1997 1998). In addition, Ms. Small served as Co Chair (2000 2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.
| William S. Stavropoulos (66) |
Year of Election or Appointment: 2001
Mr. Stavropoulos is Chairman of the Board (2000 present) and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993 2000; 2002 2003), CEO (1995 2000; 2002 2004), and Chair man of the Executive Committee (2000 2004). Currently, he is a Direc tor of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corpora tion, Maersk Inc. (industrial conglomerate, 2002 present), and Metalmark Capital (private equity investment firm, 2005 present). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.
| Kenneth L. Wolfe (66) |
Year of Election or Appointment: 2005
Mr. Wolfe also serves as a Trustee (2005 present) or Member of the Advisory Board (2004 present) of other investment companies advised by FMR. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993 2001). He currently serves as a member of the boards of Adelphia Communica tions Corporation (2003 present), Bausch & Lomb, Inc., and Revlon Inc. (2004 present).
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Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Gamper may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205 5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
| Name, Age; Principal Occupation Albert R. Gamper, Jr. (63) |
Year of Election or Appointment: 2005
Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior manage ment positions, including Chairman (1987 1989; 1999 2001; 2002 2004), Chief Executive Officer (1987 2004), and President (1989 2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001 present), Chairman of the Board of Governors, Rutgers University (2004 present), and Chairman of the Board of Saint Barnabas Health Care System.
| Peter S. Lynch (61) |
Year of Election or Appointment: 2003
Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001 present) and a Director (2000 present) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990 2003). In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infir mary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.
| Boyce I. Greer (49) |
Year of Election or Appointment: 2005
Vice President of Asset Manager: Aggressive. Mr. Greer also serves as Vice President of the Fidelity Select Portfolios (2005 present), certain Asset Allocation Funds (2005 present), a Trustee of other investment companies advised by FMR (2003 present), and a member of the FMR senior management team (2005 present). Previously, Mr. Greer served as a Director and Managing Director of Strategic Advisers, Inc. (2002 2005), Executive Vice President (2000 2002), and Money Market Group Leader (1997 2002) of the Fidelity Investments Fixed Income Division. He also served as Vice President of Fidelity’s Money Market Funds (1997 2002), Senior Vice President of FMR (1997 2002), and Vice President of FIMM (1998 2002).
37 Annual Report
Trustees and Officers - continued
| Name, Age; Principal Occupation Richard Habermann (65) |
Year of Election or Appointment: 1996
Vice President of Asset Manager: Aggressive. Mr. Habermann also serves as Vice President of other funds advised by FMR. Mr. Habermann has held several positions including portfolio manager, director of research for FMRCo, division head for international equities, director of international research, and chief investment officer for Fidelity International, Limited.
| Ramin Arani (35) |
Year of Election or Appointment: 2005
Vice President of Asset Manager: Aggressive. Prior to assuming his cur rent responsibilities, Mr. Arani has worked as a research analyst and manager.
| Eric D. Roiter (56) |
Year of Election or Appointment: 1998
Secretary of Asset Manager: Aggressive. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001 present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001 present), Fidelity Manage ment & Research (Far East) Inc. (2001 present), and Fidelity Investments Money Management, Inc. (2001 present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003 present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998 2005).
| Stuart Fross (46) |
Year of Election or Appointment: 2003
Assistant Secretary of Asset Manager: Aggressive. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003 present), Vice Presi dent and Secretary of FDC (2005 present), and is an employee of FMR.
| Christine Reynolds (47) |
Year of Election or Appointment: 2004
President, Treasurer, and Anti Money Laundering (AML) officer of Asset Manager: Aggressive. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Invest ments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980 2002), where she was most recently an audit partner with PwC’s investment management practice.
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| Name, Age; Principal Occupation Timothy F. Hayes (54) |
Year of Election or Appointment: 2002
Chief Financial Officer of Asset Manager: Aggressive. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002 present) and President of Fidelity Investment Operations (2005 present) which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he served as President (1998 2005). Mr. Hayes serves as President of Fidelity Service Company (2003 present) where he also serves as a Director. Mr. Hayes also served as President of Fidelity Investments Operations Group (FIOG, 2002 2005).
| Kenneth A. Rathgeber (58) |
Year of Election or Appointment: 2004
Chief Compliance Officer of Asset Manager: Aggressive. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998 2002).
| John R. Hebble (47) |
Year of Election or Appointment: 2003
Deputy Treasurer of Asset Manager: Aggressive. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002 2003) and Assistant Treasurer of the Scudder Funds (1998 2003).
| Bryan A. Mehrmann (44) |
Year of Election or Appointment: 2005
Deputy Treasurer of Asset Manager: Aggressive. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005 present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice Presi dent of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998 2004).
| Kimberley H. Monasterio (41) |
Year of Election or Appointment: 2004
Deputy Treasurer of Asset Manager: Aggressive. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000 2004) and Chief Financial Officer (2002 2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000 2004).
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Trustees and Officers - continued
| Name, Age; Principal Occupation Kenneth B. Robins (36) |
Year of Election or Appointment: 2005
Deputy Treasurer of Asset Manager: Aggressive. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2004 present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG’s department of professional practice (2002 2004) and a Senior Manager (1999 2000). In addition, Mr. Robins served as Assistant Chief Accoun tant, United States Securities and Exchange Commission (2000 2002).
| Robert G. Byrnes (38) |
Year of Election or Appointment: 2005
Assistant Treasurer of Asset Manager: Aggressive. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2005 present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003 2005). Before joining Fidelity Invest ments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000 2003).
| John H. Costello (59) |
Year of Election or Appointment: 1986
Assistant Treasurer of Asset Manager: Aggressive. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.
| Peter L. Lydecker (51) |
Year of Election or Appointment: 2004
Assistant Treasurer of Asset Manager: Aggressive. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.
| Mark Osterheld (50) |
Year of Election or Appointment: 2002
Assistant Treasurer of Asset Manager: Aggressive. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.
| Gary W. Ryan (47) |
Year of Election or Appointment: 2005
Assistant Treasurer of Asset Manager: Aggressive. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2005 present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999 2005).
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| Name, Age; Principal Occupation Salvatore Schiavone (39) |
Year of Election or Appointment: 2005
Assistant Treasurer of Asset Manager: Aggressive. Mr. Schiavone also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2005 present). Before joining Fidelity Invest ments, Mr. Schiavone worked at Deutsche Asset Management, where he most recently served as Assistant Treasurer (2003 2005) of the Scudder Funds and Vice President and Head of Fund Reporting (1996 2003).
41 Annual Report
| Distributions |
The fund designates 100% of the dividend distributed during the fiscal year as qualifying for the dividends received deduction for corporate shareholders.
The fund designates 100% of the dividend distributed during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2006 of amounts for use in preparing 2005 income tax returns.
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Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Asset Manager: Aggressive
Each year, typically in July, the Board of Trustees, including the independent Trustees (together, the Board), votes on the renewal of the management contract and sub advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and independent Trustees’ counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund’s Advisory Contracts, including the services and support provided to the fund and its shareholders by Fidelity. At the time of the renewal, the Board had 11 standing committees, each composed of independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such com mittee, the Equity Contract Committee, meets periodically during the first six months of each year and as necessary to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its July 2005 meeting, the Board of Trustees, including the independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (1) the nature, extent, and quality of the services to be provided to the fund and its shareholders by Fidelity (including the investment performance of the fund); (2) the competitiveness of the management fee and total expenses of the fund; (3) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (4) the extent to which economies of scale would be realized as the fund grows; and (5) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In determining whether to renew the Advisory Contracts for the fund, the Board ulti mately reached a determination, with the assistance of fund counsel and independent Trustees’ counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity’s fidu ciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund’s shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its
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Board Approval of Investment Advisory Contracts and Management Fees continued
prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board consid ered staffing within the investment adviser, FMR, and the sub advisers (together, the Investment Advisers), including the backgrounds of the fund’s portfolio managers and the fund’s investment objective and discipline. The independent Trustees also had discussions with senior management of Fidelity’s investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Fidelity Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers’ invest ment staff, their use of technology, and the Investment Advisers’ approach to recruiting, training, and retaining portfolio managers and other research, advisory, and manage ment personnel. The Board considered Fidelity’s extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity’s analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity’s portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund’s portfolio, as well as an electronic communication system that provides immediate real time access to research concerning issuers and credit enhancers.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund. The Board also considered the nature and extent of the Investment Advisers’ supervision of third party service providers, principally custodians and subcustodians. The Board reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of “soft” commission dollars to pay for research services. The Board also considered that Fidelity voluntarily decided in 2004 to stop using “soft” commission dollars to pay for market data and, instead, to pay for that data out of its own resources. The Board also considered the resources devoted to, and the record of compliance with, the fund’s compliance policies and procedures.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24 hour access to
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account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund’s prospectus, without paying a sales charge. The Board noted that, since the last Advisory Contract renewals in July 2004, Fidelity has taken a number of actions that benefited particular funds, including (i) voluntarily deciding in 2004 to stop using “soft” commission dollars to pay for market data and, instead, to pay for that data out of its own resources, (ii) contractually agreeing to impose management fee reductions and expense limitations on its five Spartan stock index funds and its stock index fund available through variable insurance products, (iii) contractually agreeing to eliminate the management fees on the Fidelity Freedom Funds and the Fidelity Advisor Freedom Funds, (iv) contractually agreeing to reduce the management fees on most of its investment grade taxable bond funds, and (v) contractually agreeing to impose expense limitations on its retail and Spartan investment grade taxable bond funds.
Investment Performance and Compliance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund’s absolute investment performance, as well as the fund’s relative investment performance measured against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. The following charts considered by the Board show, over the one , three , and five year periods ended December 31, 2004, the fund’s returns, the returns of a proprietary custom index (“benchmark”), and a range of returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the Lipper peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the Lipper peer group whose performance was equal to or lower than that of the fund. The fund’s proprietary custom index is an index developed by FMR that represents the fund’s two asset classes accord ing to their respective weightings in the fund’s neutral mix.
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Board Approval of Investment Advisory Contracts and Management Fees continued
The Board reviewed the fund’s relative investment performance against its Lipper peer group and stated that the performance of the fund was in the second quartile for the one year period, the fourth quartile for the three year period, and the third quartile for the five year period. The Board also stated that the relative investment performance of the fund has compared favorably to its benchmark over time, although the fund’s three year cumulative total return was lower than its benchmark.
The Board has had thorough discussions with FMR throughout the year about the Board’s and FMR’s concerns about equity research, equity fund performance, and compliance with internal policies governing gifts and entertainment. FMR has taken steps that it believes will refocus and strengthen equity research and equity portfolio management and compliance. The Board noted with favor FMR’s recent reorganization of its senior management team and FMR’s plans to dedicate additional resources to investment research, and participated in the process that led to those changes.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit the fund’s shareholders, particularly in light of the Board’s view that the fund’s shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund’s management fee and total expenses compared to “mapped groups” of competitive funds and classes. Fidelity creates “mapped groups” by combining similar Lipper investment objective categories that have comparable management fee
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characteristics. Combining Lipper investment objective categories aids the Board’s management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
The Board considered two proprietary management fee comparisons for the 12 month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the “Total Mapped Group” and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund’s standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. “TMG %” represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund’s. For example, a TMG % of 29% means that 71% of the funds in the Total Mapped Group had higher management fees than the fund. The “Asset Size Peer Group” (ASPG) comparison focuses on a fund’s standing relative to non Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile (“quadrant”) in which the fund’s management fee ranked, is also included in the chart and considered by the Board.
The Board noted that the fund’s management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2004.
47 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
Based on its review, the Board concluded that the fund’s management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of the fund’s total expenses, the Board considered the fund’s management fee as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also consid ered current and historical total expenses of the fund compared to competitive fund median expenses. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that the fund’s total expenses ranked below its competitive median for 2004.
In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Based on its review, the Board concluded that the fund’s total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, market ing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity’s profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity’s profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year’s methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board’s assessment of the results of Fidelity’s profitability analysis. PwC’s engagement includes the review and assessment of Fidelity’s methodologies used in determining the revenues and expenses attributable to Fidelity’s mutual fund business, and completion of agreed upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC’s
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reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity’s profitabil ity methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity’s non fund businesses and any fall out benefits related to the mutual fund business as well as cases where Fidelity’s affiliates may benefit from or be related to the fund’s business. In addition, a special committee of the Board reviewed services provided to Fidelity by its affiliates and determined that the fees that Fidelity paid for such services were reasonable.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases.
The Board recognized that the fund’s management contract incorporates a “group fee” structure, which provides for lower fee rates as total fund assets under FMR’s manage ment increase, and for higher fee rates as total fund assets under FMR’s management decrease. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity’s costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR’s management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
The Board further concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information regarding (i) equity fund transfer agency fees; (ii) Fidelity’s fund profitability methodology and the impact of various changes in the methodology over
49 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
time; (iii) benefits to shareholders from economies of scale; (iv) composition and characteristics of various fund and industry data used in comparisons; and (v) com pensation of portfolio managers and research analysts.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the existing advisory fee structures are fair and reasonable, and that the fund’s existing Advisory Contracts should be renewed.
| Annual Report |
| 50 |
The following is a complete listing of investments for Fidelity’s fixed income central fund as of September 30, 2005 which is a direct or indirect investment of Fidelity Asset Manager: Aggressive Fund. These underlying holdings of the Fidelity fixed income central fund are not included in the Schedule of Investments as part of the Financial Statements.
51 Annual Report
| Fidelity High Income Central Investment Portfolio 1 Investments September 30, 2005 (Unaudited) Showing Percentage of Net Assets |
| Corporate Bonds 88.7% | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Convertible Bonds 0.0% | ||||||||
| Services – 0.0% | ||||||||
| FTI Consulting, Inc. 3.75% 7/15/12 (c) | $ 170,000 | $ 180,829 | ||||||
| Nonconvertible Bonds – 88.7% | ||||||||
| Aerospace – 1.6% | ||||||||
| L 3 Communications Corp.: | ||||||||
| 5.875% 1/15/15 | 1,585,000 | 1,533,488 | ||||||
| 6.375% 10/15/15 (c) | 3,520,000 | 3,546,400 | ||||||
| 7.625% 6/15/12 | 3,045,000 | 3,197,250 | ||||||
| Orbital Sciences Corp. 9% 7/15/11 | 4,470,000 | 4,849,950 | ||||||
| Primus International, Inc. 10.5% 4/15/09 (c) | 3,735,000 | 3,959,100 | ||||||
| 17,086,188 | ||||||||
| Air Transportation – 0.8% | ||||||||
| American Airlines, Inc. pass thru trust certificates: | ||||||||
| 6.817% 5/23/11 | 1,250,000 | 1,140,625 | ||||||
| 7.377% 5/23/19 | 1,854,747 | 1,251,954 | ||||||
| 7.379% 11/23/17 | 1,553,711 | 1,048,755 | ||||||
| 7.8% 4/1/08 | 2,080,000 | 1,965,600 | ||||||
| AMR Corp. 10.2% 3/15/20 | 510,000 | 295,800 | ||||||
| Continental Airlines, Inc. pass thru trust certificates | ||||||||
| 9.798% 4/1/21 | 2,360,000 | 2,336,400 | ||||||
| 8,039,134 | ||||||||
| Automotive 3.9% | ||||||||
| Delco Remy International, Inc. 9.375% 4/15/12 | 2,030,000 | 1,075,900 | ||||||
| Ford Motor Co. 7.45% 7/16/31 | 1,770,000 | 1,380,600 | ||||||
| Ford Motor Credit Co.: | ||||||||
| 6.625% 6/16/08 | 3,960,000 | 3,875,850 | ||||||
| 7% 10/1/13 | 595,000 | 551,777 | ||||||
| General Motors Acceptance Corp.: | ||||||||
| 6.75% 12/1/14 | 5,225,000 | 4,544,935 | ||||||
| 6.875% 9/15/11 | 6,745,000 | 6,135,340 | ||||||
| 8% 11/1/31 | 5,360,000 | 4,680,186 | ||||||
| General Motors Corp.: | ||||||||
| 7.125% 7/15/13 | 4,190,000 | 3,571,975 | ||||||
| 8.375% 7/15/33 | 2,960,000 | 2,308,800 | ||||||
| Goodyear Tire & Rubber Co. 9% 7/1/15 (c) | 4,250,000 | 4,186,250 | ||||||
| Navistar International Corp.: | ||||||||
| 6.25% 3/1/12 | 2,460,000 | 2,337,000 | ||||||
| 7.5% 6/15/11 | 1,225,000 | 1,237,250 |
Annual Report 52
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Automotive continued | ||||||||||
| Tenneco Automotive, Inc. 8.625% 11/15/14 | $ 2,800,000 | $ 2,800,000 | ||||||||
| Visteon Corp. 7% 3/10/14 | 2,430,000 | 2,114,100 | ||||||||
| 40,799,963 | ||||||||||
| Banks and Thrifts – 0.9% | ||||||||||
| Western Financial Bank 9.625% 5/15/12 | 8,060,000 | 9,269,000 | ||||||||
| Building Materials – 1.6% | ||||||||||
| Anixter International, Inc. 5.95% 3/1/15 | 2,260,000 | 2,096,150 | ||||||||
| Goodman Global Holdings, Inc.: | ||||||||||
| 6.41% 6/15/12 (c)(d) | 2,920,000 | 2,854,300 | ||||||||
| 7.875% 12/15/12 (c) | 1,870,000 | 1,692,350 | ||||||||
| Maax Holdings, Inc. 0% 12/15/12 (b)(c) | 5,865,000 | 2,580,600 | ||||||||
| Nortek, Inc. 8.5% 9/1/14 | 4,950,000 | 4,554,000 | ||||||||
| NTK Holdings, Inc. 0% 3/1/14 (b) | 2,920,000 | 1,657,100 | ||||||||
| Ply Gem Industries, Inc. 9% 2/15/12 | 1,605,000 | 1,332,150 | ||||||||
| 16,766,650 | ||||||||||
| Cable TV 4.1% | ||||||||||
| Cablevision Systems Corp. 7.88% 4/1/09 (d) | 5,830,000 | 5,975,750 | ||||||||
| CSC Holdings, Inc.: | ||||||||||
| 6.75% 4/15/12 (c) | 2,040,000 | 1,902,300 | ||||||||
| 7.875% 2/15/18 | 1,995,000 | 1,922,681 | ||||||||
| EchoStar DBS Corp. 5.75% 10/1/08 | 17,635,000 | 17,348,431 | ||||||||
| GCI, Inc. 7.25% 2/15/14 | 5,225,000 | 5,068,250 | ||||||||
| iesy Repository GmbH 10.375% 2/15/15 (c) | 2,360,000 | 2,466,200 | ||||||||
| Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10 | 3,680,000 | 3,873,200 | ||||||||
| Kabel Deutschland GmbH 10.625% 7/1/14 (c) | 1,330,000 | 1,469,650 | ||||||||
| Telenet Group Holding NV 0% 6/15/14 (b)(c) | 3,080,000 | 2,494,800 | ||||||||
| 42,521,262 | ||||||||||
| Capital Goods 3.3% | ||||||||||
| Amsted Industries, Inc. 10.25% 10/15/11 (c) | 4,415,000 | 4,790,275 | ||||||||
| Case New Holland, Inc.: | ||||||||||
| 6% 6/1/09 | 2,030,000 | 1,958,950 | ||||||||
| 9.25% 8/1/11 | 1,145,000 | 1,219,425 | ||||||||
| Chart Industries, Inc. 9.125% 10/15/15 (c) | 980,000 | 997,150 | ||||||||
| Columbus McKinnon Corp. 8.875% 11/1/13 (c) | 330,000 | 330,000 | ||||||||
| Dresser, Inc. 9.375% 4/15/11 | 4,465,000 | 4,710,575 | ||||||||
| Invensys PLC 9.875% 3/15/11 (c) | 12,130,000 | 12,160,325 | ||||||||
| Leucadia National Corp. 7% 8/15/13 | 3,530,000 | 3,547,650 | ||||||||
53 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Capital Goods – continued | ||||||||||
| Park-Ohio Industries, Inc. 8.375% 11/15/14 | $ 2,735,000 | $ 2,372,613 | ||||||||
| Sensus Metering Systems, Inc. 8.625% 12/15/13 | 3,120,000 | 2,870,400 | ||||||||
| 34,957,363 | ||||||||||
| Chemicals – 3.8% | ||||||||||
| BCI US Finance Corp./Borden 2 Nova Scotia Finance | ||||||||||
| ULC 9.0988% 7/15/10 (c)(d) | 630,000 | 642,600 | ||||||||
| Borden US Finance Corp./Nova Scotia Finance ULC | ||||||||||
| 8.3488% 7/15/10 (c)(d) | 3,525,000 | 3,507,375 | ||||||||
| Crystal US Holding 3 LLC/Crystal US Sub 3 Corp.: | ||||||||||
| Series A, 0% 10/1/14 (b) | 1,970,000 | 1,398,700 | ||||||||
| Series B, 0% 10/1/14 (b) | 1,355,000 | 948,500 | ||||||||
| Equistar Chemicals LP 7.55% 2/15/26 | 1,800,000 | 1,710,000 | ||||||||
| Equistar Chemicals LP/Equistar Funding Corp.: | ||||||||||
| 8.75% 2/15/09 | 2,285,000 | 2,390,681 | ||||||||
| 10.125% 9/1/08 | 2,515,000 | 2,703,625 | ||||||||
| Huntsman LLC 11.0988% 7/15/11 (d) | 5,660,000 | 5,999,600 | ||||||||
| Millennium America, Inc.: | ||||||||||
| 7.625% 11/15/26 | 390,000 | 362,700 | ||||||||
| 9.25% 6/15/08 | 7,370,000 | 7,959,600 | ||||||||
| Nalco Co. 7.75% 11/15/11 | 2,820,000 | 2,890,500 | ||||||||
| Nell AF Sarl 8.375% 8/15/15 (c) | 3,670,000 | 3,578,250 | ||||||||
| NOVA Chemicals Corp. 7.4% 4/1/09 | 3,065,000 | 3,156,950 | ||||||||
| Rhodia SA: | ||||||||||
| 8.875% 6/1/11 | 1,000,000 | 950,000 | ||||||||
| 10.25% 6/1/10 | 1,805,000 | 1,908,788 | ||||||||
| 40,107,869 | ||||||||||
| Consumer Products – 1.1% | ||||||||||
| IKON Office Solutions, Inc. 7.75% 9/15/15 (c) | 4,830,000 | 4,775,663 | ||||||||
| Jostens Holding Corp. 0% 12/1/13 (b) | 3,135,000 | 2,312,063 | ||||||||
| Jostens IH Corp. 7.625% 10/1/12 | 530,000 | 540,600 | ||||||||
| Revlon Consumer Products Corp. 9.5% 4/1/11 (c) | 290,000 | 269,700 | ||||||||
| Samsonite Corp. 8.875% 6/1/11 | 1,675,000 | 1,779,688 | ||||||||
| Spectrum Brands, Inc. 7.375% 2/1/15 | 2,090,000 | 1,865,325 | ||||||||
| 11,543,039 | ||||||||||
| Containers – 2.2% | ||||||||||
| Berry Plastics Corp. 10.75% 7/15/12 | 3,810,000 | 4,029,075 | ||||||||
| BWAY Corp. 10% 10/15/10 | 3,370,000 | 3,563,775 | ||||||||
| Crown European Holdings SA: | ||||||||||
| 9.5% 3/1/11 | 1,285,000 | 1,403,863 | ||||||||
Annual Report 54
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Containers – continued | ||||||||||
| Crown European Holdings SA: – continued | ||||||||||
| 10.875% 3/1/13 | $ 6,380,000 | $ 7,416,750 | ||||||||
| Owens-Brockway Glass Container, Inc. 8.25% 5/15/13 | 1,475,000 | 1,534,000 | ||||||||
| Owens-Illinois, Inc.: | ||||||||||
| 7.35% 5/15/08 | 2,460,000 | 2,484,600 | ||||||||
| 7.5% 5/15/10 | 2,895,000 | 2,927,569 | ||||||||
| 23,359,632 | ||||||||||
| Diversified Financial Services – 0.7% | ||||||||||
| E*TRADE Financial Corp.: | ||||||||||
| 7.375% 9/15/13 (c) | 1,070,000 | 1,080,700 | ||||||||
| 8% 6/15/11 | 570,000 | 587,100 | ||||||||
| 8% 6/15/11 (c) | 2,250,000 | 2,328,750 | ||||||||
| Residential Capital Corp. 6.375% 6/30/10 (c) | 1,565,000 | 1,587,008 | ||||||||
| Triad Acquisition Corp. 11.125% 5/1/13 (c) | 1,970,000 | 2,029,100 | ||||||||
| 7,612,658 | ||||||||||
| Diversified Media – 1.3% | ||||||||||
| Corus Entertainment, Inc. 8.75% 3/1/12 | 3,270,000 | 3,507,075 | ||||||||
| LBI Media Holdings, Inc. 0% 10/15/13 (b) | 1,330,000 | 1,000,825 | ||||||||
| LBI Media, Inc. 10.125% 7/15/12 | 2,310,000 | 2,489,025 | ||||||||
| Liberty Media Corp.: | ||||||||||
| 8.25% 2/1/30 | 2,570,000 | 2,461,037 | ||||||||
| 8.5% 7/15/29 | 1,575,000 | 1,524,992 | ||||||||
| Videotron Ltee 6.375% 12/15/15 (c) | 2,710,000 | 2,703,225 | ||||||||
| 13,686,179 | ||||||||||
| Electric Utilities – 5.0% | ||||||||||
| AES Corp.: | ||||||||||
| 8.875% 2/15/11 | 2,334,000 | 2,544,060 | ||||||||
| 9.375% 9/15/10 | 1,509,000 | 1,663,673 | ||||||||
| 9.5% 6/1/09 | 7,037,000 | 7,661,534 | ||||||||
| AES Gener SA 7.5% 3/25/14 | 4,175,000 | 4,237,625 | ||||||||
| Allegheny Energy Supply Co. LLC 8.25% 4/15/12 (c) | 540,000 | 604,800 | ||||||||
| Aquila, Inc. 14.875% 7/1/12 | 475,000 | 650,750 | ||||||||
| CMS Energy Corp.: | ||||||||||
| 6.3% 2/1/12 | 3,990,000 | 3,990,000 | ||||||||
| 7.5% 1/15/09 | 1,280,000 | 1,332,800 | ||||||||
| 8.9% 7/15/08 | 2,760,000 | 2,984,250 | ||||||||
| MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. | ||||||||||
| 7.375% 9/1/10 | 4,090,000 | 4,243,375 | ||||||||
55 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Electric Utilities – continued | ||||||||||
| MSW Energy Holdings LLC/MSW Energy Finance Co., | ||||||||||
| Inc. 8.5% 9/1/10 | $ 840,000 | $ 900,900 | ||||||||
| NRG Energy, Inc. 8% 12/15/13 | 4,335,000 | 4,595,100 | ||||||||
| Sierra Pacific Resources: | ||||||||||
| 6.75% 8/15/17 (c) | 1,420,000 | 1,427,100 | ||||||||
| 8.625% 3/15/14 | 1,535,000 | 1,703,850 | ||||||||
| TECO Energy, Inc. 5.6931% 5/1/10 (c)(d) | 2,490,000 | 2,527,350 | ||||||||
| Tenaska Alabama Partners LP 7% 6/30/21 (c) | 3,110,000 | 3,156,650 | ||||||||
| TXU Corp. 6.5% 11/15/24 | 3,410,000 | 3,213,925 | ||||||||
| Utilicorp Canada Finance Corp. 7.75% 6/15/11 | 3,825,000 | 4,016,250 | ||||||||
| Utilicorp United, Inc. 9.95% 2/1/11 (d) | 720,000 | 811,800 | ||||||||
| 52,265,792 | ||||||||||
| Energy – 7.8% | ||||||||||
| Chesapeake Energy Corp.: | ||||||||||
| 6.5% 8/15/17 (c) | 4,180,000 | 4,247,925 | ||||||||
| 7.5% 6/15/14 | 520,000 | 559,000 | ||||||||
| 7.75% 1/15/15 | 2,205,000 | 2,359,350 | ||||||||
| El Paso Corp. 7.625% 8/16/07 (c) | 1,200,000 | 1,227,000 | ||||||||
| Hanover Compressor Co.: | ||||||||||
| 0% 3/31/07 | 7,660,000 | 6,855,700 | ||||||||
| 8.625% 12/15/10 | 2,990,000 | 3,221,725 | ||||||||
| 9% 6/1/14 | 590,000 | 650,475 | ||||||||
| Hanover Equipment Trust 8.75% 9/1/11 | 535,000 | 567,100 | ||||||||
| Hilcorp Energy I LP/Hilcorp Finance Co. 10.5% | ||||||||||
| 9/1/10 (c) | 5,205,000 | 5,842,613 | ||||||||
| Markwest Energy Partners LP/ Markwest Energy Finance | ||||||||||
| Corp. 6.875% 11/1/14 (c) | 843,000 | 826,140 | ||||||||
| Newfield Exploration Co. 6.625% 9/1/14 | 2,170,000 | 2,256,800 | ||||||||
| Pacific Energy Partners LP/Pacific Energy Finance Corp. | ||||||||||
| 6.25% 9/15/15 (c) | 2,360,000 | 2,371,800 | ||||||||
| Parker Drilling Co.: | ||||||||||
| 8.62% 9/1/10 (d) | 5,195,000 | 5,363,838 | ||||||||
| 9.625% 10/1/13 | 1,225,000 | 1,387,313 | ||||||||
| 9.625% 10/1/13 (c) | 1,635,000 | 1,851,638 | ||||||||
| Pogo Producing Co. 6.875% 10/1/17 (c) | 3,970,000 | 4,039,475 | ||||||||
| Range Resources Corp.: | ||||||||||
| 6.375% 3/15/15 (Reg. S) | 2,800,000 | 2,814,000 | ||||||||
| 7.375% 7/15/13 | 5,235,000 | 5,601,450 | ||||||||
| Sonat, Inc.: | ||||||||||
| 6.625% 2/1/08 | 3,330,000 | 3,317,513 | ||||||||
Annual Report 56
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Energy – continued | ||||||||||
| Sonat, Inc.: – continued | ||||||||||
| 7.625% 7/15/11 | $ 3,820,000 | $ 3,877,300 | ||||||||
| Stone Energy Corp. 6.75% 12/15/14 | 3,365,000 | 3,322,938 | ||||||||
| The Coastal Corp.: | ||||||||||
| 6.375% 2/1/09 | 4,910,000 | 4,787,250 | ||||||||
| 6.5% 6/1/08 | 1,720,000 | 1,698,500 | ||||||||
| 7.75% 6/15/10 | 5,960,000 | 6,071,750 | ||||||||
| Williams Companies, Inc. 6.375% 10/1/10 (c) | 7,150,000 | 7,105,313 | ||||||||
| 82,223,906 | ||||||||||
| Environmental – 0.7% | ||||||||||
| Allied Waste North America, Inc. 5.75% 2/15/11 | 1,680,000 | 1,562,400 | ||||||||
| Browning-Ferris Industries, Inc. 6.375% 1/15/08 | 5,755,000 | 5,639,900 | ||||||||
| 7,202,300 | ||||||||||
| Food and Drug Retail – 0.4% | ||||||||||
| Stater Brothers Holdings, Inc.: | ||||||||||
| 7.37% 6/15/10 (d) | 2,115,000 | 2,093,850 | ||||||||
| 8.125% 6/15/12 | 2,655,000 | 2,615,175 | ||||||||
| 4,709,025 | ||||||||||
| Food/Beverage/Tobacco – 1.6% | ||||||||||
| National Beef Packing Co. LLC/National Beef Finance | ||||||||||
| Corp. 10.5% 8/1/11 | 2,540,000 | 2,641,600 | ||||||||
| RJ Reynolds Tobacco Holdings, Inc.: | ||||||||||
| 6.5% 7/15/10 (c) | 2,970,000 | 2,984,850 | ||||||||
| 7.3% 7/15/15 (c) | 980,000 | 1,004,500 | ||||||||
| Smithfield Foods, Inc.: | ||||||||||
| 7% 8/1/11 | 5,070,000 | 5,171,400 | ||||||||
| 7.75% 5/15/13 | 75,000 | 78,750 | ||||||||
| UAP Holding Corp. 0% 7/15/12 (b) | 2,700,000 | 2,295,000 | ||||||||
| United Agriculture Products, Inc. 8.25% 12/15/11 | 2,266,000 | 2,390,630 | ||||||||
| 16,566,730 | ||||||||||
| Gaming – 6.0% | ||||||||||
| Kerzner International Ltd. 6.75% 10/1/15 (c) | 4,760,000 | 4,664,800 | ||||||||
| Mandalay Resort Group: | ||||||||||
| 6.5% 7/31/09 | 1,450,000 | 1,451,813 | ||||||||
| 9.375% 2/15/10 | 1,095,000 | 1,205,869 | ||||||||
| 10.25% 8/1/07 | 2,485,000 | 2,677,588 | ||||||||
| MGM MIRAGE: | ||||||||||
| 6% 10/1/09 | 10,530,000 | 10,424,700 | ||||||||
| 6.625% 7/15/15 (c) | 2,230,000 | 2,210,488 | ||||||||
57 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Gaming – continued | ||||||||||
| MGM MIRAGE: – continued | ||||||||||
| 6.75% 9/1/12 | $ 245,000 | $ 247,450 | ||||||||
| Mohegan Tribal Gaming Authority: | ||||||||||
| 6.125% 2/15/13 | 1,390,000 | 1,383,050 | ||||||||
| 6.375% 7/15/09 | 7,835,000 | 7,874,175 | ||||||||
| 7.125% 8/15/14 | 1,480,000 | 1,535,500 | ||||||||
| 8% 4/1/12 | 785,000 | 829,156 | ||||||||
| MTR Gaming Group, Inc. 9.75% 4/1/10 | 2,600,000 | 2,827,500 | ||||||||
| Scientific Games Corp. 6.25% 12/15/12 | 1,950,000 | 1,945,125 | ||||||||
| Seneca Gaming Corp.: | ||||||||||
| 7.25% 5/1/12 (Reg. S) (c) | 3,210,000 | 3,290,250 | ||||||||
| 7.25% 5/1/12 | 3,945,000 | 4,043,625 | ||||||||
| Station Casinos, Inc. 6.875% 3/1/16 (c) | 1,370,000 | 1,383,700 | ||||||||
| Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||||||||
| 0% 1/15/13 (b)(c) | 1,250,000 | 887,500 | ||||||||
| 9% 1/15/12 (c) | 2,920,000 | 3,051,400 | ||||||||
| Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 5,835,000 | 6,126,750 | ||||||||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | ||||||||||
| 6.625% 12/1/14 | 4,565,000 | 4,348,163 | ||||||||
| 62,408,602 | ||||||||||
| Healthcare 4.0% | ||||||||||
| AMR HoldCo, Inc./ EmCare HoldCo, Inc. 10% | ||||||||||
| 2/15/15 (c) | 1,070,000 | 1,158,275 | ||||||||
| CDRV Investors, Inc. 0% 1/1/15 (b) | 9,190,000 | 5,238,300 | ||||||||
| Concentra Operating Corp.: | ||||||||||
| 9.125% 6/1/12 | 2,775,000 | 2,886,000 | ||||||||
| 9.5% 8/15/10 | 2,110,000 | 2,210,225 | ||||||||
| DaVita, Inc. 6.625% 3/15/13 | 3,890,000 | 3,938,625 | ||||||||
| Mylan Laboratories, Inc.: | ||||||||||
| 5.75% 8/15/10 (c) | 1,190,000 | 1,191,488 | ||||||||
| 6.375% 8/15/15 (c) | 1,650,000 | 1,652,063 | ||||||||
| Omega Healthcare Investors, Inc. 7% 4/1/14 | 5,720,000 | 5,805,800 | ||||||||
| PerkinElmer, Inc. 8.875% 1/15/13 | 7,470,000 | 8,179,650 | ||||||||
| Psychiatric Solutions, Inc. 7.75% 7/15/15 (c) | 705,000 | 726,150 | ||||||||
| ResCare, Inc. 7.75% 10/15/13 (c) | 2,240,000 | 2,262,400 | ||||||||
| Senior Housing Properties Trust 8.625% 1/15/12 | 4,490,000 | 4,995,125 | ||||||||
| Service Corp. International (SCI) 7% 6/15/17 (c) | 1,450,000 | 1,468,125 | ||||||||
| 41,712,226 | ||||||||||
| Annual Report |
| 58 |
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Homebuilding/Real Estate – 3.0% | ||||||||||
| American Real Estate Partners/American Real Estate | ||||||||||
| Finance Corp.: | ||||||||||
| 7.125% 2/15/13 (c) | $ 2,680,000 | $ 2,680,000 | ||||||||
| 8.125% 6/1/12 | 6,080,000 | 6,338,400 | ||||||||
| K. Hovnanian Enterprises, Inc.: | ||||||||||
| 6% 1/15/10 | 790,000 | 758,400 | ||||||||
| 8.875% 4/1/12 | 2,155,000 | 2,262,750 | ||||||||
| KB Home 7.75% 2/1/10 | 6,620,000 | 6,818,600 | ||||||||
| Standard Pacific Corp.: | ||||||||||
| 5.125% 4/1/09 | 2,640,000 | 2,508,000 | ||||||||
| 6.875% 5/15/11 | 1,915,000 | 1,886,275 | ||||||||
| Technical Olympic USA, Inc.: | ||||||||||
| 7.5% 1/15/15 | 2,145,000 | 1,892,963 | ||||||||
| 10.375% 7/1/12 | 100,000 | 104,000 | ||||||||
| WCI Communities, Inc.: | ||||||||||
| 6.625% 3/15/15 | 1,910,000 | 1,728,550 | ||||||||
| 7.875% 10/1/13 | 4,665,000 | 4,583,363 | ||||||||
| 31,561,301 | ||||||||||
| Hotels 0.5% | ||||||||||
| Grupo Posadas SA de CV 8.75% 10/4/11 (c) | 3,630,000 | 3,902,250 | ||||||||
| Host Marriott LP 7.125% 11/1/13 | 1,465,000 | 1,496,131 | ||||||||
| 5,398,381 | ||||||||||
| Insurance – 0.9% | ||||||||||
| Crum & Forster Holdings Corp. 10.375% 6/15/13 | 4,785,000 | 5,096,025 | ||||||||
| Fairfax Financial Holdings Ltd. 7.75% 4/26/12 | 4,505,000 | 4,324,800 | ||||||||
| 9,420,825 | ||||||||||
| Leisure – 1.2% | ||||||||||
| Equinox Holdings Ltd. 9% 12/15/09 | 1,530,000 | 1,587,375 | ||||||||
| Town Sports International Holdings, Inc. 0% 2/1/14 (b) . | 2,510,000 | 1,681,700 | ||||||||
| Town Sports International, Inc. 9.625% 4/15/11 | 2,345,000 | 2,438,800 | ||||||||
| Universal City Development Partners Ltd./UCDP Finance, | ||||||||||
| Inc. 11.75% 4/1/10 | 2,260,000 | 2,553,800 | ||||||||
| Universal City Florida Holding Co. I/II 8.4431% | ||||||||||
| 5/1/10 (d) | 4,260,000 | 4,473,000 | ||||||||
| 12,734,675 | ||||||||||
| Metals/Mining – 1.9% | ||||||||||
| Arch Western Finance LLC 6.75% 7/1/13 | 3,240,000 | 3,304,800 | ||||||||
| Century Aluminum Co. 7.5% 8/15/14 | 625,000 | 646,875 | ||||||||
59 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Metals/Mining – continued | ||||||||||
| Compass Minerals International, Inc.: | ||||||||||
| 0% 12/15/12 (b) | $ 1,060,000 | $ 932,800 | ||||||||
| 0% 6/1/13 (b) | 9,175,000 | 7,798,750 | ||||||||
| Freeport-McMoRan Copper & Gold, Inc. 6.875% | ||||||||||
| 2/1/14 | 2,685,000 | 2,658,150 | ||||||||
| Vedanta Resources PLC 6.625% 2/22/10 (c) | 4,225,000 | 4,188,031 | ||||||||
| 19,529,406 | ||||||||||
| Paper 1.0% | ||||||||||
| Georgia-Pacific Corp.: | ||||||||||
| 8% 1/15/14 | 3,610,000 | 3,952,950 | ||||||||
| 8.125% 5/15/11 | 750,000 | 824,063 | ||||||||
| 8.875% 2/1/10 | 2,050,000 | 2,296,000 | ||||||||
| Norske Skog Canada Ltd. 8.625% 6/15/11 | 3,295,000 | 3,344,425 | ||||||||
| 10,417,438 | ||||||||||
| Publishing/Printing – 1.1% | ||||||||||
| Houghton Mifflin Co.: | ||||||||||
| 7.2% 3/15/11 | 365,000 | 379,600 | ||||||||
| 9.875% 2/1/13 | 4,835,000 | 5,125,100 | ||||||||
| The Reader’s Digest Association, Inc. 6.5% 3/1/11 | 5,850,000 | 5,937,750 | ||||||||
| 11,442,450 | ||||||||||
| Railroad 0.4% | ||||||||||
| Kansas City Southern Railway Co.: | ||||||||||
| 7.5% 6/15/09 | 4,325,000 | 4,519,625 | ||||||||
| 9.5% 10/1/08 | 220,000 | 240,900 | ||||||||
| 4,760,525 | ||||||||||
| Restaurants 1.0% | ||||||||||
| Carrols Corp. 9% 1/15/13 (c) | 2,785,000 | 2,819,813 | ||||||||
| Friendly Ice Cream Corp. 8.375% 6/15/12 | 4,185,000 | 3,975,750 | ||||||||
| Landry’s Seafood Restaurants, Inc. 7.5% 12/15/14 | 3,450,000 | 3,329,250 | ||||||||
| 10,124,813 | ||||||||||
| Services – 1.6% | ||||||||||
| Ashtead Holdings PLC 8.625% 8/1/15 (c) | 1,090,000 | 1,149,950 | ||||||||
| FTI Consulting, Inc. 7.625% 6/15/13 (c) | 2,975,000 | 3,019,625 | ||||||||
| Iron Mountain, Inc.: | ||||||||||
| 7.75% 1/15/15 | 400,000 | 406,000 | ||||||||
| 8.25% 7/1/11 | 1,750,000 | 1,785,000 | ||||||||
| 8.625% 4/1/13 | 4,815,000 | 5,007,600 | ||||||||
| Annual Report |
| 60 |
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Services – continued | ||||||||||
| Rural/Metro Corp.: | ||||||||||
| 0% 3/15/16 (b)(c) | $ 2,860,000 | $ 1,744,600 | ||||||||
| 9.875% 3/15/15 (c) | 630,000 | 652,050 | ||||||||
| United Rentals North America, Inc. 7% 2/15/14 | 2,780,000 | 2,585,400 | ||||||||
| 16,350,225 | ||||||||||
| Shipping – 4.5% | ||||||||||
| General Maritime Corp. 10% 3/15/13 | 9,940,000 | 10,909,150 | ||||||||
| OMI Corp. 7.625% 12/1/13 | 7,645,000 | 7,893,463 | ||||||||
| Overseas Shipholding Group, Inc.: | ||||||||||
| 7.5% 2/15/24 | 195,000 | 193,050 | ||||||||
| 8.25% 3/15/13 | 855,000 | 916,988 | ||||||||
| Ship Finance International Ltd. 8.5% 12/15/13 | 17,800,000 | 17,488,478 | ||||||||
| Teekay Shipping Corp. 8.875% 7/15/11 | 8,240,000 | 9,352,400 | ||||||||
| 46,753,529 | ||||||||||
| Steels – 1.2% | ||||||||||
| Allegheny Technologies, Inc. 8.375% 12/15/11 | 3,475,000 | 3,753,000 | ||||||||
| CSN Islands VII Corp. 10.75% 9/12/08 (c) | 3,090,000 | 3,491,700 | ||||||||
| Gerdau AmeriSteel Corp./GUSAP Partners 10.375% | ||||||||||
| 7/15/11 | 4,980,000 | 5,527,800 | ||||||||
| 12,772,500 | ||||||||||
| Super Retail – 3.7% | ||||||||||
| Asbury Automotive Group, Inc. 9% 6/15/12 | 4,470,000 | 4,537,050 | ||||||||
| Buhrmann US, Inc. 7.875% 3/1/15 | 2,300,000 | 2,317,250 | ||||||||
| GSC Holdings Corp./Gamestop, Inc.: | ||||||||||
| 7.875% 10/1/11 (c)(d) | 6,800,000 | 6,851,000 | ||||||||
| 8% 10/1/12 (c) | 9,030,000 | 9,007,425 | ||||||||
| NBC Acquisition Corp. 0% 3/15/13 (b) | 6,590,000 | 4,859,927 | ||||||||
| Nebraska Book Co., Inc. 8.625% 3/15/12 | 4,490,000 | 4,220,600 | ||||||||
| Sonic Automotive, Inc. 8.625% 8/15/13 | 5,550,000 | 5,480,625 | ||||||||
| Toys ’R’ US, Inc.: | ||||||||||
| 7.375% 10/15/18 | 485,000 | 388,000 | ||||||||
| 7.875% 4/15/13 | 995,000 | 883,063 | ||||||||
| 38,544,940 | ||||||||||
| Technology – 6.2% | ||||||||||
| Advanced Micro Devices, Inc. 7.75% 11/1/12 | 2,715,000 | 2,789,663 | ||||||||
| Celestica, Inc.: | ||||||||||
| 7.625% 7/1/13 | 4,480,000 | 4,446,400 | ||||||||
| 7.875% 7/1/11 | 6,675,000 | 6,791,813 | ||||||||
| Freescale Semiconductor, Inc. 6.875% 7/15/11 | 5,350,000 | 5,577,375 | ||||||||
61 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Technology – continued | ||||||||||
| Lucent Technologies, Inc.: | ||||||||||
| 6.45% 3/15/29 | $ 1,170,000 | $ 1,025,213 | ||||||||
| 6.5% 1/15/28 | 1,055,000 | 913,894 | ||||||||
| MagnaChip Semiconductor SA/MagnaChip | ||||||||||
| Semiconductor Finance Co. 7.12% 12/15/11 (d) | 4,465,000 | 4,431,513 | ||||||||
| New ASAT Finance Ltd. 9.25% 2/1/11 | 2,165,000 | 1,569,625 | ||||||||
| Sanmina SCI Corp.: | ||||||||||
| 6.75% 3/1/13 | 3,925,000 | 3,718,938 | ||||||||
| 10.375% 1/15/10 | 1,950,000 | 2,145,000 | ||||||||
| STATS ChipPAC Ltd. 7.5% 7/19/10 (c) | 5,410,000 | 5,504,675 | ||||||||
| SunGard Data Systems, Inc.: | ||||||||||
| 8.5248% 8/15/13 (c)(d) | 2,590,000 | 2,670,938 | ||||||||
| 9.125% 8/15/13 (c) | 6,090,000 | 6,242,250 | ||||||||
| Unisys Corp. 8% 10/15/12 | 3,540,000 | 3,460,350 | ||||||||
| Xerox Capital Trust I 8% 2/1/27 | 5,775,000 | 6,006,000 | ||||||||
| Xerox Corp.: | ||||||||||
| 6.875% 8/15/11 | 1,265,000 | 1,321,925 | ||||||||
| 7.125% 6/15/10 | 4,275,000 | 4,499,438 | ||||||||
| 9.75% 1/15/09 | 1,535,000 | 1,719,200 | ||||||||
| 64,834,210 | ||||||||||
| Telecommunications – 9.2% | ||||||||||
| American Tower Corp. 7.125% 10/15/12 | 1,965,000 | 2,058,338 | ||||||||
| American Towers, Inc. 7.25% 12/1/11 | 785,000 | 834,063 | ||||||||
| Digicel Ltd. 9.25% 9/1/12 (c) | 3,565,000 | 3,738,794 | ||||||||
| Intelsat Ltd.: | ||||||||||
| 5.25% 11/1/08 | 2,415,000 | 2,215,763 | ||||||||
| 6.5% 11/1/13 | 5,710,000 | 4,396,700 | ||||||||
| 7.625% 4/15/12 | 2,890,000 | 2,413,150 | ||||||||
| 8.695% 1/15/12 (c)(d) | 6,345,000 | 6,471,900 | ||||||||
| MCI, Inc. 8.735% 5/1/14 (d) | 4,155,000 | 4,643,213 | ||||||||
| Millicom International Cellular SA 10% 12/1/13 | 4,600,000 | 4,772,500 | ||||||||
| Mobile Telesystems Finance SA 8% 1/28/12 (c) | 1,880,000 | 1,992,800 | ||||||||
| New Skies Satellites BV: | ||||||||||
| 8.5388% 11/1/11 (d) | 4,145,000 | 4,258,988 | ||||||||
| 9.125% 11/1/12 | 415,000 | 425,894 | ||||||||
| Nextel Communications, Inc.: | ||||||||||
| 5.95% 3/15/14 | 2,880,000 | 2,973,600 | ||||||||
| 6.875% 10/31/13 | 7,380,000 | 7,841,250 | ||||||||
| PanAmSat Corp. 9% 8/15/14 | 2,080,000 | 2,189,200 | ||||||||
| PanAmSat Holding Corp. 0% 11/1/14 (b) | 1,095,000 | 755,550 | ||||||||
Annual Report 62
| Corporate Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Nonconvertible Bonds continued | ||||||||
| Telecommunications – continued | ||||||||
| Qwest Capital Funding, Inc.: | ||||||||
| 7% 8/3/09 | $ 3,240,000 | $ 3,142,800 | ||||||
| 7.25% 2/15/11 | 1,160,000 | 1,102,000 | ||||||
| 7.9% 8/15/10 | 1,450,000 | 1,439,125 | ||||||
| Qwest Corp.: | ||||||||
| 7.12% 6/15/13 (c)(d) | 6,760,000 | 7,030,400 | ||||||
| 8.875% 3/15/12 | 2,045,000 | 2,234,163 | ||||||
| Qwest Services Corp. 14% 12/15/14 | 3,315,000 | 4,011,150 | ||||||
| Rogers Communications, Inc.: | ||||||||
| 7.25% 12/15/12 | 3,670,000 | 3,881,025 | ||||||
| 8% 12/15/12 | 4,020,000 | 4,241,100 | ||||||
| 9.625% 5/1/11 | 3,350,000 | 3,869,250 | ||||||
| SBA Communications Corp. 8.5% 12/1/12 | 4,005,000 | 4,355,438 | ||||||
| Time Warner Telecom Holdings, Inc. 9.25% 2/15/14 | 390,000 | 394,875 | ||||||
| Time Warner Telecom, Inc. 10.125% 2/1/11 | 1,050,000 | 1,084,125 | ||||||
| U.S. West Capital Funding, Inc. 6.375% 7/15/08 | 5,547,000 | 5,380,590 | ||||||
| U.S. West Communications: | ||||||||
| 6.875% 9/15/33 | 2,385,000 | 2,063,025 | ||||||
| 7.5% 6/15/23 | 805,000 | 728,525 | ||||||
| 96,939,294 | ||||||||
| Textiles & Apparel – 0.5% | ||||||||
| Levi Strauss & Co.: | ||||||||
| 8.2544% 4/1/12 (d) | 2,225,000 | 2,219,438 | ||||||
| 12.25% 12/15/12 | 995,000 | 1,104,450 | ||||||
| Tommy Hilfiger USA, Inc. 6.85% 6/1/08 | 2,130,000 | 2,156,625 | ||||||
| 5,480,513 | ||||||||
| TOTAL NONCONVERTIBLE BONDS | 929,902,543 | |||||||
| TOTAL CORPORATE BONDS | ||||||||
| (Cost $917,443,848) | 930,083,372 | |||||||
| Commercial Mortgage Securities 0.1% | ||||||||
| Berkeley Federal Bank & Trust FSB Series 1994-1 Class | ||||||||
| B, 3.4233% 8/1/24 (c)(d) | ||||||||
| (Cost $969,889) | 1,228,245 | 1,059,362 | ||||||
63 Annual Report
| Investments (Unaudited) continued | ||||||||
| Common Stocks 0.2% | ||||||||
| Shares | Value | |||||||
| Automotive 0.0% | ||||||||
| Exide Technologies warrants 3/18/06 (a) | 16 | $ 0 | ||||||
| Healthcare 0.0% | ||||||||
| Skilled Healthcare Group, Inc. (a)(e) | 1,364 | 156,860 | ||||||
| Textiles & Apparel – 0.2% | ||||||||
| Arena Brands Holding Corp. Class B (e) | 144,445 | 1,630,784 | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $5,834,148) | 1,787,644 | |||||||
| Floating Rate Loans 7.8% | ||||||||
| Principal | ||||||||
| Amount | ||||||||
| Air Transportation – 0.4% | ||||||||
| US Airways Group, Inc.: | ||||||||
| Tranche 1A, term loan 12.2062% 9/30/10 (d) | $ 2,834,967 | 2,834,967 | ||||||
| Tranche 2B, term loan 9.8062% 9/30/08 (d) | 1,126,439 | 1,137,703 | ||||||
| 3,972,670 | ||||||||
| Building Materials – 0.5% | ||||||||
| Masonite International Corp. term loan 9.3838% | ||||||||
| 4/6/15 (d) | 5,340,000 | 5,333,325 | ||||||
| Cable TV 0.5% | ||||||||
| UPC Broadband Holding BV Tranche H2, term loan | ||||||||
| 6.0044% 9/30/12 (d) | 5,460,000 | 5,521,425 | ||||||
| Electric Utilities – 1.5% | ||||||||
| Covanta Energy Corp.: | ||||||||
| Tranche 1: | ||||||||
| Credit-Linked Deposit 6.8628% 6/24/12 (d) | 2,913,496 | 2,957,198 | ||||||
| term loan 6.9606% 6/24/12 (d) | 2,350,613 | 2,385,872 | ||||||
| Tranche 2, term loan 9.3953% 6/24/13 (d) | 3,720,000 | 3,729,300 | ||||||
| Riverside Energy Center LLC: | ||||||||
| term loan 7.93% 6/24/11 (d) | 6,179,774 | 6,365,167 | ||||||
| Credit-Linked Deposit 7.93% 6/24/11 (d) | 288,859 | 293,192 | ||||||
| 15,730,729 | ||||||||
| Energy – 1.8% | ||||||||
| Coffeyville Resources LLC: | ||||||||
| Credit-Linked Deposit 6.3604% 7/8/11 (d) | 172,000 | 174,795 | ||||||
| Tranche 2, term loan 10.8125% 7/8/13 (d) | 2,870,000 | 2,984,800 | ||||||
| Tranche B1, term loan 6.57% 7/8/12 (d) | 258,000 | 262,193 | ||||||
| El Paso Corp.: | ||||||||
| Credit-Linked Deposit 6.6466% 11/22/09 (d) | 4,070,700 | 4,111,407 | ||||||
| Annual Report |
| 64 |
| Floating Rate Loans continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Energy – continued | ||||||||
| El Paso Corp.: – continued | ||||||||
| term loan 6.8125% 11/22/09 (d) | $ 2,766,661 | $ 2,794,327 | ||||||
| Kerr-McGee Corp. Tranche B, term loan 6.3149% | ||||||||
| 5/24/11 (d) | 8,538,600 | 8,581,293 | ||||||
| 18,908,815 | ||||||||
| Environmental – 0.8% | ||||||||
| Envirocare of Utah, Inc.: | ||||||||
| Tranche 1, term loan 6.11% 4/13/10 (d) | 4,882,727 | 4,962,072 | ||||||
| Tranche 2, term loan 8.86% 4/13/10 (d) | 3,770,000 | 3,901,950 | ||||||
| 8,864,022 | ||||||||
| Homebuilding/Real Estate – 0.8% | ||||||||
| LNR Property Corp.: | ||||||||
| Tranche A, term loan 8.2109% 2/3/08 (d) | 2,150,000 | 2,160,750 | ||||||
| Tranche B, term loan: | ||||||||
| 6.7112% 2/3/08 (d) | 4,311,868 | 4,365,766 | ||||||
| 8.9609% 2/3/08 (d) | 2,200,000 | 2,211,000 | ||||||
| 8,737,516 | ||||||||
| Technology – 0.7% | ||||||||
| Fidelity National Information Solutions, Inc.: | ||||||||
| Tranche A, term loan 5.2281% 3/9/11 (d) | 3,676,525 | 3,676,525 | ||||||
| Tranche B, term loan 5.4771% 3/9/13 (d) | 1,464,950 | 1,472,275 | ||||||
| Infor Global Solutions AG Tranche 2, term loan | ||||||||
| 10.943% 4/18/12 (d) | 1,700,000 | 1,721,250 | ||||||
| 6,870,050 | ||||||||
| Telecommunications – 0.8% | ||||||||
| Qwest Corp. Tranche B, term loan 6.95% 6/30/10 (d) | . | 1,700,000 | 1,689,375 | |||||
| Wind Telecomunicazioni Spa: | ||||||||
| Tranche 2, term loan 10.0944% 3/21/15 (d) | 3,620,000 | 3,624,525 | ||||||
| Tranche B, term loan 6.75% 9/21/13 (d) | 1,565,000 | 1,549,350 | ||||||
| Tranche C, term loan 7.25% 9/21/14 (d) | 1,565,000 | 1,549,350 | ||||||
| 8,412,600 | ||||||||
| TOTAL FLOATING RATE LOANS | ||||||||
| (Cost $81,519,647) | 82,351,152 | |||||||
65 Annual Report
| Investments (Unaudited) continued | ||||||
| Cash Equivalents 3.1% | ||||||
| Maturity | Value | |||||
| Amount | ||||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||
| Government Obligations, in a joint trading account at | ||||||
| 3.89%, dated 9/30/05 due 10/3/05) | $ 27,692,985 | $ 27,684,000 | ||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||
| Treasury Obligations, in a joint trading account at 3.27%, | ||||||
| dated 9/30/05 due 10/3/05) | 4,492,224 | 4,491,000 | ||||
| TOTAL CASH EQUIVALENTS | ||||||
| (Cost $32,175,000) | 32,175,000 | |||||
| TOTAL INVESTMENT PORTFOLIO 99.9% | ||||||
| (Cost $1,037,942,532) | 1,047,456,530 | |||||
| NET OTHER ASSETS – 0.1% | 641,925 | |||||
| NET ASSETS 100% | $ 1,048,098,455 | |||||
| Legend (a) Non-income producing (b) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. (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 period end, the value of these securities amounted to $205,494,256 or 19.6% of net assets. (d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (e) Restricted securities – Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,787,644 or 0.2% of net assets. |
Additional information on each holding is as follows:
| Acquisition | Acquisition | |||||
| SecurityA | Date | Cost | ||||
| Arena Brands | ||||||
| Holding Corp. | ||||||
| Class B | 6/18/97 | $ 5,834,134 | ||||
| Skilled Healthcare | 8/19/03 - 1/27/04 | |||||
| Group, Inc. | $ 13 |
AAcquired as a result of an in-kind exchange and represents the original acquisition date and cost.
Annual Report 66
Other Information
Distribution of investments by country of issue, as a percentage of total net assets, is as follows:
| United States of America | 80.4% | |
| Canada | 5.2% | |
| Bermuda | 3.5% | |
| Marshall Islands | 2.7% | |
| United Kingdom | 1.7% | |
| Luxembourg | 1.4% | |
| France | 1.1% | |
| Others (individually less than 1%) . | 4.0% | |
| 100.0% |
67 Annual Report
Managing Your Investments
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* When you call the quotes line, please remember that a fund’s yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guar anteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
Annual Report 68
To Write Fidelity
We’ll give your correspondence immediate attention and send you written confirmation upon completion of your request.
(such as changing name, address, bank, etc.)
| Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0002 |
| Buying shares Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0003 Overnight Express Fidelity Investments Attn: Distribution Services 100 Crosby Parkway KC1H Covington, KY 41015 Selling shares Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0035 Overnight Express Fidelity Investments Attn: Distribution Services 100 Crosby Parkway KC1H Covington, KY 41015 General Correspondence Fidelity Investments P.O. Box 500 Merrimack, NH 03054-0500 |
| Buying shares Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0003 Selling shares Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0035 Overnight Express Fidelity Investments Attn: Distribution Services 100 Crosby Parkway KC1H Covington, KY 41015 General Correspondence Fidelity Investments P.O. Box 500 Merrimack, NH 03054-0500 |
69 Annual Report
| Investment Adviser Fidelity Management & Research Company Boston, MA Investment Sub Advisers FMR Co., Inc. Fidelity Investments Money Management, Inc. Fidelity Management & Research (U.K.) Inc. Fidelity Management & Research (Far East) Inc. Fidelity Investments Japan Limited Fidelity International Investment Advisors Fidelity International Investment Advisors (U.K.) Limited General Distributor Fidelity Distributors Corporation Boston, MA Transfer and Service Agent Fidelity Service Company, Inc. Boston, MA Custodian JPMorgan Chase Bank New York, NY |
| The Fidelity Telephone Connection | ||||||||
| Mutual Fund 24-Hour Service | ||||||||
| Exchanges/Redemptions | ||||||||
| and Account Assistance | 1-800-544-6666 | |||||||
| Product Information | 1-800-544-6666 | |||||||
| Retirement Accounts | 1-800-544-4774 | |||||||
| (8 a.m. - 9 p.m.) | ||||||||
| TDD Service | 1-800-544-0118 | |||||||
| (for the deaf and hearing impaired) | ||||||||
| (9 a.m. - 9 p.m. Eastern time) | ||||||||
| Fidelity Automated Service | ||||||||
| Telephone (FAST® ) (automated phone logo) | 1-800-544-5555 | |||||||
(automated phone logo) Automated line for quickest service
| AGG UANN-1105 1.792129.102 |
| Fidelity® Asset Manager: Growth® |
| Annual Report September 30, 2005 |
| Contents | ||||
| Chairman’s Message | 4 | Ned Johnson’s message to shareholders. | ||
| Performance | 5 | How the fund has done over time. | ||
| Management’s Discussion | 6 | The manager’s review of fund | ||
| performance, strategy and outlook. | ||||
| Shareholder Expense | 7 | An example of shareholder expenses. | ||
| Example | ||||
| Investment Changes | 9 | A summary of major shifts in the fund’s | ||
| investments over the past six months. | ||||
| Investments | 10 | A complete list of the fund’s investments | ||
| with their market values. | ||||
| Financial Statements | 19 | Statements of assets and liabilities, | ||
| operations, and changes in net assets, | ||||
| as well as financial highlights. | ||||
| Notes | 23 | Notes to the financial statements. | ||
| Report of Independent | 31 | |||
| Registered Public | ||||
| Accounting Firm | ||||
| Trustees and Officers | 32 | |||
| Distributions | 44 | |||
| Board Approval of | 45 | |||
| Investment Advisory | ||||
| Contracts and | ||||
| Management Fees | ||||
| Central Fund Investments | 54 | Complete list of investments for Fidelity’s | ||
| Fixed-Income Central Funds. | ||||
| To view a fund’s proxy voting guidelines and proxy voting record for the 12 month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission’s (SEC) web site at www.sec.gov. You may also call 1-800-5448544 to request a free copy of the proxy voting guidelines. Standard & Poor’s, S&P and S&P 500 are registered service marks of The McGraw Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation. Other third party marks appearing herein are the property of their respective owners. All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company. |
Annual Report 2
| This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus. A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N Q. Forms N Q are available on the SEC’s web site at http://www.sec.gov. A fund’s Forms N Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund’s portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity’s web site at http://www.fidelity.com/holdings. NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE Neither the fund nor Fidelity Distributors Corporation is a bank. |
3 Annual Report
Chairman’s Message
(photograph of Edward C. Johnson 3d)
Dear Shareholder:
During the past year or so, much has been reported about the mutual fund industry, and much of it has been more critical than I believe is warranted. Allegations that some companies have been less than forthright with their shareholders have cast a shadow on the entire industry. I continue to find these reports disturbing, and assert that they do not create an accurate picture of the industry overall. Therefore, I would like to remind every one where Fidelity stands on these issues. I will say two things specifically regarding allegations that some mutual fund companies were in violation of the Securities and Exchange Commission’s forward pricing rules or were involved in so called “market timing” activities.
First, Fidelity has no agreements that per mit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not a new policy. This is not to say that some one could not deceive the company through fraudulent acts. However, we are extremely diligent in preventing fraud from occurring in this manner and in every other. But I underscore again that Fidelity has no so called “agreements” that sanction illegal practices.
Second, Fidelity continues to stand on record, as we have for years, in opposition to predatory short term trading that adversely affects shareholders in a mutual fund. Back in the 1980s, we initiated a fee which is returned to the fund and, therefore, to investors to discourage this activity. Further, we took the lead several years ago in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. I am confident we will find other ways to make it more difficult for predatory traders to operate. However, this will only be achieved through close cooperation among regulators, legislators and the industry.
Yes, there have been unfortunate instances of unethical and illegal activity within the mutual fund industry from time to time. That is true of any industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. But we are still concerned about the risk of over regulation and the quick application of simplistic solutions to intricate problems. Every system can be improved, and we support and applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors’ holdings.
For nearly 60 years, Fidelity has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.
Best regards,
/s/ Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report 4
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund’s dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of perfor mance each year. The $10,000 table and the fund’s returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns | ||||||
| Periods ended September 30, 2005 | Past 1 | Past 5 | Past 10 | |||
| year | years | years | ||||
| Fidelity® Asset Manager: Growth® | 8.28% | 0.60% | 7.58% | |||
| $10,000 Over 10 years | ||||||
Let’s say hypothetically that $10,000 was invested in Fidelityr Asset Manager: Growth® on September 30, 1995. The chart shows how the value of your investment would have changed, and also shows how the Standard & Poor’s 500SM Index performed over the same period.
5 Annual Report
5
Management’s Discussion of Fund Performance
Comments from Richard Habermann, Portfolio Manager of Fidelity® Asset Manager: Growth®
Stocks and bonds had positive returns for the 12 months ending September 30, 2005. Equities did significantly better, as the majority of bellwether stock market measures had gains in the low to mid teens, compared to low single digits for bonds. Energy and utilities were the top performing sectors and drove about a third of the stock market’s return on the strength of record high oil prices. It was a fairly conducive investment environment for equities, as continued strength in consumer spending and corporate profits led to steady economic growth. Against this backdrop, the Standard & Poor’s 500SM Index returned 12.25%, the NASDAQ Composite® Index rose 14.19% and the Dow Jones Industrial Aver ageSM gained 7.23% . In the bond market, a flattening yield curve surprised many. Despite eight interest rate hikes in the past year, longer term yields were relatively stable, resulting in a narrowing yield gap compared to rising short term rates. Overall, the Federal Reserve Board’s monetary policy and inflation concerns tempered debt returns, as shown by the modest 2.80% rise in the Lehman Brothersr Aggregate Bond Index.
The fund was up 8.28% during the past year, versus 9.42% for the Fidelity Asset Manager: Growth Composite Index and 11.66% for the LipperSM Flexible Portfolio Funds Average. Relative to the index, weak results from our domestic equity holdings more than offset favorable asset allocation overall and solid outperformance in the fixed income subportfo lio. In an environment that favored riskier assets, it paid to overweight stocks and high yield securities relative to investment grade debt. Within the equity allocation, modest exposure to foreign stocks was helpful, as overseas markets easily beat their U.S. counter parts. Overweighting cash detracted slightly relative to the index, but the fund enjoyed significantly higher yields than in recent periods. Our U.S. equities trailed the S&P 500® by nearly three percentage points, largely due to underweightings in the energy and utilities sectors. Stock selection in financials also hurt, as two major positions mortgage finance giant Fannie Mae and insurer American International Group wilted amid regulatory issues. Conversely, some good picks in consumer staples and health care provided most of the upside, led by pharmacy chain CVS and medical supplier Cardinal Health, respectively. In fixed income, we benefited mainly from good sector selection, and our high yield and investment grade holdings through the use of central investment portfolios comfort ably outpaced the Lehman Brothers index. The strategic cash portion of the fund topped its benchmark as well.
The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
| Annual Report |
| 6 6 |
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2005 to September 30, 2005).
| Actual Expenses |
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the fund, as a share holder in underlying affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated central funds. These fees and expenses are not included in the fund’s annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the share holder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the fund, as a shareholder in underlying affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated central funds. These fees and expenses are not included in the fund’s annualized expense ratio used to calculate the expense estimate in the table below.
7 Annual Report
Shareholder Expense Example continued
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Expenses Paid | ||||||||||||
| Beginning | Ending | During Period* | ||||||||||
| Account Value | Account Value | April 1, 2005 | ||||||||||
| April 1, 2005 | September 30, 2005 | to September 30, 2005 | ||||||||||
| Actual | $ 1,000.00 | $ 1,041.10 | $ 4.20 | |||||||||
| Hypothetical (5% return per | ||||||||||||
| year before expenses) | $ 1,000.00 | $ 1,020.96 | $ 4.15 |
* Expenses are equal to the Fund’s annualized expense ratio of .82%; multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one half year period). The fees and expenses of the underlying affiliated central funds in which the fund invests are not included in the fund’s annualized expense ratio.
| Annual Report |
| 8 |
Investment Changes
| Top Ten Stocks as of September 30, 2005 | ||||
| % of fund’s | % of fund’s net assets | |||
| net assets | 6 months ago | |||
| Cardinal Health, Inc. | 4.6 | 3.8 | ||
| American International Group, Inc. | 4.0 | 3.3 | ||
| Home Depot, Inc. | 3.7 | 3.3 | ||
| Microsoft Corp. | 3.6 | 3.1 | ||
| Wyeth | 3.1 | 2.6 | ||
| SBC Communications, Inc. | 3.0 | 2.8 | ||
| Clear Channel Communications, Inc. | 2.8 | 2.8 | ||
| General Electric Co. | 2.6 | 2.6 | ||
| Pfizer, Inc. | 1.9 | 2.9 | ||
| Bank of America Corp. | 1.7 | 1.0 | ||
| 31.0 | ||||
| Market Sectors as of September 30, 2005 | ||||
| (stocks only) | % of fund’s | % of fund’s net assets | ||
| net assets | 6 months ago | |||
| Financials | 15.5 | 16.8 | ||
| Information Technology | 12.9 | 11.7 | ||
| Health Care | 12.1 | 12.0 | ||
| Consumer Discretionary | 8.2 | 8.0 | ||
| Industrials | 6.5 | 5.9 | ||
| Consumer Staples | 5.4 | 5.9 | ||
| Telecommunication Services | 4.8 | 5.4 | ||
| Energy | 3.9 | 3.4 | ||
| Materials | 0.4 | 0.8 | ||
| Utilities | 0.2 | 0.6 | ||
Asset allocations in the pie charts reflect the categorization of assets as defined in the fund's prospectus in effect as of the time periods indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.
The information in the above tables is based on the combined investments of the fund and its pro rata share of the investments of Fidelity’s fixed income central funds.
9 Annual Report
| Investments September 30, 2005 Showing Percentage of Net Assets |
| Common Stocks 69.9% | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| CONSUMER DISCRETIONARY – 8.2% | ||||||
| Hotels, Restaurants & Leisure 0.5% | ||||||
| Carnival Corp. unit | 56,300 | $ 2,814 | ||||
| McDonald’s Corp. | 392,200 | 13,135 | ||||
| Royal Caribbean Cruises Ltd. | 50,100 | 2,164 | ||||
| 18,113 | ||||||
| Leisure Equipment & Products – 0.1% | ||||||
| Sega Sammy Holdings, Inc. New (a) | 53,400 | 2,085 | ||||
| Media – 3.7% | ||||||
| Clear Channel Communications, Inc. | 2,771,449 | 91,153 | ||||
| E.W. Scripps Co. Class A | 58,800 | 2,938 | ||||
| News Corp. Class A | 937,200 | 14,611 | ||||
| Omnicom Group, Inc. | 137,400 | 11,491 | ||||
| 120,193 | ||||||
| Specialty Retail – 3.9% | ||||||
| Home Depot, Inc. | 3,168,500 | 120,847 | ||||
| TJX Companies, Inc. | 430,100 | 8,808 | ||||
| 129,655 | ||||||
| TOTAL CONSUMER DISCRETIONARY | 270,046 | |||||
| CONSUMER STAPLES 5.4% | ||||||
| Beverages – 0.6% | ||||||
| PepsiCo, Inc. | 165,405 | 9,380 | ||||
| Pernod-Ricard | 58,000 | 10,243 | ||||
| 19,623 | ||||||
| Food & Staples Retailing – 3.1% | ||||||
| CVS Corp. | 1,658,900 | 48,125 | ||||
| Safeway, Inc. | 571,000 | 14,618 | ||||
| Wal-Mart Stores, Inc. | 911,500 | 39,942 | ||||
| 102,685 | ||||||
| Household Products – 0.2% | ||||||
| Colgate-Palmolive Co. | 110,900 | 5,854 | ||||
| Personal Products 0.4% | ||||||
| Alberto-Culver Co. | 290,055 | 12,980 | ||||
| Tobacco 1.1% | ||||||
| Altria Group, Inc. | 485,880 | 35,814 | ||||
| TOTAL CONSUMER STAPLES | 176,956 | |||||
See accompanying notes which are an integral part of the financial statements.
Annual Report 10
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| ENERGY 3.9% | ||||||
| Energy Equipment & Services – 2.0% | ||||||
| Diamond Offshore Drilling, Inc. | 279,500 | $ 17,119 | ||||
| ENSCO International, Inc. | 257,116 | 11,979 | ||||
| GlobalSantaFe Corp. | 418,373 | 19,086 | ||||
| Transocean, Inc. (a) | 266,000 | 16,308 | ||||
| 64,492 | ||||||
| Oil, Gas & Consumable Fuels – 1.9% | ||||||
| BP PLC | 813,800 | 9,610 | ||||
| ConocoPhillips | 189,600 | 13,255 | ||||
| EnCana Corp. | 173,600 | 10,131 | ||||
| Exxon Mobil Corp. | 263,500 | 16,743 | ||||
| OMV AG | 34,400 | 2,043 | ||||
| Statoil ASA | 75,000 | 1,860 | ||||
| Total SA Series B | 37,600 | 10,214 | ||||
| 63,856 | ||||||
| TOTAL ENERGY | 128,348 | |||||
| FINANCIALS – 15.5% | ||||||
| Capital Markets 2.7% | ||||||
| Credit Suisse Group (Reg.) | 203,502 | 9,052 | ||||
| Goldman Sachs Group, Inc. | 160,900 | 19,562 | ||||
| Merrill Lynch & Co., Inc. | 402,300 | 24,681 | ||||
| Morgan Stanley | 446,500 | 24,084 | ||||
| Nikko Cordial Corp. | 690,500 | 8,043 | ||||
| Nuveen Investments, Inc. Class A | 128,300 | 5,054 | ||||
| 90,476 | ||||||
| Commercial Banks – 2.8% | ||||||
| Banca Intesa Spa | 331,300 | 1,544 | ||||
| Bank of America Corp. | 1,353,650 | 56,989 | ||||
| BNP Paribas SA | 41,500 | 3,156 | ||||
| Shinhan Financial Group Co. Ltd. | 72,470 | 2,521 | ||||
| Sumitomo Mitsui Financial Group, Inc. | 1,013 | 9,616 | ||||
| Synovus Financial Corp. | 124,000 | 3,437 | ||||
| Wachovia Corp. | 290,637 | 13,831 | ||||
| Wells Fargo & Co. | 11,600 | 679 | ||||
| 91,773 | ||||||
| Consumer Finance – 0.3% | ||||||
| Capital One Financial Corp. | 37,600 | 2,990 | ||||
See accompanying notes which are an integral part of the financial statements.
11 Annual Report
| Investments continued | ||||||
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| FINANCIALS – continued | ||||||
| Consumer Finance – continued | ||||||
| Credit Saison Co. Ltd. | 69,100 | $ 3,053 | ||||
| MBNA Corp. | 127,700 | 3,147 | ||||
| 9,190 | ||||||
| Diversified Financial Services – 1.2% | ||||||
| Citigroup, Inc. | 766,033 | 34,870 | ||||
| ING Groep NV (Certificaten Van Aandelen) | 109,500 | 3,262 | ||||
| 38,132 | ||||||
| Insurance – 7.3% | ||||||
| ACE Ltd. | 289,840 | 13,643 | ||||
| AFLAC, Inc. | 52,200 | 2,365 | ||||
| Allianz AG (Reg.) | 84,900 | 11,470 | ||||
| AMBAC Financial Group, Inc. | 182,200 | 13,129 | ||||
| American International Group, Inc. | 2,114,100 | 130,990 | ||||
| Hartford Financial Services Group, Inc. | 502,000 | 38,739 | ||||
| MBIA, Inc. | 191,400 | 11,603 | ||||
| MetLife, Inc. | 344,700 | 17,176 | ||||
| 239,115 | ||||||
| Thrifts & Mortgage Finance – 1.2% | ||||||
| Fannie Mae | 622,886 | 27,918 | ||||
| MGIC Investment Corp. | 187,200 | 12,018 | ||||
| Washington Mutual, Inc. | 5,900 | 231 | ||||
| 40,167 | ||||||
| TOTAL FINANCIALS | 508,853 | |||||
| HEALTH CARE – 12.1% | ||||||
| Biotechnology – 0.1% | ||||||
| QIAGEN NV (a) | 263,800 | 3,440 | ||||
| Health Care Providers & Services – 5.0% | ||||||
| Cardinal Health, Inc. | 2,359,720 | 149,705 | ||||
| UnitedHealth Group, Inc. | 266,500 | 14,977 | ||||
| 164,682 | ||||||
| Pharmaceuticals – 7.0% | ||||||
| Cipla Ltd. | 137,547 | 1,189 | ||||
| Johnson & Johnson | 756,900 | 47,897 | ||||
| Novartis AG (Reg.) | 148,633 | 7,580 | ||||
| Pfizer, Inc. | 2,506,700 | 62,592 | ||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 12 |
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| HEALTH CARE – continued | ||||||
| Pharmaceuticals – continued | ||||||
| Roche Holding AG (participation certificate) | 48,556 | $ 6,746 | ||||
| Wyeth | 2,193,400 | 101,489 | ||||
| 227,493 | ||||||
| TOTAL HEALTH CARE | 395,615 | |||||
| INDUSTRIALS – 6.5% | ||||||
| Aerospace & Defense – 0.9% | ||||||
| Honeywell International, Inc. | 304,700 | 11,426 | ||||
| Lockheed Martin Corp. | 136,100 | 8,308 | ||||
| United Technologies Corp. | 172,800 | 8,958 | ||||
| 28,692 | ||||||
| Airlines – 0.1% | ||||||
| Ryanair Holdings PLC sponsored ADR (a) | 69,100 | 3,146 | ||||
| Commercial Services & Supplies – 0.2% | ||||||
| ChoicePoint, Inc. (a) | 130,078 | 5,615 | ||||
| Electrical Equipment – 0.0% | ||||||
| ABB Ltd. sponsored ADR (a) | 258,300 | 1,901 | ||||
| Industrial Conglomerates – 4.7% | ||||||
| 3M Co. | 401,100 | 29,425 | ||||
| General Electric Co. | 2,527,040 | 85,085 | ||||
| Smiths Group PLC | 290,300 | 4,912 | ||||
| Tyco International Ltd. | 1,259,500 | 35,077 | ||||
| 154,499 | ||||||
| Machinery – 0.5% | ||||||
| Ingersoll-Rand Co. Ltd. Class A | 423,400 | 16,187 | ||||
| Weichai Power Co. Ltd. (H Shares) | 568,000 | 1,263 | ||||
| 17,450 | ||||||
| Marine – 0.1% | ||||||
| Alexander & Baldwin, Inc. | 35,801 | 1,906 | ||||
| TOTAL INDUSTRIALS | 213,209 | |||||
| INFORMATION TECHNOLOGY – 12.9% | ||||||
| Communications Equipment – 2.3% | ||||||
| Cisco Systems, Inc. (a) | 2,670,500 | 47,882 | ||||
| Comverse Technology, Inc. (a) | 148,300 | 3,896 | ||||
| Motorola, Inc. | 59,400 | 1,312 | ||||
See accompanying notes which are an integral part of the financial statements.
13 Annual Report
| Investments continued | ||||||
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| INFORMATION TECHNOLOGY – continued | ||||||
| Communications Equipment – continued | ||||||
| Nokia Corp. sponsored ADR | 1,000,700 | $ 16,922 | ||||
| QUALCOMM, Inc. | 137,300 | 6,144 | ||||
| 76,156 | ||||||
| Computers & Peripherals – 2.0% | ||||||
| Dell, Inc. (a) | 765,000 | 26,163 | ||||
| EMC Corp. (a) | 260,000 | 3,364 | ||||
| Hewlett-Packard Co. | 141,800 | 4,141 | ||||
| International Business Machines Corp. | 381,300 | 30,588 | ||||
| 64,256 | ||||||
| Electronic Equipment & Instruments – 0.5% | ||||||
| AU Optronics Corp. sponsored ADR | 348,958 | 4,522 | ||||
| Flextronics International Ltd. (a) | 314,400 | 4,040 | ||||
| Hoya Corp. New (a) | 149,700 | 5,127 | ||||
| Jabil Circuit, Inc. (a) | 44,100 | 1,364 | ||||
| Optimax Technology Corp. | 248,668 | 405 | ||||
| Symbol Technologies, Inc. | 2,691 | 26 | ||||
| 15,484 | ||||||
| Internet Software & Services – 0.1% | ||||||
| Yahoo! Japan Corp | 2,394 | 2,825 | ||||
| Yahoo! Japan Corp. New | 1,123 | 1,345 | ||||
| 4,170 | ||||||
| IT Services – 0.1% | ||||||
| Computershare Ltd. | 263,500 | 1,326 | ||||
| Satyam Computer Services Ltd. | 232,848 | 2,968 | ||||
| 4,294 | ||||||
| Semiconductors & Semiconductor Equipment – 3.0% | ||||||
| Advanced Semiconductor Engineering, Inc. | 4,450,000 | 3,004 | ||||
| Analog Devices, Inc. | 40,400 | 1,500 | ||||
| Applied Materials, Inc. | 856,900 | 14,533 | ||||
| ASML Holding NV (NY Shares) (a) | 704,900 | 11,638 | ||||
| Intel Corp. | 1,607,140 | 39,616 | ||||
| KLA Tencor Corp. | 98,300 | 4,793 | ||||
| Lam Research Corp. (a) | 145,475 | 4,433 | ||||
| Linear Technology Corp. | 34,800 | 1,308 | ||||
| Novellus Systems, Inc. (a) | 92,500 | 2,320 | ||||
| STATS ChipPAC Ltd. sponsored ADR (a) | 192,800 | 1,211 | ||||
| Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 304,188 | 2,500 | ||||
| Tokyo Electron Ltd. | 174,400 | 9,330 | ||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 14 |
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| INFORMATION TECHNOLOGY – continued | ||||||
| Semiconductors & Semiconductor Equipment – continued | ||||||
| United Microelectronics Corp. | 323,290 | $ 208 | ||||
| United Microelectronics Corp. sponsored ADR | 870,012 | 3,132 | ||||
| Xilinx, Inc. | 23,700 | 660 | ||||
| 100,186 | ||||||
| Software 4.9% | ||||||
| BEA Systems, Inc. (a) | 676,800 | 6,078 | ||||
| Microsoft Corp. | 4,545,808 | 116,964 | ||||
| Symantec Corp. (a) | 1,635,325 | 37,056 | ||||
| 160,098 | ||||||
| TOTAL INFORMATION TECHNOLOGY | 424,644 | |||||
| MATERIALS 0.4% | ||||||
| Chemicals – 0.3% | ||||||
| Nitto Denko Corp. | 44,300 | 2,511 | ||||
| Praxair, Inc. | 134,100 | 6,427 | ||||
| 8,938 | ||||||
| Metals & Mining – 0.1% | ||||||
| BHP Billiton Ltd. sponsored ADR | 81,000 | 2,769 | ||||
| TOTAL MATERIALS | 11,707 | |||||
| TELECOMMUNICATION SERVICES – 4.8% | ||||||
| Diversified Telecommunication Services – 4.4% | ||||||
| BellSouth Corp. | 751,000 | 19,751 | ||||
| Deutsche Telekom AG (Reg.) | 106,300 | 1,939 | ||||
| Qwest Communications International, Inc. (a) | 3,329,100 | 13,649 | ||||
| SBC Communications, Inc. | 4,059,700 | 97,311 | ||||
| Verizon Communications, Inc. | 406,100 | 13,275 | ||||
| 145,925 | ||||||
| Wireless Telecommunication Services – 0.4% | ||||||
| Sprint Nextel Corp. | 296,685 | 7,055 | ||||
| Vodafone Group PLC | 2,221,100 | 5,768 | ||||
| 12,823 | ||||||
| TOTAL TELECOMMUNICATION SERVICES | 158,748 | |||||
See accompanying notes which are an integral part of the financial statements.
15 Annual Report
| Investments continued | ||||||||
| Common Stocks continued | ||||||||
| Shares | Value (Note 1) | |||||||
| (000s) | ||||||||
| UTILITIES – 0.2% | ||||||||
| Electric Utilities – 0.2% | ||||||||
| E.ON AG | 82,400 | $ 7,601 | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $2,291,750) | 2,295,727 | |||||||
| Convertible Bonds 0.0% | ||||||||
| Principal | ||||||||
| Amount (000s) | ||||||||
| INFORMATION TECHNOLOGY – 0.0% | ||||||||
| Communications Equipment – 0.0% | ||||||||
| CIENA Corp. 3.75% 2/1/08 | $ 1,130 | 1,033 | ||||||
| TOTAL CONVERTIBLE BONDS | ||||||||
| (Cost $998) | 1,033 | |||||||
| U.S. Treasury Obligations 0.3% | ||||||||
| U.S. Treasury Bills, yield at date of purchase 3.17% to | ||||||||
| 3.4% 10/13/05 to 12/8/05 (c) | ||||||||
| (Cost $9,452) | 9,500 | 9,456 | ||||||
| Fixed Income Funds 16.3% | ||||||||
| Shares | ||||||||
| Fidelity Floating Rate Central Investment Portfolio (b) | 611,762 | 61,549 | ||||||
| Fidelity High Income Central Investment Portfolio 1 (b) | 2,660,093 | 258,827 | ||||||
| Fidelity Tactical Income Central Investment Portfolio (b) | 2,179,939 | 215,313 | ||||||
| TOTAL FIXED INCOME FUNDS | ||||||||
| (Cost $524,741) | 535,689 | |||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 16 |
| Money Market Funds 13.2% | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| Fidelity Cash Central Fund, 3.82% (b) | 423,745,754 | $ 423,746 | ||||
| Fidelity Money Market Central Fund, 3.82% (b) | 8,056,119 | 8,056 | ||||
| TOTAL MONEY MARKET FUNDS | ||||||
| (Cost $431,802) | 431,802 | |||||
| TOTAL INVESTMENT PORTFOLIO 99.7% | ||||||
| (Cost $3,258,743) | 3,273,707 | |||||
| NET OTHER ASSETS – 0.3% | 10,330 | |||||
| NET ASSETS 100% | $ 3,284,037 | |||||
| Futures Contracts | ||||||
| Expiration | Underlying | Unrealized | ||||
| Date | Face Amount | Appreciation/ | ||||
| at Value (000s) | Depreciation) | |||||
| (000s) | ||||||
| Purchased | ||||||
| Equity Index Contracts | ||||||
| 565 S&P 500 Index Contracts | Dec. 2005 | $ 174,345 | $ (1,072) | |||
The face value of futures purchased as a percentage of net assets – 5.3%
Legend
| (a) Non-income producing (b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the money market fund’s holdings as of its most recent quarter end is available upon request. A complete unaudited listing of the fixed-income central fund’s holdings is provided at the end of this report. (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $9,456,000. |
See accompanying notes which are an integral part of the financial statements.
17 Annual Report
Investments continued
Other Information
The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited):
| U.S. Government and U.S. | ||
| Government Agency Obligations | 3.2% | |
| AAA, AA, A | 2.3% | |
| BBB | 0.8% | |
| BB | 3.7% | |
| B | 4.5% | |
| CCC, CC, C | 0.9% | |
| Not Rated | 0.6% | |
| Equities | 75.1% | |
| Short Term Investments and Net | ||
| Other Assets | 8.9% | |
| 100.0% |
We have used ratings from Moody’s Investors Services, Inc. Where Moody’s ratings are not available, we have used S&P ratings. Percentages are adjusted for the effect of futures contracts, if applicable. The information in the above table is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity’s fixed-income central funds.
Income Tax Information
At September 30, 2005, the fund had a capital loss carryforward of approximately $390,991,000 of which $153,858,000 and $237,133,000 will expire on September 30, 2010 and 2011, respectively.
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 18 |
| Financial Statements | ||||||||
| Statement of Assets and Liabilities | ||||||||
| Amounts in thousands (except per share amount) | September 30, 2005 | |||||||
| Assets | ||||||||
| Investment in securities, at value (cost $3,258,743) | ||||||||
| See accompanying schedule | $ | 3,273,707 | ||||||
| Foreign currency held at value (cost $1,284) | 1,284 | |||||||
| Receivable for investments sold | 80,791 | |||||||
| Receivable for fund shares sold | 2,825 | |||||||
| Dividends receivable | 2,442 | |||||||
| Interest receivable | 4,227 | |||||||
| Receivable for daily variation on futures contracts | 353 | |||||||
| Prepaid expenses | 2 | |||||||
| Other affiliated receivables | 41 | |||||||
| Other receivables | 131 | |||||||
| Total assets | 3,365,803 | |||||||
| Liabilities | ||||||||
| Payable for investments purchased | $�� | 50,803 | ||||||
| Payable for fund shares redeemed | 28,523 | |||||||
| Accrued management fee | 1,592 | |||||||
| Other affiliated payables | 753 | |||||||
| Other payables and accrued expenses | 95 | |||||||
| Total liabilities | 81,766 | |||||||
| Net Assets | $ | 3,284,037 | ||||||
| Net Assets consist of: | ||||||||
| Paid in capital | $ | 3,631,809 | ||||||
| Undistributed net investment income | 45,261 | |||||||
| Accumulated undistributed net realized gain (loss) on | ||||||||
| investments and foreign currency transactions | (406,906) | |||||||
| Net unrealized appreciation (depreciation) on | ||||||||
| investments and assets and liabilities in foreign | ||||||||
| currencies | 13,873 | |||||||
| Net Assets, for 219,757 shares outstanding | $ | 3,284,037 | ||||||
| Net Asset Value, offering price and redemption price per | ||||||||
| share ($3,284,037 ÷ 219,757 shares) | $ | 14.94 | ||||||
See accompanying notes which are an integral part of the financial statements.
19 Annual Report
| Financial Statements continued | ||||||
| Statement of Operations | ||||||
| Amounts in thousands | Year ended September 30, 2005 | |||||
| Investment Income | ||||||
| Dividends | $ | 43,385 | ||||
| Special Dividends | 13,361 | |||||
| Interest | 45,683 | |||||
| Security lending | 146 | |||||
| Total income | 102,575 | |||||
| Expenses | ||||||
| Management fee | $ | 20,126 | ||||
| Transfer agent fees | 7,294 | |||||
| Accounting and security lending fees | 1,045 | |||||
| Independent trustees’ compensation | 18 | |||||
| Appreciation in deferred trustee compensation account | 2 | |||||
| Custodian fees and expenses | 141 | |||||
| Registration fees | 38 | |||||
| Audit | 106 | |||||
| Legal | 13 | |||||
| Miscellaneous | 46 | |||||
| Total expenses before reductions | 28,829 | |||||
| Expense reductions | (540) | 28,289 | ||||
| Net investment income (loss) | 74,286 | |||||
| Realized and Unrealized Gain (Loss) | ||||||
| Net realized gain (loss) on: | ||||||
| Investment securities | 117,553 | |||||
| Foreign currency transactions | 308 | |||||
| Futures contracts | 12,417 | |||||
| Swap agreements | 31 | |||||
| Total net realized gain (loss) | 130,309 | |||||
| Change in net unrealized appreciation (depreciation) on: | ||||||
| Investment securities | 79,050 | |||||
| Assets and liabilities in foreign currencies | 178 | |||||
| Futures contracts | 618 | |||||
| Swap agreements | (53) | |||||
| Total change in net unrealized appreciation | ||||||
| (depreciation) | 79,793 | |||||
| Net gain (loss) | 210,102 | |||||
| Net increase (decrease) in net assets resulting from | ||||||
| operations | $ | 284,388 | ||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 20 |
| Statement of Changes in Net Assets | ||||||||
| Year ended | Year ended | |||||||
| September 30, | September 30, | |||||||
| Amounts in thousands | 2005 | 2004 | ||||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net investment income (loss) | $ 74,286 | $ 65,656 | ||||||
| Net realized gain (loss) | 130,309 | 165,949 | ||||||
| Change in net unrealized appreciation (depreciation) . | 79,793 | 14,289 | ||||||
| Net increase (decrease) in net assets resulting | ||||||||
| from operations | 284,388 | 245,894 | ||||||
| Distributions to shareholders from net investment income . | (79,222) | (80,434) | ||||||
| Share transactions | ||||||||
| Proceeds from sales of shares | 331,292 | 437,912 | ||||||
| Reinvestment of distributions | 77,971 | 79,098 | ||||||
| Cost of shares redeemed | (918,267) | (615,150) | ||||||
| Net increase (decrease) in net assets resulting from | ||||||||
| share transactions | (509,004) | (98,140) | ||||||
| Total increase (decrease) in net assets | (303,838) | 67,320 | ||||||
| Net Assets | ||||||||
| Beginning of period | 3,587,875 | 3,520,555 | ||||||
| End of period (including undistributed net investment | ||||||||
| income of $45,261 and undistributed net investment | ||||||||
| income of $50,838, respectively) | $ 3,284,037 | $ 3,587,875 | ||||||
| Other Information | ||||||||
| Shares | ||||||||
| Sold | 22,698 | 30,708 | ||||||
| Issued in reinvestment of distributions | 5,330 | 5,626 | ||||||
| Redeemed | (62,764) | (43,138) | ||||||
| Net increase (decrease) | (34,736) | (6,804) | ||||||
See accompanying notes which are an integral part of the financial statements.
21 Annual Report
| Financial Highlights | ||||||||||
| Years ended September 30, | 2005 | 2004 | 2003 | 2002 | 2001 | |||||
| Selected Per Share Data | ||||||||||
| Net asset value, beginning of | ||||||||||
| period | $ 14.10 | $ 13.47 | $ 11.30 | $ 13.48 | $ 20.33 | |||||
| Income from Investment | ||||||||||
| Operations | ||||||||||
| Net investment income (loss)B | 31D | .25 | .32 | .37F | .42 | |||||
| Net realized and unrealized | ||||||||||
| gain (loss) | 85 | .69 | 2.21 | (2.13)F | (4.25) | |||||
| Total from investment operations | 1.16 | .94 | 2.53 | (1.76) | (3.83) | |||||
| Distributions from net investment | ||||||||||
| income | (.32) | (.31) | (.36) | (.42) | (.46) | |||||
| Distributions from net realized | ||||||||||
| gain | — | — | — | (2.56) | ||||||
| Total distributions | (.32) | (.31) | (.36) | (.42) | (3.02) | |||||
| Net asset value, end of period | $ 14.94 | $ 14.10 | $ 13.47 | $ 11.30 | $ 13.48 | |||||
| Total ReturnA | 8.28% | 6.99% | 22.74% | (13.71)% | (20.93)% | |||||
| Ratios to Average Net AssetsC,E | ||||||||||
| Expenses before expense | ||||||||||
| reductions | 82% | .83% | .84% | .84% | .81% | |||||
| Expenses net of voluntary waiv- | ||||||||||
| ers, if any | 82% | .83% | .84% | .84% | .81% | |||||
| Expenses net of all reductions | 80% | .82% | .83% | .81% | .78% | |||||
| Net investment income (loss) | 2.11%D | 1.77% | 2.53% | 2.73%F | 2.62% | |||||
| Supplemental Data | ||||||||||
| Net assets, end of period (in | ||||||||||
| millions) | $ 3,284 | $ 3,588 | $ 3,521 | $ 3,122 | $ 3,916 | |||||
| Portfolio turnover rate | 37% | 67% | 72% | 101% | 143% | |||||
| A Total returns would have been lower had certain expenses not been reduced during the periods shown. B Calculated based on average shares outstanding during the period. C Amounts do not include the activity of the underlying funds. D Investment income per share reflects a special dividend which amounted to $.06 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been 1.73% . E Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions repre sent the net expenses paid by the fund. F Effective October 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per share data and ratios for periods prior to adoption have not been restated to reflect this change. |
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 22 |
Notes to Financial Statements
| For the period ended September 30, 2005 (Amounts in thousands except ratios) |
1. Significant Accounting Policies.
Fidelity Asset Manager: Growth (the fund) is a fund of Fidelity Charles Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open end management investment company organized as a Massachusetts business trust. The fund may invest in affiliated money market central funds (Money Market Central Funds) and fixed income Central Investment Portfolios (CIPs), collectively referred to as Central Funds, which are open end investment companies available to investment companies and other accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require manage ment to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund, which are also consistently followed by the Central Funds:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security’s value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security’s valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off exchange institutional trading may be reviewed in the course of making a good faith determination of a security’s fair value. Short term securi ties with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open end investment companies, including Central Funds, are valued at their net asset value each business day.
23 Annual Report
| Notes to Financial Statements continued (Amounts in thousands except ratios) 1. Significant Accounting Policies continued |
Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
Foreign denominated assets, including investment securities, and liabilities are trans lated into U.S. dollars at the exchange rate at period end. Purchases and sales of invest ment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transac tion date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. Security transactions, including the fund’s investment activity in the Central Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex dividend date, except for certain dividends from foreign securities where the ex dividend date may have passed, which are recorded as soon as the fund is informed of the ex dividend date. Non cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Large, non recurring dividends recognized by the fund are presented separately on the Statement of Operations as “Special Dividends” and the impact of these dividends is presented in the Financial Highlights. Interest income, including distributions from the Central Funds, is accrued as earned. Interest income includes coupon interest and amortization of pre mium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of the fund or are invested in a cross section of other Fidelity funds, and are marked to market. Deferred amounts remain in the fund until distributed in accordance with the Plan.
| Annual Report |
| 24 |
1. Significant Accounting Policies continued
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on the fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are recorded on the ex dividend date. Income and capital gain distribu tions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book tax differences will reverse in a subsequent period.
Book tax differences are primarily due to futures transactions, swap agreements, foreign currency transactions, passive foreign investment companies (PFIC), prior period premium and discount on debt securities, market discount, partnerships (including allocations from the CIPs), deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales.
The tax basis components of distributable earnings and the federal tax cost as of period end were as follows:
| Unrealized appreciation | $ | 224,553 | ||
| Unrealized depreciation | (228,831) | |||
| Net unrealized appreciation (depreciation) | (4,278) | |||
| Undistributed ordinary income | 47,592 | |||
| Capital loss carryforward | (390,991) | |||
| Cost for federal income tax purposes | $ | 3,277,985 | ||
The tax character of distributions paid was as follows:
| September 30, 2005 | September 30, 2004 | |||||||
| Ordinary Income | $ 79,222 | $ 80,434 |
2. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by
25 Annual Report
Notes to Financial Statements continued
(Amounts in thousands except ratios)
2. Operating Policies continued
Repurchase Agreements continued
government or non government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Futures Contracts. The fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase a fund’s exposure to the underlying instrument, while selling futures tends to decrease a fund’s exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption “Futures Contracts.” This amount reflects each contract’s exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contracts’ terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Swap Agreements. The fund may invest in swaps for the purpose of managing its exposure to credit or market risk.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a “guarantor” receiving a periodic payment that is a fixed percentage applied to a no tional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap.
| Annual Report |
| 26 |
2. Operating Policies continued
Swap Agreements continued
The fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value.
Swaps are marked to market daily based on dealer supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund’s custodian in compliance with swap contracts.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short term securities and U.S. government securities, and in kind transactions, aggregated $1,114,455 and $1,571,348, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the fund with investment manage ment related services for which the fund pays a monthly management fee. The manage ment fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the fund’s average net assets and a group fee rate that averaged .27% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual man agement fee rate was .57% of the fund’s average net assets.
Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund’s transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset based fees that vary according to account size and type of ac count. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .21% of average net assets.
Accounting and Security Lending Fees. FSC maintains the fund’s accounting rec ords. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Affiliated Central Funds. The fund may invest in Money Market Central Funds which seek preservation of capital and current income and are managed by Fidelity Invest ments Money Management, Inc. (FIMM), an affiliate of FMR.
27 Annual Report
| Notes to Financial Statements continued (Amounts in thousands except ratios) 4. Fees and Other Transactions with Affiliates continued Affiliated Central Funds continued |
The fund may also invest in CIPs managed by FIMM or Fidelity Management & Research Company, Inc. (FMRC), each an affiliate of FMR. The Ultra Short Central Fund seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment grade debt securities. The High Income Central Investment Portfolio 1 seeks a high level of income and may also seek capital appreciation by investing primarily in income producing debt securities, preferred stocks, and convertible securities, with an emphasis on lower quality debt securities. The Tactical Income Central Investment Portfolio seeks a high level of income by normally investing in medium and high quality investment grade debt securities of all types and repurchase agreements for those securities. The Floating Rate Central Invest ment Portfolio seeks a high level of income by normally investing in floating rate loans and other floating rate securities.
The fund’s Schedule of Investments lists the CIPs as an investment of the fund but does not include the underlying holdings of the CIPs. Based on their investment objectives, the CIPs may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. In addition, the CIPs may also participate in delayed delivery and when issued securities, loans and other direct debt instruments, financing transactions and restricted securities. These strategies are consistent with the investment objectives of the fund and may involve certain economic risks, including the risk that a counterparty to one or more of these transactions may be unable or unwilling to comply with the terms of the governing agreement. This may result in a decline in value of the CIPs and the fund.
A complete list of holdings for each CIP is available at the end of this report. In addition, a copy of each CIP’s financial statements is available on the EDGAR Database on the SEC’s website www.sec.gov, or at the Commission’s public reference room in Washington, DC.
The Central Funds do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $40,091 for the period.
On November 12, 2004, the fund completed a non taxable exchange of securities with a value, including accrued interest, of $266,014 (which included $15,703 of unrealized appreciation) for 2,660 shares (each then valued at $100.00 per share) of the Fidelity High Income Central Investment Portfolio 1, an affiliated entity. On December 17, 2004, the fund completed a non taxable exchange of securities with a value, including accrued interest, of $217,994 (which included $4,799 of unrealized appreciation) for 2,180 shares (each then valued at $100.00 per share) of the Fidelity Tactical Income Central
| Annual Report |
| 28 |
| 4. Fees and Other Transactions with Affiliates continued Affiliated Central Funds continued |
Investment Portfolio, an affiliated entity. These are considered non taxable exchanges for federal income tax purposes, with no gain or loss recognized by the fund or its shareholders.
Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $23 for the period.
| 5. Committed Line of Credit. |
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the “line of credit”) to be utilized for temporary or emergency purposes to fund share holder redemptions or for other short term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.
| 6. Security Lending. |
The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insol vency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in the Fidelity Securities Lending Cash Central Fund. At period end there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities.
| 7. Expense Reductions. |
Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $445 for the period. In addition, through arrangements with the fund’s custodian and transfer agent, credits realized as a result of
29 Annual Report
| Notes to Financial Statements continued (Amounts in thousands except ratios) 7. Expense Reductions - continued |
uninvested cash balances were used to reduce the fund’s expenses. During the period, these credits reduced the fund’s custody and transfer agent expenses by $4 and $91, respectively.
| 8. Other. |
The fund’s organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the perfor mance of their duties to the fund. In the normal course of business, the fund may also enter into contracts that provide general indemnifications. The fund’s maximum expo sure under these arrangements is unknown as this would be dependent on future claims that may be made against the fund. The risk of material loss from such claims is consid ered remote.
| Annual Report |
| 30 |
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Charles Street Trust and Shareholders of Fidelity Asset Manager: Growth:
We have audited the accompanying statement of assets and liabilities of Fidelity Asset Manager: Growth (the Fund), a fund of Fidelity Charles Street Trust, including the schedule of investments, as of September 30, 2005, and the related statement of opera tions for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures in cluded confirmation of securities owned as of September 30, 2005, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Asset Manager: Growth as of September 30, 2005, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial high lights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
| /s/ Deloitte & Touche LLP DELOITTE & TOUCHE LLP Boston, Massachusetts November 16, 2005 |
31 Annual Report
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund’s activities, review contractual arrangements with companies that provide services to the fund, and review the fund’s performance. Except for William O. McCoy, Stephen P. Jonas, and Kenneth L. Wolfe, each of the Trustees oversees 322 funds advised by FMR or an affiliate. Mr. McCoy oversees 324 funds advised by FMR or an affiliate. Mr. Jonas and Mr. Wolfe oversee 319 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instru ment signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
| Interested Trustees*: |
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
| Name, Age; Principal Occupation Edward C. Johnson 3d (75)** |
Year of Election or Appointment: 1981
Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Di rector and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman and a Director of Fidelity Investments Money Man agement, Inc.; and Chairman (2001 present) and a Director (2000 present) of FMR Co., Inc.
| Annual Report |
| 32 |
| Name, Age; Principal Occupation Abigail P. Johnson (43)** |
Year of Election or Appointment: 2001
Ms. Johnson serves as President of Fidelity Employer Services Company (FESCO) (2005 present). She is President and a Director of Fidelity In vestments Money Management, Inc. (2001 present), FMR Co., Inc. (2001 present), and a Director of FMR Corp. Previously, Ms. Johnson served as President and a Director of FMR (2001 2005), Senior Vice President of the Fidelity funds (2001 2005), and managed a number of Fidelity funds.
| Stephen P. Jonas (52) |
Year of Election or Appointment: 2005
Mr. Jonas is Senior Vice President of Asset Manager: Growth
(2005 present). He also serves as Senior Vice President of other Fidelity funds (2005 present). Mr. Jonas is Executive Director of FMR
(2005 present). Previously, Mr. Jonas served as President of Fidelity En terprise Operations and Risk Services (2004 2005), Chief Administra tive Officer (2002 2004), and Chief Financial Officer of FMR Co. (1998 2000). Mr. Jonas has been with Fidelity Investments since 1987 and has held various financial and management positions including Chief Financial Officer of FMR. In addition, he serves on the Boards of Boston Ballet (2003 present) and Simmons College (2003 present).
| Robert L. Reynolds (53) |
Year of Election or Appointment: 2003
Mr. Reynolds is a Director (2003 present) and Chief Operating Officer (2002 present) of FMR Corp. He also serves on the Board at Fidelity Investments Canada, Ltd. (2000 present). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996 2000).
* Trustees have been determined to be “Interested Trustees” by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson’s father.
33 Annual Report
Trustees and Officers - continued
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205 5235.
| Name, Age; Principal Occupation Dennis J. Dirks (57) |
Year of Election or Appointment: 2005
Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999 2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Com pany (DTC) (1999 2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999 2003). In addi tion, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001 2003) and Chief Executive Officer and Board member of the Mortgage Backed Securities Clearing Corporation (2001 2003). Mr. Dirks also serves as a Trustee of Manhattan College (2005 present).
| Robert M. Gates (62) |
Year of Election or Appointment: 1997
Dr. Gates is Vice Chairman of the Independent Trustees (2005 present). Dr. Gates is President of Texas A&M University (2002 present). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001 present), and Brinker International (restaurant management, 2003 present). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999 2001). Dr. Gates also is a Trustee of the Forum for International Policy.
| Annual Report |
| 34 |
| Name, Age; Principal Occupation George H. Heilmeier (69) |
Year of Election or Appointment: 2004
Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (commu nication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineer ing and information technology support for the government), and HRL Laboratories (private research and development, 2004 present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000 present). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Acad emy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Pre viously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992 2002), Compaq (1994 2002), Automatic Data Processing, Inc. (ADP) (technology based business outsourcing, 1995 2002), INET Technologies Inc. (telecommu nications network surveillance, 2001 2004), and Teletech Holdings (cus tomer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid display.
| Marie L. Knowles (58) |
Year of Election or Appointment: 2001
Prior to Ms. Knowles’ retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996 2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare ser vice, 2002 present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.
35 Annual Report
Trustees and Officers - continued
| Name, Age; Principal Occupation Ned C. Lautenbach (61) |
Year of Election or Appointment: 2000
Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004 present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005 present), as well as a member of the Council on Foreign Relations.
| Marvin L. Mann (72) |
Year of Election or Appointment: 1993
Mr. Mann is Chairman of the Independent Trustees (2001 present). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director’s Council of the Investment Com pany Institute. In addition, Mr. Mann is a member of the President’s Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.
| William O. McCoy (71) |
Year of Election or Appointment: 1997
Prior to his retirement in December 1994, Mr. McCoy was Vice Chair man of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Frank lin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999 2000) and a member of the Board of Visitors for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Car olina (16 school system).
| Annual Report |
| 36 |
| Name, Age; Principal Occupation Cornelia M. Small (61) |
Year of Election or Appointment: 2005
Ms. Small is a member (2000 present) and Chairperson (2002 present) of the Investment Committee, and a member (2002 present) of the Board of Trustees of Smith College. Previously, she served as Chief In vestment Officer (1999 2000), Director of Global Equity Investments (1996 1999), and a member of the Board of Directors of Scudder, Ste vens & Clark (1990 1997) and Scudder Kemper Investments (1997 1998). In addition, Ms. Small served as Co Chair (2000 2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.
| William S. Stavropoulos (66) |
Year of Election or Appointment: 2001
Mr. Stavropoulos is Chairman of the Board (2000 present) and a Mem ber of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993 2000; 2002 2003), CEO (1995 2000; 2002 2004), and Chair man of the Executive Committee (2000 2004). Currently, he is a Direc tor of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corpo ration, Maersk Inc. (industrial conglomerate, 2002 present), and Metal mark Capital (private equity investment firm, 2005 present). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.
| Kenneth L. Wolfe (66) |
Year of Election or Appointment: 2005
Mr. Wolfe also serves as a Trustee (2005 present) or Member of the Advisory Board (2004 present) of other investment companies advised by FMR. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993 2001). He currently serves as a member of the boards of Adelphia Communica tions Corporation (2003 present), Bausch & Lomb, Inc., and Revlon Inc. (2004 present).
37 Annual Report
Trustees and Officers - continued
Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Gamper may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205 5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
| Name, Age; Principal Occupation Albert R. Gamper, Jr. (63) |
Year of Election or Appointment: 2005
Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior manage ment positions, including Chairman (1987 1989; 1999 2001; 2002 2004), Chief Executive Officer (1987 2004), and President (1989 2002). He currently serves as a member of the Board of Direc tors of Public Service Enterprise Group (utilities, 2001 present), Chair man of the Board of Governors, Rutgers University (2004 present), and Chairman of the Board of Saint Barnabas Health Care System.
| Peter S. Lynch (61) |
Year of Election or Appointment: 2003
Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001 present) and a Director (2000 present) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990 2003). In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.
| Walter C. Donovan (43) |
Year of Election or Appointment: 2005
Vice President of Asset Manager: Growth. Mr. Donovan also serves as Vice President of Fidelity’s High Income Funds (2005 present), Fidelity’s Fixed Income Funds (2005 present), certain Asset Allocation Funds (2005 present), and certain Balanced Funds (2005 present). Mr. Dono van also serves as Executive Vice President of FMR (2005 present) and FMRC (2005 present). Previously, Mr. Donovan served as Vice President and Director of Fidelity’s International Equity Trading group (1998 2005).
| Annual Report |
| 38 |
| Name, Age; Principal Occupation Boyce I. Greer (49) |
Year of Election or Appointment: 2005
Vice President of Asset Manager: Growth. Mr. Greer also serves as Vice President of the Fidelity Select Portfolios (2005 present), certain Asset Allocation Funds (2005 present), a Trustee of other investment compa nies advised by FMR (2003 present), and a member of the FMR senior management team (2005 present). Previously, Mr. Greer served as a Director and Managing Director of Strategic Advisers, Inc. (2002 2005), Executive Vice President (2000 2002), and Money Market Group Leader (1997 2002) of the Fidelity Investments Fixed Income Division. He also served as Vice President of Fidelity’s Money Market Funds (1997 2002), Senior Vice President of FMR (1997 2002), and Vice President of FIMM (1998 2002).
| Charles S. Morrison (44) |
Year of Election or Appointment: 2005
Vice President of Asset Manager: Growth. Mr. Morrison also serves as Vice President of Fidelity’s Money Market Funds (2005 present) and certain Asset Allocation Funds (2002 present). Previously, he served as Vice President of Fidelity’s Bond Funds (2002 2005) and certain Bal anced Funds (2002 2005). He served as Vice President (2002 2005) and Bond Group Leader (2002 2005) of Fidelity Investments Fixed In come Division. Mr. Morrison is also Vice President of FIMM (2002 present) and FMR (2002 present). Mr. Morrison joined Fidelity Invest ments in 1987 as a Coporate Bond Analyst in the Fixed Income Re search Division.
| David L. Murphy (57) |
Year of Election or Appointment: 2005
Vice President of Asset Manager: Growth. Mr. Murphy also serves as Vice President of Fidelity’s Money Market Funds (2002 present), certain Asset Allocation Funds (2003 present), Fidelity’s Investment Grade Bond Funds (2005 present), and Fidelity’s Balanced Funds (2005 present). He serves as Senior Vice President (2000 present) and Head (2004 present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of FIMM (2003 present) and a Vice Presi dent of FMR (2000 present). Previously, Mr. Murphy served as Money Market Group Leader (2002 2004), Bond Group Leader (2000 2002), and Vice President of Fidelity’s Taxable Bond Funds (2000 2002) and Fidelity’s Municipal Bond Funds (2001 2002). Mr. Murphy joined Fidelity Investments in 1989 as a portfolio manager in the Bond Group.
39 Annual Report
Trustees and Officers - continued
| Name, Age; Principal Occupation Thomas J. Silvia (44) |
Year of Election or Appointment: 2005
Vice President of Asset Manager: Growth. Mr. Silvia also serves as Vice President of Fidelity’s Bond Funds (2005 present) and Senior Vice Presi dent and Bond Group Leader of the Fidelity Investments Fixed Income Division (2005 present). Previously, Mr. Silvia served as Director of Fidelity’s Taxable Bond portfolio managers (2002 2004) and a portfolio manager in the Bond Group (1997 2004).
| Richard C. Habermann (65) |
Year of Election or Appointment: 1996
Vice President of Asset Manager: Growth. Mr. Habermann also serves as Vice President of other funds advised by FMR. Mr. Habermann has held several positions including portfolio manager, director of research for FMRCo, division head for international equities, director of interna tional research, and chief investment officer for Fidelity International, Limited.
| Charles A. Mangum (41) |
Year of Election or Appointment: 2001
Vice President of Asset Manager: Growth. Mr. Mangum also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Mangum has worked as a research analyst and portfolio manager.
| James Kim Miller (41) |
Year of Election or Appointment: 2004
Vice President of Asset Manager: Growth. Mr. Miller also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Miller has worked as an analyst, bond trader and portfolio manager.
| Eric D. Roiter (56) |
Year of Election or Appointment: 1998
Secretary of Asset Manager: Growth. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001 present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001 present), Fidelity Manage ment & Research (Far East) Inc. (2001 present), and Fidelity Investments Money Management, Inc. (2001 present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003 present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998 2005).
| Annual Report |
| 40 |
| Name, Age; Principal Occupation |
| Stuart Fross (46) |
Year of Election or Appointment: 2003
Assistant Secretary of Asset Manager: Growth. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003 present), Vice President and Secretary of FDC (2005 present), and is an employee of FMR.
| Christine Reynolds (47) |
Year of Election or Appointment: 2004
President, Treasurer, and Anti Money Laundering (AML) officer of Asset Manager:Growth. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980 2002), where she was most recently an audit partner with PwC’s invest ment management practice.
| Timothy F. Hayes (54) |
Year of Election or Appointment: 2002
Chief Financial Officer of Asset Manager: Growth. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002 present) and President of Fidelity Investment Operations (2005 present) which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he served as President (1998 2005). Mr. Hayes serves as President of Fidelity Service Company (2003 present) where he also serves as a Director. Mr. Hayes also served as President of Fidelity In vestments Operations Group (FIOG, 2002 2005).
| Kenneth A. Rathgeber (58) |
Year of Election or Appointment: 2004
Chief Compliance Officer of Asset Manager: Growth. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Op erating Officer for Fidelity Investments Institutional Services Company, Inc. (1998 2002).
| John R. Hebble (47) |
Year of Election or Appointment: 2003
Deputy Treasurer of Asset Manager:Growth. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002 2003) and Assistant Treasurer of the Scudder Funds (1998 2003).
41 Annual Report
Trustees and Officers - continued
| Name, Age; Principal Occupation Bryan A. Mehrmann (44) |
Year of Election or Appointment: 2005
Deputy Treasurer of Asset Manager: Growth. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005 present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998 2004).
| Kimberley H. Monasterio (41) |
Year of Election or Appointment: 2004
Deputy Treasurer of Asset Manager: Growth. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an em ployee of FMR (2004). Before joining Fidelity Investments, Ms. Monas terio served as Treasurer (2000 2004) and Chief Financial Officer (2002 2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000 2004).
| Kenneth B. Robins (36) |
Year of Election or Appointment: 2005
Deputy Treasurer of Asset Manager: Growth. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005 present) and is an em ployee of FMR (2004 present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG’s de partment of professional practice (2002 2004) and a Senior Manager (1999 2000). In addition, Mr. Robins served as Assistant Chief Accoun tant, United States Securities and Exchange Commission (2000 2002).
| Robert G. Byrnes (38) |
Year of Election or Appointment: 2005
Assistant Treasurer of Asset Manager: Growth. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an em ployee of FMR (2005 present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003 2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000 2003).
| John H. Costello (59) |
Year of Election or Appointment: 1991
Assistant Treasurer of Asset Manager: Growth. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.
| Annual Report |
| 42 |
| Name, Age; Principal Occupation Peter L. Lydecker (51) |
Year of Election or Appointment: 2004
Assistant Treasurer of Asset Manager: Growth. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.
| Mark Osterheld (50) |
Year of Election or Appointment: 2002
Assistant Treasurer of Asset Manager: Growth. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.
| Gary W. Ryan (47) |
Year of Election or Appointment: 2005
Assistant Treasurer of Asset Manager: Growth. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an em ployee of FMR (2005 present). Previously, Mr. Ryan served as Vice Pres ident of Fund Reporting in FPCMS (1999 2005).
| Salvatore Schiavone (39) |
Year of Election or Appointment: 2005
Assistant Treasurer of Asset Manager: Growth. Mr. Schiavone also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2005 present). Before joining Fidelity Invest ments, Mr. Schiavone worked at Deutsche Asset Management, where he most recently served as Assistant Treasurer (2003 2005) of the Scudder Funds and Vice President and Head of Fund Reporting (1996 2003).
43 Annual Report
| Distributions |
The fund designates 67% of the dividends distributed in December during the fiscal year as qualifying for the dividends received deduction for corporate shareholders.
The fund designates 72% of the dividends distributed in December, during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2006 of amounts for use in preparing 2005 income tax returns.
| Annual Report |
| 44 |
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Asset Manager: Growth
Each year, typically in July, the Board of Trustees, including the independent Trustees (together, the Board), votes on the renewal of the management contract and sub advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and independent Trustees’ counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund’s Advisory Contracts, including the services and support provided to the fund and its shareholders by Fidelity. At the time of the renewal, the Board had 11 standing committees, each composed of independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such com mittee, the Equity Contract Committee, meets periodically during the first six months of each year and as necessary to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its July 2005 meeting, the Board of Trustees, including the independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (1) the nature, extent, and quality of the services to be provided to the fund and its shareholders by Fidelity (including the investment performance of the fund); (2) the competitiveness of the management fee and total expenses of the fund; (3) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (4) the extent to which economies of scale would be realized as the fund grows; and (5) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In determining whether to renew the Advisory Contracts for the fund, the Board ulti mately reached a determination, with the assistance of fund counsel and independent Trustees’ counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity’s fidu ciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund’s shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its
45 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board consid ered staffing within the investment adviser, FMR, and the sub advisers (together, the Investment Advisers), including the backgrounds of the fund’s portfolio managers and the fund’s investment objective and discipline. The independent Trustees also had discussions with senior management of Fidelity’s investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Fidelity Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers’ invest ment staff, their use of technology, and the Investment Advisers’ approach to recruiting, training, and retaining portfolio managers and other research, advisory, and manage ment personnel. The Board considered Fidelity’s extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity’s analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity’s portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund’s portfolio, as well as an electronic communication system that provides immediate real time access to research concerning issuers and credit enhancers.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund. The Board also considered the nature and extent of the Investment Advisers’ supervision of third party service providers, principally custodians and subcustodians. The Board reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of “soft” commission dollars to pay for research services. The Board also considered that Fidelity voluntarily decided in 2004 to stop using “soft” commission dollars to pay for market data and, instead, to pay for that data out of its own resources. The Board also considered the resources devoted to, and the record of compliance with, the fund’s compliance policies and procedures.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24 hour access to
| Annual Report |
| 46 |
account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund’s prospectus, without paying a sales charge. The Board noted that, since the last Advisory Contract renewals in July 2004, Fidelity has taken a number of actions that benefited particular funds, including (i) voluntarily deciding in 2004 to stop using “soft” commission dollars to pay for market data and, instead, to pay for that data out of its own resources, (ii) contractually agreeing to impose management fee reductions and expense limitations on its five Spartan stock index funds and its stock index fund available through variable insurance products, (iii) contractually agreeing to eliminate the management fees on the Fidelity Freedom Funds and the Fidelity Advisor Freedom Funds, (iv) contractually agreeing to reduce the management fees on most of its investment grade taxable bond funds, and (v) contractually agreeing to impose expense limitations on its retail and Spartan investment grade taxable bond funds.
Investment Performance and Compliance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund’s absolute investment performance, as well as the fund’s relative investment performance measured against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. The following charts considered by the Board show, over the one , three , and five year periods ended December 31, 2004, the fund’s returns, the returns of a proprietary custom index (“benchmark”), and a range of returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the Lipper peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the Lipper peer group whose performance was equal to or lower than that of the fund. The fund’s proprietary custom index is an index developed by FMR that represents the fund’s three asset classes according to their respective weightings in the fund’s neutral mix.
47 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
The Board reviewed the fund’s relative investment performance against its Lipper peer group and stated that the performance of the fund was in the fourth quartile for the one year period and the third quartile for the three and five year periods. The Board also stated that the relative investment performance of the fund was lower than its bench mark over time. The Board discussed with FMR actions to be taken by FMR to improve the fund’s disappointing performance.
The Board has had thorough discussions with FMR throughout the year about the Board’s and FMR’s concerns about equity research, equity fund performance, and compliance with internal policies governing gifts and entertainment. FMR has taken steps that it believes will refocus and strengthen equity research and equity portfolio management and compliance. The Board noted with favor FMR’s recent reorganization of its senior management team and FMR’s plans to dedicate additional resources to investment research, and participated in the process that led to those changes.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit the fund’s shareholders, particularly in light of the Board’s view that the fund’s shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund’s management fee and total expenses compared to “mapped groups” of competitive funds and classes. Fidelity creates “mapped groups” by combining similar Lipper investment objective categories that have comparable management fee
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| 48 |
characteristics. Combining Lipper investment objective categories aids the Board’s management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
The Board considered two proprietary management fee comparisons for the 12 month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the “Total Mapped Group” and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund’s standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. “TMG %” represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund’s. For example, a TMG % of 30% means that 70% of the funds in the Total Mapped Group had higher management fees than the fund. The “Asset Size Peer Group” (ASPG) comparison focuses on a fund’s standing relative to non Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile (“quadrant”) in which the fund’s management fee ranked, is also included in the chart and considered by the Board.
The Board noted that the fund’s management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2004.
49 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
Based on its review, the Board concluded that the fund’s management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of the fund’s total expenses, the Board considered the fund’s management fee as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also consid ered current and historical total expenses of the fund compared to competitive fund median expenses. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that the fund’s total expenses ranked below its competitive median for 2004.
In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Based on its review, the Board concluded that the fund’s total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, market ing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity’s profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity’s profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year’s methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board’s assessment of the results of Fidelity’s profitability analysis. PwC’s engagement includes the review and assessment of Fidelity’s methodologies used in determining the revenues and expenses attributable to Fidelity’s mutual fund business, and completion of agreed upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC’s
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| 50 |
reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity’s profitabil ity methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity’s non fund businesses and any fall out benefits related to the mutual fund business as well as cases where Fidelity’s affiliates may benefit from or be related to the fund’s business. In addition, a special committee of the Board reviewed services provided to Fidelity by its affiliates and determined that the fees that Fidelity paid for such services were reasonable.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases.
The Board recognized that the fund’s management contract incorporates a “group fee” structure, which provides for lower fee rates as total fund assets under FMR’s manage ment increase, and for higher fee rates as total fund assets under FMR’s management decrease. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity’s costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR’s management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
The Board further concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information regarding (i) equity fund transfer agency fees; (ii) Fidelity’s fund profitability methodology and the impact of various changes in the methodology over
51 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
time; (iii) benefits to shareholders from economies of scale; (iv) composition and characteristics of various fund and industry data used in comparisons; and (v) com pensation of portfolio managers and research analysts.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the existing advisory fee structures are fair and reasonable, and that the fund’s existing Advisory Contracts should be renewed.
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| 52 |
The following is a complete listing of investments for Fidelity’s fixed income central funds as of September 30, 2005 which are direct or indirect investments of Fidelity Asset Manager: Growth. These under lying holdings of the Fidelity fixed income central funds are not included in the Schedule of Investments as part of the Financial Statements.
53 Annual Report
Fidelity Floating Rate Central Investment Portfolio
Investments September 30, 2005 (Unaudited)
Showing Percentage of Net Assets
| Floating Rate Loans (c) 89.6% | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Aerospace – 0.3% | ||||||||
| Mid-Western Aircraft Systems, Inc. Tranche B, term loan | ||||||||
| 5.9606% 12/31/11 (b) | $ 1,386,525 | $ 1,409,056 | ||||||
| Air Transportation – 1.3% | ||||||||
| United Air Lines, Inc. Tranche B, term loan 7.96% | ||||||||
| 12/30/05 (b) | 2,120,000 | 2,141,200 | ||||||
| US Airways Group, Inc. Tranche 1A, term loan | ||||||||
| 12.2062% 9/30/10 (b) | 4,000,000 | 4,000,000 | ||||||
| 6,141,200 | ||||||||
| Automotive 4.2% | ||||||||
| Accuride Corp. term loan 6.1797% 1/31/12 (b) | 2,343,409 | 2,366,843 | ||||||
| AM General LLC Tranche B1, term loan 8.2044% | ||||||||
| 11/1/11 (b) | 3,747,436 | 3,916,071 | ||||||
| Goodyear Tire & Rubber Co.: | ||||||||
| Tranche 1, 4.7852% 4/30/10 (b) | 1,060,000 | 1,069,275 | ||||||
| Tranche 2, term loan 6.32% 4/30/10 (b) | 1,480,000 | 1,500,350 | ||||||
| Travelcenters of America, Inc. Tranche B, term loan | ||||||||
| 5.71% 12/1/11 (b) | 7,916,840 | 8,005,904 | ||||||
| TRW Automotive Holdings Corp. Tranche B, term loan | ||||||||
| 5.25% 6/30/12 (b) | 2,770,717 | 2,798,424 | ||||||
| 19,656,867 | ||||||||
| Broadcasting – 2.0% | ||||||||
| Entravision Communications Corp. term loan 5.55% | ||||||||
| 3/29/13 (b) | 4,000,000 | 4,035,000 | ||||||
| Nexstar Broadcasting, Inc. Tranche B, term loan | ||||||||
| 5.6644% 10/1/12 (b) | 3,828,592 | 3,852,520 | ||||||
| Spanish Broadcasting System, Inc. Tranche 1, term loan | ||||||||
| 6.03% 6/10/12 (b) | 1,567,125 | 1,590,632 | ||||||
| 9,478,152 | ||||||||
| Building Materials – 1.0% | ||||||||
| Euramax International, Inc./Euramax International | ||||||||
| Holdings BV Tranche 1, term loan 6.6297% | ||||||||
| 6/29/12 (b) | 1,845,375 | 1,859,215 | ||||||
| Goodman Global Holdings, Inc. term loan 5.875% | ||||||||
| 12/23/11 (b) | 1,210,850 | 1,227,499 | ||||||
| Masonite International Corp. term loan 5.6659% | ||||||||
| 4/5/13 (b) | 1,462,650 | 1,466,307 | ||||||
| 4,553,021 | ||||||||
| Cable TV 6.4% | ||||||||
| Adelphia Communications Corp. Tranche B, term loan | ||||||||
| 6.3041% 3/31/06 (b) | 2,450,000 | 2,462,250 | ||||||
| Century Cable Holdings LLC Tranche B, term loan 8.75% | ||||||||
| 6/30/09 (b) | 3,000,000 | 2,977,500 |
Annual Report 54
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Cable TV – continued | ||||||||
| Charter Communications Operating LLC: | ||||||||
| Tranche A, term loan 6.68% 4/27/10 (b) | $ 6,630,902 | $ 6,630,902 | ||||||
| Tranche B, term loan 6.93% 4/7/11 (b) | 1,987,454 | 1,997,391 | ||||||
| DIRECTV Holdings LLC Tranche B, term loan 5.3375% | ||||||||
| 4/13/13 (b) | 2,260,000 | 2,282,600 | ||||||
| NTL Investment Holdings Ltd. Tranche B, term loan 6.41% | ||||||||
| 6/13/12 (b) | 3,000,000 | 3,015,000 | ||||||
| UPC Broadband Holding BV Tranche H2, term loan | ||||||||
| 6.0044% 9/30/12 (b) | 3,940,000 | 3,984,325 | ||||||
| UPC Distribution Holdings BV Tranche F, term loan | ||||||||
| 7.19% 12/31/11 (b) | 4,000,000 | 4,065,000 | ||||||
| WideOpenWest Illinois, Inc. Tranche B, term loan | ||||||||
| 6.8036% 6/22/11 (b) | 2,586,902 | 2,612,771 | ||||||
| 30,027,739 | ||||||||
| Capital Goods 1.7% | ||||||||
| Alliance Laundry Systems LLC term loan 6.0021% | ||||||||
| 1/27/12 (b) | 1,870,000 | 1,893,375 | ||||||
| Flowserve Corp. term loan 5.8125% 8/10/12 (b) | 1,280,000 | 1,296,000 | ||||||
| GenTek, Inc. term loan 6.4034% 2/28/11 (b) | 1,939,064 | 1,939,064 | ||||||
| Hexcel Corp. Tranche B, term loan 5.3632% 3/1/12 (b) | 370,000 | 373,700 | ||||||
| Mueller Group, Inc. term loan 6.2371% 10/3/12 (b) | 670,000 | 680,050 | ||||||
| Walter Industries, Inc. term loan 6.0399% 10/3/12 (b) . | 720,000 | 729,900 | ||||||
| Wastequip, Inc. Tranche B1, term loan 6.5204% | ||||||||
| 7/15/11 (b) | 967,575 | 977,251 | ||||||
| 7,889,340 | ||||||||
| Chemicals – 1.7% | ||||||||
| Basell USA, Inc.: | ||||||||
| Tranche B2, term loan 6.3533% 8/1/13 (b) | 190,000 | 193,563 | ||||||
| Tranche C2, term loan 6.8533% 8/1/14 (b) | 190,000 | 193,563 | ||||||
| Celanese Holding LLC term loan 6.2967% 4/6/11 (b) | 2,334,674 | 2,369,695 | ||||||
| Mosaic Co. Tranche B, term loan 5.2323% 2/21/12 (b) | 1,890,500 | 1,914,131 | ||||||
| PQ Corp. term loan 6.0625% 2/11/12 (b) | 3,283,500 | 3,320,439 | ||||||
| 7,991,391 | ||||||||
| Consumer Products – 1.2% | ||||||||
| Burt’s Bees, Inc. term loan 6.2397% 3/28/10 (b) | 398,000 | 402,478 | ||||||
| Central Garden & Pet Co. Tranche B, term loan 5.5591% | ||||||||
| 5/14/09 (b) | 396,974 | 401,936 | ||||||
| Fender Musical Instrument Corp. Tranche B, term loan | ||||||||
| 5.85% 3/30/12 (b) | 807,975 | 816,055 | ||||||
| Jarden Corp. Tranche B2, term loan 5.6881% | ||||||||
| 1/24/12 (b) | 375,189 | 377,065 |
55 Annual Report
| Investments (Unaudited) continued | ||||||||
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Consumer Products – continued | ||||||||
| Jostens IH Corp. Tranche A, term loan 6.4381% | ||||||||
| 10/4/10 (b) | $ 1,800,000 | $ 1,822,500 | ||||||
| Simmons Bedding Co. Tranche C, term loan 6.0144% | ||||||||
| 12/19/11 (b) | 1,941,162 | 1,960,574 | ||||||
| 5,780,608 | ||||||||
| Containers – 0.2% | ||||||||
| Berry Plastics Corp. term loan 6.105% 12/2/11 (b) | 947,625 | 960,655 | ||||||
| Diversified Financial Services – 0.8% | ||||||||
| Newkirk Master LP Tranche B, term loan 5.6931% | ||||||||
| 8/11/08 (b) | 644,334 | 653,999 | ||||||
| Refco Finance Holdings LLC term loan 5.8406% | ||||||||
| 8/5/11 (b) | 2,972,222 | 3,005,660 | ||||||
| 3,659,659 | ||||||||
| Diversified Media – 0.2% | ||||||||
| R.H. Donnelley Corp. Tranche A3, term loan 5.6939% | ||||||||
| 12/31/09 (b) | 1,159,682 | 1,162,582 | ||||||
| Electric Utilities – 4.5% | ||||||||
| Allegheny Energy Supply Co. LLC term loan 5.7691% | ||||||||
| 3/8/11 (b) | 3,138,340 | 3,181,492 | ||||||
| Centerpoint Energy House Electric LLC term loan | ||||||||
| 13.2425% 11/11/05 (b) | 2,000,000 | 2,025,000 | ||||||
| Covanta Energy Corp. Tranche 1: | ||||||||
| Credit-Linked Deposit 6.8628% 6/24/12 (b) | 2,211,382 | 2,244,553 | ||||||
| term loan 6.9606% 6/24/12 (b) | 1,784,146 | 1,810,909 | ||||||
| NRG Energy, Inc.: | ||||||||
| Credit-Linked Deposit 5.7953% 12/24/11 (b) | 1,706,250 | 1,714,781 | ||||||
| term loan 5.8954% 12/24/11 (b) | 2,177,297 | 2,188,183 | ||||||
| Primary Energy Finance LLC term loan 6.0204% | ||||||||
| 8/24/12 (b) | 3,030,000 | 3,075,450 | ||||||
| Reliant Energy, Inc. term loan 6.0972% 4/30/10 (b) | 1,990,000 | 2,004,925 | ||||||
| Texas Genco LLC term loan 5.8632% 12/14/11 (b) | 2,977,500 | 2,992,388 | ||||||
| 21,237,681 | ||||||||
| Energy – 7.8% | ||||||||
| Boart Longyear Holdings, Inc. Tranche 1, term loan | ||||||||
| 6.53% 7/22/12 (b) | 369,075 | 374,611 | ||||||
| Coffeyville Resources LLC: | ||||||||
| Credit-Linked Deposit 6.3604% 7/8/11 (b) | 704,000 | 715,440 | ||||||
| Tranche B1, term loan 6.57% 7/8/12 (b) | 1,056,000 | 1,073,160 | ||||||
| El Paso Corp. Credit-Linked Deposit 6.6466% | ||||||||
| 11/22/09 (b) | 6,000,000 | 6,060,000 | ||||||
| Energy Transfer Partners LP term loan 6.8125% | ||||||||
| 6/16/08 (b) | 5,000,000 | 5,056,250 | ||||||
Annual Report 56
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Energy – continued | ||||||||
| EPCO Holdings, Inc. Tranche B, term loan 6.0394% | ||||||||
| 8/16/10 (b) | $ 3,460,000 | $ 3,520,550 | ||||||
| Kerr-McGee Corp. Tranche B, term loan 6.3149% | ||||||||
| 5/24/11 (b) | 9,975,000 | 10,024,875 | ||||||
| Key Energy Services, Inc. Tranche B, term loan 7.02% | ||||||||
| 6/30/12 (b) | 4,230,000 | 4,293,450 | ||||||
| LB Pacific LP term loan 6.8044% 3/3/12 (b) | 3,980,000 | 4,029,750 | ||||||
| Universal Compression, Inc. term loan 7.5% | ||||||||
| 2/15/12 (b) | 1,055,500 | 1,063,416 | ||||||
| Vulcan/Plains Resources, Inc. term loan 5.8492% | ||||||||
| 8/12/11 (b) | 540,000 | 547,425 | ||||||
| 36,758,927 | ||||||||
| Entertainment/Film 1.8% | ||||||||
| MGM Holdings II, Inc. Tranche B, term loan 6.2704% | ||||||||
| 4/8/12 (b) | 8,550,000 | 8,635,500 | ||||||
| Environmental – 1.4% | ||||||||
| Allied Waste Industries, Inc.: | ||||||||
| term loan 5.8505% 1/15/12 (b) | 2,088,868 | 2,107,146 | ||||||
| Tranche A, Credit-Linked Deposit 5.105% 1/15/12 (b) | 789,324 | 796,231 | ||||||
| Envirocare of Utah, Inc. Tranche 1, term loan 6.11% | ||||||||
| 4/13/10 (b) | 3,727,273 | 3,787,841 | ||||||
| 6,691,218 | ||||||||
| Food/Beverage/Tobacco – 1.8% | ||||||||
| Centerplate, Inc. term loan 6.9252% 10/1/10 (b) | 4,895,400 | 4,932,116 | ||||||
| Commonwealth Brands, Inc. term loan 6.875% | ||||||||
| 8/28/07 (b) | 135,204 | 137,570 | ||||||
| Constellation Brands, Inc. Tranche B, term loan 5.9093% | ||||||||
| 11/30/11 (b) | 2,297,889 | 2,326,612 | ||||||
| Herbalife International, Inc. term loan 5.41% | ||||||||
| 12/21/10 (b) | 1,190,000 | 1,201,900 | ||||||
| 8,598,198 | ||||||||
| Gaming – 2.6% | ||||||||
| BLB Worldwide Holdings, Inc.: | ||||||||
| Tranche 1, term loan 6.079% 6/30/12 (b) | 870,000 | 883,050 | ||||||
| Tranche 2, term loan 7.83% 7/18/11 (b) | 1,360,000 | 1,385,500 | ||||||
| Green Valley Ranch Gaming LLC term loan 6.0204% | ||||||||
| 12/17/11 (b) | 2,176,056 | 2,197,817 | ||||||
| Herbst Gaming, Inc. term loan 6.1973% 1/7/11 (b) | 398,000 | 402,478 | ||||||
| Isle of Capri Casinos, Inc. term loan 5.4859% | ||||||||
| 2/4/11 (b) | 198,500 | 200,981 | ||||||
| Marina District Finance Co., Inc. term loan 5.5906% | ||||||||
| 10/14/11 (b) | 3,970,000 | 3,994,813 |
57 Annual Report
| Investments (Unaudited) continued | ||||||||
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Gaming – continued | ||||||||
| Motor City Casino Tranche B, term loan 5.9333% | ||||||||
| 7/29/12 (b) | $ 1,426,425 | $ 1,438,906 | ||||||
| Resorts International Hotel & Casino, Inc. Tranche B1, | ||||||||
| term loan 6.53% 4/26/12 (b) | 783,465 | 787,382 | ||||||
| Venetian Casino Resort LLC Tranche B, term loan | ||||||||
| 5.7704% 6/15/11 (b) | 900,000 | 904,500 | ||||||
| 12,195,427 | ||||||||
| Healthcare 9.8% | ||||||||
| AMR HoldCo, Inc./ EmCare HoldCo, Inc. term loan | ||||||||
| 6.1093% 2/7/12 (b) | 3,283,500 | 3,332,753 | ||||||
| Community Health Systems, Inc. term loan 5.61% | ||||||||
| 8/19/11 (b) | 3,964,962 | 4,019,481 | ||||||
| CRC Health Corp. term loan 6.8125% 5/11/11 (b) | 947,625 | 952,363 | ||||||
| DaVita, Inc. Tranche B, term loan 4.1581% 7/30/12 (b) | 7,686,275 | 7,811,176 | ||||||
| Genoa Healthcare Group LLC Tranche 1, term loan | ||||||||
| 7.2614% 8/4/12 (b) | 1,421,000 | 1,442,315 | ||||||
| HealthSouth Corp.: | ||||||||
| Credit-Linked Deposit 6.2818% 6/14/07 (b) | 807,500 | 811,538 | ||||||
| term loan 6.53% 6/14/07 (b) | 2,985,019 | 2,999,944 | ||||||
| Lifecare Holdings, Inc. term loan 6.09% 8/11/12 (b) | 1,260,000 | 1,244,250 | ||||||
| LifePoint Hospitals, Inc. Tranche B, term loan 5.435% | ||||||||
| 4/15/12 (b) | 3,196,814 | 3,224,787 | ||||||
| Mylan Laboratories, Inc. Tranche B, term loan 5.4% | ||||||||
| 6/30/10 (b) | 480,000 | 486,600 | ||||||
| Newquest, Inc. Tranche A, term loan 6.66% 3/1/11 (b) | 475,000 | 480,938 | ||||||
| PacifiCare Health Systems, Inc. Tranche B, term loan | ||||||||
| 5.2204% 12/6/10 (b) | 6,947,500 | 6,947,500 | ||||||
| Psychiatric Solutions, Inc. term loan 5.73% 7/1/12 (b) . | 510,769 | 516,515 | ||||||
| Skilled Healthcare Group, Inc. Tranche 2, term loan | ||||||||
| 11.53% 12/15/12 (b) | 3,000,000 | 3,030,000 | ||||||
| Vicar Operating, Inc. term loan 5.375% 5/16/11 (b) | 4,644,362 | 4,690,806 | ||||||
| Warner Chilcott Corp. term loan 6.6701% 1/18/12 (b) | 3,992,057 | 4,012,017 | ||||||
| 46,002,983 | ||||||||
| Homebuilding/Real Estate – 5.7% | ||||||||
| CB Richard Ellis Services, Inc. term loan 5.1051% | ||||||||
| 3/31/10 (b) | 1,430,172 | 1,440,898 | ||||||
| General Growth Properties, Inc. Tranche B, term loan | ||||||||
| 5.85% 11/12/08 (b) | 5,961,545 | 6,050,968 | ||||||
| Lake Las Vegas LLC Tranche 1, term loan 6.3129% | ||||||||
| 11/1/09 (b) | 3,902,166 | 3,960,699 | ||||||
| Lion Gables Realty LP term loan 5.63% 9/30/06 (b) | 4,124,421 | 4,150,199 | ||||||
Annual Report 58
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Homebuilding/Real Estate – continued | ||||||||
| LNR Property Corp. Tranche B, term loan 6.7112% | ||||||||
| 2/3/08 (b) | $ 3,919,880 | $ 3,968,879 | ||||||
| Maguire Properties, Inc. Tranche B, term loan 5.4663% | ||||||||
| 3/15/10 (b) | 4,611,111 | 4,651,458 | ||||||
| Shea Mountain House LLC Tranche B, term loan 5.8% | ||||||||
| 5/11/11 (b) | 2,430,000 | 2,454,300 | ||||||
| 26,677,401 | ||||||||
| Hotels 1.0% | ||||||||
| Starwood Hotels & Resorts Worldwide, Inc. term loan | ||||||||
| 5.0906% 10/9/06 (b) | 4,893,939 | 4,893,939 | ||||||
| Leisure – 0.7% | ||||||||
| 24 Hour Fitness Worldwide, Inc. Tranche B, term loan | ||||||||
| 6.78% 6/8/12 (b) | 3,000,000 | 3,045,000 | ||||||
| Mega Bloks, Inc. Tranche B, term loan 5.6034% | ||||||||
| 7/26/12 (b) | 440,000 | 445,500 | ||||||
| 3,490,500 | ||||||||
| Metals/Mining – 2.6% | ||||||||
| Murray Energy Corp. Tranche 1, term loan 6.86% | ||||||||
| 1/28/10 (b) | 497,500 | 501,231 | ||||||
| Novelis, Inc. term loan 5.46% 1/7/12 (b) | 3,123,077 | 3,158,212 | ||||||
| Peabody Energy Corp. term loan 4.625% 3/21/10 (b) . | 2,947,385 | 2,965,806 | ||||||
| Trout Coal Holdings LLC / Dakota Tranche 1, term loan | ||||||||
| 6.0302% 3/23/11 (b) | 5,676,487 | 5,683,583 | ||||||
| 12,308,832 | ||||||||
| Paper 2.9% | ||||||||
| Escanaba Timber LLC term loan 6.43% 5/2/08 (b) | 520,000 | 525,850 | ||||||
| Georgia-Pacific Corp. term loan 5.3152% 7/2/09 (b) | 1,000,000 | 1,001,800 | ||||||
| Koch Cellulose LLC: | ||||||||
| term loan 5.77% 5/7/11 (b) | 1,952,469 | 1,984,197 | ||||||
| Credit-Linked Deposit 5.1931% 5/7/11 (b) | 602,945 | 612,743 | ||||||
| Smurfit-Stone Container Enterprises, Inc.: | ||||||||
| Credit-Linked Deposit 5.25% 11/1/10 (b) | 655,111 | 661,662 | ||||||
| Tranche B, term loan 5.6969% 11/1/11 (b) | 5,208,155 | 5,266,747 | ||||||
| Tranche C, term loan 5.8338% 11/1/11 (b) | 1,923,018 | 1,944,652 | ||||||
| Xerium Technologies, Inc. Tranche B, term loan 6.0204% | ||||||||
| 5/18/12 (b) | 1,496,250 | 1,514,953 | ||||||
| 13,512,604 | ||||||||
| Publishing/Printing – 3.0% | ||||||||
| Dex Media West LLC/Dex Media West Finance Co. | ||||||||
| Tranche B, term loan 5.5119% 3/9/10 (b) | 6,513,707 | 6,546,276 |
59 Annual Report
| Investments (Unaudited) continued | ||||||||
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Publishing/Printing – continued | ||||||||
| Liberty Group Operating, Inc. Tranche B, term loan 6% | ||||||||
| 2/28/12 (b) | $ 196,513 | $ 198,478 | ||||||
| PRIMEDIA, Inc. Tranche B, term loan 6.1138% | ||||||||
| 9/30/13 (b) | 3,170,000 | 3,197,738 | ||||||
| R.H. Donnelley Corp. Tranche B2, term loan 5.6181% | ||||||||
| 6/30/11 (b) | 4,287,315 | 4,314,111 | ||||||
| 14,256,603 | ||||||||
| Railroad 1.5% | ||||||||
| Helm Holding Corp. Tranche 1, term loan 6.259% | ||||||||
| 7/8/11 (b) | 1,187,025 | 1,198,895 | ||||||
| Kansas City Southern Railway Co. Tranche B1, term loan | ||||||||
| 5.5903% 3/30/08 (b) | 2,779,000 | 2,820,685 | ||||||
| RailAmerica, Inc. term loan 5.875% 9/29/11 (b) | 3,090,201 | 3,144,280 | ||||||
| 7,163,860 | ||||||||
| Restaurants 3.3% | ||||||||
| Arby’s Restaurant Group, Inc. Tranche B, term loan | ||||||||
| 6.1446% 7/25/12 (b) | 3,990,000 | 4,019,925 | ||||||
| Burger King Corp. Tranche B, term loan 5.5% | ||||||||
| 6/30/12 (b) | 1,845,375 | 1,873,056 | ||||||
| Domino’s, Inc. term loan 5.8125% 6/25/10 (b) | 4,809,121 | 4,881,258 | ||||||
| Jack in the Box, Inc. term loan 5.4457% 1/8/11 (b) | 3,117,746 | 3,145,026 | ||||||
| Landry’s Seafood Restaurants, Inc. term loan 5.949% | ||||||||
| 12/28/10 (b) | 1,454,013 | 1,470,370 | ||||||
| 15,389,635 | ||||||||
| Services – 4.6% | ||||||||
| Coinstar, Inc. term loan 5.55% 7/1/11 (b) | 825,144 | 837,521 | ||||||
| DynCorp term loan 6.7498% 2/11/11 (b) | 1,995,000 | 2,004,975 | ||||||
| Iron Mountain, Inc.: | ||||||||
| term loan 5.625% 4/2/11 (b) | 3,712,842 | 3,749,970 | ||||||
| Tranche R, term loan 5.5313% 4/2/11 (b) | 4,962,500 | 5,012,125 | ||||||
| Knowledge Learning Corp. term loan 6.35% 1/7/12 (b) | 4,050,907 | 4,061,035 | ||||||
| Rural/Metro Corp.: | ||||||||
| Credit-Linked Deposit 6.2% 3/4/11 (b) | 520,882 | 528,044 | ||||||
| term loan 6.0439% 3/4/11 (b) | 1,904,941 | 1,931,134 | ||||||
| United Rentals, Inc.: | ||||||||
| term loan 6.0948% 2/14/11 (b) | 2,836,779 | 2,865,147 | ||||||
| Tranche B, Credit-Linked Deposit 5.4925% | ||||||||
| 2/14/11 (b) | 575,996 | 581,756 | ||||||
| 21,571,707 | ||||||||
| Annual Report |
| 60 |
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Shipping – 0.1% | ||||||||
| Baker Tanks, Inc. term loan 6.4731% 1/30/11 (b) | $ 248,750 | $ 250,616 | ||||||
| Ozburn Hessey Holding Co. LLC term loan 6.3406% | ||||||||
| 8/9/12 (b) | 370,000 | 375,550 | ||||||
| 626,166 | ||||||||
| Technology – 7.8% | ||||||||
| AMI Semiconductor, Inc. term loan 5.3406% 4/1/12 (b) | 2,090,751 | 2,095,978 | ||||||
| Fairchild Semiconductor Corp. Tranche B3, term loan | ||||||||
| 5.605% 12/31/10 (b) | 2,055,157 | 2,078,277 | ||||||
| Fidelity National Information Solutions, Inc. Tranche B, | ||||||||
| term loan 5.4771% 3/9/13 (b) | 5,471,500 | 5,498,858 | ||||||
| Infor Global Solutions AG Tranche 1, term loan 6.943% | ||||||||
| 4/18/11 (b) | 6,000,000 | 6,060,000 | ||||||
| ON Semiconductor Corp. Tranche G, term loan | ||||||||
| 7.0625% 12/15/11 (b) | 2,977,500 | 3,022,163 | ||||||
| SSA Global Technologies, Inc. term loan 5.97% | ||||||||
| 9/22/11 (b) | 2,180,000 | 2,190,900 | ||||||
| SunGard Data Systems, Inc. Tranche B, term loan 6.28% | ||||||||
| 2/10/13 (b) | 14,962,500 | 15,149,520 | ||||||
| UGS Holdings, Inc. Tranche C, term loan 5.84% | ||||||||
| 3/31/12 (b) | 464,828 | 471,219 | ||||||
| 36,566,915 | ||||||||
| Telecommunications – 5.4% | ||||||||
| AAT Communications Corp.: | ||||||||
| Tranche 2, term loan 6.61% 7/29/13 (b) | 300,000 | 305,625 | ||||||
| Tranche B1, term loan 5.61% 7/27/12 (b) | 1,850,000 | 1,875,438 | ||||||
| Alaska Communications Systems Holding term loan | ||||||||
| 6.0204% 2/1/12 (b) | 7,100,000 | 7,188,750 | ||||||
| American Tower LP Tranche C, term loan 4.9601% | ||||||||
| 8/31/11 (b) | 2,567,100 | 2,570,309 | ||||||
| Conversant Holdings, Inc. Tranche B, term loan 7.8144% | ||||||||
| 3/31/11 (b) | 1,925,000 | 1,920,188 | ||||||
| Intelsat Ltd. term loan 5.8125% 7/28/11 (b) | 3,228,410 | 3,260,694 | ||||||
| Madison River Capital LLC/Madison River Finance Corp. | ||||||||
| Tranche B, term loan 6.22% 7/29/12 (b) | 1,270,000 | 1,290,638 | ||||||
| New Skies Satellites BV term loan 5.8888% 5/2/11 (b) . | 1,327,565 | 1,347,479 | ||||||
| NTELOS, Inc.: | ||||||||
| term loan 9.03% 2/24/12 (b) | 200,000 | 199,250 | ||||||
| Tranche B, term loan 6.53% 8/24/11 (b) | 992,500 | 1,003,666 | ||||||
| Qwest Corp. Tranche A, term loan 8.53% 6/30/07 (b) . | 1,600,000 | 1,650,000 |
61 Annual Report
| Investments (Unaudited) continued | ||||||
| Floating Rate Loans (c) continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Telecommunications – continued | ||||||
| SpectraSite Communications, Inc. Tranche B, term loan | ||||||
| 5.27% 5/19/12 (b) | $ 1,985,000 | $ 1,987,481 | ||||
| Valor Telecommunications Enterprises LLC/Valor Finance | ||||||
| Corp. Tranche B, term loan 5.7754% 2/14/12 (b) | 773,333 | 783,967 | ||||
| 25,383,485 | ||||||
| Textiles & Apparel – 0.3% | ||||||
| St. John Knits International, Inc. Tranche B, term loan | ||||||
| 6.5401% 3/23/12 (b) | 497,500 | 503,719 | ||||
| William Carter Co. term loan 5.7178% 6/29/12 (b) | 796,875 | 808,828 | ||||
| 1,312,547 | ||||||
| TOTAL FLOATING RATE LOANS | ||||||
| (Cost $419,395,818) | 421,984,398 | |||||
| Nonconvertible Bonds 7.9% | ||||||
| Automotive 2.5% | ||||||
| General Motors Acceptance Corp.: | ||||||
| 4.6769% 5/18/06 (b) | 2,000,000 | 1,989,398 | ||||
| 4.87% 10/20/05 (b) | 5,000,000 | 5,000,060 | ||||
| 5.11% 9/23/08 (b) | 3,000,000 | 2,779,644 | ||||
| 6.75% 1/15/06 | 2,000,000 | 2,010,456 | ||||
| 11,779,558 | ||||||
| Diversified Financial Services – 1.1% | ||||||
| Residential Capital Corp. 5.385% 6/29/07 (a)(b) | 5,000,000 | 5,041,365 | ||||
| Super Retail – 1.1% | ||||||
| GSC Holdings Corp./Gamestop, Inc. 7.875% | ||||||
| 10/1/11 (a)(b) | 5,000,000 | 5,037,500 | ||||
| Technology – 1.3% | ||||||
| Nortel Networks Corp. 6.125% 2/15/06 | 5,000,000 | 5,025,000 | ||||
| SunGard Data Systems, Inc. 8.5248% 8/15/13 (a)(b) | 1,090,000 | 1,124,063 | ||||
| 6,149,063 | ||||||
| Telecommunications – 1.9% | ||||||
| Qwest Corp. 7.12% 6/15/13 (a)(b) | 2,840,000 | 2,953,600 | ||||
| Rogers Communications, Inc. 6.995% 12/15/10 (b) | 6,000,000 | 6,217,500 | ||||
| 9,171,100 | ||||||
| TOTAL NONCONVERTIBLE BONDS | ||||||
| (Cost $37,125,822) | 37,178,586 | |||||
| Annual Report |
| 62 |
| Cash Equivalents 7.7% | ||||||
| Maturity | Value | |||||
| Amount | ||||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||
| Government Obligations, in a joint trading account at | ||||||
| 3.89%, dated 9/30/05 due 10/3/05) | ||||||
| (Cost $36,404,000) | $ 36,415,815 | $ 36,404,000 | ||||
| TOTAL INVESTMENT PORTFOLIO 105.2% | ||||||
| (Cost $492,925,640) | 495,566,984 | |||||
| NET OTHER ASSETS – (5.2)% | (24,405,171) | |||||
| NET ASSETS 100% | $ 471,161,813 | |||||
| Legend |
| (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $14,156,528 or 3.0% of net assets. (b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (c) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
63 Annual Report
Fidelity High Income Central Investment Portfolio 1
Investments September 30, 2005 (Unaudited)
Showing Percentage of Net Assets
| Corporate Bonds 88.7% | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Convertible Bonds 0.0% | ||||||||
| Services – 0.0% | ||||||||
| FTI Consulting, Inc. 3.75% 7/15/12 (c) | $ 170,000 | $ 180,829 | ||||||
| Nonconvertible Bonds – 88.7% | ||||||||
| Aerospace – 1.6% | ||||||||
| L 3 Communications Corp.: | ||||||||
| 5.875% 1/15/15 | 1,585,000 | 1,533,488 | ||||||
| 6.375% 10/15/15 (c) | 3,520,000 | 3,546,400 | ||||||
| 7.625% 6/15/12 | 3,045,000 | 3,197,250 | ||||||
| Orbital Sciences Corp. 9% 7/15/11 | 4,470,000 | 4,849,950 | ||||||
| Primus International, Inc. 10.5% 4/15/09 (c) | 3,735,000 | 3,959,100 | ||||||
| 17,086,188 | ||||||||
| Air Transportation – 0.8% | ||||||||
| American Airlines, Inc. pass thru trust certificates: | ||||||||
| 6.817% 5/23/11 | 1,250,000 | 1,140,625 | ||||||
| 7.377% 5/23/19 | 1,854,747 | 1,251,954 | ||||||
| 7.379% 11/23/17 | 1,553,711 | 1,048,755 | ||||||
| 7.8% 4/1/08 | 2,080,000 | �� | 1,965,600 | |||||
| AMR Corp. 10.2% 3/15/20 | 510,000 | 295,800 | ||||||
| Continental Airlines, Inc. pass thru trust certificates | ||||||||
| 9.798% 4/1/21 | 2,360,000 | 2,336,400 | ||||||
| 8,039,134 | ||||||||
| Automotive 3.9% | ||||||||
| Delco Remy International, Inc. 9.375% 4/15/12 | 2,030,000 | 1,075,900 | ||||||
| Ford Motor Co. 7.45% 7/16/31 | 1,770,000 | 1,380,600 | ||||||
| Ford Motor Credit Co.: | ||||||||
| 6.625% 6/16/08 | 3,960,000 | 3,875,850 | ||||||
| 7% 10/1/13 | 595,000 | 551,777 | ||||||
| General Motors Acceptance Corp.: | ||||||||
| 6.75% 12/1/14 | 5,225,000 | 4,544,935 | ||||||
| 6.875% 9/15/11 | 6,745,000 | 6,135,340 | ||||||
| 8% 11/1/31 | 5,360,000 | 4,680,186 | ||||||
| General Motors Corp.: | ||||||||
| 7.125% 7/15/13 | 4,190,000 | 3,571,975 | ||||||
| 8.375% 7/15/33 | 2,960,000 | 2,308,800 | ||||||
| Goodyear Tire & Rubber Co. 9% 7/1/15 (c) | 4,250,000 | 4,186,250 | ||||||
| Navistar International Corp.: | ||||||||
| 6.25% 3/1/12 | 2,460,000 | 2,337,000 | ||||||
| 7.5% 6/15/11 | 1,225,000 | 1,237,250 |
| Annual Report |
| 64 |
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Automotive continued | ||||||||||
| Tenneco Automotive, Inc. 8.625% 11/15/14 | $ 2,800,000 | $ 2,800,000 | ||||||||
| Visteon Corp. 7% 3/10/14 | 2,430,000 | 2,114,100 | ||||||||
| 40,799,963 | ||||||||||
| Banks and Thrifts – 0.9% | ||||||||||
| Western Financial Bank 9.625% 5/15/12 | 8,060,000 | 9,269,000 | ||||||||
| Building Materials – 1.6% | ||||||||||
| Anixter International, Inc. 5.95% 3/1/15 | 2,260,000 | 2,096,150 | ||||||||
| Goodman Global Holdings, Inc.: | ||||||||||
| 6.41% 6/15/12 (c)(d) | 2,920,000 | 2,854,300 | ||||||||
| 7.875% 12/15/12 (c) | 1,870,000 | 1,692,350 | ||||||||
| Maax Holdings, Inc. 0% 12/15/12 (b)(c) | 5,865,000 | 2,580,600 | ||||||||
| Nortek, Inc. 8.5% 9/1/14 | 4,950,000 | 4,554,000 | ||||||||
| NTK Holdings, Inc. 0% 3/1/14 (b) | 2,920,000 | 1,657,100 | ||||||||
| Ply Gem Industries, Inc. 9% 2/15/12 | 1,605,000 | 1,332,150 | ||||||||
| 16,766,650 | ||||||||||
| Cable TV 4.1% | ||||||||||
| Cablevision Systems Corp. 7.88% 4/1/09 (d) | 5,830,000 | 5,975,750 | ||||||||
| CSC Holdings, Inc.: | ||||||||||
| 6.75% 4/15/12 (c) | 2,040,000 | 1,902,300 | ||||||||
| 7.875% 2/15/18 | 1,995,000 | 1,922,681 | ||||||||
| EchoStar DBS Corp. 5.75% 10/1/08 | 17,635,000 | 17,348,431 | ||||||||
| GCI, Inc. 7.25% 2/15/14 | 5,225,000 | 5,068,250 | ||||||||
| iesy Repository GmbH 10.375% 2/15/15 (c) | 2,360,000 | 2,466,200 | ||||||||
| Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10 | 3,680,000 | 3,873,200 | ||||||||
| Kabel Deutschland GmbH 10.625% 7/1/14 (c) | 1,330,000 | 1,469,650 | ||||||||
| Telenet Group Holding NV 0% 6/15/14 (b)(c) | 3,080,000 | 2,494,800 | ||||||||
| 42,521,262 | ||||||||||
| Capital Goods 3.3% | ||||||||||
| Amsted Industries, Inc. 10.25% 10/15/11 (c) | 4,415,000 | 4,790,275 | ||||||||
| Case New Holland, Inc.: | ||||||||||
| 6% 6/1/09 | 2,030,000 | 1,958,950 | ||||||||
| 9.25% 8/1/11 | 1,145,000 | 1,219,425 | ||||||||
| Chart Industries, Inc. 9.125% 10/15/15 (c) | 980,000 | 997,150 | ||||||||
| Columbus McKinnon Corp. 8.875% 11/1/13 (c) | 330,000 | 330,000 | ||||||||
| Dresser, Inc. 9.375% 4/15/11 | 4,465,000 | 4,710,575 | ||||||||
| Invensys PLC 9.875% 3/15/11 (c) | 12,130,000 | 12,160,325 | ||||||||
| Leucadia National Corp. 7% 8/15/13 | 3,530,000 | 3,547,650 | ||||||||
65 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Capital Goods – continued | ||||||||||
| Park-Ohio Industries, Inc. 8.375% 11/15/14 | $ 2,735,000 | $ 2,372,613 | ||||||||
| Sensus Metering Systems, Inc. 8.625% 12/15/13 | 3,120,000 | 2,870,400 | ||||||||
| 34,957,363 | ||||||||||
| Chemicals – 3.8% | ||||||||||
| BCI US Finance Corp./Borden 2 Nova Scotia Finance | ||||||||||
| ULC 9.0988% 7/15/10 (c)(d) | 630,000 | 642,600 | ||||||||
| Borden US Finance Corp./Nova Scotia Finance ULC | ||||||||||
| 8.3488% 7/15/10 (c)(d) | 3,525,000 | 3,507,375 | ||||||||
| Crystal US Holding 3 LLC/Crystal US Sub 3 Corp.: | ||||||||||
| Series A, 0% 10/1/14 (b) | 1,970,000 | 1,398,700 | ||||||||
| Series B, 0% 10/1/14 (b) | 1,355,000 | 948,500 | ||||||||
| Equistar Chemicals LP 7.55% 2/15/26 | 1,800,000 | 1,710,000 | ||||||||
| Equistar Chemicals LP/Equistar Funding Corp.: | ||||||||||
| 8.75% 2/15/09 | 2,285,000 | 2,390,681 | ||||||||
| 10.125% 9/1/08 | 2,515,000 | 2,703,625 | ||||||||
| Huntsman LLC 11.0988% 7/15/11 (d) | 5,660,000 | 5,999,600 | ||||||||
| Millennium America, Inc.: | ||||||||||
| 7.625% 11/15/26 | 390,000 | 362,700 | ||||||||
| 9.25% 6/15/08 | 7,370,000 | 7,959,600 | ||||||||
| Nalco Co. 7.75% 11/15/11 | 2,820,000 | 2,890,500 | ||||||||
| Nell AF Sarl 8.375% 8/15/15 (c) | 3,670,000 | 3,578,250 | ||||||||
| NOVA Chemicals Corp. 7.4% 4/1/09 | 3,065,000 | 3,156,950 | ||||||||
| Rhodia SA: | ||||||||||
| 8.875% 6/1/11 | 1,000,000 | 950,000 | ||||||||
| 10.25% 6/1/10 | 1,805,000 | 1,908,788 | ||||||||
| 40,107,869 | ||||||||||
| Consumer Products – 1.1% | ||||||||||
| IKON Office Solutions, Inc. 7.75% 9/15/15 (c) | 4,830,000 | 4,775,663 | ||||||||
| Jostens Holding Corp. 0% 12/1/13 (b) | 3,135,000 | 2,312,063 | ||||||||
| Jostens IH Corp. 7.625% 10/1/12 | 530,000 | 540,600 | ||||||||
| Revlon Consumer Products Corp. 9.5% 4/1/11 (c) | 290,000 | 269,700 | ||||||||
| Samsonite Corp. 8.875% 6/1/11 | 1,675,000 | 1,779,688 | ||||||||
| Spectrum Brands, Inc. 7.375% 2/1/15 | 2,090,000 | 1,865,325 | ||||||||
| 11,543,039 | ||||||||||
| Containers – 2.2% | ||||||||||
| Berry Plastics Corp. 10.75% 7/15/12 | 3,810,000 | 4,029,075 | ||||||||
| BWAY Corp. 10% 10/15/10 | 3,370,000 | 3,563,775 | ||||||||
| Crown European Holdings SA: | ||||||||||
| 9.5% 3/1/11 | 1,285,000 | 1,403,863 | ||||||||
Annual Report 66
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Containers – continued | ||||||||||
| Crown European Holdings SA: – continued | ||||||||||
| 10.875% 3/1/13 | $ 6,380,000 | $ 7,416,750 | ||||||||
| Owens-Brockway Glass Container, Inc. 8.25% 5/15/13 | 1,475,000 | 1,534,000 | ||||||||
| Owens-Illinois, Inc.: | ||||||||||
| 7.35% 5/15/08 | 2,460,000 | 2,484,600 | ||||||||
| 7.5% 5/15/10 | 2,895,000 | 2,927,569 | ||||||||
| 23,359,632 | ||||||||||
| Diversified Financial Services – 0.7% | ||||||||||
| E*TRADE Financial Corp.: | ||||||||||
| 7.375% 9/15/13 (c) | 1,070,000 | 1,080,700 | ||||||||
| 8% 6/15/11 | 570,000 | 587,100 | ||||||||
| 8% 6/15/11 (c) | 2,250,000 | 2,328,750 | ||||||||
| Residential Capital Corp. 6.375% 6/30/10 (c) | 1,565,000 | 1,587,008 | ||||||||
| Triad Acquisition Corp. 11.125% 5/1/13 (c) | 1,970,000 | 2,029,100 | ||||||||
| 7,612,658 | ||||||||||
| Diversified Media – 1.3% | ||||||||||
| Corus Entertainment, Inc. 8.75% 3/1/12 | 3,270,000 | 3,507,075 | ||||||||
| LBI Media Holdings, Inc. 0% 10/15/13 (b) | 1,330,000 | 1,000,825 | ||||||||
| LBI Media, Inc. 10.125% 7/15/12 | 2,310,000 | 2,489,025 | ||||||||
| Liberty Media Corp.: | ||||||||||
| 8.25% 2/1/30 | 2,570,000 | 2,461,037 | ||||||||
| 8.5% 7/15/29 | 1,575,000 | 1,524,992 | ||||||||
| Videotron Ltee 6.375% 12/15/15 (c) | 2,710,000 | 2,703,225 | ||||||||
| 13,686,179 | ||||||||||
| Electric Utilities – 5.0% | ||||||||||
| AES Corp.: | ||||||||||
| 8.875% 2/15/11 | 2,334,000 | 2,544,060 | ||||||||
| 9.375% 9/15/10 | 1,509,000 | 1,663,673 | ||||||||
| 9.5% 6/1/09 | 7,037,000 | 7,661,534 | ||||||||
| AES Gener SA 7.5% 3/25/14 | 4,175,000 | 4,237,625 | ||||||||
| Allegheny Energy Supply Co. LLC 8.25% 4/15/12 (c) | 540,000 | 604,800 | ||||||||
| Aquila, Inc. 14.875% 7/1/12 | 475,000 | 650,750 | ||||||||
| CMS Energy Corp.: | ||||||||||
| 6.3% 2/1/12 | 3,990,000 | 3,990,000 | ||||||||
| 7.5% 1/15/09 | 1,280,000 | 1,332,800 | ||||||||
| 8.9% 7/15/08 | 2,760,000 | 2,984,250 | ||||||||
| MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. | ||||||||||
| 7.375% 9/1/10 | 4,090,000 | 4,243,375 | ||||||||
67 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Electric Utilities – continued | ||||||||||
| MSW Energy Holdings LLC/MSW Energy Finance Co., | ||||||||||
| Inc. 8.5% 9/1/10 | $ 840,000 | $ 900,900 | ||||||||
| NRG Energy, Inc. 8% 12/15/13 | 4,335,000 | 4,595,100 | ||||||||
| Sierra Pacific Resources: | ||||||||||
| 6.75% 8/15/17 (c) | 1,420,000 | 1,427,100 | ||||||||
| 8.625% 3/15/14 | 1,535,000 | 1,703,850 | ||||||||
| TECO Energy, Inc. 5.6931% 5/1/10 (c)(d) | 2,490,000 | 2,527,350 | ||||||||
| Tenaska Alabama Partners LP 7% 6/30/21 (c) | 3,110,000 | 3,156,650 | ||||||||
| TXU Corp. 6.5% 11/15/24 | 3,410,000 | 3,213,925 | ||||||||
| Utilicorp Canada Finance Corp. 7.75% 6/15/11 | 3,825,000 | 4,016,250 | ||||||||
| Utilicorp United, Inc. 9.95% 2/1/11 (d) | 720,000 | 811,800 | ||||||||
| 52,265,792 | ||||||||||
| Energy – 7.8% | ||||||||||
| Chesapeake Energy Corp.: | ||||||||||
| 6.5% 8/15/17 (c) | 4,180,000 | 4,247,925 | ||||||||
| 7.5% 6/15/14 | 520,000 | 559,000 | ||||||||
| 7.75% 1/15/15 | 2,205,000 | 2,359,350 | ||||||||
| El Paso Corp. 7.625% 8/16/07 (c) | 1,200,000 | 1,227,000 | ||||||||
| Hanover Compressor Co.: | ||||||||||
| 0% 3/31/07 | 7,660,000 | 6,855,700 | ||||||||
| 8.625% 12/15/10 | 2,990,000 | 3,221,725 | ||||||||
| 9% 6/1/14 | 590,000 | 650,475 | ||||||||
| Hanover Equipment Trust 8.75% 9/1/11 | 535,000 | 567,100 | ||||||||
| Hilcorp Energy I LP/Hilcorp Finance Co. 10.5% | ||||||||||
| 9/1/10 (c) | 5,205,000 | 5,842,613 | ||||||||
| Markwest Energy Partners LP/ Markwest Energy Finance | ||||||||||
| Corp. 6.875% 11/1/14 (c) | 843,000 | 826,140 | ||||||||
| Newfield Exploration Co. 6.625% 9/1/14 | 2,170,000 | 2,256,800 | ||||||||
| Pacific Energy Partners LP/Pacific Energy Finance Corp. | ||||||||||
| 6.25% 9/15/15 (c) | 2,360,000 | 2,371,800 | ||||||||
| Parker Drilling Co.: | ||||||||||
| 8.62% 9/1/10 (d) | 5,195,000 | 5,363,838 | ||||||||
| 9.625% 10/1/13 | 1,225,000 | 1,387,313 | ||||||||
| 9.625% 10/1/13 (c) | 1,635,000 | 1,851,638 | ||||||||
| Pogo Producing Co. 6.875% 10/1/17 (c) | 3,970,000 | 4,039,475 | ||||||||
| Range Resources Corp.: | ||||||||||
| 6.375% 3/15/15 (Reg. S) | 2,800,000 | 2,814,000 | ||||||||
| 7.375% 7/15/13 | 5,235,000 | 5,601,450 | ||||||||
| Sonat, Inc.: | ||||||||||
| 6.625% 2/1/08 | 3,330,000 | 3,317,513 | ||||||||
Annual Report 68
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Energy – continued | ||||||||||
| Sonat, Inc.: – continued | ||||||||||
| 7.625% 7/15/11 | $ 3,820,000 | $ 3,877,300 | ||||||||
| Stone Energy Corp. 6.75% 12/15/14 | 3,365,000 | 3,322,938 | ||||||||
| The Coastal Corp.: | ||||||||||
| 6.375% 2/1/09 | 4,910,000 | 4,787,250 | ||||||||
| 6.5% 6/1/08 | 1,720,000 | 1,698,500 | ||||||||
| 7.75% 6/15/10 | 5,960,000 | 6,071,750 | ||||||||
| Williams Companies, Inc. 6.375% 10/1/10 (c) | 7,150,000 | 7,105,313 | ||||||||
| 82,223,906 | ||||||||||
| Environmental – 0.7% | ||||||||||
| Allied Waste North America, Inc. 5.75% 2/15/11 | 1,680,000 | 1,562,400 | ||||||||
| Browning-Ferris Industries, Inc. 6.375% 1/15/08 | 5,755,000 | 5,639,900 | ||||||||
| 7,202,300 | ||||||||||
| Food and Drug Retail – 0.4% | ||||||||||
| Stater Brothers Holdings, Inc.: | ||||||||||
| 7.37% 6/15/10 (d) | 2,115,000 | 2,093,850 | ||||||||
| 8.125% 6/15/12 | 2,655,000 | 2,615,175 | ||||||||
| 4,709,025 | ||||||||||
| Food/Beverage/Tobacco – 1.6% | ||||||||||
| National Beef Packing Co. LLC/National Beef Finance | ||||||||||
| Corp. 10.5% 8/1/11 | 2,540,000 | 2,641,600 | ||||||||
| RJ Reynolds Tobacco Holdings, Inc.: | ||||||||||
| 6.5% 7/15/10 (c) | 2,970,000 | 2,984,850 | ||||||||
| 7.3% 7/15/15 (c) | 980,000 | 1,004,500 | ||||||||
| Smithfield Foods, Inc.: | ||||||||||
| 7% 8/1/11 | 5,070,000 | 5,171,400 | ||||||||
| 7.75% 5/15/13 | 75,000 | 78,750 | ||||||||
| UAP Holding Corp. 0% 7/15/12 (b) | 2,700,000 | 2,295,000 | ||||||||
| United Agriculture Products, Inc. 8.25% 12/15/11 | 2,266,000 | 2,390,630 | ||||||||
| 16,566,730 | ||||||||||
| Gaming – 6.0% | ||||||||||
| Kerzner International Ltd. 6.75% 10/1/15 (c) | 4,760,000 | 4,664,800 | ||||||||
| Mandalay Resort Group: | ||||||||||
| 6.5% 7/31/09 | 1,450,000 | 1,451,813 | ||||||||
| 9.375% 2/15/10 | 1,095,000 | 1,205,869 | ||||||||
| 10.25% 8/1/07 | 2,485,000 | 2,677,588 | ||||||||
| MGM MIRAGE: | ||||||||||
| 6% 10/1/09 | 10,530,000 | 10,424,700 | ||||||||
| 6.625% 7/15/15 (c) | 2,230,000 | 2,210,488 | ||||||||
69 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Gaming – continued | ||||||||||
| MGM MIRAGE: – continued | ||||||||||
| 6.75% 9/1/12 | $ 245,000 | $ 247,450 | ||||||||
| Mohegan Tribal Gaming Authority: | ||||||||||
| 6.125% 2/15/13 | 1,390,000 | 1,383,050 | ||||||||
| 6.375% 7/15/09 | 7,835,000 | 7,874,175 | ||||||||
| 7.125% 8/15/14 | 1,480,000 | 1,535,500 | ||||||||
| 8% 4/1/12 | 785,000 | 829,156 | ||||||||
| MTR Gaming Group, Inc. 9.75% 4/1/10 | 2,600,000 | 2,827,500 | ||||||||
| Scientific Games Corp. 6.25% 12/15/12 | 1,950,000 | 1,945,125 | ||||||||
| Seneca Gaming Corp.: | ||||||||||
| 7.25% 5/1/12 (Reg. S) (c) | 3,210,000 | 3,290,250 | ||||||||
| 7.25% 5/1/12 | 3,945,000 | 4,043,625 | ||||||||
| Station Casinos, Inc. 6.875% 3/1/16 (c) | 1,370,000 | 1,383,700 | ||||||||
| Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||||||||
| 0% 1/15/13 (b)(c) | 1,250,000 | 887,500 | ||||||||
| 9% 1/15/12 (c) | 2,920,000 | 3,051,400 | ||||||||
| Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 5,835,000 | 6,126,750 | ||||||||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | ||||||||||
| 6.625% 12/1/14 | 4,565,000 | 4,348,163 | ||||||||
| 62,408,602 | ||||||||||
| Healthcare 4.0% | ||||||||||
| AMR HoldCo, Inc./ EmCare HoldCo, Inc. 10% | ||||||||||
| 2/15/15 (c) | 1,070,000 | 1,158,275 | ||||||||
| CDRV Investors, Inc. 0% 1/1/15 (b) | 9,190,000 | 5,238,300 | ||||||||
| Concentra Operating Corp.: | ||||||||||
| 9.125% 6/1/12 | 2,775,000 | 2,886,000 | ||||||||
| 9.5% 8/15/10 | 2,110,000 | 2,210,225 | ||||||||
| DaVita, Inc. 6.625% 3/15/13 | 3,890,000 | 3,938,625 | ||||||||
| Mylan Laboratories, Inc.: | ||||||||||
| 5.75% 8/15/10 (c) | 1,190,000 | 1,191,488 | ||||||||
| 6.375% 8/15/15 (c) | 1,650,000 | 1,652,063 | ||||||||
| Omega Healthcare Investors, Inc. 7% 4/1/14 | 5,720,000 | 5,805,800 | ||||||||
| PerkinElmer, Inc. 8.875% 1/15/13 | 7,470,000 | 8,179,650 | ||||||||
| Psychiatric Solutions, Inc. 7.75% 7/15/15 (c) | 705,000 | 726,150 | ||||||||
| ResCare, Inc. 7.75% 10/15/13 (c) | 2,240,000 | 2,262,400 | ||||||||
| Senior Housing Properties Trust 8.625% 1/15/12 | 4,490,000 | 4,995,125 | ||||||||
| Service Corp. International (SCI) 7% 6/15/17 (c) | 1,450,000 | 1,468,125 | ||||||||
| 41,712,226 | ||||||||||
| Annual Report |
| 70 |
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Homebuilding/Real Estate – 3.0% | ||||||||||
| American Real Estate Partners/American Real Estate | ||||||||||
| Finance Corp.: | ||||||||||
| 7.125% 2/15/13 (c) | $ 2,680,000 | $ 2,680,000 | ||||||||
| 8.125% 6/1/12 | 6,080,000 | 6,338,400 | ||||||||
| K. Hovnanian Enterprises, Inc.: | ||||||||||
| 6% 1/15/10 | 790,000 | 758,400 | ||||||||
| 8.875% 4/1/12 | 2,155,000 | 2,262,750 | ||||||||
| KB Home 7.75% 2/1/10 | 6,620,000 | 6,818,600 | ||||||||
| Standard Pacific Corp.: | ||||||||||
| 5.125% 4/1/09 | 2,640,000 | 2,508,000 | ||||||||
| 6.875% 5/15/11 | 1,915,000 | 1,886,275 | ||||||||
| Technical Olympic USA, Inc.: | ||||||||||
| 7.5% 1/15/15 | 2,145,000 | 1,892,963 | ||||||||
| 10.375% 7/1/12 | 100,000 | 104,000 | ||||||||
| WCI Communities, Inc.: | ||||||||||
| 6.625% 3/15/15 | 1,910,000 | 1,728,550 | ||||||||
| 7.875% 10/1/13 | 4,665,000 | 4,583,363 | ||||||||
| 31,561,301 | ||||||||||
| Hotels 0.5% | ||||||||||
| Grupo Posadas SA de CV 8.75% 10/4/11 (c) | 3,630,000 | 3,902,250 | ||||||||
| Host Marriott LP 7.125% 11/1/13 | 1,465,000 | 1,496,131 | ||||||||
| 5,398,381 | ||||||||||
| Insurance – 0.9% | ||||||||||
| Crum & Forster Holdings Corp. 10.375% 6/15/13 | 4,785,000 | 5,096,025 | ||||||||
| Fairfax Financial Holdings Ltd. 7.75% 4/26/12 | 4,505,000 | 4,324,800 | ||||||||
| 9,420,825 | ||||||||||
| Leisure – 1.2% | ||||||||||
| Equinox Holdings Ltd. 9% 12/15/09 | 1,530,000 | 1,587,375 | ||||||||
| Town Sports International Holdings, Inc. 0% 2/1/14 (b) . | 2,510,000 | 1,681,700 | ||||||||
| Town Sports International, Inc. 9.625% 4/15/11 | 2,345,000 | 2,438,800 | ||||||||
| Universal City Development Partners Ltd./UCDP Finance, | ||||||||||
| Inc. 11.75% 4/1/10 | 2,260,000 | 2,553,800 | ||||||||
| Universal City Florida Holding Co. I/II 8.4431% | ||||||||||
| 5/1/10 (d) | 4,260,000 | 4,473,000 | ||||||||
| 12,734,675 | ||||||||||
| Metals/Mining – 1.9% | ||||||||||
| Arch Western Finance LLC 6.75% 7/1/13 | 3,240,000 | 3,304,800 | ||||||||
| Century Aluminum Co. 7.5% 8/15/14 | 625,000 | 646,875 | ||||||||
71 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Metals/Mining – continued | ||||||||||
| Compass Minerals International, Inc.: | ||||||||||
| 0% 12/15/12 (b) | $ 1,060,000 | $ 932,800 | ||||||||
| 0% 6/1/13 (b) | 9,175,000 | 7,798,750 | ||||||||
| Freeport-McMoRan Copper & Gold, Inc. 6.875% | ||||||||||
| 2/1/14 | 2,685,000 | 2,658,150 | ||||||||
| Vedanta Resources PLC 6.625% 2/22/10 (c) | 4,225,000 | 4,188,031 | ||||||||
| 19,529,406 | ||||||||||
| Paper 1.0% | ||||||||||
| Georgia-Pacific Corp.: | ||||||||||
| 8% 1/15/14 | 3,610,000 | 3,952,950 | ||||||||
| 8.125% 5/15/11 | 750,000 | 824,063 | ||||||||
| 8.875% 2/1/10 | 2,050,000 | 2,296,000 | ||||||||
| Norske Skog Canada Ltd. 8.625% 6/15/11 | 3,295,000 | 3,344,425 | ||||||||
| 10,417,438 | ||||||||||
| Publishing/Printing – 1.1% | ||||||||||
| Houghton Mifflin Co.: | ||||||||||
| 7.2% 3/15/11 | 365,000 | 379,600 | ||||||||
| 9.875% 2/1/13 | 4,835,000 | 5,125,100 | ||||||||
| The Reader’s Digest Association, Inc. 6.5% 3/1/11 | 5,850,000 | 5,937,750 | ||||||||
| 11,442,450 | ||||||||||
| Railroad 0.4% | ||||||||||
| Kansas City Southern Railway Co.: | ||||||||||
| 7.5% 6/15/09 | 4,325,000 | 4,519,625 | ||||||||
| 9.5% 10/1/08 | 220,000 | 240,900 | ||||||||
| 4,760,525 | ||||||||||
| Restaurants 1.0% | ||||||||||
| Carrols Corp. 9% 1/15/13 (c) | 2,785,000 | 2,819,813 | ||||||||
| Friendly Ice Cream Corp. 8.375% 6/15/12 | 4,185,000 | 3,975,750 | ||||||||
| Landry’s Seafood Restaurants, Inc. 7.5% 12/15/14 | 3,450,000 | 3,329,250 | ||||||||
| 10,124,813 | ||||||||||
| Services – 1.6% | ||||||||||
| Ashtead Holdings PLC 8.625% 8/1/15 (c) | 1,090,000 | 1,149,950 | ||||||||
| FTI Consulting, Inc. 7.625% 6/15/13 (c) | 2,975,000 | 3,019,625 | ||||||||
| Iron Mountain, Inc.: | ||||||||||
| 7.75% 1/15/15 | 400,000 | 406,000 | ||||||||
| 8.25% 7/1/11 | 1,750,000 | 1,785,000 | ||||||||
| 8.625% 4/1/13 | 4,815,000 | 5,007,600 | ||||||||
| Annual Report |
| 72 |
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Services – continued | ||||||||||
| Rural/Metro Corp.: | ||||||||||
| 0% 3/15/16 (b)(c) | $ 2,860,000 | $ 1,744,600 | ||||||||
| 9.875% 3/15/15 (c) | 630,000 | 652,050 | ||||||||
| United Rentals North America, Inc. 7% 2/15/14 | 2,780,000 | 2,585,400 | ||||||||
| 16,350,225 | ||||||||||
| Shipping – 4.5% | ||||||||||
| General Maritime Corp. 10% 3/15/13 | 9,940,000 | 10,909,150 | ||||||||
| OMI Corp. 7.625% 12/1/13 | 7,645,000 | 7,893,463 | ||||||||
| Overseas Shipholding Group, Inc.: | ||||||||||
| 7.5% 2/15/24 | 195,000 | 193,050 | ||||||||
| 8.25% 3/15/13 | 855,000 | 916,988 | ||||||||
| Ship Finance International Ltd. 8.5% 12/15/13 | 17,800,000 | 17,488,478 | ||||||||
| Teekay Shipping Corp. 8.875% 7/15/11 | 8,240,000 | 9,352,400 | ||||||||
| 46,753,529 | ||||||||||
| Steels – 1.2% | ||||||||||
| Allegheny Technologies, Inc. 8.375% 12/15/11 | 3,475,000 | 3,753,000 | ||||||||
| CSN Islands VII Corp. 10.75% 9/12/08 (c) | 3,090,000 | 3,491,700 | ||||||||
| Gerdau AmeriSteel Corp./GUSAP Partners 10.375% | ||||||||||
| 7/15/11 | 4,980,000 | 5,527,800 | ||||||||
| 12,772,500 | ||||||||||
| Super Retail – 3.7% | ||||||||||
| Asbury Automotive Group, Inc. 9% 6/15/12 | 4,470,000 | 4,537,050 | ||||||||
| Buhrmann US, Inc. 7.875% 3/1/15 | 2,300,000 | 2,317,250 | ||||||||
| GSC Holdings Corp./Gamestop, Inc.: | ||||||||||
| 7.875% 10/1/11 (c)(d) | 6,800,000 | 6,851,000 | ||||||||
| 8% 10/1/12 (c) | 9,030,000 | 9,007,425 | ||||||||
| NBC Acquisition Corp. 0% 3/15/13 (b) | 6,590,000 | 4,859,927 | ||||||||
| Nebraska Book Co., Inc. 8.625% 3/15/12 | 4,490,000 | 4,220,600 | ||||||||
| Sonic Automotive, Inc. 8.625% 8/15/13 | 5,550,000 | 5,480,625 | ||||||||
| Toys ’R’ US, Inc.: | ||||||||||
| 7.375% 10/15/18 | 485,000 | 388,000 | ||||||||
| 7.875% 4/15/13 | 995,000 | 883,063 | ||||||||
| 38,544,940 | ||||||||||
| Technology – 6.2% | ||||||||||
| Advanced Micro Devices, Inc. 7.75% 11/1/12 | 2,715,000 | 2,789,663 | ||||||||
| Celestica, Inc.: | ||||||||||
| 7.625% 7/1/13 | 4,480,000 | 4,446,400 | ||||||||
| 7.875% 7/1/11 | 6,675,000 | 6,791,813 | ||||||||
| Freescale Semiconductor, Inc. 6.875% 7/15/11 | 5,350,000 | 5,577,375 | ||||||||
73 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Technology – continued | ||||||||||
| Lucent Technologies, Inc.: | ||||||||||
| 6.45% 3/15/29 | $ 1,170,000 | $ 1,025,213 | ||||||||
| 6.5% 1/15/28 | 1,055,000 | 913,894 | ||||||||
| MagnaChip Semiconductor SA/MagnaChip | ||||||||||
| Semiconductor Finance Co. 7.12% 12/15/11 (d) | 4,465,000 | 4,431,513 | ||||||||
| New ASAT Finance Ltd. 9.25% 2/1/11 | 2,165,000 | 1,569,625 | ||||||||
| Sanmina SCI Corp.: | ||||||||||
| 6.75% 3/1/13 | 3,925,000 | 3,718,938 | ||||||||
| 10.375% 1/15/10 | 1,950,000 | 2,145,000 | ||||||||
| STATS ChipPAC Ltd. 7.5% 7/19/10 (c) | 5,410,000 | 5,504,675 | ||||||||
| SunGard Data Systems, Inc.: | ||||||||||
| 8.5248% 8/15/13 (c)(d) | 2,590,000 | 2,670,938 | ||||||||
| 9.125% 8/15/13 (c) | 6,090,000 | 6,242,250 | ||||||||
| Unisys Corp. 8% 10/15/12 | 3,540,000 | 3,460,350 | ||||||||
| Xerox Capital Trust I 8% 2/1/27 | 5,775,000 | 6,006,000 | ||||||||
| Xerox Corp.: | ||||||||||
| 6.875% 8/15/11 | 1,265,000 | 1,321,925 | ||||||||
| 7.125% 6/15/10 | 4,275,000 | 4,499,438 | ||||||||
| 9.75% 1/15/09 | 1,535,000 | 1,719,200 | ||||||||
| 64,834,210 | ||||||||||
| Telecommunications – 9.2% | ||||||||||
| American Tower Corp. 7.125% 10/15/12 | 1,965,000 | 2,058,338 | ||||||||
| American Towers, Inc. 7.25% 12/1/11 | 785,000 | 834,063 | ||||||||
| Digicel Ltd. 9.25% 9/1/12 (c) | 3,565,000 | 3,738,794 | ||||||||
| Intelsat Ltd.: | ||||||||||
| 5.25% 11/1/08 | 2,415,000 | 2,215,763 | ||||||||
| 6.5% 11/1/13 | 5,710,000 | 4,396,700 | ||||||||
| 7.625% 4/15/12 | 2,890,000 | 2,413,150 | ||||||||
| 8.695% 1/15/12 (c)(d) | 6,345,000 | 6,471,900 | ||||||||
| MCI, Inc. 8.735% 5/1/14 (d) | 4,155,000 | 4,643,213 | ||||||||
| Millicom International Cellular SA 10% 12/1/13 | 4,600,000 | 4,772,500 | ||||||||
| Mobile Telesystems Finance SA 8% 1/28/12 (c) | 1,880,000 | 1,992,800 | ||||||||
| New Skies Satellites BV: | ||||||||||
| 8.5388% 11/1/11 (d) | 4,145,000 | 4,258,988 | ||||||||
| 9.125% 11/1/12 | 415,000 | 425,894 | ||||||||
| Nextel Communications, Inc.: | ||||||||||
| 5.95% 3/15/14 | 2,880,000 | 2,973,600 | ||||||||
| 6.875% 10/31/13 | 7,380,000 | 7,841,250 | ||||||||
| PanAmSat Corp. 9% 8/15/14 | 2,080,000 | 2,189,200 | ||||||||
| PanAmSat Holding Corp. 0% 11/1/14 (b) | 1,095,000 | 755,550 | ||||||||
Annual Report 74
| Corporate Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Nonconvertible Bonds continued | ||||||||
| Telecommunications – continued | ||||||||
| Qwest Capital Funding, Inc.: | ||||||||
| 7% 8/3/09 | $ 3,240,000 | $ 3,142,800 | ||||||
| 7.25% 2/15/11 | 1,160,000 | 1,102,000 | ||||||
| 7.9% 8/15/10 | 1,450,000 | 1,439,125 | ||||||
| Qwest Corp.: | ||||||||
| 7.12% 6/15/13 (c)(d) | 6,760,000 | 7,030,400 | ||||||
| 8.875% 3/15/12 | 2,045,000 | 2,234,163 | ||||||
| Qwest Services Corp. 14% 12/15/14 | 3,315,000 | 4,011,150 | ||||||
| Rogers Communications, Inc.: | ||||||||
| 7.25% 12/15/12 | 3,670,000 | 3,881,025 | ||||||
| 8% 12/15/12 | 4,020,000 | 4,241,100 | ||||||
| 9.625% 5/1/11 | 3,350,000 | 3,869,250 | ||||||
| SBA Communications Corp. 8.5% 12/1/12 | 4,005,000 | 4,355,438 | ||||||
| Time Warner Telecom Holdings, Inc. 9.25% 2/15/14 | 390,000 | 394,875 | ||||||
| Time Warner Telecom, Inc. 10.125% 2/1/11 | 1,050,000 | 1,084,125 | ||||||
| U.S. West Capital Funding, Inc. 6.375% 7/15/08 | 5,547,000 | 5,380,590 | ||||||
| U.S. West Communications: | ||||||||
| 6.875% 9/15/33 | 2,385,000 | 2,063,025 | ||||||
| 7.5% 6/15/23 | 805,000 | 728,525 | ||||||
| 96,939,294 | ||||||||
| Textiles & Apparel – 0.5% | ||||||||
| Levi Strauss & Co.: | ||||||||
| 8.2544% 4/1/12 (d) | 2,225,000 | 2,219,438 | ||||||
| 12.25% 12/15/12 | 995,000 | 1,104,450 | ||||||
| Tommy Hilfiger USA, Inc. 6.85% 6/1/08 | 2,130,000 | 2,156,625 | ||||||
| 5,480,513 | ||||||||
| TOTAL NONCONVERTIBLE BONDS | 929,902,543 | |||||||
| TOTAL CORPORATE BONDS | ||||||||
| (Cost $917,443,848) | 930,083,372 | |||||||
| Commercial Mortgage Securities 0.1% | ||||||||
| Berkeley Federal Bank & Trust FSB Series 1994-1 Class | ||||||||
| B, 3.4233% 8/1/24 (c)(d) | ||||||||
| (Cost $969,889) | 1,228,245 | 1,059,362 | ||||||
75 Annual Report
| Investments (Unaudited) continued | ||||||||
| Common Stocks 0.2% | ||||||||
| Shares | Value | |||||||
| Automotive 0.0% | ||||||||
| Exide Technologies warrants 3/18/06 (a) | 16 | $ 0 | ||||||
| Healthcare 0.0% | ||||||||
| Skilled Healthcare Group, Inc. (a)(e) | 1,364 | 156,860 | ||||||
| Textiles & Apparel – 0.2% | ||||||||
| Arena Brands Holding Corp. Class B (e) | 144,445 | 1,630,784 | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $5,834,148) | 1,787,644 | |||||||
| Floating Rate Loans 7.8% | ||||||||
| Principal | ||||||||
| Amount | ||||||||
| Air Transportation – 0.4% | ||||||||
| US Airways Group, Inc.: | ||||||||
| Tranche 1A, term loan 12.2062% 9/30/10 (d) | $ 2,834,967 | 2,834,967 | ||||||
| Tranche 2B, term loan 9.8062% 9/30/08 (d) | 1,126,439 | 1,137,703 | ||||||
| 3,972,670 | ||||||||
| Building Materials – 0.5% | ||||||||
| Masonite International Corp. term loan 9.3838% | ||||||||
| 4/6/15 (d) | 5,340,000 | 5,333,325 | ||||||
| Cable TV 0.5% | ||||||||
| UPC Broadband Holding BV Tranche H2, term loan | ||||||||
| 6.0044% 9/30/12 (d) | 5,460,000 | 5,521,425 | ||||||
| Electric Utilities – 1.5% | ||||||||
| Covanta Energy Corp.: | ||||||||
| Tranche 1: | ||||||||
| Credit-Linked Deposit 6.8628% 6/24/12 (d) | 2,913,496 | 2,957,198 | ||||||
| term loan 6.9606% 6/24/12 (d) | 2,350,613 | 2,385,872 | ||||||
| Tranche 2, term loan 9.3953% 6/24/13 (d) | 3,720,000 | 3,729,300 | ||||||
| Riverside Energy Center LLC: | ||||||||
| term loan 7.93% 6/24/11 (d) | 6,179,774 | 6,365,167 | ||||||
| Credit-Linked Deposit 7.93% 6/24/11 (d) | 288,859 | 293,192 | ||||||
| 15,730,729 | ||||||||
| Energy – 1.8% | ||||||||
| Coffeyville Resources LLC: | ||||||||
| Credit-Linked Deposit 6.3604% 7/8/11 (d) | 172,000 | 174,795 | ||||||
| Tranche 2, term loan 10.8125% 7/8/13 (d) | 2,870,000 | 2,984,800 | ||||||
| Tranche B1, term loan 6.57% 7/8/12 (d) | 258,000 | 262,193 | ||||||
| El Paso Corp.: | ||||||||
| Credit-Linked Deposit 6.6466% 11/22/09 (d) | 4,070,700 | 4,111,407 | ||||||
| Annual Report |
| 76 |
| Floating Rate Loans continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Energy – continued | ||||||||
| El Paso Corp.: – continued | ||||||||
| term loan 6.8125% 11/22/09 (d) | $ 2,766,661 | $ 2,794,327 | ||||||
| Kerr-McGee Corp. Tranche B, term loan 6.3149% | ||||||||
| 5/24/11 (d) | 8,538,600 | 8,581,293 | ||||||
| 18,908,815 | ||||||||
| Environmental – 0.8% | ||||||||
| Envirocare of Utah, Inc.: | ||||||||
| Tranche 1, term loan 6.11% 4/13/10 (d) | 4,882,727 | 4,962,072 | ||||||
| Tranche 2, term loan 8.86% 4/13/10 (d) | 3,770,000 | 3,901,950 | ||||||
| 8,864,022 | ||||||||
| Homebuilding/Real Estate – 0.8% | ||||||||
| LNR Property Corp.: | ||||||||
| Tranche A, term loan 8.2109% 2/3/08 (d) | 2,150,000 | 2,160,750 | ||||||
| Tranche B, term loan: | ||||||||
| 6.7112% 2/3/08 (d) | 4,311,868 | 4,365,766 | ||||||
| 8.9609% 2/3/08 (d) | 2,200,000 | 2,211,000 | ||||||
| 8,737,516 | ||||||||
| Technology – 0.7% | ||||||||
| Fidelity National Information Solutions, Inc.: | ||||||||
| Tranche A, term loan 5.2281% 3/9/11 (d) | 3,676,525 | 3,676,525 | ||||||
| Tranche B, term loan 5.4771% 3/9/13 (d) | 1,464,950 | 1,472,275 | ||||||
| Infor Global Solutions AG Tranche 2, term loan | ||||||||
| 10.943% 4/18/12 (d) | 1,700,000 | 1,721,250 | ||||||
| 6,870,050 | ||||||||
| Telecommunications – 0.8% | ||||||||
| Qwest Corp. Tranche B, term loan 6.95% 6/30/10 (d) | . | 1,700,000 | 1,689,375 | |||||
| Wind Telecomunicazioni Spa: | ||||||||
| Tranche 2, term loan 10.0944% 3/21/15 (d) | 3,620,000 | 3,624,525 | ||||||
| Tranche B, term loan 6.75% 9/21/13 (d) | 1,565,000 | 1,549,350 | ||||||
| Tranche C, term loan 7.25% 9/21/14 (d) | 1,565,000 | 1,549,350 | ||||||
| 8,412,600 | ||||||||
| TOTAL FLOATING RATE LOANS | ||||||||
| (Cost $81,519,647) | 82,351,152 | |||||||
77 Annual Report
| Investments (Unaudited) continued | ||||||
| Cash Equivalents 3.1% | ||||||
| Maturity | Value | |||||
| Amount | ||||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||
| Government Obligations, in a joint trading account at | ||||||
| 3.89%, dated 9/30/05 due 10/3/05) | $ 27,692,985 | $ 27,684,000 | ||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||
| Treasury Obligations, in a joint trading account at 3.27%, | ||||||
| dated 9/30/05 due 10/3/05) | 4,492,224 | 4,491,000 | ||||
| TOTAL CASH EQUIVALENTS | ||||||
| (Cost $32,175,000) | 32,175,000 | |||||
| TOTAL INVESTMENT PORTFOLIO 99.9% | ||||||
| (Cost $1,037,942,532) | 1,047,456,530 | |||||
| NET OTHER ASSETS – 0.1% | 641,925 | |||||
| NET ASSETS 100% | $ 1,048,098,455 | |||||
| Legend |
| (a) Non-income producing (b) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. (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 period end, the value of these securities amounted to $205,494,256 or 19.6% of net assets. (d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (e) Restricted securities – Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,787,644 or 0.2% of net assets. |
Additional information on each holding is as follows:
| Acquisition | Acquisition | |||||
| SecurityA | Date | Cost | ||||
| Arena Brands | ||||||
| Holding Corp. | ||||||
| Class B | 6/18/97 | $ 5,834,134 | ||||
| Skilled Healthcare | 8/19/03 - 1/27/04 | |||||
| Group, Inc. | $ 13 |
AAcquired as a result of an in-kind exchange and represents the original acquisition date and cost.
| Annual Report |
| 78 |
Other Information
Distribution of investments by country of issue, as a percentage of total net assets, is as follows:
| United States of America | 80.4% | |
| Canada | 5.2% | |
| Bermuda | 3.5% | |
| Marshall Islands | 2.7% | |
| United Kingdom | 1.7% | |
| Luxembourg | 1.4% | |
| France | 1.1% | |
| Others (individually less than 1%) . | 4.0% | |
| 100.0% |
79 Annual Report
Fidelity Tactical Income Central Investment Portfolio
Investments September 30, 2005 (Unaudited)
Showing Percentage of Net Assets
| Nonconvertible Bonds 22.2% | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| CONSUMER DISCRETIONARY – 2.0% | ||||||||
| Automobiles – 0.6% | ||||||||
| Ford Motor Co.: | ||||||||
| 6.375% 2/1/29 | $ 1,750,000 | $ 1,255,625 | ||||||
| 6.625% 10/1/28 | 1,115,000 | 805,588 | ||||||
| 7.45% 7/16/31 | 12,780,000 | 9,968,400 | ||||||
| General Motors Corp. 8.25% 7/15/23 | 11,340,000 | 8,816,850 | ||||||
| 20,846,463 | ||||||||
| Media – 1.4% | ||||||||
| Clear Channel Communications, Inc. 5.5% 9/15/14 | 7,170,000 | 6,910,898 | ||||||
| Comcast Corp. 5.65% 6/15/35 | 2,850,000 | 2,664,066 | ||||||
| Continental Cablevision, Inc. 9% 9/1/08 | 3,850,000 | 4,271,379 | ||||||
| Cox Communications, Inc. 7.125% 10/1/12 | 4,325,000 | 4,704,674 | ||||||
| Liberty Media Corp.: | ||||||||
| 5.7% 5/15/13 | 2,980,000 | 2,719,250 | ||||||
| 8.25% 2/1/30 | 8,580,000 | 8,216,225 | ||||||
| News America Holdings, Inc. 7.75% 12/1/45 | 2,625,000 | 3,082,196 | ||||||
| News America, Inc. 6.2% 12/15/34 | 5,075,000 | 5,082,663 | ||||||
| Time Warner, Inc. 6.625% 5/15/29 | 5,700,000 | 5,962,246 | ||||||
| Univision Communications, Inc. 3.875% 10/15/08 | 1,295,000 | 1,248,649 | ||||||
| 44,862,246 | ||||||||
| TOTAL CONSUMER DISCRETIONARY | 65,708,709 | |||||||
| CONSUMER STAPLES 0.4% | ||||||||
| Beverages – 0.1% | ||||||||
| FBG Finance Ltd. 5.125% 6/15/15 (a) | 3,715,000 | 3,644,411 | ||||||
| Food Products 0.3% | ||||||||
| ConAgra Foods, Inc. 6.75% 9/15/11 | 8,710,000 | 9,365,593 | ||||||
| TOTAL CONSUMER STAPLES | 13,010,004 | |||||||
| ENERGY 2.0% | ||||||||
| Energy Equipment & Services – 0.5% | ||||||||
| Diamond Offshore Drilling, Inc. 4.875% 7/1/15 (a) | 10,270,000 | 10,031,695 | ||||||
| Petronas Capital Ltd. 7% 5/22/12 (a) | 5,725,000 | 6,388,590 | ||||||
| 16,420,285 | ||||||||
| Oil, Gas & Consumable Fuels – 1.5% | ||||||||
| Canadian Oil Sands Ltd. 4.8% 8/10/09 (a) | 5,220,000 | 5,173,834 | ||||||
| Duke Capital LLC: | ||||||||
| 4.37% 3/1/09 | 2,825,000 | 2,782,492 | ||||||
Annual Report 80
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| ENERGY – continued | ||||||||
| Oil, Gas & Consumable Fuels – continued | ||||||||
| Duke Capital LLC: – continued | ||||||||
| 6.25% 2/15/13 | $ 4,500,000 | $ 4,733,289 | ||||||
| Enterprise Products Operating LP 4% 10/15/07 | 3,815,000 | 3,738,711 | ||||||
| Kinder Morgan Energy Partners LP 5.8% 3/15/35 | 1,810,000 | 1,738,465 | ||||||
| Nexen, Inc. 5.875% 3/10/35 | 3,395,000 | 3,327,782 | ||||||
| Pemex Project Funding Master Trust: | ||||||||
| 6.625% 6/15/35 (a) | 1,425,000 | 1,401,488 | ||||||
| 7.375% 12/15/14 | 3,000,000 | 3,330,000 | ||||||
| 8.625% 2/1/22 | 8,725,000 | 10,709,938 | ||||||
| The Coastal Corp.: | ||||||||
| 7.75% 10/15/35 | 1,990,000 | 1,910,400 | ||||||
| 9.625% 5/15/12 | 7,730,000 | 8,541,650 | ||||||
| 47,388,049 | ||||||||
| TOTAL ENERGY | 63,808,334 | |||||||
| FINANCIALS – 11.5% | ||||||||
| Capital Markets 1.3% | ||||||||
| Bank of New York Co., Inc.: | ||||||||
| 3.4% 3/15/13 (f) | 4,370,000 | 4,227,053 | ||||||
| 4.25% 9/4/12 (f) | 4,285,000 | 4,248,093 | ||||||
| Goldman Sachs Capital I 6.345% 2/15/34 | 8,225,000 | 8,569,866 | ||||||
| Goldman Sachs Group, Inc. 5.25% 10/15/13 | 8,525,000 | 8,601,955 | ||||||
| JPMorgan Chase Capital XV 5.875% 3/15/35 | 3,505,000 | 3,430,894 | ||||||
| Lazard LLC 7.125% 5/15/15 (a) | 5,665,000 | 5,625,096 | ||||||
| Merrill Lynch & Co., Inc. 4.25% 2/8/10 | 4,590,000 | 4,487,189 | ||||||
| Nuveen Investments, Inc. 5% 9/15/10 | 2,595,000 | 2,569,182 | ||||||
| 41,759,328 | ||||||||
| Commercial Banks – 2.3% | ||||||||
| Bank of America Corp.: | ||||||||
| 7.4% 1/15/11 | 10,286,000 | 11,487,024 | ||||||
| 7.8% 2/15/10 | 14,984,000 | 16,723,597 | ||||||
| Banponce Corp. 6.75% 12/15/05 | 3,570,000 | 3,586,011 | ||||||
| Export-Import Bank of Korea: | ||||||||
| 4.125% 2/10/09 (a) | 1,485,000 | 1,451,844 | ||||||
| 5.25% 2/10/14 (a) | 2,560,000 | 2,586,007 | ||||||
| KeyCorp Capital Trust VII 5.7% 6/15/35 | 8,000,000 | 7,605,728 | ||||||
| Korea Development Bank: | ||||||||
| 3.875% 3/2/09 | 9,700,000 | 9,416,479 | ||||||
| 4.75% 7/20/09 | 3,520,000 | 3,508,419 | ||||||
81 Annual Report
| Investments (Unaudited) continued | ||||||||
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| FINANCIALS – continued | ||||||||
| Commercial Banks – continued | ||||||||
| Rabobank Capital Funding Trust II 5.26% | ||||||||
| 12/31/49 (a)(f) | $ 6,835,000 | $ 6,854,104 | ||||||
| Wachovia Bank NA 4.875% 2/1/15 | 12,050,000 | 11,882,119 | ||||||
| 75,101,332 | ||||||||
| Consumer Finance – 0.7% | ||||||||
| General Electric Capital Corp. 3.5% 5/1/08 | 500,000 | 487,475 | ||||||
| Household Finance Corp.: | ||||||||
| 4.125% 11/16/09 | 7,450,000 | 7,255,235 | ||||||
| 5.875% 2/1/09 | 730,000 | 753,353 | ||||||
| Household International, Inc. 8.875% 2/15/08 | 8,550,000 | 8,681,405 | ||||||
| HSBC Finance Corp. 6.75% 5/15/11 | 1,575,000 | 1,713,002 | ||||||
| MBNA Corp. 6.25% 1/17/07 | 3,670,000 | 3,738,937 | ||||||
| 22,629,407 | ||||||||
| Diversified Financial Services – 1.7% | ||||||||
| JPMorgan Chase & Co. 6.75% 2/1/11 | 29,515,000 | 31,937,709 | ||||||
| JPMorgan Chase Capital XVII 5.85% 8/1/35 | 9,075,000 | 8,887,374 | ||||||
| Mizuho Financial Group Cayman Ltd. 5.79% | ||||||||
| 4/15/14 (a) | 10,065,000 | 10,483,744 | ||||||
| Prime Property Funding II 6.25% 5/15/07 (a) | 4,795,000 | 4,909,121 | ||||||
| 56,217,948 | ||||||||
| Insurance – 1.2% | ||||||||
| Axis Capital Holdings Ltd. 5.75% 12/1/14 | 10,145,000 | 10,067,299 | ||||||
| Principal Life Global Funding I 5.125% 6/28/07 (a) | 18,600,000 | 18,685,355 | ||||||
| QBE Insurance Group Ltd. 5.647% 7/1/23 (a)(f) | 9,370,000 | 9,351,091 | ||||||
| 38,103,745 | ||||||||
| Real Estate 2.7% | ||||||||
| Archstone Smith Operating Trust 5.25% 5/1/15 | 4,285,000 | 4,264,205 | ||||||
| CarrAmerica Realty Corp. 5.25% 11/30/07 | 4,275,000 | 4,285,051 | ||||||
| CenterPoint Properties Trust: | ||||||||
| 4.75% 8/1/10 | 2,950,000 | 2,917,290 | ||||||
| 5.25% 7/15/11 | 5,000,000 | 5,009,005 | ||||||
| Colonial Properties Trust: | ||||||||
| 4.75% 2/1/10 | 3,325,000 | 3,253,619 | ||||||
| 5.5% 10/1/15 | 14,200,000 | 13,954,042 | ||||||
| Developers Diversified Realty Corp.: | ||||||||
| 5% 5/3/10 | 3,280,000 | 3,260,474 | ||||||
| 5.25% 4/15/11 | 1,855,000 | 1,860,049 | ||||||
| EOP Operating LP: | ||||||||
| 4.65% 10/1/10 | 2,375,000 | 2,335,582 | ||||||
Annual Report 82
| Nonconvertible Bonds continued | ||||
| Principal | Value | |||
| Amount | ||||
| FINANCIALS – continued | ||||
| Real Estate continued | ||||
| EOP Operating LP: – continued | ||||
| 6.763% 6/15/07 | $ 10,075,000 | $ 10,378,993 | ||
| 7.75% 11/15/07 | 9,645,000 | 10,210,592 | ||
| Equity Residential 5.125% 3/15/16 | 3,435,000 | 3,383,623 | ||
| Gables Realty LP: | ||||
| 5% 3/15/10 | 2,030,000 | 1,994,160 | ||
| 5.75% 7/15/07 | 1,450,000 | 1,467,625 | ||
| Mack Cali Realty LP 7.25% 3/15/09 | 2,800,000 | 2,980,412 | ||
| Simon Property Group LP: | ||||
| 4.6% 6/15/10 | 2,865,000 | 2,825,222 | ||
| 4.875% 8/15/10 | 7,325,000 | 7,292,272 | ||
| 5.1% 6/15/15 | 4,240,000 | 4,156,001 | ||
| 85,828,217 | ||||
| Thrifts & Mortgage Finance – 1.6% | ||||
| Abbey National PLC 6.69% 10/17/05 | 5,000,000 | 5,004,475 | ||
| Independence Community Bank Corp.: | ||||
| 3.75% 4/1/14 (f) | 2,870,000 | 2,757,843 | ||
| 4.9% 9/23/10 | 13,255,000 | 13,143,154 | ||
| Residential Capital Corp. 6.375% 6/30/10 (a) | 5,860,000 | 5,942,406 | ||
| Washington Mutual, Inc.: | ||||
| 2.4% 11/3/05 | 7,355,000 | 7,344,938 | ||
| 4.3606% 9/17/12 (f) | 9,000,000 | 8,993,637 | ||
| 4.625% 4/1/14 | 7,830,000 | 7,493,020 | ||
| 50,679,473 | ||||
| TOTAL FINANCIALS | 370,319,450 | |||
| INDUSTRIALS – 1.2% | ||||
| Aerospace & Defense – 0.2% | ||||
| Bombardier, Inc.: | ||||
| 6.3% 5/1/14 (a) | 1,900,000 | 1,681,500 | ||
| 7.45% 5/1/34 (a) | 7,300,000 | 6,168,500 | ||
| 7,850,000 | ||||
| Airlines – 0.9% | ||||
| American Airlines, Inc. pass thru trust certificates: | ||||
| 6.855% 10/15/10 | 566,167 | 570,514 | ||
| 6.978% 10/1/12 | 1,380,441 | 1,398,148 | ||
| 7.024% 4/15/11 | 2,545,000 | 2,578,475 | ||
| 7.858% 4/1/13 | 10,000,000 | 10,233,249 | ||
83 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| INDUSTRIALS – continued | ||||||||||
| Airlines – continued | ||||||||||
| Continental Airlines, Inc. pass thru trust certificates: | ||||||||||
| 6.32% 11/1/08 | $ 635,000 | $ 631,636 | ||||||||
| 7.056% 3/15/11 | 2,000,000 | 2,020,933 | ||||||||
| Delta Air Lines, Inc. pass thru trust certificates 7.57% | ||||||||||
| 11/18/10 | 11,200,000 | 10,814,583 | ||||||||
| 28,247,538 | ||||||||||
| Industrial Conglomerates – 0.1% | ||||||||||
| Hutchison Whampoa International 03/33 Ltd. 7.45% | ||||||||||
| 11/24/33 (a) | 3,400,000 | 3,927,340 | ||||||||
| TOTAL INDUSTRIALS | 40,024,878 | |||||||||
| INFORMATION TECHNOLOGY – 0.3% | ||||||||||
| Computers & Peripherals – 0.0% | ||||||||||
| NCR Corp. 7.125% 6/15/09 | 1,660,000 | 1,759,929 | ||||||||
| Semiconductors & Semiconductor Equipment – 0.3% | ||||||||||
| Chartered Semiconductor Manufacturing Ltd.: | ||||||||||
| 5.75% 8/3/10 | 4,470,000 | 4,418,917 | ||||||||
| 6.375% 8/3/15 | 4,405,000 | 4,303,231 | ||||||||
| 8,722,148 | ||||||||||
| TOTAL INFORMATION TECHNOLOGY | 10,482,077 | |||||||||
| MATERIALS 0.4% | ||||||||||
| Metals & Mining – 0.1% | ||||||||||
| Corporacion Nacional del Cobre (Codelco) 6.375% | ||||||||||
| 11/30/12 (a) | 2,620,000 | 2,829,621 | ||||||||
| Paper & Forest Products 0.3% | ||||||||||
| Boise Cascade Corp. 7.68% 3/29/06 | 9,125,000 | 9,307,500 | ||||||||
| International Paper Co. 4.25% 1/15/09 | 1,075,000 | 1,051,562 | ||||||||
| 10,359,062 | ||||||||||
| TOTAL MATERIALS | 13,188,683 | |||||||||
| TELECOMMUNICATION SERVICES – 1.7% | ||||||||||
| Diversified Telecommunication Services – 1.5% | ||||||||||
| KT Corp. 5.875% 6/24/14 (a) | 3,275,000 | 3,437,935 | ||||||||
| Sprint Capital Corp. 8.375% 3/15/12 | 2,350,000 | 2,765,569 | ||||||||
| Telecom Italia Capital: | ||||||||||
| 4% 1/15/10 (a) | 10,065,000 | 9,664,564 | ||||||||
Annual Report 84
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| TELECOMMUNICATION SERVICES – continued | ||||||||
| Diversified Telecommunication Services – continued | ||||||||
| Telecom Italia Capital: – continued | ||||||||
| 4.875% 10/1/10 | $ 3,235,000 | $ 3,204,112 | ||||||
| 5.25% 11/15/13 | 2,500,000 | 2,482,275 | ||||||
| Verizon Global Funding Corp.: | ||||||||
| 5.85% 9/15/35 | 14,490,000 | 14,250,147 | ||||||
| 7.25% 12/1/10 | 7,758,000 | 8,573,855 | ||||||
| Verizon New York, Inc. 6.875% 4/1/12 | 5,229,000 | 5,593,974 | ||||||
| 49,972,431 | ||||||||
| Wireless Telecommunication Services – 0.2% | ||||||||
| America Movil SA de CV 6.375% 3/1/35 | 4,960,000 | 4,809,320 | ||||||
| TOTAL TELECOMMUNICATION SERVICES | 54,781,751 | |||||||
| UTILITIES – 2.7% | ||||||||
| Electric Utilities – 2.1% | ||||||||
| Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 5,880,000 | 6,023,484 | ||||||
| Exelon Corp. 4.9% 6/15/15 | 11,900,000 | 11,267,003 | ||||||
| Exelon Generation Co. LLC 5.35% 1/15/14 | 10,500,000 | 10,514,385 | ||||||
| FirstEnergy Corp. 6.45% 11/15/11 | 1,185,000 | 1,261,747 | ||||||
| Monongahela Power Co. 5% 10/1/06 | 3,890,000 | 3,897,959 | ||||||
| Oncor Electric Delivery Co. 6.375% 5/1/12 | 6,200,000 | 6,644,311 | ||||||
| Progress Energy, Inc.: | ||||||||
| 7.1% 3/1/11 | 7,470,000 | 8,120,630 | ||||||
| 7.75% 3/1/31 | 12,910,000 | 15,567,627 | ||||||
| TXU Energy Co. LLC 7% 3/15/13 | 3,930,000 | 4,266,506 | ||||||
| 67,563,652 | ||||||||
| Independent Power Producers & Energy Traders – 0.2% | ||||||||
| Duke Capital LLC 5.668% 8/15/14 | 2,300,000 | 2,335,717 | ||||||
| Duke Energy Corp. 5.625% 11/30/12 | 3,565,000 | 3,680,477 | ||||||
| 6,016,194 | ||||||||
| Multi-Utilities – 0.4% | ||||||||
| Dominion Resources, Inc.: | ||||||||
| 4.75% 12/15/10 | 4,685,000 | 4,632,936 | ||||||
85 Annual Report
| Investments (Unaudited) continued | ||||
| Nonconvertible Bonds continued | ||||
| Principal | Value | |||
| Amount | ||||
| UTILITIES – continued | ||||
| Multi-Utilities – continued | ||||
| Dominion Resources, Inc.: – continued | ||||
| 5.95% 6/15/35 | $ 6,270,000 | $ 6,125,082 | ||
| MidAmerican Energy Holdings, Inc. 4.625% 10/1/07 | 3,235,000 | 3,225,272 | ||
| 13,983,290 | ||||
| TOTAL UTILITIES | 87,563,136 | |||
| TOTAL NONCONVERTIBLE BONDS | ||||
| (Cost $727,982,026) | 718,887,022 | |||
| U.S. Government and Government Agency Obligations 14.6% | ||||
| U.S. Government Agency Obligations 5.2% | ||||
| Fannie Mae 6.25% 2/1/11 | 53,700,000 | 57,386,774 | ||
| Financing Corp. – coupon STRIPS 0% 11/30/05 | 1,666,000 | 1,655,967 | ||
| Freddie Mac: | ||||
| 5.25% 11/5/12 | 51,240,000 | 50,906,223 | ||
| 5.875% 3/21/11 | 45,055,000 | 47,462,919 | ||
| Government Loan Trusts (assets of Trust guaranteed by | ||||
| U.S. Government through Agency for International | ||||
| Development) Series 1-B, 8.5% 4/1/06 | 771,609 | 789,572 | ||
| U.S. Department of Housing and Urban Development | ||||
| Government guaranteed participation certificates | ||||
| Series 1996 A: | ||||
| 7.57% 8/1/13 | 10,040,000 | 10,140,189 | ||
| 7.63% 8/1/14 | 995,000 | 1,000,689 | ||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 169,342,333 | |||
| U.S. Treasury Inflation Protected Obligations 6.8% | ||||
| U.S. Treasury Inflation-Indexed Bonds: | ||||
| 2.375% 1/15/25 | 65,296,980 | 69,857,582 | ||
| 3.375% 4/15/32 | 46,558,764 | 61,555,761 | ||
| U.S. Treasury Inflation-Indexed Notes: | ||||
| 0.875% 4/15/10 | 20,625,400 | 20,098,483 | ||
| 1.875% 7/15/13 | 17,019,680 | 17,248,390 | ||
| 2% 1/15/14 | 50,223,650 | 51,269,306 | ||
| TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 220,029,522 | |||
| Annual Report |
| 86 |
| U.S. Government and Government Agency Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| U.S. Treasury Obligations – 2.6% | ||||||
| U.S. Treasury Notes 4.75% 5/15/14 | $81,165,000 | $ 83,618,943 | ||||
| TOTAL U.S. GOVERNMENT AND GOVERNMENT | ||||||
| AGENCY OBLIGATIONS | ||||||
| (Cost $470,962,584) | 472,990,798 | |||||
| U.S. Government Agency Mortgage Securities 27.3% | ||||||
| Fannie Mae – 24.4% | ||||||
| 3.468% 4/1/34 (f) | 1,191,712 | 1,191,722 | ||||
| 3.736% 1/1/35 (f) | 829,219 | 819,944 | ||||
| 3.752% 10/1/33 (f) | 496,835 | 489,437 | ||||
| 3.789% 12/1/34 (f) | 155,642 | 154,061 | ||||
| 3.796% 6/1/34 (f) | 2,287,152 | 2,231,032 | ||||
| 3.82% 1/1/35 (f) | 523,985 | 519,069 | ||||
| 3.826% 6/1/33 (f) | 413,632 | 409,808 | ||||
| 3.838% 1/1/35 (f) | 1,508,643 | 1,502,110 | ||||
| 3.913% 12/1/34 (f) | 492,275 | 490,780 | ||||
| 3.92% 10/1/34 (f) | 669,856 | 665,725 | ||||
| 3.965% 5/1/33 (f) | 166,694 | 165,412 | ||||
| 3.97% 5/1/34 (f) | 186,504 | 189,049 | ||||
| 3.971% 1/1/35 (f) | 690,250 | 684,384 | ||||
| 3.979% 12/1/34 (f) | 634,349 | 630,707 | ||||
| 3.992% 1/1/35 (f) | 415,005 | 411,719 | ||||
| 4% 6/1/18 to 9/1/19 | 45,129,600 | 43,481,639 | ||||
| 4.006% 12/1/34 (f) | 511,323 | 508,517 | ||||
| 4.008% 12/1/34 (f) | 3,471,423 | 3,463,219 | ||||
| 4.017% 2/1/35 (f) | 491,884 | 486,590 | ||||
| 4.02% 12/1/34 (f) | 354,820 | 353,048 | ||||
| 4.026% 2/1/35 (f) | 462,493 | 457,305 | ||||
| 4.03% 1/1/35 (f) | 243,178 | 241,576 | ||||
| 4.057% 10/1/18 (f) | 504,106 | 498,312 | ||||
| 4.059% 1/1/35 (f) | 455,273 | 449,811 | ||||
| 4.064% 4/1/33 (f) | 182,793 | 181,681 | ||||
| 4.07% 12/1/34 (f) | 972,800 | 967,088 | ||||
| 4.096% 1/1/35 (f) | 1,001,896 | 994,450 | ||||
| 4.097% 2/1/35 (f) | 323,840 | 320,932 | ||||
| 4.107% 2/1/35 (f) | 341,924 | 339,728 | ||||
| 4.108% 2/1/35 (f) | 1,797,088 | 1,783,159 | ||||
| 4.111% 1/1/35 (f) | 990,050 | 980,405 | ||||
| 4.119% 2/1/35 (f) | 853,692 | 845,950 | ||||
| 4.125% 1/1/35 (f) | 996,442 | 999,502 | ||||
87 Annual Report
| Investments (Unaudited) continued | ||||||
| U.S. Government Agency Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Fannie Mae continued | ||||||
| 4.129% 1/1/35 (f) | $ 1,701,664 | $ 1,686,498 | ||||
| 4.138% 2/1/35 (f) | 1,108,163 | 1,104,947 | ||||
| 4.139% 11/1/34 (f) | 848,223 | 841,960 | ||||
| 4.149% 2/1/35 (f) | 897,081 | 890,930 | ||||
| 4.175% 1/1/35 (f) | 1,852,372 | 1,838,675 | ||||
| 4.179% 1/1/35 (f) | 815,773 | 809,589 | ||||
| 4.182% 11/1/34 (f) | 249,182 | 247,377 | ||||
| 4.191% 1/1/35 (f) | 1,064,368 | 1,048,739 | ||||
| 4.217% 3/1/34 (f) | 459,933 | 457,323 | ||||
| 4.25% 2/1/35 (f) | 533,481 | 525,430 | ||||
| 4.295% 1/1/35 (f) | 633,879 | 633,867 | ||||
| 4.296% 8/1/33 (f) | 1,100,035 | 1,096,310 | ||||
| 4.296% 3/1/35 (f) | 519,845 | 517,236 | ||||
| 4.31% 2/1/35 (f) | 327,443 | 324,809 | ||||
| 4.315% 3/1/33 (f) | 274,446 | 270,381 | ||||
| 4.315% 5/1/35 (f) | 765,641 | 760,418 | ||||
| 4.319% 1/1/35 (f) | 531,294 | 527,901 | ||||
| 4.333% 12/1/34 (f) | 361,422 | 361,658 | ||||
| 4.353% 1/1/35 (f) | 521,564 | 514,524 | ||||
| 4.366% 4/1/35 (f) | 334,542 | 332,549 | ||||
| 4.367% 2/1/34 (f) | 1,280,731 | 1,274,128 | ||||
| 4.401% 2/1/35 (f) | 832,754 | 822,371 | ||||
| 4.412% 5/1/35 (f) | 1,550,778 | 1,546,935 | ||||
| 4.449% 3/1/35 (f) | 745,703 | 737,900 | ||||
| 4.454% 4/1/34 (f) | 859,904 | 855,774 | ||||
| 4.457% 10/1/34 (f) | 2,968,830 | 2,979,639 | ||||
| 4.483% 1/1/35 (f) | 854,289 | 856,232 | ||||
| 4.489% 8/1/34 (f) | 1,707,783 | 1,701,181 | ||||
| 4.496% 3/1/35 (f) | 1,673,155 | 1,655,635 | ||||
| 4.499% 5/1/35 (f) | 552,299 | 550,437 | ||||
| 4.5% 5/1/18 to 5/1/35 | 99,189,934 | 96,367,325 | ||||
| 4.5% 10/1/20 (b) | 65,000,000 | 63,139,063 | ||||
| 4.526% 3/1/35 (f) | 1,500,418 | 1,486,203 | ||||
| 4.532% 8/1/34 (f) | 1,047,888 | 1,048,583 | ||||
| 4.554% 7/1/35 (f) | 1,893,899 | 1,892,346 | ||||
| 4.555% 2/1/35 (f) | 3,590,561 | 3,590,771 | ||||
| 4.558% 2/1/35 (f) | 566,643 | 565,320 | ||||
| 4.585% 2/1/35 (f) | 4,926,336 | 4,884,946 | ||||
| 4.603% 2/1/35 (f) | 406,054 | 407,976 | ||||
| 4.605% 2/1/35 (f) | 1,634,353 | 1,622,741 | ||||
| 4.648% 11/1/34 (f) | 1,860,376 | 1,852,691 | ||||
Annual Report 88
| U.S. Government Agency Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Fannie Mae continued | ||||||
| 4.679% 11/1/34 (f) | $ 1,853,703 | $ 1,841,852 | ||||
| 4.708% 3/1/35 (f) | 4,705,404 | 4,717,782 | ||||
| 4.736% 7/1/34 (f) | 1,601,266 | 1,595,144 | ||||
| 4.737% 3/1/35 (f) | 886,856 | 883,242 | ||||
| 4.818% 12/1/32 (f) | 777,636 | 781,455 | ||||
| 4.823% 12/1/34 (f) | 1,483,640 | 1,483,087 | ||||
| 4.847% 12/1/34 (f) | 590,689 | 590,383 | ||||
| 5% 2/1/18 to 6/1/34 | 63,355,675 | 63,135,122 | ||||
| 5% 10/1/35 (b) | 130,443,747 | 127,631,054 | ||||
| 5.117% 5/1/35 (f) | 3,655,191 | 3,684,346 | ||||
| 5.204% 6/1/35 (f) | 2,646,531 | 2,672,667 | ||||
| 5.297% 9/1/35 (f) | 1,023,555 | 1,028,673 | ||||
| 5.5% 2/1/11 to 9/1/35 (c) | 86,950,374 | 87,566,038 | ||||
| 5.5% 10/1/35 (b) | 71,458,541 | 71,391,549 | ||||
| 6% 6/1/13 to 1/1/34 | 37,792,611 | 38,546,484 | ||||
| 6.5% 2/1/12 to 5/1/34 | 58,218,786 | 60,058,385 | ||||
| 6.5% 10/1/35 (b) | 18,289,984 | 18,827,252 | ||||
| 7% 11/1/05 to 2/1/33 | 17,501,563 | 18,345,737 | ||||
| 7% 10/1/20 (b) | 3,757,832 | 3,926,934 | ||||
| 7.5% 10/1/09 to 11/1/31 | 7,159,256 | 7,583,726 | ||||
| 8% 6/1/10 to 6/1/29 | 8,623 | 8,951 | ||||
| 11.5% 11/1/15 | 43,151 | 47,963 | ||||
| TOTAL FANNIE MAE | 788,885,015 | |||||
| Freddie Mac – 1.5% | ||||||
| 4.081% 12/1/34 (f) | 564,206 | 558,314 | ||||
| 4.109% 12/1/34 (f) | 820,961 | 817,169 | ||||
| 4.192% 1/1/35 (f) | 841,711 | 838,873 | ||||
| 4.294% 3/1/35 (f) | 763,198 | 759,241 | ||||
| 4.3% 5/1/35 (f) | 1,301,220 | 1,296,656 | ||||
| 4.308% 12/1/34 (f) | 769,368 | 758,845 | ||||
| 4.331% 1/1/35 (f) | 1,913,182 | 1,897,099 | ||||
| 4.368% 3/1/35 (f) | 1,112,177 | 1,093,757 | ||||
| 4.39% 2/1/35 (f) | 1,462,096 | 1,460,725 | ||||
| 4.446% 3/1/35 (f) | 725,284 | 715,084 | ||||
| 4.449% 2/1/34 (f) | 851,090 | 849,999 | ||||
| 4.479% 6/1/35 (f) | 1,114,542 | 1,109,750 | ||||
| 4.489% 3/1/35 (f) | 2,064,207 | 2,051,397 | ||||
| 4.495% 3/1/35 (f) | 5,030,365 | 4,983,795 | ||||
| 4.496% 3/1/35 (f) | 829,042 | 818,646 | ||||
| 4.563% 2/1/35 (f) | 1,181,099 | 1,170,988 | ||||
89 Annual Report
| Investments (Unaudited) continued | ||||||
| U.S. Government Agency Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Freddie Mac continued | ||||||
| 5% 11/1/33 | $ 667,258 | $ 654,597 | ||||
| 5.028% 4/1/35 (f) | 4,333,559 | 4,344,306 | ||||
| 5.237% 8/1/33 (f) | 345,293 | 350,411 | ||||
| 5.5% 12/1/24 to 4/1/25 | 9,761,858 | 9,825,354 | ||||
| 6% 10/1/23 to 5/1/33 | 8,786,277 | 8,959,103 | ||||
| 7.5% 11/1/16 to 6/1/32 | 3,521,779 | 3,740,944 | ||||
| 8% 7/1/25 to 10/1/27 | 82,665 | 88,367 | ||||
| 8.5% 2/1/19 to 8/1/22 | 16,478 | 17,905 | ||||
| 12% 11/1/19 | 18,628 | 20,489 | ||||
| TOTAL FREDDIE MAC | 49,181,814 | |||||
| Government National Mortgage Association 1.4% | ||||||
| 6% 6/15/08 to 9/15/10 | 2,852,154 | 2,926,630 | ||||
| 6.5% 12/15/07 to 12/15/32 | 19,313,881 | 20,089,188 | ||||
| 7% 6/15/24 to 12/15/33 | 15,604,600 | 16,417,121 | ||||
| 7.5% 3/15/22 to 8/15/28 | 4,032,674 | 4,298,857 | ||||
| 8% 4/15/24 to 12/15/25 | 214,152 | 229,572 | ||||
| 8.5% 8/15/29 to 11/15/31 | 650,779 | 707,286 | ||||
| TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 44,668,654 | |||||
| TOTAL U.S. GOVERNMENT AGENCY MORTGAGE SECURITIES | ||||||
| (Cost $886,309,128) | 882,735,483 | |||||
| Asset Backed Securities 5.7% | ||||||
| Accredited Mortgage Loan Trust Series 2003 2 Class A1, | ||||||
| 4.23% 10/25/33 | 2,971,783 | 2,866,590 | ||||
| ACE Securities Corp. Series 2004-OP1: | ||||||
| Class M1, 4.35% 4/25/34 (f) | 2,390,000 | 2,392,369 | ||||
| Class M2, 4.88% 4/25/34 (f) | 3,375,000 | 3,425,027 | ||||
| Aircraft Lease Securitisation Ltd. Series 2005-1 Class C1, | ||||||
| 7.2% 9/9/30 (a)(f) | 915,000 | 934,444 | ||||
| AmeriCredit Automobile Receivables Trust: | ||||||
| Series 2003-AM Class A4B, 4.15% 11/6/09 (f) | 3,305,007 | 3,314,362 | ||||
| Series 2003-BX Class A4B, 3.9688% 1/6/10 (f) | 2,220,000 | 2,225,998 | ||||
| Ameriquest Mortgage Securities, Inc. Series 2003-3 | ||||||
| Class M1, 4.63% 3/25/33 (f) | 4,050,000 | 4,071,396 | ||||
| Amortizing Residential Collateral Trust Series 2002-BC7 | ||||||
| Class M1, 4.63% 10/25/32 (f) | 18,293,000 | 18,344,458 | ||||
| Annual Report |
| 90 |
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Argent Securities, Inc. Series 2003-W3 Class M2, 5.63% | ||||||||
| 9/25/33 (f) | $ 5,400,000 | $ 5,560,947 | ||||||
| Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||
| Series 2003-HE2: | ||||||||
| Class A2, 4.1481% 4/15/33 (f) | 388,472 | 388,521 | ||||||
| Class M1, 4.6681% 4/15/33 (f) | 4,770,000 | 4,790,866 | ||||||
| Series 2004-HE2 Class M1, 4.38% 4/25/34 (f) | 3,320,000 | 3,332,642 | ||||||
| Bayview Financial Asset Trust Series 2000-F Class A, | ||||||||
| 4.3375% 9/28/43 (f) | 7,204,473 | 7,220,605 | ||||||
| Capital Auto Receivables Asset Trust Series 2004-2 | ||||||||
| Class A2, 3.35% 2/15/08 | 4,890,000 | 4,821,479 | ||||||
| Capital One Auto Finance Trust Series 2003 A Class A4B, | ||||||||
| 4.0481% 1/15/10 (f) | 6,505,000 | 6,519,619 | ||||||
| Capital One Multi-Asset Execution Trust: | ||||||||
| Series 2003-B1 Class B1, 4.9381% 2/17/09 (f) | 7,735,000 | 7,770,349 | ||||||
| Series 2003-B2 Class B2, 3.5% 2/17/09 | 4,070,000 | 4,046,657 | ||||||
| CDC Mortgage Capital Trust Series 2003-HE2 Class M2, | ||||||||
| 5.5413% 10/25/33 (f) | 1,774,982 | 1,803,337 | ||||||
| Cendant Timeshare Receivables Funding LLC Series | ||||||||
| 2005-1A Class A1, 4.67% 5/20/17 (a) | 2,988,788 | 2,988,573 | ||||||
| Chase Credit Card Master Trust Series 2003-6 Class B, | ||||||||
| 4.1181% 2/15/11 (f) | 4,870,000 | 4,906,972 | ||||||
| Countrywide Home Loans, Inc. Series 2002-6 Class | ||||||||
| AV1, 4.26% 5/25/33 (f) | 1,772,297 | 1,776,577 | ||||||
| Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. | ||||||||
| Series 2003-1A Class C, 6.667% 6/28/38 (a) | 4,725,000 | 4,905,702 | ||||||
| Crown Castle Towers LLC/Crown Atlantic Holdings Sub | ||||||||
| LLC/Crown Communication, Inc. Series 2005-1: | ||||||||
| Class B, 4.878% 6/15/35 (a) | 2,706,000 | 2,655,473 | ||||||
| Class C, 5.074% 6/15/35 (a) | 2,457,000 | 2,416,263 | ||||||
| Fieldstone Mortgage Investment Corp. Series 2004-2 | ||||||||
| Class M2, 4.98% 7/25/34 (f) | 5,110,000 | 5,109,869 | ||||||
| First USA Secured Note Trust Series 2001-3 Class C, | ||||||||
| 4.8394% 11/19/08 (a)(f) | 6,360,000 | 6,404,718 | ||||||
| Fremont Home Loan Trust Series 2005-A: | ||||||||
| Class M1, 4.26% 1/25/35 (f) | 900,000 | 903,033 | ||||||
| Class M2, 4.29% 1/25/35 (f) | 1,300,000 | 1,300,870 | ||||||
| Class M3, 4.32% 1/25/35 (f) | 700,000 | 701,624 | ||||||
| HSBC Home Equity Loan Trust Series 2005-2: | ||||||||
| Class M1, 4.2563% 1/20/35 (f) | 1,445,821 | 1,445,968 | ||||||
| Class M2, 4.2863% 1/20/35 (f) | 1,084,366 | 1,084,466 |
91 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Home Equity Asset Trust: | ||||||||
| Series 2003-2: | ||||||||
| Class A2, 4.21% 8/25/33 (f) | $ 126,886 | $ 127,325 | ||||||
| Class M1, 4.71% 8/25/33 (f) | 1,780,000 | 1,801,336 | ||||||
| Series 2003-4: | ||||||||
| Class M1, 4.4413% 10/25/33 (f) | 215,000 | 216,432 | ||||||
| Class M2, 5.5413% 10/25/33 (f) | 255,000 | 257,971 | ||||||
| Household Private Label Credit Card Master Note Trust I | ||||||||
| Series 2002-3 Class B, 5.0181% 9/15/09 (f) | 4,865,000 | 4,869,645 | ||||||
| Long Beach Mortgage Loan Trust Series 2003-3: | ||||||||
| Class M1, 4.3913% 7/25/33 (f) | 5,250,000 | 5,283,694 | ||||||
| Class M2, 5.4913% 7/25/33 (f) | 2,685,000 | 2,730,992 | ||||||
| MBNA Credit Card Master Note Trust: | ||||||||
| Series 2001-B1 Class B1, 4.1431% 10/15/08 (f) | 3,400,000 | 3,403,676 | ||||||
| Series 2001-B2 Class B2, 4.1281% 1/15/09 (f) | 3,400,000 | 3,406,235 | ||||||
| Series 2002-B2 Class B2, 4.1481% 10/15/09 (f) | 3,400,000 | 3,413,688 | ||||||
| Morgan Stanley ABS Capital I, Inc.: | ||||||||
| Series 2002-HE3 Class M1, 4.93% 12/27/32 (f) | 1,010,000 | 1,024,400 | ||||||
| Series 2003-NC6 Class M2, 5.5913% 6/27/33 (f) | 8,680,000 | 8,922,689 | ||||||
| Series 2004-NC2 Class M1, 4.38% 12/25/33 (f) | 1,410,000 | 1,415,167 | ||||||
| Morgan Stanley Dean Witter Capital I Trust: | ||||||||
| Series 2001-AM1 Class M2, 5.23% 2/25/32 (f) | 379,017 | 379,450 | ||||||
| Series 2002-NC3 Class M1, 4.55% 8/25/32 (f) | 815,000 | 818,264 | ||||||
| National Collegiate Student Loan Trust: | ||||||||
| Series 2004-2 Class AIO, 9.75% 10/25/14 (h) | 5,150,000 | 2,554,503 | ||||||
| Series 2005-GT1 Class AIO, 6.75% 12/25/09 (h) | 2,300,000 | 575,920 | ||||||
| Onyx Acceptance Owner Trust Series 2005-A Class A3, | ||||||||
| 3.69% 5/15/09 | 2,265,000 | 2,238,283 | ||||||
| Ownit Mortgage Loan Asset-Backed Certificates | ||||||||
| Series 2005-3 Class A2A, 3.95% 6/25/36 (f) | 9,468,102 | 9,467,892 | ||||||
| Residential Asset Mortgage Products, Inc. | ||||||||
| Series 2003 RZ2 Class A1, 3.6% 4/25/33 | 1,625,194 | 1,589,432 | ||||||
| Salomon Brothers Mortgage Securities VII, Inc. | ||||||||
| Series 2003-UP1 Class A, 3.45% 4/25/32 (a) | 1,598,554 | 1,537,109 | ||||||
| Saxon Asset Securities Trust Series 2004-1 Class M1, | ||||||||
| 4.36% 3/25/35 (f) | 2,395,000 | 2,397,154 | ||||||
| Specialty Underwriting & Residential Finance | ||||||||
| Series 2003-BC4 Class M1, 4.43% 11/25/34 (f) | 985,000 | 990,085 | ||||||
| Annual Report |
| 92 |
| Asset Backed Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Structured Asset Securities Corp. Series 2004-GEL1 | ||||||
| Class A, 4.19% 2/25/34 (f) | $ 470,119 | $ 470,108 | ||||
| Superior Wholesale Inventory Financing Trust XII | ||||||
| Series 2005-A12 Class C, 4.9681% 6/15/10 (f) | 3,540,000 | 3,544,891 | ||||
| TOTAL ASSET BACKED SECURITIES | ||||||
| (Cost $183,129,808) | 183,866,115 | |||||
| Collateralized Mortgage Obligations 8.2% | ||||||
| Private Sponsor 3.8% | ||||||
| Adjustable Rate Mortgage Trust floater: | ||||||
| Series 2004-1 Class 9A2, 4.23% 1/25/34 (f) | 2,565,281 | 2,571,155 | ||||
| Series 2005-1 Class 5A2, 4.16% 5/25/35 (f) | 4,729,172 | 4,732,104 | ||||
| Bear Stearns Adjustable Rate Mortgage Trust Series | ||||||
| 2005-6 Class 1A1, 5.17% 8/25/35 (f) | 5,810,346 | 5,811,835 | ||||
| Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, | ||||||
| 4.11% 1/25/35 (f) | 8,031,118 | 8,036,137 | ||||
| Granite Master Issuer PLC floater Series 2005 2 Class M1, | ||||||
| 4.06% 12/20/54 (f) | 7,000,000 | 6,997,813 | ||||
| Master Alternative Loan Trust Series 2004-3 Class 3A1, | ||||||
| 6% 4/25/34 | 762,738 | 767,505 | ||||
| Merrill Lynch Mortgage Investors, Inc.: | ||||||
| floater: | ||||||
| Series 2003-A Class 2A1, 4.22% 3/25/28 (f) | 5,084,083 | 5,110,858 | ||||
| Series 2004-E Class A2B, 4.45% 11/25/29 (f) | 4,107,768 | 4,101,629 | ||||
| Series 2004-G Class A2, 3.95% 11/25/29 (f) | 2,689,719 | 2,689,004 | ||||
| Series 2005-B Class A2, 3.75% 6/25/30 (f) | 4,165,873 | 4,157,749 | ||||
| Series 2003-E Class XA1, 1% 10/25/28 (f)(h) | 21,732,888 | 252,345 | ||||
| Series 2003-G Class XA1, 1% 1/25/29 (h) | 19,232,472 | 238,654 | ||||
| Series 2003-H Class XA1, 1% 1/25/29 (a)(h) | 17,019,931 | 215,331 | ||||
| Opteum Mortgage Acceptance Corp. floater Series | ||||||
| 2005-3 Class APT, 4.12% 7/25/35 (f) | 7,445,758 | 7,450,120 | ||||
| Residential Asset Mortgage Products, Inc. sequential pay | ||||||
| Series 2003-SL1 Class A31, 7.125% 4/25/31 | 2,373,134 | 2,411,318 | ||||
| Residential Finance LP/Residential Finance Development | ||||||
| Corp. floater Series 2003-CB1: | ||||||
| Class B3, 5.1781% 6/10/35 (a)(f) | 1,710,999 | 1,740,942 | ||||
| Class B4, 5.3781% 6/10/35 (a)(f) | 1,528,364 | 1,557,021 | ||||
| Class B5, 5.9781% 6/10/35 (a)(f) | 1,038,134 | 1,060,195 | ||||
| Class B6, 6.4781% 6/10/35 (a)(f) | 624,803 | 638,080 | ||||
| Sequoia Mortgage Funding Trust Series 2003-A | ||||||
| Class AX1, 0.8% 10/21/08 (a)(h) | 68,379,915 | 481,415 | ||||
93 Annual Report
| Investments (Unaudited) continued | ||||
| Collateralized Mortgage Obligations continued | ||||
| Principal | Value | |||
| Amount | ||||
| Private Sponsor continued | ||||
| Sequoia Mortgage Trust floater: | ||||
| Series 2004-12 Class 1A2, 3.93% 1/20/35 (f) | $ 9,206,052 | $ 9,203,285 | ||
| Series 2004-4 Class A, 3.5881% 5/20/34 (f) | 5,261,295 | 5,254,767 | ||
| Structured Adjustable Rate Mortgage Loan Trust floater | ||||
| Series 2001-14 Class A1, 4.14% 7/25/35 (f) | 9,838,925 | 9,838,925 | ||
| Thornburg Mortgage Securities Trust floater Series 2005 3: | ||||
| Class A2, 4.078% 8/25/45 (f) | 3,600,000 | 3,600,000 | ||
| Class A4, 4.108% 8/25/45 (f) | 8,930,000 | 8,930,000 | ||
| Washington Mutual Mortgage Securities Corp. | ||||
| sequential pay Series 2003-MS9 Class 2A1, 7.5% | ||||
| 12/25/33 | 620,933 | 638,242 | ||
| Wells Fargo Mortgage Backed Securities Trust: | ||||
| Series 2005-AR10 Class 2A2, 4.1106% 6/25/35 (f) . | 7,411,688 | 7,293,789 | ||
| Series 2005-AR2 Class 2A2, 4.57% 3/25/35 | 13,979,198 | 13,787,857 | ||
| Series 2005-AR9 Class 2A1, 4.3621% 5/25/35 (f) | 4,631,156 | 4,581,315 | ||
| TOTAL PRIVATE SPONSOR | 124,149,390 | |||
| U.S. Government Agency 4.4% | ||||
| Fannie Mae planned amortization class: | ||||
| Series 1999-54 Class PH, 6.5% 11/18/29 | 10,275,000 | 10,709,719 | ||
| Series 1999-57 Class PH, 6.5% 12/25/29 | 8,478,000 | 8,798,227 | ||
| Fannie Mae guaranteed REMIC pass thru certificates | ||||
| planned amortization class: | ||||
| Series 2001-7 Class PQ, 6% 10/25/15 | 584,439 | 589,569 | ||
| Series 2002-64 Class PC, 5.5% 12/25/26 | 2,667,432 | 2,674,169 | ||
| Series 2003-81 Class MX, 3.5% 3/25/24 | 28,965,000 | 28,400,669 | ||
| Freddie Mac Multi-class participation certificates | ||||
| guaranteed: | ||||
| planned amortization class: | ||||
| Series 2498 Class PD, 5.5% 2/15/16 | 2,310,000 | 2,332,824 | ||
| Series 2543 CLass PM, 5.5% 8/15/18 | 4,654,518 | 4,688,245 | ||
| Series 2614 Class TD, 3.5% 5/15/16 | 5,000,000 | 4,785,795 | ||
| Series 2665 Class PB, 3.5% 6/15/23 | 1,035,000 | 1,015,752 | ||
| Series 2677 Class LD, 4.5% 3/15/17 | 1,305,000 | 1,278,304 | ||
| Series 2760 Class EB, 4.5% 9/15/16 | 5,833,000 | 5,753,083 | ||
| Series 2773: | ||||
| Class ED, 4.5% 8/15/17 | 16,863,000 | 16,539,741 | ||
| Class EG, 4.5% 4/15/19 | 13,500,000 | 13,001,184 | ||
| Series 2775 Class OC, 4.5% 12/15/15 | 20,429,000 | 20,155,879 | ||
| Series 2780 Class QE, 4.5% 4/15/19 | 2,400,000 | 2,323,843 | ||
Annual Report 94
| Collateralized Mortgage Obligations continued | ||||
| Principal | Value | |||
| Amount | ||||
| U.S. Government Agency continued | ||||
| Freddie Mac Multi-class participation certificates | ||||
| guaranteed: – continued | ||||
| planned amortization class: | ||||
| Series 2870 Class BE, 4.5% 4/15/18 | $ 10,000,000 | $ 9,713,923 | ||
| Series 2885 Class PC, 4.5% 3/15/18 | 5,430,000 | 5,342,181 | ||
| sequential pay Series 2750 Class ZT, 5% 2/15/34 | 3,960,876 | 3,586,541 | ||
| TOTAL U.S. GOVERNMENT AGENCY | 141,689,648 | |||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||
| (Cost $264,952,791) | 265,839,038 | |||
| Commercial Mortgage Securities 8.3% | ||||
| Asset Securitization Corp.: | ||||
| sequential pay Series 1995-MD4 Class A1, 7.1% | ||||
| 8/13/29 | 369,099 | 377,659 | ||
| Series 1997-D5 Class PS1, 1.6354% 2/14/43 (f)(h) . | 60,343,152 | 2,944,269 | ||
| Banc of America Commercial Mortgage, Inc. Series | ||||
| 2005-3 Series A3B, 5.09% 7/10/43 (f) | 10,415,000 | 10,434,907 | ||
| Banc of America Large Loan, Inc. floater Series | ||||
| 2003 BBA2: | ||||
| Class A3, 4.0881% 11/15/15 (a)(f) | 2,715,000 | 2,717,399 | ||
| Class C, 4.2381% 11/15/15 (a)(f) | 555,000 | 556,818 | ||
| Class D, 4.3181% 11/15/15 (a)(f) | 870,000 | 874,614 | ||
| Class F, 4.6681% 11/15/15 (a)(f) | 620,000 | 624,034 | ||
| Class H, 5.1681% 11/15/15 (a)(f) | 555,000 | 558,064 | ||
| Class J, 5.7181% 11/15/15 (a)(f) | 580,000 | 586,956 | ||
| Class K, 6.3681% 11/15/15 (a)(f) | 520,000 | 519,129 | ||
| Bayview Commercial Asset Trust floater: | ||||
| Series 2003-1 Class A, 4.2213% 8/25/33 (a)(f) | 4,093,287 | 4,141,915 | ||
| Series 2004-2 Class A, 4.26% 8/25/34 (a)(f) | 3,857,311 | 3,865,758 | ||
| Series 2004-3: | ||||
| Class A2, 4.25% 1/25/35 (a)(f) | 609,965 | 612,114 | ||
| Class M1, 4.33% 1/25/35 (a)(f) | 674,715 | 675,628 | ||
| Class M2, 4.83% 1/25/35 (a)(f) | 422,284 | 424,795 | ||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||
| Series 2004 ESA: | ||||
| Class C, 4.937% 5/14/16 (a) | 2,395,000 | 2,404,098 | ||
| Class D, 4.986% 5/14/16 (a) | 875,000 | 879,746 | ||
| Class E, 5.064% 5/14/16 (a) | 2,705,000 | 2,726,672 | ||
| Class F, 5.182% 5/14/16 (a) | 650,000 | 654,782 | ||
95 Annual Report
| Investments (Unaudited) continued | ||||||||
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Chase Commercial Mortgage Securities Corp.: | ||||||||
| Series 1999-2: | ||||||||
| Class E, 7.734% 1/15/32 | $ 1,697,876 | $ 1,846,233 | ||||||
| Class F, 7.734% 1/15/32 | 920,000 | 989,832 | ||||||
| Series 2001-245 Class A2, 6.4842% 2/12/16 (a)(f) . | 2,080,000 | 2,218,579 | ||||||
| COMM floater Series 2002-FL7 Class D, 4.3381% | ||||||||
| 11/15/14 (a)(f) | 150,000 | 150,021 | ||||||
| Commercial Mortgage pass thru certificates floater | ||||||||
| Series 2004-CNL: | ||||||||
| Class D, 4.4081% 9/15/14 (a)(f) | 350,000 | 350,106 | ||||||
| Class E, 4.4681% 9/15/14 (a)(f) | 480,000 | 480,328 | ||||||
| Class F, 4.5681% 9/15/14 (a)(f) | 375,000 | 375,203 | ||||||
| Class G, 4.7481% 9/15/14 (a)(f) | 860,000 | 860,341 | ||||||
| Class H, 4.8481% 9/15/14 (a)(f) | 915,000 | 915,363 | ||||||
| Class J, 5.3681% 9/15/14 (a)(f) | 310,000 | 310,856 | ||||||
| Class K, 5.7681% 9/15/14 (a)(f) | 495,000 | 495,896 | ||||||
| Class L, 5.9681% 9/15/14 (a)(f) | 400,000 | 399,855 | ||||||
| CS First Boston Mortgage Securities Corp.: | ||||||||
| sequential pay: | ||||||||
| Series 1998-C1 Class A1B, 6.48% 5/17/40 | 631,860 | 656,167 | ||||||
| Series 2003-C4 Class A3, 4.7% 8/15/36 (f) | 320,000 | 317,015 | ||||||
| Series 1997-C2 Class D, 7.27% 1/17/35 | 14,470,000 | 15,428,966 | ||||||
| Series 1998-C1 Class D, 7.17% 5/17/40 | 2,205,000 | 2,416,067 | ||||||
| Series 2003-C3 Class ASP, 1.997% 5/15/38 (a)(f)(h) | 62,949,009 | 3,741,954 | ||||||
| Series 2004-C1 Class ASP, 1.107% 1/15/37 (a)(f)(h) | 41,505,216 | 1,441,663 | ||||||
| Deutsche Mortgage & Asset Receiving Corp. sequential | ||||||||
| pay Series 1998-C1 Class D, 7.231% 6/15/31 | 13,185,000 | 13,947,460 | ||||||
| DLJ Commercial Mortgage Corp. sequential pay | ||||||||
| Series 1999-CG2 Class A1A, 6.88% 6/10/32 | 5,657,360 | 5,772,766 | ||||||
| Equitable Life Assurance Society of the United States | ||||||||
| Series 174: | ||||||||
| Class B1, 7.33% 5/15/06 (a) | 11,400,000 | 11,575,505 | ||||||
| Class C1, 7.52% 5/15/06 (a) | 8,700,000 | 8,838,808 | ||||||
| Class D1, 7.77% 5/15/06 (a) | 6,800,000 | 6,892,572 | ||||||
| First Union National Bank Chase Manhattan Bank | ||||||||
| Commercial Mortgage Trust Series 1999-C2 Class C, | ||||||||
| 6.944% 6/15/31 | 6,700,000 | 7,133,318 | ||||||
| Ginnie Mae guaranteed Multi-family pass thru securities | ||||||||
| sequential pay: | ||||||||
| Series 2002-26 Class C, 5.9905% 2/16/24 (f) | 5,850,000 | 6,047,184 | ||||||
| Series 2002-35 Class C, 5.8917% 10/16/23 (f) | 795,000 | 819,802 | ||||||
| Series 2003-87 Class C, 5.244% 8/16/32 (f) | 5,000,000 | 5,068,683 | ||||||
| Annual Report |
| 96 |
| Commercial Mortgage Securities continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Ginnie Mae guaranteed REMIC pass thru securities: | ||||||||||
| sequential pay Series 2003-47 Class C, 4.227% | ||||||||||
| 10/16/27 | $ 6,663,271 | $ 6,530,384 | ||||||||
| Series 2003-47 Class XA, 0.0411% 6/16/43 (f)(h) | 17,252,096 | 863,871 | ||||||||
| GMAC Commercial Mortgage Securities, Inc.: | ||||||||||
| sequential pay Series 1997-C2 Class A3, 6.566% | ||||||||||
| 4/15/29 | 3,068,151 | 3,165,165 | ||||||||
| Series 2004-C3 Class X2, 0.9005% 12/10/41 (f)(h) | . | 6,825,000 | 194,367 | |||||||
| Greenwich Capital Commercial Funding Corp.: | ||||||||||
| Series 2002-C1 Class SWDB, 5.857% 11/11/19 (a) | . | 6,715,000 | 6,631,063 | |||||||
| Series 2003-C1 Class XP, 2.2976% 7/5/35 (a)(f)(h) | 31,867,475 | 2,190,341 | ||||||||
| GS Mortgage Securities Corp. II: | ||||||||||
| sequential pay: | ||||||||||
| Series 1998-GLII Class A2, 6.562% 4/13/31 | 6,070,000 | 6,313,789 | ||||||||
| Series 2001-LIBA Class A2, 6.615% 2/14/16 (a) | 5,835,000 | 6,325,619 | ||||||||
| Series 1998-GLII Class E, 7.1906% 4/13/31 (f) | 4,103,000 | 4,302,355 | ||||||||
| Hilton Hotel Pool Trust Series 2000-HLTA Class D, | ||||||||||
| 7.555% 10/3/15 (a) | 3,200,000 | 3,468,735 | ||||||||
| J.P. Morgan Commercial Mortgage Finance Corp. | ||||||||||
| sequential pay: | ||||||||||
| Series 1998-C6 Class A3, 6.613% 1/15/30 | 8,802,458 | 9,070,377 | ||||||||
| Series 1999-C7 Class A2, 6.507% 10/15/35 | 5,555,000 | 5,790,850 | ||||||||
| LB Commercial Conduit Mortgage Trust: | ||||||||||
| Series 1998-C1 Class B, 6.59% 2/18/30 | 800,000 | 829,980 | ||||||||
| Series 1999-C1 Class B, 6.93% 6/15/31 | 3,854,000 | 4,124,123 | ||||||||
| LB-UBS Commercial Mortgage Trust sequential pay: | ||||||||||
| Series 2001-C3 Class A1, 6.058% 6/15/20 | 13,982,617 | 14,363,074 | ||||||||
| Series 2003-C5 Class A2, 3.478% 7/15/27 | 1,000,000 | 968,245 | ||||||||
| Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A | ||||||||||
| Class C, 4.13% 11/20/37 (a) | 5,900,000 | 5,363,454 | ||||||||
| Morgan Stanley Capital I, Inc.: | ||||||||||
| sequential pay Series 1999-WF1 Class A2, 6.21% | ||||||||||
| 11/15/31 | 1,550,000 | 1,605,665 | ||||||||
| Series 1999-RM1 Class E, 7.2103% 12/15/31 (f) | 824,000 | 877,161 | ||||||||
| Morgan Stanley Dean Witter Capital I Trust Series | ||||||||||
| 2003-HQ2 Class X2, 1.5864% 3/12/35 (a)(f)(h) | 35,142,760 | 1,967,253 | ||||||||
| Salomon Brothers Mortgage Securities VII, Inc. sequential | ||||||||||
| pay Series 2000 C3 Class A2, 6.592% 12/18/33 | 5,060,000 | 5,400,472 | ||||||||
| Thirteen Affiliates of General Growth Properties, Inc.: | ||||||||||
| sequential pay Series 1 Class A2, 6.602% 11/15/07 (a) | 12,680,000 | 13,149,188 | ||||||||
| Series 1: | ||||||||||
| Class D2, 6.992% 11/15/07 (a) | 13,890,000 | 14,426,139 | ||||||||
| Class E2, 7.224% 11/15/07 (a) | 8,260,000 | 8,628,754 | ||||||||
97 Annual Report
| Investments (Unaudited) continued | ||||
| Commercial Mortgage Securities continued | ||||
| Principal | Value | |||
| Amount | ||||
| Trizechahn Office Properties Trust Series 2001-TZHA: | ||||
| Class C4, 6.893% 5/15/16 (a) | $ 1,000,000 | $ 1,085,816 | ||
| Class E3, 7.253% 3/15/13 (a) | 5,725,000 | 5,902,904 | ||
| TOTAL COMMERCIAL MORTGAGE SECURITIES | ||||
| (Cost $269,612,714) | 269,609,044 | |||
| Municipal Securities 1.1% | ||||
| Atlanta Wtr. & Wastewtr. Rev. 5% 11/1/43 | ||||
| (FSA Insured) | 6,600,000 | 6,843,342 | ||
| Chicago Board of Ed. Series A: | ||||
| 5.5% 12/1/25 (AMBAC Insured) | 600,000 | 699,936 | ||
| 5.5% 12/1/26 (AMBAC Insured) | 3,590,000 | 4,189,817 | ||
| East Bay Muni. Util. District Wtr. Sys. Rev. Series 2005 A, | ||||
| 5% 6/1/35 (MBIA Insured) | 4,300,000 | 4,514,742 | ||
| Massachusetts Spl. Oblig. Dedicated Tax Rev. 5.5% | ||||
| 1/1/29 (FGIC Insured) | 2,300,000 | 2,662,020 | ||
| Miami-Dade County Gen. Oblig. (Bldg. Better | ||||
| Communities Prog.) 5% 7/1/33 (FGIC Insured) | 4,500,000 | 4,715,325 | ||
| New Jersey Econ. Dev. Auth. Rev. Series N1, 5.5% | ||||
| 9/1/24 (AMBAC Insured) | 4,250,000 | 4,977,983 | ||
| Phoenix Civic Impt. Corp. Excise Tax Rev. (Civic Plaza | ||||
| Expansion Proj.) Series A, 5% 7/1/41 (FGIC Insured) | 4,400,000 | 4,596,372 | ||
| Univ. of Virginia Univ. Revs. 5% 6/1/37 | 1,300,000 | 1,367,015 | ||
| TOTAL MUNICIPAL SECURITIES | ||||
| (Cost $34,957,669) | 34,566,552 | |||
| Foreign Government and Government Agency Obligations 1.7% | ||||
| Israeli State 4.625% 6/15/13 | 5,305,000 | 5,119,325 | ||
| Korean Republic 4.875% 9/22/14 | 3,000,000 | 2,969,274 | ||
| Russian Federation 8.25% 3/31/10 (Reg. S) | 5,395,000 | 5,840,088 | ||
| United Mexican States: | ||||
| 5.875% 1/15/14 | 3,690,000 | 3,815,460 | ||
| 6.75% 9/27/34 | 15,845,000 | 16,874,925 | ||
| 7.5% 4/8/33 | 18,650,000 | 21,587,375 | ||
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT | ||||
| AGENCY OBLIGATIONS | ||||
| (Cost $51,413,630) | 56,206,447 | |||
Annual Report 98
| Fixed Income Funds 14.6% | ||||||
| Shares | Value | |||||
| Fidelity Ultra-Short Central Fund (g) | ||||||
| (Cost $472,024,582) | 4,743,231 | $ 471,904,052 | ||||
| Cash Equivalents 4.9% | ||||||
| Maturity | ||||||
| Amount | ||||||
| Investments in repurchase agreements (Collateralized by | ||||||
| U.S. Government Obligations, in a joint trading | ||||||
| account at 3.89%, dated 9/30/05 due 10/3/05) | ||||||
| (Cost $158,581,000) | $ 158,632,467 | 158,581,000 | ||||
| TOTAL INVESTMENT PORTFOLIO 108.6% | ||||||
| (Cost $3,519,925,932) | 3,515,185,551 | |||||
| NET OTHER ASSETS – (8.6)% | (277,573,642) | |||||
| NET ASSETS 100% | $ 3,237,611,909 | |||||
| Swap Agreements | ||||||
| Expiration | Notional | Value | ||||
| Date | Amount | |||||
| Credit Default Swap | ||||||
| Receive quarterly a fixed rate of .45% | ||||||
| multiplied by the notional amount and | ||||||
| pay to Lehman Brothers, Inc., upon each | ||||||
| default event of one of the issues of Dow | ||||||
| Jones CDX N.A. Investment Grade 5, par | ||||||
| value of the proportional notional | ||||||
| amount (e) | Dec. 2010 | $ 33,200,000 | $ (2,878) | |||
| Receive quarterly a fixed rate of .7% | ||||||
| multiplied by the notional amount and | ||||||
| pay to JPMorgan Chase, Inc., upon each | ||||||
| default event of one of the issues of Dow | ||||||
| Jones CDX N.A. Investment Grade 3, par | ||||||
| value of the proportional notional | ||||||
| amount (d) | March 2015 | 40,000,000 | (297,640) | |||
| Receive quarterly notional amount | ||||||
| multiplied by .31% and pay Goldman | ||||||
| Sachs upon default event of SBC | ||||||
| Communications, Inc., par value of the | ||||||
| notional amount of SBC | ||||||
| Communications, Inc. 5.875% 8/15/12 | Sept. 2010 | 7,500,000 | (5,022) | |||
99 Annual Report
| Investments (Unaudited) continued | ||||||||
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Receive quarterly notional amount | ||||||||
| multiplied by .35% and pay Goldman | ||||||||
| Sachs upon default event of Southern | ||||||||
| California Edison Co., par value of the | ||||||||
| notional amount of Southern California | ||||||||
| Edison Co. 7.625% 1/15/10 | Sept. 2010 | $ 3,700,000 | $ (117) | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .39% and pay JPMorgan | ||||||||
| Chase, Inc. upon default event of Fannie | ||||||||
| Mae, par value of the notional amount of | ||||||||
| Fannie Mae 4.625% 5/1/13 | June 2010 | 3,750,000 | 23,943 | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .405% and pay Deutsche | ||||||||
| Bank upon default event of Sempra | ||||||||
| Energy, par value of the notional amount | ||||||||
| of Sempra Energy 6% 2/1/13 | Sept. 2010 | 5,800,000 | (17,205) | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .41% and pay Deutsche | ||||||||
| Bank upon default event of Sempra | ||||||||
| Energy, par value of the notional amount | ||||||||
| of Sempra Energy 6% 2/1/13 | Sept. 2010 | 5,800,000 | (15,911) | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .43% and pay Lehman | ||||||||
| Brothers, Inc. upon default event of | ||||||||
| Fannie Mae, par value of the notional | ||||||||
| amount of Fannie Mae 6.25% 2/1/11 | June 2010 | 15,000,000 | 121,553 | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .48% and pay Goldman | ||||||||
| Sachs upon default event of TXU Energy | ||||||||
| Co. LLC, par value of the notional | ||||||||
| amount of TXU Energy Co. LLC 7% | ||||||||
| 3/15/13 | Sept. 2008 | 10,000,000 | (60,628) | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .48% and pay JPMorgan | ||||||||
| Chase, Inc. upon default event of Fannie | ||||||||
| Mae, par value of the notional amount of | ||||||||
| Fannie Mae 4.625% 5/1/13 | June 2010 | 5,000,000 | 51,259 | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .53% and pay Lehman | ||||||||
| Brothers, Inc. upon default event of Tyco | ||||||||
| International Group SA, par value of the | ||||||||
| notional amount of Tyco International | ||||||||
| Group SA yankee 6.375% 10/15/11 | June 2010 | 5,000,000 | 16,032 | |||||
| TOTAL CREDIT DEFAULT SWAP | $ 134,750,000 | $ (186,614) | ||||||
Annual Report 100
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Interest Rate Swap | ||||||||
| Receive quarterly a fixed rate equal to | ||||||||
| 3.38% and pay quarterly a floating rate | ||||||||
| based on 3-month LIBOR with Citibank | May 2006 | $ 250,000,000 | $ (1,556,925) | |||||
| Receive quarterly a fixed rate equal to | ||||||||
| 3.8915% and pay quarterly a floating | ||||||||
| rate based on 3-month LIBOR with UBS | Feb. 2008 | 40,000,000 | (605,076) | |||||
| TOTAL INTEREST RATE SWAP | $ 290,000,000 | $ (2,162,001) | ||||||
| Total Return Swap | ||||||||
| Receive monthly a return equal to Banc of | ||||||||
| America Securities LLC AAA 10 Yr | ||||||||
| Commercial Mortgage Backed Securities | ||||||||
| Daily Index and pay monthly a floating | ||||||||
| rate based on 1-month LIBOR minus 40 | ||||||||
| basis points with Bank of America | March 2006 | 12,600,000 | (306,797) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers ABS Floating Rate Index and | ||||||||
| pay monthly a floating rate based on the | ||||||||
| 1-month LIBOR minus 11.1 basis points | ||||||||
| with Lehman Brothers, Inc. | Nov. 2005 | 12,000,000 | 3,309 | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||
| monthly a floating rate based on | ||||||||
| 1-month LIBOR minus 20 basis points | ||||||||
| with Citibank | Oct. 2005 | 12,500,000 | (342,541) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||
| monthly a floating rate based on | ||||||||
| 1-month LIBOR minus 25 basis points | ||||||||
| with Citibank | Oct. 2006 | 20,000,000 | (154,536) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||
| monthly a floating rate based on | ||||||||
| 1-month LIBOR minus 25 basis points | ||||||||
| with Deutsche Bank | April 2006 | 12,500,000 | 0 | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||
| monthly a return based on 1-month | ||||||||
| LIBOR minus 50 basis points with | ||||||||
| Citibank | Jan. 2006 | 30,000,000 | (814,598) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS U.S. Aggregate Index | ||||||||
| and pay monthly a floating rate based | ||||||||
| on 1-month LIBOR minus 20 basis points | ||||||||
| with Lehman Brothers, Inc. | March 2006 | 70,000,000 | (1,141,200) | |||||
101 Annual Report
| Investments (Unaudited) continued | ||||||||
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers Commercial Mortgage Backed | ||||||||
| Securities AAA Daily Index and pay | ||||||||
| monthly a floating rate based on | ||||||||
| 1-month LIBOR minus 25 basis points | ||||||||
| with Bank of America | Dec. 2005 | $ 20,045,000 | $ (331,526) | |||||
| Receive quarterly a return equal to Banc of | ||||||||
| America Securities LLC AAA 10 Yr | ||||||||
| Commercial Mortgage Backed Securities | ||||||||
| Daily Index and pay quarterly a floating | ||||||||
| rate based on 3-month LIBOR minus 40 | ||||||||
| basis points with Bank of America | Nov. 2005 | 14,000,000 | (132,786) | |||||
| TOTAL TOTAL RETURN SWAP | $ 203,645,000 | $ (3,220,675) | ||||||
| $ 628,395,000 | $ (5,569,290) | |||||||
| Legend (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $278,782,350 or 8.6% of net assets. (b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. (c) A portion of the security is subject to a forward commitment to sell. (d) Dow Jones CDX N.A. Investment Grade 3 is a tradable index of credit default swaps on investment grade debt of U.S. companies. (e) Dow Jones CDX N.A. Investment Grade 5 is a tradable index of credit default swaps on investment grade debt of U.S. companies. (f) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
| (g) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited listing of the fixed income central fund’s holdings is provided at the end of this report. (h) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
Annual Report 102
Fidelity Ultra-Short Central Fund
Investments September 30, 2005 (Unaudited)
Showing Percentage of Net Assets
| Nonconvertible Bonds 4.8% | ||||||
| Principal | Value | |||||
| Amount | ||||||
| CONSUMER DISCRETIONARY – 1.1% | ||||||
| Auto Components 0.3% | ||||||
| DaimlerChrysler NA Holding Corp.: | ||||||
| 4.3138% 9/10/07 (d) | $16,665,000 | $ 16,704,263 | ||||
| 4.43% 5/24/06 (d) | 4,700,000 | 4,713,090 | ||||
| 21,417,353 | ||||||
| Media – 0.8% | ||||||
| Continental Cablevision, Inc. 8.3% 5/15/06 | 8,000,000 | 8,183,384 | ||||
| Cox Communications, Inc. (Reg. S) 4.4069% 12/14/07 (d) | . 12,140,000 | 12,222,965 | ||||
| Cox Radio, Inc. 6.625% 2/15/06 | 5,575,000 | 5,612,319 | ||||
| Liberty Media Corp. 5.37% 9/17/06 (d) | 16,694,000 | 16,816,200 | ||||
| Univision Communications, Inc. 2.875% 10/15/06 | 8,505,000 | 8,336,763 | ||||
| 51,171,631 | ||||||
| TOTAL CONSUMER DISCRETIONARY | 72,588,984 | |||||
| ENERGY 0.2% | ||||||
| Oil, Gas & Consumable Fuels – 0.2% | ||||||
| Valero Energy Corp. 7.375% 3/15/06 | 11,550,000 | 11,671,298 | ||||
| FINANCIALS – 1.5% | ||||||
| Capital Markets 0.2% | ||||||
| State Street Capital Trust II 4.29% 2/15/08 (d) | 10,000,000 | 10,007,360 | ||||
| Commercial Banks – 0.2% | ||||||
| Wells Fargo & Co. 3.8738% 3/10/08 (d) | 16,600,000 | 16,600,166 | ||||
| Consumer Finance – 0.5% | ||||||
| General Motors Acceptance Corp. 4.87% 10/20/05 (d) | 14,765,000 | 14,765,177 | ||||
| MBNA Europe Funding PLC 3.97% 9/7/07 (a)(d) | 19,925,000 | 19,915,914 | ||||
| 34,681,091 | ||||||
| Thrifts & Mortgage Finance – 0.6% | ||||||
| Countrywide Financial Corp. 3.71% 4/11/07 (d) | 11,025,000 | 11,037,105 | ||||
| Residential Capital Corp. 5.385% 6/29/07 (a)(d) | 14,150,000 | 14,267,063 | ||||
| Washington Mutual Bank 3.9363% 8/25/08 (d) | 16,325,000 | 16,330,126 | ||||
| 41,634,294 | ||||||
| TOTAL FINANCIALS | 102,922,911 | |||||
| TELECOMMUNICATION SERVICES – 1.1% | ||||||
| Diversified Telecommunication Services – 1.0% | ||||||
| British Telecommunications PLC 7.875% 12/15/05 | 18,145,000 | 18,268,277 | ||||
103 Annual Report
| Investments (Unaudited) continued | ||||||
| Nonconvertible Bonds continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| TELECOMMUNICATION SERVICES – continued | ||||||
| Diversified Telecommunication Services – continued | ||||||
| France Telecom SA 7.2% 3/1/06 | $ 5,600,000 | $ 5,664,966 | ||||
| GTE Corp. 6.36% 4/15/06 | 9,000,000 | 9,087,354 | ||||
| SBC Communications, Inc. 4.389% 6/5/06 (a) | 15,315,000 | 15,296,316 | ||||
| Sprint Capital Corp. 4.78% 8/17/06 | 6,000,000 | 6,009,276 | ||||
| Telefonos de Mexico SA de CV 4.5% 11/19/08 | 10,240,000 | 10,107,679 | ||||
| TELUS Corp. yankee 7.5% 6/1/07 | 6,500,000 | 6,787,638 | ||||
| 71,221,506 | ||||||
| Wireless Telecommunication Services – 0.1% | ||||||
| AT&T Wireless Services, Inc. 7.35% 3/1/06 | 5,500,000 | 5,563,866 | ||||
| TOTAL TELECOMMUNICATION SERVICES | 76,785,372 | |||||
| UTILITIES – 0.9% | ||||||
| Electric Utilities – 0.2% | ||||||
| Pinnacle West Energy Corp. 4.0044% 4/1/07 (a)(d) | 12,800,000 | 12,800,000 | ||||
| Gas Utilities 0.1% | ||||||
| NiSource Finance Corp. 7.625% 11/15/05 | 9,250,000 | 9,284,012 | ||||
| Multi-Utilities – 0.6% | ||||||
| Dominion Resources, Inc. 4.27% 9/28/07 (d) | 17,150,000 | 17,145,301 | ||||
| DTE Energy Co. 6.45% 6/1/06 | 13,190,000 | 13,350,324 | ||||
| Sempra Energy 4.75% 5/15/09 | 5,500,000 | 5,461,247 | ||||
| 35,956,872 | ||||||
| TOTAL UTILITIES | 58,040,884 | |||||
| TOTAL NONCONVERTIBLE BONDS | ||||||
| (Cost $322,361,771) | 322,009,449 | |||||
| U.S. Government Agency Obligations 0.0% | ||||||
| Federal Home Loan Bank 0% 12/28/05 (c) | ||||||
| (Cost $1,981,349) | 2,000,000 | 1,981,988 | ||||
| Asset Backed Securities 33.0% | ||||||
| Accredited Mortgage Loan Trust: | ||||||
| Series 2004-2 Class A2, 4.13% 7/25/34 (d) | 7,454,076 | 7,464,885 | ||||
| Series 2004-3 Class 2A4, 4.18% 10/25/34 (d) | 10,915,000 | 10,939,272 | ||||
| Series 2004-4 Class A2D, 4.18% 1/25/35 (d) | 3,210,800 | 3,218,701 | ||||
Annual Report 104
| Asset Backed Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Accredited Mortgage Loan Trust: – continued | ||||||
| Series 2005-1: | ||||||
| Class M1, 4.3% 4/25/35 (d) | $ 11,280,000 | $ 11,284,074 | ||||
| Class M2, 4.52% 4/25/35 (d) | 5,275,000 | 5,288,969 | ||||
| ACE Securities Corp.: | ||||||
| Series 2002-HE1 Class M1, 4.48% 6/25/32 (d) | 1,842,987 | 1,860,106 | ||||
| Series 2002-HE2 Class M1, 4.68% 8/25/32 (d) | 18,631,213 | 18,689,976 | ||||
| Series 2003-FM1 Class M2, 5.68% 11/25/32 (d) | 3,015,000 | 3,044,567 | ||||
| Series 2003-HS1: | ||||||
| Class M1, 4.58% 6/25/33 (d) | 800,000 | 803,891 | ||||
| Class M2, 5.58% 6/25/33 (d) | 856,000 | 870,466 | ||||
| Series 2003-NC1 Class M1, 4.61% 7/25/33 (d) | 1,600,000 | 1,608,662 | ||||
| Series 2004-HE1: | ||||||
| Class M1, 4.33% 2/25/34 (d) | 2,193,000 | 2,194,100 | ||||
| Class M2, 4.93% 2/25/34 (d) | 2,475,000 | 2,476,472 | ||||
| Series 2004-OP1: | ||||||
| Class M1, 4.35% 4/25/34 (d) | 4,420,000 | 4,424,381 | ||||
| Class M2, 4.88% 4/25/34 (d) | 6,240,000 | 6,332,494 | ||||
| Series 2005-HE2: | ||||||
| Class M1, 4.27% 4/25/35 (d) | 1,530,000 | 1,529,959 | ||||
| Class M2, 4.28% 4/25/35 (d) | 1,803,000 | 1,802,229 | ||||
| Class M3, 4.31% 4/25/35 (d) | 1,040,000 | 1,041,214 | ||||
| Class M4, 4.47% 4/25/35 (d) | 1,340,000 | 1,341,550 | ||||
| Series 2005-HE3: | ||||||
| Class A2A, 3.93% 5/25/35 (d) | 7,170,954 | 7,171,304 | ||||
| Class A2B, 4.04% 5/25/35 (d) | 4,370,000 | 4,367,703 | ||||
| Series 2005-SD1 Class A1, 4.23% 11/25/50 (d) | 2,337,292 | 2,340,041 | ||||
| Aesop Funding II LLC Series 2005-1A Class A2, 3.8563% | ||||||
| 4/20/09 (a)(d) | 8,800,000 | 8,800,906 | ||||
| American Express Credit Account Master Trust: | ||||||
| Series 2002-6 Class B, 4.2181% 3/15/10 (d) | 5,000,000 | 5,028,652 | ||||
| Series 2004-1 Class B, 4.0181% 9/15/11 (d) | 5,775,000 | 5,797,497 | ||||
| Series 2004-C Class C, 4.2681% 2/15/12 (a)(d) | 14,647,039 | 14,680,928 | ||||
| Series 2005-1 Class A, 3.7981% 10/15/12 (d) | 15,455,000 | 15,483,856 | ||||
| Series 2005-6 Class C, 4.0181% 3/15/11 (a)(d) | 9,085,000 | 9,087,816 | ||||
| AmeriCredit Automobile Receivables Trust: | ||||||
| Series 2002-EM Class A4A, 3.67% 6/8/09 | 25,000,000 | 24,882,623 | ||||
| Series 2003-AM Class A4B, 4.15% 11/6/09 (d) | 11,965,573 | 11,999,441 | ||||
| Series 2003-BX Class A4B, 3.9688% 1/6/10 (d) | 3,265,000 | 3,273,821 | ||||
| Series 2003-CF Class A3, 2.75% 10/9/07 | 8,861,691 | 8,837,682 | ||||
| Series 2005-1 Class C, 4.73% 7/6/10 | 15,500,000 | 15,420,941 | ||||
| Ameriquest Mortgage Securities, Inc.: | ||||||
| Series 2002-3 Class M1, 4.53% 8/25/32 (d) | 2,969,781 | 2,983,343 |
105 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Ameriquest Mortgage Securities, Inc.: – continued | ||||||||
| Series 2003-1: | ||||||||
| Class A2, 4.24% 2/25/33 (d) | $ 200,427 | $ 200,481 | ||||||
| Class M1, 4.73% 2/25/33 (d) | 6,150,000 | 6,188,493 | ||||||
| Series 2003-3 Class M1, 4.63% 3/25/33 (d) | 1,590,000 | 1,598,400 | ||||||
| Series 2003-6: | ||||||||
| Class M1, 4.59% 8/25/33 (d) | 7,560,000 | 7,610,158 | ||||||
| Class M2, 5.68% 5/25/33 (d) | 2,750,000 | 2,804,670 | ||||||
| Series 2003-AR1 Class M1, 4.98% 1/25/33 (d) | 7,000,000 | 7,068,037 | ||||||
| Series 2004-R2: | ||||||||
| Class M1, 4.26% 4/25/34 (d) | 1,230,000 | 1,229,969 | ||||||
| Class M2, 4.31% 4/25/34 (d) | 950,000 | 949,976 | ||||||
| Class M3, 4.38% 4/25/34 (d) | 3,500,000 | 3,499,912 | ||||||
| Class M4, 4.88% 4/25/34 (d) | 4,500,000 | 4,499,883 | ||||||
| Series 2004-R9 Class A3, 4.15% 10/25/34 (d) | 9,206,545 | 9,219,109 | ||||||
| Series 2005-R1: | ||||||||
| Class M1, 4.28% 3/25/35 (d) | 5,710,000 | 5,707,639 | ||||||
| Class M2, 4.31% 3/25/35 (d) | 1,925,000 | 1,924,232 | ||||||
| Series 2005-R2 Class M1, 4.28% 4/25/35 (d) | 12,500,000 | 12,499,668 | ||||||
| Amortizing Residential Collateral Trust: | ||||||||
| Series 2002-BC3 Class A, 4.16% 6/25/32 (d) | 2,411,175 | 2,418,320 | ||||||
| Series 2002-BC6 Class M1, 4.58% 8/25/32 (d) | 24,900,000 | 25,095,555 | ||||||
| Series 2002-BC7: | ||||||||
| Class M1, 4.63% 10/25/32 (d) | 10,000,000 | 10,028,130 | ||||||
| Class M2, 4.73% 10/25/32 (d) | 5,575,000 | 5,605,898 | ||||||
| Series 2002-BC1 Class M2, 4.93% 1/25/32 (d) | 758,836 | 762,053 | ||||||
| ARG Funding Corp.: | ||||||||
| Series 2005-1A Class A2, 3.8963% 4/20/09 (a)(d) | 11,000,000 | 10,975,938 | ||||||
| Series 2005-2A Class A2, 3.9063% 5/20/09 (a)(d) | 5,200,000 | 5,190,453 | ||||||
| Argent Securities, Inc.: | ||||||||
| Series 2003-W3 Class M2, 5.63% 9/25/33 (d) | 20,000,000 | 20,596,100 | ||||||
| Series 2003-W7 Class A2, 4.22% 3/1/34 (d) | 3,948,904 | 3,957,510 | ||||||
| Series 2004-W5 Class M1, 4.43% 4/25/34 (d) | 3,960,000 | 3,964,674 | ||||||
| Series 2004-W7: | ||||||||
| Class M1, 4.38% 5/25/34 (d) | 4,085,000 | 4,084,893 | ||||||
| Class M2, 4.43% 5/25/34 (d) | 3,320,000 | 3,319,914 | ||||||
| Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||
| Series 2003-HE2: | ||||||||
| Class A2, 4.1481% 4/15/33 (d) | 664,884 | 664,968 | ||||||
| Class M1, 4.6681% 4/15/33 (d) | 11,365,000 | 11,414,716 | ||||||
| Series 2003-HE3: | ||||||||
| Class M1, 4.5981% 6/15/33 (d) | 2,185,000 | 2,196,793 | ||||||
| Class M2, 5.7681% 6/15/33 (d) | 10,000,000 | 10,168,072 | ||||||
Annual Report 106
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Asset Backed Securities Corp. Home Equity Loan Trust: - | ||||||||
| continued | ||||||||
| Series 2003-HE4 Class M2, 5.7681% 8/15/33 (d) | $ 5,695,000 | $ 5,779,144 | ||||||
| Series 2003-HE5 Class A2A, 4.1281% 8/15/33 (d) | 347,110 | 347,153 | ||||||
| Series 2003-HE6 Class M1, 4.48% 11/25/33 (d) | 3,475,000 | 3,497,595 | ||||||
| Series 2004-HE2 Class M1, 4.38% 4/25/34 (d) | 6,060,000 | 6,083,075 | ||||||
| Series 2004-HE3: | ||||||||
| Class M1, 4.37% 6/25/34 (d) | 1,450,000 | 1,457,158 | ||||||
| Class M2, 4.95% 6/25/34 (d) | 3,350,000 | 3,391,294 | ||||||
| Series 2004-HE6 Class A2, 4.19% 6/25/34 (d) | 15,110,414 | 15,141,786 | ||||||
| Series 2005-HE2: | ||||||||
| Class M1, 4.28% 3/25/35 (d) | 8,250,000 | 8,259,768 | ||||||
| Class M2, 4.33% 3/25/35 (d) | 2,065,000 | 2,070,757 | ||||||
| Series 2005-HE3 Class A4, 4.03% 4/25/35 (d) | 11,650,000 | 11,649,725 | ||||||
| Series 2005-HE6 Class A2B, 4.08% 7/25/35 (d) | 10,000,000 | 10,009,980 | ||||||
| Bank One Issuance Trust: | ||||||||
| Series 2002-B1 Class B1, 4.1481% 12/15/09 (d) | 20,655,000 | 20,734,158 | ||||||
| Series 2002-B3 Class B, 4.1281% 8/15/08 (d) | 14,500,000 | 14,503,495 | ||||||
| Series 2002-C1 Class C1, 4.7281% 12/15/09 (d) | 7,980,000 | 8,063,633 | ||||||
| Series 2003-C4 Class C4, 4.7981% 2/15/11 (d) | 14,910,000 | 15,197,991 | ||||||
| Bayview Financial Acquisition Trust Series 2004-C | ||||||||
| Class A1, 4.2575% 5/28/44 (d) | 7,735,211 | 7,751,217 | ||||||
| Bayview Financial Asset Trust Series 2003-F Class A, | ||||||||
| 4.3375% 9/28/43 (d) | 9,005,591 | 9,025,757 | ||||||
| Bayview Financial Mortgage Loan Trust Series 2004-A Class | ||||||||
| A, 4.2875% 2/28/44 (d) | 5,177,035 | 5,186,096 | ||||||
| Bear Stearns Asset Backed Securities, Inc. Series 2005-3 | ||||||||
| Class A1, 4.28% 9/25/35 (d) | 4,051,990 | 4,051,990 | ||||||
| Bear Stearns Asset Backed Securities I: | ||||||||
| Series 2005-HE2: | ||||||||
| Class M1, 4.33% 2/25/35 (d) | 6,655,000 | 6,657,302 | ||||||
| Class M2, 4.58% 2/25/35 (d) | 2,430,000 | 2,438,309 | ||||||
| Series 2005-HE5 Class 1A1, 3.94% 6/25/35 (d) | 9,315,999 | 9,314,540 | ||||||
| Capital Auto Receivables Asset Trust: | ||||||||
| Series 2002-5 Class B, 2.8% 4/15/08 | 2,439,941 | 2,415,147 | ||||||
| Series 2003-1 Class B, 4.2381% 6/15/10 (a)(d) | 4,946,375 | 4,959,105 | ||||||
| Series 2003-2 Class B, 4.0481% 1/15/09 (d) | 2,369,381 | 2,373,293 | ||||||
| Series 2005-1 Class B, 4.1431% 6/15/10 (d) | 5,725,000 | 5,757,133 | ||||||
| Capital One Auto Finance Trust: | ||||||||
| Series 2003-A Class A4B, 4.0481% 1/15/10 (d) | 9,630,000 | 9,651,642 | ||||||
| Series 2004-B Class A4, 3.8781% 8/15/11 (d) | 16,300,000 | 16,304,722 |
107 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Capital One Master Trust: | ||||||||
| Series 1999-3 Class B, 4.2481% 9/15/09 (d) | $ 5,000,000 | $ 5,001,993 | ||||||
| Series 2001-1 Class B, 4.2781% 12/15/10 (d) | 19,500,000 | 19,636,007 | ||||||
| Series 2001-8A Class B, 4.3181% 8/17/09 (d) | 9,585,000 | 9,627,823 | ||||||
| Series 2002-4A Class B, 4.2681% 3/15/10 (d) | 6,000,000 | 6,026,994 | ||||||
| Capital One Multi-Asset Execution Trust Series 2003-B1 Class | ||||||||
| B1, 4.9381% 2/17/09 (d) | 15,470,000 | 15,540,698 | ||||||
| Capital Trust Ltd. Series 2004-1: | ||||||||
| Class A2, 4.2463% 7/20/39 (a)(d) | 2,968,000 | 2,974,368 | ||||||
| Class B, 4.5463% 7/20/39 (a)(d) | 1,550,000 | 1,553,325 | ||||||
| Class C, 4.8963% 7/20/39 (a)(d) | 1,994,000 | 1,998,276 | ||||||
| CDC Mortgage Capital Trust: | ||||||||
| Series 2001-HE1 Class M1, 4.86% 1/25/32 (d) | 3,470,154 | 3,471,347 | ||||||
| Series 2002-HE2 Class M1, 4.53% 1/25/33 (d) | 9,278,431 | 9,305,483 | ||||||
| Series 2002-HE3: | ||||||||
| Class M1, 4.93% 3/25/33 (d) | 21,339,884 | 21,583,539 | ||||||
| Class M2, 5.8913% 3/25/33 (d) | 9,968,976 | 10,111,477 | ||||||
| Series 2003-HE1: | ||||||||
| Class M1, 4.5413% 8/25/33 (d) | 1,907,142 | 1,913,922 | ||||||
| Class M2, 5.5913% 8/25/33 (d) | 4,369,996 | 4,416,852 | ||||||
| Series 2003-HE2 Class A, 3.9913% 10/25/33 (d) | 1,011,328 | 1,011,776 | ||||||
| Series 2003-HE3: | ||||||||
| Class M1, 4.53% 11/25/33 (d) | 2,254,989 | 2,275,897 | ||||||
| Class M2, 5.58% 11/25/33 (d) | 1,719,992 | 1,749,395 | ||||||
| Series 2004-HE2 Class M2, 5.03% 7/26/34 (d) | 2,345,000 | 2,366,343 | ||||||
| Cendant Timeshare Receivables Funding LLC Series 2005 1A | ||||||||
| Class 2A2, 3.9763% 5/20/17 (a)(d) | 9,256,185 | 9,256,185 | ||||||
| Chase Credit Card Owner Trust: | ||||||||
| Series 2001-6 Class B, 4.2481% 3/16/09 (d) | 1,305,000 | 1,310,645 | ||||||
| Series 2002-6 Class B, 4.1181% 1/15/08 (d) | 11,850,000 | 11,850,281 | ||||||
| Series 2003-6 Class C, 4.5681% 2/15/11 (d) | 16,400,000 | 16,641,039 | ||||||
| Series 2004-1 Class B, 3.9681% 5/15/09 (d) | 4,105,000 | 4,104,601 | ||||||
| Citibank Credit Card Issuance Trust: | ||||||||
| Series 2000-C2 Class C2, 4.2488% 10/15/07 (d) | 17,500,000 | 17,499,286 | ||||||
| Series 2001-B2 Class B2, 4.3038% 12/10/08 (d) | 11,945,000 | 11,995,489 | ||||||
| Series 2002-B1 Class B1, 4.2906% 6/25/09 (d) | 9,010,000 | 9,041,853 | ||||||
| Series 2002-C1 Class C1, 4.7369% 2/9/09 (d) | 17,500,000 | 17,675,320 | ||||||
| Series 2003-B1 Class B1, 4.0763% 3/7/08 (d) | 25,000,000 | 25,035,435 | ||||||
| Series 2003-C1 Class C1, 4.65% 4/7/10 (d) | 17,785,000 | 18,159,908 | ||||||
| Citigroup Mortgage Loan Trust Series 2003-HE4 | ||||||||
| Class A, 4.24% 12/25/33 (a)(d) | 7,601,624 | 7,602,413 | ||||||
| CNH Wholesale Master Note Trust Series 2005-1: | ||||||||
| Class A, 3.8781% 6/15/11 (d) | 18,000,000 | 17,997,386 | ||||||
Annual Report 108
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| CNH Wholesale Master Note Trust Series 2005-1: - | ||||||||
| continued | ||||||||
| Class B, 4.1681% 6/15/11 (d) | $ 2,280,000 | $ 2,279,668 | ||||||
| Countrywide Home Loans, Inc.: | ||||||||
| Series 2002-6 Class AV1, 4.26% 5/25/33 (d) | 1,255,649 | 1,258,682 | ||||||
| Series 2003-BC1 Class M2, 5.83% 9/25/32 (d) | 11,065,000 | 11,184,059 | ||||||
| Series 2003-SD3 Class A1, 4.25% 12/25/32 (a)(d) | 752,994 | 756,713 | ||||||
| Series 2004-2 Class M1, 4.33% 5/25/34 (d) | 5,200,000 | 5,209,564 | ||||||
| Series 2004-3: | ||||||||
| Class 3A4, 4.08% 8/25/34 (d) | 445,702 | 444,067 | ||||||
| Class M1, 4.33% 6/25/34 (d) | 1,475,000 | 1,476,401 | ||||||
| Series 2004-4: | ||||||||
| Class A, 4.2% 8/25/34 (d) | 2,130,303 | 2,132,323 | ||||||
| Class M1, 4.31% 7/25/34 (d) | 3,650,000 | 3,660,809 | ||||||
| Class M2, 4.36% 6/25/34 (d) | 4,395,000 | 4,399,618 | ||||||
| Series 2005-1: | �� | |||||||
| Class 1AV2, 4.03% 7/25/35 (d) | 8,780,000 | 8,777,753 | ||||||
| Class M1, 4.25% 8/25/35 (d) | 19,600,000 | 19,586,004 | ||||||
| Class MV1, 4.23% 7/25/35 (d) | 3,135,000 | 3,133,802 | ||||||
| Class MV2, 4.27% 7/25/35 (d) | 3,765,000 | 3,762,360 | ||||||
| Class MV3, 4.31% 7/25/35 (d) | 1,560,000 | 1,561,512 | ||||||
| Series 2005-3 Class MV1, 4.25% 8/25/35 (d) | 11,125,000 | 11,116,813 | ||||||
| Series 2005-AB1 Class A2, 4.04% 8/25/35 (d) | 17,520,000 | 17,515,387 | ||||||
| Series 2005-BC1 Class 2A2, 4.03% 5/25/35 (d) | 8,375,000 | 8,376,323 | ||||||
| Series 2005-IM1 Class A1, 3.96% 11/25/35 (d) | 16,452,556 | 16,453,841 | ||||||
| CS First Boston Mortgage Securities Corp.: | ||||||||
| Series 2003-8 Class A2, 4.22% 4/25/34 (d) | 2,207,328 | 2,216,663 | ||||||
| Series 2004-FRE1: | ||||||||
| Class A2, 4.18% 4/25/34 (d) | 1,945,674 | 1,945,630 | ||||||
| Class M3, 4.48% 4/25/34 (d) | 5,885,000 | 5,884,847 | ||||||
| Discover Card Master Trust I Series 2003-4 Class B1, | ||||||||
| 4.0981% 5/16/11 (d) | 8,155,000 | 8,200,894 | ||||||
| Fannie Mae guaranteed REMIC pass thru certificates Series | ||||||||
| 2004-T5 Class AB3, 4.222% 5/28/35 (d) | 5,382,969 | 5,384,840 | ||||||
| Fieldstone Mortgage Investment Corp.: | ||||||||
| Series 2003-1: | ||||||||
| Class M1, 4.51% 11/25/33 (d) | 1,300,000 | 1,311,510 | ||||||
| Class M2, 5.58% 11/25/33 (d) | 700,000 | 718,059 | ||||||
| Series 2004-1 Class M2, 4.93% 1/25/35 (d) | 3,700,000 | 3,743,249 | ||||||
| Series 2004-2 Class M2, 4.98% 7/25/34 (d) | 9,890,000 | 9,889,746 | ||||||
| Series 2004-3 Class M5, 5.28% 8/25/34 (d) | 2,000,000 | 2,035,525 | ||||||
| Series 2005-2 Class 2A1, 3.95% 7/25/36 (d) | 16,387,547 | 16,385,833 |
109 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| First Franklin Mortgage Loan Asset Backed Certificates: | ||||||||
| Series 2005-FF2 Class A2A, 3.92% 3/25/35 (d) | $ 6,441,811 | $ 6,442,575 | ||||||
| Series 2005-FF2 Class M6, 4.53% 3/25/35 (d) | 6,950,000 | 6,966,453 | ||||||
| First Franklin Mortgage Loan Trust Series 2004-FF2: | ||||||||
| Class M3, 4.38% 3/25/34 (d) | 400,000 | 400,662 | ||||||
| Class M4, 4.73% 3/25/34 (d) | 300,000 | 302,870 | ||||||
| First USA Credit Card Master Trust Series 2001-4 Class B, | ||||||||
| 4.1281% 1/12/09 (d) | 15,000,000 | 15,017,273 | ||||||
| First USA Secured Note Trust Series 2001-3 Class C, | ||||||||
| 4.8394% 11/19/08 (a)(d) | 11,580,000 | 11,661,421 | ||||||
| Ford Credit Auto Owner Trust Series 2003-B Class B2, | ||||||||
| 4.1981% 10/15/07 (d) | 19,600,000 | 19,672,465 | ||||||
| Ford Credit Floorplan Master Owner Trust Series 2005 1: | ||||||||
| Class A, 3.9181% 5/17/10 (d) | 9,590,000 | 9,586,223 | ||||||
| Class B, 4.2081% 5/17/10 (d) | 2,625,000 | 2,623,968 | ||||||
| Fremont Home Loan Trust: | ||||||||
| Series 2004-1: | ||||||||
| Class 1A1, 4.05% 2/25/34 (d) | 2,196,026 | 2,197,373 | ||||||
| Class M1, 4.28% 2/25/34 (d) | 750,000 | 750,227 | ||||||
| Class M2, 4.33% 2/25/34 (d) | 800,000 | 800,745 | ||||||
| Series 2004-C Class 2A2, 4.38% 8/25/34 (d) | 10,000,000 | 10,060,514 | ||||||
| Series 2004-D Class 3A2, 4.11% 11/25/34 (d) | 2,153,210 | 2,158,681 | ||||||
| Series 2005-2 Class 2A1, 3.94% 6/25/35 (d) | 14,216,532 | 14,212,883 | ||||||
| Series 2005 A: | ||||||||
| Class 2A2, 4.07% 2/25/35 (d) | 11,850,000 | 11,862,896 | ||||||
| Class M1, 4.26% 1/25/35 (d) | 1,603,000 | 1,608,402 | ||||||
| Class M2, 4.29% 1/25/35 (d) | 2,325,000 | 2,326,557 | ||||||
| Class M3, 4.32% 1/25/35 (d) | 1,250,000 | 1,252,900 | ||||||
| Class M4, 4.51% 1/25/35 (d) | 925,000 | 931,377 | ||||||
| GE Business Loan Trust Series 2003-1 Class A, 4.1981% | ||||||||
| 4/15/31 (a)(d) | 5,238,178 | 5,267,176 | ||||||
| GE Capital Credit Card Master Note Trust Series 2005-2 | ||||||||
| Class B, 3.9681% 6/15/11 (d) | 6,475,000 | 6,474,059 | ||||||
| Gracechurch Card Funding No. 9 PLC Series 2005-2: | ||||||||
| Class B, 3.9818% 9/15/10 (d) | 3,560,000 | 3,560,000 | ||||||
| Class C, 4.1418% 9/15/10 (d) | 13,000,000 | 13,000,000 | ||||||
| Gracechurch Card Funding PLC: | ||||||||
| Series 5: | ||||||||
| Class B, 3.9981% 8/15/08 (d) | 1,520,000 | 1,520,806 | ||||||
| Class C, 4.6981% 8/15/08 (d) | 5,580,000 | 5,600,379 | ||||||
| Series 6 Class B, 3.9581% 2/17/09 (d) | 1,030,000 | 1,030,878 | ||||||
| Series 8 Class C, 4.0981% 6/15/10 (d) | 18,450,000 | 18,485,634 | ||||||
| Annual Report |
| 110 |
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| GSAMP Trust: | ||||||||
| Series 2002-HE Class M1, 5.0463% 11/20/32 (d) | $ 2,882,888 | $ 2,926,670 | ||||||
| Series 2002-NC1: | ||||||||
| Class A2, 4.15% 7/25/32 (d) | 54,777 | 55,120 | ||||||
| Class M1, 4.47% 7/25/32 (d) | 8,861,000 | 8,942,540 | ||||||
| Series 2003-FM1 Class M1, 4.6163% 3/20/33 (d) | 15,000,000 | 15,157,449 | ||||||
| Series 2004-FM1: | ||||||||
| Class M1, 4.48% 11/25/33 (d) | 2,865,000 | 2,864,925 | ||||||
| Class M2, 5.23% 11/25/33 (d) | 1,975,000 | 2,008,385 | ||||||
| Series 2004-FM2: | ||||||||
| Class M1, 4.33% 1/25/34 (d) | 3,500,000 | 3,499,910 | ||||||
| Class M2, 4.93% 1/25/34 (d) | 1,500,000 | 1,499,961 | ||||||
| Class M3, 5.13% 1/25/34 (d) | 1,500,000 | 1,499,961 | ||||||
| Series 2004-HE1: | ||||||||
| Class M1, 4.38% 5/25/34 (d) | 4,045,000 | 4,044,896 | ||||||
| Class M2, 4.98% 5/25/34 (d) | 1,750,000 | 1,765,219 | ||||||
| Series 2005-9 Class 2A1, 3.95% 8/25/35 (d) | 16,206,183 | 16,206,183 | ||||||
| Series 2005-FF2 Class M5, 4.46% 3/25/35 (d) | 3,500,000 | 3,506,922 | ||||||
| Series 2005-HE2 Class M, 4.26% 3/25/35 (d) | 8,780,000 | 8,776,221 | ||||||
| Series 2005-NC1 Class M1, 4.28% 2/25/35 (d) | 9,010,000 | 9,013,305 | ||||||
| Guggenheim Structured Real Estate Funding Ltd. | ||||||||
| Series 2005-1 Class C, 4.91% 5/25/30 (a)(d) | 14,000,000 | 13,987,145 | ||||||
| HSBC Home Equity Loan Trust Series 2005-2: | ||||||||
| Class M1, 4.2563% 1/20/35 (d) | 2,914,233 | 2,914,529 | ||||||
| Class M2, 4.2863% 1/20/35 (d) | 2,182,286 | 2,182,488 | ||||||
| Home Equity Asset Trust: | ||||||||
| Series 2002-2 Class M1, 4.63% 6/25/32 (d) | 10,000,000 | 10,011,960 | ||||||
| Series 2002-3 Class A5, 4.27% 2/25/33 (d) | 2,763 | 2,767 | ||||||
| Series 2002-5: | ||||||||
| Class A3, 4.35% 5/25/33 (d) | 1,901,156 | 1,905,789 | ||||||
| Class M1, 5.03% 5/25/33 (d) | 13,800,000 | 13,948,517 | ||||||
| Series 2003-1: | ||||||||
| Class A2, 4.3% 6/25/33 (d) | 3,368,416 | 3,370,517 | ||||||
| Class M1, 4.83% 6/25/33 (d) | 8,335,000 | 8,371,945 | ||||||
| Series 2003-2: | ||||||||
| Class A2, 4.21% 8/25/33 (d) | 159,893 | 160,447 | ||||||
| Class M1, 4.71% 8/25/33 (d) | 2,245,000 | 2,271,910 | ||||||
| Series 2003-3: | ||||||||
| Class A2, 4.19% 8/25/33 (d) | 1,245,521 | 1,250,195 | ||||||
| Class M1, 4.69% 8/25/33 (d) | 8,185,000 | 8,277,490 | ||||||
| Series 2003-4: | ||||||||
| Class M1, 4.4413% 10/25/33 (d) | 3,415,000 | 3,437,752 |
111 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Home Equity Asset Trust: – continued | ||||||||
| Series 2003-4: | ||||||||
| Class M2, 5.5413% 10/25/33 (d) | $ 4,040,000 | $ 4,087,070 | ||||||
| Series 2003-5: | ||||||||
| Class A2, 4.18% 12/25/33 (d) | 3,793,784 | 3,806,470 | ||||||
| Class M1, 4.53% 12/25/33 (d) | 3,175,000 | 3,197,905 | ||||||
| Class M2, 5.56% 12/25/33 (d) | 1,345,000 | 1,376,130 | ||||||
| Series 2003-7 Class A2, 4.21% 3/25/34 (d) | 2,866,529 | 2,872,858 | ||||||
| Series 2004-2 Class A2, 4.12% 7/25/34 (d) | 5,111,457 | 5,111,384 | ||||||
| Series 2004-3: | ||||||||
| Class M1, 4.4% 8/25/34 (d) | 2,015,000 | 2,023,738 | ||||||
| Class M2, 5.03% 8/25/34 (d) | 2,200,000 | 2,239,606 | ||||||
| Series 2004-4 Class A2, 4.15% 10/25/34 (d) | 7,288,824 | 7,313,693 | ||||||
| Series 2004-6 Class A2, 4.18% 12/25/34 (d) | 8,069,368 | 8,094,037 | ||||||
| Series 2004-7 Class A3, 4.22% 1/25/35 (d) | 2,551,011 | 2,562,040 | ||||||
| Series 2005-1: | ||||||||
| Class M1, 4.26% 5/25/35 (d) | 9,705,000 | 9,708,301 | ||||||
| Class M2, 4.28% 5/25/35 (d) | 5,780,000 | 5,775,826 | ||||||
| Class M3, 4.33% 5/25/35 (d) | 5,825,000 | 5,820,912 | ||||||
| Series 2005-2: | ||||||||
| Class 2A2, 4.03% 7/25/35 (d) | 13,170,000 | 13,169,687 | ||||||
| Class M1, 4.28% 7/25/35 (d) | 10,085,000 | 10,084,736 | ||||||
| Series 2005-3 Class M1, 4.24% 8/25/35 (d) | 9,450,000 | 9,442,313 | ||||||
| Series 2005-5 Class 2A2, 4.08% 11/25/35 (d) | 15,000,000 | 15,024,030 | ||||||
| Household Affinity Credit Card Master Note Trust I | ||||||||
| Series 2003-3 Class B, 4.0581% 8/15/08 (d) | 10,000,000 | 10,012,255 | ||||||
| Household Credit Card Master Trust I Series 2002-1 Class B, | ||||||||
| 4.4181% 7/15/08 (d) | 22,589,000 | 22,592,725 | ||||||
| Household Home Equity Loan Trust: | ||||||||
| Series 2002-2 Class A, 4.0963% 4/20/32 (d) | 3,046,635 | 3,047,537 | ||||||
| Series 2002-3 Class A, 4.2463% 7/20/32 (d) | 2,468,824 | 2,470,761 | ||||||
| Series 2003-1 Class M, 4.4263% 10/20/32 (d) | 686,032 | 686,682 | ||||||
| Series 2003-2: | ||||||||
| Class A, 4.1263% 9/20/33 (d) | 2,534,598 | 2,539,076 | ||||||
| Class M, 4.3763% 9/20/33 (d) | 1,191,893 | 1,194,376 | ||||||
| Series 2004-1 Class M, 4.3163% 9/20/33 (d) | 2,389,256 | 2,393,972 | ||||||
| Household Mortgage Loan Trust: | ||||||||
| Series 2003-HC1 Class M, 4.4463% 2/20/33 (d) | 1,500,530 | 1,505,086 | ||||||
| Series 2004-HC1: | ||||||||
| Class A, 4.1463% 2/20/34 (d) | 4,182,768 | 4,193,747 | ||||||
| Class M, 4.2963% 2/20/34 (d) | 2,528,917 | 2,530,110 | ||||||
| Household Private Label Credit Card Master Note Trust I: | ||||||||
| Series 2002-1 Class B, 4.3181% 1/18/11 (d) | 8,850,000 | 8,865,532 | ||||||
Annual Report 112
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Household Private Label Credit Card Master Note Trust I: – | ||||||||
| continued | ||||||||
| Series 2002-2: | ||||||||
| Class A, 3.9381% 1/18/11 (d) | $ 9,000,000 | $ 9,010,691 | ||||||
| Class B, 4.3181% 1/18/11 (d) | 14,275,000 | 14,347,032 | ||||||
| Series 2002-3 Class B, 5.0181% 9/15/09 (d) | 4,150,000 | 4,153,962 | ||||||
| Ikon Receivables Funding LLC Series 2003-1 Class A3A, | ||||||||
| 4.0081% 12/17/07 (d) | 2,012,271 | 2,012,612 | ||||||
| IXIS Real Estate Capital Trust Series 2005-HE1: | ||||||||
| Class A1, 4.08% 6/25/35 (d) | 10,270,940 | 10,270,696 | ||||||
| Class M1, 4.3% 6/25/35 (d) | 4,100,000 | 4,098,296 | ||||||
| Class M2, 4.32% 6/25/35 (d) | 2,775,000 | 2,773,872 | ||||||
| Class M3, 4.35% 6/25/35 (d) | 1,975,000 | 1,977,174 | ||||||
| Keycorp Student Loan Trust Series 1999-A Class A2, 4.34% | ||||||||
| 12/27/09 (d) | 14,973,894 | 15,030,475 | ||||||
| Long Beach Mortgage Loan Trust: | ||||||||
| Series 2003-2: | ||||||||
| Class AV, 4.15% 6/25/33 (d) | 124,347 | 124,374 | ||||||
| Class M1, 4.65% 6/25/33 (d) | 19,500,000 | 19,585,995 | ||||||
| Series 2003-3 Class M1, 4.3913% 7/25/33 (d) | 7,770,000 | 7,819,867 | ||||||
| Series 2004-2: | ||||||||
| Class M1, 4.36% 6/25/34 (d) | 4,275,000 | 4,284,930 | ||||||
| Class M2, 4.91% 6/25/34 (d) | 1,400,000 | 1,415,675 | ||||||
| Series 2005-2 Class 2A2, 4.01% 4/25/35 (d) | 12,000,000 | 12,003,775 | ||||||
| MASTR Asset Backed Securities Trust: | ||||||||
| Series 2003-NC1: | ||||||||
| Class M1, 4.56% 4/25/33 (d) | 3,500,000 | 3,520,473 | ||||||
| Class M2, 5.68% 4/25/33 (d) | 1,500,000 | 1,531,476 | ||||||
| Series 2004-FRE1 Class M1, 4.38% 7/25/34 (d) | 5,223,000 | 5,243,096 | ||||||
| MBNA Asset Backed Note Trust Series 2000-K Class C, | ||||||||
| 4.5681% 3/17/08 (a)(d) | 7,250,000 | 7,251,305 | ||||||
| MBNA Credit Card Master Note Trust: | ||||||||
| Series 2001-B1 Class B1, 4.1431% 10/15/08 (d) | 30,000,000 | 30,032,436 | ||||||
| Series 2001-B2 Class B2, 4.1281% 1/15/09 (d) | 30,353,000 | 30,408,661 | ||||||
| Series 2002-B2 Class B2, 4.1481% 10/15/09 (d) | 20,000,000 | 20,080,518 | ||||||
| Series 2002-B4 Class B4, 4.2681% 3/15/10 (d) | 14,800,000 | 14,906,795 | ||||||
| Series 2003-B2 Class B2, 4.1581% 10/15/10 (d) | 1,530,000 | 1,544,849 | ||||||
| Series 2003-B3 Class B3, 4.1431% 1/18/11 (d) | 1,130,000 | 1,136,193 | ||||||
| Series 2003-B5 Class B5, 4.1381% 2/15/11 (d) | 705,000 | 710,072 | ||||||
| MBNA Master Credit Card Trust II: | ||||||||
| Series 1998-E Class B, 3.9288% 9/15/10 (d) | 7,800,000 | 7,843,689 | ||||||
| Series 1998-G Class B, 4.1681% 2/17/09 (d) | 20,000,000 | 20,034,530 |
113 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Meritage Mortgage Loan Trust Series 2004-1: | ||||||||
| Class M1, 4.33% 7/25/34 (d) | $ 2,125,000 | $ 2,124,946 | ||||||
| Class M2, 4.38% 7/25/34 (d) | 375,000 | 374,991 | ||||||
| Class M3, 4.78% 7/25/34 (d) | 775,000 | 774,980 | ||||||
| Class M4, 4.93% 7/25/34 (d) | 525,000 | 524,987 | ||||||
| Merrill Lynch Mortgage Investors, Inc. Series 2003-HE1 Class | ||||||||
| M1, 4.53% 7/25/34 (d) | 2,321,000 | 2,334,630 | ||||||
| Morgan Stanley ABS Capital I, Inc.: | ||||||||
| Series 2002-NC6 Class M2, 5.93% 11/25/32 (d) | 2,370,000 | 2,430,872 | ||||||
| Series 2003-NC5 Class M2, 5.83% 4/25/33 (d) | 2,800,000 | 2,827,761 | ||||||
| Series 2003-NC6 Class M2, 5.5913% 6/27/33 (d) | 12,835,000 | 13,193,861 | ||||||
| Series 2003-NC7 Class M1, 4.53% 6/25/33 (d) | 1,785,000 | 1,790,756 | ||||||
| Series 2003-NC8 Class M1, 4.53% 9/25/33 (d) | 2,350,000 | 2,380,069 | ||||||
| Series 2004-HE6 Class A2, 4.17% 8/25/34 (d) | 6,065,683 | 6,084,818 | ||||||
| Series 2004-NC2 Class M1, 4.38% 12/25/33 (d) | 2,595,000 | 2,604,510 | ||||||
| Series 2004-NC6 Class A2, 4.17% 7/25/34 (d) | 2,716,074 | 2,721,759 | ||||||
| Series 2005-1: | ||||||||
| Class M2, 4.3% 12/25/34 (d) | 4,425,000 | 4,429,882 | ||||||
| Class M3, 4.35% 12/25/34 (d) | 4,000,000 | 4,007,356 | ||||||
| Series 2005-HE1: | ||||||||
| Class A3B, 4.05% 12/25/34 (d) | 3,885,000 | 3,889,760 | ||||||
| Class M1, 4.28% 12/25/34 (d) | 1,100,000 | 1,103,379 | ||||||
| Class M2, 4.3% 12/25/34 (d) | 2,970,000 | 2,974,441 | ||||||
| Series 2005-HE2: | ||||||||
| Class M1, 4.23% 1/25/35 (d) | 2,665,000 | 2,673,338 | ||||||
| Class M2, 4.27% 1/25/35 (d) | 1,900,000 | 1,899,216 | ||||||
| Series 2005-NC1: | ||||||||
| Class M1, 4.27% 1/25/35 (d) | 2,425,000 | 2,434,295 | ||||||
| Class M2, 4.3% 1/25/35 (d) | 2,425,000 | 2,427,680 | ||||||
| Class M3, 4.34% 1/25/35 (d) | 2,425,000 | 2,431,267 | ||||||
| Morgan Stanley Dean Witter Capital I Trust: | ||||||||
| Series 2001-AM1: | ||||||||
| Class M1, 4.68% 2/25/32 (d) | 1,510,288 | 1,511,306 | ||||||
| Class M2, 5.23% 2/25/32 (d) | 5,305,979 | 5,312,043 | ||||||
| Series 2001-NC4 Class M1, 4.83% 1/25/32 (d) | 3,827,881 | 3,838,780 | ||||||
| Series 2002-AM3 Class A3, 4.32% 2/25/33 (d) | 992,554 | 995,836 | ||||||
| Series 2002-HE1 Class M1, 4.43% 7/25/32 (d) | 5,860,000 | 5,893,166 | ||||||
| Series 2002-HE2 Class M1, 4.53% 8/25/32 (d) | 9,925,000 | 9,964,301 | ||||||
| Series 2002-NC3 Class A3, 4.17% 8/25/32 (d) | 147,864 | 148,113 | ||||||
| Series 2002-OP1 Class M1, 4.58% 9/25/32 (d) | 3,894,745 | 3,907,257 | ||||||
| Series 2003-NC1: | ||||||||
| Class M1, 4.88% 11/25/32 (d) | 2,391,382 | 2,406,740 | ||||||
| Class M2, 5.88% 11/25/32 (d) | 1,880,000 | 1,897,592 | ||||||
Annual Report 114
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| New Century Home Equity Loan Trust: | ||||||||
| Series 2003-2 Class M2, 5.83% 1/25/33 (d) | $ 4,600,000 | $ 4,665,213 | ||||||
| Series 2003-6 Class M1, 4.55% 1/25/34 (d) | 5,180,000 | 5,212,663 | ||||||
| Series 2005-1: | ||||||||
| Class M1, 4.28% 3/25/35 (d) | 4,395,000 | 4,396,544 | ||||||
| Class M2, 4.31% 3/25/35 (d) | 4,395,000 | 4,396,491 | ||||||
| Class M3, 4.35% 3/25/35 (d) | 2,120,000 | 2,126,029 | ||||||
| Nissan Auto Lease Trust: | ||||||||
| Series 2003-A Class A3A, 3.9081% 6/15/09 (d) | 11,639,609 | 11,648,579 | ||||||
| Series 2004-A Class A4A, 3.8381% 6/15/10 (d) | 10,570,000 | 10,581,156 | ||||||
| NovaStar Home Equity Loan Series 2004-1: | ||||||||
| Class M1, 4.28% 6/25/34 (d) | 1,450,000 | 1,451,161 | ||||||
| Class M4, 4.805% 6/25/34 (d) | 2,435,000 | 2,444,337 | ||||||
| Ocala Funding LLC Series 2005-1A Class A, 5.2963% | ||||||||
| 3/20/10 (a)(d) | 3,675,000 | 3,675,000 | ||||||
| Ownit Mortgage Loan Asset-Backed Certificates Series | ||||||||
| 2005 3 Class A2A, 3.95% 6/25/36 (d) | 14,975,059 | 14,974,727 | ||||||
| Park Place Securities, Inc.: | ||||||||
| Series 2004-WCW1: | ||||||||
| Class M1, 4.46% 9/25/34 (d) | 3,745,000 | 3,767,310 | ||||||
| Class M2, 4.51% 9/25/34 (d) | 1,755,000 | 1,767,858 | ||||||
| Class M3, 5.08% 9/25/34 (d) | 3,355,000 | 3,402,867 | ||||||
| Class M4, 5.28% 9/25/34 (d) | 4,700,000 | 4,776,320 | ||||||
| Series 2004-WCW2 Class A2, 4.21% 10/25/34 (d) | 6,455,574 | 6,471,464 | ||||||
| Series 2005-WCH1: | ||||||||
| Class A3B, 4.05% 1/25/35 (d) | 2,775,000 | 2,780,119 | ||||||
| Class M2, 4.35% 1/25/35 (d) | 4,175,000 | 4,178,114 | ||||||
| Class M3, 4.39% 1/25/35 (d) | 3,290,000 | 3,299,846 | ||||||
| Class M5, 4.71% 1/25/35 (d) | 3,095,000 | 3,111,984 | ||||||
| Series 2005-WHQ2 Class M7, 5.08% 5/25/35 (d) | 5,950,000 | 5,961,145 | ||||||
| People’s Choice Home Loan Securities Trust Series 2005 2: | ||||||||
| Class A1, 3.94% 9/25/24 (d) | 5,833,593 | 5,834,512 | ||||||
| Class M4, 4.46% 5/25/35 (d) | 6,000,000 | 6,025,129 | ||||||
| Providian Gateway Master Trust Series 2002-B Class A, | ||||||||
| 4.4681% 6/15/09 (a)(d) | 15,000,000 | 15,021,564 | ||||||
| Residental Asset Securities Corp.: | ||||||||
| Series 2005-KS4 Class M2, 4.41% 5/25/35 (d) | 1,040,000 | 1,044,543 | ||||||
| Series 2005-KS7 Class A1, 3.93% 8/25/35 (d) | 10,017,807 | 10,017,586 | ||||||
| Residential Asset Mortgage Products, Inc. Series 2004-RS10 | ||||||||
| Class MII2, 5.08% 10/25/34 (d) | 5,500,000 | 5,587,075 | ||||||
| Salomon Brothers Mortgage Securities VII, Inc. Series | ||||||||
| 2003-HE1 Class A, 4.23% 4/25/33 (d) | 632,314 | 635,086 |
115 Annual Report
| Investments (Unaudited) continued | ||||||
| Asset Backed Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Saxon Asset Securities Trust: | ||||||
| Series 2004-1 Class M1, 4.36% 3/25/35 (d) | $ 4,415,000 | $ 4,418,970 | ||||
| Series 2004-2 Class MV1, 4.41% 8/25/35 (d) | 4,495,000 | 4,507,503 | ||||
| Sears Credit Account Master Trust II: | ||||||
| Series 2001-1 Class B, 4.1931% 2/15/10 (d) | 10,000,000 | 9,990,039 | ||||
| Series 2002-5 Class B, 5.0181% 11/17/09 (d) | 30,000,000 | 30,025,965 | ||||
| Securitized Asset Backed Receivables LLC Trust | ||||||
| Series 2004-NC1 Class M1, 4.35% 2/25/34 (d) | 2,910,000 | 2,912,781 | ||||
| Specialty Underwriting & Residential Finance | ||||||
| Series 2003-BC4 Class M1, 4.43% 11/25/34 (d) | 1,810,000 | 1,819,343 | ||||
| Structured Asset Securities Corp. Series 2004-GEL1 Class A, | ||||||
| 4.19% 2/25/34 (d) | 901,062 | 901,041 | ||||
| Superior Wholesale Inventory Financing Trust VII Series | ||||||
| 2003-A8 Class CTFS, 4.2181% 3/15/11 (a)(d) | 10,835,000 | 10,826,536 | ||||
| Superior Wholesale Inventory Financing Trust XII Series | ||||||
| 2005-A12 Class C, 4.9681% 6/15/10 (d) | 6,840,000 | 6,849,450 | ||||
| Terwin Mortgage Trust: | ||||||
| Series 2003-4HE Class A1, 4.26% 9/25/34 (d) | 2,051,939 | 2,062,554 | ||||
| Series 2003-6HE Class A1, 4.3% 11/25/33 (d) | 1,467,936 | 1,471,055 | ||||
| Series 2005-14HE Class AF1, 3.9753% 8/25/36 (d) | 8,635,000 | 8,634,326 | ||||
| Series 2005-8HE Class A1, 3.95% 7/25/35 (a)(d) | 6,932,173 | 6,938,671 | ||||
| TOTAL ASSET BACKED SECURITIES | ||||||
| (Cost $2,188,022,238) | 2,194,887,925 | |||||
| Collateralized Mortgage Obligations 20.2% | ||||||
| Private Sponsor – 13.8% | ||||||
| Adjustable Rate Mortgage Trust floater: | ||||||
| Series 2004-2 Class 7A3, 4.23% 2/25/35 (d) | 8,271,247 | 8,288,629 | ||||
| Series 2004-4 Class 5A2, 4.23% 3/25/35 (d) | 3,344,187 | 3,351,688 | ||||
| Series 2005-1 Class 5A2, 4.16% 5/25/35 (d) | 5,517,368 | 5,520,788 | ||||
| Series 2005-10 Class 5A1, 4.101% 1/25/36 (d) | 15,000,000 | 15,000,000 | ||||
| Series 2005-2: | ||||||
| Class 6A2, 4.11% 6/25/35 (d) | 2,499,864 | 2,501,436 | ||||
| Class 6M2, 4.31% 6/25/35 (d) | 10,145,000 | 10,144,980 | ||||
| Series 2005-3 Class 8A2, 4.07% 7/25/35 (d) | 16,519,250 | 16,529,773 | ||||
| Series 2005-4 Class 7A2, 4.06% 8/25/35 (d) | 8,125,015 | 8,130,280 | ||||
| Series 2005-8 Class 7A2, 4.11% 11/25/35 (d) | 7,166,967 | 7,168,085 | ||||
| American Home Mortgage Investment Trust Series 2005-4 | ||||||
| Class 1A1, 4.18% 11/25/45 (d) | 11,080,000 | 11,080,000 | ||||
| Bear Stearns Adjustable Rate Mortgage Trust Series 2005-6 | ||||||
| Class 1A1, 5.17% 8/25/35 (d) | 17,862,312 | 17,866,889 | ||||
Annual Report 116
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Bear Stearns Alt-A Trust floater: | ||||||
| Series 2005-1 Class A1, 4.11% 1/25/35 (d) | $ 18,993,594 | $ 19,005,465 | ||||
| Series 2005-2 Class 1A1, 4.08% 3/25/35 (d) | 13,521,981 | 13,515,643 | ||||
| Series 2005-5 Class 1A1, 4.05% 7/25/35 (d) | 17,169,385 | 17,155,972 | ||||
| Countrywide Alternative Loan Trust planned amortization | ||||||
| class Series 2003-5T2 Class A2, 4.23% 5/25/33 (d) | 5,006,668 | 5,009,604 | ||||
| CS First Boston Mortgage Securities Corp. floater: | ||||||
| Series 2004-AR2 Class 6A1, 4.23% 3/25/34 (d) | 4,681,479 | 4,678,694 | ||||
| Series 2004-AR3 Class 6A2, 4.2% 4/25/34 (d) | 1,948,417 | 1,950,279 | ||||
| Series 2004-AR4 Class 5A2, 4.2% 5/25/34 (d) | 1,821,930 | 1,820,850 | ||||
| Series 2004-AR5 Class 11A2, 4.2% 6/25/34 (d) | 2,698,314 | 2,692,965 | ||||
| Series 2004-AR6 Class 9A2, 4.2% 10/25/34 (d) | 3,422,844 | 3,424,695 | ||||
| Series 2004-AR7 Class 6A2, 4.21% 8/25/34 (d) | 4,894,739 | 4,898,151 | ||||
| Series 2004-AR8 Class 8A2, 4.21% 9/25/34 (d) | 3,798,541 | 3,805,156 | ||||
| CWALT, Inc. floater Series 2005-56 Class 3A1, 4.2494% | ||||||
| 10/25/35 (d) | 8,490,000 | 8,490,000 | ||||
| First Horizon Mortgage pass thru Trust floater Series | ||||||
| 2004-FL1 Class 2A1, 4.39% 12/25/34 (d) | 3,472,618 | 3,467,751 | ||||
| Granite Master Issuer PLC: | ||||||
| floater: | ||||||
| Series 2005-1: | ||||||
| Class A3, 3.97% 12/21/24 (d) | 5,300,000 | 5,299,172 | ||||
| Class B1, 4.02% 12/20/54 (d) | 7,050,000 | 7,047,797 | ||||
| Class M1, 4.12% 12/20/54 (d) | 5,300,000 | 5,298,344 | ||||
| Series 2005-2 Class C1, 4.39% 12/20/54 (d) | 7,975,000 | 7,972,508 | ||||
| Series 2005-4 Class M2, 4.305% 12/20/54 (d) | 6,500,000 | 6,498,731 | ||||
| Series 2005-4 Class C1, 4.455% 12/20/54 (d) | 6,800,000 | 6,798,672 | ||||
| Granite Mortgages PLC floater: | ||||||
| Series 2004-1: | ||||||
| Class 1B, 4.1% 3/20/44 (d) | 1,415,000 | 1,415,442 | ||||
| Class 1C, 4.79% 3/20/44 (d) | 4,075,000 | 4,089,008 | ||||
| Class 1M, 4.3% 3/20/44 (d) | 4,935,000 | 4,939,627 | ||||
| Series 2004-2: | ||||||
| Class 1A2, 3.96% 6/20/28 (d) | 4,162,145 | 4,162,145 | ||||
| Class 1B, 4.06% 6/20/44 (d) | 786,966 | 787,059 | ||||
| Class 1C, 4.59% 6/20/44 (d) | 2,865,029 | 2,869,506 | ||||
| Class 1M, 4.17% 6/20/44 (d) | 2,104,798 | 2,104,240 | ||||
| Series 2004-3: | ||||||
| Class 1B, 4.05% 9/20/44 (d) | 2,100,000 | 2,100,042 | ||||
| Class 1C, 4.48% 9/20/44 (d) | 5,415,000 | 5,424,314 | ||||
| Class 1M, 4.16% 9/20/44 (d) | 1,200,000 | 1,200,228 | ||||
117 Annual Report
| Investments (Unaudited) continued | ||||||
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Harborview Mortgage Loan Trust floater Series 2005-2 | ||||||
| Class 2A1A, 4.0094% 5/19/35 (d) | $ 11,231,269 | $ 11,199,681 | ||||
| Holmes Financing No. 7 PLC floater Series 2 Class M, | ||||||
| 4.3988% 7/15/40 (d) | 2,560,000 | 2,563,183 | ||||
| Holmes Financing No. 8 PLC floater Series 2: | ||||||
| Class A, 3.6788% 4/15/11 (d) | 25,000,000 | 25,002,930 | ||||
| Class B, 3.7688% 7/15/40 (d) | 2,695,000 | 2,696,264 | ||||
| Class C, 4.3188% 7/15/40 (d) | 10,280,000 | 10,318,550 | ||||
| Home Equity Asset Trust floater Series 2005-3 Class 2A1, | ||||||
| 3.92% 8/25/35 (d) | 5,995,565 | 5,996,642 | ||||
| Homestar Mortgage Acceptance Corp. floater Series 2004-5 | ||||||
| Class A1, 4.28% 10/25/34 (d) | 4,056,783 | 4,068,310 | ||||
| Impac CMB Trust: | ||||||
| floater: | ||||||
| Series 2004-11 Class 2A2, 4.2% 3/25/35 (d) | 7,904,651 | 7,903,107 | ||||
| Series 2004-6 Class 1A2, 4.22% 10/25/34 (d) | 3,065,340 | 3,070,216 | ||||
| Series 2005-1: | ||||||
| Class M1, 4.29% 4/25/35 (d) | 3,028,498 | 3,026,014 | ||||
| Class M2, 4.33% 4/25/35 (d) | 5,302,005 | 5,298,691 | ||||
| Class M3, 4.36% 4/25/35 (d) | 1,300,974 | 1,299,907 | ||||
| Class M4, 4.58% 4/25/35 (d) | 767,788 | 768,718 | ||||
| Class M5, 4.6% 4/25/35 (d) | 767,788 | 767,788 | ||||
| Class M6, 4.65% 4/25/35 (d) | 1,228,460 | 1,228,460 | ||||
| Series 2005-2 Class 1A2, 4.14% 4/25/35 (d) | 12,453,621 | 12,443,892 | ||||
| Series 2005-3 Class A1, 4.07% 8/25/35 (d) | 14,447,985 | 14,423,717 | ||||
| Series 2005-4 Class 1B1, 5.13% 5/25/35 (d) | 4,978,738 | 4,972,515 | ||||
| Series 2005-6 Class 1M3, 4.44% 10/25/35 (d) | 3,323,541 | 3,323,557 | ||||
| Series 2005-7: | ||||||
| Class M1, 4.208% 11/25/35 (d) | 1,765,000 | 1,765,000 | ||||
| Class M2, 4.248% 11/25/35 (d) | 1,325,000 | 1,325,000 | ||||
| Class M3, 4.348% 11/25/35 (d) | 6,615,000 | 6,615,000 | ||||
| Lehman Structured Securities Corp. floater Series 2005-1 | ||||||
| Class A2, 4.22% 9/26/45 (a)(d) | 15,180,141 | 15,180,141 | ||||
| MASTR Adjustable Rate Mortgages Trust: | ||||||
| floater Series 2005-1 Class 1A1, 4.1% 3/25/35 (d) | 11,034,855 | 11,047,023 | ||||
| Series 2004-6 Class 4A2, 4.1657% 7/25/34 (d) | 5,969,000 | 5,946,443 | ||||
| Merrill Lynch Mortgage Investors, Inc. floater: | ||||||
| Series 2003-A Class 2A1, 4.22% 3/25/28 (d) | 7,093,116 | 7,130,471 | ||||
| Series 2003-B Class A1, 4.17% 4/25/28 (d) | 7,213,924 | 7,254,849 | ||||
| Series 2003-D Class A, 4.14% 8/25/28 (d) | 6,608,802 | 6,619,465 | ||||
| Series 2003-E Class A2, 4.3831% 10/25/28 (d) | 9,116,686 | 9,126,651 | ||||
| Series 2003-F Class A2, 4.43% 10/25/28 (d) | 11,828,156 | 11,835,544 | ||||
Annual Report 118
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Merrill Lynch Mortgage Investors, Inc. floater: - continued | ||||||
| Series 2004-A Class A2, 4.34% 4/25/29 (d) | $10,025,427 | $ 10,017,623 | ||||
| Series 2004-B Class A2, 3.79% 6/25/29 (d) | 7,905,839 | 7,888,355 | ||||
| Series 2004-C Class A2, 3.95% 7/25/29 (d) | 11,598,172 | 11,567,548 | ||||
| Series 2004-D Class A2, 4.4131% 9/25/29 (d) | 8,519,942 | 8,524,812 | ||||
| Series 2004-E: | ||||||
| Class A2B, 4.45% 11/25/29 (d) | 7,561,387 | 7,550,087 | ||||
| Class A2D, 4.64% 11/25/29 (d) | 1,758,462 | 1,766,187 | ||||
| Series 2004-G Class A2, 3.95% 11/25/29 (d) | 3,530,484 | 3,529,545 | ||||
| Series 2005-A Class A2, 4.3031% 2/25/30 (d) | 9,875,800 | 9,882,274 | ||||
| Mortgage Asset Backed Securities Trust floater Series | ||||||
| 2002-NC1 Class M1, 4.68% 10/25/32 (d) | 3,128,220 | 3,140,706 | ||||
| MortgageIT Trust floater: | ||||||
| Series 2004-2: | ||||||
| Class A1, 4.2% 12/25/34 (d) | 4,638,420 | 4,648,806 | ||||
| Class A2, 4.28% 12/25/34 (d) | 6,275,019 | 6,320,305 | ||||
| Series 2005-2 Class 1A1, 4.1% 5/25/35 (d) | 4,811,489 | 4,814,744 | ||||
| Opteum Mortgage Acceptance Corp. floater Series 2005-3 | ||||||
| Class APT, 4.12% 7/25/35 (d) | 18,530,057 | 18,540,914 | ||||
| Permanent Financing No. 3 PLC floater Series 2 Class C, | ||||||
| 4.8838% 6/10/42 (d) | 4,845,000 | 4,893,450 | ||||
| Permanent Financing No. 4 PLC floater Series 2 Class C, | ||||||
| 4.5538% 6/10/42 (d) | 15,400,000 | 15,474,437 | ||||
| Permanent Financing No. 5 PLC floater: | ||||||
| Series 2 Class C, 4.4838% 6/10/42 (d) | 4,215,000 | 4,240,489 | ||||
| Series 3 Class C, 4.6538% 6/10/42 (d) | 8,890,000 | 8,998,425 | ||||
| Permanent Financing No. 6 PLC floater Series 6 Class 2C, | ||||||
| 4.2888% 6/10/42 (d) | 5,350,000 | 5,344,539 | ||||
| Permanent Financing No. 7 PLC floater Series 7: | ||||||
| Class 1B, 3.9238% 6/10/42 (d) | 2,000,000 | 1,999,747 | ||||
| Class 1C, 4.1138% 6/10/42 (d) | 3,840,000 | 3,849,303 | ||||
| Class 2C, 4.1638% 6/10/42 (d) | 8,065,000 | 8,047,042 | ||||
| Permanent Financing No. 8 PLC floater Series 8: | ||||||
| Class 1C, 4.1638% 6/10/42 (d) | 7,165,000 | 7,161,740 | ||||
| Class 2C, 4.2338% 6/10/42 (d) | 9,945,000 | 9,940,465 | ||||
| Residential Asset Mortgage Products, Inc.: | ||||||
| sequential pay Series 2003-SL1 Class 3A1, 7.125% | ||||||
| 4/25/31 | 4,284,316 | 4,353,251 | ||||
| Series 2005-AR5 Class 1A1, 4.903% 9/19/35 (d) | 5,016,521 | 5,020,936 | ||||
119 Annual Report
| Investments (Unaudited) continued | ||||||
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Residential Finance LP/Residential Finance Development | ||||||
| Corp. floater Series 2003-A: | ||||||
| Class B4, 5.5281% 3/10/35 (a)(d) | $ 5,475,801 | $ 5,557,938 | ||||
| Class B5, 6.0781% 3/10/35 (a)(d) | 5,666,940 | 5,791,014 | ||||
| Residential Funding Securities Corp.: | ||||||
| Series 2003-RP1 Class A1, 4.33% 11/25/34 (d) | 2,387,142 | 2,396,787 | ||||
| Series 2003-RP2 Class A1, 4.28% 6/25/33 (a)(d) | 3,567,765 | 3,579,472 | ||||
| Sequoia Mortgage Trust floater: | ||||||
| Series 2003-5 Class A2, 4.37% 9/20/33 (d) | 9,869,908 | 9,866,749 | ||||
| Series 2003-7 Class A2, 3.835% 1/20/34 (d) | 8,292,646 | 8,287,744 | ||||
| Series 2004-1 Class A, 4.15% 2/20/34 (d) | 5,352,427 | 5,344,162 | ||||
| Series 2004-10 Class A4, 3.6681% 11/20/34 (d) | 9,021,376 | 9,016,217 | ||||
| Series 2004-3 Class A, 3.5463% 5/20/34 (d) | 9,243,861 | 9,221,165 | ||||
| Series 2004-4 Class A, 3.5881% 5/20/34 (d) | 11,574,850 | 11,560,488 | ||||
| Series 2004-5 Class A3, 3.77% 6/20/34 (d) | 7,745,333 | 7,741,702 | ||||
| Series 2004-6: | ||||||
| Class A3A, 4.3175% 6/20/35 (d) | 6,761,373 | 6,757,088 | ||||
| Class A3B, 4.08% 7/20/34 (d) | 845,172 | 844,660 | ||||
| Series 2004-7: | ||||||
| Class A3A, 4.365% 8/20/34 (d) | 6,627,084 | 6,622,167 | ||||
| Class A3B, 4.59% 7/20/34 (d) | 1,192,509 | 1,195,319 | ||||
| Series 2004-8 Class A2, 4.41% 9/20/34 (d) | 11,824,016 | 11,827,689 | ||||
| Series 2005-1 Class A2, 4.1% 2/20/35 (d) | 6,778,467 | 6,773,241 | ||||
| Series 2005-2 Class A2, 4.29% 3/20/35 (d) | 11,841,861 | 11,841,861 | ||||
| Series 2005-3 Class A1, 3.9963% 5/20/35 (d) | 8,335,848 | 8,318,878 | ||||
| Structured Adjustable Rate Mortgage Loan Trust floater | ||||||
| Series 2001-14 Class A1, 4.14% 7/25/35 (d) | 10,719,814 | 10,719,814 | ||||
| Structured Asset Securities Corp. floater Series 2004-NP1 | ||||||
| Class A, 4.23% 9/25/33 (a)(d) | 2,217,986 | 2,219,280 | ||||
| Thornburg Mortgage Securities Trust floater: | ||||||
| Series 2004-3 Class A, 4.2% 9/25/34 (d) | 20,272,244 | 20,312,652 | ||||
| Series 2005-3 Class A4, 4.108% 8/25/45 (d) | 17,180,000 | 17,180,000 | ||||
| WAMU Mortgage pass thru certificates: | ||||||
| floater: | ||||||
| Series 2005-AR11 Class A1C1, 4.03% 8/25/45 (d) | 14,112,684 | 14,112,684 | ||||
| Series 2005 AR6 Class 2A 1A, 4.06% 4/25/45 (d) | 5,975,614 | 5,955,102 | ||||
| Series 2005-AR13 Class A1C1, 4.2275% 10/25/45 (d) | 23,000,000 | 23,000,000 | ||||
| Annual Report |
| 120 |
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Wells Fargo Mortgage Backed Securities Trust: | ||||||
| Series 2004-M Class A3, 4.6963% 8/25/34 (d) | $19,880,000 | $ 19,778,179 | ||||
| Series 2005-AR12 Class 2A1, 4.3223% 7/25/35 (d) | 29,218,529 | 28,883,740 | ||||
| TOTAL PRIVATE SPONSOR | 919,943,859 | |||||
| U.S. Government Agency 6.4% | ||||||
| Fannie Mae: | ||||||
| floater: | ||||||
| Series 2000-38 Class F, 4.2394% 11/18/30 (d) | 1,056,182 | 1,064,379 | ||||
| Series 2000-40 Class FA, 4.32% 7/25/30 (d) | 2,281,210 | 2,291,156 | ||||
| Series 2002-89 Class F, 4.13% 1/25/33 (d) | 3,350,148 | 3,355,218 | ||||
| target amortization class Series G94-2 Class D, 6.45% | ||||||
| 1/25/24 | 4,411,824 | 4,499,998 | ||||
| Fannie Mae guaranteed REMIC pass thru certificates: | ||||||
| floater: | ||||||
| Series 2001-34 Class FR, 4.1894% 8/18/31 (d) | 2,367,009 | 2,374,326 | ||||
| Series 2001-44 Class FB, 4.13% 9/25/31 (d) | 2,114,017 | 2,120,062 | ||||
| Series 2001-46 Class F, 4.1894% 9/18/31 (d) | 6,088,369 | 6,121,939 | ||||
| Series 2002-11 Class QF, 4.32% 3/25/32 (d) | 4,222,858 | 4,259,537 | ||||
| Series 2002-36 Class FT, 4.33% 6/25/32 (d) | 1,422,268 | 1,434,270 | ||||
| Series 2002-64 Class FE, 4.1394% 10/18/32 (d) | 2,093,663 | 2,103,206 | ||||
| Series 2002-65 Class FA, 4.13% 10/25/17 (d) | 2,302,618 | 2,306,533 | ||||
| Series 2002-74 Class FV, 4.28% 11/25/32 (d) | 7,876,453 | 7,931,623 | ||||
| Series 2003-11: | ||||||
| Class DF, 4.28% 2/25/33 (d) | 2,877,518 | 2,897,926 | ||||
| Class EF, 4.28% 2/25/33 (d) | 2,080,685 | 2,088,534 | ||||
| Series 2003-119 Class FK, 4.33% 5/25/18 (d) | 2,500,000 | 2,523,405 | ||||
| Series 2003-15 Class WF, 4.18% 8/25/17 (d) | 5,404,393 | 5,425,600 | ||||
| Series 2003-63 Class F1, 4.13% 11/25/27 (d) | 5,763,648 | 5,767,740 | ||||
| Series 2005-45 Class XA, 4.17% 6/25/35 (d) | 74,298,346 | 74,267,779 | ||||
| planned amortization class: | ||||||
| Series 1998-63 Class PG, 6% 3/25/27 | 800,852 | 799,909 | ||||
| Series 2001-62 Class PG, 6.5% 10/25/30 | 2,944,838 | 2,948,170 | ||||
| Series 2001-76 Class UB, 5.5% 10/25/13 | 590,038 | 589,350 | ||||
| Series 2002-16 Class QD, 5.5% 6/25/14 | 272,009 | 272,519 | ||||
| Series 2002-28 Class PJ, 6.5% 3/25/31 | 3,732,778 | 3,734,286 | ||||
| Series 2002-8 Class PD, 6.5% 7/25/30 | 2,442,173 | 2,447,766 | ||||
| Series 2005-72 Class FG, 4.08% 5/25/35 (d) | 51,234,540 | 51,079,581 | ||||
121 Annual Report
| Investments (Unaudited) continued | ||||||
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| U.S. Government Agency continued | ||||||
| Freddie Mac: | ||||||
| floater: | ||||||
| Series 2510 Class FE, 4.1681% 10/15/32 (d) | $ 5,715,277 | $ 5,746,827 | ||||
| 0% 9/15/35 (d) | 854,545 | 828,909 | ||||
| planned amortization class: | ||||||
| Series 2091 Class PP, 6% 2/15/27 | 261,467 | 261,106 | ||||
| Series 2353 Class PC, 6.5% 9/15/15 | 967,841 | 969,335 | ||||
| Freddie Mac Manufactured Housing participation certificates | ||||||
| guaranteed floater Series 2338 Class FJ, 3.9681% | ||||||
| 7/15/31 (d) | 4,919,686 | 4,918,386 | ||||
| Freddie Mac Multi-class participation certificates guaranteed: | ||||||
| floater: | ||||||
| Series 2395 Class FA, 4.3681% 6/15/29 (d) | 1,092,096 | 1,099,242 | ||||
| Series 2406: | ||||||
| Class FP, 4.7481% 1/15/32 (d) | 10,270,000 | 10,491,773 | ||||
| Class PF, 4.7481% 12/15/31 (d) | 8,125,000 | 8,332,235 | ||||
| Series 2410 Class PF, 4.7481% 2/15/32 (d) | 18,644,444 | 19,060,741 | ||||
| Series 2474 Class FJ, 4.1181% 7/15/17 (d) | 4,331,267 | 4,353,673 | ||||
| Series 2526 Class FC, 4.1681% 11/15/32 (d) | 3,152,494 | 3,162,233 | ||||
| Series 2538 Class FB, 4.1681% 12/15/32 (d) | 6,277,777 | 6,315,699 | ||||
| Series 2551 Class FH, 4.2181% 1/15/33 (d) | 2,959,949 | 2,972,585 | ||||
| Series 2861 Class JF, 4.0681% 4/15/17 (d) | 6,852,338 | 6,850,151 | ||||
| Series 2994 Class FB, 3.9181% 6/15/20 (d) | 6,647,098 | 6,631,097 | ||||
| planned amortization class: | ||||||
| Series 2136 Class PE, 6% 1/15/28 | 10,378,825 | 10,418,016 | ||||
| Series 2394 Class ND, 6% 6/15/27 | 587,334 | 587,187 | ||||
| Series 2395 Class PE, 6% 2/15/30 | 4,447,447 | 4,468,111 | ||||
| Series 2398 Class DK, 6.5% 1/15/31 | 236,820 | 236,922 | ||||
| Series 2410 Class ML, 6.5% 12/15/30 | 1,069,946 | 1,072,088 | ||||
| Series 2420 Class BE, 6.5% 12/15/30 | 961,583 | 961,848 | ||||
| Series 2443 Class TD, 6.5% 10/15/30 | 1,793,679 | 1,798,791 | ||||
| Series 2461 Class PG, 6.5% 1/15/31 | 2,027,839 | 2,050,146 | ||||
| Series 2650 Class FV, 4.1681% 12/15/32 (d) | 14,042,153 | 14,060,363 | ||||
| Series 2776 Class UJ, 4.5% 5/15/20 (e) | 6,660,101 | 345,325 | ||||
| Series 2828 Class JA, 4.5% 1/15/10 | 10,955,858 | 10,959,149 | ||||
| Series 3013 Class AF, 4.0181% 5/15/35 (d) | 80,739,897 | 80,382,844 | ||||
| sequential pay Series 2430 Class ZE, 6.5% 8/15/27 | 328,637 | 328,381 | ||||
| Ginnie Mae guaranteed REMIC pass thru securities floater: | ||||||
| Series 2001-46 Class FB, 4.1219% 5/16/23 (d) | 2,819,644 | 2,831,835 | ||||
| Series 2001-50 Class FV, 3.9719% 9/16/27 (d) | 8,689,581 | 8,689,113 | ||||
| Annual Report |
| 122 |
| Collateralized Mortgage Obligations continued | ||||
| Principal | Value | |||
| Amount | ||||
| U.S. Government Agency continued | ||||
| Ginnie Mae guaranteed REMIC pass thru securities floater: – | ||||
| continued | ||||
| Series 2002-24 Class FX, 4.3219% 4/16/32 (d) | $ 2,453,441 | $ 2,475,244 | ||
| Series 2002-31 Class FW, 4.1719% 6/16/31 (d) | 3,364,460 | 3,383,514 | ||
| Series 2002-5 Class KF, 4.1719% 8/16/26 (d) | 474,812 | 475,074 | ||
| TOTAL U.S. GOVERNMENT AGENCY | 422,222,755 | |||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||
| (Cost $1,343,654,425) | 1,342,166,614 | |||
| Commercial Mortgage Securities 5.4% | ||||
| Banc of America Large Loan, Inc. floater: | ||||
| Series 2003-BBA2 Class A3, 4.0881% 11/15/15 (a)(d) | 5,038,226 | 5,042,678 | ||
| Series 2005-BBA6: | ||||
| Class B, 3.9781% 1/15/19 (a)(d) | 2,800,000 | 2,799,998 | ||
| Class C, 4.0181% 1/15/19 (a)(d) | 2,857,948 | 2,857,946 | ||
| Class D, 4.07% 1/15/19 (a)(d) | 2,800,000 | 2,799,998 | ||
| Class E, 4.1081% 1/15/19 (a)(d) | 1,750,000 | 1,749,998 | ||
| Class F, 4.1581% 1/15/19 (a)(d) | 1,170,000 | 1,169,999 | ||
| Class G, 4.1881% 1/15/19 (a)(d) | 915,000 | 915,000 | ||
| Series 2005-BOCA: | ||||
| Class H, 4.7181% 12/15/16 (a)(d) | 2,065,000 | 2,062,371 | ||
| Class J, 4.8681% 12/15/16 (a)(d) | 1,020,000 | 1,018,703 | ||
| Class K, 5.1181% 12/15/16 (a)(d) | 6,659,000 | 6,652,116 | ||
| Bank of America Large Loan, Inc.: | ||||
| floater Series 2005-ESHA: | ||||
| Class F, 4.63% 7/14/08 (a)(b)(d) | 6,395,000 | 6,395,000 | ||
| Class G, 4.76% 7/14/08 (a)(b)(d) | 4,355,000 | 4,355,000 | ||
| Class H, 4.98% 7/14/08 (a)(b)(d) | 5,365,000 | 5,365,000 | ||
| Series 2005 ESHA Class X1, 0.696% 7/14/08 (a)(b)(d)(e) | 334,645,000 | 5,112,372 | ||
| Bayview Commercial Asset Trust floater: | ||||
| Series 2003-1 Class A, 4.2213% 8/25/33 (a)(d) | 6,317,900 | 6,392,956 | ||
| Series 2003-2: | ||||
| Class A, 4.41% 12/25/33 (a)(d) | 13,127,372 | 13,287,836 | ||
| Class M1, 4.68% 12/25/33 (a)(d) | 2,136,269 | 2,171,502 | ||
| Series 2004-1: | ||||
| Class A, 4.19% 4/25/34 (a)(d) | 6,224,975 | 6,227,901 | ||
| Class B, 5.73% 4/25/34 (a)(d) | 646,751 | 654,153 | ||
| Class M1, 4.39% 4/25/34 (a)(d) | 565,907 | 568,383 | ||
| Class M2, 5.03% 4/25/34 (a)(d) | 485,063 | 490,747 | ||
123 Annual Report
| Investments (Unaudited) continued | ||||||||
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Bayview Commercial Asset Trust floater: – continued | ||||||||
| Series 2004-2: | ||||||||
| Class A, 4.26% 8/25/34 (a)(d) | $ 6,109,217 | $ 6,122,596 | ||||||
| Class M1, 4.41% 8/25/34 (a)(d) | 1,969,875 | 1,977,570 | ||||||
| Series 2004-3: | ||||||||
| Class A1, 4.2% 1/25/35 (a)(d) | 6,475,016 | 6,482,074 | ||||||
| Class A2, 4.25% 1/25/35 (a)(d) | 899,933 | 903,103 | ||||||
| Class M1, 4.33% 1/25/35 (a)(d) | 1,079,169 | 1,080,629 | ||||||
| Class M2, 4.83% 1/25/35 (a)(d) | 703,806 | 707,992 | ||||||
| Series 2005-2A: | ||||||||
| Class M1, 4.3% 8/25/35 (a)(d) | 1,288,534 | 1,288,534 | ||||||
| Class M2, 4.32% 8/25/35 (a)(d) | 2,121,126 | 2,121,126 | ||||||
| Class M3, 4.38% 8/25/35 (a)(d) | 1,174,549 | 1,174,549 | ||||||
| Class M4, 4.53% 8/25/35 (a)(d) | 1,080,387 | 1,080,387 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. floater: | ||||||||
| Series 2003 BA1A: | ||||||||
| Class JFCM, 5.17% 4/14/15 (a)(d) | 1,344,296 | 1,347,949 | ||||||
| Class KFCM, 5.6% 4/14/15 (a)(d) | 1,436,661 | 1,440,773 | ||||||
| Class LFCM, 6% 4/14/15 (a)(d) | 1,601,905 | 1,601,896 | ||||||
| Class MFCM, 6.3% 4/14/15 (a)(d) | 2,218,251 | 2,218,238 | ||||||
| Series 2004-BBA3 Class E, 4.4681% 6/15/17 (a)(d) | 10,415,000 | 10,416,411 | ||||||
| Chase Commercial Mortgage Securities Corp. floater | ||||||||
| Series 2000-FL1A: | ||||||||
| Class B, 4.1781% 12/12/13 (a)(d) | 896,672 | 878,739 | ||||||
| Class C, 4.5281% 12/12/13 (a)(d) | 1,793,345 | 1,793,345 | ||||||
| COMM floater: | ||||||||
| Series 2001-FL5A Class E, 5.2681% 11/15/13 (a)(d) | 3,021,068 | 3,020,103 | ||||||
| Series 2002-FL6: | ||||||||
| Class F, 5.2181% 6/14/14 (a)(d) | 11,163,000 | 11,182,139 | ||||||
| Class G, 5.6681% 6/14/14 (a)(d) | 5,000,000 | 4,999,659 | ||||||
| Series 2003-FL9 Class B, 4.2681% 11/15/15 (a)(d) | 8,579,991 | 8,604,476 | ||||||
| Commercial Mortgage pass thru certificates floater: | ||||||||
| Series 2004-CNL: | ||||||||
| Class A2, 4.0681% 9/15/14 (a)(d) | 3,570,000 | 3,573,125 | ||||||
| Class G, 4.7481% 9/15/14 (a)(d) | 1,345,000 | 1,345,534 | ||||||
| Class H, 4.8481% 9/15/14 (a)(d) | 1,430,000 | 1,430,567 | ||||||
| Class J, 5.3681% 9/15/14 (a)(d) | 490,000 | 491,353 | ||||||
| Class K, 5.7681% 9/15/14 (a)(d) | 770,000 | 771,393 | ||||||
| Class L, 5.9681% 9/15/14 (a)(d) | 625,000 | 624,774 | ||||||
| Series 2004-HTL1: | ||||||||
| Class B, 4.2181% 7/15/16 (a)(d) | 426,802 | 427,072 | ||||||
| Annual Report |
| 124 |
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Commercial Mortgage pass thru certificates floater: - | ||||||||
| continued | ||||||||
| Series 2004-HTL1: | ||||||||
| Class D, 4.3181% 7/15/16 (a)(d) | $ 969,949 | $ 970,109 | ||||||
| Class E, 4.5181% 7/15/16 (a)(d) | 694,177 | 694,425 | ||||||
| Class F, 4.5681% 7/15/16 (a)(d) | 734,671 | 735,088 | ||||||
| Class H, 5.0681% 7/15/16 (a)(d) | 2,129,763 | 2,130,459 | ||||||
| Class J, 5.2181% 7/15/16 (a)(d) | 818,412 | 818,679 | ||||||
| Class K, 6.1181% 7/15/16 (a)(d) | 921,324 | 921,038 | ||||||
| Commercial Mortgage pass thru Certificates floater Series | ||||||||
| 2005-F10A: | ||||||||
| Class B, 3.9981% 4/15/17 (a)(d) | 7,080,000 | 7,074,591 | ||||||
| Class C, 4.0381% 4/15/17 (a)(d) | 3,006,000 | 3,000,368 | ||||||
| Class D, 4.0781% 4/15/17 (a)(d) | 2,440,000 | 2,437,663 | ||||||
| Class E, 4.1381% 4/15/17 (a)(d) | 1,821,000 | 1,819,257 | ||||||
| Class F, 4.1781% 4/15/17 (a)(d) | 1,035,000 | 1,034,719 | ||||||
| Class G, 4.3181% 4/15/17 (a)(d) | 1,035,000 | 1,034,956 | ||||||
| Class H, 4.3881% 4/15/17 (a)(d) | 1,035,000 | 1,034,365 | ||||||
| Class I, 4.6181% 4/15/17 (a)(d) | 335,000 | 334,605 | ||||||
| Class MOA3, 4.0681% 3/15/20 (a)(d) | 4,590,000 | 4,589,812 | ||||||
| CS First Boston Mortgage Securities Corp.: | ||||||||
| floater: | ||||||||
| Series 2003-TF2A Class A2, 4.0881% 11/15/14 (a)(d) . | 3,837,106 | 3,838,834 | ||||||
| Series 2004-FL1 Class B, 4.2181% 5/15/14 (a)(d) | 11,230,000 | 11,246,403 | ||||||
| Series 2004-HC1: | ||||||||
| Class A2, 4.2681% 12/15/21 (a)(d) | 1,475,000 | 1,474,997 | ||||||
| Class B, 4.5181% 12/15/21 (a)(d) | 3,835,000 | 3,834,992 | ||||||
| Series 2004-TF2A Class E, 4.1881% 11/15/19 (a)(d) | 4,450,000 | 4,456,359 | ||||||
| Series 2004-TFL1: | ||||||||
| Class A2, 3.9581% 2/15/14 (a)(d) | 7,005,000 | 7,005,853 | ||||||
| Class E, 4.3181% 2/15/14 (a)(d) | 2,800,000 | 2,802,824 | ||||||
| Class F, 4.3681% 2/15/14 (a)(d) | 2,325,000 | 2,327,963 | ||||||
| Class G, 4.6181% 2/15/14 (a)(d) | 1,875,000 | 1,879,139 | ||||||
| Class H, 4.8681% 2/15/14 (a)(d) | 1,400,000 | 1,403,371 | ||||||
| Class J, 5.1681% 2/15/14 (a)(d) | 750,000 | 753,317 | ||||||
| Series 2005-TF2A Class F, 4.2681% 11/15/19 (a)(d) | 1,540,000 | 1,542,198 | ||||||
| Series 2005-TFLA: | ||||||||
| Class C, 4.0081% 2/15/20 (a)(d) | 5,650,000 | 5,649,989 | ||||||
| Class E, 4.0981% 2/15/20 (a)(d) | 3,955,000 | 3,954,988 | ||||||
| Class F, 4.1481% 2/15/20 (a)(d) | 1,745,000 | 1,744,997 | ||||||
| Class G, 4.2881% 2/15/20 (a)(d) | 505,000 | 504,998 |
125 Annual Report
| Investments (Unaudited) continued | ||||||||
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| CS First Boston Mortgage Securities Corp.: – continued | ||||||||
| Series 2005-TFLA: | ||||||||
| Class H, 4.5181% 2/15/20 (a)(d) | $ 715,000 | $ 714,998 | ||||||
| sequential pay Series 1997-C2 Class A2, 6.52% 1/17/35 | 235,680 | 236,453 | ||||||
| GMAC Commercial Mortgage Securities, Inc. floater Series | ||||||||
| 2001-FL1A Class E, 4.5781% 2/11/11 (a)(d) | 152,562 | 152,409 | ||||||
| GS Mortgage Securities Corp. II floater Series 2005-FL7A | ||||||||
| Class A1, 3.84% 11/6/19 (a)(d) | 10,128,306 | 10,129,534 | ||||||
| Impac CMB Trust Series 2005-7 Class M4, 4.388% | ||||||||
| 11/25/35 (d) | 3,169,000 | 3,169,000 | ||||||
| John Hancock Tower Mortgage Trust floater Series 2003-C5A | ||||||||
| Class B, 6.2166% 4/10/15 (a)(d) | 8,245,000 | 8,245,000 | ||||||
| Lehman Brothers Floating Rate Commercial Mortgage Trust: | ||||||||
| floater Series 2003-LLFA: | ||||||||
| Class A2, 4.14% 12/16/14 (a)(d) | 11,700,000 | 11,705,144 | ||||||
| Class B, 4.35% 12/16/14 (a)(d) | 4,615,000 | 4,623,295 | ||||||
| Class C, 4.45% 12/16/14 (a)(d) | 4,982,000 | 4,993,212 | ||||||
| Series 2005-LLFA Class FAIR, 5.4181% 7/15/18 (a)(d) | 4,360,000 | 4,360,000 | ||||||
| Morgan Stanley Capital I, Inc. Series 2005-XLF: | ||||||||
| Class B, 3.9781% 8/15/19 (a)(d) | 6,705,000 | 6,705,000 | ||||||
| Class C, 4.0081% 8/15/19 (a)(d) | 525,000 | 525,000 | ||||||
| Class D, 4.0281% 8/15/19 (a)(d) | 1,915,000 | 1,915,000 | ||||||
| Class E, 4.0481% 8/15/19 (a)(d) | 1,745,000 | 1,745,000 | ||||||
| Class F, 4.0881% 8/15/19 (a)(d) | 1,220,000 | 1,220,000 | ||||||
| Class G, 4.1381% 8/15/19 (a)(d) | 870,000 | 870,000 | ||||||
| Class H, 4.1581% 8/15/19 (a)(d) | 695,000 | 695,000 | ||||||
| Class J, 4.2281% 8/15/19 (a)(d) | 525,000 | 525,000 | ||||||
| Morgan Stanley Dean Witter Capital I Trust floater | ||||||||
| Series 2002-XLF Class F, 5.8663% 8/5/14 (a)(d) | 5,359,368 | 5,359,351 | ||||||
| Salomon Brothers Mortgage Securities VII, Inc.: | ||||||||
| floater Series 2001-CDCA: | ||||||||
| Class C, 4.5681% 2/15/13 (a)(d) | 4,711,321 | 4,701,152 | ||||||
| Class D, 4.5681% 2/15/13 (a)(d) | 4,000,000 | 3,987,882 | ||||||
| Series 2000-NL1 Class E, 7.0607% 10/15/30 (a)(d) | 3,188,867 | 3,197,433 | ||||||
| SDG Macerich Properties LP floater Series 2000-1 Class A3, | ||||||||
| 4.1081% 5/15/09 (a)(d) | 18,000,000 | 17,994,375 | ||||||
| STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A | ||||||||
| Class A, 4.31% 3/24/18 (a)(d) | 6,950,497 | 6,950,497 | ||||||
| Wachovia Bank Commercial Mortgage Trust floater: | ||||||||
| Series 2004-WHL3: | ||||||||
| Class A2, 3.9481% 3/15/14 (a)(d) | 3,510,000 | 3,510,856 | ||||||
| Class E, 4.2681% 3/15/14 (a)(d) | 2,190,000 | 2,191,761 | ||||||
| Annual Report |
| 126 |
| Commercial Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Wachovia Bank Commercial Mortgage Trust floater: - | ||||||
| continued | ||||||
| Series 2004-WHL3: | ||||||
| Class F, 4.3181% 3/15/14 (a)(d) | $ 1,755,000 | $ 1,756,359 | ||||
| Class G, 4.5481% 3/15/14 (a)(d) | 875,000 | 875,871 | ||||
| Series 2005-WL5A: | ||||||
| Class KHP1, 4.1181% 1/15/18 (a)(d) | 1,745,000 | 1,744,663 | ||||
| Class KHP2, 4.3181% 1/15/18 (a)(d) | 1,745,000 | 1,747,772 | ||||
| Class KHP3, 4.6181% 1/15/18 (a)(d) | 2,060,000 | 2,062,033 | ||||
| Class KHP4, 4.7181% 1/15/18 (a)(d) | 1,600,000 | 1,602,203 | ||||
| Class KHP5, 4.9181% 1/15/18 (a)(d) | 1,855,000 | 1,845,971 | ||||
| TOTAL COMMERCIAL MORTGAGE SECURITIES | ||||||
| (Cost $361,655,067) | 362,304,343 | |||||
| Certificates of Deposit 0.9% | ||||||
| DEPFA BANK PLC yankee 4.265% 9/1/06 | 30,000,000 | 29,964,651 | ||||
| Deutsche Bank AG yankee 4.21% 8/24/06 | 30,000,000 | 29,958,345 | ||||
| TOTAL CERTIFICATES OF DEPOSIT | ||||||
| (Cost $60,000,000) | 59,922,996 | |||||
| Commercial Paper 0.4% | ||||||
| Fortune Brands, Inc. 3.79% 10/31/05 | ||||||
| (Cost $26,416,304) | 26,500,000 | 26,417,781 | ||||
127 Annual Report
| Investments (Unaudited) continued | ||||||||
| Cash Equivalents 36.3% | ||||||||
| Maturity | Value | |||||||
| Amount | ||||||||
| Investments in repurchase agreements (Collateralized by | ||||||||
| U.S. Government Obligations, in a joint trading | ||||||||
| account at 3.89%, dated 9/30/05 due 10/3/05) (g) | $ 2,120,321,927 | $2,119,634,000 | ||||||
| Investments in repurchase agreements (Collateralized by | ||||||||
| U.S. Treasury Obligations, in a joint trading account at | ||||||||
| 3.27%, dated 9/30/05 due 10/3/05) (g) | 6,298,716 | 6,297,000 | ||||||
| With Goldman Sachs & Co. at 4.04%, dated 8/23/05 | ||||||||
| due 11/21/05 (Collateralized by Mortgage Loan | ||||||||
| Obligations valued at $304,500,001, 4.54%– 4.56%, | ||||||||
| 9/25/35 - 9/25/35) (d)(f) | 292,929,000 | 289,962,793 | ||||||
| TOTAL CASH EQUIVALENTS | ||||||||
| (Cost $2,415,931,000) | 2,415,893,793 | |||||||
| TOTAL INVESTMENT PORTFOLIO 101.0% | ||||||||
| (Cost $6,720,022,154) | 6,725,584,889 | |||||||
| NET OTHER ASSETS – (1.0)% | (65,032,717) | |||||||
| NET ASSETS 100% | $ 6,660,552,172 | |||||||
| Futures Contracts | ||||||||
| Expiration | Underlying | Unrealized | ||||||
| Date | Face Amount | Appreciation/ | ||||||
| at Value | (Depreciation) | |||||||
| Sold | ||||||||
| Eurodollar Contracts | ||||||||
| 73 Eurodollar 90 Day Index Contracts | Dec. 2005 | $72,199,738 | $ 56,706 | |||||
| 49 Eurodollar 90 Day Index Contracts | March 2006 | 48,442,625 | 50,086 | |||||
| 32 Eurodollar 90 Day Index Contracts | June 2006 | 31,631,600 | 30,247 | |||||
| 32 Eurodollar 90 Day Index Contracts | Sept. 2006 | 31,630,800 | 28,072 | |||||
| 31 Eurodollar 90 Day Index Contracts | Dec. 2006 | 30,642,725 | 23,176 | |||||
| 29 Eurodollar 90 Day Index Contracts | March 2007 | 28,668,313 | 17,947 | |||||
| 22 Eurodollar 90 Day Index Contracts | June 2007 | 21,748,925 | 8,962 | |||||
| 21 Eurodollar 90 Day Index Contracts | Sept. 2007 | 20,760,075 | 7,941 | |||||
| 20 Eurodollar 90 Day Index Contracts | Dec. 2007 | 19,770,250 | 7,370 | |||||
| 20 Eurodollar 90 Day Index Contracts | March 2008 | 19,770,000 | 6,620 | |||||
| 13 Eurodollar 90 Day Index Contracts | June 2008 | 12,850,013 | 8,836 | |||||
| 12 Eurodollar 90 Day Index Contracts | Sept. 2008 | 11,860,950 | 8,052 | |||||
| 5 Eurodollar 90 Day Index Contracts | Dec. 2008 | 4,941,625 | 1,230 | |||||
| 3 Eurodollar 90 Day Index Contracts | March 2009 | 2,964,900 | 688 | |||||
| TOTAL EURODOLLAR CONTRACTS | $ 255,933 | |||||||
Annual Report 128
| Swap Agreements | ||||||||||
| Expiration | Notional | Value | ||||||||
| Date | Amount | |||||||||
| Credit Default Swap | ||||||||||
| Receive from Citibank, upon default event | ||||||||||
| of DaimlerChrysler NA Holding Corp., | ||||||||||
| par value of the notional amount of | ||||||||||
| DaimlerChrysler NA Holding Corp. 6.5% | ||||||||||
| 11/15/13, and pay quarterly notional | ||||||||||
| amount multiplied by .8% | June 2007 | $ 14,000,000 | $ (129,454) | |||||||
| Receive quarterly notional amount | ||||||||||
| multiplied by .48% and pay Goldman | ||||||||||
| Sachs upon default event of TXU Energy | ||||||||||
| Co. LLC, par value of the notional amount | ||||||||||
| of TXU Energy Co. LLC 7% 3/15/13 | Sept. 2008 | 13,540,000 | (82,090) | |||||||
| Receive quarterly notional amount | ||||||||||
| multiplied by 1.12% and pay Morgan | ||||||||||
| Stanley, Inc. upon default of Comcast | ||||||||||
| Cable Communications, Inc., par value of | ||||||||||
| the notional amount of Comcast Cable | ||||||||||
| Communications, Inc. 6.75% 1/30/11 | June 2006 | 10,000,000 | 75,975 | |||||||
| TOTAL CREDIT DEFAULT SWAP | $ 37,540,000 | $ (135,569) | ||||||||
| Total Return Swap | ||||||||||
| Receive monthly notional amount multiplied | ||||||||||
| by the nominal spread appreciation of | ||||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||||
| gate Index adjusted by a modified dura- | ||||||||||
| tion factor plus 10 basis points and pay | ||||||||||
| monthly notional amount multiplied by | ||||||||||
| the nominal spread depreciation of the | ||||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||||
| Index adjusted by a modified duration | ||||||||||
| factor with Lehman Brothers, Inc. | Oct. 2005 | 48,200,000 | (43,480) | |||||||
| Receive monthly notional amount multiplied | ||||||||||
| by the nominal spread appreciation of the | ||||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||||
| Index adjusted by a modified duration fac | ||||||||||
| tor plus 30 basis points and pay monthly | ||||||||||
| notional amount multiplied by the nominal | ||||||||||
| spread depreciation of the Lehman Broth | ||||||||||
| ers CMBS U.S. Aggregate Index adjusted | ||||||||||
| by a modified duration factor with | ||||||||||
| Citibank | April 2006 | 67,500,000 | (31,167) | |||||||
129 Annual Report
| Investments (Unaudited) continued | ||||||||
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Total Return Swap continued | ||||||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration fac | ||||||||
| tor plus 15 basis points and pay monthly | ||||||||
| notional amount multiplied by the nominal | ||||||||
| spread depreciation of the Lehman Broth | ||||||||
| ers CMBS U.S. Aggregate Index adjusted | ||||||||
| by a modified duration factor with Citibank | April 2006 | $ 48,200,000 | $ 0 | |||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of | ||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||
| gate Index adjusted by a modified dura- | ||||||||
| tion factor plus 25 basis points and pay | ||||||||
| monthly notional amount multiplied by | ||||||||
| the nominal spread depreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration | ||||||||
| factor with Lehman Brothers, Inc. | Dec. 2005 | 30,000,000 | (23,390) | |||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of | ||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||
| gate Index adjusted by a modified dura- | ||||||||
| tion factor plus 22 basis points and pay | ||||||||
| monthly notional amount multiplied by | ||||||||
| the nominal spread depreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration | ||||||||
| factor with Lehman Brothers, Inc. | Jan. 2006 | 35,100,000 | (27,970) | |||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of | ||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||
| gate Index adjusted by a modified dura- | ||||||||
| tion factor plus 7.5 basis points and pay | ||||||||
| monthly notional amount multiplied by | ||||||||
| the nominal spread depreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration | ||||||||
| factor with Lehman Brothers, Inc. | Nov. 2005 | 35,100,000 | (13,586) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers ABS Floating Rate Index and | ||||||||
| pay monthly a floating rate based on the | ||||||||
| 1-month LIBOR minus 11.1 basis points | ||||||||
| with Lehman Brothers, Inc. | Nov. 2005 | 30,000,000 | 8,273 | |||||
| TOTAL TOTAL RETURN SWAP | $ 294,100,000 | $ (131,320) | ||||||
| $ 331,640,000 | $ (266,889) | |||||||
Annual Report 130
| Legend (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $605,971,272 or 9.1% of net assets. (b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $990,994. (d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (e) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. (f) The maturity amount is based on the rate at period end. (g) Additional information on each counterparty to the repurchase agreement is as follows: |
| Repurchase Agreement/ | Value | |||
| Counterparty | ||||
| $6,297,000 due | ||||
| 10/3/05 at 3.27% | ||||
| Banc of America | ||||
| Securities LLC. | $ 878,400 | |||
| Barclays Capital Inc. | 2,037,889 | |||
| BNP Paribas Securities | ||||
| Corp. | 2,318,977 | |||
| State Street Bank and | ||||
| Trust Company | 1,061,734 | |||
| $ 6,297,000 |
| Repurchase Agreement/ | Value | |
| Counterparty | ||
| $2,119,634,000 due | ||
| 10/3/05 at 3.89% | ||
| Banc of America | ||
| Securities LLC. | $ 406,558,229 | |
| Bank of America, | ||
| National Association | 138,994,266 | |
| Barclays Capital Inc. | 625,474,199 | |
| Bear Stearns & Co. Inc. . | 104,245,700 | |
| Countrywide Securities | ||
| Corporation | 138,994,266 | |
| Goldman Sachs & Co. | 382,234,233 | |
| Morgan Stanley & Co. | ||
| Incorporated. | 34,720,003 | |
| UBS Securities LLC | 288,413,104 | |
| $ 2,119,634,000 |
Income Tax Information
At September 30, 2005, the fund had a capital loss carryforward of approximately $4,905,519 all of which will expire on September 30, 2011.
131 Annual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll free number to access account balances, positions, quotes and trading. It’s easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
By PC
Fidelity’s web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.
* When you call the quotes line, please remember that a fund’s yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guar anteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
Annual Report 132
To Write Fidelity
We’ll give your correspondence immediate attention and send you written confirmation upon completion of your request.
(such as changing name, address, bank, etc.)
| Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0002 |
| Buying shares Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0003 Overnight Express Fidelity Investments Attn: Distribution Services 100 Crosby Parkway KC1H Covington, KY 41015 Selling shares Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0035 Overnight Express Fidelity Investments Attn: Distribution Services 100 Crosby Parkway KC1H Covington, KY 41015 General Correspondence Fidelity Investments P.O. Box 500 Merrimack, NH 03054-0500 |
| Buying shares Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0003 Selling shares Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0035 Overnight Express Fidelity Investments Attn: Distribution Services 100 Crosby Parkway KC1H Covington, KY 41015 General Correspondence Fidelity Investments P.O. Box 500 Merrimack, NH 03054-0500 |
133 Annual Report
To Visit Fidelity
| For directions and hours, please call 1-800-544-9797. Arizona 7001 West Ray Road Chandler, AZ 7373 N. Scottsdale Road Scottsdale, AZ California 815 East Birch Street Brea, CA 1411 Chapin Avenue Burlingame, CA 851 East Hamilton Avenue Campbell, CA 19200 Von Karman Avenue Irvine, CA 601 Larkspur Landing Circle Larkspur, CA 10100 Santa Monica Blvd. Los Angeles, CA 27101 Puerta Real Mission Viejo, CA 73 575 El Paseo Palm Desert, CA 251 University Avenue Palo Alto, CA 123 South Lake Avenue Pasadena, CA 16995 Bernardo Ctr. Drive Rancho Bernardo, CA 1740 Arden Way Sacramento, CA 7676 Hazard Center Drive San Diego, CA 8 Montgomery Street San Francisco, CA 3793 State Street Santa Barbara, CA 21701 Hawthorne Boulevard Torrance, CA 2001 North Main Street Walnut Creek, CA 6300 Canoga Avenue Woodland Hills, CA |
| Colorado 1625 Broadway Denver, CO 9185 East Westview Road Littleton, CO Connecticut 48 West Putnam Avenue Greenwich, CT 265 Church Street New Haven, CT 300 Atlantic Street Stamford, CT 29 South Main Street West Hartford, CT Delaware 222 Delaware Avenue Wilmington, DE Florida 4400 N. Federal Highway Boca Raton, FL 121 Alhambra Plaza Coral Gables, FL 2948 N. Federal Highway Ft. Lauderdale, FL 1907 West State Road 434 Longwood, FL 8880 Tamiami Trail, North Naples, FL 3550 Tamiami Trail, South Sarasota, FL 1502 N. Westshore Blvd. Tampa, FL 2465 State Road 7 Wellington, FL 3501 PGA Boulevard West Palm Beach, FL Georgia 3445 Peachtree Road, N.E. Atlanta, GA 1000 Abernathy Road Atlanta, GA Illinois One North LaSalle Street Chicago, IL 875 North Michigan Ave. Chicago, IL 1415 West 22nd Street Oak Brook, IL |
| 1700 East Golf Road Schaumburg, IL 3232 Lake Avenue Wilmette, IL Indiana 4729 East 82nd Street Indianapolis, IN Kansas 5400 College Boulevard Overland Park, KS Maine Three Canal Plaza Portland, ME Maryland 7315 Wisconsin Avenue Bethesda, MD One W. Pennsylvania Ave. Towson, MD Massachusetts 801 Boylston Street Boston, MA 155 Congress Street Boston, MA 300 Granite Street Braintree, MA 44 Mall Road Burlington, MA 405 Cochituate Road Framingham, MA 416 Belmont Street Worcester, MA Michigan 500 E. Eisenhower Pkwy. Ann Arbor, MI 280 Old N. Woodward Ave. Birmingham, MI 43420 Grand River Avenue Novi, MI 29155 Northwestern Hwy. Southfield, MI Minnesota 7600 France Avenue South Edina, MN Missouri 8885 Ladue Road Ladue, MO |
Annual Report 134
| Nevada 2225 Village Walk Drive Henderson, NV New Jersey 150 Essex Street Millburn, NJ 56 South Street Morristown, NJ 396 Route 17, North Paramus, NJ 3518 Route 1 North Princeton, NJ 530 Highway 35 Shrewsbury, NJ New York 1055 Franklin Avenue Garden City, NY 37 West Jericho Turnpike Huntington Station, NY 1271 Avenue of the Americas New York, NY 61 Broadway New York, NY 350 Park Avenue New York, NY 200 Fifth Avenue New York, NY 733 Third Avenue New York, NY 11 Penn Plaza New York, NY 2070 Broadway New York, NY 1075 Northern Blvd. Roslyn, NY North Carolina 4611 Sharon Road Charlotte, NC Ohio 3805 Edwards Road Cincinnati, OH 1324 Polaris Parkway Columbus, OH 28699 Chagrin Boulevard Woodmere Village, OH Oregon 16850 SW 72nd Avenue Tigard, OR |
| Pennsylvania 600 West DeKalb Pike King of Prussia, PA 1735 Market Street Philadelphia, PA 12001 Perry Highway Wexford, PA Rhode Island 47 Providence Place Providence, RI Tennessee 6150 Poplar Avenue Memphis, TN Texas 10000 Research Boulevard Austin, TX 4001 Northwest Parkway Dallas, TX 12532 Memorial Drive Houston, TX 2701 Drexel Drive Houston, TX 6500 N. MacArthur Blvd. Irving, TX 6005 West Park Boulevard Plano, TX 14100 San Pedro San Antonio, TX 1576 East Southlake Blvd. Southlake, TX 19740 IH 45 North Spring, TX Utah 215 South State Street Salt Lake City, UT Virginia 1861 International Drive McLean, VA Washington 411 108th Avenue, N.E. Bellevue, WA 1518 6th Avenue Seattle, WA Washington, DC 1900 K Street, N.W. Washington, DC Wisconsin 595 North Barker Road Brookfield, WI |
Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC
135 Annual Report
135
| Investment Adviser Fidelity Management & Research Company Boston, MA Investment Sub Advisers FMR Co., Inc. Fidelity Investments Money Management, Inc. Fidelity Management & Research (U.K.) Inc. Fidelity Management & Research (Far East) Inc. Fidelity Investments Japan Limited Fidelity International Investment Advisors Fidelity International Investment Advisors (U.K.) Limited General Distributor Fidelity Distributors Corporation Boston, MA Transfer and Service Agent Fidelity Service Company, Inc. Boston, MA Custodian JPMorgan Chase Bank New York, NY |
| The Fidelity Telephone Connection | ||||||||
| Mutual Fund 24-Hour Service | ||||||||
| Exchanges/Redemptions | ||||||||
| and Account Assistance | 1-800-544-6666 | |||||||
| Product Information | 1-800-544-6666 | |||||||
| Retirement Accounts | 1-800-544-4774 | |||||||
| (8 a.m. 9 p.m.) | ||||||||
| TDD Service | 1-800-544-0118 | |||||||
| (for the deaf and hearing impaired) | ||||||||
| (9 a.m. 9 p.m. Eastern time) | ||||||||
| Fidelity Automated Service | ||||||||
| Telephone (FAST® ) (automated phone logo) | 1-800-544-5555 | |||||||
(automated phone logo) Automated line for quickest service
| AMG UANN-1105 1.792130.102 |
| Fidelity® Asset Manager: Income® |
| Annual Report September 30, 2005 |
| Contents | ||||
| Chairman’s Message | 4 | Ned Johnson’s message to shareholders. | ||
| Performance | 5 | How the fund has done over time. | ||
| Management’s Discussion | 6 | The manager’s review of fund | ||
| performance, strategy and outlook. | ||||
| Shareholder Expense | 7 | An example of shareholder expenses. | ||
| Example | ||||
| Investment Changes | 9 | A summary of the fund’s investments. | ||
| Investments | 10 | A complete list of the fund’s investments | ||
| with their market values. | ||||
| Financial Statements | 18 | Statements of assets and liabilities, | ||
| operations, and changes in net assets, | ||||
| as well as financial highlights. | ||||
| Notes | 22 | Notes to the financial statements. | ||
| Report of Independent | 29 | |||
| Registered Public | ||||
| Accounting Firm | ||||
| Trustees and Officers | 30 | |||
| Distributions | 42 | |||
| Board Approval of | 43 | |||
| Investment Advisory | ||||
| Contracts and | ||||
| Management Fees | ||||
| Central Fund Investments | 52 | Complete list of investments for Fidelity’s | ||
| Fixed-Income Central Funds. | ||||
| To view a fund’s proxy voting guidelines and proxy voting record for the 12 month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission’s (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines. Standard & Poor’s, S&P and S&P 500 are registered service marks of The McGraw Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation. Other third party marks appearing herein are the property of their respective owners. All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company. |
Annual Report 2
| This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus. A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N Q. Forms N Q are available on the SEC’s web site at http://www.sec.gov. A fund’s Forms N Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund’s portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity’s web site at http://www.fidelity.com/holdings. NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE Neither the fund nor Fidelity Distributors Corporation is a bank. |
3 Annual Report
Chairman’s Message
(photograph of Edward C. Johnson 3d)
Dear Shareholder:
During the past year or so, much has been reported about the mutual fund industry, and much of it has been more critical than I believe is warranted. Allegations that some companies have been less than forthright with their shareholders have cast a shadow on the entire industry. I continue to find these reports disturbing, and assert that they do not create an accurate picture of the industry overall. Therefore, I would like to remind every one where Fidelity stands on these issues. I will say two things specifically regarding allegations that some mutual fund compa nies were in violation of the Securities and Exchange Commission’s forward pricing rules or were involved in so called “market timing” activities.
First, Fidelity has no agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not a new policy. This is not to say that some one could not deceive the company through fraudulent acts. However, we are extremely diligent in preventing fraud from occurring in this manner and in every other. But I underscore again that Fidelity has no so called “agreements” that sanction illegal practices.
Second, Fidelity continues to stand on record, as we have for years, in opposition to predatory short term trading that adversely affects shareholders in a mutual fund. Back in the 1980s, we initiated a fee which is returned to the fund and, therefore, to investors to discourage this activity. Further, we took the lead several years ago in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. I am confident we will find other ways to make it more difficult for predatory traders to operate. However, this will only be achieved through close cooperation among regulators, legislators and the industry.
Yes, there have been unfortunate instances of unethical and illegal activity within the mutual fund industry from time to time. That is true of any industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. But we are still concerned about the risk of over regulation and the quick application of simplistic solutions to intricate problems. Every system can be improved, and we support and applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors’ holdings.
For nearly 60 years, Fidelity has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Today, we serve more than 18 million customers in cluding individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.
Best regards,
/s/ Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report 4
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund’s dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of perfor mance each year. The $10,000 table and the fund’s returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns | ||||||
| Periods ended September 30, 2005 | Past 1 | Past 5 | Past 10 | |||
| year | years | years | ||||
| Fidelity® Asset Manager: Income® | 8.85% | 4.94% | 6.86% | |||
| $10,000 Over 10 years | ||||||
Let’s say hypothetically that $10,000 was invested in Fidelityr Asset Manager: Income® on September 30, 1995. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothersr Aggregate Bond Index performed over the same period.
5 Annual Report
5
Management’s Discussion of Fund Performance
Comments from Richard Habermann, Portfolio Manager of Fidelity® Asset Manager: Income®
Stocks and bonds had positive returns for the 12 months ending September 30, 2005. Equities did significantly better, as the majority of bellwether stock market measures had gains in the low to mid teens, compared to low single digits for bonds. Energy and utilities were the top performing sectors and drove about a third of the stock market’s return on the strength of record high oil prices. It was a fairly conducive investment environment for equities, as continued strength in consumer spending and corporate profits led to steady economic growth. Against this backdrop, the Standard & Poor’s 500SM Index returned 12.25%, the NASDAQ Composite® Index rose 14.19% and the Dow Jones Industrial Aver ageSM gained 7.23% . In the bond market, a flattening yield curve surprised many. Despite eight interest rate hikes in the past year, longer term yields were relatively stable, resulting in a narrowing yield gap compared to rising short term rates. Overall, the Federal Reserve Board’s monetary policy and inflation concerns tempered debt returns, as shown by the modest 2.80% rise in the Lehman Brothersr Aggregate Bond Index.
The fund was up 8.85% for the year, versus 4.64% for the Fidelity Asset Manager: Income Composite Index and 7.76% for the LipperSM Income Funds Average. We had outstanding results in the equity subportfolio, and also enjoyed favorable asset allocation and solid returns in fixed income. In an environment that favored riskier assets, it paid to overweight stocks and high yield securities relative to the index, while underweighting investment grade debt. Within the equity allocation, an emphasis on foreign stocks was helpful, as overseas markets easily beat their U.S. counterparts. Overweighting cash detracted slightly relative to the index, but the fund enjoyed significantly higher yields than in recent periods. Our equities trounced the S&P 500®, fueled by excellent security selection. The biggest gains were in the overweighted energy sector, led by refiner Valero Energy, while foreign banks such as Brazil’s Banco Itau bolstered returns in financials. Other standouts included Mexican wireless giant America Movil and Internet search provider Google. Conversely, our lack of exposure to utilities stocks hurt, as did some disappointments in technology, namely Internet/wireless media firm InfoSpace and semiconductor maker Atmel. In fixed income, we benefited mainly from good sector selection, and our high yield and investment grade holdings through the use of central investment portfolios comfortably outpaced the Lehman Brothers index. The strategic cash portion of the fund topped its benchmark as well.
The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
| Annual Report |
| 6 6 |
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2005 to September 30, 2005).
| Actual Expenses |
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the fund, as a share holder in underlying affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated central funds. These fees and expenses are not included in the fund’s annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the share holder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the fund, as a shareholder in underlying affiliated central funds, will indi rectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated central funds. These fees and expenses are not included in the fund’s annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| 7 Annual Report |
| Shareholder Expense Example continued | ||||||||||
| Expenses Paid | ||||||||||
| During Period* | ||||||||||
| Beginning | Ending | April 1, 2005 | ||||||||
| Account Value | Account Value | to September 30, | ||||||||
| April 1, 2005 | September 30, 2005 | 2005 | ||||||||
| Actual | $ 1,000.00 | $ 1,050.70 | $ 3.03 | |||||||
| Hypothetical (5% return per year | ||||||||||
| before expenses) | $��1,000.00 | $ 1,022.11 | $ 2.99 | |||||||
* Expenses are equal to the Fund’s annualized expense ratio of .59%; multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one half year period). The fees and expenses of the underlying affiliated central funds in which the fund invests are not included in the fund’s annualized expense ratio.
| Annual Report |
| 8 |
Investment Changes
| Top Five Bond Issuers as of September 30, 2005 | ||||
| (with maturities greater than one year) | % of fund’s | % of fund’s net assets | ||
| net assets | 6 months ago | |||
| Fannie Mae | 8.4 | 10.4 | ||
| U.S. Treasury Obligations | 6.7 | 5.1 | ||
| Freddie Mac | 2.3 | 3.2 | ||
| Government National Mortgage Association | 0.4 | 0.9 | ||
| United Mexican States | 0.4 | 0.5 | ||
| 18.2 | ||||
We have used ratings from Moody’s® Investors Services, Inc. Where Moody’s ratings are not available, we have used S&P® ratings. Percentages are adjusted for the effect of futures contracts, if applicable.
| Top Five Stocks as of September 30, 2005 | ||||
| % of fund’s | % of fund’s net assets | |||
| net assets | 6 months ago | |||
| Halliburton Co. | 0.8 | 0.4 | ||
| Valero Energy Corp. | 0.7 | 0.6 | ||
| EOG Resources, Inc. | 0.5 | 0.4 | ||
| UnitedHealth Group, Inc. | 0.5 | 0.5 | ||
| Amerada Hess Corp. | 0.5 | 0.2 | ||
| 3.0 | ||||
Asset allocations in the pie charts reflect the categorization of assets as defined in the fund’s prospectus in effect as of the time periods indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.
The information in the above tables is based on the combined investments of the fund and its pro rata share of the investments of Fidelity’s fixed income central funds.
9 Annual Report
Investments September 30, 2005
Showing Percentage of Net Assets
Common Stocks 22.1%
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| CONSUMER DISCRETIONARY – 1.1% | ||||||
| Auto Components 0.0% | ||||||
| Delphi Corp. (a) | 100,000 | $ 276 | ||||
| Automobiles – 0.3% | ||||||
| Toyota Motor Corp. | 100,000 | 4,619 | ||||
| Hotels, Restaurants & Leisure 0.3% | ||||||
| Greek Organization of Football Prognostics SA | 100,000 | 3,107 | ||||
| Sportingbet PLC (a) | 250,000 | 1,376 | ||||
| 4,483 | ||||||
| Household Durables – 0.1% | ||||||
| Garmin Ltd. | 40,000 | 2,713 | ||||
| Media – 0.3% | ||||||
| SES Global unit | 150,000 | 2,346 | ||||
| XM Satellite Radio Holdings, Inc. Class A (a) | 75,000 | 2,693 | ||||
| 5,039 | ||||||
| Specialty Retail – 0.1% | ||||||
| Best Buy Co., Inc. | 30,000 | 1,306 | ||||
| TOTAL CONSUMER DISCRETIONARY | 18,436 | |||||
| CONSUMER STAPLES 0.4% | ||||||
| Tobacco 0.4% | ||||||
| Altria Group, Inc. | 90,000 | 6,634 | ||||
| ENERGY 4.8% | ||||||
| Energy Equipment & Services – 1.6% | ||||||
| GlobalSantaFe Corp. | 100,000 | 4,562 | ||||
| Halliburton Co. | 200,000 | 13,704 | ||||
| Schlumberger Ltd. (NY Shares) | 88,200 | 7,442 | ||||
| Transocean, Inc. (a) | 50,000 | 3,066 | ||||
| 28,774 | ||||||
| Oil, Gas & Consumable Fuels – 3.2% | ||||||
| Amerada Hess Corp. | 60,000 | 8,250 | ||||
| ConocoPhillips | 65,000 | 4,544 | ||||
| EOG Resources, Inc. | 120,000 | 8,988 | ||||
| Exxon Mobil Corp. | 121,900 | 7,746 | ||||
| Frontline Ltd. (NY Shares) | 13,200 | 582 | ||||
| Massey Energy Co. | 25,000 | 1,277 | ||||
| OMI Corp. | 33,800 | 604 | ||||
| Peabody Energy Corp. | 40,000 | 3,374 | ||||
| Plains Exploration & Production Co. (a) | 60,000 | 2,569 | ||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 10 |
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| ENERGY – continued | ||||||
| Oil, Gas & Consumable Fuels – continued | ||||||
| Quicksilver Resources, Inc. (a) | 120,000 | $ 5,735 | ||||
| Valero Energy Corp. | 100,000 | 11,306 | ||||
| 54,975 | ||||||
| TOTAL ENERGY | 83,749 | |||||
| FINANCIALS – 3.2% | ||||||
| Capital Markets 0.8% | ||||||
| E*TRADE Financial Corp. (a) | 200,000 | 3,520 | ||||
| E*Trade Securities Co. Ltd. | 500 | 2,214 | ||||
| Lazard Ltd. Class A | 19,600 | 496 | ||||
| Monex Beans Holdings, Inc. (d) | 1,000 | 1,189 | ||||
| Nikko Cordial Corp. | 250,000 | 2,912 | ||||
| TradeStation Group, Inc. (a) | 299,000 | 3,032 | ||||
| 13,363 | ||||||
| Commercial Banks – 1.9% | ||||||
| Allied Irish Banks PLC sponsored ADR | 100,000 | 4,270 | ||||
| Banco Bradesco SA (PN) sponsored ADR (non-vtg.) (d) | 75,000 | 3,669 | ||||
| Banco de Sabadell SA | 100,000 | 2,558 | ||||
| Banco Itau Holding Financeira SA sponsored ADR | ||||||
| (non-vtg.) (d) | 50,000 | 5,933 | ||||
| Finansbank AS | 500,000 | 2,674 | ||||
| Kookmin Bank sponsored ADR | 70,000 | 4,148 | ||||
| Sumitomo Mitsui Financial Group, Inc. | 500 | 4,746 | ||||
| Turkiye Garanti Bankasi AS | 1,050,000 | 3,135 | ||||
| Turkiye Is Bankasi AS Series C unit | 360,000 | 2,500 | ||||
| 33,633 | ||||||
| Insurance – 0.2% | ||||||
| American International Group, Inc. | 50,000 | 3,098 | ||||
| Real Estate 0.3% | ||||||
| Equity Office Properties Trust | 50,000 | 1,636 | ||||
| Equity Residential (SBI) | 30,000 | 1,136 | ||||
| Vornado Realty Trust | 20,000 | 1,732 | ||||
| 4,504 | ||||||
| TOTAL FINANCIALS | 54,598 | |||||
See accompanying notes which are an integral part of the financial statements.
11 Annual Report
| Investments continued | ||||||
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| HEALTH CARE – 2.5% | ||||||
| Biotechnology – 0.9% | ||||||
| Abgenix, Inc. (a) | 200,000 | $ 2,536 | ||||
| Affymetrix, Inc. (a) | 25,700 | 1,188 | ||||
| Celgene Corp. (a) | 50,000 | 2,716 | ||||
| Crucell NV sponsored ADR (a)(d) | 100,000 | 2,681 | ||||
| CV Therapeutics, Inc. (a) | 100,000 | 2,675 | ||||
| Momenta Pharmaceuticals, Inc. (a) | 100,000 | 2,725 | ||||
| 14,521 | ||||||
| Health Care Equipment & Supplies – 0.1% | ||||||
| ResMed, Inc. (a) | 30,000 | 2,390 | ||||
| Health Care Providers & Services – 0.9% | ||||||
| Medco Health Solutions, Inc. (a) | 50,000 | 2,742 | ||||
| Psychiatric Solutions, Inc. (a) | 80,000 | 4,338 | ||||
| UnitedHealth Group, Inc. | 157,600 | 8,857 | ||||
| 15,937 | ||||||
| Pharmaceuticals – 0.6% | ||||||
| NitroMed, Inc. (a)(d) | 150,000 | 2,700 | ||||
| Sepracor, Inc. (a) | 60,000 | 3,539 | ||||
| Teva Pharmaceutical Industries Ltd. sponsored ADR | 100,000 | 3,342 | ||||
| 9,581 | ||||||
| TOTAL HEALTH CARE | 42,429 | |||||
| INDUSTRIALS – 2.3% | ||||||
| Aerospace & Defense – 0.7% | ||||||
| L 3 Communications Holdings, Inc. | 49,000 | 3,874 | ||||
| Rockwell Collins, Inc. | 73,500 | 3,552 | ||||
| The Boeing Co. | 70,000 | 4,757 | ||||
| 12,183 | ||||||
| Airlines – 0.5% | ||||||
| Ryanair Holdings PLC sponsored ADR (a) | 120,000 | 5,464 | ||||
| US Airways Group, Inc. (a)(d) | 165,000 | 3,467 | ||||
| 8,931 | ||||||
| Commercial Services & Supplies – 0.3% | ||||||
| Monster Worldwide, Inc. (a) | 165,700 | 5,089 | ||||
| Industrial Conglomerates – 0.2% | ||||||
| General Electric Co. | 75,000 | 2,525 | ||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 12 |
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| INDUSTRIALS – continued | ||||||
| Machinery – 0.5% | ||||||
| Bucyrus International, Inc. Class A | 50,000 | $ 2,457 | ||||
| Caterpillar, Inc. | 110,000 | 6,463 | ||||
| 8,920 | ||||||
| Marine – 0.1% | ||||||
| Aries Maritime Transport Ltd. | 150,000 | 2,250 | ||||
| TOTAL INDUSTRIALS | 39,898 | |||||
| INFORMATION TECHNOLOGY – 4.7% | ||||||
| Communications Equipment – 0.5% | ||||||
| QUALCOMM, Inc. | 100,000 | 4,475 | ||||
| Telefonaktiebolaget LM Ericsson (B Shares) sponsored ADR | 125,000 | 4,605 | ||||
| 9,080 | ||||||
| Computers & Peripherals – 1.4% | ||||||
| Apple Computer, Inc. (a) | 130,000 | 6,969 | ||||
| EMC Corp. (a) | 300,000 | 3,882 | ||||
| M Systems Flash Disk Pioneers Ltd. (a) | 165,700 | 4,958 | ||||
| Network Appliance, Inc. (a) | 47,900 | 1,137 | ||||
| SanDisk Corp. (a) | 105,000 | 5,066 | ||||
| Seagate Technology | 100,000 | 1,585 | ||||
| 23,597 | ||||||
| Electronic Equipment & Instruments – 0.4% | ||||||
| Hon Hai Precision Industry Co. Ltd. (Foxconn) | 550,054 | 2,561 | ||||
| Ibiden Co. Ltd. | 50,000 | 2,098 | ||||
| Nippon Electric Glass Co. Ltd. | 150,000 | 2,721 | ||||
| 7,380 | ||||||
| Internet Software & Services – 0.2% | ||||||
| Google, Inc. Class A (sub. vtg.) (a) | 5,000 | 1,582 | ||||
| Yahoo!, Inc. (a) | 50,000 | 1,692 | ||||
| 3,274 | ||||||
| Semiconductors & Semiconductor Equipment – 1.4% | ||||||
| Atmel Corp. (a) | 1,200,000 | 2,472 | ||||
| Broadcom Corp. Class A (a) | 75,000 | 3,518 | ||||
| Intersil Corp. Class A | 100,000 | 2,178 | ||||
| Lam Research Corp. (a) | 100,000 | 3,047 | ||||
| Marvell Technology Group Ltd. (a) | 61,700 | 2,845 | ||||
| MEMC Electronic Materials, Inc. (a) | 150,000 | 3,419 | ||||
| Texas Instruments, Inc. | 100,000 | 3,390 | ||||
See accompanying notes which are an integral part of the financial statements.
13 Annual Report
| Investments continued | ||||||
| Common Stocks continued | ||||||
| Shares | Value (Note 1) | |||||
| (000s) | ||||||
| INFORMATION TECHNOLOGY – continued | ||||||
| Semiconductors & Semiconductor Equipment – continued | ||||||
| Trident Microsystems, Inc. (a) | 75,000 | $ 2,386 | ||||
| Ultratech, Inc. (a) | 50,000 | 780 | ||||
| 24,035 | ||||||
| Software 0.8% | ||||||
| BEA Systems, Inc. (a) | 600,000 | 5,388 | ||||
| Microsoft Corp. | 300,000 | 7,719 | ||||
| THQ, Inc. (a) | 75,000 | 1,599 | ||||
| 14,706 | ||||||
| TOTAL INFORMATION TECHNOLOGY | 82,072 | |||||
| MATERIALS 2.1% | ||||||
| Chemicals – 0.4% | ||||||
| Honam Petrochemical Corp. | 60,000 | 2,990 | ||||
| Monsanto Co. | 30,000 | 1,883 | ||||
| Praxair, Inc. | 50,000 | 2,397 | ||||
| 7,270 | ||||||
| Metals & Mining – 1.7% | ||||||
| BHP Billiton Ltd. sponsored ADR | 75,000 | 2,564 | ||||
| Companhia Vale do Rio Doce sponsored ADR | 50,000 | 2,193 | ||||
| Glamis Gold Ltd. (a) | 200,000 | 4,387 | ||||
| Goldcorp, Inc. | 350,000 | 7,014 | ||||
| Harmony Gold Mining Co. Ltd. sponsored ADR | 400,000 | 4,376 | ||||
| Kinross Gold Corp. (a) | 700,000 | 5,377 | ||||
| Phelps Dodge Corp. | 30,000 | 3,898 | ||||
| 29,809 | ||||||
| TOTAL MATERIALS | 37,079 | |||||
| TELECOMMUNICATION SERVICES – 1.0% | ||||||
| Diversified Telecommunication Services – 0.1% | ||||||
| Philippine Long Distance Telephone Co. sponsored ADR | 72,900 | 2,220 | ||||
| Wireless Telecommunication Services – 0.9% | ||||||
| America Movil SA de CV Series L sponsored ADR | 173,700 | 4,572 | ||||
| American Tower Corp. Class A (a) | 175,700 | 4,384 | ||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 14 |
| Common Stocks continued | ||||||||
| Shares | Value (Note 1) | |||||||
| (000s) | ||||||||
| TELECOMMUNICATION SERVICES – continued | ||||||||
| Wireless Telecommunication Services – continued | ||||||||
| NII Holdings, Inc. (a) | 50,000 | $ 4,223 | ||||||
| Orascom Telecom SAE GDR | 30,000 | 1,410 | ||||||
| 14,589 | ||||||||
| TOTAL TELECOMMUNICATION SERVICES | 16,809 | |||||||
| UTILITIES – 0.0% | ||||||||
| Electric Utilities – 0.0% | ||||||||
| Progress Energy, Inc. warrants 12/31/07 (a) | 9,200 | 0 | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $300,335) | 381,704 | |||||||
| U.S. Treasury Obligations 4.2% | ||||||||
| Principal | ||||||||
| Amount (000s) | ||||||||
| U.S. Treasury Bills, yield at date of purchase 3.17% to | ||||||||
| 3.4% 10/13/05 to 12/8/05 (e) | $ 4,100 | 4,079 | ||||||
| U.S. Treasury Bonds 10.375% 11/15/12 | 60,000 | 67,450 | ||||||
| TOTAL U.S. TREASURY OBLIGATIONS | ||||||||
| (Cost $72,287) | 71,529 | |||||||
| Fixed Income Funds 33.5% | ||||||||
| Shares | ||||||||
| Fidelity Floating Rate Central Investment Portfolio (b) | 254,817 | 25,637 | ||||||
| Fidelity High Income Central Investment Portfolio 1 (b) | 446,101 | 43,406 | ||||||
| Fidelity Tactical Income Central Investment Portfolio (b) | 5,149,103 | 508,577 | ||||||
| TOTAL FIXED INCOME FUNDS | ||||||||
| (Cost $574,180) | 577,620 | |||||||
| Money Market Funds 28.4% | ||||||||
| Fidelity Cash Central Fund, 3.82% (b) | 345,020,771 | 345,021 | ||||||
| Fidelity Money Market Central Fund, 3.82% (b) | 135,550,134 | 135,550 | ||||||
| Fidelity Securities Lending Cash Central Fund, 3.84% (b)(c) | 9,248,869 | 9,249 | ||||||
| TOTAL MONEY MARKET FUNDS | ||||||||
| (Cost $489,820) | 489,820 | |||||||
See accompanying notes which are an integral part of the financial statements.
15 Annual Report
| Investments continued | ||||||||
| Cash Equivalents 12.8% | ||||||||
| Maturity | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||||
| Treasury Obligations, in a joint trading account at 3.16%, | ||||||||
| dated 9/30/05 due 10/3/05) (f) | ||||||||
| (Cost $220,414) | $ 220,472 | $ 220,414 | ||||||
| TOTAL INVESTMENT PORTFOLIO 101.0% | ||||||||
| (Cost $1,657,036) | 1,741,087 | |||||||
| NET OTHER ASSETS – (1.0)% | (17,049) | |||||||
| NET ASSETS 100% | $ 1,724,038 | |||||||
| Futures Contracts | ||||||||
| Expiration | Underlying | Unrealized | ||||||
| Date | Face Amount | Appreciation/ | ||||||
| at Value (000s) | (Depreciation) | |||||||
| (000s) | ||||||||
| Purchased | ||||||||
| Equity Index Contracts | ||||||||
| 246 S&P 500 Index Contracts | Dec. 2005 | $ 75,909 | $ (467) | |||||
The face value of futures purchased as a percentage of net assets – 4.4%
| Legend (a) Non-income producing (b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the money market fund’s holdings as of its most recent quarter end is available upon request. A complete unaudited listing of the fixed-income central fund’s holdings is provided at the end of this report. (c) Investment made with cash collateral received from securities on loan. |
| (d) Security or a portion of the security is on loan at period end. (e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $4,079,000. |
See accompanying notes which are an integral part of the financial statements.
Annual Report 16
| (f) Additional information on each counterparty to the repurchase agreement is as follows: |
| Repurchase Agreement/ | Value (000s) | |
| Counterparty | ||
| $220,414,000 due | ||
| 10/3/05 at 3.16% | ||
| Bear Stearns & Co. Inc. . | $ 11,095 | |
| BNP Paribas Securities | ||
| Corp. | 4,808 | |
| Goldman Sachs & Co. | 147,929 | |
| Morgan Stanley & Co. | ||
| Incorporated. | 1,622 | |
| UBS Securities LLC | 54,960 | |
| $ 220,414 |
Other Information
Distribution of investments by country of issue, as a percentage of total net assets, is as follows:
| United States of America | 89.7% | |
| Japan | 1.4% | |
| Canada | 1.2% | |
| Others (individually less than 1%) . | 7.7% | |
| 100.0% |
See accompanying notes which are an integral part of the financial statements.
17 Annual Report
| Financial Statements | ||||||||
| Statement of Assets and Liabilities | ||||||||
| Amounts in thousands (except per share amount) | September 30, 2005 | |||||||
| Assets | ||||||||
| Investment in securities, at value (including securities | ||||||||
| loaned of $9,044 and repurchase agreements of | ||||||||
| $220,414) (cost $1,657,036) See accompanying | ||||||||
| schedule | $ | 1,741,087 | ||||||
| Cash | 1 | |||||||
| Receivable for fund shares sold | 3,441 | |||||||
| Dividends receivable | 281 | |||||||
| Interest receivable | 6,272 | |||||||
| Receivable for daily variation on futures contracts | 154 | |||||||
| Prepaid expenses | 1 | |||||||
| Other receivables | 77 | |||||||
| Total assets | 1,751,314 | |||||||
| Liabilities | ||||||||
| Payable for investments purchased | $ | 11,852 | ||||||
| Payable for fund shares redeemed | 5,278 | |||||||
| Accrued management fee | 602 | |||||||
| Other affiliated payables | 217 | |||||||
| Other payables and accrued expenses | 78 | |||||||
| Collateral on securities loaned, at value | 9,249 | |||||||
| Total liabilities | 27,276 | |||||||
| Net Assets | $ | 1,724,038 | ||||||
| Net Assets consist of: | ||||||||
| Paid in capital | $ | 1,600,997 | ||||||
| Undistributed net investment income | 6,137 | |||||||
| Accumulated undistributed net realized gain (loss) on | ||||||||
| investments and foreign currency transactions | 33,358 | |||||||
| Net unrealized appreciation (depreciation) on | ||||||||
| investments and assets and liabilities in foreign | ||||||||
| currencies | 83,546 | |||||||
| Net Assets, for 132,570 shares outstanding | $ | 1,724,038 | ||||||
| Net Asset Value, offering price and redemption price per | ||||||||
| share ($1,724,038 ÷ 132,570 shares) | $ | 13.00 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 18 |
| Statement of Operations | ||||||
| Amounts in thousands | Year ended September 30, 2005 | |||||
| Investment Income | ||||||
| Dividends | $ | 4,503 | ||||
| Interest | 45,837 | |||||
| Security lending | 87 | |||||
| Total income | 50,427 | |||||
| Expenses | ||||||
| Management fee | $ | 6,630 | ||||
| Transfer agent fees | 1,998 | |||||
| Accounting and security lending fees | 489 | |||||
| Independent trustees’ compensation | 8 | |||||
| Custodian fees and expenses | 62 | |||||
| Registration fees | 69 | |||||
| Audit | 89 | |||||
| Legal | 9 | |||||
| Miscellaneous | 14 | |||||
| Total expenses before reductions | 9,368 | |||||
| Expense reductions | (281) | 9,087 | ||||
| Net investment income (loss) | 41,340 | |||||
| Realized and Unrealized Gain (Loss) | ||||||
| Net realized gain (loss) on: | ||||||
| Investment securities | 35,455 | |||||
| Foreign currency transactions | 8 | |||||
| Futures contracts | 5,954 | |||||
| Swap agreements | 94 | |||||
| Total net realized gain (loss) | 41,511 | |||||
| Change in net unrealized appreciation (depreciation) on: | ||||||
| Investment securities | 49,863 | |||||
| Assets and liabilities in foreign currencies | (38) | |||||
| Futures contracts | 251 | |||||
| Swap agreements | (143) | |||||
| Total change in net unrealized appreciation | ||||||
| (depreciation) | 49,933 | |||||
| Net gain (loss) | 91,444 | |||||
| Net increase (decrease) in net assets resulting from | ||||||
| operations | $ | 132,784 | ||||
See accompanying notes which are an integral part of the financial statements.
19 Annual Report
| Financial Statements continued | ||||||||
| Statement of Changes in Net Assets | ||||||||
| Year ended | Year ended | |||||||
| September 30, | September 30, | |||||||
| Amounts in thousands | 2005 | 2004 | ||||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net investment income (loss) | $ 41,340 | $ 22,377 | ||||||
| Net realized gain (loss) | 41,511 | 45,604 | ||||||
| Change in net unrealized appreciation (depreciation) . | 49,933 | (5,989) | ||||||
| Net increase (decrease) in net assets resulting | ||||||||
| from operations | 132,784 | 61,992 | ||||||
| Distributions to shareholders from net investment income | . | (39,308) | (22,235) | |||||
| Share transactions | ||||||||
| Proceeds from sales of shares | 627,373 | 697,430 | ||||||
| Reinvestment of distributions | 37,513 | 21,050 | ||||||
| Cost of shares redeemed | (429,324) | (334,219) | ||||||
| Net increase (decrease) in net assets resulting from | ||||||||
| share transactions | 235,562 | 384,261 | ||||||
| Total increase (decrease) in net assets | 329,038 | 424,018 | ||||||
| Net Assets | ||||||||
| Beginning of period | 1,395,000 | 970,982 | ||||||
| End of period (including undistributed net investment | ||||||||
| income of $6,137 and undistributed net investment | ||||||||
| income of $4,666, respectively) | $ 1,724,038 | $ 1,395,000 | ||||||
| Other Information | ||||||||
| Shares | ||||||||
| Sold | 49,713 | 57,313 | ||||||
| Issued in reinvestment of distributions | 2,976 | 1,739 | ||||||
| Redeemed | (34,020) | (27,452) | ||||||
| Net increase (decrease) | 18,669 | 31,600 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 20 |
| Financial Highlights | ||||||||||||||||||||
| Years ended September 30, | 2005 | 2004 | 2003 | 2002 | 2001 | |||||||||||||||
| Selected Per Share Data | ||||||||||||||||||||
| Net asset value, beginning of | ||||||||||||||||||||
| period | $ 12.25 | $ 11.80 | $ 10.61 | $ 11.13 | $ 12.24 | |||||||||||||||
| Income from Investment | ||||||||||||||||||||
| Operations | ||||||||||||||||||||
| Net investment income (loss)B | 33 | .23 | .30 | .43 | .59 | |||||||||||||||
| Net realized and unrealized | ||||||||||||||||||||
| gain (loss) | 74 | .45 | 1.19 | (.52) | (.87) | |||||||||||||||
| Total from investment operations | 1.07 | .68 | 1.49 | (.09) | (.28) | |||||||||||||||
| Distributions from net investment | ||||||||||||||||||||
| income | (.32) | (.23) | (.30) | (.43) | (.61) | |||||||||||||||
| Distributions from net realized | ||||||||||||||||||||
| gain | — | — | — | — | (.22) | |||||||||||||||
| Total distributions | (.32) | (.23) | (.30) | (.43) | (.83) | |||||||||||||||
| Net asset value, end of period | $ 13.00 | $ 12.25 | $ 11.80 | $ 10.61 | $ 11.13 | |||||||||||||||
| Total ReturnA | 8.85% | 5.80% | 14.26% | (.92)% | (2.40)% | |||||||||||||||
| Ratios to Average Net AssetsC,D | ||||||||||||||||||||
| Expenses before expense | ||||||||||||||||||||
| reductions | 60% | .63% | .64% | .64% | .64% | |||||||||||||||
| Expenses net of voluntary waiv- | ||||||||||||||||||||
| ers, if any | 60% | .63% | .64% | .64% | .64% | |||||||||||||||
| Expenses net of all reductions | 58% | .61% | .61% | .63% | .62% | |||||||||||||||
| Net investment income (loss) | 2.64% | 1.86% | 2.69% | 3.90% | 5.10% | |||||||||||||||
| Supplemental Data | ||||||||||||||||||||
| Net assets, end of period | ||||||||||||||||||||
| (in millions) | $ 1,724 | $ 1,395 | $ 971 | $ 849 | $ 916 | |||||||||||||||
| Portfolio turnover rate | 81% | 232% | 276% | 164% | 164% | |||||||||||||||
| A Total returns would have been lower had certain expenses not been reduced during the periods shown. B Calculated based on average shares outstanding during the period. C Amounts do not include the activity of the underlying funds. D Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions repre sent the net expenses paid by the fund. |
See accompanying notes which are an integral part of the financial statements.
21 Annual Report
Notes to Financial Statements
| For the period ended September 30, 2005 (Amounts in thousands except ratios) |
1. Significant Accounting Policies.
Fidelity Asset Manager: Income (the fund) is a fund of Fidelity Charles Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open end management investment company organized as a Massachusetts business trust. The fund may invest in affiliated money market central funds (Money Market Central Funds) and fixed income Central Investment Portfolios (CIPs), collectively referred to as Central Funds, which are open end investment companies available to investment companies and other accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require manage ment to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund, which are also consistently followed by the Central Funds:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security’s value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security’s valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off exchange institutional trading may be reviewed in the course of making a good faith determination of a security’s fair value. Short term securi ties with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open end investment companies, including Central Funds, are valued at their net asset value each business day.
| Annual Report |
| 22 |
1. Significant Accounting Policies continued
Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
Foreign denominated assets, including investment securities, and liabilities are trans lated into U.S. dollars at the exchange rate at period end. Purchases and sales of invest ment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transac tion date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. Security transactions, including the fund’s investment activity in the Central Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex dividend date, except for certain dividends from foreign securities where the ex dividend date may have passed, which are recorded as soon as the fund is informed of the ex dividend date. Non cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income, including distributions from the Central Funds, is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on the fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests.
23 Annual Report
| Notes to Financial Statements continued (Amounts in thousands except ratios) 1. Significant Accounting Policies continued |
Income Tax Information and Distributions to Shareholders continued
Distributions are recorded on the ex dividend date. Income and capital gain distribu tions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the fund will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book tax differences will reverse in a subsequent period.
Book tax differences are primarily due to futures transactions, swap agreements, foreign currency transactions, prior period premium and discount on debt securities, market discount, partnerships (including allocations from the CIPs), deferred trustees com pensation, capital loss carryforwards, and losses deferred due to wash sales.
The tax basis components of distributable earnings and the federal tax cost as of period end were as follows:
| Unrealized appreciation | $ | 84,616 | ||
| Unrealized depreciation | (4,918) | |||
| Net unrealized appreciation (depreciation) | 79,698 | |||
| Undistributed ordinary income | 21,057 | |||
| Undistributed long term capital gain | 18,964 | |||
| Cost for federal income tax purposes | $ | 1,661,389 | ||
The tax character of distributions paid was as follows:
| September 30, 2005 | September 30, 2004 | |||||||
| Ordinary Income | $ 39,308 | $ 22,235 |
2. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Annual Report 24
2. Operating Policies continued
Futures Contracts. The fund may use futures contracts to manage its exposure to the stock market fluctuations. Buying futures tends to increase a fund’s exposure to the underlying instrument, while selling futures tends to decrease a fund’s exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption ”Futures Contracts.” This amount reflects each contract’s exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contracts’ terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Swap Agreements. The fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a “guarantor” receiving a periodic payment that is a fixed percentage applied to a notion al principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the fund are recorded in the accompanying State ment of Operations as realized gains or losses, respectively.
Swaps are marked to market daily based on dealer supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund’s custodian in compliance with swap contracts.
25 Annual Report
| Notes to Financial Statements continued (Amounts in thousands except ratios) 3. Purchases and Sales of Investments. |
Purchases and sales of securities, other than short term securities, U.S. government securities, and in kind transactions, aggregated $669,486 and $657,814, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the fund with investment manage ment related services for which the fund pays a monthly management fee. The manage ment fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the fund’s average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual man agement fee rate was .42% of the fund’s average net assets.
Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund’s transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset based fees that vary according to account size and type of ac count. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .13% of average net assets.
Accounting and Security Lending Fees. FSC maintains the fund’s accounting re cords. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Affiliated Central Funds. The fund may invest in Money Market Central Funds which seek preservation of capital and current income and are managed by Fidelity Invest ments Money Management, Inc. (FIMM), an affiliate of FMR.
The fund may also invest in CIPs managed by FIMM or Fidelity Management & Research Company, Inc. (FMRC), each an affiliate of FMR. The High Income Central Investment Portfolio 1 seeks a high level of income and may also seek capital appreciation by invest ing primarily in income producing debt securities, preferred stocks, and convertible securities, with an emphasis on lower quality debt securities. The Tactical Income Central Investment Portfolio seeks a high level of income by normally investing in medium and high quality investment grade debt securities of all types and repurchase agreements for those securities. The Floating Rate Central Investment Portfolio seeks a high level of income by normally investing in floating rate loans and other floating rate securities.
| Annual Report |
| 26 |
| 4. Fees and Other Transactions with Affiliates continued Affiliated Central Funds continued |
The fund’s Schedule of Investments lists each applicable CIP as an investment of the fund but does not include the underlying holdings of each CIP. Based on their investment objectives, each CIP may invest or participate in various investment vehicles or strate gies that are similar to those of the investing fund. In addition, each CIP may also partici pate in delayed delivery and when issued securities, loans and other direct debt instru ments, financing transactions, and restricted securities. These strategies are consistent with the investment objectives of the fund and may involve certain economic risks, including the risk that a counterparty to one or more of these transactions may be unable or unwilling to comply with the terms of the governing agreement. This may result in a decline in value of each CIP and the fund.
A complete list of holdings for each CIP is available at the end of this report. In addition, a copy of each CIP’s financial statements is available on the EDGAR Database on the SEC’s website www.sec.gov, or at the Commission’s public reference room in Washington, DC.
The Central Funds do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $34,983 for the period.
On November 12, 2004, the fund completed a non taxable exchange of securities with a value, including accrued interest, of $ 44,610 (which included $3,054 of unrealized appreci ation) for 446 shares (each then valued at $100.00 per share) of the Fidelity High Income Central Investment Portfolio 1, an affiliated entity. On December 17, 2004, the fund completed a non taxable exchange of securities with a value, including accrued interest, of $514,910 (which included $7,793 of unrealized appreciation) for 5,149 shares (each then valued at $100.00 per share) of the Fidelity Tactical Income Central Investment Portfolio, an affiliated entity. These are considered non taxable exchanges for federal income tax purposes, with no gain or loss recognized by the fund or its shareholders.
Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $49 for the period.
| 5. Committed Line of Credit. |
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the “line of credit”) to be utilized for temporary or emergency purposes to fund share holder redemptions or for other short term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.
27 Annual Report
| Notes to Financial Statements continued (Amounts in thousands except ratios) 6. Security Lending. |
The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insol vency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the fund’s Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities.
| 7. Expense Reductions. |
Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $247 for the period. In addition, through arrangements with the fund’s custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the fund’s expenses. During the period, these credits reduced the fund’s custody and transfer agent expenses by $5 and $29, respectively.
| 8. Other. |
The fund’s organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the perfor mance of their duties to the fund. In the normal course of business, the fund may also enter into contracts that provide general indemnifications. The fund’s maximum expo sure under these arrangements is unknown as this would be dependent on future claims that may be made against the fund. The risk of material loss from such claims is consid ered remote.
| Annual Report |
| 28 |
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Charles Street Trust and Shareholders of Fidelity Asset Manager: Income:
We have audited the accompanying statement of assets and liabilities of Fidelity Asset Manager: Income (the Fund), a fund of Fidelity Charles Street Trust, including the schedule of investments, as of September 30, 2005, and the related statement of opera tions for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures in cluded confirmation of securities owned as of September 30, 2005, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Asset Manager: Income as of September 30, 2005, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial high lights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
| /s/ Deloitte & Touche LLP DELOITTE & TOUCHE LLP Boston, Massachusetts November 16, 2005 |
29 Annual Report
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund’s activities, review contractual arrangements with companies that provide services to the fund, and review the fund’s performance. Except for William O. McCoy, Stephen P. Jonas, and Kenneth L. Wolfe, each of the Trustees oversees 322 funds advised by FMR or an affiliate. Mr. McCoy oversees 324 funds advised by FMR or an affiliate. Mr. Jonas and Mr. Wolfe oversee 319 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instru ment signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
| Interested Trustees*: |
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
| Name, Age; Principal Occupation Edward C. Johnson 3d (75)** |
Year of Election or Appointment: 1981
Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001 present) and a Director (2000 present) of FMR Co., Inc.
| Annual Report |
| 30 |
| Name, Age; Principal Occupation Abigail P. Johnson (43)** |
Year of Election or Appointment: 2001
Ms. Johnson serves as President of Fidelity Employer Services Company (FESCO) (2005 present). She is President and a Director of Fidelity Investments Money Management, Inc. (2001 present), FMR Co., Inc. (2001 present), and a Director of FMR Corp. Previously, Ms. Johnson served as President and a Director of FMR (2001 2005), Senior Vice President of the Fidelity funds (2001 2005), and managed a number of Fidelity funds.
| Stephen P. Jonas (52) |
Year of Election or Appointment: 2005
Mr. Jonas is Senior Vice President of Asset Manager: Income (2005 present). He also serves as Senior Vice President of other Fidelity funds (2005 present). Mr. Jonas is Executive Director of FMR (2005 present). Previously, Mr. Jonas served as President of Fidelity Enterprise Operations and Risk Services (2004 2005), Chief Adminis trative Officer (2002 2004), and Chief Financial Officer of FMR Co. (1998 2000). Mr. Jonas has been with Fidelity Investments since 1987 and has held various financial and management positions including Chief Financial Officer of FMR. In addition, he serves on the Boards of Boston Ballet (2003 present) and Simmons College (2003 present).
| Robert L. Reynolds (53) |
Year of Election or Appointment: 2003
Mr. Reynolds is a Director (2003 present) and Chief Operating Officer (2002 present) of FMR Corp. He also serves on the Board at Fidelity Investments Canada, Ltd. (2000 present). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996 2000).
* Trustees have been determined to be “Interested Trustees” by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson’s father.
31 Annual Report
Trustees and Officers - continued
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205 5235.
| Name, Age; Principal Occupation Dennis J. Dirks (57) |
Year of Election or Appointment: 2005
Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999 2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999 2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999 2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001 2003) and Chief Executive Officer and Board member of the Mortgage Backed Securities Clearing Corporation (2001 2003). Mr. Dirks also serves as a Trustee of Manhattan College (2005 present).
| Robert M. Gates (62) |
Year of Election or Appointment: 1997
Dr. Gates is Vice Chairman of the Independent Trustees (2005 present). Dr. Gates is President of Texas A&M University (2002 present). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001 present), and Brinker International (restaurant management, 2003 present). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999 2001). Dr. Gates also is a Trustee of the Forum for International Policy.
| Annual Report |
| 32 |
| Name, Age; Principal Occupation George H. Heilmeier (69) |
Year of Election or Appointment: 2004
Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (commu nication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineer ing and information technology support for the government), and HRL Laboratories (private research and development, 2004 present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000 present). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Acad emy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992 2002), Compaq (1994 2002), Automatic Data Processing, Inc. (ADP) (technology based business outsourcing, 1995 2002), INET Technologies Inc. (telecommu nications network surveillance, 2001 2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid display.
| Marie L. Knowles (58) |
Year of Election or Appointment: 2001
Prior to Ms. Knowles’ retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996 2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002 present). Ms. Knowles is a Trustee of the Brookings Institu tion and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.
33 Annual Report
Trustees and Officers - continued
| Name, Age; Principal Occupation Ned C. Lautenbach (61) |
Year of Election or Appointment: 2000
Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corpora tion (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004 present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005 present), as well as a member of the Council on Foreign Relations.
| Marvin L. Mann (72) |
Year of Election or Appointment: 1993
Mr. Mann is Chairman of the Independent Trustees (2001 present). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corpora tion (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director’s Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President’s Cabinet at the Uni versity of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.
| William O. McCoy (71) |
Year of Election or Appointment: 1997
Prior to his retirement in December 1994, Mr. McCoy was Vice Chair man of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Frank lin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999 2000) and a member of the Board of Visitors for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16 school system).
| Annual Report |
| 34 |
| Name, Age; Principal Occupation Cornelia M. Small (61) |
Year of Election or Appointment: 2005
Ms. Small is a member (2000 present) and Chairperson (2002 present) of the Investment Committee, and a member (2002 present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999 2000), Director of Global Equity Investments (1996 1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990 1997) and Scudder Kemper Investments (1997 1998). In addition, Ms. Small served as Co Chair (2000 2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.
| William S. Stavropoulos (66) |
Year of Election or Appointment: 2001
Mr. Stavropoulos is Chairman of the Board (2000 present) and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993 2000; 2002 2003), CEO (1995 2000; 2002 2004), and Chair man of the Executive Committee (2000 2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), Bell South Corporation (telecommunications), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002 present), and Metalmark Capital (private equity investment firm, 2005 present). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the Univer sity of Notre Dame Advisory Council for the College of Science.
| Kenneth L. Wolfe (66) |
Year of Election or Appointment: 2005
Mr. Wolfe also serves as a Trustee (2005 present) or Member of the Advisory Board (2004 present) of other investment companies advised by FMR. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993 2001). He currently serves as a member of the boards of Adelphia Communica tions Corporation (2003 present), Bausch & Lomb, Inc., and Revlon Inc. (2004 present).
35 Annual Report
Trustees and Officers - continued
Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Gamper may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205 5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
| Name, Age; Principal Occupation Albert R. Gamper, Jr. (63) |
Year of Election or Appointment: 2005
Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987 1989; 1999 2001; 2002 2004), Chief Executive Officer (1987 2004), and President (1989 2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001 present), Chairman of the Board of Governors, Rutgers University (2004 present), and Chairman of the Board of Saint Barnabas Health Care System.
| Peter S. Lynch (61) |
Year of Election or Appointment: 2003
Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001 present) and a Director (2000 present) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990 2003). In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infir mary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.
| Walter C. Donovan (43) |
Year of Election or Appointment: 2005
Vice President of Asset Manager: Income. Mr. Donovan also serves as Vice President of Fidelity’s High Income Funds (2005 present), Fidelity’s Fixed Income Funds (2005 present), certain Asset Allocation Funds (2005 present), and certain Balanced Funds (2005 present). Mr. Donovan also serves as Executive Vice President of FMR (2005 present) and FMRC (2005 present). Previously, Mr. Donovan served as Vice President and Director of Fidelity’s International Equity Trading group (1998 2005).
| Annual Report |
| 36 |
| Name, Age; Principal Occupation Boyce I. Greer (49) |
Year of Election or Appointment: 2005
Vice President of Asset Manager: Income. Mr. Greer also serves as Vice President of the Fidelity Select Portfolios (2005 present), certain Asset Allocation Funds (2005 present), a Trustee of other investment companies advised by FMR (2003 present), and a member of the FMR senior man agement team (2005 present). Previously, Mr. Greer served as a Director and Managing Director of Strategic Advisers, Inc. (2002 2005), Execu tive Vice President (2000 2002), and Money Market Group Leader (1997 2002) of the Fidelity Investments Fixed Income Division. He also served as Vice President of Fidelity’s Money Market Funds (1997 2002), Senior Vice President of FMR (1997 2002), and Vice President of FIMM (1998 2002).
| Charles S. Morrison (44) |
Year of Election or Appointment: 2005
Vice President of Asset Manager: Income. Mr. Morrison also serves as Vice President of Fidelity’s Money Market Funds (2005 present) and certain Asset Allocation Funds (2002 present). Previously, he served as Vice President of Fidelity’s Bond Funds (2002 2005) and certain Balanced Funds (2002 2005). He served as Vice President (2002 2005) and Bond Group Leader (2002 2005) of Fidelity Investments Fixed Income Division. Mr. Morrison is also Vice President of FIMM (2002 present) and FMR (2002 present). Mr. Morrison joined Fidelity Investments in 1987 as a Corporate Bond Analyst in the Fixed Income Research Division.
| David L. Murphy (57) |
Year of Election or Appointment: 2005
Vice President of Asset Manager: Income. Mr. Murphy also serves as Vice President of Fidelity’s Money Market Funds (2002 present), certain Asset Allocation Funds (2003 present), Fidelity’s Investment Grade Bond Funds (2005 present), and Fidelity’s Balanced Funds (2005 present). He serves as Senior Vice President (2000 present) and Head (2004 present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of FIMM (2003 present) and a Vice President of FMR (2000 present). Previously, Mr. Murphy served as Money Market Group Leader (2002 2004), Bond Group Leader (2000 2002), and Vice President of Fidelity’s Taxable Bond Funds (2000 2002) and Fidelity’s Municipal Bond Funds (2001 2002). Mr. Murphy joined Fidelity Invest ments in 1989 as a portfolio manager in the Bond Group.
37 Annual Report
Trustees and Officers - continued
| Name, Age; Principal Occupation Thomas J. Silvia (44) |
Year of Election or Appointment: 2005
Vice President of Asset Manager: Income. Mr. Silvia also serves as Vice President of Fidelity’s Bond Funds (2005 present) and Senior Vice Presi dent and Bond Group Leader of the Fidelity Investments Fixed Income Division (2005 present). Previously, Mr. Silvia served as Director of Fidelity’s Taxable Bond portfolio managers (2002 2004) and a portfolio manager in the Bond Group (1997 2004).
| Robert Bertelson (45) |
Year of Election or Appointment: 2002
Vice President of Asset Manager: Income. Prior to assuming his current responsibilities, Mr. Bertelson has worked as a research analyst and manager.
| Richard Habermann (65) |
Year of Election or Appointment: 1996
Vice President of Asset Manager: Income. Mr. Habermann also serves as Vice President of other funds advised by FMR. Mr. Habermann has held several positions including portfolio manager, director of research for FMRCo, division head for international equities, director of interna tional research, and chief investment officer for Fidelity International, Limited.
| James K. Miller (41) |
Year of Election or Appointment: 2004
Vice President of Asset Manager: Income. Mr. Miller also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Miller has worked as an analyst, bond trader and portfolio manager.
| Eric D. Roiter (56) |
Year of Election or Appointment: 1998
Secretary of Asset Manager: Income. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001 present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001 present), Fidelity Manage ment & Research (Far East) Inc. (2001 present), and Fidelity Investments Money Management, Inc. (2001 present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003 present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998 2005).
| Annual Report |
| 38 |
| Name, Age; Principal Occupation |
| Stuart Fross (46) |
Year of Election or Appointment: 2003
Assistant Secretary of Asset Manager: Income. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003 present), Vice President and Secretary of FDC (2005 present), and is an employee of FMR.
| Christine Reynolds (47) |
Year of Election or Appointment: 2004
President, Treasurer, and Anti Money Laundering (AML) officer of Asset Manager: Income. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Invest ments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980 2002), where she was most recently an audit partner with PwC’s investment management practice.
| Timothy F. Hayes (54) |
Year of Election or Appointment: 2002
Chief Financial Officer of Asset Manager: Income. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002 present) and President of Fidelity Investment Operations (2005 present) which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he served as President (1998 2005). Mr. Hayes serves as President of Fidelity Service Company (2003 present) where he also serves as a Director. Mr. Hayes also served as President of Fidelity Investments Operations Group (FIOG, 2002 2005).
| Kenneth A. Rathgeber (58) |
Year of Election or Appointment: 2004
Chief Compliance Officer of Asset Manager: Income. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998 2002).
| John R. Hebble (47) |
Year of Election or Appointment: 2003
Deputy Treasurer of Asset Manager: Income. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002 2003) and Assistant Treasurer of the Scudder Funds (1998 2003).
39 Annual Report
Trustees and Officers - continued
| Name, Age; Principal Occupation Bryan A. Mehrmann (44) |
Year of Election or Appointment: 2005
Deputy Treasurer of Asset Manager: Income. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005 present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998 2004).
| Kimberley H. Monasterio (41) |
Year of Election or Appointment 2004
Deputy Treasurer of Asset Manager: Income. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000 2004) and Chief Financial Officer (2002 2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Temple ton Services, LLC (2000 2004).
| Kenneth B. Robins (36) |
Year of Election or Appointment: 2005
Deputy Treasurer of Asset Manager: Income. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2004 present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG’s department of professional practice (2002 2004) and a Senior Manager (1999 2000). In addition, Mr. Robins served as Assistant Chief Accoun tant, United States Securities and Exchange Commission (2000 2002).
| Robert G. Byrnes (38) |
Year of Election or Appointment: 2005
Assistant Treasurer of Asset Manager: Income. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2005 present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003 2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000 2003).
| John H. Costello (59) |
Year of Election or Appointment:1992
Assistant Treasurer of Asset Manager: Income. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.
| Annual Report |
| 40 |
| Name, Age; Principal Occupation Peter L. Lydecker (51) |
Year of Election or Appointment: 2004
Assistant Treasurer of Asset Manager: Income. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.
| Mark Osterheld (50) |
Year of Election or Appointment: 2002
Assistant Treasurer of Asset Manager: Income. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.
| Gary W. Ryan (47) |
Year of Election or Appointment: 2005
Assistant Treasurer of Asset Manager: Income. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2005 present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999 2005).
| Salvatore Schiavone (39) |
Year of Election or Appointment: 2005
Assistant Treasurer of Asset Manager: Income. Mr. Schiavone also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2005 present). Before joining Fidelity Invest ments, Mr. Schiavone worked at Deutsche Asset Management, where he most recently served as Assistant Treasurer (2003 2005) of the Scudder Funds and Vice President and Head of Fund Reporting (1996 2003).
41 Annual Report
| Distributions |
The fund hereby designates as capital gain dividends: For dividends with respect to the taxable year ended September 30, 2005, $18,964,000, or, if subsequently deter mined to be different, the net capital gain of such year, and for dividends with respect to the taxable year ended September 30, 2004, $0, or, if subsequently determined to be different, the excess of: (a) the net capital gain of such year, over (b) amounts previously designated as capital gain dividends with respect to such year.
A total of 7.59% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates 7%, of the dividends distributed between October 2004 and De-cember 2004, inclusive, and 5% of the dividends between February 2005 and Septem ber 2005, inclusive, as qualifying for the dividends received deduction for corporate shareholders.
The fund designates a percentage of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code as shown below.
| Ex-Date | Percentage | |
| November & December 2004 | 16% | |
| October 2004 | 13% | |
| February through September 2005 | 10% |
The fund will notify shareholders in January 2006 of amounts for use in preparing 2005 income tax returns.
| Annual Report |
| 42 |
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Asset Manager: Income
Each year, typically in July, the Board of Trustees, including the independent Trustees (together, the Board), votes on the renewal of the management contract and sub advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and independent Trustees’ counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund’s Advisory Contracts, including the services and support provided to the fund and its shareholders by Fidelity. At the time of the renewal, the Board had 11 standing committees, each composed of independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such com mittee, the Equity Contract Committee, meets periodically during the first six months of each year and as necessary to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its July 2005 meeting, the Board of Trustees, including the independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (1) the nature, extent, and quality of the services to be provided to the fund and its shareholders by Fidelity (including the investment performance of the fund); (2) the competitiveness of the management fee and total expenses of the fund; (3) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (4) the extent to which economies of scale would be realized as the fund grows; and (5) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In determining whether to renew the Advisory Contracts for the fund, the Board ulti mately reached a determination, with the assistance of fund counsel and independent Trustees’ counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity’s fidu ciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund’s shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its
43 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board consid ered staffing within the investment adviser, FMR, and the sub advisers (together, the Investment Advisers), including the backgrounds of the fund’s portfolio managers and the fund’s investment objective and discipline. The independent Trustees also had discussions with senior management of Fidelity’s investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Fidelity Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers’ invest ment staff, their use of technology, and the Investment Advisers’ approach to recruiting, training, and retaining portfolio managers and other research, advisory, and manage ment personnel. The Board considered Fidelity’s extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity’s analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity’s portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund’s portfolio, as well as an electronic communication system that provides immediate real time access to research concerning issuers and credit enhancers.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund. The Board also considered the nature and extent of the Investment Advisers’ supervision of third party service providers, principally custodians and subcustodians. The Board reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of “soft” commission dollars to pay for research services. The Board also considered that Fidelity voluntarily decided in 2004 to stop using “soft” commission dollars to pay for market data and, instead, to pay for that data out of its own resources. The Board also considered the resources devoted to, and the record of compliance with, the fund’s compliance policies and procedures.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24 hour access to
| Annual Report |
| 44 |
account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund’s prospectus, without paying a sales charge. The Board noted that, since the last Advisory Contract renewals in July 2004, Fidelity has taken a number of actions that benefited particular funds, including (i) voluntarily deciding in 2004 to stop using “soft” commission dollars to pay for market data and, instead, to pay for that data out of its own resources, (ii) contractually agreeing to impose management fee reductions and expense limitations on its five Spartan stock index funds and its stock index fund available through variable insurance products, (iii) contractually agreeing to eliminate the management fees on the Fidelity Freedom Funds and the Fidelity Advisor Freedom Funds, (iv) contractually agreeing to reduce the management fees on most of its investment grade taxable bond funds, and (v) contractually agreeing to impose expense limitations on its retail and Spartan investment grade taxable bond funds.
Investment Performance and Compliance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund’s absolute investment performance, as well as the fund’s relative investment performance measured against (i) a proprietary custom index, and (ii) a peer group of mutual funds over multiple periods. The following charts considered by the Board show, over the one , three , and five year periods ended December 31, 2004, the fund’s returns, the returns of a proprietary custom index (“benchmark”), and a range of returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the Lipper peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the Lipper peer group whose performance was equal to or lower than that of the fund. The fund’s proprietary custom index is an index developed by FMR that represents the fund’s three asset classes according to their respective weight ings in the fund’s neutral mix.
45 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
The Board reviewed the fund’s relative investment performance against its Lipper peer group and stated that the performance of the fund was in the third quartile for the one year period and the second quartile for the three and five year periods. The Board noted that FMR does not consider that Lipper peer group to be a meaningful comparison for the fund, however, because the peer group comprises funds that typically invest primarily in income generating equity securities, while the fund allocates its assets across three investment categories (stocks, bonds, and short term/money market instruments). The Board also stated that the relative investment performance of the fund has compared favorably to its benchmark over time.
The Board has had thorough discussions with FMR throughout the year about the Board’s and FMR’s concerns about equity research, equity fund performance, and compliance with internal policies governing gifts and entertainment. FMR has taken steps that it believes will refocus and strengthen equity research and equity portfolio management and compliance. The Board noted with favor FMR’s recent reorganization of its senior management team and FMR’s plans to dedicate additional resources to investment research, and participated in the process that led to those changes.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit the fund’s shareholders, particularly in light of the Board’s view that the fund’s shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
| Annual Report |
| 46 |
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund’s management fee and total expenses compared to “mapped groups” of competitive funds and classes. Fidelity creates “mapped groups” by combining similar Lipper investment objective categories that have comparable management fee charac teristics. Combining Lipper investment objective categories aids the Board’s manage ment fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
The Board considered two proprietary management fee comparisons for the 12 month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the “Total Mapped Group” and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund’s standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. “TMG %” represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund’s. For example, a TMG % of 18% means that 82% of the funds in the Total Mapped Group had higher management fees than the fund. The “Asset Size Peer Group” (ASPG) comparison focuses on a fund’s standing relative to non Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile (“quadrant”) in which the fund’s management fee ranked, is also included in the chart and considered by the Board.
47 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
The Board noted that the fund’s management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2004.
Based on its review, the Board concluded that the fund’s management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of the fund’s total expenses, the Board considered the fund’s management fee as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also consid ered current and historical total expenses of the fund compared to competitive fund median expenses. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that the fund’s total expenses ranked below its competitive median for 2004.
In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Based on its review, the Board concluded that the fund’s total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
| Annual Report |
| 48 |
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, market ing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity’s profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity’s profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year’s methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board’s assessment of the results of Fidelity’s profitability analysis. PwC’s engagement includes the review and assessment of Fidelity’s methodologies used in determining the revenues and expenses attributable to Fidelity’s mutual fund business, and completion of agreed upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC’s reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity’s profitabil ity methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity’s non fund businesses and any fall out benefits related to the mutual fund business as well as cases where Fidelity’s affiliates may benefit from or be related to the fund’s business. In addition, a special committee of the Board reviewed services provided to Fidelity by its affiliates and determined that the fees that Fidelity paid for such services were reasonable.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases.
49 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
The Board recognized that the fund’s management contract incorporates a “group fee” structure, which provides for lower fee rates as total fund assets under FMR’s manage ment increase, and for higher fee rates as total fund assets under FMR’s management decrease. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity’s costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR’s management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
The Board further concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information regarding (i) equity fund transfer agency fees; (ii) Fidelity’s fund profitability methodology and the impact of various changes in the methodology over time; (iii) benefits to shareholders from economies of scale; (iv) composition and characteristics of various fund and industry data used in comparisons; and (v) com pensation of portfolio managers and research analysts.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the existing advisory fee structures are fair and reasonable, and that the fund’s existing Advisory Contracts should be renewed.
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| 50 |
The following is a complete listing of investments for Fidelity’s fixed income central funds as of September 30, 2005 which are direct or indirect investments of Fidelity Asset Manager: Income.
These underlying holdings of the Fidelity fixed income central funds are not included in the Schedule of Investments as part of the Financial Statements.
51 Annual Report
Fidelity Floating Rate Central Investment Portfolio
Investments September 30, 2005 (Unaudited)
Showing Percentage of Net Assets
| Floating Rate Loans (c) 89.6% | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Aerospace – 0.3% | ||||||||
| Mid-Western Aircraft Systems, Inc. Tranche B, term loan | ||||||||
| 5.9606% 12/31/11 (b) | $ 1,386,525 | $ 1,409,056 | ||||||
| Air Transportation – 1.3% | ||||||||
| United Air Lines, Inc. Tranche B, term loan 7.96% | ||||||||
| 12/30/05 (b) | 2,120,000 | 2,141,200 | ||||||
| US Airways Group, Inc. Tranche 1A, term loan | ||||||||
| 12.2062% 9/30/10 (b) | 4,000,000 | 4,000,000 | ||||||
| 6,141,200 | ||||||||
| Automotive 4.2% | ||||||||
| Accuride Corp. term loan 6.1797% 1/31/12 (b) | 2,343,409 | 2,366,843 | ||||||
| AM General LLC Tranche B1, term loan 8.2044% | ||||||||
| 11/1/11 (b) | 3,747,436 | 3,916,071 | ||||||
| Goodyear Tire & Rubber Co.: | ||||||||
| Tranche 1, 4.7852% 4/30/10 (b) | 1,060,000 | 1,069,275 | ||||||
| Tranche 2, term loan 6.32% 4/30/10 (b) | 1,480,000 | 1,500,350 | ||||||
| Travelcenters of America, Inc. Tranche B, term loan | ||||||||
| 5.71% 12/1/11 (b) | 7,916,840 | 8,005,904 | ||||||
| TRW Automotive Holdings Corp. Tranche B, term loan | ||||||||
| 5.25% 6/30/12 (b) | 2,770,717 | 2,798,424 | ||||||
| 19,656,867 | ||||||||
| Broadcasting – 2.0% | ||||||||
| Entravision Communications Corp. term loan 5.55% | ||||||||
| 3/29/13 (b) | 4,000,000 | 4,035,000 | ||||||
| Nexstar Broadcasting, Inc. Tranche B, term loan | ||||||||
| 5.6644% 10/1/12 (b) | 3,828,592 | 3,852,520 | ||||||
| Spanish Broadcasting System, Inc. Tranche 1, term loan | ||||||||
| 6.03% 6/10/12 (b) | 1,567,125 | 1,590,632 | ||||||
| 9,478,152 | ||||||||
| Building Materials – 1.0% | ||||||||
| Euramax International, Inc./Euramax International | ||||||||
| Holdings BV Tranche 1, term loan 6.6297% | ||||||||
| 6/29/12 (b) | 1,845,375 | 1,859,215 | ||||||
| Goodman Global Holdings, Inc. term loan 5.875% | ||||||||
| 12/23/11 (b) | 1,210,850 | 1,227,499 | ||||||
| Masonite International Corp. term loan 5.6659% | ||||||||
| 4/5/13 (b) | 1,462,650 | 1,466,307 | ||||||
| 4,553,021 | ||||||||
| Cable TV 6.4% | ||||||||
| Adelphia Communications Corp. Tranche B, term loan | ||||||||
| 6.3041% 3/31/06 (b) | 2,450,000 | 2,462,250 | ||||||
| Century Cable Holdings LLC Tranche B, term loan 8.75% | ||||||||
| 6/30/09 (b) | 3,000,000 | 2,977,500 |
Annual Report 52
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Cable TV – continued | ||||||||
| Charter Communications Operating LLC: | ||||||||
| Tranche A, term loan 6.68% 4/27/10 (b) | $ 6,630,902 | $ 6,630,902 | ||||||
| Tranche B, term loan 6.93% 4/7/11 (b) | 1,987,454 | 1,997,391 | ||||||
| DIRECTV Holdings LLC Tranche B, term loan 5.3375% | ||||||||
| 4/13/13 (b) | 2,260,000 | 2,282,600 | ||||||
| NTL Investment Holdings Ltd. Tranche B, term loan 6.41% | ||||||||
| 6/13/12 (b) | 3,000,000 | 3,015,000 | ||||||
| UPC Broadband Holding BV Tranche H2, term loan | ||||||||
| 6.0044% 9/30/12 (b) | 3,940,000 | 3,984,325 | ||||||
| UPC Distribution Holdings BV Tranche F, term loan | ||||||||
| 7.19% 12/31/11 (b) | 4,000,000 | 4,065,000 | ||||||
| WideOpenWest Illinois, Inc. Tranche B, term loan | ||||||||
| 6.8036% 6/22/11 (b) | 2,586,902 | 2,612,771 | ||||||
| 30,027,739 | ||||||||
| Capital Goods 1.7% | ||||||||
| Alliance Laundry Systems LLC term loan 6.0021% | ||||||||
| 1/27/12 (b) | 1,870,000 | 1,893,375 | ||||||
| Flowserve Corp. term loan 5.8125% 8/10/12 (b) | 1,280,000 | 1,296,000 | ||||||
| GenTek, Inc. term loan 6.4034% 2/28/11 (b) | 1,939,064 | 1,939,064 | ||||||
| Hexcel Corp. Tranche B, term loan 5.3632% 3/1/12 (b) | 370,000 | 373,700 | ||||||
| Mueller Group, Inc. term loan 6.2371% 10/3/12 (b) | 670,000 | 680,050 | ||||||
| Walter Industries, Inc. term loan 6.0399% 10/3/12 (b) . | 720,000 | 729,900 | ||||||
| Wastequip, Inc. Tranche B1, term loan 6.5204% | ||||||||
| 7/15/11 (b) | 967,575 | 977,251 | ||||||
| 7,889,340 | ||||||||
| Chemicals – 1.7% | ||||||||
| Basell USA, Inc.: | ||||||||
| Tranche B2, term loan 6.3533% 8/1/13 (b) | 190,000 | 193,563 | ||||||
| Tranche C2, term loan 6.8533% 8/1/14 (b) | 190,000 | 193,563 | ||||||
| Celanese Holding LLC term loan 6.2967% 4/6/11 (b) | 2,334,674 | 2,369,695 | ||||||
| Mosaic Co. Tranche B, term loan 5.2323% 2/21/12 (b) | 1,890,500 | 1,914,131 | ||||||
| PQ Corp. term loan 6.0625% 2/11/12 (b) | 3,283,500 | 3,320,439 | ||||||
| 7,991,391 | ||||||||
| Consumer Products – 1.2% | ||||||||
| Burt’s Bees, Inc. term loan 6.2397% 3/28/10 (b) | 398,000 | 402,478 | ||||||
| Central Garden & Pet Co. Tranche B, term loan 5.5591% | ||||||||
| 5/14/09 (b) | 396,974 | 401,936 | ||||||
| Fender Musical Instrument Corp. Tranche B, term loan | ||||||||
| 5.85% 3/30/12 (b) | 807,975 | 816,055 | ||||||
| Jarden Corp. Tranche B2, term loan 5.6881% | ||||||||
| 1/24/12 (b) | 375,189 | 377,065 |
53 Annual Report
| Investments (Unaudited) continued | ||||||||
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Consumer Products – continued | ||||||||
| Jostens IH Corp. Tranche A, term loan 6.4381% | ||||||||
| 10/4/10 (b) | $ 1,800,000 | $ 1,822,500 | ||||||
| Simmons Bedding Co. Tranche C, term loan 6.0144% | ||||||||
| 12/19/11 (b) | 1,941,162 | 1,960,574 | ||||||
| 5,780,608 | ||||||||
| Containers – 0.2% | ||||||||
| Berry Plastics Corp. term loan 6.105% 12/2/11 (b) | 947,625 | 960,655 | ||||||
| Diversified Financial Services – 0.8% | ||||||||
| Newkirk Master LP Tranche B, term loan 5.6931% | ||||||||
| 8/11/08 (b) | 644,334 | 653,999 | ||||||
| Refco Finance Holdings LLC term loan 5.8406% | ||||||||
| 8/5/11 (b) | 2,972,222 | 3,005,660 | ||||||
| 3,659,659 | ||||||||
| Diversified Media – 0.2% | ||||||||
| R.H. Donnelley Corp. Tranche A3, term loan 5.6939% | ||||||||
| 12/31/09 (b) | 1,159,682 | 1,162,582 | ||||||
| Electric Utilities – 4.5% | ||||||||
| Allegheny Energy Supply Co. LLC term loan 5.7691% | ||||||||
| 3/8/11 (b) | 3,138,340 | 3,181,492 | ||||||
| Centerpoint Energy House Electric LLC term loan | ||||||||
| 13.2425% 11/11/05 (b) | 2,000,000 | 2,025,000 | ||||||
| Covanta Energy Corp. Tranche 1: | ||||||||
| Credit-Linked Deposit 6.8628% 6/24/12 (b) | 2,211,382 | 2,244,553 | ||||||
| term loan 6.9606% 6/24/12 (b) | 1,784,146 | 1,810,909 | ||||||
| NRG Energy, Inc.: | ||||||||
| Credit-Linked Deposit 5.7953% 12/24/11 (b) | 1,706,250 | 1,714,781 | ||||||
| term loan 5.8954% 12/24/11 (b) | 2,177,297 | 2,188,183 | ||||||
| Primary Energy Finance LLC term loan 6.0204% | ||||||||
| 8/24/12 (b) | 3,030,000 | 3,075,450 | ||||||
| Reliant Energy, Inc. term loan 6.0972% 4/30/10 (b) | 1,990,000 | 2,004,925 | ||||||
| Texas Genco LLC term loan 5.8632% 12/14/11 (b) | 2,977,500 | 2,992,388 | ||||||
| 21,237,681 | ||||||||
| Energy – 7.8% | ||||||||
| Boart Longyear Holdings, Inc. Tranche 1, term loan | ||||||||
| 6.53% 7/22/12 (b) | 369,075 | 374,611 | ||||||
| Coffeyville Resources LLC: | ||||||||
| Credit-Linked Deposit 6.3604% 7/8/11 (b) | 704,000 | 715,440 | ||||||
| Tranche B1, term loan 6.57% 7/8/12 (b) | 1,056,000 | 1,073,160 | ||||||
| El Paso Corp. Credit-Linked Deposit 6.6466% | ||||||||
| 11/22/09 (b) | 6,000,000 | 6,060,000 | ||||||
| Energy Transfer Partners LP term loan 6.8125% | ||||||||
| 6/16/08 (b) | 5,000,000 | 5,056,250 | ||||||
Annual Report 54
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Energy – continued | ||||||||
| EPCO Holdings, Inc. Tranche B, term loan 6.0394% | ||||||||
| 8/16/10 (b) | $ 3,460,000 | $ 3,520,550 | ||||||
| Kerr-McGee Corp. Tranche B, term loan 6.3149% | ||||||||
| 5/24/11 (b) | 9,975,000 | 10,024,875 | ||||||
| Key Energy Services, Inc. Tranche B, term loan 7.02% | ||||||||
| 6/30/12 (b) | 4,230,000 | 4,293,450 | ||||||
| LB Pacific LP term loan 6.8044% 3/3/12 (b) | 3,980,000 | 4,029,750 | ||||||
| Universal Compression, Inc. term loan 7.5% | ||||||||
| 2/15/12 (b) | 1,055,500 | 1,063,416 | ||||||
| Vulcan/Plains Resources, Inc. term loan 5.8492% | ||||||||
| 8/12/11 (b) | 540,000 | 547,425 | ||||||
| 36,758,927 | ||||||||
| Entertainment/Film 1.8% | ||||||||
| MGM Holdings II, Inc. Tranche B, term loan 6.2704% | ||||||||
| 4/8/12 (b) | 8,550,000 | 8,635,500 | ||||||
| Environmental – 1.4% | ||||||||
| Allied Waste Industries, Inc.: | ||||||||
| term loan 5.8505% 1/15/12 (b) | 2,088,868 | 2,107,146 | ||||||
| Tranche A, Credit-Linked Deposit 5.105% 1/15/12 (b) | 789,324 | 796,231 | ||||||
| Envirocare of Utah, Inc. Tranche 1, term loan 6.11% | ||||||||
| 4/13/10 (b) | 3,727,273 | 3,787,841 | ||||||
| 6,691,218 | ||||||||
| Food/Beverage/Tobacco – 1.8% | ||||||||
| Centerplate, Inc. term loan 6.9252% 10/1/10 (b) | 4,895,400 | 4,932,116 | ||||||
| Commonwealth Brands, Inc. term loan 6.875% | ||||||||
| 8/28/07 (b) | 135,204 | 137,570 | ||||||
| Constellation Brands, Inc. Tranche B, term loan 5.9093% | ||||||||
| 11/30/11 (b) | 2,297,889 | 2,326,612 | ||||||
| Herbalife International, Inc. term loan 5.41% | ||||||||
| 12/21/10 (b) | 1,190,000 | 1,201,900 | ||||||
| 8,598,198 | ||||||||
| Gaming – 2.6% | ||||||||
| BLB Worldwide Holdings, Inc.: | ||||||||
| Tranche 1, term loan 6.079% 6/30/12 (b) | 870,000 | 883,050 | ||||||
| Tranche 2, term loan 7.83% 7/18/11 (b) | 1,360,000 | 1,385,500 | ||||||
| Green Valley Ranch Gaming LLC term loan 6.0204% | ||||||||
| 12/17/11 (b) | 2,176,056 | 2,197,817 | ||||||
| Herbst Gaming, Inc. term loan 6.1973% 1/7/11 (b) | 398,000 | 402,478 | ||||||
| Isle of Capri Casinos, Inc. term loan 5.4859% | ||||||||
| 2/4/11 (b) | 198,500 | 200,981 | ||||||
| Marina District Finance Co., Inc. term loan 5.5906% | ||||||||
| 10/14/11 (b) | 3,970,000 | 3,994,813 |
55 Annual Report
| Investments (Unaudited) continued | ||||||||
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Gaming – continued | ||||||||
| Motor City Casino Tranche B, term loan 5.9333% | ||||||||
| 7/29/12 (b) | $ 1,426,425 | $ 1,438,906 | ||||||
| Resorts International Hotel & Casino, Inc. Tranche B1, | ||||||||
| term loan 6.53% 4/26/12 (b) | 783,465 | 787,382 | ||||||
| Venetian Casino Resort LLC Tranche B, term loan | ||||||||
| 5.7704% 6/15/11 (b) | 900,000 | 904,500 | ||||||
| 12,195,427 | ||||||||
| Healthcare 9.8% | ||||||||
| AMR HoldCo, Inc./ EmCare HoldCo, Inc. term loan | ||||||||
| 6.1093% 2/7/12 (b) | 3,283,500 | 3,332,753 | ||||||
| Community Health Systems, Inc. term loan 5.61% | ||||||||
| 8/19/11 (b) | 3,964,962 | 4,019,481 | ||||||
| CRC Health Corp. term loan 6.8125% 5/11/11 (b) | 947,625 | 952,363 | ||||||
| DaVita, Inc. Tranche B, term loan 4.1581% 7/30/12 (b) | 7,686,275 | 7,811,176 | ||||||
| Genoa Healthcare Group LLC Tranche 1, term loan | ||||||||
| 7.2614% 8/4/12 (b) | 1,421,000 | 1,442,315 | ||||||
| HealthSouth Corp.: | ||||||||
| Credit-Linked Deposit 6.2818% 6/14/07 (b) | 807,500 | 811,538 | ||||||
| term loan 6.53% 6/14/07 (b) | 2,985,019 | 2,999,944 | ||||||
| Lifecare Holdings, Inc. term loan 6.09% 8/11/12 (b) | 1,260,000 | 1,244,250 | ||||||
| LifePoint Hospitals, Inc. Tranche B, term loan 5.435% | ||||||||
| 4/15/12 (b) | 3,196,814 | 3,224,787 | ||||||
| Mylan Laboratories, Inc. Tranche B, term loan 5.4% | ||||||||
| 6/30/10 (b) | 480,000 | 486,600 | ||||||
| Newquest, Inc. Tranche A, term loan 6.66% 3/1/11 (b) | 475,000 | 480,938 | ||||||
| PacifiCare Health Systems, Inc. Tranche B, term loan | ||||||||
| 5.2204% 12/6/10 (b) | 6,947,500 | 6,947,500 | ||||||
| Psychiatric Solutions, Inc. term loan 5.73% 7/1/12 (b) . | 510,769 | 516,515 | ||||||
| Skilled Healthcare Group, Inc. Tranche 2, term loan | ||||||||
| 11.53% 12/15/12 (b) | 3,000,000 | 3,030,000 | ||||||
| Vicar Operating, Inc. term loan 5.375% 5/16/11 (b) | 4,644,362 | 4,690,806 | ||||||
| Warner Chilcott Corp. term loan 6.6701% 1/18/12 (b) | 3,992,057 | 4,012,017 | ||||||
| 46,002,983 | ||||||||
| Homebuilding/Real Estate – 5.7% | ||||||||
| CB Richard Ellis Services, Inc. term loan 5.1051% | ||||||||
| 3/31/10 (b) | 1,430,172 | 1,440,898 | ||||||
| General Growth Properties, Inc. Tranche B, term loan | ||||||||
| 5.85% 11/12/08 (b) | 5,961,545 | 6,050,968 | ||||||
| Lake Las Vegas LLC Tranche 1, term loan 6.3129% | ||||||||
| 11/1/09 (b) | 3,902,166 | 3,960,699 | ||||||
| Lion Gables Realty LP term loan 5.63% 9/30/06 (b) | 4,124,421 | 4,150,199 | ||||||
Annual Report 56
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Homebuilding/Real Estate – continued | ||||||||
| LNR Property Corp. Tranche B, term loan 6.7112% | ||||||||
| 2/3/08 (b) | $ 3,919,880 | $ 3,968,879 | ||||||
| Maguire Properties, Inc. Tranche B, term loan 5.4663% | ||||||||
| 3/15/10 (b) | 4,611,111 | 4,651,458 | ||||||
| Shea Mountain House LLC Tranche B, term loan 5.8% | ||||||||
| 5/11/11 (b) | 2,430,000 | 2,454,300 | ||||||
| 26,677,401 | ||||||||
| Hotels 1.0% | ||||||||
| Starwood Hotels & Resorts Worldwide, Inc. term loan | ||||||||
| 5.0906% 10/9/06 (b) | 4,893,939 | 4,893,939 | ||||||
| Leisure – 0.7% | ||||||||
| 24 Hour Fitness Worldwide, Inc. Tranche B, term loan | ||||||||
| 6.78% 6/8/12 (b) | 3,000,000 | 3,045,000 | ||||||
| Mega Bloks, Inc. Tranche B, term loan 5.6034% | ||||||||
| 7/26/12 (b) | 440,000 | 445,500 | ||||||
| 3,490,500 | ||||||||
| Metals/Mining – 2.6% | ||||||||
| Murray Energy Corp. Tranche 1, term loan 6.86% | ||||||||
| 1/28/10 (b) | 497,500 | 501,231 | ||||||
| Novelis, Inc. term loan 5.46% 1/7/12 (b) | 3,123,077 | 3,158,212 | ||||||
| Peabody Energy Corp. term loan 4.625% 3/21/10 (b) . | 2,947,385 | 2,965,806 | ||||||
| Trout Coal Holdings LLC / Dakota Tranche 1, term loan | ||||||||
| 6.0302% 3/23/11 (b) | 5,676,487 | 5,683,583 | ||||||
| 12,308,832 | ||||||||
| Paper 2.9% | ||||||||
| Escanaba Timber LLC term loan 6.43% 5/2/08 (b) | 520,000 | 525,850 | ||||||
| Georgia-Pacific Corp. term loan 5.3152% 7/2/09 (b) | 1,000,000 | 1,001,800 | ||||||
| Koch Cellulose LLC: | ||||||||
| term loan 5.77% 5/7/11 (b) | 1,952,469 | 1,984,197 | ||||||
| Credit-Linked Deposit 5.1931% 5/7/11 (b) | 602,945 | 612,743 | ||||||
| Smurfit-Stone Container Enterprises, Inc.: | ||||||||
| Credit-Linked Deposit 5.25% 11/1/10 (b) | 655,111 | 661,662 | ||||||
| Tranche B, term loan 5.6969% 11/1/11 (b) | 5,208,155 | 5,266,747 | ||||||
| Tranche C, term loan 5.8338% 11/1/11 (b) | 1,923,018 | 1,944,652 | ||||||
| Xerium Technologies, Inc. Tranche B, term loan 6.0204% | ||||||||
| 5/18/12 (b) | 1,496,250 | 1,514,953 | ||||||
| 13,512,604 | ||||||||
| Publishing/Printing – 3.0% | ||||||||
| Dex Media West LLC/Dex Media West Finance Co. | ||||||||
| Tranche B, term loan 5.5119% 3/9/10 (b) | 6,513,707 | 6,546,276 |
57 Annual Report
| Investments (Unaudited) continued | ||||||||
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Publishing/Printing – continued | ||||||||
| Liberty Group Operating, Inc. Tranche B, term loan 6% | ||||||||
| 2/28/12 (b) | $ 196,513 | $ 198,478 | ||||||
| PRIMEDIA, Inc. Tranche B, term loan 6.1138% | ||||||||
| 9/30/13 (b) | 3,170,000 | 3,197,738 | ||||||
| R.H. Donnelley Corp. Tranche B2, term loan 5.6181% | ||||||||
| 6/30/11 (b) | 4,287,315 | 4,314,111 | ||||||
| 14,256,603 | ||||||||
| Railroad 1.5% | ||||||||
| Helm Holding Corp. Tranche 1, term loan 6.259% | ||||||||
| 7/8/11 (b) | 1,187,025 | 1,198,895 | ||||||
| Kansas City Southern Railway Co. Tranche B1, term loan | ||||||||
| 5.5903% 3/30/08 (b) | 2,779,000 | 2,820,685 | ||||||
| RailAmerica, Inc. term loan 5.875% 9/29/11 (b) | 3,090,201 | 3,144,280 | ||||||
| 7,163,860 | ||||||||
| Restaurants 3.3% | ||||||||
| Arby’s Restaurant Group, Inc. Tranche B, term loan | ||||||||
| 6.1446% 7/25/12 (b) | 3,990,000 | 4,019,925 | ||||||
| Burger King Corp. Tranche B, term loan 5.5% | ||||||||
| 6/30/12 (b) | 1,845,375 | 1,873,056 | ||||||
| Domino’s, Inc. term loan 5.8125% 6/25/10 (b) | 4,809,121 | 4,881,258 | ||||||
| Jack in the Box, Inc. term loan 5.4457% 1/8/11 (b) | 3,117,746 | 3,145,026 | ||||||
| Landry’s Seafood Restaurants, Inc. term loan 5.949% | ||||||||
| 12/28/10 (b) | 1,454,013 | 1,470,370 | ||||||
| 15,389,635 | ||||||||
| Services – 4.6% | ||||||||
| Coinstar, Inc. term loan 5.55% 7/1/11 (b) | 825,144 | 837,521 | ||||||
| DynCorp term loan 6.7498% 2/11/11 (b) | 1,995,000 | 2,004,975 | ||||||
| Iron Mountain, Inc.: | ||||||||
| term loan 5.625% 4/2/11 (b) | 3,712,842 | 3,749,970 | ||||||
| Tranche R, term loan 5.5313% 4/2/11 (b) | 4,962,500 | 5,012,125 | ||||||
| Knowledge Learning Corp. term loan 6.35% 1/7/12 (b) | 4,050,907 | 4,061,035 | ||||||
| Rural/Metro Corp.: | ||||||||
| Credit-Linked Deposit 6.2% 3/4/11 (b) | 520,882 | 528,044 | ||||||
| term loan 6.0439% 3/4/11 (b) | 1,904,941 | 1,931,134 | ||||||
| United Rentals, Inc.: | ||||||||
| term loan 6.0948% 2/14/11 (b) | 2,836,779 | 2,865,147 | ||||||
| Tranche B, Credit-Linked Deposit 5.4925% | ||||||||
| 2/14/11 (b) | 575,996 | 581,756 | ||||||
| 21,571,707 | ||||||||
| Annual Report |
| 58 |
| Floating Rate Loans (c) continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Shipping – 0.1% | ||||||||
| Baker Tanks, Inc. term loan 6.4731% 1/30/11 (b) | $ 248,750 | $ 250,616 | ||||||
| Ozburn Hessey Holding Co. LLC term loan 6.3406% | ||||||||
| 8/9/12 (b) | 370,000 | 375,550 | ||||||
| 626,166 | ||||||||
| Technology – 7.8% | ||||||||
| AMI Semiconductor, Inc. term loan 5.3406% 4/1/12 (b) | 2,090,751 | 2,095,978 | ||||||
| Fairchild Semiconductor Corp. Tranche B3, term loan | ||||||||
| 5.605% 12/31/10 (b) | 2,055,157 | 2,078,277 | ||||||
| Fidelity National Information Solutions, Inc. Tranche B, | ||||||||
| term loan 5.4771% 3/9/13 (b) | 5,471,500 | 5,498,858 | ||||||
| Infor Global Solutions AG Tranche 1, term loan 6.943% | ||||||||
| 4/18/11 (b) | 6,000,000 | 6,060,000 | ||||||
| ON Semiconductor Corp. Tranche G, term loan | ||||||||
| 7.0625% 12/15/11 (b) | 2,977,500 | 3,022,163 | ||||||
| SSA Global Technologies, Inc. term loan 5.97% | ||||||||
| 9/22/11 (b) | 2,180,000 | 2,190,900 | ||||||
| SunGard Data Systems, Inc. Tranche B, term loan 6.28% | ||||||||
| 2/10/13 (b) | 14,962,500 | 15,149,520 | ||||||
| UGS Holdings, Inc. Tranche C, term loan 5.84% | ||||||||
| 3/31/12 (b) | 464,828 | 471,219 | ||||||
| 36,566,915 | ||||||||
| Telecommunications – 5.4% | ||||||||
| AAT Communications Corp.: | ||||||||
| Tranche 2, term loan 6.61% 7/29/13 (b) | 300,000 | 305,625 | ||||||
| Tranche B1, term loan 5.61% 7/27/12 (b) | 1,850,000 | 1,875,438 | ||||||
| Alaska Communications Systems Holding term loan | ||||||||
| 6.0204% 2/1/12 (b) | 7,100,000 | 7,188,750 | ||||||
| American Tower LP Tranche C, term loan 4.9601% | ||||||||
| 8/31/11 (b) | 2,567,100 | 2,570,309 | ||||||
| Conversant Holdings, Inc. Tranche B, term loan 7.8144% | ||||||||
| 3/31/11 (b) | 1,925,000 | 1,920,188 | ||||||
| Intelsat Ltd. term loan 5.8125% 7/28/11 (b) | 3,228,410 | 3,260,694 | ||||||
| Madison River Capital LLC/Madison River Finance Corp. | ||||||||
| Tranche B, term loan 6.22% 7/29/12 (b) | 1,270,000 | 1,290,638 | ||||||
| New Skies Satellites BV term loan 5.8888% 5/2/11 (b) . | 1,327,565 | 1,347,479 | ||||||
| NTELOS, Inc.: | ||||||||
| term loan 9.03% 2/24/12 (b) | 200,000 | 199,250 | ||||||
| Tranche B, term loan 6.53% 8/24/11 (b) | 992,500 | 1,003,666 | ||||||
| Qwest Corp. Tranche A, term loan 8.53% 6/30/07 (b) . | 1,600,000 | 1,650,000 |
59 Annual Report
| Investments (Unaudited) continued | ||||||
| Floating Rate Loans (c) continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Telecommunications – continued | ||||||
| SpectraSite Communications, Inc. Tranche B, term loan | ||||||
| 5.27% 5/19/12 (b) | $ 1,985,000 | $ 1,987,481 | ||||
| Valor Telecommunications Enterprises LLC/Valor Finance | ||||||
| Corp. Tranche B, term loan 5.7754% 2/14/12 (b) | 773,333 | 783,967 | ||||
| 25,383,485 | ||||||
| Textiles & Apparel – 0.3% | ||||||
| St. John Knits International, Inc. Tranche B, term loan | ||||||
| 6.5401% 3/23/12 (b) | 497,500 | 503,719 | ||||
| William Carter Co. term loan 5.7178% 6/29/12 (b) | 796,875 | 808,828 | ||||
| 1,312,547 | ||||||
| TOTAL FLOATING RATE LOANS | ||||||
| (Cost $419,395,818) | 421,984,398 | |||||
| Nonconvertible Bonds 7.9% | ||||||
| Automotive 2.5% | ||||||
| General Motors Acceptance Corp.: | ||||||
| 4.6769% 5/18/06 (b) | 2,000,000 | 1,989,398 | ||||
| 4.87% 10/20/05 (b) | 5,000,000 | 5,000,060 | ||||
| 5.11% 9/23/08 (b) | 3,000,000 | 2,779,644 | ||||
| 6.75% 1/15/06 | 2,000,000 | 2,010,456 | ||||
| 11,779,558 | ||||||
| Diversified Financial Services – 1.1% | ||||||
| Residential Capital Corp. 5.385% 6/29/07 (a)(b) | 5,000,000 | 5,041,365 | ||||
| Super Retail – 1.1% | ||||||
| GSC Holdings Corp./Gamestop, Inc. 7.875% | ||||||
| 10/1/11 (a)(b) | 5,000,000 | 5,037,500 | ||||
| Technology – 1.3% | ||||||
| Nortel Networks Corp. 6.125% 2/15/06 | 5,000,000 | 5,025,000 | ||||
| SunGard Data Systems, Inc. 8.5248% 8/15/13 (a)(b) | 1,090,000 | 1,124,063 | ||||
| 6,149,063 | ||||||
| Telecommunications – 1.9% | ||||||
| Qwest Corp. 7.12% 6/15/13 (a)(b) | 2,840,000 | 2,953,600 | ||||
| Rogers Communications, Inc. 6.995% 12/15/10 (b) | 6,000,000 | 6,217,500 | ||||
| 9,171,100 | ||||||
| TOTAL NONCONVERTIBLE BONDS | ||||||
| (Cost $37,125,822) | 37,178,586 | |||||
| Annual Report |
| 60 |
| Cash Equivalents 7.7% | ||||||
| Maturity | Value | |||||
| Amount | ||||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||
| Government Obligations, in a joint trading account at | ||||||
| 3.89%, dated 9/30/05 due 10/3/05) | ||||||
| (Cost $36,404,000) | $ 36,415,815 | $ 36,404,000 | ||||
| TOTAL INVESTMENT PORTFOLIO 105.2% | ||||||
| (Cost $492,925,640) | 495,566,984 | |||||
| NET OTHER ASSETS – (5.2)% | (24,405,171) | |||||
| NET ASSETS 100% | $ 471,161,813 | |||||
| Legend |
| (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $14,156,528 or 3.0% of net assets. (b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (c) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
61 Annual Report
Fidelity High Income Central Investment Portfolio 1
Investments September 30, 2005 (Unaudited)
Showing Percentage of Net Assets
| Corporate Bonds 88.7% | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Convertible Bonds 0.0% | ||||||||
| Services – 0.0% | ||||||||
| FTI Consulting, Inc. 3.75% 7/15/12 (c) | $ 170,000 | $ 180,829 | ||||||
| Nonconvertible Bonds – 88.7% | ||||||||
| Aerospace – 1.6% | ||||||||
| L 3 Communications Corp.: | ||||||||
| 5.875% 1/15/15 | 1,585,000 | 1,533,488 | ||||||
| 6.375% 10/15/15 (c) | 3,520,000 | 3,546,400 | ||||||
| 7.625% 6/15/12 | 3,045,000 | 3,197,250 | ||||||
| Orbital Sciences Corp. 9% 7/15/11 | 4,470,000 | 4,849,950 | ||||||
| Primus International, Inc. 10.5% 4/15/09 (c) | 3,735,000 | 3,959,100 | ||||||
| 17,086,188 | ||||||||
| Air Transportation – 0.8% | ||||||||
| American Airlines, Inc. pass thru trust certificates: | ||||||||
| 6.817% 5/23/11 | 1,250,000 | 1,140,625 | ||||||
| 7.377% 5/23/19 | 1,854,747 | 1,251,954 | ||||||
| 7.379% 11/23/17 | 1,553,711 | 1,048,755 | ||||||
| 7.8% 4/1/08 | 2,080,000 | 1,965,600 | ||||||
| AMR Corp. 10.2% 3/15/20 | 510,000 | 295,800 | ||||||
| Continental Airlines, Inc. pass thru trust certificates | ||||||||
| 9.798% 4/1/21 | 2,360,000 | 2,336,400 | ||||||
| 8,039,134 | ||||||||
| Automotive 3.9% | ||||||||
| Delco Remy International, Inc. 9.375% 4/15/12 | 2,030,000 | 1,075,900 | ||||||
| Ford Motor Co. 7.45% 7/16/31 | 1,770,000 | 1,380,600 | ||||||
| Ford Motor Credit Co.: | ||||||||
| 6.625% 6/16/08 | 3,960,000 | 3,875,850 | ||||||
| 7% 10/1/13 | 595,000 | 551,777 | ||||||
| General Motors Acceptance Corp.: | ||||||||
| 6.75% 12/1/14 | 5,225,000 | 4,544,935 | ||||||
| 6.875% 9/15/11 | 6,745,000 | 6,135,340 | ||||||
| 8% 11/1/31 | 5,360,000 | 4,680,186 | ||||||
| General Motors Corp.: | ||||||||
| 7.125% 7/15/13 | 4,190,000 | 3,571,975 | ||||||
| 8.375% 7/15/33 | 2,960,000 | 2,308,800 | ||||||
| Goodyear Tire & Rubber Co. 9% 7/1/15 (c) | 4,250,000 | 4,186,250 | ||||||
| Navistar International Corp.: | ||||||||
| 6.25% 3/1/12 | 2,460,000 | 2,337,000 | ||||||
| 7.5% 6/15/11 | 1,225,000 | 1,237,250 |
| Annual Report |
| 62 |
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Automotive continued | ||||||||||
| Tenneco Automotive, Inc. 8.625% 11/15/14 | $ 2,800,000 | $ 2,800,000 | ||||||||
| Visteon Corp. 7% 3/10/14 | 2,430,000 | 2,114,100 | ||||||||
| 40,799,963 | ||||||||||
| Banks and Thrifts – 0.9% | ||||||||||
| Western Financial Bank 9.625% 5/15/12 | 8,060,000 | 9,269,000 | ||||||||
| Building Materials – 1.6% | ||||||||||
| Anixter International, Inc. 5.95% 3/1/15 | 2,260,000 | 2,096,150 | ||||||||
| Goodman Global Holdings, Inc.: | ||||||||||
| 6.41% 6/15/12 (c)(d) | 2,920,000 | 2,854,300 | ||||||||
| 7.875% 12/15/12 (c) | 1,870,000 | 1,692,350 | ||||||||
| Maax Holdings, Inc. 0% 12/15/12 (b)(c) | 5,865,000 | 2,580,600 | ||||||||
| Nortek, Inc. 8.5% 9/1/14 | 4,950,000 | 4,554,000 | ||||||||
| NTK Holdings, Inc. 0% 3/1/14 (b) | 2,920,000 | 1,657,100 | ||||||||
| Ply Gem Industries, Inc. 9% 2/15/12 | 1,605,000 | 1,332,150 | ||||||||
| 16,766,650 | ||||||||||
| Cable TV 4.1% | ||||||||||
| Cablevision Systems Corp. 7.88% 4/1/09 (d) | 5,830,000 | 5,975,750 | ||||||||
| CSC Holdings, Inc.: | ||||||||||
| 6.75% 4/15/12 (c) | 2,040,000 | 1,902,300 | ||||||||
| 7.875% 2/15/18 | 1,995,000 | 1,922,681 | ||||||||
| EchoStar DBS Corp. 5.75% 10/1/08 | 17,635,000 | 17,348,431 | ||||||||
| GCI, Inc. 7.25% 2/15/14 | 5,225,000 | 5,068,250 | ||||||||
| iesy Repository GmbH 10.375% 2/15/15 (c) | 2,360,000 | 2,466,200 | ||||||||
| Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10 | 3,680,000 | 3,873,200 | ||||||||
| Kabel Deutschland GmbH 10.625% 7/1/14 (c) | 1,330,000 | 1,469,650 | ||||||||
| Telenet Group Holding NV 0% 6/15/14 (b)(c) | 3,080,000 | 2,494,800 | ||||||||
| 42,521,262 | ||||||||||
| Capital Goods 3.3% | ||||||||||
| Amsted Industries, Inc. 10.25% 10/15/11 (c) | 4,415,000 | 4,790,275 | ||||||||
| Case New Holland, Inc.: | ||||||||||
| 6% 6/1/09 | 2,030,000 | 1,958,950 | ||||||||
| 9.25% 8/1/11 | 1,145,000 | 1,219,425 | ||||||||
| Chart Industries, Inc. 9.125% 10/15/15 (c) | 980,000 | 997,150 | ||||||||
| Columbus McKinnon Corp. 8.875% 11/1/13 (c) | 330,000 | 330,000 | ||||||||
| Dresser, Inc. 9.375% 4/15/11 | 4,465,000 | 4,710,575 | ||||||||
| Invensys PLC 9.875% 3/15/11 (c) | 12,130,000 | 12,160,325 | ||||||||
| Leucadia National Corp. 7% 8/15/13 | 3,530,000 | 3,547,650 | ||||||||
63 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Capital Goods – continued | ||||||||||
| Park-Ohio Industries, Inc. 8.375% 11/15/14 | $ 2,735,000 | $ 2,372,613 | ||||||||
| Sensus Metering Systems, Inc. 8.625% 12/15/13 | 3,120,000 | 2,870,400 | ||||||||
| 34,957,363 | ||||||||||
| Chemicals – 3.8% | ||||||||||
| BCI US Finance Corp./Borden 2 Nova Scotia Finance | ||||||||||
| ULC 9.0988% 7/15/10 (c)(d) | 630,000 | 642,600 | ||||||||
| Borden US Finance Corp./Nova Scotia Finance ULC | ||||||||||
| 8.3488% 7/15/10 (c)(d) | 3,525,000 | 3,507,375 | ||||||||
| Crystal US Holding 3 LLC/Crystal US Sub 3 Corp.: | ||||||||||
| Series A, 0% 10/1/14 (b) | 1,970,000 | 1,398,700 | ||||||||
| Series B, 0% 10/1/14 (b) | 1,355,000 | 948,500 | ||||||||
| Equistar Chemicals LP 7.55% 2/15/26 | 1,800,000 | 1,710,000 | ||||||||
| Equistar Chemicals LP/Equistar Funding Corp.: | ||||||||||
| 8.75% 2/15/09 | 2,285,000 | 2,390,681 | ||||||||
| 10.125% 9/1/08 | 2,515,000 | 2,703,625 | ||||||||
| Huntsman LLC 11.0988% 7/15/11 (d) | 5,660,000 | 5,999,600 | ||||||||
| Millennium America, Inc.: | ||||||||||
| 7.625% 11/15/26 | 390,000 | 362,700 | ||||||||
| 9.25% 6/15/08 | 7,370,000 | 7,959,600 | ||||||||
| Nalco Co. 7.75% 11/15/11 | 2,820,000 | 2,890,500 | ||||||||
| Nell AF Sarl 8.375% 8/15/15 (c) | 3,670,000 | 3,578,250 | ||||||||
| NOVA Chemicals Corp. 7.4% 4/1/09 | 3,065,000 | 3,156,950 | ||||||||
| Rhodia SA: | ||||||||||
| 8.875% 6/1/11 | 1,000,000 | 950,000 | ||||||||
| 10.25% 6/1/10 | 1,805,000 | 1,908,788 | ||||||||
| 40,107,869 | ||||||||||
| Consumer Products – 1.1% | ||||||||||
| IKON Office Solutions, Inc. 7.75% 9/15/15 (c) | 4,830,000 | 4,775,663 | ||||||||
| Jostens Holding Corp. 0% 12/1/13 (b) | 3,135,000 | 2,312,063 | ||||||||
| Jostens IH Corp. 7.625% 10/1/12 | 530,000 | 540,600 | ||||||||
| Revlon Consumer Products Corp. 9.5% 4/1/11 (c) | 290,000 | 269,700 | ||||||||
| Samsonite Corp. 8.875% 6/1/11 | 1,675,000 | 1,779,688 | ||||||||
| Spectrum Brands, Inc. 7.375% 2/1/15 | 2,090,000 | 1,865,325 | ||||||||
| 11,543,039 | ||||||||||
| Containers – 2.2% | ||||||||||
| Berry Plastics Corp. 10.75% 7/15/12 | 3,810,000 | 4,029,075 | ||||||||
| BWAY Corp. 10% 10/15/10 | 3,370,000 | 3,563,775 | ||||||||
| Crown European Holdings SA: | ||||||||||
| 9.5% 3/1/11 | 1,285,000 | 1,403,863 | ||||||||
Annual Report 64
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Containers – continued | ||||||||||
| Crown European Holdings SA: – continued | ||||||||||
| 10.875% 3/1/13 | $ 6,380,000 | $ 7,416,750 | ||||||||
| Owens-Brockway Glass Container, Inc. 8.25% 5/15/13 | 1,475,000 | 1,534,000 | ||||||||
| Owens-Illinois, Inc.: | ||||||||||
| 7.35% 5/15/08 | 2,460,000 | 2,484,600 | ||||||||
| 7.5% 5/15/10 | 2,895,000 | 2,927,569 | ||||||||
| 23,359,632 | ||||||||||
| Diversified Financial Services – 0.7% | ||||||||||
| E*TRADE Financial Corp.: | ||||||||||
| 7.375% 9/15/13 (c) | 1,070,000 | 1,080,700 | ||||||||
| 8% 6/15/11 | 570,000 | 587,100 | ||||||||
| 8% 6/15/11 (c) | 2,250,000 | 2,328,750 | ||||||||
| Residential Capital Corp. 6.375% 6/30/10 (c) | 1,565,000 | 1,587,008 | ||||||||
| Triad Acquisition Corp. 11.125% 5/1/13 (c) | 1,970,000 | 2,029,100 | ||||||||
| 7,612,658 | ||||||||||
| Diversified Media – 1.3% | ||||||||||
| Corus Entertainment, Inc. 8.75% 3/1/12 | 3,270,000 | 3,507,075 | ||||||||
| LBI Media Holdings, Inc. 0% 10/15/13 (b) | 1,330,000 | 1,000,825 | ||||||||
| LBI Media, Inc. 10.125% 7/15/12 | 2,310,000 | 2,489,025 | ||||||||
| Liberty Media Corp.: | ||||||||||
| 8.25% 2/1/30 | 2,570,000 | 2,461,037 | ||||||||
| 8.5% 7/15/29 | 1,575,000 | 1,524,992 | ||||||||
| Videotron Ltee 6.375% 12/15/15 (c) | 2,710,000 | 2,703,225 | ||||||||
| 13,686,179 | ||||||||||
| Electric Utilities – 5.0% | ||||||||||
| AES Corp.: | ||||||||||
| 8.875% 2/15/11 | 2,334,000 | 2,544,060 | ||||||||
| 9.375% 9/15/10 | 1,509,000 | 1,663,673 | ||||||||
| 9.5% 6/1/09 | 7,037,000 | 7,661,534 | ||||||||
| AES Gener SA 7.5% 3/25/14 | 4,175,000 | 4,237,625 | ||||||||
| Allegheny Energy Supply Co. LLC 8.25% 4/15/12 (c) | 540,000 | 604,800 | ||||||||
| Aquila, Inc. 14.875% 7/1/12 | 475,000 | 650,750 | ||||||||
| CMS Energy Corp.: | ||||||||||
| 6.3% 2/1/12 | 3,990,000 | 3,990,000 | ||||||||
| 7.5% 1/15/09 | 1,280,000 | 1,332,800 | ||||||||
| 8.9% 7/15/08 | 2,760,000 | 2,984,250 | ||||||||
| MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. | ||||||||||
| 7.375% 9/1/10 | 4,090,000 | 4,243,375 | ||||||||
65 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Electric Utilities – continued | ||||||||||
| MSW Energy Holdings LLC/MSW Energy Finance Co., | ||||||||||
| Inc. 8.5% 9/1/10 | $ 840,000 | $ 900,900 | ||||||||
| NRG Energy, Inc. 8% 12/15/13 | 4,335,000 | 4,595,100 | ||||||||
| Sierra Pacific Resources: | ||||||||||
| 6.75% 8/15/17 (c) | 1,420,000 | 1,427,100 | ||||||||
| 8.625% 3/15/14 | 1,535,000 | 1,703,850 | ||||||||
| TECO Energy, Inc. 5.6931% 5/1/10 (c)(d) | 2,490,000 | 2,527,350 | ||||||||
| Tenaska Alabama Partners LP 7% 6/30/21 (c) | 3,110,000 | 3,156,650 | ||||||||
| TXU Corp. 6.5% 11/15/24 | 3,410,000 | 3,213,925 | ||||||||
| Utilicorp Canada Finance Corp. 7.75% 6/15/11 | 3,825,000 | 4,016,250 | ||||||||
| Utilicorp United, Inc. 9.95% 2/1/11 (d) | 720,000 | 811,800 | ||||||||
| 52,265,792 | ||||||||||
| Energy – 7.8% | ||||||||||
| Chesapeake Energy Corp.: | ||||||||||
| 6.5% 8/15/17 (c) | 4,180,000 | 4,247,925 | ||||||||
| 7.5% 6/15/14 | 520,000 | 559,000 | ||||||||
| 7.75% 1/15/15 | 2,205,000 | 2,359,350 | ||||||||
| El Paso Corp. 7.625% 8/16/07 (c) | 1,200,000 | 1,227,000 | ||||||||
| Hanover Compressor Co.: | ||||||||||
| 0% 3/31/07 | 7,660,000 | 6,855,700 | ||||||||
| 8.625% 12/15/10 | 2,990,000 | 3,221,725 | ||||||||
| 9% 6/1/14 | 590,000 | 650,475 | ||||||||
| Hanover Equipment Trust 8.75% 9/1/11 | 535,000 | 567,100 | ||||||||
| Hilcorp Energy I LP/Hilcorp Finance Co. 10.5% | ||||||||||
| 9/1/10 (c) | 5,205,000 | 5,842,613 | ||||||||
| Markwest Energy Partners LP/ Markwest Energy Finance | ||||||||||
| Corp. 6.875% 11/1/14 (c) | 843,000 | 826,140 | ||||||||
| Newfield Exploration Co. 6.625% 9/1/14 | 2,170,000 | 2,256,800 | ||||||||
| Pacific Energy Partners LP/Pacific Energy Finance Corp. | ||||||||||
| 6.25% 9/15/15 (c) | 2,360,000 | �� | 2,371,800 | |||||||
| Parker Drilling Co.: | ||||||||||
| 8.62% 9/1/10 (d) | 5,195,000 | 5,363,838 | ||||||||
| 9.625% 10/1/13 | 1,225,000 | 1,387,313 | ||||||||
| 9.625% 10/1/13 (c) | 1,635,000 | 1,851,638 | ||||||||
| Pogo Producing Co. 6.875% 10/1/17 (c) | 3,970,000 | 4,039,475 | ||||||||
| Range Resources Corp.: | ||||||||||
| 6.375% 3/15/15 (Reg. S) | 2,800,000 | 2,814,000 | ||||||||
| 7.375% 7/15/13 | 5,235,000 | 5,601,450 | ||||||||
| Sonat, Inc.: | ||||||||||
| 6.625% 2/1/08 | 3,330,000 | 3,317,513 | ||||||||
Annual Report 66
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Energy – continued | ||||||||||
| Sonat, Inc.: – continued | ||||||||||
| 7.625% 7/15/11 | $ 3,820,000 | $ 3,877,300 | ||||||||
| Stone Energy Corp. 6.75% 12/15/14 | 3,365,000 | 3,322,938 | ||||||||
| The Coastal Corp.: | ||||||||||
| 6.375% 2/1/09 | 4,910,000 | 4,787,250 | ||||||||
| 6.5% 6/1/08 | 1,720,000 | 1,698,500 | ||||||||
| 7.75% 6/15/10 | 5,960,000 | 6,071,750 | ||||||||
| Williams Companies, Inc. 6.375% 10/1/10 (c) | 7,150,000 | 7,105,313 | ||||||||
| 82,223,906 | ||||||||||
| Environmental – 0.7% | ||||||||||
| Allied Waste North America, Inc. 5.75% 2/15/11 | 1,680,000 | 1,562,400 | ||||||||
| Browning-Ferris Industries, Inc. 6.375% 1/15/08 | 5,755,000 | 5,639,900 | ||||||||
| 7,202,300 | ||||||||||
| Food and Drug Retail – 0.4% | ||||||||||
| Stater Brothers Holdings, Inc.: | ||||||||||
| 7.37% 6/15/10 (d) | 2,115,000 | 2,093,850 | ||||||||
| 8.125% 6/15/12 | 2,655,000 | 2,615,175 | ||||||||
| 4,709,025 | ||||||||||
| Food/Beverage/Tobacco – 1.6% | ||||||||||
| National Beef Packing Co. LLC/National Beef Finance | ||||||||||
| Corp. 10.5% 8/1/11 | 2,540,000 | 2,641,600 | ||||||||
| RJ Reynolds Tobacco Holdings, Inc.: | ||||||||||
| 6.5% 7/15/10 (c) | 2,970,000 | 2,984,850 | ||||||||
| 7.3% 7/15/15 (c) | 980,000 | 1,004,500 | ||||||||
| Smithfield Foods, Inc.: | ||||||||||
| 7% 8/1/11 | 5,070,000 | 5,171,400 | ||||||||
| 7.75% 5/15/13 | 75,000 | 78,750 | ||||||||
| UAP Holding Corp. 0% 7/15/12 (b) | 2,700,000 | 2,295,000 | ||||||||
| United Agriculture Products, Inc. 8.25% 12/15/11 | 2,266,000 | 2,390,630 | ||||||||
| 16,566,730 | ||||||||||
| Gaming – 6.0% | ||||||||||
| Kerzner International Ltd. 6.75% 10/1/15 (c) | 4,760,000 | 4,664,800 | ||||||||
| Mandalay Resort Group: | ||||||||||
| 6.5% 7/31/09 | 1,450,000 | 1,451,813 | ||||||||
| 9.375% 2/15/10 | 1,095,000 | 1,205,869 | ||||||||
| 10.25% 8/1/07 | 2,485,000 | 2,677,588 | ||||||||
| MGM MIRAGE: | ||||||||||
| 6% 10/1/09 | 10,530,000 | 10,424,700 | ||||||||
| 6.625% 7/15/15 (c) | 2,230,000 | 2,210,488 | ||||||||
67 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Gaming – continued | ||||||||||
| MGM MIRAGE: – continued | ||||||||||
| 6.75% 9/1/12 | $ 245,000 | $ 247,450 | ||||||||
| Mohegan Tribal Gaming Authority: | ||||||||||
| 6.125% 2/15/13 | 1,390,000 | 1,383,050 | ||||||||
| 6.375% 7/15/09 | 7,835,000 | 7,874,175 | ||||||||
| 7.125% 8/15/14 | 1,480,000 | 1,535,500 | ||||||||
| 8% 4/1/12 | 785,000 | 829,156 | ||||||||
| MTR Gaming Group, Inc. 9.75% 4/1/10 | 2,600,000 | 2,827,500 | ||||||||
| Scientific Games Corp. 6.25% 12/15/12 | 1,950,000 | 1,945,125 | ||||||||
| Seneca Gaming Corp.: | ||||||||||
| 7.25% 5/1/12 (Reg. S) (c) | 3,210,000 | 3,290,250 | ||||||||
| 7.25% 5/1/12 | 3,945,000 | 4,043,625 | ||||||||
| Station Casinos, Inc. 6.875% 3/1/16 (c) | 1,370,000 | 1,383,700 | ||||||||
| Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||||||||
| 0% 1/15/13 (b)(c) | 1,250,000 | 887,500 | ||||||||
| 9% 1/15/12 (c) | 2,920,000 | 3,051,400 | ||||||||
| Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 5,835,000 | 6,126,750 | ||||||||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | ||||||||||
| 6.625% 12/1/14 | 4,565,000 | 4,348,163 | ||||||||
| 62,408,602 | ||||||||||
| Healthcare 4.0% | ||||||||||
| AMR HoldCo, Inc./ EmCare HoldCo, Inc. 10% | ||||||||||
| 2/15/15 (c) | 1,070,000 | 1,158,275 | ||||||||
| CDRV Investors, Inc. 0% 1/1/15 (b) | 9,190,000 | 5,238,300 | ||||||||
| Concentra Operating Corp.: | ||||||||||
| 9.125% 6/1/12 | 2,775,000 | 2,886,000 | ||||||||
| 9.5% 8/15/10 | 2,110,000 | 2,210,225 | ||||||||
| DaVita, Inc. 6.625% 3/15/13 | 3,890,000 | 3,938,625 | ||||||||
| Mylan Laboratories, Inc.: | ||||||||||
| 5.75% 8/15/10 (c) | 1,190,000 | 1,191,488 | ||||||||
| 6.375% 8/15/15 (c) | 1,650,000 | 1,652,063 | ||||||||
| Omega Healthcare Investors, Inc. 7% 4/1/14 | 5,720,000 | 5,805,800 | ||||||||
| PerkinElmer, Inc. 8.875% 1/15/13 | 7,470,000 | 8,179,650 | ||||||||
| Psychiatric Solutions, Inc. 7.75% 7/15/15 (c) | 705,000 | 726,150 | ||||||||
| ResCare, Inc. 7.75% 10/15/13 (c) | 2,240,000 | 2,262,400 | ||||||||
| Senior Housing Properties Trust 8.625% 1/15/12 | 4,490,000 | 4,995,125 | ||||||||
| Service Corp. International (SCI) 7% 6/15/17 (c) | 1,450,000 | 1,468,125 | ||||||||
| 41,712,226 | ||||||||||
| Annual Report |
| 68 |
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Homebuilding/Real Estate – 3.0% | ||||||||||
| American Real Estate Partners/American Real Estate | ||||||||||
| Finance Corp.: | ||||||||||
| 7.125% 2/15/13 (c) | $ 2,680,000 | $ 2,680,000 | ||||||||
| 8.125% 6/1/12 | 6,080,000 | 6,338,400 | ||||||||
| K. Hovnanian Enterprises, Inc.: | ||||||||||
| 6% 1/15/10 | 790,000 | 758,400 | ||||||||
| 8.875% 4/1/12 | 2,155,000 | 2,262,750 | ||||||||
| KB Home 7.75% 2/1/10 | 6,620,000 | 6,818,600 | ||||||||
| Standard Pacific Corp.: | ||||||||||
| 5.125% 4/1/09 | 2,640,000 | 2,508,000 | ||||||||
| 6.875% 5/15/11 | 1,915,000 | 1,886,275 | ||||||||
| Technical Olympic USA, Inc.: | ||||||||||
| 7.5% 1/15/15 | 2,145,000 | 1,892,963 | ||||||||
| 10.375% 7/1/12 | 100,000 | 104,000 | ||||||||
| WCI Communities, Inc.: | ||||||||||
| 6.625% 3/15/15 | 1,910,000 | 1,728,550 | ||||||||
| 7.875% 10/1/13 | 4,665,000 | 4,583,363 | ||||||||
| 31,561,301 | ||||||||||
| Hotels 0.5% | ||||||||||
| Grupo Posadas SA de CV 8.75% 10/4/11 (c) | 3,630,000 | 3,902,250 | ||||||||
| Host Marriott LP 7.125% 11/1/13 | 1,465,000 | 1,496,131 | ||||||||
| 5,398,381 | ||||||||||
| Insurance – 0.9% | ||||||||||
| Crum & Forster Holdings Corp. 10.375% 6/15/13 | 4,785,000 | 5,096,025 | ||||||||
| Fairfax Financial Holdings Ltd. 7.75% 4/26/12 | 4,505,000 | 4,324,800 | ||||||||
| 9,420,825 | ||||||||||
| Leisure – 1.2% | ||||||||||
| Equinox Holdings Ltd. 9% 12/15/09 | 1,530,000 | 1,587,375 | ||||||||
| Town Sports International Holdings, Inc. 0% 2/1/14 (b) . | 2,510,000 | 1,681,700 | ||||||||
| Town Sports International, Inc. 9.625% 4/15/11 | 2,345,000 | 2,438,800 | ||||||||
| Universal City Development Partners Ltd./UCDP Finance, | ||||||||||
| Inc. 11.75% 4/1/10 | 2,260,000 | 2,553,800 | ||||||||
| Universal City Florida Holding Co. I/II 8.4431% | ||||||||||
| 5/1/10 (d) | 4,260,000 | 4,473,000 | ||||||||
| 12,734,675 | ||||||||||
| Metals/Mining – 1.9% | ||||||||||
| Arch Western Finance LLC 6.75% 7/1/13 | 3,240,000 | 3,304,800 | ||||||||
| Century Aluminum Co. 7.5% 8/15/14 | 625,000 | 646,875 | ||||||||
69 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Metals/Mining – continued | ||||||||||
| Compass Minerals International, Inc.: | ||||||||||
| 0% 12/15/12 (b) | $ 1,060,000 | $ 932,800 | ||||||||
| 0% 6/1/13 (b) | 9,175,000 | 7,798,750 | ||||||||
| Freeport-McMoRan Copper & Gold, Inc. 6.875% | ||||||||||
| 2/1/14 | 2,685,000 | 2,658,150 | ||||||||
| Vedanta Resources PLC 6.625% 2/22/10 (c) | 4,225,000 | 4,188,031 | ||||||||
| 19,529,406 | ||||||||||
| Paper 1.0% | ||||||||||
| Georgia-Pacific Corp.: | ||||||||||
| 8% 1/15/14 | 3,610,000 | 3,952,950 | ||||||||
| 8.125% 5/15/11 | 750,000 | 824,063 | ||||||||
| 8.875% 2/1/10 | 2,050,000 | 2,296,000 | ||||||||
| Norske Skog Canada Ltd. 8.625% 6/15/11 | 3,295,000 | 3,344,425 | ||||||||
| 10,417,438 | ||||||||||
| Publishing/Printing – 1.1% | ||||||||||
| Houghton Mifflin Co.: | ||||||||||
| 7.2% 3/15/11 | 365,000 | 379,600 | ||||||||
| 9.875% 2/1/13 | 4,835,000 | 5,125,100 | ||||||||
| The Reader’s Digest Association, Inc. 6.5% 3/1/11 | 5,850,000 | 5,937,750 | ||||||||
| 11,442,450 | ||||||||||
| Railroad 0.4% | ||||||||||
| Kansas City Southern Railway Co.: | ||||||||||
| 7.5% 6/15/09 | 4,325,000 | 4,519,625 | ||||||||
| 9.5% 10/1/08 | 220,000 | 240,900 | ||||||||
| 4,760,525 | ||||||||||
| Restaurants 1.0% | ||||||||||
| Carrols Corp. 9% 1/15/13 (c) | 2,785,000 | 2,819,813 | ||||||||
| Friendly Ice Cream Corp. 8.375% 6/15/12 | 4,185,000 | 3,975,750 | ||||||||
| Landry’s Seafood Restaurants, Inc. 7.5% 12/15/14 | 3,450,000 | 3,329,250 | ||||||||
| 10,124,813 | ||||||||||
| Services – 1.6% | ||||||||||
| Ashtead Holdings PLC 8.625% 8/1/15 (c) | 1,090,000 | 1,149,950 | ||||||||
| FTI Consulting, Inc. 7.625% 6/15/13 (c) | 2,975,000 | 3,019,625 | ||||||||
| Iron Mountain, Inc.: | ||||||||||
| 7.75% 1/15/15 | 400,000 | 406,000 | ||||||||
| 8.25% 7/1/11 | 1,750,000 | 1,785,000 | ||||||||
| 8.625% 4/1/13 | 4,815,000 | 5,007,600 | ||||||||
| Annual Report |
| 70 |
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Services – continued | ||||||||||
| Rural/Metro Corp.: | ||||||||||
| 0% 3/15/16 (b)(c) | $ 2,860,000 | $ 1,744,600 | ||||||||
| 9.875% 3/15/15 (c) | 630,000 | 652,050 | ||||||||
| United Rentals North America, Inc. 7% 2/15/14 | 2,780,000 | 2,585,400 | ||||||||
| 16,350,225 | ||||||||||
| Shipping – 4.5% | ||||||||||
| General Maritime Corp. 10% 3/15/13 | 9,940,000 | 10,909,150 | ||||||||
| OMI Corp. 7.625% 12/1/13 | 7,645,000 | 7,893,463 | ||||||||
| Overseas Shipholding Group, Inc.: | ||||||||||
| 7.5% 2/15/24 | 195,000 | 193,050 | ||||||||
| 8.25% 3/15/13 | 855,000 | 916,988 | ||||||||
| Ship Finance International Ltd. 8.5% 12/15/13 | 17,800,000 | 17,488,478 | ||||||||
| Teekay Shipping Corp. 8.875% 7/15/11 | 8,240,000 | 9,352,400 | ||||||||
| 46,753,529 | ||||||||||
| Steels – 1.2% | ||||||||||
| Allegheny Technologies, Inc. 8.375% 12/15/11 | 3,475,000 | 3,753,000 | ||||||||
| CSN Islands VII Corp. 10.75% 9/12/08 (c) | 3,090,000 | 3,491,700 | ||||||||
| Gerdau AmeriSteel Corp./GUSAP Partners 10.375% | ||||||||||
| 7/15/11 | 4,980,000 | 5,527,800 | ||||||||
| 12,772,500 | ||||||||||
| Super Retail – 3.7% | ||||||||||
| Asbury Automotive Group, Inc. 9% 6/15/12 | 4,470,000 | 4,537,050 | ||||||||
| Buhrmann US, Inc. 7.875% 3/1/15 | 2,300,000 | 2,317,250 | ||||||||
| GSC Holdings Corp./Gamestop, Inc.: | ||||||||||
| 7.875% 10/1/11 (c)(d) | 6,800,000 | 6,851,000 | ||||||||
| 8% 10/1/12 (c) | 9,030,000 | 9,007,425 | ||||||||
| NBC Acquisition Corp. 0% 3/15/13 (b) | 6,590,000 | 4,859,927 | ||||||||
| Nebraska Book Co., Inc. 8.625% 3/15/12 | 4,490,000 | 4,220,600 | ||||||||
| Sonic Automotive, Inc. 8.625% 8/15/13 | 5,550,000 | 5,480,625 | ||||||||
| Toys ’R’ US, Inc.: | ||||||||||
| 7.375% 10/15/18 | 485,000 | 388,000 | ||||||||
| 7.875% 4/15/13 | 995,000 | 883,063 | ||||||||
| 38,544,940 | ||||||||||
| Technology – 6.2% | ||||||||||
| Advanced Micro Devices, Inc. 7.75% 11/1/12 | 2,715,000 | 2,789,663 | ||||||||
| Celestica, Inc.: | ||||||||||
| 7.625% 7/1/13 | 4,480,000 | 4,446,400 | ||||||||
| 7.875% 7/1/11 | 6,675,000 | 6,791,813 | ||||||||
| Freescale Semiconductor, Inc. 6.875% 7/15/11 | 5,350,000 | 5,577,375 | ||||||||
71 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Corporate Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Technology – continued | ||||||||||
| Lucent Technologies, Inc.: | ||||||||||
| 6.45% 3/15/29 | $ 1,170,000 | $ 1,025,213 | ||||||||
| 6.5% 1/15/28 | 1,055,000 | 913,894 | ||||||||
| MagnaChip Semiconductor SA/MagnaChip | ||||||||||
| Semiconductor Finance Co. 7.12% 12/15/11 (d) | 4,465,000 | 4,431,513 | ||||||||
| New ASAT Finance Ltd. 9.25% 2/1/11 | 2,165,000 | 1,569,625 | ||||||||
| Sanmina SCI Corp.: | ||||||||||
| 6.75% 3/1/13 | 3,925,000 | 3,718,938 | ||||||||
| 10.375% 1/15/10 | 1,950,000 | 2,145,000 | ||||||||
| STATS ChipPAC Ltd. 7.5% 7/19/10 (c) | 5,410,000 | 5,504,675 | ||||||||
| SunGard Data Systems, Inc.: | ||||||||||
| 8.5248% 8/15/13 (c)(d) | 2,590,000 | 2,670,938 | ||||||||
| 9.125% 8/15/13 (c) | 6,090,000 | 6,242,250 | ||||||||
| Unisys Corp. 8% 10/15/12 | 3,540,000 | 3,460,350 | ||||||||
| Xerox Capital Trust I 8% 2/1/27 | 5,775,000 | 6,006,000 | ||||||||
| Xerox Corp.: | ||||||||||
| 6.875% 8/15/11 | 1,265,000 | 1,321,925 | ||||||||
| 7.125% 6/15/10 | 4,275,000 | 4,499,438 | ||||||||
| 9.75% 1/15/09 | 1,535,000 | 1,719,200 | ||||||||
| 64,834,210 | ||||||||||
| Telecommunications – 9.2% | ||||||||||
| American Tower Corp. 7.125% 10/15/12 | 1,965,000 | 2,058,338 | ||||||||
| American Towers, Inc. 7.25% 12/1/11 | 785,000 | 834,063 | ||||||||
| Digicel Ltd. 9.25% 9/1/12 (c) | 3,565,000 | 3,738,794 | ||||||||
| Intelsat Ltd.: | ||||||||||
| 5.25% 11/1/08 | 2,415,000 | 2,215,763 | ||||||||
| 6.5% 11/1/13 | 5,710,000 | 4,396,700 | ||||||||
| 7.625% 4/15/12 | 2,890,000 | 2,413,150 | ||||||||
| 8.695% 1/15/12 (c)(d) | 6,345,000 | 6,471,900 | ||||||||
| MCI, Inc. 8.735% 5/1/14 (d) | 4,155,000 | 4,643,213 | ||||||||
| Millicom International Cellular SA 10% 12/1/13 | 4,600,000 | 4,772,500 | ||||||||
| Mobile Telesystems Finance SA 8% 1/28/12 (c) | 1,880,000 | 1,992,800 | ||||||||
| New Skies Satellites BV: | ||||||||||
| 8.5388% 11/1/11 (d) | 4,145,000 | 4,258,988 | ||||||||
| 9.125% 11/1/12 | 415,000 | 425,894 | ||||||||
| Nextel Communications, Inc.: | ||||||||||
| 5.95% 3/15/14 | 2,880,000 | 2,973,600 | ||||||||
| 6.875% 10/31/13 | 7,380,000 | 7,841,250 | ||||||||
| PanAmSat Corp. 9% 8/15/14 | 2,080,000 | 2,189,200 | ||||||||
| PanAmSat Holding Corp. 0% 11/1/14 (b) | 1,095,000 | 755,550 | ||||||||
Annual Report 72
| Corporate Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Nonconvertible Bonds continued | ||||||||
| Telecommunications – continued | ||||||||
| Qwest Capital Funding, Inc.: | ||||||||
| 7% 8/3/09 | $ 3,240,000 | $ 3,142,800 | ||||||
| 7.25% 2/15/11 | 1,160,000 | 1,102,000 | ||||||
| 7.9% 8/15/10 | 1,450,000 | 1,439,125 | ||||||
| Qwest Corp.: | ||||||||
| 7.12% 6/15/13 (c)(d) | 6,760,000 | 7,030,400 | ||||||
| 8.875% 3/15/12 | 2,045,000 | 2,234,163 | ||||||
| Qwest Services Corp. 14% 12/15/14 | 3,315,000 | 4,011,150 | ||||||
| Rogers Communications, Inc.: | ||||||||
| 7.25% 12/15/12 | 3,670,000 | 3,881,025 | ||||||
| 8% 12/15/12 | 4,020,000 | 4,241,100 | ||||||
| 9.625% 5/1/11 | 3,350,000 | 3,869,250 | ||||||
| SBA Communications Corp. 8.5% 12/1/12 | 4,005,000 | 4,355,438 | ||||||
| Time Warner Telecom Holdings, Inc. 9.25% 2/15/14 | 390,000 | 394,875 | ||||||
| Time Warner Telecom, Inc. 10.125% 2/1/11 | 1,050,000 | 1,084,125 | ||||||
| U.S. West Capital Funding, Inc. 6.375% 7/15/08 | 5,547,000 | 5,380,590 | ||||||
| U.S. West Communications: | ||||||||
| 6.875% 9/15/33 | 2,385,000 | 2,063,025 | ||||||
| 7.5% 6/15/23 | 805,000 | 728,525 | ||||||
| 96,939,294 | ||||||||
| Textiles & Apparel – 0.5% | ||||||||
| Levi Strauss & Co.: | ||||||||
| 8.2544% 4/1/12 (d) | 2,225,000 | 2,219,438 | ||||||
| 12.25% 12/15/12 | 995,000 | 1,104,450 | ||||||
| Tommy Hilfiger USA, Inc. 6.85% 6/1/08 | 2,130,000 | 2,156,625 | ||||||
| 5,480,513 | ||||||||
| TOTAL NONCONVERTIBLE BONDS | 929,902,543 | |||||||
| TOTAL CORPORATE BONDS | ||||||||
| (Cost $917,443,848) | 930,083,372 | |||||||
| Commercial Mortgage Securities 0.1% | ||||||||
| Berkeley Federal Bank & Trust FSB Series 1994-1 Class | ||||||||
| B, 3.4233% 8/1/24 (c)(d) | ||||||||
| (Cost $969,889) | 1,228,245 | 1,059,362 | ||||||
73 Annual Report
| Investments (Unaudited) continued | ||||||||
| Common Stocks 0.2% | ||||||||
| Shares | Value | |||||||
| Automotive 0.0% | ||||||||
| Exide Technologies warrants 3/18/06 (a) | 16 | $ 0 | ||||||
| Healthcare 0.0% | ||||||||
| Skilled Healthcare Group, Inc. (a)(e) | 1,364 | 156,860 | ||||||
| Textiles & Apparel – 0.2% | ||||||||
| Arena Brands Holding Corp. Class B (e) | 144,445 | 1,630,784 | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $5,834,148) | 1,787,644 | |||||||
| Floating Rate Loans 7.8% | ||||||||
| Principal | ||||||||
| Amount | ||||||||
| Air Transportation – 0.4% | ||||||||
| US Airways Group, Inc.: | ||||||||
| Tranche 1A, term loan 12.2062% 9/30/10 (d) | $ 2,834,967 | 2,834,967 | ||||||
| Tranche 2B, term loan 9.8062% 9/30/08 (d) | 1,126,439 | 1,137,703 | ||||||
| 3,972,670 | ||||||||
| Building Materials – 0.5% | ||||||||
| Masonite International Corp. term loan 9.3838% | ||||||||
| 4/6/15 (d) | 5,340,000 | 5,333,325 | ||||||
| Cable TV 0.5% | ||||||||
| UPC Broadband Holding BV Tranche H2, term loan | ||||||||
| 6.0044% 9/30/12 (d) | 5,460,000 | 5,521,425 | ||||||
| Electric Utilities – 1.5% | ||||||||
| Covanta Energy Corp.: | ||||||||
| Tranche 1: | ||||||||
| Credit-Linked Deposit 6.8628% 6/24/12 (d) | 2,913,496 | 2,957,198 | ||||||
| term loan 6.9606% 6/24/12 (d) | 2,350,613 | 2,385,872 | ||||||
| Tranche 2, term loan 9.3953% 6/24/13 (d) | 3,720,000 | 3,729,300 | ||||||
| Riverside Energy Center LLC: | ||||||||
| term loan 7.93% 6/24/11 (d) | 6,179,774 | 6,365,167 | ||||||
| Credit-Linked Deposit 7.93% 6/24/11 (d) | 288,859 | 293,192 | ||||||
| 15,730,729 | ||||||||
| Energy – 1.8% | ||||||||
| Coffeyville Resources LLC: | ||||||||
| Credit-Linked Deposit 6.3604% 7/8/11 (d) | 172,000 | 174,795 | ||||||
| Tranche 2, term loan 10.8125% 7/8/13 (d) | 2,870,000 | 2,984,800 | ||||||
| Tranche B1, term loan 6.57% 7/8/12 (d) | 258,000 | 262,193 | ||||||
| El Paso Corp.: | ||||||||
| Credit-Linked Deposit 6.6466% 11/22/09 (d) | 4,070,700 | 4,111,407 | ||||||
| Annual Report |
| 74 |
| Floating Rate Loans continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Energy – continued | ||||||||
| El Paso Corp.: – continued | ||||||||
| term loan 6.8125% 11/22/09 (d) | $ 2,766,661 | $ 2,794,327 | ||||||
| Kerr-McGee Corp. Tranche B, term loan 6.3149% | ||||||||
| 5/24/11 (d) | 8,538,600 | 8,581,293 | ||||||
| 18,908,815 | ||||||||
| Environmental – 0.8% | ||||||||
| Envirocare of Utah, Inc.: | ||||||||
| Tranche 1, term loan 6.11% 4/13/10 (d) | 4,882,727 | 4,962,072 | ||||||
| Tranche 2, term loan 8.86% 4/13/10 (d) | 3,770,000 | 3,901,950 | ||||||
| 8,864,022 | ||||||||
| Homebuilding/Real Estate – 0.8% | ||||||||
| LNR Property Corp.: | ||||||||
| Tranche A, term loan 8.2109% 2/3/08 (d) | 2,150,000 | 2,160,750 | ||||||
| Tranche B, term loan: | ||||||||
| 6.7112% 2/3/08 (d) | 4,311,868 | 4,365,766 | ||||||
| 8.9609% 2/3/08 (d) | 2,200,000 | 2,211,000 | ||||||
| 8,737,516 | ||||||||
| Technology – 0.7% | ||||||||
| Fidelity National Information Solutions, Inc.: | ||||||||
| Tranche A, term loan 5.2281% 3/9/11 (d) | 3,676,525 | 3,676,525 | ||||||
| Tranche B, term loan 5.4771% 3/9/13 (d) | 1,464,950 | 1,472,275 | ||||||
| Infor Global Solutions AG Tranche 2, term loan | ||||||||
| 10.943% 4/18/12 (d) | 1,700,000 | 1,721,250 | ||||||
| 6,870,050 | ||||||||
| Telecommunications – 0.8% | ||||||||
| Qwest Corp. Tranche B, term loan 6.95% 6/30/10 (d) | . | 1,700,000 | 1,689,375 | |||||
| Wind Telecomunicazioni Spa: | ||||||||
| Tranche 2, term loan 10.0944% 3/21/15 (d) | 3,620,000 | 3,624,525 | ||||||
| Tranche B, term loan 6.75% 9/21/13 (d) | 1,565,000 | 1,549,350 | ||||||
| Tranche C, term loan 7.25% 9/21/14 (d) | 1,565,000 | 1,549,350 | ||||||
| 8,412,600 | ||||||||
| TOTAL FLOATING RATE LOANS | ||||||||
| (Cost $81,519,647) | 82,351,152 | |||||||
75 Annual Report
| Investments (Unaudited) continued | ||||||
| Cash Equivalents 3.1% | ||||||
| Maturity | Value | |||||
| Amount | ||||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||
| Government Obligations, in a joint trading account at | ||||||
| 3.89%, dated 9/30/05 due 10/3/05) | $ 27,692,985 | $ 27,684,000 | ||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||
| Treasury Obligations, in a joint trading account at 3.27%, | ||||||
| dated 9/30/05 due 10/3/05) | 4,492,224 | 4,491,000 | ||||
| TOTAL CASH EQUIVALENTS | ||||||
| (Cost $32,175,000) | 32,175,000 | |||||
| TOTAL INVESTMENT PORTFOLIO 99.9% | ||||||
| (Cost $1,037,942,532) | 1,047,456,530 | |||||
| NET OTHER ASSETS – 0.1% | 641,925 | |||||
| NET ASSETS 100% | $ 1,048,098,455 | |||||
| Legend (a) Non-income producing (b) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. (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 period end, the value of these securities amounted to $205,494,256 or 19.6% of net assets. (d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (e) Restricted securities – Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,787,644 or 0.2% of net assets. |
Additional information on each holding is as follows:
| Acquisition | Acquisition | |||||
| SecurityA | Date | Cost | ||||
| Arena Brands | ||||||
| Holding Corp. | ||||||
| Class B | 6/18/97 | $ 5,834,134 | ||||
| Skilled Healthcare | 8/19/03 - 1/27/04 | |||||
| Group, Inc. | $ 13 |
AAcquired as a result of an in-kind exchange and represents the original acquisition date and cost.
Annual Report 76
Other Information
Distribution of investments by country of issue, as a percentage of total net assets, is as follows:
| United States of America | 80.4% | |
| Canada | 5.2% | |
| Bermuda | 3.5% | |
| Marshall Islands | 2.7% | |
| United Kingdom | 1.7% | |
| Luxembourg | 1.4% | |
| France | 1.1% | |
| Others (individually less than 1%) . | 4.0% | |
| 100.0% |
77 Annual Report
Fidelity Tactical Income Central Investment Portfolio
Investments September 30, 2005 (Unaudited)
Showing Percentage of Net Assets
| Nonconvertible Bonds 22.2% | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| CONSUMER DISCRETIONARY – 2.0% | ||||||||
| Automobiles – 0.6% | ||||||||
| Ford Motor Co.: | ||||||||
| 6.375% 2/1/29 | $ 1,750,000 | $ 1,255,625 | ||||||
| 6.625% 10/1/28 | 1,115,000 | 805,588 | ||||||
| 7.45% 7/16/31 | 12,780,000 | 9,968,400 | ||||||
| General Motors Corp. 8.25% 7/15/23 | 11,340,000 | 8,816,850 | ||||||
| 20,846,463 | ||||||||
| Media – 1.4% | ||||||||
| Clear Channel Communications, Inc. 5.5% 9/15/14 | 7,170,000 | 6,910,898 | ||||||
| Comcast Corp. 5.65% 6/15/35 | 2,850,000 | 2,664,066 | ||||||
| Continental Cablevision, Inc. 9% 9/1/08 | 3,850,000 | 4,271,379 | ||||||
| Cox Communications, Inc. 7.125% 10/1/12 | 4,325,000 | 4,704,674 | ||||||
| Liberty Media Corp.: | ||||||||
| 5.7% 5/15/13 | 2,980,000 | 2,719,250 | ||||||
| 8.25% 2/1/30 | 8,580,000 | 8,216,225 | ||||||
| News America Holdings, Inc. 7.75% 12/1/45 | 2,625,000 | 3,082,196 | ||||||
| News America, Inc. 6.2% 12/15/34 | 5,075,000 | 5,082,663 | ||||||
| Time Warner, Inc. 6.625% 5/15/29 | 5,700,000 | 5,962,246 | ||||||
| Univision Communications, Inc. 3.875% 10/15/08 | 1,295,000 | 1,248,649 | ||||||
| 44,862,246 | ||||||||
| TOTAL CONSUMER DISCRETIONARY | 65,708,709 | |||||||
| CONSUMER STAPLES 0.4% | ||||||||
| Beverages – 0.1% | ||||||||
| FBG Finance Ltd. 5.125% 6/15/15 (a) | 3,715,000 | 3,644,411 | ||||||
| Food Products 0.3% | ||||||||
| ConAgra Foods, Inc. 6.75% 9/15/11 | 8,710,000 | 9,365,593 | ||||||
| TOTAL CONSUMER STAPLES | 13,010,004 | |||||||
| ENERGY 2.0% | ||||||||
| Energy Equipment & Services – 0.5% | ||||||||
| Diamond Offshore Drilling, Inc. 4.875% 7/1/15 (a) | 10,270,000 | 10,031,695 | ||||||
| Petronas Capital Ltd. 7% 5/22/12 (a) | 5,725,000 | 6,388,590 | ||||||
| 16,420,285 | ||||||||
| Oil, Gas & Consumable Fuels – 1.5% | ||||||||
| Canadian Oil Sands Ltd. 4.8% 8/10/09 (a) | 5,220,000 | 5,173,834 | ||||||
| Duke Capital LLC: | ||||||||
| 4.37% 3/1/09 | 2,825,000 | 2,782,492 | ||||||
Annual Report 78
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| ENERGY – continued | ||||||||
| Oil, Gas & Consumable Fuels – continued | ||||||||
| Duke Capital LLC: – continued | ||||||||
| 6.25% 2/15/13 | $ 4,500,000 | $ 4,733,289 | ||||||
| Enterprise Products Operating LP 4% 10/15/07 | 3,815,000 | 3,738,711 | ||||||
| Kinder Morgan Energy Partners LP 5.8% 3/15/35 | 1,810,000 | 1,738,465 | ||||||
| Nexen, Inc. 5.875% 3/10/35 | 3,395,000 | 3,327,782 | ||||||
| Pemex Project Funding Master Trust: | ||||||||
| 6.625% 6/15/35 (a) | 1,425,000 | 1,401,488 | ||||||
| 7.375% 12/15/14 | 3,000,000 | 3,330,000 | ||||||
| 8.625% 2/1/22 | 8,725,000 | 10,709,938 | ||||||
| The Coastal Corp.: | ||||||||
| 7.75% 10/15/35 | 1,990,000 | 1,910,400 | ||||||
| 9.625% 5/15/12 | 7,730,000 | 8,541,650 | ||||||
| 47,388,049 | ||||||||
| TOTAL ENERGY | 63,808,334 | |||||||
| FINANCIALS – 11.5% | ||||||||
| Capital Markets 1.3% | ||||||||
| Bank of New York Co., Inc.: | ||||||||
| 3.4% 3/15/13 (f) | 4,370,000 | 4,227,053 | ||||||
| 4.25% 9/4/12 (f) | 4,285,000 | 4,248,093 | ||||||
| Goldman Sachs Capital I 6.345% 2/15/34 | 8,225,000 | 8,569,866 | ||||||
| Goldman Sachs Group, Inc. 5.25% 10/15/13 | 8,525,000 | 8,601,955 | ||||||
| JPMorgan Chase Capital XV 5.875% 3/15/35 | 3,505,000 | 3,430,894 | ||||||
| Lazard LLC 7.125% 5/15/15 (a) | 5,665,000 | 5,625,096 | ||||||
| Merrill Lynch & Co., Inc. 4.25% 2/8/10 | 4,590,000 | 4,487,189 | ||||||
| Nuveen Investments, Inc. 5% 9/15/10 | 2,595,000 | 2,569,182 | ||||||
| 41,759,328 | ||||||||
| Commercial Banks – 2.3% | ||||||||
| Bank of America Corp.: | ||||||||
| 7.4% 1/15/11 | 10,286,000 | 11,487,024 | ||||||
| 7.8% 2/15/10 | 14,984,000 | 16,723,597 | ||||||
| Banponce Corp. 6.75% 12/15/05 | 3,570,000 | 3,586,011 | ||||||
| Export-Import Bank of Korea: | ||||||||
| 4.125% 2/10/09 (a) | 1,485,000 | 1,451,844 | ||||||
| 5.25% 2/10/14 (a) | 2,560,000 | 2,586,007 | ||||||
| KeyCorp Capital Trust VII 5.7% 6/15/35 | 8,000,000 | 7,605,728 | ||||||
| Korea Development Bank: | ||||||||
| 3.875% 3/2/09 | 9,700,000 | 9,416,479 | ||||||
| 4.75% 7/20/09 | 3,520,000 | 3,508,419 | ||||||
79 Annual Report
| Investments (Unaudited) continued | ||||||||
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| FINANCIALS – continued | ||||||||
| Commercial Banks – continued | ||||||||
| Rabobank Capital Funding Trust II 5.26% | ||||||||
| 12/31/49 (a)(f) | $ 6,835,000 | $ 6,854,104 | ||||||
| Wachovia Bank NA 4.875% 2/1/15 | 12,050,000 | 11,882,119 | ||||||
| 75,101,332 | ||||||||
| Consumer Finance – 0.7% | ||||||||
| General Electric Capital Corp. 3.5% 5/1/08 | 500,000 | 487,475 | ||||||
| Household Finance Corp.: | ||||||||
| 4.125% 11/16/09 | 7,450,000 | 7,255,235 | ||||||
| 5.875% 2/1/09 | 730,000 | 753,353 | ||||||
| Household International, Inc. 8.875% 2/15/08 | 8,550,000 | 8,681,405 | ||||||
| HSBC Finance Corp. 6.75% 5/15/11 | 1,575,000 | 1,713,002 | ||||||
| MBNA Corp. 6.25% 1/17/07 | 3,670,000 | 3,738,937 | ||||||
| 22,629,407 | ||||||||
| Diversified Financial Services – 1.7% | ||||||||
| JPMorgan Chase & Co. 6.75% 2/1/11 | 29,515,000 | 31,937,709 | ||||||
| JPMorgan Chase Capital XVII 5.85% 8/1/35 | 9,075,000 | 8,887,374 | ||||||
| Mizuho Financial Group Cayman Ltd. 5.79% | ||||||||
| 4/15/14 (a) | 10,065,000 | 10,483,744 | ||||||
| Prime Property Funding II 6.25% 5/15/07 (a) | 4,795,000 | 4,909,121 | ||||||
| 56,217,948 | ||||||||
| Insurance – 1.2% | ||||||||
| Axis Capital Holdings Ltd. 5.75% 12/1/14 | 10,145,000 | 10,067,299 | ||||||
| Principal Life Global Funding I 5.125% 6/28/07 (a) | 18,600,000 | 18,685,355 | ||||||
| QBE Insurance Group Ltd. 5.647% 7/1/23 (a)(f) | 9,370,000 | 9,351,091 | ||||||
| 38,103,745 | ||||||||
| Real Estate 2.7% | ||||||||
| Archstone Smith Operating Trust 5.25% 5/1/15 | 4,285,000 | 4,264,205 | ||||||
| CarrAmerica Realty Corp. 5.25% 11/30/07 | 4,275,000 | 4,285,051 | ||||||
| CenterPoint Properties Trust: | ||||||||
| 4.75% 8/1/10 | 2,950,000 | 2,917,290 | ||||||
| 5.25% 7/15/11 | 5,000,000 | 5,009,005 | ||||||
| Colonial Properties Trust: | ||||||||
| 4.75% 2/1/10 | 3,325,000 | 3,253,619 | ||||||
| 5.5% 10/1/15 | 14,200,000 | 13,954,042 | ||||||
| Developers Diversified Realty Corp.: | ||||||||
| 5% 5/3/10 | 3,280,000 | 3,260,474 | ||||||
| 5.25% 4/15/11 | 1,855,000 | 1,860,049 | ||||||
| EOP Operating LP: | ||||||||
| 4.65% 10/1/10 | 2,375,000 | 2,335,582 | ||||||
Annual Report 80
| Nonconvertible Bonds continued | ||||
| Principal | Value | |||
| Amount | ||||
| FINANCIALS – continued | ||||
| Real Estate continued | ||||
| EOP Operating LP: – continued | ||||
| 6.763% 6/15/07 | $ 10,075,000 | $ 10,378,993 | ||
| 7.75% 11/15/07 | 9,645,000 | 10,210,592 | ||
| Equity Residential 5.125% 3/15/16 | 3,435,000 | 3,383,623 | ||
| Gables Realty LP: | ||||
| 5% 3/15/10 | 2,030,000 | 1,994,160 | ||
| 5.75% 7/15/07 | 1,450,000 | 1,467,625 | ||
| Mack Cali Realty LP 7.25% 3/15/09 | 2,800,000 | 2,980,412 | ||
| Simon Property Group LP: | ||||
| 4.6% 6/15/10 | 2,865,000 | 2,825,222 | ||
| 4.875% 8/15/10 | 7,325,000 | 7,292,272 | ||
| 5.1% 6/15/15 | 4,240,000 | 4,156,001 | ||
| 85,828,217 | ||||
| Thrifts & Mortgage Finance – 1.6% | ||||
| Abbey National PLC 6.69% 10/17/05 | 5,000,000 | 5,004,475 | ||
| Independence Community Bank Corp.: | ||||
| 3.75% 4/1/14 (f) | 2,870,000 | 2,757,843 | ||
| 4.9% 9/23/10 | 13,255,000 | 13,143,154 | ||
| Residential Capital Corp. 6.375% 6/30/10 (a) | 5,860,000 | 5,942,406 | ||
| Washington Mutual, Inc.: | ||||
| 2.4% 11/3/05 | 7,355,000 | 7,344,938 | ||
| 4.3606% 9/17/12 (f) | 9,000,000 | 8,993,637 | ||
| 4.625% 4/1/14 | 7,830,000 | 7,493,020 | ||
| 50,679,473 | ||||
| TOTAL FINANCIALS | 370,319,450 | |||
| INDUSTRIALS – 1.2% | ||||
| Aerospace & Defense – 0.2% | ||||
| Bombardier, Inc.: | ||||
| 6.3% 5/1/14 (a) | 1,900,000 | 1,681,500 | ||
| 7.45% 5/1/34 (a) | 7,300,000 | 6,168,500 | ||
| 7,850,000 | ||||
| Airlines – 0.9% | ||||
| American Airlines, Inc. pass thru trust certificates: | ||||
| 6.855% 10/15/10 | 566,167 | 570,514 | ||
| 6.978% 10/1/12 | 1,380,441 | 1,398,148 | ||
| 7.024% 4/15/11 | 2,545,000 | 2,578,475 | ||
| 7.858% 4/1/13 | 10,000,000 | 10,233,249 | ||
81 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| INDUSTRIALS – continued | ||||||||||
| Airlines – continued | ||||||||||
| Continental Airlines, Inc. pass thru trust certificates: | �� | |||||||||
| 6.32% 11/1/08 | $ 635,000 | $ 631,636 | ||||||||
| 7.056% 3/15/11 | 2,000,000 | 2,020,933 | ||||||||
| Delta Air Lines, Inc. pass thru trust certificates 7.57% | ||||||||||
| 11/18/10 | 11,200,000 | 10,814,583 | ||||||||
| 28,247,538 | ||||||||||
| Industrial Conglomerates – 0.1% | ||||||||||
| Hutchison Whampoa International 03/33 Ltd. 7.45% | ||||||||||
| 11/24/33 (a) | 3,400,000 | 3,927,340 | ||||||||
| TOTAL INDUSTRIALS | 40,024,878 | |||||||||
| INFORMATION TECHNOLOGY – 0.3% | ||||||||||
| Computers & Peripherals – 0.0% | ||||||||||
| NCR Corp. 7.125% 6/15/09 | 1,660,000 | 1,759,929 | ||||||||
| Semiconductors & Semiconductor Equipment – 0.3% | ||||||||||
| Chartered Semiconductor Manufacturing Ltd.: | ||||||||||
| 5.75% 8/3/10 | 4,470,000 | 4,418,917 | ||||||||
| 6.375% 8/3/15 | 4,405,000 | 4,303,231 | ||||||||
| 8,722,148 | ||||||||||
| TOTAL INFORMATION TECHNOLOGY | 10,482,077 | |||||||||
| MATERIALS 0.4% | ||||||||||
| Metals & Mining – 0.1% | ||||||||||
| Corporacion Nacional del Cobre (Codelco) 6.375% | ||||||||||
| 11/30/12 (a) | 2,620,000 | 2,829,621 | ||||||||
| Paper & Forest Products 0.3% | ||||||||||
| Boise Cascade Corp. 7.68% 3/29/06 | 9,125,000 | 9,307,500 | ||||||||
| International Paper Co. 4.25% 1/15/09 | 1,075,000 | 1,051,562 | ||||||||
| 10,359,062 | ||||||||||
| TOTAL MATERIALS | 13,188,683 | |||||||||
| TELECOMMUNICATION SERVICES – 1.7% | ||||||||||
| Diversified Telecommunication Services – 1.5% | ||||||||||
| KT Corp. 5.875% 6/24/14 (a) | 3,275,000 | 3,437,935 | ||||||||
| Sprint Capital Corp. 8.375% 3/15/12 | 2,350,000 | 2,765,569 | ||||||||
| Telecom Italia Capital: | ||||||||||
| 4% 1/15/10 (a) | 10,065,000 | 9,664,564 | ||||||||
Annual Report 82
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| TELECOMMUNICATION SERVICES – continued | ||||||||
| Diversified Telecommunication Services – continued | ||||||||
| Telecom Italia Capital: – continued | ||||||||
| 4.875% 10/1/10 | $ 3,235,000 | $ 3,204,112 | ||||||
| 5.25% 11/15/13 | 2,500,000 | 2,482,275 | ||||||
| Verizon Global Funding Corp.: | ||||||||
| 5.85% 9/15/35 | 14,490,000 | 14,250,147 | ||||||
| 7.25% 12/1/10 | 7,758,000 | 8,573,855 | ||||||
| Verizon New York, Inc. 6.875% 4/1/12 | 5,229,000 | 5,593,974 | ||||||
| 49,972,431 | ||||||||
| Wireless Telecommunication Services – 0.2% | ||||||||
| America Movil SA de CV 6.375% 3/1/35 | 4,960,000 | 4,809,320 | ||||||
| TOTAL TELECOMMUNICATION SERVICES | 54,781,751 | |||||||
| UTILITIES – 2.7% | ||||||||
| Electric Utilities – 2.1% | ||||||||
| Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 5,880,000 | 6,023,484 | ||||||
| Exelon Corp. 4.9% 6/15/15 | 11,900,000 | 11,267,003 | ||||||
| Exelon Generation Co. LLC 5.35% 1/15/14 | 10,500,000 | 10,514,385 | ||||||
| FirstEnergy Corp. 6.45% 11/15/11 | 1,185,000 | 1,261,747 | ||||||
| Monongahela Power Co. 5% 10/1/06 | 3,890,000 | 3,897,959 | ||||||
| Oncor Electric Delivery Co. 6.375% 5/1/12 | 6,200,000 | 6,644,311 | ||||||
| Progress Energy, Inc.: | ||||||||
| 7.1% 3/1/11 | 7,470,000 | 8,120,630 | ||||||
| 7.75% 3/1/31 | 12,910,000 | 15,567,627 | ||||||
| TXU Energy Co. LLC 7% 3/15/13 | 3,930,000 | 4,266,506 | ||||||
| 67,563,652 | ||||||||
| Independent Power Producers & Energy Traders – 0.2% | ||||||||
| Duke Capital LLC 5.668% 8/15/14 | 2,300,000 | 2,335,717 | ||||||
| Duke Energy Corp. 5.625% 11/30/12 | 3,565,000 | 3,680,477 | ||||||
| 6,016,194 | ||||||||
| Multi-Utilities – 0.4% | ||||||||
| Dominion Resources, Inc.: | ||||||||
| 4.75% 12/15/10 | 4,685,000 | 4,632,936 | ||||||
83 Annual Report
| Investments (Unaudited) continued | ||||
| Nonconvertible Bonds continued | ||||
| Principal | Value | |||
| Amount | ||||
| UTILITIES – continued | ||||
| Multi-Utilities – continued | ||||
| Dominion Resources, Inc.: – continued | ||||
| 5.95% 6/15/35 | $ 6,270,000 | $ 6,125,082 | ||
| MidAmerican Energy Holdings, Inc. 4.625% 10/1/07 | 3,235,000 | 3,225,272 | ||
| 13,983,290 | ||||
| TOTAL UTILITIES | 87,563,136 | |||
| TOTAL NONCONVERTIBLE BONDS | ||||
| (Cost $727,982,026) | 718,887,022 | |||
| U.S. Government and Government Agency Obligations 14.6% | ||||
| U.S. Government Agency Obligations 5.2% | ||||
| Fannie Mae 6.25% 2/1/11 | 53,700,000 | 57,386,774 | ||
| Financing Corp. – coupon STRIPS 0% 11/30/05 | 1,666,000 | 1,655,967 | ||
| Freddie Mac: | ||||
| 5.25% 11/5/12 | 51,240,000 | 50,906,223 | ||
| 5.875% 3/21/11 | 45,055,000 | 47,462,919 | ||
| Government Loan Trusts (assets of Trust guaranteed by | ||||
| U.S. Government through Agency for International | ||||
| Development) Series 1-B, 8.5% 4/1/06 | 771,609 | 789,572 | ||
| U.S. Department of Housing and Urban Development | ||||
| Government guaranteed participation certificates | ||||
| Series 1996 A: | ||||
| 7.57% 8/1/13 | 10,040,000 | 10,140,189 | ||
| 7.63% 8/1/14 | 995,000 | 1,000,689 | ||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 169,342,333 | |||
| U.S. Treasury Inflation Protected Obligations 6.8% | ||||
| U.S. Treasury Inflation-Indexed Bonds: | ||||
| 2.375% 1/15/25 | 65,296,980 | 69,857,582 | ||
| 3.375% 4/15/32 | 46,558,764 | 61,555,761 | ||
| U.S. Treasury Inflation-Indexed Notes: | ||||
| 0.875% 4/15/10 | 20,625,400 | 20,098,483 | ||
| 1.875% 7/15/13 | 17,019,680 | 17,248,390 | ||
| 2% 1/15/14 | 50,223,650 | 51,269,306 | ||
| TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 220,029,522 | |||
| Annual Report |
| 84 |
| U.S. Government and Government Agency Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| U.S. Treasury Obligations – 2.6% | ||||||
| U.S. Treasury Notes 4.75% 5/15/14 | $ 81,165,000 | $ 83,618,943 | ||||
| TOTAL U.S. GOVERNMENT AND GOVERNMENT | ||||||
| AGENCY OBLIGATIONS | ||||||
| (Cost $470,962,584) | 472,990,798 | |||||
| U.S. Government Agency Mortgage Securities 27.3% | ||||||
| Fannie Mae – 24.4% | ||||||
| 3.468% 4/1/34 (f) | 1,191,712 | 1,191,722 | ||||
| 3.736% 1/1/35 (f) | 829,219 | 819,944 | ||||
| 3.752% 10/1/33 (f) | 496,835 | 489,437 | ||||
| 3.789% 12/1/34 (f) | 155,642 | 154,061 | ||||
| 3.796% 6/1/34 (f) | 2,287,152 | 2,231,032 | ||||
| 3.82% 1/1/35 (f) | 523,985 | 519,069 | ||||
| 3.826% 6/1/33 (f) | 413,632 | 409,808 | ||||
| 3.838% 1/1/35 (f) | 1,508,643 | 1,502,110 | ||||
| 3.913% 12/1/34 (f) | 492,275 | 490,780 | ||||
| 3.92% 10/1/34 (f) | 669,856 | 665,725 | ||||
| 3.965% 5/1/33 (f) | 166,694 | 165,412 | ||||
| 3.97% 5/1/34 (f) | 186,504 | 189,049 | ||||
| 3.971% 1/1/35 (f) | 690,250 | 684,384 | ||||
| 3.979% 12/1/34 (f) | 634,349 | 630,707 | ||||
| 3.992% 1/1/35 (f) | 415,005 | 411,719 | ||||
| 4% 6/1/18 to 9/1/19 | 45,129,600 | 43,481,639 | ||||
| 4.006% 12/1/34 (f) | 511,323 | 508,517 | ||||
| 4.008% 12/1/34 (f) | 3,471,423 | 3,463,219 | ||||
| 4.017% 2/1/35 (f) | 491,884 | 486,590 | ||||
| 4.02% 12/1/34 (f) | 354,820 | 353,048 | ||||
| 4.026% 2/1/35 (f) | 462,493 | 457,305 | ||||
| 4.03% 1/1/35 (f) | 243,178 | 241,576 | ||||
| 4.057% 10/1/18 (f) | 504,106 | 498,312 | ||||
| 4.059% 1/1/35 (f) | 455,273 | 449,811 | ||||
| 4.064% 4/1/33 (f) | 182,793 | 181,681 | ||||
| 4.07% 12/1/34 (f) | 972,800 | 967,088 | ||||
| 4.096% 1/1/35 (f) | 1,001,896 | 994,450 | ||||
| 4.097% 2/1/35 (f) | 323,840 | 320,932 | ||||
| 4.107% 2/1/35 (f) | 341,924 | 339,728 | ||||
| 4.108% 2/1/35 (f) | 1,797,088 | 1,783,159 | ||||
| 4.111% 1/1/35 (f) | 990,050 | 980,405 | ||||
| 4.119% 2/1/35 (f) | 853,692 | 845,950 | ||||
| 4.125% 1/1/35 (f) | 996,442 | 999,502 | ||||
85 Annual Report
| Investments (Unaudited) continued | ||||||
| U.S. Government Agency Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Fannie Mae continued | ||||||
| 4.129% 1/1/35 (f) | $ 1,701,664 | $ 1,686,498 | ||||
| 4.138% 2/1/35 (f) | 1,108,163 | 1,104,947 | ||||
| 4.139% 11/1/34 (f) | 848,223 | 841,960 | ||||
| 4.149% 2/1/35 (f) | 897,081 | 890,930 | ||||
| 4.175% 1/1/35 (f) | 1,852,372 | 1,838,675 | ||||
| 4.179% 1/1/35 (f) | 815,773 | 809,589 | ||||
| 4.182% 11/1/34 (f) | 249,182 | 247,377 | ||||
| 4.191% 1/1/35 (f) | 1,064,368 | 1,048,739 | ||||
| 4.217% 3/1/34 (f) | 459,933 | 457,323 | ||||
| 4.25% 2/1/35 (f) | 533,481 | 525,430 | ||||
| 4.295% 1/1/35 (f) | 633,879 | 633,867 | ||||
| 4.296% 8/1/33 (f) | 1,100,035 | 1,096,310 | ||||
| 4.296% 3/1/35 (f) | 519,845 | 517,236 | ||||
| 4.31% 2/1/35 (f) | 327,443 | 324,809 | ||||
| 4.315% 3/1/33 (f) | 274,446 | 270,381 | ||||
| 4.315% 5/1/35 (f) | 765,641 | 760,418 | ||||
| 4.319% 1/1/35 (f) | 531,294 | 527,901 | ||||
| 4.333% 12/1/34 (f) | 361,422 | 361,658 | ||||
| 4.353% 1/1/35 (f) | 521,564 | 514,524 | ||||
| 4.366% 4/1/35 (f) | 334,542 | 332,549 | ||||
| 4.367% 2/1/34 (f) | 1,280,731 | 1,274,128 | ||||
| 4.401% 2/1/35 (f) | 832,754 | 822,371 | ||||
| 4.412% 5/1/35 (f) | 1,550,778 | 1,546,935 | ||||
| 4.449% 3/1/35 (f) | 745,703 | 737,900 | ||||
| 4.454% 4/1/34 (f) | 859,904 | 855,774 | ||||
| 4.457% 10/1/34 (f) | 2,968,830 | 2,979,639 | ||||
| 4.483% 1/1/35 (f) | 854,289 | 856,232 | ||||
| 4.489% 8/1/34 (f) | 1,707,783 | 1,701,181 | ||||
| 4.496% 3/1/35 (f) | 1,673,155 | 1,655,635 | ||||
| 4.499% 5/1/35 (f) | 552,299 | 550,437 | ||||
| 4.5% 5/1/18 to 5/1/35 | 99,189,934 | 96,367,325 | ||||
| 4.5% 10/1/20 (b) | 65,000,000 | 63,139,063 | ||||
| 4.526% 3/1/35 (f) | 1,500,418 | 1,486,203 | ||||
| 4.532% 8/1/34 (f) | 1,047,888 | 1,048,583 | ||||
| 4.554% 7/1/35 (f) | 1,893,899 | 1,892,346 | ||||
| 4.555% 2/1/35 (f) | 3,590,561 | 3,590,771 | ||||
| 4.558% 2/1/35 (f) | 566,643 | 565,320 | ||||
| 4.585% 2/1/35 (f) | 4,926,336 | 4,884,946 | ||||
| 4.603% 2/1/35 (f) | 406,054 | 407,976 | ||||
| 4.605% 2/1/35 (f) | 1,634,353 | 1,622,741 | ||||
| 4.648% 11/1/34 (f) | 1,860,376 | 1,852,691 | ||||
Annual Report 86
| U.S. Government Agency Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Fannie Mae continued | ||||||
| 4.679% 11/1/34 (f) | $ 1,853,703 | $ 1,841,852 | ||||
| 4.708% 3/1/35 (f) | 4,705,404 | 4,717,782 | ||||
| 4.736% 7/1/34 (f) | 1,601,266 | 1,595,144 | ||||
| 4.737% 3/1/35 (f) | 886,856 | 883,242 | ||||
| 4.818% 12/1/32 (f) | 777,636 | 781,455 | ||||
| 4.823% 12/1/34 (f) | 1,483,640 | 1,483,087 | ||||
| 4.847% 12/1/34 (f) | 590,689 | 590,383 | ||||
| 5% 2/1/18 to 6/1/34 | 63,355,675 | 63,135,122 | ||||
| 5% 10/1/35 (b) | 130,443,747 | 127,631,054 | ||||
| 5.117% 5/1/35 (f) | 3,655,191 | 3,684,346 | ||||
| 5.204% 6/1/35 (f) | 2,646,531 | 2,672,667 | ||||
| 5.297% 9/1/35 (f) | 1,023,555 | 1,028,673 | ||||
| 5.5% 2/1/11 to 9/1/35 (c) | 86,950,374 | 87,566,038 | ||||
| 5.5% 10/1/35 (b) | 71,458,541 | 71,391,549 | ||||
| 6% 6/1/13 to 1/1/34 | 37,792,611 | 38,546,484 | ||||
| 6.5% 2/1/12 to 5/1/34 | 58,218,786 | 60,058,385 | ||||
| 6.5% 10/1/35 (b) | 18,289,984 | 18,827,252 | ||||
| 7% 11/1/05 to 2/1/33 | 17,501,563 | 18,345,737 | ||||
| 7% 10/1/20 (b) | 3,757,832 | 3,926,934 | ||||
| 7.5% 10/1/09 to 11/1/31 | 7,159,256 | 7,583,726 | ||||
| 8% 6/1/10 to 6/1/29 | 8,623 | 8,951 | ||||
| 11.5% 11/1/15 | 43,151 | 47,963 | ||||
| TOTAL FANNIE MAE | 788,885,015 | |||||
| Freddie Mac – 1.5% | ||||||
| 4.081% 12/1/34 (f) | 564,206 | 558,314 | ||||
| 4.109% 12/1/34 (f) | 820,961 | 817,169 | ||||
| 4.192% 1/1/35 (f) | 841,711 | 838,873 | ||||
| 4.294% 3/1/35 (f) | 763,198 | 759,241 | ||||
| 4.3% 5/1/35 (f) | 1,301,220 | 1,296,656 | ||||
| 4.308% 12/1/34 (f) | 769,368 | 758,845 | ||||
| 4.331% 1/1/35 (f) | 1,913,182 | 1,897,099 | ||||
| 4.368% 3/1/35 (f) | 1,112,177 | 1,093,757 | ||||
| 4.39% 2/1/35 (f) | 1,462,096 | 1,460,725 | ||||
| 4.446% 3/1/35 (f) | 725,284 | 715,084 | ||||
| 4.449% 2/1/34 (f) | 851,090 | 849,999 | ||||
| 4.479% 6/1/35 (f) | 1,114,542 | 1,109,750 | ||||
| 4.489% 3/1/35 (f) | 2,064,207 | 2,051,397 | ||||
| 4.495% 3/1/35 (f) | 5,030,365 | 4,983,795 | ||||
| 4.496% 3/1/35 (f) | 829,042 | 818,646 | ||||
| 4.563% 2/1/35 (f) | 1,181,099 | 1,170,988 | ||||
87 Annual Report
| Investments (Unaudited) continued | ||||||
| U.S. Government Agency Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Freddie Mac continued | ||||||
| 5% 11/1/33 | $ 667,258 | $ 654,597 | ||||
| 5.028% 4/1/35 (f) | 4,333,559 | 4,344,306 | ||||
| 5.237% 8/1/33 (f) | 345,293 | 350,411 | ||||
| 5.5% 12/1/24 to 4/1/25 | 9,761,858 | 9,825,354 | ||||
| 6% 10/1/23 to 5/1/33 | 8,786,277 | 8,959,103 | ||||
| 7.5% 11/1/16 to 6/1/32 | 3,521,779 | 3,740,944 | ||||
| 8% 7/1/25 to 10/1/27 | 82,665 | 88,367 | ||||
| 8.5% 2/1/19 to 8/1/22 | 16,478 | 17,905 | ||||
| 12% 11/1/19 | 18,628 | 20,489 | ||||
| TOTAL FREDDIE MAC | 49,181,814 | |||||
| Government National Mortgage Association 1.4% | ||||||
| 6% 6/15/08 to 9/15/10 | 2,852,154 | 2,926,630 | ||||
| 6.5% 12/15/07 to 12/15/32 | 19,313,881 | 20,089,188 | ||||
| 7% 6/15/24 to 12/15/33 | 15,604,600 | 16,417,121 | ||||
| 7.5% 3/15/22 to 8/15/28 | 4,032,674 | 4,298,857 | ||||
| 8% 4/15/24 to 12/15/25 | 214,152 | 229,572 | ||||
| 8.5% 8/15/29 to 11/15/31 | 650,779 | 707,286 | ||||
| TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 44,668,654 | |||||
| TOTAL U.S. GOVERNMENT AGENCY MORTGAGE SECURITIES | ||||||
| (Cost $886,309,128) | 882,735,483 | |||||
| Asset Backed Securities 5.7% | ||||||
| Accredited Mortgage Loan Trust Series 2003 2 Class A1, | ||||||
| 4.23% 10/25/33 | 2,971,783 | 2,866,590 | ||||
| ACE Securities Corp. Series 2004-OP1: | ||||||
| Class M1, 4.35% 4/25/34 (f) | 2,390,000 | 2,392,369 | ||||
| Class M2, 4.88% 4/25/34 (f) | 3,375,000 | 3,425,027 | ||||
| Aircraft Lease Securitisation Ltd. Series 2005-1 Class C1, | ||||||
| 7.2% 9/9/30 (a)(f) | 915,000 | 934,444 | ||||
| AmeriCredit Automobile Receivables Trust: | ||||||
| Series 2003-AM Class A4B, 4.15% 11/6/09 (f) | 3,305,007 | 3,314,362 | ||||
| Series 2003-BX Class A4B, 3.9688% 1/6/10 (f) | 2,220,000 | 2,225,998 | ||||
| Ameriquest Mortgage Securities, Inc. Series 2003-3 | ||||||
| Class M1, 4.63% 3/25/33 (f) | 4,050,000 | 4,071,396 | ||||
| Amortizing Residential Collateral Trust Series 2002-BC7 | ||||||
| Class M1, 4.63% 10/25/32 (f) | 18,293,000 | 18,344,458 | ||||
| Annual Report |
| 88 |
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Argent Securities, Inc. Series 2003-W3 Class M2, 5.63% | ||||||||
| 9/25/33 (f) | $ 5,400,000 | $ 5,560,947 | ||||||
| Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||
| Series 2003-HE2: | ||||||||
| Class A2, 4.1481% 4/15/33 (f) | 388,472 | 388,521 | ||||||
| Class M1, 4.6681% 4/15/33 (f) | 4,770,000 | 4,790,866 | ||||||
| Series 2004-HE2 Class M1, 4.38% 4/25/34 (f) | 3,320,000 | 3,332,642 | ||||||
| Bayview Financial Asset Trust Series 2000-F Class A, | ||||||||
| 4.3375% 9/28/43 (f) | 7,204,473 | 7,220,605 | ||||||
| Capital Auto Receivables Asset Trust Series 2004-2 | ||||||||
| Class A2, 3.35% 2/15/08 | 4,890,000 | 4,821,479 | ||||||
| Capital One Auto Finance Trust Series 2003 A Class A4B, | ||||||||
| 4.0481% 1/15/10 (f) | 6,505,000 | 6,519,619 | ||||||
| Capital One Multi-Asset Execution Trust: | ||||||||
| Series 2003-B1 Class B1, 4.9381% 2/17/09 (f) | 7,735,000 | 7,770,349 | ||||||
| Series 2003-B2 Class B2, 3.5% 2/17/09 | 4,070,000 | 4,046,657 | ||||||
| CDC Mortgage Capital Trust Series 2003-HE2 Class M2, | ||||||||
| 5.5413% 10/25/33 (f) | 1,774,982 | 1,803,337 | ||||||
| Cendant Timeshare Receivables Funding LLC Series | ||||||||
| 2005-1A Class A1, 4.67% 5/20/17 (a) | 2,988,788 | 2,988,573 | ||||||
| Chase Credit Card Master Trust Series 2003-6 Class B, | ||||||||
| 4.1181% 2/15/11 (f) | 4,870,000 | 4,906,972 | ||||||
| Countrywide Home Loans, Inc. Series 2002-6 Class | ||||||||
| AV1, 4.26% 5/25/33 (f) | 1,772,297 | 1,776,577 | ||||||
| Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. | ||||||||
| Series 2003-1A Class C, 6.667% 6/28/38 (a) | 4,725,000 | 4,905,702 | ||||||
| Crown Castle Towers LLC/Crown Atlantic Holdings Sub | ||||||||
| LLC/Crown Communication, Inc. Series 2005-1: | ||||||||
| Class B, 4.878% 6/15/35 (a) | 2,706,000 | 2,655,473 | ||||||
| Class C, 5.074% 6/15/35 (a) | 2,457,000 | 2,416,263 | ||||||
| Fieldstone Mortgage Investment Corp. Series 2004-2 | ||||||||
| Class M2, 4.98% 7/25/34 (f) | 5,110,000 | 5,109,869 | ||||||
| First USA Secured Note Trust Series 2001-3 Class C, | ||||||||
| 4.8394% 11/19/08 (a)(f) | 6,360,000 | 6,404,718 | ||||||
| Fremont Home Loan Trust Series 2005-A: | ||||||||
| Class M1, 4.26% 1/25/35 (f) | 900,000 | 903,033 | ||||||
| Class M2, 4.29% 1/25/35 (f) | 1,300,000 | 1,300,870 | ||||||
| Class M3, 4.32% 1/25/35 (f) | 700,000 | 701,624 | ||||||
| HSBC Home Equity Loan Trust Series 2005-2: | ||||||||
| Class M1, 4.2563% 1/20/35 (f) | 1,445,821 | 1,445,968 | ||||||
| Class M2, 4.2863% 1/20/35 (f) | 1,084,366 | 1,084,466 |
89 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Home Equity Asset Trust: | ||||||||
| Series 2003-2: | ||||||||
| Class A2, 4.21% 8/25/33 (f) | $ 126,886 | $ 127,325 | ||||||
| Class M1, 4.71% 8/25/33 (f) | 1,780,000 | 1,801,336 | ||||||
| Series 2003-4: | ||||||||
| Class M1, 4.4413% 10/25/33 (f) | 215,000 | 216,432 | ||||||
| Class M2, 5.5413% 10/25/33 (f) | 255,000 | 257,971 | ||||||
| Household Private Label Credit Card Master Note Trust I | ||||||||
| Series 2002-3 Class B, 5.0181% 9/15/09 (f) | 4,865,000 | 4,869,645 | ||||||
| Long Beach Mortgage Loan Trust Series 2003-3: | ||||||||
| Class M1, 4.3913% 7/25/33 (f) | 5,250,000 | 5,283,694 | ||||||
| Class M2, 5.4913% 7/25/33 (f) | 2,685,000 | 2,730,992 | ||||||
| MBNA Credit Card Master Note Trust: | ||||||||
| Series 2001-B1 Class B1, 4.1431% 10/15/08 (f) | 3,400,000 | 3,403,676 | ||||||
| Series 2001-B2 Class B2, 4.1281% 1/15/09 (f) | 3,400,000 | 3,406,235 | ||||||
| Series 2002-B2 Class B2, 4.1481% 10/15/09 (f) | 3,400,000 | 3,413,688 | ||||||
| Morgan Stanley ABS Capital I, Inc.: | ||||||||
| Series 2002-HE3 Class M1, 4.93% 12/27/32 (f) | 1,010,000 | 1,024,400 | ||||||
| Series 2003-NC6 Class M2, 5.5913% 6/27/33 (f) | 8,680,000 | 8,922,689 | ||||||
| Series 2004-NC2 Class M1, 4.38% 12/25/33 (f) | 1,410,000 | 1,415,167 | ||||||
| Morgan Stanley Dean Witter Capital I Trust: | ||||||||
| Series 2001-AM1 Class M2, 5.23% 2/25/32 (f) | 379,017 | 379,450 | ||||||
| Series 2002-NC3 Class M1, 4.55% 8/25/32 (f) | 815,000 | 818,264 | ||||||
| National Collegiate Student Loan Trust: | ||||||||
| Series 2004-2 Class AIO, 9.75% 10/25/14 (h) | 5,150,000 | 2,554,503 | ||||||
| Series 2005-GT1 Class AIO, 6.75% 12/25/09 (h) | 2,300,000 | 575,920 | ||||||
| Onyx Acceptance Owner Trust Series 2005-A Class A3, | ||||||||
| 3.69% 5/15/09 | 2,265,000 | 2,238,283 | ||||||
| Ownit Mortgage Loan Asset-Backed Certificates | ||||||||
| Series 2005-3 Class A2A, 3.95% 6/25/36 (f) | 9,468,102 | 9,467,892 | ||||||
| Residential Asset Mortgage Products, Inc. | ||||||||
| Series 2003 RZ2 Class A1, 3.6% 4/25/33 | 1,625,194 | 1,589,432 | ||||||
| Salomon Brothers Mortgage Securities VII, Inc. | ||||||||
| Series 2003-UP1 Class A, 3.45% 4/25/32 (a) | 1,598,554 | 1,537,109 | ||||||
| Saxon Asset Securities Trust Series 2004-1 Class M1, | ||||||||
| 4.36% 3/25/35 (f) | 2,395,000 | 2,397,154 | ||||||
| Specialty Underwriting & Residential Finance | ||||||||
| Series 2003-BC4 Class M1, 4.43% 11/25/34 (f) | 985,000 | 990,085 | ||||||
| Annual Report |
| 90 |
| Asset Backed Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Structured Asset Securities Corp. Series 2004-GEL1 | ||||||
| Class A, 4.19% 2/25/34 (f) | $ 470,119 | $ 470,108 | ||||
| Superior Wholesale Inventory Financing Trust XII | ||||||
| Series 2005-A12 Class C, 4.9681% 6/15/10 (f) | 3,540,000 | 3,544,891 | ||||
| TOTAL ASSET BACKED SECURITIES | ||||||
| (Cost $183,129,808) | 183,866,115 | |||||
| Collateralized Mortgage Obligations 8.2% | ||||||
| Private Sponsor 3.8% | ||||||
| Adjustable Rate Mortgage Trust floater: | ||||||
| Series 2004-1 Class 9A2, 4.23% 1/25/34 (f) | 2,565,281 | 2,571,155 | ||||
| Series 2005-1 Class 5A2, 4.16% 5/25/35 (f) | 4,729,172 | 4,732,104 | ||||
| Bear Stearns Adjustable Rate Mortgage Trust Series | ||||||
| 2005-6 Class 1A1, 5.17% 8/25/35 (f) | 5,810,346 | 5,811,835 | ||||
| Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, | ||||||
| 4.11% 1/25/35 (f) | 8,031,118 | 8,036,137 | ||||
| Granite Master Issuer PLC floater Series 2005 2 Class M1, | ||||||
| 4.06% 12/20/54 (f) | 7,000,000 | 6,997,813 | ||||
| Master Alternative Loan Trust Series 2004-3 Class 3A1, | ||||||
| 6% 4/25/34 | 762,738 | 767,505 | ||||
| Merrill Lynch Mortgage Investors, Inc.: | ||||||
| floater: | ||||||
| Series 2003-A Class 2A1, 4.22% 3/25/28 (f) | 5,084,083 | 5,110,858 | ||||
| Series 2004-E Class A2B, 4.45% 11/25/29 (f) | 4,107,768 | 4,101,629 | ||||
| Series 2004-G Class A2, 3.95% 11/25/29 (f) | 2,689,719 | 2,689,004 | ||||
| Series 2005-B Class A2, 3.75% 6/25/30 (f) | 4,165,873 | 4,157,749 | ||||
| Series 2003-E Class XA1, 1% 10/25/28 (f)(h) | 21,732,888 | 252,345 | ||||
| Series 2003-G Class XA1, 1% 1/25/29 (h) | 19,232,472 | 238,654 | ||||
| Series 2003-H Class XA1, 1% 1/25/29 (a)(h) | 17,019,931 | 215,331 | ||||
| Opteum Mortgage Acceptance Corp. floater Series | ||||||
| 2005-3 Class APT, 4.12% 7/25/35 (f) | 7,445,758 | 7,450,120 | ||||
| Residential Asset Mortgage Products, Inc. sequential pay | ||||||
| Series 2003-SL1 Class A31, 7.125% 4/25/31 | 2,373,134 | 2,411,318 | ||||
| Residential Finance LP/Residential Finance Development | ||||||
| Corp. floater Series 2003-CB1: | ||||||
| Class B3, 5.1781% 6/10/35 (a)(f) | 1,710,999 | 1,740,942 | ||||
| Class B4, 5.3781% 6/10/35 (a)(f) | 1,528,364 | 1,557,021 | ||||
| Class B5, 5.9781% 6/10/35 (a)(f) | 1,038,134 | 1,060,195 | ||||
| Class B6, 6.4781% 6/10/35 (a)(f) | 624,803 | 638,080 | ||||
| Sequoia Mortgage Funding Trust Series 2003-A | ||||||
| Class AX1, 0.8% 10/21/08 (a)(h) | 68,379,915 | 481,415 | ||||
91 Annual Report
| Investments (Unaudited) continued | ||||
| Collateralized Mortgage Obligations continued | ||||
| Principal | Value | |||
| Amount | ||||
| Private Sponsor continued | ||||
| Sequoia Mortgage Trust floater: | ||||
| Series 2004-12 Class 1A2, 3.93% 1/20/35 (f) | $ 9,206,052 | $ 9,203,285 | ||
| Series 2004-4 Class A, 3.5881% 5/20/34 (f) | 5,261,295 | 5,254,767 | ||
| Structured Adjustable Rate Mortgage Loan Trust floater | ||||
| Series 2001-14 Class A1, 4.14% 7/25/35 (f) | 9,838,925 | 9,838,925 | ||
| Thornburg Mortgage Securities Trust floater Series 2005 3: | ||||
| Class A2, 4.078% 8/25/45 (f) | 3,600,000 | 3,600,000 | ||
| Class A4, 4.108% 8/25/45 (f) | 8,930,000 | 8,930,000 | ||
| Washington Mutual Mortgage Securities Corp. | ||||
| sequential pay Series 2003-MS9 Class 2A1, 7.5% | ||||
| 12/25/33 | 620,933 | 638,242 | ||
| Wells Fargo Mortgage Backed Securities Trust: | ||||
| Series 2005-AR10 Class 2A2, 4.1106% 6/25/35 (f) . | 7,411,688 | 7,293,789 | ||
| Series 2005-AR2 Class 2A2, 4.57% 3/25/35 | 13,979,198 | 13,787,857 | ||
| Series 2005-AR9 Class 2A1, 4.3621% 5/25/35 (f) | 4,631,156 | 4,581,315 | ||
| TOTAL PRIVATE SPONSOR | 124,149,390 | |||
| U.S. Government Agency 4.4% | ||||
| Fannie Mae planned amortization class: | ||||
| Series 1999-54 Class PH, 6.5% 11/18/29 | 10,275,000 | 10,709,719 | ||
| Series 1999-57 Class PH, 6.5% 12/25/29 | 8,478,000 | 8,798,227 | ||
| Fannie Mae guaranteed REMIC pass thru certificates | ||||
| planned amortization class: | ||||
| Series 2001-7 Class PQ, 6% 10/25/15 | 584,439 | 589,569 | ||
| Series 2002-64 Class PC, 5.5% 12/25/26 | 2,667,432 | 2,674,169 | ||
| Series 2003-81 Class MX, 3.5% 3/25/24 | 28,965,000 | 28,400,669 | ||
| Freddie Mac Multi-class participation certificates | ||||
| guaranteed: | ||||
| planned amortization class: | ||||
| Series 2498 Class PD, 5.5% 2/15/16 | 2,310,000 | 2,332,824 | ||
| Series 2543 CLass PM, 5.5% 8/15/18 | 4,654,518 | 4,688,245 | ||
| Series 2614 Class TD, 3.5% 5/15/16 | 5,000,000 | 4,785,795 | ||
| Series 2665 Class PB, 3.5% 6/15/23 | 1,035,000 | 1,015,752 | ||
| Series 2677 Class LD, 4.5% 3/15/17 | 1,305,000 | 1,278,304 | ||
| Series 2760 Class EB, 4.5% 9/15/16 | 5,833,000 | 5,753,083 | ||
| Series 2773: | ||||
| Class ED, 4.5% 8/15/17 | 16,863,000 | 16,539,741 | ||
| Class EG, 4.5% 4/15/19 | 13,500,000 | 13,001,184 | ||
| Series 2775 Class OC, 4.5% 12/15/15 | 20,429,000 | 20,155,879 | ||
| Series 2780 Class QE, 4.5% 4/15/19 | 2,400,000 | 2,323,843 | ||
Annual Report 92
| Collateralized Mortgage Obligations continued | ||||
| Principal | Value | |||
| Amount | ||||
| U.S. Government Agency continued | ||||
| Freddie Mac Multi-class participation certificates | ||||
| guaranteed: – continued | ||||
| planned amortization class: | ||||
| Series 2870 Class BE, 4.5% 4/15/18 | $ 10,000,000 | $ 9,713,923 | ||
| Series 2885 Class PC, 4.5% 3/15/18 | 5,430,000 | 5,342,181 | ||
| sequential pay Series 2750 Class ZT, 5% 2/15/34 | 3,960,876 | 3,586,541 | ||
| TOTAL U.S. GOVERNMENT AGENCY | 141,689,648 | |||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||
| (Cost $264,952,791) | 265,839,038 | |||
| Commercial Mortgage Securities 8.3% | ||||
| Asset Securitization Corp.: | ||||
| sequential pay Series 1995-MD4 Class A1, 7.1% | ||||
| 8/13/29 | 369,099 | 377,659 | ||
| Series 1997-D5 Class PS1, 1.6354% 2/14/43 (f)(h) . | 60,343,152 | 2,944,269 | ||
| Banc of America Commercial Mortgage, Inc. Series | ||||
| 2005-3 Series A3B, 5.09% 7/10/43 (f) | 10,415,000 | 10,434,907 | ||
| Banc of America Large Loan, Inc. floater Series | ||||
| 2003 BBA2: | ||||
| Class A3, 4.0881% 11/15/15 (a)(f) | 2,715,000 | 2,717,399 | ||
| Class C, 4.2381% 11/15/15 (a)(f) | 555,000 | 556,818 | ||
| Class D, 4.3181% 11/15/15 (a)(f) | 870,000 | 874,614 | ||
| Class F, 4.6681% 11/15/15 (a)(f) | 620,000 | 624,034 | ||
| Class H, 5.1681% 11/15/15 (a)(f) | 555,000 | 558,064 | ||
| Class J, 5.7181% 11/15/15 (a)(f) | 580,000 | 586,956 | ||
| Class K, 6.3681% 11/15/15 (a)(f) | 520,000 | 519,129 | ||
| Bayview Commercial Asset Trust floater: | ||||
| Series 2003-1 Class A, 4.2213% 8/25/33 (a)(f) | 4,093,287 | 4,141,915 | ||
| Series 2004-2 Class A, 4.26% 8/25/34 (a)(f) | 3,857,311 | 3,865,758 | ||
| Series 2004-3: | ||||
| Class A2, 4.25% 1/25/35 (a)(f) | 609,965 | 612,114 | ||
| Class M1, 4.33% 1/25/35 (a)(f) | 674,715 | 675,628 | ||
| Class M2, 4.83% 1/25/35 (a)(f) | 422,284 | 424,795 | ||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||
| Series 2004 ESA: | ||||
| Class C, 4.937% 5/14/16 (a) | 2,395,000 | 2,404,098 | ||
| Class D, 4.986% 5/14/16 (a) | 875,000 | 879,746 | ||
| Class E, 5.064% 5/14/16 (a) | 2,705,000 | 2,726,672 | ||
| Class F, 5.182% 5/14/16 (a) | 650,000 | 654,782 | ||
93 Annual Report
| Investments (Unaudited) continued | ||||||||
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Chase Commercial Mortgage Securities Corp.: | ||||||||
| Series 1999-2: | ||||||||
| Class E, 7.734% 1/15/32 | $ 1,697,876 | $ 1,846,233 | ||||||
| Class F, 7.734% 1/15/32 | 920,000 | 989,832 | ||||||
| Series 2001-245 Class A2, 6.4842% 2/12/16 (a)(f) . | 2,080,000 | 2,218,579 | ||||||
| COMM floater Series 2002-FL7 Class D, 4.3381% | ||||||||
| 11/15/14 (a)(f) | 150,000 | 150,021 | ||||||
| Commercial Mortgage pass thru certificates floater | ||||||||
| Series 2004-CNL: | ||||||||
| Class D, 4.4081% 9/15/14 (a)(f) | 350,000 | 350,106 | ||||||
| Class E, 4.4681% 9/15/14 (a)(f) | 480,000 | 480,328 | ||||||
| Class F, 4.5681% 9/15/14 (a)(f) | 375,000 | 375,203 | ||||||
| Class G, 4.7481% 9/15/14 (a)(f) | 860,000 | 860,341 | ||||||
| Class H, 4.8481% 9/15/14 (a)(f) | 915,000 | 915,363 | ||||||
| Class J, 5.3681% 9/15/14 (a)(f) | 310,000 | 310,856 | ||||||
| Class K, 5.7681% 9/15/14 (a)(f) | 495,000 | 495,896 | ||||||
| Class L, 5.9681% 9/15/14 (a)(f) | 400,000 | 399,855 | ||||||
| CS First Boston Mortgage Securities Corp.: | ||||||||
| sequential pay: | ||||||||
| Series 1998-C1 Class A1B, 6.48% 5/17/40 | 631,860 | 656,167 | ||||||
| Series 2003-C4 Class A3, 4.7% 8/15/36 (f) | 320,000 | 317,015 | ||||||
| Series 1997-C2 Class D, 7.27% 1/17/35 | 14,470,000 | 15,428,966 | ||||||
| Series 1998-C1 Class D, 7.17% 5/17/40 | 2,205,000 | 2,416,067 | ||||||
| Series 2003-C3 Class ASP, 1.997% 5/15/38 (a)(f)(h) | 62,949,009 | 3,741,954 | ||||||
| Series 2004-C1 Class ASP, 1.107% 1/15/37 (a)(f)(h) | 41,505,216 | 1,441,663 | ||||||
| Deutsche Mortgage & Asset Receiving Corp. sequential | ||||||||
| pay Series 1998-C1 Class D, 7.231% 6/15/31 | 13,185,000 | 13,947,460 | ||||||
| DLJ Commercial Mortgage Corp. sequential pay | ||||||||
| Series 1999-CG2 Class A1A, 6.88% 6/10/32 | 5,657,360 | 5,772,766 | ||||||
| Equitable Life Assurance Society of the United States | ||||||||
| Series 174: | ||||||||
| Class B1, 7.33% 5/15/06 (a) | 11,400,000 | 11,575,505 | ||||||
| Class C1, 7.52% 5/15/06 (a) | 8,700,000 | 8,838,808 | ||||||
| Class D1, 7.77% 5/15/06 (a) | 6,800,000 | 6,892,572 | ||||||
| First Union National Bank Chase Manhattan Bank | ||||||||
| Commercial Mortgage Trust Series 1999-C2 Class C, | ||||||||
| 6.944% 6/15/31 | 6,700,000 | 7,133,318 | ||||||
| Ginnie Mae guaranteed Multi-family pass thru securities | ||||||||
| sequential pay: | ||||||||
| Series 2002-26 Class C, 5.9905% 2/16/24 (f) | 5,850,000 | 6,047,184 | ||||||
| Series 2002-35 Class C, 5.8917% 10/16/23 (f) | 795,000 | 819,802 | ||||||
| Series 2003-87 Class C, 5.244% 8/16/32 (f) | 5,000,000 | 5,068,683 | ||||||
| Annual Report |
| 94 |
| Commercial Mortgage Securities continued | ||||||||||
| Principal | Value | |||||||||
| Amount | ||||||||||
| Ginnie Mae guaranteed REMIC pass thru securities: | ||||||||||
| sequential pay Series 2003-47 Class C, 4.227% | ||||||||||
| 10/16/27 | $ 6,663,271 | $ 6,530,384 | ||||||||
| Series 2003-47 Class XA, 0.0411% 6/16/43 (f)(h) | 17,252,096 | 863,871 | ||||||||
| GMAC Commercial Mortgage Securities, Inc.: | ||||||||||
| sequential pay Series 1997-C2 Class A3, 6.566% | ||||||||||
| 4/15/29 | 3,068,151 | 3,165,165 | ||||||||
| Series 2004-C3 Class X2, 0.9005% 12/10/41 (f)(h) | . | 6,825,000 | 194,367 | |||||||
| Greenwich Capital Commercial Funding Corp.: | ||||||||||
| Series 2002-C1 Class SWDB, 5.857% 11/11/19 (a) | . | 6,715,000 | 6,631,063 | |||||||
| Series 2003-C1 Class XP, 2.2976% 7/5/35 (a)(f)(h) | 31,867,475 | 2,190,341 | ||||||||
| GS Mortgage Securities Corp. II: | ||||||||||
| sequential pay: | ||||||||||
| Series 1998-GLII Class A2, 6.562% 4/13/31 | 6,070,000 | 6,313,789 | ||||||||
| Series 2001-LIBA Class A2, 6.615% 2/14/16 (a) | 5,835,000 | 6,325,619 | ||||||||
| Series 1998-GLII Class E, 7.1906% 4/13/31 (f) | 4,103,000 | 4,302,355 | ||||||||
| Hilton Hotel Pool Trust Series 2000-HLTA Class D, | ||||||||||
| 7.555% 10/3/15 (a) | 3,200,000 | 3,468,735 | ||||||||
| J.P. Morgan Commercial Mortgage Finance Corp. | ||||||||||
| sequential pay: | ||||||||||
| Series 1998-C6 Class A3, 6.613% 1/15/30 | 8,802,458 | 9,070,377 | ||||||||
| Series 1999-C7 Class A2, 6.507% 10/15/35 | 5,555,000 | 5,790,850 | ||||||||
| LB Commercial Conduit Mortgage Trust: | ||||||||||
| Series 1998-C1 Class B, 6.59% 2/18/30 | 800,000 | 829,980 | ||||||||
| Series 1999-C1 Class B, 6.93% 6/15/31 | 3,854,000 | 4,124,123 | ||||||||
| LB-UBS Commercial Mortgage Trust sequential pay: | ||||||||||
| Series 2001-C3 Class A1, 6.058% 6/15/20 | 13,982,617 | 14,363,074 | ||||||||
| Series 2003-C5 Class A2, 3.478% 7/15/27 | 1,000,000 | 968,245 | ||||||||
| Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A | ||||||||||
| Class C, 4.13% 11/20/37 (a) | 5,900,000 | 5,363,454 | ||||||||
| Morgan Stanley Capital I, Inc.: | ||||||||||
| sequential pay Series 1999-WF1 Class A2, 6.21% | ||||||||||
| 11/15/31 | 1,550,000 | 1,605,665 | ||||||||
| Series 1999-RM1 Class E, 7.2103% 12/15/31 (f) | 824,000 | 877,161 | ||||||||
| Morgan Stanley Dean Witter Capital I Trust Series | ||||||||||
| 2003-HQ2 Class X2, 1.5864% 3/12/35 (a)(f)(h) | 35,142,760 | 1,967,253 | ||||||||
| Salomon Brothers Mortgage Securities VII, Inc. sequential | ||||||||||
| pay Series 2000 C3 Class A2, 6.592% 12/18/33 | 5,060,000 | 5,400,472 | ||||||||
| Thirteen Affiliates of General Growth Properties, Inc.: | ||||||||||
| sequential pay Series 1 Class A2, 6.602% 11/15/07 (a) | 12,680,000 | 13,149,188 | ||||||||
| Series 1: | ||||||||||
| Class D2, 6.992% 11/15/07 (a) | 13,890,000 | 14,426,139 | ||||||||
| Class E2, 7.224% 11/15/07 (a) | 8,260,000 | 8,628,754 | ||||||||
95 Annual Report
| Investments (Unaudited) continued | ||||
| Commercial Mortgage Securities continued | ||||
| Principal | Value | |||
| Amount | ||||
| Trizechahn Office Properties Trust Series 2001-TZHA: | ||||
| Class C4, 6.893% 5/15/16 (a) | $ 1,000,000 | $ 1,085,816 | ||
| Class E3, 7.253% 3/15/13 (a) | 5,725,000 | 5,902,904 | ||
| TOTAL COMMERCIAL MORTGAGE SECURITIES | ||||
| (Cost $269,612,714) | 269,609,044 | |||
| Municipal Securities 1.1% | ||||
| Atlanta Wtr. & Wastewtr. Rev. 5% 11/1/43 | ||||
| (FSA Insured) | 6,600,000 | 6,843,342 | ||
| Chicago Board of Ed. Series A: | ||||
| 5.5% 12/1/25 (AMBAC Insured) | 600,000 | 699,936 | ||
| 5.5% 12/1/26 (AMBAC Insured) | 3,590,000 | 4,189,817 | ||
| East Bay Muni. Util. District Wtr. Sys. Rev. Series 2005 A, | ||||
| 5% 6/1/35 (MBIA Insured) | 4,300,000 | 4,514,742 | ||
| Massachusetts Spl. Oblig. Dedicated Tax Rev. 5.5% | ||||
| 1/1/29 (FGIC Insured) | 2,300,000 | 2,662,020 | ||
| Miami-Dade County Gen. Oblig. (Bldg. Better | ||||
| Communities Prog.) 5% 7/1/33 (FGIC Insured) | 4,500,000 | 4,715,325 | ||
| New Jersey Econ. Dev. Auth. Rev. Series N1, 5.5% | ||||
| 9/1/24 (AMBAC Insured) | 4,250,000 | 4,977,983 | ||
| Phoenix Civic Impt. Corp. Excise Tax Rev. (Civic Plaza | ||||
| Expansion Proj.) Series A, 5% 7/1/41 (FGIC Insured) | 4,400,000 | 4,596,372 | ||
| Univ. of Virginia Univ. Revs. 5% 6/1/37 | 1,300,000 | 1,367,015 | ||
| TOTAL MUNICIPAL SECURITIES | ||||
| (Cost $34,957,669) | 34,566,552 | |||
| Foreign Government and Government Agency Obligations 1.7% | ||||
| Israeli State 4.625% 6/15/13 | 5,305,000 | 5,119,325 | ||
| Korean Republic 4.875% 9/22/14 | 3,000,000 | 2,969,274 | ||
| Russian Federation 8.25% 3/31/10 (Reg. S) | 5,395,000 | 5,840,088 | ||
| United Mexican States: | ||||
| 5.875% 1/15/14 | 3,690,000 | 3,815,460 | ||
| 6.75% 9/27/34 | 15,845,000 | 16,874,925 | ||
| 7.5% 4/8/33 | 18,650,000 | 21,587,375 | ||
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT | ||||
| AGENCY OBLIGATIONS | ||||
| (Cost $51,413,630) | 56,206,447 | |||
Annual Report 96
| Fixed Income Funds 14.6% | ||||||
| Shares | Value | |||||
| Fidelity Ultra-Short Central Fund (g) | ||||||
| (Cost $472,024,582) | 4,743,231 | $ 471,904,052 | ||||
| Cash Equivalents 4.9% | ||||||
| Maturity | ||||||
| Amount | ||||||
| Investments in repurchase agreements (Collateralized by | ||||||
| U.S. Government Obligations, in a joint trading | ||||||
| account at 3.89%, dated 9/30/05 due 10/3/05) | ||||||
| (Cost $158,581,000) | $ 158,632,467 | 158,581,000 | ||||
| TOTAL INVESTMENT PORTFOLIO 108.6% | ||||||
| (Cost $3,519,925,932) | 3,515,185,551 | |||||
| NET OTHER ASSETS – (8.6)% | (277,573,642) | |||||
| NET ASSETS 100% | $ 3,237,611,909 | |||||
| Swap Agreements | ||||||
| Expiration | Notional | Value | ||||
| Date | Amount | |||||
| Credit Default Swap | ||||||
| Receive quarterly a fixed rate of .45% | ||||||
| multiplied by the notional amount and | ||||||
| pay to Lehman Brothers, Inc., upon each | ||||||
| default event of one of the issues of Dow | ||||||
| Jones CDX N.A. Investment Grade 5, par | ||||||
| value of the proportional notional | ||||||
| amount (e) | Dec. 2010 | $ 33,200,000 | $ (2,878) | |||
| Receive quarterly a fixed rate of .7% | ||||||
| multiplied by the notional amount and | ||||||
| pay to JPMorgan Chase, Inc., upon each | ||||||
| default event of one of the issues of Dow | ||||||
| Jones CDX N.A. Investment Grade 3, par | ||||||
| value of the proportional notional | ||||||
| amount (d) | March 2015 | 40,000,000 | (297,640) | |||
| Receive quarterly notional amount | ||||||
| multiplied by .31% and pay Goldman | ||||||
| Sachs upon default event of SBC | ||||||
| Communications, Inc., par value of the | ||||||
| notional amount of SBC | ||||||
| Communications, Inc. 5.875% 8/15/12 | Sept. 2010 | 7,500,000 | (5,022) | |||
97 Annual Report
| Investments (Unaudited) continued | ||||||||
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Receive quarterly notional amount | ||||||||
| multiplied by .35% and pay Goldman | ||||||||
| Sachs upon default event of Southern | ||||||||
| California Edison Co., par value of the | ||||||||
| notional amount of Southern California | ||||||||
| Edison Co. 7.625% 1/15/10 | Sept. 2010 | $ 3,700,000 | $ (117) | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .39% and pay JPMorgan | ||||||||
| Chase, Inc. upon default event of Fannie | ||||||||
| Mae, par value of the notional amount of | ||||||||
| Fannie Mae 4.625% 5/1/13 | June 2010 | 3,750,000 | 23,943 | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .405% and pay Deutsche | ||||||||
| Bank upon default event of Sempra | ||||||||
| Energy, par value of the notional amount | ||||||||
| of Sempra Energy 6% 2/1/13 | Sept. 2010 | 5,800,000 | (17,205) | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .41% and pay Deutsche | ||||||||
| Bank upon default event of Sempra | ||||||||
| Energy, par value of the notional amount | ||||||||
| of Sempra Energy 6% 2/1/13 | Sept. 2010 | 5,800,000 | (15,911) | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .43% and pay Lehman | ||||||||
| Brothers, Inc. upon default event of | ||||||||
| Fannie Mae, par value of the notional | ||||||||
| amount of Fannie Mae 6.25% 2/1/11 | June 2010 | 15,000,000 | 121,553 | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .48% and pay Goldman | ||||||||
| Sachs upon default event of TXU Energy | ||||||||
| Co. LLC, par value of the notional | ||||||||
| amount of TXU Energy Co. LLC 7% | ||||||||
| 3/15/13 | Sept. 2008 | 10,000,000 | (60,628) | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .48% and pay JPMorgan | ||||||||
| Chase, Inc. upon default event of Fannie | ||||||||
| Mae, par value of the notional amount of | ||||||||
| Fannie Mae 4.625% 5/1/13 | June 2010 | 5,000,000 | 51,259 | |||||
| Receive quarterly notional amount | ||||||||
| multiplied by .53% and pay Lehman | ||||||||
| Brothers, Inc. upon default event of Tyco | ||||||||
| International Group SA, par value of the | ||||||||
| notional amount of Tyco International | ||||||||
| Group SA yankee 6.375% 10/15/11 | June 2010 | 5,000,000 | 16,032 | |||||
| TOTAL CREDIT DEFAULT SWAP | $ 134,750,000 | $ (186,614) | ||||||
Annual Report 98
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Interest Rate Swap | ||||||||
| Receive quarterly a fixed rate equal to | ||||||||
| 3.38% and pay quarterly a floating rate | ||||||||
| based on 3-month LIBOR with Citibank | May 2006 | $ 250,000,000 | $(1,556,925) | |||||
| Receive quarterly a fixed rate equal to | ||||||||
| 3.8915% and pay quarterly a floating | ||||||||
| rate based on 3-month LIBOR with UBS | Feb. 2008 | 40,000,000 | (605,076) | |||||
| TOTAL INTEREST RATE SWAP | $ 290,000,000 | $(2,162,001) | ||||||
| Total Return Swap | ||||||||
| Receive monthly a return equal to Banc of | ||||||||
| America Securities LLC AAA 10 Yr | ||||||||
| Commercial Mortgage Backed Securities | ||||||||
| Daily Index and pay monthly a floating | ||||||||
| rate based on 1-month LIBOR minus 40 | ||||||||
| basis points with Bank of America | March 2006 | 12,600,000 | (306,797) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers ABS Floating Rate Index and | ||||||||
| pay monthly a floating rate based on the | ||||||||
| 1-month LIBOR minus 11.1 basis points | ||||||||
| with Lehman Brothers, Inc. | Nov. 2005 | 12,000,000 | 3,309 | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||
| monthly a floating rate based on | ||||||||
| 1-month LIBOR minus 20 basis points | ||||||||
| with Citibank | Oct. 2005 | 12,500,000 | (342,541) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||
| monthly a floating rate based on | ||||||||
| 1-month LIBOR minus 25 basis points | ||||||||
| with Citibank | Oct. 2006 | 20,000,000 | (154,536) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||
| monthly a floating rate based on | ||||||||
| 1-month LIBOR minus 25 basis points | ||||||||
| with Deutsche Bank | April 2006 | 12,500,000 | 0 | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||
| monthly a return based on 1-month | ||||||||
| LIBOR minus 50 basis points with | ||||||||
| Citibank | Jan. 2006 | 30,000,000 | (814,598) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers CMBS U.S. Aggregate Index | ||||||||
| and pay monthly a floating rate based | ||||||||
| on 1-month LIBOR minus 20 basis points | ||||||||
| with Lehman Brothers, Inc. | March 2006 | 70,000,000 | (1,141,200) | |||||
99 Annual Report
| Investments (Unaudited) continued | ||||||||
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers Commercial Mortgage Backed | ||||||||
| Securities AAA Daily Index and pay | ||||||||
| monthly a floating rate based on | ||||||||
| 1-month LIBOR minus 25 basis points | ||||||||
| with Bank of America | Dec. 2005 | $ 20,045,000 | $ (331,526) | |||||
| Receive quarterly a return equal to Banc of | ||||||||
| America Securities LLC AAA 10 Yr | ||||||||
| Commercial Mortgage Backed Securities | ||||||||
| Daily Index and pay quarterly a floating | ||||||||
| rate based on 3-month LIBOR minus 40 | ||||||||
| basis points with Bank of America | Nov. 2005 | 14,000,000 | (132,786) | |||||
| TOTAL TOTAL RETURN SWAP | $ 203,645,000 | $ (3,220,675) | ||||||
| $ 628,395,000 | $ (5,569,290) | |||||||
| Legend (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $278,782,350 or 8.6% of net assets. (b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. (c) A portion of the security is subject to a forward commitment to sell. (d) Dow Jones CDX N.A. Investment Grade 3 is a tradable index of credit default swaps on investment grade debt of U.S. companies. (e) Dow Jones CDX N.A. Investment Grade 5 is a tradable index of credit default swaps on investment grade debt of U.S. companies. (f) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
| (g) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited listing of the fixed income central fund’s holdings is provided at the end of this report. (h) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
Annual Report 100
Fidelity Ultra-Short Central Fund
Investments September 30, 2005 (Unaudited)
Showing Percentage of Net Assets
| Nonconvertible Bonds 4.8% | ||||||
| Principal | Value | |||||
| Amount | ||||||
| CONSUMER DISCRETIONARY – 1.1% | ||||||
| Auto Components 0.3% | ||||||
| DaimlerChrysler NA Holding Corp.: | ||||||
| 4.3138% 9/10/07 (d) | $16,665,000 | $ 16,704,263 | ||||
| 4.43% 5/24/06 (d) | 4,700,000 | 4,713,090 | ||||
| 21,417,353 | ||||||
| Media – 0.8% | ||||||
| Continental Cablevision, Inc. 8.3% 5/15/06 | 8,000,000 | 8,183,384 | ||||
| Cox Communications, Inc. (Reg. S) 4.4069% 12/14/07 (d) | . 12,140,000 | 12,222,965 | ||||
| Cox Radio, Inc. 6.625% 2/15/06 | 5,575,000 | 5,612,319 | ||||
| Liberty Media Corp. 5.37% 9/17/06 (d) | 16,694,000 | 16,816,200 | ||||
| Univision Communications, Inc. 2.875% 10/15/06 | 8,505,000 | 8,336,763 | ||||
| 51,171,631 | ||||||
| TOTAL CONSUMER DISCRETIONARY | 72,588,984 | |||||
| ENERGY 0.2% | ||||||
| Oil, Gas & Consumable Fuels – 0.2% | ||||||
| Valero Energy Corp. 7.375% 3/15/06 | 11,550,000 | 11,671,298 | ||||
| FINANCIALS – 1.5% | ||||||
| Capital Markets 0.2% | ||||||
| State Street Capital Trust II 4.29% 2/15/08 (d) | 10,000,000 | 10,007,360 | ||||
| Commercial Banks – 0.2% | ||||||
| Wells Fargo & Co. 3.8738% 3/10/08 (d) | 16,600,000 | 16,600,166 | ||||
| Consumer Finance – 0.5% | ||||||
| General Motors Acceptance Corp. 4.87% 10/20/05 (d) | 14,765,000 | 14,765,177 | ||||
| MBNA Europe Funding PLC 3.97% 9/7/07 (a)(d) | 19,925,000 | 19,915,914 | ||||
| 34,681,091 | ||||||
| Thrifts & Mortgage Finance – 0.6% | ||||||
| Countrywide Financial Corp. 3.71% 4/11/07 (d) | 11,025,000 | 11,037,105 | ||||
| Residential Capital Corp. 5.385% 6/29/07 (a)(d) | 14,150,000 | 14,267,063 | ||||
| Washington Mutual Bank 3.9363% 8/25/08 (d) | 16,325,000 | 16,330,126 | ||||
| 41,634,294 | ||||||
| TOTAL FINANCIALS | 102,922,911 | |||||
| TELECOMMUNICATION SERVICES – 1.1% | ||||||
| Diversified Telecommunication Services – 1.0% | ||||||
| British Telecommunications PLC 7.875% 12/15/05 | 18,145,000 | 18,268,277 | ||||
101 Annual Report
| Investments (Unaudited) continued | ||||||
| Nonconvertible Bonds continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| TELECOMMUNICATION SERVICES – continued | ||||||
| Diversified Telecommunication Services – continued | ||||||
| France Telecom SA 7.2% 3/1/06 | $ 5,600,000 | $ 5,664,966 | ||||
| GTE Corp. 6.36% 4/15/06 | 9,000,000 | 9,087,354 | ||||
| SBC Communications, Inc. 4.389% 6/5/06 (a) | 15,315,000 | 15,296,316 | ||||
| Sprint Capital Corp. 4.78% 8/17/06 | 6,000,000 | 6,009,276 | ||||
| Telefonos de Mexico SA de CV 4.5% 11/19/08 | 10,240,000 | 10,107,679 | ||||
| TELUS Corp. yankee 7.5% 6/1/07 | 6,500,000 | 6,787,638 | ||||
| 71,221,506 | ||||||
| Wireless Telecommunication Services – 0.1% | ||||||
| AT&T Wireless Services, Inc. 7.35% 3/1/06 | 5,500,000 | 5,563,866 | ||||
| TOTAL TELECOMMUNICATION SERVICES | 76,785,372 | |||||
| UTILITIES – 0.9% | ||||||
| Electric Utilities – 0.2% | ||||||
| Pinnacle West Energy Corp. 4.0044% 4/1/07 (a)(d) | 12,800,000 | 12,800,000 | ||||
| Gas Utilities 0.1% | ||||||
| NiSource Finance Corp. 7.625% 11/15/05 | 9,250,000 | 9,284,012 | ||||
| Multi-Utilities – 0.6% | ||||||
| Dominion Resources, Inc. 4.27% 9/28/07 (d) | 17,150,000 | 17,145,301 | ||||
| DTE Energy Co. 6.45% 6/1/06 | 13,190,000 | 13,350,324 | ||||
| Sempra Energy 4.75% 5/15/09 | 5,500,000 | 5,461,247 | ||||
| 35,956,872 | ||||||
| TOTAL UTILITIES | 58,040,884 | |||||
| TOTAL NONCONVERTIBLE BONDS | ||||||
| (Cost $322,361,771) | 322,009,449 | |||||
| U.S. Government Agency Obligations 0.0% | ||||||
| Federal Home Loan Bank 0% 12/28/05 (c) | ||||||
| (Cost $1,981,349) | 2,000,000 | 1,981,988 | ||||
| Asset Backed Securities 33.0% | ||||||
| Accredited Mortgage Loan Trust: | ||||||
| Series 2004-2 Class A2, 4.13% 7/25/34 (d) | 7,454,076 | 7,464,885 | ||||
| Series 2004-3 Class 2A4, 4.18% 10/25/34 (d) | 10,915,000 | 10,939,272 | ||||
| Series 2004-4 Class A2D, 4.18% 1/25/35 (d) | 3,210,800 | 3,218,701 | ||||
Annual Report 102
| Asset Backed Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Accredited Mortgage Loan Trust: – continued | ||||||
| Series 2005-1: | ||||||
| Class M1, 4.3% 4/25/35 (d) | $ 11,280,000 | $ 11,284,074 | ||||
| Class M2, 4.52% 4/25/35 (d) | 5,275,000 | 5,288,969 | ||||
| ACE Securities Corp.: | ||||||
| Series 2002-HE1 Class M1, 4.48% 6/25/32 (d) | 1,842,987 | 1,860,106 | ||||
| Series 2002-HE2 Class M1, 4.68% 8/25/32 (d) | 18,631,213 | 18,689,976 | ||||
| Series 2003-FM1 Class M2, 5.68% 11/25/32 (d) | 3,015,000 | 3,044,567 | ||||
| Series 2003-HS1: | ||||||
| Class M1, 4.58% 6/25/33 (d) | 800,000 | 803,891 | ||||
| Class M2, 5.58% 6/25/33 (d) | 856,000 | 870,466 | ||||
| Series 2003-NC1 Class M1, 4.61% 7/25/33 (d) | 1,600,000 | 1,608,662 | ||||
| Series 2004-HE1: | ||||||
| Class M1, 4.33% 2/25/34 (d) | 2,193,000 | 2,194,100 | ||||
| Class M2, 4.93% 2/25/34 (d) | 2,475,000 | 2,476,472 | ||||
| Series 2004-OP1: | ||||||
| Class M1, 4.35% 4/25/34 (d) | 4,420,000 | 4,424,381 | ||||
| Class M2, 4.88% 4/25/34 (d) | 6,240,000 | 6,332,494 | ||||
| Series 2005-HE2: | ||||||
| Class M1, 4.27% 4/25/35 (d) | 1,530,000 | 1,529,959 | ||||
| Class M2, 4.28% 4/25/35 (d) | 1,803,000 | 1,802,229 | ||||
| Class M3, 4.31% 4/25/35 (d) | 1,040,000 | 1,041,214 | ||||
| Class M4, 4.47% 4/25/35 (d) | 1,340,000 | 1,341,550 | ||||
| Series 2005-HE3: | ||||||
| Class A2A, 3.93% 5/25/35 (d) | 7,170,954 | 7,171,304 | ||||
| Class A2B, 4.04% 5/25/35 (d) | 4,370,000 | 4,367,703 | ||||
| Series 2005-SD1 Class A1, 4.23% 11/25/50 (d) | 2,337,292 | 2,340,041 | ||||
| Aesop Funding II LLC Series 2005-1A Class A2, 3.8563% | ||||||
| 4/20/09 (a)(d) | 8,800,000 | 8,800,906 | ||||
| American Express Credit Account Master Trust: | ||||||
| Series 2002-6 Class B, 4.2181% 3/15/10 (d) | 5,000,000 | 5,028,652 | ||||
| Series 2004-1 Class B, 4.0181% 9/15/11 (d) | 5,775,000 | 5,797,497 | ||||
| Series 2004-C Class C, 4.2681% 2/15/12 (a)(d) | 14,647,039 | 14,680,928 | ||||
| Series 2005-1 Class A, 3.7981% 10/15/12 (d) | 15,455,000 | 15,483,856 | ||||
| Series 2005-6 Class C, 4.0181% 3/15/11 (a)(d) | 9,085,000 | 9,087,816 | ||||
| AmeriCredit Automobile Receivables Trust: | ||||||
| Series 2002-EM Class A4A, 3.67% 6/8/09 | 25,000,000 | 24,882,623 | ||||
| Series 2003-AM Class A4B, 4.15% 11/6/09 (d) | 11,965,573 | 11,999,441 | ||||
| Series 2003-BX Class A4B, 3.9688% 1/6/10 (d) | 3,265,000 | 3,273,821 | ||||
| Series 2003-CF Class A3, 2.75% 10/9/07 | 8,861,691 | 8,837,682 | ||||
| Series 2005-1 Class C, 4.73% 7/6/10 | 15,500,000 | 15,420,941 | ||||
| Ameriquest Mortgage Securities, Inc.: | ||||||
| Series 2002-3 Class M1, 4.53% 8/25/32 (d) | 2,969,781 | 2,983,343 |
103 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Ameriquest Mortgage Securities, Inc.: – continued | ||||||||
| Series 2003-1: | ||||||||
| Class A2, 4.24% 2/25/33 (d) | $ 200,427 | $ 200,481 | ||||||
| Class M1, 4.73% 2/25/33 (d) | 6,150,000 | 6,188,493 | ||||||
| Series 2003-3 Class M1, 4.63% 3/25/33 (d) | 1,590,000 | 1,598,400 | ||||||
| �� Series 2003-6: | ||||||||
| Class M1, 4.59% 8/25/33 (d) | 7,560,000 | 7,610,158 | ||||||
| Class M2, 5.68% 5/25/33 (d) | 2,750,000 | 2,804,670 | ||||||
| Series 2003-AR1 Class M1, 4.98% 1/25/33 (d) | 7,000,000 | 7,068,037 | ||||||
| Series 2004-R2: | ||||||||
| Class M1, 4.26% 4/25/34 (d) | 1,230,000 | 1,229,969 | ||||||
| Class M2, 4.31% 4/25/34 (d) | 950,000 | 949,976 | ||||||
| Class M3, 4.38% 4/25/34 (d) | 3,500,000 | 3,499,912 | ||||||
| Class M4, 4.88% 4/25/34 (d) | 4,500,000 | 4,499,883 | ||||||
| Series 2004-R9 Class A3, 4.15% 10/25/34 (d) | 9,206,545 | 9,219,109 | ||||||
| Series 2005-R1: | ||||||||
| Class M1, 4.28% 3/25/35 (d) | 5,710,000 | 5,707,639 | ||||||
| Class M2, 4.31% 3/25/35 (d) | 1,925,000 | 1,924,232 | ||||||
| Series 2005-R2 Class M1, 4.28% 4/25/35 (d) | 12,500,000 | 12,499,668 | ||||||
| Amortizing Residential Collateral Trust: | ||||||||
| Series 2002-BC3 Class A, 4.16% 6/25/32 (d) | 2,411,175 | 2,418,320 | ||||||
| Series 2002-BC6 Class M1, 4.58% 8/25/32 (d) | 24,900,000 | 25,095,555 | ||||||
| Series 2002-BC7: | ||||||||
| Class M1, 4.63% 10/25/32 (d) | 10,000,000 | 10,028,130 | ||||||
| Class M2, 4.73% 10/25/32 (d) | 5,575,000 | 5,605,898 | ||||||
| Series 2002-BC1 Class M2, 4.93% 1/25/32 (d) | 758,836 | 762,053 | ||||||
| ARG Funding Corp.: | ||||||||
| Series 2005-1A Class A2, 3.8963% 4/20/09 (a)(d) | 11,000,000 | 10,975,938 | ||||||
| Series 2005-2A Class A2, 3.9063% 5/20/09 (a)(d) | 5,200,000 | 5,190,453 | ||||||
| Argent Securities, Inc.: | ||||||||
| Series 2003-W3 Class M2, 5.63% 9/25/33 (d) | 20,000,000 | 20,596,100 | ||||||
| Series 2003-W7 Class A2, 4.22% 3/1/34 (d) | 3,948,904 | 3,957,510 | ||||||
| Series 2004-W5 Class M1, 4.43% 4/25/34 (d) | 3,960,000 | 3,964,674 | ||||||
| Series 2004-W7: | ||||||||
| Class M1, 4.38% 5/25/34 (d) | 4,085,000 | 4,084,893 | ||||||
| Class M2, 4.43% 5/25/34 (d) | 3,320,000 | 3,319,914 | ||||||
| Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||
| Series 2003-HE2: | ||||||||
| Class A2, 4.1481% 4/15/33 (d) | 664,884 | 664,968 | ||||||
| Class M1, 4.6681% 4/15/33 (d) | 11,365,000 | 11,414,716 | ||||||
| Series 2003-HE3: | ||||||||
| Class M1, 4.5981% 6/15/33 (d) | 2,185,000 | 2,196,793 | ||||||
| Class M2, 5.7681% 6/15/33 (d) | 10,000,000 | 10,168,072 | ||||||
Annual Report 104
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Asset Backed Securities Corp. Home Equity Loan Trust: - | ||||||||
| continued | ||||||||
| Series 2003-HE4 Class M2, 5.7681% 8/15/33 (d) | $ 5,695,000 | $ 5,779,144 | ||||||
| Series 2003-HE5 Class A2A, 4.1281% 8/15/33 (d) | 347,110 | 347,153 | ||||||
| Series 2003-HE6 Class M1, 4.48% 11/25/33 (d) | 3,475,000 | 3,497,595 | ||||||
| Series 2004-HE2 Class M1, 4.38% 4/25/34 (d) | 6,060,000 | 6,083,075 | ||||||
| Series 2004-HE3: | ||||||||
| Class M1, 4.37% 6/25/34 (d) | 1,450,000 | 1,457,158 | ||||||
| Class M2, 4.95% 6/25/34 (d) | 3,350,000 | 3,391,294 | ||||||
| Series 2004-HE6 Class A2, 4.19% 6/25/34 (d) | 15,110,414 | 15,141,786 | ||||||
| Series 2005-HE2: | ||||||||
| Class M1, 4.28% 3/25/35 (d) | 8,250,000 | 8,259,768 | ||||||
| Class M2, 4.33% 3/25/35 (d) | 2,065,000 | 2,070,757 | ||||||
| Series 2005-HE3 Class A4, 4.03% 4/25/35 (d) | 11,650,000 | 11,649,725 | ||||||
| Series 2005-HE6 Class A2B, 4.08% 7/25/35 (d) | 10,000,000 | 10,009,980 | ||||||
| Bank One Issuance Trust: | ||||||||
| Series 2002-B1 Class B1, 4.1481% 12/15/09 (d) | 20,655,000 | 20,734,158 | ||||||
| Series 2002-B3 Class B, 4.1281% 8/15/08 (d) | 14,500,000 | 14,503,495 | ||||||
| Series 2002-C1 Class C1, 4.7281% 12/15/09 (d) | 7,980,000 | 8,063,633 | ||||||
| Series 2003-C4 Class C4, 4.7981% 2/15/11 (d) | 14,910,000 | 15,197,991 | ||||||
| Bayview Financial Acquisition Trust Series 2004-C | ||||||||
| Class A1, 4.2575% 5/28/44 (d) | 7,735,211 | 7,751,217 | ||||||
| Bayview Financial Asset Trust Series 2003-F Class A, | ||||||||
| 4.3375% 9/28/43 (d) | 9,005,591 | 9,025,757 | ||||||
| Bayview Financial Mortgage Loan Trust Series 2004-A Class | ||||||||
| A, 4.2875% 2/28/44 (d) | 5,177,035 | 5,186,096 | ||||||
| Bear Stearns Asset Backed Securities, Inc. Series 2005-3 | ||||||||
| Class A1, 4.28% 9/25/35 (d) | 4,051,990 | 4,051,990 | ||||||
| Bear Stearns Asset Backed Securities I: | ||||||||
| Series 2005-HE2: | ||||||||
| Class M1, 4.33% 2/25/35 (d) | 6,655,000 | 6,657,302 | ||||||
| Class M2, 4.58% 2/25/35 (d) | 2,430,000 | 2,438,309 | ||||||
| Series 2005-HE5 Class 1A1, 3.94% 6/25/35 (d) | 9,315,999 | 9,314,540 | ||||||
| Capital Auto Receivables Asset Trust: | ||||||||
| Series 2002-5 Class B, 2.8% 4/15/08 | 2,439,941 | 2,415,147 | ||||||
| Series 2003-1 Class B, 4.2381% 6/15/10 (a)(d) | 4,946,375 | 4,959,105 | ||||||
| Series 2003-2 Class B, 4.0481% 1/15/09 (d) | 2,369,381 | 2,373,293 | ||||||
| Series 2005-1 Class B, 4.1431% 6/15/10 (d) | 5,725,000 | 5,757,133 | ||||||
| Capital One Auto Finance Trust: | ||||||||
| Series 2003-A Class A4B, 4.0481% 1/15/10 (d) | 9,630,000 | 9,651,642 | ||||||
| Series 2004-B Class A4, 3.8781% 8/15/11 (d) | 16,300,000 | 16,304,722 |
105 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Capital One Master Trust: | ||||||||
| Series 1999-3 Class B, 4.2481% 9/15/09 (d) | $ 5,000,000 | $ 5,001,993 | ||||||
| Series 2001-1 Class B, 4.2781% 12/15/10 (d) | 19,500,000 | 19,636,007 | ||||||
| Series 2001-8A Class B, 4.3181% 8/17/09 (d) | 9,585,000 | 9,627,823 | ||||||
| Series 2002-4A Class B, 4.2681% 3/15/10 (d) | 6,000,000 | 6,026,994 | ||||||
| Capital One Multi-Asset Execution Trust Series 2003-B1 Class | ||||||||
| B1, 4.9381% 2/17/09 (d) | 15,470,000 | 15,540,698 | ||||||
| Capital Trust Ltd. Series 2004-1: | ||||||||
| Class A2, 4.2463% 7/20/39 (a)(d) | 2,968,000 | 2,974,368 | ||||||
| Class B, 4.5463% 7/20/39 (a)(d) | 1,550,000 | 1,553,325 | ||||||
| Class C, 4.8963% 7/20/39 (a)(d) | 1,994,000 | 1,998,276 | ||||||
| CDC Mortgage Capital Trust: | ||||||||
| Series 2001-HE1 Class M1, 4.86% 1/25/32 (d) | 3,470,154 | 3,471,347 | ||||||
| Series 2002-HE2 Class M1, 4.53% 1/25/33 (d) | 9,278,431 | 9,305,483 | ||||||
| Series 2002-HE3: | ||||||||
| Class M1, 4.93% 3/25/33 (d) | 21,339,884 | 21,583,539 | ||||||
| Class M2, 5.8913% 3/25/33 (d) | 9,968,976 | 10,111,477 | ||||||
| Series 2003-HE1: | ||||||||
| Class M1, 4.5413% 8/25/33 (d) | 1,907,142 | 1,913,922 | ||||||
| Class M2, 5.5913% 8/25/33 (d) | 4,369,996 | 4,416,852 | ||||||
| Series 2003-HE2 Class A, 3.9913% 10/25/33 (d) | 1,011,328 | 1,011,776 | ||||||
| Series 2003-HE3: | ||||||||
| Class M1, 4.53% 11/25/33 (d) | 2,254,989 | 2,275,897 | ||||||
| Class M2, 5.58% 11/25/33 (d) | 1,719,992 | 1,749,395 | ||||||
| Series 2004-HE2 Class M2, 5.03% 7/26/34 (d) | 2,345,000 | 2,366,343 | ||||||
| Cendant Timeshare Receivables Funding LLC Series 2005 1A | ||||||||
| Class 2A2, 3.9763% 5/20/17 (a)(d) | 9,256,185 | 9,256,185 | ||||||
| Chase Credit Card Owner Trust: | ||||||||
| Series 2001-6 Class B, 4.2481% 3/16/09 (d) | 1,305,000 | 1,310,645 | ||||||
| Series 2002-6 Class B, 4.1181% 1/15/08 (d) | 11,850,000 | 11,850,281 | ||||||
| Series 2003-6 Class C, 4.5681% 2/15/11 (d) | 16,400,000 | 16,641,039 | ||||||
| Series 2004-1 Class B, 3.9681% 5/15/09 (d) | 4,105,000 | 4,104,601 | ||||||
| Citibank Credit Card Issuance Trust: | ||||||||
| Series 2000-C2 Class C2, 4.2488% 10/15/07 (d) | 17,500,000 | 17,499,286 | ||||||
| Series 2001-B2 Class B2, 4.3038% 12/10/08 (d) | 11,945,000 | 11,995,489 | ||||||
| Series 2002-B1 Class B1, 4.2906% 6/25/09 (d) | 9,010,000 | 9,041,853 | ||||||
| Series 2002-C1 Class C1, 4.7369% 2/9/09 (d) | 17,500,000 | 17,675,320 | ||||||
| Series 2003-B1 Class B1, 4.0763% 3/7/08 (d) | 25,000,000 | 25,035,435 | ||||||
| Series 2003-C1 Class C1, 4.65% 4/7/10 (d) | 17,785,000 | 18,159,908 | ||||||
| Citigroup Mortgage Loan Trust Series 2003-HE4 | ||||||||
| Class A, 4.24% 12/25/33 (a)(d) | 7,601,624 | 7,602,413 | ||||||
| CNH Wholesale Master Note Trust Series 2005-1: | ||||||||
| Class A, 3.8781% 6/15/11 (d) | 18,000,000 | 17,997,386 | ||||||
Annual Report 106
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| CNH Wholesale Master Note Trust Series 2005-1: - | ||||||||
| continued | ||||||||
| Class B, 4.1681% 6/15/11 (d) | $ 2,280,000 | $ 2,279,668 | ||||||
| Countrywide Home Loans, Inc.: | ||||||||
| Series 2002-6 Class AV1, 4.26% 5/25/33 (d) | 1,255,649 | 1,258,682 | ||||||
| Series 2003-BC1 Class M2, 5.83% 9/25/32 (d) | 11,065,000 | 11,184,059 | ||||||
| Series 2003-SD3 Class A1, 4.25% 12/25/32 (a)(d) | 752,994 | 756,713 | ||||||
| Series 2004-2 Class M1, 4.33% 5/25/34 (d) | 5,200,000 | 5,209,564 | ||||||
| Series 2004-3: | ||||||||
| Class 3A4, 4.08% 8/25/34 (d) | 445,702 | 444,067 | ||||||
| Class M1, 4.33% 6/25/34 (d) | 1,475,000 | 1,476,401 | ||||||
| Series 2004-4: | ||||||||
| Class A, 4.2% 8/25/34 (d) | 2,130,303 | 2,132,323 | ||||||
| Class M1, 4.31% 7/25/34 (d) | 3,650,000 | 3,660,809 | ||||||
| Class M2, 4.36% 6/25/34 (d) | 4,395,000 | 4,399,618 | ||||||
| Series 2005-1: | ||||||||
| Class 1AV2, 4.03% 7/25/35 (d) | 8,780,000 | 8,777,753 | ||||||
| Class M1, 4.25% 8/25/35 (d) | 19,600,000 | 19,586,004 | ||||||
| Class MV1, 4.23% 7/25/35 (d) | 3,135,000 | 3,133,802 | ||||||
| Class MV2, 4.27% 7/25/35 (d) | 3,765,000 | 3,762,360 | ||||||
| Class MV3, 4.31% 7/25/35 (d) | 1,560,000 | 1,561,512 | ||||||
| Series 2005-3 Class MV1, 4.25% 8/25/35 (d) | 11,125,000 | 11,116,813 | ||||||
| Series 2005-AB1 Class A2, 4.04% 8/25/35 (d) | 17,520,000 | 17,515,387 | ||||||
| Series 2005-BC1 Class 2A2, 4.03% 5/25/35 (d) | 8,375,000 | 8,376,323 | ||||||
| Series 2005-IM1 Class A1, 3.96% 11/25/35 (d) | 16,452,556 | 16,453,841 | ||||||
| CS First Boston Mortgage Securities Corp.: | ||||||||
| Series 2003-8 Class A2, 4.22% 4/25/34 (d) | 2,207,328 | 2,216,663 | ||||||
| Series 2004-FRE1: | ||||||||
| Class A2, 4.18% 4/25/34 (d) | 1,945,674 | 1,945,630 | ||||||
| Class M3, 4.48% 4/25/34 (d) | 5,885,000 | 5,884,847 | ||||||
| Discover Card Master Trust I Series 2003-4 Class B1, | ||||||||
| 4.0981% 5/16/11 (d) | 8,155,000 | 8,200,894 | ||||||
| Fannie Mae guaranteed REMIC pass thru certificates Series | ||||||||
| 2004-T5 Class AB3, 4.222% 5/28/35 (d) | 5,382,969 | 5,384,840 | ||||||
| Fieldstone Mortgage Investment Corp.: | ||||||||
| Series 2003-1: | ||||||||
| Class M1, 4.51% 11/25/33 (d) | 1,300,000 | 1,311,510 | ||||||
| Class M2, 5.58% 11/25/33 (d) | 700,000 | 718,059 | ||||||
| Series 2004-1 Class M2, 4.93% 1/25/35 (d) | 3,700,000 | 3,743,249 | ||||||
| Series 2004-2 Class M2, 4.98% 7/25/34 (d) | 9,890,000 | 9,889,746 | ||||||
| Series 2004-3 Class M5, 5.28% 8/25/34 (d) | 2,000,000 | 2,035,525 | ||||||
| Series 2005-2 Class 2A1, 3.95% 7/25/36 (d) | 16,387,547 | 16,385,833 |
107 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| First Franklin Mortgage Loan Asset Backed Certificates: | ||||||||
| Series 2005-FF2 Class A2A, 3.92% 3/25/35 (d) | $ 6,441,811 | $ 6,442,575 | ||||||
| Series 2005-FF2 Class M6, 4.53% 3/25/35 (d) | 6,950,000 | 6,966,453 | ||||||
| First Franklin Mortgage Loan Trust Series 2004-FF2: | ||||||||
| Class M3, 4.38% 3/25/34 (d) | 400,000 | 400,662 | ||||||
| Class M4, 4.73% 3/25/34 (d) | 300,000 | 302,870 | ||||||
| First USA Credit Card Master Trust Series 2001-4 Class B, | ||||||||
| 4.1281% 1/12/09 (d) | 15,000,000 | 15,017,273 | ||||||
| First USA Secured Note Trust Series 2001-3 Class C, | ||||||||
| 4.8394% 11/19/08 (a)(d) | 11,580,000 | 11,661,421 | ||||||
| Ford Credit Auto Owner Trust Series 2003-B Class B2, | ||||||||
| 4.1981% 10/15/07 (d) | 19,600,000 | 19,672,465 | ||||||
| Ford Credit Floorplan Master Owner Trust Series 2005 1: | ||||||||
| Class A, 3.9181% 5/17/10 (d) | 9,590,000 | 9,586,223 | ||||||
| Class B, 4.2081% 5/17/10 (d) | 2,625,000 | 2,623,968 | ||||||
| Fremont Home Loan Trust: | ||||||||
| Series 2004-1: | ||||||||
| Class 1A1, 4.05% 2/25/34 (d) | 2,196,026 | 2,197,373 | ||||||
| Class M1, 4.28% 2/25/34 (d) | 750,000 | 750,227 | ||||||
| Class M2, 4.33% 2/25/34 (d) | 800,000 | 800,745 | ||||||
| Series 2004-C Class 2A2, 4.38% 8/25/34 (d) | 10,000,000 | 10,060,514 | ||||||
| Series 2004-D Class 3A2, 4.11% 11/25/34 (d) | 2,153,210 | 2,158,681 | ||||||
| Series 2005-2 Class 2A1, 3.94% 6/25/35 (d) | 14,216,532 | 14,212,883 | ||||||
| Series 2005 A: | ||||||||
| Class 2A2, 4.07% 2/25/35 (d) | 11,850,000 | 11,862,896 | ||||||
| Class M1, 4.26% 1/25/35 (d) | 1,603,000 | 1,608,402 | ||||||
| Class M2, 4.29% 1/25/35 (d) | 2,325,000 | 2,326,557 | ||||||
| Class M3, 4.32% 1/25/35 (d) | 1,250,000 | 1,252,900 | ||||||
| Class M4, 4.51% 1/25/35 (d) | 925,000 | 931,377 | ||||||
| GE Business Loan Trust Series 2003-1 Class A, 4.1981% | ||||||||
| 4/15/31 (a)(d) | 5,238,178 | 5,267,176 | ||||||
| GE Capital Credit Card Master Note Trust Series 2005-2 | ||||||||
| Class B, 3.9681% 6/15/11 (d) | 6,475,000 | 6,474,059 | ||||||
| Gracechurch Card Funding No. 9 PLC Series 2005-2: | ||||||||
| Class B, 3.9818% 9/15/10 (d) | 3,560,000 | 3,560,000 | ||||||
| Class C, 4.1418% 9/15/10 (d) | 13,000,000 | 13,000,000 | ||||||
| Gracechurch Card Funding PLC: | ||||||||
| Series 5: | ||||||||
| Class B, 3.9981% 8/15/08 (d) | 1,520,000 | 1,520,806 | ||||||
| Class C, 4.6981% 8/15/08 (d) | 5,580,000 | 5,600,379 | ||||||
| Series 6 Class B, 3.9581% 2/17/09 (d) | 1,030,000 | 1,030,878 | ||||||
| Series 8 Class C, 4.0981% 6/15/10 (d) | 18,450,000 | 18,485,634 | ||||||
| Annual Report |
| 108 |
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| GSAMP Trust: | ||||||||
| Series 2002-HE Class M1, 5.0463% 11/20/32 (d) | $ 2,882,888 | $ 2,926,670 | ||||||
| Series 2002-NC1: | ||||||||
| Class A2, 4.15% 7/25/32 (d) | 54,777 | 55,120 | ||||||
| Class M1, 4.47% 7/25/32 (d) | 8,861,000 | 8,942,540 | ||||||
| Series 2003-FM1 Class M1, 4.6163% 3/20/33 (d) | 15,000,000 | 15,157,449 | ||||||
| Series 2004-FM1: | ||||||||
| Class M1, 4.48% 11/25/33 (d) | 2,865,000 | 2,864,925 | ||||||
| Class M2, 5.23% 11/25/33 (d) | 1,975,000 | 2,008,385 | ||||||
| Series 2004-FM2: | ||||||||
| Class M1, 4.33% 1/25/34 (d) | 3,500,000 | 3,499,910 | ||||||
| Class M2, 4.93% 1/25/34 (d) | 1,500,000 | 1,499,961 | ||||||
| Class M3, 5.13% 1/25/34 (d) | 1,500,000 | 1,499,961 | ||||||
| Series 2004-HE1: | ||||||||
| Class M1, 4.38% 5/25/34 (d) | 4,045,000 | 4,044,896 | ||||||
| Class M2, 4.98% 5/25/34 (d) | 1,750,000 | 1,765,219 | ||||||
| Series 2005-9 Class 2A1, 3.95% 8/25/35 (d) | 16,206,183 | 16,206,183 | ||||||
| Series 2005-FF2 Class M5, 4.46% 3/25/35 (d) | 3,500,000 | 3,506,922 | ||||||
| Series 2005-HE2 Class M, 4.26% 3/25/35 (d) | 8,780,000 | 8,776,221 | ||||||
| Series 2005-NC1 Class M1, 4.28% 2/25/35 (d) | 9,010,000 | 9,013,305 | ||||||
| Guggenheim Structured Real Estate Funding Ltd. | ||||||||
| Series 2005-1 Class C, 4.91% 5/25/30 (a)(d) | 14,000,000 | 13,987,145 | ||||||
| HSBC Home Equity Loan Trust Series 2005-2: | ||||||||
| Class M1, 4.2563% 1/20/35 (d) | 2,914,233 | 2,914,529 | ||||||
| Class M2, 4.2863% 1/20/35 (d) | 2,182,286 | 2,182,488 | ||||||
| Home Equity Asset Trust: | ||||||||
| Series 2002-2 Class M1, 4.63% 6/25/32 (d) | 10,000,000 | 10,011,960 | ||||||
| Series 2002-3 Class A5, 4.27% 2/25/33 (d) | 2,763 | 2,767 | ||||||
| Series 2002-5: | ||||||||
| Class A3, 4.35% 5/25/33 (d) | 1,901,156 | 1,905,789 | ||||||
| Class M1, 5.03% 5/25/33 (d) | 13,800,000 | 13,948,517 | ||||||
| Series 2003-1: | ||||||||
| Class A2, 4.3% 6/25/33 (d) | 3,368,416 | 3,370,517 | ||||||
| Class M1, 4.83% 6/25/33 (d) | 8,335,000 | 8,371,945 | ||||||
| Series 2003-2: | ||||||||
| Class A2, 4.21% 8/25/33 (d) | 159,893 | 160,447 | ||||||
| Class M1, 4.71% 8/25/33 (d) | 2,245,000 | 2,271,910 | ||||||
| Series 2003-3: | ||||||||
| Class A2, 4.19% 8/25/33 (d) | 1,245,521 | 1,250,195 | ||||||
| Class M1, 4.69% 8/25/33 (d) | 8,185,000 | 8,277,490 | ||||||
| Series 2003-4: | ||||||||
| Class M1, 4.4413% 10/25/33 (d) | 3,415,000 | 3,437,752 |
109 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Home Equity Asset Trust: – continued | ||||||||
| Series 2003-4: | ||||||||
| Class M2, 5.5413% 10/25/33 (d) | $ 4,040,000 | $ 4,087,070 | ||||||
| Series 2003-5: | ||||||||
| Class A2, 4.18% 12/25/33 (d) | 3,793,784 | 3,806,470 | ||||||
| Class M1, 4.53% 12/25/33 (d) | 3,175,000 | 3,197,905 | ||||||
| Class M2, 5.56% 12/25/33 (d) | 1,345,000 | 1,376,130 | ||||||
| Series 2003-7 Class A2, 4.21% 3/25/34 (d) | 2,866,529 | 2,872,858 | ||||||
| Series 2004-2 Class A2, 4.12% 7/25/34 (d) | 5,111,457 | 5,111,384 | ||||||
| Series 2004-3: | ||||||||
| Class M1, 4.4% 8/25/34 (d) | 2,015,000 | 2,023,738 | ||||||
| Class M2, 5.03% 8/25/34 (d) | 2,200,000 | 2,239,606 | ||||||
| Series 2004-4 Class A2, 4.15% 10/25/34 (d) | 7,288,824 | 7,313,693 | ||||||
| Series 2004-6 Class A2, 4.18% 12/25/34 (d) | 8,069,368 | 8,094,037 | ||||||
| Series 2004-7 Class A3, 4.22% 1/25/35 (d) | 2,551,011 | 2,562,040 | ||||||
| Series 2005-1: | ||||||||
| Class M1, 4.26% 5/25/35 (d) | 9,705,000 | 9,708,301 | ||||||
| Class M2, 4.28% 5/25/35 (d) | 5,780,000 | 5,775,826 | ||||||
| Class M3, 4.33% 5/25/35 (d) | 5,825,000 | 5,820,912 | ||||||
| Series 2005-2: | ||||||||
| Class 2A2, 4.03% 7/25/35 (d) | 13,170,000 | 13,169,687 | ||||||
| Class M1, 4.28% 7/25/35 (d) | 10,085,000 | 10,084,736 | ||||||
| Series 2005-3 Class M1, 4.24% 8/25/35 (d) | 9,450,000 | 9,442,313 | ||||||
| Series 2005-5 Class 2A2, 4.08% 11/25/35 (d) | 15,000,000 | 15,024,030 | ||||||
| Household Affinity Credit Card Master Note Trust I | ||||||||
| Series 2003-3 Class B, 4.0581% 8/15/08 (d) | 10,000,000 | 10,012,255 | ||||||
| Household Credit Card Master Trust I Series 2002-1 Class B, | ||||||||
| 4.4181% 7/15/08 (d) | 22,589,000 | 22,592,725 | ||||||
| Household Home Equity Loan Trust: | ||||||||
| Series 2002-2 Class A, 4.0963% 4/20/32 (d) | 3,046,635 | 3,047,537 | ||||||
| Series 2002-3 Class A, 4.2463% 7/20/32 (d) | 2,468,824 | 2,470,761 | ||||||
| Series 2003-1 Class M, 4.4263% 10/20/32 (d) | 686,032 | 686,682 | ||||||
| Series 2003-2: | ||||||||
| Class A, 4.1263% 9/20/33 (d) | 2,534,598 | 2,539,076 | ||||||
| Class M, 4.3763% 9/20/33 (d) | 1,191,893 | 1,194,376 | ||||||
| Series 2004-1 Class M, 4.3163% 9/20/33 (d) | 2,389,256 | 2,393,972 | ||||||
| Household Mortgage Loan Trust: | ||||||||
| Series 2003-HC1 Class M, 4.4463% 2/20/33 (d) | 1,500,530 | 1,505,086 | ||||||
| Series 2004-HC1: | ||||||||
| Class A, 4.1463% 2/20/34 (d) | 4,182,768 | 4,193,747 | ||||||
| Class M, 4.2963% 2/20/34 (d) | 2,528,917 | 2,530,110 | ||||||
| Household Private Label Credit Card Master Note Trust I: | ||||||||
| Series 2002-1 Class B, 4.3181% 1/18/11 (d) | 8,850,000 | 8,865,532 | ||||||
Annual Report 110
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Household Private Label Credit Card Master Note Trust I: – | ||||||||
| continued | ||||||||
| Series 2002-2: | ||||||||
| Class A, 3.9381% 1/18/11 (d) | $ 9,000,000 | $ 9,010,691 | ||||||
| Class B, 4.3181% 1/18/11 (d) | 14,275,000 | 14,347,032 | ||||||
| Series 2002-3 Class B, 5.0181% 9/15/09 (d) | 4,150,000 | 4,153,962 | ||||||
| Ikon Receivables Funding LLC Series 2003-1 Class A3A, | ||||||||
| 4.0081% 12/17/07 (d) | 2,012,271 | 2,012,612 | ||||||
| IXIS Real Estate Capital Trust Series 2005-HE1: | ||||||||
| Class A1, 4.08% 6/25/35 (d) | 10,270,940 | 10,270,696 | ||||||
| Class M1, 4.3% 6/25/35 (d) | 4,100,000 | 4,098,296 | ||||||
| Class M2, 4.32% 6/25/35 (d) | 2,775,000 | 2,773,872 | ||||||
| Class M3, 4.35% 6/25/35 (d) | 1,975,000 | 1,977,174 | ||||||
| Keycorp Student Loan Trust Series 1999-A Class A2, 4.34% | ||||||||
| 12/27/09 (d) | 14,973,894 | 15,030,475 | ||||||
| Long Beach Mortgage Loan Trust: | ||||||||
| Series 2003-2: | ||||||||
| Class AV, 4.15% 6/25/33 (d) | 124,347 | 124,374 | ||||||
| Class M1, 4.65% 6/25/33 (d) | 19,500,000 | 19,585,995 | ||||||
| Series 2003-3 Class M1, 4.3913% 7/25/33 (d) | 7,770,000 | 7,819,867 | ||||||
| Series 2004-2: | ||||||||
| Class M1, 4.36% 6/25/34 (d) | 4,275,000 | 4,284,930 | ||||||
| Class M2, 4.91% 6/25/34 (d) | 1,400,000 | 1,415,675 | ||||||
| Series 2005-2 Class 2A2, 4.01% 4/25/35 (d) | 12,000,000 | 12,003,775 | ||||||
| MASTR Asset Backed Securities Trust: | ||||||||
| Series 2003-NC1: | ||||||||
| Class M1, 4.56% 4/25/33 (d) | 3,500,000 | 3,520,473 | ||||||
| Class M2, 5.68% 4/25/33 (d) | 1,500,000 | 1,531,476 | ||||||
| Series 2004-FRE1 Class M1, 4.38% 7/25/34 (d) | 5,223,000 | 5,243,096 | ||||||
| MBNA Asset Backed Note Trust Series 2000-K Class C, | ||||||||
| 4.5681% 3/17/08 (a)(d) | 7,250,000 | 7,251,305 | ||||||
| MBNA Credit Card Master Note Trust: | ||||||||
| Series 2001-B1 Class B1, 4.1431% 10/15/08 (d) | 30,000,000 | 30,032,436 | ||||||
| Series 2001-B2 Class B2, 4.1281% 1/15/09 (d) | 30,353,000 | 30,408,661 | ||||||
| Series 2002-B2 Class B2, 4.1481% 10/15/09 (d) | 20,000,000 | 20,080,518 | ||||||
| Series 2002-B4 Class B4, 4.2681% 3/15/10 (d) | 14,800,000 | 14,906,795 | ||||||
| Series 2003-B2 Class B2, 4.1581% 10/15/10 (d) | 1,530,000 | 1,544,849 | ||||||
| Series 2003-B3 Class B3, 4.1431% 1/18/11 (d) | 1,130,000 | 1,136,193 | ||||||
| Series 2003-B5 Class B5, 4.1381% 2/15/11 (d) | 705,000 | 710,072 | ||||||
| MBNA Master Credit Card Trust II: | ||||||||
| Series 1998-E Class B, 3.9288% 9/15/10 (d) | 7,800,000 | 7,843,689 | ||||||
| Series 1998-G Class B, 4.1681% 2/17/09 (d) | 20,000,000 | 20,034,530 |
111 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Meritage Mortgage Loan Trust Series 2004-1: | ||||||||
| Class M1, 4.33% 7/25/34 (d) | $ 2,125,000 | $ 2,124,946 | ||||||
| Class M2, 4.38% 7/25/34 (d) | 375,000 | 374,991 | ||||||
| Class M3, 4.78% 7/25/34 (d) | 775,000 | 774,980 | ||||||
| Class M4, 4.93% 7/25/34 (d) | 525,000 | 524,987 | ||||||
| Merrill Lynch Mortgage Investors, Inc. Series 2003-HE1 Class | ||||||||
| M1, 4.53% 7/25/34 (d) | 2,321,000 | 2,334,630 | ||||||
| Morgan Stanley ABS Capital I, Inc.: | ||||||||
| Series 2002-NC6 Class M2, 5.93% 11/25/32 (d) | 2,370,000 | 2,430,872 | ||||||
| Series 2003-NC5 Class M2, 5.83% 4/25/33 (d) | 2,800,000 | 2,827,761 | ||||||
| Series 2003-NC6 Class M2, 5.5913% 6/27/33 (d) | 12,835,000 | 13,193,861 | ||||||
| Series 2003-NC7 Class M1, 4.53% 6/25/33 (d) | 1,785,000 | 1,790,756 | ||||||
| Series 2003-NC8 Class M1, 4.53% 9/25/33 (d) | 2,350,000 | 2,380,069 | ||||||
| Series 2004-HE6 Class A2, 4.17% 8/25/34 (d) | 6,065,683 | 6,084,818 | ||||||
| Series 2004-NC2 Class M1, 4.38% 12/25/33 (d) | 2,595,000 | 2,604,510 | ||||||
| Series 2004-NC6 Class A2, 4.17% 7/25/34 (d) | 2,716,074 | 2,721,759 | ||||||
| Series 2005-1: | ||||||||
| Class M2, 4.3% 12/25/34 (d) | 4,425,000 | 4,429,882 | ||||||
| Class M3, 4.35% 12/25/34 (d) | 4,000,000 | 4,007,356 | ||||||
| Series 2005-HE1: | ||||||||
| Class A3B, 4.05% 12/25/34 (d) | 3,885,000 | 3,889,760 | ||||||
| Class M1, 4.28% 12/25/34 (d) | 1,100,000 | 1,103,379 | ||||||
| Class M2, 4.3% 12/25/34 (d) | 2,970,000 | 2,974,441 | ||||||
| Series 2005-HE2: | ||||||||
| Class M1, 4.23% 1/25/35 (d) | 2,665,000 | 2,673,338 | ||||||
| Class M2, 4.27% 1/25/35 (d) | 1,900,000 | 1,899,216 | ||||||
| Series 2005-NC1: | ||||||||
| Class M1, 4.27% 1/25/35 (d) | 2,425,000 | 2,434,295 | ||||||
| Class M2, 4.3% 1/25/35 (d) | 2,425,000 | 2,427,680 | ||||||
| Class M3, 4.34% 1/25/35 (d) | 2,425,000 | 2,431,267 | ||||||
| Morgan Stanley Dean Witter Capital I Trust: | ||||||||
| Series 2001-AM1: | ||||||||
| Class M1, 4.68% 2/25/32 (d) | 1,510,288 | 1,511,306 | ||||||
| Class M2, 5.23% 2/25/32 (d) | 5,305,979 | 5,312,043 | ||||||
| Series 2001-NC4 Class M1, 4.83% 1/25/32 (d) | 3,827,881 | 3,838,780 | ||||||
| Series 2002-AM3 Class A3, 4.32% 2/25/33 (d) | 992,554 | 995,836 | ||||||
| Series 2002-HE1 Class M1, 4.43% 7/25/32 (d) | 5,860,000 | 5,893,166 | ||||||
| Series 2002-HE2 Class M1, 4.53% 8/25/32 (d) | 9,925,000 | 9,964,301 | ||||||
| Series 2002-NC3 Class A3, 4.17% 8/25/32 (d) | 147,864 | 148,113 | ||||||
| Series 2002-OP1 Class M1, 4.58% 9/25/32 (d) | 3,894,745 | 3,907,257 | ||||||
| Series 2003-NC1: | ||||||||
| Class M1, 4.88% 11/25/32 (d) | 2,391,382 | 2,406,740 | ||||||
| Class M2, 5.88% 11/25/32 (d) | 1,880,000 | 1,897,592 | ||||||
Annual Report 112
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| New Century Home Equity Loan Trust: | ||||||||
| Series 2003-2 Class M2, 5.83% 1/25/33 (d) | $ 4,600,000 | $ 4,665,213 | ||||||
| Series 2003-6 Class M1, 4.55% 1/25/34 (d) | 5,180,000 | 5,212,663 | ||||||
| Series 2005-1: | ||||||||
| Class M1, 4.28% 3/25/35 (d) | 4,395,000 | 4,396,544 | ||||||
| Class M2, 4.31% 3/25/35 (d) | 4,395,000 | 4,396,491 | ||||||
| Class M3, 4.35% 3/25/35 (d) | 2,120,000 | 2,126,029 | ||||||
| Nissan Auto Lease Trust: | ||||||||
| Series 2003-A Class A3A, 3.9081% 6/15/09 (d) | 11,639,609 | 11,648,579 | ||||||
| Series 2004-A Class A4A, 3.8381% 6/15/10 (d) | 10,570,000 | 10,581,156 | ||||||
| NovaStar Home Equity Loan Series 2004-1: | ||||||||
| Class M1, 4.28% 6/25/34 (d) | 1,450,000 | 1,451,161 | ||||||
| Class M4, 4.805% 6/25/34 (d) | 2,435,000 | 2,444,337 | ||||||
| Ocala Funding LLC Series 2005-1A Class A, 5.2963% | ||||||||
| 3/20/10 (a)(d) | 3,675,000 | 3,675,000 | ||||||
| Ownit Mortgage Loan Asset-Backed Certificates Series | ||||||||
| 2005 3 Class A2A, 3.95% 6/25/36 (d) | 14,975,059 | 14,974,727 | ||||||
| Park Place Securities, Inc.: | ||||||||
| Series 2004-WCW1: | ||||||||
| Class M1, 4.46% 9/25/34 (d) | 3,745,000 | 3,767,310 | ||||||
| Class M2, 4.51% 9/25/34 (d) | 1,755,000 | 1,767,858 | ||||||
| Class M3, 5.08% 9/25/34 (d) | 3,355,000 | 3,402,867 | ||||||
| Class M4, 5.28% 9/25/34 (d) | 4,700,000 | 4,776,320 | ||||||
| Series 2004-WCW2 Class A2, 4.21% 10/25/34 (d) | 6,455,574 | 6,471,464 | ||||||
| Series 2005-WCH1: | ||||||||
| Class A3B, 4.05% 1/25/35 (d) | 2,775,000 | 2,780,119 | ||||||
| Class M2, 4.35% 1/25/35 (d) | 4,175,000 | 4,178,114 | ||||||
| Class M3, 4.39% 1/25/35 (d) | 3,290,000 | 3,299,846 | ||||||
| Class M5, 4.71% 1/25/35 (d) | 3,095,000 | 3,111,984 | ||||||
| Series 2005-WHQ2 Class M7, 5.08% 5/25/35 (d) | 5,950,000 | 5,961,145 | ||||||
| People’s Choice Home Loan Securities Trust Series 2005 2: | ||||||||
| Class A1, 3.94% 9/25/24 (d) | 5,833,593 | 5,834,512 | ||||||
| Class M4, 4.46% 5/25/35 (d) | 6,000,000 | 6,025,129 | ||||||
| Providian Gateway Master Trust Series 2002-B Class A, | ||||||||
| 4.4681% 6/15/09 (a)(d) | 15,000,000 | 15,021,564 | ||||||
| Residental Asset Securities Corp.: | ||||||||
| Series 2005-KS4 Class M2, 4.41% 5/25/35 (d) | 1,040,000 | 1,044,543 | ||||||
| Series 2005-KS7 Class A1, 3.93% 8/25/35 (d) | 10,017,807 | 10,017,586 | ||||||
| Residential Asset Mortgage Products, Inc. Series 2004-RS10 | ||||||||
| Class MII2, 5.08% 10/25/34 (d) | 5,500,000 | 5,587,075 | ||||||
| Salomon Brothers Mortgage Securities VII, Inc. Series | ||||||||
| 2003-HE1 Class A, 4.23% 4/25/33 (d) | 632,314 | 635,086 |
113 Annual Report
| Investments (Unaudited) continued | ||||||
| Asset Backed Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Saxon Asset Securities Trust: | ||||||
| Series 2004-1 Class M1, 4.36% 3/25/35 (d) | $ 4,415,000 | $ 4,418,970 | ||||
| Series 2004-2 Class MV1, 4.41% 8/25/35 (d) | 4,495,000 | 4,507,503 | ||||
| Sears Credit Account Master Trust II: | ||||||
| Series 2001-1 Class B, 4.1931% 2/15/10 (d) | 10,000,000 | 9,990,039 | ||||
| Series 2002-5 Class B, 5.0181% 11/17/09 (d) | 30,000,000 | 30,025,965 | ||||
| Securitized Asset Backed Receivables LLC Trust | ||||||
| Series 2004-NC1 Class M1, 4.35% 2/25/34 (d) | 2,910,000 | 2,912,781 | ||||
| Specialty Underwriting & Residential Finance | ||||||
| Series 2003-BC4 Class M1, 4.43% 11/25/34 (d) | 1,810,000 | 1,819,343 | ||||
| Structured Asset Securities Corp. Series 2004-GEL1 Class A, | ||||||
| 4.19% 2/25/34 (d) | 901,062 | 901,041 | ||||
| Superior Wholesale Inventory Financing Trust VII Series | ||||||
| 2003-A8 Class CTFS, 4.2181% 3/15/11 (a)(d) | 10,835,000 | 10,826,536 | ||||
| Superior Wholesale Inventory Financing Trust XII Series | ||||||
| 2005-A12 Class C, 4.9681% 6/15/10 (d) | 6,840,000 | 6,849,450 | ||||
| Terwin Mortgage Trust: | ||||||
| Series 2003-4HE Class A1, 4.26% 9/25/34 (d) | 2,051,939 | 2,062,554 | ||||
| Series 2003-6HE Class A1, 4.3% 11/25/33 (d) | 1,467,936 | 1,471,055 | ||||
| Series 2005-14HE Class AF1, 3.9753% 8/25/36 (d) | 8,635,000 | 8,634,326 | ||||
| Series 2005-8HE Class A1, 3.95% 7/25/35 (a)(d) | 6,932,173 | 6,938,671 | ||||
| TOTAL ASSET BACKED SECURITIES | ||||||
| (Cost $2,188,022,238) | 2,194,887,925 | |||||
| Collateralized Mortgage Obligations 20.2% | ||||||
| Private Sponsor – 13.8% | ||||||
| Adjustable Rate Mortgage Trust floater: | ||||||
| Series 2004-2 Class 7A3, 4.23% 2/25/35 (d) | 8,271,247 | 8,288,629 | ||||
| Series 2004-4 Class 5A2, 4.23% 3/25/35 (d) | 3,344,187 | 3,351,688 | ||||
| Series 2005-1 Class 5A2, 4.16% 5/25/35 (d) | 5,517,368 | 5,520,788 | ||||
| Series 2005-10 Class 5A1, 4.101% 1/25/36 (d) | 15,000,000 | 15,000,000 | ||||
| Series 2005-2: | ||||||
| Class 6A2, 4.11% 6/25/35 (d) | 2,499,864 | 2,501,436 | ||||
| Class 6M2, 4.31% 6/25/35 (d) | 10,145,000 | 10,144,980 | ||||
| Series 2005-3 Class 8A2, 4.07% 7/25/35 (d) | 16,519,250 | 16,529,773 | ||||
| Series 2005-4 Class 7A2, 4.06% 8/25/35 (d) | 8,125,015 | 8,130,280 | ||||
| Series 2005-8 Class 7A2, 4.11% 11/25/35 (d) | 7,166,967 | 7,168,085 | ||||
| American Home Mortgage Investment Trust Series 2005-4 | ||||||
| Class 1A1, 4.18% 11/25/45 (d) | 11,080,000 | 11,080,000 | ||||
| Bear Stearns Adjustable Rate Mortgage Trust Series 2005-6 | ||||||
| Class 1A1, 5.17% 8/25/35 (d) | 17,862,312 | 17,866,889 | ||||
Annual Report 114
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Bear Stearns Alt-A Trust floater: | ||||||
| Series 2005-1 Class A1, 4.11% 1/25/35 (d) | $ 18,993,594 | $ 19,005,465 | ||||
| Series 2005-2 Class 1A1, 4.08% 3/25/35 (d) | 13,521,981 | 13,515,643 | ||||
| Series 2005-5 Class 1A1, 4.05% 7/25/35 (d) | 17,169,385 | 17,155,972 | ||||
| Countrywide Alternative Loan Trust planned amortization | ||||||
| class Series 2003-5T2 Class A2, 4.23% 5/25/33 (d) | 5,006,668 | 5,009,604 | ||||
| CS First Boston Mortgage Securities Corp. floater: | ||||||
| Series 2004-AR2 Class 6A1, 4.23% 3/25/34 (d) | 4,681,479 | 4,678,694 | ||||
| Series 2004-AR3 Class 6A2, 4.2% 4/25/34 (d) | 1,948,417 | 1,950,279 | ||||
| Series 2004-AR4 Class 5A2, 4.2% 5/25/34 (d) | 1,821,930 | 1,820,850 | ||||
| Series 2004-AR5 Class 11A2, 4.2% 6/25/34 (d) | 2,698,314 | 2,692,965 | ||||
| Series 2004-AR6 Class 9A2, 4.2% 10/25/34 (d) | 3,422,844 | 3,424,695 | ||||
| Series 2004-AR7 Class 6A2, 4.21% 8/25/34 (d) | 4,894,739 | 4,898,151 | ||||
| Series 2004-AR8 Class 8A2, 4.21% 9/25/34 (d) | 3,798,541 | 3,805,156 | ||||
| CWALT, Inc. floater Series 2005-56 Class 3A1, 4.2494% | ||||||
| 10/25/35 (d) | 8,490,000 | 8,490,000 | ||||
| First Horizon Mortgage pass thru Trust floater Series | ||||||
| 2004-FL1 Class 2A1, 4.39% 12/25/34 (d) | 3,472,618 | 3,467,751 | ||||
| Granite Master Issuer PLC: | ||||||
| floater: | ||||||
| Series 2005-1: | ||||||
| Class A3, 3.97% 12/21/24 (d) | 5,300,000 | 5,299,172 | ||||
| Class B1, 4.02% 12/20/54 (d) | 7,050,000 | 7,047,797 | ||||
| Class M1, 4.12% 12/20/54 (d) | 5,300,000 | 5,298,344 | ||||
| Series 2005-2 Class C1, 4.39% 12/20/54 (d) | 7,975,000 | 7,972,508 | ||||
| Series 2005-4 Class M2, 4.305% 12/20/54 (d) | 6,500,000 | 6,498,731 | ||||
| Series 2005-4 Class C1, 4.455% 12/20/54 (d) | 6,800,000 | 6,798,672 | ||||
| Granite Mortgages PLC floater: | ||||||
| Series 2004-1: | ||||||
| Class 1B, 4.1% 3/20/44 (d) | 1,415,000 | 1,415,442 | ||||
| Class 1C, 4.79% 3/20/44 (d) | 4,075,000 | 4,089,008 | ||||
| Class 1M, 4.3% 3/20/44 (d) | 4,935,000 | 4,939,627 | ||||
| Series 2004-2: | ||||||
| Class 1A2, 3.96% 6/20/28 (d) | 4,162,145 | 4,162,145 | ||||
| Class 1B, 4.06% 6/20/44 (d) | 786,966 | 787,059 | ||||
| Class 1C, 4.59% 6/20/44 (d) | 2,865,029 | 2,869,506 | ||||
| Class 1M, 4.17% 6/20/44 (d) | 2,104,798 | 2,104,240 | ||||
| Series 2004-3: | ||||||
| Class 1B, 4.05% 9/20/44 (d) | 2,100,000 | 2,100,042 | ||||
| Class 1C, 4.48% 9/20/44 (d) | 5,415,000 | 5,424,314 | ||||
| Class 1M, 4.16% 9/20/44 (d) | 1,200,000 | 1,200,228 | ||||
115 Annual Report
| Investments (Unaudited) continued | ||||||
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Harborview Mortgage Loan Trust floater Series 2005-2 | ||||||
| Class 2A1A, 4.0094% 5/19/35 (d) | $ 11,231,269 | $ 11,199,681 | ||||
| Holmes Financing No. 7 PLC floater Series 2 Class M, | ||||||
| 4.3988% 7/15/40 (d) | 2,560,000 | 2,563,183 | ||||
| Holmes Financing No. 8 PLC floater Series 2: | ||||||
| Class A, 3.6788% 4/15/11 (d) | 25,000,000 | 25,002,930 | ||||
| Class B, 3.7688% 7/15/40 (d) | 2,695,000 | 2,696,264 | ||||
| Class C, 4.3188% 7/15/40 (d) | 10,280,000 | 10,318,550 | ||||
| Home Equity Asset Trust floater Series 2005-3 Class 2A1, | ||||||
| 3.92% 8/25/35 (d) | 5,995,565 | 5,996,642 | ||||
| Homestar Mortgage Acceptance Corp. floater Series 2004-5 | ||||||
| Class A1, 4.28% 10/25/34 (d) | 4,056,783 | 4,068,310 | ||||
| Impac CMB Trust: | ||||||
| floater: | ||||||
| Series 2004-11 Class 2A2, 4.2% 3/25/35 (d) | 7,904,651 | 7,903,107 | ||||
| Series 2004-6 Class 1A2, 4.22% 10/25/34 (d) | 3,065,340 | 3,070,216 | ||||
| Series 2005-1: | ||||||
| Class M1, 4.29% 4/25/35 (d) | 3,028,498 | 3,026,014 | ||||
| Class M2, 4.33% 4/25/35 (d) | 5,302,005 | 5,298,691 | ||||
| Class M3, 4.36% 4/25/35 (d) | 1,300,974 | 1,299,907 | ||||
| Class M4, 4.58% 4/25/35 (d) | 767,788 | 768,718 | ||||
| Class M5, 4.6% 4/25/35 (d) | 767,788 | 767,788 | ||||
| Class M6, 4.65% 4/25/35 (d) | 1,228,460 | 1,228,460 | ||||
| Series 2005-2 Class 1A2, 4.14% 4/25/35 (d) | 12,453,621 | 12,443,892 | ||||
| Series 2005-3 Class A1, 4.07% 8/25/35 (d) | 14,447,985 | 14,423,717 | ||||
| Series 2005-4 Class 1B1, 5.13% 5/25/35 (d) | 4,978,738 | 4,972,515 | ||||
| Series 2005-6 Class 1M3, 4.44% 10/25/35 (d) | 3,323,541 | 3,323,557 | ||||
| Series 2005-7: | ||||||
| Class M1, 4.208% 11/25/35 (d) | 1,765,000 | 1,765,000 | ||||
| Class M2, 4.248% 11/25/35 (d) | 1,325,000 | 1,325,000 | ||||
| Class M3, 4.348% 11/25/35 (d) | 6,615,000 | 6,615,000 | ||||
| Lehman Structured Securities Corp. floater Series 2005-1 | ||||||
| Class A2, 4.22% 9/26/45 (a)(d) | 15,180,141 | 15,180,141 | ||||
| MASTR Adjustable Rate Mortgages Trust: | ||||||
| floater Series 2005-1 Class 1A1, 4.1% 3/25/35 (d) | 11,034,855 | 11,047,023 | ||||
| Series 2004-6 Class 4A2, 4.1657% 7/25/34 (d) | 5,969,000 | 5,946,443 | ||||
| Merrill Lynch Mortgage Investors, Inc. floater: | ||||||
| Series 2003-A Class 2A1, 4.22% 3/25/28 (d) | 7,093,116 | 7,130,471 | ||||
| Series 2003-B Class A1, 4.17% 4/25/28 (d) | 7,213,924 | 7,254,849 | ||||
| Series 2003-D Class A, 4.14% 8/25/28 (d) | 6,608,802 | 6,619,465 | ||||
| Series 2003-E Class A2, 4.3831% 10/25/28 (d) | 9,116,686 | 9,126,651 | ||||
| Series 2003-F Class A2, 4.43% 10/25/28 (d) | 11,828,156 | 11,835,544 | ||||
Annual Report 116
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Merrill Lynch Mortgage Investors, Inc. floater: - continued | ||||||
| Series 2004-A Class A2, 4.34% 4/25/29 (d) | $10,025,427 | $ 10,017,623 | ||||
| Series 2004-B Class A2, 3.79% 6/25/29 (d) | 7,905,839 | 7,888,355 | ||||
| Series 2004-C Class A2, 3.95% 7/25/29 (d) | 11,598,172 | 11,567,548 | ||||
| Series 2004-D Class A2, 4.4131% 9/25/29 (d) | 8,519,942 | 8,524,812 | ||||
| Series 2004-E: | ||||||
| Class A2B, 4.45% 11/25/29 (d) | 7,561,387 | 7,550,087 | ||||
| Class A2D, 4.64% 11/25/29 (d) | 1,758,462 | 1,766,187 | ||||
| Series 2004-G Class A2, 3.95% 11/25/29 (d) | 3,530,484 | 3,529,545 | ||||
| Series 2005-A Class A2, 4.3031% 2/25/30 (d) | 9,875,800�� | 9,882,274 | ||||
| Mortgage Asset Backed Securities Trust floater Series | ||||||
| 2002-NC1 Class M1, 4.68% 10/25/32 (d) | 3,128,220 | 3,140,706 | ||||
| MortgageIT Trust floater: | ||||||
| Series 2004-2: | ||||||
| Class A1, 4.2% 12/25/34 (d) | 4,638,420 | 4,648,806 | ||||
| Class A2, 4.28% 12/25/34 (d) | 6,275,019 | 6,320,305 | ||||
| Series 2005-2 Class 1A1, 4.1% 5/25/35 (d) | 4,811,489 | 4,814,744 | ||||
| Opteum Mortgage Acceptance Corp. floater Series 2005-3 | ||||||
| Class APT, 4.12% 7/25/35 (d) | 18,530,057 | 18,540,914 | ||||
| Permanent Financing No. 3 PLC floater Series 2 Class C, | ||||||
| 4.8838% 6/10/42 (d) | 4,845,000 | 4,893,450 | ||||
| Permanent Financing No. 4 PLC floater Series 2 Class C, | ||||||
| 4.5538% 6/10/42 (d) | 15,400,000 | 15,474,437 | ||||
| Permanent Financing No. 5 PLC floater: | ||||||
| Series 2 Class C, 4.4838% 6/10/42 (d) | 4,215,000 | 4,240,489 | ||||
| Series 3 Class C, 4.6538% 6/10/42 (d) | 8,890,000 | 8,998,425 | ||||
| Permanent Financing No. 6 PLC floater Series 6 Class 2C, | ||||||
| 4.2888% 6/10/42 (d) | 5,350,000 | 5,344,539 | ||||
| Permanent Financing No. 7 PLC floater Series 7: | ||||||
| Class 1B, 3.9238% 6/10/42 (d) | 2,000,000 | 1,999,747 | ||||
| Class 1C, 4.1138% 6/10/42 (d) | 3,840,000 | 3,849,303 | ||||
| Class 2C, 4.1638% 6/10/42 (d) | 8,065,000 | 8,047,042 | ||||
| Permanent Financing No. 8 PLC floater Series 8: | ||||||
| Class 1C, 4.1638% 6/10/42 (d) | 7,165,000 | 7,161,740 | ||||
| Class 2C, 4.2338% 6/10/42 (d) | 9,945,000 | 9,940,465 | ||||
| Residential Asset Mortgage Products, Inc.: | ||||||
| sequential pay Series 2003-SL1 Class 3A1, 7.125% | ||||||
| 4/25/31 | 4,284,316 | 4,353,251 | ||||
| Series 2005-AR5 Class 1A1, 4.903% 9/19/35 (d) | 5,016,521 | 5,020,936 | ||||
117 Annual Report
| Investments (Unaudited) continued | ||||||
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Residential Finance LP/Residential Finance Development | ||||||
| Corp. floater Series 2003-A: | ||||||
| Class B4, 5.5281% 3/10/35 (a)(d) | $ 5,475,801 | $ 5,557,938 | ||||
| Class B5, 6.0781% 3/10/35 (a)(d) | 5,666,940 | 5,791,014 | ||||
| Residential Funding Securities Corp.: | ||||||
| Series 2003-RP1 Class A1, 4.33% 11/25/34 (d) | 2,387,142 | 2,396,787 | ||||
| Series 2003-RP2 Class A1, 4.28% 6/25/33 (a)(d) | 3,567,765 | 3,579,472 | ||||
| Sequoia Mortgage Trust floater: | ||||||
| Series 2003-5 Class A2, 4.37% 9/20/33 (d) | 9,869,908 | 9,866,749 | ||||
| Series 2003-7 Class A2, 3.835% 1/20/34 (d) | 8,292,646 | 8,287,744 | ||||
| Series 2004-1 Class A, 4.15% 2/20/34 (d) | 5,352,427 | 5,344,162 | ||||
| Series 2004-10 Class A4, 3.6681% 11/20/34 (d) | 9,021,376 | 9,016,217 | ||||
| Series 2004-3 Class A, 3.5463% 5/20/34 (d) | 9,243,861 | 9,221,165 | ||||
| Series 2004-4 Class A, 3.5881% 5/20/34 (d) | 11,574,850 | 11,560,488 | ||||
| Series 2004-5 Class A3, 3.77% 6/20/34 (d) | 7,745,333 | 7,741,702 | ||||
| Series 2004-6: | ||||||
| Class A3A, 4.3175% 6/20/35 (d) | 6,761,373 | 6,757,088 | ||||
| Class A3B, 4.08% 7/20/34 (d) | 845,172 | 844,660 | ||||
| Series 2004-7: | ||||||
| Class A3A, 4.365% 8/20/34 (d) | 6,627,084 | 6,622,167 | ||||
| Class A3B, 4.59% 7/20/34 (d) | 1,192,509 | 1,195,319 | ||||
| Series 2004-8 Class A2, 4.41% 9/20/34 (d) | 11,824,016 | 11,827,689 | ||||
| Series 2005-1 Class A2, 4.1% 2/20/35 (d) | 6,778,467 | 6,773,241 | ||||
| Series 2005-2 Class A2, 4.29% 3/20/35 (d) | 11,841,861 | 11,841,861 | ||||
| Series 2005-3 Class A1, 3.9963% 5/20/35 (d) | 8,335,848 | 8,318,878 | ||||
| Structured Adjustable Rate Mortgage Loan Trust floater | ||||||
| Series 2001-14 Class A1, 4.14% 7/25/35 (d) | 10,719,814 | 10,719,814 | ||||
| Structured Asset Securities Corp. floater Series 2004-NP1 | ||||||
| Class A, 4.23% 9/25/33 (a)(d) | 2,217,986 | 2,219,280 | ||||
| Thornburg Mortgage Securities Trust floater: | ||||||
| Series 2004-3 Class A, 4.2% 9/25/34 (d) | 20,272,244 | 20,312,652 | ||||
| Series 2005-3 Class A4, 4.108% 8/25/45 (d) | 17,180,000 | 17,180,000 | ||||
| WAMU Mortgage pass thru certificates: | ||||||
| floater: | ||||||
| Series 2005-AR11 Class A1C1, 4.03% 8/25/45 (d) | 14,112,684 | 14,112,684 | ||||
| Series 2005 AR6 Class 2A 1A, 4.06% 4/25/45 (d) | 5,975,614 | 5,955,102 | ||||
| Series 2005-AR13 Class A1C1, 4.2275% 10/25/45 (d) | 23,000,000 | 23,000,000 | ||||
| Annual Report |
| 118 |
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Wells Fargo Mortgage Backed Securities Trust: | ||||||
| Series 2004-M Class A3, 4.6963% 8/25/34 (d) | $ 19,880,000 | $ 19,778,179 | ||||
| Series 2005-AR12 Class 2A1, 4.3223% 7/25/35 (d) | 29,218,529 | 28,883,740 | ||||
| TOTAL PRIVATE SPONSOR | 919,943,859 | |||||
| U.S. Government Agency 6.4% | ||||||
| Fannie Mae: | ||||||
| floater: | ||||||
| Series 2000-38 Class F, 4.2394% 11/18/30 (d) | 1,056,182 | 1,064,379 | ||||
| Series 2000-40 Class FA, 4.32% 7/25/30 (d) | 2,281,210 | 2,291,156 | ||||
| Series 2002-89 Class F, 4.13% 1/25/33 (d) | 3,350,148 | 3,355,218 | ||||
| target amortization class Series G94-2 Class D, 6.45% | ||||||
| 1/25/24 | 4,411,824 | 4,499,998 | ||||
| Fannie Mae guaranteed REMIC pass thru certificates: | ||||||
| floater: | ||||||
| Series 2001-34 Class FR, 4.1894% 8/18/31 (d) | 2,367,009 | 2,374,326 | ||||
| Series 2001-44 Class FB, 4.13% 9/25/31 (d) | 2,114,017 | 2,120,062 | ||||
| Series 2001-46 Class F, 4.1894% 9/18/31 (d) | 6,088,369 | 6,121,939 | ||||
| Series 2002-11 Class QF, 4.32% 3/25/32 (d) | 4,222,858 | 4,259,537 | ||||
| Series 2002-36 Class FT, 4.33% 6/25/32 (d) | 1,422,268 | 1,434,270 | ||||
| Series 2002-64 Class FE, 4.1394% 10/18/32 (d) | 2,093,663 | 2,103,206 | ||||
| Series 2002-65 Class FA, 4.13% 10/25/17 (d) | 2,302,618 | 2,306,533 | ||||
| Series 2002-74 Class FV, 4.28% 11/25/32 (d) | 7,876,453 | 7,931,623 | ||||
| Series 2003-11: | ||||||
| Class DF, 4.28% 2/25/33 (d) | 2,877,518 | 2,897,926 | ||||
| Class EF, 4.28% 2/25/33 (d) | 2,080,685 | 2,088,534 | ||||
| Series 2003-119 Class FK, 4.33% 5/25/18 (d) | 2,500,000 | 2,523,405 | ||||
| Series 2003-15 Class WF, 4.18% 8/25/17 (d) | 5,404,393 | 5,425,600 | ||||
| Series 2003-63 Class F1, 4.13% 11/25/27 (d) | 5,763,648 | 5,767,740 | ||||
| Series 2005-45 Class XA, 4.17% 6/25/35 (d) | 74,298,346 | 74,267,779 | ||||
| planned amortization class: | ||||||
| Series 1998-63 Class PG, 6% 3/25/27 | 800,852 | 799,909 | ||||
| Series 2001-62 Class PG, 6.5% 10/25/30 | 2,944,838 | 2,948,170 | ||||
| Series 2001-76 Class UB, 5.5% 10/25/13 | 590,038 | 589,350 | ||||
| Series 2002-16 Class QD, 5.5% 6/25/14 | 272,009 | 272,519 | ||||
| Series 2002-28 Class PJ, 6.5% 3/25/31 | 3,732,778 | 3,734,286 | ||||
| Series 2002-8 Class PD, 6.5% 7/25/30 | 2,442,173 | 2,447,766 | ||||
| Series 2005-72 Class FG, 4.08% 5/25/35 (d) | 51,234,540 | 51,079,581 | ||||
119 Annual Report
| Investments (Unaudited) continued | ||||||
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| U.S. Government Agency continued | ||||||
| Freddie Mac: | ||||||
| floater: | ||||||
| Series 2510 Class FE, 4.1681% 10/15/32 (d) | $ 5,715,277 | $ 5,746,827 | ||||
| 0% 9/15/35 (d) | 854,545 | 828,909 | ||||
| planned amortization class: | ||||||
| Series 2091 Class PP, 6% 2/15/27 | 261,467 | 261,106 | ||||
| Series 2353 Class PC, 6.5% 9/15/15 | 967,841 | 969,335 | ||||
| Freddie Mac Manufactured Housing participation certificates | ||||||
| guaranteed floater Series 2338 Class FJ, 3.9681% | ||||||
| 7/15/31 (d) | 4,919,686 | 4,918,386 | ||||
| Freddie Mac Multi-class participation certificates guaranteed: | ||||||
| floater: | ||||||
| Series 2395 Class FA, 4.3681% 6/15/29 (d) | 1,092,096 | 1,099,242 | ||||
| Series 2406: | ||||||
| Class FP, 4.7481% 1/15/32 (d) | 10,270,000 | 10,491,773 | ||||
| Class PF, 4.7481% 12/15/31 (d) | 8,125,000 | 8,332,235 | ||||
| Series 2410 Class PF, 4.7481% 2/15/32 (d) | 18,644,444 | 19,060,741 | ||||
| Series 2474 Class FJ, 4.1181% 7/15/17 (d) | 4,331,267 | 4,353,673 | ||||
| Series 2526 Class FC, 4.1681% 11/15/32 (d) | 3,152,494 | 3,162,233 | ||||
| Series 2538 Class FB, 4.1681% 12/15/32 (d) | 6,277,777 | 6,315,699 | ||||
| Series 2551 Class FH, 4.2181% 1/15/33 (d) | 2,959,949 | 2,972,585 | ||||
| Series 2861 Class JF, 4.0681% 4/15/17 (d) | 6,852,338 | 6,850,151 | ||||
| Series 2994 Class FB, 3.9181% 6/15/20 (d) | 6,647,098 | 6,631,097 | ||||
| planned amortization class: | ||||||
| Series 2136 Class PE, 6% 1/15/28 | 10,378,825 | 10,418,016 | ||||
| Series 2394 Class ND, 6% 6/15/27 | 587,334 | 587,187 | ||||
| Series 2395 Class PE, 6% 2/15/30 | 4,447,447 | 4,468,111 | ||||
| Series 2398 Class DK, 6.5% 1/15/31 | 236,820 | 236,922 | ||||
| Series 2410 Class ML, 6.5% 12/15/30 | 1,069,946 | 1,072,088 | ||||
| Series 2420 Class BE, 6.5% 12/15/30 | 961,583 | 961,848 | ||||
| Series 2443 Class TD, 6.5% 10/15/30 | 1,793,679 | 1,798,791 | ||||
| Series 2461 Class PG, 6.5% 1/15/31 | 2,027,839 | 2,050,146 | ||||
| Series 2650 Class FV, 4.1681% 12/15/32 (d) | 14,042,153 | 14,060,363 | ||||
| Series 2776 Class UJ, 4.5% 5/15/20 (e) | 6,660,101 | 345,325 | ||||
| Series 2828 Class JA, 4.5% 1/15/10 | 10,955,858 | 10,959,149 | ||||
| Series 3013 Class AF, 4.0181% 5/15/35 (d) | 80,739,897 | 80,382,844 | ||||
| sequential pay Series 2430 Class ZE, 6.5% 8/15/27 | 328,637 | 328,381 | ||||
| Ginnie Mae guaranteed REMIC pass thru securities floater: | ||||||
| Series 2001-46 Class FB, 4.1219% 5/16/23 (d) | 2,819,644 | 2,831,835 | ||||
| Series 2001-50 Class FV, 3.9719% 9/16/27 (d) | 8,689,581 | 8,689,113 | ||||
| Annual Report |
| 120 |
| Collateralized Mortgage Obligations continued | ||||
| Principal | Value | |||
| Amount | ||||
| U.S. Government Agency continued | ||||
| Ginnie Mae guaranteed REMIC pass thru securities floater: – | ||||
| continued | ||||
| Series 2002-24 Class FX, 4.3219% 4/16/32 (d) | $ 2,453,441 | $ 2,475,244 | ||
| Series 2002-31 Class FW, 4.1719% 6/16/31 (d) | 3,364,460 | 3,383,514 | ||
| Series 2002-5 Class KF, 4.1719% 8/16/26 (d) | 474,812 | 475,074 | ||
| TOTAL U.S. GOVERNMENT AGENCY | 422,222,755 | |||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||
| (Cost $1,343,654,425) | 1,342,166,614 | |||
| Commercial Mortgage Securities 5.4% | ||||
| Banc of America Large Loan, Inc. floater: | ||||
| Series 2003-BBA2 Class A3, 4.0881% 11/15/15 (a)(d) | 5,038,226 | 5,042,678 | ||
| Series 2005-BBA6: | ||||
| Class B, 3.9781% 1/15/19 (a)(d) | 2,800,000 | 2,799,998 | ||
| Class C, 4.0181% 1/15/19 (a)(d) | 2,857,948 | 2,857,946 | ||
| Class D, 4.07% 1/15/19 (a)(d) | 2,800,000 | 2,799,998 | ||
| Class E, 4.1081% 1/15/19 (a)(d) | 1,750,000 | 1,749,998 | ||
| Class F, 4.1581% 1/15/19 (a)(d) | 1,170,000 | 1,169,999 | ||
| Class G, 4.1881% 1/15/19 (a)(d) | 915,000 | 915,000 | ||
| Series 2005-BOCA: | ||||
| Class H, 4.7181% 12/15/16 (a)(d) | 2,065,000 | 2,062,371 | ||
| Class J, 4.8681% 12/15/16 (a)(d) | 1,020,000 | 1,018,703 | ||
| Class K, 5.1181% 12/15/16 (a)(d) | 6,659,000 | 6,652,116 | ||
| Bank of America Large Loan, Inc.: | ||||
| floater Series 2005-ESHA: | ||||
| Class F, 4.63% 7/14/08 (a)(b)(d) | 6,395,000 | 6,395,000 | ||
| Class G, 4.76% 7/14/08 (a)(b)(d) | 4,355,000 | 4,355,000 | ||
| Class H, 4.98% 7/14/08 (a)(b)(d) | 5,365,000 | 5,365,000 | ||
| Series 2005 ESHA Class X1, 0.696% 7/14/08 (a)(b)(d)(e) | 334,645,000 | 5,112,372 | ||
| Bayview Commercial Asset Trust floater: | ||||
| Series 2003-1 Class A, 4.2213% 8/25/33 (a)(d) | 6,317,900 | 6,392,956 | ||
| Series 2003-2: | ||||
| Class A, 4.41% 12/25/33 (a)(d) | 13,127,372 | 13,287,836 | ||
| Class M1, 4.68% 12/25/33 (a)(d) | 2,136,269 | 2,171,502 | ||
| Series 2004-1: | ||||
| Class A, 4.19% 4/25/34 (a)(d) | 6,224,975 | 6,227,901 | ||
| Class B, 5.73% 4/25/34 (a)(d) | 646,751 | 654,153 | ||
| Class M1, 4.39% 4/25/34 (a)(d) | 565,907 | 568,383 | ||
| Class M2, 5.03% 4/25/34 (a)(d) | 485,063 | 490,747 | ||
121 Annual Report
| Investments (Unaudited) continued | ||||||||
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Bayview Commercial Asset Trust floater: – continued | ||||||||
| Series 2004-2: | ||||||||
| Class A, 4.26% 8/25/34 (a)(d) | $ 6,109,217 | $ 6,122,596 | ||||||
| Class M1, 4.41% 8/25/34 (a)(d) | 1,969,875 | 1,977,570 | ||||||
| Series 2004-3: | ||||||||
| Class A1, 4.2% 1/25/35 (a)(d) | 6,475,016 | 6,482,074 | ||||||
| Class A2, 4.25% 1/25/35 (a)(d) | 899,933 | 903,103 | ||||||
| Class M1, 4.33% 1/25/35 (a)(d) | 1,079,169 | 1,080,629 | ||||||
| Class M2, 4.83% 1/25/35 (a)(d) | 703,806 | 707,992 | ||||||
| Series 2005-2A: | ||||||||
| Class M1, 4.3% 8/25/35 (a)(d) | 1,288,534 | 1,288,534 | ||||||
| Class M2, 4.32% 8/25/35 (a)(d) | 2,121,126 | 2,121,126 | ||||||
| Class M3, 4.38% 8/25/35 (a)(d) | 1,174,549 | 1,174,549 | ||||||
| Class M4, 4.53% 8/25/35 (a)(d) | 1,080,387 | 1,080,387 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. floater: | ||||||||
| Series 2003 BA1A: | ||||||||
| Class JFCM, 5.17% 4/14/15 (a)(d) | 1,344,296 | 1,347,949 | ||||||
| Class KFCM, 5.6% 4/14/15 (a)(d) | 1,436,661 | 1,440,773 | ||||||
| Class LFCM, 6% 4/14/15 (a)(d) | 1,601,905 | 1,601,896 | ||||||
| Class MFCM, 6.3% 4/14/15 (a)(d) | 2,218,251 | 2,218,238 | ||||||
| Series 2004-BBA3 Class E, 4.4681% 6/15/17 (a)(d) | 10,415,000 | 10,416,411 | ||||||
| Chase Commercial Mortgage Securities Corp. floater | ||||||||
| Series 2000-FL1A: | ||||||||
| Class B, 4.1781% 12/12/13 (a)(d) | 896,672 | 878,739 | ||||||
| Class C, 4.5281% 12/12/13 (a)(d) | 1,793,345 | 1,793,345 | ||||||
| COMM floater: | ||||||||
| Series 2001-FL5A Class E, 5.2681% 11/15/13 (a)(d) | 3,021,068 | 3,020,103 | ||||||
| Series 2002-FL6: | ||||||||
| Class F, 5.2181% 6/14/14 (a)(d) | 11,163,000 | 11,182,139 | ||||||
| Class G, 5.6681% 6/14/14 (a)(d) | 5,000,000 | 4,999,659 | ||||||
| Series 2003-FL9 Class B, 4.2681% 11/15/15 (a)(d) | 8,579,991 | 8,604,476 | ||||||
| Commercial Mortgage pass thru certificates floater: | ||||||||
| Series 2004-CNL: | ||||||||
| Class A2, 4.0681% 9/15/14 (a)(d) | 3,570,000 | 3,573,125 | ||||||
| Class G, 4.7481% 9/15/14 (a)(d) | 1,345,000 | 1,345,534 | ||||||
| Class H, 4.8481% 9/15/14 (a)(d) | 1,430,000 | 1,430,567 | ||||||
| Class J, 5.3681% 9/15/14 (a)(d) | 490,000 | 491,353 | ||||||
| Class K, 5.7681% 9/15/14 (a)(d) | 770,000 | 771,393 | ||||||
| Class L, 5.9681% 9/15/14 (a)(d) | 625,000 | 624,774 | ||||||
| Series 2004-HTL1: | ||||||||
| Class B, 4.2181% 7/15/16 (a)(d) | 426,802 | 427,072 | ||||||
| Annual Report |
| 122 |
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Commercial Mortgage pass thru certificates floater: - | ||||||||
| continued | ||||||||
| Series 2004-HTL1: | ||||||||
| Class D, 4.3181% 7/15/16 (a)(d) | $ 969,949 | $ 970,109 | ||||||
| Class E, 4.5181% 7/15/16 (a)(d) | 694,177 | 694,425 | ||||||
| Class F, 4.5681% 7/15/16 (a)(d) | 734,671 | 735,088 | ||||||
| Class H, 5.0681% 7/15/16 (a)(d) | 2,129,763 | 2,130,459 | ||||||
| Class J, 5.2181% 7/15/16 (a)(d) | 818,412 | 818,679 | ||||||
| Class K, 6.1181% 7/15/16 (a)(d) | 921,324 | 921,038 | ||||||
| Commercial Mortgage pass thru Certificates floater Series | ||||||||
| 2005-F10A: | ||||||||
| Class B, 3.9981% 4/15/17 (a)(d) | 7,080,000 | 7,074,591 | ||||||
| Class C, 4.0381% 4/15/17 (a)(d) | 3,006,000 | 3,000,368 | ||||||
| Class D, 4.0781% 4/15/17 (a)(d) | 2,440,000 | 2,437,663 | ||||||
| Class E, 4.1381% 4/15/17 (a)(d) | 1,821,000 | 1,819,257 | ||||||
| Class F, 4.1781% 4/15/17 (a)(d) | 1,035,000 | 1,034,719 | ||||||
| Class G, 4.3181% 4/15/17 (a)(d) | 1,035,000 | 1,034,956 | ||||||
| Class H, 4.3881% 4/15/17 (a)(d) | 1,035,000 | 1,034,365 | ||||||
| Class I, 4.6181% 4/15/17 (a)(d) | 335,000 | 334,605 | ||||||
| Class MOA3, 4.0681% 3/15/20 (a)(d) | 4,590,000 | 4,589,812 | ||||||
| CS First Boston Mortgage Securities Corp.: | ||||||||
| floater: | ||||||||
| Series 2003-TF2A Class A2, 4.0881% 11/15/14 (a)(d) . | 3,837,106 | 3,838,834 | ||||||
| Series 2004-FL1 Class B, 4.2181% 5/15/14 (a)(d) | 11,230,000 | 11,246,403 | ||||||
| Series 2004-HC1: | ||||||||
| Class A2, 4.2681% 12/15/21 (a)(d) | 1,475,000 | 1,474,997 | ||||||
| Class B, 4.5181% 12/15/21 (a)(d) | 3,835,000 | 3,834,992 | ||||||
| Series 2004-TF2A Class E, 4.1881% 11/15/19 (a)(d) | 4,450,000 | 4,456,359 | ||||||
| Series 2004-TFL1: | ||||||||
| Class A2, 3.9581% 2/15/14 (a)(d) | 7,005,000 | 7,005,853 | ||||||
| Class E, 4.3181% 2/15/14 (a)(d) | 2,800,000 | 2,802,824 | ||||||
| Class F, 4.3681% 2/15/14 (a)(d) | 2,325,000 | 2,327,963 | ||||||
| Class G, 4.6181% 2/15/14 (a)(d) | 1,875,000 | 1,879,139 | ||||||
| Class H, 4.8681% 2/15/14 (a)(d) | 1,400,000 | 1,403,371 | ||||||
| Class J, 5.1681% 2/15/14 (a)(d) | 750,000 | 753,317 | ||||||
| Series 2005-TF2A Class F, 4.2681% 11/15/19 (a)(d) | 1,540,000 | 1,542,198 | ||||||
| Series 2005-TFLA: | ||||||||
| Class C, 4.0081% 2/15/20 (a)(d) | 5,650,000 | 5,649,989 | ||||||
| Class E, 4.0981% 2/15/20 (a)(d) | 3,955,000 | 3,954,988 | ||||||
| Class F, 4.1481% 2/15/20 (a)(d) | 1,745,000 | 1,744,997 | ||||||
| Class G, 4.2881% 2/15/20 (a)(d) | 505,000 | 504,998 |
123 Annual Report
| Investments (Unaudited) continued | ||||||||
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| CS First Boston Mortgage Securities Corp.: – continued | ||||||||
| Series 2005-TFLA: | ||||||||
| Class H, 4.5181% 2/15/20 (a)(d) | $ 715,000 | $ 714,998 | ||||||
| sequential pay Series 1997-C2 Class A2, 6.52% 1/17/35 | 235,680 | 236,453 | ||||||
| GMAC Commercial Mortgage Securities, Inc. floater Series | ||||||||
| 2001-FL1A Class E, 4.5781% 2/11/11 (a)(d) | 152,562 | 152,409 | ||||||
| GS Mortgage Securities Corp. II floater Series 2005-FL7A | ||||||||
| Class A1, 3.84% 11/6/19 (a)(d) | 10,128,306 | 10,129,534 | ||||||
| Impac CMB Trust Series 2005-7 Class M4, 4.388% | ||||||||
| 11/25/35 (d) | 3,169,000 | 3,169,000 | ||||||
| John Hancock Tower Mortgage Trust floater Series 2003-C5A | ||||||||
| Class B, 6.2166% 4/10/15 (a)(d) | 8,245,000 | 8,245,000 | ||||||
| Lehman Brothers Floating Rate Commercial Mortgage Trust: | ||||||||
| floater Series 2003-LLFA: | ||||||||
| Class A2, 4.14% 12/16/14 (a)(d) | 11,700,000 | 11,705,144 | ||||||
| Class B, 4.35% 12/16/14 (a)(d) | 4,615,000 | 4,623,295 | ||||||
| Class C, 4.45% 12/16/14 (a)(d) | 4,982,000 | 4,993,212 | ||||||
| Series 2005-LLFA Class FAIR, 5.4181% 7/15/18 (a)(d) | 4,360,000 | 4,360,000 | ||||||
| Morgan Stanley Capital I, Inc. Series 2005-XLF: | ||||||||
| Class B, 3.9781% 8/15/19 (a)(d) | 6,705,000 | 6,705,000 | ||||||
| Class C, 4.0081% 8/15/19 (a)(d) | 525,000 | 525,000 | ||||||
| Class D, 4.0281% 8/15/19 (a)(d) | 1,915,000 | 1,915,000 | ||||||
| Class E, 4.0481% 8/15/19 (a)(d) | 1,745,000 | 1,745,000 | ||||||
| Class F, 4.0881% 8/15/19 (a)(d) | 1,220,000 | 1,220,000 | ||||||
| Class G, 4.1381% 8/15/19 (a)(d) | 870,000 | 870,000 | ||||||
| Class H, 4.1581% 8/15/19 (a)(d) | 695,000 | 695,000 | ||||||
| Class J, 4.2281% 8/15/19 (a)(d) | 525,000 | 525,000 | ||||||
| Morgan Stanley Dean Witter Capital I Trust floater | ||||||||
| Series 2002-XLF Class F, 5.8663% 8/5/14 (a)(d) | 5,359,368 | 5,359,351 | ||||||
| Salomon Brothers Mortgage Securities VII, Inc.: | ||||||||
| floater Series 2001-CDCA: | ||||||||
| Class C, 4.5681% 2/15/13 (a)(d) | 4,711,321 | 4,701,152 | ||||||
| Class D, 4.5681% 2/15/13 (a)(d) | 4,000,000 | 3,987,882 | ||||||
| Series 2000-NL1 Class E, 7.0607% 10/15/30 (a)(d) | 3,188,867 | 3,197,433 | ||||||
| SDG Macerich Properties LP floater Series 2000-1 Class A3, | ||||||||
| 4.1081% 5/15/09 (a)(d) | 18,000,000 | 17,994,375 | ||||||
| STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A | ||||||||
| Class A, 4.31% 3/24/18 (a)(d) | 6,950,497 | 6,950,497 | ||||||
| Wachovia Bank Commercial Mortgage Trust floater: | ||||||||
| Series 2004-WHL3: | ||||||||
| Class A2, 3.9481% 3/15/14 (a)(d) | 3,510,000 | 3,510,856 | ||||||
| Class E, 4.2681% 3/15/14 (a)(d) | 2,190,000 | 2,191,761 | ||||||
| Annual Report |
| 124 |
| Commercial Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Wachovia Bank Commercial Mortgage Trust floater: - | ||||||
| continued | ||||||
| Series 2004-WHL3: | ||||||
| Class F, 4.3181% 3/15/14 (a)(d) | $ 1,755,000 | $ 1,756,359 | ||||
| Class G, 4.5481% 3/15/14 (a)(d) | 875,000 | 875,871 | ||||
| Series 2005-WL5A: | ||||||
| Class KHP1, 4.1181% 1/15/18 (a)(d) | 1,745,000 | 1,744,663 | ||||
| Class KHP2, 4.3181% 1/15/18 (a)(d) | 1,745,000 | 1,747,772 | ||||
| Class KHP3, 4.6181% 1/15/18 (a)(d) | 2,060,000 | 2,062,033 | ||||
| Class KHP4, 4.7181% 1/15/18 (a)(d) | 1,600,000 | 1,602,203 | ||||
| Class KHP5, 4.9181% 1/15/18 (a)(d) | 1,855,000 | 1,845,971 | ||||
| TOTAL COMMERCIAL MORTGAGE SECURITIES | ||||||
| (Cost $361,655,067) | 362,304,343 | |||||
| Certificates of Deposit 0.9% | ||||||
| DEPFA BANK PLC yankee 4.265% 9/1/06 | 30,000,000 | 29,964,651 | ||||
| Deutsche Bank AG yankee 4.21% 8/24/06 | 30,000,000 | 29,958,345 | ||||
| TOTAL CERTIFICATES OF DEPOSIT | ||||||
| (Cost $60,000,000) | 59,922,996 | |||||
| Commercial Paper 0.4% | ||||||
| Fortune Brands, Inc. 3.79% 10/31/05 | ||||||
| (Cost $26,416,304) | 26,500,000 | 26,417,781 | ||||
125 Annual Report
| Investments (Unaudited) continued | ||||||||
| Cash Equivalents 36.3% | ||||||||
| Maturity | Value | |||||||
| Amount | ||||||||
| Investments in repurchase agreements (Collateralized by | ||||||||
| U.S. Government Obligations, in a joint trading | ||||||||
| account at 3.89%, dated 9/30/05 due 10/3/05) (g) . | $ 2,120,321,927 | $ 2,119,634,000 | ||||||
| Investments in repurchase agreements (Collateralized by | ||||||||
| U.S. Treasury Obligations, in a joint trading account at | ||||||||
| 3.27%, dated 9/30/05 due 10/3/05) (g) | 6,298,716 | 6,297,000 | ||||||
| With Goldman Sachs & Co. at 4.04%, dated 8/23/05 | ||||||||
| due 11/21/05 (Collateralized by Mortgage Loan | ||||||||
| Obligations valued at $304,500,001, 4.54%– 4.56%, | ||||||||
| 9/25/35 - 9/25/35) (d)(f) | 292,929,000 | 289,962,793 | ||||||
| TOTAL CASH EQUIVALENTS | ||||||||
| (Cost $2,415,931,000) | 2,415,893,793 | |||||||
| TOTAL INVESTMENT PORTFOLIO 101.0% | ||||||||
| (Cost $6,720,022,154) | 6,725,584,889 | |||||||
| NET OTHER ASSETS – (1.0)% | (65,032,717) | |||||||
| NET ASSETS 100% | $ 6,660,552,172 | |||||||
| Futures Contracts | ||||||||
| Expiration | Underlying | Unrealized | ||||||
| Date | Face Amount | Appreciation/ | ||||||
| at Value | (Depreciation) | |||||||
| Sold | ||||||||
| Eurodollar Contracts | ||||||||
| 73 Eurodollar 90 Day Index Contracts | Dec. 2005 | $ 72,199,738 | $ 56,706 | |||||
| 49 Eurodollar 90 Day Index Contracts | March 2006 | 48,442,625 | 50,086 | |||||
| 32 Eurodollar 90 Day Index Contracts | June 2006 | 31,631,600 | 30,247 | |||||
| 32 Eurodollar 90 Day Index Contracts | Sept. 2006 | 31,630,800 | 28,072 | |||||
| 31 Eurodollar 90 Day Index Contracts | Dec. 2006 | 30,642,725 | 23,176 | |||||
| 29 Eurodollar 90 Day Index Contracts | March 2007 | 28,668,313 | 17,947 | |||||
| 22 Eurodollar 90 Day Index Contracts | June 2007 | 21,748,925 | 8,962 | |||||
| 21 Eurodollar 90 Day Index Contracts | Sept. 2007 | 20,760,075 | 7,941 | |||||
| 20 Eurodollar 90 Day Index Contracts | Dec. 2007 | 19,770,250 | 7,370 | |||||
| 20 Eurodollar 90 Day Index Contracts | March 2008 | 19,770,000 | 6,620 | |||||
| 13 Eurodollar 90 Day Index Contracts | June 2008 | 12,850,013 | 8,836 | |||||
| 12 Eurodollar 90 Day Index Contracts | Sept. 2008 | 11,860,950 | 8,052 | |||||
| 5 Eurodollar 90 Day Index Contracts | Dec. 2008 | 4,941,625 | 1,230 | |||||
| 3 Eurodollar 90 Day Index Contracts | March 2009 | 2,964,900 | 688 | |||||
| TOTAL EURODOLLAR CONTRACTS | $ 255,933 | |||||||
Annual Report 126
| Swap Agreements | ||||||||||
| Expiration | Notional | Value | ||||||||
| Date | Amount | |||||||||
| Credit Default Swap | ||||||||||
| Receive from Citibank, upon default event | ||||||||||
| of DaimlerChrysler NA Holding Corp., | ||||||||||
| par value of the notional amount of | ||||||||||
| DaimlerChrysler NA Holding Corp. 6.5% | ||||||||||
| 11/15/13, and pay quarterly notional | ||||||||||
| amount multiplied by .8% | June 2007 | $ 14,000,000 | $ (129,454) | |||||||
| Receive quarterly notional amount | ||||||||||
| multiplied by .48% and pay Goldman | ||||||||||
| Sachs upon default event of TXU Energy | ||||||||||
| Co. LLC, par value of the notional amount | ||||||||||
| of TXU Energy Co. LLC 7% 3/15/13 | Sept. 2008 | 13,540,000 | (82,090) | |||||||
| Receive quarterly notional amount | ||||||||||
| multiplied by 1.12% and pay Morgan | ||||||||||
| Stanley, Inc. upon default of Comcast | ||||||||||
| Cable Communications, Inc., par value of | ||||||||||
| the notional amount of Comcast Cable | ||||||||||
| Communications, Inc. 6.75% 1/30/11 | June 2006 | 10,000,000 | 75,975 | |||||||
| TOTAL CREDIT DEFAULT SWAP | $ 37,540,000 | $ (135,569) | ||||||||
| Total Return Swap | ||||||||||
| Receive monthly notional amount multiplied | ||||||||||
| by the nominal spread appreciation of | ||||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||||
| gate Index adjusted by a modified dura- | ||||||||||
| tion factor plus 10 basis points and pay | ||||||||||
| monthly notional amount multiplied by | ||||||||||
| the nominal spread depreciation of the | ||||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||||
| Index adjusted by a modified duration | ||||||||||
| factor with Lehman Brothers, Inc. | Oct. 2005 | 48,200,000 | (43,480) | |||||||
| Receive monthly notional amount multiplied | ||||||||||
| by the nominal spread appreciation of the | ||||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||||
| Index adjusted by a modified duration fac | ||||||||||
| tor plus 30 basis points and pay monthly | ||||||||||
| notional amount multiplied by the nominal | ||||||||||
| spread depreciation of the Lehman Broth | ||||||||||
| ers CMBS U.S. Aggregate Index adjusted | ||||||||||
| by a modified duration factor with | ||||||||||
| Citibank | April 2006 | 67,500,000 | (31,167) | |||||||
127 Annual Report
| Investments (Unaudited) continued | ||||||||
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Total Return Swap continued | ||||||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration fac | ||||||||
| tor plus 15 basis points and pay monthly | ||||||||
| notional amount multiplied by the nominal | ||||||||
| spread depreciation of the Lehman Broth | ||||||||
| ers CMBS U.S. Aggregate Index adjusted | ||||||||
| by a modified duration factor with Citibank | April 2006 | $ 48,200,000 | $ 0 | |||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of | ||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||
| gate Index adjusted by a modified dura- | ||||||||
| tion factor plus 25 basis points and pay | ||||||||
| monthly notional amount multiplied by | ||||||||
| the nominal spread depreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration | ||||||||
| factor with Lehman Brothers, Inc. | Dec. 2005 | 30,000,000 | (23,390) | |||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of | ||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||
| gate Index adjusted by a modified dura- | ||||||||
| tion factor plus 22 basis points and pay | ||||||||
| monthly notional amount multiplied by | ||||||||
| the nominal spread depreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration | ||||||||
| factor with Lehman Brothers, Inc. | Jan. 2006 | 35,100,000 | (27,970) | |||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of | ||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||
| gate Index adjusted by a modified dura- | ||||||||
| tion factor plus 7.5 basis points and pay | ||||||||
| monthly notional amount multiplied by | ||||||||
| the nominal spread depreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration | ||||||||
| factor with Lehman Brothers, Inc. | Nov. 2005 | 35,100,000 | (13,586) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers ABS Floating Rate Index and | ||||||||
| pay monthly a floating rate based on the | ||||||||
| 1-month LIBOR minus 11.1 basis points | ||||||||
| with Lehman Brothers, Inc. | Nov. 2005 | 30,000,000 | 8,273 | |||||
| TOTAL TOTAL RETURN SWAP | $ 294,100,000 | $ (131,320) | ||||||
| $ 331,640,000 | $ (266,889) | |||||||
Annual Report 128
| Legend (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $605,971,272 or 9.1% of net assets. (b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $990,994. (d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (e) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. (f) The maturity amount is based on the rate at period end. (g) Additional information on each counterparty to the repurchase agreement is as follows: |
| Repurchase Agreement/ | Value | |||
| Counterparty | ||||
| $6,297,000 due | ||||
| 10/3/05 at 3.27% | ||||
| Banc of America | ||||
| Securities LLC. | $ 878,400 | |||
| Barclays Capital Inc. | 2,037,889 | |||
| BNP Paribas Securities | ||||
| Corp. | 2,318,977 | |||
| State Street Bank and | ||||
| Trust Company | 1,061,734 | |||
| $ 6,297,000 |
| Repurchase Agreement/ | Value | |
| Counterparty | ||
| $2,119,634,000 due | ||
| 10/3/05 at 3.89% | ||
| Banc of America | ||
| Securities LLC. | $ 406,558,229 | |
| Bank of America, | ||
| National Association | 138,994,266 | |
| Barclays Capital Inc. | 625,474,199 | |
| Bear Stearns & Co. Inc. . | 104,245,700 | |
| Countrywide Securities | ||
| Corporation | 138,994,266 | |
| Goldman Sachs & Co. | 382,234,233 | |
| Morgan Stanley & Co. | ||
| Incorporated. | 34,720,003 | |
| UBS Securities LLC | 288,413,104 | |
| $ 2,119,634,000 |
Income Tax Information
At September 30, 2005, the fund had a capital loss carryforward of approximately $4,905,519 all of which will expire on September 30, 2011.
129 Annual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll free number to access account balances, positions, quotes and trading. It’s easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
By PC
Fidelity’s web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.
* When you call the quotes line, please remember that a fund’s yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guar anteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
Annual Report 130
To Write Fidelity
We’ll give your correspondence immediate attention and send you written confirmation upon completion of your request.
(such as changing name, address, bank, etc.)
| Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0002 |
| Buying shares Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0003 Overnight Express Fidelity Investments Attn: Distribution Services 100 Crosby Parkway KC1H Covington, KY 41015 Selling shares Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0035 Overnight Express Fidelity Investments Attn: Distribution Services 100 Crosby Parkway KC1H Covington, KY 41015 General Correspondence Fidelity Investments P.O. Box 500 Merrimack, NH 03054-0500 |
| Buying shares Fidelity Investments P.O. Box 770001 Cincinnati, OH 45277-0003 Selling shares Fidelity Investments P.O. Box 770001 Cincinnati, OH 4527-0035 Overnight Express Fidelity Investments Attn: Distribution Services 100 Crosby Parkway KC1H Covington, KY 41015 General Correspondence Fidelity Investments P.O. Box 500 Merrimack, NH 03054-0500 |
131 Annual Report
To Visit Fidelity
| For directions and hours, please call 1-800-544-9797. Arizona 7001 West Ray Road Chandler, AZ 7373 N. Scottsdale Road Scottsdale, AZ California 815 East Birch Street Brea, CA 1411 Chapin Avenue Burlingame, CA 851 East Hamilton Avenue Campbell, CA 19200 Von Karman Avenue Irvine, CA 601 Larkspur Landing Circle Larkspur, CA 10100 Santa Monica Blvd. Los Angeles, CA 27101 Puerta Real Mission Viejo, CA 73 575 El Paseo Palm Desert, CA 251 University Avenue Palo Alto, CA 123 South Lake Avenue Pasadena, CA 16995 Bernardo Ctr. Drive Rancho Bernardo, CA 1740 Arden Way Sacramento, CA 7676 Hazard Center Drive San Diego, CA 8 Montgomery Street San Francisco, CA 3793 State Street Santa Barbara, CA 21701 Hawthorne Boulevard Torrance, CA 2001 North Main Street Walnut Creek, CA 6300 Canoga Avenue Woodland Hills, CA |
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Annual Report 132
| Nevada 2225 Village Walk Drive Henderson, NV New Jersey 150 Essex Street Millburn, NJ 56 South Street Morristown, NJ 396 Route 17, North Paramus, NJ 3518 Route 1 North Princeton, NJ 530 Highway 35 Shrewsbury, NJ New York 1055 Franklin Avenue Garden City, NY 37 West Jericho Turnpike Huntington Station, NY 1271 Avenue of the Americas New York, NY 61 Broadway New York, NY 350 Park Avenue New York, NY 200 Fifth Avenue New York, NY 733 Third Avenue New York, NY 11 Penn Plaza New York, NY 2070 Broadway New York, NY 1075 Northern Blvd. Roslyn, NY North Carolina 4611 Sharon Road Charlotte, NC Ohio 3805 Edwards Road Cincinnati, OH 1324 Polaris Parkway Columbus, OH 28699 Chagrin Boulevard Woodmere Village, OH Oregon 16850 SW 72nd Avenue Tigard, OR |
| Pennsylvania 600 West DeKalb Pike King of Prussia, PA 1735 Market Street Philadelphia, PA 12001 Perry Highway Wexford, PA Rhode Island 47 Providence Place Providence, RI Tennessee 6150 Poplar Avenue Memphis, TN Texas 10000 Research Boulevard Austin, TX 4001 Northwest Parkway Dallas, TX 12532 Memorial Drive Houston, TX 2701 Drexel Drive Houston, TX 6500 N. MacArthur Blvd. Irving, TX 6005 West Park Boulevard Plano, TX 14100 San Pedro San Antonio, TX 1576 East Southlake Blvd. Southlake, TX 19740 IH 45 North Spring, TX Utah 215 South State Street Salt Lake City, UT Virginia 1861 International Drive McLean, VA Washington 411 108th Avenue, N.E. Bellevue, WA 1518 6th Avenue Seattle, WA Washington, DC 1900 K Street, N.W. Washington, DC Wisconsin 595 North Barker Road Brookfield, WI |
Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC
133 Annual Report
133
| Investment Adviser Fidelity Management & Research Company Boston, MA Investment Sub Advisers FMR Co., Inc. Fidelity Investments Money Management, Inc. Fidelity Management & Research (U.K.) Inc. Fidelity Management & Research (Far East) Inc. Fidelity Investments Japan Limited Fidelity International Investment Advisors Fidelity International Investment Advisors (U.K.) Limited General Distributor Fidelity Distributors Corporation Boston, MA Transfer and Service Agent Fidelity Service Company, Inc. Boston, MA Custodian JPMorgan Chase Bank New York, NY |
| The Fidelity Telephone Connection | ||||||||
| Mutual Fund 24-Hour Service | ||||||||
| Exchanges/Redemptions | ||||||||
| and Account Assistance | 1-800-544-6666 | |||||||
| Product Information | 1-800-544-6666 | |||||||
| Retirement Accounts | 1-800-544-4774 | |||||||
| (8 a.m. - 9 p.m.) | ||||||||
| TDD Service | 1-800-544-0118 | |||||||
| (for the deaf and hearing impaired) | ||||||||
| (9 a.m. - 9 p.m. Eastern time) | ||||||||
| Fidelity Automated Service | ||||||||
| Telephone (FAST®) (automated phone logo) | 1-800-544-5555 | |||||||
Automated line for quickest service
| AMI-UANN-1105 1.792131.102 |
| Spartan® Investment Grade Bond Fund |
| Annual Report September 30, 2005 |
| Contents | ||||
| Chairman’s Message | 4 | Ned Johnson’s message to shareholders. | ||
| Performance | 5 | How the fund has done over time. | ||
| Management’s Discussion | 6 | The manager’s review of fund | ||
| performance, strategy and outlook. | ||||
| Shareholder Expense | 7 | An example of shareholder expenses. | ||
| Example | ||||
| Investment Changes | 9 | A summary of major shifts in the fund’s | ||
| investments over the past six months. | ||||
| Investments | 10 | A complete list of the fund’s investments | ||
| with their market values. | ||||
| Financial Statements | 36 | Statements of assets and liabilities, | ||
| operations, and changes in net assets, | ||||
| as well as financial highlights. | ||||
| Notes | 40 | Notes to the financial statements. | ||
| Report of Independent | 47 | |||
| Registered Public | ||||
| Accounting Firm | ||||
| Trustees and Officers | 48 | |||
| Distributions | 59 | |||
| Board Approval of | 60 | |||
| Investment Advisory | ||||
| Contracts and | ||||
| Management Fees | ||||
| Central Fund Investments | 68 | Complete list of investments for | ||
| Fidelity’s Fixed-Income Central Funds | ||||
| To view a fund’s proxy voting guidelines and proxy voting record for the 12 month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission’s (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines. Standard & Poor’s, S&P and S&P 500 are registered service marks of The McGraw Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation. Other third party marks appearing herein are the property of their respective owners. All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company. |
Annual Report 2
| This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus. A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N Q. Forms N Q are available on the SEC’s web site at http://www.sec.gov. A fund’s Forms N Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund’s portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity’s web site at http://www.fidelity.com/holdings. NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE Neither the fund nor Fidelity Distributors Corporation is a bank. |
3 Annual Report
Chairman’s Message
(photograph of Edward C. Johnson 3d)
Dear Shareholder:
During the past year or so, much has been reported about the mutual fund industry, and much of it has been more critical than I believe is warranted. Allegations that some companies have been less than forthright with their shareholders have cast a shadow on the entire industry. I continue to find these reports disturbing, and assert that they do not create an accurate picture of the industry overall. Therefore, I would like to remind every one where Fidelity stands on these issues. I will say two things specifically regarding allegations that some mutual fund companies were in violation of the Securities and Exchange Commission’s forward pricing rules or were involved in so called “market timing” activities.
First, Fidelity has no agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not a new policy. This is not to say that some one could not deceive the company through fraudulent acts. However, we are extremely diligent in preventing fraud from occurring in this manner and in every other. But I underscore again that Fidelity has no so called “agreements” that sanction illegal practices.
Second, Fidelity continues to stand on record, as we have for years, in opposition to predatory short term trading that adversely affects shareholders in a mutual fund. Back in the 1980s, we initiated a fee which is returned to the fund and, therefore, to investors to discourage this activity. Further, we took the lead several years ago in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. I am confident we will find other ways to make it more difficult for predatory traders to operate. However, this will only be achieved through close cooperation among regulators, legislators and the industry.
Yes, there have been unfortunate instances of unethical and illegal activity within the mutual fund industry from time to time. That is true of any industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. But we are still concerned about the risk of over regulation and the quick application of simplistic solutions to intricate problems. Every system can be improved, and we support and applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors’ holdings.
For nearly 60 years, Fidelity has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Today, we serve more than 18 million customers in cluding individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active par ticipation with your financial matters, so that your interests can be well served.
Best regards,
/s/ Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report 4
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund’s dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of perfor mance each year. The $10,000 table and the fund’s returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns | ||||||
| Periods ended September 30, 2005 | Past 1 | Past 5 | Past 10 | |||
| year | years | years | ||||
| Spartan® Inv. Grade Bond Fund | 3.21% | 6.85% | 6.55% | |||
| $10,000 Over 10 Years | ||||||
Let’s say hypothetically that $10,000 was invested in Spartanr Investment Grade Bond Fund on September 30, 1995. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothers® Aggregate Bond Index performed over the same period.
| 5 Annual Report 5 |
Management’s Discussion of Fund Performance
Comments from Jeffrey Moore, Portfolio Manager of Spartan® Investment Grade Bond Fund
Several developments muted investment grade bond returns during the year ending September 30, 2005. One was the flattening of the yield curve. The increase in short term bond yields associated with the Federal Reserve Board’s series of rate increases reduced total return in this part of the curve. Because longer term bonds typically are more vulner able to rising interest rates than shorter term bonds, their yields tend to be higher to compensate for that risk. But despite eight rate hikes during the period, longer term bond yields were generally stable, resulting in relatively strong performance compared to shorter term securities. Fed Chairman Alan Greenspan described the strength in longer term bond performance as a “conundrum.” The Fed remained in a monetary tightening mode despite record high energy prices, even in the aftermath of Hurricanes Katrina and Rita. On September 20, the Fed made its 11th consecutive rate hike and hinted at more to come. These actions contributed to a negative third quarter of 2005 for bonds, as the Lehman Brothers® Aggregate Bond Index slid 0.67% . For the period overall, the benchmark gained 2.80%, with little separation in performance among the investment grade debt sectors.
The fund gained 3.21% during the past 12 months, outpacing the Lehman Brothers index and the 2.42% increase of the LipperSM Intermediate Investment Grade Debt Funds Average. Sector selection was critical to our success versus the index. Among corporate bonds, the fund was overweighted in BBB rated securities, which outperformed their higher quality A rated counterparts. It particularly helped to be overweighted in real estate investment trusts, utilities, high quality banks and other financials. The fund also saw gains from its significant overweightings in high quality securitized products, such as commercial mortgage backed securities, asset backed bonds and collateralized mortgage obligations. Another positive was the portfolio’s modest out of benchmark weighting in Treasury Inflation Protected Securities, which fared well. Lastly, the fund was helped by its fairly large stake in the Fidelity® Ultra Short Central Fund, a diversified pool of short term assets designed to outperform cash like investments with similar risk characteristics. There was no source of significant underperformance during the period. Because the portfolio was broadly diversified and conservatively managed, the fund was able to do reasonably well in all of the major categories in which we invest.
The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
| Annual Report |
| 6 6 |
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2005 to September 30, 2005).
| Actual Expenses |
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the fund, as a shareholder in underlying affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated central funds. These fees and expenses are not included in the fund’s annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the fund, as a shareholder in underlying affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated central funds. These fees and expenses are not included in the fund’s annual ized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| 7 Annual Report |
| Shareholder Expense Example continued | ||||||||||
| Expenses Paid | ||||||||||
| During Period* | ||||||||||
| Beginning | Ending | April 1, 2005 | ||||||||
| Account Value | Account Value | to September 30, | ||||||||
| April 1, 2005 | September 30, 2005 | 2005 | ||||||||
| Actual | $ 1,000.00 | $ 1,024.70 | $ 2.39** | |||||||
| Hypothetical (5% return per year | ||||||||||
| before expenses) | $ 1,000.00 | $ 1,022.71 | $ 2.38** | |||||||
* Expenses are equal to the Fund’s annualized expense ratio of ..47%**; multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one half year period). The fees and expenses of the underlying affiliated central funds in which the fund invests are not included in the fund’s annualized expense ratio.
** If contractual expense limitations, effective June 1, 2005, had been in effect during the entire period, the annualized expense ratio would have been .45% and the expenses paid in the actual and hypothetical examples above would have been $2.28 and $2.28, respectively.
| Annual Report |
| 8 |
Investment Changes
We have used ratings from Moody’s® Investors Services, Inc. Where Moody’s ratings are not available, we have used S&P® ratings. Securities rated BB or below were rated investment grade at the time of acquisition.
| Average Years to Maturity as of September 30, 2005 | ||||||
| 6 months ago | ||||||
| Years | 5.9 | 5.5 | ||||
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund’s bonds, weighted by dollar amount.
| Duration as of September 30, 2005 | ||||||
| 6 months ago | ||||||
| Years | 4.1 | 4.2 | ||||
Duration shows how much a bond fund’s price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund’s performance and share price. Accordingly, a bond fund’s actual performance may differ from this example.
The information in the above tables is based on the combined investments of the fund and its pro rata share of the investments of Fidelity’s fixed income central fund.
9 Annual Report
Investments September 30, 2005
Showing Percentage of Net Assets
Nonconvertible Bonds 19.9%
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| CONSUMER DISCRETIONARY – 2.4% | ||||||||
| Automobiles – 0.6% | ||||||||
| Ford Motor Co.: | ||||||||
| 6.375% 2/1/29 | $ 1,750 | $ 1,256 | ||||||
| 6.625% 10/1/28 | 2,065 | 1,492 | ||||||
| 7.45% 7/16/31 | 13,555 | 10,573 | ||||||
| General Motors Corp. 8.375% 7/15/33 | 5,755 | 4,489 | ||||||
| 17,810 | ||||||||
| Media – 1.8% | ||||||||
| British Sky Broadcasting Group PLC (BSkyB) yankee | ||||||||
| 8.2% 7/15/09 | 6,975 | 7,740 | ||||||
| Clear Channel Communications, Inc. 5.5% 9/15/14 | 6,240 | 6,015 | ||||||
| Comcast Corp. 5.65% 6/15/35 | 3,475 | 3,248 | ||||||
| Cox Communications, Inc.: | ||||||||
| 4.625% 1/15/10 | 6,210 | 6,072 | ||||||
| 7.125% 10/1/12 | 2,145 | 2,333 | ||||||
| Liberty Media Corp.: | ||||||||
| 5.7% 5/15/13 | 2,000 | 1,825 | ||||||
| 8.25% 2/1/30 | 5,575 | 5,339 | ||||||
| News America Holdings, Inc. 7.75% 12/1/45 | 1,705 | 2,002 | ||||||
| News America, Inc. 6.2% 12/15/34 | 3,295 | 3,300 | ||||||
| TCI Communications, Inc. 9.8% 2/1/12 | 4,400 | 5,411 | ||||||
| Time Warner Entertainment Co. LP: | ||||||||
| 8.875% 10/1/12 | 750 | 897 | ||||||
| 10.15% 5/1/12 | 500 | 627 | ||||||
| Time Warner, Inc. 6.625% 5/15/29 | 6,950 | 7,270 | ||||||
| Univision Communications, Inc. 3.875% 10/15/08 | 1,065 | 1,027 | ||||||
| 53,106 | ||||||||
| TOTAL CONSUMER DISCRETIONARY | 70,916 | |||||||
| CONSUMER STAPLES 0.3% | ||||||||
| Beverages – 0.1% | ||||||||
| FBG Finance Ltd. 5.125% 6/15/15 (a) | 3,030 | 2,972 | ||||||
| Food Products 0.1% | ||||||||
| Cadbury Schweppes U.S. Finance LLC 5.125% | ||||||||
| 10/1/13 (a) | 2,120 | 2,119 | ||||||
| Tobacco 0.1% | ||||||||
| Altria Group, Inc. 7% 11/4/13 | 3,365 | 3,683 | ||||||
| TOTAL CONSUMER STAPLES | 8,774 | |||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 10 |
| Nonconvertible Bonds continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| ENERGY 2.1% | ||||||||
| Energy Equipment & Services – 0.5% | ||||||||
| Cooper Cameron Corp. 2.65% 4/15/07 | $ 2,835 | $ 2,740 | ||||||
| Diamond Offshore Drilling, Inc. 4.875% 7/1/15 (a) | 2,125 | 2,076 | ||||||
| Petronas Capital Ltd. 7% 5/22/12 (a) | 10,165 | 11,343 | ||||||
| 16,159 | ||||||||
| Oil, Gas & Consumable Fuels – 1.6% | ||||||||
| Canadian Oil Sands Ltd. 4.8% 8/10/09 (a) | 3,555 | 3,524 | ||||||
| Kerr-McGee Corp. 6.95% 7/1/24 | 5,260 | 5,450 | ||||||
| Kinder Morgan Energy Partners LP 5.8% 3/15/35 | 1,500 | 1,441 | ||||||
| Louis Dreyfus Natural Gas Corp. 6.875% 12/1/07 | 3,000 | 3,123 | ||||||
| Nexen, Inc. 5.875% 3/10/35 | 2,670 | 2,617 | ||||||
| Pemex Project Funding Master Trust: | ||||||||
| 6.625% 6/15/35 (a) | 1,735 | 1,706 | ||||||
| 7.375% 12/15/14 | 21,500 | 23,865 | ||||||
| 8.625% 2/1/22 | 3,700 | 4,542 | ||||||
| 46,268 | ||||||||
| TOTAL ENERGY | 62,427 | |||||||
| FINANCIALS – 8.7% | ||||||||
| Capital Markets 1.2% | ||||||||
| Bank of New York Co., Inc.: | ||||||||
| 3.4% 3/15/13 (f) | 2,400 | 2,321 | ||||||
| 4.25% 9/4/12 (f) | 2,835 | 2,811 | ||||||
| Goldman Sachs Capital I 6.345% 2/15/34 | 6,650 | 6,929 | ||||||
| Goldman Sachs Group, Inc. 5.25% 10/15/13 | 7,020 | 7,083 | ||||||
| JPMorgan Chase Capital XV 5.875% 3/15/35 | 2,830 | 2,770 | ||||||
| Lazard LLC 7.125% 5/15/15 (a) | 4,540 | 4,508 | ||||||
| Merrill Lynch & Co., Inc. 4.25% 2/8/10 | 5,420 | 5,299 | ||||||
| Nuveen Investments, Inc. 5% 9/15/10 | 2,300 | 2,277 | ||||||
| 33,998 | ||||||||
| Commercial Banks – 1.5% | ||||||||
| Banponce Corp. 6.75% 12/15/05 | 2,760 | 2,772 | ||||||
| Export-Import Bank of Korea: | ||||||||
| 4.125% 2/10/09 (a) | 1,320 | 1,291 | ||||||
| 5.25% 2/10/14 (a) | 2,225 | 2,248 | ||||||
| KeyCorp Capital Trust VII 5.7% 6/15/35 | 6,500 | 6,180 | ||||||
| Korea Development Bank: | ||||||||
| 3.875% 3/2/09 | 6,990 | 6,786 | ||||||
| 4.75% 7/20/09 | 2,350 | 2,342 | ||||||
See accompanying notes which are an integral part of the financial statements.
11 Annual Report
| Investments continued | ||||||||||
| Nonconvertible Bonds continued | ||||||||||
| Principal | Value (Note 1) | |||||||||
| Amount (000s) | (000s) | |||||||||
| FINANCIALS – continued | ||||||||||
| Commercial Banks – continued | ||||||||||
| Korea Development Bank: – continued | ||||||||||
| 5.75% 9/10/13 | $ 4,543 | $ 4,740 | ||||||||
| Rabobank Capital Funding Trust II 5.26% | ||||||||||
| 12/31/49 (a)(f) | 5,700 | 5,716 | ||||||||
| Wachovia Bank NA 4.875% 2/1/15 | 8,410 | 8,293 | ||||||||
| Wachovia Corp. 4.875% 2/15/14 | 1,791 | 1,770 | ||||||||
| Wells Fargo Bank NA, San Francisco 7.55% 6/21/10 | . | 2,200 | 2,460 | |||||||
| 44,598 | ||||||||||
| Consumer Finance – 0.8% | ||||||||||
| General Electric Capital Corp.: | ||||||||||
| 6% 6/15/12 | 2,500 | 2,661 | ||||||||
| 6.125% 2/22/11 | 1,750 | 1,856 | ||||||||
| Household Finance Corp. 4.125% 11/16/09 | 11,845 | 11,535 | ||||||||
| HSBC Finance Corp. 6.75% 5/15/11 | 5,160 | 5,612 | ||||||||
| MBNA Corp. 7.5% 3/15/12 | 2,260 | 2,569 | ||||||||
| 24,233 | ||||||||||
| Diversified Financial Services – 1.4% | ||||||||||
| JPMorgan Chase & Co.: | ||||||||||
| 4.875% 3/15/14 | 3,990 | 3,916 | ||||||||
| 5.125% 9/15/14 | 10,000 | 9,975 | ||||||||
| 6.75% 2/1/11 | 7,480 | 8,094 | ||||||||
| JPMorgan Chase Capital XVII 5.85% 8/1/35 | 7,405 | 7,252 | ||||||||
| Mizuho Financial Group Cayman Ltd. 5.79% | ||||||||||
| 4/15/14 (a) | 8,370 | 8,718 | ||||||||
| Prime Property Funding, Inc. 5.125% 6/1/15 (a) | 3,585 | 3,482 | ||||||||
| 41,437 | ||||||||||
| Insurance – 0.8% | ||||||||||
| Aegon NV 4.75% 6/1/13 | 6,900 | 6,740 | ||||||||
| Assurant, Inc. 5.625% 2/15/14 | 1,830 | 1,857 | ||||||||
| Axis Capital Holdings Ltd. 5.75% 12/1/14 | 7,930 | 7,869 | ||||||||
| QBE Insurance Group Ltd. 5.647% 7/1/23 (a)(f) | 5,290 | 5,279 | ||||||||
| Travelers Property Casualty Corp. 6.375% 3/15/33 | 2,200 | 2,283 | ||||||||
| 24,028 | ||||||||||
| Real Estate 1.7% | ||||||||||
| Archstone Smith Operating Trust 5.25% 5/1/15 | 3,435 | 3,418 | ||||||||
| Boston Properties, Inc. 6.25% 1/15/13 | 982 | 1,041 | ||||||||
| Camden Property Trust 5.875% 6/1/07 | 2,400 | 2,435 | ||||||||
| CarrAmerica Realty Corp. 5.25% 11/30/07 | 2,805 | 2,812 | ||||||||
| CenterPoint Properties Trust 5.75% 8/15/09 | 3,065 | 3,155 | ||||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 12 |
| Nonconvertible Bonds continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| FINANCIALS – continued | ||||||||
| Real Estate continued | ||||||||
| Colonial Properties Trust 4.75% 2/1/10 | $ 2,635 | $ 2,578 | ||||||
| Developers Diversified Realty Corp. 5.25% 4/15/11 | 1,495 | 1,499 | ||||||
| EOP Operating LP: | ||||||||
| 4.65% 10/1/10 | 3,070 | 3,019 | ||||||
| 4.75% 3/15/14 | 6,340 | 6,106 | ||||||
| 7.75% 11/15/07 | 3,410 | 3,610 | ||||||
| Equity Residential 5.125% 3/15/16 | 3,045 | 2,999 | ||||||
| Gables Realty LP 5.75% 7/15/07 | 5,500 | 5,567 | ||||||
| Healthcare Realty Trust, Inc. 5.125% 4/1/14 | 1,220 | 1,174 | ||||||
| Regency Centers LP 6.75% 1/15/12 | 5,055 | 5,443 | ||||||
| Simon Property Group LP: | ||||||||
| 4.6% 6/15/10 | 2,310 | 2,278 | ||||||
| 5.1% 6/15/15 | 3,415 | 3,347 | ||||||
| 50,481 | ||||||||
| Thrifts & Mortgage Finance – 1.3% | ||||||||
| Independence Community Bank Corp.: | ||||||||
| 3.75% 4/1/14 (f) | 2,250 | 2,162 | ||||||
| 4.9% 9/23/10 | 11,960 | 11,859 | ||||||
| Residential Capital Corp. 6.375% 6/30/10 (a) | 5,140 | 5,212 | ||||||
| Washington Mutual, Inc.: | ||||||||
| 2.4% 11/3/05 | 5,685 | 5,677 | ||||||
| 4.3606% 9/17/12 (f) | 7,500 | 7,495 | ||||||
| 4.625% 4/1/14 | 4,935 | 4,723 | ||||||
| 37,128 | ||||||||
| TOTAL FINANCIALS | 255,903 | |||||||
| INDUSTRIALS – 1.1% | ||||||||
| Aerospace & Defense – 0.1% | ||||||||
| Bombardier, Inc. 7.45% 5/1/34 (a) | 4,090 | 3,456 | ||||||
| Airlines – 0.9% | ||||||||
| American Airlines, Inc. pass thru trust certificates: | ||||||||
| 6.855% 10/15/10 | 450 | 454 | ||||||
| 6.978% 10/1/12 | 1,072 | 1,086 | ||||||
| 7.024% 4/15/11 | 1,235 | 1,251 | ||||||
| 7.324% 4/15/11 | 2,166 | 1,852 | ||||||
| 7.858% 4/1/13 | 9,000 | 9,210 | ||||||
| Continental Airlines, Inc. pass thru trust certificates: | ||||||||
| 6.32% 11/1/08 | 503 | 500 | ||||||
See accompanying notes which are an integral part of the financial statements.
13 Annual Report
| Investments continued | ||||||||
| Nonconvertible Bonds continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| INDUSTRIALS – continued | ||||||||
| Airlines – continued | ||||||||
| Continental Airlines, Inc. pass thru trust certificates: - | ||||||||
| continued | ||||||||
| 6.648% 3/15/19 | $ 2,595 | $ 2,508 | ||||||
| 7.056% 3/15/11 | 705 | 712 | ||||||
| Delta Air Lines, Inc. pass thru trust certificates: | ||||||||
| 7.111% 3/18/13 | 6,340 | 6,134 | ||||||
| 7.57% 11/18/10 | 2,298 | 2,219 | ||||||
| 25,926 | ||||||||
| Industrial Conglomerates – 0.1% | ||||||||
| Hutchison Whampoa International 03/33 Ltd. 7.45% | ||||||||
| 11/24/33 (a) | 2,600 | 3,003 | ||||||
| TOTAL INDUSTRIALS | 32,385 | |||||||
| INFORMATION TECHNOLOGY – 0.4% | ||||||||
| Semiconductors & Semiconductor Equipment – 0.4% | ||||||||
| Chartered Semiconductor Manufacturing Ltd.: | ||||||||
| 5.75% 8/3/10 | 6,340 | 6,268 | ||||||
| 6.375% 8/3/15 | 3,765 | 3,678 | ||||||
| 9,946 | ||||||||
| MATERIALS 0.0% | ||||||||
| Paper & Forest Products 0.0% | ||||||||
| International Paper Co. 4.25% 1/15/09 | 955 | 934 | ||||||
| TELECOMMUNICATION SERVICES – 2.3% | ||||||||
| Diversified Telecommunication Services – 2.2% | ||||||||
| Ameritech Capital Funding Corp. 6.25% 5/18/09 | 2,255 | 2,349 | ||||||
| British Telecommunications PLC 8.375% 12/15/10 | 4,545 | 5,262 | ||||||
| Koninklijke KPN NV yankee 8% 10/1/10 | 5,580 | 6,328 | ||||||
| KT Corp. 5.875% 6/24/14 (a) | 2,160 | 2,267 | ||||||
| Sprint Capital Corp. 7.625% 1/30/11 | 3,700 | 4,140 | ||||||
| Telecom Italia Capital: | ||||||||
| 4% 1/15/10 (a) | 4,055 | 3,894 | ||||||
| 4.875% 10/1/10 | 5,700 | 5,646 | ||||||
| 4.95% 9/30/14 (a) | 3,180 | 3,077 | ||||||
| TELUS Corp. yankee 7.5% 6/1/07 | 10,835 | 11,314 | ||||||
| Verizon Global Funding Corp.: | ||||||||
| 5.85% 9/15/35 | 12,540 | 12,332 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 14 |
| Nonconvertible Bonds continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| TELECOMMUNICATION SERVICES – continued | ||||||||
| Diversified Telecommunication Services – continued | ||||||||
| Verizon Global Funding Corp.: – continued | ||||||||
| 7.25% 12/1/10 | $ 6,435 | $ 7,112 | ||||||
| Verizon New York, Inc. 6.875% 4/1/12 | 1,555 | 1,664 | ||||||
| 65,385 | ||||||||
| Wireless Telecommunication Services – 0.1% | ||||||||
| America Movil SA de CV 6.375% 3/1/35 | 3,595 | 3,486 | ||||||
| TOTAL TELECOMMUNICATION SERVICES | 68,871 | |||||||
| UTILITIES – 2.6% | ||||||||
| Electric Utilities – 1.5% | ||||||||
| Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 2,775 | 2,843 | ||||||
| Exelon Corp. 4.9% 6/15/15 | 8,115 | 7,683 | ||||||
| Exelon Generation Co. LLC 5.35% 1/15/14 | 7,000 | 7,010 | ||||||
| FirstEnergy Corp.: | ||||||||
| 5.5% 11/15/06 | 2,920 | 2,945 | ||||||
| 6.45% 11/15/11 | 2,005 | 2,135 | ||||||
| Oncor Electric Delivery Co. 6.375% 5/1/12 | 5,720 | 6,130 | ||||||
| Pacific Gas & Electric Co. 4.2% 3/1/11 | 845 | 815 | ||||||
| Progress Energy, Inc. 7.75% 3/1/31 | 10,125 | 12,209 | ||||||
| Southern California Edison Co. 4.65% 4/1/15 | 290 | 282 | ||||||
| TXU Energy Co. LLC 7% 3/15/13 | 1,315 | 1,428 | ||||||
| 43,480 | ||||||||
| Gas Utilities 0.2% | ||||||||
| Consolidated Natural Gas Co. 6.85% 4/15/11 | 1,200 | 1,310 | ||||||
| Texas Eastern Transmission Corp. 7.3% 12/1/10 | 3,435 | 3,789 | ||||||
| 5,099 | ||||||||
| Independent Power Producers & Energy Traders – 0.5% | ||||||||
| Constellation Energy Group, Inc. 7% 4/1/12 | 3,305 | 3,633 | ||||||
| Duke Capital LLC: | ||||||||
| 4.331% 11/16/06 | 1,395 | 1,388 | ||||||
| 5.668% 8/15/14 | 3,120 | 3,168 | ||||||
| Duke Energy Corp. 5.625% 11/30/12 | 3,500 | 3,613 | ||||||
| TXU Corp. 5.55% 11/15/14 | 2,890 | 2,751 | ||||||
| 14,553 | ||||||||
| Multi-Utilities – 0.4% | ||||||||
| Dominion Resources, Inc.: | ||||||||
| 4.75% 12/15/10 | 3,815 | 3,773 | ||||||
| 5.95% 6/15/35 | 5,315 | 5,192 | ||||||
See accompanying notes which are an integral part of the financial statements.
15 Annual Report
| Investments continued | ||||||||
| Nonconvertible Bonds continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| UTILITIES – continued | ||||||||
| Multi-Utilities – continued | ||||||||
| DTE Energy Co. 7.05% 6/1/11 | $ 2,165 | $ 2,360 | ||||||
| MidAmerican Energy Holdings, Inc. 4.625% 10/1/07 | 2,385 | 2,378 | ||||||
| 13,703 | ||||||||
| TOTAL UTILITIES | 76,835 | |||||||
| TOTAL NONCONVERTIBLE BONDS | ||||||||
| (Cost $586,156) | 586,991 | |||||||
| U.S. Government and Government Agency Obligations 18.3% | ||||||||
| U.S. Government Agency Obligations 5.5% | ||||||||
| Fannie Mae: | ||||||||
| 4.375% 7/17/13 | 9,595 | 9,275 | ||||||
| 6.25% 2/1/11 | 47,425 | 50,681 | ||||||
| Freddie Mac: | ||||||||
| 4.5% 1/15/14 | 64,090 | 63,536 | ||||||
| 5.25% 11/5/12 | 2,810 | 2,792 | ||||||
| 5.875% 3/21/11 | 34,610 | 36,460 | ||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 162,744 | |||||||
| U.S. Treasury Inflation Protected Obligations 8.5% | ||||||||
| U.S. Treasury Inflation-Indexed Bonds 2.375% 1/15/25 | 95,873 | 102,569 | ||||||
| U.S. Treasury Inflation-Indexed Notes: | ||||||||
| 0.875% 4/15/10 | 92,814 | 90,443 | ||||||
| 1.875% 7/15/13 | 13,828 | 14,014 | ||||||
| 2% 1/15/14 (c) | 44,667 | 45,597 | ||||||
| TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 252,623 | |||||||
| U.S. Treasury Obligations – 4.3% | ||||||||
| U.S. Treasury Bonds 8% 11/15/21 | 40,425 | 55,960 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 16 |
| U.S. Government and Government Agency Obligations continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| U.S. Treasury Obligations continued | ||||||||
| U.S. Treasury Notes: | ||||||||
| 2.75% 7/31/06 | $ 45,637 | $ 45,147 | ||||||
| 4.75% 5/15/14 (c) | 24,460 | 25,200 | ||||||
| TOTAL U.S. TREASURY OBLIGATIONS | 126,307 | |||||||
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY | ||||||||
| OBLIGATIONS | ||||||||
| (Cost $539,996) | 541,674 | |||||||
| U.S. Government Agency Mortgage Securities 20.8% | ||||||||
| Fannie Mae – 18.8% | ||||||||
| 3.468% 4/1/34 (f) | 966 | 966 | ||||||
| 3.736% 1/1/35 (f) | 640 | 632 | ||||||
| 3.752% 10/1/33 (f) | 423 | 417 | ||||||
| 3.789% 12/1/34 (f) | 117 | 116 | ||||||
| 3.796% 6/1/34 (f) | 1,830 | 1,785 | ||||||
| 3.82% 1/1/35 (f) | 403 | 399 | ||||||
| 3.826% 6/1/33 (f) | 310 | 307 | ||||||
| 3.838% 1/1/35 (f) | 1,185 | 1,180 | ||||||
| 3.875% 6/1/33 (f) | 1,714 | 1,703 | ||||||
| 3.875% 11/1/34 (f) | 2,541 | 2,518 | ||||||
| 3.913% 12/1/34 (f) | 385 | 384 | ||||||
| 3.92% 10/1/34 (f) | 517 | 514 | ||||||
| 3.961% 11/1/34 (f) | 812 | 809 | ||||||
| 3.965% 5/1/33 (f) | 136 | 135 | ||||||
| 3.97% 5/1/34 (f) | 163 | 165 | ||||||
| 3.971% 1/1/35 (f) | 528 | 523 | ||||||
| 3.979% 12/1/34 (f) | 491 | 488 | ||||||
| 3.992% 1/1/35 (f) | 316 | 314 | ||||||
| 4% 10/1/20 (b) | 19,868 | 19,105 | ||||||
| 4.006% 12/1/34 (f) | 409 | 407 | ||||||
| 4.008% 12/1/34 (f) | 2,732 | 2,725 | ||||||
| 4.017% 2/1/35 (f) | 398 | 394 | ||||||
| 4.02% 12/1/34 (f) | 271 | 270 | ||||||
| 4.026% 2/1/35 (f) | 357 | 353 | ||||||
| 4.03% 1/1/35 (f) | 177 | 176 | ||||||
| 4.032% 1/1/35 (f) | 742 | 736 | ||||||
| 4.057% 10/1/18 (f) | 406 | 401 | ||||||
| 4.059% 1/1/35 (f) | 352 | 348 | ||||||
See accompanying notes which are an integral part of the financial statements.
17 Annual Report
| Investments continued | ||||||||
| U.S. Government Agency Mortgage Securities continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| Fannie Mae continued | ||||||||
| 4.064% 4/1/33 (f) | $ 146 | $ 145 | ||||||
| 4.07% 12/1/34 (f) | 752 | 747 | ||||||
| 4.096% 1/1/35 (f) | 772 | 767 | ||||||
| 4.097% 2/1/35 (f) | 259 | 257 | ||||||
| 4.107% 2/1/35 (f) | 274 | 272 | ||||||
| 4.108% 2/1/35 (f) | 1,417 | 1,406 | ||||||
| 4.111% 1/1/35 (f) | 775 | 767 | ||||||
| 4.119% 2/1/35 (f) | 666 | 660 | ||||||
| 4.125% 1/1/35 (f) | 768 | 770 | ||||||
| 4.129% 1/1/35 (f) | 1,326 | 1,315 | ||||||
| 4.138% 2/1/35 (f) | 874 | 871 | ||||||
| 4.139% 11/1/34 (f) | 636 | 631 | ||||||
| 4.149% 2/1/35 (f) | 722 | 717 | ||||||
| 4.175% 1/1/35 (f) | 1,428 | 1,417 | ||||||
| 4.179% 1/1/35 (f) | 648 | 644 | ||||||
| 4.182% 11/1/34 (f) | 187 | 186 | ||||||
| 4.191% 1/1/35 (f) | 838 | 826 | ||||||
| 4.217% 3/1/34 (f) | 371 | 369 | ||||||
| 4.25% 2/1/35 (f) | 418 | 411 | ||||||
| 4.295% 1/1/35 (f) | 507 | 507 | ||||||
| 4.296% 8/1/33 (f) | 880 | 877 | ||||||
| 4.296% 3/1/35 (f) | 407 | 405 | ||||||
| 4.31% 2/1/35 (f) | 266 | 264 | ||||||
| 4.315% 3/1/33 (f) | 213 | 210 | ||||||
| 4.315% 5/1/35 (f) | 612 | 607 | ||||||
| 4.319% 1/1/35 (f) | 421 | 418 | ||||||
| 4.333% 12/1/34 (f) | 271 | 271 | ||||||
| 4.353% 1/1/35 (f) | 431 | 425 | ||||||
| 4.366% 4/1/35 (f) | 290 | 288 | ||||||
| 4.367% 2/1/34 (f) | 1,009 | 1,003 | ||||||
| 4.401% 2/1/35 (f) | 671 | 662 | ||||||
| 4.412% 5/1/35 (f) | 1,279 | 1,276 | ||||||
| 4.427% 11/1/34 (f) | 6,256 | 6,273 | ||||||
| 4.449% 3/1/35 (f) | 601 | 595 | ||||||
| 4.454% 4/1/34 (f) | 712 | 708 | ||||||
| 4.457% 10/1/34 (f) | 2,352 | 2,360 | ||||||
| 4.483% 1/1/35 (f) | 691 | 693 | ||||||
| 4.489% 8/1/34 (f) | 1,358 | 1,353 | ||||||
| 4.496% 3/1/35 (f) | 1,315 | 1,301 | ||||||
| 4.499% 5/1/35 (f) | 460 | 459 | ||||||
| 4.5% 9/1/19 to 12/1/33 | 111,796 | 109,043 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 18 |
| U.S. Government Agency Mortgage Securities continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| Fannie Mae continued | ||||||||
| 4.5% 10/1/20 (b) | $ 25,000 | $ 24,438 | ||||||
| 4.5% 10/1/35 (b) | 13,500 | 12,838 | ||||||
| 4.526% 3/1/35 (f) | 1,196 | 1,184 | ||||||
| 4.532% 8/1/34 (f) | 815 | 816 | ||||||
| 4.554% 7/1/35 (f) | 1,594 | 1,592 | ||||||
| 4.555% 2/1/35 (f) | 2,856 | 2,856 | ||||||
| 4.558% 2/1/35 (f) | 465 | 464 | ||||||
| 4.585% 2/1/35 (f) | 3,892 | 3,860 | ||||||
| 4.603% 2/1/35 (f) | 329 | 330 | ||||||
| 4.605% 2/1/35 (f) | 1,285 | 1,276 | ||||||
| 4.648% 11/1/34 (f) | 1,476 | 1,470 | ||||||
| 4.679% 11/1/34 (f) | 1,466 | 1,456 | ||||||
| 4.708% 3/1/35 (f) | 3,762 | 3,772 | ||||||
| 4.736% 7/1/34 (f) | 1,270 | 1,265 | ||||||
| 4.737% 3/1/35 (f) | 687 | 685 | ||||||
| 4.818% 12/1/32 (f) | 609 | 612 | ||||||
| 4.823% 12/1/34 (f) | 1,240 | 1,240 | ||||||
| 4.847% 12/1/34 (f) | 503 | 503 | ||||||
| 5% 10/1/35 (b) | 86,500 | 84,635 | ||||||
| 5% 10/1/35 (b) | 32,500 | 31,799 | ||||||
| 5.117% 5/1/35 (f) | 3,069 | 3,094 | ||||||
| 5.204% 6/1/35 (f) | 2,238 | 2,260 | ||||||
| 5.297% 9/1/35 (f) | 895 | 899 | ||||||
| 5.5% 1/1/09 to 9/1/34 | 88,423 | 88,740 | ||||||
| 5.5% 10/1/35 (b) | 13,500 | 13,487 | ||||||
| 6% 4/1/13 to 9/1/32 | 14,914 | 15,173 | ||||||
| 6% 10/1/35 (b) | 9,080 | 9,228 | ||||||
| 6.5% 10/1/24 to 3/1/34 | 41,711 | 43,008 | ||||||
| 6.5% 10/1/35 (b) | 9,756 | 10,043 | ||||||
| 7% 5/1/13 to 10/1/32 | 9,364 | 9,815 | ||||||
| 7.5% 1/1/26 to 7/1/29 | 2,665 | 2,826 | ||||||
| 9.5% 4/1/17 to 10/1/18 | 100 | 110 | ||||||
| TOTAL FANNIE MAE | 557,220 | |||||||
| Freddie Mac – 0.9% | ||||||||
| 4.081% 12/1/34 (f) | 463 | 459 | ||||||
| 4.109% 12/1/34 (f) | 661 | 658 | ||||||
| 4.192% 1/1/35 (f) | 656 | 654 | ||||||
| 4.294% 3/1/35 (f) | 611 | 607 | ||||||
| 4.3% 5/1/35 (f) | 1,050 | 1,046 | ||||||
| 4.308% 12/1/34 (f) | 634 | 625 | ||||||
See accompanying notes which are an integral part of the financial statements.
19 Annual Report
| Investments continued | ||||||||
| U.S. Government Agency Mortgage Securities continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| Freddie Mac continued | ||||||||
| 4.331% 1/1/35 (f) | $ 1,481 | $ 1,469 | ||||||
| 4.368% 3/1/35 (f) | 876 | 861 | ||||||
| 4.39% 2/1/35 (f) | 1,170 | 1,169 | ||||||
| 4.446% 3/1/35 (f) | 556 | 548 | ||||||
| 4.449% 2/1/34 (f) | 678 | 677 | ||||||
| 4.479% 6/1/35 (f) | 836 | 832 | ||||||
| 4.489% 3/1/35 (f) | 1,642 | 1,632 | ||||||
| 4.495% 3/1/35 (f) | 4,143 | 4,105 | ||||||
| 4.496% 3/1/35 (f) | 663 | 655 | ||||||
| 4.563% 2/1/35 (f) | 931 | 923 | ||||||
| 5.028% 4/1/35 (f) | 3,476 | 3,484 | ||||||
| 5.237% 8/1/33 (f) | 273 | 277 | ||||||
| 6% 5/1/33 | 5,513 | 5,620 | ||||||
| 8.5% 5/1/25 to 8/1/27 | 253 | 275 | ||||||
| TOTAL FREDDIE MAC | 26,576 | |||||||
| Government National Mortgage Association 1.1% | ||||||||
| 5.5% 4/15/29 to 5/15/34 | 8,923 | 9,012 | ||||||
| 6% 10/15/08 to 7/15/29 | 1,058 | 1,085 | ||||||
| 6.5% 10/15/27 to 2/15/33 | 1,891 | 1,970 | ||||||
| 7% 3/15/23 to 1/15/33 | 17,716 | 18,634 | ||||||
| 7.5% 12/15/05 to 10/15/27 | 918 | 980 | ||||||
| 8% 1/15/30 to 6/15/32 | 64 | 68 | ||||||
| 8.5% 8/15/29 | 99 | 107 | ||||||
| TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 31,856 | |||||||
| TOTAL U.S. GOVERNMENT AGENCY MORTGAGE SECURITIES | ||||||||
| (Cost $618,391) | 615,652 | |||||||
| Asset Backed Securities 6.1% | ||||||||
| ACE Securities Corp.: | ||||||||
| Series 2003-FM1 Class M2, 5.68% 11/25/32 (f) | 1,920 | 1,939 | ||||||
| Series 2004-HE1: | ||||||||
| Class M1, 4.33% 2/25/34 (f) | 975 | 975 | ||||||
| Class M2, 4.93% 2/25/34 (f) | 1,100 | 1,101 | ||||||
| Aircraft Lease Securitization Ltd. Series 2005-1 Class | ||||||||
| C1, 7.2% 9/9/30 (a)(f) | 805 | 822 | ||||||
| American Express Credit Account Master Trust Series | ||||||||
| 2004-C Class C, 4.2681% 2/15/12 (a)(f) | 8,569 | 8,588 | ||||||
See accompanying notes which are an integral part of the financial statements.
Annual Report 20
| Asset Backed Securities continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| AmeriCredit Automobile Receivables Trust Series 2005-1 | ||||||||
| Class E, 5.82% 6/6/12 (a) | $ 1,735 | $ 1,729 | ||||||
| Ameriquest Mortgage Securities, Inc. Series 2004-R2: | ||||||||
| Class M1, 4.26% 4/25/34 (f) | 545 | 545 | ||||||
| Class M2, 4.31% 4/25/34 (f) | 425 | 425 | ||||||
| Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||
| Series 2003-HE2 Class A2, 4.1481% 4/15/33 (f) | 317 | 317 | ||||||
| Series 2003-HE7 Class A3, 4.1281% 12/15/33 (f) | 1,829 | 1,835 | ||||||
| Series 2004-HE2 Class M1, 4.38% 4/25/34 (f) | 2,670 | 2,680 | ||||||
| Bank One Issuance Trust: | ||||||||
| Series 2002-C1 Class C1, 4.7281% 12/15/09 (f) | 3,285 | 3,319 | ||||||
| Series 2004-B2 Class B2, 4.37% 4/15/12 | 5,500 | 5,428 | ||||||
| Bayview Financial Mortgage Loan Trust Series 2004-A | ||||||||
| Class A, 4.2875% 2/28/44 (f) | 2,265 | 2,269 | ||||||
| Capital Auto Receivables Asset Trust Series 2004-2 Class | ||||||||
| A2, 3.35% 2/15/08 | 3,520 | 3,471 | ||||||
| Capital One Multi-Asset Execution Trust: | ||||||||
| Series 2003-B1 Class B1, 4.9381% 2/17/09 (f) | 7,130 | 7,163 | ||||||
| Series 2003-B2 Class B2, 3.5% 2/17/09 | 3,750 | 3,728 | ||||||
| Series 2003-B4 Class B4, 4.5681% 7/15/11 (f) | 3,395 | 3,448 | ||||||
| Series 2004-6 Class B, 4.15% 7/16/12 | 4,560 | 4,460 | ||||||
| CDC Mortgage Capital Trust Series 2003-HE2 Class M2, | ||||||||
| 5.5413% 10/25/33 (f) | 1,670 | 1,697 | ||||||
| Cendant Timeshare Receivables Funding LLC Series | ||||||||
| 2005-1A Class A1, 4.67% 5/20/17 (a) | 2,518 | 2,518 | ||||||
| Chase Credit Card Owner Trust Series 2004-1 Class B, | ||||||||
| 3.9681% 5/15/09 (f) | 1,855 | 1,855 | ||||||
| Citibank Credit Card Issuance Trust: | ||||||||
| Series 2000-C2 Class C2, 4.2488% 10/15/07 (f) | 7,200 | 7,200 | ||||||
| Series 2003-C1 Class C1, 4.65% 4/7/10 (f) | 2,375 | 2,425 | ||||||
| Countrywide Home Loans, Inc.: | ||||||||
| Series 2004-2 Class M1, 4.33% 5/25/34 (f) | 2,300 | 2,304 | ||||||
| Series 2004-3 Class M1, 4.33% 6/25/34 (f) | 650 | 651 | ||||||
| Series 2005-3 Class MV1, 4.25% 8/25/35 (f) | 4,750 | 4,747 | ||||||
| Crown Castle Towers LLC/Crown Atlantic Holdings Sub | ||||||||
| LLC/Crown Communication, Inc. Series 2005-1A: | ||||||||
| Class B, 4.878% 6/15/35 (a) | 2,178 | 2,137 | ||||||
| Class C, 5.074% 6/15/35 (a) | 1,977 | 1,944 | ||||||
| Fieldstone Mortgage Investment Corp. Series 2003-1: | ||||||||
| Class M1, 4.51% 11/25/33 (f) | 700 | 706 | ||||||
| Class M2, 5.58% 11/25/33 (f) | 400 | 410 | ||||||
| First Franklin Mortgage Loan Trust Series 2004-FF2: | ||||||||
| Class M3, 4.38% 3/25/34 (f) | 175 | 175 | ||||||
See accompanying notes which are an integral part of the financial statements.
21 Annual Report
| Investments continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| First Franklin Mortgage Loan Trust Series 2004-FF2: - | ||||||||
| continued | ||||||||
| Class M4, 4.73% 3/25/34 (f) | $ 125 | $ 126 | ||||||
| Fremont Home Loan Trust Series 2005-A: | ||||||||
| Class M1, 4.26% 1/25/35 (f) | 725 | 727 | ||||||
| Class M2, 4.29% 1/25/35 (f) | 1,025 | 1,026 | ||||||
| Class M3, 4.32% 1/25/35 (f) | 550 | 551 | ||||||
| GSAMP Trust: | ||||||||
| Series 2004-FM2: | ||||||||
| Class M1, 4.33% 1/25/34 (f) | 1,500 | 1,500 | ||||||
| Class M2, 4.93% 1/25/34 (f) | 700 | 700 | ||||||
| Class M3, 5.13% 1/25/34 (f) | 700 | 700 | ||||||
| Series 2004-OPT Class A1, 4.17% 11/25/34 (f) | 3,011 | 3,019 | ||||||
| Home Equity Asset Trust: | ||||||||
| Series 2003-2: | ||||||||
| Class A2, 4.21% 8/25/33 (f) | 114 | 114 | ||||||
| Class M1, 4.71% 8/25/33 (f) | 1,595 | 1,614 | ||||||
| Series 2003-4: | ||||||||
| Class M1, 4.4413% 10/25/33 (f) | 2,125 | 2,139 | ||||||
| Class M2, 5.5413% 10/25/33 (f) | 2,515 | 2,544 | ||||||
| Household Home Equity Loan Trust Series 2002-2 Class | ||||||||
| A, 4.0963% 4/20/32 (f) | 2,026 | 2,027 | ||||||
| HSBC Home Equity Loan Trust Series 2005-2: | ||||||||
| Class M1, 4.2563% 1/20/35 (f) | 1,211 | 1,211 | ||||||
| Class M2, 4.2863% 1/20/35 (f) | 908 | 908 | ||||||
| Long Beach Mortgage Loan Trust Series 2003-3 Class | ||||||||
| M2, 5.4913% 7/25/33 (f) | 2,545 | 2,589 | ||||||
| MBNA Credit Card Master Note Trust: | ||||||||
| Series 2001-B2 Class B2, 4.1281% 1/15/09 (f) | 24,500 | 24,545 | ||||||
| Series 2003-B2 Class B2, 4.1581% 10/15/10 (f) | 625 | 631 | ||||||
| Series 2003-B3 Class B3, 4.1431% 1/18/11 (f) | 3,295 | 3,313 | ||||||
| Series 2003-B5 Class B5, 4.1381% 2/15/11 (f) | 5,010 | 5,046 | ||||||
| Meritage Mortgage Loan Trust Series 2004-1: | ||||||||
| Class M1, 4.33% 7/25/34 (f) | 925 | 925 | ||||||
| Class M2, 4.38% 7/25/34 (f) | 175 | 175 | ||||||
| Class M3, 4.78% 7/25/34 (f) | 350 | 350 | ||||||
| Class M4, 4.93% 7/25/34 (f) | 235 | 235 | ||||||
| Morgan Stanley ABS Capital I, Inc.: | ||||||||
| Series 2002-HE3 Class M1, 4.93% 12/27/32 (f) | 885 | 898 | ||||||
| Series 2003-NC8 Class M1, 4.53% 9/25/33 (f) | 1,330 | 1,347 | ||||||
| Series 2004-NC2 Class M1, 4.38% 12/25/33 (f) | 1,130 | 1,134 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 22 |
| Asset Backed Securities continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| Morgan Stanley Dean Witter Capital I Trust: | ||||||||
| Series 2001-NC4 Class M1, 4.83% 1/25/32 (f) | $ 2,700 | $ 2,708 | ||||||
| Series 2002-NC1 Class M1, 4.63% 2/25/32 (a)(f) | 1,356 | 1,364 | ||||||
| Series 2002-NC3 Class M1, 4.55% 8/25/32 (f) | 723 | 726 | ||||||
| Series 2003-NC2 Class M2, 5.83% 2/25/33 (f) | 1,430 | 1,449 | ||||||
| National Collegiate Funding LLC Series 2004-GT1 Class | ||||||||
| IO1, 7.87% 6/25/10 (a)(f)(h) | 3,540 | 1,151 | ||||||
| National Collegiate Student Loan Trust: | ||||||||
| Series 2004-2 Class AIO, 9.75% 10/25/14 (h) | 3,560 | 1,766 | ||||||
| Series 2005-GT1 Class AIO, 6.75% 12/25/09 (h) | 1,800 | 451 | ||||||
| Nissan Auto Lease Trust Series 2003-A Class A3B, | ||||||||
| 2.57% 6/15/09 | 2,794 | 2,765 | ||||||
| NovaStar Home Equity Loan Series 2004-1: | ||||||||
| Class M1, 4.28% 6/25/34 (f) | 650 | 651 | ||||||
| Class M4, 4.805% 6/25/34 (f) | 1,065 | 1,069 | ||||||
| Onyx Acceptance Owner Trust Series 2005-A Class A3, | ||||||||
| 3.69% 5/15/09 | 1,775 | 1,754 | ||||||
| Ownit Mortgage Loan Asset-Backed Certificates Series | ||||||||
| 2005-3 Class A2A, 3.95% 6/25/36 (f) | 7,884 | 7,883 | ||||||
| Saxon Asset Securities Trust Series 2004-1 Class M1, | ||||||||
| 4.36% 3/25/35 (f) | 1,920 | 1,922 | ||||||
| SLM Private Credit Student Loan Trust Series 2004-A | ||||||||
| Class C, 4.82% 6/15/33 (f) | 2,165 | 2,210 | ||||||
| Specialty Underwriting & Residential Finance Series | ||||||||
| 2003-BC4 Class M1, 4.43% 11/25/34 (f) | 785 | 789 | ||||||
| Superior Wholesale Inventory Financing Trust VII Series | ||||||||
| 2003-A8 Class CTFS, 4.2181% 3/15/11 (a)(f) | 4,670 | 4,666 | ||||||
| WFS Financial Owner Trust Class 2004-3 Series A3, | ||||||||
| 3.3% 3/17/09 | 5,300 | 5,235 | ||||||
| TOTAL ASSET BACKED SECURITIES | ||||||||
| (Cost $181,633) | 181,664 | |||||||
| Collateralized Mortgage Obligations 8.7% | ||||||||
| Private Sponsor 6.5% | ||||||||
| Adjustable Rate Mortgage Trust floater Series 2005-1 | ||||||||
| Class 5A2, 4.16% 5/25/35 (f) | 3,699 | 3,702 | ||||||
| Bank of America Mortgage Securities, Inc.: | ||||||||
| Series 2003-K: | ||||||||
| Class 1A1, 3.3781% 12/25/33 (f) | 747 | 742 | ||||||
| Class 2A1, 4.1827% 12/25/33 (f) | 2,645 | 2,605 | ||||||
| Series 2003-L Class 2A1, 3.9851% 1/25/34 (f) | 4,889 | 4,798 | ||||||
| Series 2004-1 Class 2A2, 4.7256% 10/25/34 (f) | 3,907 | 3,877 | ||||||
See accompanying notes which are an integral part of the financial statements.
23 Annual Report
| Investments continued | ||||||||
| Collateralized Mortgage Obligations continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| Private Sponsor continued | ||||||||
| Bank of America Mortgage Securities, Inc.: – continued | ||||||||
| Series 2004-B: | ||||||||
| Class 1A1, 3.4156% 3/25/34 (f) | $ 1,595 | $ 1,573 | ||||||
| Class 2A2, 4.1273% 3/25/34 (f) | 1,761 | 1,719 | ||||||
| Series 2004-C Class 1A1, 3.3645% 4/25/34 (f) | 2,816 | 2,770 | ||||||
| Series 2004 D: | ||||||||
| Class 1A1, 3.5486% 5/25/34 (f) | 3,493 | 3,452 | ||||||
| Class 2A2, 4.2091% 5/25/34 (f) | 4,608 | 4,534 | ||||||
| Series 2004-G Class 2A7, 4.594% 8/25/34 (f) | 3,570 | 3,555 | ||||||
| Series 2004-H Class 2A1, 4.5051% 9/25/34 (f) | 3,775 | 3,729 | ||||||
| Series 2004-J: | ||||||||
| Class 1A2, 4.3151% 11/25/34 (f) | 1,395 | 1,387 | ||||||
| Class 2A1, 4.8008% 11/25/34 (f) | 6,375 | 6,333 | ||||||
| Bear Stearns Adjustable Rate Mortgage Trust Series | ||||||||
| 2005-6 Class 1A1, 5.17% 8/25/35 (f) | 5,043 | 5,044 | ||||||
| Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, | ||||||||
| 4.11% 1/25/35 (f) | 13,223 | 13,232 | ||||||
| CS First Boston Mortgage Securities Corp. floater: | ||||||||
| Series 2004-AR3 Class 6A2, 4.2% 4/25/34 (f) | 852 | 852 | ||||||
| Series 2004-AR6 Class 9A2, 4.2% 10/25/34 (f) | 1,416 | 1,417 | ||||||
| Granite Master Issuer PLC floater Series 2005-2 Class | ||||||||
| M1, 4.06% 12/20/54 (f) | 6,000 | 5,998 | ||||||
| Master Alternative Loan Trust Series 2004-3 Class 3A1, | ||||||||
| 6% 4/25/34 | 654 | 658 | ||||||
| Master Asset Securitization Trust Series 2004-9 Class | ||||||||
| 7A1, 6.3223% 5/25/17 (f) | 3,338 | 3,367 | ||||||
| Master Seasoned Securitization Trust Series 2004-1 | ||||||||
| Class 1A1, 6.2398% 8/25/17 (f) | 2,709 | 2,761 | ||||||
| Merrill Lynch Mortgage Investors, Inc. floater: | ||||||||
| Series 2004-E Class A2B, 4.45% 11/25/29 (f) | 3,274 | 3,269 | ||||||
| Series 2004-G Class A2, 3.95% 11/25/29 (f) | 2,049 | 2,049 | ||||||
| Series 2005-B Class A2, 3.75% 6/25/30 (f) | 3,289 | 3,282 | ||||||
| Opteum Mortgage Acceptance Corp. floater Series | ||||||||
| 2005-3 Class APT, 4.12% 7/25/35 (f) | 6,024 | 6,028 | ||||||
| Residential Asset Mortgage Products, Inc. sequential pay: | ||||||||
| Series 2003-SL1 Class 3A1, 7.125% 4/25/31 | 1,521 | 1,546 | ||||||
| Series 2004-SL2 Class A1, 6.5% 10/25/16 | 560 | 570 | ||||||
| Residential Finance LP/Residential Finance Development | ||||||||
| Corp. floater: | ||||||||
| Series 2003-B: | ||||||||
| Class B3, 5.2781% 7/10/35 (a)(f) | 4,716 | 4,798 | ||||||
| Class B4, 5.4781% 7/10/35 (a)(f) | 3,561 | 3,628 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 24 |
| Collateralized Mortgage Obligations continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| Private Sponsor continued | ||||||||
| Residential Finance LP/Residential Finance Development | ||||||||
| Corp. floater: – continued | ||||||||
| Series 2003-B: | ||||||||
| Class B5, 6.0781% 7/10/35 (a)(f) | $ 3,368 | $ 3,440 | ||||||
| Class B6, 6.5781% 7/10/35 (a)(f) | 1,540 | 1,573 | ||||||
| Series 2003-CB1: | ||||||||
| Class B3, 5.1781% 6/10/35 (a)(f) | 1,620 | 1,648 | ||||||
| Class B4, 5.3781% 6/10/35 (a)(f) | 1,451 | 1,479 | ||||||
| Class B5, 5.9781% 6/10/35 (a)(f) | 990 | 1,011 | ||||||
| Class B6, 6.4781% 6/10/35 (a)(f) | 586 | 599 | ||||||
| Series 2004-A Class B5, 5.4281% 2/10/36 (a)(f) | 3,915 | 3,994 | ||||||
| Series 2004-B: | ||||||||
| Class B4, 4.8281% 2/10/36 (a)(f) | 588 | 597 | ||||||
| Class B5, 5.2781% 2/10/36 (a)(f) | 392 | 399 | ||||||
| Class B6, 5.7281% 2/10/36 (a)(f) | 98 | 100 | ||||||
| Series 2004-C: | ||||||||
| Class B4, 4.6781% 9/10/36 (f) | 789 | 799 | ||||||
| Class B5, 5.0781% 9/10/36 (f) | 888 | 898 | ||||||
| Class B6, 5.4781% 9/10/36 (f) | 99 | 100 | ||||||
| Sequoia Mortgage Trust floater: | ||||||||
| Series 2004-12 Class 1A2, 3.93% 1/20/35 (f) | 6,768 | 6,766 | ||||||
| Series 2004-4 Class A, 3.5881% 5/20/34 (f) | 5,261 | 5,255 | ||||||
| Structured Adjustable Rate Mortgage Loan Trust floater | ||||||||
| Series 2001-14 Class A1, 4.14% 7/25/35 (f) | 7,909 | 7,909 | ||||||
| Thornburg Mortgage Securities Trust floater Series | ||||||||
| 2005-3: | ||||||||
| Class A2, 4.078% 8/25/45 (f) | 3,260 | 3,260 | ||||||
| Class A4, 4.108% 8/25/45 (f) | 8,085 | 8,085 | ||||||
| WAMU Mortgage pass thru certificates Series | ||||||||
| 2005-AR13 Class A1C1, 4.2275% 10/25/45 (f) | 14,705 | 14,705 | ||||||
| Washington Mutual Mortgage Securities Corp. | ||||||||
| sequential pay: | ||||||||
| Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | 565 | 581 | ||||||
| Series 2004-RA2 Class 2A, 7% 7/25/33 | 818 | 835 | ||||||
| Wells Fargo Mortgage Backed Securities Trust: | ||||||||
| Series 2004-T Class A1, 3.4549% 9/25/34 (f) | 4,055 | 4,036 | ||||||
| Series 2005-AR10 Class 2A2, 4.1106% 6/25/35 (f) . | 6,948 | 6,838 | ||||||
| Series 2005-AR2 Class 2A2, 4.57% 3/25/35 | 10,914 | 10,764 | ||||||
| Series 2005-AR9 Class 2A1, 4.3621% 5/25/35 (f) | 3,604 | 3,566 | ||||||
| TOTAL PRIVATE SPONSOR | 192,512 | |||||||
See accompanying notes which are an integral part of the financial statements.
25 Annual Report
| Investments continued | ||||||||
| Collateralized Mortgage Obligations continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| U.S. Government Agency 2.2% | ||||||||
| Fannie Mae guaranteed REMIC pass thru certificates | ||||||||
| planned amortization class Series 2003-81 Class MX, | ||||||||
| 3.5% 3/25/24 | $ 10,000 | $ 9,805 | ||||||
| Freddie Mac Multi-class participation certificates | ||||||||
| guaranteed: | ||||||||
| planned amortization class: | ||||||||
| Series 1669 Class H, 6.5% 7/15/23 | 10,000 | 10,169 | ||||||
| Series 2425 Class JH, 6% 3/15/17 | 2,425 | 2,501 | ||||||
| Series 2498 Class PD, 5.5% 2/15/16 | 1,661 | 1,677 | ||||||
| Series 2614 Class TD, 3.5% 5/15/16 | 10,000 | 9,572 | ||||||
| Series 2760 Class EB, 4.5% 9/15/16 | 14,583 | 14,383 | ||||||
| Series 2773 Class EG, 4.5% 4/15/19 | 12,500 | 12,038 | ||||||
| sequential pay Series 2750 Class ZT, 5% 2/15/34 | 3,165 | 2,866 | ||||||
| TOTAL U.S. GOVERNMENT AGENCY | 63,011 | |||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
| (Cost $256,346) | 255,523 | |||||||
| Commercial Mortgage Securities 4.5% | ||||||||
| Banc of America Commercial Mortgage, Inc. Series | ||||||||
| 2005-3 Series A3B, 5.09% 7/10/43 (f) | 8,590 | 8,606 | ||||||
| Bayview Commercial Asset Trust floater: | ||||||||
| Series 2004-1: | ||||||||
| Class A, 4.19% 4/25/34 (a)(f) | 2,749 | 2,750 | ||||||
| Class B, 5.73% 4/25/34 (a)(f) | 323 | 327 | ||||||
| Class M1, 4.39% 4/25/34 (a)(f) | 243 | 244 | ||||||
| Class M2, 5.03% 4/25/34 (a)(f) | 243 | 245 | ||||||
| Series 2004-2 Class A, 4.26% 8/25/34 (a)(f) | 2,556 | 2,561 | ||||||
| Series 2004-3: | ||||||||
| Class A1, 4.2% 1/25/35 (a)(f) | 2,909 | 2,912 | ||||||
| Class A2, 4.25% 1/25/35 (a)(f) | 422 | 424 | ||||||
| Class M1, 4.33% 1/25/35 (a)(f) | 516 | 517 | ||||||
| Class M2, 4.83% 1/25/35 (a)(f) | 328 | 330 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc.: | ||||||||
| sequential pay Series 2004-ESA Class A3, 4.741% | ||||||||
| 5/14/16 (a) | 1,385 | 1,381 | ||||||
| Series 2004 ESA: | ||||||||
| Class B, 4.888% 5/14/16 (a) | 2,525 | 2,530 | ||||||
| Class C, 4.937% 5/14/16 (a) | 25 | 25 | ||||||
| Class D, 4.986% 5/14/16 (a) | 575 | 578 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 26 |
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| Bear Stearns Commercial Mortgage Securities, Inc.: - | ||||||||
| continued | ||||||||
| Series 2004 ESA: | ||||||||
| Class E, 5.064% 5/14/16 (a) | $ 1,785 | $ 1,799 | ||||||
| Class F, 5.182% 5/14/16 (a) | 430 | 433 | ||||||
| Chase Commercial Mortgage Securities Corp. Series | ||||||||
| 2001-245 Class A2, 6.4842% 2/12/16 (a)(f) | 1,950 | 2,080 | ||||||
| Commercial Mortgage pass thru certificates floater: | ||||||||
| Series 2004-CNL: | ||||||||
| Class B, 4.1681% 9/15/14 (a)(f) | 790 | 790 | ||||||
| Class D, 4.4081% 9/15/14 (a)(f) | 245 | 245 | ||||||
| Class E, 4.4681% 9/15/14 (a)(f) | 330 | 330 | ||||||
| Class F, 4.5681% 9/15/14 (a)(f) | 260 | 260 | ||||||
| Class G, 4.7481% 9/15/14 (a)(f) | 595 | 595 | ||||||
| Class H, 4.8481% 9/15/14 (a)(f) | 630 | 630 | ||||||
| Class J, 5.3681% 9/15/14 (a)(f) | 215 | 216 | ||||||
| Class K, 5.7681% 9/15/14 (a)(f) | 340 | 341 | ||||||
| Class L, 5.9681% 9/15/14 (a)(f) | 275 | 275 | ||||||
| Series 2005-F10A: | ||||||||
| Class B, 3.9981% 4/15/17 (a)(f) | 3,025 | 3,023 | ||||||
| Class C, 4.0381% 4/15/17 (a)(f) | 1,285 | 1,283 | ||||||
| Class D, 4.0781% 4/15/17 (a)(f) | 1,045 | 1,044 | ||||||
| Class I, 4.6181% 4/15/17 (a)(f) | 145 | 145 | ||||||
| Class MOA3, 4.0681% 3/15/20 (a)(f) | 1,960 | 1,960 | ||||||
| CS First Boston Mortgage Securities Corp.: | ||||||||
| floater: | ||||||||
| Series 2004-HC1: | ||||||||
| Class A2, 4.2681% 12/15/21 (a)(f) | 675 | 675 | ||||||
| Class B, 4.5181% 12/15/21 (a)(f) | 1,745 | 1,745 | ||||||
| Series 2005-TFLA: | ||||||||
| Class C, 4.0081% 2/15/20 (a)(f) | 2,405 | 2,405 | ||||||
| Class E, 4.0981% 2/15/20 (a)(f) | 1,670 | 1,670 | ||||||
| Class F, 4.1481% 2/15/20 (a)(f) | 745 | 745 | ||||||
| Class G, 4.2881% 2/15/20 (a)(f) | 215 | 215 | ||||||
| Class H, 4.5181% 2/15/20 (a)(f) | 305 | 305 | ||||||
| sequential pay: | ||||||||
| Series 1997-C2 Class A2, 6.52% 1/17/35 | 103 | 103 | ||||||
| Series 2000-C1 Class A2, 7.545% 4/15/62 | 3,100 | 3,400 | ||||||
| Series 1997-C2 Class D, 7.27% 1/17/35 | 1,065 | 1,136 | ||||||
| Deutsche Mortgage & Asset Receiving Corp. sequential | ||||||||
| pay Series 1998-C1 Class D, 7.231% 6/15/31 | 1,810 | 1,914 | ||||||
| DLJ Commercial Mortgage Corp. sequential pay Series | ||||||||
| 2000-CF1 Class A1B, 7.62% 6/10/33 | 8,000 | 8,854 | ||||||
See accompanying notes which are an integral part of the financial statements.
27 Annual Report
| Investments continued | ||||||||
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| Equitable Life Assurance Society of the United States | ||||||||
| Series 174: | ||||||||
| Class B1, 7.33% 5/15/06 (a) | $ 1,500 | $ 1,523 | ||||||
| Class C1, 7.52% 5/15/06 (a) | 1,000 | 1,016 | ||||||
| Fannie Mae sequential pay Series 1999-10 Class MZ, | ||||||||
| 6.5% 9/17/38 | 6,052 | 6,119 | ||||||
| First Union-Lehman Brothers Commercial Mortgage Trust | ||||||||
| sequential pay Series 1997-C2 Class A3, 6.65% | ||||||||
| 11/18/29 | 748 | 771 | ||||||
| Ginnie Mae guaranteed Multi-family pass thru securities | ||||||||
| sequential pay Series 2002-35 Class C, 5.8917% | ||||||||
| 10/16/23 (f) | 745 | 768 | ||||||
| Ginnie Mae guaranteed REMIC pass thru securities: | ||||||||
| sequential pay: | ||||||||
| Series 2002-83 Class B, 4.6951% 12/16/24 | 2,430 | 2,407 | ||||||
| Series 2003-22 Class B, 3.963% 5/16/32 | 4,210 | 4,051 | ||||||
| Series 2003-36 Class C, 4.254% 2/16/31 | 3,380 | 3,281 | ||||||
| Series 2003-47 Class C, 4.227% 10/16/27 | 6,052 | 5,931 | ||||||
| Series 2003-59 Class D, 3.654% 10/16/27 | 6,220 | 5,844 | ||||||
| Series 2003-47 Class XA, 0.0411% 6/16/43 (f)(h) | 15,660 | 784 | ||||||
| GMAC Commercial Mortgage Securities, Inc. Series | ||||||||
| 2004-C3 Class X2, 0.9005% 12/10/41 (f)(h) | 4,980 | 142 | ||||||
| GS Mortgage Securities Corp. II: | ||||||||
| sequential pay: | ||||||||
| Series 2001-LIBA Class A2, 6.615% 2/14/16 (a) | 4,515 | 4,895 | ||||||
| Series 2003-C1 Class A2A, 3.59% 1/10/40 | 3,130 | 3,064 | ||||||
| Series 1998-GLII Class E, 7.1906% 4/13/31 (f) | 490 | 514 | ||||||
| Hilton Hotel Pool Trust Series 2000-HLTA Class D, | ||||||||
| 7.555% 10/3/15 (a) | 2,675 | 2,900 | ||||||
| Host Marriot Pool Trust sequential pay Series | ||||||||
| 1999-HMTA Class B, 7.3% 8/3/15 (a) | 990 | 1,072 | ||||||
| Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A | ||||||||
| Class C, 4.13% 11/20/37 (a) | 6,400 | 5,818 | ||||||
| Mortgage Capital Funding, Inc. sequential pay Series | ||||||||
| 1998-MC2 Class A2, 6.423% 6/18/30 | 2,246 | 2,322 | ||||||
| Thirteen Affiliates of General Growth Properties, Inc. | ||||||||
| sequential pay Series 1 Class A2, 6.602% | ||||||||
| 11/15/07 (a) | 7,000 | 7,259 | ||||||
| Trizechahn Office Properties Trust Series 2001-TZHA | ||||||||
| Class E3, 7.253% 3/15/13 (a) | 3,260 | 3,361 | ||||||
| Wachovia Bank Commercial Mortgage Trust: | ||||||||
| floater Series 2005-WL5A: | ||||||||
| Class KHP1, 4.1181% 1/15/18 (a)(f) | 745 | 745 | ||||||
| Class KHP2, 4.3181% 1/15/18 (a)(f) | 745 | 746 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 28 |
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| Wachovia Bank Commercial Mortgage Trust: – continued | ||||||||
| floater Series 2005-WL5A: | ||||||||
| Class KHP3, 4.6181% 1/15/18 (a)(f) | $ 880 | $ 881 | ||||||
| Class KHP4, 4.7181% 1/15/18 (a)(f) | 685 | 686 | ||||||
| Class KHP5, 4.9181% 1/15/18 (a)(f) | 790 | 786 | ||||||
| Series 2004-C15: | ||||||||
| Class 180A, 5.5782% 10/15/41 (a)(f) | 1,885 | 1,853 | ||||||
| Class 180B, 5.5782% 10/15/41 (a)(f) | 750 | 737 | ||||||
| TOTAL COMMERCIAL MORTGAGE SECURITIES | ||||||||
| (Cost $133,445) | 132,322 | |||||||
| Municipal Securities 1.0% | ||||||||
| Atlanta Wtr. & Wastewtr. Rev. 5% 11/1/43 (FSA | ||||||||
| Insured) | 5,700 | 5,910 | ||||||
| Chicago Board of Ed. Series A, 5.5% 12/1/25 (AMBAC | ||||||||
| Insured) | 3,000 | 3,500 | ||||||
| East Bay Muni. Util. District Wtr. Sys. Rev. Series 2005 | ||||||||
| A, 5% 6/1/35 (MBIA Insured) | 3,700 | 3,885 | ||||||
| Massachusetts Spl. Oblig. Dedicated Tax Rev. 5.5% | ||||||||
| 1/1/29 (FGIC Insured) | 1,900 | 2,199 | ||||||
| Miami-Dade County Gen. Oblig. (Bldg. Better | ||||||||
| Communities Prog.) 5% 7/1/33 (FGIC Insured) | 3,900 | 4,087 | ||||||
| New Jersey Econ. Dev. Auth. Rev. Series N1, 5.5% | ||||||||
| 9/1/24 (AMBAC Insured) | 3,500 | 4,100 | ||||||
| Phoenix Civic Impt. Corp. Excise Tax Rev. (Civic Plaza | ||||||||
| Expansion Proj.) Series A, 5% 7/1/41 (FGIC Insured) | 3,900 | 4,074 | ||||||
| Univ. of Virginia Univ. Revs. 5% 6/1/37 | 1,000 | 1,052 | ||||||
| TOTAL MUNICIPAL SECURITIES | ||||||||
| (Cost $29,131) | 28,807 | |||||||
| Foreign Government and Government Agency Obligations 1.3% | ||||||||
| Israeli State 4.625% 6/15/13 | 3,645 | 3,517 | ||||||
| Korean Republic 4.875% 9/22/14 | 5,180 | 5,127 | ||||||
| Russian Federation 8.25% 3/31/10 (Reg. S) | 3,885 | 4,206 | ||||||
| United Mexican States: | ||||||||
| 5.875% 1/15/14 | 5,510 | 5,697 | ||||||
| 6.75% 9/27/34 | 19,295 | 20,549 | ||||||
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY | ||||||||
| OBLIGATIONS | ||||||||
| (Cost $37,371) | 39,096 | |||||||
See accompanying notes which are an integral part of the financial statements.
29 Annual Report
| Investments continued | ||||||||
| Supranational Obligations 0.1% | ||||||||
| Principal | Value (Note 1) | |||||||
| Amount (000s) | (000s) | |||||||
| Corporacion Andina de Fomento 6.875% 3/15/12 | ||||||||
| (Cost $3,037) | $ 3,070 | $ 3,366 | ||||||
| Fixed Income Funds 13.7% | ||||||||
| Shares | ||||||||
| Fidelity Specialized High Income Central Investment | ||||||||
| Portfolio (g) | 300,135 | 29,848 | ||||||
| Fidelity Ultra-Short Central Fund (g) | 3,771,569 | 375,233 | ||||||
| TOTAL FIXED INCOME FUNDS | ||||||||
| (Cost $405,980) | 405,081 | |||||||
| Cash Equivalents 12.6% | ||||||||
| Maturity | ||||||||
| Amount (000s) | ||||||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||||
| Government Obligations, in a joint trading account at | ||||||||
| 3.89%, dated 9/30/05 due 10/3/05) (i) | ||||||||
| (Cost $370,890) | $ 371,010 | 370,890 | ||||||
| TOTAL INVESTMENT PORTFOLIO 107.0% | ||||||||
| (Cost $3,162,376) | 3,161,066 | |||||||
| NET OTHER ASSETS – (7.0)% | (207,763) | |||||||
| NET ASSETS 100% | $ | 2,953,303 | ||||||
See accompanying notes which are an integral part of the financial statements.
Annual Report 30
| Swap Agreements | ||||||||||
| Expiration | Notional | Value (000s) | ||||||||
| Date | Amount (000s) | |||||||||
| Credit Default Swap | ||||||||||
| Receive quarterly a fixed rate of .45% | ||||||||||
| multiplied by the notional amount and pay | ||||||||||
| to Lehman Brothers, Inc., upon each default | ||||||||||
| event of one of the issues of Dow Jones | ||||||||||
| CDX N.A. Investment Grade 5, par value of | ||||||||||
| the proportional notional amount (e) | Dec. 2010 | $ 26,800 | $ (2) | |||||||
| Receive quarterly a fixed rate of .7% | ||||||||||
| multiplied by the notional amount and pay | ||||||||||
| to JPMorgan Chase, Inc., upon each default | ||||||||||
| event of one of the issues of Dow Jones | ||||||||||
| CDX N.A. Investment Grade 3, par value of | ||||||||||
| the proportional notional amount (d) | March 2015 | 25,000 | (186) | |||||||
| Receive quarterly notional amount multiplied | ||||||||||
| by .31% and pay Goldman Sachs upon | ||||||||||
| default event of SBC Communications, Inc., | ||||||||||
| par value of the notional amount of SBC | ||||||||||
| Communications, Inc. 5.875% 8/15/12 | Sept. 2010 | 5,000 | (3) | |||||||
| Receive quarterly notional amount multiplied | ||||||||||
| by .35% and pay Goldman Sachs upon | ||||||||||
| default event of Southern California Edison | ||||||||||
| Co., par value of the notional amount of | ||||||||||
| Southern California Edison Co. 7.625% | ||||||||||
| 1/15/10 | Sept. 2010 | 3,100 | 0 | |||||||
| Receive quarterly notional amount multiplied | ||||||||||
| by .39% and pay JPMorgan Chase, Inc. | ||||||||||
| upon default event of Fannie Mae, par | ||||||||||
| value of the notional amount of Fannie | ||||||||||
| Mae 4.625% 5/1/13 | June 2010 | 3,250 | 21 | |||||||
| Receive quarterly notional amount multiplied | ||||||||||
| by .405% and pay Deutsche Bank upon | ||||||||||
| default event of Sempra Energy, par value | ||||||||||
| of the notional amount of Sempra Energy | ||||||||||
| 6% 2/1/13 | Sept. 2010 | 4,900 | (14) | |||||||
| Receive quarterly notional amount multiplied | ||||||||||
| by .41% and pay Deutsche Bank upon | ||||||||||
| default event of Sempra Energy, par value | ||||||||||
| of the notional amount of Sempra Energy | ||||||||||
| 6% 2/1/13 | Sept. 2010 | 4,900 | (13) | |||||||
| Receive quarterly notional amount multiplied | ||||||||||
| by .43% and pay Lehman Brothers, Inc. | ||||||||||
| upon default event of Fannie Mae, par | ||||||||||
| value of the notional amount of Fannie | ||||||||||
| Mae 6.25% 2/1/11 | June 2010 | 13,000 | 105 | |||||||
| Receive quarterly notional amount multiplied | ||||||||||
| by .48% and pay Goldman Sachs upon | ||||||||||
| default event of TXU Energy Co. LLC, par | ||||||||||
| value of the notional amount of TXU | ||||||||||
| Energy Co. LLC 7% 3/15/13 | Sept. 2008 | 10,000 | (61) | |||||||
See accompanying notes which are an integral part of the financial statements.
31 Annual Report
| Investments continued | ||||||||||
| Swap Agreements continued | ||||||||||
| Expiration | Notional | Value (000s) | ||||||||
| Date | Amount (000s) | |||||||||
| Receive quarterly notional amount multiplied | ||||||||||
| by .52% and pay JPMorgan Chase, Inc. | ||||||||||
| upon default event of Fannie Mae, par | ||||||||||
| value of the notional amount of Fannie | ||||||||||
| Mae 4.625% 5/1/13 | June 2010 | $ 3,500 | $ 42 | |||||||
| Receive quarterly notional amount multiplied | ||||||||||
| by .6% and pay Deutsche Bank upon | ||||||||||
| default event of Tyco International Group | ||||||||||
| SA, par value of the notional amount of | ||||||||||
| Tyco International Group SA 6% | ||||||||||
| 11/15/13 | June 2010 | 1,400 | 9 | |||||||
| TOTAL CREDIT DEFAULT SWAP | $ 100,850 | $ (102) | ||||||||
| Interest Rate Swap | ||||||||||
| Receive quarterly a fixed rate equal to | ||||||||||
| 2.8043% and pay quarterly a floating rate | ||||||||||
| based on 3-month LIBOR with Lehman | ||||||||||
| Brothers, Inc. | Sept. 2006 | 20,000 | (311) | |||||||
| Receive quarterly a fixed rate equal to | ||||||||||
| 2.9119% and pay quarterly a floating rate | ||||||||||
| based on 3-Month LIBOR with Bank of | ||||||||||
| America | Oct. 2006 | 40,000 | (672) | |||||||
| Receive quarterly a fixed rate equal to | ||||||||||
| 3.177% and pay quarterly a floating rate | ||||||||||
| based on 3-month LIBOR with JPMorgan | ||||||||||
| Chase, Inc. | Nov. 2006 | 19,000 | (286) | |||||||
| Receive quarterly a fixed rate equal to | ||||||||||
| 3.8915% and pay quarterly a floating rate | ||||||||||
| based on 3-month LIBOR with UBS | Feb. 2008 | 25,000 | (378) | |||||||
| Receive quarterly a fixed rate equal to | ||||||||||
| 4.4771% and pay quarterly a floating rate | ||||||||||
| based on 3-month LIBOR with Lehman | ||||||||||
| Brothers | August 2010 | 52,000 | (258) | |||||||
| Receive quarterly a fixed rate equal to | ||||||||||
| 4.898% and pay quarterly a floating rate | ||||||||||
| based on 3-month LIBOR with Lehman | ||||||||||
| Brothers, Inc. | July 2014 | 9,660 | 140 | |||||||
| TOTAL INTEREST RATE SWAP | $ 165,660 | $ (1,765) | ||||||||
See accompanying notes which are an integral part of the financial statements.
Annual Report 32
| Swap Agreements continued | ||||||||||
| Expiration | Notional | Value (000s) | ||||||||
| Date | Amount (000s) | |||||||||
| Total Return Swap | ||||||||||
| Receive monthly a return equal to Banc of | ||||||||||
| America Securities LLC AAA 10 Yr | ||||||||||
| Commercial Mortgage Backed Securities | ||||||||||
| Daily Index and pay monthly a floating | ||||||||||
| rate based on 1-month LIBOR minus 20 | ||||||||||
| basis points with Bank of America | July 2006 | $ 5,200 | $ (133) | |||||||
| Receive monthly a return equal to Banc of | ||||||||||
| America Securities LLC AAA 10 Yr | ||||||||||
| Commercial Mortgage Backed Securities | ||||||||||
| Daily Index and pay monthly a floating | ||||||||||
| rate based on 1-month LIBOR minus 40 | ||||||||||
| basis points with Bank of America | March 2006 | 25,200 | (614) | |||||||
| Receive monthly a return equal to Lehman | ||||||||||
| Brothers ABS Floating Rate Index and pay | ||||||||||
| monthly a floating rate based on the | ||||||||||
| 1-month LIBOR minus 11.1 basis points | ||||||||||
| with Lehman Brothers, Inc. | Nov. 2005 | 11,000 | 3 | |||||||
| Receive monthly a return equal to Lehman | ||||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||||
| monthly a floating rate based on 1-month | ||||||||||
| LIBOR minus 20 basis points with Citibank | Oct. 2005 | 5,200 | (142) | |||||||
| Receive monthly a return equal to Lehman | ||||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||||
| monthly a floating rate based on 1-month | ||||||||||
| LIBOR minus 25 basis points with Citibank | Oct. 2006 | 30,000 | (232) | |||||||
| Receive monthly a return equal to Lehman | ||||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||||
| monthly a floating rate based on 1-month | ||||||||||
| LIBOR minus 25 basis points with Deutsche | ||||||||||
| Bank | April 2006 | 5,200 | 0 | |||||||
| Receive monthly a return equal to Lehman | ||||||||||
| Brothers CMBS AAA 8.5+ Index and pay | ||||||||||
| monthly a return based on 1-month LIBOR | ||||||||||
| minus 50 basis points with Citibank | Jan. 2006 | 25,000 | (679) | |||||||
| Receive monthly a return equal to Lehman | ||||||||||
| Brothers CMBS U.S. Aggregate Index and | ||||||||||
| pay monthly a floating rate based on | ||||||||||
| 1-month LIBOR minus 10 basis points with | ||||||||||
| Citibank | Oct. 2005 | 27,690 | (468) | |||||||
| Receive monthly a return equal to Lehman | ||||||||||
| Brothers CMBS U.S. Aggregate Index and | ||||||||||
| pay monthly a floating rate based on | ||||||||||
| 1-month LIBOR minus 15 basis points with | ||||||||||
| Citibank | April 2006 | 27,690 | 0 | |||||||
| Receive monthly a return equal to Lehman | ||||||||||
| Brothers CMBS U.S. Aggregate Index and | ||||||||||
| pay monthly a floating rate based on | ||||||||||
| 1-month LIBOR minus 20 basis points with | ||||||||||
| Lehman Brothers, Inc. | March 2006 | 6,785 | (111) | |||||||
See accompanying notes which are an integral part of the financial statements.
33 Annual Report
| Investments continued | ||||||||||
| Swap Agreements continued | ||||||||||
| Expiration | Notional | Value (000s) | ||||||||
| Date | Amount (000s) | |||||||||
| Total Return Swap continued | ||||||||||
| Receive monthly a return equal to Lehman | ||||||||||
| Brothers Commercial Mortgage Backed | ||||||||||
| Securities AAA Daily Index and pay | ||||||||||
| monthly a floating rate based on 1-month | ||||||||||
| LIBOR minus 25 basis points with Bank of | ||||||||||
| America | Dec. 2005 | $ 4,800 | $ (79) | |||||||
| Receive quarterly a return equal to Banc of | ||||||||||
| America Securities LLC AAA 10 Yr | ||||||||||
| Commercial Mortgage Backed Securities | ||||||||||
| Daily Index and pay quarterly a floating | ||||||||||
| rate based on 3-month LIBOR minus 40 | ||||||||||
| basis points with Bank of America | Nov. 2005 | 10,400 | (99) | |||||||
| TOTAL TOTAL RETURN SWAP | $ 184,165 | $ (2,554) | ||||||||
| $ 450,675 | $ (4,421) | |||||||||
| Legend (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $196,387,000 or 6.6% of net assets. (b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. (c) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $2,213,000. (d) Dow Jones CDX N.A. Investment Grade 3 is a tradable index of credit default swaps on investment grade debt of U.S. companies. (e) Dow Jones CDX N.A. Investment Grade 5 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
| (f) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (g) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited listing of the fixed income central fund’s holdings is provided at the end of this report. (h) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
See accompanying notes which are an integral part of the financial statements.
Annual Report 34
| (i) Additional information on each counterparty to the repurchase agreement is as follows: |
| Repurchase Agreement/ | Value | |||
| Counterparty | (000s) | |||
| $370,890,000 due | ||||
| 10/3/05 at 3.89% | ||||
| Banc of America | ||||
| Securities LLC | $ 71,139 | |||
| Bank of America, | ||||
| National Association | 24,321 | |||
| Barclays Capital Inc. | 109,444 | |||
| Bear Stearns & Co. Inc. | . | 18,241 | ||
| Countrywide Securities | ||||
| Corporation | 24,321 | |||
| Goldman, Sachs & Co. | 66,883 | |||
| Morgan Stanley & Co. | ||||
| Incorporated. | 6,075 | |||
| UBS Securities LLC | 50,466 | |||
| $ 370,890 |
See accompanying notes which are an integral part of the financial statements.
35 Annual Report
| Financial Statements | ||||||||
| Statement of Assets and Liabilities | ||||||||
| Amounts in thousands (except per share amount) | September 30, 2005 | |||||||
| Assets | ||||||||
| Investment in securities, at value (including repurchase | ||||||||
| agreements of $370,890) (cost $3,162,376) | ||||||||
| See accompanying schedule | $ | 3,161,066 | ||||||
| Cash | 79 | |||||||
| Receivable for investments sold | 2,627 | |||||||
| Receivable for fund shares sold | 3,608 | |||||||
| Interest receivable | 18,403 | |||||||
| Receivable from investment adviser for expense | ||||||||
| reductions | 383 | |||||||
| Total assets | 3,186,166 | |||||||
| Liabilities | ||||||||
| Payable for investments purchased | ||||||||
| Regular delivery | $ | 16,789 | ||||||
| Delayed delivery | 207,593 | |||||||
| Payable for fund shares redeemed | 1,932 | |||||||
| Distributions payable | 661 | |||||||
| Swap agreements, at value | 4,421 | |||||||
| Accrued management fee | 1,464 | |||||||
| Other affiliated payables | 3 | |||||||
| Total liabilities | 232,863 | |||||||
| Net Assets | $ | 2,953,303 | ||||||
| Net Assets consist of: | ||||||||
| Paid in capital | $ | 2,917,899 | ||||||
| Undistributed net investment income | 2,892 | |||||||
| Accumulated undistributed net realized gain (loss) on | ||||||||
| investments | 38,228 | |||||||
| Net unrealized appreciation (depreciation) on | ||||||||
| investments | (5,716) | |||||||
| Net Assets, for 279,320 shares outstanding | $ | 2,953,303 | ||||||
| Net Asset Value, offering price and redemption price per | ||||||||
| share ($2,953,303 ÷ 279,320 shares) | $ | 10.57 | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 36 |
| Statement of Operations | ||||||
| Amounts in thousands | Year ended September 30, 2005 | |||||
| Investment Income | ||||||
| Interest | $ | 115,228 | ||||
| Security lending | 1 | |||||
| Total income | 115,229 | |||||
| Expenses | ||||||
| Management fee | $ | 15,716 | ||||
| Independent trustees’ compensation | 13 | |||||
| Miscellaneous | 5 | |||||
| Total expenses before reductions | 15,734 | |||||
| Expense reductions | (3,107) | 12,627 | ||||
| Net investment income | 102,602 | |||||
| Realized and Unrealized Gain (Loss) | ||||||
| Net realized gain (loss) on: | ||||||
| Investment securities | 43,280 | |||||
| Swap agreements | 4,966 | |||||
| Total net realized gain (loss) | 48,246 | |||||
| Change in net unrealized appreciation (depreciation) on: | ||||||
| Investment securities | (64,452) | |||||
| Swap agreements | (5,392) | |||||
| Total change in net unrealized appreciation | ||||||
| (depreciation) | (69,844) | |||||
| Net gain (loss) | (21,598) | |||||
| Net increase (decrease) in net assets resulting from | ||||||
| operations | $ | 81,004 | ||||
See accompanying notes which are an integral part of the financial statements.
37 Annual Report
| Financial Statements continued | ||||||||
| Statement of Changes in Net Assets | ||||||||
| Year ended | Year ended | |||||||
| September 30, | September 30, | |||||||
| Amounts in thousands | 2005 | 2004 | ||||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net investment income | $ 102,602 | $ 88,720 | ||||||
| Net realized gain (loss) | 48,246 | 38,964 | ||||||
| Change in net unrealized appreciation (depreciation) . | (69,844) | (32,457) | ||||||
| Net increase (decrease) in net assets resulting | ||||||||
| from operations | 81,004 | 95,227 | ||||||
| Distributions to shareholders from net investment income | . | (101,625) | (88,196) | |||||
| Distributions to shareholders from net realized gain | (38,176) | (38,580) | ||||||
| Total distributions | (139,801) | (126,776) | ||||||
| Share transactions | ||||||||
| Proceeds from sales of shares | 1,029,994 | 667,255 | ||||||
| Reinvestment of distributions | 129,956 | 117,541 | ||||||
| Cost of shares redeemed | (568,436) | (1,033,133) | ||||||
| Net increase (decrease) in net assets resulting from | ||||||||
| share transactions | 591,514 | (248,337) | ||||||
| Total increase (decrease) in net assets | 532,717 | (279,886) | ||||||
| Net Assets | ||||||||
| Beginning of period | 2,420,586 | 2,700,472 | ||||||
| End of period (including undistributed net investment | ||||||||
| income of $2,892 and undistributed net investment | ||||||||
| income of $2,054, respectively) | $ 2,953,303 | $ 2,420,586 | ||||||
| Other Information | ||||||||
| Shares | ||||||||
| Sold | 96,540 | 62,110 | ||||||
| Issued in reinvestment of distributions | 12,177 | 10,944 | ||||||
| Redeemed | (53,228) | (96,318) | ||||||
| Net increase (decrease) | 55,489 | (23,264) | ||||||
See accompanying notes which are an integral part of the financial statements.
| Annual Report |
| 38 |
| Financial Highlights | ||||||||||||||||||||
| Years ended September 30, | 2005 | 2004 | 2003 | 2002 | 2001 | |||||||||||||||
| Selected Per Share Data | ||||||||||||||||||||
| Net asset value, beginning of period | $ 10.81 | $ 10.93 | $ 10.79 | $ 10.62 | $ 10.00 | |||||||||||||||
| Income from Investment Operations | ||||||||||||||||||||
| Net investment incomeB | 417 | .387 | .402 | .521D | .618 | |||||||||||||||
| Net realized and unrealized | ||||||||||||||||||||
| gain (loss) | (.078) | .042 | .344 | .218D | .634 | |||||||||||||||
| Total from investment operations | .339 | .429 | .746 | .739 | 1.252 | |||||||||||||||
| Distributions from net investment | ||||||||||||||||||||
| income | (.414) | (.384) | (.406) | (.508) | (.632) | |||||||||||||||
| Distributions from net realized gain | (.165) | (.165) | (.200) | (.061) | — | |||||||||||||||
| Total distributions | (.579) | (.549) | (.606) | (.569) | (.632) | |||||||||||||||
| Net asset value, end of period | $ 10.57 | $ 10.81 | $ 10.93 | $ 10.79 | $ 10.62 | |||||||||||||||
| Total ReturnA | 3.21% | 4.08% | 7.13% | 7.23% | 12.89% | |||||||||||||||
| Ratios to Average Net AssetsC,E | ||||||||||||||||||||
| Expenses before reductions | 60% | .60% | .60% | .60% | .60% | |||||||||||||||
| Expenses net of fee waivers, if | ||||||||||||||||||||
| any | 48% | .50% | .50% | .50% | .50% | |||||||||||||||
| Expenses net of all reductions | 48% | .50% | .50% | .50% | .50% | |||||||||||||||
| Net investment income | 3.92% | 3.61% | 3.72% | 4.95%D | 6.02% | |||||||||||||||
| Supplemental Data | ||||||||||||||||||||
| Net assets, end of period | ||||||||||||||||||||
| (in millions) | $ 2,953 | $ 2,421 | $ 2,700 | $ 2,744 | $ 2,441 | |||||||||||||||
| Portfolio turnover rate | 175% | 188% | 274% | 271% | 223% | |||||||||||||||
| A Total returns would have been lower had certain expenses not been reduced during the periods shown. B Calculated based on average shares outstanding during the period. C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect reimbursement by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions repre sent the net expenses paid by the fund. D Effective October 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per share data and ratios for periods prior to adoption have not been restated to reflect this change. E Amounts do not include the activity of the underlying funds. |
See accompanying notes which are an integral part of the financial statements.
39 Annual Report
Notes to Financial Statements
For the period ended September 30, 2005
(Amounts in thousands except ratios)
1. Significant Accounting Policies.
Spartan Investment Grade Bond Fund (the fund) is a fund of Fidelity Charles Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open end management investment company organized as a Massachusetts business trust. The fund may invest in affiliated money market central funds (Money Market Central Funds) and fixed income Central Investment Portfolios (CIPs), collectively referred to as Central Funds, which are open end investment companies available to investment companies and other accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of Amer ica, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund, which are also consistently followed by the Central Funds:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an ex change) in the principal market in which such securities are normally traded, as deter mined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security’s value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security’s valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off exchange institutional trading may be reviewed in the course of making a good faith determination of a security’s fair value. Short term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open end investment compa nies, including Central Funds, are valued at their net asset value each business day.
Investment Transactions and Income. Security transactions, including the fund’s investment activity in the Central Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex dividend date, except for certain dividends from foreign securities where the ex dividend date may have passed, which are recorded as soon as the fund is informed of the ex dividend date. Non cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income,
| Annual Report |
| 40 |
1. Significant Accounting Policies continued
Investment Transactions and Income continued
including distributions from the Central Funds, is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distribu tions from realized gains, if any, are recorded on the ex dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the fund will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book tax differences will reverse in a subsequent period.
Book tax differences are primarily due to swap agreements, prior period premium and discount on debt securities, market discount, partnerships (including allocation from the CIPs), deferred trustees compensation, financing transactions and losses deferred due to wash sales.
The tax basis components of distributable earnings and the federal tax cost as of period end were as follows:
| Unrealized appreciation | $ | 23,343 | ||||||
| Unrealized depreciation | (31,722) | |||||||
| Net unrealized appreciation (depreciation) | (8,379) | |||||||
| Undistributed ordinary income | 11,185 | |||||||
| Undistributed long term capital gain | 29,307 | |||||||
| Cost for federal income tax purposes | $ | 3,169,445 | ||||||
| The tax character of distributions paid was as follows: | ||||||||
| September 30, 2005 | September 30, 2004 | |||||||
| Ordinary Income | $ 116,664 | $ 102,225 | ||||||
| Long term Capital Gains | 23,137 | 24,551 | ||||||
| Total | $ 139,801 | $ 126,776 | ||||||
41 Annual Report
| Notes to Financial Statements continued (Amounts in thousands except ratios) 2. Operating Policies. |
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When Issued Securities. The fund may purchase or sell securities on a delayed delivery or when issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked to market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when issued basis are identified as such in the fund’s Schedule of Investments. The fund may receive compensation for interest forgone in the purchase of a delayed delivery or when issued security. With respect to purchase commitments, the fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underly ing securities or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transac tions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the fund’s Schedule of Investments.
Swap Agreements. The fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses,
| Annual Report |
| 42 |
2. Operating Policies continued
Swap Agreements continued
respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a “guarantor” receiving a periodic payment that is a fixed percentage applied to a notion al principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the fund are recorded in the accompanying State ment of Operations as realized gains or losses, respectively.
Swaps are marked to market daily based on dealer supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund’s custodian in compliance with swap contracts. Risks may exceed amounts recognized on the State ment of Assets and Liabilities. These risks include changes in the returns of the underly ing instruments, failure of the counterparties to perform under the contracts’ terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the fund’s Schedule of Investments under the caption “Swap Agreements.”
Mortgage Dollar Rolls. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities (“mortgage dollar rolls”) or the purchase and simultaneous agreement to sell similar securities (“reverse mortgage dollar rolls”). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of
43 Annual Report
| Notes to Financial Statements continued (Amounts in thousands except ratios) 2. Operating Policies continued Mortgage Dollar Rolls continued |
mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund’s right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short term securities and U.S. government securities, aggregated $934,869 and $786,606, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the fund with investment manage ment related services for which the fund pays a monthly management fee that is based on an annual rate of .60% of the fund’s average net assets. FMR pays all other expenses, except the compensation of the independent Trustees and certain exceptions such as interest expense. The management fee paid to FMR by the fund is reduced by an amount equal to the fees and expenses paid by the fund to the independent Trustees.
Affiliated Central Funds. The fund may invest in Money Market Central Funds which seek preservation of capital and current income and are managed by Fidelity Invest ments Money Management, Inc. (FIMM) an affiliate of Fidelity Management & Research Company, (FMR).
The fund may also invest in CIPs managed by FIMM or Fidelity Management & Research Company, Inc. (FMRC) each an affiliate of FMR. The Ultra Short Central Fund seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment grade debt securities and repurchase agreements. The Specialized High Income Central Investment Portfolio seeks a high level of current income by normally investing in income producing debt securities, with an emphasis on lower quality debt securities.
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| 44 |
| 4. Fees and Other Transactions with Affiliates continued Affiliated Central Funds continued |
The fund’s Schedule of Investments lists each applicable CIP as an investment of the fund but does not include the underlying holdings of each CIP. Based on their investment objectives, each CIP may invest or participate in various investment vehicles or strate gies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the fund and may involve certain economic risks, including the risk that a counterparty to one or more of these transactions may be unable or unwilling to comply with the terms of the governing agreement. This may result in a decline in value of each CIP and the fund.
A complete list of holdings for each CIP is available at the end of this report. In addition, a copy of each CIP’s financial statements is available on the EDGAR Database on the SEC’s website www.sec.gov, or at the Commission’s public reference room in Washington, DC.
The Central Funds do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $11,297 for the period.
| 5. Committed Line of Credit. |
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the “line of credit”) to be utilized for temporary or emergency purposes to fund share holder redemptions or for other short term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which is included in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
| 6. Security Lending. |
The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insol vency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. At period end there were no security loans outstanding. Security lending
45 Annual Report
| Notes to Financial Statements continued (Amounts in thousands except ratios) 6. Security Lending continued |
income represents the income earned on investing cash collateral, less fees and ex penses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities.
| 7. Expense Reductions. |
FMR voluntarily agreed to reimburse the fund to the extent annual operating expenses exceeded .50% of average net assets. Some expenses, for example interest expense, are excluded from this reimbursement. During the period, this reimbursement reduced the fund’s expenses by $1,706.
Effective June 1, 2005, FMR has agreed to contractually waive expenses to the extent annual operating expenses exceed .45% of average net assets. This waiver will remain in place indefinitely and cannot be changed without approval of the fund’s Board of Trust ees. During the period, this reimbursement reduced the fund’s expenses by $1,385.
In addition, through arrangements with the fund’s custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the fund’s manage ment fee. During the period, these credits reduced the fund’s management fee by $16.
| 8. Other. |
The fund’s organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the perfor mance of their duties to the fund. In the normal course of business, the fund may also enter into contracts that provide general indemnifications. The fund’s maximum expo sure under these arrangements is unknown as this would be dependent on future claims that may be made against the fund. The risk of material loss from such claims is consid ered remote.
| Annual Report |
| 46 |
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Charles Street Trust and Shareholders of Spartan Investment Grade Bond Fund:
We have audited the accompanying statement of assets and liabilities of Spartan Invest ment Grade Bond Fund (the Fund), a fund of Fidelity Charles Street Trust, including the schedule of investments, as of September 30, 2005, and the related statement of opera tions for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures in cluded confirmation of securities owned as of September 30, 2005, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Spartan Investment Grade Bond Fund as of September 30, 2005, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
| /s/ Deloitte & Touche LLP DELOITTE & TOUCHE LLP Boston, Massachusetts November 14, 2005 |
47 Annual Report
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund’s activities, review contractual arrangements with companies that provide services to the fund, and review the fund’s performance. Except for William O. McCoy, Stephen P. Jonas, and Kenneth L. Wolfe, each of the Trustees oversees 322 funds advised by FMR or an affiliate. Mr. McCoy oversees 324 funds advised by FMR or an affiliate. Mr. Jonas and Mr. Wolfe oversee 319 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instru ment signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
| Interested Trustees*: |
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
| Name, Age; Principal Occupation Edward C. Johnson 3d (75)** |
Year of Election or Appointment: 1981
Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001 present) and a Director (2000 present) of FMR Co., Inc.
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| Name, Age; Principal Occupation Abigail P. Johnson (43)** |
Year of Election or Appointment: 2001
Ms. Johnson serves as President of Fidelity Employer Services Company (FESCO) (2005 present). She is President and a Director of Fidelity Investments Money Management, Inc. (2001 present), FMR Co., Inc. (2001 present), and a Director of FMR Corp. Previously, Ms. Johnson served as President and a Director of FMR (2001 2005), Senior Vice President of the Fidelity funds (2001 2005), and managed a number of Fidelity funds.
| Stephen P. Jonas (52) |
Year of Election or Appointment: 2005
Mr. Jonas is Senior Vice President of Spartan Investment Grade Bond (2005 present). He also serves as Senior Vice President of other Fidelity funds (2005 present). Mr. Jonas is Executive Director of FMR (2005 present). Previously, Mr. Jonas served as President of Fidelity Enterprise Operations and Risk Services (2004 2005), Chief Adminis trative Officer (2002 2004), and Chief Financial Officer of FMR Co. (1998 2000). Mr. Jonas has been with Fidelity Investments since 1987 and has held various financial and management positions including Chief Financial Officer of FMR. In addition, he serves on the Boards of Boston Ballet (2003 present) and Simmons College (2003 present).
| Robert L. Reynolds (53) |
Year of Election or Appointment: 2003
Mr. Reynolds is a Director (2003 present) and Chief Operating Officer (2002 present) of FMR Corp. He also serves on the Board at Fidelity Investments Canada, Ltd. (2000 present). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996 2000).
* Trustees have been determined to be “Interested Trustees” by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson’s father.
49 Annual Report
Trustees and Officers - continued
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205 5235.
| Name, Age; Principal Occupation Dennis J. Dirks (57) |
Year of Election or Appointment: 2005
Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999 2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999 2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999 2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001 2003) and Chief Executive Officer and Board member of the Mortgage Backed Securities Clearing Corporation (2001 2003). Mr. Dirks also serves as a Trustee of Manhattan College (2005 present).
| Robert M. Gates (62) |
Year of Election or Appointment: 1997
Dr. Gates is Vice Chairman of the Independent Trustees (2005 present). Dr. Gates is President of Texas A&M University (2002 present). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001 present), and Brinker International (restaurant management, 2003 present). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999 2001). Dr. Gates also is a Trustee of the Forum for International Policy.
| Annual Report |
| 50 |
| Name, Age; Principal Occupation George H. Heilmeier (69) |
Year of Election or Appointment: 2004
Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (commu nication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineer ing and information technology support for the government), and HRL Laboratories (private research and development, 2004 present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000 present). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Acad emy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992 2002), Compaq (1994 2002), Automatic Data Processing, Inc. (ADP) (technology based business outsourcing, 1995 2002), INET Technologies Inc. (telecommu nications network surveillance, 2001 2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid display.
| Marie L. Knowles (58) |
Year of Election or Appointment: 2001
Prior to Ms. Knowles’ retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996 2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare ser vice, 2002 present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.
51 Annual Report
Trustees and Officers - continued
| Name, Age; Principal Occupation Ned C. Lautenbach (61) |
Year of Election or Appointment: 2000
Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corpora tion (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004 present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005 present), as well as a member of the Council on Foreign Relations.
| Marvin L. Mann (72) |
Year of Election or Appointment: 1993
Mr. Mann is Chairman of the Independent Trustees (2001 present). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corpora tion (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director’s Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President’s Cabinet at the Uni versity of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama.
| William O. McCoy (71) |
Year of Election or Appointment: 1997
Prior to his retirement in December 1994, Mr. McCoy was Vice Chair man of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Frank lin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999 2000) and a member of the Board of Visitors for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16 school system).
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| 52 |
| Name, Age; Principal Occupation Cornelia M. Small (61) |
Year of Election or Appointment: 2005
Ms. Small is a member (2000 present) and Chairperson (2002 present) of the Investment Committee, and a member (2002 present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999 2000), Director of Global Equity Investments (1996 1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990 1997) and Scudder Kemper Investments (1997 1998). In addition, Ms. Small served as Co Chair (2000 2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.
| William S. Stavropoulos (66) |
Year of Election or Appointment: 2001
Mr. Stavropoulos is Chairman of the Board (2000 present) and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993 2000; 2002 2003), CEO (1995 2000; 2002 2004), and Chair man of the Executive Committee (2000 2004). Currently, he is a Direc tor of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corpo ration, Maersk Inc. (industrial conglomerate, 2002 present), and Metal mark Capital (private equity investment firm, 2005 present). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.
| Kenneth L. Wolfe (66) |
Year of Election or Appointment: 2005
Mr. Wolfe also serves as a Trustee (2005 present) or Member of the Advisory Board (2004 present) of other investment companies advised by FMR. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993 2001). He currently serves as a member of the boards of Adelphia Communica tions Corporation (2003 present), Bausch & Lomb, Inc., and Revlon Inc. (2004 present).
53 Annual Report
Trustees and Officers - continued
Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Gamper may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205 5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
| Name, Age; Principal Occupation Albert R. Gamper, Jr. (63) |
Year of Election or Appointment: 2005
Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior manage ment positions, including Chairman (1987 1989; 1999 2001; 2002 2004), Chief Executive Officer (1987 2004), and President (1989 2002). He currently serves as a member of the Board of Direc tors of Public Service Enterprise Group (utilities, 2001 present), Chair man of the Board of Governors, Rutgers University (2004 present), and Chairman of the Board of Saint Barnabas Health Care System.
| Peter S. Lynch (61) |
Year of Election or Appointment: 2003
Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001 present) and a Director (2000 present) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990 2003). In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infir mary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston.
| Walter C. Donovan (43) |
Year of Election or Appointment: 2005
Vice President of Spartan Investment Grade Bond. Mr. Donovan also serves as Vice President of Fidelity’s High Income Funds (2005 present), Fidelity’s Fixed Income Funds (2005 present), certain Asset Allocation Funds (2005 present), and certain Balanced Funds (2005 present). Mr. Donovan also serves as Executive Vice President of FMR (2005 present) and FMRC (2005 present). Previously, Mr. Donovan served as Vice President and Director of Fidelity’s International Equity Trading group (1998 2005).
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| 54 |
| Name, Age; Principal Occupation David L. Murphy (57) |
Year of Election or Appointment: 2005
Vice President of Spartan Investment Grade Bond. Mr. Murphy also serves as Vice President of Fidelity’s Money Market Funds (2002 present), certain Asset Allocation Funds (2003 present), Fidelity’s Investment Grade Bond Funds (2005 present), and Fidelity’s Balanced Funds (2005 present). He serves as Senior Vice President (2000 present) and Head (2004 present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of FIMM
(2003 present) and a Vice President of FMR (2000 present). Previously, Mr. Murphy served as Money Market Group Leader (2002 2004), Bond Group Leader (2000 2002), and Vice President of Fidelity’s Tax able Bond Funds (2000 2002) and Fidelity’s Municipal Bond Funds (2001 2002). Mr. Murphy joined Fidelity Investments in 1989 as a portfolio manager in the Bond Group.
| Thomas J. Silvia (44) |
Year of Election or Appointment: 2005
Vice President of Spartan Investment Grade Bond. Mr. Silvia also serves as Vice President of Fidelity’s Bond Funds (2005 present) and Senior Vice President and Bond Group Leader of the Fidelity Investments Fixed Income Division (2005 present). Previously, Mr. Silvia served as Director of Fidelity’s Taxable Bond portfolio managers (2002 2004) and a port folio manager in the Bond Group (1997 2004).
| Jeffrey Moore (39) |
Year of Election or Appointment: 2004
Vice President of Spartan Investment Grade Bond. Mr. Moore also serves as Vice President of other funds advised by FMR. Prior to assum ing his current responsibilities, Mr. Moore has worked as a research analyst and portfolio manager.
| Eric D. Roiter (56) |
Year of Election or Appointment: 1998
Secretary of Spartan Investment Grade Bond. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001 present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001 present), Fidelity Management & Research (Far East) Inc. (2001 present), and Fidelity Investments Money Management, Inc. (2001 present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003 present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998 2005).
55 Annual Report
Trustees and Officers - continued
| Name, Age; Principal Occupation |
| Stuart Fross (46) |
Year of Election or Appointment: 2003
Assistant Secretary of Spartan Investment Grade Bond. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003 present), Vice President and Secretary of FDC (2005 present), and is an employee of FMR.
| Christine Reynolds (47) |
Year of Election or Appointment: 2004
President, Treasurer, and Anti Money Laundering (AML) officer of Spartan Investment Grade Bond. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980 2002), where she was most recently an audit partner with PwC’s investment management practice.
| Timothy F. Hayes (54) |
Year of Election or Appointment: 2002
Chief Financial Officer of Spartan Investment Grade Bond. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002 present) and President of Fidelity Investment Operations (2005 present) which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he served as President (1998 2005). Mr. Hayes serves as President of Fidelity Service Company (2003 present) where he also serves as a Director. Mr. Hayes also served as President of Fidelity Investments Operations Group (FIOG, 2002 2005).
| Kenneth A. Rathgeber (58) |
Year of Election or Appointment: 2004
Chief Compliance Officer of Spartan Investment Grade Bond. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice Pres ident and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998 2002).
| John R. Hebble (47) |
Year of Election or Appointment: 2003
Deputy Treasurer of Spartan Investment Grade Bond. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002 2003) and Assistant Treasurer of the Scudder Funds (1998 2003).
| Annual Report |
| 56 |
| Name, Age; Principal Occupation Bryan A. Mehrmann (44) |
Year of Election or Appointment: 2005
Deputy Treasurer of Spartan Investment Grade Bond. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005 present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998 2004).
| Kimberley H. Monasterio (41) |
Year of Election or Appointment: 2004
Deputy Treasurer of Spartan Investment Grade Bond. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000 2004) and Chief Financial Officer (2002 2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000 2004).
| Kenneth B. Robins (36) |
Year of Election or Appointment: 2005
Deputy Treasurer of Spartan Investment Grade Bond. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2004 present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG’s department of professional practice (2002 2004) and a Senior Man ager (1999 2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000 2002).
| Robert G. Byrnes (38) |
Year of Election or Appointment: 2005
Assistant Treasurer of Spartan Investment Grade Bond. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2005 present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003 2005). Before joining Fidelity Invest ments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000 2003).
| John H. Costello (59) |
Year of Election or Appointment: 1992
Assistant Treasurer of Spartan Investment Grade Bond. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR.
57 Annual Report
Trustees and Officers - continued
| Name, Age; Principal Occupation Peter L. Lydecker (51) |
Year of Election or Appointment: 2004
Assistant Treasurer of Spartan Investment Grade Bond. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.
| Mark Osterheld (50) |
Year of Election or Appointment: 2002
Assistant Treasurer of Spartan Investment Grade Bond. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR.
| Gary W. Ryan (47) |
Year of Election or Appointment: 2005
Assistant Treasurer of Spartan Investment Grade Bond. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2005 present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999 2005).
| Salvatore Schiavone (39) |
Year of Election or Appointment: 2005
Assistant Treasurer of Spartan Investment Grade Bond. Mr. Schiavone also serves as Assistant Treasurer of other Fidelity funds (2005 present) and is an employee of FMR (2005 present). Before joining Fidelity Investments, Mr. Schiavone worked at Deutsche Asset Management, where he most recently served as Assistant Treasurer (2003 2005) of the Scudder Funds and Vice President and Head of Fund Reporting (1996 2003).
| Annual Report |
| 58 |
| Distributions |
The fund hereby designates as capital gain dividends: For dividends with respect to the taxable year ended September 30, 2005, $35,348,000, or, if subsequently determined to be different, the net capital gain of such year, and for dividends with respect to the taxable year ended September 30, 2004, $17,097,000, or, if subsequently determined to be different, the excess of: (a) the net capital gain of such year, over (b) amounts previously designated as capital gain dividends with respect to such year.
A total of 8.38% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund will notify shareholders in January 2006 of amounts for use in preparing 2005 income tax returns.
59 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees
Spartan Investment Grade Bond Fund
Each year, typically in June, the Board of Trustees, including the independent Trustees (together, the Board), votes on the renewal of the management contract and sub advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and independent Trustees’ counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund’s Advisory Contracts, including the services and support provided to the fund and its shareholders by Fidelity. At the time of the renewal, the Board had 11 standing committees, each composed of independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such com mittee, the Fixed Income Contract Committee, meets periodically during the first six months of each year and as necessary to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2005 meeting, the Board of Trustees, including the independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (1) the nature, extent, and quality of the services to be provided to the fund and its shareholders by Fidelity (including the investment performance of the fund); (2) the competitiveness of the management fee and total expenses of the fund; (3) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (4) the extent to which economies of scale would be realized as the fund grows; and (5) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In determining whether to renew the Advisory Contracts for the fund, the Board ulti mately reached a determination, with the assistance of fund counsel and independent Trustees’ counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity’s fidu ciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund’s shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its
| Annual Report |
| 60 |
prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board consid ered staffing within the investment adviser, FMR, and the sub advisers (together, the Investment Advisers), including the background of the fund’s portfolio manager and the fund’s investment objective and discipline. The independent Trustees also had discus sions with senior management of Fidelity’s investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Fidelity Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers’ invest ment staff, their use of technology, and the Investment Advisers’ approach to recruiting, training, and retaining portfolio managers and other research, advisory, and manage ment personnel. The Board considered Fidelity’s extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity’s analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity’s portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund’s portfolio, as well as an electronic communication system that provides immediate real time access to research concerning issuers and credit enhancers.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund. The Board also considered the nature and extent of the Investment Advisers’ supervision of third party service providers, principally custodians and subcustodians. The Board reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers. The Board also considered the resources devoted to, and the record of compliance with, the fund’s compliance policies and procedures.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24 hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a
61 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund’s prospectus, without paying a sales charge. The Board noted that, since the last Advisory Contract renewals in June 2004, Fidelity has taken a number of actions that benefited particular funds, including (i) voluntarily deciding in 2004 to stop using “soft” commission dollars to pay for market data and, instead, to pay for that data out of its own resources, (ii) contractually agreeing to impose management fee reductions and expense limitations on its five Spartan stock index funds and its stock index fund available through variable insurance products, (iii) contractually agreeing to eliminate the management fees on the Fidelity Freedom Funds and the Fidelity Advisor Freedom Funds, (iv) contractually agreeing to reduce the management fees on most of its investment grade taxable bond funds, and (v) contractually agreeing to impose expense limitations on its retail and Spartan investment grade taxable bond funds.
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restric tions. It also reviewed the fund’s absolute investment performance, as well as the fund’s relative investment performance measured against (i) a broad based securities market index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. The following charts considered by the Board show, over the one , three , and five year periods ended December 31, 2004, the fund’s returns, the returns of a broad based securities market index (“benchmark”), and a range of returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the Lipper peer group. The per centage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the Lipper peer group whose performance was equal to or lower than that of the fund.
| Annual Report |
| 62 |
The Board noted that the relative investment performance of the fund has compared favorably to its Lipper peer group over time. The Board also noted that the relative investment performance of the fund has compared favorably to its benchmark over time.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit the fund’s shareholders, particularly in light of the Board’s view that the fund’s shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund’s management fee and total expenses compared to “mapped groups” of competitive funds and classes. Fidelity creates “mapped groups” by combining similar Lipper investment objective categories that have comparable management fee charac teristics. Combining Lipper investment objective categories aids the Board’s manage ment fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
The Board considered two proprietary management fee comparisons for the 12 month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the “Total Mapped Group” and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund’s standing relative to the total universe of comparable funds available to investors, in
63 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
terms of gross management fees before expense reimbursements or caps. “TMG %” represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund’s. For example, a TMG % of 22% would mean that 78% of the funds in the Total Mapped Group had higher management fees than the fund. The “Asset Size Peer Group” (ASPG) comparison focuses on a fund’s standing relative to non Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile (“quadrant”) in which the fund’s management fee ranked, is also included in the chart and considered by the Board. For a more meaningful comparison of management fees, the fund is compared on the basis of a hypothetical “net management fee,” which is derived by subtracting payments made by FMR for non management expenses (includ ing transfer agent fees, pricing and bookkeeping fees, and custody fees) from the fund’s all inclusive fee. In this regard, the Board realizes that net management fees can vary from year to year because of differences in non management expenses.
The Board noted that the fund’s management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2004. Based on its review, the Board concluded that the fund’s management fee was fair and reasonable in light of the ser vices that the fund receives and the other factors considered.
In its review of the fund’s total expenses, the Board considered the fund’s hypothetical net management fee as well as the fund’s all inclusive fee. The Board also considered other expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees, paid by FMR under the all inclusive arrangement. The Board also
| Annual Report |
| 64 |
noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of the fund compared to competitive fund median expenses. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee compari sons) that have a similar sales load structure.
The Board noted that the fund’s total expenses ranked below its competitive median for 2004. The Board also considered that, effective June 1, 2005, FMR contractually agreed to waive a portion of its management fee to the extent necessary to maintain the fund’s total expenses (excluding interest, taxes, brokerage commissions, and extraordinary expenses) at 45 basis points.
In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Based on its review, the Board concluded that the fund’s total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, market ing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity’s profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity’s profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year’s methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board’s assessment of the results of Fidelity’s profitability analysis. PwC’s engagement includes the review and assessment of Fidelity’s methodologies used in determining the revenues and expenses attributable to Fidelity’s mutual fund business, and completion of agreed upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC’s reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity’s profitabil ity methodologies are reasonable in all material respects.
65 Annual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
The Board has also reviewed Fidelity’s non fund businesses and any fall out benefits related to the mutual fund business as well as cases where Fidelity’s affiliates may benefit from or be related to the fund’s business. In addition, a special committee of the Board reviewed services provided to Fidelity by its affiliates and determined that the fees that Fidelity paid for such services were reasonable.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions. The Board concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information regarding (i) Fidelity’s fund profitability methodology, including additional detail on various cost allocations; (ii) fall out benefits to Fidelity; and (iii) compensation of portfolio managers and research analysts.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the existing advisory fee structures are fair and reasonable, and that the fund’s existing Advisory Contracts should be renewed.
| Annual Report |
| 66 |
The following is a complete listing of investments for Fidelity’s fixed income central funds as of September 30, 2005 which are direct or indirect investments of Spartan Investment Grade Bond Fund.
These underlying holdings of the Fidelity fixed income central funds are not included in the Schedule of Investments as part of the Financial Statements.
67 Annual Report
Fidelity Specialized High Income Central Investment Portfolio
Investments September 30, 2005 (Unaudited)
Showing Percentage of Net Assets
| Nonconvertible Bonds 95.2% | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Aerospace – 3.5% | ||||||||
| Bombardier, Inc. 7.45% 5/1/34 (a) | $ 240,000 | $ 202,800 | ||||||
| L 3 Communications Corp.: | ||||||||
| 5.875% 1/15/15 | 2,000,000 | 1,935,000 | ||||||
| 6.375% 10/15/15 (a) | 3,000,000 | 3,022,500 | ||||||
| 7.625% 6/15/12 | 1,000,000 | 1,050,000 | ||||||
| Orbital Sciences Corp. 9% 7/15/11 | 1,000,000 | 1,085,000 | ||||||
| 7,295,300 | ||||||||
| Air Transportation – 0.7% | ||||||||
| American Airlines, Inc. pass thru trust certificates | ||||||||
| 6.817% 5/23/11 | 1,500,000 | 1,368,750 | ||||||
| Automotive 4.8% | ||||||||
| Ford Motor Co. 7.45% 7/16/31 | 1,000,000 | 780,000 | ||||||
| Ford Motor Credit Co.: | ||||||||
| 6.625% 6/16/08 | 1,790,000 | 1,751,963 | ||||||
| 7% 10/1/13 | 1,000,000 | 927,357 | ||||||
| General Motors Acceptance Corp.: | ||||||||
| 6.75% 12/1/14 | 1,000,000 | 869,844 | ||||||
| 6.875% 9/15/11 | 2,000,000 | 1,819,226 | ||||||
| 8% 11/1/31 | 2,000,000 | 1,746,338 | ||||||
| General Motors Corp.: | ||||||||
| 7.125% 7/15/13 | 415,000 | 353,788 | ||||||
| 8.375% 7/15/33 | 1,650,000 | 1,287,000 | ||||||
| Navistar International Corp. 7.5% 6/15/11 | 500,000 | 505,000 | ||||||
| 10,040,516 | ||||||||
| Building Materials – 0.9% | ||||||||
| Anixter International, Inc. 5.95% 3/1/15 | 2,000,000 | 1,855,000 | ||||||
| Cable TV 4.2% | ||||||||
| CSC Holdings, Inc. 6.75% 4/15/12 (a) | 500,000 | 466,250 | ||||||
| EchoStar DBS Corp. 5.75% 10/1/08 | 8,500,000 | 8,361,874 | ||||||
| 8,828,124 | ||||||||
| Capital Goods 2.4% | ||||||||
| Case New Holland, Inc.: | ||||||||
| 6% 6/1/09 | 1,500,000 | 1,447,500 | ||||||
| 9.25% 8/1/11 | 1,000,000 | 1,065,000 | ||||||
| Leucadia National Corp. 7% 8/15/13 | 2,500,000 | 2,512,500 | ||||||
| 5,025,000 | ||||||||
| Chemicals – 2.0% | ||||||||
| Equistar Chemicals LP/Equistar Funding Corp. 8.75% | ||||||||
| 2/15/09 | 500,000 | 523,125 |
Annual Report 68
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Chemicals – continued | ||||||||
| Millennium America, Inc. 9.25% 6/15/08 | $ 1,000,000 | $ 1,080,000 | ||||||
| NOVA Chemicals Corp. 7.4% 4/1/09 | 2,500,000 | 2,575,000 | ||||||
| 4,178,125 | ||||||||
| Consumer Products – 1.0% | ||||||||
| IKON Office Solutions, Inc. 7.75% 9/15/15 (a) | 2,000,000 | 1,977,500 | ||||||
| Diversified Media – 2.1% | ||||||||
| Liberty Media Corp.: | ||||||||
| 8.25% 2/1/30 | 1,500,000 | 1,436,403 | ||||||
| 8.5% 7/15/29 | 1,000,000 | 968,249 | ||||||
| Videotron Ltee 6.375% 12/15/15 (a) | 2,000,000 | 1,995,000 | ||||||
| 4,399,652 | ||||||||
| Electric Utilities – 7.3% | ||||||||
| AES Gener SA 7.5% 3/25/14 | 4,000,000 | 4,060,000 | ||||||
| Allegheny Energy Supply Co. LLC 8.25% 4/15/12 (a) | 500,000 | 560,000 | ||||||
| MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. | ||||||||
| 7.375% 9/1/10 | 2,000,000 | 2,075,000 | ||||||
| MSW Energy Holdings LLC/MSW Energy Finance Co., | ||||||||
| Inc. 8.5% 9/1/10 | 3,000,000 | 3,217,500 | ||||||
| TECO Energy, Inc. 5.6931% 5/1/10 (a)(b) | 2,000,000 | 2,030,000 | ||||||
| TXU Corp. 6.5% 11/15/24 | 3,500,000 | 3,298,750 | ||||||
| 15,241,250 | ||||||||
| Energy – 7.7% | ||||||||
| Chesapeake Energy Corp.: | ||||||||
| 6.5% 8/15/17 (a) | 2,000,000 | 2,032,500 | ||||||
| 6.875% 1/15/16 | 3,000,000 | 3,078,750 | ||||||
| 7.5% 6/15/14 | 1,000,000 | 1,075,000 | ||||||
| 7.75% 1/15/15 | 2,000,000 | 2,140,000 | ||||||
| Kerr-McGee Corp. 6.95% 7/1/24 | 1,265,000 | 1,310,792 | ||||||
| Newfield Exploration Co. 6.625% 9/1/14 | 2,000,000 | 2,080,000 | ||||||
| Pacific Energy Partners LP/Pacific Energy Finance Corp. | ||||||||
| 6.25% 9/15/15 (a) | 1,500,000 | 1,507,500 | ||||||
| Pogo Producing Co. 6.875% 10/1/17 (a) | 2,800,000 | 2,849,000 | ||||||
| 16,073,542 | ||||||||
| Food/Beverage/Tobacco – 2.4% | ||||||||
| RJ Reynolds Tobacco Holdings, Inc. 6.5% 7/15/10 (a) | 3,000,000 | 3,015,000 | ||||||
| Smithfield Foods, Inc.: | ||||||||
| 7% 8/1/11 | 1,000,000 | 1,020,000 | ||||||
| 7.75% 5/15/13 | 1,000,000 | 1,050,000 | ||||||
| 5,085,000 |
69 Annual Report
| Investments (Unaudited) continued | ||||||||
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Gaming – 10.2% | ||||||||
| Mandalay Resort Group 9.375% 2/15/10 | $ 2,000,000 | $ 2,202,500 | ||||||
| MGM MIRAGE: | ||||||||
| 6% 10/1/09 | 6,000,000 | 5,940,000 | ||||||
| 6.625% 7/15/15 (a) | 1,000,000 | 991,250 | ||||||
| 6.75% 9/1/12 | 1,000,000 | 1,010,000 | ||||||
| Mohegan Tribal Gaming Authority: | ||||||||
| 6.125% 2/15/13 | 500,000 | 497,500 | ||||||
| 6.375% 7/15/09 | 5,000,000 | 5,025,000 | ||||||
| 7.125% 8/15/14 | 1,000,000 | 1,037,500 | ||||||
| 8% 4/1/12 | 1,000,000 | 1,056,250 | ||||||
| Seneca Gaming Corp.: | ||||||||
| 7.25% 5/1/12 (Reg. S) (a) | 500,000 | 512,500 | ||||||
| 7.25% 5/1/12 | 1,000,000 | 1,025,000 | ||||||
| Station Casinos, Inc. 6.875% 3/1/16 (a) | 2,000,000 | 2,020,000 | ||||||
| 21,317,500 | ||||||||
| Healthcare 4.7% | ||||||||
| Mylan Laboratories, Inc.: | ||||||||
| 5.75% 8/15/10 (a) | 1,000,000 | 1,001,250 | ||||||
| 6.375% 8/15/15 (a) | 2,000,000 | 2,002,500 | ||||||
| Omega Healthcare Investors, Inc. 7% 4/1/14 | 1,000,000 | 1,015,000 | ||||||
| PerkinElmer, Inc. 8.875% 1/15/13 | 1,000,000 | 1,095,000 | ||||||
| Senior Housing Properties Trust 8.625% 1/15/12 | 1,500,000 | 1,668,750 | ||||||
| Service Corp. International (SCI) 7% 6/15/17 (a) | 3,000,000 | 3,037,500 | ||||||
| 9,820,000 | ||||||||
| Homebuilding/Real Estate – 5.2% | ||||||||
| American Real Estate Partners/American Real Estate | ||||||||
| Finance Corp.: | ||||||||
| 7.125% 2/15/13 (a) | 3,000,000 | 3,000,000 | ||||||
| 8.125% 6/1/12 | 2,000,000 | 2,085,000 | ||||||
| K. Hovnanian Enterprises, Inc. 6% 1/15/10 | 1,000,000 | 960,000 | ||||||
| KB Home 7.75% 2/1/10 | 3,000,000 | 3,090,000 | ||||||
| WCI Communities, Inc. 6.625% 3/15/15 | 2,000,000 | 1,810,000 | ||||||
| 10,945,000 | ||||||||
| Hotels 3.0% | ||||||||
| Grupo Posadas SA de CV 8.75% 10/4/11 (a) | 3,000,000 | 3,225,000 | ||||||
| Host Marriott LP 7.125% 11/1/13 | 1,000,000 | 1,021,250 | ||||||
| ITT Corp. 7.375% 11/15/15 | 1,875,000 | 2,034,375 | ||||||
| 6,280,625 | ||||||||
| Insurance – 3.1% | ||||||||
| Crum & Forster Holdings Corp. 10.375% 6/15/13 | 3,095,000 | 3,296,175 | ||||||
Annual Report 70
| Nonconvertible Bonds continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Insurance – continued | ||||||||
| Fairfax Financial Holdings Ltd. 7.75% 4/26/12 | $ 1,000,000 | $ 960,000 | ||||||
| UnumProvident Corp. 7.375% 6/15/32 | 2,265,000 | 2,227,301 | ||||||
| 6,483,476 | ||||||||
| Metals/Mining – 3.9% | ||||||||
| Arch Western Finance LLC 6.75% 7/1/13 | 3,000,000 | 3,060,000 | ||||||
| Century Aluminum Co. 7.5% 8/15/14 | 2,000,000 | 2,070,000 | ||||||
| Vedanta Resources PLC 6.625% 2/22/10 (a) | 3,000,000 | 2,973,750 | ||||||
| 8,103,750 | ||||||||
| Paper 3.9% | ||||||||
| Georgia-Pacific Corp.: | ||||||||
| 8% 1/15/14 | 1,500,000 | 1,642,500 | ||||||
| 8% 1/15/24 | 1,000,000 | 1,096,250 | ||||||
| 8.875% 2/1/10 | 2,000,000 | 2,240,000 | ||||||
| 9.375% 2/1/13 | 1,000,000 | 1,117,500 | ||||||
| Norske Skog Canada Ltd. 8.625% 6/15/11 | 2,000,000 | 2,030,000 | ||||||
| 8,126,250 | ||||||||
| Services – 1.0% | ||||||||
| FTI Consulting, Inc. 7.625% 6/15/13 (a) | 2,000,000 | 2,030,000 | ||||||
| Shipping – 2.0% | ||||||||
| Overseas Shipholding Group, Inc.: | ||||||||
| 7.5% 2/15/24 | 2,070,000 | 2,049,300 | ||||||
| 8.25% 3/15/13 | 1,000,000 | 1,072,500 | ||||||
| Teekay Shipping Corp. 8.875% 7/15/11 | 1,000,000 | 1,135,000 | ||||||
| 4,256,800 | ||||||||
| Steels – 0.5% | ||||||||
| Gerdau AmeriSteel Corp./GUSAP Partners 10.375% | ||||||||
| 7/15/11 | 1,000,000 | 1,110,000 | ||||||
| Super Retail – 1.5% | ||||||||
| GSC Holdings Corp./Gamestop, Inc.: | ||||||||
| 7.875% 10/1/11 (a)(b) | 1,370,000 | 1,380,275 | ||||||
| 8% 10/1/12 (a) | 1,810,000 | 1,805,475 | ||||||
| 3,185,750 | ||||||||
| Technology – 9.7% | ||||||||
| Freescale Semiconductor, Inc.: | ||||||||
| 6.875% 7/15/11 | 5,000,000 | 5,212,500 | ||||||
| 7.125% 7/15/14 | 1,000,000 | 1,060,000 | ||||||
| MagnaChip Semiconductor SA/MagnaChip | ||||||||
| Semiconductor Finance Co. 7.12% 12/15/11 (b) | 1,000,000 | 992,500 | ||||||
| Sanmina-SCI Corp. 10.375% 1/15/10 | 1,000,000 | 1,100,000 | ||||||
| STATS ChipPAC Ltd. 7.5% 7/19/10 (a) | 4,000,000 | 4,070,000 |
71 Annual Report
| Investments (Unaudited) continued | ||||||
| Nonconvertible Bonds continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Technology – continued | ||||||
| Unisys Corp. 8% 10/15/12 | $ 1,000,000 | $ 977,500 | ||||
| Xerox Capital Trust I 8% 2/1/27 | 5,000,000 | 5,200,000 | ||||
| Xerox Corp.: | ||||||
| 7.625% 6/15/13 | 1,000,000 | 1,067,500 | ||||
| 9.75% 1/15/09 | 500,000 | 560,000 | ||||
| 20,240,000 | ||||||
| Telecommunications – 7.2% | ||||||
| American Towers, Inc. 7.25% 12/1/11 | 500,000 | 531,250 | ||||
| Innova S. de R.L. 9.375% 9/19/13 | 555,000 | 627,844 | ||||
| Mobile Telesystems Finance SA 8% 1/28/12 (a) | 1,500,000 | 1,590,000 | ||||
| Qwest Corp.: | ||||||
| 7.12% 6/15/13 (a)(b) | 1,000,000 | 1,040,000 | ||||
| 8.875% 3/15/12 | 2,000,000 | 2,185,000 | ||||
| Rogers Communications, Inc.: | ||||||
| 7.25% 12/15/12 | 4,000,000 | 4,230,000 | ||||
| 9.625% 5/1/11 | 2,000,000 | 2,310,000 | ||||
| U.S. West Communications: | ||||||
| 6.875% 9/15/33 | 2,500,000 | 2,162,500 | ||||
| 7.5% 6/15/23 | 500,000 | 452,500 | ||||
| 15,129,094 | ||||||
| Textiles & Apparel – 0.3% | ||||||
| Tommy Hilfiger USA, Inc. 6.85% 6/1/08 | 500,000 | 506,250 | ||||
| TOTAL NONCONVERTIBLE BONDS | ||||||
| (Cost $199,828,504) | 198,902,254 | |||||
| Annual Report |
| 72 |
| Cash Equivalents 7.6% | ||||||
| Maturity | Value | |||||
| Amount | ||||||
| Investments in repurchase agreements (Collateralized by U.S. | ||||||
| Treasury Obligations, in a joint trading account at: | ||||||
| 3.16%, dated 9/30/05 due 10/3/05) | $12,275,229 | $ 12,272,000 | ||||
| 3.27%, dated 9/30/05 due 10/3/05) | 3,511,957 | 3,511,000 | ||||
| TOTAL CASH EQUIVALENTS | ||||||
| (Cost $15,783,000) | 15,783,000 | |||||
| TOTAL INVESTMENT PORTFOLIO 102.8% | ||||||
| (Cost $215,611,504) | 214,685,254 | |||||
| NET OTHER ASSETS – (2.8)% | (5,747,742) | |||||
| NET ASSETS 100% | $ 208,937,512 | |||||
| Legend (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $50,337,550 or 24.1% of net assets. (b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
Income Tax Information
At September 30, 2005, the aggregate cost of investment securities for income tax purposes was $215,610,049. Net unrealized depreciation aggregated $924,795, of which $137,693 related to appreciated investment securities and $1,062,488 related to depreciated investment securities.
73 Annual Report
Fidelity Ultra-Short Central Fund
Investments September 30, 2005 (Unaudited)
Showing Percentage of Net Assets
| Nonconvertible Bonds 4.8% | ||||||
| Principal | Value | |||||
| Amount | ||||||
| CONSUMER DISCRETIONARY – 1.1% | ||||||
| Auto Components 0.3% | ||||||
| DaimlerChrysler NA Holding Corp.: | ||||||
| 4.3138% 9/10/07 (d) | $ 16,665,000 | $ 16,704,263 | ||||
| 4.43% 5/24/06 (d) | 4,700,000 | 4,713,090 | ||||
| 21,417,353 | ||||||
| Media – 0.8% | ||||||
| Continental Cablevision, Inc. 8.3% 5/15/06 | 8,000,000 | 8,183,384 | ||||
| Cox Communications, Inc. (Reg. S) 4.4069% 12/14/07 (d) | . 12,140,000 | 12,222,965 | ||||
| Cox Radio, Inc. 6.625% 2/15/06 | 5,575,000 | 5,612,319 | ||||
| Liberty Media Corp. 5.37% 9/17/06 (d) | 16,694,000 | 16,816,200 | ||||
| Univision Communications, Inc. 2.875% 10/15/06 | 8,505,000 | 8,336,763 | ||||
| 51,171,631 | ||||||
| TOTAL CONSUMER DISCRETIONARY | 72,588,984 | |||||
| ENERGY 0.2% | ||||||
| Oil, Gas & Consumable Fuels – 0.2% | ||||||
| Valero Energy Corp. 7.375% 3/15/06 | 11,550,000 | 11,671,298 | ||||
| FINANCIALS – 1.5% | ||||||
| Capital Markets 0.2% | ||||||
| State Street Capital Trust II 4.29% 2/15/08 (d) | 10,000,000 | 10,007,360 | ||||
| Commercial Banks – 0.2% | ||||||
| Wells Fargo & Co. 3.8738% 3/10/08 (d) | 16,600,000 | 16,600,166 | ||||
| Consumer Finance – 0.5% | ||||||
| General Motors Acceptance Corp. 4.87% 10/20/05 (d) | 14,765,000 | 14,765,177 | ||||
| MBNA Europe Funding PLC 3.97% 9/7/07 (a)(d) | 19,925,000 | 19,915,914 | ||||
| 34,681,091 | ||||||
| Thrifts & Mortgage Finance – 0.6% | ||||||
| Countrywide Financial Corp. 3.71% 4/11/07 (d) | 11,025,000 | 11,037,105 | ||||
| Residential Capital Corp. 5.385% 6/29/07 (a)(d) | 14,150,000 | 14,267,063 | ||||
| Washington Mutual Bank 3.9363% 8/25/08 (d) | 16,325,000 | 16,330,126 | ||||
| 41,634,294 | ||||||
| TOTAL FINANCIALS | 102,922,911 | |||||
| TELECOMMUNICATION SERVICES – 1.1% | ||||||
| Diversified Telecommunication Services – 1.0% | ||||||
| British Telecommunications PLC 7.875% 12/15/05 | 18,145,000 | 18,268,277 | ||||
Annual Report 74
| Nonconvertible Bonds continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| TELECOMMUNICATION SERVICES – continued | ||||||
| Diversified Telecommunication Services – continued | ||||||
| France Telecom SA 7.2% 3/1/06 | $ 5,600,000 | $ 5,664,966 | ||||
| GTE Corp. 6.36% 4/15/06 | 9,000,000 | 9,087,354 | ||||
| SBC Communications, Inc. 4.389% 6/5/06 (a) | 15,315,000 | 15,296,316 | ||||
| Sprint Capital Corp. 4.78% 8/17/06 | 6,000,000 | 6,009,276 | ||||
| Telefonos de Mexico SA de CV 4.5% 11/19/08 | 10,240,000 | 10,107,679 | ||||
| TELUS Corp. yankee 7.5% 6/1/07 | 6,500,000 | 6,787,638 | ||||
| 71,221,506 | ||||||
| Wireless Telecommunication Services – 0.1% | ||||||
| AT&T Wireless Services, Inc. 7.35% 3/1/06 | 5,500,000 | 5,563,866 | ||||
| TOTAL TELECOMMUNICATION SERVICES | 76,785,372 | |||||
| UTILITIES – 0.9% | ||||||
| Electric Utilities – 0.2% | ||||||
| Pinnacle West Energy Corp. 4.0044% 4/1/07 (a)(d) | 12,800,000 | 12,800,000 | ||||
| Gas Utilities 0.1% | ||||||
| NiSource Finance Corp. 7.625% 11/15/05 | 9,250,000 | 9,284,012 | ||||
| Multi-Utilities – 0.6% | ||||||
| Dominion Resources, Inc. 4.27% 9/28/07 (d) | 17,150,000 | 17,145,301 | ||||
| DTE Energy Co. 6.45% 6/1/06 | 13,190,000 | 13,350,324 | ||||
| Sempra Energy 4.75% 5/15/09 | 5,500,000 | 5,461,247 | ||||
| 35,956,872 | ||||||
| TOTAL UTILITIES | 58,040,884 | |||||
| TOTAL NONCONVERTIBLE BONDS | ||||||
| (Cost $322,361,771) | 322,009,449 | |||||
| U.S. Government Agency Obligations 0.0% | ||||||
| Federal Home Loan Bank 0% 12/28/05 (c) | ||||||
| (Cost $1,981,349) | 2,000,000 | 1,981,988 | ||||
| Asset Backed Securities 33.0% | ||||||
| Accredited Mortgage Loan Trust: | ||||||
| Series 2004-2 Class A2, 4.13% 7/25/34 (d) | 7,454,076 | 7,464,885 | ||||
| Series 2004-3 Class 2A4, 4.18% 10/25/34 (d) | 10,915,000 | 10,939,272 | ||||
| Series 2004-4 Class A2D, 4.18% 1/25/35 (d) | 3,210,800 | 3,218,701 | ||||
75 Annual Report
| Investments (Unaudited) continued | ||||||
| Asset Backed Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Accredited Mortgage Loan Trust: – continued | ||||||
| Series 2005-1: | ||||||
| Class M1, 4.3% 4/25/35 (d) | $ 11,280,000 | $ 11,284,074 | ||||
| Class M2, 4.52% 4/25/35 (d) | 5,275,000 | 5,288,969 | ||||
| ACE Securities Corp.: | ||||||
| Series 2002-HE1 Class M1, 4.48% 6/25/32 (d) | 1,842,987 | 1,860,106 | ||||
| Series 2002-HE2 Class M1, 4.68% 8/25/32 (d) | 18,631,213 | 18,689,976 | ||||
| Series 2003-FM1 Class M2, 5.68% 11/25/32 (d) | 3,015,000 | 3,044,567 | ||||
| Series 2003-HS1: | ||||||
| Class M1, 4.58% 6/25/33 (d) | 800,000 | 803,891 | ||||
| Class M2, 5.58% 6/25/33 (d) | 856,000 | 870,466 | ||||
| Series 2003-NC1 Class M1, 4.61% 7/25/33 (d) | 1,600,000 | 1,608,662 | ||||
| Series 2004-HE1: | ||||||
| Class M1, 4.33% 2/25/34 (d) | 2,193,000 | 2,194,100 | ||||
| Class M2, 4.93% 2/25/34 (d) | 2,475,000 | 2,476,472 | ||||
| Series 2004-OP1: | ||||||
| Class M1, 4.35% 4/25/34 (d) | 4,420,000 | 4,424,381 | ||||
| Class M2, 4.88% 4/25/34 (d) | 6,240,000 | 6,332,494 | ||||
| Series 2005-HE2: | ||||||
| Class M1, 4.27% 4/25/35 (d) | 1,530,000 | 1,529,959 | ||||
| Class M2, 4.28% 4/25/35 (d) | 1,803,000 | 1,802,229 | ||||
| Class M3, 4.31% 4/25/35 (d) | 1,040,000 | 1,041,214 | ||||
| Class M4, 4.47% 4/25/35 (d) | 1,340,000 | 1,341,550 | ||||
| Series 2005-HE3: | ||||||
| Class A2A, 3.93% 5/25/35 (d) | 7,170,954 | 7,171,304 | ||||
| Class A2B, 4.04% 5/25/35 (d) | 4,370,000 | 4,367,703 | ||||
| Series 2005-SD1 Class A1, 4.23% 11/25/50 (d) | 2,337,292 | 2,340,041 | ||||
| Aesop Funding II LLC Series 2005-1A Class A2, 3.8563% | ||||||
| 4/20/09 (a)(d) | 8,800,000 | 8,800,906 | ||||
| American Express Credit Account Master Trust: | ||||||
| Series 2002-6 Class B, 4.2181% 3/15/10 (d) | 5,000,000 | 5,028,652 | ||||
| Series 2004-1 Class B, 4.0181% 9/15/11 (d) | 5,775,000 | 5,797,497 | ||||
| Series 2004-C Class C, 4.2681% 2/15/12 (a)(d) | 14,647,039 | 14,680,928 | ||||
| Series 2005-1 Class A, 3.7981% 10/15/12 (d) | 15,455,000 | 15,483,856 | ||||
| Series 2005-6 Class C, 4.0181% 3/15/11 (a)(d) | 9,085,000 | 9,087,816 | ||||
| AmeriCredit Automobile Receivables Trust: | ||||||
| Series 2002-EM Class A4A, 3.67% 6/8/09 | 25,000,000 | 24,882,623 | ||||
| Series 2003-AM Class A4B, 4.15% 11/6/09 (d) | 11,965,573 | 11,999,441 | ||||
| Series 2003-BX Class A4B, 3.9688% 1/6/10 (d) | 3,265,000 | 3,273,821 | ||||
| Series 2003-CF Class A3, 2.75% 10/9/07 | 8,861,691 | 8,837,682 | ||||
| Series 2005-1 Class C, 4.73% 7/6/10 | 15,500,000 | 15,420,941 | ||||
| Ameriquest Mortgage Securities, Inc.: | ||||||
| Series 2002-3 Class M1, 4.53% 8/25/32 (d) | 2,969,781 | 2,983,343 | ||||
Annual Report 76
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Ameriquest Mortgage Securities, Inc.: – continued | ||||||||
| Series 2003-1: | ||||||||
| Class A2, 4.24% 2/25/33 (d) | $ 200,427 | $ 200,481 | ||||||
| Class M1, 4.73% 2/25/33 (d) | 6,150,000 | 6,188,493 | ||||||
| Series 2003-3 Class M1, 4.63% 3/25/33 (d) | 1,590,000 | 1,598,400 | ||||||
| Series 2003-6: | ||||||||
| Class M1, 4.59% 8/25/33 (d) | 7,560,000 | 7,610,158 | ||||||
| Class M2, 5.68% 5/25/33 (d) | 2,750,000 | 2,804,670 | ||||||
| Series 2003-AR1 Class M1, 4.98% 1/25/33 (d) | 7,000,000 | 7,068,037 | ||||||
| Series 2004-R2: | ||||||||
| Class M1, 4.26% 4/25/34 (d) | 1,230,000 | 1,229,969 | ||||||
| Class M2, 4.31% 4/25/34 (d) | 950,000 | 949,976 | ||||||
| Class M3, 4.38% 4/25/34 (d) | 3,500,000 | 3,499,912 | ||||||
| Class M4, 4.88% 4/25/34 (d) | 4,500,000 | 4,499,883 | ||||||
| Series 2004-R9 Class A3, 4.15% 10/25/34 (d) | 9,206,545 | 9,219,109 | ||||||
| Series 2005-R1: | ||||||||
| Class M1, 4.28% 3/25/35 (d) | 5,710,000 | 5,707,639 | ||||||
| Class M2, 4.31% 3/25/35 (d) | 1,925,000 | 1,924,232 | ||||||
| Series 2005-R2 Class M1, 4.28% 4/25/35 (d) | 12,500,000 | 12,499,668 | ||||||
| Amortizing Residential Collateral Trust: | ||||||||
| Series 2002-BC3 Class A, 4.16% 6/25/32 (d) | 2,411,175 | 2,418,320 | ||||||
| Series 2002-BC6 Class M1, 4.58% 8/25/32 (d) | 24,900,000 | 25,095,555 | ||||||
| Series 2002-BC7: | ||||||||
| Class M1, 4.63% 10/25/32 (d) | 10,000,000 | 10,028,130 | ||||||
| Class M2, 4.73% 10/25/32 (d) | 5,575,000 | 5,605,898 | ||||||
| Series 2002-BC1 Class M2, 4.93% 1/25/32 (d) | 758,836 | 762,053 | ||||||
| ARG Funding Corp.: | ||||||||
| Series 2005-1A Class A2, 3.8963% 4/20/09 (a)(d) | 11,000,000 | 10,975,938 | ||||||
| Series 2005-2A Class A2, 3.9063% 5/20/09 (a)(d) | 5,200,000 | 5,190,453 | ||||||
| Argent Securities, Inc.: | ||||||||
| Series 2003-W3 Class M2, 5.63% 9/25/33 (d) | 20,000,000 | 20,596,100 | ||||||
| Series 2003-W7 Class A2, 4.22% 3/1/34 (d) | 3,948,904 | 3,957,510 | ||||||
| Series 2004-W5 Class M1, 4.43% 4/25/34 (d) | 3,960,000 | 3,964,674 | ||||||
| Series 2004-W7: | ||||||||
| Class M1, 4.38% 5/25/34 (d) | 4,085,000 | 4,084,893 | ||||||
| Class M2, 4.43% 5/25/34 (d) | 3,320,000 | 3,319,914 | ||||||
| Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||
| Series 2003-HE2: | ||||||||
| Class A2, 4.1481% 4/15/33 (d) | 664,884 | 664,968 | ||||||
| Class M1, 4.6681% 4/15/33 (d) | 11,365,000 | 11,414,716 | ||||||
| Series 2003-HE3: | ||||||||
| Class M1, 4.5981% 6/15/33 (d) | 2,185,000 | 2,196,793 | ||||||
| Class M2, 5.7681% 6/15/33 (d) | 10,000,000 | 10,168,072 |
77 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Asset Backed Securities Corp. Home Equity Loan Trust: - | ||||||||
| continued | ||||||||
| Series 2003-HE4 Class M2, 5.7681% 8/15/33 (d) | $ 5,695,000 | $ 5,779,144 | ||||||
| Series 2003-HE5 Class A2A, 4.1281% 8/15/33 (d) | 347,110 | 347,153 | ||||||
| Series 2003-HE6 Class M1, 4.48% 11/25/33 (d) | 3,475,000 | 3,497,595 | ||||||
| Series 2004-HE2 Class M1, 4.38% 4/25/34 (d) | 6,060,000 | 6,083,075 | ||||||
| Series 2004-HE3: | ||||||||
| Class M1, 4.37% 6/25/34 (d) | 1,450,000 | 1,457,158 | ||||||
| Class M2, 4.95% 6/25/34 (d) | 3,350,000 | 3,391,294 | ||||||
| Series 2004-HE6 Class A2, 4.19% 6/25/34 (d) | 15,110,414 | 15,141,786 | ||||||
| Series 2005-HE2: | ||||||||
| Class M1, 4.28% 3/25/35 (d) | 8,250,000 | 8,259,768 | ||||||
| Class M2, 4.33% 3/25/35 (d) | 2,065,000 | 2,070,757 | ||||||
| Series 2005-HE3 Class A4, 4.03% 4/25/35 (d) | 11,650,000 | 11,649,725 | ||||||
| Series 2005-HE6 Class A2B, 4.08% 7/25/35 (d) | 10,000,000 | 10,009,980 | ||||||
| Bank One Issuance Trust: | ||||||||
| Series 2002-B1 Class B1, 4.1481% 12/15/09 (d) | 20,655,000 | 20,734,158 | ||||||
| Series 2002-B3 Class B, 4.1281% 8/15/08 (d) | 14,500,000 | 14,503,495 | ||||||
| Series 2002-C1 Class C1, 4.7281% 12/15/09 (d) | 7,980,000 | 8,063,633 | ||||||
| Series 2003-C4 Class C4, 4.7981% 2/15/11 (d) | 14,910,000 | 15,197,991 | ||||||
| Bayview Financial Acquisition Trust Series 2004-C | ||||||||
| Class A1, 4.2575% 5/28/44 (d) | 7,735,211 | 7,751,217 | ||||||
| Bayview Financial Asset Trust Series 2003-F Class A, | ||||||||
| 4.3375% 9/28/43 (d) | 9,005,591 | 9,025,757 | ||||||
| Bayview Financial Mortgage Loan Trust Series 2004-A Class | ||||||||
| A, 4.2875% 2/28/44 (d) | 5,177,035 | 5,186,096 | ||||||
| Bear Stearns Asset Backed Securities, Inc. Series 2005-3 | ||||||||
| Class A1, 4.28% 9/25/35 (d) | 4,051,990 | 4,051,990 | ||||||
| Bear Stearns Asset Backed Securities I: | ||||||||
| Series 2005-HE2: | ||||||||
| Class M1, 4.33% 2/25/35 (d) | 6,655,000 | 6,657,302 | ||||||
| Class M2, 4.58% 2/25/35 (d) | 2,430,000 | 2,438,309 | ||||||
| Series 2005-HE5 Class 1A1, 3.94% 6/25/35 (d) | 9,315,999 | 9,314,540 | ||||||
| Capital Auto Receivables Asset Trust: | ||||||||
| Series 2002-5 Class B, 2.8% 4/15/08 | 2,439,941 | 2,415,147 | ||||||
| Series 2003-1 Class B, 4.2381% 6/15/10 (a)(d) | 4,946,375 | 4,959,105 | ||||||
| Series 2003-2 Class B, 4.0481% 1/15/09 (d) | 2,369,381 | 2,373,293 | ||||||
| Series 2005-1 Class B, 4.1431% 6/15/10 (d) | 5,725,000 | 5,757,133 | ||||||
| Capital One Auto Finance Trust: | ||||||||
| Series 2003-A Class A4B, 4.0481% 1/15/10 (d) | 9,630,000 | 9,651,642 | ||||||
| Series 2004-B Class A4, 3.8781% 8/15/11 (d) | 16,300,000 | 16,304,722 | ||||||
| Annual Report |
| 78 |
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Capital One Master Trust: | ||||||||
| Series 1999-3 Class B, 4.2481% 9/15/09 (d) | $ 5,000,000 | $ 5,001,993 | ||||||
| Series 2001-1 Class B, 4.2781% 12/15/10 (d) | 19,500,000 | 19,636,007 | ||||||
| Series 2001-8A Class B, 4.3181% 8/17/09 (d) | 9,585,000 | 9,627,823 | ||||||
| Series 2002-4A Class B, 4.2681% 3/15/10 (d) | 6,000,000 | 6,026,994 | ||||||
| Capital One Multi-Asset Execution Trust Series 2003-B1 Class | ||||||||
| B1, 4.9381% 2/17/09 (d) | 15,470,000 | 15,540,698 | ||||||
| Capital Trust Ltd. Series 2004-1: | ||||||||
| Class A2, 4.2463% 7/20/39 (a)(d) | 2,968,000 | 2,974,368 | ||||||
| Class B, 4.5463% 7/20/39 (a)(d) | 1,550,000 | 1,553,325 | ||||||
| Class C, 4.8963% 7/20/39 (a)(d) | 1,994,000 | 1,998,276 | ||||||
| CDC Mortgage Capital Trust: | ||||||||
| Series 2001-HE1 Class M1, 4.86% 1/25/32 (d) | 3,470,154 | 3,471,347 | ||||||
| Series 2002-HE2 Class M1, 4.53% 1/25/33 (d) | 9,278,431 | 9,305,483 | ||||||
| Series 2002-HE3: | ||||||||
| Class M1, 4.93% 3/25/33 (d) | 21,339,884 | 21,583,539 | ||||||
| Class M2, 5.8913% 3/25/33 (d) | 9,968,976 | 10,111,477 | ||||||
| Series 2003-HE1: | ||||||||
| Class M1, 4.5413% 8/25/33 (d) | 1,907,142 | 1,913,922 | ||||||
| Class M2, 5.5913% 8/25/33 (d) | 4,369,996 | 4,416,852 | ||||||
| Series 2003-HE2 Class A, 3.9913% 10/25/33 (d) | 1,011,328 | 1,011,776 | ||||||
| Series 2003-HE3: | ||||||||
| Class M1, 4.53% 11/25/33 (d) | 2,254,989 | 2,275,897 | ||||||
| Class M2, 5.58% 11/25/33 (d) | 1,719,992 | 1,749,395 | ||||||
| Series 2004-HE2 Class M2, 5.03% 7/26/34 (d) | 2,345,000 | 2,366,343 | ||||||
| Cendant Timeshare Receivables Funding LLC Series 2005 1A | ||||||||
| Class 2A2, 3.9763% 5/20/17 (a)(d) | 9,256,185 | 9,256,185 | ||||||
| Chase Credit Card Owner Trust: | ||||||||
| Series 2001-6 Class B, 4.2481% 3/16/09 (d) | 1,305,000 | 1,310,645 | ||||||
| Series 2002-6 Class B, 4.1181% 1/15/08 (d) | 11,850,000 | 11,850,281 | ||||||
| Series 2003-6 Class C, 4.5681% 2/15/11 (d) | 16,400,000 | 16,641,039 | ||||||
| Series 2004-1 Class B, 3.9681% 5/15/09 (d) | 4,105,000 | 4,104,601 | ||||||
| Citibank Credit Card Issuance Trust: | ||||||||
| Series 2000-C2 Class C2, 4.2488% 10/15/07 (d) | 17,500,000 | 17,499,286 | ||||||
| Series 2001-B2 Class B2, 4.3038% 12/10/08 (d) | 11,945,000 | 11,995,489 | ||||||
| Series 2002-B1 Class B1, 4.2906% 6/25/09 (d) | 9,010,000 | 9,041,853 | ||||||
| Series 2002-C1 Class C1, 4.7369% 2/9/09 (d) | 17,500,000 | 17,675,320 | ||||||
| Series 2003-B1 Class B1, 4.0763% 3/7/08 (d) | 25,000,000 | 25,035,435 | ||||||
| Series 2003-C1 Class C1, 4.65% 4/7/10 (d) | 17,785,000 | 18,159,908 | ||||||
| Citigroup Mortgage Loan Trust Series 2003-HE4 | ||||||||
| Class A, 4.24% 12/25/33 (a)(d) | 7,601,624 | 7,602,413 | ||||||
| CNH Wholesale Master Note Trust Series 2005-1: | ||||||||
| Class A, 3.8781% 6/15/11 (d) | 18,000,000 | 17,997,386 |
79 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| CNH Wholesale Master Note Trust Series 2005-1: - | ||||||||
| continued | ||||||||
| Class B, 4.1681% 6/15/11 (d) | $ 2,280,000 | $ 2,279,668 | ||||||
| Countrywide Home Loans, Inc.: | ||||||||
| Series 2002-6 Class AV1, 4.26% 5/25/33 (d) | 1,255,649 | 1,258,682 | ||||||
| Series 2003-BC1 Class M2, 5.83% 9/25/32 (d) | 11,065,000 | 11,184,059 | ||||||
| Series 2003-SD3 Class A1, 4.25% 12/25/32 (a)(d) | 752,994 | 756,713 | ||||||
| Series 2004-2 Class M1, 4.33% 5/25/34 (d) | 5,200,000 | 5,209,564 | ||||||
| Series 2004-3: | ||||||||
| Class 3A4, 4.08% 8/25/34 (d) | 445,702 | 444,067 | ||||||
| Class M1, 4.33% 6/25/34 (d) | 1,475,000 | 1,476,401 | ||||||
| Series 2004-4: | ||||||||
| Class A, 4.2% 8/25/34 (d) | 2,130,303 | 2,132,323 | ||||||
| Class M1, 4.31% 7/25/34 (d) | 3,650,000 | 3,660,809 | ||||||
| Class M2, 4.36% 6/25/34 (d) | 4,395,000 | 4,399,618 | ||||||
| Series 2005-1: | ||||||||
| Class 1AV2, 4.03% 7/25/35 (d) | 8,780,000 | 8,777,753 | ||||||
| Class M1, 4.25% 8/25/35 (d) | 19,600,000 | 19,586,004 | ||||||
| Class MV1, 4.23% 7/25/35 (d) | 3,135,000 | 3,133,802 | ||||||
| Class MV2, 4.27% 7/25/35 (d) | 3,765,000 | 3,762,360 | ||||||
| Class MV3, 4.31% 7/25/35 (d) | 1,560,000 | 1,561,512 | ||||||
| Series 2005-3 Class MV1, 4.25% 8/25/35 (d) | 11,125,000 | 11,116,813 | ||||||
| Series 2005-AB1 Class A2, 4.04% 8/25/35 (d) | 17,520,000 | 17,515,387 | ||||||
| Series 2005-BC1 Class 2A2, 4.03% 5/25/35 (d) | 8,375,000 | 8,376,323 | ||||||
| Series 2005-IM1 Class A1, 3.96% 11/25/35 (d) | 16,452,556 | 16,453,841 | ||||||
| CS First Boston Mortgage Securities Corp.: | ||||||||
| Series 2003-8 Class A2, 4.22% 4/25/34 (d) | 2,207,328 | 2,216,663 | ||||||
| Series 2004-FRE1: | ||||||||
| Class A2, 4.18% 4/25/34 (d) | 1,945,674 | 1,945,630 | ||||||
| Class M3, 4.48% 4/25/34 (d) | 5,885,000 | 5,884,847 | ||||||
| Discover Card Master Trust I Series 2003-4 Class B1, | ||||||||
| 4.0981% 5/16/11 (d) | 8,155,000 | 8,200,894 | ||||||
| Fannie Mae guaranteed REMIC pass thru certificates Series | ||||||||
| 2004-T5 Class AB3, 4.222% 5/28/35 (d) | 5,382,969 | 5,384,840 | ||||||
| Fieldstone Mortgage Investment Corp.: | ||||||||
| Series 2003-1: | ||||||||
| Class M1, 4.51% 11/25/33 (d) | 1,300,000 | 1,311,510 | ||||||
| Class M2, 5.58% 11/25/33 (d) | 700,000 | 718,059 | ||||||
| Series 2004-1 Class M2, 4.93% 1/25/35 (d) | 3,700,000 | 3,743,249 | ||||||
| Series 2004-2 Class M2, 4.98% 7/25/34 (d) | 9,890,000 | 9,889,746 | ||||||
| Series 2004-3 Class M5, 5.28% 8/25/34 (d) | 2,000,000 | 2,035,525 | ||||||
| Series 2005-2 Class 2A1, 3.95% 7/25/36 (d) | 16,387,547 | 16,385,833 | ||||||
Annual Report 80
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| First Franklin Mortgage Loan Asset Backed Certificates: | ||||||||
| Series 2005-FF2 Class A2A, 3.92% 3/25/35 (d) | $ 6,441,811 | $ 6,442,575 | ||||||
| Series 2005-FF2 Class M6, 4.53% 3/25/35 (d) | 6,950,000 | 6,966,453 | ||||||
| First Franklin Mortgage Loan Trust Series 2004-FF2: | ||||||||
| Class M3, 4.38% 3/25/34 (d) | 400,000 | 400,662 | ||||||
| Class M4, 4.73% 3/25/34 (d) | 300,000 | 302,870 | ||||||
| First USA Credit Card Master Trust Series 2001-4 Class B, | ||||||||
| 4.1281% 1/12/09 (d) | 15,000,000 | 15,017,273 | ||||||
| First USA Secured Note Trust Series 2001-3 Class C, | ||||||||
| 4.8394% 11/19/08 (a)(d) | 11,580,000 | 11,661,421 | ||||||
| Ford Credit Auto Owner Trust Series 2003-B Class B2, | ||||||||
| 4.1981% 10/15/07 (d) | 19,600,000 | 19,672,465 | ||||||
| Ford Credit Floorplan Master Owner Trust Series 2005 1: | ||||||||
| Class A, 3.9181% 5/17/10 (d) | 9,590,000 | 9,586,223 | ||||||
| Class B, 4.2081% 5/17/10 (d) | 2,625,000 | 2,623,968 | ||||||
| Fremont Home Loan Trust: | ||||||||
| Series 2004-1: | ||||||||
| Class 1A1, 4.05% 2/25/34 (d) | 2,196,026 | 2,197,373 | ||||||
| Class M1, 4.28% 2/25/34 (d) | 750,000 | 750,227 | ||||||
| Class M2, 4.33% 2/25/34 (d) | 800,000 | 800,745 | ||||||
| Series 2004-C Class 2A2, 4.38% 8/25/34 (d) | 10,000,000 | 10,060,514 | ||||||
| Series 2004-D Class 3A2, 4.11% 11/25/34 (d) | 2,153,210 | 2,158,681 | ||||||
| Series 2005-2 Class 2A1, 3.94% 6/25/35 (d) | 14,216,532 | 14,212,883 | ||||||
| Series 2005 A: | ||||||||
| Class 2A2, 4.07% 2/25/35 (d) | 11,850,000 | 11,862,896 | ||||||
| Class M1, 4.26% 1/25/35 (d) | 1,603,000 | 1,608,402 | ||||||
| Class M2, 4.29% 1/25/35 (d) | 2,325,000 | 2,326,557 | ||||||
| Class M3, 4.32% 1/25/35 (d) | 1,250,000 | 1,252,900 | ||||||
| Class M4, 4.51% 1/25/35 (d) | 925,000 | 931,377 | ||||||
| GE Business Loan Trust Series 2003-1 Class A, 4.1981% | ||||||||
| 4/15/31 (a)(d) | 5,238,178 | 5,267,176 | ||||||
| GE Capital Credit Card Master Note Trust Series 2005-2 | ||||||||
| Class B, 3.9681% 6/15/11 (d) | 6,475,000 | 6,474,059 | ||||||
| Gracechurch Card Funding No. 9 PLC Series 2005-2: | ||||||||
| Class B, 3.9818% 9/15/10 (d) | 3,560,000 | 3,560,000 | ||||||
| Class C, 4.1418% 9/15/10 (d) | 13,000,000 | 13,000,000 | ||||||
| Gracechurch Card Funding PLC: | ||||||||
| Series 5: | ||||||||
| Class B, 3.9981% 8/15/08 (d) | 1,520,000 | 1,520,806 | ||||||
| Class C, 4.6981% 8/15/08 (d) | 5,580,000 | 5,600,379 | ||||||
| Series 6 Class B, 3.9581% 2/17/09 (d) | 1,030,000 | 1,030,878 | ||||||
| Series 8 Class C, 4.0981% 6/15/10 (d) | 18,450,000 | 18,485,634 |
81 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| GSAMP Trust: | ||||||||
| Series 2002-HE Class M1, 5.0463% 11/20/32 (d) | $ 2,882,888 | $ 2,926,670 | ||||||
| Series 2002-NC1: | ||||||||
| Class A2, 4.15% 7/25/32 (d) | 54,777 | 55,120 | ||||||
| Class M1, 4.47% 7/25/32 (d) | 8,861,000 | 8,942,540 | ||||||
| Series 2003-FM1 Class M1, 4.6163% 3/20/33 (d) | 15,000,000 | 15,157,449 | ||||||
| Series 2004-FM1: | ||||||||
| Class M1, 4.48% 11/25/33 (d) | 2,865,000 | 2,864,925 | ||||||
| Class M2, 5.23% 11/25/33 (d) | 1,975,000 | 2,008,385 | ||||||
| Series 2004-FM2: | ||||||||
| Class M1, 4.33% 1/25/34 (d) | 3,500,000 | 3,499,910 | ||||||
| Class M2, 4.93% 1/25/34 (d) | 1,500,000 | 1,499,961 | ||||||
| Class M3, 5.13% 1/25/34 (d) | 1,500,000 | 1,499,961 | ||||||
| Series 2004-HE1: | ||||||||
| Class M1, 4.38% 5/25/34 (d) | 4,045,000 | 4,044,896 | ||||||
| Class M2, 4.98% 5/25/34 (d) | 1,750,000 | 1,765,219 | ||||||
| Series 2005-9 Class 2A1, 3.95% 8/25/35 (d) | 16,206,183 | 16,206,183 | ||||||
| Series 2005-FF2 Class M5, 4.46% 3/25/35 (d) | 3,500,000 | 3,506,922 | ||||||
| Series 2005-HE2 Class M, 4.26% 3/25/35 (d) | 8,780,000 | 8,776,221 | ||||||
| Series 2005-NC1 Class M1, 4.28% 2/25/35 (d) | 9,010,000 | 9,013,305 | ||||||
| Guggenheim Structured Real Estate Funding Ltd. | ||||||||
| Series 2005-1 Class C, 4.91% 5/25/30 (a)(d) | 14,000,000 | 13,987,145 | ||||||
| HSBC Home Equity Loan Trust Series 2005-2: | ||||||||
| Class M1, 4.2563% 1/20/35 (d) | 2,914,233 | 2,914,529 | ||||||
| Class M2, 4.2863% 1/20/35 (d) | 2,182,286 | 2,182,488 | ||||||
| Home Equity Asset Trust: | ||||||||
| Series 2002-2 Class M1, 4.63% 6/25/32 (d) | 10,000,000 | 10,011,960 | ||||||
| Series 2002-3 Class A5, 4.27% 2/25/33 (d) | 2,763 | 2,767 | ||||||
| Series 2002-5: | ||||||||
| Class A3, 4.35% 5/25/33 (d) | 1,901,156 | 1,905,789 | ||||||
| Class M1, 5.03% 5/25/33 (d) | 13,800,000 | 13,948,517 | ||||||
| Series 2003-1: | ||||||||
| Class A2, 4.3% 6/25/33 (d) | 3,368,416 | 3,370,517 | ||||||
| Class M1, 4.83% 6/25/33 (d) | 8,335,000 | 8,371,945 | ||||||
| Series 2003-2: | ||||||||
| Class A2, 4.21% 8/25/33 (d) | 159,893 | 160,447 | ||||||
| Class M1, 4.71% 8/25/33 (d) | 2,245,000 | 2,271,910 | ||||||
| Series 2003-3: | ||||||||
| Class A2, 4.19% 8/25/33 (d) | 1,245,521 | 1,250,195 | ||||||
| Class M1, 4.69% 8/25/33 (d) | 8,185,000 | 8,277,490 | ||||||
| Series 2003-4: | ||||||||
| Class M1, 4.4413% 10/25/33 (d) | 3,415,000 | 3,437,752 | ||||||
Annual Report 82
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Home Equity Asset Trust: – continued | ||||||||
| Series 2003-4: | ||||||||
| Class M2, 5.5413% 10/25/33 (d) | $ 4,040,000 | $ 4,087,070 | ||||||
| Series 2003-5: | ||||||||
| Class A2, 4.18% 12/25/33 (d) | 3,793,784 | 3,806,470 | ||||||
| Class M1, 4.53% 12/25/33 (d) | 3,175,000 | 3,197,905 | ||||||
| Class M2, 5.56% 12/25/33 (d) | 1,345,000 | 1,376,130 | ||||||
| Series 2003-7 Class A2, 4.21% 3/25/34 (d) | 2,866,529 | 2,872,858 | ||||||
| Series 2004-2 Class A2, 4.12% 7/25/34 (d) | 5,111,457 | 5,111,384 | ||||||
| Series 2004-3: | ||||||||
| Class M1, 4.4% 8/25/34 (d) | 2,015,000 | 2,023,738 | ||||||
| Class M2, 5.03% 8/25/34 (d) | 2,200,000 | 2,239,606 | ||||||
| Series 2004-4 Class A2, 4.15% 10/25/34 (d) | 7,288,824 | 7,313,693 | ||||||
| Series 2004-6 Class A2, 4.18% 12/25/34 (d) | 8,069,368 | 8,094,037 | ||||||
| Series 2004-7 Class A3, 4.22% 1/25/35 (d) | 2,551,011 | 2,562,040 | ||||||
| Series 2005-1: | ||||||||
| Class M1, 4.26% 5/25/35 (d) | 9,705,000 | 9,708,301 | ||||||
| Class M2, 4.28% 5/25/35 (d) | 5,780,000 | 5,775,826 | ||||||
| Class M3, 4.33% 5/25/35 (d) | 5,825,000 | 5,820,912 | ||||||
| Series 2005-2: | ||||||||
| Class 2A2, 4.03% 7/25/35 (d) | 13,170,000 | 13,169,687 | ||||||
| Class M1, 4.28% 7/25/35 (d) | 10,085,000 | 10,084,736 | ||||||
| Series 2005-3 Class M1, 4.24% 8/25/35 (d) | 9,450,000 | 9,442,313 | ||||||
| Series 2005-5 Class 2A2, 4.08% 11/25/35 (d) | 15,000,000 | 15,024,030 | ||||||
| Household Affinity Credit Card Master Note Trust I | ||||||||
| Series 2003-3 Class B, 4.0581% 8/15/08 (d) | 10,000,000 | 10,012,255 | ||||||
| Household Credit Card Master Trust I Series 2002-1 Class B, | ||||||||
| 4.4181% 7/15/08 (d) | 22,589,000 | 22,592,725 | ||||||
| Household Home Equity Loan Trust: | ||||||||
| Series 2002-2 Class A, 4.0963% 4/20/32 (d) | 3,046,635 | 3,047,537 | ||||||
| Series 2002-3 Class A, 4.2463% 7/20/32 (d) | 2,468,824 | 2,470,761 | ||||||
| Series 2003-1 Class M, 4.4263% 10/20/32 (d) | 686,032 | 686,682 | ||||||
| Series 2003-2: | ||||||||
| Class A, 4.1263% 9/20/33 (d) | 2,534,598 | 2,539,076 | ||||||
| Class M, 4.3763% 9/20/33 (d) | 1,191,893 | 1,194,376 | ||||||
| Series 2004-1 Class M, 4.3163% 9/20/33 (d) | 2,389,256 | 2,393,972 | ||||||
| Household Mortgage Loan Trust: | ||||||||
| Series 2003-HC1 Class M, 4.4463% 2/20/33 (d) | 1,500,530 | 1,505,086 | ||||||
| Series 2004-HC1: | ||||||||
| Class A, 4.1463% 2/20/34 (d) | 4,182,768 | 4,193,747 | ||||||
| Class M, 4.2963% 2/20/34 (d) | 2,528,917 | 2,530,110 | ||||||
| Household Private Label Credit Card Master Note Trust I: | ||||||||
| Series 2002-1 Class B, 4.3181% 1/18/11 (d) | 8,850,000 | 8,865,532 |
83 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Household Private Label Credit Card Master Note Trust I: – | ||||||||
| continued | ||||||||
| Series 2002-2: | ||||||||
| Class A, 3.9381% 1/18/11 (d) | $ 9,000,000 | $ 9,010,691 | ||||||
| Class B, 4.3181% 1/18/11 (d) | 14,275,000 | 14,347,032 | ||||||
| Series 2002-3 Class B, 5.0181% 9/15/09 (d) | 4,150,000 | 4,153,962 | ||||||
| Ikon Receivables Funding LLC Series 2003-1 Class A3A, | ||||||||
| 4.0081% 12/17/07 (d) | 2,012,271 | 2,012,612 | ||||||
| IXIS Real Estate Capital Trust Series 2005-HE1: | ||||||||
| Class A1, 4.08% 6/25/35 (d) | 10,270,940 | 10,270,696 | ||||||
| Class M1, 4.3% 6/25/35 (d) | 4,100,000 | 4,098,296 | ||||||
| Class M2, 4.32% 6/25/35 (d) | 2,775,000 | 2,773,872 | ||||||
| Class M3, 4.35% 6/25/35 (d) | 1,975,000 | 1,977,174 | ||||||
| Keycorp Student Loan Trust Series 1999-A Class A2, 4.34% | ||||||||
| 12/27/09 (d) | 14,973,894 | 15,030,475 | ||||||
| Long Beach Mortgage Loan Trust: | ||||||||
| Series 2003-2: | ||||||||
| Class AV, 4.15% 6/25/33 (d) | 124,347 | 124,374 | ||||||
| Class M1, 4.65% 6/25/33 (d) | 19,500,000 | 19,585,995 | ||||||
| Series 2003-3 Class M1, 4.3913% 7/25/33 (d) | 7,770,000 | 7,819,867 | ||||||
| Series 2004-2: | ||||||||
| Class M1, 4.36% 6/25/34 (d) | 4,275,000 | 4,284,930 | ||||||
| Class M2, 4.91% 6/25/34 (d) | 1,400,000 | 1,415,675 | ||||||
| Series 2005-2 Class 2A2, 4.01% 4/25/35 (d) | 12,000,000 | 12,003,775 | ||||||
| MASTR Asset Backed Securities Trust: | ||||||||
| Series 2003-NC1: | ||||||||
| Class M1, 4.56% 4/25/33 (d) | 3,500,000 | 3,520,473 | ||||||
| Class M2, 5.68% 4/25/33 (d) | 1,500,000 | 1,531,476 | ||||||
| Series 2004-FRE1 Class M1, 4.38% 7/25/34 (d) | 5,223,000 | 5,243,096 | ||||||
| MBNA Asset Backed Note Trust Series 2000-K Class C, | ||||||||
| 4.5681% 3/17/08 (a)(d) | 7,250,000 | 7,251,305 | ||||||
| MBNA Credit Card Master Note Trust: | ||||||||
| Series 2001-B1 Class B1, 4.1431% 10/15/08 (d) | 30,000,000 | 30,032,436 | ||||||
| Series 2001-B2 Class B2, 4.1281% 1/15/09 (d) | 30,353,000 | 30,408,661 | ||||||
| Series 2002-B2 Class B2, 4.1481% 10/15/09 (d) | 20,000,000 | 20,080,518 | ||||||
| Series 2002-B4 Class B4, 4.2681% 3/15/10 (d) | 14,800,000 | 14,906,795 | ||||||
| Series 2003-B2 Class B2, 4.1581% 10/15/10 (d) | 1,530,000 | 1,544,849 | ||||||
| Series 2003-B3 Class B3, 4.1431% 1/18/11 (d) | 1,130,000 | 1,136,193 | ||||||
| Series 2003-B5 Class B5, 4.1381% 2/15/11 (d) | 705,000 | 710,072 | ||||||
| MBNA Master Credit Card Trust II: | ||||||||
| Series 1998-E Class B, 3.9288% 9/15/10 (d) | 7,800,000 | 7,843,689 | ||||||
| Series 1998-G Class B, 4.1681% 2/17/09 (d) | 20,000,000 | 20,034,530 | ||||||
Annual Report 84
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Meritage Mortgage Loan Trust Series 2004-1: | ||||||||
| Class M1, 4.33% 7/25/34 (d) | $ 2,125,000 | $ 2,124,946 | ||||||
| Class M2, 4.38% 7/25/34 (d) | 375,000 | 374,991 | ||||||
| Class M3, 4.78% 7/25/34 (d) | 775,000 | 774,980 | ||||||
| Class M4, 4.93% 7/25/34 (d) | 525,000 | 524,987 | ||||||
| Merrill Lynch Mortgage Investors, Inc. Series 2003-HE1 Class | ||||||||
| M1, 4.53% 7/25/34 (d) | 2,321,000 | 2,334,630 | ||||||
| Morgan Stanley ABS Capital I, Inc.: | ||||||||
| Series 2002-NC6 Class M2, 5.93% 11/25/32 (d) | 2,370,000 | 2,430,872 | ||||||
| Series 2003-NC5 Class M2, 5.83% 4/25/33 (d) | 2,800,000 | 2,827,761 | ||||||
| Series 2003-NC6 Class M2, 5.5913% 6/27/33 (d) | 12,835,000 | 13,193,861 | ||||||
| Series 2003-NC7 Class M1, 4.53% 6/25/33 (d) | 1,785,000 | 1,790,756 | ||||||
| Series 2003-NC8 Class M1, 4.53% 9/25/33 (d) | 2,350,000 | 2,380,069 | ||||||
| Series 2004-HE6 Class A2, 4.17% 8/25/34 (d) | 6,065,683 | 6,084,818 | ||||||
| Series 2004-NC2 Class M1, 4.38% 12/25/33 (d) | 2,595,000 | 2,604,510 | ||||||
| Series 2004-NC6 Class A2, 4.17% 7/25/34 (d) | 2,716,074 | 2,721,759 | ||||||
| Series 2005-1: | ||||||||
| Class M2, 4.3% 12/25/34 (d) | 4,425,000 | 4,429,882 | ||||||
| Class M3, 4.35% 12/25/34 (d) | 4,000,000 | 4,007,356 | ||||||
| Series 2005-HE1: | ||||||||
| Class A3B, 4.05% 12/25/34 (d) | 3,885,000 | 3,889,760 | ||||||
| Class M1, 4.28% 12/25/34 (d) | 1,100,000 | 1,103,379 | ||||||
| Class M2, 4.3% 12/25/34 (d) | 2,970,000 | 2,974,441 | ||||||
| Series 2005-HE2: | ||||||||
| Class M1, 4.23% 1/25/35 (d) | 2,665,000 | 2,673,338 | ||||||
| Class M2, 4.27% 1/25/35 (d) | 1,900,000 | 1,899,216 | ||||||
| Series 2005-NC1: | ||||||||
| Class M1, 4.27% 1/25/35 (d) | 2,425,000 | 2,434,295 | ||||||
| Class M2, 4.3% 1/25/35 (d) | 2,425,000 | 2,427,680 | ||||||
| Class M3, 4.34% 1/25/35 (d) | 2,425,000 | 2,431,267 | ||||||
| Morgan Stanley Dean Witter Capital I Trust: | ||||||||
| Series 2001-AM1: | ||||||||
| Class M1, 4.68% 2/25/32 (d) | 1,510,288 | 1,511,306 | ||||||
| Class M2, 5.23% 2/25/32 (d) | 5,305,979 | 5,312,043 | ||||||
| Series 2001-NC4 Class M1, 4.83% 1/25/32 (d) | 3,827,881 | 3,838,780 | ||||||
| Series 2002-AM3 Class A3, 4.32% 2/25/33 (d) | 992,554 | 995,836 | ||||||
| Series 2002-HE1 Class M1, 4.43% 7/25/32 (d) | 5,860,000 | 5,893,166 | ||||||
| Series 2002-HE2 Class M1, 4.53% 8/25/32 (d) | 9,925,000 | 9,964,301 | ||||||
| Series 2002-NC3 Class A3, 4.17% 8/25/32 (d) | 147,864 | 148,113 | ||||||
| Series 2002-OP1 Class M1, 4.58% 9/25/32 (d) | 3,894,745 | 3,907,257 | ||||||
| Series 2003-NC1: | ||||||||
| Class M1, 4.88% 11/25/32 (d) | 2,391,382 | 2,406,740 | ||||||
| Class M2, 5.88% 11/25/32 (d) | 1,880,000 | 1,897,592 |
85 Annual Report
| Investments (Unaudited) continued | ||||||||
| Asset Backed Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| New Century Home Equity Loan Trust: | ||||||||
| Series 2003-2 Class M2, 5.83% 1/25/33 (d) | $ 4,600,000 | $ 4,665,213 | ||||||
| Series 2003-6 Class M1, 4.55% 1/25/34 (d) | 5,180,000 | 5,212,663 | ||||||
| Series 2005-1: | ||||||||
| Class M1, 4.28% 3/25/35 (d) | 4,395,000 | 4,396,544 | ||||||
| Class M2, 4.31% 3/25/35 (d) | 4,395,000 | 4,396,491 | ||||||
| Class M3, 4.35% 3/25/35 (d) | 2,120,000 | 2,126,029 | ||||||
| Nissan Auto Lease Trust: | ||||||||
| Series 2003-A Class A3A, 3.9081% 6/15/09 (d) | 11,639,609 | 11,648,579 | ||||||
| Series 2004-A Class A4A, 3.8381% 6/15/10 (d) | 10,570,000 | 10,581,156 | ||||||
| NovaStar Home Equity Loan Series 2004-1: | ||||||||
| Class M1, 4.28% 6/25/34 (d) | 1,450,000 | 1,451,161 | ||||||
| Class M4, 4.805% 6/25/34 (d) | 2,435,000 | 2,444,337 | ||||||
| Ocala Funding LLC Series 2005-1A Class A, 5.2963% | ||||||||
| 3/20/10 (a)(d) | 3,675,000 | 3,675,000 | ||||||
| Ownit Mortgage Loan Asset-Backed Certificates Series | ||||||||
| 2005 3 Class A2A, 3.95% 6/25/36 (d) | 14,975,059 | 14,974,727 | ||||||
| Park Place Securities, Inc.: | ||||||||
| Series 2004-WCW1: | ||||||||
| Class M1, 4.46% 9/25/34 (d) | 3,745,000 | 3,767,310 | ||||||
| Class M2, 4.51% 9/25/34 (d) | 1,755,000 | 1,767,858 | ||||||
| Class M3, 5.08% 9/25/34 (d) | 3,355,000 | 3,402,867 | ||||||
| Class M4, 5.28% 9/25/34 (d) | 4,700,000 | 4,776,320 | ||||||
| Series 2004-WCW2 Class A2, 4.21% 10/25/34 (d) | 6,455,574 | 6,471,464 | ||||||
| Series 2005-WCH1: | ||||||||
| Class A3B, 4.05% 1/25/35 (d) | 2,775,000 | 2,780,119 | ||||||
| Class M2, 4.35% 1/25/35 (d) | 4,175,000 | 4,178,114 | ||||||
| Class M3, 4.39% 1/25/35 (d) | 3,290,000 | 3,299,846 | ||||||
| Class M5, 4.71% 1/25/35 (d) | 3,095,000 | 3,111,984 | ||||||
| Series 2005-WHQ2 Class M7, 5.08% 5/25/35 (d) | 5,950,000 | 5,961,145 | ||||||
| People’s Choice Home Loan Securities Trust Series 2005 2: | ||||||||
| Class A1, 3.94% 9/25/24 (d) | 5,833,593 | 5,834,512 | ||||||
| Class M4, 4.46% 5/25/35 (d) | 6,000,000 | 6,025,129 | ||||||
| Providian Gateway Master Trust Series 2002-B Class A, | ||||||||
| 4.4681% 6/15/09 (a)(d) | 15,000,000 | 15,021,564 | ||||||
| Residental Asset Securities Corp.: | ||||||||
| Series 2005-KS4 Class M2, 4.41% 5/25/35 (d) | 1,040,000 | 1,044,543 | ||||||
| Series 2005-KS7 Class A1, 3.93% 8/25/35 (d) | 10,017,807 | 10,017,586 | ||||||
| Residential Asset Mortgage Products, Inc. Series 2004-RS10 | ||||||||
| Class MII2, 5.08% 10/25/34 (d) | 5,500,000 | 5,587,075 | ||||||
| Salomon Brothers Mortgage Securities VII, Inc. Series | ||||||||
| 2003-HE1 Class A, 4.23% 4/25/33 (d) | 632,314 | 635,086 | ||||||
| Annual Report |
| 86 |
| Asset Backed Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Saxon Asset Securities Trust: | ||||||
| Series 2004-1 Class M1, 4.36% 3/25/35 (d) | $ 4,415,000 | $ 4,418,970 | ||||
| Series 2004-2 Class MV1, 4.41% 8/25/35 (d) | 4,495,000 | 4,507,503 | ||||
| Sears Credit Account Master Trust II: | ||||||
| Series 2001-1 Class B, 4.1931% 2/15/10 (d) | 10,000,000 | 9,990,039 | ||||
| Series 2002-5 Class B, 5.0181% 11/17/09 (d) | 30,000,000 | 30,025,965 | ||||
| Securitized Asset Backed Receivables LLC Trust | ||||||
| Series 2004-NC1 Class M1, 4.35% 2/25/34 (d) | 2,910,000 | 2,912,781 | ||||
| Specialty Underwriting & Residential Finance | ||||||
| Series 2003-BC4 Class M1, 4.43% 11/25/34 (d) | 1,810,000 | 1,819,343 | ||||
| Structured Asset Securities Corp. Series 2004-GEL1 Class A, | ||||||
| 4.19% 2/25/34 (d) | 901,062 | 901,041 | ||||
| Superior Wholesale Inventory Financing Trust VII Series | ||||||
| 2003-A8 Class CTFS, 4.2181% 3/15/11 (a)(d) | 10,835,000 | 10,826,536 | ||||
| Superior Wholesale Inventory Financing Trust XII Series | ||||||
| 2005-A12 Class C, 4.9681% 6/15/10 (d) | 6,840,000 | 6,849,450 | ||||
| Terwin Mortgage Trust: | ||||||
| Series 2003-4HE Class A1, 4.26% 9/25/34 (d) | 2,051,939 | 2,062,554 | ||||
| Series 2003-6HE Class A1, 4.3% 11/25/33 (d) | 1,467,936 | 1,471,055 | ||||
| Series 2005-14HE Class AF1, 3.9753% 8/25/36 (d) | 8,635,000 | 8,634,326 | ||||
| Series 2005-8HE Class A1, 3.95% 7/25/35 (a)(d) | 6,932,173 | 6,938,671 | ||||
| TOTAL ASSET BACKED SECURITIES | ||||||
| (Cost $2,188,022,238) | 2,194,887,925 | |||||
| Collateralized Mortgage Obligations 20.2% | ||||||
| Private Sponsor – 13.8% | ||||||
| Adjustable Rate Mortgage Trust floater: | ||||||
| Series 2004-2 Class 7A3, 4.23% 2/25/35 (d) | 8,271,247 | 8,288,629 | ||||
| Series 2004-4 Class 5A2, 4.23% 3/25/35 (d) | 3,344,187 | 3,351,688 | ||||
| Series 2005-1 Class 5A2, 4.16% 5/25/35 (d) | 5,517,368 | 5,520,788 | ||||
| Series 2005-10 Class 5A1, 4.101% 1/25/36 (d) | 15,000,000 | 15,000,000 | ||||
| Series 2005-2: | ||||||
| Class 6A2, 4.11% 6/25/35 (d) | 2,499,864 | 2,501,436 | ||||
| Class 6M2, 4.31% 6/25/35 (d) | 10,145,000 | 10,144,980 | ||||
| Series 2005-3 Class 8A2, 4.07% 7/25/35 (d) | 16,519,250 | 16,529,773 | ||||
| Series 2005-4 Class 7A2, 4.06% 8/25/35 (d) | 8,125,015 | 8,130,280 | ||||
| Series 2005-8 Class 7A2, 4.11% 11/25/35 (d) | 7,166,967 | 7,168,085 | ||||
| American Home Mortgage Investment Trust Series 2005-4 | ||||||
| Class 1A1, 4.18% 11/25/45 (d) | 11,080,000 | 11,080,000 | ||||
| Bear Stearns Adjustable Rate Mortgage Trust Series 2005-6 | ||||||
| Class 1A1, 5.17% 8/25/35 (d) | 17,862,312 | 17,866,889 | ||||
87 Annual Report
| Investments (Unaudited) continued | ||||||
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Bear Stearns Alt-A Trust floater: | ||||||
| Series 2005-1 Class A1, 4.11% 1/25/35 (d) | $ 18,993,594 | $ 19,005,465 | ||||
| Series 2005-2 Class 1A1, 4.08% 3/25/35 (d) | 13,521,981 | 13,515,643 | ||||
| Series 2005-5 Class 1A1, 4.05% 7/25/35 (d) | 17,169,385 | 17,155,972 | ||||
| Countrywide Alternative Loan Trust planned amortization | ||||||
| class Series 2003-5T2 Class A2, 4.23% 5/25/33 (d) | 5,006,668 | 5,009,604 | ||||
| CS First Boston Mortgage Securities Corp. floater: | ||||||
| Series 2004-AR2 Class 6A1, 4.23% 3/25/34 (d) | 4,681,479 | 4,678,694 | ||||
| Series 2004-AR3 Class 6A2, 4.2% 4/25/34 (d) | 1,948,417 | 1,950,279 | ||||
| Series 2004-AR4 Class 5A2, 4.2% 5/25/34 (d) | 1,821,930 | 1,820,850 | ||||
| Series 2004-AR5 Class 11A2, 4.2% 6/25/34 (d) | 2,698,314 | 2,692,965 | ||||
| Series 2004-AR6 Class 9A2, 4.2% 10/25/34 (d) | 3,422,844 | 3,424,695 | ||||
| Series 2004-AR7 Class 6A2, 4.21% 8/25/34 (d) | 4,894,739 | 4,898,151 | ||||
| Series 2004-AR8 Class 8A2, 4.21% 9/25/34 (d) | 3,798,541 | 3,805,156 | ||||
| CWALT, Inc. floater Series 2005-56 Class 3A1, 4.2494% | ||||||
| 10/25/35 (d) | 8,490,000 | 8,490,000 | ||||
| First Horizon Mortgage pass thru Trust floater Series | ||||||
| 2004-FL1 Class 2A1, 4.39% 12/25/34 (d) | 3,472,618 | 3,467,751 | ||||
| Granite Master Issuer PLC: | ||||||
| floater: | ||||||
| Series 2005-1: | ||||||
| Class A3, 3.97% 12/21/24 (d) | 5,300,000 | 5,299,172 | ||||
| Class B1, 4.02% 12/20/54 (d) | 7,050,000 | 7,047,797 | ||||
| Class M1, 4.12% 12/20/54 (d) | 5,300,000 | 5,298,344 | ||||
| Series 2005-2 Class C1, 4.39% 12/20/54 (d) | 7,975,000 | 7,972,508 | ||||
| Series 2005-4 Class M2, 4.305% 12/20/54 (d) | 6,500,000 | 6,498,731 | ||||
| Series 2005-4 Class C1, 4.455% 12/20/54 (d) | 6,800,000 | 6,798,672 | ||||
| Granite Mortgages PLC floater: | ||||||
| Series 2004-1: | ||||||
| Class 1B, 4.1% 3/20/44 (d) | 1,415,000 | 1,415,442 | ||||
| Class 1C, 4.79% 3/20/44 (d) | 4,075,000 | 4,089,008 | ||||
| Class 1M, 4.3% 3/20/44 (d) | 4,935,000 | 4,939,627 | ||||
| Series 2004-2: | ||||||
| Class 1A2, 3.96% 6/20/28 (d) | 4,162,145 | 4,162,145 | ||||
| Class 1B, 4.06% 6/20/44 (d) | 786,966 | 787,059 | ||||
| Class 1C, 4.59% 6/20/44 (d) | 2,865,029 | 2,869,506 | ||||
| Class 1M, 4.17% 6/20/44 (d) | 2,104,798 | 2,104,240 | ||||
| Series 2004-3: | ||||||
| Class 1B, 4.05% 9/20/44 (d) | 2,100,000 | 2,100,042 | ||||
| Class 1C, 4.48% 9/20/44 (d) | 5,415,000 | 5,424,314 | ||||
| Class 1M, 4.16% 9/20/44 (d) | 1,200,000 | 1,200,228 | ||||
Annual Report 88
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Harborview Mortgage Loan Trust floater Series 2005-2 | ||||||
| Class 2A1A, 4.0094% 5/19/35 (d) | $ 11,231,269 | $ 11,199,681 | ||||
| Holmes Financing No. 7 PLC floater Series 2 Class M, | ||||||
| 4.3988% 7/15/40 (d) | 2,560,000 | 2,563,183 | ||||
| Holmes Financing No. 8 PLC floater Series 2: | ||||||
| Class A, 3.6788% 4/15/11 (d) | 25,000,000 | 25,002,930 | ||||
| Class B, 3.7688% 7/15/40 (d) | 2,695,000 | 2,696,264 | ||||
| Class C, 4.3188% 7/15/40 (d) | 10,280,000 | 10,318,550 | ||||
| Home Equity Asset Trust floater Series 2005-3 Class 2A1, | ||||||
| 3.92% 8/25/35 (d) | 5,995,565 | 5,996,642 | ||||
| Homestar Mortgage Acceptance Corp. floater Series 2004-5 | ||||||
| Class A1, 4.28% 10/25/34 (d) | 4,056,783 | 4,068,310 | ||||
| Impac CMB Trust: | ||||||
| floater: | ||||||
| Series 2004-11 Class 2A2, 4.2% 3/25/35 (d) | 7,904,651 | 7,903,107 | ||||
| Series 2004-6 Class 1A2, 4.22% 10/25/34 (d) | 3,065,340 | 3,070,216 | ||||
| Series 2005-1: | ||||||
| Class M1, 4.29% 4/25/35 (d) | 3,028,498 | 3,026,014 | ||||
| Class M2, 4.33% 4/25/35 (d) | 5,302,005 | 5,298,691 | ||||
| Class M3, 4.36% 4/25/35 (d) | 1,300,974 | 1,299,907 | ||||
| Class M4, 4.58% 4/25/35 (d) | 767,788 | 768,718 | ||||
| Class M5, 4.6% 4/25/35 (d) | 767,788 | 767,788 | ||||
| Class M6, 4.65% 4/25/35 (d) | 1,228,460 | 1,228,460 | ||||
| Series 2005-2 Class 1A2, 4.14% 4/25/35 (d) | 12,453,621 | 12,443,892 | ||||
| Series 2005-3 Class A1, 4.07% 8/25/35 (d) | 14,447,985 | 14,423,717 | ||||
| Series 2005-4 Class 1B1, 5.13% 5/25/35 (d) | 4,978,738 | 4,972,515 | ||||
| Series 2005-6 Class 1M3, 4.44% 10/25/35 (d) | 3,323,541 | 3,323,557 | ||||
| Series 2005-7: | ||||||
| Class M1, 4.208% 11/25/35 (d) | 1,765,000 | 1,765,000 | ||||
| Class M2, 4.248% 11/25/35 (d) | 1,325,000 | 1,325,000 | ||||
| Class M3, 4.348% 11/25/35 (d) | 6,615,000 | 6,615,000 | ||||
| Lehman Structured Securities Corp. floater Series 2005-1 | ||||||
| Class A2, 4.22% 9/26/45 (a)(d) | 15,180,141 | 15,180,141 | ||||
| MASTR Adjustable Rate Mortgages Trust: | ||||||
| floater Series 2005-1 Class 1A1, 4.1% 3/25/35 (d) | 11,034,855 | 11,047,023 | ||||
| Series 2004-6 Class 4A2, 4.1657% 7/25/34 (d) | 5,969,000 | 5,946,443 | ||||
| Merrill Lynch Mortgage Investors, Inc. floater: | ||||||
| Series 2003-A Class 2A1, 4.22% 3/25/28 (d) | 7,093,116 | 7,130,471 | ||||
| Series 2003-B Class A1, 4.17% 4/25/28 (d) | 7,213,924 | 7,254,849 | ||||
| Series 2003-D Class A, 4.14% 8/25/28 (d) | 6,608,802 | 6,619,465 | ||||
| Series 2003-E Class A2, 4.3831% 10/25/28 (d) | 9,116,686 | 9,126,651 | ||||
| Series 2003-F Class A2, 4.43% 10/25/28 (d) | 11,828,156 | 11,835,544 | ||||
89 Annual Report
| Investments (Unaudited) continued | ||||||
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Merrill Lynch Mortgage Investors, Inc. floater: - continued | ||||||
| Series 2004-A Class A2, 4.34% 4/25/29 (d) | $ 10,025,427 | $ 10,017,623 | ||||
| Series 2004-B Class A2, 3.79% 6/25/29 (d) | 7,905,839 | 7,888,355 | ||||
| Series 2004-C Class A2, 3.95% 7/25/29 (d) | 11,598,172 | 11,567,548 | ||||
| Series 2004-D Class A2, 4.4131% 9/25/29 (d) | 8,519,942 | 8,524,812 | ||||
| Series 2004-E: | ||||||
| Class A2B, 4.45% 11/25/29 (d) | 7,561,387 | 7,550,087 | ||||
| Class A2D, 4.64% 11/25/29 (d) | 1,758,462 | 1,766,187 | ||||
| Series 2004-G Class A2, 3.95% 11/25/29 (d) | 3,530,484 | 3,529,545 | ||||
| Series 2005-A Class A2, 4.3031% 2/25/30 (d) | 9,875,800 | 9,882,274 | ||||
| Mortgage Asset Backed Securities Trust floater Series | ||||||
| 2002-NC1 Class M1, 4.68% 10/25/32 (d) | 3,128,220 | 3,140,706 | ||||
| MortgageIT Trust floater: | ||||||
| Series 2004-2: | ||||||
| Class A1, 4.2% 12/25/34 (d) | 4,638,420 | 4,648,806 | ||||
| Class A2, 4.28% 12/25/34 (d) | 6,275,019 | 6,320,305 | ||||
| Series 2005-2 Class 1A1, 4.1% 5/25/35 (d) | 4,811,489 | 4,814,744 | ||||
| Opteum Mortgage Acceptance Corp. floater Series 2005-3 | ||||||
| Class APT, 4.12% 7/25/35 (d) | 18,530,057 | 18,540,914 | ||||
| Permanent Financing No. 3 PLC floater Series 2 Class C, | ||||||
| 4.8838% 6/10/42 (d) | 4,845,000 | 4,893,450 | ||||
| Permanent Financing No. 4 PLC floater Series 2 Class C, | ||||||
| 4.5538% 6/10/42 (d) | 15,400,000 | 15,474,437 | ||||
| Permanent Financing No. 5 PLC floater: | ||||||
| Series 2 Class C, 4.4838% 6/10/42 (d) | 4,215,000 | 4,240,489 | ||||
| Series 3 Class C, 4.6538% 6/10/42 (d) | 8,890,000 | 8,998,425 | ||||
| Permanent Financing No. 6 PLC floater Series 6 Class 2C, | ||||||
| 4.2888% 6/10/42 (d) | 5,350,000 | 5,344,539 | ||||
| Permanent Financing No. 7 PLC floater Series 7: | ||||||
| Class 1B, 3.9238% 6/10/42 (d) | 2,000,000 | 1,999,747 | ||||
| Class 1C, 4.1138% 6/10/42 (d) | 3,840,000 | 3,849,303 | ||||
| Class 2C, 4.1638% 6/10/42 (d) | 8,065,000 | 8,047,042 | ||||
| Permanent Financing No. 8 PLC floater Series 8: | ||||||
| Class 1C, 4.1638% 6/10/42 (d) | 7,165,000 | 7,161,740 | ||||
| Class 2C, 4.2338% 6/10/42 (d) | 9,945,000 | 9,940,465 | ||||
| Residential Asset Mortgage Products, Inc.: | ||||||
| sequential pay Series 2003-SL1 Class 3A1, 7.125% | ||||||
| 4/25/31 | 4,284,316 | 4,353,251 | ||||
| Series 2005-AR5 Class 1A1, 4.903% 9/19/35 (d) | 5,016,521 | 5,020,936 | ||||
| Annual Report |
| 90 |
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Residential Finance LP/Residential Finance Development | ||||||
| Corp. floater Series 2003-A: | ||||||
| Class B4, 5.5281% 3/10/35 (a)(d) | $ 5,475,801 | $ 5,557,938 | ||||
| Class B5, 6.0781% 3/10/35 (a)(d) | 5,666,940 | 5,791,014 | ||||
| Residential Funding Securities Corp.: | ||||||
| Series 2003-RP1 Class A1, 4.33% 11/25/34 (d) | 2,387,142 | 2,396,787 | ||||
| Series 2003-RP2 Class A1, 4.28% 6/25/33 (a)(d) | 3,567,765 | 3,579,472 | ||||
| Sequoia Mortgage Trust floater: | ||||||
| Series 2003-5 Class A2, 4.37% 9/20/33 (d) | 9,869,908 | 9,866,749 | ||||
| Series 2003-7 Class A2, 3.835% 1/20/34 (d) | 8,292,646 | 8,287,744 | ||||
| Series 2004-1 Class A, 4.15% 2/20/34 (d) | 5,352,427 | 5,344,162 | ||||
| Series 2004-10 Class A4, 3.6681% 11/20/34 (d) | 9,021,376 | 9,016,217 | ||||
| Series 2004-3 Class A, 3.5463% 5/20/34 (d) | 9,243,861 | 9,221,165 | ||||
| Series 2004-4 Class A, 3.5881% 5/20/34 (d) | 11,574,850 | 11,560,488 | ||||
| Series 2004-5 Class A3, 3.77% 6/20/34 (d) | 7,745,333 | 7,741,702 | ||||
| Series 2004-6: | ||||||
| Class A3A, 4.3175% 6/20/35 (d) | 6,761,373 | 6,757,088 | ||||
| Class A3B, 4.08% 7/20/34 (d) | 845,172 | 844,660 | ||||
| Series 2004-7: | ||||||
| Class A3A, 4.365% 8/20/34 (d) | 6,627,084 | 6,622,167 | ||||
| Class A3B, 4.59% 7/20/34 (d) | 1,192,509 | 1,195,319 | ||||
| Series 2004-8 Class A2, 4.41% 9/20/34 (d) | 11,824,016 | 11,827,689 | ||||
| Series 2005-1 Class A2, 4.1% 2/20/35 (d) | 6,778,467 | 6,773,241 | ||||
| Series 2005-2 Class A2, 4.29% 3/20/35 (d) | 11,841,861 | 11,841,861 | ||||
| Series 2005-3 Class A1, 3.9963% 5/20/35 (d) | 8,335,848 | 8,318,878 | ||||
| Structured Adjustable Rate Mortgage Loan Trust floater | ||||||
| Series 2001-14 Class A1, 4.14% 7/25/35 (d) | 10,719,814 | 10,719,814 | ||||
| Structured Asset Securities Corp. floater Series 2004-NP1 | ||||||
| Class A, 4.23% 9/25/33 (a)(d) | 2,217,986 | 2,219,280 | ||||
| Thornburg Mortgage Securities Trust floater: | ||||||
| Series 2004-3 Class A, 4.2% 9/25/34 (d) | 20,272,244 | 20,312,652 | ||||
| Series 2005-3 Class A4, 4.108% 8/25/45 (d) | 17,180,000 | 17,180,000 | ||||
| WAMU Mortgage pass thru certificates: | ||||||
| floater: | ||||||
| Series 2005-AR11 Class A1C1, 4.03% 8/25/45 (d) | 14,112,684 | 14,112,684 | ||||
| Series 2005 AR6 Class 2A 1A, 4.06% 4/25/45 (d) | 5,975,614 | 5,955,102 | ||||
| Series 2005-AR13 Class A1C1, 4.2275% 10/25/45 (d) | 23,000,000 | 23,000,000 | ||||
91 Annual Report
| Investments (Unaudited) continued | ||||||
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Private Sponsor continued | ||||||
| Wells Fargo Mortgage Backed Securities Trust: | ||||||
| Series 2004-M Class A3, 4.6963% 8/25/34 (d) | $ 19,880,000 | $ 19,778,179 | ||||
| Series 2005-AR12 Class 2A1, 4.3223% 7/25/35 (d) | 29,218,529 | 28,883,740 | ||||
| TOTAL PRIVATE SPONSOR | 919,943,859 | |||||
| U.S. Government Agency 6.4% | ||||||
| Fannie Mae: | ||||||
| floater: | ||||||
| Series 2000-38 Class F, 4.2394% 11/18/30 (d) | 1,056,182 | 1,064,379 | ||||
| Series 2000-40 Class FA, 4.32% 7/25/30 (d) | 2,281,210 | 2,291,156 | ||||
| Series 2002-89 Class F, 4.13% 1/25/33 (d) | 3,350,148 | 3,355,218 | ||||
| target amortization class Series G94-2 Class D, 6.45% | ||||||
| 1/25/24 | 4,411,824 | 4,499,998 | ||||
| Fannie Mae guaranteed REMIC pass thru certificates: | ||||||
| floater: | ||||||
| Series 2001-34 Class FR, 4.1894% 8/18/31 (d) | 2,367,009 | 2,374,326 | ||||
| Series 2001-44 Class FB, 4.13% 9/25/31 (d) | 2,114,017 | 2,120,062 | ||||
| Series 2001-46 Class F, 4.1894% 9/18/31 (d) | 6,088,369 | 6,121,939 | ||||
| Series 2002-11 Class QF, 4.32% 3/25/32 (d) | 4,222,858 | 4,259,537 | ||||
| Series 2002-36 Class FT, 4.33% 6/25/32 (d) | 1,422,268 | 1,434,270 | ||||
| Series 2002-64 Class FE, 4.1394% 10/18/32 (d) | 2,093,663 | 2,103,206 | ||||
| Series 2002-65 Class FA, 4.13% 10/25/17 (d) | 2,302,618 | 2,306,533 | ||||
| Series 2002-74 Class FV, 4.28% 11/25/32 (d) | 7,876,453 | 7,931,623 | ||||
| Series 2003-11: | ||||||
| Class DF, 4.28% 2/25/33 (d) | 2,877,518 | 2,897,926 | ||||
| Class EF, 4.28% 2/25/33 (d) | 2,080,685 | 2,088,534 | ||||
| Series 2003-119 Class FK, 4.33% 5/25/18 (d) | 2,500,000 | 2,523,405 | ||||
| Series 2003-15 Class WF, 4.18% 8/25/17 (d) | 5,404,393 | 5,425,600 | ||||
| Series 2003-63 Class F1, 4.13% 11/25/27 (d) | 5,763,648 | 5,767,740 | ||||
| Series 2005-45 Class XA, 4.17% 6/25/35 (d) | 74,298,346 | 74,267,779 | ||||
| planned amortization class: | ||||||
| Series 1998-63 Class PG, 6% 3/25/27 | 800,852 | 799,909 | ||||
| Series 2001-62 Class PG, 6.5% 10/25/30 | 2,944,838 | 2,948,170 | ||||
| Series 2001-76 Class UB, 5.5% 10/25/13 | 590,038 | 589,350 | ||||
| Series 2002-16 Class QD, 5.5% 6/25/14 | 272,009 | 272,519 | ||||
| Series 2002-28 Class PJ, 6.5% 3/25/31 | 3,732,778 | 3,734,286 | ||||
| Series 2002-8 Class PD, 6.5% 7/25/30 | 2,442,173 | 2,447,766 | ||||
| Series 2005-72 Class FG, 4.08% 5/25/35 (d) | 51,234,540 | 51,079,581 | ||||
| Annual Report |
| 92 |
| Collateralized Mortgage Obligations continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| U.S. Government Agency continued | ||||||
| Freddie Mac: | ||||||
| floater: | ||||||
| Series 2510 Class FE, 4.1681% 10/15/32 (d) | $ 5,715,277 | $ 5,746,827 | ||||
| 0% 9/15/35 (d) | 854,545 | 828,909 | ||||
| planned amortization class: | ||||||
| Series 2091 Class PP, 6% 2/15/27 | 261,467 | 261,106 | ||||
| Series 2353 Class PC, 6.5% 9/15/15 | 967,841 | 969,335 | ||||
| Freddie Mac Manufactured Housing participation certificates | ||||||
| guaranteed floater Series 2338 Class FJ, 3.9681% | ||||||
| 7/15/31 (d) | 4,919,686 | 4,918,386 | ||||
| Freddie Mac Multi-class participation certificates guaranteed: | ||||||
| floater: | ||||||
| Series 2395 Class FA, 4.3681% 6/15/29 (d) | 1,092,096 | 1,099,242 | ||||
| Series 2406: | ||||||
| Class FP, 4.7481% 1/15/32 (d) | 10,270,000 | 10,491,773 | ||||
| Class PF, 4.7481% 12/15/31 (d) | 8,125,000 | 8,332,235 | ||||
| Series 2410 Class PF, 4.7481% 2/15/32 (d) | 18,644,444 | 19,060,741 | ||||
| Series 2474 Class FJ, 4.1181% 7/15/17 (d) | 4,331,267 | 4,353,673 | ||||
| Series 2526 Class FC, 4.1681% 11/15/32 (d) | 3,152,494 | 3,162,233 | ||||
| Series 2538 Class FB, 4.1681% 12/15/32 (d) | 6,277,777 | 6,315,699 | ||||
| Series 2551 Class FH, 4.2181% 1/15/33 (d) | 2,959,949 | 2,972,585 | ||||
| Series 2861 Class JF, 4.0681% 4/15/17 (d) | 6,852,338 | 6,850,151 | ||||
| Series 2994 Class FB, 3.9181% 6/15/20 (d) | 6,647,098 | 6,631,097 | ||||
| planned amortization class: | ||||||
| Series 2136 Class PE, 6% 1/15/28 | 10,378,825 | 10,418,016 | ||||
| Series 2394 Class ND, 6% 6/15/27 | 587,334 | 587,187 | ||||
| Series 2395 Class PE, 6% 2/15/30 | 4,447,447 | 4,468,111 | ||||
| Series 2398 Class DK, 6.5% 1/15/31 | 236,820 | 236,922 | ||||
| Series 2410 Class ML, 6.5% 12/15/30 | 1,069,946 | 1,072,088 | ||||
| Series 2420 Class BE, 6.5% 12/15/30 | 961,583 | 961,848 | ||||
| Series 2443 Class TD, 6.5% 10/15/30 | 1,793,679 | 1,798,791 | ||||
| Series 2461 Class PG, 6.5% 1/15/31 | 2,027,839 | 2,050,146 | ||||
| Series 2650 Class FV, 4.1681% 12/15/32 (d) | 14,042,153 | 14,060,363 | ||||
| Series 2776 Class UJ, 4.5% 5/15/20 (e) | 6,660,101 | 345,325 | ||||
| Series 2828 Class JA, 4.5% 1/15/10 | 10,955,858 | 10,959,149 | ||||
| Series 3013 Class AF, 4.0181% 5/15/35 (d) | 80,739,897 | 80,382,844 | ||||
| sequential pay Series 2430 Class ZE, 6.5% 8/15/27 | 328,637 | 328,381 | ||||
| Ginnie Mae guaranteed REMIC pass thru securities floater: | ||||||
| Series 2001-46 Class FB, 4.1219% 5/16/23 (d) | 2,819,644 | 2,831,835 | ||||
| Series 2001-50 Class FV, 3.9719% 9/16/27 (d) | 8,689,581 | 8,689,113 | ||||
93 Annual Report
| Investments (Unaudited) continued | ||||
| Collateralized Mortgage Obligations continued | ||||
| Principal | Value | |||
| Amount | ||||
| U.S. Government Agency continued | ||||
| Ginnie Mae guaranteed REMIC pass thru securities floater: – | ||||
| continued | ||||
| Series 2002-24 Class FX, 4.3219% 4/16/32 (d) | $ 2,453,441 | $ 2,475,244 | ||
| Series 2002-31 Class FW, 4.1719% 6/16/31 (d) | 3,364,460 | 3,383,514 | ||
| Series 2002-5 Class KF, 4.1719% 8/16/26 (d) | 474,812 | 475,074 | ||
| TOTAL U.S. GOVERNMENT AGENCY | 422,222,755 | |||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||
| (Cost $1,343,654,425) | 1,342,166,614 | |||
| Commercial Mortgage Securities 5.4% | ||||
| Banc of America Large Loan, Inc. floater: | ||||
| Series 2003-BBA2 Class A3, 4.0881% 11/15/15 (a)(d) | 5,038,226 | 5,042,678 | ||
| Series 2005-BBA6: | ||||
| Class B, 3.9781% 1/15/19 (a)(d) | 2,800,000 | 2,799,998 | ||
| Class C, 4.0181% 1/15/19 (a)(d) | 2,857,948 | 2,857,946 | ||
| Class D, 4.07% 1/15/19 (a)(d) | 2,800,000 | 2,799,998 | ||
| Class E, 4.1081% 1/15/19 (a)(d) | 1,750,000 | 1,749,998 | ||
| Class F, 4.1581% 1/15/19 (a)(d) | 1,170,000 | 1,169,999 | ||
| Class G, 4.1881% 1/15/19 (a)(d) | 915,000 | 915,000 | ||
| Series 2005-BOCA: | ||||
| Class H, 4.7181% 12/15/16 (a)(d) | 2,065,000 | 2,062,371 | ||
| Class J, 4.8681% 12/15/16 (a)(d) | 1,020,000 | 1,018,703 | ||
| Class K, 5.1181% 12/15/16 (a)(d) | 6,659,000 | 6,652,116 | ||
| Bank of America Large Loan, Inc.: | ||||
| floater Series 2005-ESHA: | ||||
| Class F, 4.63% 7/14/08 (a)(b)(d) | 6,395,000 | 6,395,000 | ||
| Class G, 4.76% 7/14/08 (a)(b)(d) | 4,355,000 | 4,355,000 | ||
| Class H, 4.98% 7/14/08 (a)(b)(d) | 5,365,000 | 5,365,000 | ||
| Series 2005 ESHA Class X1, 0.696% 7/14/08 (a)(b)(d)(e) | 334,645,000 | 5,112,372 | ||
| Bayview Commercial Asset Trust floater: | ||||
| Series 2003-1 Class A, 4.2213% 8/25/33 (a)(d) | 6,317,900 | 6,392,956 | ||
| Series 2003-2: | ||||
| Class A, 4.41% 12/25/33 (a)(d) | 13,127,372 | 13,287,836 | ||
| Class M1, 4.68% 12/25/33 (a)(d) | 2,136,269 | 2,171,502 | ||
| Series 2004-1: | ||||
| Class A, 4.19% 4/25/34 (a)(d) | 6,224,975 | 6,227,901 | ||
| Class B, 5.73% 4/25/34 (a)(d) | 646,751 | 654,153 | ||
| Class M1, 4.39% 4/25/34 (a)(d) | 565,907 | 568,383 | ||
| Class M2, 5.03% 4/25/34 (a)(d) | 485,063 | 490,747 | ||
Annual Report 94
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Bayview Commercial Asset Trust floater: – continued | ||||||||
| Series 2004-2: | ||||||||
| Class A, 4.26% 8/25/34 (a)(d) | $ 6,109,217 | $ 6,122,596 | ||||||
| Class M1, 4.41% 8/25/34 (a)(d) | 1,969,875 | 1,977,570 | ||||||
| Series 2004-3: | ||||||||
| Class A1, 4.2% 1/25/35 (a)(d) | 6,475,016 | 6,482,074 | ||||||
| Class A2, 4.25% 1/25/35 (a)(d) | 899,933 | 903,103 | ||||||
| Class M1, 4.33% 1/25/35 (a)(d) | 1,079,169 | 1,080,629 | ||||||
| Class M2, 4.83% 1/25/35 (a)(d) | 703,806 | 707,992 | ||||||
| Series 2005-2A: | ||||||||
| Class M1, 4.3% 8/25/35 (a)(d) | 1,288,534 | 1,288,534 | ||||||
| Class M2, 4.32% 8/25/35 (a)(d) | 2,121,126 | 2,121,126 | ||||||
| Class M3, 4.38% 8/25/35 (a)(d) | 1,174,549 | 1,174,549 | ||||||
| Class M4, 4.53% 8/25/35 (a)(d) | 1,080,387 | 1,080,387 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. floater: | ||||||||
| Series 2003 BA1A: | ||||||||
| Class JFCM, 5.17% 4/14/15 (a)(d) | 1,344,296 | 1,347,949 | ||||||
| Class KFCM, 5.6% 4/14/15 (a)(d) | 1,436,661 | 1,440,773 | ||||||
| Class LFCM, 6% 4/14/15 (a)(d) | 1,601,905 | 1,601,896 | ||||||
| Class MFCM, 6.3% 4/14/15 (a)(d) | 2,218,251 | 2,218,238 | ||||||
| Series 2004-BBA3 Class E, 4.4681% 6/15/17 (a)(d) | 10,415,000 | 10,416,411 | ||||||
| Chase Commercial Mortgage Securities Corp. floater | ||||||||
| Series 2000-FL1A: | ||||||||
| Class B, 4.1781% 12/12/13 (a)(d) | 896,672 | 878,739 | ||||||
| Class C, 4.5281% 12/12/13 (a)(d) | 1,793,345 | 1,793,345 | ||||||
| COMM floater: | ||||||||
| Series 2001-FL5A Class E, 5.2681% 11/15/13 (a)(d) | 3,021,068 | 3,020,103 | ||||||
| Series 2002-FL6: | ||||||||
| Class F, 5.2181% 6/14/14 (a)(d) | 11,163,000 | 11,182,139 | ||||||
| Class G, 5.6681% 6/14/14 (a)(d) | 5,000,000 | 4,999,659 | ||||||
| Series 2003-FL9 Class B, 4.2681% 11/15/15 (a)(d) | 8,579,991 | 8,604,476 | ||||||
| Commercial Mortgage pass thru certificates floater: | ||||||||
| Series 2004-CNL: | ||||||||
| Class A2, 4.0681% 9/15/14 (a)(d) | 3,570,000 | 3,573,125 | ||||||
| Class G, 4.7481% 9/15/14 (a)(d) | 1,345,000 | 1,345,534 | ||||||
| Class H, 4.8481% 9/15/14 (a)(d) | 1,430,000 | 1,430,567 | ||||||
| Class J, 5.3681% 9/15/14 (a)(d) | 490,000 | 491,353 | ||||||
| Class K, 5.7681% 9/15/14 (a)(d) | 770,000 | 771,393 | ||||||
| Class L, 5.9681% 9/15/14 (a)(d) | 625,000 | 624,774 | ||||||
| Series 2004-HTL1: | ||||||||
| Class B, 4.2181% 7/15/16 (a)(d) | 426,802 | 427,072 |
95 Annual Report
| Investments (Unaudited) continued | ||||||||
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| Commercial Mortgage pass thru certificates floater: - | ||||||||
| continued | ||||||||
| Series 2004-HTL1: | ||||||||
| Class D, 4.3181% 7/15/16 (a)(d) | $ 969,949 | $ 970,109 | ||||||
| Class E, 4.5181% 7/15/16 (a)(d) | 694,177 | 694,425 | ||||||
| Class F, 4.5681% 7/15/16 (a)(d) | 734,671 | 735,088 | ||||||
| Class H, 5.0681% 7/15/16 (a)(d) | 2,129,763 | 2,130,459 | ||||||
| Class J, 5.2181% 7/15/16 (a)(d) | 818,412 | 818,679 | ||||||
| Class K, 6.1181% 7/15/16 (a)(d) | 921,324 | 921,038 | ||||||
| Commercial Mortgage pass thru Certificates floater Series | ||||||||
| 2005-F10A: | ||||||||
| Class B, 3.9981% 4/15/17 (a)(d) | 7,080,000 | 7,074,591 | ||||||
| Class C, 4.0381% 4/15/17 (a)(d) | 3,006,000 | 3,000,368 | ||||||
| Class D, 4.0781% 4/15/17 (a)(d) | 2,440,000 | 2,437,663 | ||||||
| Class E, 4.1381% 4/15/17 (a)(d) | 1,821,000 | 1,819,257 | ||||||
| Class F, 4.1781% 4/15/17 (a)(d) | 1,035,000 | 1,034,719 | ||||||
| Class G, 4.3181% 4/15/17 (a)(d) | 1,035,000 | 1,034,956 | ||||||
| Class H, 4.3881% 4/15/17 (a)(d) | 1,035,000 | 1,034,365 | ||||||
| Class I, 4.6181% 4/15/17 (a)(d) | 335,000 | 334,605 | ||||||
| Class MOA3, 4.0681% 3/15/20 (a)(d) | 4,590,000 | 4,589,812 | ||||||
| CS First Boston Mortgage Securities Corp.: | ||||||||
| floater: | ||||||||
| Series 2003-TF2A Class A2, 4.0881% 11/15/14 (a)(d) . | 3,837,106 | 3,838,834 | ||||||
| Series 2004-FL1 Class B, 4.2181% 5/15/14 (a)(d) | 11,230,000 | 11,246,403 | ||||||
| Series 2004-HC1: | ||||||||
| Class A2, 4.2681% 12/15/21 (a)(d) | 1,475,000 | 1,474,997 | ||||||
| Class B, 4.5181% 12/15/21 (a)(d) | 3,835,000 | 3,834,992 | ||||||
| Series 2004-TF2A Class E, 4.1881% 11/15/19 (a)(d) | 4,450,000 | 4,456,359 | ||||||
| Series 2004-TFL1: | ||||||||
| Class A2, 3.9581% 2/15/14 (a)(d) | 7,005,000 | 7,005,853 | ||||||
| Class E, 4.3181% 2/15/14 (a)(d) | 2,800,000 | 2,802,824 | ||||||
| Class F, 4.3681% 2/15/14 (a)(d) | 2,325,000 | 2,327,963 | ||||||
| Class G, 4.6181% 2/15/14 (a)(d) | 1,875,000 | 1,879,139 | ||||||
| Class H, 4.8681% 2/15/14 (a)(d) | 1,400,000 | 1,403,371 | ||||||
| Class J, 5.1681% 2/15/14 (a)(d) | 750,000 | 753,317 | ||||||
| Series 2005-TF2A Class F, 4.2681% 11/15/19 (a)(d) | 1,540,000 | 1,542,198 | ||||||
| Series 2005-TFLA: | ||||||||
| Class C, 4.0081% 2/15/20 (a)(d) | 5,650,000 | 5,649,989 | ||||||
| Class E, 4.0981% 2/15/20 (a)(d) | 3,955,000 | 3,954,988 | ||||||
| Class F, 4.1481% 2/15/20 (a)(d) | 1,745,000 | 1,744,997 | ||||||
| Class G, 4.2881% 2/15/20 (a)(d) | 505,000 | 504,998 | ||||||
| Annual Report |
| 96 |
| Commercial Mortgage Securities continued | ||||||||
| Principal | Value | |||||||
| Amount | ||||||||
| CS First Boston Mortgage Securities Corp.: – continued | ||||||||
| Series 2005-TFLA: | ||||||||
| Class H, 4.5181% 2/15/20 (a)(d) | $ 715,000 | $ 714,998 | ||||||
| sequential pay Series 1997-C2 Class A2, 6.52% 1/17/35 | 235,680 | 236,453 | ||||||
| GMAC Commercial Mortgage Securities, Inc. floater Series | ||||||||
| 2001-FL1A Class E, 4.5781% 2/11/11 (a)(d) | 152,562 | 152,409 | ||||||
| GS Mortgage Securities Corp. II floater Series 2005-FL7A | ||||||||
| Class A1, 3.84% 11/6/19 (a)(d) | 10,128,306 | 10,129,534 | ||||||
| Impac CMB Trust Series 2005-7 Class M4, 4.388% | ||||||||
| 11/25/35 (d) | 3,169,000 | 3,169,000 | ||||||
| John Hancock Tower Mortgage Trust floater Series 2003-C5A | ||||||||
| Class B, 6.2166% 4/10/15 (a)(d) | 8,245,000 | 8,245,000 | ||||||
| Lehman Brothers Floating Rate Commercial Mortgage Trust: | ||||||||
| floater Series 2003-LLFA: | ||||||||
| Class A2, 4.14% 12/16/14 (a)(d) | 11,700,000 | 11,705,144 | ||||||
| Class B, 4.35% 12/16/14 (a)(d) | 4,615,000 | 4,623,295 | ||||||
| Class C, 4.45% 12/16/14 (a)(d) | 4,982,000 | 4,993,212 | ||||||
| Series 2005-LLFA Class FAIR, 5.4181% 7/15/18 (a)(d) | 4,360,000 | 4,360,000 | ||||||
| Morgan Stanley Capital I, Inc. Series 2005-XLF: | ||||||||
| Class B, 3.9781% 8/15/19 (a)(d) | 6,705,000 | 6,705,000 | ||||||
| Class C, 4.0081% 8/15/19 (a)(d) | 525,000 | 525,000 | ||||||
| Class D, 4.0281% 8/15/19 (a)(d) | 1,915,000 | 1,915,000 | ||||||
| Class E, 4.0481% 8/15/19 (a)(d) | 1,745,000 | 1,745,000 | ||||||
| Class F, 4.0881% 8/15/19 (a)(d) | 1,220,000 | 1,220,000 | ||||||
| Class G, 4.1381% 8/15/19 (a)(d) | 870,000 | 870,000 | ||||||
| Class H, 4.1581% 8/15/19 (a)(d) | 695,000 | 695,000 | ||||||
| Class J, 4.2281% 8/15/19 (a)(d) | 525,000 | 525,000 | ||||||
| Morgan Stanley Dean Witter Capital I Trust floater | ||||||||
| Series 2002-XLF Class F, 5.8663% 8/5/14 (a)(d) | 5,359,368 | 5,359,351 | ||||||
| Salomon Brothers Mortgage Securities VII, Inc.: | ||||||||
| floater Series 2001-CDCA: | ||||||||
| Class C, 4.5681% 2/15/13 (a)(d) | 4,711,321 | 4,701,152 | ||||||
| Class D, 4.5681% 2/15/13 (a)(d) | 4,000,000 | 3,987,882 | ||||||
| Series 2000-NL1 Class E, 7.0607% 10/15/30 (a)(d) | 3,188,867 | 3,197,433 | ||||||
| SDG Macerich Properties LP floater Series 2000-1 Class A3, | ||||||||
| 4.1081% 5/15/09 (a)(d) | 18,000,000 | 17,994,375 | ||||||
| STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A | ||||||||
| Class A, 4.31% 3/24/18 (a)(d) | 6,950,497 | 6,950,497 | ||||||
| Wachovia Bank Commercial Mortgage Trust floater: | ||||||||
| Series 2004-WHL3: | ||||||||
| Class A2, 3.9481% 3/15/14 (a)(d) | 3,510,000 | 3,510,856 | ||||||
| Class E, 4.2681% 3/15/14 (a)(d) | 2,190,000 | 2,191,761 |
97 Annual Report
| Investments (Unaudited) continued | ||||||
| Commercial Mortgage Securities continued | ||||||
| Principal | Value | |||||
| Amount | ||||||
| Wachovia Bank Commercial Mortgage Trust floater: - | ||||||
| continued | ||||||
| Series 2004-WHL3: | ||||||
| Class F, 4.3181% 3/15/14 (a)(d) | $ 1,755,000 | $ 1,756,359 | ||||
| Class G, 4.5481% 3/15/14 (a)(d) | 875,000 | 875,871 | ||||
| Series 2005-WL5A: | ||||||
| Class KHP1, 4.1181% 1/15/18 (a)(d) | 1,745,000 | 1,744,663 | ||||
| Class KHP2, 4.3181% 1/15/18 (a)(d) | 1,745,000 | 1,747,772 | ||||
| Class KHP3, 4.6181% 1/15/18 (a)(d) | 2,060,000 | 2,062,033 | ||||
| Class KHP4, 4.7181% 1/15/18 (a)(d) | 1,600,000 | 1,602,203 | ||||
| Class KHP5, 4.9181% 1/15/18 (a)(d) | 1,855,000 | 1,845,971 | ||||
| TOTAL COMMERCIAL MORTGAGE SECURITIES | ||||||
| (Cost $361,655,067) | 362,304,343 | |||||
| Certificates of Deposit 0.9% | ||||||
| DEPFA BANK PLC yankee 4.265% 9/1/06 | 30,000,000 | 29,964,651 | ||||
| Deutsche Bank AG yankee 4.21% 8/24/06 | 30,000,000 | 29,958,345 | ||||
| TOTAL CERTIFICATES OF DEPOSIT | ||||||
| (Cost $60,000,000) | 59,922,996 | |||||
| Commercial Paper 0.4% | ||||||
| Fortune Brands, Inc. 3.79% 10/31/05 | ||||||
| (Cost $26,416,304) | 26,500,000 | 26,417,781 | ||||
| Annual Report |
| 98 |
| Cash Equivalents 36.3% | ||||||||
| Maturity | Value | |||||||
| Amount | ||||||||
| Investments in repurchase agreements (Collateralized by | ||||||||
| U.S. Government Obligations, in a joint trading | ||||||||
| account at 3.89%, dated 9/30/05 due 10/3/05) (g) . | $ 2,120,321,927 | $ 2,119,634,000 | ||||||
| Investments in repurchase agreements (Collateralized by | ||||||||
| U.S. Treasury Obligations, in a joint trading account at | ||||||||
| 3.27%, dated 9/30/05 due 10/3/05) (g) | 6,298,716 | 6,297,000 | ||||||
| With Goldman Sachs & Co. at 4.04%, dated 8/23/05 | ||||||||
| due 11/21/05 (Collateralized by Mortgage Loan | ||||||||
| Obligations valued at $304,500,001, 4.54%– 4.56%, | ||||||||
| 9/25/35 - 9/25/35) (d)(f) | 292,929,000 | 289,962,793 | ||||||
| TOTAL CASH EQUIVALENTS | ||||||||
| (Cost $2,415,931,000) | 2,415,893,793 | |||||||
| TOTAL INVESTMENT PORTFOLIO 101.0% | ||||||||
| (Cost $6,720,022,154) | 6,725,584,889 | |||||||
| NET OTHER ASSETS – (1.0)% | (65,032,717) | |||||||
| NET ASSETS 100% | $ 6,660,552,172 | |||||||
| Futures Contracts | ||||||||
| Expiration | Underlying | Unrealized | ||||||
| Date | Face Amount | Appreciation/ | ||||||
| at Value | (Depreciation) | |||||||
| Sold | ||||||||
| Eurodollar Contracts | ||||||||
| 73 Eurodollar 90 Day Index Contracts | Dec. 2005 | $ 72,199,738 | $ 56,706 | |||||
| 49 Eurodollar 90 Day Index Contracts | March 2006 | 48,442,625 | 50,086 | |||||
| 32 Eurodollar 90 Day Index Contracts | June 2006 | 31,631,600 | 30,247 | |||||
| 32 Eurodollar 90 Day Index Contracts | Sept. 2006 | 31,630,800 | 28,072 | |||||
| 31 Eurodollar 90 Day Index Contracts | Dec. 2006 | 30,642,725 | 23,176 | |||||
| 29 Eurodollar 90 Day Index Contracts | March 2007 | 28,668,313 | 17,947 | |||||
| 22 Eurodollar 90 Day Index Contracts | June 2007 | 21,748,925 | 8,962 | |||||
| 21 Eurodollar 90 Day Index Contracts | Sept. 2007 | 20,760,075 | 7,941 | |||||
| 20 Eurodollar 90 Day Index Contracts | Dec. 2007 | 19,770,250 | 7,370 | |||||
| 20 Eurodollar 90 Day Index Contracts | March 2008 | 19,770,000 | 6,620 | |||||
| 13 Eurodollar 90 Day Index Contracts | June 2008 | 12,850,013 | 8,836 | |||||
| 12 Eurodollar 90 Day Index Contracts | Sept. 2008 | 11,860,950 | 8,052 | |||||
| 5 Eurodollar 90 Day Index Contracts | Dec. 2008 | 4,941,625 | 1,230 | |||||
| 3 Eurodollar 90 Day Index Contracts | March 2009 | 2,964,900 | 688 | |||||
| TOTAL EURODOLLAR CONTRACTS | $ 255,933 | |||||||
99 Annual Report
| Investments (Unaudited) continued | ||||||||||
| Swap Agreements | ||||||||||
| Expiration | Notional | Value | ||||||||
| Date | Amount | |||||||||
| Credit Default Swap | ||||||||||
| Receive from Citibank, upon default event | ||||||||||
| of DaimlerChrysler NA Holding Corp., | ||||||||||
| par value of the notional amount of | ||||||||||
| DaimlerChrysler NA Holding Corp. 6.5% | ||||||||||
| 11/15/13, and pay quarterly notional | ||||||||||
| amount multiplied by .8% | June 2007 | $ 14,000,000 | $ | (129,454) | ||||||
| Receive quarterly notional amount | ||||||||||
| multiplied by .48% and pay Goldman | ||||||||||
| Sachs upon default event of TXU Energy | ||||||||||
| Co. LLC, par value of the notional amount | ||||||||||
| of TXU Energy Co. LLC 7% 3/15/13 | Sept. 2008 | 13,540,000 | (82,090) | |||||||
| Receive quarterly notional amount | ||||||||||
| multiplied by 1.12% and pay Morgan | ||||||||||
| Stanley, Inc. upon default of Comcast | ||||||||||
| Cable Communications, Inc., par value of | ||||||||||
| the notional amount of Comcast Cable | ||||||||||
| Communications, Inc. 6.75% 1/30/11 | June 2006 | 10,000,000 | 75,975 | |||||||
| TOTAL CREDIT DEFAULT SWAP | $ 37,540,000 | $ (135,569) | ||||||||
| Total Return Swap | ||||||||||
| Receive monthly notional amount multiplied | ||||||||||
| by the nominal spread appreciation of | ||||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||||
| gate Index adjusted by a modified dura- | ||||||||||
| tion factor plus 10 basis points and pay | ||||||||||
| monthly notional amount multiplied by | ||||||||||
| the nominal spread depreciation of the | ||||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||||
| Index adjusted by a modified duration | ||||||||||
| factor with Lehman Brothers, Inc. | Oct. 2005 | 48,200,000 | (43,480) | |||||||
| Receive monthly notional amount multiplied | ||||||||||
| by the nominal spread appreciation of the | ||||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||||
| Index adjusted by a modified duration fac | ||||||||||
| tor plus 30 basis points and pay monthly | ||||||||||
| notional amount multiplied by the nominal | ||||||||||
| spread depreciation of the Lehman Broth | ||||||||||
| ers CMBS U.S. Aggregate Index adjusted | ||||||||||
| by a modified duration factor with | ||||||||||
| Citibank | April 2006 | 67,500,000 | (31,167) | |||||||
Annual Report 100
| Swap Agreements continued | ||||||||
| Expiration | Notional | Value | ||||||
| Date | Amount | |||||||
| Total Return Swap continued | ||||||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration fac | ||||||||
| tor plus 15 basis points and pay monthly | ||||||||
| notional amount multiplied by the nominal | ||||||||
| spread depreciation of the Lehman Broth | ||||||||
| ers CMBS U.S. Aggregate Index adjusted | ||||||||
| by a modified duration factor with Citibank | April 2006 | $ 48,200,000 | $ 0 | |||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of | ||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||
| gate Index adjusted by a modified dura- | ||||||||
| tion factor plus 25 basis points and pay | ||||||||
| monthly notional amount multiplied by | ||||||||
| the nominal spread depreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration | ||||||||
| factor with Lehman Brothers, Inc. | Dec. 2005 | 30,000,000 | (23,390) | |||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of | ||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||
| gate Index adjusted by a modified dura- | ||||||||
| tion factor plus 22 basis points and pay | ||||||||
| monthly notional amount multiplied by | ||||||||
| the nominal spread depreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration | ||||||||
| factor with Lehman Brothers, Inc. | Jan. 2006 | 35,100,000 | (27,970) | |||||
| Receive monthly notional amount multiplied | ||||||||
| by the nominal spread appreciation of | ||||||||
| the Lehman Brothers CMBS U.S. Aggre- | ||||||||
| gate Index adjusted by a modified dura- | ||||||||
| tion factor plus 7.5 basis points and pay | ||||||||
| monthly notional amount multiplied by | ||||||||
| the nominal spread depreciation of the | ||||||||
| Lehman Brothers CMBS U.S. Aggregate | ||||||||
| Index adjusted by a modified duration | ||||||||
| factor with Lehman Brothers, Inc. | Nov. 2005 | 35,100,000 | (13,586) | |||||
| Receive monthly a return equal to Lehman | ||||||||
| Brothers ABS Floating Rate Index and | ||||||||
| pay monthly a floating rate based on the | ||||||||
| 1-month LIBOR minus 11.1 basis points | ||||||||
| with Lehman Brothers, Inc. | Nov. 2005 | 30,000,000 | 8,273 | |||||
| TOTAL TOTAL RETURN SWAP | $ 294,100,000 | $ (131,320) | ||||||
| $ 331,640,000 | $ (266,889) | |||||||
101 Annual Report
Investments (Unaudited) continued
| Legend (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $605,971,272 or 9.1% of net assets. (b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. (c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $990,994. (d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (e) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. (f) The maturity amount is based on the rate at period end. (g) Additional information on each counterparty to the repurchase agreement is as follows: |
| Repurchase Agreement/ | Value | |||
| Counterparty | ||||
| $6,297,000 due | ||||
| 10/3/05 at 3.27% | ||||
| Banc of America | ||||
| Securities LLC. | $ 878,400 | |||
| Barclays Capital Inc. | 2,037,889 | |||
| BNP Paribas Securities | ||||
| Corp. | 2,318,977 | |||
| State Street Bank and | ||||
| Trust Company | 1,061,734 | |||
| $ 6,297,000 |
| Repurchase Agreement/ | Value | |
| Counterparty | ||
| $2,119,634,000 due | ||
| 10/3/05 at 3.89% | ||
| Banc of America | ||
| Securities LLC. | $ 406,558,229 | |
| Bank of America, | ||
| National Association | 138,994,266 | |
| Barclays Capital Inc. | 625,474,199 | |
| Bear Stearns & Co. Inc. . | 104,245,700 | |
| Countrywide Securities | ||
| Corporation | 138,994,266 | |
| Goldman Sachs & Co. | 382,234,233 | |
| Morgan Stanley & Co. | ||
| Incorporated. | 34,720,003 | |
| UBS Securities LLC | 288,413,104 | |
| $ 2,119,634,000 |
Income Tax Information
At September 30, 2005, the fund had a capital loss carryforward of approximately $4,905,519 all of which will expire on September 30, 2011.
Annual Report 102
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll free number to access account balances, positions, quotes and trading. It’s easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
By PC
Fidelity’s web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.
* When you call the quotes line, please remember that a fund’s yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guar anteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
103 Annual Report
| Investment Adviser Fidelity Management & Research Company Boston, MA Investment Sub Advisers Fidelity Management & Research (U.K.) Inc. Fidelity Management & Research (Far East) Inc. Fidelity Investments Money Management, Inc. Fidelity Investments Japan Limited Fidelity International Investment Advisors Fidelity International Investment Advisors (U.K.) Limited General Distributor Fidelity Distributors Corporation Boston, MA Transfer and Service Agent Fidelity Service Company, Inc. Boston, MA Custodian JPMorgan Chase Bank New York, NY |
| The Fidelity Telephone Connection | ||
| Mutual Fund 24-Hour Service | ||
| Exchanges/Redemptions | ||
| and Account Assistance | 1-800-544-6666 | |
| Product Information | 1-800-544-6666 | |
| Retirement Accounts | 1-800-544-4774 | |
| (8 a.m. 9 p.m.) | ||
| TDD Service | 1-800-544-0118 | |
| for the deaf and hearing impaired | ||
| (9 a.m. 9 p.m. Eastern time) | ||
| Fidelity Automated Service | ||
| Telephone (FAST® ) (automated phone logo) | 1-800-544-5555 | |
(automated phone logo) Automated line for quickest service
| SIG UANN-1105 1.792132.102 |
Item 2. Code of Ethics
As of the end of the period, September 30, 2005, Fidelity Charles Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Marie L. Knowles is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Knowles is independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services
(a) Audit Fees.
For the fiscal years ended September 30, 2005 and September 30, 2004, the aggregate Audit Fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") for professional services rendered for the audits of the financial statements, or services that are normally provided in connection with statutory and regulatory filings or engagements for those fiscal years, for Fidelity Asset Manager, Fidelity Asset Manager: Aggressive, Fidelity Asset Manager: Growth, Fidelity Asset Manager: Income and Spartan Investment Grade Bond Fund (the funds) and for all funds in the Fidelity Group of Funds are shown in the table below.
Fund | 2005A | 2004A |
Fidelity Asset Manager | $160,000 | $120,000 |
Fidelity Asset Manager: Aggressive | $46,000 | $32,000 |
Fidelity Asset Manager: Growth | $79,000 | $64,000 |
Fidelity Asset Manager: Income | $69,000 | $64,000 |
Spartan Investment Grade Bond Fund | $43,000 | $50,000 |
All funds in the Fidelity Group of Funds audited by Deloitte Entities | $5,200,000 | $4,300,000 |
A | Aggregate amounts may reflect rounding. |
(b) Audit-Related Fees.
In each of the fiscal years ended September 30, 2005 and September 30, 2004 the aggregate Audit-Related Fees billed by Deloitte Entities for services rendered for assurance and related services to each fund that are reasonably related to the performance of the audit or review of the fund's financial statements, but not reported as Audit Fees, are shown in the table below.
Fund | 2005A | 2004A |
Fidelity Asset Manager | $0 | $0 |
Fidelity Asset Manager: Aggressive | $0 | $0 |
Fidelity Asset Manager: Growth | $0 | $0 |
Fidelity Asset Manager: Income | $0 | $0 |
Spartan Investment Grade Bond Fund | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
In each of the fiscal years ended September 30, 2005 and September 30, 2004, the aggregate Audit-Related Fees that were billed by Deloitte Entities that were required to be approved by the Audit Committee for services rendered on behalf of Fidelity Management & Research Company (FMR) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the funds ("Fund Service Providers") for assurance and related services that relate directly to the operations and financial reporting of each fund that are reasonably related to the performance of the audit or review of the fund's financial statements, but not reported as Audit Fees, are shown in the table below.
Billed By | 2005A | 2004A |
Deloitte Entities | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
Fees included in the audit-related category comprise assurance and related services (e.g., due diligence services) that are traditionally performed by the independent registered public accounting firm. These audit-related services include due diligence related to mergers and acquisitions, accounting consultations and audits in connection with acquisitions, internal control reviews, attest services that are not required by statute or regulation and consultation concerning financial accounting and reporting standards.
(c) Tax Fees.
In each of the fiscal years ended September 30, 2005 and September 30, 2004, the aggregate Tax Fees billed by Deloitte Entities for professional services rendered for tax compliance, tax advice, and tax planning for each fund is shown in the table below.
Fund | 2005A | 2004A |
Fidelity Asset Manager | $4,400 | $4,400 |
Fidelity Asset Manager: Aggressive | $2,600 | $2,600 |
Fidelity Asset Manager: Growth | $4,400 | $4,400 |
Fidelity Asset Manager: Income | $4,400 | $4,400 |
Spartan Investment Grade Bond Fund | $3,600 | $3,600 |
A | Aggregate amounts may reflect rounding. |
In each of the fiscal years ended September 30, 2005 and September 30, 2004, the aggregate Tax Fees billed by Deloitte Entities that were required to be approved by the Audit Committee for professional services rendered on behalf of the Fund Service Providers for tax compliance, tax advice, and tax planning that relate directly to the operations and financial reporting of each fund is shown in the table below.
Billed By | 2005A | 2004A |
Deloitte Entities | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
Fees included in the Tax Fees category comprise all services performed by professional staff in the independent registered public accounting firm's tax division except those services related to the audit. Typically, this category would include fees for tax compliance, tax planning, and tax advice. Tax compliance, tax advice, and tax planning services include preparation of original and amended tax returns, claims for refund and tax payment-planning services, assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.
(d) All Other Fees.
In each of the fiscal years ended September 30, 2005 and September 30, 2004, the aggregate Other Fees billed by Deloitte Entities for all other non-audit services rendered to the funds is shown in the table below.
Fund | 2005A | 2004A |
Fidelity Asset Manager | $0 | $0 |
Fidelity Asset Manager: Aggressive | $0 | $0 |
Fidelity Asset Manager: Growth | $0 | $0 |
Fidelity Asset Manager: Income | $0 | $0 |
Spartan Investment Grade Bond Fund | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
In each of the fiscal years ended September 30, 2005 and September 30, 2004, the aggregate Other Fees billed by Deloitte Entities that were required to be approved by the Audit Committee for all other non-audit services rendered on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund is shown in the table below.
Billed By | 2005A | 2004A |
Deloitte Entities | $210,000 | $790,000 |
A | Aggregate amounts may reflect rounding. |
Fees included in the All Other Fees category include services related to internal control reviews, strategy and other consulting, financial information systems design and implementation, consulting on other information systems, and other tax services unrelated to the fund.
(e) (1) | Audit Committee Pre-Approval Policies and Procedures: |
The trust's Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm relating to the operations or financial reporting of the funds. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The trust's Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity Fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (Covered Service) are subject to approval by the Audit Committee before such service is provided. Non-audit services provided by a fund audit firm for a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund (Non-Covered Service) but that are expected to exceed $50,000 are also subject to pre-approval by the Audit Committee.
All Covered Services, as well as Non-Covered Services that are expected to exceed $50,000, must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee. Neither pre-approval nor advance notice of Non-Covered Service engagements for which fees are not expected to exceed $50,000 is required; such engagements are to be reported to the Audit Committee monthly.
(e) (2) | Services approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X: |
Audit-Related Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2005 and September 30, 2004 on behalf of each fund.
There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2005 and September 30, 2004 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.
Tax Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2005 and September 30, 2004 on behalf of each fund.
There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2005 and September 30, 2004 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.
All Other Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2005 and September 30, 2004 on behalf of each fund.
There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2005 and September 30, 2004 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.
(f) Not Applicable.
(g) For the fiscal years ended September 30, 2005 and September 30, 2004, the aggregate fees billed by Deloitte Entities of $650,000A and $1,750,000A for non-audit services rendered on behalf of the funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and Fund Service Providers relating to Covered Services and Non-Covered Services are shown in the table below.
2005A | 2004A | |
Covered Services | $250,000 | $800,000 |
Non-Covered Services | $400,000 | $950,000 |
A | Aggregate amounts may reflect rounding. |
(h) The trust's Audit Committee has considered Non-Covered Services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its audit of the funds, taking into account representations from Deloitte Entities, in accordance with Independence Standards Board Standard No.1, regarding its independence from the funds and their related entities.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Charles Street Trust
By: | /s/Christine Reynolds |
Christine Reynolds | |
President and Treasurer | |
Date: | November 18, 2005 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Christine Reynolds |
Christine Reynolds | |
President and Treasurer | |
Date: | November 18, 2005 |
By: | /s/Paul M. Murphy |
Paul M. Murphy | |
Chief Financial Officer | |
Date: | November 18, 2005 |