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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-649

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

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

Scott C. Goebel, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:	August 31

Date of reporting period:	August 31, 2012

Item 1. Reports to Stockholders

Fidelity®

Balanced

Fund -
Class K

Annual Report

August 31, 2012

(Fidelity Cover Art)

Performance	(Click Here)	How the fund has done over time.
Management's Discussion of Fund Performance	(Click Here)	The Portfolio Manager's review of fund performance and strategy.
Shareholder Expense Example	(Click Here)	An example of shareholder expenses.
Investment Changes	(Click Here)	A summary of major shifts in the fund's investments over the past six months.
Investments	(Click Here)	A complete list of the fund's investments with their market values.
Financial Statements	(Click Here)	Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.
Notes	(Click Here)	Notes to the financial statements.
Report of Independent Registered Public Accounting Firm	(Click Here)
Trustees and Officers	(Click Here)
Distributions	(Click Here)
Board Approval of Investment Advisory Contracts and Management Fees	(Click Here)

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5092 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.

Annual Report

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

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Performance: The Bottom Line

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

Average Annual Total Returns

Periods ended August 31, 2012	Past 1 year	Past 5 years	Past 10 years
Class K ^A	12.03%	2.84%	8.03%

^AThe initial offering of Class K shares took place on May 9, 2008. Returns prior to May 9, 2008 are those of Fidelity® Balanced Fund, the original class of the fund.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Balanced Fund - Class K on August 31, 2002. The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period. The initial offering of Class K took place on May 9, 2008. See above for additional information regarding the performance of Class K.

bal293

Annual Report

Management's Discussion of Fund Performance

Market Recap: U.S. stocks posted a strong gain for the 12 months ending August 31, 2012, overcoming losses sustained last summer and extending an uptrend that began in March 2009. The broad-based S&P 500® Index added 18.00% for the 12-month period, while the blue-chip-laden Dow Jones Industrial Average^SM and technology-heavy Nasdaq Composite® Index rose 15.86% and 20.26%, respectively. Uncertainty prevailed early on, as Greece neared insolvency and fear of debt contagion in Europe led the S&P 500® to its lowest point in more than a year, in early October. Markets reversed course that same month, and the S&P 500® rose to its largest monthly gain in two decades. Despite a rough patch in the spring, U.S. stocks pushed ahead for much of the remainder of the period, fueled by solid corporate earnings, a reviving housing market and hope for a solution in the eurozone. Elsewhere, foreign developed-markets stocks languished amid the European turmoil and as local currencies weakened versus the dollar, leaving the MSCI® EAFE® Index up just 0.10%. In the fixed-income arena, the search for yield benefited high-income securities, which returned 13.01%, according to The BofA Merrill Lynch^SM US High Yield Constrained Index. Higher-quality debt registered a more muted advance, with the Barclays® U.S. Aggregate Bond Index - a proxy for investment-grade debt - returning 5.78%.

Comments from Robert Stansky, Head of Fidelity's Stock Selector Large Cap Group, which manages Fidelity® Balanced Fund: For the year, the fund's Class K shares returned 12.03%, trailing the 13.34% gain of the Fidelity Balanced Hybrid Composite Index^SM, a hypothetical blend of the total returns of the S&P 500 and the Barclays® U.S. Aggregate Bond Index, using weightings of 60% and 40%, respectively. Disappointing stock selection hurt performance, although the negative impact was modestly offset by our overweighting in equities. The fund benefited the most from our fixed-income investments, including good picks and an underweighting in investment-grade bonds, and a small out-of-index allocation to high-yield bonds. Looking at individual holdings, the biggest detractor was enterprise software firm Oracle, primarily due to positioning during the first half of the period. The stock declined sharply in December, due to concern about future earnings, and we sold it by period end. Our decision to not own telecom giant and benchmark component AT&T for nearly the entire period also detracted. We were concerned about the stock's valuation. Conversely, a sizable position in Apple was the fund's top individual contributor, as the company's iPad® tablet computer and iPhone® smartphone continued to define their respective categories, helping the stock maintain its run of strong performance.

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

Annual Report

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2012 to August 31, 2012).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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.

Annual Report

	Annualized Expense Ratio	Beginning Account Value March 1, 2012	Ending Account Value August 31, 2012	Expenses Paid During Period* March 1, 2012 to August 31, 2012
Balanced	.59%
Actual		$ 1,000.00	$ 1,031.80	$ 3.01
Hypothetical^A		$ 1,000.00	$ 1,022.17	$ 3.00
Class K	.47%
Actual		$ 1,000.00	$ 1,032.30	$ 2.40
Hypothetical^A		$ 1,000.00	$ 1,022.77	$ 2.39

^A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Annual Report

Investment Changes (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds.

Top Five Stocks as of August 31, 2012
	% of fund's net assets	% of fund's net assets 6 months ago
Apple, Inc.	5.0	4.3
QUALCOMM, Inc.	1.6	1.3
Microsoft Corp.	1.6	1.3
Exxon Mobil Corp.	1.5	0.9
Procter & Gamble Co.	1.4	1.4
	11.1
Top Five Bond Issuers as of August 31, 2012
(with maturities greater than one year)	% of fund's net assets	% of fund's net assets 6 months ago
Fannie Mae	9.2	5.4
U.S. Treasury Obligations	5.1	10.0
Freddie Mac	2.7	2.6
Ginnie Mae	2.4	2.1
Wachovia Bank Commercial Mortgage Trust	0.4	0.0
	19.8
Top Five Market Sectors as of August 31, 2012
	% of fund's net assets	% of fund's net assets 6 months ago
Information Technology	14.1	13.6
Financials	13.7	13.3
Energy	8.9	9.6
Health Care	8.1	7.4
Consumer Staples	7.9	7.4

Asset Allocation (% of fund's net assets)
As of August 31, 2012 *			As of February 29, 2012 **
	Stocks and Equity Futures 64.2%			Stocks and Equity Futures 62.8%
	Bonds 34.0%			Bonds 34.4%
	Convertible Securities 0.1%			Convertible Securities 0.1%
	Other Investments 0.3%			Other Investments 0.3%
	Short-Term Investments and Net Other Assets (Liabilities) 1.4%			Short-Term Investments and Net Other Assets (Liabilities) 2.4%
* Foreign investments		8.9%	** Foreign investments		13.1%

bal311

Percentages are adjusted for the effect of futures and swap contracts, if applicable. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com.

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Annual Report

Investments August 31, 2012

Showing Percentage of Net Assets

Common Stocks - 63.7%
	Shares		Value (000s)
CONSUMER DISCRETIONARY - 6.4%
Diversified Consumer Services - 0.0%
Weight Watchers International, Inc. (e)	100,727		$ 4,812
Hotels, Restaurants & Leisure - 1.2%
Arcos Dorados Holdings, Inc.	713,097		9,420
Domino's Pizza, Inc.	819,931		29,058
Dunkin' Brands Group, Inc.	341,877		9,959
Icahn Enterprises LP rights (a)	290,524		0
McDonald's Corp.	757,421		67,782
Starbucks Corp.	1,086,917		53,922
Yum! Brands, Inc.	1,130,472		72,034
			242,175
Internet & Catalog Retail - 0.4%
Kayak Software Corp. (e)(f)	203,012		5,542
Priceline.com, Inc. (a)	111,242		67,254
			72,796
Media - 2.8%
Comcast Corp. Class A	6,618,603		221,922
DIRECTV (a)	1,641,196		85,490
Legend Pictures LLC (a)(p)(q)	8,571		9,164
News Corp. Class A	4,894,779		114,489
Sirius XM Radio, Inc. (a)	5,666,600		14,336
The Walt Disney Co.	2,541,497		125,728
			571,129
Multiline Retail - 0.3%
Dollar General Corp. (a)	1,420,365		72,538
Specialty Retail - 1.5%
AutoZone, Inc. (a)	148,441		53,682
CarMax, Inc. (a)	261,919		8,012
Limited Brands, Inc.	550,498		26,754
Lowe's Companies, Inc.	4,013,003		114,290
TJX Companies, Inc.	2,170,980		99,409
			302,147
Textiles, Apparel & Luxury Goods - 0.2%
Under Armour, Inc. Class A (sub. vtg.) (a)(e)	754,878		43,941
TOTAL CONSUMER DISCRETIONARY			1,309,538
CONSUMER STAPLES - 7.2%
Beverages - 2.6%
Anheuser-Busch InBev SA NV	655,741		55,169
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Beverages - continued
Coca-Cola Bottling Co. CONSOLIDATED	118,433		$ 8,129
Coca-Cola FEMSA SAB de CV sponsored ADR	30,925		3,774
Coca-Cola Icecek A/S	394,435		7,025
Companhia de Bebidas das Americas (AmBev) (PN) sponsored ADR	164,725		6,195
Constellation Brands, Inc. Class A (sub. vtg.) (a)	1,476,841		48,647
Diageo PLC sponsored ADR	494,843		54,047
Embotelladora Andina SA sponsored ADR	218,222		7,184
Molson Coors Brewing Co. Class B	628,844		28,009
Monster Beverage Corp. (a)	97,800		5,763
Pernod Ricard SA	344,150		37,084
Remy Cointreau SA	176,092		20,113
The Coca-Cola Co.	6,784,472		253,739
			534,878
Food & Staples Retailing - 1.0%
CVS Caremark Corp.	3,242,038		147,675
Drogasil SA	434,400		4,595
Kroger Co.	801,453		17,856
Safeway, Inc.	278,105		4,352
Wal-Mart Stores, Inc.	394,834		28,665
Walgreen Co.	386,702		13,828
			216,971
Food Products - 0.5%
Bunge Ltd.	348,589		22,188
Green Mountain Coffee Roasters, Inc. (a)	168,876		4,105
Mead Johnson Nutrition Co. Class A	137,761		10,102
Nestle SA	338,708		21,056
Orion Corp.	5,168		4,194
Pilgrims Pride Corp.	748,200		3,980
Unilever NV (NY Reg.)	1,018,331		35,418
			101,043
Household Products - 1.6%
Colgate-Palmolive Co.	327,533		34,820
Procter & Gamble Co.	4,164,463		279,810
Spectrum Brands Holdings, Inc.	202,786		7,469
			322,099
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Personal Products - 0.2%
L'Oreal SA	256,900		$ 31,583
Nu Skin Enterprises, Inc. Class A	281,363		11,674
			43,257
Tobacco - 1.3%
Altria Group, Inc.	543,295		18,450
British American Tobacco PLC sponsored ADR	2,088,001		218,697
Philip Morris International, Inc.	200,183		17,876
Souza Cruz SA	477,700		6,403
			261,426
TOTAL CONSUMER STAPLES			1,479,674
ENERGY - 7.2%
Energy Equipment & Services - 1.6%
Cameron International Corp. (a)	743,991		40,704
Ensco PLC Class A	823,839		47,264
Forum Energy Technologies, Inc.	341,364		8,080
Halliburton Co.	746,958		24,470
National Oilwell Varco, Inc.	1,061,248		83,626
Noble Corp.	1,087,208		41,466
Ocean Rig UDW, Inc. (United States)	455,396		7,619
Oceaneering International, Inc.	220,987		11,832
Oil States International, Inc. (a)	101,400		7,934
Schlumberger Ltd.	631,524		45,710
Vantage Drilling Co. (a)	4,677,101		7,109
			325,814
Oil, Gas & Consumable Fuels - 5.6%
Anadarko Petroleum Corp.	900,802		62,399
Apache Corp.	835,168		71,616
Cheniere Energy, Inc. (a)	193,100		2,850
Chevron Corp.	1,260,894		141,422
Cobalt International Energy, Inc. (a)	317,200		7,204
EQT Corp.	360,200		19,436
Exxon Mobil Corp.	3,618,457		315,891
Halcon Resources Corp. (q)	910,000		6,989
Hess Corp.	619,326		31,295
HollyFrontier Corp.	836,666		33,709
InterOil Corp. (a)(e)	310,031		24,660
Marathon Oil Corp.	2,036,593		56,658
Marathon Petroleum Corp.	1,189,088		61,535
Common Stocks - continued
	Shares		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Noble Energy, Inc.	325,965		$ 28,652
Northern Tier Energy LP Class A	458,700		8,394
Occidental Petroleum Corp.	1,038,752		88,304
Phillips 66	375,591		15,775
Royal Dutch Shell PLC Class B sponsored ADR (e)	1,233,621		89,055
Suncor Energy, Inc.	1,602,400		50,084
Williams Companies, Inc.	1,122,100		36,210
			1,152,138
TOTAL ENERGY			1,477,952
FINANCIALS - 9.3%
Capital Markets - 0.8%
BlackRock, Inc. Class A	275,742		48,633
E*TRADE Financial Corp. (a)	629,301		5,393
Evercore Partners, Inc. Class A	275,200		6,797
ICAP PLC	923,400		4,658
Invesco Ltd.	903,982		21,406
Morgan Stanley	1,163,200		17,448
State Street Corp.	563,918		23,459
TD Ameritrade Holding Corp.	904,736		15,480
The Blackstone Group LP	1,026,000		13,841
UBS AG	647,930		7,229
			164,344
Commercial Banks - 2.2%
CIT Group, Inc. (a)	708,926		26,769
Comerica, Inc.	1,107,648		34,016
Credit Agricole SA (a)	924,624		5,394
FirstMerit Corp.	318,698		5,000
Huntington Bancshares, Inc.	4,733,054		31,238
Lloyds Banking Group PLC (a)	7,606,900		4,014
M&T Bank Corp.	314,819		27,358
Synovus Financial Corp. (e)	4,461,120		9,279
U.S. Bancorp	7,141,743		238,606
Wells Fargo & Co.	2,356,876		80,204
			461,878
Consumer Finance - 1.5%
Capital One Financial Corp.	4,019,745		227,236
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - continued
Consumer Finance - continued
Discover Financial Services	364,652		$ 14,123
SLM Corp.	4,030,734		63,484
			304,843
Diversified Financial Services - 1.7%
African Bank Investments Ltd.	692,111		2,677
Bank of America Corp.	3,429,996		27,406
Citigroup, Inc.	5,059,146		150,307
JPMorgan Chase & Co.	4,570,385		169,744
NBH Holdings Corp. Class A (a)(g)	576,500		10,233
			360,367
Insurance - 1.9%
ACE Ltd.	494,636		36,470
Amlin PLC	1,942,409		11,893
Berkshire Hathaway, Inc.:
Class A (a)	234		29,615
Class B (a)	486,868		41,062
Fairfax Financial Holdings Ltd. (sub. vtg.)	71,900		27,073
Hartford Financial Services Group, Inc.	1,013,400		18,170
MetLife, Inc.	2,833,406		96,704
Prudential Financial, Inc.	178,800		9,746
The Travelers Companies, Inc.	1,037,039		67,138
Torchmark Corp.	494,632		25,315
Validus Holdings Ltd.	952,465		31,917
			395,103
Real Estate Investment Trusts - 0.9%
American Tower Corp.	1,162,045		81,808
Camden Property Trust (SBI)	303,775		21,091
Equity Lifestyle Properties, Inc.	288,929		19,867
Home Properties, Inc.	29,800		1,903
Japan Retail Fund Investment Corp.	3,499		5,991
Sun Communities, Inc.	280,526		12,851
The Macerich Co.	685,541		40,838
			184,349
Thrifts & Mortgage Finance - 0.3%
Ocwen Financial Corp. (a)	2,001,417		51,496
TOTAL FINANCIALS			1,922,380
Common Stocks - continued
	Shares		Value (000s)
HEALTH CARE - 7.5%
Biotechnology - 2.3%
Alexion Pharmaceuticals, Inc. (a)	132,137		$ 14,166
Amgen, Inc.	2,040,855		171,269
Biogen Idec, Inc. (a)	539,608		79,101
BioMarin Pharmaceutical, Inc. (a)	596,287		22,265
CSL Ltd.	293,502		13,473
CSL Ltd. ADR	379,200		8,691
Gilead Sciences, Inc. (a)	2,149,093		123,981
Onyx Pharmaceuticals, Inc. (a)	415,782		29,903
Theravance, Inc. (a)	198,850		5,303
			468,152
Health Care Equipment & Supplies - 1.0%
C.R. Bard, Inc.	380,956		37,376
Covidien PLC	1,241,865		69,607
Edwards Lifesciences Corp. (a)	528,081		53,922
Quidel Corp. (a)(e)	1,317,147		21,390
The Cooper Companies, Inc.	406,065		34,049
			216,344
Health Care Providers & Services - 1.3%
Catamaran Corp. (a)	165,961		14,405
CIGNA Corp.	816,351		37,364
Express Scripts Holding Co. (a)	402,065		25,177
Henry Schein, Inc. (a)	715,654		54,969
McKesson Corp.	373,348		32,522
Omnicare, Inc.	341,802		11,068
UnitedHealth Group, Inc.	1,782,107		96,768
WellPoint, Inc.	88,200		5,281
			277,554
Pharmaceuticals - 2.9%
Allergan, Inc.	770,565		66,369
Eli Lilly & Co.	380,900		17,106
GlaxoSmithKline PLC sponsored ADR	553,190		25,165
Merck & Co., Inc.	2,594,840		111,708
Optimer Pharmaceuticals, Inc. (a)	568,104		8,539
Pfizer, Inc.	11,662,658		278,271
Sanofi SA sponsored ADR	590,703		24,189
Valeant Pharmaceuticals International, Inc. (Canada) (a)	1,099,375		56,288
			587,635
TOTAL HEALTH CARE			1,549,685
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - 6.6%
Aerospace & Defense - 1.9%
Honeywell International, Inc.	1,388,553		$ 81,161
MTU Aero Engines Holdings AG	218,364		16,664
Precision Castparts Corp.	334,903		53,946
Raytheon Co.	683,637		38,639
Textron, Inc.	2,095,158		55,983
The Boeing Co.	899,838		64,248
United Technologies Corp.	1,099,534		87,798
			398,439
Air Freight & Logistics - 0.4%
United Parcel Service, Inc. Class B	1,230,637		90,833
Building Products - 0.5%
Armstrong World Industries, Inc.	660,746		29,053
Owens Corning (a)	1,469,438		49,020
Quanex Building Products Corp.	947,855		16,587
			94,660
Commercial Services & Supplies - 0.2%
Stericycle, Inc. (a)	347,149		31,771
Electrical Equipment - 0.4%
Regal-Beloit Corp.	633,339		43,105
Roper Industries, Inc.	350,067		35,983
			79,088
Industrial Conglomerates - 1.8%
Danaher Corp.	1,396,974		74,836
General Electric Co.	12,219,400		253,064
Tyco International Ltd.	804,119		45,336
			373,236
Machinery - 0.6%
Caterpillar, Inc.	205,413		17,528
Cummins, Inc.	441,167		42,842
Fiat Industrial SpA	675,197		6,798
Illinois Tool Works, Inc.	763,773		45,284
			112,452
Road & Rail - 0.7%
CSX Corp.	1,922,124		43,171
J.B. Hunt Transport Services, Inc.	191,549		10,045
Union Pacific Corp.	807,500		98,063
			151,279
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - continued
Trading Companies & Distributors - 0.1%
W.W. Grainger, Inc.	95,800		$ 19,731
TOTAL INDUSTRIALS			1,351,489
INFORMATION TECHNOLOGY - 13.8%
Communications Equipment - 2.2%
Acme Packet, Inc. (a)	677,252		12,929
ADTRAN, Inc.	1,098,668		22,292
Finisar Corp. (a)	983,487		13,513
Juniper Networks, Inc. (a)	2,780,146		48,486
NETGEAR, Inc. (a)	322,578		11,797
QUALCOMM, Inc.	5,382,555		330,812
Riverbed Technology, Inc. (a)	616,612		12,326
			452,155
Computers & Peripherals - 5.4%
Apple, Inc.	1,541,738		1,025,622
NetApp, Inc. (a)	157,707		5,444
SanDisk Corp. (a)	1,988,456		81,964
			1,113,030
Electronic Equipment & Components - 0.3%
Hon Hai Precision Industry Co. Ltd. (Foxconn)	10,180,000		28,884
Jabil Circuit, Inc.	1,846,550		42,064
Uni-Pixel Inc. (a)	90,300		545
			71,493
Internet Software & Services - 1.0%
Dice Holdings, Inc. (a)	965,144		7,702
eBay, Inc. (a)	1,081,464		51,337
Facebook, Inc. Class A	856,127		15,479
Google, Inc. Class A (a)	135,830		93,056
Mail.ru Group Ltd.:
GDR (g)	391,234		12,821
GDR (Reg. S)	195,272		6,399
VeriSign, Inc. (a)	337,918		16,112
			202,906
IT Services - 0.0%
Accenture PLC Class A	32,270		1,988
Semiconductors & Semiconductor Equipment - 2.3%
Analog Devices, Inc.	3,381,391		134,376
ARM Holdings PLC sponsored ADR	641,300		17,469
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Semiconductors & Semiconductor Equipment - continued
ASAT Holdings Ltd. (a)	88,719		$ 0
ASML Holding NV	501,249		28,456
Avago Technologies Ltd.	1,928,985		70,543
Dialog Semiconductor PLC (a)	384,898		8,286
Fairchild Semiconductor International, Inc. (a)	841,711		12,222
International Rectifier Corp. (a)	676,289		11,774
Maxim Integrated Products, Inc.	1,194,297		32,413
Micron Technology, Inc. (a)	7,144,995		44,370
NXP Semiconductors NV (a)	1,327,116		30,948
ON Semiconductor Corp. (a)	2,754,511		17,161
PMC-Sierra, Inc. (a)	2,578,085		15,082
RF Micro Devices, Inc. (a)	4,914,586		18,430
Rubicon Technology, Inc. (a)(e)	123,185		1,037
Skyworks Solutions, Inc. (a)	1,141,255		34,763
			477,330
Software - 2.6%
Check Point Software Technologies Ltd. (a)	1,096,779		50,551
Citrix Systems, Inc. (a)	1,544,850		120,019
Microsoft Corp.	10,609,586		326,987
Sourcefire, Inc. (a)	158,833		8,242
VMware, Inc. Class A (a)	226,267		20,147
			525,946
TOTAL INFORMATION TECHNOLOGY			2,844,848
MATERIALS - 2.0%
Chemicals - 1.4%
Air Products & Chemicals, Inc.	647,168		53,443
E.I. du Pont de Nemours & Co.	1,381,887		68,749
Eastman Chemical Co.	627,953		34,701
Ecolab, Inc.	494,778		31,681
LyondellBasell Industries NV Class A	491,016		23,981
Sherwin-Williams Co.	299,779		42,892
Sigma Aldrich Corp.	389,450		27,663
			283,110
Containers & Packaging - 0.3%
Ball Corp.	669,211		28,221
Rock-Tenn Co. Class A	470,505		31,416
			59,637
Common Stocks - continued
	Shares		Value (000s)
MATERIALS - continued
Metals & Mining - 0.3%
First Quantum Minerals Ltd. (e)	1,466,705		$ 28,255
Goldcorp, Inc.	765,897		31,444
Turquoise Hill Resources Ltd. (a)	1,893,665		15,215
			74,914
TOTAL MATERIALS			417,661
TELECOMMUNICATION SERVICES - 1.5%
Diversified Telecommunication Services - 1.2%
AT&T, Inc.	1,892,026		69,324
CenturyLink, Inc.	1,777,204		75,105
Verizon Communications, Inc.	2,232,168		95,849
			240,278
Wireless Telecommunication Services - 0.3%
SBA Communications Corp. Class A (a)	442,894		26,476
Sprint Nextel Corp. (a)	9,026,777		43,780
			70,256
TOTAL TELECOMMUNICATION SERVICES			310,534
UTILITIES - 2.2%
Electric Utilities - 1.4%
American Electric Power Co., Inc.	417,924		17,967
Duke Energy Corp.	1,406,380		91,105
Edison International	1,547,007		67,743
FirstEnergy Corp.	1,320,436		57,703
NextEra Energy, Inc.	926,475		62,361
			296,879
Gas Utilities - 0.0%
ONEOK, Inc.	184,456		8,214
Independent Power Producers & Energy Traders - 0.2%
NRG Energy, Inc.	243,000		5,186
The AES Corp.	2,731,715		31,114
			36,300
Multi-Utilities - 0.6%
CenterPoint Energy, Inc.	1,386,952		28,280
NiSource, Inc.	698,474		17,001
Common Stocks - continued
	Shares		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
PG&E Corp.	592,029		$ 25,700
Sempra Energy	750,345		49,673
			120,654
TOTAL UTILITIES			462,047
TOTAL COMMON STOCKS (Cost $10,748,046)		13,125,808
Convertible Preferred Stocks - 0.0%

CONSUMER DISCRETIONARY - 0.0%
Media - 0.0%
Jumptap, Inc. Series G (q)	893,724		6,429
INFORMATION TECHNOLOGY - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
ASAT Holdings Ltd. 13.00% (a)	2,416		0
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $6,519)		6,429

Nonconvertible Bonds - 7.4%
	Principal Amount (000s)
CONSUMER DISCRETIONARY - 0.7%
Automobiles - 0.2%
Daimler Finance North America LLC 1.65% 4/10/15 (g)	$ 20,636		20,903
Volkswagen International Finance NV 2.375% 3/22/17 (g)	10,000		10,328
			31,231
Media - 0.5%
AOL Time Warner, Inc. 7.625% 4/15/31	4,975		6,762
Comcast Corp.:
4.65% 7/15/42	5,049		5,392
5.15% 3/1/20	644		767
6.4% 3/1/40	6,097		8,023
COX Communications, Inc. 4.625% 6/1/13	3,612		3,720
Discovery Communications LLC 3.7% 6/1/15	5,116		5,485
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
NBCUniversal Media LLC:
5.15% 4/30/20	$ 7,276		$ 8,592
6.4% 4/30/40	6,271		8,138
News America Holdings, Inc. 7.75% 12/1/45	8,630		11,735
News America, Inc. 6.15% 2/15/41	9,222		11,348
Time Warner Cable, Inc.:
4.5% 9/15/42	5,093		5,071
5.5% 9/1/41	13,538		15,346
6.2% 7/1/13	2,729		2,854
6.75% 7/1/18	1,378		1,724
Time Warner, Inc.:
5.875% 11/15/16	4,125		4,884
6.2% 3/15/40	3,821		4,697
6.5% 11/15/36	2,758		3,449
			107,987
Specialty Retail - 0.0%
Staples, Inc. 7.375% 10/1/12	820		824
TOTAL CONSUMER DISCRETIONARY			140,042
CONSUMER STAPLES - 0.5%
Beverages - 0.1%
Beam, Inc.:
1.875% 5/15/17	1,331		1,359
3.25% 5/15/22	1,578		1,636
Diageo Capital PLC 5.2% 1/30/13	4,139		4,219
FBG Finance Ltd. 5.125% 6/15/15 (g)	3,447		3,811
Fortune Brands, Inc.:
5.375% 1/15/16	1,615		1,840
5.875% 1/15/36	6,416		7,676
6.375% 6/15/14	482		527
SABMiller Holdings, Inc. 3.75% 1/15/22 (g)	5,490		5,958
			27,026
Food Products - 0.0%
Cargill, Inc. 6% 11/27/17 (g)	572		695
Kraft Foods, Inc.:
6.5% 2/9/40	3,854		5,316
6.75% 2/19/14	436		474
			6,485
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Tobacco - 0.4%
Altria Group, Inc.:
2.85% 8/9/22	$ 4,604		$ 4,591
4.25% 8/9/42	4,604		4,500
9.7% 11/10/18	16,451		23,620
Philip Morris International, Inc. 1.125% 8/21/17	24,419		24,374
Reynolds American, Inc.:
6.75% 6/15/17	3,486		4,223
7.25% 6/15/37	7,569		9,708
			71,016
TOTAL CONSUMER STAPLES			104,527
ENERGY - 1.1%
Energy Equipment & Services - 0.2%
DCP Midstream LLC:
4.75% 9/30/21 (g)	6,554		6,949
5.35% 3/15/20 (g)	6,637		7,281
El Paso Pipeline Partners Operating Co. LLC:
4.1% 11/15/15	7,675		8,099
5% 10/1/21	2,791		3,050
6.5% 4/1/20	1,091		1,287
Transocean, Inc.:
5.05% 12/15/16	4,522		5,009
6.375% 12/15/21	5,971		7,198
Weatherford International Ltd.:
4.95% 10/15/13	2,045		2,130
5.15% 3/15/13	2,673		2,730
			43,733
Oil, Gas & Consumable Fuels - 0.9%
Anadarko Petroleum Corp.:
5.95% 9/15/16	718		830
6.375% 9/15/17	13,514		16,161
Canadian Natural Resources Ltd. 5.15% 2/1/13	5,282		5,380
Duke Capital LLC 6.25% 2/15/13	809		829
Duke Energy Field Services:
5.375% 10/15/15 (g)	1,435		1,545
6.45% 11/3/36 (g)	6,493		7,497
El Paso Natural Gas Co. 5.95% 4/15/17	1,098		1,258
Enbridge Energy Partners LP 4.2% 9/15/21	7,741		8,264
Encana Holdings Finance Corp. 5.8% 5/1/14	3,391		3,644
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Enterprise Products Operating LP:
5.6% 10/15/14	$ 715		$ 783
5.65% 4/1/13	563		577
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (g)	327		382
Marathon Petroleum Corp. 5.125% 3/1/21	4,207		4,837
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (g)	6,234		6,430
Motiva Enterprises LLC 6.85% 1/15/40 (g)	4,294		5,662
Nakilat, Inc. 6.067% 12/31/33 (g)	2,490		2,944
Nexen, Inc. 5.2% 3/10/15	1,067		1,161
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	6,946		7,293
7.875% 3/15/19	7,382		9,153
Petroleos Mexicanos:
4.875% 1/24/22 (g)	1,430		1,605
5.5% 1/21/21	7,423		8,666
5.5% 6/27/44 (g)	6,720		7,308
6% 3/5/20	952		1,135
6.5% 6/2/41 (g)	8,760		10,884
Phillips 66:
4.3% 4/1/22 (g)	6,038		6,580
5.875% 5/1/42 (g)	5,485		6,484
Plains All American Pipeline LP/PAA Finance Corp.:
3.65% 6/1/22	3,381		3,575
3.95% 9/15/15	149		161
4.25% 9/1/12	718		718
6.125% 1/15/17	1,940		2,301
Ras Laffan Liquefied Natural Gas Co. Ltd. III:
4.5% 9/30/12 (g)	3,472		3,472
5.5% 9/30/14 (g)	5,137		5,535
5.832% 9/30/16 (g)	1,121		1,222
6.332% 9/30/27 (g)	5,910		6,988
6.75% 9/30/19 (g)	3,177		3,939
Rockies Express Pipeline LLC 6.25% 7/15/13 (g)	3,193		3,289
Southeast Supply Header LLC 4.85% 8/15/14 (g)	543		571
Spectra Energy Capital, LLC 5.65% 3/1/20	455		525
Spectra Energy Partners, LP:
2.95% 6/15/16	1,325		1,352
4.6% 6/15/21	1,733		1,882
Texas Eastern Transmission LP 6% 9/15/17 (g)	1,301		1,513
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
TransCapitalInvest Ltd. 5.67% 3/5/14 (g)	$ 4,215		$ 4,457
Western Gas Partners LP 5.375% 6/1/21	7,979		8,862
			177,654
TOTAL ENERGY			221,387
FINANCIALS - 3.2%
Capital Markets - 0.2%
BlackRock, Inc. 3.375% 6/1/22	3,840		4,063
Goldman Sachs Group, Inc.:
5.95% 1/18/18	4,684		5,269
6.15% 4/1/18	1,671		1,900
Lazard Group LLC:
6.85% 6/15/17	4,528		5,108
7.125% 5/15/15	1,616		1,773
Merrill Lynch & Co., Inc.:
6.11% 1/29/37	5,110		5,138
6.4% 8/28/17	4,179		4,749
Morgan Stanley:
5.5% 7/28/21	7,030		7,212
5.625% 9/23/19	1,795		1,858
5.75% 1/25/21	2,403		2,483
7.3% 5/13/19	6,528		7,367
			46,920
Commercial Banks - 0.6%
Bank of America NA 5.3% 3/15/17	8,427		9,173
BB&T Corp. 3.95% 3/22/22	6,787		7,330
Credit Suisse New York Branch 6% 2/15/18	15,195		16,877
Discover Bank:
7% 4/15/20	3,831		4,509
8.7% 11/18/19	2,425		3,070
Fifth Third Bancorp:
4.5% 6/1/18	584		634
8.25% 3/1/38	4,070		5,690
Fifth Third Bank 4.75% 2/1/15	951		1,014
Fifth Third Capital Trust IV 6.5% 4/15/67 (m)	4,393		4,393
HBOS PLC 6.75% 5/21/18 (g)	560		553
HSBC Holdings PLC 4% 3/30/22	5,850		6,276
Huntington Bancshares, Inc. 7% 12/15/20	1,908		2,278
JPMorgan Chase Bank 6% 10/1/17	2,460		2,897
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
KeyBank NA:
5.45% 3/3/16	$ 2,765		$ 3,092
5.8% 7/1/14	5,776		6,190
Marshall & Ilsley Bank:
4.85% 6/16/15	3,561		3,840
5% 1/17/17	9,004		10,094
5.25% 9/4/12	2,221		2,221
Regions Bank:
6.45% 6/26/37	9,201		9,213
7.5% 5/15/18	3,852		4,488
Regions Financial Corp.:
5.75% 6/15/15	1,443		1,533
7.75% 11/10/14	6,740		7,466
UnionBanCal Corp. 5.25% 12/16/13	777		813
Wachovia Corp.:
5.625% 10/15/16	3,991		4,596
5.75% 6/15/17	2,371		2,830
Wells Fargo & Co. 3.676% 6/15/16	3,236		3,521
			124,591
Consumer Finance - 0.4%
Capital One Financial Corp. 2.15% 3/23/15	20,318		20,810
Discover Financial Services:
5.2% 4/27/22	1,290		1,372
6.45% 6/12/17	12,103		13,712
Ford Motor Credit Co. LLC 2.5% 1/15/16	16,000		16,005
General Electric Capital Corp. 5.625% 9/15/17	15,752		18,615
HSBC USA, Inc. 2.375% 2/13/15	8,675		8,889
			79,403
Diversified Financial Services - 0.5%
Bank of America Corp.:
3.875% 3/22/17	7,618		8,027
5.65% 5/1/18	1,270		1,419
5.7% 1/24/22	12,760		14,439
5.75% 12/1/17	11,990		13,408
5.875% 2/7/42	5,117		5,815
BP Capital Markets PLC:
3.625% 5/8/14	4,599		4,828
4.5% 10/1/20	961		1,119
4.742% 3/11/21	6,000		7,044
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
Capital One Capital V 10.25% 8/15/39	$ 4,813		$ 4,957
Citigroup, Inc.:
2.25% 8/7/15	5,000		5,043
4.75% 5/19/15	11,282		12,112
6.125% 5/15/18	1,701		1,973
6.5% 8/19/13	19,655		20,671
JPMorgan Chase & Co. 3.15% 7/5/16	10,650		11,276
TECO Finance, Inc. 4% 3/15/16	1,828		1,982
			114,113
Insurance - 0.7%
American International Group, Inc.:
2.375% 8/24/15	16,000		16,028
4.875% 6/1/22	3,000		3,272
Aon Corp.:
3.125% 5/27/16	4,391		4,638
3.5% 9/30/15	3,180		3,353
Axis Capital Holdings Ltd. 5.75% 12/1/14	452		486
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (g)(m)	1,750		1,785
Hartford Financial Services Group, Inc.:
5.125% 4/15/22	11,774		12,663
5.375% 3/15/17	287		314
6.625% 4/15/42	9,968		11,222
Liberty Mutual Group, Inc.:
5% 6/1/21 (g)	8,525		8,953
6.5% 3/15/35 (g)	1,315		1,412
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	4,458		5,008
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (g)	3,576		4,078
MetLife, Inc.:
5% 6/15/15	941		1,045
6.75% 6/1/16	5,158		6,169
Metropolitan Life Global Funding I:
5.125% 4/10/13 (g)	452		464
5.125% 6/10/14 (g)	4,625		4,972
Monumental Global Funding III 5.5% 4/22/13 (g)	2,585		2,647
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (g)	4,915		6,329
Pacific Life Insurance Co. 9.25% 6/15/39 (g)	3,353		4,566
Pacific LifeCorp 6% 2/10/20 (g)	5,390		6,002
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
Prudential Financial, Inc.:
3.875% 1/14/15	$ 5,340		$ 5,663
5.15% 1/15/13	2,934		2,982
6.2% 11/15/40	2,535		2,989
7.375% 6/15/19	2,520		3,173
Symetra Financial Corp. 6.125% 4/1/16 (g)	5,955		6,479
Unum Group:
5.625% 9/15/20	3,667		4,051
5.75% 8/15/42	5,242		5,405
7.125% 9/30/16	869		1,012
			137,160
Real Estate Investment Trusts - 0.3%
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22	1,925		2,029
AvalonBay Communities, Inc. 4.95% 3/15/13	296		302
Boston Properties, Inc. 3.85% 2/1/23	4,358		4,562
BRE Properties, Inc. 5.5% 3/15/17	977		1,109
Camden Property Trust:
5.375% 12/15/13	3,103		3,257
5.875% 11/30/12	542		548
DDR Corp. 4.625% 7/15/22	2,262		2,346
Developers Diversified Realty Corp.:
4.75% 4/15/18	5,964		6,393
7.5% 4/1/17	4,622		5,411
Duke Realty LP:
4.375% 6/15/22	3,546		3,707
4.625% 5/15/13	967		987
5.4% 8/15/14	771		823
5.5% 3/1/16	3,075		3,372
6.75% 3/15/20	560		675
8.25% 8/15/19	2,489		3,148
Equity One, Inc.:
5.375% 10/15/15	948		1,023
6% 9/15/17	717		798
6.25% 12/15/14	1,000		1,084
6.25% 1/15/17	399		445
Federal Realty Investment Trust:
5.4% 12/1/13	355		373
5.9% 4/1/20	1,860		2,227
6.2% 1/15/17	501		583
HCP, Inc. 3.15% 8/1/22	7,000		6,835
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
Health Care REIT, Inc. 4.125% 4/1/19	$ 13,700		$ 14,415
HRPT Properties Trust:
5.75% 11/1/15	1,731		1,818
6.25% 6/15/17	996		1,093
6.65% 1/15/18	676		750
Washington (REIT) 5.25% 1/15/14	476		497
			70,610
Real Estate Management & Development - 0.5%
AMB Property LP 5.9% 8/15/13	2,086		2,160
BioMed Realty LP:
3.85% 4/15/16	7,000		7,316
4.25% 7/15/22	2,970		3,100
6.125% 4/15/20	2,467		2,878
Brandywine Operating Partnership LP 5.7% 5/1/17	129		141
Digital Realty Trust LP:
4.5% 7/15/15	3,650		3,866
5.25% 3/15/21	4,138		4,570
ERP Operating LP:
4.625% 12/15/21	12,970		14,876
4.75% 7/15/20	5,288		5,990
5.5% 10/1/12	382		383
5.75% 6/15/17	2,042		2,406
Liberty Property LP:
4.125% 6/15/22	3,041		3,156
4.75% 10/1/20	7,482		8,153
5.125% 3/2/15	1,229		1,320
5.5% 12/15/16	1,772		1,987
Mack-Cali Realty LP:
4.5% 4/18/22	1,907		2,021
7.75% 8/15/19	1,036		1,273
Post Apartment Homes LP 6.3% 6/1/13	3,079		3,167
Prime Property Funding, Inc.:
5.125% 6/1/15 (g)	2,258		2,304
5.5% 1/15/14 (g)	816		836
5.7% 4/15/17 (g)	1,991		2,082
Regency Centers LP:
4.95% 4/15/14	494		518
5.25% 8/1/15	1,725		1,878
5.875% 6/15/17	877		1,008
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
Simon Property Group LP:
4.2% 2/1/15	$ 2,640		$ 2,816
6.75% 5/15/14	5,698		6,163
Tanger Properties LP:
6.125% 6/1/20	9,256		10,984
6.15% 11/15/15	1,254		1,400
			98,752
TOTAL FINANCIALS			671,549
HEALTH CARE - 0.3%
Biotechnology - 0.1%
Amgen, Inc. 5.15% 11/15/41	17,224		18,836
Celgene Corp. 2.45% 10/15/15	907		939
			19,775
Health Care Providers & Services - 0.2%
Aristotle Holding, Inc.:
4.75% 11/15/21 (g)	10,952		12,640
6.125% 11/15/41 (g)	5,466		7,131
Coventry Health Care, Inc.:
5.95% 3/15/17	1,413		1,652
6.3% 8/15/14	2,925		3,170
Express Scripts, Inc. 6.25% 6/15/14	1,991		2,175
Medco Health Solutions, Inc.:
2.75% 9/15/15	1,740		1,820
4.125% 9/15/20	5,031		5,468
			34,056
Pharmaceuticals - 0.0%
Watson Pharmaceuticals, Inc. 5% 8/15/14	1,065		1,133
TOTAL HEALTH CARE			54,964
INDUSTRIALS - 0.3%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc.:
4.95% 6/1/14 (g)	846		892
6.375% 6/1/19 (g)	5,000		5,971
			6,863
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Airlines - 0.0%
Continental Airlines, Inc.:
6.648% 3/15/19	$ 2,631		$ 2,775
6.9% 7/2/19	798		863
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	1,522		1,591
8.36% 1/20/19	1,259		1,366
			6,595
Road & Rail - 0.2%
Burlington Northern Santa Fe LLC:
4.4% 3/15/42	18,995		20,003
5.05% 3/1/41	8,624		9,904
Norfolk Southern Corp. 3% 4/1/22	13,653		14,156
			44,063
TOTAL INDUSTRIALS			57,521
INFORMATION TECHNOLOGY - 0.1%
Electronic Equipment & Components - 0.0%
Tyco Electronics Group SA:
5.95% 1/15/14	3,694		3,940
6% 10/1/12	4,552		4,570
6.55% 10/1/17	1,119		1,353
			9,863
Office Electronics - 0.1%
Xerox Corp.:
1.8679% 9/13/13 (m)	10,110		10,180
4.25% 2/15/15	545		580
4.5% 5/15/21	2,447		2,572
			13,332
TOTAL INFORMATION TECHNOLOGY			23,195
MATERIALS - 0.2%
Chemicals - 0.1%
Dow Chemical Co. 7.6% 5/15/14	10,939		12,139
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	2,152		2,388
Metals & Mining - 0.1%
Anglo American Capital PLC 9.375% 4/8/14 (g)	1,278		1,433
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - continued
Corporacion Nacional del Cobre de Chile (Codelco):
3.875% 11/3/21 (g)	$ 6,889		$ 7,434
6.375% 11/30/12 (g)	1,618		1,637
Vale Overseas Ltd.:
4.375% 1/11/22	6,000		6,154
6.25% 1/23/17	2,726		3,125
			19,783
TOTAL MATERIALS			34,310
TELECOMMUNICATION SERVICES - 0.3%
Diversified Telecommunication Services - 0.2%
AT&T, Inc. 6.8% 5/15/36	9,241		12,642
BellSouth Capital Funding Corp. 7.875% 2/15/30	1,158		1,574
CenturyLink, Inc.:
6.15% 9/15/19	3,372		3,671
6.45% 6/15/21	3,263		3,644
7.6% 9/15/39	1,011		1,046
Embarq Corp. 7.995% 6/1/36	3,741		4,142
Telefonica Emisiones SAU 5.462% 2/16/21	4,994		4,594
Verizon Communications, Inc.:
6.1% 4/15/18	2,674		3,341
6.25% 4/1/37	4,611		6,123
			40,777
Wireless Telecommunication Services - 0.1%
America Movil SAB de CV 3.625% 3/30/15	1,082		1,155
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
5.15% 3/15/42	3,616		3,696
5.875% 10/1/19	8,810		10,362
6.35% 3/15/40	2,500		2,945
Vodafone Group PLC 5% 12/16/13	2,696		2,849
			21,007
TOTAL TELECOMMUNICATION SERVICES			61,784
UTILITIES - 0.7%
Electric Utilities - 0.4%
Ameren Illinois Co. 6.125% 11/15/17	333		393
AmerenUE 6.4% 6/15/17	3,507		4,209
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Cleveland Electric Illuminating Co. 5.65% 12/15/13	$ 4,829		$ 5,092
Duke Capital LLC 5.668% 8/15/14	2,413		2,601
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (g)	5,410		6,106
6.4% 9/15/20 (g)	10,602		12,253
Edison International 3.75% 9/15/17	4,275		4,571
Enel Finance International SA 5.7% 1/15/13 (g)	305		308
FirstEnergy Corp. 7.375% 11/15/31	9,223		12,171
FirstEnergy Solutions Corp.:
4.8% 2/15/15	1,798		1,920
6.05% 8/15/21	6,625		7,372
LG&E and KU Energy LLC:
2.125% 11/15/15	4,999		5,050
3.75% 11/15/20	984		1,019
Nevada Power Co.:
6.5% 5/15/18	5,290		6,602
6.5% 8/1/18	1,844		2,312
Pennsylvania Electric Co. 6.05% 9/1/17	618		710
Pepco Holdings, Inc. 2.7% 10/1/15	4,728		4,870
Sierra Pacific Power Co. 5.45% 9/1/13	1,831		1,909
			79,468
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (g)	357		420
Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21	2,360		2,533
			2,953
Independent Power Producers & Energy Traders - 0.0%
PSEG Power LLC 2.75% 9/15/16	1,703		1,777
Multi-Utilities - 0.3%
Dominion Resources, Inc.:
2.7606% 9/30/66 (m)	13,426		12,223
7.5% 6/30/66 (m)	3,828		4,139
MidAmerican Energy Holdings, Co.:
5.875% 10/1/12	3,227		3,239
6.5% 9/15/37	3,287		4,491
National Grid PLC 6.3% 8/1/16	407		470
NiSource Finance Corp.:
4.45% 12/1/21	2,779		3,007
5.25% 9/15/17	682		786
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
NiSource Finance Corp.: - continued
5.25% 2/15/43	$ 4,557		$ 5,046
5.4% 7/15/14	6,582		7,075
5.45% 9/15/20	980		1,120
5.8% 2/1/42	3,785		4,503
6.4% 3/15/18	1,557		1,864
6.8% 1/15/19	4,065		4,874
Sempra Energy 2.3% 4/1/17	7,119		7,446
Wisconsin Energy Corp. 6.25% 5/15/67 (m)	3,554		3,763
			64,046
TOTAL UTILITIES			148,244
TOTAL NONCONVERTIBLE BONDS (Cost $1,363,957)		1,517,523
U.S. Government and Government Agency Obligations - 4.9%

U.S. Treasury Inflation Protected Obligations - 1.0%
U.S. Treasury Inflation-Indexed Bonds:
0.75% 2/15/42	129,548		142,315
2.125% 2/15/41	44,924		66,568
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			208,883
U.S. Treasury Obligations - 3.9%
U.S. Treasury Bills, yield at date of purchase 0.1% 11/23/12 (i)	6,110		6,109
U.S. Treasury Bonds 3% 5/15/42	83,902		89,801
U.S. Treasury Notes:
0.5% 7/31/17	151,500		150,896
0.75% 6/30/17 (j)	40,000		40,338
0.875% 7/31/19	175,011		173,712
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
1% 8/31/19	$ 195,000		$ 194,985
1.625% 8/15/22	155,000		156,017
TOTAL U.S. TREASURY OBLIGATIONS			811,858
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $990,501)		1,020,741
U.S. Government Agency - Mortgage Securities - 8.8%

Fannie Mae - 7.2%
2.558% 6/1/36 (m)	181		194
2.777% 7/1/37 (m)	544		585
3% 4/1/27 to 8/1/42	30,176		31,504
3% 9/1/27 (h)	9,100		9,603
3% 9/1/27 (h)	9,300		9,814
3% 9/1/27 (h)	8,000		8,442
3% 9/1/42 (h)	700		726
3% 9/1/42 (h)	195,900		203,280
3% 9/1/42 (h)	11,300		11,726
3% 9/1/42 (h)	184,600		191,554
3% 10/1/42 (h)	135,900		140,487
3.5% 1/1/21 to 8/1/42	25,483		27,231
3.5% 9/1/27 (h)	4,000		4,253
3.5% 7/1/42	84		90
3.5% 7/1/42	122		130
3.5% 8/1/42	156		167
3.5% 8/1/42	144		154
3.5% 9/1/42 (h)	268,800		285,012
3.5% 9/1/42 (h)	3,700		3,923
3.5% 9/1/42 (h)	7,300		7,740
4% 9/1/26 to 4/1/42	43,345		46,757
4% 9/1/41	132		142
4% 9/1/42 (h)	77,000		82,570
4.5% 6/1/18 to 7/1/41	31,845		34,882
4.5% 9/1/42 (h)	69,000		74,682
4.5% 9/1/42 (h)	5,600		6,061
5% 12/1/25 to 5/1/40	35,141		38,607
5% 9/1/42 (h)	1,300		1,420
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
5% 9/1/42 (h)	$ 500		$ 546
5% 9/1/42 (h)	52,000		56,794
5.5% 9/1/24 to 3/1/40	40,142		44,126
5.5% 9/1/42 (h)	60,000		65,845
6% 6/1/35 to 4/1/40	52,455		57,935
6% 9/1/42 (h)	40,000		44,078
TOTAL FANNIE MAE			1,491,060
Freddie Mac - 0.8%
3.454% 10/1/35 (m)	259		278
3.5% 4/1/32 to 4/1/42	9,965		10,669
4% 6/1/24 to 11/1/41	16,220		17,650
4% 9/1/41	870		946
4% 9/1/42 (h)	23,000		24,606
4.5% 7/1/25 to 10/1/41	45,001		48,942
5% 3/1/19 to 9/1/40	29,059		31,672
5.5% 1/1/28 to 3/1/40	20,160		21,973
6% 7/1/37 to 8/1/37	1,077		1,185
6.5% 3/1/36	1,330		1,504
TOTAL FREDDIE MAC			159,425
Ginnie Mae - 0.8%
3% 10/1/42 (h)	11,300		11,837
3.5% 11/15/41 to 3/15/42	10,016		10,859
3.5% 9/1/42 (h)	1,200		1,299
4% 1/15/25 to 11/15/41	28,145		30,737
4.5% 5/15/39 to 4/15/41	53,616		59,455
5% 3/15/39 to 9/15/41	24,680		27,630
5.5% 12/15/31 to 1/15/39	1,304		1,460
6% 2/15/34 to 9/20/38	13,321		15,050
TOTAL GINNIE MAE			158,327
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,790,231)		1,808,812
Asset-Backed Securities - 0.3%
	Principal Amount (000s)		Value (000s)
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7055% 4/25/35 (m)	$ 1,086		$ 836
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1 Class M2, 1.8855% 3/25/34 (m)	424		346
Series 2005-HE2 Class M2, 0.6855% 4/25/35 (m)	89		85
Advanta Business Card Master Trust Series 2006-C1 Class C1, 0.6758% 10/20/14 (m)	688		7
Ally Master Owner Trust Series 2012-3 Class A2, 1.21% 6/15/17	32,660		32,719
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 0.9355% 12/25/33 (m)	85		64
Series 2004-R2 Class M3, 0.7855% 4/25/34 (m)	120		47
Series 2005-R2 Class M1, 0.6855% 4/25/35 (m)	2,266		2,030
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.0262% 3/25/34 (m)	53		42
Series 2004-W11 Class M2, 0.9355% 11/25/34 (m)	616		433
Series 2004-W7 Class M1, 0.7855% 5/25/34 (m)	1,600		1,136
Series 2006-W4 Class A2C, 0.3955% 5/25/36 (m)	1,429		432
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.0605% 4/25/34 (m)	2,575		2,120
Series 2006-HE2 Class M1, 0.6055% 3/25/36 (m)	64		0*
Axon Financial Funding Ltd. Series 2007-1 Class A1, 0.9743% 4/4/17 (d)(g)(m)	6,960		0
Capital Trust Ltd. Series 2004-1:
Class A2, 0.687% 7/20/39 (g)(m)	138		125
Class B, 0.987% 7/20/39 (g)(m)	290		130
Class C, 1.337% 7/20/39 (g)(m)	372		6
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3755% 12/25/36 (m)	1,978		788
Citigroup Mortgage Loan Trust Series 2005-HE4 Class A2C, 0.5055% 10/25/35 (m)	447		445
Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3662% 9/25/37 (m)	129		128
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (g)	363		0
Countrywide Home Loans, Inc.:
Series 2004-3 Class M4, 1.2055% 4/25/34 (m)	175		80
Series 2004-4 Class M2, 1.0305% 6/25/34 (m)	645		371
Fannie Mae Series 2004-T5 Class AB3, 1.1466% 5/28/35 (m)	43		27
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4105% 8/25/34 (m)	319		197
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
First Franklin Mortgage Loan Trust:
Series 2004-FF2 Class M3, 1.0605% 3/25/34 (m)	$ 25		$ 10
Series 2006-FF14 Class A2, 0.2955% 10/25/36 (m)	462		457
Fremont Home Loan Trust Series 2005-A:
Class M3, 0.9705% 1/25/35 (m)	1,041		325
Class M4, 1.2555% 1/25/35 (m)	399		53
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8069% 2/25/47 (g)(m)	3,122		1,284
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (g)	624		602
GE Business Loan Trust:
Series 2003-1 Class A, 0.6695% 4/15/31 (g)(m)	216		203
Series 2006-2A:
Class A, 0.4195% 11/15/34 (g)(m)	1,457		1,254
Class B, 0.5195% 11/15/34 (g)(m)	526		364
Class C, 0.6195% 11/15/34 (g)(m)	874		498
Class D, 0.9895% 11/15/34 (g)(m)	332		103
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7855% 9/25/46 (g)(m)	1,540		1,481
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5555% 8/25/33 (m)	376		293
Series 2003-3 Class M1, 1.5255% 8/25/33 (m)	745		623
Series 2003-5 Class A2, 0.9355% 12/25/33 (m)	36		30
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4255% 1/25/37 (m)	1,642		549
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.5355% 7/25/36 (m)	3,185		44
Series 2007-CH1 Class AV4, 0.3655% 11/25/36 (m)	1,641		1,507
Keycorp Student Loan Trust:
Series 1999-A Class A2, 0.7906% 12/27/29 (m)	570		512
Series 2006-A Class 2C, 1.6106% 3/27/42 (m)	2,909		138
Marriott Vacation Club Owner Trust Series 2006-2A:
Class B, 5.442% 10/20/28 (g)	9		9
Class C, 5.691% 10/20/28 (g)	4		4
Class D, 6.01% 10/20/28 (g)	48		49
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.5355% 5/25/37 (m)	861		7
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9855% 7/25/34 (m)	163		104
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.2105% 7/25/34 (m)	506		336
Series 2006-FM1 Class A2B, 0.3455% 4/25/37 (m)	1,582		1,428
Series 2006-OPT1 Class A1A, 0.4955% 6/25/35 (m)	2,995		2,411
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.5755% 8/25/34 (m)	$ 63		$ 50
Series 2005-NC1 Class M1, 0.6755% 1/25/35 (m)	439		264
Series 2005-NC2 Class B1, 1.4055% 3/25/35 (m)	457		54
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/27/14 (o)	1,638		21
Series 2006-4 Class D, 1.3355% 5/25/32 (m)	2,225		0*
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7455% 9/25/35 (m)	1,566		1,012
Ocala Funding LLC:
Series 2005-1A Class A, 1.737% 3/20/10 (d)(g)(m)	621		0
Series 2006-1A Class A, 1.637% 3/20/11 (d)(g)(m)	1,290		0
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 1.4855% 9/25/34 (m)	585		255
Class M4, 1.6855% 9/25/34 (m)	750		170
Series 2005-WCH1 Class M4, 1.0655% 1/25/36 (m)	1,620		926
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0355% 4/25/33 (m)	6		5
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0305% 3/25/35 (m)	1,392		1,009
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3968% 3/20/19 (FGIC Insured) (g)(m)	444		434
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4179% 6/15/33 (m)	1,396		845
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (g)	655		0
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9605% 9/25/34 (m)	70		24
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (g)	475		487
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0955% 9/25/34 (m)	32		29
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0196% 4/6/42 (g)(m)	2,177		27
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (g)	974		0
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (g)	$ 8		$ 0
Whinstone Capital Management Ltd. Series 1A Class B3, 2.2511% 10/25/44 (g)(m)	1,964		1,296
TOTAL ASSET-BACKED SECURITIES (Cost $60,917)		64,180
Collateralized Mortgage Obligations - 0.2%

Private Sponsor - 0.2%
Bayview Commercial Asset Trust Series 2006-3A, Class IO, 3.9199% 10/25/36 (g)(m)(o)	27,699		979
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7955% 1/25/35 (m)	1,962		1,689
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (m)	1,468		616
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7385% 7/16/34 (g)(m)	8		8
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.623% 10/25/34 (m)	1,183		1,139
Granite Master Issuer PLC:
floater:
Series 2006-1A Class A5, 0.377% 12/20/54 (g)(m)	6,713		6,545
Series 2006-3 Class M2, 0.517% 12/20/54 (m)	5,460		4,750
Series 2006-4:
Class B1, 0.417% 12/20/54 (m)	4,556		4,157
Class M1, 0.577% 12/20/54 (m)	1,198		1,042
Series 2007-1:
Class 1B1, 0.377% 12/20/54 (m)	4,650		4,243
Class 1M1, 0.537% 12/20/54 (m)	1,611		1,402
Class 2M1, 0.737% 12/20/54 (m)	2,067		1,798
Series 2007-2 Class 2C1, 1.098% 12/17/54 (m)	2,864		2,162
sequential payer Series 2006-3 Class B2, 0.407% 12/20/54 (m)	5,461		4,983
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9051% 1/20/44 (m)	472		374
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (m)	1,532		1,620
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.6881% 8/25/36 (m)	1,956		1,506
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39	591		682
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4455% 5/25/47 (m)	$ 848		$ 543
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4055% 2/25/37 (m)	1,476		1,158
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5255% 7/25/35 (m)	2,048		1,665
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5903% 7/10/35 (g)(m)	1,153		919
Class B6, 3.0903% 7/10/35 (g)(m)	245		194
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6855% 6/25/33 (g)(m)	221		212
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (g)	185		62
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.6169% 7/20/34 (m)	38		33
Structured Asset Securities Corp. Series 2003-15A Class 4A, 5.3743% 4/25/33 (m)	333		311
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4355% 9/25/36 (m)	3,513		3,021
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $35,173)		47,813
Commercial Mortgage Securities - 1.9%

Asset Securitization Corp. Series 1997-D5:
Class A6, 7.1354% 2/14/43 (m)	153		154
Class PS1, 1.2297% 2/14/43 (m)(o)	747		22
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.7087% 5/10/45 (m)	1,083		1,146
Series 2006-5:
Class A2, 5.317% 9/10/47	3,817		3,838
Class A3, 5.39% 9/10/47	1,832		1,944
Series 2006-6 Class A3, 5.369% 10/10/45	2,628		2,872
Series 2007-4 Class A3, 5.7921% 2/10/51 (m)	1,291		1,342
Series 2006-6 Class E, 5.619% 10/10/45 (g)	759		76
Series 2007-3:
Class A3, 5.6612% 6/10/49 (m)	2,194		2,237
Class A4, 5.6612% 6/10/49 (m)	2,739		3,133
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2001-1 Class A4, 5.451% 1/15/49	$ 2,878		$ 3,297
Series 2004-2 Class A4, 4.153% 11/10/38	1,406		1,445
Series 2005-1 Class A3, 4.877% 11/10/42	469		469
Series 2001-3 Class H, 6.562% 4/11/37 (g)	735		735
Series 2005-3 Class A3B, 5.09% 7/10/43 (m)	4,082		4,299
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class C, 0.5495% 3/15/22 (g)(m)	564		558
Class D, 0.5995% 3/15/22 (g)(m)	572		564
Class E, 0.6395% 3/15/22 (g)(m)	472		463
Class F, 0.7095% 3/15/22 (g)(m)	676		656
Class G, 0.7695% 3/15/22 (g)(m)	438		416
Series 2006-BIX1:
Class D, 0.4495% 10/15/19 (g)(m)	115		111
Class E, 0.4795% 10/15/19 (g)(m)	956		903
Class F, 0.5495% 10/15/19 (g)(m)	2,868		2,696
Class G, 0.5695% 10/15/19 (g)(m)	1,350		1,255
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.0855% 12/25/33 (g)(m)	65		47
Series 2004-1:
Class A, 0.5955% 4/25/34 (g)(m)	1,120		988
Class B, 2.1355% 4/25/34 (g)(m)	125		73
Class M1, 0.7955% 4/25/34 (g)(m)	101		72
Class M2, 1.4355% 4/25/34 (g)(m)	93		65
Series 2005-2A:
Class A1, 0.5455% 8/25/35 (g)(m)	1,525		1,100
Class M1, 0.6655% 8/25/35 (g)(m)	83		49
Class M2, 0.7155% 8/25/35 (g)(m)	137		74
Class M3, 0.7355% 8/25/35 (g)(m)	76		37
Series 2005-3A:
Class A2, 0.6355% 11/25/35 (g)(m)	536		421
Class M1, 0.6755% 11/25/35 (g)(m)	70		40
Class M2, 0.7255% 11/25/35 (g)(m)	89		48
Class M3, 0.7455% 11/25/35 (g)(m)	80		41
Class M4, 0.8355% 11/25/35 (g)(m)	100		47
Series 2005-4A:
Class A2, 0.6255% 1/25/36 (g)(m)	1,392		986
Class B1, 1.6355% 1/25/36 (g)(m)	120		18
Class M1, 0.6855% 1/25/36 (g)(m)	449		277
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2005-4A:
Class M2, 0.7055% 1/25/36 (g)(m)	$ 135		$ 78
Class M3, 0.7355% 1/25/36 (g)(m)	197		105
Class M4, 0.8455% 1/25/36 (g)(m)	109		53
Class M5, 0.8855% 1/25/36 (g)(m)	109		36
Class M6, 0.9355% 1/25/36 (g)(m)	116		31
Series 2006-1:
Class A2, 0.5955% 4/25/36 (g)(m)	215		159
Class M1, 0.6155% 4/25/36 (g)(m)	77		46
Class M2, 0.6355% 4/25/36 (g)(m)	81		45
Class M3, 0.6555% 4/25/36 (g)(m)	70		36
Class M4, 0.7555% 4/25/36 (g)(m)	40		18
Class M5, 0.7955% 4/25/36 (g)(m)	39		14
Class M6, 0.8755% 4/25/36 (g)(m)	77		26
Series 2006-2A:
Class A1, 0.4655% 7/25/36 (g)(m)	3,201		2,257
Class A2, 0.5155% 7/25/36 (g)(m)	190		135
Class B1, 1.1055% 7/25/36 (g)(m)	71		10
Class B3, 2.9355% 7/25/36 (g)(m)	67		2
Class M1, 0.5455% 7/25/36 (g)(m)	200		65
Class M2, 0.5655% 7/25/36 (g)(m)	141		42
Class M3, 0.5855% 7/25/36 (g)(m)	117		26
Class M4, 0.6555% 7/25/36 (g)(m)	79		17
Class M5, 0.7055% 7/25/36 (g)(m)	97		19
Class M6, 0.7755% 7/25/36 (g)(m)	145		23
Series 2006-3A:
Class B1, 1.0355% 10/25/36 (g)(m)	4		0*
Class M4, 0.6655% 10/25/36 (g)(m)	157		24
Class M5, 0.7155% 10/25/36 (g)(m)	188		12
Class M6, 0.7955% 10/25/36 (g)(m)	369		9
Series 2006-4A:
Class A1, 0.4655% 12/25/36 (g)(m)	809		549
Class A2, 0.5055% 12/25/36 (g)(m)	3,952		1,841
Class B1, 0.9355% 12/25/36 (g)(m)	78		2
Class M1, 0.5255% 12/25/36 (g)(m)	263		54
Class M2, 0.5455% 12/25/36 (g)(m)	175		27
Class M3, 0.5755% 12/25/36 (g)(m)	176		24
Class M4, 0.6355% 12/25/36 (g)(m)	213		24
Class M5, 0.6755% 12/25/36 (g)(m)	195		16
Class M6, 0.7555% 12/25/36 (g)(m)	175		10
Series 2007-1 Class A2, 0.5055% 3/25/37 (g)(m)	810		436
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-2A:
Class A1, 0.5055% 7/25/37 (g)(m)	$ 771		$ 434
Class A2, 0.5555% 7/25/37 (g)(m)	723		240
Class B1, 1.8355% 7/25/37 (g)(m)	105		1
Class M1, 0.6055% 7/25/37 (g)(m)	253		66
Class M2, 0.6455% 7/25/37 (g)(m)	139		17
Class M3, 0.7255% 7/25/37 (g)(m)	140		14
Class M4, 0.8855% 7/25/37 (g)(m)	278		22
Class M5, 0.9855% 7/25/37 (g)(m)	245		17
Class M6, 1.2355% 7/25/37 (g)(m)	311		16
Series 2007-3:
Class A2, 0.5255% 7/25/37 (g)(m)	827		420
Class B1, 1.1855% 7/25/37 (g)(m)	184		12
Class B2, 1.8355% 7/25/37 (g)(m)	433		24
Class M1, 0.5455% 7/25/37 (g)(m)	165		38
Class M2, 0.5755% 7/25/37 (g)(m)	176		31
Class M3, 0.6055% 7/25/37 (g)(m)	276		38
Class M4, 0.7355% 7/25/37 (g)(m)	434		51
Class M5, 0.8355% 7/25/37 (g)(m)	227		23
Class M6, 1.0355% 7/25/37 (g)(m)	173		15
Series 2007-4A:
Class M1, 1.1855% 9/25/37 (g)(m)	293		18
Class M2, 1.2855% 9/25/37 (g)(m)	293		15
Class M4, 1.8355% 9/25/37 (g)(m)	742		30
Class M5, 1.9855% 9/25/37 (g)(m)	742		23
Class M6, 2.1855% 9/25/37 (g)(m)	486		12
Series 2004-1, Class IO, 1.25% 4/25/34 (g)(o)	2,255		91
Series 2007-5A, Class IO, 4.1484% 10/25/37 (g)(m)(o)	5,767		499
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class H, 0.8895% 3/15/19 (g)(m)	439		424
Class J, 1.0895% 3/15/19 (g)(m)	447		409
Series 2007-BBA8:
Class D, 0.4895% 3/15/22 (g)(m)	653		590
Class E, 0.5395% 3/15/22 (g)(m)	3,391		2,994
Class F, 0.5895% 3/15/22 (g)(m)	2,081		1,795
Class G, 0.6395% 3/15/22 (g)(m)	534		450
Class H, 0.7895% 3/15/22 (g)(m)	653		537
Class J, 0.9395% 3/15/22 (g)(m)	653		521
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bear Stearns Commercial Mortgage Securities Trust: - continued
sequential payer:
Series 2004-PWR3 Class A3, 4.487% 2/11/41	$ 301		$ 303
Series 2007-PW15 Class AAB, 5.315% 2/11/44	3,274		3,413
Series 2007-PW16:
Class A4, 5.7154% 6/11/40 (m)	769		901
Class AAB, 5.7154% 6/11/40 (m)	6,095		6,557
Series 2007-PW18:
Class A2, 5.613% 6/11/50	280		286
Class A4, 5.7% 6/11/50	5,820		6,827
Series 2006-PW13 Class A3, 5.518% 9/11/41	4,638		4,849
Series 2006-PW14 Class X2, 0.6677% 12/11/38 (g)(m)(o)	13,836		113
Series 2006-T22 Class A4, 5.5391% 4/12/38 (m)	164		188
Series 2006-T24 Class X2, 0.4455% 10/12/41 (g)(m)(o)	3,433		16
Series 2007-PW18 Class X2, 0.3156% 6/11/50 (g)(m)(o)	92,485		864
Series 2007-T28 Class X2, 0.1576% 9/11/42 (g)(m)(o)	49,759		265
C-BASS Trust floater Series 2006-SC1 Class A, 0.5055% 5/25/36 (g)(m)	772		668
CDC Commercial Mortgage Trust Series 2002-FX1:
Class G, 6.625% 5/15/35 (g)	1,544		1,592
Class XCL, 1.331% 5/15/35 (g)(m)(o)	5,266		103
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 0.5693% 8/15/21 (g)(m)	127		126
Class H, 0.6093% 8/15/21 (g)(m)	468		447
Series 2007-C6:
Class A2, 5.7002% 12/10/49 (m)	1,062		1,062
Class A4, 5.7002% 12/10/49 (m)	4,371		5,103
Series 2008-C7 Class A2B, 6.0731% 12/10/49 (m)	839		860
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49	16,063		18,109
Series 2007-CD4 Class A3, 5.293% 12/11/49	1,279		1,352
Cobalt CMBS Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A3, 5.8108% 5/15/46 (m)	1,314		1,412
Series 2006-C1 Class B, 5.359% 8/15/48	3,942		572
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
COMM pass-thru certificates:
floater:
Series 2005-F10A Class J, 1.0895% 4/15/17 (g)(m)	$ 138		$ 126
Series 2005-FL11:
Class C, 0.5395% 11/15/17 (g)(m)	807		766
Class D, 0.5795% 11/15/17 (g)(m)	42		39
Class E, 0.6295% 11/15/17 (g)(m)	149		137
Class F, 0.6895% 11/15/17 (g)(m)	164		149
Class G, 0.7395% 11/15/17 (g)(m)	114		101
Series 2006-CN2A:
Class A2FL, 0.4643% 2/5/19 (g)(m)	1,454		1,422
Class AJFL, 0.5043% 2/5/19 (m)	890		870
Series 2006-FL12 Class AJ, 0.3695% 12/15/20 (g)(m)	1,872		1,709
sequential payer:
Series 2006-C8 Class A3, 5.31% 12/10/46	3,744		3,821
Series 2006-CN2A:
Class A2FX, 5.449% 2/5/19 (g)	1,717		1,721
Class AJFX, 5.478% 2/5/19 (g)	4,140		4,146
Series 2007-C9 Class A4, 5.8111% 12/10/49 (m)	2,907		3,432
Series 2006-C8 Class XP, 0.4663% 12/10/46 (m)(o)	16,244		101
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	1,596		1,803
Series 2007-C2:
Class A2, 5.448% 1/15/49 (m)	3,324		3,354
Class A3, 5.542% 1/15/49 (m)	2,628		2,933
Series 2007-C3 Class A4, 5.6792% 6/15/39 (m)	790		872
Series 2006-C4 Class AAB, 5.439% 9/15/39	3,838		3,887
Series 2006-C5 Class ASP, 0.6643% 12/15/39 (m)(o)	11,239		92
Series 2007-C5 Class A4, 5.695% 9/15/40 (m)	1,189		1,328
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5895% 4/15/22 (g)(m)	4,688		3,715
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer Series 2004-C1 Class A4, 4.75% 1/15/37	600		626
Series 2001-CK6 Class AX, 0.9973% 8/15/36 (m)(o)	344		0*
Series 2001-CKN5 Class AX, 1.7514% 9/15/34 (g)(m)(o)	1,187		1
Series 2006-C1 Class A3, 5.4157% 2/15/39 (m)	4,694		4,805
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1:
Class B, 0.3895% 2/15/22 (g)(m)	$ 497		$ 465
Class C:
0.4095% 2/15/22 (g)(m)	2,047		1,896
0.5095% 2/15/22 (g)(m)	731		662
Class F, 0.5595% 2/15/22 (g)(m)	1,462		1,310
Series 2007-C1:
Class ASP, 0.3813% 2/15/40 (m)(o)	19,061		107
Class B, 5.487% 2/15/40 (g)(m)	2,009		256
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (g)	123		123
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	8,890		9,960
Series 2001-1 Class X1, 1.4912% 5/15/33 (g)(m)(o)	863		11
Series 2007-C1 Class XP, 0.1588% 12/10/49 (m)(o)	20,244		66
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.4343% 11/5/21 (g)(m)	494		469
sequential payer:
Series 2007-GG11 Class A2, 5.597% 12/10/49	2,296		2,365
Series 2007-GG9 Class A4, 5.444% 3/10/39	17,490		19,797
Series 2006-GG7 Class A3, 5.8738% 7/10/38 (m)	548		548
Series 2007-GG11 Class A1, 0.2519% 12/10/49 (g)(m)(o)	25,003		129
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class E, 0.6158% 6/6/20 (g)(m)	298		296
Class F, 0.6858% 6/6/20 (g)(m)	916		903
Series 2007-EOP:
Class C, 2.0056% 3/6/20 (g)(m)	1,650		1,634
Class D, 2.2018% 3/6/20 (g)(m)	3,090		3,061
Class F, 2.6334% 3/6/20 (g)(m)	136		135
Class G, 2.7903% 3/6/20 (g)(m)	67		66
Class H, 3.3004% 3/6/20 (g)(m)	62		62
Class J, 4.0852% 3/6/20 (g)(m)	85		85
Series 2006-GG6 Class A2, 5.506% 4/10/38	3,167		3,170
GS Mortgage Securities Trust sequential payer:
Series 2006-GG8 Class A2, 5.479% 11/10/39	393		399
Series 2007-GG10 Class A2, 5.778% 8/10/45	294		298
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class B, 0.4095% 11/15/18 (g)(m)	$ 655		$ 638
Class C, 0.4495% 11/15/18 (g)(m)	465		448
Class D, 0.4695% 11/15/18 (g)(m)	207		195
Class E, 0.5195% 11/15/18 (g)(m)	297		274
Class F, 0.5695% 11/15/18 (g)(m)	446		394
Class G, 0.5995% 11/15/18 (g)(m)	386		326
Class H, 0.7395% 11/15/18 (g)(m)	297		239
sequential payer:
Series 2006-CB14 Class A3B, 5.4914% 12/12/44 (m)	3,229		3,301
Series 2006-LDP8 Class A4, 5.399% 5/15/45	837		962
Series 2006-LDP9:
Class A2, 5.134% 5/15/47 (m)	419		440
Class A3, 5.336% 5/15/47	5,183		5,861
Series 2007-CB19 Class A4, 5.7337% 2/12/49 (m)	4,608		5,342
Series 2007-LD11 Class A2, 5.7998% 6/15/49 (m)	2,882		2,968
Series 2007-LDPX:
Class A2 S, 5.305% 1/15/49	1,929		1,944
Class A3, 5.42% 1/15/49	18,477		21,088
Series 2005-LDP3 Class A3, 4.959% 8/15/42	1,723		1,747
Series 2006-CB17 Class A3, 5.45% 12/12/43	344		345
Series 2007-CB19:
Class B, 5.7337% 2/12/49 (m)	112		37
Class C, 5.7337% 2/12/49 (m)	294		62
Class D, 5.7337% 2/12/49 (m)	309		63
Series 2007-LDP10:
Class CS, 5.466% 1/15/49 (m)	108		9
Class ES, 5.5652% 1/15/49 (g)(m)	679		31
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.8846% 7/15/44 (m)	1,054		1,239
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	178		178
Series 2006-C6 Class A2, 5.262% 9/15/39 (m)	72		72
Series 2006-C7:
Class A2, 5.3% 11/15/38	764		777
Class A3, 5.347% 11/15/38	979		1,121
Series 2007-C1 Class A4, 5.424% 2/15/40	4,069		4,678
Series 2007-C2 Class A3, 5.43% 2/15/40	2,923		3,318
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
LB-UBS Commercial Mortgage Trust: - continued
Series 2006-C6 Class XCP, 0.6747% 9/15/39 (m)(o)	$ 5,603		$ 39
Series 2007-C1 Class XCP, 0.4243% 2/15/40 (m)(o)	2,095		13
Series 2007-C6 Class A4, 5.858% 7/15/40 (m)	1,642		1,919
Series 2007-C7 Class XCP, 0.2615% 9/15/45 (m)(o)	84,375		552
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.4695% 9/15/21 (g)(m)	421		400
Class E, 0.5295% 9/15/21 (g)(m)	1,518		1,404
Class F, 0.5795% 9/15/21 (g)(m)	1,255		1,129
Class G, 0.5995% 9/15/21 (g)(m)	2,478		2,169
Class H, 0.6395% 9/15/21 (g)(m)	639		537
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.3733% 1/12/44 (g)(m)	1,143		751
Series 2006-C1 Class A2, 5.6141% 5/12/39 (m)	1,164		1,190
Series 2007-C1 Class A4, 5.8461% 6/12/50 (m)	4,974		5,613
Series 2008-C1 Class A4, 5.69% 2/12/51	2,805		3,289
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.3688% 12/12/49 (m)	132		132
sequential payer:
Series 2006-1 Class A3, 5.4796% 2/12/39 (m)	1,394		1,393
Series 2006-4 Class ASB, 5.133% 12/12/49 (m)	961		1,011
Series 2007-5:
Class A3, 5.364% 8/12/48	512		519
Class B, 5.479% 8/12/48	3,942		968
Series 2007-6 Class A4, 5.485% 3/12/51 (m)	10,897		12,129
Series 2007-7 Class A4, 5.7386% 6/12/50 (m)	4,599		5,029
Series 2006-3 Class ASB, 5.382% 7/12/46 (m)	4,518		4,656
Series 2006-4 Class XP, 0.617% 12/12/49 (m)(o)	20,146		278
Series 2007-6 Class B, 5.635% 3/12/51 (m)	1,314		329
Series 2007-7 Class B, 5.7386% 6/12/50 (m)	114		8
Series 2007-8 Class A3, 5.9634% 8/12/49 (m)	1,133		1,293
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.44% 7/15/19 (g)(m)	393		247
Series 2007-XLFA:
Class C, 0.4% 10/15/20 (g)(m)	754		682
Class D, 0.43% 10/15/20 (g)(m)	732		648
Class E, 0.49% 10/15/20 (g)(m)	916		779
Class F, 0.54% 10/15/20 (g)(m)	550		456
Class G, 0.58% 10/15/20 (g)(m)	680		528
Class H, 0.67% 10/15/20 (g)(m)	428		278
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust: - continued
floater:
Series 2007-XLFA:
Class J, 0.82% 10/15/20 (g)(m)	$ 250		$ 100
sequential payer:
Series 2005-IQ9 Class A3, 4.54% 7/15/56	1,242		1,258
Series 2007-HQ11 Class A31, 5.439% 2/12/44 (m)	666		701
Series 2006-HQ10 Class X2, 0.4951% 11/12/41 (g)(m)(o)	8,835		9
Series 2006-IQ11:
Class A3, 5.6877% 10/15/42 (m)	404		410
Class A4, 5.7237% 10/15/42 (m)	394		447
Series 2006-T23 Class A3, 5.809% 8/12/41 (m)	671		697
Series 2007-IQ14:
Class A4, 5.692% 4/15/49 (m)	1,971		2,224
Class AAB, 5.654% 4/15/49	3,406		3,675
Class B, 5.7187% 4/15/49 (m)	323		96
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2006-WL7A:
Class E, 0.518% 9/15/21 (g)(m)	1,791		1,540
Class F, 0.578% 9/15/21 (g)(m)	2,061		1,690
Class G, 0.598% 9/15/21 (g)(m)	1,953		1,523
Class J, 0.838% 9/15/21 (g)(m)	434		286
Series 2007-WHL8:
Class F, 0.7195% 6/15/20 (g)(m)	4,581		3,372
Class LXR1, 0.9395% 6/15/20 (g)(m)	162		140
sequential payer:
Series 2003-C7 Class A1, 4.241% 10/15/35 (g)	834		840
Series 2003-C8 Class A3, 4.445% 11/15/35	4,548		4,610
Series 2006-C29 Class A3, 5.313% 11/15/48	3,490		3,655
Series 2007-C30:
Class A3, 5.246% 12/15/43	419		423
Class A4, 5.305% 12/15/43	386		415
Class A5, 5.342% 12/15/43	17,206		19,046
Series 2007-C31 Class A4, 5.509% 4/15/47	12,470		14,134
Series 2003-C6 Class G, 5.125% 8/15/35 (g)(m)	624		623
Series 2005-C19 Class B, 4.892% 5/15/44	1,314		1,214
Series 2005-C22:
Class B, 5.3564% 12/15/44 (m)	2,914		2,018
Class F, 5.3564% 12/15/44 (g)(m)	2,191		429
Series 2006-C23 Class A5, 5.416% 1/15/45 (m)	7,210		8,125
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2007-C30:
Class C, 5.483% 12/15/43 (m)	$ 3,942		$ 1,110
Class D, 5.513% 12/15/43 (m)	2,102		426
Class XP, 0.4723% 12/15/43 (g)(m)(o)	11,372		83
Series 2007-C31 Class C, 5.6821% 4/15/47 (m)	361		81
Series 2007-C31A Class A2, 5.421% 4/15/47	7,547		7,829
Series 2007-C32:
Class D, 5.7418% 6/15/49 (m)	987		266
Class E, 5.7418% 6/15/49 (m)	1,556		367
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 5.9003% 2/15/51 (m)	870		1,010
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $320,186)		394,726
Municipal Securities - 0.4%

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (m)	2,300		2,388
California Gen. Oblig.:
Series 2009, 7.35% 11/1/39	985		1,279
7.3% 10/1/39	10,620		13,706
7.5% 4/1/34	8,780		11,439
7.55% 4/1/39	5,410		7,243
7.6% 11/1/40	6,110		8,281
7.625% 3/1/40	2,530		3,403
Illinois Gen. Oblig.:
Series 2010, 4.421% 1/1/15	5,980		6,358
Series 2010-1, 6.63% 2/1/35	12,295		13,671
Series 2010-3:
6.725% 4/1/35	2,025		2,274
7.35% 7/1/35	1,640		1,948
Series 2011, 5.877% 3/1/19	2,005		2,242
5.1% 6/1/33	5,220		5,047
TOTAL MUNICIPAL SECURITIES (Cost $75,809)		79,279
Bank Notes - 0.0%

Wachovia Bank NA 6% 11/15/17 (Cost $3,586)	3,319		3,975

Fixed-Income Funds - 14.5%
	Shares		Value (000s)
Fidelity Corporate Bond 1-10 Year Central Fund (n)	3,538,209		$ 401,162
Fidelity High Income Central Fund 2 (n)	5,394,857		614,582
Fidelity Mortgage Backed Securities Central Fund (n)	17,940,819		1,971,158
TOTAL FIXED-INCOME FUNDS (Cost $2,752,455)		2,986,902
Money Market Funds - 2.3%

Fidelity Cash Central Fund, 0.17% (b)	403,928,601		403,929
Fidelity Securities Lending Cash Central Fund, 0.18% (b)(c)	69,757,970		69,758
TOTAL MONEY MARKET FUNDS (Cost $473,687)		473,687
TOTAL INVESTMENT PORTFOLIO - 104.4% (Cost $18,621,067)			21,529,875
NET OTHER ASSETS (LIABILITIES) - (4.4)%			(911,147)
NET ASSETS - 100%		$ 20,618,728
TBA Sale Commitments
	Principal Amount (000s)
Fannie Mae
3% 9/1/42	$ (183,000)		(189,894)
3% 9/1/42	(11,300)		(11,726)
3% 9/1/42	(2,300)		(2,387)
3% 9/1/42	(11,300)		(11,726)
3% 9/1/42	(184,600)		(191,554)
3.5% 9/1/42	(139,000)		(147,383)
4% 9/1/42	(31,400)		(33,672)
4.5% 9/1/42	(30,000)		(32,470)
TBA Sale Commitments - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
5% 9/1/42	$ (36,800)		$ (40,192)
5.5% 9/1/42	(17,000)		(18,656)
6% 9/1/42	(43,000)		(47,384)
TOTAL FANNIE MAE			(727,044)
Freddie Mac
5% 9/1/42	(7,000)		(7,588)
Ginnie Mae
3.5% 9/1/42	(7,300)		(7,902)
3.5% 9/1/42	(3,700)		(4,005)
TOTAL GINNIE MAE			(11,907)
TOTAL TBA SALE COMMITMENTS (Proceeds $743,971)		$ (746,539)

Futures Contracts
	Expiration Date	Underlying Face Amount at Value (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Purchased
Equity Index Contracts
1,537 CME E-mini S&P 500 Index Contracts	Sept. 2012	$ 107,982	$ 7,700

The face value of futures purchased as a percentage of net assets is 0.5%

Swap Agreements
	Expiration Date	Notional Amount (000s) (l)	Value (000s)
Credit Default Swaps
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $3,215,000) (k)	Sept. 2037	$ 5,588	$ (5,303)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,992,000) (k)	Sept. 2037	4,551	(4,318)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $407,000) (k)	Sept. 2037	602	(572)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Morgan Stanley, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,992,000) (k)	Sept. 2037	4,551	(4,318)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,882,000) (k)	Sept. 2037	4,383	(4,160)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)(l)	Value (000s)
Credit Default Swaps - continued
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,559,000) (k)	Sept. 2037	$ 3,848	$ (3,651)
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.102% 11/25/34 (Rating-C) (k)	Dec. 2034	562	(542)
		$ 24,085	$ (22,864)

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(d) Non-income producing - Security is in default.

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

(f) Affiliated company

(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $376,199,000 or 1.8% of net assets.

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

(i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $5,699,000.

(j) 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 $27,704,000.

(k) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference. The underlying reference may be a single-name issuer or a traded credit index. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. For swaps on a traded credit index, ratings represent a weighted average of the ratings of all securities included in the index. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk.

(l) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

(m) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

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

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

(p) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund.

(q) 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 $22,582,000 or 0.1% of net assets.

Additional information on each restricted holding is as follows:

Security	Acquisition Date	Acquisition Cost (000s)
Halcon Resources Corp.	3/1/12	$ 8,190
Jumptap, Inc. Series G	6/29/12	$ 6,429
Legend Pictures LLC	9/23/10	$ 6,428

* Amount represents less than $1,000.

Affiliated Central Funds

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

Fund	Income earned (Amounts in thousands)
Fidelity Cash Central Fund	$ 767
Fidelity Corporate Bond 1-10 Year Central Fund	16,659
Fidelity High Income Central Fund 2	39,969
Fidelity Mortgage Backed Securities Central Fund	44,833
Fidelity Securities Lending Cash Central Fund	1,552
Total	$ 103,780

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

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Corporate Bond 1-10 Year Central Fund	$ 388,778	$ -	$ -	$ 401,162	58.3%
Fidelity High Income Central Fund 2	533,410	39,969	-	614,582	83.0%
Fidelity Mortgage Backed Securities Central Fund	1,480,565	541,089	76,845	1,971,158	12.6%
Total	$ 2,402,753	$ 581,058	$ 76,845	$ 2,986,902

Other Affiliated Issuers

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

Affiliate (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Dividend Income	Value, end of period
Kayak Software Corp.	$ -	$ 5,795	$ -	$ -	$ 5,542

Other Information

The following is a summary of the inputs used, as of August 31, 2012, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Equities:
Consumer Discretionary	$ 1,315,967	$ 1,300,374	$ -	$ 15,593
Consumer Staples	1,479,674	1,424,505	55,169	-
Energy	1,477,952	1,477,952	-	-
Financials	1,922,380	1,894,913	17,234	10,233
Health Care	1,549,685	1,549,685	-	-
Industrials	1,351,489	1,351,489	-	-
Information Technology	2,844,848	2,844,848	-	-
Materials	417,661	417,661	-	-
Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Equities:
Telecommunication Services	$ 310,534	$ 310,534	$ -	$ -
Utilities	462,047	462,047	-	-
Corporate Bonds	1,517,523	-	1,517,523	-
U.S. Government and Government Agency Obligations	1,020,741	-	1,020,741	-
U.S. Government Agency - Mortgage Securities	1,808,812	-	1,808,812	-
Asset-Backed Securities	64,180	-	56,298	7,882
Collateralized Mortgage Obligations	47,813	-	46,022	1,791
Commercial Mortgage Securities	394,726	-	365,749	28,977
Municipal Securities	79,279	-	79,279	-
Bank Notes	3,975	-	3,975	-
Fixed-Income Funds	2,986,902	2,986,902	-	-
Money Market Funds	473,687	473,687	-	-
Total Investments in Securities:	$ 21,529,875	$ 16,494,597	$ 4,970,802	$ 64,476
Derivative Instruments:
Assets
Futures Contracts	$ 7,700	$ 7,700	$ -	$ -
Liabilities
Swap Agreements	$ (22,864)	$ -	$ (22,322)	$ (542)
Total Derivative Instruments:	$ (15,164)	$ 7,700	$ (22,322)	$ (542)
Other Financial Instruments:
TBA Sale Commitments	$ (746,539)	$ -	$ (746,539)	$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2012. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type	Value
(Amounts in thousands)	Asset	Liability
Credit Risk
Swap Agreements (b)	$ -	$ (22,864)
Equity Risk
Futures Contracts (a)	7,700	-
Total Value of Derivatives	$ 7,700	$ (22,864)

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities.

(b) Value is disclosed on the Statement of Assets and Liabilities in the Swap agreements, at value line-items.

Other Information

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

U.S. Government and U.S. Government Agency Obligations	19.9%
AAA,AA,A	4.8%
BBB	6.7%
BB	0.8%
B	1.9%
CCC,CC,C	0.2%
D	0.0%*
Not Rated	0.0%*
Equities	63.8%
Short-Term Investments and Net Other Assets	1.9%
	100%

* Amount represents less than 0.1%

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

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.

Annual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)	August 31, 2012

Assets
Investment in securities, at value (including securities loaned of $68,346) - See accompanying schedule: Unaffiliated issuers (cost $15,389,130)	$ 18,063,744
Fidelity Central Funds (cost $3,226,142)	3,460,589
Other affiliated issuers (cost $5,795)	5,542
Total Investments (cost $18,621,067)		$ 21,529,875
Foreign currency held at value (cost $2,756)		2,756
Receivable for investments sold, regular delivery		637,453
Receivable for TBA sale commitments		743,971
Receivable for swap agreements		5
Receivable for fund shares sold		15,555
Dividends receivable		29,414
Interest receivable		28,064
Distributions receivable from Fidelity Central Funds		1,750
Receivable for daily variation margin on futures contracts		615
Other receivables		998
Total assets		22,990,456

Liabilities
Payable to custodian bank	$ 102
Payable for investments purchased Regular delivery	263,000
Delayed delivery	1,245,389
TBA sale commitments, at value	746,539
Payable for swap agreements	2,633
Payable for fund shares redeemed	9,164
Swap agreements, at value	22,864
Accrued management fee	6,974
Other affiliated payables	2,484
Other payables and accrued expenses	2,821
Collateral on securities loaned, at value	69,758
Total liabilities		2,371,728

Net Assets		$ 20,618,728
Net Assets consist of:
Paid in capital		$ 18,565,807
Undistributed net investment income		84,489
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions		(921,602)
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies		2,890,034
Net Assets		$ 20,618,728

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

Annual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

Amounts in thousands (except per-share amounts)	August 31, 2012

Balanced: Net Asset Value, offering price and redemption price per share ($15,016,156 ÷ 752,542 shares)		$ 19.95

Class K: Net Asset Value, offering price and redemption price per share ($5,602,572 ÷ 280,771 shares)		$ 19.95

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

Annual Report

Statement of Operations

Amounts in thousands	Year ended August 31, 2012

Investment Income
Dividends		$ 232,301
Interest		177,782
Income from Fidelity Central Funds		103,780
Total income		513,863

Expenses
Management fee	$ 81,574
Transfer agent fees	28,381
Accounting and security lending fees	1,995
Custodian fees and expenses	342
Independent trustees' compensation	133
Registration fees	298
Audit	162
Legal	86
Miscellaneous	208
Total expenses before reductions	113,179
Expense reductions	(845)	112,334
Net investment income (loss)		401,529
Realized and Unrealized Gain (Loss) Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	5,409
Fidelity Central Funds	1,625
Foreign currency transactions	(129)
Futures contracts	8,596
Swap agreements	(16,533)
Total net realized gain (loss)		(1,032)
Change in net unrealized appreciation (depreciation) on: Investment securities	1,823,727
Assets and liabilities in foreign currencies	(260)
Futures contracts	8,583
Swap agreements	15,494
Delayed delivery commitments	(5,308)
Total change in net unrealized appreciation (depreciation)		1,842,236
Net gain (loss)		1,841,204
Net increase (decrease) in net assets resulting from operations		$ 2,242,733

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

Annual Report

Financial Statements - continued

Statement of Changes in Net Assets

Amounts in thousands	Year ended August 31, 2012	Year ended August 31, 2011
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$ 401,529	$ 410,670
Net realized gain (loss)	(1,032)	2,160,284
Change in net unrealized appreciation (depreciation)	1,842,236	115,234
Net increase (decrease) in net assets resulting from operations	2,242,733	2,686,188
Distributions to shareholders from net investment income	(379,925)	(410,590)
Distributions to shareholders from net realized gain	-	(9,407)
Total distributions	(379,925)	(419,997)
Share transactions - net increase (decrease)	(947,824)	(2,018,385)
Total increase (decrease) in net assets	914,984	247,806

Net Assets
Beginning of period	19,703,744	19,455,938
End of period (including undistributed net investment income of $84,489 and undistributed net investment income of $89,115, respectively)	$ 20,618,728	$ 19,703,744

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

Annual Report

Financial Highlights - Balanced

Years ended August 31,	2012	2011	2010	2009	2008
Selected Per-Share Data
Net asset value, beginning of period	$ 18.17	$ 16.27	$ 15.40	$ 17.71	$ 20.66
Income from Investment Operations
Net investment income (loss) ^B	.37	.35	.36	.38	.42
Net realized and unrealized gain (loss)	1.76	1.91	.88	(2.29)	(1.76)
Total from investment operations	2.13	2.26	1.24	(1.91)	(1.34)
Distributions from net investment income	(.35)	(.35)	(.36)	(.37)	(.43)
Distributions from net realized gain	-	(.01)	(.01)	(.03)	(1.18)
Total distributions	(.35)	(.36)	(.37)	(.40)	(1.61)
Net asset value, end of period	$ 19.95	$ 18.17	$ 16.27	$ 15.40	$ 17.71
Total Return ^A	11.89%	13.88%	8.06%	(10.48)%	(7.28)%
Ratios to Average Net Assets ^{C, E}
Expenses before reductions	.60%	.61%	.62%	.68%	.61%
Expenses net of fee waivers, if any	.60%	.61%	.62%	.68%	.61%
Expenses net of all reductions	.59%	.60%	.61%	.68%	.61%
Net investment income (loss)	1.98%	1.92%	2.18%	2.78%	2.22%
Supplemental Data
Net assets, end of period (in millions)	$ 15,016	$ 15,602	$ 16,764	$ 17,225	$ 25,363
Portfolio turnover rate ^D	155%	193% ^F	122%	198% ^F	73% ^F

^A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^B Calculated based on average shares outstanding during the period.

^C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

^D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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

^F The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Financial Highlights - Class K

Years ended August 31,	2012	2011	2010	2009	2008 ^G
Selected Per-Share Data
Net asset value, beginning of period	$ 18.17	$ 16.27	$ 15.40	$ 17.72	$ 19.12
Income from Investment Operations
Net investment income (loss) ^D	.40	.38	.38	.40	.12
Net realized and unrealized gain (loss)	1.76	1.90	.88	(2.29)	(1.41)
Total from investment operations	2.16	2.28	1.26	(1.89)	(1.29)
Distributions from net investment income	(.38)	(.38)	(.38)	(.40)	(.11)
Distributions from net realized gain	-	(.01)	(.01)	(.03)	-
Total distributions	(.38)	(.38) ^I	(.39)	(.43)	(.11)
Net asset value, end of period	$ 19.95	$ 18.17	$ 16.27	$ 15.40	$ 17.72
Total Return ^{B, C}	12.03%	14.04%	8.23%	(10.33)%	(6.74)%
Ratios to Average Net Assets ^{E, H}
Expenses before reductions	.48%	.48%	.48%	.50%	.48% ^A
Expenses net of fee waivers, if any	.48%	.48%	.48%	.50%	.48% ^A
Expenses net of all reductions	.47%	.47%	.47%	.50%	.48% ^A
Net investment income (loss)	2.10%	2.05%	2.32%	2.96%	2.45% ^A
Supplemental Data
Net assets, end of period (in millions)	$ 5,603	$ 4,102	$ 2,692	$ 2,014	$ 17
Portfolio turnover rate ^F	155%	193% ^J	122%	198% ^J	73% ^J

^A Annualized

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Calculated based on average shares outstanding during the period.

^E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

^F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^G For the period May 9, 2008 (commencement of sale of shares) to August 31, 2008.

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

^I Total distributions of $.38 per share is comprised of distributions from net investment income of $.376 and distributions from net realized gain of $.008 per share.

^J The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Notes to Financial Statements

For the period ended August 31, 2012

(Amounts in thousands except percentages)

1. Organization.

Fidelity® Balanced Fund (the Fund) is a fund of Fidelity Puritan Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Balanced and Class K, shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions may also differ by class.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment
Manager

Investment Objective

Investment Practices

Fidelity Corporate Bond 1-10 Year Central Fund

FIMM

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

Repurchase Agreements

Restricted Securities

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except percentages)

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment
Manager

Investment Objective

Investment Practices

Fidelity High Income Central Fund 2

FMR Co., Inc. (FMRC)

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

Loans & Direct Debt Instruments

Repurchase Agreements

Restricted Securities

Fidelity Mortgage Backed Securities Central Fund

FIMM

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

Delayed Delivery & When Issued Securities

Futures

Repurchase Agreements

Swap Agreements

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

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendor or broker to value its investments. When current market prices, quotations or rates are not readily available or reliable, securities will be

Annual Report

3. Significant Accounting Policies - continued

Security Valuation - continued

fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Fund's Board. Factors used in determining fair value vary by security type and may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, bank notes, municipal securities and U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Security Valuation - continued

broker-supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from third party pricing vendors or broker-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing vendors utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2012, is included at the end of the Fund's Schedule of Investments.

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

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

Annual Report

3. Significant Accounting Policies - continued

Foreign Currency Translation - continued

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

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Deferred Trustee Compensation - continued

marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. As of August 31, 2012, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. 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.

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 Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation	$ 2,929,790
Gross unrealized depreciation	(276,783)
Net unrealized appreciation (depreciation) on securities and other investments	$ 2,653,007
Tax Cost	$ 18,876,868

Annual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income	$ 64,654
Capital loss carryforward	$ (409,574)
Net unrealized appreciation (depreciation)	$ 2,626,534

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. Capital loss carryforwards were as follows:

Fiscal year of expiration

2018	$ (409,574)

The Fund intends to elect to defer to its fiscal year ending August 31, 2013 approximately $228,149 of capital losses recognized during the period November 1, 2011 to August 31, 2012.

The tax character of distributions paid was as follows:

	August 31, 2012	August 31, 2011
Ordinary Income	$ 379,925	$ 419,997

New Accounting Pronouncement. In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.

4. Operating Policies.

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except percentages)

4. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities - continued

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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount however; delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities.

Annual Report

4. Operating Policies - continued

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

5. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and swap agreements. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified instrument based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risks:

Credit Risk	Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
Equity Risk	Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except percentages)

5. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

transactions, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Annual Report

5. Derivative Instruments - continued

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives - continued

change in net unrealized appreciation (depreciation) for derivatives during the period as shown in the Statement of Operations.

Primary Risk Exposure / Derivative Type	Net Realized Gain (Loss)	Change in Net Unrealized Appreciation (Depreciation)
Credit Risk
Swap Agreements	$ (16,533)	$ 15,494
Equity Risk
Futures Contracts	8,596	8,583
Totals (a)	$ (7,937)	$ 24,077

(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments and is
representative of activity for the period

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

Any open futures contracts at period end are shown in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument at period end and is representative of activity for the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except percentages)

5. Derivative Instruments - continued

Swap Agreements - continued

terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are included in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swap Agreements."

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation and will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take

Annual Report

5. Derivative Instruments - continued

Credit Default Swaps - continued

delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

6. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $14,332,476 and $13,867,469, respectively.

7. Fees and Other Transactions with Affiliates.

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

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except percentages)

7. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of Balanced. FIIOC receives an asset-based fee of Class K's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:

	Amount	% of Average Net Assets
Balanced	$ 25,838	.17
Class K	2,543	.05
	$ 28,381

Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $425 for the period.

8. Committed Line of Credit.

The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $57 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.

9. Security Lending.

Annual Report

9. Security Lending - continued

securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities at period end is disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period ended was $370. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $91. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $1,552 (including $38 from securities loaned to FCM).

10. Expense Reductions.

Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $836 for the period. In addition, through arrangements with the Fund's custodian credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $9.

11. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Years ended August 31,	2012	2011
From net investment income
Balanced	$ 281,775	$ 328,396
Class K	98,150	82,194
Total	$ 379,925	$ 410,590
From net realized gain
Balanced	$ -	$ 7,916
Class K	-	1,491
Total	$ -	$ 9,407

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except percentages)

12. Share Transactions.

Transactions for each class of shares were as follows:

	Shares		Dollars
Years ended August 31,	2012	2011	2012	2011
Balanced
Shares sold	101,057	117,364	$ 1,914,819	$ 2,150,235
Reinvestment of distributions	14,566	17,788	271,000	325,354
Shares redeemed	(221,553)	(307,092)	(4,157,808)	(5,576,894)
Net increase (decrease)	(105,930)	(171,940)	$ (1,971,989)	$ (3,101,305)
Class K
Shares sold	117,984	127,669	$ 2,217,745	$ 2,316,418
Reinvestment of distributions	5,255	4,546	98,150	83,685
Shares redeemed	(68,166)	(71,990)	(1,291,730)	(1,317,183)
Net increase (decrease)	55,073	60,225	$ 1,024,165	$ 1,082,920

13. Other.

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

Annual Report

Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Balanced Fund (a fund of Fidelity Puritan Trust) at August 31, 2012, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Balanced Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

October 18, 2012

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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 228 funds advised by FMR or an affiliate. Mr. Curvey oversees 435 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 75th 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.

Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Annual Report

Trustees and Officers - continued

Board Structure and Oversight Function. James C. Curvey is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Ned C. Lautenbach serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's equity and high income funds and another Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds. The asset allocation funds may invest in Fidelity funds overseen by the fund's Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund'sexposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. In addition, the Independent Trustees have worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. For example, a working group comprised of Independent Trustees and FMR has worked and continues to work to review the Fidelity funds' valuation-related activities, reporting and risk management. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of FMR's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."

Annual Report

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-835-5092.

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 Occupations and Other Relevant Experience⁺
James C. Curvey (77)
	Year of Election or Appointment: 2007 Mr. Curvey is Trustee and Chairman of the Board of Trustees of certain Trusts. Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp.
Ronald P. O'Hanley (55)
	Year of Election or Appointment: 2011 Mr. O'Hanley is Director of FMR Co., Inc. (2010-present), Director of Fidelity Investments Money Management, Inc. (2010-present), Director of Fidelity Research & Analysis Company (2010-present), President of Fidelity Asset Management and Corporate Services and a member of Fidelity's Executive Committee (2010-present). Previously, Mr. O'Hanley served as President and Chief Executive Officer of BNY Mellon Asset Management (2007-2010). Mr. O'Hanley also served as Vice Chairman of Bank New York Mellon Corp. and a member of that firm's Executive Committee. Prior to the 2007 merger of The Bank of New York and Mellon Financial Corporation, he was Vice Chairman of Mellon Financial Corporation and President and Chief Executive Officer of Mellon Asset Management. He joined Mellon in February 1997. Mr. O'Hanley currently serves as Chairman of the Boston Public Library Foundation Board of Directors and sits on the Board of Directors of Beth Israel Deaconess Medical Center, the Board of Trustees of the Marine Biological Laboratory and the Advisory Board of the Maxwell School of Citizenship and Public Administration at Syracuse University. Mr. O'Hanley also chairs the Council on Asset Management for the Financial Services Roundtable and is a member of the Board of Directors of Institutional Investor's U.S. Institute.

* 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.

⁺ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.

Annual Report

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 Occupations and Other Relevant Experience⁺
Dennis J. Dirks (64)
	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). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) and President and Board member of the National Securities Clearing Corporation (NSCC). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation, Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation, as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), and as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-2008). Mr. Dirks is a member of the Independent Directors Council (IDC) Governing Council (2010-present) and Board of Directors for The Brookville Center for Children's Services, Inc. (2009-present).
Alan J. Lacy (58)
	Year of Election or Appointment: 2008 Mr. Lacy serves as Senior Adviser (2007-present) of Oak Hill Capital Partners, L.P. (private equity). Mr. Lacy also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). In addition, Mr. Lacy serves as a member of the Board of Directors of Dave & Buster's Entertainment, Inc. (restaurant and entertainment complexes, 2010-present), Earth Fare, Inc. (retail grocery, 2012-present), The Hillman Companies, Inc. (hardware wholesalers, 2010-present), and Bristol-Myers Squibb Company (global pharmaceuticals, 2008-present). Mr. Lacy is a member of the Board of Trustees of The National Parks Conservation Association (2006-present). Previously, Mr. Lacy served as Chairman of the Board of Trustees of the National Parks Conservation Association (2008-2011) and as a member of the Board of Directors for the Western Union Company (global money transfer, 2006-2011).
Ned C. Lautenbach (68)
	Year of Election or Appointment: 2000 Mr. Lautenbach is Chairman of the Independent Trustees of the Equity and High Income Funds (2006-present). Mr. Lautenbach currently serves as the Lead Director of the Eaton Corporation Board of Directors (diversified industrial, 1997-present). Mr. Lautenbach is Chairman of the Board of Directors of the Philharmonic Center for the Arts in Naples, Florida (2012-present) and a member of the Council on Foreign Relations (1994-present). Previously, Mr. Lautenbach was a Partner/Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007).
Joseph Mauriello (67)
	Year of Election or Appointment: 2008 Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Group plc. (global insurance and re-insurance, 2006-present). Previously, Mr. Mauriello served as a Director of the Hamilton Funds of the Bank of New York (2006-2007) and of Arcadia Resources Inc. (health care services and products, 2007-2012).
Robert W. Selander (61)
	Year of Election or Appointment: 2011 Previously, Mr. Selander served as a Member of the Advisory Board of Fidelity's Equity and High Income Funds (2011), Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.
Cornelia M. Small (68)
	Year of Election or Appointment: 2005 Ms. Small is a member of the Board of Directors (2009-present) and Chair of the Investment Committee (2010-present) of the Teagle Foundation. Ms. Small also serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson (2002-2008) and a member of the Investment Committee and Chairperson (2008-2012) and a member of the Board of Trustees of Smith College. In addition, Ms. Small served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.
William S. Stavropoulos (73)
	Year of Election or Appointment: 2001 Mr. Stavropoulos is Vice Chairman of the Independent Trustees of the Equity and High Income Funds (2006-present). Mr. Stavropoulos serves as President and Founder of the Michigan Baseball Foundation, the Great Lakes Loons (2007-present). Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President, CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, Mr. Stavropoulos is a Director of Univar Inc. (global distributor of commodity and specialty chemicals, Chairman from 2010-May 2012 and Lead Director from May 2012-present), Teradata Corporation (data warehousing and technology solutions, 2008-present), Maersk Inc. (industrial conglomerate), and Tyco International, Ltd. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital LLC (private equity investment, 2005-present). Mr. Stavropoulos is an operating advisor to Clayton, Dubilier & Rice, LLC (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science, a Trustee of the Rollin L. Gerstacker Foundation, and a Director of the Naples Philharmonic Center for the Arts. Previously, Mr. Stavropoulos served as a Director of Chemical Financial Corporation (bank holding company, 1993-2012).
David M. Thomas (63)
	Year of Election or Appointment: 2008 Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions), and a Director of Fortune Brands, Inc. (consumer products, 2000-2011). In addition, Mr. Thomas serves as Non-Executive Chairman of the Board of Directors of Fortune Brands Home and Security (home and security products, 2011-present), and as a member of the Board of Directors of Interpublic Group of Companies, Inc. (marketing communication, 2004-present).
Michael E. Wiley (61)
	Year of Election or Appointment: 2008 Mr. Wiley also serves as a Director of Asia Pacific Exploration Consolidated (international oil and gas exploration and production, 2008-present). Mr. Wiley serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), and a Director of Bill Barrett Corporation (exploration and production, 2005-present). In addition, Mr. Wiley also serves as a Director of Post Oak Bank (privately-held bank, 2004-present). Previously, Mr. Wiley served as a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-2010), as a Senior Energy Advisor of Katzenbach Partners, LLC (consulting, 2006-2007), as an Advisory Director of Riverstone Holdings (private investment), Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production, 2001-2005).

Advisory Board Members and Executive Officers:

Correspondence intended for David A. Rosow and Garnett A. Smith may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer, Edward C. Johnson 3d, and Peter S. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation
Edward C. Johnson 3d (82)
	Year of Election or Appointment: 2011 Member of the Advisory Board of Fidelity's Equity and High Income Funds. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR LLC, and also serves as Chairman and Director of FIL Limited. Previously, Mr. Johnson served as a Trustee and Chairman of the Board of certain Fidelity Trusts, Chairman and a Director of FMR, Chairman and a Director of FMR Co., Inc., and President of FMR LLC (2006-2007).
Peter S. Lynch (68)
	Year of Election or Appointment: 2003 Member of the Advisory Board of Fidelity's Equity and High Income Funds. Mr. Lynch is Vice Chairman and a Director of FMR and FMR Co., Inc. In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served on the Special Olympics International Board of Directors (1997-2006).
David A. Rosow (69)
	Year of Election or Appointment: 2012 Member of the Advisory Board of Fidelity's Equity and High Income Funds. Chairman and Chief Executive Officer of International Golf Group, Inc. (golf course development, 1989-present). Previously, Mr. Rosow served as Chairman and Chief Executive Officer of Rosow & Company, Inc. (private investment company, 1989-2011), a Lead Director of Hudson United Bancorp (2001-2006) and as a Director of TD Banknorth (1996-2006). In addition, Mr. Rosow is a member (2008-present) and President (2009-present) of the Town Council of Palm Beach, Florida.
Garnett A. Smith (64)
	Year of Election or Appointment: 2012 Member of the Advisory Board of Fidelity's Equity and High Income Funds. Prior to Mr. Smith's retirement, he served as Chairman and Chief Executive Officer of Inbrand Corp. (manufacturer of personal absorbent products, 1990-1997). He also served as President (1986-1990) of Inbrand Corp. Prior to his employment with Inbrand Corp., he was employed by a retail fabric chain and North Carolina National Bank. In addition, Mr. Smith is a board member of the Jackson Hole Land Trust (2009-present).
Kenneth B. Robins (43)
	Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Equity and High Income Funds. Mr. Robins also serves as President and Treasurer (2010-present) and Assistant Treasurer (2009-present) of other Fidelity funds and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008).
Bruce T. Herring (47)
	Year of Election or Appointment: 2006 Vice President of certain Equity Funds. Mr. Herring also serves as President of Fidelity Research & Analysis Company (2010-present), Chief Investment Officer and Director of Fidelity Management & Research (U.K.) Inc. (2010-present) and Group Chief Investment Officer of FMR. Previously, Mr. Herring served as Vice President (2005-2006) and Senior Vice President (2006-2007) of Fidelity Management & Research Company, Vice President of FMR Co., Inc. (2001-2007) and as a portfolio manager for Fidelity U.S. Equity Funds.
Brian B. Hogan (47)
	Year of Election or Appointment: 2009 Vice President of Equity and High Income Funds. Mr. Hogan also serves as President of FMR's Equity Division (2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.
Scott C. Goebel (44)
	Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary of Fidelity Investments Money Management, Inc. (FIMM) (2010-present) and Fidelity Research and Analysis Company (FRAC) (2010-present); Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); employed by FMR LLC or an affiliate (2001-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), and Fidelity Management & Research (U.K.) Inc. (2008-present). Previously, Mr. Goebel served as Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).
William C. Coffey (43)
	Year of Election or Appointment: 2009 Assistant Secretary of Fidelity's Equity and High Income Funds. Mr. Coffey also serves as Senior Vice President and Deputy General Counsel of FMR LLC (2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Vice President and Associate General Counsel of FMR LLC (2005-2009).
Elizabeth Paige Baumann (44)
	Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Baumann also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2012-present), Chief AML Officer of FMR LLC (2012-present), and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012).
Christine Reynolds (53)
	Year of Election or Appointment: 2008 Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007).
Joseph A. Hanlon (44)
	Year of Election or Appointment: 2012 Chief Compliance Officer of Fidelity's Equity and High Income Funds. Mr. Hanlon serves as Compliance Officer of FMR, FMR Co., Inc., Fidelity Investments Money Management, Inc. (FIMM), Fidelity Research and Analysis Company (FRAC), Fidelity Management & Research (Japan) Inc., Fidelity Management & Research (U.K.) Inc., Fidelity Management & Research (Hong Kong), and Strategic Advisers, Inc. (2009-present), as Senior Vice President of the Fidelity Asset Management Division (2009-present), and is an employee of Fidelity Investments.
Joseph F. Zambello (55)
	Year of Election or Appointment: 2011 Deputy Treasurer of the Fidelity funds. Mr. Zambello is an employee of Fidelity Investments. Previously, Mr. Zambello served as Vice President of FMR's Program Management Group (2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009).
Adrien E. Deberghes (45)
	Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Equity and High Income Funds. Mr. Deberghes also serves as Vice President (2011-present) and Assistant Treasurer (2010-present) of other Fidelity funds, and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).
Stephanie J. Dorsey (43)
	Year of Election or Appointment: 2010 Assistant Treasurer of Fidelity's Equity and High Income Funds. Ms. Dorsey also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.
John R. Hebble (54)
	Year of Election or Appointment: 2009 Assistant Treasurer of Fidelity's Equity and High Income Funds. Mr. Hebble also serves as President (2011-present), Treasurer, and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present), President and Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments.
Gary W. Ryan (54)
	Year of Election or Appointment: 2005 Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005).
Jonathan Davis (44)
	Year of Election or Appointment: 2010 Assistant Treasurer of the Fidelity funds. Mr. Davis is also Assistant Treasurer of Fidelity Rutland Square Trust II and Fidelity Commonwealth Trust II. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010).

Annual Report

Distributions (Unaudited)

A total of 4.92% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $158,947,790 of distributions paid during the period January 1, 2012 to August 31, 2012 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

Class K designates 13%, 40%, 65% and 64% of the dividends distributed in October, December, April and July, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

Class K designates 16%, 48%, 81% and 81% of the dividends distributed in October, December, April and July, respectively 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 2013 of amounts for use in preparing 2012 income tax returns.

Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Balanced Fund

Each year, 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 relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees, each composed of and chaired by 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. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to the Fidelity funds.

At its July 2012 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; (iv) the extent to which economies of scale exist and would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.

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

Annual Report

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel, and also considered the fund's investment objective, strategies, and related investment philosophy. 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 to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, including its size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, training, managing, and compensating investment personnel. The Board also noted that FMR has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. The Board also believes that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered the Investment Advisers' trading and risk management capabilities and resources, which are an integral part of the investment management process.

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

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board noted that the growth of fund assets over time 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 telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

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 a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and support of the senior management team that oversees asset management; (ii) persisting in efforts to enhance Fidelity's research capabilities, in particular, international research; (iii) launching new funds and making other enhancements to meet client needs for global and income-oriented solutions; (iv) continuing to launch dedicated lower cost underlying funds to meet investment management's portfolio construction needs related to expanding underlying fund options, specifically for the Freedom Fund product lines; (v) adopting a "Stock Selector" sector neutral investment approach and employing a team of portfolio managers who are sector specialists to manage certain funds; (vi) rationalizing product lines and gaining increased efficiencies through the mergers of several funds into other funds; (vii) strengthening the Spartan Index Fund product line by adding new funds and/or new low-cost institutional share classes, restructuring fund expenses to accommodate new classes, and reducing investment minimums for certain classes of shares; (viii) modifying the eligibility criteria for Institutional Class shares to increase their appeal to government entities and charitable investors; and (ix) reducing certain transfer agent fee rates.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured over multiple periods against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by Fidelity and reviewed by the Board. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2011, as available, the cumulative total returns of Class K and the retail class of the fund, the cumulative total returns of a proprietary custom index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The box within each chart shows the 25th percentile return (top of box) and the 75th percentile return (bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the class indicated. The fund's proprietary custom index is an index developed by FMR that represents the performance of the fund's general investment categories in both equity and bond securities.

Annual Report

Fidelity Balanced Fund

bal313

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the retail class of the fund (the class with the longer performance record) was in the second quartile for the one- and five-year periods and the first quartile for the three-year period. The Board also noted that the investment performance of the fund was lower than its benchmark for the one- and five-year periods, although the three-year cumulative total return of the retail class compared favorably to its benchmark. The Board considered that the variations in performance between the fund's classes reflect the variations in class expenses, which result in lower performance for the higher expense class. The Board noted that there were portfolio management changes for the fund in March 2012 and November 2011. The Board also reviewed the fund's performance since inception as well as performance in the current year.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.

Management Fee. 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." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. 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 11% means that 89% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.

Annual Report

Fidelity Balanced Fund

bal315

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 2011.

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

Total Expense Ratio. In its review of each class's total expense ratio, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of 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 total expense ratio of each class ranked below its competitive median for 2011.

Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of FMR and its affiliates, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients. The Board noted the findings of the 2010 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

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

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

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of 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 concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

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

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive in the circumstances.

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 also noted that in 2009, it and the board of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether FMR attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

Annual Report

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total fund assets under FMR's management increase, and for higher group fee rates as total fund assets under FMR's management decrease. FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity 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 benefit from lower management fees as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including (i) fund performance trends, actions to be taken by FMR to improve certain funds' overall performance, and Fidelity's long-term strategies for certain funds; (ii) the potential to further rationalize the Fidelity fund lineup with the possibility of achieving savings for the funds and Fidelity; (iii) Fidelity's compensation structure for portfolio managers and other key investment personnel; (iv) the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (v) the realization of fall-out benefits in certain Fidelity business units; (vi) Fidelity's group fee structures, the potential impact of regulatory changes on such structures, and the rationale for the individual fee rates of certain funds; (vii) fund profitability methodology, including Fidelity's cost allocation methodology, and the impact of certain factors on fund profitability results; (viii) trends regarding industry use of performance fee structures and the possibility of implementing performance fee structures for additional funds; and (ix) the impact of net redemptions from the Fidelity funds.

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

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

Annual Report

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
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

Citibank, N.A.

New York, NY

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

BAL-K-UANN-1012
1.863050.103

Fidelity®

Balanced

Fund

Annual Report

August 31, 2012

(Fidelity Cover Art)

Performance	(Click Here)	How the fund has done over time.
Management's Discussion of Fund Performance	(Click Here)	The Portfolio Manager's review of fund performance and strategy.
Shareholder Expense Example	(Click Here)	An example of shareholder expenses.
Investment Changes	(Click Here)	A summary of major shifts in the fund's investments over the past six months.
Investments	(Click Here)	A complete list of the fund's investments with their market values.
Financial Statements	(Click Here)	Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.
Notes	(Click Here)	Notes to the financial statements.
Report of Independent Registered Public Accounting Firm	(Click Here)
Trustees and Officers	(Click Here)
Distributions	(Click Here)
Board Approval of Investment Advisory Contracts and Management Fees	(Click Here)

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

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

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

Annual Report

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Performance: The Bottom Line

Average Annual Total Returns

Periods ended August 31, 2012	Past 1 year	Past 5 years	Past 10 years
Fidelity® Balanced Fund	11.89%	2.71%	7.96%

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Balanced Fund, a class of the fund, on August 31, 2002. The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period.

bal328

Annual Report

Management's Discussion of Fund Performance

Comments from Robert Stansky, Head of Fidelity's Stock Selector Large Cap Group, which manages Fidelity® Balanced Fund: For the year, the fund's Retail Class shares returned 11.89%, trailing the 13.34% gain of the Fidelity Balanced Hybrid Composite Index^SM, a hypothetical blend of the total returns of the S&P 500 and the Barclays® U.S. Aggregate Bond Index, using weightings of 60% and 40%, respectively. Disappointing stock selection hurt performance, although the negative impact was modestly offset by our overweighting in equities. The fund benefited the most from our fixed-income investments, including good picks and an underweighting in investment-grade bonds, and a small out-of-index allocation to high-yield bonds. Looking at individual holdings, the biggest detractor was enterprise software firm Oracle, primarily due to positioning during the first half of the period. The stock declined sharply in December, due to concern about future earnings, and we sold it by period end. Our decision to not own telecom giant and benchmark component AT&T for nearly the entire period also detracted. We were concerned about the stock's valuation. Conversely, a sizable position in Apple was the fund's top individual contributor, as the company's iPad® tablet computer and iPhone® smartphone continued to define their respective categories, helping the stock maintain its run of strong performance.

Annual Report

Shareholder Expense Example

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2012 to August 31, 2012).

Actual Expenses

Hypothetical Example for Comparison Purposes

Annual Report

	Annualized Expense Ratio	Beginning Account Value March 1, 2012	Ending Account Value August 31, 2012	Expenses Paid During Period* March 1, 2012 to August 31, 2012
Balanced	.59%
Actual		$ 1,000.00	$ 1,031.80	$ 3.01
Hypothetical^A		$ 1,000.00	$ 1,022.17	$ 3.00
Class K	.47%
Actual		$ 1,000.00	$ 1,032.30	$ 2.40
Hypothetical^A		$ 1,000.00	$ 1,022.77	$ 2.39

^A 5% return per year before expenses

Annual Report

Investment Changes (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds.

Top Five Stocks as of August 31, 2012
	% of fund's net assets	% of fund's net assets 6 months ago
Apple, Inc.	5.0	4.3
QUALCOMM, Inc.	1.6	1.3
Microsoft Corp.	1.6	1.3
Exxon Mobil Corp.	1.5	0.9
Procter & Gamble Co.	1.4	1.4
	11.1
Top Five Bond Issuers as of August 31, 2012
(with maturities greater than one year)	% of fund's net assets	% of fund's net assets 6 months ago
Fannie Mae	9.2	5.4
U.S. Treasury Obligations	5.1	10.0
Freddie Mac	2.7	2.6
Ginnie Mae	2.4	2.1
Wachovia Bank Commercial Mortgage Trust	0.4	0.0
	19.8
Top Five Market Sectors as of August 31, 2012
	% of fund's net assets	% of fund's net assets 6 months ago
Information Technology	14.1	13.6
Financials	13.7	13.3
Energy	8.9	9.6
Health Care	8.1	7.4
Consumer Staples	7.9	7.4

Asset Allocation (% of fund's net assets)
As of August 31, 2012 *			As of February 29, 2012 **
	Stocks and Equity Futures 64.2%			Stocks and Equity Futures 62.8%
	Bonds 34.0%			Bonds 34.4%
	Convertible Securities 0.1%			Convertible Securities 0.1%
	Other Investments 0.3%			Other Investments 0.3%
	Short-Term Investments and Net Other Assets (Liabilities) 1.4%			Short-Term Investments and Net Other Assets (Liabilities) 2.4%
* Foreign investments		8.9%	** Foreign investments		13.1%

bal340

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Annual Report

Investments August 31, 2012

Showing Percentage of Net Assets

Common Stocks - 63.7%
	Shares		Value (000s)
CONSUMER DISCRETIONARY - 6.4%
Diversified Consumer Services - 0.0%
Weight Watchers International, Inc. (e)	100,727		$ 4,812
Hotels, Restaurants & Leisure - 1.2%
Arcos Dorados Holdings, Inc.	713,097		9,420
Domino's Pizza, Inc.	819,931		29,058
Dunkin' Brands Group, Inc.	341,877		9,959
Icahn Enterprises LP rights (a)	290,524		0
McDonald's Corp.	757,421		67,782
Starbucks Corp.	1,086,917		53,922
Yum! Brands, Inc.	1,130,472		72,034
			242,175
Internet & Catalog Retail - 0.4%
Kayak Software Corp. (e)(f)	203,012		5,542
Priceline.com, Inc. (a)	111,242		67,254
			72,796
Media - 2.8%
Comcast Corp. Class A	6,618,603		221,922
DIRECTV (a)	1,641,196		85,490
Legend Pictures LLC (a)(p)(q)	8,571		9,164
News Corp. Class A	4,894,779		114,489
Sirius XM Radio, Inc. (a)	5,666,600		14,336
The Walt Disney Co.	2,541,497		125,728
			571,129
Multiline Retail - 0.3%
Dollar General Corp. (a)	1,420,365		72,538
Specialty Retail - 1.5%
AutoZone, Inc. (a)	148,441		53,682
CarMax, Inc. (a)	261,919		8,012
Limited Brands, Inc.	550,498		26,754
Lowe's Companies, Inc.	4,013,003		114,290
TJX Companies, Inc.	2,170,980		99,409
			302,147
Textiles, Apparel & Luxury Goods - 0.2%
Under Armour, Inc. Class A (sub. vtg.) (a)(e)	754,878		43,941
TOTAL CONSUMER DISCRETIONARY			1,309,538
CONSUMER STAPLES - 7.2%
Beverages - 2.6%
Anheuser-Busch InBev SA NV	655,741		55,169
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Beverages - continued
Coca-Cola Bottling Co. CONSOLIDATED	118,433		$ 8,129
Coca-Cola FEMSA SAB de CV sponsored ADR	30,925		3,774
Coca-Cola Icecek A/S	394,435		7,025
Companhia de Bebidas das Americas (AmBev) (PN) sponsored ADR	164,725		6,195
Constellation Brands, Inc. Class A (sub. vtg.) (a)	1,476,841		48,647
Diageo PLC sponsored ADR	494,843		54,047
Embotelladora Andina SA sponsored ADR	218,222		7,184
Molson Coors Brewing Co. Class B	628,844		28,009
Monster Beverage Corp. (a)	97,800		5,763
Pernod Ricard SA	344,150		37,084
Remy Cointreau SA	176,092		20,113
The Coca-Cola Co.	6,784,472		253,739
			534,878
Food & Staples Retailing - 1.0%
CVS Caremark Corp.	3,242,038		147,675
Drogasil SA	434,400		4,595
Kroger Co.	801,453		17,856
Safeway, Inc.	278,105		4,352
Wal-Mart Stores, Inc.	394,834		28,665
Walgreen Co.	386,702		13,828
			216,971
Food Products - 0.5%
Bunge Ltd.	348,589		22,188
Green Mountain Coffee Roasters, Inc. (a)	168,876		4,105
Mead Johnson Nutrition Co. Class A	137,761		10,102
Nestle SA	338,708		21,056
Orion Corp.	5,168		4,194
Pilgrims Pride Corp.	748,200		3,980
Unilever NV (NY Reg.)	1,018,331		35,418
			101,043
Household Products - 1.6%
Colgate-Palmolive Co.	327,533		34,820
Procter & Gamble Co.	4,164,463		279,810
Spectrum Brands Holdings, Inc.	202,786		7,469
			322,099
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Personal Products - 0.2%
L'Oreal SA	256,900		$ 31,583
Nu Skin Enterprises, Inc. Class A	281,363		11,674
			43,257
Tobacco - 1.3%
Altria Group, Inc.	543,295		18,450
British American Tobacco PLC sponsored ADR	2,088,001		218,697
Philip Morris International, Inc.	200,183		17,876
Souza Cruz SA	477,700		6,403
			261,426
TOTAL CONSUMER STAPLES			1,479,674
ENERGY - 7.2%
Energy Equipment & Services - 1.6%
Cameron International Corp. (a)	743,991		40,704
Ensco PLC Class A	823,839		47,264
Forum Energy Technologies, Inc.	341,364		8,080
Halliburton Co.	746,958		24,470
National Oilwell Varco, Inc.	1,061,248		83,626
Noble Corp.	1,087,208		41,466
Ocean Rig UDW, Inc. (United States)	455,396		7,619
Oceaneering International, Inc.	220,987		11,832
Oil States International, Inc. (a)	101,400		7,934
Schlumberger Ltd.	631,524		45,710
Vantage Drilling Co. (a)	4,677,101		7,109
			325,814
Oil, Gas & Consumable Fuels - 5.6%
Anadarko Petroleum Corp.	900,802		62,399
Apache Corp.	835,168		71,616
Cheniere Energy, Inc. (a)	193,100		2,850
Chevron Corp.	1,260,894		141,422
Cobalt International Energy, Inc. (a)	317,200		7,204
EQT Corp.	360,200		19,436
Exxon Mobil Corp.	3,618,457		315,891
Halcon Resources Corp. (q)	910,000		6,989
Hess Corp.	619,326		31,295
HollyFrontier Corp.	836,666		33,709
InterOil Corp. (a)(e)	310,031		24,660
Marathon Oil Corp.	2,036,593		56,658
Marathon Petroleum Corp.	1,189,088		61,535
Common Stocks - continued
	Shares		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Noble Energy, Inc.	325,965		$ 28,652
Northern Tier Energy LP Class A	458,700		8,394
Occidental Petroleum Corp.	1,038,752		88,304
Phillips 66	375,591		15,775
Royal Dutch Shell PLC Class B sponsored ADR (e)	1,233,621		89,055
Suncor Energy, Inc.	1,602,400		50,084
Williams Companies, Inc.	1,122,100		36,210
			1,152,138
TOTAL ENERGY			1,477,952
FINANCIALS - 9.3%
Capital Markets - 0.8%
BlackRock, Inc. Class A	275,742		48,633
E*TRADE Financial Corp. (a)	629,301		5,393
Evercore Partners, Inc. Class A	275,200		6,797
ICAP PLC	923,400		4,658
Invesco Ltd.	903,982		21,406
Morgan Stanley	1,163,200		17,448
State Street Corp.	563,918		23,459
TD Ameritrade Holding Corp.	904,736		15,480
The Blackstone Group LP	1,026,000		13,841
UBS AG	647,930		7,229
			164,344
Commercial Banks - 2.2%
CIT Group, Inc. (a)	708,926		26,769
Comerica, Inc.	1,107,648		34,016
Credit Agricole SA (a)	924,624		5,394
FirstMerit Corp.	318,698		5,000
Huntington Bancshares, Inc.	4,733,054		31,238
Lloyds Banking Group PLC (a)	7,606,900		4,014
M&T Bank Corp.	314,819		27,358
Synovus Financial Corp. (e)	4,461,120		9,279
U.S. Bancorp	7,141,743		238,606
Wells Fargo & Co.	2,356,876		80,204
			461,878
Consumer Finance - 1.5%
Capital One Financial Corp.	4,019,745		227,236
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - continued
Consumer Finance - continued
Discover Financial Services	364,652		$ 14,123
SLM Corp.	4,030,734		63,484
			304,843
Diversified Financial Services - 1.7%
African Bank Investments Ltd.	692,111		2,677
Bank of America Corp.	3,429,996		27,406
Citigroup, Inc.	5,059,146		150,307
JPMorgan Chase & Co.	4,570,385		169,744
NBH Holdings Corp. Class A (a)(g)	576,500		10,233
			360,367
Insurance - 1.9%
ACE Ltd.	494,636		36,470
Amlin PLC	1,942,409		11,893
Berkshire Hathaway, Inc.:
Class A (a)	234		29,615
Class B (a)	486,868		41,062
Fairfax Financial Holdings Ltd. (sub. vtg.)	71,900		27,073
Hartford Financial Services Group, Inc.	1,013,400		18,170
MetLife, Inc.	2,833,406		96,704
Prudential Financial, Inc.	178,800		9,746
The Travelers Companies, Inc.	1,037,039		67,138
Torchmark Corp.	494,632		25,315
Validus Holdings Ltd.	952,465		31,917
			395,103
Real Estate Investment Trusts - 0.9%
American Tower Corp.	1,162,045		81,808
Camden Property Trust (SBI)	303,775		21,091
Equity Lifestyle Properties, Inc.	288,929		19,867
Home Properties, Inc.	29,800		1,903
Japan Retail Fund Investment Corp.	3,499		5,991
Sun Communities, Inc.	280,526		12,851
The Macerich Co.	685,541		40,838
			184,349
Thrifts & Mortgage Finance - 0.3%
Ocwen Financial Corp. (a)	2,001,417		51,496
TOTAL FINANCIALS			1,922,380
Common Stocks - continued
	Shares		Value (000s)
HEALTH CARE - 7.5%
Biotechnology - 2.3%
Alexion Pharmaceuticals, Inc. (a)	132,137		$ 14,166
Amgen, Inc.	2,040,855		171,269
Biogen Idec, Inc. (a)	539,608		79,101
BioMarin Pharmaceutical, Inc. (a)	596,287		22,265
CSL Ltd.	293,502		13,473
CSL Ltd. ADR	379,200		8,691
Gilead Sciences, Inc. (a)	2,149,093		123,981
Onyx Pharmaceuticals, Inc. (a)	415,782		29,903
Theravance, Inc. (a)	198,850		5,303
			468,152
Health Care Equipment & Supplies - 1.0%
C.R. Bard, Inc.	380,956		37,376
Covidien PLC	1,241,865		69,607
Edwards Lifesciences Corp. (a)	528,081		53,922
Quidel Corp. (a)(e)	1,317,147		21,390
The Cooper Companies, Inc.	406,065		34,049
			216,344
Health Care Providers & Services - 1.3%
Catamaran Corp. (a)	165,961		14,405
CIGNA Corp.	816,351		37,364
Express Scripts Holding Co. (a)	402,065		25,177
Henry Schein, Inc. (a)	715,654		54,969
McKesson Corp.	373,348		32,522
Omnicare, Inc.	341,802		11,068
UnitedHealth Group, Inc.	1,782,107		96,768
WellPoint, Inc.	88,200		5,281
			277,554
Pharmaceuticals - 2.9%
Allergan, Inc.	770,565		66,369
Eli Lilly & Co.	380,900		17,106
GlaxoSmithKline PLC sponsored ADR	553,190		25,165
Merck & Co., Inc.	2,594,840		111,708
Optimer Pharmaceuticals, Inc. (a)	568,104		8,539
Pfizer, Inc.	11,662,658		278,271
Sanofi SA sponsored ADR	590,703		24,189
Valeant Pharmaceuticals International, Inc. (Canada) (a)	1,099,375		56,288
			587,635
TOTAL HEALTH CARE			1,549,685
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - 6.6%
Aerospace & Defense - 1.9%
Honeywell International, Inc.	1,388,553		$ 81,161
MTU Aero Engines Holdings AG	218,364		16,664
Precision Castparts Corp.	334,903		53,946
Raytheon Co.	683,637		38,639
Textron, Inc.	2,095,158		55,983
The Boeing Co.	899,838		64,248
United Technologies Corp.	1,099,534		87,798
			398,439
Air Freight & Logistics - 0.4%
United Parcel Service, Inc. Class B	1,230,637		90,833
Building Products - 0.5%
Armstrong World Industries, Inc.	660,746		29,053
Owens Corning (a)	1,469,438		49,020
Quanex Building Products Corp.	947,855		16,587
			94,660
Commercial Services & Supplies - 0.2%
Stericycle, Inc. (a)	347,149		31,771
Electrical Equipment - 0.4%
Regal-Beloit Corp.	633,339		43,105
Roper Industries, Inc.	350,067		35,983
			79,088
Industrial Conglomerates - 1.8%
Danaher Corp.	1,396,974		74,836
General Electric Co.	12,219,400		253,064
Tyco International Ltd.	804,119		45,336
			373,236
Machinery - 0.6%
Caterpillar, Inc.	205,413		17,528
Cummins, Inc.	441,167		42,842
Fiat Industrial SpA	675,197		6,798
Illinois Tool Works, Inc.	763,773		45,284
			112,452
Road & Rail - 0.7%
CSX Corp.	1,922,124		43,171
J.B. Hunt Transport Services, Inc.	191,549		10,045
Union Pacific Corp.	807,500		98,063
			151,279
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - continued
Trading Companies & Distributors - 0.1%
W.W. Grainger, Inc.	95,800		$ 19,731
TOTAL INDUSTRIALS			1,351,489
INFORMATION TECHNOLOGY - 13.8%
Communications Equipment - 2.2%
Acme Packet, Inc. (a)	677,252		12,929
ADTRAN, Inc.	1,098,668		22,292
Finisar Corp. (a)	983,487		13,513
Juniper Networks, Inc. (a)	2,780,146		48,486
NETGEAR, Inc. (a)	322,578		11,797
QUALCOMM, Inc.	5,382,555		330,812
Riverbed Technology, Inc. (a)	616,612		12,326
			452,155
Computers & Peripherals - 5.4%
Apple, Inc.	1,541,738		1,025,622
NetApp, Inc. (a)	157,707		5,444
SanDisk Corp. (a)	1,988,456		81,964
			1,113,030
Electronic Equipment & Components - 0.3%
Hon Hai Precision Industry Co. Ltd. (Foxconn)	10,180,000		28,884
Jabil Circuit, Inc.	1,846,550		42,064
Uni-Pixel Inc. (a)	90,300		545
			71,493
Internet Software & Services - 1.0%
Dice Holdings, Inc. (a)	965,144		7,702
eBay, Inc. (a)	1,081,464		51,337
Facebook, Inc. Class A	856,127		15,479
Google, Inc. Class A (a)	135,830		93,056
Mail.ru Group Ltd.:
GDR (g)	391,234		12,821
GDR (Reg. S)	195,272		6,399
VeriSign, Inc. (a)	337,918		16,112
			202,906
IT Services - 0.0%
Accenture PLC Class A	32,270		1,988
Semiconductors & Semiconductor Equipment - 2.3%
Analog Devices, Inc.	3,381,391		134,376
ARM Holdings PLC sponsored ADR	641,300		17,469
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Semiconductors & Semiconductor Equipment - continued
ASAT Holdings Ltd. (a)	88,719		$ 0
ASML Holding NV	501,249		28,456
Avago Technologies Ltd.	1,928,985		70,543
Dialog Semiconductor PLC (a)	384,898		8,286
Fairchild Semiconductor International, Inc. (a)	841,711		12,222
International Rectifier Corp. (a)	676,289		11,774
Maxim Integrated Products, Inc.	1,194,297		32,413
Micron Technology, Inc. (a)	7,144,995		44,370
NXP Semiconductors NV (a)	1,327,116		30,948
ON Semiconductor Corp. (a)	2,754,511		17,161
PMC-Sierra, Inc. (a)	2,578,085		15,082
RF Micro Devices, Inc. (a)	4,914,586		18,430
Rubicon Technology, Inc. (a)(e)	123,185		1,037
Skyworks Solutions, Inc. (a)	1,141,255		34,763
			477,330
Software - 2.6%
Check Point Software Technologies Ltd. (a)	1,096,779		50,551
Citrix Systems, Inc. (a)	1,544,850		120,019
Microsoft Corp.	10,609,586		326,987
Sourcefire, Inc. (a)	158,833		8,242
VMware, Inc. Class A (a)	226,267		20,147
			525,946
TOTAL INFORMATION TECHNOLOGY			2,844,848
MATERIALS - 2.0%
Chemicals - 1.4%
Air Products & Chemicals, Inc.	647,168		53,443
E.I. du Pont de Nemours & Co.	1,381,887		68,749
Eastman Chemical Co.	627,953		34,701
Ecolab, Inc.	494,778		31,681
LyondellBasell Industries NV Class A	491,016		23,981
Sherwin-Williams Co.	299,779		42,892
Sigma Aldrich Corp.	389,450		27,663
			283,110
Containers & Packaging - 0.3%
Ball Corp.	669,211		28,221
Rock-Tenn Co. Class A	470,505		31,416
			59,637
Common Stocks - continued
	Shares		Value (000s)
MATERIALS - continued
Metals & Mining - 0.3%
First Quantum Minerals Ltd. (e)	1,466,705		$ 28,255
Goldcorp, Inc.	765,897		31,444
Turquoise Hill Resources Ltd. (a)	1,893,665		15,215
			74,914
TOTAL MATERIALS			417,661
TELECOMMUNICATION SERVICES - 1.5%
Diversified Telecommunication Services - 1.2%
AT&T, Inc.	1,892,026		69,324
CenturyLink, Inc.	1,777,204		75,105
Verizon Communications, Inc.	2,232,168		95,849
			240,278
Wireless Telecommunication Services - 0.3%
SBA Communications Corp. Class A (a)	442,894		26,476
Sprint Nextel Corp. (a)	9,026,777		43,780
			70,256
TOTAL TELECOMMUNICATION SERVICES			310,534
UTILITIES - 2.2%
Electric Utilities - 1.4%
American Electric Power Co., Inc.	417,924		17,967
Duke Energy Corp.	1,406,380		91,105
Edison International	1,547,007		67,743
FirstEnergy Corp.	1,320,436		57,703
NextEra Energy, Inc.	926,475		62,361
			296,879
Gas Utilities - 0.0%
ONEOK, Inc.	184,456		8,214
Independent Power Producers & Energy Traders - 0.2%
NRG Energy, Inc.	243,000		5,186
The AES Corp.	2,731,715		31,114
			36,300
Multi-Utilities - 0.6%
CenterPoint Energy, Inc.	1,386,952		28,280
NiSource, Inc.	698,474		17,001
Common Stocks - continued
	Shares		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
PG&E Corp.	592,029		$ 25,700
Sempra Energy	750,345		49,673
			120,654
TOTAL UTILITIES			462,047
TOTAL COMMON STOCKS (Cost $10,748,046)		13,125,808
Convertible Preferred Stocks - 0.0%

CONSUMER DISCRETIONARY - 0.0%
Media - 0.0%
Jumptap, Inc. Series G (q)	893,724		6,429
INFORMATION TECHNOLOGY - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
ASAT Holdings Ltd. 13.00% (a)	2,416		0
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $6,519)		6,429

Nonconvertible Bonds - 7.4%
	Principal Amount (000s)
CONSUMER DISCRETIONARY - 0.7%
Automobiles - 0.2%
Daimler Finance North America LLC 1.65% 4/10/15 (g)	$ 20,636		20,903
Volkswagen International Finance NV 2.375% 3/22/17 (g)	10,000		10,328
			31,231
Media - 0.5%
AOL Time Warner, Inc. 7.625% 4/15/31	4,975		6,762
Comcast Corp.:
4.65% 7/15/42	5,049		5,392
5.15% 3/1/20	644		767
6.4% 3/1/40	6,097		8,023
COX Communications, Inc. 4.625% 6/1/13	3,612		3,720
Discovery Communications LLC 3.7% 6/1/15	5,116		5,485
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
NBCUniversal Media LLC:
5.15% 4/30/20	$ 7,276		$ 8,592
6.4% 4/30/40	6,271		8,138
News America Holdings, Inc. 7.75% 12/1/45	8,630		11,735
News America, Inc. 6.15% 2/15/41	9,222		11,348
Time Warner Cable, Inc.:
4.5% 9/15/42	5,093		5,071
5.5% 9/1/41	13,538		15,346
6.2% 7/1/13	2,729		2,854
6.75% 7/1/18	1,378		1,724
Time Warner, Inc.:
5.875% 11/15/16	4,125		4,884
6.2% 3/15/40	3,821		4,697
6.5% 11/15/36	2,758		3,449
			107,987
Specialty Retail - 0.0%
Staples, Inc. 7.375% 10/1/12	820		824
TOTAL CONSUMER DISCRETIONARY			140,042
CONSUMER STAPLES - 0.5%
Beverages - 0.1%
Beam, Inc.:
1.875% 5/15/17	1,331		1,359
3.25% 5/15/22	1,578		1,636
Diageo Capital PLC 5.2% 1/30/13	4,139		4,219
FBG Finance Ltd. 5.125% 6/15/15 (g)	3,447		3,811
Fortune Brands, Inc.:
5.375% 1/15/16	1,615		1,840
5.875% 1/15/36	6,416		7,676
6.375% 6/15/14	482		527
SABMiller Holdings, Inc. 3.75% 1/15/22 (g)	5,490		5,958
			27,026
Food Products - 0.0%
Cargill, Inc. 6% 11/27/17 (g)	572		695
Kraft Foods, Inc.:
6.5% 2/9/40	3,854		5,316
6.75% 2/19/14	436		474
			6,485
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Tobacco - 0.4%
Altria Group, Inc.:
2.85% 8/9/22	$ 4,604		$ 4,591
4.25% 8/9/42	4,604		4,500
9.7% 11/10/18	16,451		23,620
Philip Morris International, Inc. 1.125% 8/21/17	24,419		24,374
Reynolds American, Inc.:
6.75% 6/15/17	3,486		4,223
7.25% 6/15/37	7,569		9,708
			71,016
TOTAL CONSUMER STAPLES			104,527
ENERGY - 1.1%
Energy Equipment & Services - 0.2%
DCP Midstream LLC:
4.75% 9/30/21 (g)	6,554		6,949
5.35% 3/15/20 (g)	6,637		7,281
El Paso Pipeline Partners Operating Co. LLC:
4.1% 11/15/15	7,675		8,099
5% 10/1/21	2,791		3,050
6.5% 4/1/20	1,091		1,287
Transocean, Inc.:
5.05% 12/15/16	4,522		5,009
6.375% 12/15/21	5,971		7,198
Weatherford International Ltd.:
4.95% 10/15/13	2,045		2,130
5.15% 3/15/13	2,673		2,730
			43,733
Oil, Gas & Consumable Fuels - 0.9%
Anadarko Petroleum Corp.:
5.95% 9/15/16	718		830
6.375% 9/15/17	13,514		16,161
Canadian Natural Resources Ltd. 5.15% 2/1/13	5,282		5,380
Duke Capital LLC 6.25% 2/15/13	809		829
Duke Energy Field Services:
5.375% 10/15/15 (g)	1,435		1,545
6.45% 11/3/36 (g)	6,493		7,497
El Paso Natural Gas Co. 5.95% 4/15/17	1,098		1,258
Enbridge Energy Partners LP 4.2% 9/15/21	7,741		8,264
Encana Holdings Finance Corp. 5.8% 5/1/14	3,391		3,644
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Enterprise Products Operating LP:
5.6% 10/15/14	$ 715		$ 783
5.65% 4/1/13	563		577
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (g)	327		382
Marathon Petroleum Corp. 5.125% 3/1/21	4,207		4,837
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (g)	6,234		6,430
Motiva Enterprises LLC 6.85% 1/15/40 (g)	4,294		5,662
Nakilat, Inc. 6.067% 12/31/33 (g)	2,490		2,944
Nexen, Inc. 5.2% 3/10/15	1,067		1,161
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	6,946		7,293
7.875% 3/15/19	7,382		9,153
Petroleos Mexicanos:
4.875% 1/24/22 (g)	1,430		1,605
5.5% 1/21/21	7,423		8,666
5.5% 6/27/44 (g)	6,720		7,308
6% 3/5/20	952		1,135
6.5% 6/2/41 (g)	8,760		10,884
Phillips 66:
4.3% 4/1/22 (g)	6,038		6,580
5.875% 5/1/42 (g)	5,485		6,484
Plains All American Pipeline LP/PAA Finance Corp.:
3.65% 6/1/22	3,381		3,575
3.95% 9/15/15	149		161
4.25% 9/1/12	718		718
6.125% 1/15/17	1,940		2,301
Ras Laffan Liquefied Natural Gas Co. Ltd. III:
4.5% 9/30/12 (g)	3,472		3,472
5.5% 9/30/14 (g)	5,137		5,535
5.832% 9/30/16 (g)	1,121		1,222
6.332% 9/30/27 (g)	5,910		6,988
6.75% 9/30/19 (g)	3,177		3,939
Rockies Express Pipeline LLC 6.25% 7/15/13 (g)	3,193		3,289
Southeast Supply Header LLC 4.85% 8/15/14 (g)	543		571
Spectra Energy Capital, LLC 5.65% 3/1/20	455		525
Spectra Energy Partners, LP:
2.95% 6/15/16	1,325		1,352
4.6% 6/15/21	1,733		1,882
Texas Eastern Transmission LP 6% 9/15/17 (g)	1,301		1,513
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
TransCapitalInvest Ltd. 5.67% 3/5/14 (g)	$ 4,215		$ 4,457
Western Gas Partners LP 5.375% 6/1/21	7,979		8,862
			177,654
TOTAL ENERGY			221,387
FINANCIALS - 3.2%
Capital Markets - 0.2%
BlackRock, Inc. 3.375% 6/1/22	3,840		4,063
Goldman Sachs Group, Inc.:
5.95% 1/18/18	4,684		5,269
6.15% 4/1/18	1,671		1,900
Lazard Group LLC:
6.85% 6/15/17	4,528		5,108
7.125% 5/15/15	1,616		1,773
Merrill Lynch & Co., Inc.:
6.11% 1/29/37	5,110		5,138
6.4% 8/28/17	4,179		4,749
Morgan Stanley:
5.5% 7/28/21	7,030		7,212
5.625% 9/23/19	1,795		1,858
5.75% 1/25/21	2,403		2,483
7.3% 5/13/19	6,528		7,367
			46,920
Commercial Banks - 0.6%
Bank of America NA 5.3% 3/15/17	8,427		9,173
BB&T Corp. 3.95% 3/22/22	6,787		7,330
Credit Suisse New York Branch 6% 2/15/18	15,195		16,877
Discover Bank:
7% 4/15/20	3,831		4,509
8.7% 11/18/19	2,425		3,070
Fifth Third Bancorp:
4.5% 6/1/18	584		634
8.25% 3/1/38	4,070		5,690
Fifth Third Bank 4.75% 2/1/15	951		1,014
Fifth Third Capital Trust IV 6.5% 4/15/67 (m)	4,393		4,393
HBOS PLC 6.75% 5/21/18 (g)	560		553
HSBC Holdings PLC 4% 3/30/22	5,850		6,276
Huntington Bancshares, Inc. 7% 12/15/20	1,908		2,278
JPMorgan Chase Bank 6% 10/1/17	2,460		2,897
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
KeyBank NA:
5.45% 3/3/16	$ 2,765		$ 3,092
5.8% 7/1/14	5,776		6,190
Marshall & Ilsley Bank:
4.85% 6/16/15	3,561		3,840
5% 1/17/17	9,004		10,094
5.25% 9/4/12	2,221		2,221
Regions Bank:
6.45% 6/26/37	9,201		9,213
7.5% 5/15/18	3,852		4,488
Regions Financial Corp.:
5.75% 6/15/15	1,443		1,533
7.75% 11/10/14	6,740		7,466
UnionBanCal Corp. 5.25% 12/16/13	777		813
Wachovia Corp.:
5.625% 10/15/16	3,991		4,596
5.75% 6/15/17	2,371		2,830
Wells Fargo & Co. 3.676% 6/15/16	3,236		3,521
			124,591
Consumer Finance - 0.4%
Capital One Financial Corp. 2.15% 3/23/15	20,318		20,810
Discover Financial Services:
5.2% 4/27/22	1,290		1,372
6.45% 6/12/17	12,103		13,712
Ford Motor Credit Co. LLC 2.5% 1/15/16	16,000		16,005
General Electric Capital Corp. 5.625% 9/15/17	15,752		18,615
HSBC USA, Inc. 2.375% 2/13/15	8,675		8,889
			79,403
Diversified Financial Services - 0.5%
Bank of America Corp.:
3.875% 3/22/17	7,618		8,027
5.65% 5/1/18	1,270		1,419
5.7% 1/24/22	12,760		14,439
5.75% 12/1/17	11,990		13,408
5.875% 2/7/42	5,117		5,815
BP Capital Markets PLC:
3.625% 5/8/14	4,599		4,828
4.5% 10/1/20	961		1,119
4.742% 3/11/21	6,000		7,044
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
Capital One Capital V 10.25% 8/15/39	$ 4,813		$ 4,957
Citigroup, Inc.:
2.25% 8/7/15	5,000		5,043
4.75% 5/19/15	11,282		12,112
6.125% 5/15/18	1,701		1,973
6.5% 8/19/13	19,655		20,671
JPMorgan Chase & Co. 3.15% 7/5/16	10,650		11,276
TECO Finance, Inc. 4% 3/15/16	1,828		1,982
			114,113
Insurance - 0.7%
American International Group, Inc.:
2.375% 8/24/15	16,000		16,028
4.875% 6/1/22	3,000		3,272
Aon Corp.:
3.125% 5/27/16	4,391		4,638
3.5% 9/30/15	3,180		3,353
Axis Capital Holdings Ltd. 5.75% 12/1/14	452		486
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (g)(m)	1,750		1,785
Hartford Financial Services Group, Inc.:
5.125% 4/15/22	11,774		12,663
5.375% 3/15/17	287		314
6.625% 4/15/42	9,968		11,222
Liberty Mutual Group, Inc.:
5% 6/1/21 (g)	8,525		8,953
6.5% 3/15/35 (g)	1,315		1,412
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	4,458		5,008
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (g)	3,576		4,078
MetLife, Inc.:
5% 6/15/15	941		1,045
6.75% 6/1/16	5,158		6,169
Metropolitan Life Global Funding I:
5.125% 4/10/13 (g)	452		464
5.125% 6/10/14 (g)	4,625		4,972
Monumental Global Funding III 5.5% 4/22/13 (g)	2,585		2,647
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (g)	4,915		6,329
Pacific Life Insurance Co. 9.25% 6/15/39 (g)	3,353		4,566
Pacific LifeCorp 6% 2/10/20 (g)	5,390		6,002
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
Prudential Financial, Inc.:
3.875% 1/14/15	$ 5,340		$ 5,663
5.15% 1/15/13	2,934		2,982
6.2% 11/15/40	2,535		2,989
7.375% 6/15/19	2,520		3,173
Symetra Financial Corp. 6.125% 4/1/16 (g)	5,955		6,479
Unum Group:
5.625% 9/15/20	3,667		4,051
5.75% 8/15/42	5,242		5,405
7.125% 9/30/16	869		1,012
			137,160
Real Estate Investment Trusts - 0.3%
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22	1,925		2,029
AvalonBay Communities, Inc. 4.95% 3/15/13	296		302
Boston Properties, Inc. 3.85% 2/1/23	4,358		4,562
BRE Properties, Inc. 5.5% 3/15/17	977		1,109
Camden Property Trust:
5.375% 12/15/13	3,103		3,257
5.875% 11/30/12	542		548
DDR Corp. 4.625% 7/15/22	2,262		2,346
Developers Diversified Realty Corp.:
4.75% 4/15/18	5,964		6,393
7.5% 4/1/17	4,622		5,411
Duke Realty LP:
4.375% 6/15/22	3,546		3,707
4.625% 5/15/13	967		987
5.4% 8/15/14	771		823
5.5% 3/1/16	3,075		3,372
6.75% 3/15/20	560		675
8.25% 8/15/19	2,489		3,148
Equity One, Inc.:
5.375% 10/15/15	948		1,023
6% 9/15/17	717		798
6.25% 12/15/14	1,000		1,084
6.25% 1/15/17	399		445
Federal Realty Investment Trust:
5.4% 12/1/13	355		373
5.9% 4/1/20	1,860		2,227
6.2% 1/15/17	501		583
HCP, Inc. 3.15% 8/1/22	7,000		6,835
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
Health Care REIT, Inc. 4.125% 4/1/19	$ 13,700		$ 14,415
HRPT Properties Trust:
5.75% 11/1/15	1,731		1,818
6.25% 6/15/17	996		1,093
6.65% 1/15/18	676		750
Washington (REIT) 5.25% 1/15/14	476		497
			70,610
Real Estate Management & Development - 0.5%
AMB Property LP 5.9% 8/15/13	2,086		2,160
BioMed Realty LP:
3.85% 4/15/16	7,000		7,316
4.25% 7/15/22	2,970		3,100
6.125% 4/15/20	2,467		2,878
Brandywine Operating Partnership LP 5.7% 5/1/17	129		141
Digital Realty Trust LP:
4.5% 7/15/15	3,650		3,866
5.25% 3/15/21	4,138		4,570
ERP Operating LP:
4.625% 12/15/21	12,970		14,876
4.75% 7/15/20	5,288		5,990
5.5% 10/1/12	382		383
5.75% 6/15/17	2,042		2,406
Liberty Property LP:
4.125% 6/15/22	3,041		3,156
4.75% 10/1/20	7,482		8,153
5.125% 3/2/15	1,229		1,320
5.5% 12/15/16	1,772		1,987
Mack-Cali Realty LP:
4.5% 4/18/22	1,907		2,021
7.75% 8/15/19	1,036		1,273
Post Apartment Homes LP 6.3% 6/1/13	3,079		3,167
Prime Property Funding, Inc.:
5.125% 6/1/15 (g)	2,258		2,304
5.5% 1/15/14 (g)	816		836
5.7% 4/15/17 (g)	1,991		2,082
Regency Centers LP:
4.95% 4/15/14	494		518
5.25% 8/1/15	1,725		1,878
5.875% 6/15/17	877		1,008
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
Simon Property Group LP:
4.2% 2/1/15	$ 2,640		$ 2,816
6.75% 5/15/14	5,698		6,163
Tanger Properties LP:
6.125% 6/1/20	9,256		10,984
6.15% 11/15/15	1,254		1,400
			98,752
TOTAL FINANCIALS			671,549
HEALTH CARE - 0.3%
Biotechnology - 0.1%
Amgen, Inc. 5.15% 11/15/41	17,224		18,836
Celgene Corp. 2.45% 10/15/15	907		939
			19,775
Health Care Providers & Services - 0.2%
Aristotle Holding, Inc.:
4.75% 11/15/21 (g)	10,952		12,640
6.125% 11/15/41 (g)	5,466		7,131
Coventry Health Care, Inc.:
5.95% 3/15/17	1,413		1,652
6.3% 8/15/14	2,925		3,170
Express Scripts, Inc. 6.25% 6/15/14	1,991		2,175
Medco Health Solutions, Inc.:
2.75% 9/15/15	1,740		1,820
4.125% 9/15/20	5,031		5,468
			34,056
Pharmaceuticals - 0.0%
Watson Pharmaceuticals, Inc. 5% 8/15/14	1,065		1,133
TOTAL HEALTH CARE			54,964
INDUSTRIALS - 0.3%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc.:
4.95% 6/1/14 (g)	846		892
6.375% 6/1/19 (g)	5,000		5,971
			6,863
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Airlines - 0.0%
Continental Airlines, Inc.:
6.648% 3/15/19	$ 2,631		$ 2,775
6.9% 7/2/19	798		863
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	1,522		1,591
8.36% 1/20/19	1,259		1,366
			6,595
Road & Rail - 0.2%
Burlington Northern Santa Fe LLC:
4.4% 3/15/42	18,995		20,003
5.05% 3/1/41	8,624		9,904
Norfolk Southern Corp. 3% 4/1/22	13,653		14,156
			44,063
TOTAL INDUSTRIALS			57,521
INFORMATION TECHNOLOGY - 0.1%
Electronic Equipment & Components - 0.0%
Tyco Electronics Group SA:
5.95% 1/15/14	3,694		3,940
6% 10/1/12	4,552		4,570
6.55% 10/1/17	1,119		1,353
			9,863
Office Electronics - 0.1%
Xerox Corp.:
1.8679% 9/13/13 (m)	10,110		10,180
4.25% 2/15/15	545		580
4.5% 5/15/21	2,447		2,572
			13,332
TOTAL INFORMATION TECHNOLOGY			23,195
MATERIALS - 0.2%
Chemicals - 0.1%
Dow Chemical Co. 7.6% 5/15/14	10,939		12,139
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	2,152		2,388
Metals & Mining - 0.1%
Anglo American Capital PLC 9.375% 4/8/14 (g)	1,278		1,433
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - continued
Corporacion Nacional del Cobre de Chile (Codelco):
3.875% 11/3/21 (g)	$ 6,889		$ 7,434
6.375% 11/30/12 (g)	1,618		1,637
Vale Overseas Ltd.:
4.375% 1/11/22	6,000		6,154
6.25% 1/23/17	2,726		3,125
			19,783
TOTAL MATERIALS			34,310
TELECOMMUNICATION SERVICES - 0.3%
Diversified Telecommunication Services - 0.2%
AT&T, Inc. 6.8% 5/15/36	9,241		12,642
BellSouth Capital Funding Corp. 7.875% 2/15/30	1,158		1,574
CenturyLink, Inc.:
6.15% 9/15/19	3,372		3,671
6.45% 6/15/21	3,263		3,644
7.6% 9/15/39	1,011		1,046
Embarq Corp. 7.995% 6/1/36	3,741		4,142
Telefonica Emisiones SAU 5.462% 2/16/21	4,994		4,594
Verizon Communications, Inc.:
6.1% 4/15/18	2,674		3,341
6.25% 4/1/37	4,611		6,123
			40,777
Wireless Telecommunication Services - 0.1%
America Movil SAB de CV 3.625% 3/30/15	1,082		1,155
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
5.15% 3/15/42	3,616		3,696
5.875% 10/1/19	8,810		10,362
6.35% 3/15/40	2,500		2,945
Vodafone Group PLC 5% 12/16/13	2,696		2,849
			21,007
TOTAL TELECOMMUNICATION SERVICES			61,784
UTILITIES - 0.7%
Electric Utilities - 0.4%
Ameren Illinois Co. 6.125% 11/15/17	333		393
AmerenUE 6.4% 6/15/17	3,507		4,209
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Cleveland Electric Illuminating Co. 5.65% 12/15/13	$ 4,829		$ 5,092
Duke Capital LLC 5.668% 8/15/14	2,413		2,601
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (g)	5,410		6,106
6.4% 9/15/20 (g)	10,602		12,253
Edison International 3.75% 9/15/17	4,275		4,571
Enel Finance International SA 5.7% 1/15/13 (g)	305		308
FirstEnergy Corp. 7.375% 11/15/31	9,223		12,171
FirstEnergy Solutions Corp.:
4.8% 2/15/15	1,798		1,920
6.05% 8/15/21	6,625		7,372
LG&E and KU Energy LLC:
2.125% 11/15/15	4,999		5,050
3.75% 11/15/20	984		1,019
Nevada Power Co.:
6.5% 5/15/18	5,290		6,602
6.5% 8/1/18	1,844		2,312
Pennsylvania Electric Co. 6.05% 9/1/17	618		710
Pepco Holdings, Inc. 2.7% 10/1/15	4,728		4,870
Sierra Pacific Power Co. 5.45% 9/1/13	1,831		1,909
			79,468
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (g)	357		420
Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21	2,360		2,533
			2,953
Independent Power Producers & Energy Traders - 0.0%
PSEG Power LLC 2.75% 9/15/16	1,703		1,777
Multi-Utilities - 0.3%
Dominion Resources, Inc.:
2.7606% 9/30/66 (m)	13,426		12,223
7.5% 6/30/66 (m)	3,828		4,139
MidAmerican Energy Holdings, Co.:
5.875% 10/1/12	3,227		3,239
6.5% 9/15/37	3,287		4,491
National Grid PLC 6.3% 8/1/16	407		470
NiSource Finance Corp.:
4.45% 12/1/21	2,779		3,007
5.25% 9/15/17	682		786
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
NiSource Finance Corp.: - continued
5.25% 2/15/43	$ 4,557		$ 5,046
5.4% 7/15/14	6,582		7,075
5.45% 9/15/20	980		1,120
5.8% 2/1/42	3,785		4,503
6.4% 3/15/18	1,557		1,864
6.8% 1/15/19	4,065		4,874
Sempra Energy 2.3% 4/1/17	7,119		7,446
Wisconsin Energy Corp. 6.25% 5/15/67 (m)	3,554		3,763
			64,046
TOTAL UTILITIES			148,244
TOTAL NONCONVERTIBLE BONDS (Cost $1,363,957)		1,517,523
U.S. Government and Government Agency Obligations - 4.9%

U.S. Treasury Inflation Protected Obligations - 1.0%
U.S. Treasury Inflation-Indexed Bonds:
0.75% 2/15/42	129,548		142,315
2.125% 2/15/41	44,924		66,568
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			208,883
U.S. Treasury Obligations - 3.9%
U.S. Treasury Bills, yield at date of purchase 0.1% 11/23/12 (i)	6,110		6,109
U.S. Treasury Bonds 3% 5/15/42	83,902		89,801
U.S. Treasury Notes:
0.5% 7/31/17	151,500		150,896
0.75% 6/30/17 (j)	40,000		40,338
0.875% 7/31/19	175,011		173,712
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
1% 8/31/19	$ 195,000		$ 194,985
1.625% 8/15/22	155,000		156,017
TOTAL U.S. TREASURY OBLIGATIONS			811,858
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $990,501)		1,020,741
U.S. Government Agency - Mortgage Securities - 8.8%

Fannie Mae - 7.2%
2.558% 6/1/36 (m)	181		194
2.777% 7/1/37 (m)	544		585
3% 4/1/27 to 8/1/42	30,176		31,504
3% 9/1/27 (h)	9,100		9,603
3% 9/1/27 (h)	9,300		9,814
3% 9/1/27 (h)	8,000		8,442
3% 9/1/42 (h)	700		726
3% 9/1/42 (h)	195,900		203,280
3% 9/1/42 (h)	11,300		11,726
3% 9/1/42 (h)	184,600		191,554
3% 10/1/42 (h)	135,900		140,487
3.5% 1/1/21 to 8/1/42	25,483		27,231
3.5% 9/1/27 (h)	4,000		4,253
3.5% 7/1/42	84		90
3.5% 7/1/42	122		130
3.5% 8/1/42	156		167
3.5% 8/1/42	144		154
3.5% 9/1/42 (h)	268,800		285,012
3.5% 9/1/42 (h)	3,700		3,923
3.5% 9/1/42 (h)	7,300		7,740
4% 9/1/26 to 4/1/42	43,345		46,757
4% 9/1/41	132		142
4% 9/1/42 (h)	77,000		82,570
4.5% 6/1/18 to 7/1/41	31,845		34,882
4.5% 9/1/42 (h)	69,000		74,682
4.5% 9/1/42 (h)	5,600		6,061
5% 12/1/25 to 5/1/40	35,141		38,607
5% 9/1/42 (h)	1,300		1,420
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
5% 9/1/42 (h)	$ 500		$ 546
5% 9/1/42 (h)	52,000		56,794
5.5% 9/1/24 to 3/1/40	40,142		44,126
5.5% 9/1/42 (h)	60,000		65,845
6% 6/1/35 to 4/1/40	52,455		57,935
6% 9/1/42 (h)	40,000		44,078
TOTAL FANNIE MAE			1,491,060
Freddie Mac - 0.8%
3.454% 10/1/35 (m)	259		278
3.5% 4/1/32 to 4/1/42	9,965		10,669
4% 6/1/24 to 11/1/41	16,220		17,650
4% 9/1/41	870		946
4% 9/1/42 (h)	23,000		24,606
4.5% 7/1/25 to 10/1/41	45,001		48,942
5% 3/1/19 to 9/1/40	29,059		31,672
5.5% 1/1/28 to 3/1/40	20,160		21,973
6% 7/1/37 to 8/1/37	1,077		1,185
6.5% 3/1/36	1,330		1,504
TOTAL FREDDIE MAC			159,425
Ginnie Mae - 0.8%
3% 10/1/42 (h)	11,300		11,837
3.5% 11/15/41 to 3/15/42	10,016		10,859
3.5% 9/1/42 (h)	1,200		1,299
4% 1/15/25 to 11/15/41	28,145		30,737
4.5% 5/15/39 to 4/15/41	53,616		59,455
5% 3/15/39 to 9/15/41	24,680		27,630
5.5% 12/15/31 to 1/15/39	1,304		1,460
6% 2/15/34 to 9/20/38	13,321		15,050
TOTAL GINNIE MAE			158,327
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,790,231)		1,808,812
Asset-Backed Securities - 0.3%
	Principal Amount (000s)		Value (000s)
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7055% 4/25/35 (m)	$ 1,086		$ 836
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1 Class M2, 1.8855% 3/25/34 (m)	424		346
Series 2005-HE2 Class M2, 0.6855% 4/25/35 (m)	89		85
Advanta Business Card Master Trust Series 2006-C1 Class C1, 0.6758% 10/20/14 (m)	688		7
Ally Master Owner Trust Series 2012-3 Class A2, 1.21% 6/15/17	32,660		32,719
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 0.9355% 12/25/33 (m)	85		64
Series 2004-R2 Class M3, 0.7855% 4/25/34 (m)	120		47
Series 2005-R2 Class M1, 0.6855% 4/25/35 (m)	2,266		2,030
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.0262% 3/25/34 (m)	53		42
Series 2004-W11 Class M2, 0.9355% 11/25/34 (m)	616		433
Series 2004-W7 Class M1, 0.7855% 5/25/34 (m)	1,600		1,136
Series 2006-W4 Class A2C, 0.3955% 5/25/36 (m)	1,429		432
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.0605% 4/25/34 (m)	2,575		2,120
Series 2006-HE2 Class M1, 0.6055% 3/25/36 (m)	64		0*
Axon Financial Funding Ltd. Series 2007-1 Class A1, 0.9743% 4/4/17 (d)(g)(m)	6,960		0
Capital Trust Ltd. Series 2004-1:
Class A2, 0.687% 7/20/39 (g)(m)	138		125
Class B, 0.987% 7/20/39 (g)(m)	290		130
Class C, 1.337% 7/20/39 (g)(m)	372		6
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3755% 12/25/36 (m)	1,978		788
Citigroup Mortgage Loan Trust Series 2005-HE4 Class A2C, 0.5055% 10/25/35 (m)	447		445
Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3662% 9/25/37 (m)	129		128
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (g)	363		0
Countrywide Home Loans, Inc.:
Series 2004-3 Class M4, 1.2055% 4/25/34 (m)	175		80
Series 2004-4 Class M2, 1.0305% 6/25/34 (m)	645		371
Fannie Mae Series 2004-T5 Class AB3, 1.1466% 5/28/35 (m)	43		27
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4105% 8/25/34 (m)	319		197
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
First Franklin Mortgage Loan Trust:
Series 2004-FF2 Class M3, 1.0605% 3/25/34 (m)	$ 25		$ 10
Series 2006-FF14 Class A2, 0.2955% 10/25/36 (m)	462		457
Fremont Home Loan Trust Series 2005-A:
Class M3, 0.9705% 1/25/35 (m)	1,041		325
Class M4, 1.2555% 1/25/35 (m)	399		53
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8069% 2/25/47 (g)(m)	3,122		1,284
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (g)	624		602
GE Business Loan Trust:
Series 2003-1 Class A, 0.6695% 4/15/31 (g)(m)	216		203
Series 2006-2A:
Class A, 0.4195% 11/15/34 (g)(m)	1,457		1,254
Class B, 0.5195% 11/15/34 (g)(m)	526		364
Class C, 0.6195% 11/15/34 (g)(m)	874		498
Class D, 0.9895% 11/15/34 (g)(m)	332		103
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7855% 9/25/46 (g)(m)	1,540		1,481
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5555% 8/25/33 (m)	376		293
Series 2003-3 Class M1, 1.5255% 8/25/33 (m)	745		623
Series 2003-5 Class A2, 0.9355% 12/25/33 (m)	36		30
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4255% 1/25/37 (m)	1,642		549
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.5355% 7/25/36 (m)	3,185		44
Series 2007-CH1 Class AV4, 0.3655% 11/25/36 (m)	1,641		1,507
Keycorp Student Loan Trust:
Series 1999-A Class A2, 0.7906% 12/27/29 (m)	570		512
Series 2006-A Class 2C, 1.6106% 3/27/42 (m)	2,909		138
Marriott Vacation Club Owner Trust Series 2006-2A:
Class B, 5.442% 10/20/28 (g)	9		9
Class C, 5.691% 10/20/28 (g)	4		4
Class D, 6.01% 10/20/28 (g)	48		49
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.5355% 5/25/37 (m)	861		7
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9855% 7/25/34 (m)	163		104
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.2105% 7/25/34 (m)	506		336
Series 2006-FM1 Class A2B, 0.3455% 4/25/37 (m)	1,582		1,428
Series 2006-OPT1 Class A1A, 0.4955% 6/25/35 (m)	2,995		2,411
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.5755% 8/25/34 (m)	$ 63		$ 50
Series 2005-NC1 Class M1, 0.6755% 1/25/35 (m)	439		264
Series 2005-NC2 Class B1, 1.4055% 3/25/35 (m)	457		54
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/27/14 (o)	1,638		21
Series 2006-4 Class D, 1.3355% 5/25/32 (m)	2,225		0*
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7455% 9/25/35 (m)	1,566		1,012
Ocala Funding LLC:
Series 2005-1A Class A, 1.737% 3/20/10 (d)(g)(m)	621		0
Series 2006-1A Class A, 1.637% 3/20/11 (d)(g)(m)	1,290		0
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 1.4855% 9/25/34 (m)	585		255
Class M4, 1.6855% 9/25/34 (m)	750		170
Series 2005-WCH1 Class M4, 1.0655% 1/25/36 (m)	1,620		926
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0355% 4/25/33 (m)	6		5
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0305% 3/25/35 (m)	1,392		1,009
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3968% 3/20/19 (FGIC Insured) (g)(m)	444		434
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4179% 6/15/33 (m)	1,396		845
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (g)	655		0
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9605% 9/25/34 (m)	70		24
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (g)	475		487
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0955% 9/25/34 (m)	32		29
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0196% 4/6/42 (g)(m)	2,177		27
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (g)	974		0
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (g)	$ 8		$ 0
Whinstone Capital Management Ltd. Series 1A Class B3, 2.2511% 10/25/44 (g)(m)	1,964		1,296
TOTAL ASSET-BACKED SECURITIES (Cost $60,917)		64,180
Collateralized Mortgage Obligations - 0.2%

Private Sponsor - 0.2%
Bayview Commercial Asset Trust Series 2006-3A, Class IO, 3.9199% 10/25/36 (g)(m)(o)	27,699		979
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7955% 1/25/35 (m)	1,962		1,689
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (m)	1,468		616
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7385% 7/16/34 (g)(m)	8		8
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.623% 10/25/34 (m)	1,183		1,139
Granite Master Issuer PLC:
floater:
Series 2006-1A Class A5, 0.377% 12/20/54 (g)(m)	6,713		6,545
Series 2006-3 Class M2, 0.517% 12/20/54 (m)	5,460		4,750
Series 2006-4:
Class B1, 0.417% 12/20/54 (m)	4,556		4,157
Class M1, 0.577% 12/20/54 (m)	1,198		1,042
Series 2007-1:
Class 1B1, 0.377% 12/20/54 (m)	4,650		4,243
Class 1M1, 0.537% 12/20/54 (m)	1,611		1,402
Class 2M1, 0.737% 12/20/54 (m)	2,067		1,798
Series 2007-2 Class 2C1, 1.098% 12/17/54 (m)	2,864		2,162
sequential payer Series 2006-3 Class B2, 0.407% 12/20/54 (m)	5,461		4,983
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9051% 1/20/44 (m)	472		374
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (m)	1,532		1,620
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.6881% 8/25/36 (m)	1,956		1,506
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39	591		682
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4455% 5/25/47 (m)	$ 848		$ 543
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4055% 2/25/37 (m)	1,476		1,158
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5255% 7/25/35 (m)	2,048		1,665
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5903% 7/10/35 (g)(m)	1,153		919
Class B6, 3.0903% 7/10/35 (g)(m)	245		194
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6855% 6/25/33 (g)(m)	221		212
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (g)	185		62
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.6169% 7/20/34 (m)	38		33
Structured Asset Securities Corp. Series 2003-15A Class 4A, 5.3743% 4/25/33 (m)	333		311
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4355% 9/25/36 (m)	3,513		3,021
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $35,173)		47,813
Commercial Mortgage Securities - 1.9%

Asset Securitization Corp. Series 1997-D5:
Class A6, 7.1354% 2/14/43 (m)	153		154
Class PS1, 1.2297% 2/14/43 (m)(o)	747		22
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.7087% 5/10/45 (m)	1,083		1,146
Series 2006-5:
Class A2, 5.317% 9/10/47	3,817		3,838
Class A3, 5.39% 9/10/47	1,832		1,944
Series 2006-6 Class A3, 5.369% 10/10/45	2,628		2,872
Series 2007-4 Class A3, 5.7921% 2/10/51 (m)	1,291		1,342
Series 2006-6 Class E, 5.619% 10/10/45 (g)	759		76
Series 2007-3:
Class A3, 5.6612% 6/10/49 (m)	2,194		2,237
Class A4, 5.6612% 6/10/49 (m)	2,739		3,133
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2001-1 Class A4, 5.451% 1/15/49	$ 2,878		$ 3,297
Series 2004-2 Class A4, 4.153% 11/10/38	1,406		1,445
Series 2005-1 Class A3, 4.877% 11/10/42	469		469
Series 2001-3 Class H, 6.562% 4/11/37 (g)	735		735
Series 2005-3 Class A3B, 5.09% 7/10/43 (m)	4,082		4,299
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class C, 0.5495% 3/15/22 (g)(m)	564		558
Class D, 0.5995% 3/15/22 (g)(m)	572		564
Class E, 0.6395% 3/15/22 (g)(m)	472		463
Class F, 0.7095% 3/15/22 (g)(m)	676		656
Class G, 0.7695% 3/15/22 (g)(m)	438		416
Series 2006-BIX1:
Class D, 0.4495% 10/15/19 (g)(m)	115		111
Class E, 0.4795% 10/15/19 (g)(m)	956		903
Class F, 0.5495% 10/15/19 (g)(m)	2,868		2,696
Class G, 0.5695% 10/15/19 (g)(m)	1,350		1,255
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.0855% 12/25/33 (g)(m)	65		47
Series 2004-1:
Class A, 0.5955% 4/25/34 (g)(m)	1,120		988
Class B, 2.1355% 4/25/34 (g)(m)	125		73
Class M1, 0.7955% 4/25/34 (g)(m)	101		72
Class M2, 1.4355% 4/25/34 (g)(m)	93		65
Series 2005-2A:
Class A1, 0.5455% 8/25/35 (g)(m)	1,525		1,100
Class M1, 0.6655% 8/25/35 (g)(m)	83		49
Class M2, 0.7155% 8/25/35 (g)(m)	137		74
Class M3, 0.7355% 8/25/35 (g)(m)	76		37
Series 2005-3A:
Class A2, 0.6355% 11/25/35 (g)(m)	536		421
Class M1, 0.6755% 11/25/35 (g)(m)	70		40
Class M2, 0.7255% 11/25/35 (g)(m)	89		48
Class M3, 0.7455% 11/25/35 (g)(m)	80		41
Class M4, 0.8355% 11/25/35 (g)(m)	100		47
Series 2005-4A:
Class A2, 0.6255% 1/25/36 (g)(m)	1,392		986
Class B1, 1.6355% 1/25/36 (g)(m)	120		18
Class M1, 0.6855% 1/25/36 (g)(m)	449		277
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2005-4A:
Class M2, 0.7055% 1/25/36 (g)(m)	$ 135		$ 78
Class M3, 0.7355% 1/25/36 (g)(m)	197		105
Class M4, 0.8455% 1/25/36 (g)(m)	109		53
Class M5, 0.8855% 1/25/36 (g)(m)	109		36
Class M6, 0.9355% 1/25/36 (g)(m)	116		31
Series 2006-1:
Class A2, 0.5955% 4/25/36 (g)(m)	215		159
Class M1, 0.6155% 4/25/36 (g)(m)	77		46
Class M2, 0.6355% 4/25/36 (g)(m)	81		45
Class M3, 0.6555% 4/25/36 (g)(m)	70		36
Class M4, 0.7555% 4/25/36 (g)(m)	40		18
Class M5, 0.7955% 4/25/36 (g)(m)	39		14
Class M6, 0.8755% 4/25/36 (g)(m)	77		26
Series 2006-2A:
Class A1, 0.4655% 7/25/36 (g)(m)	3,201		2,257
Class A2, 0.5155% 7/25/36 (g)(m)	190		135
Class B1, 1.1055% 7/25/36 (g)(m)	71		10
Class B3, 2.9355% 7/25/36 (g)(m)	67		2
Class M1, 0.5455% 7/25/36 (g)(m)	200		65
Class M2, 0.5655% 7/25/36 (g)(m)	141		42
Class M3, 0.5855% 7/25/36 (g)(m)	117		26
Class M4, 0.6555% 7/25/36 (g)(m)	79		17
Class M5, 0.7055% 7/25/36 (g)(m)	97		19
Class M6, 0.7755% 7/25/36 (g)(m)	145		23
Series 2006-3A:
Class B1, 1.0355% 10/25/36 (g)(m)	4		0*
Class M4, 0.6655% 10/25/36 (g)(m)	157		24
Class M5, 0.7155% 10/25/36 (g)(m)	188		12
Class M6, 0.7955% 10/25/36 (g)(m)	369		9
Series 2006-4A:
Class A1, 0.4655% 12/25/36 (g)(m)	809		549
Class A2, 0.5055% 12/25/36 (g)(m)	3,952		1,841
Class B1, 0.9355% 12/25/36 (g)(m)	78		2
Class M1, 0.5255% 12/25/36 (g)(m)	263		54
Class M2, 0.5455% 12/25/36 (g)(m)	175		27
Class M3, 0.5755% 12/25/36 (g)(m)	176		24
Class M4, 0.6355% 12/25/36 (g)(m)	213		24
Class M5, 0.6755% 12/25/36 (g)(m)	195		16
Class M6, 0.7555% 12/25/36 (g)(m)	175		10
Series 2007-1 Class A2, 0.5055% 3/25/37 (g)(m)	810		436
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-2A:
Class A1, 0.5055% 7/25/37 (g)(m)	$ 771		$ 434
Class A2, 0.5555% 7/25/37 (g)(m)	723		240
Class B1, 1.8355% 7/25/37 (g)(m)	105		1
Class M1, 0.6055% 7/25/37 (g)(m)	253		66
Class M2, 0.6455% 7/25/37 (g)(m)	139		17
Class M3, 0.7255% 7/25/37 (g)(m)	140		14
Class M4, 0.8855% 7/25/37 (g)(m)	278		22
Class M5, 0.9855% 7/25/37 (g)(m)	245		17
Class M6, 1.2355% 7/25/37 (g)(m)	311		16
Series 2007-3:
Class A2, 0.5255% 7/25/37 (g)(m)	827		420
Class B1, 1.1855% 7/25/37 (g)(m)	184		12
Class B2, 1.8355% 7/25/37 (g)(m)	433		24
Class M1, 0.5455% 7/25/37 (g)(m)	165		38
Class M2, 0.5755% 7/25/37 (g)(m)	176		31
Class M3, 0.6055% 7/25/37 (g)(m)	276		38
Class M4, 0.7355% 7/25/37 (g)(m)	434		51
Class M5, 0.8355% 7/25/37 (g)(m)	227		23
Class M6, 1.0355% 7/25/37 (g)(m)	173		15
Series 2007-4A:
Class M1, 1.1855% 9/25/37 (g)(m)	293		18
Class M2, 1.2855% 9/25/37 (g)(m)	293		15
Class M4, 1.8355% 9/25/37 (g)(m)	742		30
Class M5, 1.9855% 9/25/37 (g)(m)	742		23
Class M6, 2.1855% 9/25/37 (g)(m)	486		12
Series 2004-1, Class IO, 1.25% 4/25/34 (g)(o)	2,255		91
Series 2007-5A, Class IO, 4.1484% 10/25/37 (g)(m)(o)	5,767		499
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class H, 0.8895% 3/15/19 (g)(m)	439		424
Class J, 1.0895% 3/15/19 (g)(m)	447		409
Series 2007-BBA8:
Class D, 0.4895% 3/15/22 (g)(m)	653		590
Class E, 0.5395% 3/15/22 (g)(m)	3,391		2,994
Class F, 0.5895% 3/15/22 (g)(m)	2,081		1,795
Class G, 0.6395% 3/15/22 (g)(m)	534		450
Class H, 0.7895% 3/15/22 (g)(m)	653		537
Class J, 0.9395% 3/15/22 (g)(m)	653		521
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bear Stearns Commercial Mortgage Securities Trust: - continued
sequential payer:
Series 2004-PWR3 Class A3, 4.487% 2/11/41	$ 301		$ 303
Series 2007-PW15 Class AAB, 5.315% 2/11/44	3,274		3,413
Series 2007-PW16:
Class A4, 5.7154% 6/11/40 (m)	769		901
Class AAB, 5.7154% 6/11/40 (m)	6,095		6,557
Series 2007-PW18:
Class A2, 5.613% 6/11/50	280		286
Class A4, 5.7% 6/11/50	5,820		6,827
Series 2006-PW13 Class A3, 5.518% 9/11/41	4,638		4,849
Series 2006-PW14 Class X2, 0.6677% 12/11/38 (g)(m)(o)	13,836		113
Series 2006-T22 Class A4, 5.5391% 4/12/38 (m)	164		188
Series 2006-T24 Class X2, 0.4455% 10/12/41 (g)(m)(o)	3,433		16
Series 2007-PW18 Class X2, 0.3156% 6/11/50 (g)(m)(o)	92,485		864
Series 2007-T28 Class X2, 0.1576% 9/11/42 (g)(m)(o)	49,759		265
C-BASS Trust floater Series 2006-SC1 Class A, 0.5055% 5/25/36 (g)(m)	772		668
CDC Commercial Mortgage Trust Series 2002-FX1:
Class G, 6.625% 5/15/35 (g)	1,544		1,592
Class XCL, 1.331% 5/15/35 (g)(m)(o)	5,266		103
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 0.5693% 8/15/21 (g)(m)	127		126
Class H, 0.6093% 8/15/21 (g)(m)	468		447
Series 2007-C6:
Class A2, 5.7002% 12/10/49 (m)	1,062		1,062
Class A4, 5.7002% 12/10/49 (m)	4,371		5,103
Series 2008-C7 Class A2B, 6.0731% 12/10/49 (m)	839		860
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49	16,063		18,109
Series 2007-CD4 Class A3, 5.293% 12/11/49	1,279		1,352
Cobalt CMBS Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A3, 5.8108% 5/15/46 (m)	1,314		1,412
Series 2006-C1 Class B, 5.359% 8/15/48	3,942		572
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
COMM pass-thru certificates:
floater:
Series 2005-F10A Class J, 1.0895% 4/15/17 (g)(m)	$ 138		$ 126
Series 2005-FL11:
Class C, 0.5395% 11/15/17 (g)(m)	807		766
Class D, 0.5795% 11/15/17 (g)(m)	42		39
Class E, 0.6295% 11/15/17 (g)(m)	149		137
Class F, 0.6895% 11/15/17 (g)(m)	164		149
Class G, 0.7395% 11/15/17 (g)(m)	114		101
Series 2006-CN2A:
Class A2FL, 0.4643% 2/5/19 (g)(m)	1,454		1,422
Class AJFL, 0.5043% 2/5/19 (m)	890		870
Series 2006-FL12 Class AJ, 0.3695% 12/15/20 (g)(m)	1,872		1,709
sequential payer:
Series 2006-C8 Class A3, 5.31% 12/10/46	3,744		3,821
Series 2006-CN2A:
Class A2FX, 5.449% 2/5/19 (g)	1,717		1,721
Class AJFX, 5.478% 2/5/19 (g)	4,140		4,146
Series 2007-C9 Class A4, 5.8111% 12/10/49 (m)	2,907		3,432
Series 2006-C8 Class XP, 0.4663% 12/10/46 (m)(o)	16,244		101
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	1,596		1,803
Series 2007-C2:
Class A2, 5.448% 1/15/49 (m)	3,324		3,354
Class A3, 5.542% 1/15/49 (m)	2,628		2,933
Series 2007-C3 Class A4, 5.6792% 6/15/39 (m)	790		872
Series 2006-C4 Class AAB, 5.439% 9/15/39	3,838		3,887
Series 2006-C5 Class ASP, 0.6643% 12/15/39 (m)(o)	11,239		92
Series 2007-C5 Class A4, 5.695% 9/15/40 (m)	1,189		1,328
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5895% 4/15/22 (g)(m)	4,688		3,715
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer Series 2004-C1 Class A4, 4.75% 1/15/37	600		626
Series 2001-CK6 Class AX, 0.9973% 8/15/36 (m)(o)	344		0*
Series 2001-CKN5 Class AX, 1.7514% 9/15/34 (g)(m)(o)	1,187		1
Series 2006-C1 Class A3, 5.4157% 2/15/39 (m)	4,694		4,805
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1:
Class B, 0.3895% 2/15/22 (g)(m)	$ 497		$ 465
Class C:
0.4095% 2/15/22 (g)(m)	2,047		1,896
0.5095% 2/15/22 (g)(m)	731		662
Class F, 0.5595% 2/15/22 (g)(m)	1,462		1,310
Series 2007-C1:
Class ASP, 0.3813% 2/15/40 (m)(o)	19,061		107
Class B, 5.487% 2/15/40 (g)(m)	2,009		256
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (g)	123		123
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	8,890		9,960
Series 2001-1 Class X1, 1.4912% 5/15/33 (g)(m)(o)	863		11
Series 2007-C1 Class XP, 0.1588% 12/10/49 (m)(o)	20,244		66
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.4343% 11/5/21 (g)(m)	494		469
sequential payer:
Series 2007-GG11 Class A2, 5.597% 12/10/49	2,296		2,365
Series 2007-GG9 Class A4, 5.444% 3/10/39	17,490		19,797
Series 2006-GG7 Class A3, 5.8738% 7/10/38 (m)	548		548
Series 2007-GG11 Class A1, 0.2519% 12/10/49 (g)(m)(o)	25,003		129
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class E, 0.6158% 6/6/20 (g)(m)	298		296
Class F, 0.6858% 6/6/20 (g)(m)	916		903
Series 2007-EOP:
Class C, 2.0056% 3/6/20 (g)(m)	1,650		1,634
Class D, 2.2018% 3/6/20 (g)(m)	3,090		3,061
Class F, 2.6334% 3/6/20 (g)(m)	136		135
Class G, 2.7903% 3/6/20 (g)(m)	67		66
Class H, 3.3004% 3/6/20 (g)(m)	62		62
Class J, 4.0852% 3/6/20 (g)(m)	85		85
Series 2006-GG6 Class A2, 5.506% 4/10/38	3,167		3,170
GS Mortgage Securities Trust sequential payer:
Series 2006-GG8 Class A2, 5.479% 11/10/39	393		399
Series 2007-GG10 Class A2, 5.778% 8/10/45	294		298
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class B, 0.4095% 11/15/18 (g)(m)	$ 655		$ 638
Class C, 0.4495% 11/15/18 (g)(m)	465		448
Class D, 0.4695% 11/15/18 (g)(m)	207		195
Class E, 0.5195% 11/15/18 (g)(m)	297		274
Class F, 0.5695% 11/15/18 (g)(m)	446		394
Class G, 0.5995% 11/15/18 (g)(m)	386		326
Class H, 0.7395% 11/15/18 (g)(m)	297		239
sequential payer:
Series 2006-CB14 Class A3B, 5.4914% 12/12/44 (m)	3,229		3,301
Series 2006-LDP8 Class A4, 5.399% 5/15/45	837		962
Series 2006-LDP9:
Class A2, 5.134% 5/15/47 (m)	419		440
Class A3, 5.336% 5/15/47	5,183		5,861
Series 2007-CB19 Class A4, 5.7337% 2/12/49 (m)	4,608		5,342
Series 2007-LD11 Class A2, 5.7998% 6/15/49 (m)	2,882		2,968
Series 2007-LDPX:
Class A2 S, 5.305% 1/15/49	1,929		1,944
Class A3, 5.42% 1/15/49	18,477		21,088
Series 2005-LDP3 Class A3, 4.959% 8/15/42	1,723		1,747
Series 2006-CB17 Class A3, 5.45% 12/12/43	344		345
Series 2007-CB19:
Class B, 5.7337% 2/12/49 (m)	112		37
Class C, 5.7337% 2/12/49 (m)	294		62
Class D, 5.7337% 2/12/49 (m)	309		63
Series 2007-LDP10:
Class CS, 5.466% 1/15/49 (m)	108		9
Class ES, 5.5652% 1/15/49 (g)(m)	679		31
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.8846% 7/15/44 (m)	1,054		1,239
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	178		178
Series 2006-C6 Class A2, 5.262% 9/15/39 (m)	72		72
Series 2006-C7:
Class A2, 5.3% 11/15/38	764		777
Class A3, 5.347% 11/15/38	979		1,121
Series 2007-C1 Class A4, 5.424% 2/15/40	4,069		4,678
Series 2007-C2 Class A3, 5.43% 2/15/40	2,923		3,318
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
LB-UBS Commercial Mortgage Trust: - continued
Series 2006-C6 Class XCP, 0.6747% 9/15/39 (m)(o)	$ 5,603		$ 39
Series 2007-C1 Class XCP, 0.4243% 2/15/40 (m)(o)	2,095		13
Series 2007-C6 Class A4, 5.858% 7/15/40 (m)	1,642		1,919
Series 2007-C7 Class XCP, 0.2615% 9/15/45 (m)(o)	84,375		552
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.4695% 9/15/21 (g)(m)	421		400
Class E, 0.5295% 9/15/21 (g)(m)	1,518		1,404
Class F, 0.5795% 9/15/21 (g)(m)	1,255		1,129
Class G, 0.5995% 9/15/21 (g)(m)	2,478		2,169
Class H, 0.6395% 9/15/21 (g)(m)	639		537
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.3733% 1/12/44 (g)(m)	1,143		751
Series 2006-C1 Class A2, 5.6141% 5/12/39 (m)	1,164		1,190
Series 2007-C1 Class A4, 5.8461% 6/12/50 (m)	4,974		5,613
Series 2008-C1 Class A4, 5.69% 2/12/51	2,805		3,289
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.3688% 12/12/49 (m)	132		132
sequential payer:
Series 2006-1 Class A3, 5.4796% 2/12/39 (m)	1,394		1,393
Series 2006-4 Class ASB, 5.133% 12/12/49 (m)	961		1,011
Series 2007-5:
Class A3, 5.364% 8/12/48	512		519
Class B, 5.479% 8/12/48	3,942		968
Series 2007-6 Class A4, 5.485% 3/12/51 (m)	10,897		12,129
Series 2007-7 Class A4, 5.7386% 6/12/50 (m)	4,599		5,029
Series 2006-3 Class ASB, 5.382% 7/12/46 (m)	4,518		4,656
Series 2006-4 Class XP, 0.617% 12/12/49 (m)(o)	20,146		278
Series 2007-6 Class B, 5.635% 3/12/51 (m)	1,314		329
Series 2007-7 Class B, 5.7386% 6/12/50 (m)	114		8
Series 2007-8 Class A3, 5.9634% 8/12/49 (m)	1,133		1,293
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.44% 7/15/19 (g)(m)	393		247
Series 2007-XLFA:
Class C, 0.4% 10/15/20 (g)(m)	754		682
Class D, 0.43% 10/15/20 (g)(m)	732		648
Class E, 0.49% 10/15/20 (g)(m)	916		779
Class F, 0.54% 10/15/20 (g)(m)	550		456
Class G, 0.58% 10/15/20 (g)(m)	680		528
Class H, 0.67% 10/15/20 (g)(m)	428		278
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust: - continued
floater:
Series 2007-XLFA:
Class J, 0.82% 10/15/20 (g)(m)	$ 250		$ 100
sequential payer:
Series 2005-IQ9 Class A3, 4.54% 7/15/56	1,242		1,258
Series 2007-HQ11 Class A31, 5.439% 2/12/44 (m)	666		701
Series 2006-HQ10 Class X2, 0.4951% 11/12/41 (g)(m)(o)	8,835		9
Series 2006-IQ11:
Class A3, 5.6877% 10/15/42 (m)	404		410
Class A4, 5.7237% 10/15/42 (m)	394		447
Series 2006-T23 Class A3, 5.809% 8/12/41 (m)	671		697
Series 2007-IQ14:
Class A4, 5.692% 4/15/49 (m)	1,971		2,224
Class AAB, 5.654% 4/15/49	3,406		3,675
Class B, 5.7187% 4/15/49 (m)	323		96
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2006-WL7A:
Class E, 0.518% 9/15/21 (g)(m)	1,791		1,540
Class F, 0.578% 9/15/21 (g)(m)	2,061		1,690
Class G, 0.598% 9/15/21 (g)(m)	1,953		1,523
Class J, 0.838% 9/15/21 (g)(m)	434		286
Series 2007-WHL8:
Class F, 0.7195% 6/15/20 (g)(m)	4,581		3,372
Class LXR1, 0.9395% 6/15/20 (g)(m)	162		140
sequential payer:
Series 2003-C7 Class A1, 4.241% 10/15/35 (g)	834		840
Series 2003-C8 Class A3, 4.445% 11/15/35	4,548		4,610
Series 2006-C29 Class A3, 5.313% 11/15/48	3,490		3,655
Series 2007-C30:
Class A3, 5.246% 12/15/43	419		423
Class A4, 5.305% 12/15/43	386		415
Class A5, 5.342% 12/15/43	17,206		19,046
Series 2007-C31 Class A4, 5.509% 4/15/47	12,470		14,134
Series 2003-C6 Class G, 5.125% 8/15/35 (g)(m)	624		623
Series 2005-C19 Class B, 4.892% 5/15/44	1,314		1,214
Series 2005-C22:
Class B, 5.3564% 12/15/44 (m)	2,914		2,018
Class F, 5.3564% 12/15/44 (g)(m)	2,191		429
Series 2006-C23 Class A5, 5.416% 1/15/45 (m)	7,210		8,125
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2007-C30:
Class C, 5.483% 12/15/43 (m)	$ 3,942		$ 1,110
Class D, 5.513% 12/15/43 (m)	2,102		426
Class XP, 0.4723% 12/15/43 (g)(m)(o)	11,372		83
Series 2007-C31 Class C, 5.6821% 4/15/47 (m)	361		81
Series 2007-C31A Class A2, 5.421% 4/15/47	7,547		7,829
Series 2007-C32:
Class D, 5.7418% 6/15/49 (m)	987		266
Class E, 5.7418% 6/15/49 (m)	1,556		367
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 5.9003% 2/15/51 (m)	870		1,010
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $320,186)		394,726
Municipal Securities - 0.4%

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (m)	2,300		2,388
California Gen. Oblig.:
Series 2009, 7.35% 11/1/39	985		1,279
7.3% 10/1/39	10,620		13,706
7.5% 4/1/34	8,780		11,439
7.55% 4/1/39	5,410		7,243
7.6% 11/1/40	6,110		8,281
7.625% 3/1/40	2,530		3,403
Illinois Gen. Oblig.:
Series 2010, 4.421% 1/1/15	5,980		6,358
Series 2010-1, 6.63% 2/1/35	12,295		13,671
Series 2010-3:
6.725% 4/1/35	2,025		2,274
7.35% 7/1/35	1,640		1,948
Series 2011, 5.877% 3/1/19	2,005		2,242
5.1% 6/1/33	5,220		5,047
TOTAL MUNICIPAL SECURITIES (Cost $75,809)		79,279
Bank Notes - 0.0%

Wachovia Bank NA 6% 11/15/17 (Cost $3,586)	3,319		3,975

Fixed-Income Funds - 14.5%
	Shares		Value (000s)
Fidelity Corporate Bond 1-10 Year Central Fund (n)	3,538,209		$ 401,162
Fidelity High Income Central Fund 2 (n)	5,394,857		614,582
Fidelity Mortgage Backed Securities Central Fund (n)	17,940,819		1,971,158
TOTAL FIXED-INCOME FUNDS (Cost $2,752,455)		2,986,902
Money Market Funds - 2.3%

Fidelity Cash Central Fund, 0.17% (b)	403,928,601		403,929
Fidelity Securities Lending Cash Central Fund, 0.18% (b)(c)	69,757,970		69,758
TOTAL MONEY MARKET FUNDS (Cost $473,687)		473,687
TOTAL INVESTMENT PORTFOLIO - 104.4% (Cost $18,621,067)			21,529,875
NET OTHER ASSETS (LIABILITIES) - (4.4)%			(911,147)
NET ASSETS - 100%		$ 20,618,728
TBA Sale Commitments
	Principal Amount (000s)
Fannie Mae
3% 9/1/42	$ (183,000)		(189,894)
3% 9/1/42	(11,300)		(11,726)
3% 9/1/42	(2,300)		(2,387)
3% 9/1/42	(11,300)		(11,726)
3% 9/1/42	(184,600)		(191,554)
3.5% 9/1/42	(139,000)		(147,383)
4% 9/1/42	(31,400)		(33,672)
4.5% 9/1/42	(30,000)		(32,470)
TBA Sale Commitments - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
5% 9/1/42	$ (36,800)		$ (40,192)
5.5% 9/1/42	(17,000)		(18,656)
6% 9/1/42	(43,000)		(47,384)
TOTAL FANNIE MAE			(727,044)
Freddie Mac
5% 9/1/42	(7,000)		(7,588)
Ginnie Mae
3.5% 9/1/42	(7,300)		(7,902)
3.5% 9/1/42	(3,700)		(4,005)
TOTAL GINNIE MAE			(11,907)
TOTAL TBA SALE COMMITMENTS (Proceeds $743,971)		$ (746,539)

Futures Contracts
	Expiration Date	Underlying Face Amount at Value (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Purchased
Equity Index Contracts
1,537 CME E-mini S&P 500 Index Contracts	Sept. 2012	$ 107,982	$ 7,700

The face value of futures purchased as a percentage of net assets is 0.5%

Swap Agreements
	Expiration Date	Notional Amount (000s) (l)	Value (000s)
Credit Default Swaps
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $3,215,000) (k)	Sept. 2037	$ 5,588	$ (5,303)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,992,000) (k)	Sept. 2037	4,551	(4,318)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $407,000) (k)	Sept. 2037	602	(572)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Morgan Stanley, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,992,000) (k)	Sept. 2037	4,551	(4,318)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,882,000) (k)	Sept. 2037	4,383	(4,160)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)(l)	Value (000s)
Credit Default Swaps - continued
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,559,000) (k)	Sept. 2037	$ 3,848	$ (3,651)
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.102% 11/25/34 (Rating-C) (k)	Dec. 2034	562	(542)
		$ 24,085	$ (22,864)

Legend

(a) Non-income producing

(d) Non-income producing - Security is in default.

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

(f) Affiliated company

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

(i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $5,699,000.

(j) 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 $27,704,000.

(m) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

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

(p) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund.

Additional information on each restricted holding is as follows:

Security	Acquisition Date	Acquisition Cost (000s)
Halcon Resources Corp.	3/1/12	$ 8,190
Jumptap, Inc. Series G	6/29/12	$ 6,429
Legend Pictures LLC	9/23/10	$ 6,428

* Amount represents less than $1,000.

Affiliated Central Funds

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

Fund	Income earned (Amounts in thousands)
Fidelity Cash Central Fund	$ 767
Fidelity Corporate Bond 1-10 Year Central Fund	16,659
Fidelity High Income Central Fund 2	39,969
Fidelity Mortgage Backed Securities Central Fund	44,833
Fidelity Securities Lending Cash Central Fund	1,552
Total	$ 103,780

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

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Corporate Bond 1-10 Year Central Fund	$ 388,778	$ -	$ -	$ 401,162	58.3%
Fidelity High Income Central Fund 2	533,410	39,969	-	614,582	83.0%
Fidelity Mortgage Backed Securities Central Fund	1,480,565	541,089	76,845	1,971,158	12.6%
Total	$ 2,402,753	$ 581,058	$ 76,845	$ 2,986,902

Other Affiliated Issuers

Affiliate (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Dividend Income	Value, end of period
Kayak Software Corp.	$ -	$ 5,795	$ -	$ -	$ 5,542

Other Information

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Equities:
Consumer Discretionary	$ 1,315,967	$ 1,300,374	$ -	$ 15,593
Consumer Staples	1,479,674	1,424,505	55,169	-
Energy	1,477,952	1,477,952	-	-
Financials	1,922,380	1,894,913	17,234	10,233
Health Care	1,549,685	1,549,685	-	-
Industrials	1,351,489	1,351,489	-	-
Information Technology	2,844,848	2,844,848	-	-
Materials	417,661	417,661	-	-
Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Equities:
Telecommunication Services	$ 310,534	$ 310,534	$ -	$ -
Utilities	462,047	462,047	-	-
Corporate Bonds	1,517,523	-	1,517,523	-
U.S. Government and Government Agency Obligations	1,020,741	-	1,020,741	-
U.S. Government Agency - Mortgage Securities	1,808,812	-	1,808,812	-
Asset-Backed Securities	64,180	-	56,298	7,882
Collateralized Mortgage Obligations	47,813	-	46,022	1,791
Commercial Mortgage Securities	394,726	-	365,749	28,977
Municipal Securities	79,279	-	79,279	-
Bank Notes	3,975	-	3,975	-
Fixed-Income Funds	2,986,902	2,986,902	-	-
Money Market Funds	473,687	473,687	-	-
Total Investments in Securities:	$ 21,529,875	$ 16,494,597	$ 4,970,802	$ 64,476
Derivative Instruments:
Assets
Futures Contracts	$ 7,700	$ 7,700	$ -	$ -
Liabilities
Swap Agreements	$ (22,864)	$ -	$ (22,322)	$ (542)
Total Derivative Instruments:	$ (15,164)	$ 7,700	$ (22,322)	$ (542)
Other Financial Instruments:
TBA Sale Commitments	$ (746,539)	$ -	$ (746,539)	$ -

Value of Derivative Instruments

Primary Risk Exposure / Derivative Type	Value
(Amounts in thousands)	Asset	Liability
Credit Risk
Swap Agreements (b)	$ -	$ (22,864)
Equity Risk
Futures Contracts (a)	7,700	-
Total Value of Derivatives	$ 7,700	$ (22,864)

(b) Value is disclosed on the Statement of Assets and Liabilities in the Swap agreements, at value line-items.

Other Information

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

U.S. Government and U.S. Government Agency Obligations	19.9%
AAA,AA,A	4.8%
BBB	6.7%
BB	0.8%
B	1.9%
CCC,CC,C	0.2%
D	0.0%*
Not Rated	0.0%*
Equities	63.8%
Short-Term Investments and Net Other Assets	1.9%
	100%

* Amount represents less than 0.1%

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.

Annual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)	August 31, 2012

Assets
Investment in securities, at value (including securities loaned of $68,346) - See accompanying schedule: Unaffiliated issuers (cost $15,389,130)	$ 18,063,744
Fidelity Central Funds (cost $3,226,142)	3,460,589
Other affiliated issuers (cost $5,795)	5,542
Total Investments (cost $18,621,067)		$ 21,529,875
Foreign currency held at value (cost $2,756)		2,756
Receivable for investments sold, regular delivery		637,453
Receivable for TBA sale commitments		743,971
Receivable for swap agreements		5
Receivable for fund shares sold		15,555
Dividends receivable		29,414
Interest receivable		28,064
Distributions receivable from Fidelity Central Funds		1,750
Receivable for daily variation margin on futures contracts		615
Other receivables		998
Total assets		22,990,456

Liabilities
Payable to custodian bank	$ 102
Payable for investments purchased Regular delivery	263,000
Delayed delivery	1,245,389
TBA sale commitments, at value	746,539
Payable for swap agreements	2,633
Payable for fund shares redeemed	9,164
Swap agreements, at value	22,864
Accrued management fee	6,974
Other affiliated payables	2,484
Other payables and accrued expenses	2,821
Collateral on securities loaned, at value	69,758
Total liabilities		2,371,728

Net Assets		$ 20,618,728
Net Assets consist of:
Paid in capital		$ 18,565,807
Undistributed net investment income		84,489
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions		(921,602)
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies		2,890,034
Net Assets		$ 20,618,728

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

Annual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

Amounts in thousands (except per-share amounts)	August 31, 2012

Balanced: Net Asset Value, offering price and redemption price per share ($15,016,156 ÷ 752,542 shares)		$ 19.95

Class K: Net Asset Value, offering price and redemption price per share ($5,602,572 ÷ 280,771 shares)		$ 19.95

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

Annual Report

Statement of Operations

Amounts in thousands	Year ended August 31, 2012

Investment Income
Dividends		$ 232,301
Interest		177,782
Income from Fidelity Central Funds		103,780
Total income		513,863

Expenses
Management fee	$ 81,574
Transfer agent fees	28,381
Accounting and security lending fees	1,995
Custodian fees and expenses	342
Independent trustees' compensation	133
Registration fees	298
Audit	162
Legal	86
Miscellaneous	208
Total expenses before reductions	113,179
Expense reductions	(845)	112,334
Net investment income (loss)		401,529
Realized and Unrealized Gain (Loss) Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	5,409
Fidelity Central Funds	1,625
Foreign currency transactions	(129)
Futures contracts	8,596
Swap agreements	(16,533)
Total net realized gain (loss)		(1,032)
Change in net unrealized appreciation (depreciation) on: Investment securities	1,823,727
Assets and liabilities in foreign currencies	(260)
Futures contracts	8,583
Swap agreements	15,494
Delayed delivery commitments	(5,308)
Total change in net unrealized appreciation (depreciation)		1,842,236
Net gain (loss)		1,841,204
Net increase (decrease) in net assets resulting from operations		$ 2,242,733

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

Annual Report

Financial Statements - continued

Statement of Changes in Net Assets

Amounts in thousands	Year ended August 31, 2012	Year ended August 31, 2011
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$ 401,529	$ 410,670
Net realized gain (loss)	(1,032)	2,160,284
Change in net unrealized appreciation (depreciation)	1,842,236	115,234
Net increase (decrease) in net assets resulting from operations	2,242,733	2,686,188
Distributions to shareholders from net investment income	(379,925)	(410,590)
Distributions to shareholders from net realized gain	-	(9,407)
Total distributions	(379,925)	(419,997)
Share transactions - net increase (decrease)	(947,824)	(2,018,385)
Total increase (decrease) in net assets	914,984	247,806

Net Assets
Beginning of period	19,703,744	19,455,938
End of period (including undistributed net investment income of $84,489 and undistributed net investment income of $89,115, respectively)	$ 20,618,728	$ 19,703,744

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

Annual Report

Financial Highlights - Balanced

Years ended August 31,	2012	2011	2010	2009	2008
Selected Per-Share Data
Net asset value, beginning of period	$ 18.17	$ 16.27	$ 15.40	$ 17.71	$ 20.66
Income from Investment Operations
Net investment income (loss) ^B	.37	.35	.36	.38	.42
Net realized and unrealized gain (loss)	1.76	1.91	.88	(2.29)	(1.76)
Total from investment operations	2.13	2.26	1.24	(1.91)	(1.34)
Distributions from net investment income	(.35)	(.35)	(.36)	(.37)	(.43)
Distributions from net realized gain	-	(.01)	(.01)	(.03)	(1.18)
Total distributions	(.35)	(.36)	(.37)	(.40)	(1.61)
Net asset value, end of period	$ 19.95	$ 18.17	$ 16.27	$ 15.40	$ 17.71
Total Return ^A	11.89%	13.88%	8.06%	(10.48)%	(7.28)%
Ratios to Average Net Assets ^{C, E}
Expenses before reductions	.60%	.61%	.62%	.68%	.61%
Expenses net of fee waivers, if any	.60%	.61%	.62%	.68%	.61%
Expenses net of all reductions	.59%	.60%	.61%	.68%	.61%
Net investment income (loss)	1.98%	1.92%	2.18%	2.78%	2.22%
Supplemental Data
Net assets, end of period (in millions)	$ 15,016	$ 15,602	$ 16,764	$ 17,225	$ 25,363
Portfolio turnover rate ^D	155%	193% ^F	122%	198% ^F	73% ^F

^A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^B Calculated based on average shares outstanding during the period.

^D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^F The portfolio turnover rate excludes liquidations and/or redemptions executed in-kind from Affiliated Central Funds.

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

Annual Report

Financial Highlights - Class K

Years ended August 31,	2012	2011	2010	2009	2008 ^G
Selected Per-Share Data
Net asset value, beginning of period	$ 18.17	$ 16.27	$ 15.40	$ 17.72	$ 19.12
Income from Investment Operations
Net investment income (loss) ^D	.40	.38	.38	.40	.12
Net realized and unrealized gain (loss)	1.76	1.90	.88	(2.29)	(1.41)
Total from investment operations	2.16	2.28	1.26	(1.89)	(1.29)
Distributions from net investment income	(.38)	(.38)	(.38)	(.40)	(.11)
Distributions from net realized gain	-	(.01)	(.01)	(.03)	-
Total distributions	(.38)	(.38) ^I	(.39)	(.43)	(.11)
Net asset value, end of period	$ 19.95	$ 18.17	$ 16.27	$ 15.40	$ 17.72
Total Return ^{B, C}	12.03%	14.04%	8.23%	(10.33)%	(6.74)%
Ratios to Average Net Assets ^{E, H}
Expenses before reductions	.48%	.48%	.48%	.50%	.48% ^A
Expenses net of fee waivers, if any	.48%	.48%	.48%	.50%	.48% ^A
Expenses net of all reductions	.47%	.47%	.47%	.50%	.48% ^A
Net investment income (loss)	2.10%	2.05%	2.32%	2.96%	2.45% ^A
Supplemental Data
Net assets, end of period (in millions)	$ 5,603	$ 4,102	$ 2,692	$ 2,014	$ 17
Portfolio turnover rate ^F	155%	193% ^J	122%	198% ^J	73% ^J